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 811-21779
JOHN HANCOCK FUNDS II
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(Exact name of registrant as specified in charter)
200 BERKELEY STREET, BOSTON, MA 02116
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(Address of principal executive offices) (Zip code)
SALVATORE SCHIAVONE, 200 Berkeley Street, BOSTON, MA 02116
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(Name and address of agent for service)
Registrant's telephone number, including area code: (617) 543-9634
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Date of fiscal year end: August 31
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Date of reporting period: August 31, 2023
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ITEM 1. REPORTS TO STOCKHOLDERS.
The Registrant prepared the following annual reports to shareholders for the period ended August 31, 2023:
Opportunistic Fixed Income Fund
John Hancock Funds II - Underlying Funds
Capital Appreciation Fund
Capital Appreciation Value Fund
Core Bond Fund
Health Sciences Fund
High Yield Fund
International Strategic Equity Allocation Fund
Mid Value Fund
Science & Technology Fund
U.S. Sector Rotation Fund
United States and Europe
Manulife Investment Management
John Hancock Investment Management
ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 1 |
2 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT |
ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 3 |
4 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT |
COUNTRY COMPOSITION AS OF 8/31/2023 (% of net assets) | |
United States | 58.0 |
New Zealand | 4.5 |
Brazil | 3.7 |
Iceland | 2.4 |
Canada | 2.3 |
Australia | 2.2 |
South Korea | 1.9 |
South Africa | 1.7 |
Mexico | 1.6 |
Sweden | 1.6 |
Other countries | 20.1 |
TOTAL | 100.0 |
ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 5 |
6 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT |
Average annual total returns (%) with maximum sales charge | Cumulative total returns (%) with maximum sales charge | SEC 30-day yield (%) subsidized | SEC 30-day yield (%) unsubsidized† | |||||
1-year | 5-year | 10-year | 5-year | 10-year | as of 8-31-23 | as of 8-31-23 | ||
Class A1 | 0.06 | 0.29 | 1.17 | 1.44 | 12.33 | 5.11 | 4.66 | |
Class C1 | 3.54 | 0.99 | 1.52 | 5.06 | 16.31 | 4.63 | 4.16 | |
Class I1,2 | 5.54 | 1.44 | 1.75 | 7.43 | 18.93 | 5.63 | 5.16 | |
Class R61,2 | 5.60 | 1.49 | 1.77 | 7.67 | 19.19 | 5.76 | 5.28 | |
Class 12 | 5.58 | 1.46 | 1.75 | 7.49 | 19.00 | 5.69 | 5.21 | |
Index 1†† | 0.55 | 0.85 | 2.10 | 4.30 | 23.15 | — | — | |
Index 2†† | -0.09 | -1.21 | 0.06 | -5.90 | 0.56 | — | — |
Class A | Class C | Class I | Class R6 | Class 1 | |
Gross (%) | 1.41 | 2.16 | 1.16 | 1.05 | 1.10 |
Net (%) | 1.19 | 1.94 | 0.94 | 0.83 | 0.87 |
ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 7 |
Start date | With maximum sales charge ($) | Without sales charge ($) | Index 1 ($) | Index 2 ($) | |
Class C1,3 | 8-31-13 | 11,631 | 11,631 | 12,315 | 10,056 |
Class I1,2 | 8-31-13 | 11,893 | 11,893 | 12,315 | 10,056 |
Class R61,2 | 8-31-13 | 11,919 | 11,919 | 12,315 | 10,056 |
Class 12 | 8-31-13 | 11,900 | 11,900 | 12,315 | 10,056 |
1 | Class A, Class C, Class I, and Class R6 shares were first offered on 6-4-21. Returns prior to this date are those of Class 1 shares that have not been adjusted for class-specific expenses; otherwise, returns would vary. |
2 | For certain types of investors, as described in the fund’s prospectuses. |
3 | The contingent deferred sales charge is not applicable. |
8 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT |
ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 9 |
Account value on 3-1-2023 | Ending value on 8-31-2023 | Expenses paid during period ended 8-31-20231 | Annualized expense ratio | ||
Class A | Actual expenses/actual returns | $1,000.00 | $1,030.20 | $5.99 | 1.17% |
Hypothetical example | 1,000.00 | 1,019.30 | 5.95 | 1.17% | |
Class C | Actual expenses/actual returns | 1,000.00 | 1,026.60 | 9.81 | 1.92% |
Hypothetical example | 1,000.00 | 1,015.50 | 9.75 | 1.92% | |
Class I | Actual expenses/actual returns | 1,000.00 | 1,032.10 | 4.71 | 0.92% |
Hypothetical example | 1,000.00 | 1,020.60 | 4.69 | 0.92% | |
Class R6 | Actual expenses/actual returns | 1,000.00 | 1,032.10 | 4.15 | 0.81% |
Hypothetical example | 1,000.00 | 1,021.10 | 4.13 | 0.81% | |
Class 1 | Actual expenses/actual returns | 1,000.00 | 1,032.10 | 4.35 | 0.85% |
Hypothetical example | 1,000.00 | 1,020.90 | 4.33 | 0.85% |
1 | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
10 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT |
Rate (%) | Maturity date | Par value^ | Value | ||
U.S. Government and Agency obligations 34.8% | $43,398,986 | ||||
(Cost $43,813,844) | |||||
U.S. Government 14.1% | 17,533,703 | ||||
U.S. Treasury | |||||
Bond | 4.125 | 08-15-53 | 39,200 | 38,673 | |
Inflation Protected Security | 0.375 | 01-15-27 | 921,954 | 863,134 | |
Inflation Protected Security | 1.125 | 01-15-33 | 3,533,421 | 3,294,363 | |
Inflation Protected Security | 1.250 | 04-15-28 | 5,426,229 | 5,223,381 | |
Inflation Protected Security (A) | 1.625 | 10-15-27 | 8,063,882 | 7,910,401 | |
Note | 3.500 | 02-15-33 | 64,000 | 60,950 | |
Note | 3.875 | 08-15-33 | 130,000 | 127,684 | |
Note | 4.000 | 06-30-28 | 15,300 | 15,117 | |
U.S. Government Agency 20.7% | 25,865,283 | ||||
Federal National Mortgage Association | |||||
30 Yr Pass Thru (B) | 4.500 | TBA | 235,000 | 222,846 | |
30 Yr Pass Thru (B) | 5.000 | TBA | 7,115,000 | 6,899,048 | |
30 Yr Pass Thru (B) | 5.500 | TBA | 11,721,000 | 11,577,987 | |
30 Yr Pass Thru (B) | 6.000 | TBA | 3,995,000 | 4,005,768 | |
30 Yr Pass Thru (B) | 6.000 | TBA | 3,152,000 | 3,159,634 | |
Foreign government obligations 35.5% | $44,195,684 | ||||
(Cost $49,241,938) | |||||
Angola 0.1% | 164,000 | ||||
Republic of Angola | |||||
Bond | 8.750 | 04-14-32 | 200,000 | 164,000 | |
Argentina 0.0% | 70,180 | ||||
Republic of Argentina | |||||
Bond | 1.000 | 07-09-29 | 7,467 | 2,405 | |
Bond (3.625% to 7-9-24, then 4.125% to 7-9-27, then 4.750% to 7-9-28, then 5.000% thereafter) | 3.625 | 07-09-35 | 229,987 | 67,775 | |
Australia 2.1% | 2,649,416 | ||||
Commonwealth of Australia | |||||
Bond | 0.250 | 11-21-32 | AUD | 1,715,000 | 1,108,556 |
Bond | 1.750 | 06-21-51 | AUD | 4,140,000 | 1,540,860 |
Benin 0.2% | 262,955 | ||||
Republic of Benin | |||||
Bond | 4.875 | 01-19-32 | EUR | 100,000 | 80,784 |
Bond | 4.950 | 01-22-35 | EUR | 240,000 | 182,171 |
Brazil 3.7% | 4,666,923 | ||||
Federative Republic of Brazil |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 11 |
Rate (%) | Maturity date | Par value^ | Value | ||
Brazil (continued) | |||||
Bill (C) | 10.081 | 01-01-26 | BRL | 1,138,000 | $182,979 |
Bill (C) | 10.084 | 07-01-26 | BRL | 1,387,000 | 212,490 |
Bill (C) | 10.418 | 07-01-27 | BRL | 839,000 | 115,237 |
Note | 6.000 | 08-15-50 | BRL | 72,000 | 63,462 |
Note | 6.000 | 05-15-55 | BRL | 1,398,000 | 1,255,563 |
Note | 10.000 | 01-01-25 | BRL | 2,104,000 | 428,354 |
Note | 10.000 | 01-01-27 | BRL | 3,323,000 | 675,030 |
Note | 10.000 | 01-01-29 | BRL | 8,351,000 | 1,660,761 |
Note | 10.000 | 01-01-33 | BRL | 379,000 | 73,047 |
Bulgaria 0.3% | 337,064 | ||||
Republic of Bulgaria | |||||
Bond | 1.375 | 09-23-50 | EUR | 450,000 | 267,462 |
Bond | 4.500 | 01-27-33 | EUR | 65,000 | 69,602 |
Canada 1.8% | 2,249,976 | ||||
Government of Canada | |||||
Bond | 4.000 | 12-01-31 | CAD | 2,614,658 | 2,249,976 |
Chile 0.6% | 701,890 | ||||
Republic of Chile | |||||
Bond | 1.250 | 01-22-51 | EUR | 125,000 | 68,878 |
Bond | 4.125 | 07-05-34 | EUR | 100,000 | 105,453 |
Bond (D) | 4.700 | 09-01-30 | CLP | 80,000,000 | 91,038 |
Bond | 5.000 | 03-01-35 | CLP | 25,000,000 | 28,405 |
Bond (D) | 5.300 | 11-01-37 | CLP | 15,000,000 | 17,221 |
Bond (D) | 6.000 | 04-01-33 | CLP | 270,000,000 | 332,106 |
Bond | 6.000 | 01-01-43 | CLP | 10,000,000 | 12,386 |
Bond (D) | 7.000 | 05-01-34 | CLP | 35,000,000 | 46,403 |
Colombia 1.0% | 1,214,087 | ||||
Republic of Colombia | |||||
Bond | 3.000 | 03-25-33 | COP | 396,593,021 | 86,800 |
Bond | 3.875 | 02-15-61 | 260,000 | 145,566 | |
Bond | 4.125 | 02-22-42 | 400,000 | 258,243 | |
Bond | 6.000 | 04-28-28 | COP | 597,300,000 | 124,990 |
Bond | 7.000 | 03-26-31 | COP | 286,800,000 | 58,131 |
Bond | 7.750 | 09-18-30 | COP | 1,296,500,000 | 279,723 |
Bond | 9.250 | 05-28-42 | COP | 510,200,000 | 108,274 |
Bond | 13.250 | 02-09-33 | COP | 542,600,000 | 152,360 |
Czech Republic 1.0% | 1,269,295 | ||||
Czech Republic | |||||
Bond | 0.950 | 05-15-30 | CZK | 5,090,000 | 184,004 |
Bond | 1.200 | 03-13-31 | CZK | 1,620,000 | 58,339 |
Bond | 1.500 | 04-24-40 | CZK | 740,000 | 21,604 |
Bond | 1.750 | 06-23-32 | CZK | 1,930,000 | 70,345 |
Bond | 1.750 | 06-23-32 | CZK | 1,260,000 | 45,925 |
12 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Czech Republic (continued) | |||||
Bond | 1.950 | 07-30-37 | CZK | 310,000 | $10,454 |
Bond | 2.000 | 10-13-33 | CZK | 3,050,000 | 111,305 |
Bond | 2.500 | 08-25-28 | CZK | 6,420,000 | 263,909 |
Bond | 3.500 | 05-30-35 | CZK | 10,000 | 413 |
Bond | 4.900 | 04-14-34 | CZK | 5,580,000 | 261,958 |
Bond | 5.000 | 09-30-30 | CZK | 3,550,000 | 164,898 |
Bond | 6.000 | 02-26-26 | CZK | 1,640,000 | 76,141 |
Greece 0.4% | 465,434 | ||||
Republic of Greece | |||||
GDP-Linked Note (E) | 4.484* | 10-15-42 | EUR | 119,230,000 | 465,434 |
Hungary 0.9% | 1,114,302 | ||||
Republic of Hungary | |||||
Bond | 1.000 | 11-26-25 | HUF | 7,410,000 | 18,015 |
Bond | 1.625 | 04-28-32 | EUR | 110,000 | 90,973 |
Bond | 1.750 | 06-05-35 | EUR | 520,000 | 392,615 |
Bond | 2.250 | 06-22-34 | HUF | 61,110,000 | 113,656 |
Bond | 3.000 | 10-27-27 | HUF | 37,520,000 | 90,759 |
Bond | 3.000 | 08-21-30 | HUF | 19,120,000 | 42,061 |
Bond | 3.250 | 10-22-31 | HUF | 39,880,000 | 89,041 |
Bond | 4.500 | 03-23-28 | HUF | 13,010,000 | 32,970 |
Bond | 4.750 | 11-24-32 | HUF | 36,320,000 | 87,432 |
Bond | 6.750 | 10-22-28 | HUF | 56,270,000 | 156,780 |
Iceland 2.4% | 2,981,529 | ||||
Republic of Iceland | |||||
Bond | 5.000 | 11-15-28 | ISK | 431,960,000 | 2,981,529 |
Indonesia 1.4% | 1,738,362 | ||||
Republic of Indonesia | |||||
Bond | 1.400 | 10-30-31 | EUR | 670,000 | 574,019 |
Bond | 6.375 | 08-15-28 | IDR | 5,057,000,000 | 333,344 |
Bond | 6.375 | 04-15-32 | IDR | 2,583,000,000 | 169,181 |
Bond | 6.500 | 02-15-31 | IDR | 1,401,000,000 | 92,252 |
Bond | 7.000 | 05-15-27 | IDR | 923,000,000 | 61,995 |
Bond | 7.000 | 02-15-33 | IDR | 1,952,000,000 | 133,006 |
Bond | 7.500 | 08-15-32 | IDR | 2,995,000,000 | 210,182 |
Bond | 7.500 | 06-15-35 | IDR | 127,000,000 | 8,971 |
Bond | 7.500 | 05-15-38 | IDR | 1,676,000,000 | 118,370 |
Bond | 8.375 | 03-15-34 | IDR | 496,000,000 | 37,042 |
Malaysia 1.1% | 1,352,964 | ||||
Government of Malaysia | |||||
Bond | 2.632 | 04-15-31 | MYR | 1,065,000 | 211,028 |
Bond | 3.478 | 06-14-24 | MYR | 85,000 | 18,352 |
Bond | 3.502 | 05-31-27 | MYR | 205,000 | 43,977 |
Bond | 3.582 | 07-15-32 | MYR | 1,535,000 | 323,538 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 13 |
Rate (%) | Maturity date | Par value^ | Value | ||
Malaysia (continued) | |||||
Bond | 3.882 | 03-14-25 | MYR | 735,000 | $159,747 |
Bond | 3.885 | 08-15-29 | MYR | 750,000 | 162,621 |
Bond | 3.906 | 07-15-26 | MYR | 955,000 | 208,174 |
Bond | 4.254 | 05-31-35 | MYR | 160,000 | 35,094 |
Bond | 4.696 | 10-15-42 | MYR | 275,000 | 63,304 |
Bond | 4.893 | 06-08-38 | MYR | 540,000 | 127,129 |
Mexico 1.6% | 2,009,587 | ||||
Government of Mexico | |||||
Bill (C) | 10.677 | 07-10-25 | MXN | 8,060,910 | 390,434 |
Bill (C) | 11.009 | 03-20-25 | MXN | 7,955,790 | 395,830 |
Bill (C) | 11.076 | 01-23-25 | MXN | 1,040,080 | 52,550 |
Bond | 5.500 | 03-04-27 | MXN | 4,334,000 | 222,357 |
Bond | 7.500 | 05-26-33 | MXN | 6,177,000 | 321,513 |
Bond | 7.750 | 05-29-31 | MXN | 401,400 | 21,510 |
Bond | 7.750 | 11-13-42 | MXN | 3,448,400 | 172,684 |
Bond | 8.000 | 05-24-35 | MXN | 1,030,500 | 55,018 |
Bond | 8.000 | 11-07-47 | MXN | 1,334,800 | 68,037 |
Bond | 8.000 | 07-31-53 | MXN | 1,044,600 | 52,820 |
Bond | 8.500 | 05-31-29 | MXN | 1,814,500 | 102,457 |
Bond | 8.500 | 11-18-38 | MXN | 1,531,300 | 83,351 |
Bond | 10.000 | 11-20-36 | MXN | 1,151,600 | 71,026 |
New Zealand 4.5% | 5,621,887 | ||||
Government of New Zealand | |||||
Bond | 1.500 | 05-15-31 | NZD | 145,000 | 67,992 |
Bond | 2.750 | 05-15-51 | NZD | 2,030,000 | 795,763 |
Inflation Linked Bond | 3.089 | 09-20-40 | NZD | 1,510,000 | 1,057,445 |
Inflation Linked Bond | 3.122 | 09-20-35 | NZD | 1,110,000 | 808,158 |
Inflation Linked Bond | 3.804 | 09-20-30 | NZD | 3,735,000 | 2,892,529 |
North Macedonia 0.3% | 334,819 | ||||
Republic of North Macedonia | |||||
Bond | 1.625 | 03-10-28 | EUR | 200,000 | 178,311 |
Bond | 2.750 | 01-18-25 | EUR | 150,000 | 156,508 |
Norway 1.3% | 1,691,348 | ||||
Kingdom of Norway | |||||
Bond (D) | 1.250 | 09-17-31 | NOK | 21,810,000 | 1,691,348 |
Peru 0.7% | 870,462 | ||||
Republic of Peru | |||||
Bond | 5.400 | 08-12-34 | PEN | 380,000 | 91,841 |
Bond | 5.940 | 02-12-29 | PEN | 680,000 | 182,321 |
Bond | 6.150 | 08-12-32 | PEN | 50,000 | 13,106 |
Bond | 6.350 | 08-12-28 | PEN | 215,000 | 59,011 |
Bond | 6.900 | 08-12-37 | PEN | 265,000 | 71,769 |
Bond | 6.950 | 08-12-31 | PEN | 1,155,000 | 320,560 |
14 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Peru (continued) | |||||
Bond (D) | 7.300 | 08-12-33 | PEN | 468,000 | $131,854 |
Philippines 0.2% | 231,706 | ||||
Republic of the Philippines | |||||
Bond | 1.750 | 04-28-41 | EUR | 330,000 | 231,706 |
Poland 0.9% | 1,135,100 | ||||
Republic of Poland | |||||
Bond | 1.750 | 04-25-32 | PLN | 915,000 | 164,827 |
Bond | 2.750 | 04-25-28 | PLN | 395,000 | 85,838 |
Bond | 2.750 | 10-25-29 | PLN | 395,000 | 82,839 |
Bond | 3.250 | 07-25-25 | PLN | 495,000 | 115,535 |
Bond | 3.750 | 05-25-27 | PLN | 1,040,000 | 238,996 |
Bond | 6.000 | 10-25-33 | PLN | 530,000 | 131,546 |
Bond | 7.500 | 07-25-28 | PLN | 1,195,000 | 315,519 |
Romania 1.0% | 1,246,245 | ||||
Republic of Romania | |||||
Bond (D) | 2.625 | 12-02-40 | EUR | 120,000 | 80,025 |
Bond (D) | 2.750 | 04-14-41 | EUR | 360,000 | 240,481 |
Bond | 3.650 | 09-24-31 | RON | 240,000 | 43,032 |
Bond | 3.700 | 11-25-24 | RON | 60,000 | 12,781 |
Bond | 3.875 | 10-29-35 | EUR | 110,000 | 96,004 |
Bond | 4.750 | 10-11-34 | RON | 255,000 | 47,108 |
Bond | 4.850 | 07-25-29 | RON | 220,000 | 44,447 |
Bond | 5.800 | 07-26-27 | RON | 760,000 | 163,704 |
Bond | 6.700 | 02-25-32 | RON | 465,000 | 101,647 |
Bond | 8.000 | 04-29-30 | RON | 195,000 | 45,569 |
Bond | 8.250 | 09-29-32 | RON | 965,000 | 232,121 |
Bond | 8.750 | 10-30-28 | RON | 580,000 | 139,326 |
Russia 0.5% | 601,653 | ||||
Government of Russia | |||||
Bond | 5.900 | 03-12-31 | RUB | 164,810,000 | 601,653 |
Saudi Arabia 0.3% | 385,058 | ||||
Kingdom of Saudi Arabia | |||||
Bond (D) | 2.250 | 02-02-33 | 486,000 | 385,058 | |
Serbia 0.3% | 392,086 | ||||
Republic of Serbia | |||||
Bond | 1.500 | 06-26-29 | EUR | 280,000 | 238,720 |
Bond | 1.650 | 03-03-33 | EUR | 210,000 | 153,366 |
Slovakia 0.2% | 202,266 | ||||
Republic of Slovakia | |||||
Bond | 4.000 | 02-23-43 | EUR | 190,000 | 202,266 |
South Africa 1.7% | 2,106,158 | ||||
Republic of South Africa |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 15 |
Rate (%) | Maturity date | Par value^ | Value | ||
South Africa (continued) | |||||
Bond | 6.250 | 03-31-36 | ZAR | 8,875,000 | $300,768 |
Bond | 7.000 | 02-28-31 | ZAR | 1,430,000 | 61,334 |
Bond | 8.000 | 01-31-30 | ZAR | 4,835,000 | 229,115 |
Bond | 8.250 | 03-31-32 | ZAR | 7,470,000 | 334,795 |
Bond | 8.500 | 01-31-37 | ZAR | 4,760,000 | 192,467 |
Bond | 8.750 | 01-31-44 | ZAR | 17,515,000 | 671,756 |
Bond | 9.000 | 01-31-40 | ZAR | 6,925,000 | 279,860 |
Bond | 11.625 | 03-31-53 | ZAR | 720,000 | 36,063 |
South Korea 1.9% | 2,341,365 | ||||
Republic of Korea | |||||
Inflation Linked Bond | 1.125 | 06-10-30 | KRW | 2,744,475,963 | 2,072,627 |
Inflation Linked Bond | 1.750 | 06-10-28 | KRW | 351,390,840 | 268,738 |
Sweden 1.6% | 1,965,978 | ||||
Kingdom of Sweden | |||||
Inflation Linked Bond | 0.163 | 06-01-32 | SEK | 17,930,000 | 1,965,978 |
Thailand 0.8% | 962,178 | ||||
Kingdom of Thailand | |||||
Bond | 1.000 | 06-17-27 | THB | 5,360,000 | 145,157 |
Bond | 1.585 | 12-17-35 | THB | 7,025,000 | 173,981 |
Bond | 1.600 | 12-17-29 | THB | 605,000 | 16,288 |
Bond | 2.000 | 12-17-31 | THB | 5,300,000 | 143,118 |
Bond | 2.000 | 06-17-42 | THB | 1,150,000 | 27,665 |
Bond | 2.875 | 12-17-28 | THB | 6,500,000 | 188,642 |
Bond | 2.875 | 06-17-46 | THB | 500,000 | 13,366 |
Bond | 3.350 | 06-17-33 | THB | 5,270,000 | 157,749 |
Bond | 3.450 | 06-17-43 | THB | 3,250,000 | 96,212 |
United Kingdom 0.5% | 609,933 | ||||
United Kingdom of Great Britain | |||||
Bond | 0.500 | 10-22-61 | GBP | 1,620,000 | 609,933 |
Uruguay 0.2% | 249,478 | ||||
Republic of Uruguay | |||||
Bond | 8.500 | 03-15-28 | UYU | 5,270,000 | 135,539 |
Bond | 9.750 | 07-20-33 | UYU | 4,165,500 | 113,939 |
Corporate bonds 11.6% | $14,444,994 | ||||
(Cost $15,089,157) | |||||
Australia 0.1% | 158,737 | ||||
FMG Resources Proprietary, Ltd. (D) | 4.375 | 04-01-31 | 95,000 | 79,604 | |
FMG Resources Proprietary, Ltd. (D) | 5.875 | 04-15-30 | 12,000 | 11,135 | |
Macquarie Group, Ltd. (5.887% to 6-15-33, then SOFR + 2.380%) (D) | 5.887 | 06-15-34 | 70,000 | 67,998 |
16 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Austria 0.2% | $223,133 | ||||
Klabin Austria GmbH (D) | 7.000 | 04-03-49 | 230,000 | 223,133 | |
Bermuda 0.0% | 5,438 | ||||
Carnival Holdings Bermuda, Ltd. (D) | 10.375 | 05-01-28 | 5,000 | 5,438 | |
Canada 0.4% | 497,476 | ||||
Bausch Health Companies, Inc. (D) | 4.875 | 06-01-28 | 22,000 | 13,055 | |
Emera, Inc. (6.750% to 6-15-26, then 3 month LIBOR + 5.440%) | 6.750 | 06-15-76 | 94,000 | 90,240 | |
Enbridge, Inc. (5.750% to 4-15-30, then 5 Year CMT + 5.314%) | 5.750 | 07-15-80 | 63,000 | 57,359 | |
Enerflex, Ltd. (D) | 9.000 | 10-15-27 | 5,000 | 4,974 | |
goeasy, Ltd. (D) | 4.375 | 05-01-26 | 99,000 | 90,891 | |
NOVA Chemicals Corp. (D) | 4.250 | 05-15-29 | 65,000 | 52,796 | |
Ontario Gaming GTA LP (D) | 8.000 | 08-01-30 | 60,000 | 60,647 | |
The Bank of Nova Scotia (4.900% to 6-4-25, then 5 Year CMT + 4.551%) (F) | 4.900 | 06-04-25 | 75,000 | 69,181 | |
Transcanada Trust (5.600% to 12-7-31, then 5 Year CMT + 3.986%) | 5.600 | 03-07-82 | 70,000 | 58,333 | |
Chile 0.1% | 122,621 | ||||
VTR Comunicaciones SpA | 4.375 | 04-15-29 | 200,000 | 122,621 | |
China 0.0% | 28,998 | ||||
CIFI Holdings Group Company, Ltd. (G) | 4.375 | 04-12-27 | 200,000 | 13,500 | |
Country Garden Holdings Company, Ltd. | 3.875 | 10-22-30 | 210,000 | 15,498 | |
Colombia 0.0% | 32,595 | ||||
Ecopetrol SA | 6.875 | 04-29-30 | 35,000 | 32,595 | |
France 1.0% | 1,281,296 | ||||
Elior Group SA | 3.750 | 07-15-26 | EUR | 100,000 | 85,787 |
Societe Generale SA (6.221% to 6-15-32, then 1 Year CMT + 3.200%) (D) | 6.221 | 06-15-33 | 400,000 | 375,797 | |
Societe Generale SA (D) | 7.367 | 01-10-53 | 200,000 | 194,087 | |
TotalEnergies SE (2.125% to 1-25-33, then 5 Year Euro Swap Rate + 2.513% to 1-25-53, then 5 Year Euro Swap Rate + 3.263%) (F) | 2.125 | 07-25-32 | EUR | 340,000 | 268,675 |
Valeo SE | 1.000 | 08-03-28 | EUR | 400,000 | 356,950 |
Germany 0.2% | 295,489 | ||||
Allianz SE (2.600% to 10-30-31, then 5 Year Euro Swap Rate + 2.579%) (F) | 2.600 | 10-30-31 | EUR | 200,000 | 145,303 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 17 |
Rate (%) | Maturity date | Par value^ | Value | ||
Germany (continued) | |||||
Deutsche Bank AG (3.742% to 10-7-31, then SOFR + 2.257%) | 3.742 | 01-07-33 | 200,000 | 150,186 | |
Israel 0.1% | $68,628 | ||||
Energean Israel Finance, Ltd. (D) | 8.500 | 09-30-33 | 35,425 | 35,868 | |
Leviathan Bond, Ltd. (D) | 6.750 | 06-30-30 | 35,000 | 32,760 | |
Italy 0.6% | 746,148 | ||||
Assicurazioni Generali SpA | 2.429 | 07-14-31 | EUR | 510,000 | 455,558 |
Castor SpA | 6.000 | 02-15-29 | EUR | 100,000 | 93,215 |
Intesa Sanpaolo SpA (D) | 6.625 | 06-20-33 | 200,000 | 197,375 | |
Japan 0.1% | 102,363 | ||||
Rakuten Group, Inc. (4.250% to 4-22-27, then 5 Year Euro Swap Rate + 4.740%) (F) | 4.250 | 04-22-27 | EUR | 200,000 | 102,363 |
Luxembourg 0.0% | 54,027 | ||||
Trinseo Materials Operating SCA (D) | 5.125 | 04-01-29 | 100,000 | 54,027 | |
Malta 0.1% | 91,126 | ||||
VistaJet Malta Finance PLC (D) | 6.375 | 02-01-30 | 92,000 | 75,438 | |
VistaJet Malta Finance PLC (D) | 9.500 | 06-01-28 | 17,000 | 15,688 | |
Netherlands 0.5% | 648,910 | ||||
Braskem Netherlands Finance BV | 7.250 | 02-13-33 | 200,000 | 189,466 | |
Petrobras Global Finance BV | 6.500 | 07-03-33 | 135,000 | 131,750 | |
Teva Pharmaceutical Finance Netherlands II BV | 4.375 | 05-09-30 | EUR | 350,000 | 327,694 |
Norway 0.2% | 210,976 | ||||
Var Energi ASA (D) | 8.000 | 11-15-32 | 200,000 | 210,976 | |
Romania 0.1% | 112,339 | ||||
Banca Transilvania SA (8.875% to 4-27-26, then 1 Year EURIBOR ICE Swap Rate + 5.580%) | 8.875 | 04-27-27 | EUR | 100,000 | 112,339 |
United Kingdom 0.5% | 594,460 | ||||
Anglo American Capital PLC (D) | 5.625 | 04-01-30 | 400,000 | 394,730 | |
Barclays PLC (7.119% to 6-27-33, then SOFR + 3.570%) | 7.119 | 06-27-34 | 200,000 | 199,730 | |
United States 7.4% | 9,170,234 | ||||
Acrisure LLC (D) | 7.000 | 11-15-25 | 97,000 | 93,740 | |
Advanced Drainage Systems, Inc. (D) | 6.375 | 06-15-30 | 13,000 | 12,806 | |
Aircastle, Ltd. (5.250% to 9-15-26, then 5 Year CMT + 4.410% to 9-15-31, then 5 Year CMT + 4.660% to 9-15-46, then 5 Year CMT + 5.160%) (D)(F) | 5.250 | 06-15-26 | 98,000 | 75,950 |
18 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
United States (continued) | |||||
Alliant Holdings Intermediate LLC (D) | 6.750 | 10-15-27 | 125,000 | 118,153 | |
Ally Financial, Inc. (4.700% to 5-15-28, then 7 Year CMT + 3.481%) (F) | 4.700 | 05-15-28 | 54,000 | 34,760 | |
Altria Group, Inc. | 3.125 | 06-15-31 | EUR | 170,000 | 158,785 |
AmeriGas Partners LP | 5.750 | 05-20-27 | 85,000 | 78,600 | |
AmWINS Group, Inc. (D) | 4.875 | 06-30-29 | 27,000 | 24,226 | |
Antero Resources Corp. (D) | 5.375 | 03-01-30 | 59,000 | 55,163 | |
APX Group, Inc. (D) | 5.750 | 07-15-29 | 12,000 | 10,338 | |
Aramark Services, Inc. (D) | 6.375 | 05-01-25 | 16,000 | 16,027 | |
Ares Finance Company III LLC (4.125% to 6-30-26, then 5 Year CMT + 3.237%) (D) | 4.125 | 06-30-51 | 40,000 | 30,295 | |
AssuredPartners, Inc. (D) | 5.625 | 01-15-29 | 161,000 | 139,865 | |
ATI, Inc. | 4.875 | 10-01-29 | 3,000 | 2,708 | |
AutoZone, Inc. | 4.750 | 08-01-32 | 50,000 | 47,826 | |
BAT Capital Corp. | 7.081 | 08-02-53 | 135,000 | 132,909 | |
BCPE Ulysses Intermediate, Inc. (7.750% Cash or 8.500% PIK) (D) | 7.750 | 04-01-27 | 66,000 | 60,412 | |
Black Knight InfoServ LLC (D) | 3.625 | 09-01-28 | 210,000 | 193,200 | |
Broadcom, Inc. | 4.300 | 11-15-32 | 18,000 | 16,272 | |
Buckeye Partners LP (3 month LIBOR + 4.020%) (H) | 9.627 | 01-22-78 | 97,000 | 80,197 | |
Builders FirstSource, Inc. (D) | 4.250 | 02-01-32 | 20,000 | 17,003 | |
Caesars Entertainment, Inc. (D) | 7.000 | 02-15-30 | 45,000 | 45,172 | |
Caesars Entertainment, Inc. (D) | 8.125 | 07-01-27 | 18,000 | 18,276 | |
Capital One Financial Corp. (2.359% to 7-29-31, then SOFR + 1.337%) | 2.359 | 07-29-32 | 85,000 | 60,635 | |
Capital One Financial Corp. (6.377% to 6-8-33, then SOFR + 2.860%) | 6.377 | 06-08-34 | 61,000 | 60,254 | |
Carnival Corp. (D) | 6.000 | 05-01-29 | 139,000 | 125,500 | |
Carnival Corp. (D) | 7.625 | 03-01-26 | 3,000 | 2,991 | |
CCO Holdings LLC (D) | 4.500 | 06-01-33 | 14,000 | 11,051 | |
CCO Holdings LLC (D) | 5.375 | 06-01-29 | 117,000 | 106,487 | |
CenterPoint Energy, Inc. (6.125% to 9-1-23, then 3 month LIBOR + 3.270%) (F) | 6.125 | 09-01-23 | 48,000 | 48,000 | |
Citigroup, Inc. (4.000% to 12-10-25, then 5 Year CMT + 3.597%) (F) | 4.000 | 12-10-25 | 69,000 | 61,758 | |
Citigroup, Inc. (7.375% to 5-15-28, then 5 Year CMT + 3.209%) (F) | 7.375 | 05-15-28 | 44,000 | 44,275 | |
Citizens Financial Group, Inc. (5.650% to 10-6-25, then 5 Year CMT + 5.313%) (F) | 5.650 | 10-06-25 | 80,000 | 73,881 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 19 |
Rate (%) | Maturity date | Par value^ | Value | ||
United States (continued) | |||||
Clear Channel Outdoor Holdings, Inc. (D) | 9.000 | 09-15-28 | 150,000 | 150,750 | |
Clydesdale Acquisition Holdings, Inc. (D) | 6.625 | 04-15-29 | 10,000 | 9,516 | |
Clydesdale Acquisition Holdings, Inc. (D) | 8.750 | 04-15-30 | 167,000 | 151,024 | |
CMS Energy Corp. (4.750% to 3-1-30, then 5 Year CMT + 4.116%) | 4.750 | 06-01-50 | 54,000 | 47,165 | |
CoBank ACB (6.250% to 10-1-26, then 3 month LIBOR + 4.660%) (F) | 6.250 | 10-01-26 | 29,000 | 27,815 | |
Coherent Corp. (D) | 5.000 | 12-15-29 | 9,000 | 7,994 | |
Columbia Pipelines Operating Company LLC (D) | 6.714 | 08-15-63 | 50,000 | 51,110 | |
Community Health Systems, Inc. (D) | 4.750 | 02-15-31 | 70,000 | 52,150 | |
Compass Group Diversified Holdings LLC (D) | 5.250 | 04-15-29 | 121,000 | 111,121 | |
Corebridge Financial, Inc. (6.875% to 9-15-27, then 5 Year CMT + 3.846%) | 6.875 | 12-15-52 | 49,000 | 47,641 | |
Crestwood Midstream Partners LP (D) | 6.000 | 02-01-29 | 2,000 | 1,963 | |
Crestwood Midstream Partners LP (D) | 7.375 | 02-01-31 | 8,000 | 8,241 | |
CSC Holdings LLC (D) | 4.125 | 12-01-30 | 200,000 | 142,615 | |
CSC Holdings LLC (D) | 4.500 | 11-15-31 | 200,000 | 142,213 | |
CSC Holdings LLC | 5.250 | 06-01-24 | 3,000 | 2,846 | |
Cushman & Wakefield US Borrower LLC (D) | 8.875 | 09-01-31 | 15,000 | 15,123 | |
Discover Financial Services (6.125% to 6-23-25, then 5 Year CMT + 5.783%) (F) | 6.125 | 06-23-25 | 49,000 | 47,084 | |
Discovery Communications LLC | 4.000 | 09-15-55 | 35,000 | 22,826 | |
DISH DBS Corp. | 5.125 | 06-01-29 | 12,000 | 6,488 | |
DISH DBS Corp. (D) | 5.750 | 12-01-28 | 22,000 | 17,078 | |
Dominion Energy, Inc. (4.350% to 1-15-27, then 5 Year CMT + 3.195%) (F) | 4.350 | 01-15-27 | 51,000 | 43,082 | |
Dominion Energy, Inc. (4.650% to 12-15-24, then 5 Year CMT + 2.993%) (F) | 4.650 | 12-15-24 | 31,000 | 28,210 | |
Duke Energy Corp. (4.875% to 9-16-24, then 5 Year CMT + 3.388%) (F) | 4.875 | 09-16-24 | 22,000 | 21,444 | |
Earthstone Energy Holdings LLC (D) | 8.000 | 04-15-27 | 7,000 | 7,145 | |
Edison International (5.375% to 3-15-26, then 5 Year CMT + 4.698%) (F) | 5.375 | 03-15-26 | 106,000 | 93,649 |
20 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
United States (continued) | |||||
Embarq Corp. | 7.995 | 06-01-36 | 3,000 | 1,827 | |
Enact Holdings, Inc. (D) | 6.500 | 08-15-25 | 64,000 | 63,422 | |
EnLink Midstream LLC (D) | 5.625 | 01-15-28 | 51,000 | 49,336 | |
EnLink Midstream LLC (D) | 6.500 | 09-01-30 | 5,000 | 5,013 | |
EnLink Midstream Partners LP | 5.450 | 06-01-47 | 83,000 | 68,890 | |
Enterprise Products Operating LLC (5.250% to 8-16-27, then 3 month CME Term SOFR + 3.295%) | 5.250 | 08-16-77 | 12,000 | 10,558 | |
Enterprise Products Operating LLC (3 month CME Term SOFR + 3.248%) (H) | 8.619 | 08-16-77 | 66,000 | 64,781 | |
Fifth Third Bancorp (4.500% to 9-30-25, then 5 Year CMT + 4.215%) (F) | 4.500 | 09-30-25 | 67,000 | 60,958 | |
First Student Bidco, Inc. (D) | 4.000 | 07-31-29 | 95,000 | 80,751 | |
FirstCash, Inc. (D) | 4.625 | 09-01-28 | 71,000 | 63,148 | |
FirstCash, Inc. (D) | 5.625 | 01-01-30 | 104,000 | 94,414 | |
Flex, Ltd. | 4.875 | 05-12-30 | 10,000 | 9,581 | |
Freedom Mortgage Corp. (D) | 7.625 | 05-01-26 | 62,000 | 57,026 | |
Frontier Communications Holdings LLC (D) | 5.000 | 05-01-28 | 2,000 | 1,714 | |
Frontier Communications Holdings LLC (D) | 5.875 | 10-15-27 | 7,000 | 6,376 | |
Frontier Communications Holdings LLC (D) | 6.750 | 05-01-29 | 133,000 | 103,217 | |
Gen Digital, Inc. (D) | 6.750 | 09-30-27 | 4,000 | 4,010 | |
Gen Digital, Inc. (D) | 7.125 | 09-30-30 | 4,000 | 4,027 | |
General Motors Financial Company, Inc. (5.700% to 9-30-30, then 5 Year CMT + 4.997%) (F) | 5.700 | 09-30-30 | 66,000 | 56,547 | |
Global Atlantic Fin Company (D) | 7.950 | 06-15-33 | 72,000 | 70,653 | |
Great Lakes Dredge & Dock Corp. (D) | 5.250 | 06-01-29 | 170,000 | 145,593 | |
Hanesbrands, Inc. (D) | 9.000 | 02-15-31 | 50,000 | 50,195 | |
Hawaiian Brand Intellectual Property, Ltd. (D) | 5.750 | 01-20-26 | 52,000 | 48,119 | |
Hightower Holding LLC (D) | 6.750 | 04-15-29 | 132,000 | 114,894 | |
HUB International, Ltd. (D) | 5.625 | 12-01-29 | 96,000 | 84,894 | |
HUB International, Ltd. (D) | 7.250 | 06-15-30 | 4,000 | 4,072 | |
Huntington Bancshares, Inc. (4.450% to 10-15-27, then 7 Year CMT + 4.045%) (F) | 4.450 | 10-15-27 | 29,000 | 24,594 | |
Huntington Bancshares, Inc. (3 month CME Term SOFR + 3.142%) (F)(H) | 8.450 | 10-15-23 | 25,000 | 22,673 | |
Iron Mountain, Inc. (D) | 5.250 | 07-15-30 | 2,000 | 1,805 | |
Iron Mountain, Inc. (D) | 7.000 | 02-15-29 | 115,000 | 114,685 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 21 |
Rate (%) | Maturity date | Par value^ | Value | ||
United States (continued) | |||||
KB Home | 6.875 | 06-15-27 | 5,000 | 5,049 | |
KeySpan Gas East Corp. (D) | 5.994 | 03-06-33 | 65,000 | 64,525 | |
Ladder Capital Finance Holdings LLLP (D) | 4.250 | 02-01-27 | 32,000 | 28,939 | |
Ladder Capital Finance Holdings LLLP (D) | 4.750 | 06-15-29 | 5,000 | 4,204 | |
LBM Acquisition LLC (D) | 6.250 | 01-15-29 | 67,000 | 58,463 | |
Lennar Corp. | 4.750 | 11-29-27 | 18,000 | 17,453 | |
LFS Topco LLC (D) | 5.875 | 10-15-26 | 64,000 | 55,361 | |
Liberty Mutual Group, Inc. (4.125% to 9-15-26, then 5 Year CMT + 3.315%) (D) | 4.125 | 12-15-51 | 89,000 | 71,868 | |
Liberty Mutual Group, Inc. (D) | 4.300 | 02-01-61 | 25,000 | 15,300 | |
LSF9 Atlantis Holdings LLC (D) | 7.750 | 02-15-26 | 55,000 | 50,119 | |
M&T Bank Corp. (5.125% to 11-1-26, then 3 month LIBOR + 3.520%) (F) | 5.125 | 11-01-26 | 44,000 | 36,418 | |
MajorDrive Holdings IV LLC (D) | 6.375 | 06-01-29 | 70,000 | 57,684 | |
Matador Resources Company (D) | 6.875 | 04-15-28 | 5,000 | 4,992 | |
Mauser Packaging Solutions Holding Company (D) | 7.875 | 08-15-26 | 3,000 | 2,954 | |
McAfee Corp. (D) | 7.375 | 02-15-30 | 10,000 | 8,749 | |
Medline Borrower LP (D) | 3.875 | 04-01-29 | 10,000 | 8,730 | |
Medline Borrower LP (D) | 5.250 | 10-01-29 | 139,000 | 123,436 | |
Micron Technology, Inc. | 5.875 | 09-15-33 | 5,000 | 4,903 | |
Mileage Plus Holdings LLC (D) | 6.500 | 06-20-27 | 38,543 | 38,409 | |
MSCI, Inc. (D) | 3.625 | 09-01-30 | 131,000 | 113,285 | |
MSCI, Inc. (D) | 3.875 | 02-15-31 | 20,000 | 17,450 | |
Nabors Industries, Inc. (D) | 7.375 | 05-15-27 | 3,000 | 2,928 | |
National Rural Utilities Cooperative Finance Corp. (3 month CME Term SOFR + 3.172%) (H) | 8.541 | 04-30-43 | 30,000 | 29,407 | |
Nationstar Mortgage Holdings, Inc. (D) | 5.750 | 11-15-31 | 103,000 | 88,894 | |
NCL Corp., Ltd. (D) | 7.750 | 02-15-29 | 154,000 | 146,504 | |
Noble Finance II LLC (D) | 8.000 | 04-15-30 | 5,000 | 5,170 | |
Novelis Corp. (D) | 4.750 | 01-30-30 | 97,000 | 86,809 | |
NRG Energy, Inc. (D) | 7.000 | 03-15-33 | 70,000 | 69,593 | |
Occidental Petroleum Corp. | 4.500 | 07-15-44 | 35,000 | 25,367 | |
Occidental Petroleum Corp. | 6.450 | 09-15-36 | 10,000 | 10,227 | |
OneMain Finance Corp. | 9.000 | 01-15-29 | 140,000 | 141,925 | |
Open Text Holdings, Inc. (D) | 4.125 | 12-01-31 | 98,000 | 81,348 | |
Oracle Corp. | 6.500 | 04-15-38 | 5,000 | 5,274 | |
Outfront Media Capital LLC (D) | 4.625 | 03-15-30 | 130,000 | 105,693 | |
Owens & Minor, Inc. (D) | 4.500 | 03-31-29 | 70,000 | 59,325 | |
Owens & Minor, Inc. (D) | 6.625 | 04-01-30 | 10,000 | 9,097 |
22 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
United States (continued) | |||||
Pacific Gas & Electric Company | 6.700 | 04-01-53 | 49,000 | 47,640 | |
Pacific Gas & Electric Company | 6.750 | 01-15-53 | 80,000 | 77,756 | |
Paramount Global (6.250% to 2-28-27, then 3 month LIBOR + 3.899%) | 6.250 | 02-28-57 | 65,000 | 50,893 | |
PennyMac Financial Services, Inc. (D) | 5.750 | 09-15-31 | 63,000 | 52,951 | |
Performance Food Group, Inc. (D) | 4.250 | 08-01-29 | 144,000 | 126,728 | |
Post Holdings, Inc. (D) | 4.625 | 04-15-30 | 19,000 | 16,834 | |
Post Holdings, Inc. (D) | 5.500 | 12-15-29 | 116,000 | 107,306 | |
PPL Capital Funding, Inc. (3 month LIBOR + 2.665%) (H) | 8.203 | 03-30-67 | 28,000 | 25,360 | |
Presidio Holdings, Inc. (D) | 8.250 | 02-01-28 | 58,000 | 56,189 | |
Range Resources Corp. (D) | 4.750 | 02-15-30 | 13,000 | 11,739 | |
Range Resources Corp. | 8.250 | 01-15-29 | 40,000 | 41,526 | |
Reinsurance Group of America, Inc. (3 month LIBOR + 2.665%) (H) | 8.217 | 12-15-65 | 25,000 | 22,499 | |
RHP Hotel Properties LP (D) | 7.250 | 07-15-28 | 23,000 | 23,115 | |
Royal Caribbean Cruises, Ltd. (D) | 5.500 | 08-31-26 | 15,000 | 14,373 | |
Sasol Financing USA LLC (D) | 8.750 | 05-03-29 | 200,000 | 195,250 | |
Sempra (4.125% to 1-1-27, then 5 Year CMT + 2.868%) | 4.125 | 04-01-52 | 125,000 | 101,074 | |
Sempra (4.875% to 10-15-25, then 5 Year CMT + 4.550%) (F) | 4.875 | 10-15-25 | 50,000 | 47,290 | |
Signal Parent, Inc. (D) | 6.125 | 04-01-29 | 14,000 | 9,100 | |
Spirit AeroSystems, Inc. (D) | 9.375 | 11-30-29 | 3,000 | 3,126 | |
SRS Distribution, Inc. (D) | 6.125 | 07-01-29 | 10,000 | 8,695 | |
STL Holding Company LLC (D) | 7.500 | 02-15-26 | 68,000 | 63,264 | |
Synchrony Financial | 7.250 | 02-02-33 | 130,000 | 119,530 | |
Sysco Corp. | 6.600 | 04-01-40 | 13,000 | 13,717 | |
Terex Corp. (D) | 5.000 | 05-15-29 | 83,000 | 76,206 | |
The Charles Schwab Corp. (4.000% to 6-1-26, then 5 Year CMT + 3.168%) (F) | 4.000 | 06-01-26 | 28,000 | 24,228 | |
The Charles Schwab Corp. (5.375% to 6-1-25, then 5 Year CMT + 4.971%) (F) | 5.375 | 06-01-25 | 25,000 | 24,125 | |
The Dun & Bradstreet Corp. (D) | 5.000 | 12-15-29 | 20,000 | 17,950 | |
The Gap, Inc. (D) | 3.625 | 10-01-29 | 76,000 | 57,858 | |
The Gap, Inc. (D) | 3.875 | 10-01-31 | 144,000 | 104,350 | |
The Goldman Sachs Group, Inc. (7.500% to 2-10-29, then 5 Year CMT + 3.156%) (F) | 7.500 | 02-10-29 | 24,000 | 24,120 | |
The Hertz Corp. (D) | 5.000 | 12-01-29 | 5,000 | 4,111 | |
The Michaels Companies, Inc. (D) | 5.250 | 05-01-28 | 4,000 | 3,335 | |
The Michaels Companies, Inc. (D) | 7.875 | 05-01-29 | 102,000 | 70,706 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 23 |
Rate (%) | Maturity date | Par value^ | Value | ||
United States (continued) | |||||
The Southern Company (4.000% to 10-15-25, then 5 Year CMT + 3.733%) | 4.000 | 01-15-51 | 46,000 | 42,657 | |
The William Carter Company (D) | 5.625 | 03-15-27 | 164,000 | 158,988 | |
TransDigm, Inc. (D) | 6.250 | 03-15-26 | 16,000 | 15,848 | |
Transocean, Inc. (D) | 8.750 | 02-15-30 | 4,750 | 4,859 | |
TriNet Group, Inc. (D) | 7.125 | 08-15-31 | 3,000 | 3,017 | |
U.S. Steel Corp. | 6.875 | 03-01-29 | 7,000 | 6,973 | |
Uber Technologies, Inc. (D) | 4.500 | 08-15-29 | 121,000 | 110,789 | |
United Wholesale Mortgage LLC (D) | 5.500 | 04-15-29 | 5,000 | 4,338 | |
Venture Global Calcasieu Pass LLC (D) | 3.875 | 08-15-29 | 60,000 | 51,901 | |
Viking Cruises, Ltd. (D) | 5.875 | 09-15-27 | 3,000 | 2,805 | |
Viking Cruises, Ltd. (D) | 7.000 | 02-15-29 | 60,000 | 56,892 | |
Viking Cruises, Ltd. (D) | 9.125 | 07-15-31 | 60,000 | 61,988 | |
Viper Energy Partners LP (D) | 5.375 | 11-01-27 | 290,000 | 279,432 | |
Vistra Corp. (8.000% to 10-15-26, then 5 Year CMT + 6.930%) (D)(F) | 8.000 | 10-15-26 | 12,000 | 11,468 | |
WarnerMedia Holdings, Inc. | 3.755 | 03-15-27 | 6,000 | 5,628 | |
Weatherford International, Ltd. (D) | 8.625 | 04-30-30 | 5,000 | 5,121 | |
Wells Fargo & Company (3.900% to 3-15-26, then 5 Year CMT + 3.453%) (F) | 3.900 | 03-15-26 | 51,000 | 45,212 | |
Western Midstream Operating LP | 4.050 | 02-01-30 | 124,000 | 110,609 | |
Windsor Holdings III LLC (D) | 8.500 | 06-15-30 | 88,000 | 88,384 | |
Wynn Resorts Finance LLC (D) | 7.125 | 02-15-31 | 3,000 | 2,948 | |
Convertible bonds 3.6% | $4,509,958 | ||||
(Cost $4,846,069) | |||||
Canada 0.1% | 77,223 | ||||
Shopify, Inc. | 0.125 | 11-01-25 | 85,000 | 77,223 | |
China 0.1% | 138,105 | ||||
NIO, Inc. | 0.500 | 02-01-27 | 162,000 | 138,105 | |
Denmark 0.2% | 241,150 | ||||
Ascendis Pharma A/S | 2.250 | 04-01-28 | 260,000 | 241,150 | |
Israel 0.0% | 2,910 | ||||
SolarEdge Technologies, Inc. (C) | 1.481 | 09-15-25 | 3,000 | 2,910 | |
Luxembourg 0.0% | 11,900 | ||||
Arrival SA (D) | 3.500 | 12-01-26 | 170,000 | 11,900 | |
Singapore 0.2% | 322,547 | ||||
Sea, Ltd. | 0.250 | 09-15-26 | 407,000 | 322,547 |
24 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
United States 3.0% | $3,716,123 | ||||
3D Systems Corp. (C) | 9.713 | 11-15-26 | 21,000 | 15,530 | |
Affirm Holdings, Inc. (C) | 8.822 | 11-15-26 | 75,000 | 56,955 | |
Airbnb, Inc. (C) | 5.252 | 03-15-26 | 110,000 | 96,415 | |
Alarm.com Holdings, Inc. (C) | 6.610 | 01-15-26 | 110,000 | 94,270 | |
Axon Enterprise, Inc. (D) | 0.500 | 12-15-27 | 23,000 | 25,599 | |
Bandwidth, Inc. | 0.250 | 03-01-26 | 39,000 | 31,220 | |
Bentley Systems, Inc. | 0.125 | 01-15-26 | 95,000 | 92,445 | |
Beyond Meat, Inc. (C) | 44.027 | 03-15-27 | 125,000 | 33,750 | |
BILL Holdings, Inc. (C) | 5.877 | 04-01-27 | 76,000 | 61,750 | |
Block, Inc. | 0.125 | 03-01-25 | 55,000 | 50,793 | |
Block, Inc. | 0.250 | 11-01-27 | 142,000 | 108,455 | |
Cable One, Inc. | 1.125 | 03-15-28 | 35,000 | 26,303 | |
Cardlytics, Inc. | 1.000 | 09-15-25 | 55,000 | 32,725 | |
Carnival Corp. (D) | 5.750 | 12-01-27 | 2,000 | 2,943 | |
Ceridian HCM Holding, Inc. | 0.250 | 03-15-26 | 111,000 | 98,446 | |
Cracker Barrel Old Country Store, Inc. | 0.625 | 06-15-26 | 85,000 | 71,719 | |
Cytokinetics, Inc. | 3.500 | 07-01-27 | 50,000 | 47,065 | |
DigitalOcean Holdings, Inc. (C) | 8.217 | 12-01-26 | 90,000 | 69,354 | |
DISH Network Corp. | 3.375 | 08-15-26 | 38,000 | 22,990 | |
DraftKings Holdings, Inc. (C) | 6.246 | 03-15-28 | 27,000 | 20,426 | |
Dropbox, Inc. (C) | 0.840 | 03-01-28 | 100,000 | 96,250 | |
Etsy, Inc. | 0.125 | 10-01-26 | 2,000 | 2,170 | |
Etsy, Inc. | 0.250 | 06-15-28 | 130,000 | 99,255 | |
Euronet Worldwide, Inc. | 0.750 | 03-15-49 | 28,000 | 25,760 | |
Exact Sciences Corp. | 0.375 | 03-15-27 | 81,000 | 80,798 | |
Fluor Corp. (D) | 1.125 | 08-15-29 | 26,000 | 26,208 | |
Health Catalyst, Inc. | 2.500 | 04-15-25 | 5,000 | 4,794 | |
JetBlue Airways Corp. | 0.500 | 04-01-26 | 190,000 | 149,264 | |
John Bean Technologies Corp. | 0.250 | 05-15-26 | 88,000 | 80,740 | |
Lumentum Holdings, Inc. | 0.500 | 06-15-28 | 75,000 | 57,285 | |
MP Materials Corp. (D) | 0.250 | 04-01-26 | 230,000 | 200,537 | |
Nabors Industries, Inc. | 0.750 | 01-15-24 | 16,000 | 15,456 | |
Nabors Industries, Inc. (D) | 1.750 | 06-15-29 | 5,000 | 4,085 | |
NCL Corp., Ltd. | 2.500 | 02-15-27 | 104,000 | 90,272 | |
Nutanix, Inc. | 0.250 | 10-01-27 | 35,000 | 30,297 | |
Okta, Inc. | 0.125 | 09-01-25 | 85,000 | 77,520 | |
ON Semiconductor Corp. (D) | 0.500 | 03-01-29 | 15,000 | 17,130 | |
PAR Technology Corp. | 1.500 | 10-15-27 | 15,000 | 12,900 | |
Patrick Industries, Inc. | 1.750 | 12-01-28 | 37,000 | 36,945 | |
Pebblebrook Hotel Trust | 1.750 | 12-15-26 | 55,000 | 46,717 | |
Pegasystems, Inc. | 0.750 | 03-01-25 | 37,000 | 33,929 | |
Pioneer Natural Resources Company | 0.250 | 05-15-25 | 3,000 | 7,577 | |
Rapid7, Inc. | 0.250 | 03-15-27 | 100,000 | 88,063 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 25 |
Rate (%) | Maturity date | Par value^ | Value | ||
United States (continued) | |||||
Redfin Corp. | 0.500 | 04-01-27 | 95,000 | 60,325 | |
Repay Holdings Corp. (C)(D) | 7.975 | 02-01-26 | 415,000 | 343,662 | |
Shake Shack, Inc. (C) | 5.890 | 03-01-28 | 15,000 | 11,550 | |
Shift4 Payments, Inc. | 0.500 | 08-01-27 | 70,000 | 57,960 | |
Snap, Inc. | 0.125 | 03-01-28 | 485,000 | 341,967 | |
Southwest Airlines Company | 1.250 | 05-01-25 | 17,000 | 17,833 | |
Splunk, Inc. | 1.125 | 06-15-27 | 133,000 | 116,708 | |
Spotify USA, Inc. (C) | 6.369 | 03-15-26 | 105,000 | 89,565 | |
Stem, Inc. (D) | 0.500 | 12-01-28 | 85,000 | 50,405 | |
Teladoc Health, Inc. | 1.250 | 06-01-27 | 74,000 | 59,385 | |
The Greenbrier Companies, Inc. | 2.875 | 04-15-28 | 90,000 | 87,921 | |
The Middleby Corp. | 1.000 | 09-01-25 | 2,000 | 2,444 | |
Uber Technologies, Inc. (C) | 2.883 | 12-15-25 | 112,000 | 104,837 | |
Welltower OP LLC (D) | 2.750 | 05-15-28 | 2,000 | 2,057 | |
Western Digital Corp. | 1.500 | 02-01-24 | 27,000 | 26,399 | |
Term loans (I) 4.1% | $5,124,733 | ||||
(Cost $5,187,715) | |||||
Cayman Islands 0.0% | 0 | ||||
Paragon Offshore Finance Company, Term Loan B (G)(J) | 0.000 | 07-18-22 | 9,802 | 0 | |
Luxembourg 0.2% | 225,313 | ||||
Belron Luxembourg Sarl, 2023 Term Loan (3 month SOFR + 2.750%) | 8.160 | 04-18-29 | 100,000 | 100,000 | |
Delta 2 Lux Sarl, Term Loan B (1 month SOFR + 3.000%) | 8.331 | 01-15-30 | 125,000 | 125,313 | |
United States 3.9% | 4,899,420 | ||||
Aretec Group, Inc., 2023 Incremental Term Loan | 9.916 | 08-09-30 | 100,000 | 99,719 | |
Asurion LLC, 2020 Term Loan B8 (3 month LIBOR + 3.250%) | 8.788 | 12-23-26 | 96,571 | 93,794 | |
Asurion LLC, 2021 2nd Lien Term Loan B3 (1 month SOFR + 5.250%) | 10.695 | 01-31-28 | 230,000 | 205,346 | |
athenahealth, Inc., 2022 Term Loan B (1 month SOFR + 3.500%) | 8.820 | 02-15-29 | 88,835 | 87,687 | |
Barnes Group, Inc., Term Loan B (K) | TBD | 08-09-30 | 100,000 | 100,083 | |
Berlin Packaging LLC, 2021 Term Loan B5 (1 and 3 month SOFR + 3.750%) | 9.188 | 03-11-28 | 147,375 | 145,810 | |
Caesars Entertainment, Inc., Term Loan B (1 month SOFR + 3.250%) | 8.681 | 02-06-30 | 104,738 | 104,725 | |
Carnival Corp., 2021 Incremental Term Loan B (1 month SOFR + 3.250%) | 8.696 | 10-18-28 | 123,125 | 122,779 |
26 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
United States (continued) | |||||
Cinemark USA, Inc., 2023 Term Loan B (1 and 3 month SOFR + 3.750%) | 9.054 | 05-24-30 | 124,688 | $124,272 | |
Coherent Corp., 2022 Term Loan B (1 month SOFR + 2.750%) | 8.196 | 07-02-29 | 96,248 | 95,912 | |
Core & Main LP, 2021 Term Loan B (1 and 3 month SOFR + 2.500%) | 7.846 | 07-27-28 | 145,000 | 144,518 | |
Crocs, Inc., 2023 Term Loan B (1 month SOFR + 3.100%) | 8.431 | 02-20-29 | 114,000 | 114,272 | |
Dcert Buyer, Inc., 2019 Term Loan B (1 month SOFR + 4.000%) | 9.331 | 10-16-26 | 198,424 | 197,553 | |
Elanco Animal Health, Inc., Term Loan B (1 month SOFR + 1.750%) | 7.168 | 08-01-27 | 111,316 | 110,169 | |
Emerald Debt Merger Sub LLC, Term Loan B (3 month SOFR + 3.000%) | 8.331 | 05-31-30 | 183,486 | 183,602 | |
Filtration Group Corp., 2023 USD Term Loan (1 month SOFR + 4.250%) | 9.696 | 10-21-28 | 109,725 | 109,976 | |
First Brands Group LLC, 2022 Incremental Term Loan (6 month SOFR + 5.000%) | 10.881 | 03-30-27 | 100,000 | 98,500 | |
Great Outdoors Group LLC, 2021 Term Loan B1 (1 month SOFR + 3.750%) | 9.196 | 03-06-28 | 112,140 | 111,685 | |
Hanesbrands, Inc., 2023 Term Loan B (1 month SOFR + 3.750%) | 9.081 | 03-08-30 | 114,713 | 114,569 | |
Hightower Holding LLC, 2021 Term Loan B (3 month SOFR + 4.000%) | 9.351 | 04-21-28 | 147,375 | 145,287 | |
HUB International, Ltd., 2023 Term Loan B (3 month SOFR + 4.250%) | 9.584 | 06-20-30 | 148,423 | 148,825 | |
Hyland Software, Inc., 2018 1st Lien Term Loan (1 month SOFR + 3.500%) | 8.946 | 07-01-24 | 97,194 | 97,080 | |
IRB Holding Corp., 2022 Term Loan B (1 month SOFR + 3.000%) | 8.431 | 12-15-27 | 423,605 | 421,000 | |
Medline Borrower LP, USD Term Loan B (1 month SOFR + 3.250%) | 8.696 | 10-23-28 | 187,625 | 187,409 | |
NEP Group, Inc., 2018 1st Lien Term Loan (1 month SOFR + 3.250%) | 8.696 | 10-20-25 | 50,987 | 47,464 | |
Polaris Newco LLC, USD Term Loan B (3 month LIBOR + 4.000%) | 9.538 | 06-02-28 | 98,250 | 95,242 | |
Quartz Acquireco LLC, Term Loan B (1 month SOFR + 3.500%) | 8.820 | 06-28-30 | 100,000 | 99,875 | |
Quikrete Holdings, Inc., 2016 1st Lien Term Loan (1 month SOFR + 2.625%) | 8.071 | 02-01-27 | 96,500 | 96,369 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 27 |
Rate (%) | Maturity date | Par value^ | Value | ||
United States (continued) | |||||
Sedgwick Claims Management Services, Inc., 2023 Term Loan B (1 month SOFR + 3.750%) | 9.081 | 02-24-28 | 226,917 | $227,119 | |
SRS Distribution, Inc., 2021 Term Loan B (1 month SOFR + 3.500%) | 8.946 | 06-02-28 | 107,308 | 105,766 | |
SS&C Technologies, Inc., 2018 Term Loan B3 (1 month SOFR + 1.750%) | 7.196 | 04-16-25 | 70,999 | 70,992 | |
SS&C Technologies, Inc., 2018 Term Loan B4 (1 month SOFR + 1.750%) | 7.196 | 04-16-25 | 67,043 | 67,037 | |
Surgery Center Holdings, Inc., 2021 Term Loan (1 month SOFR + 3.750%) | 9.178 | 08-31-26 | 124,310 | 124,457 | |
The Dun & Bradstreet Corp., 2023 Term Loan B (1 month SOFR + 2.750%) | 8.170 | 02-06-26 | 141,533 | 141,622 | |
TransDigm, Inc., 2020 Term Loan E (3 month LIBOR + 2.250%) | 7.788 | 05-30-25 | 167,274 | 167,349 | |
Windsor Holdings III LLC, USD Term Loan B (1 month SOFR + 4.500%) | 9.818 | 08-01-30 | 115,000 | 114,497 | |
WW International, Inc., 2021 Term Loan B (1 month SOFR + 3.500%) | 8.946 | 04-13-28 | 236,605 | 177,059 | |
Collateralized mortgage obligations 3.7% | $4,532,540 | ||||
(Cost $4,652,416) | |||||
Commercial and residential 1.3% | 1,525,556 | ||||
Angel Oak Mortgage Trust | |||||
Series 2020-3, Class M1 (D)(L) | 3.809 | 04-25-65 | 50,000 | 44,800 | |
BANK | |||||
Series 2020-BN25, Class AS | 2.841 | 01-15-63 | 40,000 | 32,437 | |
Series 2021-BN31, Class C (L) | 2.545 | 02-15-54 | 30,000 | 18,885 | |
Series 2022-BNK42, Class AS (L) | 4.879 | 06-15-55 | 40,000 | 36,077 | |
BBCMS Mortgage Trust | |||||
Series 2023-C20, Class AS (L) | 5.973 | 07-15-56 | 10,000 | 9,973 | |
Benchmark Mortgage Trust | |||||
Series 2020-B16, Class AM (L) | 2.944 | 02-15-53 | 40,000 | 32,873 | |
BRAVO Residential Funding Trust | |||||
Series 2020-NQM1, Class M1 (D)(L) | 3.181 | 05-25-60 | 129,000 | 118,481 | |
Series 2021-NQM1, Class M1 (D)(L) | 2.316 | 02-25-49 | 100,000 | 71,792 | |
BX Trust | |||||
Series 2021-ARIA, Class C (1 month CME Term SOFR + 1.760%) (D)(H) | 7.070 | 10-15-36 | 20,000 | 19,222 |
28 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Commercial and residential (continued) | |||||
Series 2021-MFM1, Class D (1 month CME Term SOFR + 1.614%) (D)(H) | 6.924 | 01-15-34 | 9,042 | $8,818 | |
Series 2023-DELC, Class A (1 month CME Term SOFR + 2.690%) (D)(H) | 8.000 | 05-15-38 | 50,000 | 50,016 | |
CAMB Commercial Mortgage Trust | |||||
Series 2019-LIFE, Class E (1 month CME Term SOFR + 2.264%) (D)(H) | 7.575 | 12-15-37 | 134,000 | 132,312 | |
CIM Trust | |||||
Series 2021-R4, Class A1 (D)(L) | 2.000 | 05-01-61 | 63,692 | 54,810 | |
Citigroup Commercial Mortgage Trust | |||||
Series 2023-PRM3, Class A (D)(L) | 6.572 | 07-10-28 | 100,000 | 101,295 | |
Commercial Mortgage Trust (Deutsche Bank AG) | |||||
Series 2013-LC13, Class AM (D)(L) | 4.557 | 08-10-46 | 52,446 | 52,315 | |
Deephaven Residential Mortgage Trust | |||||
Series 2020-2, Class M1 (D)(L) | 4.112 | 05-25-65 | 100,000 | 91,629 | |
New Residential Mortgage Loan Trust | |||||
Series 2015-2A, Class B4 (D)(L) | 5.371 | 08-25-55 | 51,280 | 48,158 | |
NYMT Loan Trust I | |||||
Series 2021-BPL1, Class A1 (2.239% to 5-25-24, then 4.239% thereafter) (D) | 2.239 | 05-25-26 | 89,387 | 88,482 | |
OBX Trust | |||||
Series 2022-NQM5, Class A1 (4.310% to 5-1-26, then 5.310% thereafter) (D) | 4.310 | 05-25-62 | 88,132 | 83,737 | |
OPG Trust | |||||
Series 2021-PORT, Class D (1 month CME Term SOFR + 1.245%) (D)(H) | 6.556 | 10-15-36 | 19,975 | 19,361 | |
UBS Commercial Mortgage Trust | |||||
Series 2019-C16, Class ASB | 3.460 | 04-15-52 | 154,000 | 144,056 | |
Verus Securitization Trust | |||||
Series 2020-5, Class M1 (D)(L) | 2.601 | 05-25-65 | 200,000 | 161,567 | |
Wells Fargo Commercial Mortgage Trust | |||||
Series 2020-C58, Class B | 2.704 | 07-15-53 | 65,000 | 46,256 | |
Wells Fargo Mortgage Backed Securities Trust | |||||
Series 2019-3, Class A1 (D)(L) | 3.500 | 07-25-49 | 6,128 | 5,426 | |
WF-RBS Commercial Mortgage Trust | |||||
Series 2011-C4, Class C (D)(L) | 4.993 | 06-15-44 | 35,353 | 32,878 | |
WSTN Trust | |||||
Series 2023-MAUI, Class B (D)(L) | 7.263 | 07-05-37 | 20,000 | 19,900 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 29 |
Rate (%) | Maturity date | Par value^ | Value | ||
U.S. Government Agency 2.4% | $3,006,984 | ||||
Federal Home Loan Mortgage Corp. | |||||
Series 2020-HQA3, Class B1 (1 month SOFR + 5.864%) (D)(H) | 11.152 | 07-25-50 | 40,068 | 43,470 | |
Series 2021-DNA6, Class M2 (1 month SOFR + 1.500%) (D)(H) | 6.788 | 10-25-41 | 178,000 | 174,309 | |
Series 2021-HQA1, Class M2 (1 month SOFR + 2.250%) (D)(H) | 7.538 | 08-25-33 | 167,833 | 165,945 | |
Series 2021-HQA2, Class M2 (1 month SOFR + 2.050%) (D)(H) | 7.338 | 12-25-33 | 100,000 | 98,071 | |
Series 2021-HQA3, Class M2 (1 month SOFR + 2.100%) (D)(H) | 7.388 | 09-25-41 | 180,000 | 175,804 | |
Series 2021-P011, Class X1 IO | 1.783 | 09-25-45 | 94,603 | 11,330 | |
Series 2022-DNA1, Class B1 (1 month SOFR + 3.400%) (D)(H) | 8.688 | 01-25-42 | 150,000 | 148,970 | |
Series 2022-DNA3, Class M1B (1 month SOFR + 2.900%) (D)(H) | 8.188 | 04-25-42 | 50,000 | 50,853 | |
Series 2022-DNA5, Class M2 (1 month SOFR + 6.750%) (D)(H) | 12.038 | 06-25-42 | 50,000 | 55,512 | |
Series 2022-DNA6, Class M2 (1 month SOFR + 5.750%) (D)(H) | 11.038 | 09-25-42 | 120,000 | 130,350 | |
Series 2022-HQA1, Class M1B (1 month SOFR + 3.500%) (D)(H) | 8.788 | 03-25-42 | 15,000 | 15,450 | |
Series 2022-HQA1, Class M2 (1 month SOFR + 5.250%) (D)(H) | 10.538 | 03-25-42 | 540,000 | 568,015 | |
Series 2022-HQA3, Class M1B (1 month SOFR + 3.550%) (D)(H) | 8.838 | 08-25-42 | 40,000 | 40,898 | |
Series 2023-DNA1, Class M2 (1 month SOFR + 5.500%) (D)(H) | 10.796 | 03-25-43 | 25,000 | 26,875 | |
Series 2023-DNA2, Class B1 (1 month SOFR + 7.600%) (D)(H) | 12.896 | 04-25-43 | 15,000 | 16,188 | |
Series 2023-HQA2, Class M1B (1 month SOFR + 3.350%) (D)(H) | 8.638 | 06-25-43 | 35,000 | 35,656 | |
Series 4898, Class SA IO | 0.797 | 07-15-49 | 373,025 | 34,907 | |
Series 4954, Class SL IO | 0.648 | 02-25-50 | 1,052,330 | 101,864 | |
Series 4999, Class KS IO | 0.748 | 12-25-42 | 299,064 | 24,993 | |
Series 4999, Class PS IO | 0.548 | 03-25-44 | 375,511 | 29,405 | |
Series K103, Class X1 IO | 0.757 | 11-25-29 | 224,049 | 7,196 | |
Series K105, Class X1 IO | 1.644 | 01-25-30 | 169,387 | 12,920 | |
Series K737, Class X1 IO | 0.747 | 10-25-26 | 111,418 | 1,711 | |
Series K740, Class X1 IO | 0.831 | 09-25-27 | 98,533 | 2,501 | |
Series Q014, Class X IO | 2.789 | 10-25-55 | 93,920 | 16,527 | |
Federal National Mortgage Association | |||||
Series 2016-88, Class SK IO | 0.598 | 12-25-46 | 300,417 | 29,502 | |
Series 2017-C07, Class 2B1 (1 month SOFR + 4.564%) (H) | 9.852 | 05-25-30 | 55,000 | 59,400 | |
Series 2019-25, Class SA IO | 0.648 | 06-25-49 | 1,280,341 | 123,008 | |
Series 2019-50, Class S IO | 0.648 | 09-25-49 | 753,843 | 76,965 |
30 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
U.S. Government Agency (continued) | |||||
Series 2019-68, Class SC IO | 0.598 | 11-25-49 | 247,910 | $24,131 | |
Series 2020-R01, Class 1M2 (1 month SOFR + 2.164%) (D)(H) | 7.452 | 01-25-40 | 13,497 | 13,578 | |
Series 2022-R02, Class 2B1 (1 month SOFR + 4.500%) (D)(H) | 9.788 | 01-25-42 | 150,000 | 152,284 | |
Series 2022-R03, Class 1B1 (1 month SOFR + 6.250%) (D)(H) | 11.538 | 03-25-42 | 67,000 | 73,100 | |
Series 2022-R03, Class 1M2 (1 month SOFR + 3.500%) (D)(H) | 8.788 | 03-25-42 | 49,000 | 50,377 | |
Series 2022-R04, Class 1B1 (1 month SOFR + 5.250%) (D)(H) | 10.538 | 03-25-42 | 115,000 | 121,775 | |
Series 2022-R05, Class 2B1 (1 month SOFR + 4.500%) (D)(H) | 9.788 | 04-25-42 | 100,000 | 101,742 | |
Series 2022-R09, Class 2M2 (1 month SOFR + 4.750%) (D)(H) | 10.046 | 09-25-42 | 60,000 | 63,600 | |
Series 2023-R01, Class 1B1 (1 month SOFR + 5.100%) (D)(H) | 10.396 | 12-25-42 | 15,000 | 15,983 | |
Series 2023-R02, Class 1M2 (1 month SOFR + 3.350%) (D)(H) | 8.638 | 01-25-43 | 25,000 | 25,608 | |
Series 2023-R03, Class 2M2 (1 month SOFR + 3.900%) (D)(H) | 9.188 | 04-25-43 | 20,000 | 20,750 | |
Series 2023-R04, Class 1M2 (1 month SOFR + 3.550%) (D)(H) | 8.846 | 05-25-43 | 25,000 | 25,938 | |
Series 2023-R05, Class 1M2 (1 month SOFR + 3.100%) (D)(H) | 8.396 | 06-25-43 | 24,000 | 24,420 | |
Series 2023-R06, Class 1B1 (1 month SOFR + 3.900%) (D)(H) | 9.188 | 07-25-43 | 15,000 | 15,103 | |
Asset backed securities 2.9% | $3,659,518 | ||||
(Cost $3,813,812) | |||||
Asset backed securities 2.9% | 3,659,518 | ||||
AASET Trust | |||||
Series 2021-2A, Class A (D) | 2.798 | 01-15-47 | 207,618 | 179,413 | |
Avis Budget Rental Car Funding AESOP LLC | |||||
Series 2022-5A, Class A (D) | 6.120 | 04-20-27 | 100,000 | 100,223 | |
Bain Capital Credit CLO, Ltd. | |||||
Series 2020-5A, Class D (3 month CME Term SOFR + 3.812%) (D)(H) | 9.138 | 01-20-32 | 250,000 | 249,880 | |
Benefit Street Partners CLO XIX, Ltd. | |||||
Series 2019-19A, Class E (3 month CME Term SOFR + 7.282%) (D)(H) | 12.590 | 01-15-33 | 250,000 | 241,916 | |
Bojangles Issuer LLC | |||||
Series 2020-1A, Class A2 (D) | 3.832 | 10-20-50 | 29,550 | 26,996 | |
Carvana Auto Receivables Trust | |||||
Series 2023-P3, Class A4 (D) | 5.710 | 07-10-29 | 10,000 | 10,012 | |
CIM Trust |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 31 |
Rate (%) | Maturity date | Par value^ | Value | ||
Asset backed securities (continued) | |||||
Series 2021-NR2, Class A1 (2.568% to 3-1-24, then 5.568% to 3-1-25, then 6.568% thereafter) (D) | 2.568 | 07-25-59 | 47,143 | $45,408 | |
DataBank Issuer | |||||
Series 2021-1A, Class B (D) | 2.650 | 02-27-51 | 40,000 | 33,906 | |
Domino’s Pizza Master Issuer LLC | |||||
Series 2019-1A, Class A2 (D) | 3.668 | 10-25-49 | 48,250 | 42,316 | |
Series 2021-1A, Class A2II (D) | 3.151 | 04-25-51 | 48,875 | 40,101 | |
Exeter Automobile Receivables Trust | |||||
Series 2023-4A, Class C | 6.510 | 08-15-28 | 35,000 | 35,137 | |
First Investors Auto Owner Trust | |||||
Series 2021-2A, Class D (D) | 1.660 | 12-15-27 | 190,000 | 171,199 | |
Series 2022-1A, Class D (D) | 3.790 | 06-15-28 | 55,000 | 51,503 | |
FS Rialto | |||||
Series 2021-FL3, Class A (1 month CME Term SOFR + 1.364%) (D)(H) | 6.677 | 11-16-36 | 105,000 | 102,812 | |
GLS Auto Receivables Issuer Trust | |||||
Series 2023-1A, Class C (D) | 6.380 | 12-15-28 | 21,000 | 20,972 | |
Series 2023-3A, Class D (D) | 6.440 | 05-15-29 | 20,000 | 19,943 | |
Greystone Commercial Real Estate Notes, Ltd. | |||||
Series 2021-FL3, Class B (1 month CME Term SOFR + 1.764%) (D)(H) | 7.075 | 07-15-39 | 100,000 | 94,804 | |
Hertz Vehicle Financing III LP | |||||
Series 2021-2A, Class B (D) | 2.120 | 12-27-27 | 100,000 | 87,968 | |
Hertz Vehicle Financing LLC | |||||
Series 2022-2A, Class C (D) | 2.950 | 06-26-28 | 100,000 | 86,883 | |
JFIN CLO, Ltd. | |||||
Series 2016-1A, Class DR (3 month CME Term SOFR + 3.662%) (D)(H) | 9.019 | 10-27-28 | 150,000 | 149,039 | |
Lendbuzz Securitization Trust | |||||
Series 2021-1A, Class A (D) | 1.460 | 06-15-26 | 33,632 | 32,422 | |
LoanCore Issuer, Ltd. | |||||
Series 2021-CRE4, Class A (1 month SOFR + 0.914%) (D)(H) | 6.103 | 07-15-35 | 12,571 | 12,482 | |
MF1, Ltd. | |||||
Series 2022-FL8, Class AS (1 month CME Term SOFR + 1.750%) (D)(H) | 7.064 | 02-19-37 | 100,000 | 97,705 | |
New Economy Assets Phase 1 Sponsor LLC | |||||
Series 2021-1, Class A1 (D) | 1.910 | 10-20-61 | 100,000 | 86,226 | |
Palmer Square Loan Funding, Ltd. | |||||
Series 2021-4A, Class C (3 month CME Term SOFR + 2.862%) (D)(H) | 8.170 | 10-15-29 | 250,000 | 247,534 | |
Pretium Mortgage Credit Partners LLC |
32 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Asset backed securities (continued) | |||||
Series 2021-RN1, Class A2 (3.598% to 6-25-25, then 7.598% thereafter) (D) | 3.598 | 02-25-61 | 100,000 | $85,088 | |
Progress Residential Trust | |||||
Series 2021-SFR2, Class E1 (D) | 2.547 | 04-19-38 | 100,000 | 88,227 | |
Series 2021-SFR3, Class D (D) | 2.288 | 05-17-26 | 100,000 | 88,489 | |
Series 2022-SFR4, Class C (D) | 4.888 | 05-17-41 | 100,000 | 93,580 | |
Series 2022-SFR5, Class D (D) | 5.734 | 06-17-39 | 100,000 | 95,942 | |
Sixth Street CLO XVI, Ltd. | |||||
Series 2020-16A, Class E (3 month CME Term SOFR + 7.582%) (D)(H) | 12.908 | 10-20-32 | 150,000 | 150,142 | |
Sound Point CLO XXVIII, Ltd. | |||||
Series 2020-3A, Class C (3 month CME Term SOFR + 2.512%) (D)(H) | 7.863 | 01-25-32 | 250,000 | 239,710 | |
Texas Natural Gas Securitization Finance Corp. | |||||
Series 2023-1, Class A2 | 5.169 | 04-01-41 | 30,000 | 29,893 | |
Textainer Marine Containers, Ltd. | |||||
Series 2021-3A, Class A (D) | 1.940 | 08-20-46 | 84,000 | 69,882 | |
Tricon American Homes Trust | |||||
Series 2020-SFR2, Class E1 (D) | 2.730 | 11-17-39 | 100,000 | 85,293 | |
TRTX Issuer, Ltd. | |||||
Series 2019-FL3, Class D (1 month CME Term SOFR + 2.564%) (D)(H) | 7.878 | 10-15-34 | 100,000 | 93,057 | |
Venture XIII CLO, Ltd. | |||||
Series 2013-13A, Class DR (3 month LIBOR + 3.300%) (D)(H) | 8.840 | 09-10-29 | 175,000 | 159,914 | |
VOLT XCV LLC | |||||
Series 2021-NPL4, Class A1 (2.240% to 2-25-24, then 5.240% to 2-25-25, then 6.240% thereafter) (D) | 2.240 | 03-27-51 | 81,919 | 78,588 | |
Westlake Automobile Receivables Trust | |||||
Series 2023-2A, Class C (D) | 6.290 | 03-15-28 | 35,000 | 34,913 | |
Shares | Value | ||||
Common stocks 0.0% | $32,915 | ||||
(Cost $69,029) | |||||
United Kingdom 0.0% | 19,879 | ||||
Endeavour Mining PLC | 961 | 19,879 | |||
United States 0.0% | 13,036 | ||||
Becton, Dickinson and Company | 7 | 1,956 | |||
Bloomin’ Brands, Inc. | 85 | 2,385 | |||
Paragon Offshore PLC, Litigation Trust A (E)(J) | 2,695 | 270 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 33 |
Shares | Value | ||||
United States (continued) | |||||
Paragon Offshore PLC, Litigation Trust B (E)(J) | 1,348 | $8,425 | |||
Southcross Holdings GP, Class A (E)(J) | 246 | 0 | |||
Preferred securities 0.6% | $750,772 | ||||
(Cost $723,386) | |||||
Bermuda 0.1% | 70,662 | ||||
Athene Holding, Ltd., 6.375% (6.375% to 6-30-25, then 5 Year CMT + 5.970%) | 2,896 | 70,662 | |||
United States 0.5% | 680,110 | ||||
AGNC Investment Corp., 6.125% (6.125% to 4-15-25, then 3 month LIBOR + 4.697%) | 10,000 | 218,300 | |||
AGNC Investment Corp., 7.750% (7.750% to 10-15-27, then 5 Year CMT + 4.390%) | 10,000 | 225,600 | |||
AT&T, Inc., 5.000% | 550 | 11,182 | |||
Bank of America Corp., 7.250% | 77 | 89,235 | |||
Fluor Corp., 6.500% | 1 | 1,613 | |||
NextEra Energy, Inc., 6.926% | 1,071 | 45,303 | |||
Wells Fargo & Company, 7.500% | 77 | 88,877 | |||
Exchange-traded funds 0.1% | $155,844 | ||||
(Cost $155,173) | |||||
SPDR Blackstone Senior Loan ETF | 3,700 | 155,844 | |||
Par value^ | Value | ||||
Escrow certificates 0.0% | $46 | ||||
(Cost $491,686) | |||||
Alta Mesa Holdings LP (E)(J) | 460,000 | 46 | |||
Texas Competitive Electric Holdings Company LLC (E)(J) | 10,820,544 | 0 | |||
Yield (%) | Shares | Value | |||
Short-term investments 22.8% | $28,403,194 | ||||
(Cost $28,403,194) | |||||
Short-term funds 22.8% | 28,403,194 | ||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 5.2681(M) | 28,403,194 | 28,403,194 |
Total investments (Cost $156,487,419) 119.7% | $149,209,184 | ||||
Other assets and liabilities, net (19.7%) | (24,583,689) | ||||
Total net assets 100.0% | $124,625,495 |
The percentage shown for each investment category is the total value of the category as a percentage of the net assets of the fund. | |
^All par values are denominated in U.S. dollars unless otherwise indicated. | |
Currency Abbreviations | |
AUD | Australian Dollar |
BRL | Brazilian Real |
34 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
CAD | Canadian Dollar |
CLP | Chilean Peso |
COP | Colombian Peso |
CZK | Czech Republic Koruna |
EUR | Euro |
GBP | Pound Sterling |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
ISK | Icelandic Krona |
KRW | Korean Won |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PEN | Peruvian Nuevo Sol |
PLN | Polish Zloty |
RON | Romanian New Leu |
RUB | Russian Ruble |
SEK | Swedish Krona |
THB | Thai Bhat |
UYU | Uruguayan Peso |
ZAR | South African Rand |
Security Abbreviations and Legend | |
CME | Chicago Mercantile Exchange |
CMT | Constant Maturity Treasury |
EURIBOR | Euro Interbank Offered Rate |
ICE | Intercontinental Exchange |
IO | Interest-Only Security - (Interest Tranche of Stripped Mortgage Pool). Rate shown is the annualized yield at the end of the period. |
LIBOR | London Interbank Offered Rate |
PIK | Pay-in-Kind Security - Represents a payment-in-kind which may pay interest in additional par and/or cash. Rates shown are the current rate and most recent payment rate. |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced. A forward mortgage-backed securities trade issued by a U.S. Government Agency, to be delivered at an agreed-upon future settlement date. |
(A) | All or a portion of this security is segregated at the custodian as collateral for certain derivatives. |
(B) | Security purchased or sold on a when-issued or delayed delivery basis. |
(C) | Zero coupon bonds are issued at a discount from their principal amount in lieu of paying interest periodically. Rate shown is the effective yield at period end. |
(D) | These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration. Rule 144A securities amounted to $19,600,443 or 15.7% of the fund’s net assets as of 8-31-23. |
(E) | Non-income producing security. |
(F) | Perpetual bonds have no stated maturity date. Date shown as maturity date is next call date. |
(G) | Non-income producing - Issuer is in default. |
(H) | Variable rate obligation. The coupon rate shown represents the rate at period end. |
(I) | Term loans are variable rate obligations. The rate shown represents the rate at period end. |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 35 |
(J) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. Refer to Note 2 to the financial statements. |
(K) | This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate, which is disclosed as TBD (To Be Determined). |
(L) | Variable or floating rate security, the interest rate of which adjusts periodically based on a weighted average of interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of period end. |
(M) | The rate shown is the annualized seven-day yield as of 8-31-23. |
* | Yield represents either the annualized yield at the date of purchase, the stated coupon rate or, for floating rate securities, the rate at period end. |
36 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
10-Year Australian Treasury Bond Futures | 5 | Long | Sep 2023 | $374,273 | $377,386 | $3,113 |
10-Year U.S. Treasury Note Futures | 67 | Long | Dec 2023 | 7,385,452 | 7,439,094 | 53,642 |
2-Year U.S. Treasury Note Futures | 153 | Long | Dec 2023 | 31,083,624 | 31,181,937 | 98,313 |
30-Day Federal Funds Futures | 15 | Long | Dec 2023 | 5,914,379 | 5,911,098 | (3,281) |
5-Year U.S. Treasury Note Futures | 173 | Long | Dec 2023 | 18,359,082 | 18,497,484 | 138,402 |
German Euro BUND Futures | 8 | Long | Sep 2023 | 1,155,958 | 1,155,397 | (561) |
Ultra U.S. Treasury Bond Futures | 3 | Long | Dec 2023 | 344,445 | 348,328 | 3,883 |
10-Year Canada Government Bond Futures | 3 | Short | Dec 2023 | (264,716) | (264,898) | (182) |
10-Year Japan Government Bond Future | 8 | Short | Sep 2023 | (8,145,811) | (8,072,855) | 72,956 |
5-Year Canada Government Bond Futures | 2 | Short | Dec 2023 | (161,705) | (162,655) | (950) |
Euro-BTP Italian Government Bond Futures | 33 | Short | Sep 2023 | (4,130,441) | (4,148,031) | (17,590) |
Euro-Buxl Futures | 12 | Short | Sep 2023 | (1,763,005) | (1,741,033) | 21,972 |
Euro-OAT Futures | 11 | Short | Sep 2023 | (1,512,528) | (1,525,692) | (13,164) |
German Euro BOBL Futures | 3 | Short | Sep 2023 | (377,015) | (377,712) | (697) |
U.K. Long Gilt Bond Futures | 1 | Short | Dec 2023 | (120,522) | (121,068) | (546) |
U.S. Treasury Long Bond Futures | 3 | Short | Dec 2023 | (360,316) | (365,063) | (4,747) |
Ultra U.S. Treasury Bond Futures | 3 | Short | Dec 2023 | (384,073) | (388,406) | (4,333) |
$346,230 |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
AUD | 40,000 | USD | 26,735 | BARC | 9/20/2023 | — | $(802) |
AUD | 35,000 | USD | 23,037 | CITI | 9/20/2023 | — | (346) |
AUD | 5,000 | USD | 3,393 | JPM | 9/20/2023 | — | (151) |
BRL | 150,000 | USD | 30,488 | BOA | 9/5/2023 | — | (197) |
BRL | 105,000 | USD | 21,333 | CITI | 9/5/2023 | — | (130) |
BRL | 175,000 | USD | 35,335 | DB | 9/5/2023 | $3 | — |
BRL | 22,369,000 | USD | 4,574,844 | GSI | 9/5/2023 | — | (57,726) |
BRL | 2,304,000 | USD | 468,446 | MSI | 9/5/2023 | — | (3,184) |
BRL | 200,000 | USD | 40,667 | SCB | 9/5/2023 | — | (280) |
BRL | 867,000 | USD | 178,656 | SSB | 9/5/2023 | — | (3,577) |
BRL | 3,758,000 | USD | 768,767 | SSB | 10/3/2023 | — | (13,307) |
CAD | 25,000 | USD | 19,058 | GSI | 9/20/2023 | — | (550) |
CAD | 30,000 | USD | 22,782 | JPM | 9/20/2023 | — | (573) |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 37 |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
CAD | 3,455,000 | USD | 2,548,546 | BARC | 9/29/2023 | $9,470 | — |
CLP | 116,550,000 | USD | 138,712 | BOA | 9/20/2023 | — | $(2,228) |
CLP | 12,700,000 | USD | 14,828 | CITI | 9/20/2023 | 44 | — |
CLP | 30,062,000 | USD | 35,305 | GSI | 9/20/2023 | — | (101) |
CLP | 12,200,000 | USD | 14,966 | JPM | 9/20/2023 | — | (679) |
CLP | 15,732,000 | USD | 19,763 | MSI | 9/20/2023 | — | (1,340) |
CNY | 355,000 | USD | 48,799 | CITI | 9/20/2023 | 16 | — |
CNY | 518,000 | USD | 72,077 | GSI | 9/20/2023 | — | (848) |
CNY | 383,000 | USD | 53,702 | HSBC | 9/20/2023 | — | (1,036) |
CNY | 322,000 | USD | 44,146 | JPM | 9/20/2023 | 132 | — |
COP | 122,363,000 | USD | 30,507 | BOA | 9/20/2023 | — | (749) |
COP | 555,300,000 | USD | 131,148 | CITI | 9/20/2023 | 3,900 | — |
COP | 678,050,000 | USD | 162,881 | DB | 9/20/2023 | 2,018 | — |
COP | 164,400,000 | USD | 39,694 | GSI | 9/20/2023 | 288 | — |
COP | 990,436,000 | USD | 231,939 | MSI | 9/20/2023 | 8,933 | — |
COP | 527,450,000 | USD | 126,913 | SCB | 9/20/2023 | 1,361 | — |
COP | 67,300,000 | USD | 16,473 | SSB | 9/20/2023 | — | (106) |
COP | 1,904,347,000 | USD | 463,091 | JPM | 9/29/2023 | — | (1,402) |
CZK | 9,589,000 | USD | 435,351 | MSI | 9/20/2023 | — | (3,593) |
EGP | 137,000 | USD | 4,099 | GSI | 9/11/2023 | 314 | — |
EGP | 146,000 | USD | 4,390 | BOA | 9/20/2023 | 281 | — |
EGP | 2,410,000 | USD | 73,147 | CITI | 9/20/2023 | 3,955 | — |
EGP | 1,560,000 | USD | 47,032 | CITI | 11/28/2023 | 384 | — |
EGP | 1,620,000 | USD | 49,076 | GSI | 11/28/2023 | 164 | — |
EGP | 137,000 | USD | 3,782 | GSI | 12/11/2023 | 336 | — |
EUR | 181,000 | USD | 197,962 | BOA | 9/20/2023 | — | (1,554) |
EUR | 49,000 | USD | 53,530 | BARC | 9/20/2023 | — | (359) |
EUR | 305,000 | USD | 333,925 | GSI | 9/20/2023 | — | (2,961) |
EUR | 29,000 | USD | 31,634 | HSBC | 9/20/2023 | — | (166) |
EUR | 127,000 | USD | 137,846 | JPM | 9/20/2023 | — | (35) |
EUR | 58,000 | USD | 63,237 | MSI | 9/20/2023 | — | (300) |
GBP | 21,000 | USD | 26,979 | BARC | 9/20/2023 | — | (374) |
GBP | 24,000 | USD | 30,851 | GSI | 9/20/2023 | — | (446) |
GBP | 1,136,000 | USD | 1,443,454 | JPM | 9/29/2023 | — | (4,207) |
HUF | 30,400,000 | USD | 88,318 | BOA | 9/20/2023 | — | (2,140) |
HUF | 26,784,000 | USD | 76,408 | BARC | 9/20/2023 | — | (481) |
HUF | 6,987,000 | USD | 20,047 | CITI | 9/20/2023 | — | (241) |
HUF | 39,516,000 | USD | 112,145 | GSI | 9/20/2023 | — | (125) |
HUF | 145,730,000 | USD | 412,603 | JPM | 9/20/2023 | 513 | — |
HUF | 21,700,000 | USD | 64,030 | MSI | 9/20/2023 | — | (2,515) |
HUF | 73,309,000 | USD | 205,791 | BOA | 9/29/2023 | 1,649 | — |
HUF | 440,246,000 | USD | 1,238,035 | BARC | 9/29/2023 | 7,717 | — |
38 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
IDR | 5,322,000,000 | USD | 346,927 | BOA | 9/20/2023 | $2,577 | — |
IDR | 846,478,000 | USD | 55,751 | BARC | 9/20/2023 | — | $(161) |
IDR | 1,357,000,000 | USD | 90,596 | CITI | 9/20/2023 | — | (1,480) |
IDR | 2,186,000,000 | USD | 143,481 | DB | 9/20/2023 | 77 | — |
IDR | 2,221,944,000 | USD | 146,568 | GSI | 9/20/2023 | — | (650) |
IDR | 4,168,399,000 | USD | 279,411 | JPM | 9/20/2023 | — | (5,667) |
IDR | 65,000,000 | USD | 4,325 | MSI | 9/20/2023 | — | (57) |
IDR | 21,340,082,000 | USD | 1,395,141 | BARC | 9/29/2023 | 5,914 | — |
INR | 14,810,000 | USD | 178,939 | BOA | 9/20/2023 | 182 | — |
INR | 3,300,000 | USD | 39,872 | HSBC | 9/20/2023 | 40 | — |
INR | 2,020,000 | USD | 24,305 | MSI | 9/20/2023 | 126 | — |
JPY | 825,109,000 | USD | 5,707,766 | BARC | 9/29/2023 | — | (14,930) |
KRW | 41,310,000 | USD | 32,404 | BOA | 9/20/2023 | — | (1,205) |
KZT | 15,300,000 | USD | 32,692 | BOA | 12/20/2023 | — | (98) |
KZT | 5,550,000 | USD | 11,928 | BOA | 2/7/2024 | — | (221) |
KZT | 7,350,000 | USD | 15,783 | BOA | 2/9/2024 | — | (285) |
MXN | 2,181,000 | USD | 128,161 | CITI | 9/20/2023 | — | (580) |
MXN | 7,666,000 | USD | 448,248 | GSI | 9/20/2023 | 186 | — |
MXN | 1,675,000 | USD | 96,430 | MSI | 9/20/2023 | 1,552 | — |
MXN | 10,370,000 | USD | 609,426 | GSI | 9/29/2023 | — | (3,794) |
MXN | 8,390,000 | USD | 467,618 | GSI | 7/24/2024 | — | (3,205) |
MYR | 1,886,000 | USD | 410,793 | HSBC | 9/20/2023 | — | (3,841) |
NOK | 26,716,000 | USD | 2,507,373 | BARC | 9/29/2023 | 7,427 | — |
NZD | 40,000 | USD | 24,242 | BARC | 9/20/2023 | — | (389) |
NZD | 60,000 | USD | 37,613 | GSI | 9/20/2023 | — | (1,834) |
NZD | 5,000 | USD | 3,073 | MSI | 9/20/2023 | — | (91) |
NZD | 360,000 | USD | 212,791 | CITI | 9/29/2023 | 1,888 | — |
PEN | 422,000 | USD | 114,741 | CITI | 9/20/2023 | — | (674) |
PEN | 430,000 | USD | 115,068 | HSBC | 9/20/2023 | 1,161 | — |
PEN | 320,000 | USD | 86,956 | SCB | 9/20/2023 | — | (460) |
PHP | 2,680,000 | USD | 48,359 | MSI | 9/20/2023 | — | (1,010) |
PLN | 98,000 | USD | 24,420 | BOA | 9/20/2023 | — | (685) |
PLN | 874,000 | USD | 210,041 | BARC | 9/20/2023 | 1,635 | — |
PLN | 438,000 | USD | 106,702 | GSI | 9/20/2023 | — | (622) |
PLN | 190,000 | USD | 46,732 | HSBC | 9/20/2023 | — | (716) |
PLN | 189,000 | USD | 45,917 | JPM | 9/20/2023 | — | (143) |
PLN | 1,194,000 | USD | 294,816 | MSI | 9/20/2023 | — | (5,639) |
RON | 364,000 | USD | 78,296 | BOA | 9/20/2023 | 1,566 | — |
RON | 30,000 | USD | 6,581 | BARC | 9/20/2023 | 1 | — |
RON | 495,000 | USD | 109,197 | GSI | 9/20/2023 | — | (592) |
RON | 125,000 | USD | 27,263 | HSBC | 9/20/2023 | 162 | — |
RON | 150,000 | USD | 32,637 | JPM | 9/20/2023 | 274 | — |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 39 |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
RON | 4,735,000 | USD | 1,034,204 | GSI | 9/29/2023 | $4,466 | — |
RON | 855,000 | USD | 186,672 | HSBC | 9/29/2023 | 881 | — |
SEK | 11,151,000 | USD | 1,020,306 | BARC | 9/29/2023 | — | $(606) |
SGD | 50,000 | USD | 36,880 | BARC | 9/20/2023 | 141 | — |
SGD | 45,000 | USD | 33,899 | GSI | 9/20/2023 | — | (580) |
SGD | 50,000 | USD | 37,076 | HSBC | 9/20/2023 | — | (56) |
THB | 3,500,000 | USD | 100,041 | BARC | 9/20/2023 | 59 | — |
THB | 1,130,000 | USD | 32,458 | GSI | 9/20/2023 | — | (140) |
THB | 12,980,000 | USD | 371,336 | HSBC | 9/20/2023 | — | (108) |
THB | 25,721,000 | USD | 743,684 | JPM | 9/20/2023 | — | (8,063) |
TRY | 5,940,000 | USD | 225,153 | GSI | 9/20/2023 | — | (5,771) |
TRY | 5,998,000 | USD | 213,228 | GSI | 9/29/2023 | 6,882 | — |
USD | 20,375 | AUD | 30,000 | JPM | 9/20/2023 | 926 | — |
USD | 73,067 | AUD | 110,000 | MSI | 9/20/2023 | 1,754 | — |
USD | 3,260,154 | AUD | 5,068,000 | MSI | 9/29/2023 | — | (26,567) |
USD | 30,476 | BRL | 150,000 | BOA | 9/5/2023 | 186 | — |
USD | 21,519 | BRL | 105,000 | CITI | 9/5/2023 | 315 | — |
USD | 36,076 | BRL | 175,000 | DB | 9/5/2023 | 737 | — |
USD | 4,611,104 | BRL | 22,369,000 | GSI | 9/5/2023 | 93,985 | — |
USD | 469,122 | BRL | 2,304,000 | MSI | 9/5/2023 | 3,861 | — |
USD | 40,772 | BRL | 200,000 | SCB | 9/5/2023 | 385 | — |
USD | 181,881 | BRL | 895,000 | SSB | 9/5/2023 | 1,148 | — |
USD | 130,215 | BRL | 639,000 | GSI | 10/3/2023 | 1,759 | — |
USD | 2,322,256 | BRL | 11,352,000 | SSB | 10/3/2023 | 40,198 | — |
USD | 291,366 | BRL | 1,436,000 | GSI | 12/4/2023 | 5,037 | — |
USD | 41,167 | CAD | 55,000 | BARC | 9/20/2023 | 451 | — |
USD | 33,196 | CAD | 45,000 | JPM | 9/20/2023 | — | (117) |
USD | 4,073,985 | CAD | 5,523,000 | BARC | 9/29/2023 | — | (15,139) |
USD | 1,420,628 | CHF | 1,246,000 | GSI | 9/29/2023 | 6,426 | — |
USD | 69,352 | CLP | 56,893,000 | BOA | 9/20/2023 | 2,729 | — |
USD | 119,290 | CLP | 104,021,000 | CITI | 9/20/2023 | — | (2,522) |
USD | 40,423 | CLP | 34,500,000 | DB | 9/20/2023 | 22 | — |
USD | 9,542 | CLP | 7,700,000 | GSI | 9/20/2023 | 525 | — |
USD | 171,062 | CLP | 139,476,000 | MSI | 9/20/2023 | 7,732 | — |
USD | 23,168 | CLP | 18,780,000 | SSB | 9/20/2023 | 1,176 | — |
USD | 848,954 | CLP | 728,530,000 | MSI | 9/29/2023 | — | (3,251) |
USD | 32,349 | CNY | 231,000 | BARC | 9/20/2023 | 584 | — |
USD | 82,642 | CNY | 585,000 | MSI | 9/20/2023 | 2,200 | — |
USD | 14,441 | COP | 57,100,000 | BOA | 9/20/2023 | 555 | — |
USD | 122,530 | COP | 504,624,000 | CITI | 9/20/2023 | — | (194) |
USD | 24,571 | COP | 101,600,000 | DB | 9/20/2023 | — | (138) |
USD | 146,548 | COP | 601,786,000 | GSI | 9/20/2023 | 196 | — |
40 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
USD | 47,606 | COP | 192,360,000 | MSI | 9/20/2023 | $824 | — |
USD | 52,210 | COP | 213,740,000 | SCB | 9/20/2023 | 229 | — |
USD | 55,631 | COP | 237,600,000 | SSB | 9/20/2023 | — | $(2,153) |
USD | 101,179 | CZK | 2,229,000 | BARC | 9/20/2023 | 815 | — |
USD | 49,184 | CZK | 1,070,000 | GSI | 9/20/2023 | 1,006 | — |
USD | 22,914 | CZK | 490,000 | HSBC | 9/20/2023 | 851 | — |
USD | 157,970 | CZK | 3,480,000 | JPM | 9/20/2023 | 1,279 | — |
USD | 296,376 | CZK | 6,582,000 | MSI | 9/20/2023 | 12 | — |
USD | 366,233 | CZK | 8,146,000 | HSBC | 9/29/2023 | — | (424) |
USD | 8,576 | EGP | 280,000 | CITI | 9/20/2023 | — | (382) |
USD | 30,817 | EUR | 28,000 | BOA | 9/20/2023 | 434 | — |
USD | 63,570 | EUR | 58,000 | BARC | 9/20/2023 | 633 | — |
USD | 56,894 | EUR | 51,000 | CITI | 9/20/2023 | 1,553 | — |
USD | 332,704 | EUR | 305,000 | GSI | 9/20/2023 | 1,742 | — |
USD | 76,799 | EUR | 70,000 | HSBC | 9/20/2023 | 840 | — |
USD | 224,802 | EUR | 204,000 | MSI | 9/20/2023 | 3,436 | — |
USD | 6,693,427 | EUR | 6,155,000 | BARC | 9/29/2023 | 11,560 | — |
USD | 16,556 | GBP | 13,000 | BOA | 9/20/2023 | 87 | — |
USD | 52,195 | GBP | 42,000 | BARC | 9/20/2023 | — | (1,014) |
USD | 67,302 | GBP | 53,000 | GSI | 9/20/2023 | 156 | — |
USD | 1,209,655 | GBP | 952,000 | JPM | 9/29/2023 | 3,526 | — |
USD | 166,433 | HUF | 58,823,000 | BOA | 9/20/2023 | — | (320) |
USD | 61,553 | HUF | 21,800,000 | BARC | 9/20/2023 | — | (246) |
USD | 34,965 | HUF | 12,200,000 | CITI | 9/20/2023 | 380 | — |
USD | 119,795 | HUF | 42,200,000 | GSI | 9/20/2023 | 167 | — |
USD | 168,670 | HUF | 59,802,000 | JPM | 9/20/2023 | — | (858) |
USD | 133,869 | HUF | 47,490,000 | MSI | 9/20/2023 | — | (756) |
USD | 134,552 | IDR | 2,022,000,000 | BARC | 9/20/2023 | 1,765 | — |
USD | 342,995 | IDR | 5,245,000,000 | DB | 9/20/2023 | — | (1,451) |
USD | 100,250 | IDR | 1,516,047,000 | GSI | 9/20/2023 | 690 | — |
USD | 44,872 | IDR | 675,047,000 | JPM | 9/20/2023 | 540 | — |
USD | 56,461 | IDR | 848,660,000 | SCB | 9/20/2023 | 728 | — |
USD | 53,212 | INR | 4,410,000 | CITI | 9/20/2023 | — | (125) |
USD | 18,870 | INR | 1,570,000 | GSI | 9/20/2023 | — | (119) |
USD | 11,180 | INR | 920,000 | SCB | 9/20/2023 | 53 | — |
USD | 640,939 | INR | 52,948,000 | BARC | 9/29/2023 | 788 | — |
USD | 277,119 | JPY | 40,060,000 | BARC | 9/29/2023 | 725 | — |
USD | 41,322 | KRW | 54,830,000 | BOA | 9/20/2023 | — | (88) |
USD | 37,915 | KRW | 50,610,000 | SCB | 9/20/2023 | — | (307) |
USD | 2,451,785 | KRW | 3,228,413,000 | MSI | 9/27/2023 | 12,677 | — |
USD | 21,535 | KZT | 10,100,000 | GSI | 12/20/2023 | 19 | — |
USD | 51,250 | MXN | 902,000 | BOA | 9/20/2023 | — | (1,514) |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 41 |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
USD | 657,471 | MXN | 11,305,000 | BARC | 9/20/2023 | — | $(3,833) |
USD | 153,781 | MXN | 2,708,000 | CITI | 9/20/2023 | — | (4,628) |
USD | 180,333 | MXN | 3,111,000 | GSI | 9/20/2023 | — | (1,650) |
USD | 31,502 | MXN | 550,000 | HSBC | 9/20/2023 | — | (671) |
USD | 158,056 | MXN | 2,749,000 | MSI | 9/20/2023 | — | (2,751) |
USD | 2,748,967 | MXN | 46,510,000 | BARC | 9/29/2023 | $32,675 | — |
USD | 482,073 | MXN | 8,390,000 | GSI | 1/24/2024 | 2,365 | — |
USD | 156,871 | MYR | 725,000 | HSBC | 9/20/2023 | 434 | — |
USD | 1,689,070 | NOK | 17,997,000 | BARC | 9/29/2023 | — | (5,003) |
USD | 63,395 | NZD | 105,000 | BARC | 9/20/2023 | 781 | — |
USD | 30,411 | NZD | 50,000 | HSBC | 9/20/2023 | 595 | — |
USD | 17,831 | NZD | 30,000 | JPM | 9/20/2023 | — | (58) |
USD | 32,933 | NZD | 55,000 | MSI | 9/20/2023 | 135 | — |
USD | 6,126,874 | NZD | 10,337,000 | JPM | 9/29/2023 | — | (37,419) |
USD | 358,842 | PEN | 1,320,000 | BOA | 9/20/2023 | 2,044 | — |
USD | 274,485 | PEN | 1,017,000 | CITI | 9/20/2023 | — | (412) |
USD | 22,993 | PEN | 85,000 | GSI | 9/20/2023 | 17 | — |
USD | 44,967 | PEN | 165,000 | SCB | 9/20/2023 | 367 | — |
USD | 145,387 | PHP | 8,170,000 | BOA | 9/20/2023 | 1,044 | — |
USD | 1,101,387 | PHP | 62,507,000 | MSI | 9/29/2023 | — | (2,822) |
USD | 91,463 | PLN | 375,000 | BOA | 9/20/2023 | 641 | — |
USD | 83,426 | PLN | 342,000 | BARC | 9/20/2023 | 596 | — |
USD | 63,218 | PLN | 260,000 | CITI | 9/20/2023 | 248 | — |
USD | 59,766 | PLN | 245,000 | GSI | 9/20/2023 | 429 | — |
USD | 42,930 | PLN | 175,000 | HSBC | 9/20/2023 | 546 | — |
USD | 98,237 | PLN | 405,000 | MSI | 9/20/2023 | 149 | — |
USD | 359,098 | PLN | 1,489,000 | BOA | 9/29/2023 | — | (1,338) |
USD | 645,005 | PLN | 2,661,000 | HSBC | 9/29/2023 | 868 | — |
USD | 55,878 | RON | 255,000 | BOA | 9/20/2023 | — | (69) |
USD | 123,000 | RON | 555,000 | GSI | 9/20/2023 | 1,231 | — |
USD | 48,833 | RON | 215,000 | HSBC | 9/20/2023 | 1,661 | — |
USD | 1,229,310 | RON | 5,590,000 | BARC | 9/29/2023 | 3,087 | — |
USD | 1,998,431 | SEK | 21,841,000 | BARC | 9/29/2023 | 1,188 | — |
USD | 129,847 | SGD | 175,000 | GSI | 9/20/2023 | 275 | — |
USD | 18,518 | SGD | 25,000 | JPM | 9/20/2023 | 8 | — |
USD | 1,438,700 | SGD | 1,944,000 | MSI | 9/29/2023 | — | (1,241) |
USD | 471,969 | THB | 16,445,000 | BARC | 9/20/2023 | 1,642 | — |
USD | 49,415 | THB | 1,723,000 | GSI | 9/20/2023 | 137 | — |
USD | 51,900 | THB | 1,820,000 | JPM | 9/20/2023 | — | (152) |
USD | 54,468 | TRY | 1,415,000 | GSI | 9/20/2023 | 2,207 | — |
USD | 24,967 | UYU | 960,000 | DB | 9/20/2023 | — | (439) |
USD | 119,311 | UYU | 4,635,000 | GSI | 9/20/2023 | — | (3,357) |
42 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
USD | 39,481 | UYU | 1,494,000 | HSBC | 9/20/2023 | — | $(59) |
USD | 85,808 | ZAR | 1,611,000 | BARC | 9/20/2023 | $615 | — |
USD | 341,351 | ZAR | 6,622,000 | CITI | 9/20/2023 | — | (8,836) |
USD | 240,777 | ZAR | 4,417,000 | GSI | 9/20/2023 | 7,194 | — |
USD | 21,287 | ZAR | 406,000 | JPM | 9/20/2023 | — | (183) |
USD | 69,457 | ZAR | 1,283,000 | MSI | 9/20/2023 | 1,609 | — |
USD | 517,759 | ZAR | 9,650,000 | GSI | 9/29/2023 | 7,848 | — |
UYU | 740,000 | USD | 19,469 | CITI | 9/20/2023 | 116 | — |
ZAR | 530,000 | USD | 28,598 | BOA | 9/20/2023 | — | (570) |
ZAR | 2,414,000 | USD | 129,518 | BARC | 9/20/2023 | — | (1,860) |
ZAR | 1,363,000 | USD | 73,450 | CITI | 9/20/2023 | — | (1,371) |
ZAR | 2,768,000 | USD | 153,842 | GSI | 9/20/2023 | — | (7,463) |
ZAR | 990,000 | USD | 53,569 | JPM | 9/20/2023 | — | (1,216) |
ZAR | 2,161,000 | USD | 115,265 | MSI | 9/20/2023 | — | (987) |
ZAR | 26,171,000 | USD | 1,404,174 | GSI | 9/29/2023 | — | (21,283) |
$371,829 | $(340,518) |
Interest rate swaps | ||||||||||
Counterparty (OTC)/ Centrally cleared | Notional amount | Currency | Payments made | Payments received | Fixed payment frequency | Floating payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
Centrally cleared | 25,540,000 | CAD | CAD CORRA Compounded OIS | Fixed 4.500% | Semi-Annual | Semi-Annual | Sep 2025 | $(20,673) | $(82,776) | $(103,449) |
Centrally cleared | 6,440,000 | GBP | GBP SONIA Compounded OIS | Fixed 5.717% | Annual | Annual | Sep 2025 | — | 35,436 | 35,436 |
Centrally cleared | 9,330,000 | MXN | MXN TIIE Banxico | Fixed 7.840% | Monthly | Monthly | Mar 2027 | 322 | (23,399) | (23,077) |
Centrally cleared | 8,650,000 | NZD | NZD BBR FRA | Fixed 2.660% | Semi-Annual | Quarterly | Mar 2027 | (15,110) | (374,925) | (390,035) |
Centrally cleared | 2,700,000 | NZD | NZD BBR FRA | Fixed 2.750% | Semi-Annual | Quarterly | Mar 2027 | 2,052 | (118,490) | (116,438) |
Centrally cleared | 2,770,000 | NZD | NZD BBR FRA | Fixed 2.590% | Semi-Annual | Quarterly | Mar 2027 | 1,018 | (130,154) | (129,136) |
Centrally cleared | 16,020,000 | SEK | SEK STIBOR SIDE | Fixed 3.042% | Annual | Quarterly | Mar 2028 | — | (15,524) | (15,524) |
Centrally cleared | 26,195,000 | MXN | MXN TIIE Banxico | Fixed 8.840% | Monthly | Monthly | Jun 2028 | (1,920) | (5,493) | (7,413) |
Centrally cleared | 36,820,000 | MXN | MXN TIIE Banxico | Fixed 9.053% | Monthly | Monthly | Jun 2028 | — | 7,496 | 7,496 |
Centrally cleared | 3,020,000 | AUD | AUD BBR BBSW | Fixed 4.190% | Semi-Annual | Semi-Annual | Sep 2028 | (436) | 6,310 | 5,874 |
Centrally cleared | 22,480,000 | NOK | NOK NIBOR NIBR | Fixed 3.810% | Annual | Semi-Annual | Sep 2028 | (8,825) | (36,104) | (44,929) |
Centrally cleared | 18,800,000 | CNY | Fixed 2.445% | CNY CNREPOFIX Reuters | Quarterly | Quarterly | Sep 2028 | — | (16,872) | (16,872) |
Centrally cleared | 7,190,000 | CNY | Fixed 2.468% | CNY CNREPOFIX Reuters | Quarterly | Quarterly | Sep 2028 | — | (7,497) | (7,497) |
Centrally cleared | 11,730,000 | CNY | Fixed 2.467% | CNY CNREPOFIX Reuters | Quarterly | Quarterly | Sep 2028 | — | (12,134) | (12,134) |
Centrally cleared | 1,120,000 | GBP | GBP SONIA Compounded OIS | Fixed 4.767% | Annual | Annual | Dec 2028 | — | 5,576 | 5,576 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 43 |
Interest rate swaps (continued) | ||||||||||
Counterparty (OTC)/ Centrally cleared | Notional amount | Currency | Payments made | Payments received | Fixed payment frequency | Floating payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
Centrally cleared | 1,840,000 | CAD | CAD CORRA Compounded OIS | Fixed 3.910% | Semi-Annual | Semi-Annual | Dec 2028 | $(348) | $1,805 | $1,457 |
Centrally cleared | 4,980,000 | PLN | Fixed 4.309% | PLN WIBOR WIBO | Annual | Semi-Annual | Dec 2028 | — | 2,066 | 2,066 |
Centrally cleared | 4,020,000 | PLN | Fixed 4.398% | PLN WIBOR WIBO | Annual | Semi-Annual | Dec 2028 | — | — | — |
Centrally cleared | 18,755,000 | MXN | MXN TIIE Banxico | Fixed 7.340% | Monthly | Monthly | Mar 2032 | 308 | (93,013) | (92,705) |
Centrally cleared | 13,350,000 | MXN | MXN TIIE Banxico | Fixed 8.852% | Monthly | Monthly | Dec 2033 | — | 11,146 | 11,146 |
$(43,612) | $(846,546) | $(890,158) |
Credit default swaps - Buyer | ||||||||||
Counterparty (OTC)/ Centrally cleared | Reference obligation | Notional amount | Currency | USD notional amount | Pay fixed rate | Fixed payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
BARC | Federative Republic of Brazil | 482,000 | USD | $482,000 | 1.000% | Quarterly | Dec 2026 | $19,447 | $(18,714) | $733 |
BARC | Federative Republic of Brazil | 615,000 | USD | 615,000 | 1.000% | Quarterly | Jun 2028 | 31,228 | (14,886) | 16,342 |
BARC | Federative Republic of Brazil | 500,000 | USD | 500,000 | 1.000% | Quarterly | Jun 2028 | 22,898 | (9,612) | 13,286 |
BARC | Republic of Colombia | 5,000 | USD | 5,000 | 1.000% | Quarterly | Jun 2028 | 363 | (149) | 214 |
BARC | Republic of Indonesia | 500,000 | USD | 500,000 | 1.000% | Quarterly | Jun 2028 | (2,665) | (2,280) | (4,945) |
BARC | Republic of Indonesia | 500,000 | USD | 500,000 | 1.000% | Quarterly | Jun 2028 | (3,421) | (1,524) | (4,945) |
BARC | Republic of Peru | 500,000 | USD | 500,000 | 1.000% | Quarterly | Jun 2028 | 962 | (7,815) | (6,853) |
BOA | Federative Republic of Brazil | 1,530,000 | USD | 1,530,000 | 1.000% | Quarterly | Dec 2027 | 84,853 | (58,274) | 26,579 |
BOA | Federative Republic of Brazil | 405,000 | USD | 405,000 | 1.000% | Quarterly | Dec 2027 | 22,532 | (15,496) | 7,036 |
CITI | Federative Republic of Brazil | 315,000 | USD | 315,000 | 1.000% | Quarterly | Dec 2027 | 17,799 | (12,327) | 5,472 |
CITI | United Mexican States | 585,000 | USD | 585,000 | 1.000% | Quarterly | Jun 2028 | 4,219 | (5,352) | (1,133) |
GSI | Government of Malaysia | 1,000,000 | USD | 1,000,000 | 1.000% | Quarterly | Jun 2028 | (14,176) | (8,726) | (22,902) |
GSI | Republic of Chile | 500,000 | USD | 500,000 | 1.000% | Quarterly | Jun 2028 | (3,224) | (7,030) | (10,254) |
GSI | Republic of Chile | 500,000 | USD | 500,000 | 1.000% | Quarterly | Jun 2028 | (3,878) | (6,376) | (10,254) |
GSI | Republic of Indonesia | 75,000 | USD | 75,000 | 1.000% | Quarterly | Jun 2028 | (255) | (487) | (742) |
GSI | Republic of Peru | 500,000 | USD | 500,000 | 1.000% | Quarterly | Jun 2028 | 1,386 | (8,239) | (6,853) |
GSI | Republic of Peru | 500,000 | USD | 500,000 | 1.000% | Quarterly | Jun 2028 | (1,286) | (5,567) | (6,853) |
GSI | Republic of the Philippines | 500,000 | USD | 500,000 | 1.000% | Quarterly | Jun 2028 | (1,914) | (4,421) | (6,335) |
GSI | United Mexican States | 460,000 | USD | 460,000 | 1.000% | Quarterly | Jun 2028 | 3,247 | (4,138) | (891) |
MSI | Government of Japan | 2,090,000 | USD | 2,090,000 | 1.000% | Quarterly | Dec 2024 | (19,911) | (9,776) | (29,687) |
MSI | Government of Malaysia | 500,000 | USD | 500,000 | 1.000% | Quarterly | Jun 2028 | (6,261) | (5,190) | (11,451) |
MSI | Republic of Colombia | 500,000 | USD | 500,000 | 1.000% | Quarterly | Jun 2028 | 27,937 | (6,570) | 21,367 |
MSI | Republic of Colombia | 500,000 | USD | 500,000 | 1.000% | Quarterly | Jun 2028 | 22,006 | (873) | 21,133 |
MSI | Republic of Peru | 500,000 | USD | 500,000 | 1.000% | Quarterly | Jun 2028 | 859 | (7,712) | (6,853) |
MSI | Republic of South Africa | 500,000 | USD | 500,000 | 1.000% | Quarterly | Jun 2028 | 28,667 | 93 | 28,760 |
$14,562,000 | $231,412 | $(221,441) | $9,971 | |||||||
Centrally cleared | CDX.NA.HY.38 | 331,240 | USD | 331,240 | 5.000% | Quarterly | Jun 2027 | (11) | (16,043) | (16,054) |
Centrally cleared | CDX.EM.38 | 7,255,000 | USD | 7,255,000 | 1.000% | Quarterly | Dec 2027 | 346,976 | (102,560) | 244,416 |
44 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Credit default swaps - Buyer (continued) | ||||||||||
Counterparty (OTC)/ Centrally cleared | Reference obligation | Notional amount | Currency | USD notional amount | Pay fixed rate | Fixed payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
Centrally cleared | CDX.NA.HY.39 | 49,500 | USD | $49,500 | 5.000% | Quarterly | Dec 2027 | $(179) | $(1,894) | $(2,073) |
Centrally cleared | CDX.EM.39 | 5,785,000 | USD | 5,785,000 | 1.000% | Quarterly | Jun 2028 | 315,311 | (86,925) | 228,386 |
Centrally cleared | CDX.NA.HY.40 | 200,000 | USD | 200,000 | 5.000% | Quarterly | Jun 2028 | (5,999) | (1,668) | (7,667) |
Centrally cleared | CDX.NA.IG.40 | 3,810,000 | USD | 3,810,000 | 1.000% | Quarterly | Jun 2028 | (55,491) | (11,276) | (66,767) |
Centrally cleared | iTraxx Europe Senior Financials Series 39 Version 1 | 6,935,000 | EUR | 7,507,745 | 1.000% | Quarterly | Jun 2028 | (68,916) | (7,849) | (76,765) |
Centrally cleared | iTraxx Europe Series 39 Version 1 | 3,055,000 | EUR | 3,330,803 | 1.000% | Quarterly | Jun 2028 | (67,177) | 17,617 | (49,560) |
Centrally cleared | iTraxx Europe Sub Financials Series 39 Version 1 | 1,755,000 | EUR | 1,934,100 | 1.000% | Quarterly | Jun 2028 | 45,029 | (9,455) | 35,574 |
$30,203,388 | $509,543 | $(220,053) | $289,490 | |||||||
$44,765,388 | $740,955 | $(441,494) | $299,461 |
Credit default swaps - Seller | |||||||||||
Counterparty (OTC)/ Centrally cleared | Reference obligation | Implied credit spread | Notional amount | Currency | USD notional amount | Received fixed rate | Fixed payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
GSI | CMBX.NA.BBB-.14 | 8.284% | 25,000 | USD | $25,000 | 3.000% | Monthly | Dec 2072 | $(4,137) | $(1,875) | $(6,012) |
MSI | CMBX.NA.AAA.15 | 0.940% | 75,000 | USD | 75,000 | 0.500% | Monthly | Nov 2064 | (2,388) | 314 | (2,074) |
$100,000 | $(6,525) | $(1,561) | $(8,086) | ||||||||
Centrally cleared | CDX.NA.HY.40 | 4.259% | 175,000 | USD | 175,000 | 5.000% | Quarterly | Jun 2028 | 1,903 | 4,806 | 6,709 |
$175,000 | $1,903 | $4,806 | $6,709 | ||||||||
$275,000 | $(4,622) | $3,245 | $(1,377) |
Total return swaps | ||||||||||
Pay/ receive total return* | Reference entity | Floating/ fixed rate | Payment frequency | Currency | Notional amount | Maturity date | Counterparty (OTC) | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
Pay | iBoxx $ Liquid High Yield Index | 1-Day USD Compounded SOFR | At Maturity | USD | 420,000 | Sep 2023 | JPM | — | $(4,364) | $(4,364) |
Pay | iBoxx $ Liquid High Yield Index | 1-Day USD Compounded SOFR | At Maturity | USD | 1,190,000 | Sep 2023 | JPM | — | (14,964) | (14,964) |
Pay | iBoxx $ Liquid High Yield Index | 1-Day USD Compounded SOFR | At Maturity | USD | 1,190,000 | Sep 2023 | JPM | — | (15,753) | (15,753) |
Pay | iBoxx $ Liquid High Yield Index | 1-Day USD Compounded SOFR | At Maturity | USD | 415,000 | Sep 2023 | JPM | — | (5,907) | (5,907) |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 45 |
Total return swaps (continued) | ||||||||||
Pay/ receive total return* | Reference entity | Floating/ fixed rate | Payment frequency | Currency | Notional amount | Maturity date | Counterparty (OTC) | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
Pay | iBoxx $ Liquid High Yield Index | 1-Day USD Compounded SOFR | At Maturity | USD | 420,000 | Sep 2023 | JPM | — | $(5,128) | $(5,128) |
Pay | iBoxx $ Liquid Investment Grade Index | 1-Day USD Compounded SOFR | At Maturity | USD | 835,000 | Sep 2023 | JPM | — | 11,992 | 11,992 |
Pay | iBoxx $ Liquid Investment Grade Index | 1-Day USD Compounded SOFR | At Maturity | USD | 835,000 | Sep 2023 | JPM | — | 6,889 | 6,889 |
Pay | iBoxx $ Liquid Investment Grade Index | 1-Day USD Compounded SOFR | At Maturity | USD | 830,000 | Sep 2023 | JPM | — | 16,739 | 16,739 |
Pay | iBoxx $ Liquid High Yield Index | 1-Day USD Compounded SOFR | At Maturity | USD | 405,000 | Sep 2023 | MSI | — | (6,371) | (6,371) |
Pay | iBoxx $ Liquid High Yield Index | 1-Day USD Compounded SOFR | At Maturity | USD | 415,000 | Sep 2023 | MSI | — | (4,189) | (4,189) |
Pay | iBoxx $ Liquid High Yield Index | 1-Day USD Compounded SOFR | At Maturity | USD | 415,000 | Sep 2023 | MSI | — | (1,403) | (1,403) |
Pay | iBoxx $ Liquid High Yield Index | 1-Day USD Compounded SOFR | At Maturity | USD | 420,000 | Sep 2023 | MSI | — | 621 | 621 |
Pay | iBoxx $ Liquid High Yield Index | 1-Day USD Compounded SOFR | At Maturity | USD | 2,390,000 | Dec 2023 | MSI | — | (35,192) | (35,192) |
Pay | iBoxx $ Liquid High Yield Index | 1-Day USD Compounded SOFR | At Maturity | USD | 930,000 | Dec 2023 | MSI | — | 382 | 382 |
— | $(56,648) | $(56,648) |
Inflation swaps | |||||||||||
Counterparty (OTC)/ Centrally cleared | Notional amount | Currency | USD notional amount | Payments made | Payments received | Fixed payment frequency | Floating payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
BARC | 1,990,000 | USD | $1,990,000 | Fixed 3.243% | USA CPI All Urban Consumers | At Maturity | At Maturity | Apr 2027 | — | $(967) | $(967) |
BARC | 2,010,000 | USD | 2,010,000 | Fixed 3.243% | USA CPI All Urban Consumers | At Maturity | At Maturity | Apr 2027 | — | (977) | (977) |
BARC | 3,910,000 | USD | 3,910,000 | Fixed 3.147% | USA CPI All Urban Consumers | At Maturity | At Maturity | Apr 2027 | — | 16,308 | 16,308 |
46 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Inflation swaps (continued) | |||||||||||
Counterparty (OTC)/ Centrally cleared | Notional amount | Currency | USD notional amount | Payments made | Payments received | Fixed payment frequency | Floating payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
CITI | 1,260,000 | USD | $1,260,000 | Fixed 3.257% | USA CPI All Urban Consumers | At Maturity | At Maturity | Apr 2027 | — | $(1,505) | $(1,505) |
CITI | 1,170,000 | USD | 1,170,000 | Fixed 3.257% | USA CPI All Urban Consumers | At Maturity | At Maturity | Apr 2027 | $(113) | (1,285) | (1,398) |
CITI | 1,155,000 | USD | 1,155,000 | Fixed 2.793% | USA CPI All Urban Consumers | At Maturity | At Maturity | Feb 2052 | — | (43,806) | (43,806) |
$11,495,000 | $(113) | $(32,232) | $(32,345) |
Derivatives Currency Abbreviations | |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
CHF | Swiss Franc |
CLP | Chilean Peso |
CNY | Chinese Yuan Renminbi |
COP | Colombian Peso |
CZK | Czech Republic Koruna |
EGP | Egyptian Pound |
EUR | Euro |
GBP | Pound Sterling |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
INR | Indian Rupee |
JPY | Japanese Yen |
KRW | Korean Won |
KZT | Kazakhstan Tenge |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PEN | Peruvian Nuevo Sol |
PHP | Philippine Peso |
PLN | Polish Zloty |
RON | Romanian New Leu |
SEK | Swedish Krona |
SGD | Singapore Dollar |
THB | Thai Bhat |
TRY | Turkish Lira |
USD | U.S. Dollar |
UYU | Uruguayan Peso |
ZAR | South African Rand |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 47 |
Derivatives Abbreviations | |
BARC | Barclays Bank PLC |
BBR | Bank Bill Rate |
BBSW | Bank Bill Swap Rate |
BOA | Bank of America, N.A. |
CITI | Citibank, N.A. |
CNREPOFIX | China Fixing Repo Rate |
CORRA | Canadian Overnight Repo Rate Average |
CPI | Consumer Price Index |
DB | Deutsche Bank AG |
GSI | Goldman Sachs International |
HSBC | HSBC Bank PLC |
JPM | JPMorgan Chase Bank, N.A. |
MSI | Morgan Stanley & Co. International PLC |
NIBOR | Norwegian Interbank Offered Rate |
OIS | Overnight Index Swap |
OTC | Over-the-counter |
SCB | Standard Chartered Bank |
SOFR | Secured Overnight Financing Rate |
SONIA | Sterling Overnight Interbank Average Rate |
SSB | State Street Bank and Trust Company |
STIBOR | Stockholm Interbank Offered Rate |
TIIE | Tasa de Interes Interbancario de Equilibrio (Interbank Equilibrium Interest Rate) |
WIBOR | Warsaw Interbank Offered Rate |
48 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Assets | |
Unaffiliated investments, at value (Cost $156,487,419) | $149,209,184 |
Swap contracts, at value (net unamortized upfront payment of $277,730) | 193,853 |
Receivable for centrally cleared swaps | 72,531 |
Unrealized appreciation on forward foreign currency contracts | 371,829 |
Cash | 186,093 |
Foreign currency, at value (Cost $7,949) | 8,241 |
Collateral held at broker for futures contracts | 395,000 |
Collateral segregated at custodian for OTC derivative contracts | 60,000 |
Dividends and interest receivable | 1,072,924 |
Receivable for fund shares sold | 229,948 |
Receivable for investments sold | 434,193 |
Receivable for delayed delivery securities sold | 2,762,731 |
Other assets | 65,669 |
Total assets | 155,062,196 |
Liabilities | |
Unrealized depreciation on forward foreign currency contracts | 340,518 |
Swap contracts, at value (net unamortized upfront payment of $52,956) | 280,961 |
Payable for futures variation margin | 7,210 |
Payable for collateral on OTC derivatives | 538,000 |
Payable for investments purchased | 484,436 |
Payable for delayed delivery securities purchased | 28,685,019 |
Payable for fund shares repurchased | 13,885 |
Payable to affiliates | |
Accounting and legal services fees | 6,255 |
Transfer agent fees | 5,707 |
Trustees’ fees | 9 |
Other liabilities and accrued expenses | 74,701 |
Total liabilities | 30,436,701 |
Net assets | $124,625,495 |
Net assets consist of | |
Paid-in capital | $223,536,918 |
Total distributable earnings (loss) | (98,911,423) |
Net assets | $124,625,495 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK Opportunistic Fixed Income Fund | 49 |
Net asset value per share | |
Based on net asset value and shares outstanding - the fund has an unlimited number of shares authorized with no par value | |
Class A ($36,114,623 ÷ 3,117,970 shares)1 | $11.58 |
Class C ($1,439,488 ÷ 124,467 shares)1 | $11.57 |
Class I ($19,025,086 ÷ 1,641,597 shares) | $11.59 |
Class R6 ($4,274,882 ÷ 368,723 shares) | $11.59 |
Class 1 ($63,771,416 ÷ 5,506,566 shares) | $11.58 |
Maximum offering price per share | |
Class A (net asset value per share ÷ 95%)2 | $12.19 |
1 | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
2 | On single retail sales of less than $50,000. On sales of $50,000 or more and on group sales the offering price is reduced. |
50 | JOHN HANCOCK Opportunistic Fixed Income Fund | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Investment income | |
Interest | $5,270,190 |
Dividends | 705,452 |
Securities lending | 255 |
Less foreign taxes withheld | (14,226) |
Total investment income | 5,961,671 |
Expenses | |
Investment management fees | 731,169 |
Distribution and service fees | 139,579 |
Accounting and legal services fees | 23,087 |
Transfer agent fees | 56,506 |
Trustees’ fees | 2,653 |
Custodian fees | 148,138 |
State registration fees | 75,868 |
Printing and postage | 27,393 |
Professional fees | 146,427 |
Other | 29,374 |
Total expenses | 1,380,194 |
Less expense reductions | (280,900) |
Net expenses | 1,099,294 |
Net investment income | 4,862,377 |
Realized and unrealized gain (loss) | |
Net realized gain (loss) on | |
Unaffiliated investments and foreign currency transactions | (9,048,096) |
Affiliated investments | (70) |
Futures contracts | (1,760,620) |
Forward foreign currency contracts | 139,481 |
Swap contracts | (1,983,097) |
(12,652,402) | |
Change in net unrealized appreciation (depreciation) of | |
Unaffiliated investments and translation of assets and liabilities in foreign currencies | 11,856,930 |
Futures contracts | 51,838 |
Forward foreign currency contracts | 60,786 |
Swap contracts | 1,232,778 |
13,202,332 | |
Net realized and unrealized gain | 549,930 |
Increase in net assets from operations | $5,412,307 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK Opportunistic Fixed Income Fund | 51 |
Year ended 8-31-23 | Year ended 8-31-22 | |
Increase (decrease) in net assets | ||
From operations | ||
Net investment income | $4,862,377 | $3,764,512 |
Net realized loss | (12,652,402) | (5,340,394) |
Change in net unrealized appreciation (depreciation) | 13,202,332 | (20,667,097) |
Increase (decrease) in net assets resulting from operations | 5,412,307 | (22,242,979) |
Distributions to shareholders | ||
From earnings | ||
Class A | (1,503,353) | (1,217,048) |
Class C | (51,526) | (22,958) |
Class I | (229,258) | (444,039) |
Class R6 | (34,323) | (1,021,827) |
Class 1 | (2,431,202) | (1,060,733) |
Total distributions | (4,249,662) | (3,766,605) |
From fund share transactions | ||
Fund share transactions | 9,928,065 | (41,614,668) |
Issued in reorganization | — | 94,289,023 |
From fund share transactions | 9,928,065 | 52,674,355 |
Total increase | 11,090,710 | 26,664,771 |
Net assets | ||
Beginning of year | 113,534,785 | 86,870,014 |
End of year | $124,625,495 | $113,534,785 |
52 | JOHN HANCOCK Opportunistic Fixed Income Fund | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
CLASS A SHARES Period ended | 8-31-23 | 8-31-22 | 8-31-211 |
Per share operating performance | |||
Net asset value, beginning of period | $11.44 | $13.66 | $13.52 |
Net investment income2 | 0.47 | 0.35 | 0.07 |
Net realized and unrealized gain (loss) on investments | 0.10 | (2.30) | 0.07 |
Total from investment operations | 0.57 | (1.95) | 0.14 |
Less distributions | |||
From net investment income | (0.43) | (0.27) | — |
Net asset value, end of period | $11.58 | $11.44 | $13.66 |
Total return (%)3,4 | 5.31 | (14.51) | 1.045 |
Ratios and supplemental data | |||
Net assets, end of period (in millions) | $36 | $41 | $—6 |
Ratios (as a percentage of average net assets): | |||
Expenses before reductions | 1.42 | 1.39 | 1.537 |
Expenses including reductions | 1.17 | 1.17 | 1.167 |
Net investment income | 4.11 | 2.88 | 2.227 |
Portfolio turnover (%) | 92 | 1428 | 619 |
1 | The inception date for Class A shares is 6-4-21. |
2 | Based on average daily shares outstanding. |
3 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
4 | Does not reflect the effect of sales charges, if any. |
5 | Not annualized. |
6 | Less than $500,000. |
7 | Annualized. |
8 | Excludes merger activity. |
9 | Portfolio turnover is shown for the period from 9-1-20 to 8-31-21. |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK Opportunistic Fixed Income Fund | 53 |
CLASS C SHARES Period ended | 8-31-23 | 8-31-22 | 8-31-211 |
Per share operating performance | |||
Net asset value, beginning of period | $11.46 | $13.64 | $13.52 |
Net investment income2 | 0.38 | 0.26 | 0.05 |
Net realized and unrealized gain (loss) on investments | 0.12 | (2.32) | 0.07 |
Total from investment operations | 0.50 | (2.06) | 0.12 |
Less distributions | |||
From net investment income | (0.39) | (0.12) | — |
Net asset value, end of period | $11.57 | $11.46 | $13.64 |
Total return (%)3,4 | 4.54 | (15.15) | 0.895 |
Ratios and supplemental data | |||
Net assets, end of period (in millions) | $1 | $2 | $—6 |
Ratios (as a percentage of average net assets): | |||
Expenses before reductions | 2.17 | 2.14 | 2.287 |
Expenses including reductions | 1.92 | 1.92 | 1.917 |
Net investment income | 3.36 | 2.12 | 1.527 |
Portfolio turnover (%) | 92 | 1428 | 619 |
1 | The inception date for Class C shares is 6-4-21. |
2 | Based on average daily shares outstanding. |
3 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
4 | Does not reflect the effect of sales charges, if any. |
5 | Not annualized. |
6 | Less than $500,000. |
7 | Annualized. |
8 | Excludes merger activity. |
9 | Portfolio turnover is shown for the period from 9-1-20 to 8-31-21. |
54 | JOHN HANCOCK Opportunistic Fixed Income Fund | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
CLASS I SHARES Period ended | 8-31-23 | 8-31-22 | 8-31-211 |
Per share operating performance | |||
Net asset value, beginning of period | $11.43 | $13.67 | $13.52 |
Net investment income2 | 0.51 | 0.38 | 0.07 |
Net realized and unrealized gain (loss) on investments | 0.10 | (2.31) | 0.08 |
Total from investment operations | 0.61 | (1.93) | 0.15 |
Less distributions | |||
From net investment income | (0.45) | (0.31) | — |
Net asset value, end of period | $11.59 | $11.43 | $13.67 |
Total return (%)3 | 5.54 | (14.24) | 1.114 |
Ratios and supplemental data | |||
Net assets, end of period (in millions) | $19 | $7 | $—5 |
Ratios (as a percentage of average net assets): | |||
Expenses before reductions | 1.17 | 1.14 | 1.286 |
Expenses including reductions | 0.92 | 0.92 | 0.916 |
Net investment income | 4.49 | 3.03 | 2.116 |
Portfolio turnover (%) | 92 | 1427 | 618 |
1 | The inception date for Class I shares is 6-4-21. |
2 | Based on average daily shares outstanding. |
3 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
4 | Not annualized. |
5 | Less than $500,000. |
6 | Annualized. |
7 | Excludes merger activity. |
8 | Portfolio turnover is shown for the period from 9-1-20 to 8-31-21. |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK Opportunistic Fixed Income Fund | 55 |
CLASS R6 SHARES Period ended | 8-31-23 | 8-31-22 | 8-31-211 |
Per share operating performance | |||
Net asset value, beginning of period | $11.43 | $13.68 | $13.52 |
Net investment income2 | 0.53 | 0.37 | 0.08 |
Net realized and unrealized gain (loss) on investments | 0.08 | (2.28) | 0.08 |
Total from investment operations | 0.61 | (1.91) | 0.16 |
Less distributions | |||
From net investment income | (0.45) | (0.34) | — |
Net asset value, end of period | $11.59 | $11.43 | $13.68 |
Total return (%)3 | 5.60 | (14.16) | 1.184 |
Ratios and supplemental data | |||
Net assets, end of period (in millions) | $4 | $1 | $50 |
Ratios (as a percentage of average net assets): | |||
Expenses before reductions | 1.06 | 1.03 | 1.185 |
Expenses including reductions | 0.81 | 0.81 | 0.815 |
Net investment income | 4.64 | 2.80 | 2.495 |
Portfolio turnover (%) | 92 | 1426 | 617 |
1 | The inception date for Class R6 shares is 6-4-21. |
2 | Based on average daily shares outstanding. |
3 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
4 | Not annualized. |
5 | Annualized. |
6 | Excludes merger activity. |
7 | Portfolio turnover is shown for the period from 9-1-20 to 8-31-21. |
56 | JOHN HANCOCK Opportunistic Fixed Income Fund | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
CLASS 1 SHARES Period ended | 8-31-23 | 8-31-22 | 8-31-21 | 8-31-20 | 8-31-19 |
Per share operating performance | |||||
Net asset value, beginning of period | $11.42 | $13.67 | $13.98 | $13.27 | $12.72 |
Net investment income1 | 0.50 | 0.38 | 0.36 | 0.23 | 0.24 |
Net realized and unrealized gain (loss) on investments | 0.11 | (2.30) | 0.03 | 0.94 | 0.48 |
Total from investment operations | 0.61 | (1.92) | 0.39 | 1.17 | 0.72 |
Less distributions | |||||
From net investment income | (0.45) | (0.33) | (0.70) | (0.46) | (0.17) |
Net asset value, end of period | $11.58 | $11.42 | $13.67 | $13.98 | $13.27 |
Total return (%)2 | 5.58 | (14.23) | 2.84 | 9.15 | 5.75 |
Ratios and supplemental data | |||||
Net assets, end of period (in millions) | $64 | $63 | $36 | $41 | $47 |
Ratios (as a percentage of average net assets): | |||||
Expenses before reductions | 1.10 | 1.08 | 1.22 | 1.663 | 1.203 |
Expenses including reductions | 0.85 | 0.85 | 0.85 | 0.963 | 1.163 |
Net investment income | 4.44 | 3.16 | 2.62 | 1.77 | 2.05 |
Portfolio turnover (%) | 92 | 1424 | 61 | 2245 | 53 |
1 | Based on average daily shares outstanding. |
2 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
3 | Includes interest expense of 0.09% and 0.26% for the year ended August 31, 2020 and the year ended August 31, 2019, respectively. |
4 | Excludes merger activity. |
5 | Increase in portfolio turnover rate resulted from repositioning of the portfolio during the period in accordance with investment policy changes approved by the Board of Trustees. |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK Opportunistic Fixed Income Fund | 57 |
58 | JOHN HANCOCK Opportunistic Fixed Income Fund | ANNUAL REPORT |
Total value at 8-31-23 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Investments in securities: | ||||
Assets | ||||
U.S. Government and Agency obligations | $43,398,986 | — | $43,398,986 | — |
Foreign government obligations | 44,195,684 | — | 44,195,684 | — |
Corporate bonds | 14,444,994 | — | 14,444,994 | — |
Convertible bonds | 4,509,958 | — | 4,509,958 | — |
Term loans | 5,124,733 | — | 5,124,733 | — |
Collateralized mortgage obligations | 4,532,540 | — | 4,532,540 | — |
Asset backed securities | 3,659,518 | — | 3,659,518 | — |
Common stocks | 32,915 | $24,220 | — | $8,695 |
Preferred securities | 750,772 | 749,159 | 1,613 | — |
Exchange-traded funds | 155,844 | 155,844 | — | — |
Escrow certificates | 46 | — | — | 46 |
Short-term investments | 28,403,194 | 28,403,194 | — | — |
Total investments in securities | $149,209,184 | $29,332,417 | $119,868,026 | $8,741 |
ANNUAL REPORT | JOHN HANCOCK Opportunistic Fixed Income Fund | 59 |
Total value at 8-31-23 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Derivatives: | ||||
Assets | ||||
Futures | $392,281 | $392,281 | — | — |
Forward foreign currency contracts | 371,829 | — | $371,829 | — |
Swap contracts | 777,989 | — | 777,989 | — |
Liabilities | ||||
Futures | (46,051) | (46,051) | — | — |
Forward foreign currency contracts | (340,518) | — | (340,518) | — |
Swap contracts | (1,459,056) | — | (1,459,056) | — |
Level 3 includes securities valued at $0. Refer to Fund’s investments. |
60 | JOHN HANCOCK Opportunistic Fixed Income Fund | ANNUAL REPORT |
ANNUAL REPORT | JOHN HANCOCK Opportunistic Fixed Income Fund | 61 |
62 | JOHN HANCOCK Opportunistic Fixed Income Fund | ANNUAL REPORT |
August 31, 2023 | August 31, 2022 | |
Ordinary income | $4,249,662 | $3,766,605 |
ANNUAL REPORT | JOHN HANCOCK Opportunistic Fixed Income Fund | 63 |
64 | JOHN HANCOCK Opportunistic Fixed Income Fund | ANNUAL REPORT |
ANNUAL REPORT | JOHN HANCOCK Opportunistic Fixed Income Fund | 65 |
66 | JOHN HANCOCK Opportunistic Fixed Income Fund | ANNUAL REPORT |
Risk | Statement of assets and liabilities location | Financial instruments location | Assets derivatives fair value | Liabilities derivatives fair value |
Interest rate | Receivable/payable for futures variation margin1 | Futures | $392,281 | $(46,051) |
Currency | Unrealized appreciation (depreciation) on forward foreign currency contracts | Forward foreign currency contracts | 371,829 | (340,518) |
Credit | Swap contracts, at value2 | Credit default swaps | 656,007 | (357,923) |
Interest rate | Swap contracts, at value | Total return swaps | 36,623 | (93,271) |
Interest rate | Swap contracts, at value2 | Interest rate swaps | 69,051 | (959,209) |
Inflation | Swap contracts, at value | Inflation swaps | 16,308 | (48,653) |
$1,542,099 | $(1,845,625) |
1 | Reflects cumulative appreciation/depreciation on open futures as disclosed in the Derivatives section of Fund’s investments. Only the year end variation margin receivable/payable is separately reported on the Statement of assets and liabilities. |
2 | Reflects cumulative value of swap contracts. Receivable/payable for centrally cleared swaps, which includes value and margin, and swap contracts at value, which represents OTC swaps, are shown separately on the Statement of assets and liabilities. |
ANNUAL REPORT | JOHN HANCOCK Opportunistic Fixed Income Fund | 67 |
Statement of operations location - Net realized gain (loss) on: | ||||
Risk | Futures contracts | Forward foreign currency contracts | Swap contracts | Total |
Interest rate | $(1,760,620) | — | $(1,596,459) | $(3,357,079) |
Currency | — | $139,481 | — | 139,481 |
Credit | — | — | (213,267) | (213,267) |
Inflation | — | — | (173,371) | (173,371) |
Total | $(1,760,620) | $139,481 | $(1,983,097) | $(3,604,236) |
Statement of operations location - Change in net unrealized appreciation (depreciation) of: | ||||
Risk | Futures contracts | Forward foreign currency contracts | Swap contracts | Total |
Interest rate | $51,838 | — | $1,638,257 | $1,690,095 |
Currency | — | $60,786 | — | 60,786 |
Credit | — | — | (462,128) | (462,128) |
Inflation | — | — | 56,649 | 56,649 |
Total | $51,838 | $60,786 | $1,232,778 | $1,345,402 |
68 | JOHN HANCOCK Opportunistic Fixed Income Fund | ANNUAL REPORT |
Class | Expense reduction |
Class A | $92,866 |
Class C | 3,699 |
Class I | 25,932 |
Class | Expense reduction |
Class R6 | $4,985 |
Class 1 | 153,418 |
Total | $280,900 |
Class | Rule 12b-1 Fee |
Class A | 0.25% |
Class C | 1.00% |
Class 1 | 0.05% |
ANNUAL REPORT | JOHN HANCOCK Opportunistic Fixed Income Fund | 69 |
Class | Distribution and service fees | Transfer agent fees |
Class A | $93,819 | $43,170 |
Class C | 14,922 | 1,713 |
Class I | — | 11,501 |
Class R6 | — | 122 |
Class 1 | 30,838 | — |
Total | $139,579 | $56,506 |
Borrower or Lender | Weighted Average Loan Balance | Days Outstanding | Weighted Average Interest Rate | Interest Income (Expense) | |
Lender | $5,540,000 | 5 | 4.667% | $3,591 |
70 | JOHN HANCOCK Opportunistic Fixed Income Fund | ANNUAL REPORT |
Year Ended 8-31-23 | Year Ended 8-31-22 | |||
Shares | Amount | Shares | Amount | |
Class A shares | ||||
Sold | 345,198 | $3,969,928 | 101,942 | $1,229,764 |
Issued in reorganization (Note 9) | — | — | 5,073,351 | 67,630,816 |
Distributions reinvested | 135,878 | 1,502,289 | 97,996 | 1,215,988 |
Repurchased | (980,222) | (11,096,135) | (1,661,986) | (20,049,186) |
Net increase (decrease) | (499,146) | $(5,623,918) | 3,611,303 | $50,027,382 |
Class C shares | ||||
Sold | 57,890 | $639,248 | 276 | $3,461 |
Issued in reorganization (Note 9) | — | — | 215,078 | 2,855,762 |
Distributions reinvested | 4,642 | 51,526 | 1,908 | 22,889 |
Repurchased | (76,008) | (849,281) | (83,017) | (988,742) |
Net increase (decrease) | (13,476) | $(158,507) | 134,245 | $1,893,370 |
Class I shares | ||||
Sold | 1,591,705 | $18,471,967 | 187,348 | $2,368,805 |
Issued in reorganization (Note 9) | — | — | 1,778,097 | 23,732,623 |
Distributions reinvested | 20,785 | 229,082 | 35,061 | 443,246 |
Repurchased | (585,649) | (6,598,640) | (1,402,104) | (17,326,349) |
Net increase | 1,026,841 | $12,102,409 | 598,402 | $9,218,325 |
Class R6 shares | ||||
Sold | 368,109 | $4,238,607 | 678,597 | $8,674,407 |
Issued in reorganization (Note 9) | — | — | 5,228 | 69,822 |
Distributions reinvested | 3,107 | 34,323 | 5,170 | 61,848 |
Repurchased | (73,108) | (826,663) | (4,285,220) | (50,414,978) |
Net increase (decrease) | 298,108 | $3,446,267 | (3,596,225) | $(41,608,901) |
Class 1 shares | ||||
Sold | 836,247 | $9,643,746 | 3,914,042 | $46,466,242 |
Distributions reinvested | 220,422 | 2,431,202 | 87,581 | 1,060,733 |
Repurchased | (1,047,346) | (11,913,134) | (1,164,879) | (14,382,796) |
Net increase | 9,323 | $161,814 | 2,836,744 | $33,144,179 |
Total net increase | 821,650 | $9,928,065 | 3,584,469 | $52,674,355 |
ANNUAL REPORT | JOHN HANCOCK Opportunistic Fixed Income Fund | 71 |
Dividends and distributions | |||||||||
Affiliate | Ending share amount | Beginning value | Cost of purchases | Proceeds from shares sold | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Income distributions received | Capital gain distributions received | Ending value |
John Hancock Collateral Trust* | — | — | $779,708 | $(779,638) | $(70) | — | $255 | — | — |
* | Refer to the Securities lending note within Note 2 for details regarding this investment. |
Acquiring Portfolio | Acquired Portfolio | Net Asset Value of the Acquired Portfolio | Depreciation of the Acquired Portfolio’s Investments | Shares Redeemed by the Acquired Portfolio | Shares Issued by the Acquiring Portfolio | Acquiring Portfolio Net Assets Prior to Combination | Acquiring Portfolio Total Net Assets After Combination |
Opportunistic Fixed Income Fund | Short Duration Credit Opportunities Fund | $94,289,023 | ($977,122) | 9,816,061 | 7,071,754 | $85,743,663 | $180,032,686 |
72 | JOHN HANCOCK Opportunistic Fixed Income Fund | ANNUAL REPORT |
ANNUAL REPORT | JOHN HANCOCK Opportunistic Fixed Income Fund | 73 |
74 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT |
ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 75 |
76 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT |
(a) | the skills and competency with which the Advisor has in the past managed the Trust’s affairs and its subadvisory relationship, the Advisor’s oversight and monitoring of the Subadvisor’s investment performance and compliance programs, such as the Subadvisor’s compliance with fund policies and objectives, review of brokerage matters, including with respect to trade allocation and best execution and the Advisor’s timeliness in responding to performance issues; |
(b) | the background, qualifications and skills of the Advisor’s personnel; |
(c) | the Advisor’s compliance policies and procedures and its responsiveness to regulatory changes and fund industry developments; |
(d) | the Advisor’s administrative capabilities, including its ability to supervise the other service providers for the fund, as well as the Advisor’s oversight of any securities lending activity, its monitoring of class action litigation and collection of class action settlements on behalf of the fund, and bringing loss recovery actions on behalf of the fund; |
(e) | the financial condition of the Advisor and whether it has the financial wherewithal to provide a high level and quality of services to the fund; |
ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 77 |
(f) | the Advisor’s initiatives intended to improve various aspects of the Trust’s operations and investor experience with the fund; and |
(g) | the Advisor’s reputation and experience in serving as an investment advisor to the Trust and the benefit to shareholders of investing in funds that are part of a family of funds offering a variety of investments. |
(a) | reviewed information prepared by management regarding the fund’s performance; |
(b) | considered the comparative performance of an applicable benchmark index; |
(c) | considered the performance of comparable funds, if any, as included in the report prepared by an independent third-party provider of fund data; and |
(d) | took into account the Advisor’s analysis of the fund’s performance and its plans and recommendations regarding the Trust’s subadvisory arrangements generally. |
78 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT |
(a) | reviewed financial information of the Advisor; |
(b) | reviewed and considered information presented by the Advisor regarding the net profitability to the Advisor and its affiliates with respect to the fund; |
(c) | received and reviewed profitability information with respect to the John Hancock Fund Complex as a whole and with respect to the fund; |
(d) | received information with respect to the Advisor’s allocation methodologies used in preparing the profitability data and considered that the Advisor hired an independent third-party consultant to provide an analysis of the Advisor’s allocation methodologies; |
(e) | considered that the John Hancock insurance companies that are affiliates of the Advisor, as shareholders of the Trust directly or through their separate accounts, receive certain tax credits or deductions relating to foreign taxes paid and dividends received by certain funds of the Trust and noted that these tax benefits, which are not available to participants in qualified retirement plans under applicable income tax law, are reflected in the profitability information reviewed by the Board; |
(f) | considered that the Advisor also provides administrative services to the fund on a cost basis pursuant to an administrative services agreement; |
(g) | noted that affiliates of the Advisor provide transfer agency services and distribution services to the fund, and that the fund’s distributor also receives Rule 12b-1 payments to support distribution of the fund; |
(h) | noted that the Advisor also derives reputational and other indirect benefits from providing advisory services to the fund; |
(i) | noted that the subadvisory fee for the fund is paid by the Advisor and is negotiated at arm’s length; |
(j) | considered the Advisor’s ongoing costs and expenditures necessary to improve services, meet new regulatory and compliance requirements, and adapt to other challenges impacting the fund industry; and |
(k) | considered that the Advisor should be entitled to earn a reasonable level of profits in exchange for the level of services it provides to the fund and the risks that it assumes as Advisor including entrepreneurial, operational, reputational, litigation and regulatory risk. |
(a) | considered that the Advisor has contractually agreed to waive a portion of its management fee for certain funds of the John Hancock Fund Complex, including the fund (the participating portfolios) or otherwise reimburse the expenses of the participating portfolios (the reimbursement). This waiver is |
ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 79 |
based upon aggregate net assets of all the participating portfolios. The amount of the reimbursement is calculated daily and allocated among all the participating portfolios in proportion to the daily net assets of each fund; | |
(b) | reviewed the fund’s advisory fee structure and concluded that: (i) the fund’s fee structure contains breakpoints at the subadvisory fee level and that such breakpoints are reflected as breakpoints in the advisory fees for the fund; and (ii) although economies of scale cannot be measured with precision, these arrangements permit shareholders of the fund to benefit from economies of scale if the fund grows. The Board also took into account management’s discussion of the fund’s advisory fee structure; and |
(c) | the Board also considered the effect of the fund’s growth in size on its performance and fees. The Board also noted that if the fund’s assets increase over time, the fund may realize other economies of scale |
(1) | information relating to the Subadvisor’s business, including current subadvisory services to the Trust (and other funds in the John Hancock Fund Complex); |
(2) | the historical and current performance of the fund and comparative performance information relating to an applicable benchmark index and comparable funds; |
(3) | the subadvisory fee for the fund, including any breakpoints, and to the extent available, comparable fee information prepared by an independent third party provider of fund data; and |
(4) | information relating to the nature and scope of any material relationships and their significance to the Trust’s Advisor and Subadvisor. |
80 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT |
(1) | the Subadvisor has extensive experience and demonstrated skills as a manager; |
(2) | the performance of the fund has generally been in line with or outperformed the historical performance of comparable funds and the fund’s benchmark index; |
(3) | the subadvisory fees are reasonable in relation to the level and quality of services being provided under the Subadvisory Agreement; and |
(4) | the subadvisory fees are paid by the Advisor not the fund and that the subadvisory fee breakpoints are reflected as breakpoints in the advisory fees for the fund in order to permit shareholders to benefit from economies of scale if the fund grows. |
ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 81 |
82 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT |
• | The Fund’s investment strategy remained appropriate for an open-end fund structure; |
• | The Fund was able to meet requests for redemption without significant dilution of remaining shareholders’ interests in the Fund; |
ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 83 |
• | The Fund did not experience any breaches of the 15% limit on illiquid investments, or any applicable HLIM, that would require reporting to the Securities and Exchange Commission; |
• | The Fund continued to qualify as a Primarily Highly Liquid Fund under the Liquidity Rule and therefore is not required to establish a HLIM; and |
• | The Chief Compliance Officer’s office, as a part of their annual Rule 38a-1 assessment of the Fund’s policies and procedures, reviewed the LRMP’s control environment and deemed it to be operating effectively and in compliance with the Board approved procedures. |
84 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT |
Independent Trustees | ||
Name, year of birth Position(s) held with Trust Principal occupation(s) and other directorships during past 5 years | Trustee of the Trust since1 | Number of John Hancock funds overseen by Trustee |
Hassell H. McClellan,2 Born: 1945 | 2005 | 186 |
Trustee and Chairperson of the Board | ||
Director/Trustee, Virtus Funds (2008-2020); Director, The Barnes Group (2010-2021); Associate Professor, The Wallace E. Carroll School of Management, Boston College (retired 2013). Trustee (since 2005) and Chairperson of the Board (since 2017) of various trusts within the John Hancock Fund Complex. | ||
James R. Boyle, Born: 1959 | 2015 | 183 |
Trustee | ||
Board Member, United of Omaha Life Insurance Company (since 2022). Board Member, Mutual of Omaha Investor Services, Inc. (since 2022). Foresters Financial, Chief Executive Officer (2018–2022) and board member (2017–2022). Manulife Financial and John Hancock, more than 20 years, retiring in 2012 as Chief Executive Officer, John Hancock and Senior Executive Vice President, Manulife Financial. Trustee of various trusts within the John Hancock Fund Complex (2005–2014 and since 2015). | ||
William H. Cunningham,3 Born: 1944 | 2012 | 184 |
Trustee | ||
Professor, University of Texas, Austin, Texas (since 1971); former Chancellor, University of Texas System and former President of the University of Texas, Austin, Texas; Director (since 2006), Lincoln National Corporation (insurance); Director, Southwest Airlines (since 2000). Trustee of various trusts within the John Hancock Fund Complex (since 1986). | ||
Noni L. Ellison,* Born: 1971 | 2022 | 183 |
Trustee | ||
Senior Vice President, General Counsel & Corporate Secretary, Tractor Supply Company (rural lifestyle retailer) (since 2021); General Counsel, Chief Compliance Officer & Corporate Secretary, Carestream Dental, L.L.C.(2017–2021); Associate General Counsel & Assistant Corporate Secretary, W.W. Grainger, Inc. (global industrial supplier) (2015–2017); Board Member, Goodwill of North Georgia, 2018 (FY2019)–2020 (FY2021); Board Member, Howard University School of Law Board of Visitors (since 2021); Board Member, University of Chicago Law School Board of Visitors (since 2016); Board member, Children’s Healthcare of Atlanta Foundation Board (2021–present). Trustee of various trusts within the John Hancock Fund Complex (since 2022). | ||
Grace K. Fey, Born: 1946 | 2008 | 186 |
Trustee | ||
Chief Executive Officer, Grace Fey Advisors (since 2007); Director and Executive Vice President, Frontier Capital Management Company (1988–2007); Director, Fiduciary Trust (since 2009). Trustee of various trusts within the John Hancock Fund Complex (since 2008). | ||
Dean C. Garfield,* Born: 1968 | 2022 | 183 |
Trustee | ||
Vice President, Netflix, Inc. (since 2019); President & Chief Executive Officer, Information Technology Industry Council (2009–2019); NYU School of Law Board of Trustees (since 2021); Member, U.S. Department of Transportation, Advisory Committee on Automation (since 2021); President of the United States Trade Advisory Council (2010–2018); Board Member, College for Every Student (2017–2021); Board Member, The Seed School of Washington, D.C. (2012–2017). Trustee of various trusts within the John Hancock Fund Complex (since 2022). |
ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 85 |
Independent Trustees (continued) | ||
Name, year of birth Position(s) held with Trust Principal occupation(s) and other directorships during past 5 years | Trustee of the Trust since1 | Number of John Hancock funds overseen by Trustee |
Deborah C. Jackson, Born: 1952 | 2012 | 185 |
Trustee | ||
President, Cambridge College, Cambridge, Massachusetts (since 2011); Board of Directors, Amwell Corporation (since 2020); Board of Directors, Massachusetts Women’s Forum (2018-2020); Board of Directors, National Association of Corporate Directors/New England (2015-2020); Chief Executive Officer, American Red Cross of Massachusetts Bay (2002–2011); Board of Directors of Eastern Bank Corporation (since 2001); Board of Directors of Eastern Bank Charitable Foundation (since 2001); Board of Directors of Boston Stock Exchange (2002–2008); Board of Directors of Harvard Pilgrim Healthcare (health benefits company) (2007–2011). Trustee of various trusts within the John Hancock Fund Complex (since 2008). | ||
Steven R. Pruchansky, Born: 1944 | 2012 | 183 |
Trustee and Vice Chairperson of the Board | ||
Managing Director, Pru Realty (since 2017); Chairman and Chief Executive Officer, Greenscapes of Southwest Florida, Inc. (2014-2020); Director and President, Greenscapes of Southwest Florida, Inc. (until 2000); Member, Board of Advisors, First American Bank (until 2010); Managing Director, Jon James, LLC (real estate) (since 2000); Partner, Right Funding, LLC (2014-2017); Director, First Signature Bank & Trust Company (until 1991); Director, Mast Realty Trust (until 1994); President, Maxwell Building Corp. (until 1991). Trustee (since 1992), Chairperson of the Board (2011–2012), and Vice Chairperson of the Board (since 2012) of various trusts within the John Hancock Fund Complex. | ||
Frances G. Rathke,3 Born: 1960 | 2020 | 183 |
Trustee | ||
Director, Audit Committee Chair, Oatly Group AB (plant-based drink company) (since 2021); Director, Audit Committee Chair and Compensation Committee Member, Green Mountain Power Corporation (since 2016); Director, Treasurer and Finance & Audit Committee Chair, Flynn Center for Performing Arts (since 2016); Director and Audit Committee Chair, Planet Fitness (since 2016); Chief Financial Officer and Treasurer, Keurig Green Mountain, Inc. (2003-retired 2015). Trustee of various trusts within the John Hancock Fund Complex (since 2020). | ||
Gregory A. Russo, Born: 1949 | 2012 | 183 |
Trustee | ||
Director and Audit Committee Chairman (2012-2020), and Member, Audit Committee and Finance Committee (2011-2020), NCH Healthcare System, Inc. (holding company for multi-entity healthcare system); Director and Member (2012-2018), and Finance Committee Chairman (2014-2018), The Moorings, Inc. (nonprofit continuing care community); Global Vice Chairman, Risk & Regulatory Matters, KPMG LLP (KPMG) (2002–2006); Vice Chairman, Industrial Markets, KPMG (1998–2002). Trustee of various trusts within the John Hancock Fund Complex (since 2008). |
86 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT |
Non-Independent Trustees4 | ||
Name, year of birth Position(s) held with Trust Principal occupation(s) and other directorships during past 5 years | Trustee of the Trust since1 | Number of John Hancock funds overseen by Trustee |
Andrew G. Arnott, Born: 1971 | 2017 | 184 |
Non-Independent Trustee | ||
Global Head of Retail for Manulife (since 2022); Head of Wealth and Asset Management, United States and Europe, for John Hancock and Manulife (2018-2023); Director and Chairman, John Hancock Investment Management LLC (since 2005, including prior positions); Director and Chairman, John Hancock Variable Trust Advisers LLC (since 2006, including prior positions); Director and Chairman, John Hancock Investment Management Distributors LLC (since 2004, including prior positions); President of various trusts within the John Hancock Fund Complex (2007-2023, including prior positions). Trustee of various trusts within the John Hancock Fund Complex (since 2017). | ||
Paul Lorentz,† Born: 1968 | 2022 | 183 |
Non-Independent Trustee | ||
Global Head, Manulife Wealth and Asset Management (since 2017); General Manager, Manulife, Individual Wealth Management and Insurance (2013–2017); President, Manulife Investments (2010–2016). Trustee of various trusts within the John Hancock Fund Complex (since 2022). |
Principal officers who are not Trustees | |
Name, year of birth Position(s) held with Trust Principal occupation(s) during past 5 years | Current Position(s) with the Trust since |
Kristie M. Feinberg, Born: 1975 | 2023 |
President | |
Head of Wealth and Asset Management, United States and Europe, for John Hancock and Manulife (since 2023); CFO and Global Head of Strategy, Manulife Investment Management (2021-2023, including prior positions); CFO Americas & Global Head of Treasury, Invesco, Ltd., Invesco US (2019-2020, including prior positions); Senior Vice President, Corporate Treasurer and Business Controller, Oppenheimer Funds (2001-2019, including prior positions); President of various trusts within the John Hancock Fund Complex (since 2023). | |
Charles A. Rizzo, Born: 1957 | 2007 |
Chief Financial Officer | |
Vice President, John Hancock Financial Services (since 2008); Senior Vice President, John Hancock Investment Management LLC and John Hancock Variable Trust Advisers LLC (since 2008); Chief Financial Officer of various trusts within the John Hancock Fund Complex (since 2007). | |
Salvatore Schiavone, Born: 1965 | 2009 |
Treasurer | |
Assistant Vice President, John Hancock Financial Services (since 2007); Vice President, John Hancock Investment Management LLC and John Hancock Variable Trust Advisers LLC (since 2007); Treasurer of various trusts within the John Hancock Fund Complex (since 2007, including prior positions). |
ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 87 |
Principal officers who are not Trustees (continued) | |
Name, year of birth Position(s) held with Trust Principal occupation(s) during past 5 years | Current Position(s) with the Trust since |
Christopher (Kit) Sechler, Born: 1973 | 2018 |
Secretary and Chief Legal Officer | |
Vice President and Deputy Chief Counsel, John Hancock Investment Management (since 2015); Assistant Vice President and Senior Counsel (2009–2015), John Hancock Investment Management; Assistant Secretary of John Hancock Investment Management LLC and John Hancock Variable Trust Advisers LLC (since 2009); Chief Legal Officer and Secretary of various trusts within the John Hancock Fund Complex (since 2009, including prior positions). | |
Trevor Swanberg, Born: 1979 | 2020 |
Chief Compliance Officer | |
Chief Compliance Officer, John Hancock Investment Management LLC and John Hancock Variable Trust Advisers LLC (since 2020); Deputy Chief Compliance Officer, John Hancock Investment Management LLC and John Hancock Variable Trust Advisers LLC (2019–2020); Assistant Chief Compliance Officer, John Hancock Investment Management LLC and John Hancock Variable Trust Advisers LLC (2016–2019); Vice President, State Street Global Advisors (2015–2016); Chief Compliance Officer of various trusts within the John Hancock Fund Complex (since 2016, including prior positions). |
1 | Each Trustee holds office until his or her successor is duly elected and qualified, or until the Trustee’s death, retirement, resignation, or removal. Mr. Boyle has served as Trustee at various times prior to the date listed in the table. |
2 | Member of the Audit Committee as of September 26, 2023. |
3 | Member of the Audit Committee. |
4 | The Trustee is a Non-Independent Trustee due to current or former positions with the Advisor and certain affiliates. |
* | Elected to serve as Independent Trustee effective as of September 9, 2022. |
† | Elected to serve as Non-Independent Trustee effective as of September 9, 2022. |
88 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT |
Steven R. Pruchansky, Vice Chairperson
Andrew G. Arnott†
James R. Boyle
William H. Cunningham*
Grace K. Fey
Noni L. Ellison^
Dean C. Garfield^
Deborah C. Jackson
Patricia Lizarraga*,^,§
Frances G. Rathke*
Gregory A. Russo
President
Chief Financial Officer
Treasurer
Secretary and Chief Legal Officer
Chief Compliance Officer
Brij S. Khurana
You can also contact us: | ||
800-225-5291 | Regular mail: | Express mail: |
jhinvestments.com | John Hancock Signature Services, Inc. P.O. Box 219909 Kansas City, MO 64121-9909 | John Hancock Signature Services, Inc. 430 W 7th Street Suite 219909 Kansas City, MO 64105-1407 |
ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 89 |
GOVERNANCE FUNDS
with a heritage of financial stewardship dating back to 1862. Helping
our shareholders pursue their financial goals is at the core of everything
we do. It’s why we support the role of professional financial advice
and operate with the highest standards of conduct and integrity.
We search the world to find proven portfolio teams with specialized
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200 Berkeley Street, Boston, MA 02116-5010, 800-225-5291, jhinvestments.com
MF3099612 | 476A 8/23 |
3 | |
13 | |
15 | |
82 | |
85 | |
88 | |
90 | |
92 | |
110 | |
111 | |
112 | |
116 | |
120 | |
121 | |
124 |
Fund | Manager’s commentary and fund performance | Portfolio of investments | ||
4 | 15 | |||
5 | 16 | |||
6 | 25 | |||
7 | 37 | |||
8 | 39 |
Fund | Manager’s commentary and fund performance | Portfolio of investments | ||
9 | 46 | |||
10 | 71 | |||
11 | 73 | |||
12 | 74 |
2 |
Sector Composition (% of net assets) | |
Information technology | 39.3 |
Consumer discretionary | 24.1 |
Health care | 11.3 |
Communication services | 10.3 |
Financials | 8.7 |
Consumer staples | 3.0 |
Industrials | 2.2 |
Real estate | 0.9 |
Short-term investments and other | 0.2 |
PERFORMANCE TABLE | Average Annual Total Return | Cumulative Total Return | |||
Total returns for the period ended 8-31-23 (%) | 1-year | 5-year | 10-year | 5-year | 10-year |
Capital Appreciation Fund Class 1 | 25.42 | 11.98 | 15.01 | 76.08 | 304.97 |
Capital Appreciation Fund Class NAV | 25.49 | 12.03 | 15.07 | 76.51 | 307.08 |
Russell 1000 Growth Index | 21.94 | 13.81 | 15.63 | 90.93 | 327.13 |
Class 1 | Class NAV | |
Gross (%) | 0.79 | 0.74 |
Net (%) | 0.78 | 0.73 |
Portfolio Composition (% of net assets) | |
Common stocks | 65.0 |
U.S. Government | 11.1 |
Term loans | 10.7 |
Corporate bonds | 10.4 |
Preferred securities | 0.4 |
Short-term investments and other | 2.4 |
PERFORMANCE TABLE | Average Annual Total Return | Cumulative Total Return | |||
Total returns for the period ended 8-31-23 (%) | 1-year | 5-year | 10-year | 5-year | 10-year |
Capital Appreciation Value Fund Class NAV | 11.38 | 10.09 | 10.75 | 61.71 | 177.63 |
S&P 500 Index | 15.94 | 11.12 | 12.81 | 69.43 | 233.79 |
Blended Index | 9.04 | 7.14 | 8.41 | 41.14 | 124.15 |
Class NAV | |
Gross (%) | 0.87 |
Net (%) | 0.86 |
Portfolio Composition (% of total investments) | |
U.S. Government Agency | 29.1 |
U.S. Government | 24.8 |
Corporate bonds | 20.3 |
Collateralized mortgage obligations | 10.7 |
Asset backed securities | 9.3 |
Foreign government obligations | 0.6 |
Municipal bonds | 0.2 |
Short-term investments | 5.0 |
PERFORMANCE TABLE | Average Annual Total Return | Cumulative Total Return | |||
Total returns for the period ended 8-31-23 (%) | 1-year | 5-year | 10-year | 5-year | 10-year |
Core Bond Fund Class 1 | -1.11 | 0.32 | 1.32 | 1.62 | 13.96 |
Core Bond Fund Class NAV | -0.97 | 0.39 | 1.38 | 1.97 | 14.66 |
Bloomberg U.S. Aggregate Bond Index | -1.19 | 0.49 | 1.48 | 2.47 | 15.86 |
Class 1 | Class NAV | |
Gross (%) | 0.67 | 0.62 |
Net (%) | 0.66 | 0.61 |
Industry Composition (% of net assets) | |
Biotechnology | 30.5 |
Health care providers and services | 18.7 |
Pharmaceuticals | 18.4 |
Health care equipment and supplies | 15.8 |
Life sciences tools and services | 15.0 |
Health care technology | 1.0 |
Chemicals | 0.1 |
Specialty retail | 0.1 |
Short-term investments and other | 0.4 |
PERFORMANCE TABLE | Average Annual Total Return | Cumulative Total Return | |||
Total returns for the period ended 8-31-23 (%) | 1-year | 5-year | 10-year | 5-year | 10-year |
Health Sciences Fund Class NAV | 4.65 | 6.07 | 11.89 | 34.25 | 207.60 |
S&P 500 Index | 15.94 | 11.12 | 12.81 | 69.43 | 233.79 |
Lipper Health/Biotechnology Index | 5.11 | 4.77 | 10.71 | 26.24 | 176.63 |
Class NAV | |
Gross (%) | 1.00 |
Net (%) | 0.99 |
Portfolio Composition (% of net assets) | |
Corporate bonds | 81.8 |
Asset backed securities | 6.5 |
Term loans | 6.4 |
Convertible bonds | 0.7 |
Common stocks | 0.6 |
Preferred securities | 0.5 |
Foreign government obligations | 0.4 |
Short-term investments and other | 3.1 |
PERFORMANCE TABLE | Average Annual Total Return | Cumulative Total Return | |||
Total returns for the period ended 8-31-23 (%) | 1-year | 5-year | 10-year | 5-year | 10-year |
High Yield Fund Class 1 | 6.91 | 2.54 | 3.42 | 13.36 | 40.02 |
Bloomberg U.S. High Yield 2% Issuer Capped Index | 7.19 | 3.31 | 4.47 | 17.68 | 54.81 |
Class 1 | |
Gross (%) | 0.84 |
Net (%) | 0.83 |
Sector Composition (% of net assets) | |
Financials | 18.9 |
Industrials | 12.5 |
Consumer discretionary | 12.0 |
Information technology | 10.8 |
Health care | 10.1 |
Consumer staples | 8.6 |
Materials | 6.8 |
Communication services | 5.3 |
Energy | 5.0 |
Utilities | 3.3 |
Real estate | 1.9 |
Short-term investments and other | 4.8 |
PERFORMANCE TABLE | Average Annual Total Return | Cumulative Total Return | |||
Total returns for the period ended 8-31-23 (%) | 1-year | 5-year | Since inception | 5-year | Since inception |
International Strategic Equity Allocation Fund Class NAV (began 10/17/16) | 11.14 | 2.29 | 4.44 | 11.98 | 34.82 |
MSCI ACWI ex USA Index | 11.89 | 3.33 | 5.58 | 17.81 | 45.24 |
Class NAV | |
Gross (%) | 0.72 |
Net (%) | 0.71 |
Sector Composition (% of net assets) | |
Industrials | 16.9 |
Financials | 15.5 |
Information technology | 10.3 |
Health care | 10.1 |
Consumer staples | 7.5 |
Consumer discretionary | 7.4 |
Energy | 6.9 |
Utilities | 6.4 |
Real estate | 6.3 |
Materials | 5.6 |
Communication services | 4.0 |
Short-term investments and other | 3.1 |
PERFORMANCE TABLE | Average Annual Total Return | Cumulative Total Return | |||
Total returns for the period ended 8-31-23 (%) | 1-year | 5-year | 10-year | 5-year | 10-year |
Mid Value Fund Class NAV | 13.82 | 7.91 | 9.91 | 46.30 | 157.27 |
Russell Midcap Value Index | 5.65 | 6.12 | 8.93 | 34.57 | 135.12 |
Class NAV | |
Gross (%) | 0.92 |
Net (%) | 0.91 |
Sector Composition (% of net assets) | |
Information technology | 53.7 |
Consumer discretionary | 20.3 |
Communication services | 14.5 |
Financials | 5.6 |
Industrials | 0.7 |
Real estate | 0.4 |
Health care | 0.2 |
Short-term investments and other | 4.6 |
PERFORMANCE TABLE | Average Annual Total Return | Cumulative Total Return | |||
Total returns for the period ended 8-31-23 (%) | 1-year | 5-year | 10-year | 5-year | 10-year |
Science & Technology Fund Class NAV | 37.29 | 12.78 | 16.98 | 82.42 | 379.81 |
S&P 500 Index | 15.94 | 11.12 | 12.81 | 69.43 | 233.79 |
Lipper Science and Technology Index | 20.84 | 11.54 | 15.60 | 72.62 | 326.17 |
Class NAV | |
Gross (%) | 1.04 |
Net (%) | 1.03 |
Sector Composition (% of net assets) | |
Information technology | 28.7 |
Financials | 12.4 |
Health care | 12.1 |
Consumer discretionary | 11.3 |
Communication services | 9.8 |
Industrials | 8.4 |
Consumer staples | 5.3 |
Energy | 5.1 |
Materials | 2.3 |
Real estate | 1.6 |
Utilities | 0.6 |
Short-term investments and other | 2.4 |
PERFORMANCE TABLE | Average Annual Total Return | Cumulative Total Return | |||
Total returns for the period ended 8-31-23 (%) | 1-year | 5-year | Since inception | 5-year | Since inception |
U.S. Sector Rotation Fund Class NAV (began 9/26/16) | 15.27 | 9.74 | 12.23 | 59.13 | 122.46 |
S&P 500 Index | 15.94 | 11.12 | 13.19 | 69.43 | 136.09 |
Class NAV | |
Gross (%) | 0.66 |
Net (%) | 0.65 |
Account value on 3-1-2023 | Ending value on 8-31-2023 | Expenses paid during period ended 8-31-20231 | Annualized expense ratio | ||
Capital Appreciation Fund | |||||
Class 1 | Actual expenses/actual returns | $1,000.00 | $1,276.90 | $4.65 | 0.81% |
Hypothetical example | 1,000.00 | 1,021.10 | 4.13 | 0.81% | |
Class NAV | Actual expenses/actual returns | 1,000.00 | 1,277.40 | 4.36 | 0.76% |
Hypothetical example | 1,000.00 | 1,021.40 | 3.87 | 0.76% | |
Capital Appreciation Value Fund | |||||
Class NAV | Actual expenses/actual returns | $1,000.00 | $1,097.70 | $4.44 | 0.84% |
Hypothetical example | 1,000.00 | 1,021.00 | 4.28 | 0.84% | |
Core Bond Fund | |||||
Class 1 | Actual expenses/actual returns | $1,000.00 | $1,008.70 | $3.39 | 0.67% |
Hypothetical example | 1,000.00 | 1,021.80 | 3.41 | 0.67% | |
Class NAV | Actual expenses/actual returns | 1,000.00 | 1,009.90 | 3.19 | 0.63% |
Hypothetical example | 1,000.00 | 1,022.00 | 3.21 | 0.63% | |
Health Sciences Fund | |||||
Class NAV | Actual expenses/actual returns | $1,000.00 | $1,040.90 | $4.94 | 0.96% |
Hypothetical example | 1,000.00 | 1,020.40 | 4.89 | 0.96% | |
High Yield Fund | |||||
Class 1 | Actual expenses/actual returns | $1,000.00 | $1,042.80 | $4.48 | 0.87% |
Hypothetical example | 1,000.00 | 1,020.80 | 4.43 | 0.87% | |
International Strategic Equity Allocation Fund | |||||
Class NAV | Actual expenses/actual returns | $1,000.00 | $1,035.80 | $2.82 | 0.55% |
Hypothetical example | 1,000.00 | 1,022.40 | 2.80 | 0.55% | |
Mid Value Fund | |||||
Class NAV | Actual expenses/actual returns | $1,000.00 | $1,024.30 | $4.49 | 0.88% |
Hypothetical example | 1,000.00 | 1,020.80 | 4.48 | 0.88% | |
Science & Technology Fund | |||||
Class NAV | Actual expenses/actual returns | $1,000.00 | $1,274.80 | $5.68 | 0.99% |
Hypothetical example | 1,000.00 | 1,020.20 | 5.04 | 0.99% |
Account value on 3-1-2023 | Ending value on 8-31-2023 | Expenses paid during period ended 8-31-20231 | Annualized expense ratio | ||
U.S. Sector Rotation Fund | |||||
Class NAV | Actual expenses/actual returns | $1,000.00 | $1,145.60 | $2.92 | 0.54% |
Hypothetical example | 1,000.00 | 1,022.50 | 2.75 | 0.54% |
1 | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
Shares or Principal Amount | Value | ||||
COMMON STOCKS – 99.3% | |||||
Communication services – 10.3% | |||||
Entertainment – 1.7% | |||||
Netflix, Inc. (A) | 57,812 | $ | 25,071,908 | ||
Interactive media and services – 8.0% | |||||
Alphabet, Inc., Class A (A) | 244,162 | 33,247,540 | |||
Alphabet, Inc., Class C (A) | 243,004 | 33,376,599 | |||
Meta Platforms, Inc., Class A (A) | 176,018 | 52,081,966 | |||
118,706,105 | |||||
Media – 0.6% | |||||
The Trade Desk, Inc., Class A (A) | 104,381 | 8,353,611 | |||
152,131,624 | |||||
Consumer discretionary – 23.6% | |||||
Automobile components – 0.2% | |||||
Mobileye Global, Inc., Class A (A) | 99,899 | 3,547,413 | |||
Automobiles – 4.6% | |||||
Tesla, Inc. (A) | 263,725 | 68,062,148 | |||
Broadline retail – 7.1% | |||||
Amazon.com, Inc. (A) | 575,829 | 79,470,160 | |||
MercadoLibre, Inc. (A) | 19,148 | 26,277,949 | |||
105,748,109 | |||||
Hotels, restaurants and leisure – 2.9% | |||||
Airbnb, Inc., Class A (A) | 114,349 | 15,042,611 | |||
Chipotle Mexican Grill, Inc. (A) | 4,241 | 8,170,880 | |||
Marriott International, Inc., Class A | 53,902 | 10,969,596 | |||
McDonald's Corp. | 31,141 | 8,755,292 | |||
42,938,379 | |||||
Specialty retail – 4.2% | |||||
O'Reilly Automotive, Inc. (A) | 18,795 | 17,661,662 | |||
The Home Depot, Inc. | 56,184 | 18,557,575 | |||
The TJX Companies, Inc. | 176,437 | 16,316,894 | |||
Ulta Beauty, Inc. (A) | 23,032 | 9,558,971 | |||
62,095,102 | |||||
Textiles, apparel and luxury goods – 4.6% | |||||
Lululemon Athletica, Inc. (A) | 62,698 | 23,904,239 | |||
LVMH Moet Hennessy Louis Vuitton SE | 37,243 | 31,494,817 | |||
NIKE, Inc., Class B | 120,133 | 12,218,727 | |||
67,617,783 | |||||
350,008,934 | |||||
Consumer staples – 3.0% | |||||
Consumer staples distribution and retail – 1.9% | |||||
Costco Wholesale Corp. | 52,322 | 28,739,428 | |||
Personal care products – 1.1% | |||||
L'Oreal SA | 35,204 | 15,462,727 | |||
44,202,155 | |||||
Financials – 8.7% | |||||
Capital markets – 2.5% | |||||
Moody's Corp. | 20,284 | 6,831,651 | |||
S&P Global, Inc. | 47,496 | 18,564,287 | |||
The Goldman Sachs Group, Inc. | 33,655 | 11,029,080 | |||
36,425,018 | |||||
Consumer finance – 0.4% | |||||
American Express Company | 41,816 | 6,606,510 | |||
Financial services – 5.8% | |||||
Mastercard, Inc., Class A | 95,924 | 39,582,079 | |||
Visa, Inc., Class A | 188,465 | 46,302,081 | |||
85,884,160 | |||||
128,915,688 | |||||
Health care – 11.3% | |||||
Biotechnology – 1.3% | |||||
Argenx SE, ADR (A) | 8,651 | 4,347,041 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Biotechnology (continued) | |||||
Vertex Pharmaceuticals, Inc. (A) | 44,755 | $ | 15,589,957 | ||
19,936,998 | |||||
Health care equipment and supplies – 1.8% | |||||
DexCom, Inc. (A) | 73,264 | 7,398,199 | |||
Intuitive Surgical, Inc. (A) | 60,396 | 18,884,621 | |||
26,282,820 | |||||
Health care providers and services – 0.9% | |||||
UnitedHealth Group, Inc. | 29,467 | 14,043,383 | |||
Pharmaceuticals – 7.3% | |||||
AstraZeneca PLC, ADR | 291,489 | 19,768,784 | |||
Eli Lilly & Company | 98,152 | 54,395,838 | |||
Novo Nordisk A/S, ADR | 179,226 | 33,267,930 | |||
107,432,552 | |||||
167,695,753 | |||||
Industrials – 2.2% | |||||
Ground transportation – 2.2% | |||||
Uber Technologies, Inc. (A) | 677,608 | 32,003,426 | |||
Information technology – 39.3% | |||||
IT services – 2.1% | |||||
MongoDB, Inc. (A) | 36,015 | 13,732,520 | |||
Snowflake, Inc., Class A (A) | 106,907 | 16,768,363 | |||
30,500,883 | |||||
Semiconductors and semiconductor equipment – 15.9% | |||||
Advanced Micro Devices, Inc. (A) | 395,378 | 41,799,362 | |||
ASML Holding NV, NYRS | 24,517 | 16,194,214 | |||
Broadcom, Inc. | 39,770 | 36,703,335 | |||
Micron Technology, Inc. | 103,345 | 7,227,949 | |||
NVIDIA Corp. | 271,293 | 133,896,664 | |||
235,821,524 | |||||
Software – 15.0% | |||||
Adobe, Inc. (A) | 48,070 | 26,887,474 | |||
Cadence Design Systems, Inc. (A) | 62,381 | 14,998,888 | |||
Crowdstrike Holdings, Inc., Class A (A) | 70,676 | 11,522,308 | |||
HubSpot, Inc. (A) | 8,625 | 4,713,735 | |||
Microsoft Corp. | 354,841 | 116,302,686 | |||
Salesforce, Inc. (A) | 128,161 | 28,382,535 | |||
ServiceNow, Inc. (A) | 33,129 | 19,507,349 | |||
222,314,975 | |||||
Technology hardware, storage and peripherals – 6.3% | |||||
Apple, Inc. | 500,381 | 94,006,578 | |||
582,643,960 | |||||
Real estate – 0.9% | |||||
Specialized REITs – 0.9% | |||||
American Tower Corp. | 73,785 | 13,378,696 | |||
TOTAL COMMON STOCKS (Cost $618,218,734) | $ | 1,470,980,236 | |||
PREFERRED SECURITIES – 0.5% | |||||
Consumer discretionary – 0.5% | |||||
Automobiles – 0.5% | |||||
Dr. Ing. h.c. F. Porsche AG (B) | 68,344 | 7,537,646 | |||
TOTAL PREFERRED SECURITIES (Cost $5,526,458) | $ | 7,537,646 |
The accompanying notes are an integral part of the financial statements. | 15 |
Shares or Principal Amount | Value | ||||
SHORT-TERM INVESTMENTS – 0.4% | |||||
Short-term funds – 0.4% | |||||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 5.2681% (C) | 5,374,366 | $ | 5,374,366 | ||
TOTAL SHORT-TERM INVESTMENTS (Cost $5,374,366) | $ | 5,374,366 | |||
Total Investments (Capital Appreciation Fund) (Cost $629,119,558) – 100.2% | $ | 1,483,892,248 | |||
Other assets and liabilities, net – (0.2%) | (2,711,279) | ||||
TOTAL NET ASSETS – 100.0% | $ | 1,481,180,969 |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
NYRS | New York Registry Shares |
(A) | Non-income producing security. |
(B) | These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration. |
(C) | The rate shown is the annualized seven-day yield as of 8-31-23. |
Shares or Principal Amount | Value | ||||
COMMON STOCKS – 65.0% | |||||
Communication services – 3.7% | |||||
Interactive media and services – 3.7% | |||||
Alphabet, Inc., Class A (A)(B) | 248,907 | $ | 33,893,666 | ||
Meta Platforms, Inc., Class A (B) | 29,174 | 8,632,295 | |||
42,525,961 | |||||
Consumer discretionary – 5.2% | |||||
Automobile components – 0.3% | |||||
Mobileye Global, Inc., Class A (B) | 101,642 | 3,609,307 | |||
Broadline retail – 2.4% | |||||
Amazon.com, Inc. (A)(B) | 196,098 | 27,063,485 | |||
Hotels, restaurants and leisure – 2.5% | |||||
Hilton Worldwide Holdings, Inc. (A) | 53,147 | 7,900,302 | |||
Starbucks Corp. (A) | 25,200 | 2,455,488 | |||
Yum! Brands, Inc. (A) | 145,264 | 18,794,256 | |||
29,150,046 | |||||
59,822,838 | |||||
Consumer staples – 0.6% | |||||
Beverages – 0.6% | |||||
Keurig Dr. Pepper, Inc. | 225,072 | 7,573,673 | |||
Energy – 1.6% | |||||
Oil, gas and consumable fuels – 1.6% | |||||
Canadian Natural Resources, Ltd. | 133,720 | 8,650,347 | |||
Chesapeake Energy Corp. | 77,500 | 6,836,275 | |||
EOG Resources, Inc. | 26,690 | 3,432,868 | |||
18,919,490 | |||||
Financials – 7.3% | |||||
Banks – 0.6% | |||||
The PNC Financial Services Group, Inc. | 59,787 | 7,218,085 | |||
Capital markets – 3.5% | |||||
CME Group, Inc. (A) | 14,085 | 2,854,748 | |||
Intercontinental Exchange, Inc. | 153,667 | 18,131,169 | |||
KKR & Company, Inc. (A) | 146,397 | 9,195,196 | |||
S&P Global, Inc. (A) | 6,885 | 2,691,071 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Capital markets (continued) | |||||
The Goldman Sachs Group, Inc. | 22,000 | $ | 7,209,620 | ||
40,081,804 | |||||
Financial services – 2.5% | |||||
Mastercard, Inc., Class A (A) | 38,346 | 15,823,093 | |||
Visa, Inc., Class A (A) | 54,796 | 13,462,281 | |||
29,285,374 | |||||
Insurance – 0.7% | |||||
Marsh & McLennan Companies, Inc. (A) | 39,951 | 7,790,045 | |||
84,375,308 | |||||
Health care – 15.8% | |||||
Biotechnology – 2.2% | |||||
AbbVie, Inc. | 88,973 | 13,075,472 | |||
Biogen, Inc. (B) | 39,316 | 10,511,526 | |||
Karuna Therapeutics, Inc. (B) | 8,031 | 1,507,901 | |||
25,094,899 | |||||
Health care equipment and supplies – 3.7% | |||||
Becton, Dickinson and Company (A) | 91,151 | 25,472,147 | |||
GE HealthCare Technologies, Inc. (A) | 74,415 | 5,242,537 | |||
Stryker Corp. (A) | 17,900 | 5,075,545 | |||
Teleflex, Inc. | 34,680 | 7,377,823 | |||
43,168,052 | |||||
Health care providers and services – 3.2% | |||||
Humana, Inc. | 12,500 | 5,770,375 | |||
UnitedHealth Group, Inc. | 64,728 | 30,848,071 | |||
36,618,446 | |||||
Life sciences tools and services – 5.8% | |||||
Avantor, Inc. (B) | 500,084 | 10,826,819 | |||
Danaher Corp. | 81,522 | 21,603,330 | |||
Revvity, Inc. | 179,637 | 21,022,918 | |||
Thermo Fisher Scientific, Inc. | 25,857 | 14,404,935 | |||
67,858,002 | |||||
Pharmaceuticals – 0.9% | |||||
Eli Lilly & Company | 18,159 | 10,063,718 | |||
182,803,117 | |||||
Industrials – 7.8% | |||||
Aerospace and defense – 0.3% | |||||
RTX Corp. | 47,100 | 4,052,484 | |||
Commercial services and supplies – 1.5% | |||||
Republic Services, Inc. | 8,750 | 1,261,138 | |||
Waste Connections, Inc. | 121,732 | 16,676,067 | |||
17,937,205 | |||||
Electrical equipment – 0.5% | |||||
AMETEK, Inc. | 33,526 | 5,347,732 | |||
Industrial conglomerates – 0.5% | |||||
General Electric Company (A) | 47,650 | 5,454,019 | |||
Machinery – 3.6% | |||||
Fortive Corp. | 327,777 | 25,845,216 | |||
Ingersoll Rand, Inc. (A) | 233,208 | 16,233,609 | |||
42,078,825 | |||||
Professional services – 1.4% | |||||
Equifax, Inc. | 47,723 | 9,864,344 | |||
TransUnion (A) | 77,702 | 6,310,956 | |||
16,175,300 | |||||
91,045,565 | |||||
Information technology – 15.7% | |||||
Electronic equipment, instruments and components – 1.3% | |||||
TE Connectivity, Ltd. | 8,856 | 1,172,446 |
The accompanying notes are an integral part of the financial statements. | 16 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Electronic equipment, instruments and components (continued) | |||||
Teledyne Technologies, Inc. (B) | 32,206 | $ | 13,471,770 | ||
14,644,216 | |||||
Semiconductors and semiconductor equipment – 3.6% | |||||
Analog Devices, Inc. | 30,000 | 5,453,400 | |||
NVIDIA Corp. | 35,992 | 17,763,852 | |||
NXP Semiconductors NV (A) | 47,202 | 9,710,395 | |||
Texas Instruments, Inc. (A) | 55,635 | 9,350,018 | |||
42,277,665 | |||||
Software – 8.6% | |||||
Aurora Innovation, Inc. (B)(C) | 1,653,210 | 5,240,676 | |||
Black Knight, Inc. (B) | 82,230 | 6,229,745 | |||
Intuit, Inc. | 18,512 | 10,029,987 | |||
Microsoft Corp. (A) | 155,436 | 50,945,697 | |||
PTC, Inc. (B) | 48,127 | 7,082,851 | |||
Roper Technologies, Inc. | 26,266 | 13,108,310 | |||
Salesforce, Inc. (A)(B) | 30,546 | 6,764,717 | |||
99,401,983 | |||||
Technology hardware, storage and peripherals – 2.2% | |||||
Apple, Inc. | 138,700 | 26,057,569 | |||
182,381,433 | |||||
Materials – 0.9% | |||||
Chemicals – 0.9% | |||||
Linde PLC (A) | 27,106 | 10,491,106 | |||
Utilities – 6.4% | |||||
Electric utilities – 2.9% | |||||
Exelon Corp. | 420,706 | 16,878,725 | |||
Xcel Energy, Inc. | 297,217 | 16,980,007 | |||
33,858,732 | |||||
Multi-utilities – 3.5% | |||||
Ameren Corp. | 216,589 | 17,169,010 | |||
CenterPoint Energy, Inc. | 234,912 | 6,551,696 | |||
DTE Energy Company | 105,234 | 10,879,091 | |||
WEC Energy Group, Inc. | 73,100 | 6,149,172 | |||
40,748,969 | |||||
74,607,701 | |||||
TOTAL COMMON STOCKS (Cost $626,478,628) | $ | 754,546,192 | |||
PREFERRED SECURITIES – 0.4% | |||||
Financials – 0.0% | |||||
Capital markets – 0.0% | |||||
The Charles Schwab Corp., 5.950% | 8,000 | 198,800 | |||
Utilities – 0.4% | |||||
Electric utilities – 0.1% | |||||
SCE Trust IV, 5.375% (5.375% to 9-15-25, then 3 month LIBOR + 3.132%) | 34,784 | 730,464 | |||
Multi-utilities – 0.3% | |||||
CMS Energy Corp., 5.875% | 71,243 | 1,699,146 | |||
CMS Energy Corp., 5.875% | 63,712 | 1,534,822 | |||
NiSource, Inc., 6.500% (6.500% to 3-15-24, then 5 Year CMT + 3.632%) | 14,343 | 357,141 | |||
3,591,109 | |||||
4,321,573 | |||||
TOTAL PREFERRED SECURITIES (Cost $4,802,050) | $ | 4,520,373 | |||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 11.1% | |||||
U.S. Government – 11.1% | |||||
U.S. Treasury Notes | |||||
3.375%, 05/15/2033 | $ | 58,503,000 | 55,111,654 | ||
3.500%, 02/15/2033 | 47,732,600 | 45,457,843 |
Shares or Principal Amount | Value | ||||
U.S. Government and Agency obligations (continued) | |||||
U.S. Government (continued) | |||||
U.S. Treasury Notes (continued) | |||||
3.875%, 08/15/2033 | $ | 12,044,300 | $ | 11,829,761 | |
4.125%, 11/15/2032 | 16,717,300 | 16,709,464 | |||
129,108,722 | |||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $132,390,171) | $ | 129,108,722 | |||
CORPORATE BONDS - 10.4% | |||||
Communication services - 1.1% | |||||
CCO Holdings LLC | |||||
5.000%, 02/01/2028 (D) | 5,162,000 | 4,756,762 | |||
5.125%, 05/01/2027 (D) | 6,953,000 | 6,536,445 | |||
5.500%, 05/01/2026 (D) | 325,000 | 317,416 | |||
Lamar Media Corp. | |||||
3.625%, 01/15/2031 | 120,000 | 100,200 | |||
3.750%, 02/15/2028 | 754,000 | 684,934 | |||
4.875%, 01/15/2029 | 137,000 | 127,410 | |||
Live Nation Entertainment, Inc. 4.875%, 11/01/2024 (D) | 90,000 | 88,407 | |||
12,611,574 | |||||
Consumer discretionary - 2.9% | |||||
Cedar Fair LP | |||||
5.250%, 07/15/2029 | 1,719,000 | 1,547,393 | |||
5.375%, 04/15/2027 | 1,913,000 | 1,808,509 | |||
5.500%, 05/01/2025 (D) | 1,606,000 | 1,593,338 | |||
6.500%, 10/01/2028 | 1,537,000 | 1,485,844 | |||
Clarios Global LP | |||||
6.250%, 05/15/2026 (D) | 689,000 | 682,368 | |||
6.750%, 05/15/2025 (D) | 539,000 | 538,793 | |||
8.500%, 05/15/2027 (D) | 1,465,000 | 1,479,748 | |||
Hilton Domestic Operating Company, Inc. | |||||
3.625%, 02/15/2032 (D) | 1,381,000 | 1,154,924 | |||
3.750%, 05/01/2029 (D) | 1,224,000 | 1,078,339 | |||
4.000%, 05/01/2031 (D) | 1,841,000 | 1,600,208 | |||
4.875%, 01/15/2030 | 1,106,000 | 1,031,800 | |||
5.375%, 05/01/2025 (D) | 541,000 | 535,104 | |||
5.750%, 05/01/2028 (D) | 1,239,000 | 1,215,645 | |||
Hilton Worldwide Finance LLC 4.875%, 04/01/2027 | 379,000 | 365,268 | |||
KFC Holding Company/Pizza Hut Holdings LLC/Taco Bell of America LLC 4.750%, 06/01/2027 (D) | 3,113,000 | 2,996,263 | |||
Life Time, Inc. 5.750%, 01/15/2026 (D) | 1,160,000 | 1,131,748 | |||
Service Corp. International 3.375%, 08/15/2030 | 669,000 | 552,256 | |||
Six Flags Entertainment Corp. 5.500%, 04/15/2027 (D) | 2,622,000 | 2,467,958 | |||
Six Flags Theme Parks, Inc. 7.000%, 07/01/2025 (D) | 669,000 | 668,831 | |||
Vail Resorts, Inc. 6.250%, 05/15/2025 (D) | 418,000 | 416,534 | |||
Yum! Brands, Inc. | |||||
3.625%, 03/15/2031 | 1,239,000 | 1,050,702 | |||
4.625%, 01/31/2032 | 2,357,000 | 2,108,901 | |||
4.750%, 01/15/2030 (D) | 1,106,000 | 1,018,479 | |||
5.350%, 11/01/2043 | 2,072,000 | 1,822,937 | |||
5.375%, 04/01/2032 | 2,622,000 | 2,460,751 | |||
6.875%, 11/15/2037 | 511,000 | 538,280 | |||
33,350,921 |
The accompanying notes are an integral part of the financial statements. | 17 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Energy - 0.0% | |||||
Pioneer Natural Resources Company | |||||
1.125%, 01/15/2026 | $ | 57,000 | $ | 51,671 | |
2.150%, 01/15/2031 | 36,000 | 29,174 | |||
5.100%, 03/29/2026 | 205,000 | 203,406 | |||
284,251 | |||||
Financials - 3.0% | |||||
Alliant Holdings Intermediate LLC | |||||
4.250%, 10/15/2027 (D) | 375,000 | 340,474 | |||
5.875%, 11/01/2029 (D) | 609,000 | 533,296 | |||
6.750%, 10/15/2027 to 04/15/2028 (D) | 5,163,000 | 5,027,069 | |||
AmWINS Group, Inc. 4.875%, 06/30/2029 (D) | 570,000 | 511,431 | |||
BroadStreet Partners, Inc. 5.875%, 04/15/2029 (D) | 795,000 | 699,623 | |||
HUB International, Ltd. | |||||
5.625%, 12/01/2029 (D) | 908,000 | 802,953 | |||
7.000%, 05/01/2026 (D) | 7,262,000 | 7,248,392 | |||
7.250%, 06/15/2030 (D) | 11,507,000 | 11,712,860 | |||
Intercontinental Exchange, Inc. 4.000%, 09/15/2027 | 167,000 | 160,081 | |||
MSCI, Inc. | |||||
3.250%, 08/15/2033 (D) | 738,000 | 593,749 | |||
3.625%, 09/01/2030 to 11/01/2031 (D) | 2,760,000 | 2,369,738 | |||
3.875%, 02/15/2031 (D) | 1,165,000 | 1,016,447 | |||
4.000%, 11/15/2029 (D) | 958,000 | 861,851 | |||
Ryan Specialty LLC 4.375%, 02/01/2030 (D) | 80,000 | 71,503 | |||
USI, Inc. 6.875%, 05/01/2025 (D) | 2,826,000 | 2,821,422 | |||
34,770,889 | |||||
Health care - 1.3% | |||||
Avantor Funding, Inc. | |||||
3.875%, 11/01/2029 (D) | 2,539,000 | 2,226,731 | |||
4.625%, 07/15/2028 (D) | 2,874,000 | 2,667,888 | |||
Charles River Laboratories International, Inc. | |||||
3.750%, 03/15/2029 (D) | 1,232,000 | 1,087,400 | |||
4.000%, 03/15/2031 (D) | 899,000 | 776,345 | |||
4.250%, 05/01/2028 (D) | 310,000 | 284,565 | |||
Heartland Dental LLC | |||||
8.500%, 05/01/2026 (D) | 1,686,000 | 1,584,840 | |||
10.500%, 04/30/2028 (D) | 1,169,000 | 1,180,690 | |||
Hologic, Inc. 3.250%, 02/15/2029 (D) | 609,000 | 528,968 | |||
IQVIA, Inc. | |||||
5.000%, 05/15/2027 (D) | 350,000 | 336,906 | |||
5.700%, 05/15/2028 (D) | 1,562,000 | 1,556,200 | |||
6.500%, 05/15/2030 (D) | 391,000 | 393,093 | |||
PRA Health Sciences, Inc. 2.875%, 07/15/2026 (D) | 436,000 | 397,783 | |||
Surgery Center Holdings, Inc. 10.000%, 04/15/2027 (D) | 808,000 | 822,106 | |||
Teleflex, Inc. | |||||
4.250%, 06/01/2028 (D) | 145,000 | 133,200 | |||
4.625%, 11/15/2027 | 952,000 | 897,755 | |||
14,874,470 | |||||
Industrials - 1.6% | |||||
Booz Allen Hamilton, Inc. | |||||
3.875%, 09/01/2028 (D) | 692,000 | 628,329 | |||
4.000%, 07/01/2029 (D) | 416,000 | 373,345 | |||
5.950%, 08/04/2033 | 363,000 | 367,145 | |||
Delta Air Lines, Inc. 4.750%, 10/20/2028 (D) | 925,000 | 888,238 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Industrials (continued) | |||||
General Electric Company 8.882%, (3 month LIBOR + 3.330%), 09/15/2023 (E)(F) | $ | 3,123,000 | $ | 3,123,000 | |
GFL Environmental, Inc. | |||||
4.000%, 08/01/2028 (D) | 526,000 | 469,570 | |||
4.375%, 08/15/2029 (D) | 520,000 | 459,951 | |||
4.750%, 06/15/2029 (D) | 1,220,000 | 1,105,218 | |||
Howmet Aerospace, Inc. | |||||
3.000%, 01/15/2029 | 550,000 | 474,342 | |||
5.900%, 02/01/2027 | 83,000 | 82,415 | |||
Korn Ferry 4.625%, 12/15/2027 (D) | 818,000 | 760,791 | |||
Lennox International, Inc. 3.000%, 11/15/2023 | 510,000 | 506,736 | |||
Mileage Plus Holdings LLC 6.500%, 06/20/2027 (D) | 1,812,906 | 1,806,580 | |||
Sensata Technologies BV | |||||
4.000%, 04/15/2029 (D) | 1,016,000 | 892,368 | |||
5.000%, 10/01/2025 (D) | 700,000 | 682,224 | |||
5.625%, 11/01/2024 (D) | 415,000 | 411,286 | |||
5.875%, 09/01/2030 (D) | 427,000 | 403,989 | |||
Sensata Technologies, Inc. | |||||
3.750%, 02/15/2031 (D) | 796,000 | 666,996 | |||
4.375%, 02/15/2030 (D) | 322,000 | 285,084 | |||
TransDigm UK Holdings PLC 6.875%, 05/15/2026 | 200,000 | 203,399 | |||
TransDigm, Inc. | |||||
5.500%, 11/15/2027 | 1,107,000 | 1,050,566 | |||
6.250%, 03/15/2026 (D) | 1,025,000 | 1,015,231 | |||
6.375%, 06/15/2026 | 145,000 | 144,984 | |||
United Airlines 2012-1 Class A Pass Through Trust 4.150%, 04/11/2024 | 675,391 | 664,085 | |||
US Airways 2012-2 Class A Pass Through Trust 4.625%, 06/03/2025 | 118,274 | 113,389 | |||
US Airways 2013-1 Class A Pass Through Trust 3.950%, 11/15/2025 | 267,161 | 251,183 | |||
17,830,444 | |||||
Information technology - 0.2% | |||||
Black Knight InfoServ LLC 3.625%, 09/01/2028 (D) | 264,000 | 242,880 | |||
Clarivate Science Holdings Corp. | |||||
3.875%, 07/01/2028 (D) | 299,000 | 263,464 | |||
4.875%, 07/01/2029 (D) | 220,000 | 191,853 | |||
Crowdstrike Holdings, Inc. 3.000%, 02/15/2029 | 150,000 | 128,970 | |||
Entegris Escrow Corp. 4.750%, 04/15/2029 (D) | 274,000 | 254,916 | |||
Gartner, Inc. | |||||
3.625%, 06/15/2029 (D) | 893,000 | 784,367 | |||
3.750%, 10/01/2030 (D) | 333,000 | 287,564 | |||
4.500%, 07/01/2028 (D) | 321,000 | 299,344 | |||
PTC, Inc. 4.000%, 02/15/2028 (D) | 166,000 | 152,513 | |||
2,605,871 | |||||
Materials - 0.1% | |||||
Ball Corp. 6.000%, 06/15/2029 | 1,342,000 | 1,322,918 | |||
Real estate - 0.2% | |||||
SBA Communications Corp. | |||||
3.125%, 02/01/2029 | 1,256,000 | 1,075,374 | |||
3.875%, 02/15/2027 | 1,659,000 | 1,533,863 |
The accompanying notes are an integral part of the financial statements. | 18 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Real estate (continued) | |||||
SBA Tower Trust 6.599%, 01/15/2028 (D) | $ | 68,000 | $ | 69,052 | |
2,678,289 | |||||
TOTAL CORPORATE BONDS (Cost $121,824,178) | $ | 120,329,627 | |||
TERM LOANS (G) – 10.7% | |||||
Communication services – 0.2% | |||||
Charter Communications Operating LLC, 2019 Term Loan B1 (1 and 3 month SOFR + 1.750%) 7.115%, 04/30/2025 | 1,427,192 | 1,427,334 | |||
Charter Communications Operating LLC, 2019 Term Loan B2 (1 and 3 month SOFR + 1.750%) 7.116%, 02/01/2027 | 891,133 | 886,570 | |||
2,313,904 | |||||
Consumer discretionary – 0.6% | |||||
Hilton Worldwide Finance LLC, 2019 Term Loan B2 (1 month SOFR + 1.750%) 7.165%, 06/22/2026 | 3,404,518 | 3,401,148 | |||
IRB Holding Corp., 2022 Term Loan B (1 month SOFR + 3.000%) 8.431%, 12/15/2027 | 2,792,384 | 2,775,211 | |||
New Red Finance, Inc., Term Loan B4 (1 month LIBOR + 1.750%) 7.196%, 11/19/2026 | 751,686 | 746,469 | |||
Woof Holdings, Inc., 1st Lien Term Loan (1 month SOFR + 3.750%) 9.185%, 12/21/2027 | 184,712 | 172,244 | |||
7,095,072 | |||||
Consumer staples – 0.2% | |||||
Sunshine Luxembourg VII Sarl, 2021 Term Loan B3 (3 month SOFR + 3.750%) 9.092%, 10/01/2026 | 2,685,927 | 2,687,431 | |||
Financials – 3.7% | |||||
Alliant Holdings Intermediate LLC, 2021 Term Loan B4 (1 month LIBOR + 3.500%) 8.935%, 11/06/2027 | 4,776,561 | 4,771,880 | |||
Alliant Holdings Intermediate LLC, 2023 Term Loan B5 (1 month SOFR + 3.500%) 8.814%, 11/05/2027 | 2,027,924 | 2,026,301 | |||
AssuredPartners, Inc., 2020 Term Loan B (1 month SOFR + 3.500%) 8.946%, 02/12/2027 | 173,572 | 172,921 | |||
AssuredPartners, Inc., 2021 Term Loan B (1 month SOFR + 3.500%) 8.946%, 02/12/2027 | 233,014 | 231,751 | |||
AssuredPartners, Inc., 2022 Term Loan (1 month SOFR + 3.500%) 8.831%, 02/12/2027 | 232,912 | 232,232 | |||
BroadStreet Partners, Inc., 2020 Term Loan B (1 month SOFR + 3.000%) 8.446%, 01/27/2027 | 50,254 | 49,780 | |||
BroadStreet Partners, Inc., 2023 Term Loan B3 (1 month SOFR + 4.000%) 9.331%, 01/27/2029 | 1,189,536 | 1,188,299 | |||
Howden Group Holdings, Ltd., 2021 Term Loan B (1 month LIBOR + 3.250%) 8.696%, 11/12/2027 | 3,858,352 | 3,830,880 | |||
HUB International, Ltd., 2022 Term Loan B (3 month SOFR + 4.000%) 9.365%, 11/10/2029 | 1,157,394 | 1,158,956 | |||
HUB International, Ltd., 2023 Term Loan B (3 month SOFR + 4.250%) 9.584%, 06/20/2030 | 19,172,000 | 19,223,956 |
Shares or Principal Amount | Value | ||||
TERM LOANS (G)(continued) | |||||
Financials (continued) | |||||
Ryan Specialty LLC, Term Loan (1 month SOFR + 3.000%) 8.331%, 09/01/2027 | $ | 1,002,701 | 1,001,869 | ||
USI, Inc., 2019 Incremental Term Loan B (3 month LIBOR + 3.250%) 8.788%, 12/02/2026 | 5,024,310 | 5,024,310 | |||
USI, Inc., 2022 Incremental Term Loan (3 month SOFR + 3.750%) 8.992%, 11/22/2029 | 4,298,044 | 4,299,119 | |||
43,212,254 | |||||
Health care – 1.8% | |||||
ADMI Corp., 2018 Term Loan B (1 month SOFR + 3.000%) 8.446%, 04/30/2025 | 894,946 | 858,450 | |||
ADMI Corp., 2021 Incremental Term Loan B3 (1 month SOFR + 3.750%) 9.196%, 12/23/2027 | 3,178,161 | 2,922,573 | |||
ADMI Corp., 2021 Term Loan B2 (1 month SOFR + 3.375%) 8.821%, 12/23/2027 | 1,913,668 | 1,741,840 | |||
athenahealth, Inc., 2022 Term Loan B (1 month SOFR + 3.500%) 8.820%, 02/15/2029 | 4,368,729 | 4,312,285 | |||
Avantor Funding, Inc., 2021 Term Loan B5 (1 month SOFR + 2.250%) 7.681%, 11/08/2027 | 655,948 | 656,059 | |||
Heartland Dental LLC, 2023 Term Loan B (1 month SOFR + 5.000%) 10.314%, 04/28/2028 | 4,108,094 | 4,037,394 | |||
Loire Finco Luxembourg Sarl, 2021 USD Term Loan B2 (1 month SOFR + 3.750%) 9.065%, 04/21/2027 | 555,690 | 541,798 | |||
Loire Finco Luxembourg Sarl, USD Term Loan B (1 month SOFR + 3.250%) 8.565%, 04/21/2027 | 3,132,425 | 3,050,199 | |||
PetVet Care Centers LLC, 2018 1st Lien Term Loan (1 month SOFR + 2.750%) 8.181%, 02/14/2025 | 349,400 | 345,033 | |||
PetVet Care Centers LLC, 2018 2nd Lien Term Loan (1 month SOFR + 6.250%) 11.681%, 02/13/2026 | 25,000 | 24,400 | |||
PetVet Care Centers LLC, 2018 Incremental Term Loan (1 month SOFR + 3.250%) 8.570%, 02/14/2025 | 1,081,086 | 1,070,611 | |||
PetVet Care Centers LLC, 2021 Term Loan B3 (1 month SOFR + 3.500%) 8.931%, 02/14/2025 | 1,285,635 | 1,275,196 | |||
20,835,838 | |||||
Industrials – 1.2% | |||||
Filtration Group Corp., 2021 Incremental Term Loan (1 month SOFR + 3.500%) 8.946%, 10/21/2028 | 869,716 | 864,645 | |||
Filtration Group Corp., 2023 EUR Term Loan TBD 10/21/2028 (H) | EUR | 2,283,423 | 2,463,651 | ||
Filtration Group Corp., 2023 USD Term Loan (1 month SOFR + 4.250%) 9.696%, 10/21/2028 | $ | 3,002,070 | 3,008,944 | ||
Mileage Plus Holdings LLC, 2020 Term Loan B (3 month LIBOR + 5.250%) 10.764%, 06/21/2027 | 4,769,900 | 4,968,804 | |||
SkyMiles IP, Ltd., 2020 Skymiles Term Loan B (3 month SOFR + 3.750%) 9.076%, 10/20/2027 | 1,659,700 | 1,725,889 |
The accompanying notes are an integral part of the financial statements. | 19 |
Shares or Principal Amount | Value | ||||
TERM LOANS (G)(continued) | |||||
Industrials (continued) | |||||
TransUnion LLC, 2019 Term Loan B5 (1 month SOFR + 1.750%) 7.181%, 11/16/2026 | $ | 797,237 | 795,747 | ||
13,827,680 | |||||
Information technology – 2.8% | |||||
Applied Systems, Inc., 2021 2nd Lien Term Loan (3 month SOFR + 6.750%) 11.992%, 09/17/2027 | 1,242,700 | 1,243,321 | |||
Applied Systems, Inc., 2022 Extended 1st Lien Term Loan (3 month SOFR + 4.500%) 9.742%, 09/18/2026 | 6,753,275 | 6,775,290 | |||
Azalea TopCo, Inc., 2021 Term Loan B (1 and 3 month SOFR + 3.750%) 9.196%, 07/24/2026 | 1,541,600 | 1,501,781 | |||
Azalea TopCo, Inc., 2022 Incremental Term Loan (3 month SOFR + 3.750%) 9.196%, 07/24/2026 | 721,379 | 703,345 | |||
Azalea TopCo, Inc., Term Loan (1 month SOFR + 3.500%) 8.820%, 07/24/2026 | 4,073,981 | 3,976,205 | |||
Epicor Software Corp., 2023 Incremental Term Loan TBD 07/30/2027 (H) | 143,715 | 143,806 | |||
Quartz Acquireco LLC, Term Loan B (1 month SOFR + 3.500%) 8.820%, 06/28/2030 | 239,886 | 239,586 | |||
RealPage, Inc., 1st Lien Term Loan (1 month SOFR + 3.000%) 8.446%, 04/24/2028 | 4,209,481 | 4,158,294 | |||
RealPage, Inc., 2nd Lien Term Loan (1 month SOFR + 6.500%) 11.946%, 04/23/2029 | 225,000 | 225,187 | |||
Sophia LP, 2021 Term Loan B (3 month LIBOR + 3.500%) 9.038%, 10/07/2027 | 1,872,186 | 1,867,898 | |||
Sophia LP, 2022 Incremental Term Loan B (1 month SOFR + 4.250%) 9.581%, 10/07/2027 | 561,762 | 558,077 | |||
Storable, Inc., Term Loan B (1 and 3 month SOFR + 3.500%) 8.833%, 04/17/2028 | 812,594 | 802,607 | |||
UKG, Inc., 2021 Term Loan (3 month SOFR + 3.250%) 8.618%, 05/04/2026 | 9,903,787 | 9,892,398 | |||
32,087,795 | |||||
Real estate – 0.2% | |||||
SBA Senior Finance II LLC, 2018 Term Loan B (1 month SOFR + 1.750%) 7.190%, 04/11/2025 | 1,702,960 | 1,703,063 | |||
TOTAL TERM LOANS (Cost $123,604,178) | $ | 123,763,037 |
Shares or Principal Amount | Value | ||||
SHORT-TERM INVESTMENTS – 2.6% | |||||
Short-term funds – 2.6% | |||||
John Hancock Collateral Trust, 5.4789% (I)(J) | 201,946 | $ | 2,018,771 | ||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 5.2681% (I) | 9,081,282 | 9,081,282 | |||
T. Rowe Price Government Reserve Fund, 5.3678% (I) | 19,070,825 | 19,070,825 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $30,170,092) | $ | 30,170,878 | |||
Total Investments (Capital Appreciation Value Fund) (Cost $1,039,269,297) – 100.2% | $ | 1,162,438,829 | |||
Other assets and liabilities, net – (0.2%) | (2,007,754) | ||||
TOTAL NET ASSETS – 100.0% | $ | 1,160,431,075 |
Currency Abbreviations | |
EUR | Euro |
Security Abbreviations and Legend | |
CMT | Constant Maturity Treasury |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
(A) | All or a portion of this security is segregated at the custodian as collateral for certain derivatives. |
(B) | Non-income producing security. |
(C) | All or a portion of this security is on loan as of 8-31-23. |
(D) | These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration. |
(E) | Perpetual bonds have no stated maturity date. Date shown as maturity date is next call date. |
(F) | Variable rate obligation. The coupon rate shown represents the rate at period end. |
(G) | Term loans are variable rate obligations. The rate shown represents the rate at period end. |
(H) | This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate, which is disclosed as TBD (To Be Determined). |
(I) | The rate shown is the annualized seven-day yield as of 8-31-23. |
(J) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
Options on securities | ||||||||
Counterparty (OTC)/ Exchange- traded | Name of issuer | Currency | Exercise price | Expiration date | Number of contracts | Notional amount | Premium | Value |
Calls | ||||||||
JPM | AbbVie, Inc. | USD | 145.00 | Jan 2024 | 8 | 800 | $4,482 | $(6,878) |
JPM | AbbVie, Inc. | USD | 150.00 | Jan 2024 | 8 | 800 | 3,053 | (4,680) |
CITI | AbbVie, Inc. | USD | 155.00 | Jan 2024 | 52 | 5,200 | 54,724 | (19,482) |
CITI | AbbVie, Inc. | USD | 155.00 | Jan 2024 | 51 | 5,100 | 49,062 | (19,107) |
CITI | AbbVie, Inc. | USD | 160.00 | Jan 2024 | 52 | 5,200 | 43,770 | (11,745) |
CITI | AbbVie, Inc. | USD | 160.00 | Jan 2024 | 52 | 5,200 | 39,624 | (11,745) |
CITI | AbbVie, Inc. | USD | 170.00 | Jan 2024 | 130 | 13,000 | 73,938 | (9,357) |
The accompanying notes are an integral part of the financial statements. | 20 |
Options on securities (continued) | ||||||||
Counterparty (OTC)/ Exchange- traded | Name of issuer | Currency | Exercise price | Expiration date | Number of contracts | Notional amount | Premium | Value |
Calls (continued) | ||||||||
JPM | AbbVie, Inc. | USD | 175.00 | Jan 2024 | 65 | 6,500 | $32,937 | $(2,536) |
JPM | AbbVie, Inc. | USD | 180.00 | Jan 2024 | 33 | 3,300 | 32,844 | (692) |
JPM | AbbVie, Inc. | USD | 180.00 | Jan 2024 | 64 | 6,400 | 30,708 | (1,341) |
JPM | AbbVie, Inc. | USD | 185.00 | Jan 2024 | 33 | 3,300 | 27,409 | (382) |
JPM | AbbVie, Inc. | USD | 195.00 | Jan 2024 | 33 | 3,300 | 18,505 | (121) |
JPM | AbbVie, Inc. | USD | 200.00 | Jan 2024 | 33 | 3,300 | 15,049 | (73) |
WFB | Alphabet, Inc., Class A | USD | 120.00 | Jan 2024 | 306 | 30,600 | 241,458 | (662,919) |
CITI | Alphabet, Inc., Class A | USD | 142.00 | Jan 2024 | 155 | 15,500 | 99,694 | (118,136) |
WFB | Amazon.com, Inc. | USD | 120.00 | Jan 2024 | 98 | 9,800 | 72,961 | (236,441) |
WFB | Amazon.com, Inc. | USD | 132.50 | Jan 2024 | 232 | 23,200 | 222,609 | (356,472) |
WFB | Amazon.com, Inc. | USD | 135.00 | Jan 2024 | 167 | 16,700 | 156,053 | (231,507) |
UBS | Analog Devices, Inc. | USD | 200.00 | Jan 2024 | 30 | 3,000 | 23,992 | (16,232) |
UBS | Analog Devices, Inc. | USD | 200.00 | Jan 2024 | 8 | 800 | 9,234 | (4,328) |
UBS | Analog Devices, Inc. | USD | 210.00 | Jan 2024 | 8 | 800 | 6,227 | (2,455) |
UBS | Analog Devices, Inc. | USD | 210.00 | Jun 2024 | 8 | 800 | 11,085 | (7,105) |
UBS | Analog Devices, Inc. | USD | 220.00 | Jun 2024 | 8 | 800 | 8,302 | (5,062) |
JPM | Apple, Inc. | USD | 195.00 | Jan 2024 | 78 | 7,800 | 56,187 | (64,910) |
JPM | Apple, Inc. | USD | 195.00 | Jan 2024 | 16 | 1,600 | 15,760 | (13,315) |
JPM | Apple, Inc. | USD | 200.00 | Jan 2024 | 78 | 7,800 | 42,557 | (48,124) |
JPM | Apple, Inc. | USD | 205.00 | Jan 2024 | 16 | 1,600 | 9,255 | (7,086) |
GSI | Becton, Dickinson and Company | USD | 270.00 | Jan 2024 | 50 | 5,000 | 74,350 | (103,472) |
GSI | Becton, Dickinson and Company | USD | 280.00 | Jan 2024 | 50 | 5,000 | 55,850 | (71,353) |
GSI | Becton, Dickinson and Company | USD | 290.00 | Jan 2024 | 17 | 1,700 | 25,031 | (15,718) |
GSI | Becton, Dickinson and Company | USD | 290.00 | Jan 2024 | 17 | 1,700 | 10,988 | (15,718) |
GSI | Becton, Dickinson and Company | USD | 300.00 | Jan 2024 | 17 | 1,700 | 19,946 | (9,341) |
GSI | Becton, Dickinson and Company | USD | 300.00 | Jan 2024 | 17 | 1,700 | 7,853 | (9,341) |
WFB | CME Group, Inc. | USD | 190.00 | Jan 2024 | 12 | 1,200 | 15,706 | (22,887) |
WFB | CME Group, Inc. | USD | 200.00 | Jan 2024 | 12 | 1,200 | 10,830 | (14,666) |
WFB | CME Group, Inc. | USD | 210.00 | Jan 2024 | 12 | 1,200 | 6,675 | (8,347) |
JPM | Danaher Corp. | USD | 290.00 | Jan 2024 | 1 | 100 | 2,163 | (699) |
JPM | Danaher Corp. | USD | 290.00 | Jan 2024 | 16 | 1,600 | 41,739 | (11,179) |
JPM | Danaher Corp. | USD | 290.00 | Jan 2024 | 66 | 6,600 | 107,349 | (46,111) |
JPM | Danaher Corp. | USD | 300.00 | Jan 2024 | 1 | 100 | 1,811 | (443) |
JPM | Danaher Corp. | USD | 300.00 | Jan 2024 | 16 | 1,600 | 35,321 | (7,091) |
JPM | Danaher Corp. | USD | 310.00 | Jan 2024 | 1 | 100 | 1,510 | (268) |
JPM | Danaher Corp. | USD | 310.00 | Jan 2024 | 16 | 1,600 | 29,543 | (4,291) |
JPM | Danaher Corp. | USD | 320.00 | Jan 2024 | 1 | 100 | 1,218 | (155) |
JPM | Danaher Corp. | USD | 320.00 | Jan 2024 | 16 | 1,600 | 24,885 | (2,483) |
CITI | Equifax, Inc. | USD | 220.00 | Dec 2023 | 11 | 1,100 | 27,370 | (7,184) |
CITI | Equifax, Inc. | USD | 220.00 | Dec 2023 | 8 | 800 | 18,869 | (5,225) |
CITI | Equifax, Inc. | USD | 220.00 | Dec 2023 | 7 | 700 | 17,588 | (4,572) |
CITI | Equifax, Inc. | USD | 220.00 | Dec 2023 | 2 | 200 | 6,348 | (1,306) |
CITI | Equifax, Inc. | USD | 220.00 | Dec 2023 | 1 | 100 | 3,276 | (653) |
CITI | Equifax, Inc. | USD | 220.00 | Dec 2023 | 10 | 1,000 | 14,994 | (6,531) |
CITI | Equifax, Inc. | USD | 220.00 | Dec 2023 | 15 | 1,500 | 23,579 | (9,797) |
CITI | Equifax, Inc. | USD | 220.00 | Dec 2023 | 25 | 2,500 | 34,129 | (16,328) |
CITI | Equifax, Inc. | USD | 240.00 | Dec 2023 | 11 | 1,100 | 18,732 | (2,146) |
CITI | Equifax, Inc. | USD | 240.00 | Dec 2023 | 8 | 800 | 12,813 | (1,561) |
CITI | Equifax, Inc. | USD | 240.00 | Dec 2023 | 7 | 700 | 12,054 | (1,366) |
CITI | Equifax, Inc. | USD | 240.00 | Dec 2023 | 2 | 200 | 4,470 | (390) |
CITI | Equifax, Inc. | USD | 240.00 | Dec 2023 | 1 | 100 | 2,289 | (195) |
CITI | Equifax, Inc. | USD | 240.00 | Dec 2023 | 65 | 6,500 | 110,367 | (12,680) |
CITI | Equifax, Inc. | USD | 230.00 | Jan 2024 | 7 | 700 | 9,119 | (3,733) |
CITI | Equifax, Inc. | USD | 240.00 | Jan 2024 | 8 | 800 | 7,581 | (2,512) |
JPM | Exelon Corp. | USD | 45.00 | Jan 2024 | 112 | 11,200 | 24,864 | (4,090) |
JPM | Exelon Corp. | USD | 45.00 | Jan 2024 | 219 | 21,900 | 40,515 | (7,997) |
JPM | Exelon Corp. | USD | 45.00 | Jan 2024 | 122 | 12,200 | 20,374 | (4,455) |
JPM | Exelon Corp. | USD | 45.00 | Jan 2024 | 16 | 1,600 | 1,664 | (584) |
JPM | Exelon Corp. | USD | 47.00 | Jan 2024 | 112 | 11,200 | 17,024 | (1,483) |
JPM | Exelon Corp. | USD | 50.00 | Jan 2024 | 128 | 12,800 | 24,915 | (289) |
JPM | Exelon Corp. | USD | 47.00 | Jun 2024 | 16 | 1,600 | 2,144 | (1,214) |
CITI | Fortive Corp. | USD | 75.00 | Dec 2023 | 4 | 400 | 1,521 | (2,653) |
CITI | Fortive Corp. | USD | 75.00 | Dec 2023 | 12 | 1,200 | 4,744 | (7,960) |
CITI | Fortive Corp. | USD | 80.00 | Dec 2023 | 4 | 400 | 718 | (1,376) |
The accompanying notes are an integral part of the financial statements. | 21 |
Options on securities (continued) | ||||||||
Counterparty (OTC)/ Exchange- traded | Name of issuer | Currency | Exercise price | Expiration date | Number of contracts | Notional amount | Premium | Value |
Calls (continued) | ||||||||
CITI | Fortive Corp. | USD | 80.00 | Dec 2023 | 12 | 1,200 | $2,273 | $(4,129) |
WFB | GE HealthCare Technologies, Inc. | USD | 85.00 | Jan 2024 | 31 | 3,100 | 14,681 | (3,125) |
WFB | GE HealthCare Technologies, Inc. | USD | 90.00 | Jan 2024 | 62 | 6,200 | 20,237 | (2,853) |
WFB | GE HealthCare Technologies, Inc. | USD | 90.00 | Jan 2024 | 31 | 3,100 | 8,899 | (1,426) |
WFB | General Electric Company | USD | 95.00 | Jan 2024 | 33 | 3,300 | 18,032 | (75,124) |
WFB | General Electric Company | USD | 95.00 | Jan 2024 | 79 | 7,900 | 39,734 | (179,842) |
WFB | General Electric Company | USD | 110.00 | Jan 2024 | 78 | 7,800 | 63,447 | (86,870) |
WFB | General Electric Company | USD | 110.00 | Jan 2024 | 53 | 5,300 | 40,252 | (59,027) |
WFB | General Electric Company | USD | 110.00 | Jan 2024 | 51 | 5,100 | 40,391 | (56,800) |
WFB | General Electric Company | USD | 115.00 | Jan 2024 | 78 | 7,800 | 47,823 | (63,461) |
WFB | General Electric Company | USD | 115.00 | Jan 2024 | 53 | 5,300 | 28,821 | (43,121) |
WFB | General Electric Company | USD | 115.00 | Jan 2024 | 51 | 5,100 | 29,513 | (41,494) |
WFB | Hilton Worldwide Holdings, Inc. | USD | 140.00 | Jan 2024 | 9 | 900 | 12,112 | (14,234) |
WFB | Hilton Worldwide Holdings, Inc. | USD | 140.00 | Jan 2024 | 8 | 800 | 14,596 | (12,653) |
WFB | Hilton Worldwide Holdings, Inc. | USD | 155.00 | Jan 2024 | 9 | 900 | 7,693 | (6,461) |
WFB | Hilton Worldwide Holdings, Inc. | USD | 155.00 | Jan 2024 | 8 | 800 | 8,931 | (5,743) |
WFB | Hilton Worldwide Holdings, Inc. | USD | 155.00 | Jan 2024 | 31 | 3,100 | 22,037 | (22,255) |
WFB | Hilton Worldwide Holdings, Inc. | USD | 160.00 | Jan 2024 | 31 | 3,100 | 16,763 | (16,517) |
GSI | Ingersoll Rand, Inc. | USD | 60.00 | Dec 2023 | 34 | 3,400 | 12,368 | (38,656) |
GSI | Ingersoll Rand, Inc. | USD | 60.00 | Dec 2023 | 33 | 3,300 | 14,732 | (37,519) |
GSI | Ingersoll Rand, Inc. | USD | 75.00 | Dec 2023 | 78 | 7,800 | 10,136 | (13,334) |
CITI | Intercontinental Exchange, Inc. | USD | 115.00 | Jan 2024 | 80 | 8,000 | 47,190 | (65,649) |
CITI | Intercontinental Exchange, Inc. | USD | 115.00 | Jan 2024 | 15 | 1,500 | 5,226 | (12,309) |
UBS | Intuit, Inc. | USD | 480.00 | Jan 2024 | 16 | 1,600 | 40,386 | (134,129) |
CITI | Keurig Dr. Pepper, Inc. | USD | 37.00 | Jan 2024 | 87 | 8,700 | 15,399 | (3,077) |
CITI | Keurig Dr. Pepper, Inc. | USD | 40.00 | Jan 2024 | 88 | 8,800 | 6,952 | (462) |
UBS | KKR & Company, Inc. | USD | 55.00 | Jan 2024 | 81 | 8,100 | 44,473 | (83,634) |
UBS | KKR & Company, Inc. | USD | 55.00 | Jan 2024 | 80 | 8,000 | 41,413 | (82,601) |
UBS | KKR & Company, Inc. | USD | 65.00 | Jan 2024 | 16 | 1,600 | 4,697 | (6,041) |
UBS | KKR & Company, Inc. | USD | 65.00 | Jun 2024 | 16 | 1,600 | 8,136 | (10,286) |
WFB | Linde PLC | USD | 390.00 | Jan 2024 | 17 | 1,700 | 28,852 | (33,304) |
WFB | Linde PLC | USD | 390.00 | Jan 2024 | 16 | 1,600 | 29,376 | (31,345) |
WFB | Linde PLC | USD | 395.00 | Jan 2024 | 8 | 800 | 9,640 | (13,511) |
WFB | Linde PLC | USD | 410.00 | Jan 2024 | 8 | 800 | 6,234 | (8,158) |
GSI | Marsh & McLennan Companies, Inc. | USD | 190.00 | Jan 2024 | 64 | 6,400 | 33,236 | (86,072) |
GSI | Marsh & McLennan Companies, Inc. | USD | 190.00 | Jan 2024 | 8 | 800 | 3,956 | (10,759) |
GSI | Marsh & McLennan Companies, Inc. | USD | 200.00 | Jan 2024 | 8 | 800 | 2,365 | (5,802) |
GSI | Mastercard, Inc., Class A | USD | 380.00 | Jan 2024 | 16 | 1,600 | 58,784 | (75,925) |
GSI | Mastercard, Inc., Class A | USD | 380.00 | Jan 2024 | 17 | 1,700 | 81,302 | (80,671) |
GSI | Mastercard, Inc., Class A | USD | 400.00 | Jan 2024 | 16 | 1,600 | 45,521 | (52,056) |
GSI | Mastercard, Inc., Class A | USD | 400.00 | Jan 2024 | 17 | 1,700 | 64,278 | (55,310) |
GSI | Mastercard, Inc., Class A | USD | 400.00 | Jan 2024 | 49 | 4,900 | 90,951 | (159,422) |
GSI | Mastercard, Inc., Class A | USD | 400.00 | Jan 2024 | 8 | 800 | 19,352 | (26,028) |
GSI | Mastercard, Inc., Class A | USD | 405.00 | Jan 2024 | 8 | 800 | 14,979 | (23,349) |
GSI | Mastercard, Inc., Class A | USD | 410.00 | Jan 2024 | 48 | 4,800 | 89,196 | (124,875) |
GSI | Mastercard, Inc., Class A | USD | 420.00 | Jan 2024 | 16 | 1,600 | 35,115 | (32,397) |
GSI | Mastercard, Inc., Class A | USD | 420.00 | Jan 2024 | 17 | 1,700 | 48,913 | (34,422) |
GSI | Mastercard, Inc., Class A | USD | 420.00 | Jan 2024 | 8 | 800 | 11,621 | (16,198) |
GSI | Mastercard, Inc., Class A | USD | 425.00 | Jan 2024 | 8 | 800 | 9,198 | (14,136) |
GSI | Mastercard, Inc., Class A | USD | 430.00 | Jan 2024 | 16 | 1,600 | 30,861 | (24,488) |
GSI | Mastercard, Inc., Class A | USD | 430.00 | Jan 2024 | 17 | 1,700 | 42,549 | (26,019) |
BARC | Meta Platforms, Inc., Class A | USD | 290.00 | Jan 2024 | 78 | 7,800 | 178,843 | (261,484) |
UBS | Microsoft Corp. | USD | 360.00 | Jan 2024 | 31 | 3,100 | 61,111 | (29,801) |
UBS | Microsoft Corp. | USD | 365.00 | Jan 2024 | 11 | 1,100 | 23,908 | (9,037) |
UBS | Microsoft Corp. | USD | 375.00 | Jan 2024 | 31 | 3,100 | 44,014 | (18,438) |
UBS | Microsoft Corp. | USD | 385.00 | Jan 2024 | 11 | 1,100 | 15,491 | (4,704) |
WFB | NXP Semiconductors NV | USD | 190.00 | Jan 2024 | 64 | 6,400 | 93,072 | (169,875) |
WFB | NXP Semiconductors NV | USD | 195.00 | Jan 2024 | 2 | 200 | 2,548 | (4,663) |
WFB | NXP Semiconductors NV | USD | 195.00 | Jan 2024 | 23 | 2,300 | 32,606 | (53,626) |
WFB | NXP Semiconductors NV | USD | 195.00 | Jan 2024 | 27 | 2,700 | 40,244 | (62,952) |
WFB | NXP Semiconductors NV | USD | 195.00 | Jan 2024 | 50 | 5,000 | 84,222 | (116,578) |
WFB | NXP Semiconductors NV | USD | 200.00 | Jan 2024 | 65 | 6,500 | 104,703 | (132,188) |
WFB | NXP Semiconductors NV | USD | 210.00 | Jan 2024 | 16 | 1,600 | 24,648 | (24,250) |
WFB | NXP Semiconductors NV | USD | 220.00 | Jan 2024 | 16 | 1,600 | 18,703 | (17,555) |
The accompanying notes are an integral part of the financial statements. | 22 |
Options on securities (continued) | ||||||||
Counterparty (OTC)/ Exchange- traded | Name of issuer | Currency | Exercise price | Expiration date | Number of contracts | Notional amount | Premium | Value |
Calls (continued) | ||||||||
WFB | NXP Semiconductors NV | USD | 220.00 | Jun 2024 | 11 | 1,100 | $20,519 | $(23,089) |
CITI | Revvity, Inc. | USD | 155.00 | Sep 2023 | 9 | 900 | 7,369 | — |
CITI | Revvity, Inc. | USD | 155.00 | Sep 2023 | 33 | 3,300 | 22,758 | — |
CITI | Revvity, Inc. | USD | 165.00 | Sep 2023 | 9 | 900 | 4,373 | — |
CITI | Revvity, Inc. | USD | 165.00 | Sep 2023 | 33 | 3,300 | 12,894 | — |
CITI | Revvity, Inc. | USD | 170.00 | Sep 2023 | 9 | 900 | 3,371 | — |
CITI | Revvity, Inc. | USD | 170.00 | Sep 2023 | 33 | 3,300 | 9,415 | — |
CITI | Revvity, Inc. | USD | 175.00 | Sep 2023 | 9 | 900 | 2,552 | — |
CITI | Revvity, Inc. | USD | 175.00 | Sep 2023 | 33 | 3,300 | 7,091 | — |
CITI | Roper Technologies, Inc. | USD | 510.00 | Feb 2024 | 8 | 800 | 9,317 | (19,596) |
BOA | S&P Global, Inc. | USD | 400.00 | Jan 2024 | 3 | 300 | 6,057 | (5,472) |
BOA | S&P Global, Inc. | USD | 400.00 | Jan 2024 | 5 | 500 | 10,909 | (9,121) |
BOA | S&P Global, Inc. | USD | 400.00 | Jan 2024 | 3 | 300 | 8,399 | (5,472) |
UBS | S&P Global, Inc. | USD | 400.00 | Jan 2024 | 8 | 800 | 12,437 | (14,593) |
BOA | S&P Global, Inc. | USD | 410.00 | Jan 2024 | 6 | 600 | 14,278 | (8,122) |
UBS | S&P Global, Inc. | USD | 410.00 | Jan 2024 | 8 | 800 | 9,785 | (10,830) |
BOA | S&P Global, Inc. | USD | 420.00 | Jan 2024 | 3 | 300 | 4,421 | (2,906) |
BOA | S&P Global, Inc. | USD | 420.00 | Jan 2024 | 5 | 500 | 8,114 | (4,844) |
BOA | S&P Global, Inc. | USD | 420.00 | Jan 2024 | 3 | 300 | 6,058 | (2,906) |
BOA | S&P Global, Inc. | USD | 430.00 | Jan 2024 | 6 | 600 | 10,444 | (3,998) |
BOA | S&P Global, Inc. | USD | 450.00 | Jan 2024 | 6 | 600 | 7,526 | (1,659) |
BOA | S&P Global, Inc. | USD | 470.00 | Jan 2024 | 6 | 600 | 5,134 | (569) |
GSI | Salesforce, Inc. | USD | 230.00 | Jan 2024 | 15 | 1,500 | 29,282 | (20,760) |
GSI | Salesforce, Inc. | USD | 230.00 | Jan 2024 | 8 | 800 | 12,086 | (11,072) |
GSI | Salesforce, Inc. | USD | 240.00 | Jan 2024 | 15 | 1,500 | 23,153 | (14,767) |
GSI | Salesforce, Inc. | USD | 240.00 | Jan 2024 | 8 | 800 | 9,255 | (7,876) |
GSI | Salesforce, Inc. | USD | 230.00 | Jun 2024 | 8 | 800 | 19,198 | (20,237) |
GSI | Salesforce, Inc. | USD | 240.00 | Jun 2024 | 8 | 800 | 15,965 | (16,668) |
GSI | Starbucks Corp. | USD | 100.00 | Jan 2024 | 96 | 9,600 | 103,567 | (47,403) |
GSI | Starbucks Corp. | USD | 105.00 | Jan 2024 | 96 | 9,600 | 85,251 | (28,032) |
GSI | Starbucks Corp. | USD | 115.00 | Jan 2024 | 60 | 6,000 | 15,538 | (4,891) |
WFB | Stryker Corp. | USD | 270.00 | Jan 2024 | 10 | 1,000 | 24,023 | (25,777) |
WFB | Stryker Corp. | USD | 270.00 | Jan 2024 | 6 | 600 | 15,775 | (15,466) |
WFB | Stryker Corp. | USD | 270.00 | Jan 2024 | 2 | 200 | 5,034 | (5,155) |
WFB | Stryker Corp. | USD | 270.00 | Jan 2024 | 15 | 1,500 | 47,375 | (38,665) |
WFB | Stryker Corp. | USD | 280.00 | Jan 2024 | 10 | 1,000 | 19,518 | (19,071) |
WFB | Stryker Corp. | USD | 280.00 | Jan 2024 | 6 | 600 | 13,346 | (11,443) |
WFB | Stryker Corp. | USD | 280.00 | Jan 2024 | 2 | 200 | 4,145 | (3,814) |
WFB | Stryker Corp. | USD | 280.00 | Jan 2024 | 15 | 1,500 | 38,359 | (28,607) |
WFB | Stryker Corp. | USD | 290.00 | Jan 2024 | 10 | 1,000 | 15,613 | (13,387) |
WFB | Stryker Corp. | USD | 290.00 | Jan 2024 | 6 | 600 | 10,968 | (8,032) |
WFB | Stryker Corp. | USD | 290.00 | Jan 2024 | 2 | 200 | 3,336 | (2,677) |
WFB | Stryker Corp. | USD | 290.00 | Jan 2024 | 15 | 1,500 | 29,343 | (20,080) |
WFB | Stryker Corp. | USD | 300.00 | Jan 2024 | 10 | 1,000 | 12,808 | (8,861) |
WFB | Stryker Corp. | USD | 300.00 | Jan 2024 | 6 | 600 | 9,133 | (5,316) |
WFB | Stryker Corp. | USD | 300.00 | Jan 2024 | 2 | 200 | 2,504 | (1,772) |
WFB | Stryker Corp. | USD | 300.00 | Jan 2024 | 15 | 1,500 | 24,074 | (13,291) |
WFB | Stryker Corp. | USD | 310.00 | Jan 2024 | 25 | 2,500 | 34,689 | (13,798) |
WFB | Stryker Corp. | USD | 320.00 | Jan 2024 | 22 | 2,200 | 29,405 | (7,207) |
JPM | Teledyne Technologies, Inc. | USD | 460.00 | Dec 2023 | 4 | 400 | 3,120 | (1,900) |
BOA | Texas Instruments, Inc. | USD | 180.00 | Jan 2024 | 33 | 3,300 | 55,588 | (19,413) |
BOA | Texas Instruments, Inc. | USD | 180.00 | Jan 2024 | 33 | 3,300 | 62,696 | (19,413) |
BOA | Texas Instruments, Inc. | USD | 190.00 | Jan 2024 | 33 | 3,300 | 42,664 | (9,877) |
BOA | Texas Instruments, Inc. | USD | 190.00 | Jan 2024 | 33 | 3,300 | 47,834 | (9,877) |
BOA | Texas Instruments, Inc. | USD | 190.00 | Jan 2024 | 23 | 2,300 | 18,547 | (6,884) |
BOA | Texas Instruments, Inc. | USD | 195.00 | Jan 2024 | 33 | 3,300 | 37,063 | (6,856) |
BOA | Texas Instruments, Inc. | USD | 195.00 | Jan 2024 | 33 | 3,300 | 41,311 | (6,856) |
BOA | Texas Instruments, Inc. | USD | 195.00 | Jan 2024 | 23 | 2,300 | 14,396 | (4,778) |
BOA | Texas Instruments, Inc. | USD | 200.00 | Jan 2024 | 33 | 3,300 | 32,070 | (4,723) |
BOA | Texas Instruments, Inc. | USD | 200.00 | Jan 2024 | 33 | 3,300 | 34,952 | (4,723) |
BOA | Texas Instruments, Inc. | USD | 200.00 | Jan 2024 | 122 | 12,200 | 139,533 | (17,460) |
BOA | Texas Instruments, Inc. | USD | 200.00 | Jan 2024 | 79 | 7,900 | 69,388 | (11,306) |
BOA | Texas Instruments, Inc. | USD | 195.00 | Jun 2024 | 16 | 1,600 | 17,579 | (10,731) |
BOA | Texas Instruments, Inc. | USD | 200.00 | Jun 2024 | 16 | 1,600 | 14,763 | (8,723) |
The accompanying notes are an integral part of the financial statements. | 23 |
Options on securities (continued) | ||||||||
Counterparty (OTC)/ Exchange- traded | Name of issuer | Currency | Exercise price | Expiration date | Number of contracts | Notional amount | Premium | Value |
Calls (continued) | ||||||||
JPM | The PNC Financial Services Group, Inc. | USD | 170.00 | Jan 2024 | 20 | 2,000 | $18,432 | $(271) |
JPM | The PNC Financial Services Group, Inc. | USD | 170.00 | Jan 2024 | 20 | 2,000 | 18,412 | (271) |
JPM | The PNC Financial Services Group, Inc. | USD | 175.00 | Jan 2024 | 14 | 1,400 | 17,775 | (122) |
JPM | The PNC Financial Services Group, Inc. | USD | 175.00 | Jan 2024 | 11 | 1,100 | 12,496 | (96) |
JPM | The PNC Financial Services Group, Inc. | USD | 175.00 | Jan 2024 | 20 | 2,000 | 15,071 | (174) |
JPM | The PNC Financial Services Group, Inc. | USD | 175.00 | Jan 2024 | 20 | 2,000 | 15,379 | (174) |
JPM | The PNC Financial Services Group, Inc. | USD | 185.00 | Jan 2024 | 11 | 1,100 | 9,254 | (40) |
JPM | The PNC Financial Services Group, Inc. | USD | 185.00 | Jan 2024 | 15 | 1,500 | 14,135 | (55) |
JPM | The PNC Financial Services Group, Inc. | USD | 190.00 | Jan 2024 | 15 | 1,500 | 12,049 | (35) |
JPM | The PNC Financial Services Group, Inc. | USD | 190.00 | Jan 2024 | 11 | 1,100 | 7,743 | (26) |
JPM | The PNC Financial Services Group, Inc. | USD | 200.00 | Jan 2024 | 11 | 1,100 | 5,292 | (10) |
JPM | The PNC Financial Services Group, Inc. | USD | 200.00 | Jan 2024 | 15 | 1,500 | 8,361 | (14) |
CITI | Thermo Fisher Scientific, Inc. | USD | 560.00 | Jan 2024 | 4 | 400 | 12,628 | (13,957) |
CITI | Thermo Fisher Scientific, Inc. | USD | 590.00 | Jan 2024 | 4 | 400 | 7,102 | (8,094) |
CITI | Thermo Fisher Scientific, Inc. | USD | 600.00 | Jan 2024 | 31 | 3,100 | 50,294 | (50,923) |
CITI | Thermo Fisher Scientific, Inc. | USD | 610.00 | Jan 2024 | 11 | 1,100 | 47,299 | (14,458) |
JPM | Thermo Fisher Scientific, Inc. | USD | 610.00 | Jan 2024 | 4 | 400 | 21,891 | (5,257) |
JPM | Thermo Fisher Scientific, Inc. | USD | 610.00 | Jan 2024 | 4 | 400 | 29,352 | (5,257) |
CITI | Thermo Fisher Scientific, Inc. | USD | 620.00 | Jan 2024 | 11 | 1,100 | 42,147 | (11,395) |
CITI | Thermo Fisher Scientific, Inc. | USD | 630.00 | Jan 2024 | 11 | 1,100 | 37,489 | (8,844) |
JPM | Thermo Fisher Scientific, Inc. | USD | 630.00 | Jan 2024 | 4 | 400 | 17,785 | (3,216) |
JPM | Thermo Fisher Scientific, Inc. | USD | 630.00 | Jan 2024 | 4 | 400 | 25,158 | (3,216) |
JPM | Thermo Fisher Scientific, Inc. | USD | 660.00 | Jan 2024 | 4 | 400 | 13,809 | (1,368) |
JPM | Thermo Fisher Scientific, Inc. | USD | 660.00 | Jan 2024 | 4 | 400 | 19,368 | (1,368) |
JPM | Thermo Fisher Scientific, Inc. | USD | 690.00 | Jan 2024 | 4 | 400 | 10,390 | (506) |
JPM | Thermo Fisher Scientific, Inc. | USD | 690.00 | Jan 2024 | 4 | 400 | 14,622 | (506) |
GSI | TransUnion | USD | 80.00 | Dec 2023 | 31 | 3,100 | 12,799 | (18,826) |
JPM | UnitedHealth Group, Inc. | USD | 550.00 | Jan 2024 | 15 | 1,500 | 16,875 | (6,739) |
CITI | UnitedHealth Group, Inc. | USD | 580.00 | Jan 2024 | 54 | 5,400 | 302,234 | (9,620) |
JPM | UnitedHealth Group, Inc. | USD | 600.00 | Jan 2024 | 58 | 5,800 | 192,454 | (5,576) |
GSI | Visa, Inc., Class A | USD | 230.00 | Jan 2024 | 25 | 2,500 | 47,691 | (62,979) |
GSI | Visa, Inc., Class A | USD | 230.00 | Jan 2024 | 25 | 2,500 | 58,965 | (62,979) |
GSI | Visa, Inc., Class A | USD | 240.00 | Jan 2024 | 25 | 2,500 | 37,758 | (44,679) |
GSI | Visa, Inc., Class A | USD | 240.00 | Jan 2024 | 25 | 2,500 | 46,683 | (44,679) |
GSI | Visa, Inc., Class A | USD | 240.00 | Jan 2024 | 8 | 800 | 9,336 | (14,297) |
GSI | Visa, Inc., Class A | USD | 245.00 | Jan 2024 | 24 | 2,400 | 23,924 | (35,072) |
GSI | Visa, Inc., Class A | USD | 250.00 | Jan 2024 | 25 | 2,500 | 28,951 | (29,174) |
GSI | Visa, Inc., Class A | USD | 250.00 | Jan 2024 | 25 | 2,500 | 36,182 | (29,174) |
GSI | Visa, Inc., Class A | USD | 260.00 | Jan 2024 | 25 | 2,500 | 22,144 | (17,259) |
GSI | Visa, Inc., Class A | USD | 260.00 | Jan 2024 | 25 | 2,500 | 27,430 | (17,259) |
GSI | Visa, Inc., Class A | USD | 260.00 | Jan 2024 | 8 | 800 | 3,536 | (5,523) |
GSI | Visa, Inc., Class A | USD | 250.00 | Jun 2024 | 4 | 400 | 5,788 | (8,650) |
GSI | Visa, Inc., Class A | USD | 260.00 | Jun 2024 | 4 | 400 | 4,268 | (6,534) |
WFB | Yum! Brands, Inc. | USD | 140.00 | Jan 2024 | 118 | 11,800 | 117,658 | (25,703) |
WFB | Yum! Brands, Inc. | USD | 140.00 | Jan 2024 | 117 | 11,700 | 114,766 | (25,485) |
CITI | Yum! Brands, Inc. | USD | 145.00 | Jan 2024 | 58 | 5,800 | 32,602 | (6,302) |
CITI | Yum! Brands, Inc. | USD | 150.00 | Jan 2024 | 58 | 5,800 | 29,121 | (2,892) |
$7,666,409 | $(6,616,180) |
Derivatives Currency Abbreviations | |
USD | U.S. Dollar |
Derivatives Abbreviations | |
BARC | Barclays Bank PLC |
BOA | Bank of America, N.A. |
CITI | Citibank, N.A. |
GSI | Goldman Sachs International |
JPM | JPMorgan Chase Bank, N.A. |
OTC | Over-the-counter |
UBS | UBS AG |
WFB | Wells Fargo Bank, N.A. |
The accompanying notes are an integral part of the financial statements. | 24 |
Shares or Principal Amount | Value | ||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 59.5% | |||||
U.S. Government – 27.4% | |||||
U.S. Treasury Bonds | |||||
1.125%, 05/15/2040 to 08/15/2040 | $ | 18,429,000 | $ | 11,323,077 | |
1.375%, 11/15/2040 | 34,648,000 | 22,119,229 | |||
1.750%, 08/15/2041 | 51,140,000 | 34,361,685 | |||
1.875%, 02/15/2041 | 9,197,000 | 6,382,574 | |||
2.000%, 11/15/2041 to 08/15/2051 | 39,444,000 | 27,192,406 | |||
2.250%, 05/15/2041 | 7,622,000 | 5,616,164 | |||
2.375%, 02/15/2042 | 4,972,000 | 3,698,896 | |||
2.875%, 05/15/2052 | 5,468,000 | 4,244,749 | |||
3.000%, 08/15/2052 | 16,053,000 | 12,792,861 | |||
3.625%, 02/15/2053 to 05/15/2053 | 32,896,000 | 29,660,082 | |||
3.875%, 02/15/2043 to 05/15/2043 | 37,707,000 | 35,076,497 | |||
4.125%, 08/15/2053 | 5,147,000 | 5,080,331 | |||
4.375%, 08/15/2043 | 1,953,000 | 1,947,812 | |||
5.250%, 11/15/2028 | 801,000 | 836,419 | |||
U.S. Treasury Notes | |||||
0.375%, 07/31/2027 | 13,419,000 | 11,501,551 | |||
0.750%, 01/31/2028 | 8,975,000 | 7,697,815 | |||
1.125%, 02/29/2028 to 08/31/2028 | 8,003,000 | 6,931,988 | |||
1.250%, 09/30/2028 | 3,243,000 | 2,798,734 | |||
1.375%, 10/31/2028 | 4,932,000 | 4,275,235 | |||
1.500%, 08/15/2026 | 22,366,000 | 20,500,710 | |||
1.750%, 12/31/2026 | 3,215,000 | 2,947,000 | |||
2.000%, 11/15/2026 | 8,142,000 | 7,537,711 | |||
2.375%, 03/31/2029 | 20,412,000 | 18,511,930 | |||
2.625%, 02/15/2029 to 07/31/2029 | 23,597,000 | 21,714,858 | |||
2.750%, 07/31/2027 to 05/31/2029 | 17,745,000 | 16,494,547 | |||
2.875%, 04/30/2025 to 08/15/2028 | 16,504,000 | 15,880,001 | |||
3.000%, 07/15/2025 | 3,614,000 | 3,490,616 | |||
3.250%, 06/30/2029 | 10,627,000 | 10,078,215 | |||
3.500%, 01/31/2028 to 04/30/2028 | 16,353,000 | 15,810,040 | |||
3.875%, 08/15/2033 | 31,123,000 | 30,568,622 | |||
4.000%, 06/30/2028 | 4,817,000 | 4,759,422 | |||
4.125%, 01/31/2025 to 08/31/2030 | 10,607,000 | 10,539,240 | |||
4.250%, 05/31/2025 to 10/15/2025 | 9,299,000 | 9,192,433 | |||
4.375%, 10/31/2024 to 08/31/2028 | 39,588,000 | 39,643,568 | |||
4.500%, 11/30/2024 | 88,000 | 87,209 | |||
4.750%, 07/31/2025 | 3,342,000 | 3,332,992 | |||
5.000%, 08/31/2025 | 28,324,000 | 28,404,768 | |||
493,031,987 | |||||
U.S. Government Agency – 32.1% | |||||
Federal Home Loan Bank 1.000%, (1.000% to 9-30-23, 1.250% to 9-30-24, 1.500% to 9-30-25, 1.750% to 9-30-26, 2.000% to 9-30-27, 2.250% to 9-30-28, 2.500% to 9-30-29, 3.000% to 3-30-30, 3.500% to 9-30-30, 4.000% to 3-30-31, then 4.500% thereafter), 09/30/2031 | 3,105,000 | 2,542,005 | |||
Federal Home Loan Mortgage Corp. | |||||
2.000%, 06/01/2040 to 12/01/2051 | 33,175,416 | 27,622,187 | |||
2.500%, 04/01/2042 to 03/01/2052 | 12,470,467 | 10,606,527 | |||
2.873%, (12 month LIBOR + 1.641%), 05/01/2049 (A) | 789,490 | 773,677 | |||
3.000%, 04/01/2040 to 02/01/2047 | 14,055,147 | 12,484,410 | |||
3.139%, (12 month LIBOR + 1.640%), 11/01/2048 (A) | 1,030,485 | 994,878 | |||
3.151%, (12 month LIBOR + 1.611%), 10/01/2043 (A) | 146,739 | 148,483 | |||
3.913%, (1 month SOFR + 2.130%), 07/01/2052 (A) | 723,238 | 686,620 | |||
3.986%, (1 month SOFR + 2.140%), 08/01/2052 (A) | 1,003,095 | 939,595 | |||
4.000%, 07/01/2049 | 946,632 | 895,858 |
Shares or Principal Amount | Value | ||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (continued) | |||||
U.S. Government Agency (continued) | |||||
Federal Home Loan Mortgage Corp. (continued) | |||||
4.118%, (1 month SOFR + 2.191%), 10/01/2052 (A) | $ | 23,322,804 | $ | 21,916,796 | |
4.123%, (1 month SOFR + 2.380%), 09/01/2052 (A) | 498,911 | 476,092 | |||
4.191%, (12 month LIBOR + 1.605%), 09/01/2043 (A) | 74,806 | 74,855 | |||
4.197%, (1 month SOFR + 2.304%), 05/01/2053 (A) | 3,253,504 | 3,132,258 | |||
4.299%, (1 month SOFR + 2.130%), 07/01/2052 (A) | 853,064 | 819,271 | |||
4.437%, 12/14/2029 (B) | 2,068,000 | 1,567,603 | |||
4.500%, 06/01/2039 to 07/01/2039 | 98,140 | 95,531 | |||
4.661%, (12 month LIBOR + 1.637%), 03/01/2049 (A) | 638,874 | 642,150 | |||
5.120%, (1 month SOFR + 2.216%), 08/01/2053 (A) | 718,649 | 707,104 | |||
5.250%, (12 month LIBOR + 1.637%), 04/01/2048 (A) | 1,587,370 | 1,591,915 | |||
5.252%, (1 month SOFR + 2.283%), 06/01/2053 (A) | 781,061 | 770,717 | |||
5.311%, (12 month LIBOR + 1.628%), 11/01/2043 (A) | 118,417 | 118,225 | |||
5.391%, (12 month LIBOR + 1.688%), 09/01/2047 (A) | 757,723 | 761,864 | |||
5.504%, (12 month LIBOR + 1.642%), 10/01/2043 (A) | 158,035 | 158,526 | |||
5.616%, (12 month LIBOR + 1.770%), 09/01/2042 (A) | 137,040 | 139,347 | |||
5.824%, (12 month LIBOR + 1.722%), 01/01/2044 (A) | 280,957 | 280,252 | |||
6.336%, (12 month LIBOR + 1.683%), 02/01/2043 (A) | 196,753 | 198,248 | |||
6.818%, (12 month LIBOR + 1.642%), 08/01/2043 (A) | 130,433 | 129,770 | |||
6.836%, (12 month LIBOR + 1.637%), 09/01/2045 (A) | 1,119,864 | 1,121,192 | |||
6.881%, (12 month LIBOR + 1.635%), 07/01/2043 (A) | 73,787 | 73,962 | |||
7.042%, (12 month LIBOR + 1.650%), 03/01/2043 (A) | 119,051 | 118,867 | |||
Federal National Mortgage Association | |||||
1.500%, 10/01/2041 to 07/01/2051 | 24,737,180 | 19,474,429 | |||
1.520%, 08/21/2035 | 2,984,000 | 2,074,041 | |||
1.900%, 01/25/2036 | 2,659,000 | 1,909,050 | |||
2.000%, 06/01/2040 to 03/01/2047 | 94,466,250 | 78,505,209 | |||
2.500%, 12/01/2040 to 03/01/2052 | 19,965,101 | 17,097,829 | |||
3.000%, 11/01/2039 (C) | 938,423 | 867,126 | |||
3.000%, 05/01/2040 to 02/01/2055 | 94,076,567 | 83,255,743 | |||
3.027%, (12 month LIBOR + 1.603%), 03/01/2050 (A) | 2,001,438 | 1,955,523 | |||
3.500%, TBA (C) | 6,000,000 | 5,361,328 | |||
3.500%, 06/01/2041 to 01/01/2044 (C) | 2,222,255 | 2,063,033 | |||
3.500%, 03/01/2042 to 04/01/2050 | 27,485,901 | 25,209,039 | |||
3.679%, (1 month SOFR + 2.370%), 08/01/2052 (A) | 1,047,705 | 990,585 | |||
3.968%, (1 month SOFR + 2.120%), 08/01/2052 (A) | 429,281 | 403,262 | |||
4.000%, 01/01/2027 to 05/01/2049 | 20,810,873 | 20,029,694 | |||
4.136%, (1 month SOFR + 2.120%), 09/01/2052 (A) | 1,671,914 | 1,616,217 | |||
4.149%, (1 month SOFR + 2.132%), 10/01/2052 (A) | 4,433,243 | 4,282,948 |
The accompanying notes are an integral part of the financial statements. | 25 |
Shares or Principal Amount | Value | ||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (continued) | |||||
U.S. Government Agency (continued) | |||||
Federal National Mortgage Association (continued) | |||||
4.168%, (1 month SOFR + 2.120%), 07/01/2052 (A) | $ | 1,558,392 | $ | 1,474,031 | |
4.218%, (1 month SOFR + 2.370%), 09/01/2052 (A) | 500,070 | 480,185 | |||
4.240%, (1 month SOFR + 2.127%), 11/01/2052 (A) | 1,310,662 | 1,268,433 | |||
4.303%, (1 month SOFR + 2.125%), 08/01/2052 (A) | 1,922,801 | 1,854,027 | |||
4.345%, (1 month SOFR + 2.124%), 07/01/2052 (A) | 1,827,045 | 1,764,250 | |||
4.500%, 06/01/2041 to 11/01/2048 | 4,205,414 | 4,086,446 | |||
4.511%, (1 month SOFR + 2.120%), 11/01/2052 (A) | 728,265 | 708,767 | |||
4.531%, 11/15/2030 (B) | 6,077,000 | 4,394,708 | |||
4.627%, (1 month SOFR + 2.125%), 08/01/2052 (A) | 2,164,073 | 2,105,958 | |||
4.633%, (1 month SOFR + 2.123%), 08/01/2052 (A) | 1,594,182 | 1,533,499 | |||
4.653%, (1 month SOFR + 2.130%), 08/01/2052 (A) | 1,679,739 | 1,635,934 | |||
4.687%, (12 month LIBOR + 1.582%), 01/01/2046 (A) | 1,799,038 | 1,813,354 | |||
4.797%, (12 month LIBOR + 1.578%), 06/01/2045 (A) | 699,157 | 705,034 | |||
5.500%, TBA (C) | 10,800,000 | 10,668,375 | |||
5.500%, 09/01/2052 | 1,456,914 | 1,475,547 | |||
5.627%, (12 month LIBOR + 1.578%), 10/01/2043 (A) | 341,230 | 343,655 | |||
6.000%, TBA (C) | 109,500,000 | 109,786,686 | |||
6.000%, 05/01/2053 | 4,609,756 | 4,622,216 | |||
6.500%, 11/01/2052 to 02/01/2053 | 1,516,551 | 1,590,434 | |||
6.571%, (12 month LIBOR + 1.653%), 01/01/2043 (A) | 82,271 | 83,621 | |||
6.739%, (12 month LIBOR + 1.560%), 06/01/2043 (A) | 84,158 | 85,059 | |||
6.953%, (12 month LIBOR + 1.560%), 03/01/2043 (A) | 18,910 | 19,149 | |||
7.000%, 02/01/2053 | 1,451,095 | 1,495,962 | |||
Government National Mortgage Association | |||||
3.000%, 06/20/2043 to 10/20/2050 | 15,063,759 | 13,355,182 | |||
3.500%, 01/20/2048 | 722,334 | 659,866 | |||
4.000%, 03/20/2048 to 04/20/2048 | 878,187 | 823,489 | |||
4.500%, 08/15/2047 to 02/20/2049 | 1,992,880 | 1,925,681 | |||
6.000%, TBA (C) | 41,500,000 | 41,623,053 | |||
6.000%, 01/20/2053 | 6,811,973 | 6,944,890 | |||
577,011,332 | |||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $1,114,539,315) | $ | 1,070,043,319 | |||
FOREIGN GOVERNMENT OBLIGATIONS – 0.7% | |||||
Australia – 0.1% | |||||
Export Finance & Insurance Corp. 4.625%, 10/26/2027 (D) | 2,310,000 | 2,312,868 | |||
Bermuda – 0.1% | |||||
Government of Bermuda 5.000%, 07/15/2032 (D) | 693,000 | 664,241 | |||
Israel – 0.1% | |||||
State of Israel 4.500%, 01/17/2033 | 1,912,000 | 1,835,302 |
Shares or Principal Amount | Value | ||||
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |||||
Italy – 0.0% | |||||
Republic of Italy 3.875%, 05/06/2051 | $ | 406,000 | $ | 283,952 | |
Mexico – 0.3% | |||||
Government of Mexico | |||||
3.500%, 02/12/2034 | 2,506,000 | 2,076,819 | |||
3.750%, 04/19/2071 | 1,249,000 | 800,952 | |||
3.771%, 05/24/2061 | 465,000 | 305,588 | |||
6.338%, 05/04/2053 | 1,798,000 | 1,794,778 | |||
4,978,137 | |||||
Panama – 0.0% | |||||
Republic of Panama 6.853%, 03/28/2054 | 635,000 | 649,187 | |||
Paraguay – 0.1% | |||||
Republic of Paraguay | |||||
5.400%, 03/30/2050 (D) | 568,000 | 473,798 | |||
5.850%, 08/21/2033 (D) | 1,568,000 | 1,542,758 | |||
2,016,556 | |||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $13,543,269) | $ | 12,740,243 | |||
CORPORATE BONDS – 22.4% | |||||
Communication services – 2.0% | |||||
AT&T, Inc. | |||||
3.500%, 06/01/2041 to 09/15/2053 | 1,646,000 | 1,130,272 | |||
3.550%, 09/15/2055 | 1,023,000 | 667,680 | |||
3.650%, 09/15/2059 | 647,000 | 418,720 | |||
3.800%, 12/01/2057 | 1,861,000 | 1,255,059 | |||
5.400%, 02/15/2034 | 4,918,000 | 4,775,867 | |||
Charter Communications Operating LLC 3.500%, 06/01/2041 to 03/01/2042 | 2,597,000 | 1,701,001 | |||
Comcast Corp. | |||||
2.987%, 11/01/2063 | 773,000 | 467,324 | |||
4.049%, 11/01/2052 | 667,000 | 533,519 | |||
5.350%, 11/15/2027 | 1,358,000 | 1,377,051 | |||
Discovery Communications LLC 4.000%, 09/15/2055 | 723,000 | 471,529 | |||
Meta Platforms, Inc. | |||||
5.600%, 05/15/2053 | 1,303,000 | 1,308,357 | |||
5.750%, 05/15/2063 | 1,303,000 | 1,315,855 | |||
Paramount Global 4.950%, 05/19/2050 | 835,000 | 611,904 | |||
T-Mobile USA, Inc. | |||||
1.500%, 02/15/2026 | 463,000 | 421,861 | |||
2.250%, 02/15/2026 | 1,444,000 | 1,335,248 | |||
2.550%, 02/15/2031 | 1,033,000 | 851,213 | |||
3.750%, 04/15/2027 | 2,199,000 | 2,084,200 | |||
4.800%, 07/15/2028 | 1,373,000 | 1,342,292 | |||
4.950%, 03/15/2028 | 1,371,000 | 1,351,911 | |||
5.050%, 07/15/2033 | 1,716,000 | 1,655,832 | |||
Verizon Communications, Inc. | |||||
2.355%, 03/15/2032 | 3,780,000 | 2,989,747 | |||
2.650%, 11/20/2040 | 866,000 | 578,253 | |||
5.050%, 05/09/2033 | 3,767,000 | 3,655,190 | |||
WarnerMedia Holdings, Inc. | |||||
5.050%, 03/15/2042 | 1,357,000 | 1,115,497 | |||
5.141%, 03/15/2052 | 1,057,000 | 842,545 | |||
5.391%, 03/15/2062 | 856,000 | 679,382 | |||
34,937,309 | |||||
Consumer discretionary – 1.0% | |||||
Ford Motor Credit Company LLC | |||||
2.900%, 02/10/2029 | 957,000 | 789,803 | |||
7.200%, 06/10/2030 | 1,814,000 | 1,842,480 | |||
General Motors Company 5.200%, 04/01/2045 | 552,000 | 456,152 |
The accompanying notes are an integral part of the financial statements. | 26 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Consumer discretionary (continued) | |||||
Harley-Davidson Financial Services, Inc. 6.500%, 03/10/2028 (D) | $ | 1,032,000 | $ | 1,034,944 | |
Hyundai Capital America | |||||
0.800%, 01/08/2024 (D) | 544,000 | 534,526 | |||
1.300%, 01/08/2026 (D) | 1,303,000 | 1,179,267 | |||
5.500%, 03/30/2026 (D) | 1,384,000 | 1,378,178 | |||
5.600%, 03/30/2028 (D) | 2,151,000 | 2,139,627 | |||
5.700%, 06/26/2030 (D) | 1,363,000 | 1,341,377 | |||
Lowe's Companies, Inc. | |||||
4.250%, 04/01/2052 | 1,296,000 | 1,025,250 | |||
5.625%, 04/15/2053 | 1,679,000 | 1,630,612 | |||
5.750%, 07/01/2053 | 690,000 | 682,018 | |||
5.850%, 04/01/2063 | 344,000 | 336,411 | |||
McDonald's Corp. | |||||
4.800%, 08/14/2028 | 2,042,000 | 2,032,446 | |||
5.450%, 08/14/2053 | 1,361,000 | 1,361,905 | |||
The Trustees of the University of Pennsylvania 3.610%, 02/15/2119 | 954,000 | 664,057 | |||
18,429,053 | |||||
Consumer staples – 1.8% | |||||
Anheuser-Busch Companies LLC 4.700%, 02/01/2036 | 3,480,000 | 3,330,741 | |||
Anheuser-Busch InBev Worldwide, Inc. 4.375%, 04/15/2038 | 1,833,000 | 1,678,364 | |||
BAT International Finance PLC 5.931%, 02/02/2029 | 2,596,000 | 2,585,761 | |||
Bunge, Ltd. Finance Corp. | |||||
1.630%, 08/17/2025 | 709,000 | 656,379 | |||
2.750%, 05/14/2031 | 147,000 | 122,951 | |||
Constellation Brands, Inc. | |||||
4.750%, 05/09/2032 | 520,000 | 498,443 | |||
4.900%, 05/01/2033 | 995,000 | 959,338 | |||
5.250%, 11/15/2048 | 1,430,000 | 1,335,944 | |||
Kenvue, Inc. | |||||
4.900%, 03/22/2033 (D) | 2,751,000 | 2,735,722 | |||
5.050%, 03/22/2028 to 03/22/2053 (D) | 2,923,000 | 2,894,504 | |||
5.200%, 03/22/2063 (D) | 344,000 | 336,571 | |||
Keurig Dr. Pepper, Inc. 4.500%, 04/15/2052 | 1,298,000 | 1,104,930 | |||
Philip Morris International, Inc. | |||||
4.875%, 02/13/2026 to 02/15/2028 | 4,094,000 | 4,044,667 | |||
5.000%, 11/17/2025 | 1,459,000 | 1,450,458 | |||
5.125%, 11/17/2027 to 02/15/2030 | 4,429,000 | 4,398,878 | |||
5.375%, 02/15/2033 | 1,131,000 | 1,116,821 | |||
5.750%, 11/17/2032 | 350,000 | 354,979 | |||
Walmart, Inc. | |||||
4.100%, 04/15/2033 | 1,724,000 | 1,642,914 | |||
4.500%, 04/15/2053 | 1,035,000 | 963,116 | |||
32,211,481 | |||||
Energy – 1.4% | |||||
Aker BP ASA | |||||
5.600%, 06/13/2028 (D) | 2,086,000 | 2,067,913 | |||
6.000%, 06/13/2033 (D) | 1,618,000 | 1,617,526 | |||
BP Capital Markets America, Inc. 4.812%, 02/13/2033 | 3,772,000 | 3,651,056 | |||
Energy Transfer LP | |||||
4.400%, 03/15/2027 | 305,000 | 292,516 | |||
4.950%, 05/15/2028 | 2,276,000 | 2,211,048 | |||
5.300%, 04/15/2047 | 1,780,000 | 1,509,518 | |||
5.400%, 10/01/2047 | 523,000 | 450,485 | |||
5.750%, 02/15/2033 | 2,503,000 | 2,488,565 | |||
6.125%, 12/15/2045 | 550,000 | 516,519 | |||
Exxon Mobil Corp. | |||||
3.452%, 04/15/2051 | 1,730,000 | 1,287,216 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Energy (continued) | |||||
Exxon Mobil Corp. (continued) | |||||
4.327%, 03/19/2050 | $ | 2,276,000 | $ | 1,972,234 | |
Galaxy Pipeline Assets Bidco, Ltd. | |||||
1.750%, 09/30/2027 (D) | 561,614 | 518,096 | |||
2.160%, 03/31/2034 (D) | 1,146,133 | 962,055 | |||
2.625%, 03/31/2036 (D) | 817,000 | 645,697 | |||
2.940%, 09/30/2040 (D) | 472,075 | 371,436 | |||
MPLX LP | |||||
4.950%, 03/14/2052 | 1,276,000 | 1,051,520 | |||
5.000%, 03/01/2033 | 2,069,000 | 1,952,989 | |||
Petroleos Mexicanos | |||||
2.378%, 04/15/2025 | 175,000 | 169,869 | |||
2.460%, 12/15/2025 | 850,250 | 816,603 | |||
24,552,861 | |||||
Financials – 5.4% | |||||
American Express Company | |||||
5.043%, (5.043% to 5-1-33, then SOFR + 1.835%), 05/01/2034 | 775,000 | 744,673 | |||
5.282%, (5.282% to 7-27-28, then SOFR + 1.280%), 07/27/2029 | 3,419,000 | 3,381,925 | |||
5.389%, (5.389% to 7-28-26, then SOFR + 0.970%), 07/28/2027 | 2,053,000 | 2,040,822 | |||
Antares Holdings LP 3.750%, 07/15/2027 (D) | 1,518,000 | 1,308,146 | |||
Banco Santander SA 6.921%, 08/08/2033 | 1,000,000 | 999,669 | |||
Bank of America Corp. | |||||
1.734%, (1.734% to 7-22-26, then SOFR + 0.960%), 07/22/2027 | 2,080,000 | 1,861,162 | |||
3.419%, (3.419% to 12-20-27, then 3 month CME Term SOFR + 1.302%), 12/20/2028 | 4,823,000 | 4,422,721 | |||
5.202%, (5.202% to 4-25-28, then SOFR + 1.630%), 04/25/2029 | 1,500,000 | 1,477,322 | |||
5.288%, (5.288% to 4-25-33, then SOFR + 1.910%), 04/25/2034 | 3,887,000 | 3,792,965 | |||
Barclays PLC | |||||
6.224%, (6.224% to 5-9-33, then SOFR + 2.980%), 05/09/2034 | 1,977,000 | 1,952,485 | |||
7.437%, (7.437% to 11-2-32, then 1 Year CMT + 3.500%), 11/02/2033 | 2,214,000 | 2,369,571 | |||
BNP Paribas SA 5.335%, (5.335% to 6-12-28, then 1 Year CMT + 1.500%), 06/12/2029 (D) | 2,782,000 | 2,741,225 | |||
Brighthouse Financial, Inc. 3.850%, 12/22/2051 | 610,000 | 383,135 | |||
Capital One Financial Corp. 6.377%, (6.377% to 6-8-33, then SOFR + 2.860%), 06/08/2034 | 2,051,000 | 2,025,928 | |||
Citigroup, Inc. 6.174%, (6.174% to 5-25-33, then SOFR + 2.661%), 05/25/2034 | 4,094,000 | 4,079,709 | |||
Cooperatieve Rabobank UA 5.564%, (5.564% to 2-28-28, then 1 Year CMT + 1.400%), 02/28/2029 (D) | 4,809,000 | 4,751,681 | |||
Deutsche Bank AG 3.742%, (3.742% to 10-7-31, then SOFR + 2.257%), 01/07/2033 | 2,728,000 | 2,048,535 | |||
Fiserv, Inc. | |||||
5.375%, 08/21/2028 | 2,047,000 | 2,052,492 | |||
5.600%, 03/02/2033 | 352,000 | 354,121 | |||
5.625%, 08/21/2033 | 2,047,000 | 2,062,400 | |||
HSBC Holdings PLC 6.332%, (6.332% to 3-9-43, then SOFR + 2.650%), 03/09/2044 | 759,000 | 765,355 |
The accompanying notes are an integral part of the financial statements. | 27 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Financials (continued) | |||||
KeyBank NA 5.000%, 01/26/2033 | $ | 2,003,000 | $ | 1,739,786 | |
M&T Bank Corp. 5.053%, (5.053% to 1-27-33, then SOFR + 1.850%), 01/27/2034 | 1,269,000 | 1,154,001 | |||
Macquarie Group, Ltd. 5.887%, (5.887% to 6-15-33, then SOFR + 2.380%), 06/15/2034 (D) | 419,000 | 407,017 | |||
Manufacturers & Traders Trust Company 4.700%, 01/27/2028 | 974,000 | 910,528 | |||
MetLife, Inc. 5.375%, 07/15/2033 | 1,703,000 | 1,695,274 | |||
Mizuho Financial Group, Inc. 5.748%, (5.748% to 7-6-33, then 1 Year CMT + 1.900%), 07/06/2034 | 1,389,000 | 1,375,483 | |||
Morgan Stanley | |||||
5.123%, (5.123% to 2-1-28, then SOFR + 1.730%), 02/01/2029 | 682,000 | 668,449 | |||
5.164%, (5.164% to 4-20-28, then SOFR + 1.590%), 04/20/2029 | 682,000 | 668,926 | |||
5.250%, (5.250% to 4-21-33, then SOFR + 1.870%), 04/21/2034 | 2,061,000 | 2,001,887 | |||
5.449%, (5.449% to 7-20-28, then SOFR + 1.630%), 07/20/2029 | 1,363,000 | 1,355,000 | |||
6.342%, (6.342% to 10-18-32, then SOFR + 2.560%), 10/18/2033 | 2,349,000 | 2,460,928 | |||
Santander Holdings USA, Inc. | |||||
6.499%, (6.499% to 3-9-28, then SOFR + 2.356%), 03/09/2029 | 1,618,000 | 1,608,731 | |||
6.565%, (6.565% to 6-12-28, then SOFR + 2.700%), 06/12/2029 | 885,000 | 881,117 | |||
SBL Holdings, Inc. 5.000%, 02/18/2031 (D) | 790,000 | 612,808 | |||
Sumitomo Mitsui Financial Group, Inc. 6.184%, 07/13/2043 | 681,000 | 684,407 | |||
Svenska Handelsbanken AB 5.500%, 06/15/2028 (D) | 1,330,000 | 1,310,341 | |||
Swedbank AB 5.472%, 06/15/2026 (D) | 2,939,000 | 2,923,978 | |||
The Bank of New York Mellon Corp. | |||||
4.947%, (4.947% to 4-26-26, then SOFR + 1.026%), 04/26/2027 | 2,768,000 | 2,724,658 | |||
4.967%, (4.967% to 4-26-33, then SOFR + 1.606%), 04/26/2034 | 3,116,000 | 2,991,741 | |||
The Bank of Nova Scotia 5.250%, 06/12/2028 | 2,057,000 | 2,038,910 | |||
The Charles Schwab Corp. 6.136%, (6.136% to 8-24-33, then SOFR + 2.010%), 08/24/2034 | 1,364,000 | 1,387,323 | |||
The Goldman Sachs Group, Inc. 1.948%, (1.948% to 10-21-26, then SOFR + 0.913%), 10/21/2027 | 1,531,000 | 1,362,460 | |||
Truist Financial Corp. | |||||
5.867%, (5.867% to 6-8-33, then SOFR + 2.361%), 06/08/2034 | 1,709,000 | 1,693,306 | |||
6.047%, (6.047% to 6-8-26, then SOFR + 2.050%), 06/08/2027 | 2,392,000 | 2,390,328 | |||
Trust Fibra Uno 6.390%, 01/15/2050 (D) | 682,000 | 549,434 | |||
UBS Group AG | |||||
4.194%, (4.194% to 4-1-30, then SOFR + 3.730%), 04/01/2031 (D) | 1,013,000 | 912,133 | |||
4.282%, 01/09/2028 (D) | 3,021,000 | 2,826,036 | |||
6.442%, (6.442% to 8-11-27, then SOFR + 3.700%), 08/11/2028 (D) | 1,186,000 | 1,207,683 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Financials (continued) | |||||
Wells Fargo & Company | |||||
4.611%, (4.611% to 4-25-52, then SOFR + 2.130%), 04/25/2053 | $ | 682,000 | $ | 577,009 | |
4.897%, (4.897% to 7-25-32, then SOFR + 2.100%), 07/25/2033 | 5,722,000 | 5,384,042 | |||
5.557%, (5.557% to 7-25-33, then SOFR + 1.990%), 07/25/2034 | 1,022,000 | 1,008,557 | |||
5.574%, (5.574% to 7-25-28, then SOFR + 1.740%), 07/25/2029 | 2,044,000 | 2,035,535 | |||
97,163,858 | |||||
Health care – 2.5% | |||||
Abbott Laboratories | |||||
1.400%, 06/30/2030 | 1,547,000 | 1,260,775 | |||
4.750%, 11/30/2036 | 1,377,000 | 1,367,037 | |||
AbbVie, Inc. | |||||
3.200%, 11/21/2029 | 1,880,000 | 1,694,543 | |||
4.050%, 11/21/2039 | 730,000 | 625,693 | |||
4.250%, 11/21/2049 | 3,507,000 | 2,953,450 | |||
4.300%, 05/14/2036 | 447,000 | 409,512 | |||
4.450%, 05/14/2046 | 455,000 | 393,601 | |||
4.550%, 03/15/2035 | 1,720,000 | 1,626,932 | |||
Amgen, Inc. | |||||
5.250%, 03/02/2025 | 3,432,000 | 3,417,382 | |||
5.650%, 03/02/2053 | 3,897,000 | 3,863,273 | |||
Astrazeneca Finance LLC | |||||
4.875%, 03/03/2028 | 1,507,000 | 1,502,033 | |||
4.900%, 03/03/2030 | 2,060,000 | 2,049,125 | |||
CVS Health Corp. 4.875%, 07/20/2035 | 202,000 | 187,944 | |||
DH Europe Finance II Sarl 2.200%, 11/15/2024 | 1,691,000 | 1,626,622 | |||
Eli Lilly & Company | |||||
4.700%, 02/27/2033 | 687,000 | 685,743 | |||
4.875%, 02/27/2053 | 692,000 | 680,585 | |||
4.950%, 02/27/2063 | 481,000 | 469,859 | |||
Gilead Sciences, Inc. | |||||
2.600%, 10/01/2040 | 1,069,000 | 746,840 | |||
4.000%, 09/01/2036 | 550,000 | 485,507 | |||
4.600%, 09/01/2035 | 781,000 | 741,167 | |||
HCA, Inc. | |||||
4.625%, 03/15/2052 | 659,000 | 528,776 | |||
5.200%, 06/01/2028 | 1,058,000 | 1,042,544 | |||
5.900%, 06/01/2053 | 2,404,000 | 2,305,523 | |||
Merck & Company, Inc. | |||||
4.500%, 05/17/2033 | 349,000 | 340,142 | |||
5.000%, 05/17/2053 | 696,000 | 679,796 | |||
5.150%, 05/17/2063 | 522,000 | 509,538 | |||
Pfizer Investment Enterprises Pte, Ltd. | |||||
4.750%, 05/19/2033 | 5,431,000 | 5,344,393 | |||
5.300%, 05/19/2053 | 2,253,000 | 2,253,820 | |||
5.340%, 05/19/2063 | 1,031,000 | 1,015,869 | |||
Shire Acquisitions Investments Ireland DAC 2.875%, 09/23/2023 | 507,000 | 506,060 | |||
Takeda Pharmaceutical Company, Ltd. 4.400%, 11/26/2023 | 349,000 | 347,698 | |||
UnitedHealth Group, Inc. | |||||
3.050%, 05/15/2041 | 324,000 | 241,940 | |||
4.000%, 05/15/2029 | 1,308,000 | 1,250,383 | |||
5.200%, 04/15/2063 | 711,000 | 681,498 | |||
5.875%, 02/15/2053 | 1,642,000 | 1,756,123 | |||
45,591,726 |
The accompanying notes are an integral part of the financial statements. | 28 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Industrials – 2.5% | |||||
Adani International Container Terminal Private, Ltd. 3.000%, 02/16/2031 (D) | $ | 457,500 | $ | 346,731 | |
AerCap Ireland Capital DAC 1.150%, 10/29/2023 | 4,261,000 | 4,228,350 | |||
Burlington Northern Santa Fe LLC 4.450%, 01/15/2053 | 275,000 | 245,044 | |||
Canadian Pacific Railway Company | |||||
1.350%, 12/02/2024 | 1,531,000 | 1,451,197 | |||
1.750%, 12/02/2026 | 296,000 | 266,001 | |||
Crowley Conro LLC 4.181%, 08/15/2043 | 730,598 | 691,585 | |||
Delta Air Lines, Inc. 4.750%, 10/20/2028 (D) | 2,268,000 | 2,177,862 | |||
Ingersoll Rand, Inc. 5.700%, 08/14/2033 | 1,376,000 | 1,395,272 | |||
John Deere Capital Corp. | |||||
4.150%, 09/15/2027 | 3,245,000 | 3,167,454 | |||
4.700%, 06/10/2030 | 4,227,000 | 4,174,477 | |||
4.900%, 03/03/2028 | 1,716,000 | 1,721,618 | |||
4.950%, 07/14/2028 | 2,386,000 | 2,393,887 | |||
L3Harris Technologies, Inc. 5.400%, 01/15/2027 to 07/31/2033 | 4,466,000 | 4,475,305 | |||
Lockheed Martin Corp. 4.750%, 02/15/2034 | 2,464,000 | 2,430,766 | |||
Northrop Grumman Corp. 4.400%, 05/01/2030 | 791,000 | 761,190 | |||
Quanta Services, Inc. 0.950%, 10/01/2024 | 1,228,000 | 1,164,535 | |||
Republic Services, Inc. | |||||
4.875%, 04/01/2029 | 1,033,000 | 1,019,144 | |||
5.000%, 04/01/2034 | 1,033,000 | 1,014,484 | |||
RTX Corp. 5.375%, 02/27/2053 | 810,000 | 789,537 | |||
The Boeing Company | |||||
2.196%, 02/04/2026 | 2,338,000 | 2,156,818 | |||
3.250%, 02/01/2035 | 757,000 | 607,743 | |||
3.750%, 02/01/2050 | 1,350,000 | 984,322 | |||
5.805%, 05/01/2050 | 1,199,000 | 1,166,490 | |||
Union Pacific Corp. | |||||
2.375%, 05/20/2031 | 655,000 | 549,733 | |||
2.800%, 02/14/2032 | 889,000 | 759,823 | |||
3.375%, 02/14/2042 | 739,000 | 576,927 | |||
Waste Management, Inc. 4.875%, 02/15/2029 to 02/15/2034 | 4,100,000 | 4,035,157 | |||
44,751,452 | |||||
Information technology – 1.8% | |||||
Apple, Inc. | |||||
2.375%, 02/08/2041 | 501,000 | 358,057 | |||
2.650%, 05/11/2050 to 02/08/2051 | 966,000 | 642,886 | |||
3.950%, 08/08/2052 | 967,000 | 819,274 | |||
4.000%, 05/10/2028 | 2,060,000 | 2,013,302 | |||
4.150%, 05/10/2030 | 1,030,000 | 1,007,075 | |||
4.850%, 05/10/2053 | 348,000 | 343,391 | |||
Broadcom, Inc. | |||||
2.450%, 02/15/2031 (D) | 1,077,000 | 868,270 | |||
3.150%, 11/15/2025 | 807,000 | 768,044 | |||
3.469%, 04/15/2034 (D) | 691,000 | 564,622 | |||
4.926%, 05/15/2037 (D) | 984,000 | 886,415 | |||
Intel Corp. | |||||
2.800%, 08/12/2041 | 592,000 | 410,840 | |||
5.625%, 02/10/2043 | 395,000 | 393,150 | |||
5.700%, 02/10/2053 | 685,000 | 678,351 | |||
5.900%, 02/10/2063 | 960,000 | 964,959 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Information technology (continued) | |||||
KLA Corp. 3.300%, 03/01/2050 | $ | 564,000 | $ | 405,355 | |
Micron Technology, Inc. | |||||
3.477%, 11/01/2051 | 337,000 | 217,628 | |||
5.375%, 04/15/2028 | 3,450,000 | 3,391,628 | |||
5.875%, 02/09/2033 | 405,000 | 400,479 | |||
NXP BV | |||||
2.500%, 05/11/2031 | 686,000 | 554,536 | |||
3.250%, 05/11/2041 | 675,000 | 480,744 | |||
4.400%, 06/01/2027 | 746,000 | 717,402 | |||
Oracle Corp. | |||||
4.000%, 07/15/2046 | 1,196,000 | 899,895 | |||
4.375%, 05/15/2055 | 415,000 | 318,844 | |||
5.550%, 02/06/2053 | 916,000 | 851,501 | |||
6.900%, 11/09/2052 | 1,540,000 | 1,677,201 | |||
Qualcomm, Inc. 6.000%, 05/20/2053 | 1,552,000 | 1,671,949 | |||
Texas Instruments, Inc. | |||||
4.900%, 03/14/2033 | 2,751,000 | 2,764,134 | |||
5.000%, 03/14/2053 | 1,719,000 | 1,671,182 | |||
5.050%, 05/18/2063 | 1,030,000 | 986,826 | |||
VMware, Inc. | |||||
1.000%, 08/15/2024 | 2,141,000 | 2,046,200 | |||
1.400%, 08/15/2026 | 2,003,000 | 1,776,087 | |||
4.700%, 05/15/2030 | 1,238,000 | 1,166,814 | |||
32,717,041 | |||||
Materials – 0.5% | |||||
Anglo American Capital PLC | |||||
4.750%, 03/16/2052 (D) | 1,943,000 | 1,560,157 | |||
5.500%, 05/02/2033 (D) | 951,000 | 918,034 | |||
BHP Billiton Finance USA, Ltd. 4.875%, 02/27/2026 | 3,435,000 | 3,410,951 | |||
Celanese US Holdings LLC 6.700%, 11/15/2033 | 1,364,000 | 1,369,736 | |||
Glencore Finance Canada, Ltd. | |||||
5.550%, 10/25/2042 (D) | 309,000 | 282,142 | |||
6.000%, 11/15/2041 (D) | 251,000 | 241,701 | |||
6.900%, 11/15/2037 (D) | 711,000 | 752,790 | |||
Rohm and Haas Company 7.850%, 07/15/2029 | 1,095,000 | 1,210,327 | |||
9,745,838 | |||||
Real estate – 1.4% | |||||
Agree LP | |||||
2.000%, 06/15/2028 | 1,289,000 | 1,081,845 | |||
2.600%, 06/15/2033 | 293,000 | 222,661 | |||
4.800%, 10/01/2032 | 646,000 | 594,646 | |||
American Homes 4 Rent LP | |||||
3.625%, 04/15/2032 | 1,186,000 | 1,016,076 | |||
4.300%, 04/15/2052 | 531,000 | 410,230 | |||
American Tower Corp. | |||||
2.950%, 01/15/2051 | 344,000 | 208,212 | |||
3.125%, 01/15/2027 | 581,000 | 535,076 | |||
5.500%, 03/15/2028 | 1,373,000 | 1,365,729 | |||
Brixmor Operating Partnership LP 2.500%, 08/16/2031 | 1,134,000 | 891,921 | |||
Crown Castle, Inc. | |||||
1.050%, 07/15/2026 | 1,849,000 | 1,634,435 | |||
2.900%, 03/15/2027 to 04/01/2041 | 1,680,000 | 1,374,516 | |||
3.800%, 02/15/2028 | 680,000 | 632,451 | |||
4.800%, 09/01/2028 | 679,000 | 659,169 | |||
5.000%, 01/11/2028 | 2,308,000 | 2,265,742 | |||
Essex Portfolio LP 2.550%, 06/15/2031 | 612,000 | 490,044 | |||
Federal Realty Investment Trust 3.950%, 01/15/2024 | 820,000 | 813,598 |
The accompanying notes are an integral part of the financial statements. | 29 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Real estate (continued) | |||||
Invitation Homes Operating Partnership LP | |||||
2.000%, 08/15/2031 | $ | 204,000 | $ | 156,099 | |
4.150%, 04/15/2032 | 1,181,000 | 1,051,088 | |||
Mid-America Apartments LP 4.300%, 10/15/2023 | 608,000 | 606,756 | |||
NNN REIT, Inc. 5.600%, 10/15/2033 | 1,023,000 | 1,002,463 | |||
Realty Income Corp. | |||||
2.200%, 06/15/2028 | 635,000 | 551,100 | |||
2.850%, 12/15/2032 | 859,000 | 696,198 | |||
4.900%, 07/15/2033 | 1,145,000 | 1,087,248 | |||
5.625%, 10/13/2032 | 1,200,000 | 1,199,542 | |||
Regency Centers LP 2.950%, 09/15/2029 | 1,625,000 | 1,404,187 | |||
STORE Capital Corp. | |||||
2.700%, 12/01/2031 | 412,000 | 291,490 | |||
2.750%, 11/18/2030 | 1,049,000 | 769,559 | |||
4.500%, 03/15/2028 | 682,000 | 609,629 | |||
4.625%, 03/15/2029 | 757,000 | 651,551 | |||
Sun Communities Operating LP 4.200%, 04/15/2032 | 1,186,000 | 1,042,938 | |||
25,316,199 | |||||
Utilities – 2.1% | |||||
American Transmission Systems, Inc. 2.650%, 01/15/2032 (D) | 428,000 | 350,504 | |||
Baltimore Gas & Electric Company | |||||
2.250%, 06/15/2031 | 919,000 | 752,074 | |||
5.400%, 06/01/2053 | 1,030,000 | 1,015,753 | |||
CenterPoint Energy Houston Electric LLC 3.600%, 03/01/2052 | 679,000 | 502,776 | |||
Commonwealth Edison Company 5.300%, 02/01/2053 | 276,000 | 270,249 | |||
Consolidated Edison Company of New York, Inc. 5.200%, 03/01/2033 | 1,924,000 | 1,921,245 | |||
Consumers Energy Company 2.500%, 05/01/2060 | 559,000 | 308,909 | |||
DTE Electric Company | |||||
2.950%, 03/01/2050 | 1,073,000 | 711,954 | |||
3.650%, 03/01/2052 | 491,000 | 366,351 | |||
Duke Energy Carolinas LLC | |||||
2.550%, 04/15/2031 | 625,000 | 529,088 | |||
2.850%, 03/15/2032 | 1,142,000 | 963,663 | |||
3.550%, 03/15/2052 | 831,000 | 604,322 | |||
4.950%, 01/15/2033 | 1,024,000 | 1,008,659 | |||
5.350%, 01/15/2053 | 1,378,000 | 1,339,380 | |||
Duke Energy Corp. | |||||
2.550%, 06/15/2031 | 673,000 | 549,688 | |||
3.500%, 06/15/2051 | 190,000 | 130,641 | |||
Duke Energy Florida LLC 2.400%, 12/15/2031 | 916,000 | 747,559 | |||
Duke Energy Progress LLC | |||||
2.500%, 08/15/2050 | 927,000 | 546,459 | |||
5.250%, 03/15/2033 | 684,000 | 684,515 | |||
Entergy Arkansas LLC | |||||
2.650%, 06/15/2051 | 828,000 | 494,289 | |||
5.150%, 01/15/2033 | 1,379,000 | 1,366,701 | |||
Eversource Energy 1.650%, 08/15/2030 | 1,044,000 | 821,358 | |||
Exelon Corp. | |||||
5.300%, 03/15/2033 | 562,000 | 554,873 | |||
5.600%, 03/15/2053 | 455,000 | 438,989 | |||
Israel Electric Corp., Ltd. 3.750%, 02/22/2032 (D) | 490,000 | 414,638 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Utilities (continued) | |||||
Jersey Central Power & Light Company 2.750%, 03/01/2032 (D) | $ | 1,010,000 | $ | 822,345 | |
Metropolitan Edison Company | |||||
4.300%, 01/15/2029 (D) | 1,080,000 | 1,022,514 | |||
5.200%, 04/01/2028 (D) | 1,034,000 | 1,021,105 | |||
MidAmerican Energy Company 2.700%, 08/01/2052 | 797,000 | 483,644 | |||
Mississippi Power Company | |||||
3.100%, 07/30/2051 | 1,102,000 | 703,325 | |||
4.250%, 03/15/2042 | 422,000 | 345,154 | |||
NSTAR Electric Company 3.100%, 06/01/2051 | 567,000 | 379,834 | |||
Pacific Gas & Electric Company | |||||
2.100%, 08/01/2027 | 492,000 | 424,808 | |||
3.950%, 12/01/2047 | 2,093,000 | 1,395,013 | |||
4.200%, 06/01/2041 | 534,000 | 386,373 | |||
4.500%, 07/01/2040 | 316,000 | 243,353 | |||
4.750%, 02/15/2044 | 309,000 | 236,266 | |||
4.950%, 07/01/2050 | 2,938,000 | 2,271,736 | |||
6.100%, 01/15/2029 | 684,000 | 675,967 | |||
PacifiCorp 5.500%, 05/15/2054 | 1,099,000 | 973,343 | |||
PECO Energy Company 2.850%, 09/15/2051 | 1,108,000 | 697,983 | |||
Pennsylvania Electric Company | |||||
3.250%, 03/15/2028 (D) | 895,000 | 814,867 | |||
5.150%, 03/30/2026 (D) | 690,000 | 678,819 | |||
Public Service Company of Oklahoma 3.150%, 08/15/2051 | 622,000 | 406,312 | |||
Public Service Electric & Gas Company | |||||
1.900%, 08/15/2031 | 1,577,000 | 1,259,971 | |||
2.050%, 08/01/2050 | 255,000 | 143,357 | |||
2.700%, 05/01/2050 | 430,000 | 274,916 | |||
5.200%, 08/01/2033 | 1,702,000 | 1,717,897 | |||
5.450%, 08/01/2053 | 545,000 | 552,864 | |||
Southern California Edison Company 4.125%, 03/01/2048 | 693,000 | 546,169 | |||
Virginia Electric and Power Company | |||||
2.950%, 11/15/2051 | 919,000 | 587,948 | |||
5.450%, 04/01/2053 | 311,000 | 301,003 | |||
36,761,523 | |||||
TOTAL CORPORATE BONDS (Cost $423,111,653) | $ | 402,178,341 | |||
MUNICIPAL BONDS – 0.2% | |||||
Board of Regents of the University of Texas System 2.439%, 08/15/2049 | 600,000 | 386,682 | |||
County of Clark Department of Aviation (Nevada) 6.820%, 07/01/2045 | 1,115,000 | 1,316,739 | |||
North Texas Tollway Authority 6.718%, 01/01/2049 | 459,000 | 551,693 | |||
Ohio State University 4.800%, 06/01/2111 | 600,000 | 522,589 | |||
Port Authority of New York & New Jersey 4.458%, 10/01/2062 | 1,010,000 | 898,027 | |||
TOTAL MUNICIPAL BONDS (Cost $4,182,695) | $ | 3,675,730 | |||
COLLATERALIZED MORTGAGE OBLIGATIONS – 11.8% | |||||
Commercial and residential – 2.2% | |||||
Angel Oak Mortgage Trust LLC | |||||
Series 2020-2, Class A1A, 2.531%, 01/26/2065 (D)(E) | 220,820 | 201,469 |
The accompanying notes are an integral part of the financial statements. | 30 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
Commercial and residential (continued) | |||||
Angel Oak Mortgage Trust LLC (continued) | |||||
Series 2020-5, Class A1, 1.373%, 05/25/2065 (D)(E) | $ | 202,631 | $ | 185,759 | |
Series 2021-6, Class A1, 1.458%, 09/25/2066 (D)(E) | 827,145 | 652,766 | |||
BBCMS Mortgage Trust Series 2018-C2, Class ASB 4.236%, 12/15/2051 | 362,585 | 348,608 | |||
Bunker Hill Loan Depositary Trust Series 2019-2, Class A1 2.879%, 07/25/2049 (D) | 684,178 | 636,380 | |||
BX Commercial Mortgage Trust | |||||
Series 2021-VOLT, Class A (1 month CME Term SOFR + 0.814%), 6.125%, 09/15/2036 (A)(D) | 3,519,000 | 3,424,045 | |||
Series 2021-XL2, Class A (1 month CME Term SOFR + 0.803%), 6.113%, 10/15/2038 (A)(D) | 1,366,814 | 1,333,796 | |||
CFCRE Commercial Mortgage Trust Series 2017-C8, Class ASB 3.367%, 06/15/2050 | 388,022 | 370,925 | |||
COLT Mortgage Loan Trust | |||||
Series 2021-2, Class A1, 0.924%, 08/25/2066 (D)(E) | 1,106,849 | 847,381 | |||
Series 2021-4, Class A1, 1.397%, 10/25/2066 (D)(E) | 1,187,069 | 928,854 | |||
Commercial Mortgage Trust (Cantor Fitzgerald/Deutsche Bank AG) | |||||
Series 2013-CR13, Class A4, 4.194%, 11/10/2046 (E) | 612,000 | 608,381 | |||
Series 2014-UBS4, Class A4, 3.420%, 08/10/2047 | 1,279,000 | 1,245,032 | |||
Series 2015-LC23, Class A3, 3.521%, 10/10/2048 | 622,767 | 601,904 | |||
EQUS Mortgage Trust Series 2021-EQAZ, Class A (1 month CME Term SOFR + 0.869%) 6.180%, 10/15/2038 (A)(D) | 1,387,972 | 1,356,602 | |||
GS Mortgage Securities Trust | |||||
Series 2014-GC18, Class A4, 4.074%, 01/10/2047 | 1,530,000 | 1,516,743 | |||
Series 2015-GC32, Class A3, 3.498%, 07/10/2048 | 625,252 | 596,922 | |||
Series 2020-GSA2, Class A4, 1.721%, 12/12/2053 | 1,786,000 | 1,399,347 | |||
Impact Funding Affordable Multifamily Housing Mortgage Loan Trust Series 2010-1, Class A1 5.314%, 01/25/2051 (D) | 951,705 | 923,105 | |||
JPMBB Commercial Mortgage Securities Trust | |||||
Series 2013-C17, Class A4, 4.199%, 01/15/2047 | 318,367 | 316,063 | |||
Series 2014-C23, Class A4, 3.670%, 09/15/2047 | 532,099 | 520,192 | |||
Series 2015-C28, Class A3, 2.912%, 10/15/2048 | 1,857,161 | 1,792,188 | |||
Series 2015-C30, Class A5, 3.822%, 07/15/2048 | 981,000 | 926,134 | |||
JPMorgan Chase Commercial Mortgage Securities Trust | |||||
Series 2013-C16, Class A4, 4.166%, 12/15/2046 | 339,564 | 337,861 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
Commercial and residential (continued) | |||||
JPMorgan Chase Commercial Mortgage Securities Trust (continued) | |||||
Series 2016-JP4, Class A3, 3.393%, 12/15/2049 | $ | 346,000 | $ | 322,410 | |
Med Trust Series 2021-MDLN, Class A (1 month CME Term SOFR + 1.064%) 6.374%, 11/15/2038 (A)(D) | 2,225,320 | 2,169,476 | |||
MFA Trust Series 2021-NQM2, Class A1 1.029%, 11/25/2064 (D)(E) | 461,837 | 381,484 | |||
Morgan Stanley Capital I Trust Series 2020-HR8, Class A3 1.790%, 07/15/2053 | 982,000 | 776,708 | |||
New Residential Mortgage Loan Trust Series 2019-NQM4, Class A1 2.492%, 09/25/2059 (D)(E) | 345,483 | 319,642 | |||
NewRez Warehouse Securitization Trust Series 2021-1, Class A (1 month CME Term SOFR + 0.864%) 6.179%, 05/25/2055 (A)(D) | 2,870,400 | 2,856,494 | |||
Starwood Mortgage Residential Trust | |||||
Series 2020-1, Class A1, 2.275%, 02/25/2050 (D)(E) | 124,671 | 115,316 | |||
Series 2020-3, Class A1, 1.486%, 04/25/2065 (D)(E) | 537,660 | 495,739 | |||
Series 2020-INV1, Class A1, 1.027%, 11/25/2055 (D)(E) | 497,220 | 436,972 | |||
Series 2021-1, Class A1, 1.219%, 05/25/2065 (D)(E) | 661,077 | 564,960 | |||
Series 2021-4, Class A1, 1.162%, 08/25/2056 (D)(E) | 1,072,446 | 887,929 | |||
Verus Securitization Trust | |||||
Series 2019-INV3, Class A1, 2.692%, 11/25/2059 (D)(E) | 451,581 | 432,795 | |||
Series 2020-2, Class A1, 2.226%, 05/25/2060 (D)(E) | 229,539 | 223,727 | |||
Series 2021-1, Class A1, 0.815%, 01/25/2066 (D)(E) | 843,087 | 714,990 | |||
Series 2021-3, Class A1, 1.046%, 06/25/2066 (D)(E) | 779,155 | 652,720 | |||
Series 2021-4, Class A1, 0.938%, 07/25/2066 (D)(E) | 978,227 | 757,663 | |||
Series 2021-5, Class A1, 1.013%, 09/25/2066 (D)(E) | 2,498,929 | 2,016,668 | |||
Series 2021-7, Class A1, 1.829%, 10/25/2066 (D)(E) | 979,617 | 830,455 | |||
Series 2021-8, Class A1, 1.824%, 11/25/2066 (D)(E) | 1,057,222 | 885,538 | |||
Series 2021-R1, Class A1, 0.820%, 10/25/2063 (D)(E) | 677,194 | 603,547 | |||
Series 2021-R3, Class A1, 1.020%, 04/25/2064 (D)(E) | 465,967 | 409,934 | |||
Visio Trust Series 2020-1R, Class A1 1.312%, 11/25/2055 (D) | 524,037 | 462,610 | |||
38,388,234 | |||||
U.S. Government Agency – 9.6% | |||||
Federal Home Loan Mortgage Corp. | |||||
Series 264, Class 30, 3.000%, 07/15/2042 | 1,584,078 | 1,420,576 | |||
Series 271, Class F5 (1 month SOFR + 0.614%), 5.803%, 08/15/2042 (A) | 608,820 | 588,677 |
The accompanying notes are an integral part of the financial statements. | 31 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
U.S. Government Agency (continued) | |||||
Federal Home Loan Mortgage Corp. (continued) | |||||
Series 272, Class F1 (1 month SOFR + 0.614%), 5.803%, 08/15/2042 (A) | $ | 942,864 | $ | 911,926 | |
Series 280, Class F1 (1 month SOFR + 0.614%), 5.803%, 09/15/2042 (A) | 958,937 | 927,162 | |||
Series 4047, Class CX, 3.500%, 05/15/2042 | 1,877,000 | 1,683,269 | |||
Series 4091, Class EX, 3.375%, 07/15/2042 | 685,767 | 627,595 | |||
Series 4117, Class HB, 2.500%, 10/15/2042 | 646,000 | 548,019 | |||
Series 4122, Class FP (1 month SOFR + 0.514%), 5.703%, 10/15/2042 (A) | 725,588 | 699,930 | |||
Series 4205, Class PA, 1.750%, 05/15/2043 | 818,469 | 683,838 | |||
Series 4240, Class FA (1 month SOFR + 0.614%), 5.803%, 08/15/2043 (A) | 1,769,316 | 1,707,909 | |||
Series 4248, Class FT (1 month SOFR + 0.614%), 5.803%, 09/15/2043 (A) | 633,617 | 614,704 | |||
Series 4286, Class VF (1 month SOFR + 0.564%), 5.753%, 12/15/2043 (A) | 1,422,839 | 1,376,769 | |||
Series 4446, Class CP, 2.250%, 03/15/2045 | 836,103 | 721,013 | |||
Series 4582, Class HA, 3.000%, 09/15/2045 | 3,362,581 | 3,069,211 | |||
Series 4614, Class FG (1 month SOFR + 0.614%), 5.803%, 09/15/2046 (A) | 768,743 | 738,972 | |||
Series 4631, Class FA (1 month SOFR + 0.614%), 5.803%, 11/15/2046 (A) | 1,210,973 | 1,164,800 | |||
Series 4719, Class LA, 3.500%, 09/15/2047 | 947,339 | 868,264 | |||
Series 4719, Class LM, 3.000%, 09/15/2047 | 709,558 | 628,731 | |||
Series 4742, Class PA, 3.000%, 10/15/2047 | 1,104,551 | 984,561 | |||
Series 4793, Class FD (1 month SOFR + 0.414%), 5.603%, 06/15/2048 (A) | 266,322 | 252,930 | |||
Series 4826, Class KF (1 month SOFR + 0.414%), 5.603%, 09/15/2048 (A) | 555,856 | 531,319 | |||
Series 4857, Class JA, 3.350%, 01/15/2049 | 3,075,431 | 2,871,051 | |||
Series 4880, Class DA, 3.000%, 05/15/2050 | 1,669,789 | 1,493,407 | |||
Series 4903, Class NF (1 month SOFR + 0.514%), 5.802%, 08/25/2049 (A) | 593,636 | 571,740 | |||
Series 4927, Class BG, 3.000%, 11/25/2049 | 1,294,403 | 1,149,873 | |||
Series 4937, Class MD, 2.500%, 10/25/2049 | 1,309,835 | 1,135,360 | |||
Series 4941, Class GA, 2.000%, 12/15/2047 | 743,170 | 613,098 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
U.S. Government Agency (continued) | |||||
Federal Home Loan Mortgage Corp. (continued) | |||||
Series 4979, Class UC, 1.500%, 06/25/2050 | $ | 2,400,254 | $ | 1,851,556 | |
Series 4993, Class KF (1 month SOFR + 0.564%), 5.852%, 07/25/2050 (A) | 4,906,580 | 4,664,222 | |||
Series 5004, Class FM (1 month SOFR + 0.464%), 5.752%, 08/25/2050 (A) | 1,038,816 | 979,851 | |||
Series 5091, Class AB, 1.500%, 03/25/2051 | 2,357,504 | 1,859,980 | |||
Series 5116, Class PB, 2.250%, 02/25/2051 | 1,355,932 | 1,133,081 | |||
Series 5118, Class CA, 1.500%, 10/15/2033 | 1,095,000 | 937,092 | |||
Series 5119, Class AB, 1.500%, 08/25/2049 | 586,281 | 460,278 | |||
Series 5119, Class QF (1 month SOFR + 0.200%), 5.488%, 06/25/2051 (A) | 1,481,181 | 1,380,485 | |||
Series 5143, Class GA, 2.000%, 06/25/2049 | 741,228 | 592,159 | |||
Series 5178, Class TP, 2.500%, 04/25/2049 | 1,476,956 | 1,267,432 | |||
Series 5182, Class D, 2.500%, 11/25/2043 | 5,606,956 | 4,998,468 | |||
Series 5182, Class M, 2.500%, 05/25/2049 | 912,824 | 786,030 | |||
Series 5184, Class AB, 2.500%, 05/25/2048 | 826,474 | 716,290 | |||
Series 5201, Class CA, 2.500%, 07/25/2048 | 1,290,520 | 1,131,240 | |||
Series 5202, Class BH, 2.000%, 12/25/2047 | 860,154 | 762,278 | |||
Series 5202, Class LA, 2.500%, 05/25/2049 | 1,364,797 | 1,178,357 | |||
Series 5203, Class G, 2.500%, 11/25/2048 | 606,705 | 521,046 | |||
Series 5207, Class PA, 3.000%, 06/25/2051 | 1,735,946 | 1,513,080 | |||
Series 5220, Class QK, 3.500%, 09/25/2050 | 2,597,735 | 2,417,966 | |||
Series 5300, Class C, 2.000%, 09/25/2047 | 2,051,344 | 1,856,323 | |||
Series 5335, Class FB (1 month SOFR + 0.814%), 6.003%, 10/15/2039 (A) | 2,264,000 | 2,264,844 | |||
Series KG08, Class A2, 4.134%, 05/25/2033 (E) | 2,214,000 | 2,091,175 | |||
Federal National Mortgage Association | |||||
Series 1998-61, Class PL, 6.000%, 11/25/2028 | 93,270 | 93,316 | |||
Series 2012-111, Class FC (1 month SOFR + 0.514%), 5.802%, 10/25/2042 (A) | 845,638 | 823,918 | |||
Series 2012-133, Class JF (1 month SOFR + 0.464%), 5.752%, 12/25/2042 (A) | 804,860 | 774,379 | |||
Series 2012-151, Class NX, 1.500%, 01/25/2043 | 742,546 | 615,835 | |||
Series 2013-11, Class AP, 1.500%, 01/25/2043 | 2,863,201 | 2,505,065 |
The accompanying notes are an integral part of the financial statements. | 32 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
U.S. Government Agency (continued) | |||||
Federal National Mortgage Association (continued) | |||||
Series 2013-15, Class FA (1 month SOFR + 0.464%), 5.752%, 03/25/2043 (A) | $ | 969,678 | $ | 932,478 | |
Series 2013-43, Class BP, 1.750%, 05/25/2043 | 1,021,514 | 855,993 | |||
Series 2014-25, Class EL, 3.000%, 05/25/2044 | 902,594 | 798,579 | |||
Series 2014-74, Class PC, 2.500%, 06/25/2044 | 774,414 | 705,495 | |||
Series 2015-20, Class EF (1 month SOFR + 0.464%), 5.752%, 04/25/2045 (A) | 2,272,018 | 2,176,787 | |||
Series 2015-26, Class GF (1 month SOFR + 0.414%), 5.702%, 05/25/2045 (A) | 1,406,468 | 1,351,105 | |||
Series 2015-32, Class FA (1 month SOFR + 0.414%), 5.702%, 05/25/2045 (A) | 853,041 | 814,716 | |||
Series 2015-48, Class FB (1 month SOFR + 0.414%), 5.702%, 07/25/2045 (A) | 1,049,793 | 1,003,724 | |||
Series 2015-8, Class AP, 2.000%, 03/25/2045 | 1,701,678 | 1,461,520 | |||
Series 2015-84, Class PA, 1.700%, 08/25/2033 | 3,124,771 | 2,811,715 | |||
Series 2016-48, Class MA, 2.000%, 06/25/2038 | 2,953,050 | 2,639,139 | |||
Series 2016-57, Class PC, 1.750%, 06/25/2046 | 5,955,141 | 4,882,898 | |||
Series 2017-13, Class PA, 3.000%, 08/25/2046 | 755,154 | 681,659 | |||
Series 2017-78, Class FC (1 month SOFR + 0.464%), 5.752%, 10/25/2047 (A) | 1,058,901 | 1,014,488 | |||
Series 2018-14, Class KC, 3.000%, 03/25/2048 | 1,150,795 | 1,062,901 | |||
Series 2018-38, Class MA, 3.300%, 06/25/2048 | 1,511,158 | 1,403,716 | |||
Series 2018-8, Class KL, 2.500%, 03/25/2047 | 798,575 | 684,917 | |||
Series 2018-85, Class EA, 3.500%, 12/25/2048 | 761,504 | 710,314 | |||
Series 2019-15, Class FA (1 month SOFR + 0.614%), 5.902%, 04/25/2049 (A) | 543,946 | 524,004 | |||
Series 2019-25, Class PA, 3.000%, 05/25/2048 | 2,186,467 | 1,969,443 | |||
Series 2019-43, Class FC (1 month SOFR + 0.514%), 5.802%, 08/25/2049 (A) | 1,091,432 | 1,049,126 | |||
Series 2019-67, Class FB (1 month SOFR + 0.564%), 5.852%, 11/25/2049 (A) | 538,765 | 517,787 | |||
Series 2019-8, Class GA, 3.000%, 03/25/2049 | 3,200,611 | 2,824,134 | |||
Series 2020-34, Class F (1 month SOFR + 0.564%), 5.852%, 06/25/2050 (A) | 743,768 | 710,669 | |||
Series 2020-45, Class JL, 3.000%, 07/25/2040 | 2,235,374 | 1,985,658 | |||
Series 2020-48, Class AB, 2.000%, 07/25/2050 | 1,163,021 | 942,465 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
U.S. Government Agency (continued) | |||||
Federal National Mortgage Association (continued) | |||||
Series 2020-48, Class DA, 2.000%, 07/25/2050 | $ | 3,520,567 | $ | 2,874,899 | |
Series 2020-59, Class NC, 3.000%, 08/25/2040 | 1,224,128 | 1,096,777 | |||
Series 2021-27, Class EC, 1.500%, 05/25/2051 | 4,173,816 | 3,254,051 | |||
Series 2021-42, Class AC, 2.000%, 02/25/2051 | 1,099,370 | 914,708 | |||
Series 2021-73, Class A, 2.500%, 11/25/2049 | 1,434,884 | 1,223,596 | |||
Series 2021-78, Class ND, 1.500%, 11/25/2051 | 1,668,045 | 1,339,396 | |||
Series 2021-78, Class PA, 2.500%, 11/25/2051 | 1,016,324 | 869,122 | |||
Series 2021-86, Class MA, 2.500%, 11/25/2047 | 2,384,322 | 2,084,877 | |||
Series 2021-91, Class AB, 2.500%, 09/25/2049 | 1,376,749 | 1,174,529 | |||
Series 2022-11, Class A, 2.500%, 07/25/2047 | 2,750,849 | 2,431,982 | |||
Series 2022-28, Class CA, 2.000%, 01/25/2048 | 1,095,795 | 964,969 | |||
Series 2022-3, Class N, 2.000%, 10/25/2047 | 1,840,555 | 1,558,777 | |||
Series 2023-37, Class FH (1 month SOFR + 0.514%), 5.802%, 01/25/2050 (A) | 2,369,408 | 2,283,539 | |||
Series 2023-38, Class FC (1 month SOFR + 0.664%), 5.821%, 06/25/2040 (A) | 1,535,000 | 1,521,329 | |||
Series 414, Class A35, 3.500%, 10/25/2042 | 851,333 | 784,001 | |||
Government National Mortgage Association | |||||
Series 2012-141, Class WA, 4.516%, 11/16/2041 (E) | 264,740 | 254,332 | |||
Series 2013-152, Class HA, 2.500%, 06/20/2043 | 1,300,893 | 1,169,602 | |||
Series 2014-181, Class L, 3.000%, 12/20/2044 | 774,000 | 680,928 | |||
Series 2015-144, Class CA, 2.500%, 10/20/2045 | 1,344,096 | 1,158,697 | |||
Series 2015-161, Class GF (1 month CME Term SOFR + 0.414%), 5.728%, 11/20/2045 (A) | 728,412 | 698,921 | |||
Series 2016-93, Class AB, 1.750%, 07/20/2044 | 1,410,621 | 1,117,340 | |||
Series 2017-167, Class BQ, 2.500%, 08/20/2044 | 750,826 | 676,970 | |||
Series 2018-65, Class DC, 3.500%, 05/20/2048 | 948,000 | 845,803 | |||
Series 2021-227, Class E, 2.500%, 07/20/2050 | 5,463,023 | 4,633,505 | |||
Series 2021-23, Class MG, 1.500%, 02/20/2051 | 3,367,158 | 2,728,417 | |||
Series 2021-27, Class BD, 5.000%, 02/20/2051 | 872,936 | 858,997 | |||
Series 2021-27, Class CW, 5.001%, 02/20/2051 (E) | 1,274,488 | 1,236,282 | |||
Series 2021-27, Class NT, 5.000%, 02/20/2051 | 999,275 | 952,248 |
The accompanying notes are an integral part of the financial statements. | 33 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
U.S. Government Agency (continued) | |||||
Government National Mortgage Association (continued) | |||||
Series 2021-27, Class Q, 5.000%, 02/20/2051 | $ | 882,806 | $ | 843,775 | |
Series 2021-8, Class CY, 5.000%, 01/20/2051 | 894,383 | 867,687 | |||
Series 2022-107, Class C, 2.500%, 06/20/2051 | 3,773,380 | 3,152,392 | |||
Series 2022-191, Class B, 4.000%, 06/20/2041 | 5,488,000 | 5,067,306 | |||
Series 2022-191, Class BY, 4.000%, 08/20/2041 | 6,020,000 | 5,562,262 | |||
Series 2022-197, Class LF (1 month SOFR + 0.700%), 5.938%, 11/20/2052 (A) | 3,906,766 | 3,817,928 | |||
Series 2022-205, Class A, 2.000%, 09/20/2051 | 1,523,453 | 1,181,656 | |||
Series 2022-31, Class GH, 2.500%, 12/20/2049 | 2,849,952 | 2,469,534 | |||
Series 2022-66, Class CG, 3.500%, 04/20/2052 | 2,834,931 | 2,648,109 | |||
Series 2022-84, Class A, 2.500%, 01/20/2052 | 1,116,457 | 932,806 | |||
173,207,929 | |||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $225,967,316) | $ | 211,596,163 | |||
ASSET BACKED SECURITIES – 10.2% | |||||
Ally Auto Receivables Trust Series 2022-3, Class A4 5.070%, 06/15/2031 | 666,000 | 662,165 | |||
American Express Credit Account Master Trust Series 2023-1, Class A 4.870%, 05/15/2028 | 1,728,000 | 1,718,237 | |||
AmeriCredit Automobile Receivables Trust | |||||
Series 2022-2, Class A3 4.380%, 04/18/2028 | 1,232,000 | 1,211,000 | |||
Series 2023-1, Class A3 5.620%, 11/18/2027 | 684,000 | 683,584 | |||
Avis Budget Rental Car Funding AESOP LLC | |||||
Series 2019-3A, Class A 2.360%, 03/20/2026 (D) | 1,054,000 | 1,003,249 | |||
Series 2020-1A, Class A 2.330%, 08/20/2026 (D) | 869,000 | 814,420 | |||
Series 2021-2A, Class A 1.660%, 02/20/2028 (D) | 840,000 | 735,496 | |||
Series 2023-1A, Class A 5.250%, 04/20/2029 (D) | 2,366,000 | 2,315,071 | |||
Series 2023-2A, Class A 5.200%, 10/20/2027 (D) | 1,350,000 | 1,327,019 | |||
Series 2023-4A, Class A 5.490%, 06/20/2029 (D) | 2,885,000 | 2,839,349 | |||
Series 2023-6A, Class A 5.810%, 12/20/2029 (D) | 1,271,000 | 1,270,668 | |||
BA Credit Card Trust Series 2023-A1, Class A1 4.790%, 05/15/2028 | 552,000 | 547,397 | |||
BMW Vehicle Lease Trust Series 2023-1, Class A4 5.070%, 06/25/2026 | 960,000 | 952,333 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
Capital One Multi-Asset Execution Trust | |||||
Series 2022-A2, Class A 3.490%, 05/15/2027 | $ | 1,749,000 | $ | 1,695,736 | |
Series 2023-A1, Class A 4.420%, 05/15/2028 | 1,524,000 | 1,496,833 | |||
Capital One Prime Auto Receivables Trust Series 2023-1, Class A3 4.870%, 02/15/2028 | 3,984,000 | 3,946,914 | |||
Chase Auto Owner Trust Series 2022-AA, Class A4 3.990%, 03/27/2028 (D) | 814,000 | 785,344 | |||
College Ave Student Loans LLC | |||||
Series 2017-A, Class A1 (1 month CME Term SOFR + 1.764%) 7.079%, 11/26/2046 (A)(D) | 429,279 | 430,703 | |||
Series 2018-A, Class A2 4.130%, 12/26/2047 (D) | 572,327 | 541,431 | |||
Series 2019-A, Class A2 3.280%, 12/28/2048 (D) | 630,835 | 583,274 | |||
Discover Card Execution Note Trust | |||||
Series 2022-A3, Class A3 3.560%, 07/15/2027 | 3,395,000 | 3,286,581 | |||
Series 2023-A1, Class A 4.310%, 03/15/2028 | 3,155,000 | 3,089,568 | |||
Series 2023-A2, Class A 4.930%, 06/15/2028 | 5,801,000 | 5,768,972 | |||
Enterprise Fleet Financing LLC | |||||
Series 2023-1, Class A2 5.510%, 01/22/2029 (D) | 1,916,000 | 1,904,566 | |||
Series 2023-1, Class A3 5.420%, 10/22/2029 (D) | 1,181,000 | 1,172,269 | |||
Ford Credit Auto Owner Trust | |||||
Series 2022-1, Class A 3.880%, 11/15/2034 (D) | 2,744,000 | 2,608,438 | |||
Series 2022-D, Class A4 5.300%, 03/15/2028 | 603,000 | 601,406 | |||
Series 2023-1, Class A 4.850%, 08/15/2035 (D) | 2,575,000 | 2,538,234 | |||
Series 2023-2, Class A 5.280%, 02/15/2036 (D) | 3,398,000 | 3,410,725 | |||
Series 2023-A, Class A3 4.650%, 02/15/2028 | 2,798,000 | 2,756,640 | |||
Ford Credit Floorplan Master Owner Trust A Series 2023-1, Class A1 4.920%, 05/15/2028 (D) | 2,563,000 | 2,532,638 | |||
GM Financial Automobile Leasing Trust | |||||
Series 2023-1, Class A4 5.160%, 01/20/2027 | 1,433,000 | 1,422,240 | |||
Series 2023-2, Class A3 5.050%, 07/20/2026 | 1,957,000 | 1,941,797 | |||
Series 2023-2, Class A4 5.090%, 05/20/2027 | 897,000 | 886,556 | |||
Series 2023-3, Class A3 5.380%, 11/20/2026 | 1,795,000 | 1,794,510 | |||
Series 2023-3, Class A4 5.440%, 08/20/2027 | 610,000 | 609,938 | |||
GM Financial Consumer Automobile Receivables Trust | |||||
Series 2022-2, Class A3 3.100%, 02/16/2027 | 2,531,000 | 2,456,346 | |||
Series 2022-4, Class A3 4.820%, 08/16/2027 | 1,082,000 | 1,071,566 | |||
GM Financial Revolving Receivables Trust | |||||
Series 2022-1, Class A 5.910%, 10/11/2035 (D) | 1,576,000 | 1,610,264 |
The accompanying notes are an integral part of the financial statements. | 34 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
GM Financial Revolving Receivables Trust (continued) | |||||
Series 2023-1, Class A 5.120%, 04/11/2035 (D) | $ | 1,799,000 | $ | 1,794,821 | |
GMF Floorplan Owner Revolving Trust Series 2023-1, Class A1 5.340%, 06/15/2028 (D) | 3,348,000 | 3,344,089 | |||
Hertz Vehicle Financing III LLC Series 2023-4A, Class A 6.150%, 03/25/2030 (D) | 2,033,000 | 2,037,520 | |||
Hertz Vehicle Financing LLC | |||||
Series 2021-2A, Class A 1.680%, 12/27/2027 (D) | 1,441,000 | 1,269,854 | |||
Series 2022-1A, Class A 1.990%, 06/25/2026 (D) | 2,291,000 | 2,145,505 | |||
Series 2022-4A, Class A 3.730%, 09/25/2026 (D) | 1,680,000 | 1,611,658 | |||
Series 2023-2A, Class A 5.570%, 09/25/2029 (D) | 3,193,000 | 3,152,718 | |||
Honda Auto Receivables Owner Trust Series 2023-1, Class A3 5.040%, 04/21/2027 | 2,752,000 | 2,735,850 | |||
Hyundai Auto Lease Securitization Trust Series 2023-B, Class A4 5.170%, 04/15/2027 (D) | 1,433,000 | 1,412,938 | |||
Hyundai Auto Receivables Trust | |||||
Series 2021-C, Class A4 1.030%, 12/15/2027 | 963,000 | 886,274 | |||
Series 2022-A, Class A3 2.220%, 10/15/2026 | 1,779,000 | 1,712,932 | |||
Series 2022-A, Class A4 2.350%, 04/17/2028 | 606,000 | 568,757 | |||
Series 2023-A, Class A4 4.480%, 07/17/2028 | 1,261,000 | 1,237,391 | |||
Series 2023-B, Class A3 5.480%, 04/17/2028 | 781,000 | 785,108 | |||
Mercedes-Benz Auto Lease Trust Series 2023-A, Class A3 4.740%, 01/15/2027 | 1,925,000 | 1,901,579 | |||
Mercedes-Benz Auto Receivables Trust | |||||
Series 2022-1, Class A4 5.250%, 02/15/2029 | 1,392,000 | 1,394,227 | |||
Series 2023-1, Class A4 4.310%, 04/16/2029 | 1,131,000 | 1,104,047 | |||
Navient Private Education Loan Trust | |||||
Series 2014-AA, Class A3 (1 month CME Term SOFR + 1.714%) 7.025%, 10/15/2031 (A)(D) | 512,417 | 513,670 | |||
Series 2016-AA, Class A2B (1 month CME Term SOFR + 2.264%) 7.575%, 12/15/2045 (A)(D) | 154,265 | 155,149 | |||
Navient Private Education Refi Loan Trust | |||||
Series 2018-A, Class A2 3.190%, 02/18/2042 (D) | 3,190 | 3,188 | |||
Series 2018-DA, Class A2A 4.000%, 12/15/2059 (D) | 650,235 | 621,424 | |||
Series 2019-CA, Class A2 3.130%, 02/15/2068 (D) | 1,184,085 | 1,123,434 | |||
Series 2019-D, Class A2A 3.010%, 12/15/2059 (D) | 1,780,533 | 1,647,481 | |||
Series 2019-FA, Class A2 2.600%, 08/15/2068 (D) | 942,848 | 868,509 | |||
Series 2020-BA, Class A2 2.120%, 01/15/2069 (D) | 451,104 | 410,789 | |||
Series 2020-EA, Class A 1.690%, 05/15/2069 (D) | 126,923 | 113,623 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
Navient Private Education Refi Loan Trust (continued) | |||||
Series 2020-GA, Class A 1.170%, 09/16/2069 (D) | $ | 45,899 | $ | 40,805 | |
Series 2021-BA, Class A 0.940%, 07/15/2069 (D) | 399,541 | 346,247 | |||
Series 2021-CA, Class A 1.060%, 10/15/2069 (D) | 107,005 | 91,548 | |||
Series 2021-EA, Class A 0.970%, 12/16/2069 (D) | 2,725,924 | 2,294,542 | |||
Series 2021-FA, Class A 1.110%, 02/18/2070 (D) | 1,453,514 | 1,222,432 | |||
Series 2021-GA, Class A 1.580%, 04/15/2070 (D) | 427,636 | 368,743 | |||
Series 2022-A, Class A 2.230%, 07/15/2070 (D) | 3,646,647 | 3,183,932 | |||
Navient Student Loan Trust | |||||
Series 2019-BA, Class A2A 3.390%, 12/15/2059 (D) | 1,063,344 | 1,007,690 | |||
Series 2021-3A, Class A1A 1.770%, 08/25/2070 (D) | 1,582,654 | 1,363,916 | |||
Nelnet Student Loan Trust | |||||
Series 2004-3, Class A5 (3 month SOFR + 0.442%) 5.496%, 10/27/2036 (A) | 132,161 | 129,270 | |||
Series 2004-4, Class A5 (3 month SOFR + 0.422%) 5.476%, 01/25/2037 (A) | 1,195,400 | 1,177,894 | |||
Series 2005-1, Class A5 (3 month SOFR + 0.372%) 5.426%, 10/25/2033 (A) | 2,420,655 | 2,367,484 | |||
Series 2005-2, Class A5 (3 month SOFR + 0.362%) 5.328%, 03/23/2037 (A) | 2,725,708 | 2,672,150 | |||
Series 2005-3, Class A5 (3 month SOFR + 0.382%) 5.348%, 12/24/2035 (A) | 1,972,353 | 1,936,363 | |||
Series 2005-4, Class A4 (3 month SOFR + 0.442%) 5.408%, 03/22/2032 (A) | 319,946 | 306,414 | |||
Nissan Auto Lease Trust | |||||
Series 2023-B, Class A3 5.690%, 07/15/2026 | 3,368,000 | 3,373,395 | |||
Series 2023-B, Class A4 5.610%, 11/15/2027 | 1,289,000 | 1,291,937 | |||
Nissan Auto Receivables Owner Trust | |||||
Series 2022-B, Class A4 4.450%, 11/15/2029 | 820,000 | 804,234 | |||
Series 2023-A, Class A4 4.850%, 06/17/2030 | 667,000 | 661,449 | |||
PenFed Auto Receivables Owner Trust | |||||
Series 2022-A, Class A3 3.960%, 04/15/2026 (D) | 1,216,000 | 1,198,001 | |||
Series 2022-A, Class A4 4.180%, 12/15/2028 (D) | 598,000 | 582,887 | |||
Santander Drive Auto Receivables Trust | |||||
Series 2022-2, Class A3 2.980%, 10/15/2026 | 1,876,372 | 1,859,018 | |||
Series 2022-3, Class A3 3.400%, 12/15/2026 | 977,337 | 966,638 | |||
Series 2022-4, Class A3 4.140%, 02/16/2027 | 1,697,000 | 1,680,570 | |||
Series 2022-5, Class A3 4.110%, 08/17/2026 | 1,434,000 | 1,423,530 | |||
Series 2022-6, Class A3 4.490%, 11/16/2026 | 3,031,000 | 3,007,038 |
The accompanying notes are an integral part of the financial statements. | 35 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
Santander Drive Auto Receivables Trust (continued) | |||||
Series 2022-7, Class A3 5.750%, 04/15/2027 | $ | 685,000 | $ | 682,954 | |
SMB Private Education Loan Trust | |||||
Series 2016-B, Class A2A 2.430%, 02/17/2032 (D) | 78,585 | 76,022 | |||
Series 2016-B, Class A2B (1 month CME Term SOFR + 1.564%) 6.875%, 02/17/2032 (A)(D) | 129,332 | 129,367 | |||
Series 2018-C, Class A2A 3.630%, 11/15/2035 (D) | 499,874 | 477,925 | |||
Series 2020-B, Class A1A 1.290%, 07/15/2053 (D) | 846,924 | 756,363 | |||
Series 2020-PTA, Class A2A 1.600%, 09/15/2054 (D) | 1,215,501 | 1,083,009 | |||
Series 2020-PTB, Class A2A 1.600%, 09/15/2054 (D) | 3,637,115 | 3,239,858 | |||
Series 2021-A, Class APT1 1.070%, 01/15/2053 (D) | 2,912,852 | 2,510,204 | |||
Series 2021-B, Class A 1.310%, 07/17/2051 (D) | 733,446 | 648,775 | |||
Series 2021-D, Class A1A 1.340%, 03/17/2053 (D) | 2,310,001 | 2,041,040 | |||
Series 2021-E, Class A1A 1.680%, 02/15/2051 (D) | 1,647,832 | 1,475,060 | |||
Series 2023-B, Class A1B (1 month SOFR + 1.800%) 6.989%, 10/16/2056 (A)(D) | 1,607,034 | 1,621,071 | |||
SoFi Professional Loan Program LLC | |||||
Series 2017-D, Class A2FX 2.650%, 09/25/2040 (D) | 190,322 | 181,439 | |||
Series 2020-C, Class AFX 1.950%, 02/15/2046 (D) | 143,512 | 128,594 | |||
Series 2021-A, Class AFX 1.030%, 08/17/2043 (D) | 499,860 | 422,214 | |||
Series 2021-B, Class AFX 1.140%, 02/15/2047 (D) | 1,154,854 | 963,137 | |||
Synchrony Card Funding LLC | |||||
Series 2022-A2, Class A 3.860%, 07/15/2028 | 902,000 | 876,043 | |||
Series 2023-A1, Class A 5.540%, 07/15/2029 | 5,777,000 | 5,802,849 | |||
T-Mobile US Trust Series 2022-1A, Class A 4.910%, 05/22/2028 (D) | 1,285,000 | 1,272,224 | |||
Toyota Auto Receivables Owner Trust | |||||
Series 2022-D, Class A4 5.430%, 04/17/2028 | 757,000 | 764,736 | |||
Series 2023-A, Class A4 4.420%, 08/15/2028 | 1,064,000 | 1,042,307 | |||
Series 2023-B, Class A3 4.710%, 02/15/2028 | 1,672,000 | 1,655,504 | |||
Series 2023-C, Class A3 5.160%, 04/17/2028 | 2,819,000 | 2,812,066 | |||
Verizon Master Trust | |||||
Series 2022-2, Class A 1.530%, 07/20/2028 | 1,023,000 | 968,023 | |||
Series 2022-4, Class A (3.400% to 6-20-25, then 4.150% thereafter) 3.400%, 11/20/2028 | 2,260,000 | 2,178,301 | |||
Series 2022-6, Class A (3.670% to 7-20-25, then 4.420% thereafter) 3.670%, 01/22/2029 | 1,676,000 | 1,623,858 | |||
Series 2023-1, Class A (4.490% to 1-20-26, then 5.240% thereafter) 4.490%, 01/22/2029 | 2,468,000 | 2,428,045 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
Verizon Master Trust (continued) | |||||
Series 2023-2, Class A 4.890%, 04/13/2028 | $ | 925,000 | $ | 916,141 | |
Series 2023-4, Class A1A 5.160%, 06/20/2029 | 4,573,000 | 4,570,114 | |||
Volkswagen Auto Loan Enhanced Trust Series 2023-1, Class A3 5.020%, 06/20/2028 | 1,870,000 | 1,862,059 | |||
World Omni Select Auto Trust Series 2023-A, Class A2A 5.920%, 03/15/2027 | 1,612,000 | 1,609,737 | |||
TOTAL ASSET BACKED SECURITIES (Cost $189,927,529) | $ | 183,753,178 | |||
SHORT-TERM INVESTMENTS – 5.5% | |||||
Short-term funds – 5.5% | |||||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 5.2681% (F) | 99,548,456 | 99,548,456 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $99,548,456) | $ | 99,548,456 | |||
Total Investments (Core Bond Fund) (Cost $2,070,820,233) – 110.3% | $ | 1,983,535,430 | |||
Other assets and liabilities, net – (10.3%) | (185,595,371) | ||||
TOTAL NET ASSETS – 100.0% | $ | 1,797,940,059 | |||
SALE COMMITMENTS OUTSTANDING - (0.3)% | |||||
U.S. Government Agency – (0.3%) | |||||
Federal National Mortgage Association 3.500%, TBA (C) | $ | (6,000,000) | $ | (5,361,328) | |
TOTAL SALE COMMITMENTS OUTSTANDING (Proceeds received $5,407,734) | $ | (5,361,328) |
Security Abbreviations and Legend | |
CME | Chicago Mercantile Exchange |
CMT | Constant Maturity Treasury |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced. A forward mortgage-backed securities trade issued by a U.S. Government Agency, to be delivered at an agreed-upon future settlement date. |
(A) | Variable rate obligation. The coupon rate shown represents the rate at period end. |
(B) | Zero coupon bonds are issued at a discount from their principal amount in lieu of paying interest periodically. Rate shown is the effective yield at period end. |
(C) | Security purchased or sold on a when-issued or delayed delivery basis. |
(D) | These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration. |
(E) | Variable or floating rate security, the interest rate of which adjusts periodically based on a weighted average of interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of period end. |
(F) | The rate shown is the annualized seven-day yield as of 8-31-23. |
The accompanying notes are an integral part of the financial statements. | 36 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS – 99.1% | |||||
Consumer discretionary – 0.1% | |||||
Specialty retail – 0.1% | |||||
Warby Parker, Inc., Class A (A) | 16,006 | $ | 192,232 | ||
Financials – 0.0% | |||||
Insurance – 0.0% | |||||
Oscar Health, Inc., Class A (A) | 7,400 | 46,398 | |||
Health care – 98.9% | |||||
Biotechnology – 30.5% | |||||
4D Molecular Therapeutics, Inc. (A) | 1,500 | 24,420 | |||
89bio, Inc. (A) | 3,500 | 59,990 | |||
Aadi Bioscience, Inc. (A) | 4,411 | 27,789 | |||
AbbVie, Inc. | 11,631 | 1,709,292 | |||
ACADIA Pharmaceuticals, Inc. (A) | 32,443 | 876,610 | |||
ACELYRIN, Inc. (A) | 13,912 | 352,391 | |||
ADC Therapeutics SA (A) | 23,441 | 28,129 | |||
Agios Pharmaceuticals, Inc. (A) | 6,382 | 175,058 | |||
Akero Therapeutics, Inc. (A) | 13,167 | 653,478 | |||
Alector, Inc. (A) | 15,178 | 82,720 | |||
Alkermes PLC (A) | 5,600 | 163,464 | |||
Allakos, Inc. (A) | 26,930 | 77,558 | |||
Allogene Therapeutics, Inc. (A) | 46,738 | 181,811 | |||
Alnylam Pharmaceuticals, Inc. (A) | 24,316 | 4,810,191 | |||
Alpine Immune Sciences, Inc. (A) | 4,400 | 54,340 | |||
Ambrx Biopharma, Inc., ADR (A) | 14,299 | 201,902 | |||
Amgen, Inc. | 7,023 | 1,800,276 | |||
AnaptysBio, Inc. (A) | 3,200 | 62,976 | |||
Apellis Pharmaceuticals, Inc. (A) | 14,189 | 598,918 | |||
Apogee Therapeutics, Inc. (A) | 9,380 | 215,177 | |||
Arcellx, Inc. (A) | 7,106 | 254,679 | |||
Ardelyx, Inc. (A) | 26,309 | 112,076 | |||
Argenx SE, ADR (A) | 12,549 | 6,305,747 | |||
Ascendis Pharma A/S, ADR (A) | 13,128 | 1,286,807 | |||
Aura Biosciences, Inc. (A) | 11,763 | 122,100 | |||
Avidity Biosciences, Inc. (A) | 36,946 | 279,312 | |||
BeiGene, Ltd., ADR (A) | 10,875 | 2,257,106 | |||
Bicycle Therapeutics PLC, ADR (A) | 11,039 | 239,988 | |||
Biogen, Inc. (A) | 5,144 | 1,375,300 | |||
Biohaven, Ltd. (A) | 21,046 | 384,931 | |||
BioMarin Pharmaceutical, Inc. (A) | 16,235 | 1,483,554 | |||
Blueprint Medicines Corp. (A) | 30,194 | 1,505,473 | |||
C4 Therapeutics, Inc. (A) | 7,349 | 21,312 | |||
Caribou Biosciences, Inc. (A) | 4,000 | 23,560 | |||
Celldex Therapeutics, Inc. (A) | 7,307 | 203,865 | |||
Centessa Pharmaceuticals PLC, ADR (A) | 34,369 | 259,142 | |||
Cerevel Therapeutics Holdings, Inc. (A) | 35,011 | 829,761 | |||
Crinetics Pharmaceuticals, Inc. (A) | 7,000 | 121,240 | |||
CRISPR Therapeutics AG (A) | 7,406 | 370,374 | |||
CureVac NV (A) | 35,900 | 320,587 | |||
Cytokinetics, Inc. (A) | 10,328 | 360,860 | |||
Day One Biopharmaceuticals, Inc. (A) | 14,310 | 193,042 | |||
Denali Therapeutics, Inc. (A) | 20,593 | 475,492 | |||
Disc Medicine, Inc. (A) | 1,282 | 67,882 | |||
Dyne Therapeutics, Inc. (A) | 2,300 | 26,220 | |||
Entrada Therapeutics, Inc. (A) | 15,167 | 223,258 | |||
Exact Sciences Corp. (A) | 23,652 | 1,978,963 | |||
Exelixis, Inc. (A) | 34,796 | 779,082 | |||
Fate Therapeutics, Inc. (A) | 22,456 | 56,365 | |||
Generation Bio Company (A) | 45,593 | 217,935 | |||
Genmab A/S (A) | 3,594 | 1,376,988 | |||
Gossamer Bio, Inc. (A) | 21,700 | 22,568 | |||
Icosavax, Inc. (A) | 3,500 | 27,090 | |||
Ideaya Biosciences, Inc. (A) | 8,378 | 245,978 | |||
IGM Biosciences, Inc. (A) | 16,325 | 116,724 | |||
Immatics NV (A) | 18,386 | 217,690 | |||
Immuneering Corp., Class A (A) | 37,514 | 338,001 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Biotechnology (continued) | |||||
Immunocore Holdings PLC, ADR (A) | 32,593 | $ | 1,834,008 | ||
ImmunoGen, Inc. (A) | 28,505 | 451,519 | |||
Immunome, Inc. (A) | 15,000 | 96,750 | |||
Immunovant, Inc. (A) | 3,800 | 86,298 | |||
Incyte Corp. (A) | 11,510 | 742,740 | |||
Insmed, Inc. (A) | 41,102 | 899,723 | |||
Intellia Therapeutics, Inc. (A) | 5,442 | 203,966 | |||
Ionis Pharmaceuticals, Inc. (A) | 19,240 | 774,795 | |||
Iovance Biotherapeutics, Inc. (A) | 43,815 | 264,643 | |||
Karuna Therapeutics, Inc. (A) | 13,488 | 2,532,507 | |||
Keros Therapeutics, Inc. (A) | 5,907 | 207,395 | |||
Krystal Biotech, Inc. (A) | 3,302 | 411,033 | |||
Kymera Therapeutics, Inc. (A) | 19,426 | 370,648 | |||
Leap Therapeutics, Inc. (A) | 283 | 631 | |||
Legend Biotech Corp., ADR (A) | 28,409 | 1,970,448 | |||
LianBio, ADR (A) | 47,800 | 86,996 | |||
Lyell Immunopharma, Inc. (A) | 97,310 | 232,571 | |||
Mirati Therapeutics, Inc. (A) | 21,363 | 794,704 | |||
Moderna, Inc. (A) | 4,261 | 481,791 | |||
Monte Rosa Therapeutics, Inc. (A) | 35,064 | 205,826 | |||
MoonLake Immunotherapeutics (A) | 17,682 | 1,017,953 | |||
Morphic Holding, Inc. (A) | 11,046 | 608,414 | |||
Neurocrine Biosciences, Inc. (A) | 5,822 | 633,958 | |||
Nuvalent, Inc., Class A (A) | 5,692 | 259,384 | |||
Pharming Group NV (A) | 87,750 | 111,482 | |||
Prelude Therapeutics, Inc. (A) | 17,193 | 64,130 | |||
Prime Medicine, Inc. (A) | 14,441 | 191,199 | |||
Protagonist Therapeutics, Inc. (A) | 15,864 | 314,424 | |||
Prothena Corp. PLC (A) | 14,457 | 763,619 | |||
PTC Therapeutics, Inc. (A) | 11,830 | 467,285 | |||
RAPT Therapeutics, Inc. (A) | 11,675 | 222,993 | |||
Regeneron Pharmaceuticals, Inc. (A) | 13,344 | 11,028,683 | |||
Relay Therapeutics, Inc. (A) | 48,509 | 495,762 | |||
Replimune Group, Inc. (A) | 31,946 | 652,337 | |||
REVOLUTION Medicines, Inc. (A) | 27,457 | 932,714 | |||
Rocket Pharmaceuticals, Inc. (A) | 14,022 | 219,444 | |||
Sage Therapeutics, Inc. (A) | 12,750 | 255,000 | |||
Sana Biotechnology, Inc. (A) | 51,869 | 277,499 | |||
Sarepta Therapeutics, Inc. (A) | 8,756 | 1,059,564 | |||
Scholar Rock Holding Corp. (A) | 43,766 | 273,538 | |||
Senti Biosciences, Inc. (A) | 26,772 | 17,402 | |||
SpringWorks Therapeutics, Inc. (A) | 16,074 | 452,965 | |||
Stoke Therapeutics, Inc. (A) | 11,180 | 62,832 | |||
Taysha Gene Therapies, Inc. (A) | 14,273 | 45,674 | |||
Tenaya Therapeutics, Inc. (A) | 33,831 | 130,926 | |||
Twist Bioscience Corp. (A) | 8,701 | 191,335 | |||
Ultragenyx Pharmaceutical, Inc. (A) | 22,943 | 844,073 | |||
uniQure NV (A) | 6,400 | 55,744 | |||
Vaxcyte, Inc. (A) | 14,507 | 753,203 | |||
Vera Therapeutics, Inc. (A) | 1,600 | 28,304 | |||
Vertex Pharmaceuticals, Inc. (A) | 22,112 | 7,702,494 | |||
Voyager Therapeutics, Inc. (A) | 18,592 | 186,292 | |||
Xencor, Inc. (A) | 14,335 | 315,083 | |||
Xenon Pharmaceuticals, Inc. (A) | 700 | 27,286 | |||
Zai Lab, Ltd., ADR (A) | 25,635 | 652,923 | |||
Zentalis Pharmaceuticals, Inc. (A) | 15,606 | 414,495 | |||
81,016,947 | |||||
Health care equipment and supplies – 15.8% | |||||
Baxter International, Inc. | 10,554 | 428,492 | |||
Becton, Dickinson and Company | 16,774 | 4,687,494 | |||
Boston Scientific Corp. (A) | 24,011 | 1,295,153 | |||
DexCom, Inc. (A) | 13,845 | 1,398,068 | |||
Edwards Lifesciences Corp. (A) | 12,273 | 938,516 | |||
Hologic, Inc. (A) | 23,346 | 1,744,880 | |||
Inari Medical, Inc. (A) | 11,541 | 768,861 |
The accompanying notes are an integral part of the financial statements. | 37 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Health care equipment and supplies (continued) | |||||
Insulet Corp. (A) | 6,462 | $ | 1,238,830 | ||
Intuitive Surgical, Inc. (A) | 29,493 | 9,221,871 | |||
iRhythm Technologies, Inc. (A) | 5,371 | 555,200 | |||
Lantheus Holdings, Inc. (A) | 8,608 | 589,132 | |||
Masimo Corp. (A) | 4,400 | 502,832 | |||
Nevro Corp. (A) | 6,498 | 130,220 | |||
Novocure, Ltd. (A) | 23,582 | 520,219 | |||
Orchestra BioMed Holdings, Inc. (A) | 19,166 | 119,596 | |||
Penumbra, Inc. (A) | 13,567 | 3,588,472 | |||
PROCEPT BioRobotics Corp. (A) | 18,225 | 621,655 | |||
QuidelOrtho Corp. (A) | 4,131 | 340,229 | |||
Shockwave Medical, Inc. (A) | 10,073 | 2,219,988 | |||
STERIS PLC | 1,916 | 439,894 | |||
Stryker Corp. | 27,044 | 7,668,326 | |||
Teleflex, Inc. | 4,930 | 1,048,808 | |||
The Cooper Companies, Inc. | 2,246 | 830,998 | |||
Zimmer Biomet Holdings, Inc. | 9,158 | 1,090,901 | |||
41,988,635 | |||||
Health care providers and services – 18.7% | |||||
agilon health, Inc. (A) | 54,437 | 964,624 | |||
Alignment Healthcare, Inc. (A) | 31,904 | 186,319 | |||
Cencora, Inc. | 3,054 | 537,443 | |||
Centene Corp. (A) | 32,357 | 1,994,809 | |||
Elevance Health, Inc. | 19,128 | 8,454,767 | |||
GeneDx Holdings Corp. (A) | 990 | 4,406 | |||
Guardant Health, Inc. (A) | 27,141 | 1,060,670 | |||
HCA Healthcare, Inc. | 7,531 | 2,088,346 | |||
Humana, Inc. | 11,453 | 5,287,048 | |||
McKesson Corp. | 1,900 | 783,408 | |||
Molina Healthcare, Inc. (A) | 13,334 | 4,135,140 | |||
Option Care Health, Inc. (A) | 9,935 | 346,036 | |||
Privia Health Group, Inc. (A) | 14,031 | 368,314 | |||
Surgery Partners, Inc. (A) | 23,510 | 852,473 | |||
Tenet Healthcare Corp. (A) | 1,800 | 139,608 | |||
The Cigna Group | 11,526 | 3,184,173 | |||
UnitedHealth Group, Inc. | 40,313 | 19,212,370 | |||
49,599,954 | |||||
Health care technology – 1.0% | |||||
Doximity, Inc., Class A (A) | 13,103 | 312,376 | |||
Schrodinger, Inc. (A) | 12,890 | 475,512 | |||
Sophia Genetics SA (A) | 4,231 | 10,324 | |||
Veeva Systems, Inc., Class A (A) | 8,704 | 1,816,525 | |||
2,614,737 | |||||
Life sciences tools and services – 14.5% | |||||
10X Genomics, Inc., Class A (A) | 20,256 | 1,050,274 | |||
Agilent Technologies, Inc. | 31,796 | 3,849,542 | |||
Avantor, Inc. (A) | 56,259 | 1,218,007 | |||
Bio-Techne Corp. | 9,119 | 714,930 | |||
Bruker Corp. | 18,925 | 1,241,480 | |||
Charles River Laboratories International, Inc. (A) | 2,963 | 612,808 | |||
Danaher Corp. | 27,964 | 7,410,460 | |||
Evotec SE (A) | 13,450 | 315,221 | |||
ICON PLC (A) | 1,856 | 482,449 | |||
Illumina, Inc. (A) | 3,113 | 514,330 | |||
IQVIA Holdings, Inc. (A) | 3,905 | 869,370 | |||
Mettler-Toledo International, Inc. (A) | 695 | 843,369 | |||
Olink Holding AB, ADR (A) | 42,991 | 710,641 | |||
Pacific Biosciences of California, Inc. (A) | 60,092 | 677,838 | |||
Repligen Corp. (A) | 5,539 | 963,287 | |||
Seer, Inc. (A) | 31,895 | 83,884 | |||
Thermo Fisher Scientific, Inc. | 24,863 | 13,851,177 | |||
West Pharmaceutical Services, Inc. | 6,726 | 2,736,809 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Life sciences tools and services (continued) | �� | ||||
WuXi Biologics Cayman, Inc. (A)(B) | 68,000 | $ | 383,357 | ||
38,529,233 | |||||
Pharmaceuticals – 18.4% | |||||
Arvinas, Inc. (A) | 11,764 | 331,862 | |||
Astellas Pharma, Inc. | 68,200 | 1,031,891 | |||
AstraZeneca PLC, ADR | 111,627 | 7,570,543 | |||
Catalent, Inc. (A) | 23,051 | 1,151,858 | |||
Daiichi Sankyo Company, Ltd. | 36,100 | 1,063,277 | |||
Eli Lilly & Company | 36,819 | 20,405,090 | |||
EyePoint Pharmaceuticals, Inc. (A) | 7,200 | 71,352 | |||
Longboard Pharmaceuticals, Inc. (A) | 12,631 | 73,133 | |||
Merck & Company, Inc. | 95,056 | 10,359,203 | |||
Novo Nordisk A/S, ADR | 14,381 | 2,669,401 | |||
Nuvation Bio, Inc. (A) | 11,900 | 19,516 | |||
Pfizer, Inc. | 14,200 | 502,396 | |||
Pliant Therapeutics, Inc. (A) | 13,397 | 226,141 | |||
Relmada Therapeutics, Inc. (A) | 2,900 | 9,802 | |||
Roche Holding AG | 4,292 | 1,259,651 | |||
Royalty Pharma PLC, Class A | 27,032 | 806,094 | |||
Structure Therapeutics, Inc., ADR (A) | 13,852 | 390,488 | |||
Theseus Pharmaceuticals, Inc. (A) | 25,222 | 79,197 | |||
Ventyx Biosciences, Inc. (A) | 19,735 | 661,123 | |||
WaVe Life Sciences, Ltd. (A) | 16,200 | 70,470 | |||
48,752,488 | |||||
262,501,994 | |||||
Materials – 0.1% | |||||
Chemicals – 0.1% | |||||
Ginkgo Bioworks Holdings, Inc. (A) | 91,101 | 213,176 | |||
TOTAL COMMON STOCKS (Cost $185,141,939) | $ | 262,953,800 | |||
PREFERRED SECURITIES – 0.5% | |||||
Health care – 0.5% | |||||
Life sciences tools and services – 0.5% | |||||
Sartorius AG | 3,323 | 1,358,862 | |||
TOTAL PREFERRED SECURITIES (Cost $494,302) | $ | 1,358,862 | |||
WARRANTS – 0.0% | |||||
EQRx, Inc. (Expiration Date: 12-20-26; Strike Price: $11.50) (A) | 6,524 | 262 | |||
GeneDx Holdings Corp. (Expiration Date: 7-22-26; Strike Price: $11.50) (A) | 7,150 | 247 | |||
SomaLogic, Inc. (Expiration Date: 8-31-26; Strike Price: $11.50) (A) | 2,900 | 639 | |||
TOTAL WARRANTS (Cost $42,435) | $ | 1,148 | |||
SHORT-TERM INVESTMENTS – 0.6% | |||||
Short-term funds – 0.6% | |||||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 5.2681% (C) | 1,494,082 | 1,494,082 | |||
T. Rowe Price Government Reserve Fund, 5.3678% (C) | 73,342 | 73,342 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,567,424) | $ | 1,567,424 | |||
Total Investments (Health Sciences Fund) (Cost $187,246,100) – 100.2% | $ | 265,881,234 | |||
Other assets and liabilities, net – (0.2%) | (623,746) | ||||
TOTAL NET ASSETS – 100.0% | $ | 265,257,488 |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
(A) | Non-income producing security. |
The accompanying notes are an integral part of the financial statements. | 38 |
(B) | These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration. |
(C) | The rate shown is the annualized seven-day yield as of 8-31-23. |
Shares or Principal Amount | Value | ||||
FOREIGN GOVERNMENT OBLIGATIONS – 0.4% | |||||
Argentina – 0.4% | |||||
Provincia de Buenos Aires 5.250%, (5.250% to 9-1-23, then 6.375% to 9-1-24, then 6.625% thereafter), 09/01/2037 (A) | $ | 968,484 | $ | 362,926 | |
Republic of Argentina | |||||
0.750%, (0.750% to 7-9-27, then 1.750% thereafter), 07/09/2030 | 716,203 | 239,047 | |||
1.000%, 07/09/2029 | 54,775 | 17,643 | |||
3.625%, (3.625% to 7-9-24, then 4.125% to 7-9-27, then 4.750% to 7-9-28, then 5.000% thereafter), 07/09/2035 | 476,895 | 140,537 | |||
760,153 | |||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $1,264,227) | $ | 760,153 | |||
CORPORATE BONDS – 81.8% | |||||
Communication services – 11.2% | |||||
Accelerate360 Holdings LLC 8.000%, 03/01/2028 (A) | 873,000 | 901,373 | |||
Allen Media LLC 10.500%, 02/15/2028 (A) | 1,860,000 | 1,064,850 | |||
Altice Financing SA 5.750%, 08/15/2029 (A) | 1,050,000 | 831,769 | |||
Altice France Holding SA 10.500%, 05/15/2027 (A) | 770,000 | 417,802 | |||
Altice France SA | |||||
5.125%, 07/15/2029 (A) | 900,000 | 636,234 | |||
5.500%, 01/15/2028 (A) | 840,000 | 629,493 | |||
AMC Entertainment Holdings, Inc. 7.500%, 02/15/2029 (A) | 1,350,000 | 921,458 | |||
CCO Holdings LLC | |||||
4.250%, 01/15/2034 (A) | 1,440,000 | 1,102,748 | |||
4.500%, 05/01/2032 | 1,740,000 | 1,410,609 | |||
4.750%, 02/01/2032 (A) | 350,000 | 289,625 | |||
Clear Channel Outdoor Holdings, Inc. 7.500%, 06/01/2029 (A) | 700,000 | 521,704 | |||
CSC Holdings LLC | |||||
4.500%, 11/15/2031 (A) | 330,000 | 234,652 | |||
5.000%, 11/15/2031 (A) | 430,000 | 229,822 | |||
5.750%, 01/15/2030 (A) | 660,000 | 364,967 | |||
6.500%, 02/01/2029 (A) | 900,000 | 743,992 | |||
11.250%, 05/15/2028 (A) | 430,000 | 424,119 | |||
Directv Financing LLC 5.875%, 08/15/2027 (A) | 950,000 | 841,907 | |||
DISH DBS Corp. | |||||
5.125%, 06/01/2029 | 1,020,000 | 551,514 | |||
5.750%, 12/01/2028 (A) | 1,210,000 | 939,287 | |||
5.875%, 11/15/2024 | 110,000 | 102,313 | |||
7.750%, 07/01/2026 | 1,800,000 | 1,346,220 | |||
Gannett Holdings LLC 6.000%, 11/01/2026 (A) | 860,000 | 737,708 | |||
iHeartCommunications, Inc. | |||||
4.750%, 01/15/2028 (A) | 30,000 | 23,121 | |||
5.250%, 08/15/2027 (A) | 780,000 | 616,766 | |||
Match Group Holdings II LLC | |||||
3.625%, 10/01/2031 (A) | 260,000 | 211,955 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Communication services (continued) | |||||
Match Group Holdings II LLC (continued) | |||||
4.625%, 06/01/2028 (A) | $ | 720,000 | $ | 664,286 | |
Playtika Holding Corp. 4.250%, 03/15/2029 (A) | 700,000 | 605,500 | |||
Sprint Capital Corp. 8.750%, 03/15/2032 | 350,000 | 417,151 | |||
Telecom Italia Capital SA 6.000%, 09/30/2034 | 570,000 | 477,590 | |||
Time Warner Cable LLC 7.300%, 07/01/2038 | 400,000 | 405,219 | |||
Univision Communications, Inc. 8.000%, 08/15/2028 (A) | 410,000 | 409,775 | |||
UPC Holding BV 5.500%, 01/15/2028 (A) | 400,000 | 356,000 | |||
Urban One, Inc. 7.375%, 02/01/2028 (A) | 400,000 | 347,822 | |||
Virgin Media Secured Finance PLC 5.500%, 05/15/2029 (A) | 550,000 | 502,755 | |||
Virgin Media Vendor Financing Notes IV DAC 5.000%, 07/15/2028 (A) | 510,000 | 451,922 | |||
Vmed O2 UK Financing I PLC 4.750%, 07/15/2031 (A) | 500,000 | 417,954 | |||
ZipRecruiter, Inc. 5.000%, 01/15/2030 (A) | 430,000 | 360,731 | |||
21,512,713 | |||||
Consumer discretionary – 20.1% | |||||
Academy, Ltd. 6.000%, 11/15/2027 (A) | 650,000 | 622,830 | |||
Adtalem Global Education, Inc. 5.500%, 03/01/2028 (A) | 196,000 | 182,672 | |||
American Axle & Manufacturing, Inc. 5.000%, 10/01/2029 | 1,000,000 | 823,254 | |||
American News Company LLC 8.500%, (8.500% Cash or 10.000% PIK), 09/01/2026 (A) | 718,710 | 810,346 | |||
Bath & Body Works, Inc. | |||||
5.250%, 02/01/2028 | 850,000 | 815,517 | |||
6.625%, 10/01/2030 (A) | 340,000 | 331,610 | |||
9.375%, 07/01/2025 (A) | 370,000 | 387,097 | |||
Boyne USA, Inc. 4.750%, 05/15/2029 (A) | 480,000 | 433,204 | |||
Caesars Entertainment, Inc. | |||||
4.625%, 10/15/2029 (A) | 530,000 | 463,926 | |||
7.000%, 02/15/2030 (A) | 680,000 | 682,602 | |||
8.125%, 07/01/2027 (A) | 240,000 | 243,680 | |||
Carnival Corp. | |||||
6.000%, 05/01/2029 (A) | 1,050,000 | 948,020 | |||
7.000%, 08/15/2029 (A) | 400,000 | 405,863 | |||
7.625%, 03/01/2026 (A) | 500,000 | 498,482 | |||
10.500%, 06/01/2030 (A) | 950,000 | 1,011,874 | |||
Carnival Holdings Bermuda, Ltd. 10.375%, 05/01/2028 (A) | 620,000 | 674,302 | |||
Carriage Purchaser, Inc. 7.875%, 10/15/2029 (A) | 980,000 | 735,000 | |||
Carriage Services, Inc. 4.250%, 05/15/2029 (A) | 420,000 | 364,476 | |||
Carrols Restaurant Group, Inc. 5.875%, 07/01/2029 (A) | 470,000 | 404,482 | |||
Dornoch Debt Merger Sub, Inc. 6.625%, 10/15/2029 (A) | 550,000 | 474,152 | |||
Empire Communities Corp. 7.000%, 12/15/2025 (A) | 900,000 | 868,587 | |||
Fertitta Entertainment LLC 4.625%, 01/15/2029 (A) | 560,000 | 484,439 |
The accompanying notes are an integral part of the financial statements. | 39 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Consumer discretionary (continued) | |||||
Fontainebleau Las Vegas Holdings LLC 11.000%, 06/15/2015 (A)(B) | $ | 2,983,778 | $ | 298 | |
Foot Locker, Inc. 4.000%, 10/01/2029 (A) | 760,000 | 572,029 | |||
Ford Motor Company | |||||
3.250%, 02/12/2032 | 530,000 | 413,723 | |||
6.100%, 08/19/2032 | 1,070,000 | 1,022,417 | |||
Ford Motor Credit Company LLC | |||||
4.000%, 11/13/2030 | 1,230,000 | 1,040,764 | |||
5.113%, 05/03/2029 | 1,160,000 | 1,066,981 | |||
7.350%, 03/06/2030 | 520,000 | 529,252 | |||
Full House Resorts, Inc. 8.250%, 02/15/2028 (A) | 1,110,000 | 987,614 | |||
Marston's Issuer PLC 7.736%, (SONIA + 2.669%), 07/16/2035 (C) | GBP | 380,000 | 336,997 | ||
Melco Resorts Finance, Ltd. 5.375%, 12/04/2029 (A) | $ | 650,000 | 542,704 | ||
Mohegan Tribal Gaming Authority 13.250%, 12/15/2027 (A) | 650,000 | 691,340 | |||
NCL Corp., Ltd. | |||||
5.875%, 02/15/2027 (A) | 2,000,000 | 1,938,096 | |||
7.750%, 02/15/2029 (A) | 800,000 | 761,061 | |||
8.375%, 02/01/2028 (A) | 1,240,000 | 1,278,154 | |||
NMG Holding Company, Inc. 7.125%, 04/01/2026 (A) | 430,000 | 408,679 | |||
PetSmart, Inc. 7.750%, 02/15/2029 (A) | 250,000 | 238,753 | |||
Royal Caribbean Cruises, Ltd. | |||||
3.700%, 03/15/2028 | 940,000 | 818,814 | |||
7.250%, 01/15/2030 (A) | 970,000 | 984,740 | |||
11.625%, 08/15/2027 (A) | 1,010,000 | 1,100,522 | |||
Sands China, Ltd. 5.650%, 08/08/2028 | 200,000 | 188,788 | |||
Sizzling Platter LLC 8.500%, 11/28/2025 (A) | 460,000 | 455,562 | |||
Speedway Motorsports LLC 4.875%, 11/01/2027 (A) | 590,000 | 545,257 | |||
StoneMor, Inc. 8.500%, 05/15/2029 (A) | 340,000 | 283,735 | |||
Sugarhouse HSP Gaming Prop Mezz LP 5.875%, 05/15/2025 (A) | 280,000 | 270,911 | |||
The Michaels Companies, Inc. | |||||
5.250%, 05/01/2028 (A) | 540,000 | 450,225 | |||
7.875%, 05/01/2029 (A) | 1,140,000 | 790,248 | |||
TopBuild Corp. 3.625%, 03/15/2029 (A) | 400,000 | 344,200 | |||
Upbound Group, Inc. 6.375%, 02/15/2029 (A) | 930,000 | 844,905 | |||
Viking Cruises, Ltd. | |||||
5.875%, 09/15/2027 (A) | 310,000 | 289,850 | |||
7.000%, 02/15/2029 (A) | 1,590,000 | 1,507,638 | |||
9.125%, 07/15/2031 (A) | 1,110,000 | 1,146,783 | |||
VOC Escrow, Ltd. 5.000%, 02/15/2028 (A) | 700,000 | 649,734 | |||
WW International, Inc. 4.500%, 04/15/2029 (A) | 1,000,000 | 692,500 | |||
Wynn Macau, Ltd. 5.625%, 08/26/2028 (A) | 1,490,000 | 1,314,584 | |||
Wynn Resorts Finance LLC | |||||
5.125%, 10/01/2029 (A) | 510,000 | 456,555 | |||
7.125%, 02/15/2031 (A) | 390,000 | 383,255 | |||
ZF North America Capital, Inc. 7.125%, 04/14/2030 (A) | 520,000 | 526,772 | |||
38,540,855 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Consumer staples – 1.0% | |||||
Darling Ingredients, Inc. 6.000%, 06/15/2030 (A) | $ | 630,000 | $ | 615,721 | |
Simmons Foods, Inc. 4.625%, 03/01/2029 (A) | 700,000 | 582,568 | |||
Triton Water Holdings, Inc. 6.250%, 04/01/2029 (A) | 720,000 | 612,039 | |||
1,810,328 | |||||
Energy – 9.4% | |||||
Berry Petroleum Company LLC 7.000%, 02/15/2026 (A) | 1,100,000 | 1,057,659 | |||
Blue Racer Midstream LLC 6.625%, 07/15/2026 (A) | 1,100,000 | 1,081,088 | |||
Chord Energy Corp. 6.375%, 06/01/2026 (A) | 1,160,000 | 1,143,319 | |||
CNX Midstream Partners LP 4.750%, 04/15/2030 (A) | 700,000 | 604,057 | |||
Crescent Energy Finance LLC 9.250%, 02/15/2028 (A) | 800,000 | 818,376 | |||
Earthstone Energy Holdings LLC | |||||
8.000%, 04/15/2027 (A) | 180,000 | 183,724 | |||
9.875%, 07/15/2031 (A) | 620,000 | 679,675 | |||
Endeavor Energy Resources LP 5.750%, 01/30/2028 (A) | 1,000,000 | 978,200 | |||
Energy Transfer LP 6.500%, (6.500% to 11-15-26, then 5 Year CMT + 5.694%), 11/15/2026 (D) | 230,000 | 209,772 | |||
EQM Midstream Partners LP | |||||
5.500%, 07/15/2028 | 400,000 | 382,153 | |||
6.500%, 07/15/2048 | 990,000 | 898,670 | |||
Hilcorp Energy I LP 6.250%, 04/15/2032 (A) | 670,000 | 614,835 | |||
Howard Midstream Energy Partners LLC | |||||
6.750%, 01/15/2027 (A) | 810,000 | 780,057 | |||
8.875%, 07/15/2028 (A) | 420,000 | 434,948 | |||
MEG Energy Corp. 5.875%, 02/01/2029 (A) | 350,000 | 334,366 | |||
Nabors Industries, Ltd. 7.250%, 01/15/2026 (A) | 750,000 | 721,475 | |||
Noble Finance II LLC 8.000%, 04/15/2030 (A) | 430,000 | 444,624 | |||
Northern Oil and Gas, Inc. 8.125%, 03/01/2028 (A) | 700,000 | 701,687 | |||
Permian Resources Operating LLC 5.875%, 07/01/2029 (A) | 1,000,000 | 964,446 | |||
Range Resources Corp. 8.250%, 01/15/2029 | 800,000 | 830,520 | |||
Southwestern Energy Company | |||||
4.750%, 02/01/2032 | 1,080,000 | 956,724 | |||
8.375%, 09/15/2028 | 700,000 | 728,594 | |||
Summit Midstream Holdings LLC 9.000%, 10/15/2026 (A) | 430,000 | 414,950 | |||
Tallgrass Energy Partners LP 6.000%, 12/31/2030 (A) | 670,000 | 599,378 | |||
Transocean, Inc. 8.750%, 02/15/2030 (A) | 418,000 | 427,620 | |||
Venture Global Calcasieu Pass LLC | |||||
3.875%, 11/01/2033 (A) | 280,000 | 227,497 | |||
4.125%, 08/15/2031 (A) | 420,000 | 356,268 | |||
6.250%, 01/15/2030 (A) | 500,000 | 487,080 | |||
18,061,762 | |||||
Financials – 10.3% | |||||
Acuris Finance U.S., Inc. 5.000%, 05/01/2028 (A) | 350,000 | 283,500 |
The accompanying notes are an integral part of the financial statements. | 40 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Financials (continued) | |||||
Apollo Commercial Real Estate Finance, Inc. 4.625%, 06/15/2029 (A) | $ | 860,000 | $ | 674,429 | |
Barclays PLC 8.000%, (8.000% to 6-15-24, then 5 Year CMT + 5.672%), 06/15/2024 (D) | 400,000 | 391,687 | |||
BNP Paribas SA | |||||
7.375%, (7.375% to 8-19-25, then 5 Year U.S. Swap Rate + 5.150%), 08/19/2025 (A)(D) | 820,000 | 803,559 | |||
7.750%, (7.750% to 8-16-29, then 5 Year CMT + 4.899%), 08/16/2029 (A)(D) | 540,000 | 524,135 | |||
Bread Financial Holdings, Inc. 4.750%, 12/15/2024 (A) | 600,000 | 585,619 | |||
Burford Capital Global Finance LLC | |||||
6.250%, 04/15/2028 (A) | 700,000 | 644,350 | |||
6.875%, 04/15/2030 (A) | 630,000 | 577,814 | |||
9.250%, 07/01/2031 (A) | 570,000 | 576,413 | |||
Coinbase Global, Inc. 3.625%, 10/01/2031 (A) | 720,000 | 484,733 | |||
Credit Agricole SA 8.125%, (8.125% to 12-23-25, then 5 Year U.S. Swap Rate + 6.185%), 12/23/2025 (A)(D) | 560,000 | 557,977 | |||
Credit Suisse AG 3.625%, 09/09/2024 | 250,000 | 243,175 | |||
FirstCash, Inc. | |||||
4.625%, 09/01/2028 (A) | 530,000 | 471,388 | |||
5.625%, 01/01/2030 (A) | 170,000 | 154,331 | |||
Global Aircraft Leasing Company, Ltd. 6.500%, (6.500% Cash or 7.250% PIK), 09/15/2024 (A) | 1,964,665 | 1,845,213 | |||
Highlands Holdings Bond Issuer, Ltd. 7.625%, (7.625% Cash or 8.375% PIK), 10/15/2025 (A) | 977,637 | 922,645 | |||
Intesa Sanpaolo SpA 4.198%, (4.198% to 6-1-31, then 1 Year CMT + 2.600%), 06/01/2032 (A) | 640,000 | 487,748 | |||
Jane Street Group 4.500%, 11/15/2029 (A) | 440,000 | 386,107 | |||
Ladder Capital Finance Holdings LLLP | |||||
4.250%, 02/01/2027 (A) | 230,000 | 208,000 | |||
4.750%, 06/15/2029 (A) | 490,000 | 411,948 | |||
Lloyds Banking Group PLC 8.000%, (8.000% to 9-27-29, then 5 Year CMT + 3.913%), 09/27/2029 (D) | 810,000 | 733,239 | |||
Midcap Financial Issuer Trust | |||||
5.625%, 01/15/2030 (A) | 450,000 | 362,250 | |||
6.500%, 05/01/2028 (A) | 590,000 | 525,100 | |||
NMI Holdings, Inc. 7.375%, 06/01/2025 (A) | 800,000 | 805,416 | |||
Paysafe Finance PLC 4.000%, 06/15/2029 (A) | 900,000 | 762,786 | |||
Rocket Mortgage LLC | |||||
3.875%, 03/01/2031 (A) | 860,000 | 700,010 | |||
4.000%, 10/15/2033 (A) | 890,000 | 703,683 | |||
Ryan Specialty LLC 4.375%, 02/01/2030 (A) | 670,000 | 598,840 | |||
StoneX Group, Inc. 8.625%, 06/15/2025 (A) | 640,000 | 648,058 | |||
The Toronto-Dominion Bank 8.125%, (8.125% to 10-31-27, then 5 Year CMT + 4.075%), 10/31/2082 | 550,000 | 552,762 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Financials (continued) | |||||
UBS Group AG | |||||
6.537%, (6.537% to 8-12-32, then SOFR + 3.920%), 08/12/2033 (A) | $ | 330,000 | $ | 342,727 | |
7.000%, (7.000% to 1-31-24, then 5 Year U.S. Swap Rate + 4.344%), 01/31/2024 (A)(D) | 1,170,000 | 1,160,055 | |||
UniCredit SpA 5.459%, (5.459% to 6-30-30, then 5 Year CMT + 4.750%), 06/30/2035 (A) | 790,000 | 685,988 | |||
19,815,685 | |||||
Health care – 5.1% | |||||
AdaptHealth LLC | |||||
4.625%, 08/01/2029 (A) | 500,000 | 408,550 | |||
5.125%, 03/01/2030 (A) | 600,000 | 492,172 | |||
Akumin, Inc. 7.000%, 11/01/2025 (A) | 1,000,000 | 755,063 | |||
AthenaHealth Group, Inc. 6.500%, 02/15/2030 (A) | 890,000 | 772,939 | |||
Bausch Health Companies, Inc. | |||||
6.125%, 02/01/2027 (A) | 180,000 | 118,350 | |||
6.250%, 02/15/2029 (A) | 2,081,000 | 910,438 | |||
Cano Health LLC 6.250%, 10/01/2028 (A) | 570,000 | 193,800 | |||
Community Health Systems, Inc. | |||||
5.250%, 05/15/2030 (A) | 420,000 | 331,224 | |||
6.125%, 04/01/2030 (A) | 70,000 | 40,282 | |||
6.875%, 04/15/2029 (A) | 1,240,000 | 760,517 | |||
LifePoint Health, Inc. 9.875%, 08/15/2030 (A) | 1,100,000 | 1,086,250 | |||
Medline Borrower LP | |||||
3.875%, 04/01/2029 (A) | 280,000 | 244,433 | |||
5.250%, 10/01/2029 (A) | 740,000 | 657,139 | |||
Par Pharmaceutical, Inc. 7.500%, 04/01/2027 (A)(B) | 770,000 | 548,159 | |||
Teva Pharmaceutical Finance Company LLC 6.150%, 02/01/2036 | 760,000 | 700,475 | |||
Teva Pharmaceutical Finance Netherlands III BV | |||||
4.750%, 05/09/2027 | 300,000 | 280,323 | |||
5.125%, 05/09/2029 | 500,000 | 462,500 | |||
7.875%, 09/15/2029 | 200,000 | 208,458 | |||
8.125%, 09/15/2031 | 520,000 | 550,926 | |||
US Renal Care, Inc. 10.625%, 06/28/2028 (A) | 430,500 | 269,325 | |||
9,791,323 | |||||
Industrials – 13.8% | |||||
Advanced Drainage Systems, Inc. 6.375%, 06/15/2030 (A) | 430,000 | 423,567 | |||
Allied Universal Holdco LLC 6.625%, 07/15/2026 (A) | 770,000 | 732,381 | |||
Alta Equipment Group, Inc. 5.625%, 04/15/2026 (A) | 800,000 | 740,408 | |||
American Airlines, Inc. | |||||
5.750%, 04/20/2029 (A) | 1,370,000 | 1,310,242 | |||
7.250%, 02/15/2028 (A) | 490,000 | 481,336 | |||
11.750%, 07/15/2025 (A) | 270,000 | 295,527 | |||
Anagram International, Inc. 10.000%, (0.000% Cash and 10.000% PIK), 08/15/2026 (A) | 101,368 | 70,958 | |||
ATS Corp. 4.125%, 12/15/2028 (A) | 460,000 | 408,402 | |||
Beacon Roofing Supply, Inc. 6.500%, 08/01/2030 (A) | 300,000 | 296,352 |
The accompanying notes are an integral part of the financial statements. | 41 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Industrials (continued) | |||||
Bombardier, Inc. | |||||
7.500%, 02/01/2029 (A) | $ | 620,000 | $ | 607,529 | |
7.875%, 04/15/2027 (A) | 200,000 | 199,483 | |||
Brundage-Bone Concrete Pumping Holdings, Inc. 6.000%, 02/01/2026 (A) | 680,000 | 652,800 | |||
Clean Harbors, Inc. 6.375%, 02/01/2031 (A) | 360,000 | 357,995 | |||
CoreCivic, Inc. 8.250%, 04/15/2026 | 1,000,000 | 1,003,968 | |||
Covanta Holding Corp. 4.875%, 12/01/2029 (A) | 570,000 | 490,200 | |||
Doman Building Materials Group, Ltd. 5.250%, 05/15/2026 (A) | CAD | 340,000 | 228,353 | ||
H&E Equipment Services, Inc. 3.875%, 12/15/2028 (A) | $ | 1,050,000 | 916,810 | ||
Hawaiian Brand Intellectual Property, Ltd. 5.750%, 01/20/2026 (A) | 450,000 | 416,413 | |||
Legends Hospitality Holding Company LLC 5.000%, 02/01/2026 (A) | 1,000,000 | 939,700 | |||
Madison IAQ LLC | |||||
4.125%, 06/30/2028 (A) | 250,000 | 221,183 | |||
5.875%, 06/30/2029 (A) | 850,000 | 715,699 | |||
Mileage Plus Holdings LLC 6.500%, 06/20/2027 (A) | 440,027 | 438,491 | |||
MIWD Holdco II LLC 5.500%, 02/01/2030 (A) | 1,230,000 | 1,042,573 | |||
Park-Ohio Industries, Inc. 6.625%, 04/15/2027 | 360,000 | 312,300 | |||
PGT Innovations, Inc. 4.375%, 10/01/2029 (A) | 470,000 | 436,132 | |||
PM General Purchaser LLC 9.500%, 10/01/2028 (A) | 710,000 | 683,510 | |||
Prime Security Services Borrower LLC 6.250%, 01/15/2028 (A) | 1,000,000 | 952,401 | |||
R.R. Donnelley & Sons Company 9.750%, 07/31/2028 (A) | 380,000 | 380,029 | |||
Roller Bearing Company of America, Inc. 4.375%, 10/15/2029 (A) | 980,000 | 876,777 | |||
Smyrna Ready Mix Concrete LLC 6.000%, 11/01/2028 (A) | 1,000,000 | 960,135 | |||
Spirit Loyalty Cayman, Ltd. 8.000%, 09/20/2025 (A) | 902,000 | 902,989 | |||
The GEO Group, Inc. | |||||
9.500%, 12/31/2028 (A) | 1,500,000 | 1,470,000 | |||
10.500%, 06/30/2028 | 360,000 | 360,107 | |||
Titan International, Inc. 7.000%, 04/30/2028 | 520,000 | 495,433 | |||
TransDigm, Inc. 6.750%, 08/15/2028 (A) | 820,000 | 822,875 | |||
United Airlines 2020-1 Class B Pass Through Trust 4.875%, 01/15/2026 | 200,415 | 193,400 | |||
United Airlines, Inc. 4.625%, 04/15/2029 (A) | 900,000 | 800,236 | |||
United Rentals North America, Inc. | |||||
3.875%, 02/15/2031 | 360,000 | 307,931 | |||
5.250%, 01/15/2030 | 800,000 | 760,256 | |||
Vertiv Group Corp. 4.125%, 11/15/2028 (A) | 920,000 | 825,941 | |||
VistaJet Malta Finance PLC | |||||
6.375%, 02/01/2030 (A) | 880,000 | 721,584 | |||
7.875%, 05/01/2027 (A) | 250,000 | 226,250 | |||
9.500%, 06/01/2028 (A) | 80,000 | 73,824 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Industrials (continued) | |||||
XPO CNW, Inc. 6.700%, 05/01/2034 | $ | 740,000 | $ | 734,931 | |
XPO Escrow Sub LLC 7.500%, 11/15/2027 (A) | 200,000 | 203,352 | |||
26,490,763 | |||||
Information technology – 2.9% | |||||
CA Magnum Holdings 5.375%, 10/31/2026 (A) | 430,000 | 383,370 | |||
Central Parent, Inc. 7.250%, 06/15/2029 (A) | 500,000 | 493,134 | |||
Clarivate Science Holdings Corp. 4.875%, 07/01/2029 (A) | 320,000 | 279,058 | |||
CommScope Technologies LLC 5.000%, 03/15/2027 (A) | 1,040,000 | 578,218 | |||
CommScope, Inc. 4.750%, 09/01/2029 (A) | 1,400,000 | 1,040,393 | |||
Elastic NV 4.125%, 07/15/2029 (A) | 750,000 | 644,724 | |||
Gen Digital, Inc. 7.125%, 09/30/2030 (A) | 410,000 | 412,757 | |||
Open Text Corp. 6.900%, 12/01/2027 (A) | 430,000 | 435,605 | |||
Rackspace Technology Global, Inc. 3.500%, 02/15/2028 (A) | 900,000 | 427,189 | |||
Vericast Corp. 11.000%, 09/15/2026 (A) | 860,000 | 896,610 | |||
5,591,058 | |||||
Materials – 4.7% | |||||
ARD Finance SA 6.500%, (6.500% Cash or 7.250% PIK), 06/30/2027 (A) | 1,220,000 | 980,541 | |||
Ardagh Metal Packaging Finance USA LLC 4.000%, 09/01/2029 (A) | 1,000,000 | 812,800 | |||
Arsenal AIC Parent LLC 8.000%, 10/01/2030 (A) | 70,000 | 71,487 | |||
Canpack SA 3.875%, 11/15/2029 (A) | 750,000 | 606,014 | |||
Cascades, Inc. 5.375%, 01/15/2028 (A) | 400,000 | 376,500 | |||
First Quantum Minerals, Ltd. | |||||
6.875%, 10/15/2027 (A) | 1,500,000 | 1,460,392 | |||
8.625%, 06/01/2031 (A) | 1,370,000 | 1,394,142 | |||
Freeport-McMoRan, Inc. 5.450%, 03/15/2043 | 1,160,000 | 1,041,151 | |||
Hudbay Minerals, Inc. 6.125%, 04/01/2029 (A) | 770,000 | 723,927 | |||
LSF11 A5 HoldCo LLC 6.625%, 10/15/2029 (A) | 700,000 | 583,331 | |||
Midwest Vanadium Proprietary, Ltd. 11.500%, 02/15/2018 (A)(B) | 1,951,648 | 3,903 | |||
Northwest Acquisitions ULC 7.125%, 11/01/2022 (A)(B) | 1,140,000 | 11 | |||
Olin Corp. 5.000%, 02/01/2030 | 360,000 | 329,641 | |||
Pactiv LLC 8.375%, 04/15/2027 | 30,000 | 30,212 | |||
Summit Materials LLC 5.250%, 01/15/2029 (A) | 610,000 | 571,414 | |||
8,985,466 | |||||
Real estate – 2.4% | |||||
Cushman & Wakefield US Borrower LLC 8.875%, 09/01/2031 (A) | 200,000 | 201,640 |
The accompanying notes are an integral part of the financial statements. | 42 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Real estate (continued) | |||||
Diversified Healthcare Trust | |||||
4.375%, 03/01/2031 | $ | 500,000 | $ | 377,256 | |
4.750%, 02/15/2028 | 270,000 | 206,185 | |||
9.750%, 06/15/2025 | 170,000 | 167,164 | |||
Five Point Operating Company LP 7.875%, 11/15/2025 (A) | 640,000 | 596,810 | |||
Forestar Group, Inc. | |||||
3.850%, 05/15/2026 (A) | 580,000 | 537,019 | |||
5.000%, 03/01/2028 (A) | 420,000 | 388,129 | |||
IIP Operating Partnership LP 5.500%, 05/25/2026 | 1,080,000 | 958,027 | |||
Iron Mountain Information Management Services, Inc. 5.000%, 07/15/2032 (A) | 170,000 | 146,789 | |||
MPT Operating Partnership LP | |||||
3.500%, 03/15/2031 | 300,000 | 194,430 | |||
4.625%, 08/01/2029 | 250,000 | 180,540 | |||
Service Properties Trust 5.500%, 12/15/2027 | 640,000 | 566,459 | |||
4,520,448 | |||||
Utilities – 0.9% | |||||
Suburban Propane Partners LP 5.000%, 06/01/2031 (A) | 460,000 | 395,407 | |||
Sunnova Energy Corp. 5.875%, 09/01/2026 (A) | 1,100,000 | 967,952 | |||
TransAlta Corp. 7.750%, 11/15/2029 | 380,000 | 393,460 | |||
1,756,819 | |||||
TOTAL CORPORATE BONDS (Cost $179,364,536) | $ | 156,877,220 | |||
CONVERTIBLE BONDS – 0.7% | |||||
Communication services – 0.2% | |||||
DISH Network Corp. 3.375%, 08/15/2026 | 700,000 | 423,500 | |||
Consumer discretionary – 0.2% | |||||
DraftKings Holdings, Inc. 6.246%, 03/15/2028 (E) | 530,000 | 400,945 | |||
Industrials – 0.2% | |||||
Spirit Airlines, Inc. 1.000%, 05/15/2026 | 440,000 | 371,580 | |||
Utilities – 0.1% | |||||
NextEra Energy Partners LP 2.500%, 06/15/2026 (A) | 220,000 | 194,590 | |||
TOTAL CONVERTIBLE BONDS (Cost $1,762,500) | $ | 1,390,615 | |||
TERM LOANS (F) – 6.4% | |||||
Consumer discretionary – 1.8% | |||||
Adtalem Global Education, Inc., 2021 Term Loan B (1 month SOFR + 4.000%) 9.446%, 08/12/2028 | 300,953 | 300,860 | |||
Clarios Global LP, 2023 Incremental Term Loan (1 month SOFR + 3.750%) 9.081%, 05/06/2030 | 390,000 | 388,904 | |||
Equinox Holdings, Inc. , 2020 Term Loan B2 (3 and 6 month LIBOR + 9.000%) 14.731%, 03/08/2024 | 407,400 | 391,361 | |||
First Brands Group LLC, 2021 Term Loan (6 month SOFR + 5.000%) 10.881%, 03/30/2027 | 361,675 | 356,250 | |||
Great Outdoors Group LLC, 2021 Term Loan B1 (1 month SOFR + 3.750%) 9.196%, 03/06/2028 | 351,047 | 349,622 |
Shares or Principal Amount | Value | ||||
TERM LOANS (F) (continued) | |||||
Consumer discretionary (continued) | |||||
Spencer Spirit IH LLC, Term Loan B (1 month SOFR + 6.000%) 11.429%, 06/19/2026 | $ | 706,553 | $ | 699,841 | |
Truck Hero, Inc., 2021 Term Loan B (1 month SOFR + 3.750%) 9.196%, 01/31/2028 | 351,900 | 340,270 | |||
Upbound Group, Inc., 2021 First Lien Term Loan B (3 month SOFR + 3.250%) 8.881%, 02/17/2028 | 585,796 | 583,599 | |||
3,410,707 | |||||
Financials – 1.0% | |||||
Acrisure LLC, 2020 Term Loan B (1 month LIBOR + 3.500%) 8.946%, 02/15/2027 | 522,450 | 511,536 | |||
Asurion LLC, 2021 Term Loan B9 (3 month LIBOR + 3.250%) 8.788%, 07/31/2027 | 782,000 | 751,330 | |||
Asurion LLC, 2022 Term Loan B10 (1 month SOFR + 4.000%) 9.431%, 08/19/2028 | 466,475 | 448,464 | |||
Deerfield Dakota Holding LLC, 2021 USD 2nd Lien Term Loan (3 month LIBOR + 6.750%) 12.288%, 04/07/2028 | 250,000 | 234,063 | |||
1,945,393 | |||||
Health care – 1.0% | |||||
Agiliti Health, Inc., 2023 Term Loan (1 month SOFR + 3.000%) 8.247%, 05/01/2030 | 240,000 | 238,951 | |||
Eyecare Partners LLC, 2020 Term Loan (3 month SOFR + 3.750%) 9.253%, 02/18/2027 | 562,061 | 442,022 | |||
Eyecare Partners LLC, 2022 Incremental Term Loan (3 month SOFR + 4.500%) 9.842%, 11/15/2028 | 437,800 | 342,360 | |||
LifePoint Health, Inc., 2018 Term Loan B (3 month LIBOR + 3.750%) 9.377%, 11/16/2025 | 478,269 | 473,964 | |||
US Renal Care, Inc. , 2023 Superpriority Term Loan (3 month SOFR + 5.000%) 10.346%, 06/20/2028 | 678,028 | 427,158 | |||
1,924,455 | |||||
Industrials – 0.9% | |||||
Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B (1 month SOFR + 3.750%) 9.181%, 05/12/2028 | 786,000 | 763,159 | |||
Mileage Plus Holdings LLC, 2020 Term Loan B (3 month LIBOR + 5.250%) 10.764%, 06/21/2027 | 384,000 | 400,013 | |||
R.R. Donnelley & Sons Company, 2023 Term Loan B (1 month SOFR + 7.250%) 12.681%, 03/08/2028 | 651,117 | 650,576 | |||
1,813,748 | |||||
Information technology – 1.5% | |||||
Dcert Buyer, Inc., 2019 Term Loan B (1 month SOFR + 4.000%) 9.331%, 10/16/2026 | 684,091 | 681,088 | |||
Dcert Buyer, Inc., 2021 2nd Lien Term Loan (1 month SOFR + 7.000%) 12.331%, 02/19/2029 | 880,000 | 819,870 | |||
Global Tel*Link Corp., 2018 1st Lien Term Loan (3 month SOFR + 4.250%) 9.769%, 11/29/2025 | 548,206 | 514,629 |
The accompanying notes are an integral part of the financial statements. | 43 |
Shares or Principal Amount | Value | ||||
TERM LOANS (F) (continued) | |||||
Information technology (continued) | |||||
MRI Software LLC, 2020 Term Loan (3 month SOFR + 5.500%) 10.842%, 02/10/2026 | $ | 69,018 | $ | 67,206 | |
MRI Software LLC, 2020 Term Loan B (3 month SOFR + 5.500%) 10.842%, 02/10/2026 | 120,008 | 116,858 | |||
Neptune Bidco US, Inc., 2022 USD Term Loan B (3 month SOFR + 5.000%) 10.398%, 04/11/2029 | 239,400 | 217,753 | |||
Peraton Corp., Term Loan B (1 month SOFR + 3.750%) 9.181%, 02/01/2028 | 431,826 | 427,171 | |||
2,844,575 | |||||
Materials – 0.2% | |||||
Arctic Canadian Diamond Company, Ltd., 2nd Lien PIK Term Loan (3 month LIBOR + 10.000% or 12.500% PIK) 10.000%, 12/31/2027 (G) | 511,968 | 439,166 | |||
TOTAL TERM LOANS (Cost $12,863,200) | $ | 12,378,044 | |||
ASSET BACKED SECURITIES – 6.5% | |||||
Aimco CLO, Ltd. Series 2020-12A, Class DR (3 month CME Term SOFR + 2.900%) 8.208%, 01/17/2032 (A)(C) | 440,000 | 424,551 | |||
Ares CLO, Ltd. Series 2017-44A, Class CR (3 month CME Term SOFR + 3.662%) 8.970%, 04/15/2034 (A)(C) | 410,000 | 407,927 | |||
Balboa Bay Loan Funding, Ltd. Series 2022-1A, Class D (3 month CME Term SOFR + 4.000%) 9.326%, 04/20/2034 (A)(C) | 290,000 | 282,097 | |||
Ballyrock CLO, Ltd. Series 2022-19A, Class D (3 month CME Term SOFR + 7.110%) 12.436%, 04/20/2035 (A)(C) | 900,000 | 843,600 | |||
Barings CLO, Ltd. | |||||
Series 2018-3A, Class D (3 month CME Term SOFR + 3.162%) 8.488%, 07/20/2029 (A)(C) | 250,000 | 246,415 | |||
Series 2020-4A, Class E (3 month CME Term SOFR + 5.942%) 11.268%, 01/20/2032 (A)(C) | 350,000 | 320,787 | |||
Series 2023-3A, Class D (3 month CME Term SOFR + 4.500%) 9.910%, 10/15/2036 (A)(C) | 250,000 | 250,000 | |||
Battalion CLO, Ltd. Series 2021-20A, Class D (3 month CME Term SOFR + 3.362%) 8.670%, 07/15/2034 (A)(C) | 250,000 | 228,382 | |||
BlueMountain CLO XXXI, Ltd. Series 2021-31A, Class E (3 month CME Term SOFR + 6.792%) 12.112%, 04/19/2034 (A)(C) | 170,000 | 156,353 | |||
BlueMountain CLO, Ltd. Series 2016-2A, Class DR (3 month CME Term SOFR + 8.052%) 13.431%, 08/20/2032 (A)(C) | 375,000 | 329,363 | |||
Bristol Park CLO, Ltd. Series 2016-1A, Class ER (3 month CME Term SOFR + 7.262%) 12.570%, 04/15/2029 (A)(C) | 400,000 | 356,366 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
Clover CLO LLC Series 2018-1A, Class DR (3 month CME Term SOFR + 3.362%) 8.688%, 04/20/2032 (A)(C) | $ | 320,000 | $ | 314,277 | |
Cook Park CLO, Ltd. Series 2018-1A, Class E (3 month CME Term SOFR + 5.662%) 10.970%, 04/17/2030 (A)(C) | 750,000 | 622,589 | |||
Dryden CLO, Ltd. Series 2018-70A, Class E (3 month CME Term SOFR + 6.312%) 11.620%, 01/16/2032 (A)(C) | 750,000 | 691,172 | |||
Dryden Senior Loan Fund Series 2015-40A, Class DR (3 month CME Term SOFR + 3.362%) 8.726%, 08/15/2031 (A)(C) | 250,000 | 242,441 | |||
Greenwood Park CLO, Ltd. | |||||
Series 2018-1A, Class D (3 month CME Term SOFR + 2.762%) 8.070%, 04/15/2031 (A)(C) | 530,000 | 493,659 | |||
Series 2018-1A, Class E (3 month CME Term SOFR + 5.212%) 10.520%, 04/15/2031 (A)(C) | 750,000 | 609,632 | |||
Greywolf CLO IV, Ltd. Series 2019-1A, Class CR (3 month CME Term SOFR + 3.910%) 9.218%, 04/17/2034 (A)(C) | 390,000 | 365,657 | |||
Grippen Park CLO, Ltd. Series 2017-1A, Class E (3 month CME Term SOFR + 5.962%) 11.288%, 01/20/2030 (A)(C) | 440,000 | 397,631 | |||
Halsey Point CLO I, Ltd. Series 2019-1A, Class E (3 month CME Term SOFR + 7.962%) 13.288%, 01/20/2033 (A)(C) | 600,000 | 562,175 | |||
Magnetite XXIV, Ltd. Series 2019-24A, Class ER (3 month CME Term SOFR + 6.400%) 11.708%, 04/15/2035 (A)(C) | 250,000 | 235,872 | |||
Mountain View CLO IX, Ltd. Series 2015-9A, Class CR (3 month CME Term SOFR + 3.382%) 8.690%, 07/15/2031 (A)(C) | 670,000 | 587,357 | |||
Neuberger Berman Loan Advisers CLO, Ltd. Series 2017-25A, Class DR (3 month CME Term SOFR + 3.112%) 8.422%, 10/18/2029 (A)(C) | 250,000 | 242,288 | |||
OZLM XI, Ltd. Series 2015-11A, Class CR (3 month CME Term SOFR + 3.862%) 9.231%, 10/30/2030 (A)(C) | 1,000,000 | 981,119 | |||
Palmer Square Loan Funding, Ltd. Series 2022-3A, Class C (3 month CME Term SOFR + 5.400%) 10.708%, 04/15/2031 (A)(C) | 470,000 | 473,760 | |||
Rockland Park CLO, Ltd. Series 2021-1A, Class E (3 month CME Term SOFR + 6.512%) 11.838%, 04/20/2034 (A)(C) | 200,000 | 187,559 | |||
Sculptor CLO XXVI, Ltd. Series 2026-A, Class E (3 month CME Term SOFR + 7.512%) 12.838%, 07/20/2034 (A)(C) | 390,000 | 358,248 |
The accompanying notes are an integral part of the financial statements. | 44 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
Shackleton CLO, Ltd. Series 2013-3A, Class DR (3 month CME Term SOFR + 3.282%) 8.590%, 07/15/2030 (A)(C) | $ | 500,000 | $ | 463,977 | |
Symphony CLO XXII, Ltd. Series 2020-22A, Class D (3 month CME Term SOFR + 3.412%) 8.722%, 04/18/2033 (A)(C) | 500,000 | 485,477 | |||
TCI-Symphony CLO, Ltd. Series 2016-1A, Class DR2 (3 month CME Term SOFR + 3.362%) 8.663%, 10/13/2032 (A)(C) | 300,000 | 286,523 | |||
TOTAL ASSET BACKED SECURITIES (Cost $13,142,796) | $ | 12,447,254 | |||
COMMON STOCKS – 0.6% | |||||
Communication services – 0.0% | |||||
New Cotai, Inc., Class B (G)(H)(I) | 11 | 0 | |||
Energy – 0.6% | |||||
Berry Corp. | 75,327 | 645,550 | |||
Chord Energy Corp. | 3,199 | 516,639 | |||
KCAD Holdings I, Ltd. (G)(H)(I) | 752,218,031 | 752 | |||
MWO Holdings LLC (G)(H)(I) | 1,134 | 7,053 | |||
Permian Production (G)(I) | 35,417 | 21,250 | |||
1,191,244 | |||||
TOTAL COMMON STOCKS (Cost $8,212,135) | $ | 1,191,244 | |||
PREFERRED SECURITIES – 0.5% | |||||
Energy – 0.5% | |||||
Equitrans Midstream Corp., 9.750% (9.750% to 3-31-24, then 3 month LIBOR + 8.150%) | 25,612 | 551,426 | |||
MPLX LP, 9.538% (G) | 8,687 | 295,358 | |||
TOTAL PREFERRED SECURITIES (Cost $852,195) | $ | 846,784 | |||
ESCROW CERTIFICATES – 0.0% | |||||
Magellan Health, Inc. (G)(I) | $ | 4,380,000 | 0 | ||
TOTAL ESCROW CERTIFICATES (Cost $0) | $ | 0 | |||
SHORT-TERM INVESTMENTS – 0.9% | |||||
Short-term funds – 0.9% | |||||
State Street Institutional Treasury Plus Money Market Fund, Premier Class, 5.2692% (J) | 1,663,979 | 1,663,979 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,663,979) | $ | 1,663,979 | |||
Total Investments (High Yield Fund) (Cost $219,125,568) – 97.8% | $ | 187,555,293 | |||
Other assets and liabilities, net – 2.2% | 4,234,455 | ||||
TOTAL NET ASSETS – 100.0% | $ | 191,789,748 |
Currency Abbreviations | |
CAD | Canadian Dollar |
GBP | Pound Sterling |
Security Abbreviations and Legend | |
CME | Chicago Mercantile Exchange |
CMT | Constant Maturity Treasury |
LIBOR | London Interbank Offered Rate |
PIK | Pay-in-Kind Security - Represents a payment-in-kind which may pay interest in additional par and/or cash. Rates shown are the current rate and most recent payment rate. |
SOFR | Secured Overnight Financing Rate |
SONIA | Sterling Overnight Interbank Average Rate |
(A) | These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration. Rule 144A securities amounted to $141,372,038 or 73.7% of the fund's net assets as of 8-31-23. |
(B) | Non-income producing - Issuer is in default. |
(C) | Variable rate obligation. The coupon rate shown represents the rate at period end. |
(D) | Perpetual bonds have no stated maturity date. Date shown as maturity date is next call date. |
(E) | Zero coupon bonds are issued at a discount from their principal amount in lieu of paying interest periodically. Rate shown is the effective yield at period end. |
(F) | Term loans are variable rate obligations. The rate shown represents the rate at period end. |
(G) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. Refer to Note 2 to the financial statements. |
(H) | Restricted security as to resale, excluding 144A securities. For more information on this security refer to the Notes to financial statements. |
(I) | Non-income producing security. |
(J) | The rate shown is the annualized seven-day yield as of 8-31-23. |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
5-Year U.S. Treasury Note Futures | 117 | Long | Dec 2023 | $12,432,432 | $12,509,859 | $77,427 |
$77,427 |
The accompanying notes are an integral part of the financial statements. | 45 |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
GBP | 587,667 | USD | 754,853 | MSCS | 10/20/2023 | — | $(10,284) |
MXN | 1,466,420 | USD | 84,255 | JPM | 10/20/2023 | $1,062 | — |
USD | 151,340 | CAD | 200,571 | BNP | 10/20/2023 | 2,799 | — |
USD | 280,456 | EUR | 254,004 | MSCS | 10/20/2023 | 4,431 | — |
$8,292 | $(10,284) |
Credit default swaps - Buyer | ||||||||||
Counterparty (OTC)/ Centrally cleared | Reference obligation | Notional amount | Currency | USD notional amount | Pay fixed rate | Fixed payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
Centrally cleared | NOVA Chemicals Corp. | 441,000 | USD | $441,000 | 5.000% | Quarterly | Jun 2027 | $(8,388) | $(11,923) | $(20,311) |
Centrally cleared | The Goodyear Tire & Rubber Company | 590,000 | USD | 590,000 | 5.000% | Quarterly | Jun 2027 | (8,123) | (40,735) | (48,858) |
Centrally cleared | Xerox Holdings Corp. | 237,000 | USD | 237,000 | 1.000% | Quarterly | Jun 2027 | 25,538 | (12,205) | 13,333 |
$1,268,000 | $9,027 | $(64,863) | $(55,836) |
Credit default swaps - Seller | |||||||||||
Counterparty (OTC)/ Centrally cleared | Reference obligation | Implied credit spread | Notional amount | Currency | USD notional amount | Received fixed rate | Fixed payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
Centrally cleared | Occidental Petroleum Corp. | 0.571% | 810,000 | USD | $810,000 | 1.000% | Quarterly | Jun 2026 | $(20,875) | $31,618 | $10,743 |
Centrally cleared | Ford Motor Credit Company LLC | 3.402% | 1,000,000 | USD | 1,000,000 | 5.000% | Quarterly | Dec 2026 | 102,096 | (49,600) | 52,496 |
$1,810,000 | $81,221 | $(17,982) | $63,239 |
Derivatives Currency Abbreviations | |
CAD | Canadian Dollar |
EUR | Euro |
GBP | Pound Sterling |
MXN | Mexican Peso |
USD | U.S. Dollar |
Derivatives Abbreviations | |
BNP | BNP Paribas |
JPM | JPMorgan Chase Bank, N.A. |
MSCS | Morgan Stanley Capital Services LLC |
OTC | Over-the-counter |
Shares or Principal Amount | Value | ||||
COMMON STOCKS - 94.3% | |||||
Australia - 1.6% | |||||
Ampol, Ltd. | 11,488 | $ | 261,685 | ||
ANZ Group Holdings, Ltd. | 148,331 | 2,421,815 | |||
APA Group | 57,825 | 335,911 | |||
Aristocrat Leisure, Ltd. | 29,346 | 774,678 | |||
ASX, Ltd. | 9,710 | 361,361 | |||
Aurizon Holdings, Ltd. | 91,984 | 216,802 | |||
BHP Group, Ltd. | 250,514 | 7,201,809 | |||
BlueScope Steel, Ltd. | 22,952 | 310,300 | |||
Brambles, Ltd. | 68,643 | 664,737 | |||
Cochlear, Ltd. | 3,224 | 565,891 | |||
Coles Group, Ltd. | 65,501 | 689,170 | |||
Commonwealth Bank of Australia | 83,695 | 5,513,580 | |||
Computershare, Ltd. | 28,457 | 462,624 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Australia (continued) | |||||
CSL, Ltd. | 23,876 | $ | 4,216,473 | ||
Dexus | 55,168 | 275,681 | |||
EBOS Group, Ltd. | 21,197 | 479,638 | |||
Endeavour Group, Ltd. | 70,008 | 248,992 | |||
Fortescue Metals Group, Ltd. | 83,724 | 1,152,661 | |||
Goodman Group | 84,406 | 1,271,765 | |||
IDP Education, Ltd. | 12,537 | 199,387 | |||
IGO, Ltd. | 33,546 | 299,374 | |||
Insurance Australia Group, Ltd. | 124,013 | 465,423 | |||
Lendlease Corp., Ltd. | 34,021 | 171,313 | |||
Macquarie Group, Ltd. | 18,467 | 2,111,342 | |||
Medibank Private, Ltd. | 138,866 | 328,515 |
The accompanying notes are an integral part of the financial statements. | 46 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Australia (continued) | |||||
Mineral Resources, Ltd. | 8,487 | $ | 389,570 | ||
Mirvac Group | 198,807 | 309,961 | |||
National Australia Bank, Ltd. | 155,308 | 2,894,393 | |||
Newcrest Mining, Ltd. | 44,049 | 734,149 | |||
Northern Star Resources, Ltd. | 55,852 | 427,946 | |||
Orica, Ltd. | 22,655 | 229,514 | |||
Origin Energy, Ltd. | 84,965 | 477,805 | |||
Pilbara Minerals, Ltd. | 132,548 | 397,381 | |||
Qantas Airways, Ltd. (A) | 44,304 | 168,781 | |||
QBE Insurance Group, Ltd. | 76,019 | 733,270 | |||
Ramsay Health Care, Ltd. | 9,103 | 302,074 | |||
REA Group, Ltd. | 2,574 | 274,434 | |||
Reece, Ltd. | 10,930 | 143,787 | |||
Rio Tinto, Ltd. | 18,579 | 1,345,610 | |||
Santos, Ltd. | 160,529 | 794,303 | |||
Scentre Group | 257,378 | 456,218 | |||
SEEK, Ltd. | 16,419 | 245,131 | |||
Sonic Healthcare, Ltd. | 22,103 | 459,393 | |||
South32, Ltd. | 226,511 | 493,906 | |||
Stockland | 120,543 | 329,221 | |||
Suncorp Group, Ltd. | 64,943 | 569,621 | |||
Telstra Corp., Ltd. (A) | 201,298 | 522,190 | |||
The GPT Group | 96,538 | 261,387 | |||
The Lottery Corp., Ltd. | 108,295 | 352,260 | |||
Transurban Group | 151,852 | 1,300,123 | |||
Treasury Wine Estates, Ltd. | 35,916 | 270,478 | |||
Vicinity, Ltd. | 194,239 | 234,301 | |||
Washington H. Soul Pattinson & Company, Ltd. | 11,419 | 243,268 | |||
Wesfarmers, Ltd. | 56,029 | 1,950,056 | |||
Westpac Banking Corp. | 173,161 | 2,449,782 | |||
WiseTech Global, Ltd. | 8,146 | 365,420 | |||
Woodside Energy Group, Ltd. | 93,617 | 2,234,846 | |||
Woolworths Group, Ltd. | 59,925 | 1,476,724 | |||
54,838,230 | |||||
Austria - 0.1% | |||||
Erste Group Bank AG | 47,697 | 1,701,539 | |||
OMV AG | 20,240 | 937,275 | |||
Verbund AG | 9,410 | 770,108 | |||
voestalpine AG | 15,956 | 466,223 | |||
3,875,145 | |||||
Belgium - 0.5% | |||||
Ageas SA/NV | 23,146 | 920,525 | |||
Anheuser-Busch InBev SA/NV | 120,084 | 6,816,219 | |||
D'ieteren Group | 3,007 | 491,116 | |||
Elia Group SA/NV | 4,015 | 462,908 | |||
Groupe Bruxelles Lambert NV | 13,809 | 1,111,949 | |||
KBC Group NV | 34,340 | 2,253,054 | |||
Sofina SA | 2,127 | 477,869 | |||
Solvay SA | 10,261 | 1,188,200 | |||
UCB SA | 17,499 | 1,569,612 | |||
Umicore SA | 28,772 | 762,409 | |||
Warehouses De Pauw CVA | 22,261 | 636,144 | |||
16,690,005 | |||||
Brazil - 1.0% | |||||
Ambev SA | 618,900 | 1,729,703 | |||
Atacadao SA | 82,800 | 171,551 | |||
B3 SA - Brasil Bolsa Balcao | 764,260 | 1,995,513 | |||
Banco Bradesco SA | 201,238 | 538,038 | |||
Banco BTG Pactual SA | 156,600 | 1,026,807 | |||
Banco do Brasil SA | 112,700 | 1,071,914 | |||
Banco Santander Brasil SA | 47,400 | 259,491 | |||
BB Seguridade Participacoes SA | 93,000 | 570,539 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Brazil (continued) | |||||
CCR SA | 130,400 | $ | 328,103 | ||
Centrais Eletricas Brasileiras SA | 155,800 | 1,109,340 | |||
Cia de Saneamento Basico do Estado de Sao Paulo | 44,400 | 519,310 | |||
Cia Siderurgica Nacional SA | 86,300 | 211,043 | |||
Cosan SA | 158,000 | 558,993 | |||
CPFL Energia SA | 29,200 | 201,367 | |||
Energisa SA | 27,900 | 259,729 | |||
Eneva SA (A) | 111,500 | 268,390 | |||
Engie Brasil Energia SA | 25,725 | 218,806 | |||
Equatorial Energia SA | 134,600 | 860,540 | |||
Hapvida Participacoes e Investimentos SA (A)(B) | 688,909 | 592,634 | |||
Hypera SA | 53,800 | 423,595 | |||
JBS SA | 101,200 | 376,022 | |||
Klabin SA | 98,800 | 454,092 | |||
Localiza Rent a Car SA | 117,445 | 1,500,065 | |||
Lojas Renner SA | 125,742 | 407,032 | |||
Magazine Luiza SA (A) | 397,600 | 221,600 | |||
Natura & Company Holding SA (A) | 118,400 | 362,943 | |||
Petroleo Brasileiro SA | 483,400 | 3,371,661 | |||
PRIO SA (A) | 98,000 | 918,642 | |||
Raia Drogasil SA | 167,264 | 928,184 | |||
Rede D'Or Sao Luiz SA (B) | 74,600 | 431,748 | |||
Rumo SA | 170,500 | 769,515 | |||
Sendas Distribuidora SA | 175,000 | 410,285 | |||
Suzano SA | 103,527 | 1,048,430 | |||
Telefonica Brasil SA | 55,600 | 464,264 | |||
TIM SA | 111,700 | 325,037 | |||
TOTVS SA | 68,500 | 383,718 | |||
Ultrapar Participacoes SA | 95,600 | 350,581 | |||
Vale SA | 445,838 | 5,859,217 | |||
Vibra Energia SA | 152,600 | 568,855 | |||
WEG SA | 219,540 | 1,590,674 | |||
33,657,971 | |||||
Canada - 5.2% | |||||
Agnico Eagle Mines, Ltd. | 49,384 | 2,397,931 | |||
Air Canada (A) | 18,837 | 318,132 | |||
Algonquin Power & Utilities Corp. | 69,976 | 529,792 | |||
Alimentation Couche-Tard, Inc. | 78,732 | 4,117,231 | |||
AltaGas, Ltd. | 28,968 | 566,411 | |||
ARC Resources, Ltd. | 61,623 | 939,942 | |||
Atco, Ltd., Class I | 974 | 26,887 | |||
Bank of Montreal | 71,473 | 6,155,501 | |||
Barrick Gold Corp. | 175,969 | 2,852,073 | |||
BCE, Inc. | 9,261 | 392,318 | |||
Brookfield Asset Management, Ltd., Class A | 36,111 | 1,247,796 | |||
Brookfield Corp. (A)(C) | 142,383 | 4,859,905 | |||
Brookfield Reinsurance, Ltd. (A) | 790 | 27,362 | |||
BRP, Inc. | 3,787 | 289,602 | |||
CAE, Inc. (A) | 32,762 | 790,197 | |||
Cameco Corp. | 43,364 | 1,604,648 | |||
Canadian Apartment Properties REIT | 9,526 | 341,715 | |||
Canadian Imperial Bank of Commerce (C) | 91,740 | 3,635,109 | |||
Canadian National Railway Company | 56,980 | 6,418,262 | |||
Canadian Natural Resources, Ltd. | 110,740 | 7,164,662 | |||
Canadian Pacific Kansas City, Ltd. | 93,019 | 7,383,968 | |||
Canadian Tire Corp., Ltd., Class A | 5,601 | 664,476 | |||
Canadian Utilities, Ltd., Class A | 14,704 | 348,447 | |||
CCL Industries, Inc., Class B | 15,363 | 686,628 | |||
Cenovus Energy, Inc. | 142,967 | 2,850,452 | |||
CGI, Inc. (A) | 21,427 | 2,234,358 |
The accompanying notes are an integral part of the financial statements. | 47 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Canada (continued) | |||||
CI Financial Corp. | 2,662 | $ | 34,162 | ||
Constellation Software, Inc. | 2,017 | 4,143,060 | |||
Dollarama, Inc. | 28,825 | 1,868,974 | |||
Element Fleet Management Corp. | 40,229 | 618,381 | |||
Emera, Inc. (C) | 28,264 | 1,059,482 | |||
Empire Company, Ltd., Class A | 16,894 | 440,104 | |||
Enbridge, Inc. | 203,520 | 7,145,492 | |||
Fairfax Financial Holdings, Ltd. | 2,295 | 1,892,577 | |||
First Capital Real Estate Investment Trust | 1,903 | 19,351 | |||
First Quantum Minerals, Ltd. | 58,986 | 1,584,659 | |||
FirstService Corp. | 4,150 | 627,568 | |||
Fortis, Inc. | 49,556 | 1,943,437 | |||
Franco-Nevada Corp. | 19,289 | 2,778,861 | |||
George Weston, Ltd. | 6,494 | 720,194 | |||
GFL Environmental, Inc. | 23,537 | 762,793 | |||
Gildan Activewear, Inc. | 18,657 | 556,451 | |||
Great-West Lifeco, Inc. (C) | 31,351 | 900,947 | |||
Hydro One, Ltd. (B) | 34,320 | 892,036 | |||
iA Financial Corp., Inc. | 11,331 | 710,871 | |||
IGM Financial, Inc. | 10,752 | 306,518 | |||
Imperial Oil, Ltd. | 20,612 | 1,170,485 | |||
Intact Financial Corp. | 17,939 | 2,529,144 | |||
Ivanhoe Mines, Ltd., Class A (A) | 61,427 | 546,442 | |||
Keyera Corp. | 23,689 | 585,212 | |||
Kinross Gold Corp. | 126,880 | 644,166 | |||
Loblaw Companies, Ltd. | 16,317 | 1,416,869 | |||
Lundin Mining Corp. | 66,950 | 519,269 | |||
Magna International, Inc. (C) | 27,615 | 1,624,364 | |||
Metro, Inc. | 23,931 | 1,233,389 | |||
National Bank of Canada | 34,724 | 2,420,041 | |||
Northland Power, Inc. | 25,866 | 489,103 | |||
Nutrien, Ltd. | 49,987 | 3,166,361 | |||
Nuvei Corp. (B) | 6,598 | 119,098 | |||
Onex Corp. | 7,293 | 450,631 | |||
Open Text Corp. | 27,623 | 1,113,138 | |||
Pan American Silver Corp. | 36,683 | 606,497 | |||
Parkland Corp. | 14,295 | 378,217 | |||
Pembina Pipeline Corp. | 56,563 | 1,758,175 | |||
Power Corp. of Canada | 61,575 | 1,681,555 | |||
Quebecor, Inc., Class B | 16,018 | 366,190 | |||
RB Global, Inc. | 18,230 | 1,127,367 | |||
Restaurant Brands International, Inc. | 29,851 | 2,073,354 | |||
RioCan Real Estate Investment Trust | 17,816 | 254,608 | |||
Rogers Communications, Inc., Class B | 36,210 | 1,473,108 | |||
Royal Bank of Canada | 139,070 | 12,529,886 | |||
Saputo, Inc. | 25,832 | 558,432 | |||
Shopify, Inc., Class A (A) | 119,279 | 7,935,161 | |||
SmartCentres Real Estate Investment Trust | 1,819 | 32,376 | |||
Sun Life Financial, Inc. (C) | 61,475 | 2,998,681 | |||
Suncor Energy, Inc. | 133,140 | 4,509,930 | |||
TC Energy Corp. (C) | 101,926 | 3,681,164 | |||
Teck Resources, Ltd., Class B | 45,606 | 1,886,074 | |||
TELUS Corp. | 49,633 | 871,663 | |||
TFI International, Inc. | 7,881 | 1,073,897 | |||
The Bank of Nova Scotia | 119,829 | 5,686,379 | |||
The Descartes Systems Group, Inc. (A) | 8,746 | 655,756 | |||
The Toronto-Dominion Bank | 182,134 | 11,109,743 | |||
Thomson Reuters Corp. | 16,345 | 2,104,697 | |||
TMX Group, Ltd. | 29,520 | 653,233 | |||
Toromont Industries, Ltd. | 8,526 | 699,394 | |||
Tourmaline Oil Corp. | 32,280 | 1,655,329 | |||
West Fraser Timber Company, Ltd. | 5,759 | 435,335 | |||
Wheaton Precious Metals Corp. | 45,495 | 1,984,514 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Canada (continued) | |||||
WSP Global, Inc. | 12,653 | $ | 1,772,282 | ||
178,430,432 | |||||
Chile - 0.1% | |||||
Antofagasta PLC | 42,822 | 784,239 | |||
Banco de Chile | 5,882,591 | 641,688 | |||
Banco de Credito e Inversiones SA | 8,804 | 253,278 | |||
Banco Santander Chile | 8,511,271 | 407,312 | |||
Cencosud SA | 163,505 | 349,999 | |||
Cia Cervecerias Unidas SA | 16,159 | 119,425 | |||
Cia Sud Americana de Vapores SA | 1,971,995 | 131,611 | |||
Empresas CMPC SA | 149,304 | 271,091 | |||
Empresas COPEC SA | 50,399 | 364,027 | |||
Enel Americas SA (A) | 2,724,223 | 323,750 | |||
Enel Chile SA | 3,689,440 | 248,613 | |||
Falabella SA | 113,354 | 279,222 | |||
4,174,255 | |||||
China - 6.2% | |||||
360 Security Technology, Inc., Class A (A) | 47,500 | 72,723 | |||
37 Interactive Entertainment Network Technology Group Company, Ltd., Class A | 14,600 | 49,402 | |||
3Peak, Inc., Class A | 782 | 19,700 | |||
3SBio, Inc. (A)(B) | 211,719 | 177,054 | |||
AAC Technologies Holdings, Inc. | 82,144 | 159,117 | |||
Advanced Micro-Fabrication Equipment, Inc., Class A (A) | 4,328 | 90,685 | |||
AECC Aero-Engine Control Company, Ltd., Class A | 11,200 | 34,378 | |||
AECC Aviation Power Company, Ltd., Class A | 19,800 | 106,513 | |||
Agricultural Bank of China, Ltd., Class A | 598,200 | 283,834 | |||
Agricultural Bank of China, Ltd., H Shares | 3,462,544 | 1,186,803 | |||
Aier Eye Hospital Group Company, Ltd., Class A | 64,784 | 160,272 | |||
Aima Technology Group Company, Ltd., Class A | 4,800 | 18,675 | |||
Air China, Ltd., Class A (A) | 52,000 | 61,773 | |||
Air China, Ltd., H Shares (A) | 209,953 | 155,411 | |||
Akeso, Inc. (A)(B) | 57,504 | 252,568 | |||
Alibaba Group Holding, Ltd. (A) | 1,928,183 | 22,378,773 | |||
Aluminum Corp. of China, Ltd., A Shares | 87,300 | 70,765 | |||
Aluminum Corp. of China, Ltd., H Shares | 456,805 | 220,379 | |||
Amlogic Shanghai Company, Ltd., Class A (A) | 3,063 | 36,807 | |||
Angel Yeast Company, Ltd., Class A | 6,100 | 27,760 | |||
Anhui Conch Cement Company, Ltd., Class A | 28,100 | 99,082 | |||
Anhui Conch Cement Company, Ltd., H Shares | 143,439 | 399,400 | |||
Anhui Gujing Distillery Company, Ltd., B Shares | 12,000 | 199,742 | |||
Anhui Gujing Distillery Company, Ltd., Class A | 2,900 | 114,503 | |||
Anhui Honglu Steel Construction Group Company, Ltd., Class A | 4,840 | 17,790 | |||
Anhui Kouzi Distillery Company, Ltd., Class A | 4,600 | 35,970 | |||
Anhui Yingjia Distillery Company, Ltd., Class A | 4,600 | 48,377 | |||
Anjoy Foods Group Company, Ltd., Class A | 1,900 | 34,084 | |||
ANTA Sports Products, Ltd. | 141,883 | 1,599,477 |
The accompanying notes are an integral part of the financial statements. | 48 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Apeloa Pharmaceutical Company, Ltd., Class A | 8,800 | $ | 21,207 | ||
Asia - Potash International Investment Guangzhou Company, Ltd., Class A (A) | 5,000 | 19,184 | |||
ASR Microelectronics Company, Ltd., Class A (A) | 2,793 | 26,814 | |||
Asymchem Laboratories Tianjin Company, Ltd., Class A | 2,540 | 46,306 | |||
Autobio Diagnostics Company, Ltd., Class A | 4,100 | 25,840 | |||
Autohome, Inc., ADR | 8,761 | 253,193 | |||
Avary Holding Shenzhen Company, Ltd., Class A | 14,100 | 41,300 | |||
AVIC Airborne Systems Company, Ltd. | 28,980 | 59,699 | |||
AVIC Industry-Finance Holdings Company, Ltd., Class A | 69,700 | 35,288 | |||
AviChina Industry & Technology Company, Ltd., H Shares | 303,295 | 135,918 | |||
AVICOPTER PLC, Class A | 5,500 | 28,768 | |||
Baidu, Inc., Class A (A) | 262,885 | 4,694,926 | |||
Bank of Beijing Company, Ltd., Class A | 167,200 | 102,497 | |||
Bank of Changsha Company, Ltd., Class A | 28,900 | 32,253 | |||
Bank of Chengdu Company, Ltd., Class A | 28,900 | 54,317 | |||
Bank of China, Ltd., Class A | 244,000 | 125,476 | |||
Bank of China, Ltd., H Shares | 9,332,899 | 3,163,080 | |||
Bank of Communications Company, Ltd., Class A | 290,100 | 220,957 | |||
Bank of Communications Company, Ltd., H Shares | 1,019,090 | 583,277 | |||
Bank of Hangzhou Company, Ltd., Class A | 42,400 | 65,207 | |||
Bank of Jiangsu Company, Ltd., Class A | 113,500 | 111,084 | |||
Bank of Nanjing Company, Ltd., Class A | 74,300 | 80,727 | |||
Bank of Ningbo Company, Ltd., Class A | 47,300 | 169,746 | |||
Bank of Shanghai Company, Ltd., Class A | 102,200 | 83,410 | |||
Bank of Suzhou Company, Ltd., Class A | 28,500 | 26,358 | |||
Baoshan Iron & Steel Company, Ltd., Class A | 150,900 | 125,428 | |||
BBMG Corp., Class A | 63,900 | 19,279 | |||
Beijing Capital International Airport Company, Ltd., H Shares (A) | 203,850 | 106,741 | |||
Beijing Dabeinong Technology Group Company, Ltd., Class A | 30,300 | 26,966 | |||
Beijing Easpring Material Technology Company, Ltd., Class A | 3,400 | 20,670 | |||
Beijing E-Hualu Information Technology Company, Ltd., Class A (A) | 3,600 | 14,894 | |||
Beijing Enlight Media Company, Ltd., Class A | 18,200 | 23,320 | |||
Beijing Kingsoft Office Software, Inc., Class A | 3,232 | 174,917 | |||
Beijing New Building Materials PLC, Class A | 11,900 | 48,820 | |||
Beijing Roborock Technology Company, Ltd., Class A | 815 | 32,852 | |||
Beijing Shiji Information Technology Company, Ltd., Class A (A) | 15,550 | 28,928 | |||
Beijing Tiantan Biological Products Corp., Ltd., Class A | 10,200 | 35,113 | |||
Beijing Tongrentang Company, Ltd., Class A | 9,400 | 72,506 | |||
Beijing United Information Technology Company, Ltd., Class A | 4,208 | 20,845 | |||
Beijing Wantai Biological Pharmacy Enterprise Company, Ltd., Class A | 5,869 | 40,287 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Beijing Yanjing Brewery Company, Ltd., Class A | 20,900 | $ | 29,731 | ||
Beijing-Shanghai High Speed Railway Company, Ltd., Class A | 217,600 | 152,396 | |||
Bethel Automotive Safety Systems Company, Ltd., Class A | 2,600 | 26,827 | |||
Betta Pharmaceuticals Company, Ltd., Class A | 3,400 | 23,054 | |||
BGI Genomics Company, Ltd., Class A | 2,700 | 19,877 | |||
Bilibili, Inc., Class Z (A) | 22,553 | 340,782 | |||
Bloomage Biotechnology Corp., Ltd., Class A | 3,171 | 40,330 | |||
BOC International China Company, Ltd., Class A | 23,500 | 38,369 | |||
BOE Technology Group Company, Ltd., Class A | 256,500 | 141,015 | |||
BTG Hotels Group Company, Ltd., Class A (A) | 8,400 | 20,052 | |||
BYD Company, Ltd., Class A | 12,500 | 427,988 | |||
BYD Company, Ltd., H Shares | 114,972 | 3,611,349 | |||
BYD Electronic International Company, Ltd. | 91,801 | 425,177 | |||
By-health Company, Ltd., Class A | 10,600 | 28,094 | |||
Caitong Securities Company, Ltd., Class A | 36,500 | 40,110 | |||
Cambricon Technologies Corp., Ltd., Class A (A) | 2,709 | 59,171 | |||
Canmax Technologies Company, Ltd., Class A | 5,160 | 19,107 | |||
CECEP Solar Energy Company, Ltd., Class A | 25,900 | 21,404 | |||
CECEP Wind-Power Corp., Class A | 40,500 | 18,659 | |||
CETC Cyberspace Security Technology Company, Ltd., Class A | 6,100 | 20,904 | |||
CGN Power Company, Ltd., H Shares (B) | 1,230,089 | 307,374 | |||
Changchun High & New Technology Industry Group, Inc., Class A | 2,700 | 51,009 | |||
Changjiang Securities Company, Ltd., Class A | 48,500 | 39,779 | |||
Changzhou Xingyu Automotive Lighting Systems Company, Ltd., Class A | 1,800 | 36,494 | |||
Chaozhou Three-Circle Group Company, Ltd., Class A | 13,300 | 58,533 | |||
Chengxin Lithium Group Company, Ltd., Class A | 6,000 | 18,807 | |||
Chifeng Jilong Gold Mining Company, Ltd., Class A (A) | 8,800 | 18,112 | |||
China Baoan Group Company, Ltd., Class A | 20,000 | 29,229 | |||
China Cinda Asset Management Company, Ltd., H Shares | 1,135,408 | 111,343 | |||
China CITIC Bank Corp., Ltd., H Shares | 1,057,061 | 470,465 | |||
China Coal Energy Company, Ltd., H Shares | 239,593 | 163,445 | |||
China Communications Services Corp., Ltd., H Shares | 292,874 | 131,855 | |||
China Conch Venture Holdings, Ltd. | 174,790 | 171,738 | |||
China Construction Bank Corp., Class A | 81,900 | 67,437 | |||
China Construction Bank Corp., H Shares | 11,232,124 | 6,009,758 | |||
China CSSC Holdings, Ltd., Class A | 31,600 | 123,050 | |||
China Eastern Airlines Corp., Ltd., Class A (A) | 63,800 | 38,021 | |||
China Energy Engineering Corp., Ltd., Class A | 228,100 | 71,651 |
The accompanying notes are an integral part of the financial statements. | 49 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
China Everbright Bank Company, Ltd., Class A | 352,000 | $ | 145,339 | ||
China Everbright Bank Company, Ltd., H Shares | 372,138 | 107,184 | |||
China Evergrande Group (A) | 667,935 | 23,422 | |||
China Feihe, Ltd. (B) | 427,868 | 257,243 | |||
China Galaxy Securities Company, Ltd., Class A | 31,500 | 49,892 | |||
China Galaxy Securities Company, Ltd., H Shares | 420,020 | 225,956 | |||
China Great Wall Securities Company, Ltd., Class A | 33,300 | 40,101 | |||
China Greatwall Technology Group Company, Ltd., Class A | 22,900 | 34,182 | |||
China Hongqiao Group, Ltd. | 277,832 | 276,561 | |||
China Huishan Dairy Holdings Company, Ltd. (A)(D) | 175,000 | 0 | |||
China International Capital Corp., Ltd., Class A | 13,200 | 70,645 | |||
China International Capital Corp., Ltd., H Shares (B) | 180,049 | 345,808 | |||
China Jushi Company, Ltd., Class A | 29,700 | 56,886 | |||
China Lesso Group Holdings, Ltd. | 125,986 | 69,287 | |||
China Life Insurance Company, Ltd., Class A | 19,700 | 96,437 | |||
China Life Insurance Company, Ltd., H Shares | 877,911 | 1,330,598 | |||
China Literature, Ltd. (A)(B) | 46,850 | 188,146 | |||
China Longyuan Power Group Corp., Ltd., H Shares | 388,016 | 307,152 | |||
China Meheco Company, Ltd., Class A | 12,060 | 20,730 | |||
China Meidong Auto Holdings, Ltd. | 78,817 | 59,361 | |||
China Mengniu Dairy Company, Ltd. (A) | 368,329 | 1,238,494 | |||
China Merchants Bank Company, Ltd., Class A | 145,900 | 632,661 | |||
China Merchants Bank Company, Ltd., H Shares | 453,887 | 1,797,311 | |||
China Merchants Energy Shipping Company, Ltd., Class A | 59,900 | 48,274 | |||
China Merchants Securities Company, Ltd., Class A | 56,700 | 110,634 | |||
China Merchants Shekou Industrial Zone Holdings Company, Ltd., Class A | 52,600 | 98,713 | |||
China Minsheng Banking Corp., Ltd., Class A | 259,900 | 134,698 | |||
China Minsheng Banking Corp., Ltd., H Shares | 723,767 | 232,463 | |||
China National Building Material Company, Ltd., H Shares | 459,361 | 233,477 | |||
China National Chemical Engineering Company, Ltd., Class A | 48,300 | 51,570 | |||
China National Medicines Corp., Ltd., Class A | 5,200 | 23,239 | |||
China National Nuclear Power Company, Ltd., Class A | 130,700 | 129,126 | |||
China National Software & Service Company, Ltd., Class A | 6,060 | 35,873 | |||
China Northern Rare Earth Group High-Tech Company, Ltd., Class A | 24,000 | 72,652 | |||
China Oilfield Services, Ltd., H Shares | 211,334 | 239,343 | |||
China Pacific Insurance Group Company, Ltd., Class A | 50,800 | 193,389 | |||
China Pacific Insurance Group Company, Ltd., H Shares | 310,763 | 710,731 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
China Petroleum & Chemical Corp., Class A | 213,600 | $ | 177,818 | ||
China Petroleum & Chemical Corp., H Shares | 2,903,946 | 1,697,956 | |||
China Railway Group, Ltd., Class A | 146,400 | 134,732 | |||
China Railway Group, Ltd., H Shares | 485,115 | 256,641 | |||
China Railway Signal & Communication Corp., Ltd., Class A | 52,733 | 40,607 | |||
China Rare Earth Resources and Technology Company, Ltd., Class A | 6,600 | 25,863 | |||
China Resources Microelectronics, Ltd., Class A | 8,873 | 71,244 | |||
China Resources Mixc Lifestyle Services, Ltd. (B) | 79,281 | 342,584 | |||
China Resources Pharmaceutical Group, Ltd. (B) | 180,750 | 120,659 | |||
China Resources Sanjiu Medical & Pharmaceutical Company, Ltd., Class A | 7,200 | 47,037 | |||
China Shenhua Energy Company, Ltd., Class A | 46,000 | 177,779 | |||
China Shenhua Energy Company, Ltd., H Shares | 394,502 | 1,148,204 | |||
China Southern Airlines Company, Ltd., Class A (A) | 77,200 | 67,038 | |||
China Southern Airlines Company, Ltd., H Shares (A) | 209,872 | 111,488 | |||
China State Construction Engineering Corp., Ltd., Class A | 303,600 | 234,405 | |||
China Three Gorges Renewables Group Company, Ltd., Class A | 196,800 | 132,846 | |||
China Tourism Group Duty Free Corp., Ltd., Class A | 13,600 | 203,543 | |||
China Tourism Group Duty Free Corp., Ltd., H Shares (B) | 9,236 | 124,031 | |||
China Tower Corp., Ltd., H Shares (B) | 5,176,852 | 500,871 | |||
China United Network Communications, Ltd., Class A | 229,200 | 164,068 | |||
China Vanke Company, Ltd., Class A | 70,900 | 132,726 | |||
China Vanke Company, Ltd., H Shares | 259,523 | 302,739 | |||
China Yangtze Power Company, Ltd., Class A | 164,900 | 499,266 | |||
China Zhenhua Group Science & Technology Company, Ltd., Class A | 3,700 | 46,517 | |||
China Zheshang Bank Company, Ltd., Class A | 192,500 | 67,921 | |||
Chinasoft International, Ltd. (A) | 315,998 | 209,441 | |||
Chongqing Brewery Company, Ltd., Class A | 3,200 | 40,114 | |||
Chongqing Changan Automobile Company, Ltd., Class A | 59,910 | 103,197 | |||
Chongqing Fuling Zhacai Group Company, Ltd., Class A | 9,540 | 20,825 | |||
Chongqing Rural Commercial Bank Company, Ltd., Class A | 76,200 | 39,318 | |||
Chongqing Zhifei Biological Products Company, Ltd., Class A | 16,650 | 100,807 | |||
CIFI Holdings Group Company, Ltd. (A)(D) | 7,348 | 534 | |||
CITIC Securities Company, Ltd., Class A | 89,400 | 272,724 | |||
CITIC Securities Company, Ltd., H Shares | 215,342 | 420,482 | |||
CITIC, Ltd. | 685,235 | 680,027 | |||
CMOC Group, Ltd., Class A | 116,800 | 91,700 | |||
CMOC Group, Ltd., H Shares | 438,272 | 261,458 |
The accompanying notes are an integral part of the financial statements. | 50 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
CNGR Advanced Material Company, Ltd., Class A | 3,400 | $ | 25,583 | ||
CNNC Hua Yuan Titanium Dioxide Company, Ltd., Class A | 29,355 | 20,839 | |||
Contemporary Amperex Technology Company, Ltd., Class A | 30,620 | 992,919 | |||
COSCO SHIPPING Development Company, Ltd., Class A | 63,900 | 20,874 | |||
COSCO SHIPPING Energy Transportation Company, Ltd., Class A | 23,600 | 42,794 | |||
COSCO SHIPPING Energy Transportation Company, Ltd., H Shares | 147,224 | 153,804 | |||
COSCO SHIPPING Holdings Company, Ltd., Class A | 89,400 | 120,219 | |||
COSCO SHIPPING Holdings Company, Ltd., H Shares | 374,991 | 384,548 | |||
Country Garden Holdings Company, Ltd. (A)(C) | 1,440,443 | 163,270 | |||
Country Garden Services Holdings Company, Ltd. (C) | 253,430 | 294,446 | |||
CRRC Corp., Ltd., Class A | 173,900 | 141,651 | |||
CRRC Corp., Ltd., H Shares | 515,773 | 253,952 | |||
CSC Financial Company, Ltd., Class A | 30,800 | 109,009 | |||
CSPC Pharmaceutical Group, Ltd. | 1,041,785 | 783,014 | |||
Daan Gene Company, Ltd., Class A | 11,200 | 14,416 | |||
Dajin Heavy Industry Company, Ltd., Class A | 4,000 | 13,534 | |||
Dali Foods Group Company, Ltd. (B) | 229,184 | 109,315 | |||
Daqin Railway Company, Ltd., Class A | 107,600 | 105,205 | |||
Daqo New Energy Corp., ADR (A) | 7,049 | 260,602 | |||
DaShenLin Pharmaceutical Group Company, Ltd., Class A | 6,804 | 24,870 | |||
Datang International Power Generation Company, Ltd., Class A | 48,300 | 18,440 | |||
DHC Software Company, Ltd., Class A | 24,800 | 22,848 | |||
Do-Fluoride New Materials Company, Ltd., Class A | 5,140 | 11,538 | |||
Dong-E-E-Jiao Company, Ltd., Class A | 5,100 | 36,312 | |||
Dongfang Electric Corp., Ltd., Class A | 18,400 | 42,330 | |||
Dongfeng Motor Group Company, Ltd., H Shares | 311,965 | 114,435 | |||
Dongxing Securities Company, Ltd., Class A | 29,400 | 33,445 | |||
Dongyue Group, Ltd. | 186,854 | 160,339 | |||
East Buy Holding, Ltd. (A)(B)(C) | 47,865 | 242,474 | |||
East Money Information Company, Ltd., Class A | 113,456 | 247,273 | |||
Ecovacs Robotics Company, Ltd., Class A | 3,500 | 25,477 | |||
ENN Energy Holdings, Ltd. | 91,977 | 721,616 | |||
ENN Natural Gas Company, Ltd., Class A | 16,800 | 40,174 | |||
Eve Energy Company, Ltd., Class A | 14,300 | 96,876 | |||
Everbright Securities Company, Ltd., Class A | 28,100 | 66,162 | |||
Fangda Carbon New Material Company, Ltd., Class A (A) | 19,700 | 15,754 | |||
FAW Jiefang Group Company, Ltd., Class A (A) | 14,600 | 17,184 | |||
First Capital Securities Company, Ltd., Class A | 37,600 | 31,024 | |||
Flat Glass Group Company, Ltd., Class A | 10,700 | 45,306 | |||
Flat Glass Group Company, Ltd., H Shares | 51,745 | 128,505 | |||
Focus Media Information Technology Company, Ltd., Class A | 102,200 | 107,764 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Foshan Haitian Flavouring & Food Company, Ltd., Class A | 32,244 | $ | 173,277 | ||
Fosun International, Ltd. | 285,435 | 178,421 | |||
Founder Securities Company, Ltd., Class A | 63,200 | 62,689 | |||
Foxconn Industrial Internet Company, Ltd., Class A | 68,800 | 206,464 | |||
Fujian Sunner Development Company, Ltd., Class A | 7,500 | 20,029 | |||
Fuyao Glass Industry Group Company, Ltd., Class A | 14,200 | 74,060 | |||
Fuyao Glass Industry Group Company, Ltd., H Shares (B) | 69,174 | 313,002 | |||
Galaxycore, Inc., Class A | 8,436 | 17,561 | |||
Ganfeng Lithium Group Company, Ltd., Class A | 10,960 | 71,314 | |||
Ganfeng Lithium Group Company, Ltd., H Shares (B) | 46,954 | 224,281 | |||
G-bits Network Technology Xiamen Company, Ltd., Class A | 500 | 28,632 | |||
GD Power Development Company, Ltd., Class A | 114,700 | 55,235 | |||
GDS Holdings, Ltd., Class A (A) | 108,178 | 160,614 | |||
GEM Company, Ltd., Class A | 30,000 | 25,761 | |||
Gemdale Corp., Class A | 34,600 | 34,229 | |||
Genscript Biotech Corp. (A) | 134,044 | 312,878 | |||
GF Securities Company, Ltd., Class A | 43,600 | 90,047 | |||
GF Securities Company, Ltd., H Shares | 122,345 | 174,570 | |||
Giant Network Group Company, Ltd., Class A | 15,700 | 31,430 | |||
GigaDevice Semiconductor, Inc., Class A | 4,500 | 57,962 | |||
Ginlong Technologies Company, Ltd., Class A | 2,400 | 24,704 | |||
GoerTek, Inc., Class A | 22,100 | 46,375 | |||
GoodWe Technologies Company, Ltd., Class A | 1,277 | 24,268 | |||
Gotion High-tech Company, Ltd., Class A (A) | 11,800 | 39,185 | |||
Great Wall Motor Company, Ltd., Class A | 15,500 | 55,584 | |||
Great Wall Motor Company, Ltd., H Shares (C) | 273,249 | 323,746 | |||
Gree Electric Appliances, Inc. of Zhuhai, Class A | 20,200 | 99,181 | |||
Greenland Holdings Corp., Ltd., Class A (A) | 88,900 | 35,760 | |||
Greentown China Holdings, Ltd. | 116,901 | 138,829 | |||
Greentown Service Group Company, Ltd. (C) | 158,388 | 73,847 | |||
GRG Banking Equipment Company, Ltd., Class A | 17,300 | 29,790 | |||
Guangdong Haid Group Company, Ltd., Class A | 10,800 | 71,434 | |||
Guangdong Hec Technology Holding Company, Ltd., Class A | 23,300 | 21,725 | |||
Guangdong Kinlong Hardware Products Company, Ltd., Class A | 2,400 | 18,774 | |||
Guanghui Energy Company, Ltd., Class A | 48,400 | 43,690 | |||
Guangzhou Automobile Group Company, Ltd., Class A | 34,000 | 47,046 | |||
Guangzhou Automobile Group Company, Ltd., H Shares | 352,155 | 185,440 | |||
Guangzhou Baiyun International Airport Company, Ltd., Class A (A) | 14,000 | 22,662 | |||
Guangzhou Baiyunshan Pharmaceutical Holdings Company, Ltd., Class A | 11,200 | 47,518 |
The accompanying notes are an integral part of the financial statements. | 51 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Guangzhou Great Power Energy & Technology Company, Ltd., Class A (A) | 2,500 | $ | 12,278 | ||
Guangzhou Haige Communications Group, Inc. Company, Class A | 17,300 | 25,118 | |||
Guangzhou Kingmed Diagnostics Group Company, Ltd., Class A | 3,300 | 27,070 | |||
Guangzhou Shiyuan Electronic Technology Company, Ltd., Class A | 4,300 | 31,417 | |||
Guangzhou Tinci Materials Technology Company, Ltd., Class A | 12,900 | 58,051 | |||
Guangzhou Yuexiu Capital Holdings Group Company, Ltd., Class A | 29,945 | 28,237 | |||
Guolian Securities Company, Ltd., Class A (A) | 19,100 | 28,463 | |||
Guosen Securities Company, Ltd., Class A | 48,600 | 61,887 | |||
Guotai Junan Securities Company, Ltd., Class A | 57,900 | 115,741 | |||
Guoyuan Securities Company, Ltd., Class A | 34,800 | 33,160 | |||
H World Group, Ltd., ADR (A) | 22,590 | 909,925 | |||
Haidilao International Holding, Ltd. (B) | 193,816 | 527,144 | |||
Haier Smart Home Company, Ltd., Class A | 43,500 | 140,248 | |||
Haier Smart Home Company, Ltd., H Shares | 282,786 | 875,868 | |||
Hainan Airlines Holding Company, Ltd., Class A (A) | 245,300 | 52,565 | |||
Hainan Airport Infrastructure Company, Ltd., Class A (A) | 69,900 | 38,455 | |||
Haitian International Holdings, Ltd. | 63,963 | 137,350 | |||
Haitong Securities Company, Ltd., Class A | 76,000 | 102,556 | |||
Haitong Securities Company, Ltd., H Shares | 327,971 | 203,500 | |||
Hangzhou Binjiang Real Estate Group Company, Ltd., Class A | 21,100 | 30,402 | |||
Hangzhou Chang Chuan Technology Company, Ltd., Class A | 4,300 | 22,032 | |||
Hangzhou First Applied Material Company, Ltd., Class A | 13,508 | 57,758 | |||
Hangzhou Lion Electronics Company, Ltd., Class A | 4,500 | 20,358 | |||
Hangzhou Oxygen Plant Group Company, Ltd., Class A | 6,500 | 27,262 | |||
Hangzhou Robam Appliances Company, Ltd., Class A | 6,200 | 23,381 | |||
Hangzhou Silan Microelectronics Company, Ltd., Class A | 9,500 | 32,999 | |||
Hangzhou Tigermed Consulting Company, Ltd., A Shares | 2,600 | 23,698 | |||
Hangzhou Tigermed Consulting Company, Ltd., H Shares (B) | 13,394 | 73,109 | |||
Hansoh Pharmaceutical Group Company, Ltd. (B) | 135,299 | 175,795 | |||
Haohua Chemical Science & Technology Company, Ltd., Class A | 4,400 | 20,284 | |||
Hebei Hengshui Laobaigan Liquor Company, Ltd., Class A | 6,600 | 21,334 | |||
Hebei Yangyuan Zhihui Beverage Company, Ltd., Class A | 7,900 | 26,598 | |||
Heilongjiang Agriculture Company, Ltd., Class A | 11,700 | 21,523 | |||
Henan Shenhuo Coal & Power Company, Ltd., Class A | 15,300 | 33,299 | |||
Henan Shuanghui Investment & Development Company, Ltd., Class A | 24,300 | 89,530 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Hengan International Group Company, Ltd. | 74,690 | $ | 277,052 | ||
Hengdian Group DMEGC Magnetics Company, Ltd., Class A | 12,400 | 27,890 | |||
Hengli Petrochemical Company, Ltd., Class A (A) | 49,400 | 97,336 | |||
Hengtong Optic-electric Company, Ltd., Class A | 19,500 | 37,811 | |||
Hengyi Petrochemical Company, Ltd., Class A (A) | 26,600 | 27,992 | |||
Hesteel Company, Ltd., Class A | 70,800 | 21,944 | |||
Hithink RoyalFlush Information Network Company, Ltd., Class A | 3,900 | 89,596 | |||
Hongfa Technology Company, Ltd., Class A | 2,920 | 14,074 | |||
Hoshine Silicon Industry Company, Ltd., Class A | 5,700 | 48,325 | |||
Hoymiles Power Electronics, Inc., Class A | 510 | 18,653 | |||
Hoyuan Green Energy Company, Ltd., Class A | 3,534 | 20,188 | |||
Hua Hong Semiconductor, Ltd. (A)(B) | 66,732 | 173,953 | |||
Huadian Power International Corp., Ltd., Class A | 55,200 | 38,524 | |||
Huadong Medicine Company, Ltd., Class A | 12,400 | 64,581 | |||
Huafon Chemical Company, Ltd., Class A | 35,500 | 34,060 | |||
Huagong Tech Company, Ltd., Class A | 6,400 | 27,518 | |||
Huaibei Mining Holdings Company, Ltd., Class A | 18,700 | 30,094 | |||
Hualan Biological Engineering, Inc., Class A | 12,000 | 34,948 | |||
Huaneng Power International, Inc., Class A (A) | 60,400 | 67,416 | |||
Huaneng Power International, Inc., H Shares (A) | 494,352 | 246,917 | |||
Huatai Securities Company, Ltd., Class A | 55,700 | 121,534 | |||
Huatai Securities Company, Ltd., H Shares (B) | 154,306 | 203,035 | |||
Huaxi Securities Company, Ltd., Class A | 20,200 | 23,613 | |||
Huaxia Bank Company, Ltd., Class A | 101,500 | 77,133 | |||
Huaxin Cement Company, Ltd., Class A | 7,300 | 13,204 | |||
Huayu Automotive Systems Company, Ltd., Class A | 24,300 | 62,630 | |||
Hubei Feilihua Quartz Glass Company, Ltd., Class A | 3,300 | 21,279 | |||
Hubei Jumpcan Pharmaceutical Company, Ltd., Class A | 6,300 | 22,649 | |||
Hubei Xingfa Chemicals Group Company, Ltd., Class A | 7,500 | 20,888 | |||
Huizhou Desay Sv Automotive Company, Ltd., Class A | 3,900 | 77,822 | |||
Humanwell Healthcare Group Company, Ltd., Class A | 12,300 | 39,448 | |||
Hunan Changyuan Lico Company, Ltd., Class A | 9,252 | 11,944 | |||
Hunan Valin Steel Company, Ltd., Class A | 47,200 | 38,313 | |||
Hundsun Technologies, Inc., Class A | 13,800 | 68,158 | |||
Hygeia Healthcare Holdings Company, Ltd. (B) | 40,602 | 205,496 | |||
Iflytek Company, Ltd., Class A | 16,500 | 123,949 | |||
Imeik Technology Development Company, Ltd., Class A | 1,500 | 90,268 | |||
Industrial & Commercial Bank of China, Ltd., Class A | 437,600 | 277,300 |
The accompanying notes are an integral part of the financial statements. | 52 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Industrial & Commercial Bank of China, Ltd., H Shares | 6,616,826 | $ | 3,033,665 | ||
Industrial Bank Company, Ltd., Class A | 149,100 | 323,527 | |||
Industrial Securities Company, Ltd., Class A | 67,300 | 59,236 | |||
Ingenic Semiconductor Company, Ltd., Class A | 3,400 | 34,407 | |||
Inner Mongolia BaoTou Steel Union Company, Ltd., Class A (A) | 307,600 | 75,552 | |||
Inner Mongolia Dian Tou Energy Corp., Ltd., Class A | 16,000 | 29,044 | |||
Inner Mongolia Junzheng Energy & Chemical Industry Group Company, Ltd., Class A | 66,400 | 38,076 | |||
Inner Mongolia Yili Industrial Group Company, Ltd., Class A | 45,600 | 162,764 | |||
Inner Mongolia Yitai Coal Company, Ltd., Class B (A) | 127,373 | 169,696 | |||
Inner Mongolia Yuan Xing Energy Company, Ltd., Class A | 26,000 | 25,168 | |||
Innovent Biologics, Inc. (A)(B) | 133,521 | 597,125 | |||
Inspur Electronic Information Industry Company, Ltd., Class A | 10,000 | 53,508 | |||
iQIYI, Inc., ADR (A) | 51,800 | 261,072 | |||
IRay Technology Company, Ltd., Class A | 607 | 20,463 | |||
Isoftstone Information Technology Group Company, Ltd., Class A | 6,950 | 19,656 | |||
JA Solar Technology Company, Ltd., Class A | 22,088 | 84,295 | |||
Jafron Biomedical Company, Ltd., Class A | 4,000 | 11,757 | |||
Jason Furniture Hangzhou Company, Ltd., Class A | 5,030 | 28,741 | |||
JCET Group Company, Ltd., Class A | 12,200 | 54,520 | |||
JD Health International, Inc. (A)(B) | 129,258 | 696,916 | |||
JD Logistics, Inc. (A)(B) | 227,694 | 303,510 | |||
JD.com, Inc., Class A | 272,953 | 4,533,232 | |||
Jiangsu Eastern Shenghong Company, Ltd., Class A | 43,300 | 68,245 | |||
Jiangsu Expressway Company, Ltd., H Shares | 142,837 | 128,991 | |||
Jiangsu Hengli Hydraulic Company, Ltd., Class A | 9,700 | 82,743 | |||
Jiangsu Hengrui Pharmaceuticals Company, Ltd., Class A | 44,300 | 254,245 | |||
Jiangsu King's Luck Brewery JSC, Ltd., Class A | 8,400 | 69,004 | |||
Jiangsu Pacific Quartz Company, Ltd., Class A | 2,200 | 28,799 | |||
Jiangsu Yanghe Brewery Joint-Stock Company, Ltd., Class A | 10,600 | 194,951 | |||
Jiangsu Yangnong Chemical Company, Ltd., Class A | 2,730 | 23,924 | |||
Jiangsu Yoke Technology Company, Ltd., Class A | 3,500 | 32,564 | |||
Jiangsu Yuyue Medical Equipment & Supply Company, Ltd., Class A | 7,900 | 36,671 | |||
Jiangsu Zhongtian Technology Company, Ltd., Class A | 22,900 | 45,770 | |||
Jiangxi Copper Company, Ltd., Class A | 13,100 | 33,848 | |||
Jiangxi Copper Company, Ltd., H Shares | 128,515 | 200,163 | |||
Jiangxi Special Electric Motor Company, Ltd., Class A (A) | 9,900 | 12,318 | |||
Jinduicheng Molybdenum Company, Ltd., Class A | 21,700 | 32,293 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Jinko Solar Company, Ltd., Class A | 44,668 | $ | 66,082 | ||
JiuGui Liquor Company, Ltd., Class A | 2,200 | 27,027 | |||
Jiumaojiu International Holdings, Ltd. (B) | 109,448 | 175,543 | |||
Jizhong Energy Resources Company, Ltd., Class A | 26,600 | 22,236 | |||
Joincare Pharmaceutical Group Industry Company, Ltd., Class A | 15,700 | 24,578 | |||
Joinn Laboratories China Company, Ltd., Class A | 3,976 | 13,102 | |||
Jointown Pharmaceutical Group Company, Ltd., Class A | 21,969 | 31,116 | |||
Jonjee Hi-Tech Industrial And Commercial Holding Company, Ltd., Class A (A) | 4,800 | 22,234 | |||
Juewei Food Company, Ltd., Class A | 4,500 | 22,021 | |||
Juneyao Airlines Company, Ltd., Class A (A) | 15,000 | 32,636 | |||
Kanzhun, Ltd., ADR (A) | 21,056 | 311,629 | |||
KE Holdings, Inc., ADR (A) | 76,554 | 1,316,729 | |||
Keda Industrial Group Company, Ltd., Class A | 15,600 | 21,535 | |||
Kingdee International Software Group Company, Ltd. (A) | 321,412 | 496,618 | |||
Kingsoft Corp., Ltd. | 110,796 | 441,626 | |||
Kuaishou Technology (A)(B) | 269,471 | 2,205,869 | |||
Kuang-Chi Technologies Company, Ltd., Class A | 16,700 | 34,160 | |||
Kunlun Tech Company, Ltd., Class A (A) | 8,700 | 43,069 | |||
Kweichow Moutai Company, Ltd., Class A | 8,800 | 2,233,147 | |||
LB Group Company, Ltd., Class A | 16,500 | 41,025 | |||
Lenovo Group, Ltd. | 844,690 | 954,776 | |||
Lens Technology Company, Ltd., Class A | 35,700 | 60,188 | |||
Lepu Medical Technology Beijing Company, Ltd., Class A | 13,800 | 30,650 | |||
Li Auto, Inc., Class A (A) | 130,798 | 2,723,195 | |||
Li Ning Company, Ltd. | 276,102 | 1,304,943 | |||
Liaoning Port Company, Ltd., Class A | 128,000 | 27,736 | |||
Lingyi iTech Guangdong Company, Class A | 43,100 | 35,501 | |||
Livzon Pharmaceutical Group, Inc., Class A | 5,300 | 25,037 | |||
Longfor Group Holdings, Ltd. (B) | 222,827 | 470,299 | |||
LONGi Green Energy Technology Company, Ltd., Class A | 53,440 | 194,979 | |||
Lufax Holding, Ltd., ADR | 78,552 | 95,048 | |||
Luxi Chemical Group Company, Ltd., Class A | 17,200 | 23,973 | |||
Luxshare Precision Industry Company, Ltd., Class A | 49,900 | 225,680 | |||
Luzhou Laojiao Company, Ltd., Class A | 10,200 | 325,184 | |||
Mango Excellent Media Company, Ltd., Class A | 13,700 | 55,547 | |||
Maxscend Microelectronics Company, Ltd., Class A | 3,600 | 61,216 | |||
Meihua Holdings Group Company, Ltd., Class A | 19,500 | 24,422 | |||
Meinian Onehealth Healthcare Holdings Company, Ltd., Class A (A) | 23,400 | 21,827 | |||
Meituan, Class B (A)(B) | 589,446 | 9,754,833 | |||
Metallurgical Corp. of China, Ltd., Class A | 130,600 | 65,201 | |||
Microport Scientific Corp. (A) | 93,153 | 159,516 | |||
Ming Yang Smart Energy Group, Ltd., Class A | 15,600 | 31,933 | |||
MINISO Group Holding, Ltd., ADR | 11,048 | 286,143 | |||
Minth Group, Ltd. | 87,559 | 259,923 |
The accompanying notes are an integral part of the financial statements. | 53 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Montage Technology Company, Ltd., Class A | 7,545 | $ | 53,034 | ||
Muyuan Foods Company, Ltd., Class A | 38,600 | 214,715 | |||
Nanjing King-Friend Biochemical Pharmaceutical Company, Ltd., Class A | 11,760 | 19,096 | |||
Nanjing Securities Company, Ltd., Class A | 25,900 | 29,322 | |||
NARI Technology Company, Ltd., Class A | 56,448 | 184,247 | |||
National Silicon Industry Group Company, Ltd., Class A (A) | 16,926 | 47,235 | |||
NAURA Technology Group Company, Ltd., Class A | 3,700 | 137,683 | |||
NavInfo Company, Ltd., Class A (A) | 13,100 | 18,519 | |||
NetEase, Inc. | 229,496 | 4,754,575 | |||
New China Life Insurance Company, Ltd., Class A | 16,400 | 91,205 | |||
New China Life Insurance Company, Ltd., H Shares | 96,717 | 241,958 | |||
New Hope Liuhe Company, Ltd., Class A (A) | 29,100 | 46,561 | |||
New Oriental Education & Technology Group, Inc. (A) | 177,858 | 964,926 | |||
Ninestar Corp., Class A | 9,200 | 35,306 | |||
Ningbo Deye Technology Company, Ltd., Class A | 3,080 | 38,953 | |||
Ningbo Joyson Electronic Corp., Class A | 8,900 | 22,391 | |||
Ningbo Orient Wires & Cables Company, Ltd., Class A | 5,200 | 26,381 | |||
Ningbo Ronbay New Energy Technology Company, Ltd., Class A | 2,785 | 19,468 | |||
Ningbo Shanshan Company, Ltd., Class A | 15,200 | 28,376 | |||
Ningbo Tuopu Group Company, Ltd., Class A | 7,700 | 82,389 | |||
Ningxia Baofeng Energy Group Company, Ltd., Class A | 50,400 | 94,841 | |||
NIO, Inc., ADR (A)(C) | 159,172 | 1,634,696 | |||
Nongfu Spring Company, Ltd., H Shares (B) | 204,606 | 1,149,151 | |||
North Industries Group Red Arrow Company, Ltd., Class A | 11,200 | 23,436 | |||
Offcn Education Technology Company, Ltd., Class A (A) | 44,300 | 25,928 | |||
Offshore Oil Engineering Company, Ltd., Class A | 25,100 | 20,077 | |||
Oppein Home Group, Inc., Class A | 3,800 | 51,056 | |||
Orient Securities Company, Ltd., Class A | 58,900 | 80,622 | |||
Ovctek China, Inc., Class A | 5,600 | 20,255 | |||
Pangang Group Vanadium Titanium & Resources Company, Ltd., Class A (A) | 66,300 | 34,111 | |||
Perfect World Company, Ltd., Class A | 15,800 | 29,933 | |||
PetroChina Company, Ltd., Class A | 147,500 | 156,950 | |||
PetroChina Company, Ltd., H Shares | 2,466,130 | 1,778,983 | |||
Pharmaron Beijing Company, Ltd., Class A | 11,625 | 47,439 | |||
Pharmaron Beijing Company, Ltd., H Shares (B) | 34,809 | 81,164 | |||
PICC Property & Casualty Company, Ltd., H Shares | 811,292 | 932,952 | |||
Ping An Bank Company, Ltd., Class A | 138,000 | 210,684 | |||
Ping An Healthcare and Technology Company, Ltd. (A)(B) | 64,516 | 161,038 | |||
Ping An Insurance Group Company of China, Ltd., Class A | 76,700 | 514,079 | |||
Ping An Insurance Group Company of China, Ltd., H Shares | 739,162 | 4,425,473 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Pingdingshan Tianan Coal Mining Company, Ltd., Class A | 12,700 | $ | 14,865 | ||
Poly Developments and Holdings Group Company, Ltd., Class A | 83,800 | 161,089 | |||
Pop Mart International Group, Ltd. (B) | 54,207 | 176,313 | |||
Porton Pharma Solutions, Ltd., Class A | 3,800 | 12,834 | |||
Postal Savings Bank of China Company, Ltd., Class A | 210,200 | 140,182 | |||
Postal Savings Bank of China Company, Ltd., H Shares (B) | 937,504 | 462,406 | |||
Power Construction Corp. of China, Ltd., Class A | 123,200 | 87,040 | |||
Pylon Technologies Company, Ltd., Class A | 1,344 | 25,493 | |||
Qi An Xin Technology Group, Inc., Class A (A) | 3,703 | 27,216 | |||
Qifu Technology, Inc., ADR | 12,939 | 219,963 | |||
Qinghai Salt Lake Industry Company, Ltd., Class A (A) | 36,100 | 88,576 | |||
Raytron Technology Company, Ltd., Class A | 3,030 | 21,288 | |||
Risen Energy Company, Ltd., Class A | 8,200 | 22,586 | |||
Riyue Heavy Industry Company, Ltd., Class A | 6,100 | 13,525 | |||
Rockchip Electronics Company, Ltd., Class A | 2,100 | 18,871 | |||
Rongsheng Petrochemical Company, Ltd., Class A | 69,800 | 115,396 | |||
SAIC Motor Corp., Ltd., Class A | 57,700 | 113,785 | |||
Sailun Group Company, Ltd., Class A | 22,200 | 37,639 | |||
Sanan Optoelectronics Company, Ltd., Class A | 35,000 | 75,350 | |||
Sangfor Technologies, Inc., Class A (A) | 2,700 | 40,444 | |||
Sany Heavy Equipment International Holdings Company, Ltd. | 127,354 | 198,441 | |||
Sany Heavy Industry Company, Ltd., Class A | 61,300 | 130,381 | |||
Satellite Chemical Company, Ltd., Class A | 25,143 | 52,731 | |||
SDIC Capital Company, Ltd., Class A | 54,000 | 54,300 | |||
SDIC Power Holdings Company, Ltd., Class A | 49,800 | 86,837 | |||
Seazen Holdings Company, Ltd., Class A (A) | 18,300 | 36,544 | |||
Seres Group Company, Ltd., Class A (A) | 9,900 | 49,028 | |||
SF Holding Company, Ltd., Class A | 34,200 | 203,897 | |||
SG Micro Corp., Class A | 3,170 | 33,638 | |||
Shaanxi Coal Industry Company, Ltd., Class A | 68,800 | 157,026 | |||
Shan Xi Hua Yang Group New Energy Company, Ltd., Class A | 28,350 | 29,396 | |||
Shandong Buchang Pharmaceuticals Company, Ltd., Class A | 7,800 | 18,737 | |||
Shandong Gold Mining Company, Ltd., Class A | 23,600 | 84,335 | |||
Shandong Gold Mining Company, Ltd., H Shares (B) | 80,787 | 162,681 | |||
Shandong Hualu Hengsheng Chemical Company, Ltd., Class A | 15,200 | 68,975 | |||
Shandong Linglong Tyre Company, Ltd., Class A | 9,000 | 26,869 | |||
Shandong Nanshan Aluminum Company, Ltd., Class A | 87,000 | 37,209 | |||
Shandong Sun Paper Industry JSC, Ltd., Class A | 17,300 | 27,196 |
The accompanying notes are an integral part of the financial statements. | 54 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Shandong Weigao Group Medical Polymer Company, Ltd., H Shares | 287,895 | $ | 286,653 | ||
Shanghai Aiko Solar Energy Company, Ltd., Class A | 11,140 | 33,926 | |||
Shanghai Bairun Investment Holding Group Company, Ltd., Class A | 7,820 | 34,395 | |||
Shanghai Baosight Software Company, Ltd., Class A | 11,760 | 77,410 | |||
Shanghai Baosight Software Company, Ltd., Class B | 68,868 | 156,444 | |||
Shanghai Construction Group Company, Ltd., Class A | 56,500 | 21,710 | |||
Shanghai Electric Group Company, Ltd., Class A (A) | 86,000 | 52,683 | |||
Shanghai Electric Power Company, Ltd., Class A | 20,500 | 25,746 | |||
Shanghai Fosun Pharmaceutical Group Company, Ltd., Class A | 15,500 | 59,342 | |||
Shanghai Fosun Pharmaceutical Group Company, Ltd., H Shares | 58,288 | 136,844 | |||
Shanghai Friendess Electronic Technology Corp., Ltd., Class A | 893 | 32,275 | |||
Shanghai Fudan Microelectronics Group Company, Ltd., Class A | 3,186 | 23,081 | |||
Shanghai Fudan Microelectronics Group Company, Ltd., H Shares (C) | 33,245 | 79,576 | |||
Shanghai International Airport Company, Ltd., Class A (A) | 8,700 | 46,877 | |||
Shanghai International Port Group Company, Ltd., Class A | 51,000 | 35,704 | |||
Shanghai Jinjiang International Hotels Company, Ltd., Class A | 7,100 | 37,621 | |||
Shanghai Junshi Biosciences Company, Ltd., Class A (A) | 5,110 | 26,716 | |||
Shanghai Lingang Holdings Corp., Ltd., Class A | 10,800 | 17,601 | |||
Shanghai Lujiazui Finance & Trade Zone Development Company, Ltd., B Shares | 118,380 | 48,604 | |||
Shanghai M&G Stationery, Inc., Class A | 5,500 | 28,411 | |||
Shanghai Pharmaceuticals Holding Company, Ltd., Class A | 19,500 | 47,797 | |||
Shanghai Pharmaceuticals Holding Company, Ltd., H Shares | 86,496 | 142,211 | |||
Shanghai Pudong Development Bank Company, Ltd., Class A | 214,700 | 205,725 | |||
Shanghai Putailai New Energy Technology Company, Ltd., Class A | 14,110 | 63,345 | |||
Shanghai RAAS Blood Products Company, Ltd., Class A | 44,000 | 42,953 | |||
Shanghai Rural Commercial Bank Company, Ltd., Class A | 69,400 | 55,424 | |||
Shanghai Yuyuan Tourist Mart Group Company, Ltd., Class A | 30,800 | 31,082 | |||
Shanxi Coal International Energy Group Company, Ltd., Class A | 14,600 | 33,594 | |||
Shanxi Coking Coal Energy Group Company, Ltd., Class A | 37,700 | 43,047 | |||
Shanxi Lu'an Environmental Energy Development Company, Ltd., Class A | 19,500 | 43,543 | |||
Shanxi Meijin Energy Company, Ltd., Class A (A) | 25,800 | 25,344 | |||
Shanxi Securities Company, Ltd., Class A | 29,400 | 24,423 | |||
Shanxi Taigang Stainless Steel Company, Ltd., Class A | 34,800 | 18,811 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Shanxi Xinghuacun Fen Wine Factory Company, Ltd., Class A | 8,500 | $ | 282,370 | ||
Shede Spirits Company, Ltd., Class A | 2,400 | 44,418 | |||
Shenergy Company, Ltd., Class A | 29,400 | 26,298 | |||
Shenghe Resources Holding Company, Ltd., Class A | 11,500 | 17,435 | |||
Shengyi Technology Company, Ltd., Class A | 17,100 | 34,749 | |||
Shennan Circuits Company, Ltd., Class A | 3,400 | 30,858 | |||
Shenwan Hongyuan Group Company, Ltd., Class A | 171,500 | 102,575 | |||
Shenzhen Capchem Technology Company, Ltd., Class A | 5,240 | 34,507 | |||
Shenzhen Dynanonic Company, Ltd., Class A | 1,740 | 22,414 | |||
Shenzhen Energy Group Company, Ltd., Class A | 29,200 | 25,951 | |||
Shenzhen Inovance Technology Company, Ltd., Class A | 9,300 | 87,170 | |||
Shenzhen Kaifa Technology Company, Ltd., Class A | 9,900 | 24,207 | |||
Shenzhen Kangtai Biological Products Company, Ltd., Class A | 7,220 | 27,569 | |||
Shenzhen Kedali Industry Company, Ltd., Class A | 1,600 | 25,507 | |||
Shenzhen Kstar Science And Technology Company, Ltd., Class A | 3,300 | 13,717 | |||
Shenzhen Mindray Bio-Medical Electronics Company, Ltd., Class A | 8,400 | 311,420 | |||
Shenzhen New Industries Biomedical Engineering Company, Ltd., Class A | 5,500 | 45,880 | |||
Shenzhen Overseas Chinese Town Company, Ltd., Class A (A) | 53,700 | 32,099 | |||
Shenzhen Salubris Pharmaceuticals Company, Ltd., Class A | 7,200 | 27,295 | |||
Shenzhen SC New Energy Technology Corp., Class A | 2,300 | 27,951 | |||
Shenzhen Sed Industry Company, Ltd., Class A | 7,100 | 26,699 | |||
Shenzhen Senior Technology Material Company, Ltd., Class A | 10,485 | 20,206 | |||
Shenzhen Sunlord Electronics Company, Ltd., Class A | 5,700 | 20,933 | |||
Shenzhen Transsion Holdings Company, Ltd., Class A | 5,404 | 108,890 | |||
Shenzhen YUTO Packaging Technology Company, Ltd., Class A | 5,700 | 18,866 | |||
Shenzhou International Group Holdings, Ltd. | 96,791 | 991,756 | |||
Shijiazhuang Yiling Pharmaceutical Company, Ltd., Class A | 11,500 | 36,710 | |||
Shuangliang Eco-Energy Systems Company, Ltd., Class A | 13,800 | 19,285 | |||
Sichuan Chuantou Energy Company, Ltd., Class A | 30,300 | 62,174 | |||
Sichuan Hebang Biotechnology Company, Ltd., Class A | 71,500 | 23,445 | |||
Sichuan Kelun Pharmaceutical Company, Ltd., Class A | 10,300 | 38,293 | |||
Sichuan New Energy Power Company, Ltd., Class A (A) | 10,400 | 17,998 | |||
Sichuan Road and Bridge Group Company, Ltd., Class A | 50,600 | 61,766 | |||
Sichuan Swellfun Company, Ltd., Class A | 3,000 | 27,268 |
The accompanying notes are an integral part of the financial statements. | 55 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Sichuan Yahua Industrial Group Company, Ltd., Class A | 9,000 | $ | 19,343 | ||
Sieyuan Electric Company, Ltd., Class A | 5,400 | 37,892 | |||
Silergy Corp. | 42,000 | 375,478 | |||
Sinolink Securities Company, Ltd., Class A | 32,000 | 41,277 | |||
Sinoma International Engineering Company, Class A | 20,800 | 33,548 | |||
Sinoma Science & Technology Company, Ltd., Class A | 12,900 | 38,794 | |||
Sinomine Resource Group Company, Ltd., Class A | 4,980 | 25,414 | |||
Sinopec Shanghai Petrochemical Company, Ltd., Class A (A) | 33,500 | 13,916 | |||
Sinopharm Group Company, Ltd., H Shares | 157,353 | 456,626 | |||
Skshu Paint Company, Ltd., Class A (A) | 3,300 | 34,163 | |||
Smoore International Holdings, Ltd. (B)(C) | 213,334 | 215,526 | |||
Songcheng Performance Development Company, Ltd., Class A | 18,100 | 30,825 | |||
SooChow Securities Company, Ltd., Class A | 40,100 | 45,027 | |||
Southwest Securities Company, Ltd., Class A | 51,300 | 29,716 | |||
Spring Airlines Company, Ltd., Class A (A) | 7,000 | 56,343 | |||
StarPower Semiconductor, Ltd., Class A | 1,000 | 27,172 | |||
Sungrow Power Supply Company, Ltd., Class A | 10,400 | 142,320 | |||
Sunny Optical Technology Group Company, Ltd. | 82,664 | 674,967 | |||
Sunresin New Materials Company, Ltd., Class A | 3,400 | 28,350 | |||
Sunwoda Electronic Company, Ltd., Class A | 14,200 | 30,845 | |||
Suzhou Dongshan Precision Manufacturing Company, Ltd., Class A | 11,000 | 28,340 | |||
Suzhou Maxwell Technologies Company, Ltd., Class A | 1,884 | 39,413 | |||
TAL Education Group, ADR (A) | 52,630 | 371,042 | |||
Tangshan Jidong Cement Company, Ltd., Class A | 14,700 | 15,287 | |||
TBEA Company, Ltd., Class A | 35,710 | 72,022 | |||
TCL Technology Group Corp., Class A (A) | 132,770 | 74,610 | |||
TCL Zhonghuan Renewable Energy Technology Company, Ltd., Class A | 28,400 | 99,758 | |||
Tencent Holdings, Ltd. | 724,995 | 30,044,059 | |||
Tencent Music Entertainment Group, ADR (A) | 83,241 | 567,704 | |||
The People's Insurance Company Group of China, Ltd., Class A | 73,100 | 58,639 | |||
The People's Insurance Company Group of China, Ltd., H Shares | 1,054,879 | 359,063 | |||
Thunder Software Technology Company, Ltd., Class A | 3,200 | 35,040 | |||
Tianjin 712 Communication & Broadcasting Company, Ltd., Class A | 5,400 | 19,720 | |||
Tianma Microelectronics Company, Ltd., Class A (A) | 12,200 | 14,388 | |||
Tianqi Lithium Corp., Class A | 10,400 | 82,052 | |||
Tianshan Aluminum Group Company, Ltd., Class A | 30,600 | 26,462 | |||
Tianshui Huatian Technology Company, Ltd., Class A | 21,600 | 26,613 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Tibet Summit Resources Company, Ltd., Class A (A) | 5,300 | $ | 10,528 | ||
Tingyi Cayman Islands Holding Corp. | 227,102 | 333,454 | |||
Titan Wind Energy Suzhou Company, Ltd., Class A (A) | 12,000 | 21,379 | |||
Toly Bread Company, Ltd., Class A | 9,808 | 11,744 | |||
Tongcheng Travel Holdings, Ltd. (A) | 143,112 | 320,722 | |||
TongFu Microelectronics Company, Ltd., Class A | 10,800 | 30,180 | |||
Tongkun Group Company, Ltd., Class A (A) | 18,600 | 37,825 | |||
Tongling Nonferrous Metals Group Company, Ltd., Class A | 61,500 | 26,993 | |||
Tongwei Company, Ltd., Class A | 30,400 | 133,744 | |||
Topchoice Medical Corp., Class A (A) | 2,000 | 25,573 | |||
Topsports International Holdings, Ltd. (B) | 213,128 | 173,566 | |||
TravelSky Technology, Ltd., H Shares | 109,173 | 195,467 | |||
Trina Solar Company, Ltd., Class A | 15,247 | 71,189 | |||
Trip.com Group, Ltd. (A) | 63,949 | 2,518,693 | |||
Tsingtao Brewery Company, Ltd., Class A | 5,400 | 67,407 | |||
Tsingtao Brewery Company, Ltd., H Shares | 72,597 | 603,691 | |||
Unigroup Guoxin Microelectronics Company, Ltd., Class A (A) | 6,179 | 78,509 | |||
Uni-President China Holdings, Ltd. | 150,163 | 111,043 | |||
Unisplendour Corp., Ltd., Class A (A) | 20,600 | 76,076 | |||
Universal Scientific Industrial Shanghai Company, Ltd., Class A | 9,500 | 19,229 | |||
Verisilicon Microelectronics Shanghai Company, Ltd., Class A (A) | 3,009 | 27,583 | |||
Vipshop Holdings, Ltd., ADR (A) | 41,473 | 654,859 | |||
Walvax Biotechnology Company, Ltd., Class A | 11,700 | 37,907 | |||
Wanda Film Holding Company, Ltd., Class A (A) | 15,300 | 28,257 | |||
Wanhua Chemical Group Company, Ltd., Class A | 22,100 | 284,309 | |||
Weibo Corp., ADR | 8,266 | 106,631 | |||
Weichai Power Company, Ltd., Class A | 51,200 | 82,736 | |||
Weichai Power Company, Ltd., H Shares | 227,633 | 294,881 | |||
Weihai Guangwei Composites Company, Ltd., Class A | 5,700 | 21,873 | |||
Wens Foodstuffs Group Company, Ltd., Class A | 45,600 | 104,155 | |||
Western Mining Company, Ltd., Class A | 19,300 | 33,736 | |||
Western Securities Company, Ltd., Class A | 34,900 | 32,316 | |||
Western Superconducting Technologies Company, Ltd., Class A | 4,351 | 28,329 | |||
Will Semiconductor Company, Ltd., Class A | 8,345 | 105,425 | |||
Wingtech Technology Company, Ltd., Class A (A) | 8,200 | 51,881 | |||
Wintime Energy Group Company, Ltd., Class A (A) | 137,000 | 27,445 | |||
Wuchan Zhongda Group Company, Ltd., Class A | 42,900 | 27,370 | |||
Wuhan Guide Infrared Company, Ltd., Class A | 23,278 | 24,597 | |||
Wuliangye Yibin Company, Ltd., Class A | 27,300 | 583,859 | |||
WUS Printed Circuit Kunshan Company, Ltd., Class A | 12,400 | 35,881 | |||
WuXi AppTec Company, Ltd., Class A | 18,100 | 202,835 | |||
WuXi AppTec Company, Ltd., H Shares (B) | 41,894 | 459,085 |
The accompanying notes are an integral part of the financial statements. | 56 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Wuxi Autowell Technology Company, Ltd., Class A | 827 | $ | 19,113 | ||
WuXi Biologics Cayman, Inc. (A)(B) | 443,620 | 2,500,954 | |||
XCMG Construction Machinery Company, Ltd., Class A | 86,400 | 71,737 | |||
Xiamen C & D, Inc., Class A | 19,900 | 29,683 | |||
Xiamen Faratronic Company, Ltd., Class A | 1,600 | 24,926 | |||
Xiamen Tungsten Company, Ltd., Class A | 8,600 | 20,465 | |||
Xiaomi Corp., Class B (A)(B) | 1,784,434 | 2,813,015 | |||
Xinjiang Daqo New Energy Company, Ltd., Class A | 11,456 | 65,247 | |||
Xinjiang Goldwind Science & Technology Company, Ltd., Class A | 25,200 | 32,821 | |||
Xinjiang Zhongtai Chemical Company, Ltd., Class A | 14,100 | 12,998 | |||
Xinyi Solar Holdings, Ltd. | 567,086 | 473,175 | |||
XPeng, Inc., A Shares (A) | 120,276 | 1,080,977 | |||
Xtep International Holdings, Ltd. | 165,363 | 163,582 | |||
Yadea Group Holdings, Ltd. (B) | 140,485 | 270,104 | |||
Yangzhou Yangjie Electronic Technology Company, Ltd., Class A | 4,100 | 20,068 | |||
Yankuang Energy Group Company, Ltd., Class A | 28,200 | 66,520 | |||
Yankuang Energy Group Company, Ltd., H Shares | 265,065 | 416,122 | |||
Yantai Jereh Oilfield Services Group Company, Ltd., Class A | 7,800 | 30,579 | |||
Yealink Network Technology Corp., Ltd., Class A | 8,880 | 45,085 | |||
Yifeng Pharmacy Chain Company, Ltd., Class A | 6,340 | 30,942 | |||
Yihai International Holding, Ltd. (A) | 59,699 | 111,878 | |||
Yihai Kerry Arawana Holdings Company, Ltd., Class A | 10,300 | 50,380 | |||
Yintai Gold Company, Ltd., Class A | 19,800 | 38,888 | |||
Yonghui Superstores Company, Ltd., Class A (A) | 48,100 | 21,249 | |||
YongXing Special Materials Technology Company, Ltd., Class A | 4,050 | 27,648 | |||
Yonyou Network Technology Company, Ltd., Class A | 22,500 | 56,037 | |||
Youngor Group Company, Ltd., Class A | 37,300 | 35,570 | |||
Youngy Company, Ltd., Class A | 1,700 | 11,973 | |||
YTO Express Group Company, Ltd., Class A | 24,400 | 50,576 | |||
Yuan Longping High-tech Agriculture Company, Ltd., Class A (A) | 9,500 | 19,609 | |||
Yum China Holdings, Inc. (New York Stock Exchange) | 48,848 | 2,622,649 | |||
Yunda Holding Company, Ltd., Class A | 20,100 | 27,137 | |||
Yunnan Aluminium Company, Ltd., Class A | 25,200 | 49,743 | |||
Yunnan Baiyao Group Company, Ltd., Class A | 13,240 | 99,270 | |||
Yunnan Botanee Bio-Technology Group Company, Ltd., Class A | 2,600 | 36,310 | |||
Yunnan Energy New Material Company, Ltd., Class A | 6,900 | 62,881 | |||
Yunnan Tin Company, Ltd., Class A | 10,000 | 19,138 | |||
Yunnan Yuntianhua Company, Ltd., Class A | 12,500 | 29,570 | |||
Zai Lab, Ltd. (A) | 107,875 | 280,918 | |||
Zangge Mining Company, Ltd., Class A | 10,700 | 32,973 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Zhangzhou Pientzehuang Pharmaceutical Company, Ltd., Class A | 4,200 | $ | 159,338 | ||
Zhaojin Mining Industry Company, Ltd., H Shares | 147,743 | 206,810 | |||
Zhefu Holding Group Company, Ltd., Class A | 25,800 | 13,974 | |||
Zhejiang Century Huatong Group Company, Ltd., Class A (A) | 48,100 | 35,680 | |||
Zhejiang China Commodities City Group Company, Ltd., Class A | 39,900 | 44,892 | |||
Zhejiang Chint Electrics Company, Ltd., Class A | 14,800 | 50,288 | |||
Zhejiang Dahua Technology Company, Ltd., Class A | 22,000 | 65,157 | |||
Zhejiang Dingli Machinery Company, Ltd., Class A | 3,600 | 26,248 | |||
Zhejiang Expressway Company, Ltd., H Shares | 150,255 | 112,200 | |||
Zhejiang Huahai Pharmaceutical Company, Ltd., Class A | 11,500 | 26,464 | |||
Zhejiang Huayou Cobalt Company, Ltd., Class A | 11,410 | 62,526 | |||
Zhejiang Jingsheng Mechanical & Electrical Company, Ltd., Class A | 9,100 | 70,326 | |||
Zhejiang Jiuzhou Pharmaceutical Company, Ltd., Class A | 5,700 | 21,272 | |||
Zhejiang Juhua Company, Ltd., Class A | 20,200 | 45,379 | |||
Zhejiang Longsheng Group Company, Ltd., Class A | 23,800 | 30,075 | |||
Zhejiang NHU Company, Ltd., Class A | 23,380 | 52,222 | |||
Zhejiang Sanhua Intelligent Controls Company, Ltd., Class A | 11,800 | 48,057 | |||
Zhejiang Supcon Technology Company, Ltd., Class A | 4,711 | 32,564 | |||
Zhejiang Supor Company, Ltd., Class A | 2,800 | 18,283 | |||
Zhejiang Weiming Environment Protection Company, Ltd., Class A | 11,080 | 27,204 | |||
Zhejiang Weixing New Building Materials Company, Ltd., Class A | 9,600 | 26,607 | |||
Zhejiang Wolwo Bio-Pharmaceutical Company, Ltd., Class A | 2,600 | 11,400 | |||
Zhejiang Zheneng Electric Power Company, Ltd., Class A (A) | 75,600 | 45,675 | |||
Zheshang Securities Company, Ltd., Class A | 33,400 | 47,157 | |||
ZhongAn Online P&C Insurance Company, Ltd., H Shares (A)(B) | 80,904 | 239,966 | |||
Zhongji Innolight Company, Ltd., Class A | 5,800 | 91,190 | |||
Zhongjin Gold Corp., Ltd., Class A | 31,900 | 48,316 | |||
Zhongsheng Group Holdings, Ltd. | 83,554 | 254,575 | |||
Zhongtai Securities Company, Ltd., Class A | 47,800 | 47,945 | |||
Zhuzhou CRRC Times Electric Company, Ltd., Class A | 5,190 | 31,114 | |||
Zhuzhou CRRC Times Electric Company, Ltd., H Shares | 60,592 | 211,171 | |||
Zhuzhou Kibing Group Company, Ltd., Class A | 19,500 | 23,333 | |||
Zibo Qixiang Tengda Chemical Company, Ltd., Class A | 13,800 | 11,592 | |||
Zijin Mining Group Company, Ltd., Class A | 145,500 | 245,077 | |||
Zijin Mining Group Company, Ltd., H Shares | 634,396 | 993,690 |
The accompanying notes are an integral part of the financial statements. | 57 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Zoomlion Heavy Industry Science and Technology Company, Ltd., Class A | 51,300 | $ | 45,486 | ||
ZTE Corp., Class A | 29,100 | 141,400 | |||
ZTE Corp., H Shares | 87,575 | 281,853 | |||
ZTO Express Cayman, Inc., ADR | 49,313 | 1,239,729 | |||
210,971,122 | |||||
Colombia - 0.0% | |||||
Bancolombia SA | 33,227 | 236,378 | |||
Interconexion Electrica SA ESP | 58,084 | 212,712 | |||
449,090 | |||||
Czech Republic - 0.0% | |||||
CEZ AS | 21,142 | 899,758 | |||
Komercni banka AS | 9,844 | 307,392 | |||
Moneta Money Bank AS (B) | 43,931 | 163,639 | |||
1,370,789 | |||||
Denmark - 2.0% | |||||
A.P. Moller - Maersk A/S, Series A | 404 | 721,980 | |||
A.P. Moller - Maersk A/S, Series B | 719 | 1,305,247 | |||
Carlsberg A/S, Class B | 13,616 | 1,968,846 | |||
Chr. Hansen Holding A/S | 14,539 | 948,009 | |||
Coloplast A/S, B Shares | 16,449 | 1,873,470 | |||
Danske Bank A/S | 95,216 | 2,137,251 | |||
Demant A/S (A) | 12,713 | 518,998 | |||
DSV A/S | 25,748 | 4,889,535 | |||
Genmab A/S (A) | 9,116 | 3,492,663 | |||
Novo Nordisk A/S, B Shares | 229,009 | 42,241,565 | |||
Novozymes A/S, B Shares | 28,255 | 1,223,040 | |||
Orsted A/S (B) | 26,097 | 1,674,246 | |||
Pandora A/S | 12,604 | 1,305,249 | |||
ROCKWOOL A/S, B Shares | 1,288 | 328,723 | |||
Tryg A/S | 50,569 | 964,821 | |||
Vestas Wind Systems A/S (A) | 139,731 | 3,228,501 | |||
68,822,144 | |||||
Finland - 0.6% | |||||
Elisa OYJ | 19,170 | 941,077 | |||
Fortum OYJ | 60,963 | 818,401 | |||
Kesko OYJ, B Shares | 37,272 | 727,561 | |||
Kone OYJ, B Shares | 46,323 | 2,107,200 | |||
Metso OYJ | 90,082 | 1,034,641 | |||
Neste OYJ | 57,558 | 2,105,651 | |||
Nokia OYJ | 730,868 | 2,922,795 | |||
Nordea Bank ABP | 158,376 | 1,735,051 | |||
Orion OYJ, Class B | 14,536 | 594,094 | |||
Sampo OYJ, A Shares | 63,268 | 2,777,093 | |||
Stora Enso OYJ, R Shares | 79,365 | 1,009,331 | |||
UPM-Kymmene OYJ | 72,819 | 2,492,054 | |||
Wartsila OYJ ABP | 64,726 | 821,432 | |||
20,086,381 | |||||
France - 9.2% | |||||
Accor SA | 31,590 | 1,129,764 | |||
Aeroports de Paris | 5,006 | 658,829 | |||
Air Liquide SA | 89,592 | 16,187,167 | |||
Airbus SE | 101,589 | 14,863,213 | |||
Alstom SA | 55,314 | 1,525,365 | |||
Amundi SA (B) | 10,807 | 643,283 | |||
Arkema SA | 9,653 | 1,008,731 | |||
AXA SA | 315,784 | 9,487,708 | |||
BioMerieux | 7,059 | 729,052 | |||
BNP Paribas SA | 190,451 | 12,316,038 | |||
Bollore SE | 150,202 | 888,495 | |||
Bouygues SA | 35,042 | 1,209,999 | |||
Bureau Veritas SA | 50,037 | 1,340,399 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
France (continued) | |||||
Capgemini SE | 28,187 | $ | 5,260,302 | ||
Carrefour SA | 101,464 | 1,939,358 | |||
Cie de Saint-Gobain SA | 83,887 | 5,457,039 | |||
Cie Generale des Etablissements Michelin SCA | 116,219 | 3,636,029 | |||
Covivio SA | 7,822 | 381,393 | |||
Credit Agricole SA | 207,990 | 2,621,776 | |||
Danone SA | 109,700 | 6,394,730 | |||
Dassault Aviation SA | 4,341 | 852,400 | |||
Dassault Systemes SE | 114,166 | 4,524,462 | |||
Edenred | 42,625 | 2,716,209 | |||
Eiffage SA | 12,425 | 1,228,003 | |||
Engie SA | 312,439 | 5,031,600 | |||
EssilorLuxottica SA | 49,795 | 9,359,321 | |||
Eurazeo SE | 7,384 | 435,081 | |||
Gecina SA | 7,760 | 830,132 | |||
Getlink SE | 60,575 | 1,013,869 | |||
Hermes International SCA | 5,414 | 11,134,911 | |||
Ipsen SA | 6,440 | 834,267 | |||
Kering SA | 12,732 | 6,808,191 | |||
Klepierre SA | 36,386 | 961,087 | |||
La Francaise des Jeux SAEM (B) | 17,667 | 638,833 | |||
Legrand SA | 45,689 | 4,501,260 | |||
L'Oreal SA | 41,200 | 18,096,396 | |||
LVMH Moet Hennessy Louis Vuitton SE | 47,241 | 39,949,775 | |||
Orange SA | 318,225 | 3,572,608 | |||
Pernod Ricard SA | 35,306 | 6,928,942 | |||
Publicis Groupe SA | 39,188 | 3,057,765 | |||
Remy Cointreau SA | 3,881 | 600,364 | |||
Renault SA | 33,009 | 1,331,890 | |||
Safran SA | 58,637 | 9,397,485 | |||
Sanofi | 194,203 | 20,683,423 | |||
Sartorius Stedim Biotech | 4,744 | 1,345,453 | |||
Schneider Electric SE | 91,655 | 15,710,458 | |||
Schneider Electric SE (Euronext London Exchange) | 1,178 | 202,244 | |||
SEB SA | 4,274 | 469,139 | |||
Societe Generale SA | 124,810 | 3,536,017 | |||
Sodexo SA | 15,133 | 1,623,476 | |||
Teleperformance SE | 10,082 | 1,393,048 | |||
Thales SA | 18,107 | 2,640,536 | |||
TotalEnergies SE | 404,402 | 25,367,728 | |||
Unibail-Rodamco-Westfield (A) | 20,190 | 1,077,637 | |||
Valeo SE | 35,232 | 684,851 | |||
Veolia Environnement SA | 115,883 | 3,615,199 | |||
Vinci SA | 90,849 | 10,119,512 | |||
Vivendi SE | 122,770 | 1,118,174 | |||
Wendel SE | 4,515 | 412,544 | |||
Worldline SA (A)(B) | 40,906 | 1,331,336 | |||
312,814,296 | |||||
Germany - 6.1% | |||||
adidas AG | 27,453 | 5,478,804 | |||
Allianz SE | 68,683 | 16,695,431 | |||
BASF SE | 151,587 | 7,672,946 | |||
Bayer AG | 166,700 | 9,120,592 | |||
Bayerische Motoren Werke AG | 56,239 | 5,915,180 | |||
Bechtle AG | 13,918 | 676,637 | |||
Beiersdorf AG | 17,001 | 2,226,033 | |||
Brenntag SE | 26,120 | 2,112,698 | |||
Carl Zeiss Meditec AG, Bearer Shares | 6,766 | 671,087 | |||
Commerzbank AG | 179,804 | 1,975,595 | |||
Continental AG | 18,657 | 1,383,946 | |||
Covestro AG (A)(B) | 32,725 | 1,737,841 |
The accompanying notes are an integral part of the financial statements. | 58 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Germany (continued) | |||||
Daimler Truck Holding AG | 83,808 | $ | 2,948,925 | ||
Delivery Hero SE (A)(B) | 29,385 | 1,071,896 | |||
Deutsche Bank AG | 330,203 | 3,592,207 | |||
Deutsche Boerse AG | 32,223 | 5,720,364 | |||
Deutsche Lufthansa AG (A) | 100,892 | 901,002 | |||
Deutsche Telekom AG | 549,580 | 11,762,968 | |||
DHL Group | 170,716 | 7,961,018 | |||
E.ON SE | 379,930 | 4,676,819 | |||
Evonik Industries AG | 35,421 | 678,672 | |||
Fresenius Medical Care AG & Company KGaA | 34,743 | 1,672,789 | |||
Fresenius SE & Company KGaA | 71,650 | 2,297,045 | |||
GEA Group AG | 25,464 | 1,004,132 | |||
Hannover Rueck SE | 10,321 | 2,195,057 | |||
Heidelberg Materials AG | 24,519 | 1,971,493 | |||
HelloFresh SE (A) | 27,613 | 889,916 | |||
Henkel AG & Company KGaA | 16,913 | 1,168,829 | |||
Infineon Technologies AG | 221,660 | 7,921,181 | |||
Knorr-Bremse AG | 12,142 | 829,306 | |||
LEG Immobilien SE (A) | 12,511 | 900,999 | |||
Mercedes-Benz Group AG | 145,252 | 10,628,796 | |||
Merck KGaA | 21,965 | 3,943,278 | |||
MTU Aero Engines AG | 9,161 | 2,138,369 | |||
Muenchener Rueckversicherungs-Gesellschaft AG | 23,888 | 9,272,359 | |||
Nemetschek SE | 9,726 | 671,733 | |||
Puma SE | 17,829 | 1,194,876 | |||
Rational AG | 862 | 656,629 | |||
Rheinmetall AG | 7,431 | 2,018,448 | |||
RWE AG | 107,035 | 4,407,352 | |||
SAP SE | 177,162 | 24,714,921 | |||
Scout24 SE (B) | 12,636 | 870,450 | |||
Siemens AG | 128,972 | 19,375,601 | |||
Siemens Energy AG (A) | 88,358 | 1,257,501 | |||
Siemens Healthineers AG (B) | 47,731 | 2,389,524 | |||
Symrise AG | 22,520 | 2,347,599 | |||
Talanx AG | 11,060 | 743,490 | |||
Telefonica Deutschland Holding AG | 149,688 | 284,581 | |||
Volkswagen AG | 4,891 | 698,950 | |||
Vonovia SE | 121,698 | 2,919,939 | |||
Wacker Chemie AG | 3,120 | 459,548 | |||
Zalando SE (A)(B) | 37,940 | 1,179,386 | |||
208,004,738 | |||||
Hong Kong - 1.9% | |||||
AIA Group, Ltd. | 1,613,274 | 14,597,323 | |||
Alibaba Health Information Technology, Ltd. (A) | 543,746 | 321,024 | |||
Beijing Enterprises Holdings, Ltd. | 58,970 | 220,931 | |||
Beijing Enterprises Water Group, Ltd. | 485,340 | 111,817 | |||
BOC Hong Kong Holdings, Ltd. | 513,301 | 1,426,100 | |||
Bosideng International Holdings, Ltd. | 445,812 | 174,943 | |||
Budweiser Brewing Company APAC, Ltd. (B) | 234,316 | 507,399 | |||
C&D International Investment Group, Ltd. | 69,246 | 175,974 | |||
China Everbright Environment Group, Ltd. | 443,333 | 161,490 | |||
China Gas Holdings, Ltd. | 315,502 | 322,024 | |||
China Jinmao Holdings Group, Ltd. | 672,360 | 95,200 | |||
China Medical System Holdings, Ltd. | 159,843 | 230,216 | |||
China Merchants Port Holdings Company, Ltd. | 166,231 | 198,860 | |||
China Overseas Land & Investment, Ltd. | 448,752 | 946,008 | |||
China Overseas Property Holdings, Ltd. | 152,224 | 181,752 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Hong Kong (continued) | |||||
China Power International Development, Ltd. | 567,969 | $ | 202,423 | ||
China Resources Beer Holdings Company, Ltd. | 188,162 | 1,104,764 | |||
China Resources Cement Holdings, Ltd. | 273,330 | 90,536 | |||
China Resources Gas Group, Ltd. | 108,373 | 304,243 | |||
China Resources Land, Ltd. | 375,211 | 1,585,904 | |||
China Resources Power Holdings Company, Ltd. | 224,808 | 440,138 | |||
China Ruyi Holdings, Ltd. (A) | 705,326 | 187,036 | |||
China State Construction International Holdings, Ltd. | 233,116 | 259,282 | |||
China Taiping Insurance Holdings Company, Ltd. | 171,529 | 180,469 | |||
China Traditional Chinese Medicine Holdings Company, Ltd. | 347,316 | 135,767 | |||
Chow Tai Fook Jewellery Group, Ltd. | 228,031 | 345,778 | |||
CK Asset Holdings, Ltd. | 274,073 | 1,512,271 | |||
CK Hutchison Holdings, Ltd. | 373,134 | 2,033,579 | |||
CK Infrastructure Holdings, Ltd. | 86,299 | 436,208 | |||
CLP Holdings, Ltd. | 226,844 | 1,778,805 | |||
COSCO SHIPPING Ports, Ltd. | 180,534 | 111,153 | |||
ESR Group, Ltd. (B) | 269,901 | 404,994 | |||
Far East Horizon, Ltd. | 157,693 | 107,731 | |||
Futu Holdings, Ltd., ADR (A)(C) | 7,609 | 453,496 | |||
Galaxy Entertainment Group, Ltd. (A) | 302,387 | 1,998,689 | |||
GCL Technology Holdings, Ltd. | 2,376,736 | 411,665 | |||
Geely Automobile Holdings, Ltd. | 701,860 | 871,273 | |||
Guangdong Investment, Ltd. | 344,587 | 268,993 | |||
Hang Lung Properties, Ltd. | 244,852 | 326,109 | |||
Hang Seng Bank, Ltd. | 104,933 | 1,337,279 | |||
Henderson Land Development Company, Ltd. | 200,796 | 551,415 | |||
HKT Trust & HKT, Ltd. | 518,846 | 552,917 | |||
Hong Kong & China Gas Company, Ltd. | 1,535,498 | 1,128,534 | |||
Hong Kong Exchanges & Clearing, Ltd. | 166,685 | 6,460,414 | |||
Hongkong Land Holdings, Ltd. | 153,246 | 543,651 | |||
Jardine Matheson Holdings, Ltd. | 21,967 | 1,044,382 | |||
Kingboard Holdings, Ltd. | 77,354 | 175,535 | |||
Kingboard Laminates Holdings, Ltd. | 103,587 | 86,089 | |||
Kunlun Energy Company, Ltd. | 449,215 | 328,863 | |||
Link REIT | 350,085 | 1,735,734 | |||
MTR Corp., Ltd. | 211,712 | 883,361 | |||
New World Development Company, Ltd. | 208,084 | 441,841 | |||
Nine Dragons Paper Holdings, Ltd. (A) | 190,339 | 105,621 | |||
Orient Overseas International, Ltd. | 15,227 | 204,214 | |||
Power Assets Holdings, Ltd. | 191,306 | 941,710 | |||
Prudential PLC | 304,015 | 3,702,621 | |||
Shenzhen International Holdings, Ltd. | 165,252 | 117,467 | |||
Sino Biopharmaceutical, Ltd. | 1,206,160 | 457,844 | |||
Sino Land Company, Ltd. | 507,297 | 581,098 | |||
SITC International Holdings Company, Ltd. | 185,947 | 346,812 | |||
Sun Hung Kai Properties, Ltd. | 200,863 | 2,261,049 | |||
Swire Pacific, Ltd., Class A | 60,625 | 499,877 | |||
Swire Properties, Ltd. | 161,125 | 336,714 | |||
Techtronic Industries Company, Ltd. | 190,113 | 1,875,025 | |||
Vinda International Holdings, Ltd. | 42,189 | 97,619 | |||
Want Want China Holdings, Ltd. | 545,564 | 360,831 | |||
WH Group, Ltd. (B) | 1,160,366 | 597,583 | |||
Wharf Real Estate Investment Company, Ltd. | 230,027 | 958,656 | |||
Xinyi Glass Holdings, Ltd. | 226,149 | 333,615 |
The accompanying notes are an integral part of the financial statements. | 59 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Hong Kong (continued) | |||||
Yuexiu Property Company, Ltd. | 210,075 | $ | 260,278 | ||
64,531,016 | |||||
Hungary - 0.1% | |||||
MOL Hungarian Oil & Gas PLC | 55,755 | 421,621 | |||
OTP Bank NYRT | 29,325 | 1,195,796 | |||
Richter Gedeon NYRT | 17,240 | 431,680 | |||
2,049,097 | |||||
India - 4.3% | |||||
ABB India, Ltd. | 7,876 | 416,873 | |||
ACC, Ltd. | 9,691 | 235,737 | |||
Adani Enterprises, Ltd. | 25,564 | 748,095 | |||
Adani Green Energy, Ltd. (A) | 47,038 | 529,838 | |||
Adani Ports & Special Economic Zone, Ltd. | 78,665 | 752,369 | |||
Adani Power, Ltd. (A) | 115,454 | 447,612 | |||
Ambuja Cements, Ltd. | 88,366 | 456,286 | |||
Apollo Hospitals Enterprise, Ltd. | 15,028 | 874,830 | |||
Asian Paints, Ltd. | 57,027 | 2,241,297 | |||
AU Small Finance Bank, Ltd. (B) | 24,235 | 211,103 | |||
Aurobindo Pharma, Ltd. | 39,163 | 392,970 | |||
Avenue Supermarts, Ltd. (A)(B) | 24,009 | 1,077,169 | |||
Axis Bank, Ltd. | 339,422 | 3,979,540 | |||
Bajaj Auto, Ltd. | 10,124 | 563,275 | |||
Bajaj Finance, Ltd. | 40,530 | 3,505,986 | |||
Bajaj Finserv, Ltd. | 57,153 | 1,027,723 | |||
Bajaj Holdings & Investment, Ltd. | 3,965 | 354,734 | |||
Balkrishna Industries, Ltd. | 11,325 | 318,406 | |||
Bandhan Bank, Ltd. (B) | 107,275 | 297,446 | |||
Bank of Baroda | 154,945 | 349,972 | |||
Berger Paints India, Ltd. | 35,395 | 308,101 | |||
Bharat Electronics, Ltd. | 548,854 | 884,106 | |||
Bharat Forge, Ltd. | 37,558 | 486,051 | |||
Bharat Petroleum Corp., Ltd. | 112,238 | 461,032 | |||
Bharti Airtel, Ltd. | 331,607 | 3,431,104 | |||
Britannia Industries, Ltd. | 16,067 | 865,473 | |||
CG Power & Industrial Solutions, Ltd. | 90,069 | 455,606 | |||
Cholamandalam Investment and Finance Company, Ltd. | 61,707 | 835,192 | |||
Cipla, Ltd. | 78,511 | 1,187,636 | |||
Coal India, Ltd. | 228,542 | 635,256 | |||
Colgate-Palmolive India, Ltd. | 17,894 | 418,281 | |||
Container Corp. of India, Ltd. | 41,123 | 333,351 | |||
Dabur India, Ltd. | 92,838 | 621,279 | |||
Divi's Laboratories, Ltd. | 17,690 | 765,112 | |||
DLF, Ltd. | 92,744 | 564,132 | |||
Dr. Reddy's Laboratories, Ltd. | 16,174 | 1,096,465 | |||
Eicher Motors, Ltd. | 20,420 | 823,651 | |||
GAIL India, Ltd. | 346,519 | 482,479 | |||
Godrej Consumer Products, Ltd. (A) | 60,891 | 740,079 | |||
Godrej Properties, Ltd. (A) | 18,475 | 365,830 | |||
Grasim Industries, Ltd. | 39,385 | 850,899 | |||
Havells India, Ltd. | 36,934 | 617,852 | |||
HCL Technologies, Ltd. | 141,151 | 2,001,669 | |||
HDFC Bank, Ltd. | 413,649 | 7,860,513 | |||
HDFC Life Insurance Company, Ltd. (B) | 145,093 | 1,131,283 | |||
Hero MotoCorp, Ltd. | 16,324 | 575,435 | |||
Hindalco Industries, Ltd. | 184,408 | 1,025,243 | |||
Hindustan Aeronautics, Ltd. | 12,712 | 600,022 | |||
Hindustan Petroleum Corp., Ltd. (A) | 85,390 | 255,755 | |||
Hindustan Unilever, Ltd. | 122,338 | 3,709,569 | |||
ICICI Bank, Ltd. | 771,290 | 8,913,945 | |||
ICICI Lombard General Insurance Company, Ltd. (B) | 36,525 | 577,781 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
India (continued) | |||||
ICICI Prudential Life Insurance Company, Ltd. (B) | 55,143 | $ | 373,863 | ||
Indian Oil Corp., Ltd. | 424,098 | 455,632 | |||
Indian Railway Catering & Tourism Corp., Ltd. | 35,727 | 290,349 | |||
Indraprastha Gas, Ltd. | 45,865 | 258,185 | |||
Info Edge India, Ltd. | 10,513 | 549,422 | |||
Infosys, Ltd. | 494,608 | 8,577,410 | |||
InterGlobe Aviation, Ltd. (A)(B) | 20,108 | 591,713 | |||
ITC, Ltd. | 445,122 | 2,361,792 | |||
Jindal Steel & Power, Ltd. | 53,521 | 442,142 | |||
Jio Financial Services, Ltd. (A) | 419,627 | 1,216,512 | |||
JSW Steel, Ltd. | 90,214 | 849,451 | |||
Jubilant Foodworks, Ltd. | 58,736 | 363,338 | |||
Kotak Mahindra Bank, Ltd. | 163,111 | 3,463,557 | |||
Larsen & Toubro, Ltd. | 102,768 | 3,369,538 | |||
LTIMindtree, Ltd. (B) | 13,200 | 833,484 | |||
Lupin, Ltd. | 30,595 | 403,251 | |||
Mahindra & Mahindra, Ltd. | 138,919 | 2,645,215 | |||
Marico, Ltd. | 76,410 | 529,841 | |||
Maruti Suzuki India, Ltd. | 20,244 | 2,443,769 | |||
Max Healthcare Institute, Ltd. (A) | 116,133 | 823,861 | |||
Mphasis, Ltd. | 11,347 | 331,681 | |||
MRF, Ltd. | 281 | 368,558 | |||
Muthoot Finance, Ltd. | 17,851 | 271,544 | |||
Nestle India, Ltd. | 5,005 | 1,328,516 | |||
NTPC, Ltd. | 651,702 | 1,724,793 | |||
Oil & Natural Gas Corp., Ltd. | 467,581 | 981,803 | |||
Page Industries, Ltd. | 904 | 438,721 | |||
Petronet LNG, Ltd. | 111,417 | 289,567 | |||
PI Industries, Ltd. | 11,300 | 494,065 | |||
Pidilite Industries, Ltd. | 22,611 | 683,855 | |||
Power Grid Corp. of India, Ltd. | 520,676 | 1,540,578 | |||
Reliance Industries, Ltd. | 491,864 | 14,295,103 | |||
Samvardhana Motherson International, Ltd. | 351,335 | 405,529 | |||
SBI Cards & Payment Services, Ltd. | 41,612 | 409,903 | |||
SBI Life Insurance Company, Ltd. (B) | 67,621 | 1,059,380 | |||
Shree Cement, Ltd. | 1,352 | 388,523 | |||
Shriram Finance, Ltd. | 41,843 | 972,254 | |||
Siemens, Ltd. | 13,260 | 628,220 | |||
Sona BLW Precision Forgings, Ltd. (B) | 60,976 | 437,979 | |||
SRF, Ltd. | 22,127 | 630,152 | |||
State Bank of India | 267,535 | 1,814,465 | |||
Sun Pharmaceutical Industries, Ltd. | 143,051 | 1,920,485 | |||
Tata Consultancy Services, Ltd. | 136,074 | 5,518,421 | |||
Tata Consumer Products, Ltd. | 82,890 | 837,442 | |||
Tata Elxsi, Ltd. | 5,115 | 447,313 | |||
Tata Motors, Ltd. | 247,705 | 1,798,757 | |||
Tata Steel, Ltd. | 1,092,568 | 1,629,524 | |||
Tech Mahindra, Ltd. | 79,954 | 1,161,323 | |||
The Indian Hotels Company, Ltd. | 126,911 | 645,583 | |||
The Tata Power Company, Ltd. | 213,796 | 635,324 | |||
Titan Company, Ltd. | 52,802 | 1,983,367 | |||
Torrent Pharmaceuticals, Ltd. | 15,035 | 334,936 | |||
Trent, Ltd. | 26,665 | 661,122 | |||
Tube Investments of India, Ltd. | 15,672 | 543,782 | |||
TVS Motor Company, Ltd. | 35,076 | 603,776 | |||
UltraTech Cement, Ltd. | 17,247 | 1,730,901 | |||
United Spirits, Ltd. (A) | 43,499 | 530,169 | |||
UPL, Ltd. | 72,432 | 517,612 | |||
Varun Beverages, Ltd. | 67,580 | 736,064 | |||
Vedanta, Ltd. | 110,887 | 310,576 | |||
Wipro, Ltd. | 205,489 | 1,016,036 | |||
Yes Bank, Ltd. (A) | 1,904,166 | 386,229 |
The accompanying notes are an integral part of the financial statements. | 60 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
India (continued) | |||||
Zomato, Ltd. (A) | 640,677 | $ | 761,611 | ||
147,709,310 | |||||
Indonesia - 0.5% | |||||
Adaro Energy Indonesia Tbk PT | 1,875,366 | 328,540 | |||
Aneka Tambang Tbk | 1,080,662 | 140,986 | |||
Astra International Tbk PT | 2,671,051 | 1,130,134 | |||
Bank Central Asia Tbk PT | 7,230,014 | 4,352,509 | |||
Bank Mandiri Persero Tbk PT | 4,880,689 | 1,930,010 | |||
Bank Negara Indonesia Persero Tbk PT | 992,762 | 597,847 | |||
Bank Rakyat Indonesia Persero Tbk PT | 8,925,449 | 3,251,506 | |||
Barito Pacific Tbk PT | 3,664,556 | 257,430 | |||
Charoen Pokphand Indonesia Tbk PT (A) | 968,882 | 329,130 | |||
GoTo Gojek Tokopedia Tbk PT (A) | 109,000,398 | 685,950 | |||
Indah Kiat Pulp & Paper Tbk PT | 368,850 | 220,280 | |||
Indofood CBP Sukses Makmur Tbk PT | 300,836 | 221,260 | |||
Indofood Sukses Makmur Tbk PT | 598,130 | 278,684 | |||
Kalbe Farma Tbk PT | 2,736,725 | 325,592 | |||
Merdeka Copper Gold Tbk PT (A) | 1,552,882 | 344,200 | |||
Sarana Menara Nusantara Tbk PT | 2,576,357 | 174,219 | |||
Semen Indonesia Persero Tbk PT | 438,275 | 195,570 | |||
Sumber Alfaria Trijaya Tbk PT | 2,160,916 | 411,802 | |||
Telkom Indonesia Persero Tbk PT | 6,482,464 | 1,584,566 | |||
Unilever Indonesia Tbk PT | 992,032 | 239,048 | |||
United Tractors Tbk PT | 195,778 | 334,060 | |||
Vale Indonesia Tbk PT | 321,258 | 124,333 | |||
17,457,656 | |||||
Ireland - 0.9% | |||||
AerCap Holdings NV (A) | 22,997 | 1,414,775 | |||
AIB Group PLC | 183,373 | 834,631 | |||
Bank of Ireland Group PLC | 148,184 | 1,475,584 | |||
CRH PLC | 102,594 | 5,902,618 | |||
DCC PLC | 10,844 | 593,353 | |||
Experian PLC | 100,853 | 3,522,154 | |||
Flutter Entertainment PLC (A) | 24,401 | 4,437,707 | |||
James Hardie Industries PLC, CHESS Depositary Interest (A) | 21,839 | 656,420 | |||
Kerry Group PLC, Class A | 22,046 | 2,056,897 | |||
Kingspan Group PLC | 21,416 | 1,809,536 | |||
PDD Holdings, Inc., ADR (A) | 58,904 | 5,829,729 | |||
Smurfit Kappa Group PLC | 30,108 | 1,263,047 | |||
Smurfit Kappa Group PLC | 6,453 | 270,911 | |||
30,067,362 | |||||
Israel - 0.4% | |||||
Azrieli Group, Ltd. | 5,739 | 307,646 | |||
Bank Hapoalim BM | 175,134 | 1,449,960 | |||
Bank Leumi Le-Israel BM | 212,807 | 1,651,918 | |||
Check Point Software Technologies, Ltd. (A) | 13,340 | 1,795,431 | |||
CyberArk Software, Ltd. (A) | 5,638 | 936,134 | |||
Elbit Systems, Ltd. | 3,703 | 726,798 | |||
ICL Group, Ltd. | 106,227 | 634,792 | |||
Israel Discount Bank, Ltd., Class A | 170,290 | 851,687 | |||
Mizrahi Tefahot Bank, Ltd. | 21,190 | 696,736 | |||
Monday.com, Ltd. (A) | 2,613 | 463,651 | |||
Nice, Ltd. (A) | 8,788 | 1,712,812 | |||
Teva Pharmaceutical Industries, Ltd., ADR (A) | 153,662 | 1,499,741 | |||
Tower Semiconductor, Ltd. (A) | 15,043 | 438,855 | |||
Wix.com, Ltd. (A) | 7,471 | 737,911 | |||
13,904,072 | |||||
Italy - 1.7% | |||||
Amplifon SpA | 21,487 | 697,756 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Italy (continued) | |||||
Assicurazioni Generali SpA | 176,988 | $ | 3,665,955 | ||
Davide Campari-Milano NV | 89,103 | 1,164,134 | |||
DiaSorin SpA | 4,362 | 460,614 | |||
Enel SpA | 1,400,346 | 9,403,093 | |||
Eni SpA | 399,607 | 6,178,734 | |||
Ferrari NV | 21,657 | 6,866,623 | |||
FinecoBank Banca Fineco SpA | 104,098 | 1,422,754 | |||
Infrastrutture Wireless Italiane SpA (B) | 56,988 | 705,078 | |||
Intesa Sanpaolo SpA | 2,775,931 | 7,412,861 | |||
Mediobanca Banca di Credito Finanziario SpA | 95,404 | 1,245,460 | |||
Moncler SpA | 35,447 | 2,401,703 | |||
Nexi SpA (A)(B) | 101,758 | 730,042 | |||
Poste Italiane SpA (B) | 90,666 | 1,006,479 | |||
Prysmian SpA | 43,699 | 1,785,391 | |||
Recordati Industria Chimica e Farmaceutica SpA | 17,978 | 901,201 | |||
Snam SpA | 342,961 | 1,769,801 | |||
Telecom Italia SpA (A) | 1,693,963 | 525,522 | |||
Terna - Rete Elettrica Nazionale | 240,456 | 1,982,939 | |||
UniCredit SpA | 317,351 | 7,731,672 | |||
58,057,812 | |||||
Japan - 14.2% | |||||
Advantest Corp. | 26,521 | 3,319,651 | |||
Aeon Company, Ltd. (C) | 89,785 | 1,860,721 | |||
AGC, Inc. | 28,342 | 994,334 | |||
Aisin Corp. | 20,489 | 683,778 | |||
Ajinomoto Company, Inc. | 62,312 | 2,639,714 | |||
ANA Holdings, Inc. (A) | 21,623 | 488,142 | |||
Asahi Group Holdings, Ltd. | 66,840 | 2,600,435 | |||
Asahi Intecc Company, Ltd. | 30,285 | 614,347 | |||
Asahi Kasei Corp. | 172,790 | 1,115,341 | |||
Astellas Pharma, Inc. | 250,012 | 3,782,773 | |||
Azbil Corp. | 15,771 | 525,387 | |||
Bandai Namco Holdings, Inc. | 82,776 | 1,920,182 | |||
BayCurrent Consulting, Inc. | 18,140 | 623,520 | |||
Bridgestone Corp. | 79,034 | 3,068,555 | |||
Brother Industries, Ltd. | 31,857 | 539,134 | |||
Canon, Inc. | 138,493 | 3,408,876 | |||
Capcom Company, Ltd. | 23,994 | 1,012,144 | |||
Central Japan Railway Company | 19,902 | 2,551,824 | |||
Chubu Electric Power Company, Inc. | 89,229 | 1,189,297 | |||
Chugai Pharmaceutical Company, Ltd. | 92,890 | 2,831,466 | |||
Concordia Financial Group, Ltd. | 147,617 | 654,097 | |||
CyberAgent, Inc. | 59,569 | 379,042 | |||
Dai Nippon Printing Company, Ltd. | 30,043 | 820,938 | |||
Daifuku Company, Ltd. | 42,348 | 781,557 | |||
Dai-ichi Life Holdings, Inc. | 131,048 | 2,435,607 | |||
Daiichi Sankyo Company, Ltd. | 255,888 | 7,536,839 | |||
Daikin Industries, Ltd. | 36,534 | 6,315,219 | |||
Daito Trust Construction Company, Ltd. | 8,506 | 938,079 | |||
Daiwa House Industry Company, Ltd. | 82,955 | 2,304,139 | |||
Daiwa House REIT Investment Corp. (C) | 301 | 571,198 | |||
Daiwa Securities Group, Inc. | 186,764 | 1,062,062 | |||
Denso Corp. | 59,937 | 4,090,858 | |||
Dentsu Group, Inc. | 27,967 | 835,264 | |||
Disco Corp. | 12,724 | 2,514,828 | |||
East Japan Railway Company | 41,530 | 2,348,071 | |||
Eisai Company, Ltd. | 34,825 | 2,201,504 | |||
ENEOS Holdings, Inc. | 395,748 | 1,486,087 | |||
FANUC Corp. | 132,802 | 3,777,069 | |||
Fast Retailing Company, Ltd. | 24,191 | 5,549,689 | |||
Fuji Electric Company, Ltd. | 17,564 | 827,626 |
The accompanying notes are an integral part of the financial statements. | 61 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Japan (continued) | |||||
FUJIFILM Holdings Corp. | 51,755 | $ | 3,058,537 | ||
Fujitsu, Ltd. | 24,352 | 3,043,803 | |||
GLP J-REIT | 605 | 570,552 | |||
GMO Payment Gateway, Inc. | 5,719 | 362,145 | |||
Hakuhodo DY Holdings, Inc. | 32,053 | 304,099 | |||
Hamamatsu Photonics KK | 19,334 | 894,555 | |||
Hankyu Hanshin Holdings, Inc. | 31,300 | 1,123,400 | |||
Hikari Tsushin, Inc. | 2,791 | 464,326 | |||
Hirose Electric Company, Ltd. | 4,088 | 494,955 | |||
Hitachi Construction Machinery Company, Ltd. | 15,054 | 468,091 | |||
Hitachi, Ltd. | 129,898 | 8,633,312 | |||
Honda Motor Company, Ltd. | 213,408 | 6,896,577 | |||
Hoshizaki Corp. | 15,016 | 576,289 | |||
Hoya Corp. | 49,333 | 5,473,544 | |||
Hulic Company, Ltd. | 52,718 | 473,083 | |||
Ibiden Company, Ltd. | 15,612 | 940,625 | |||
Idemitsu Kosan Company, Ltd. | 28,432 | 605,213 | |||
Iida Group Holdings Company, Ltd. | 22,243 | 364,271 | |||
Inpex Corp. | 133,935 | 1,875,603 | |||
Isuzu Motors, Ltd. | 80,667 | 1,032,663 | |||
ITOCHU Corp. | 164,583 | 6,176,692 | |||
Itochu Techno-Solutions Corp. | 12,983 | 385,484 | |||
Japan Airlines Company, Ltd. | 19,653 | 404,728 | |||
Japan Exchange Group, Inc. | 69,853 | 1,218,778 | |||
Japan Metropolitan Fund Investment Corp. | 947 | 635,902 | |||
Japan Post Bank Company, Ltd. | 203,897 | 1,636,083 | |||
Japan Post Holdings Company, Ltd. | 306,065 | 2,346,494 | |||
Japan Post Insurance Company, Ltd. | 29,745 | 478,807 | |||
Japan Real Estate Investment Corp. | 175 | 727,266 | |||
Japan Tobacco, Inc. | 166,226 | 3,639,732 | |||
JFE Holdings, Inc. | 68,025 | 1,074,667 | |||
JSR Corp. | 24,611 | 686,919 | |||
Kajima Corp. | 58,827 | 982,573 | |||
Kao Corp. | 64,304 | 2,483,913 | |||
Kawasaki Kisen Kaisha, Ltd. (A) | 19,253 | 645,191 | |||
KDDI Corp. | 207,190 | 6,159,227 | |||
Keio Corp. | 13,956 | 482,887 | |||
Keisei Electric Railway Company, Ltd. | 17,611 | 674,359 | |||
Keyence Corp. | 26,904 | 11,169,783 | |||
Kikkoman Corp. | 18,677 | 1,078,895 | |||
Kintetsu Group Holdings Company, Ltd. | 24,711 | 782,166 | |||
Kirin Holdings Company, Ltd. | 107,603 | 1,510,666 | |||
Kobayashi Pharmaceutical Company, Ltd. | 6,933 | 342,315 | |||
Kobe Bussan Company, Ltd. | 20,687 | 515,400 | |||
Koei Tecmo Holdings Company, Ltd. | 15,503 | 240,789 | |||
Koito Manufacturing Company, Ltd. | 28,752 | 487,936 | |||
Komatsu, Ltd. | 128,184 | 3,647,886 | |||
Konami Group Corp. | 13,879 | 805,387 | |||
Kose Corp. | 4,626 | 383,656 | |||
Kubota Corp. | 140,209 | 2,256,456 | |||
Kurita Water Industries, Ltd. | 14,388 | 560,488 | |||
Kyocera Corp. | 44,417 | 2,278,134 | |||
Kyowa Kirin Company, Ltd. | 37,493 | 685,439 | |||
Lasertec Corp. | 10,436 | 1,622,169 | |||
Lixil Corp. | 40,019 | 501,264 | |||
M3, Inc. | 60,919 | 1,214,287 | |||
Makita Corp. | 30,960 | 848,677 | |||
Marubeni Corp. | 211,813 | 3,460,730 | |||
MatsukiyoCocokara & Company | 15,771 | 928,604 | |||
Mazda Motor Corp. | 78,739 | 820,375 | |||
McDonald's Holdings Company Japan, Ltd. | 11,691 | 465,209 | |||
MEIJI Holdings Company, Ltd. | 30,343 | 760,853 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Japan (continued) | |||||
MINEBEA MITSUMI, Inc. | 50,668 | $ | 859,108 | ||
MISUMI Group, Inc. | 39,539 | 688,756 | |||
Mitsubishi Chemical Group Corp. | 178,210 | 1,063,862 | |||
Mitsubishi Corp. | 171,702 | 8,469,192 | |||
Mitsubishi Electric Corp. | 267,966 | 3,491,082 | |||
Mitsubishi Estate Company, Ltd. | 155,677 | 1,982,859 | |||
Mitsubishi HC Capital, Inc. | 121,840 | 791,577 | |||
Mitsubishi Heavy Industries, Ltd. | 44,350 | 2,511,636 | |||
Mitsubishi UFJ Financial Group, Inc. | 1,579,254 | 12,598,784 | |||
Mitsui & Company, Ltd. | 181,595 | 6,763,564 | |||
Mitsui Chemicals, Inc. | 23,814 | 645,569 | |||
Mitsui Fudosan Company, Ltd. | 124,844 | 2,733,225 | |||
Mitsui OSK Lines, Ltd. | 47,821 | 1,324,208 | |||
Mizuho Financial Group, Inc. | 333,113 | 5,489,378 | |||
MonotaRO Company, Ltd. | 34,304 | 405,140 | |||
MS&AD Insurance Group Holdings, Inc. | 59,998 | 2,154,627 | |||
Murata Manufacturing Company, Ltd. | 79,452 | 4,444,806 | |||
NEC Corp. | 33,906 | 1,787,216 | |||
Nexon Company, Ltd. | 54,071 | 1,096,976 | |||
NGK Insulators, Ltd. | 32,534 | 431,603 | |||
Nidec Corp. | 57,774 | 3,006,239 | |||
Nintendo Company, Ltd. | 143,663 | 6,159,823 | |||
Nippon Building Fund, Inc. | 209 | 882,656 | |||
Nippon Express Holdings, Inc. | 10,101 | 524,539 | |||
Nippon Paint Holdings Company, Ltd. | 130,614 | 1,009,197 | |||
Nippon Prologis REIT, Inc. | 301 | 605,365 | |||
Nippon Sanso Holdings Corp. | 23,833 | 574,665 | |||
Nippon Shinyaku Company, Ltd. | 7,350 | 321,757 | |||
Nippon Steel Corp. (C) | 111,942 | 2,647,242 | |||
Nippon Telegraph & Telephone Corp. | 4,127,390 | 4,765,633 | |||
Nippon Yusen KK (C) | 67,192 | 1,787,603 | |||
Nissan Chemical Corp. | 17,583 | 753,083 | |||
Nissan Motor Company, Ltd. | 321,591 | 1,367,475 | |||
Nisshin Seifun Group, Inc. | 26,637 | 351,305 | |||
Nissin Foods Holdings Company, Ltd. | 8,539 | 745,731 | |||
Nitori Holdings Company, Ltd. | 11,053 | 1,258,139 | |||
Nitto Denko Corp. | 20,803 | 1,419,234 | |||
Nomura Holdings, Inc. | 408,688 | 1,582,282 | |||
Nomura Real Estate Holdings, Inc. | 15,114 | 380,321 | |||
Nomura Real Estate Master Fund, Inc. | 578 | 679,496 | |||
Nomura Research Institute, Ltd. | 53,135 | 1,527,055 | |||
NTT Data Group Corp. | 87,297 | 1,173,770 | |||
Obayashi Corp. | 89,164 | 807,536 | |||
Obic Company, Ltd. | 9,640 | 1,676,089 | |||
Odakyu Electric Railway Company, Ltd. | 40,459 | 601,609 | |||
Oji Holdings Corp. | 117,633 | 481,161 | |||
Olympus Corp. | 166,267 | 2,245,671 | |||
Omron Corp. | 24,225 | 1,168,916 | |||
Ono Pharmaceutical Company, Ltd. | 53,636 | 1,013,288 | |||
Open House Group Company, Ltd. | 10,814 | 365,305 | |||
Oracle Corp. | 5,260 | 367,396 | |||
Oriental Land Company, Ltd. | 151,058 | 5,441,293 | |||
ORIX Corp. | 163,139 | 3,041,674 | |||
Osaka Gas Company, Ltd. | 51,603 | 823,812 | |||
Otsuka Corp. | 15,612 | 695,795 | |||
Otsuka Holdings Company, Ltd. | 54,032 | 2,052,770 | |||
Pan Pacific International Holdings Corp. | 52,560 | 1,047,268 | |||
Panasonic Holdings Corp. | 305,530 | 3,516,668 | |||
Persol Holdings Company, Ltd. | 24,571 | 419,952 | |||
Rakuten Group, Inc. | 205,906 | 801,189 | |||
Recruit Holdings Company, Ltd. | 199,412 | 7,103,554 | |||
Renesas Electronics Corp. (A) | 176,081 | 2,933,451 | |||
Resona Holdings, Inc. | 295,835 | 1,567,193 | |||
Ricoh Company, Ltd. | 76,332 | 621,831 |
The accompanying notes are an integral part of the financial statements. | 62 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Japan (continued) | |||||
Rohm Company, Ltd. | 12,167 | $ | 1,014,822 | ||
SBI Holdings, Inc. | 34,335 | 700,810 | |||
SCSK Corp. | 21,287 | 368,997 | |||
Secom Company, Ltd. | 28,964 | 2,027,126 | |||
Seiko Epson Corp. | 39,731 | 622,124 | |||
Sekisui Chemical Company, Ltd. | 50,150 | 769,169 | |||
Sekisui House, Ltd. | 85,703 | 1,746,576 | |||
Seven & i Holdings Company, Ltd. | 104,313 | 4,280,084 | |||
SG Holdings Company, Ltd. | 44,357 | 640,731 | |||
Sharp Corp. (A) | 30,273 | 186,356 | |||
Shimadzu Corp. | 32,710 | 961,239 | |||
Shimano, Inc. | 10,756 | 1,577,801 | |||
Shimizu Corp. | 75,808 | 510,032 | |||
Shin-Etsu Chemical Company, Ltd. | 252,391 | 8,044,652 | |||
Shionogi & Company, Ltd. | 36,186 | 1,589,265 | |||
Shiseido Company, Ltd. | 55,406 | 2,248,332 | |||
Shizuoka Financial Group, Inc. | 61,296 | 498,101 | |||
SMC Corp. | 7,965 | 3,871,954 | |||
SoftBank Corp. | 396,356 | 4,545,692 | |||
SoftBank Group Corp. | 142,518 | 6,387,155 | |||
Sompo Holdings, Inc. | 43,628 | 1,898,582 | |||
Sony Group Corp. | 174,527 | 14,519,339 | |||
Square Enix Holdings Company, Ltd. | 11,768 | 446,693 | |||
Subaru Corp. | 85,204 | 1,637,910 | |||
SUMCO Corp. | 48,737 | 650,919 | |||
Sumitomo Chemical Company, Ltd. | 192,901 | 534,013 | |||
Sumitomo Corp. | 156,317 | 3,214,881 | |||
Sumitomo Electric Industries, Ltd. | 99,300 | 1,215,661 | |||
Sumitomo Metal Mining Company, Ltd. | 34,265 | 1,063,367 | |||
Sumitomo Mitsui Financial Group, Inc. | 180,382 | 8,246,429 | |||
Sumitomo Mitsui Trust Holdings, Inc. | 45,960 | 1,721,608 | |||
Sumitomo Realty & Development Company, Ltd. | 39,485 | 1,009,368 | |||
Suntory Beverage & Food, Ltd. | 19,136 | 615,690 | |||
Suzuki Motor Corp. | 50,947 | 2,001,831 | |||
Sysmex Corp. | 23,256 | 1,233,976 | |||
T&D Holdings, Inc. | 70,116 | 1,111,298 | |||
Taisei Corp. | 23,395 | 787,382 | |||
Takeda Pharmaceutical Company, Ltd. | 219,018 | 6,768,766 | |||
TDK Corp. | 53,871 | 1,960,750 | |||
Terumo Corp. | 93,247 | 2,821,418 | |||
The Chiba Bank, Ltd. | 73,739 | 526,526 | |||
The Kansai Electric Power Company, Inc. | 97,471 | 1,382,902 | |||
TIS, Inc. | 30,085 | 709,295 | |||
Tobu Railway Company, Ltd. | 25,844 | 708,495 | |||
Toho Company, Ltd. | 15,314 | 583,689 | |||
Tokio Marine Holdings, Inc. | 250,265 | 5,522,974 | |||
Tokyo Electric Power Company Holdings, Inc. (A) | 210,794 | 923,486 | |||
Tokyo Electron, Ltd. | 62,051 | 9,216,166 | |||
Tokyo Gas Company, Ltd. | 54,010 | 1,249,821 | |||
Tokyu Corp. | 72,839 | 920,439 | |||
Toppan, Inc. | 34,088 | 823,427 | |||
Toray Industries, Inc. | 192,082 | 1,035,644 | |||
Toshiba Corp. | 56,620 | 1,789,365 | |||
Tosoh Corp. | 36,452 | 471,681 | |||
TOTO, Ltd. | 18,380 | 504,050 | |||
Toyota Industries Corp. | 20,394 | 1,439,989 | |||
Toyota Motor Corp. | 1,467,397 | 25,281,949 | |||
Toyota Tsusho Corp. | 29,421 | 1,751,392 | |||
Trend Micro, Inc. | 18,420 | 781,776 | |||
Unicharm Corp. | 55,853 | 2,228,180 | |||
USS Company, Ltd. | 28,193 | 492,312 | |||
Welcia Holdings Company, Ltd. | 12,607 | 231,934 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Japan (continued) | |||||
West Japan Railway Company | 30,085 | $ | 1,302,501 | ||
Yakult Honsha Company, Ltd. | 17,683 | 926,478 | |||
Yamaha Corp. | 19,394 | 598,194 | |||
Yamaha Motor Company, Ltd. | 41,271 | 1,067,939 | |||
Yamato Holdings Company, Ltd. | 39,421 | 740,474 | |||
Yaskawa Electric Corp. (C) | 33,129 | 1,298,897 | |||
Yokogawa Electric Corp. | 31,600 | 625,710 | |||
Z Holdings Corp. | 369,754 | 1,110,322 | |||
ZOZO, Inc. | 17,124 | 341,984 | |||
483,750,392 | |||||
Jordan - 0.0% | |||||
Hikma Pharmaceuticals PLC | 18,256 | 504,289 | |||
Luxembourg - 0.2% | |||||
ArcelorMittal SA | 82,836 | 2,200,508 | |||
Eurofins Scientific SE | 23,101 | 1,421,930 | |||
Reinet Investments SCA | 13,817 | 297,130 | |||
Tenaris SA | 80,794 | 1,290,268 | |||
5,209,836 | |||||
Macau - 0.0% | |||||
Sands China, Ltd. (A) | 334,478 | 1,131,439 | |||
Malaysia - 0.4% | |||||
AMMB Holdings BHD | 221,700 | 178,353 | |||
Axiata Group BHD | 354,800 | 180,552 | |||
CelcomDigi BHD | 451,100 | 425,970 | |||
CIMB Group Holdings BHD | 839,600 | 1,017,785 | |||
Dialog Group BHD | 444,300 | 196,142 | |||
Gamuda BHD | 249,200 | 241,928 | |||
Genting BHD | 287,100 | 270,557 | |||
Genting Malaysia BHD | 392,800 | 217,593 | |||
Hong Leong Bank BHD | 87,200 | 375,205 | |||
Hong Leong Financial Group BHD | 31,100 | 121,963 | |||
IHH Healthcare BHD | 292,500 | 373,731 | |||
Inari Amertron BHD | 339,600 | 231,011 | |||
IOI Corp. BHD | 329,400 | 286,196 | |||
Kuala Lumpur Kepong BHD | 63,400 | 294,441 | |||
Malayan Banking BHD | 712,700 | 1,399,016 | |||
Malaysia Airports Holdings BHD | 94,600 | 150,217 | |||
Maxis BHD | 310,400 | 268,347 | |||
MISC BHD | 176,400 | 273,455 | |||
Mr. D.I.Y Group M BHD (B) | 418,300 | 139,735 | |||
Nestle Malaysia BHD | 8,400 | 236,433 | |||
Petronas Chemicals Group BHD | 366,400 | 562,290 | |||
Petronas Dagangan BHD | 36,300 | 173,702 | |||
Petronas Gas BHD | 101,800 | 375,366 | |||
PPB Group BHD | 84,100 | 284,896 | |||
Press Metal Aluminium Holdings BHD | 483,800 | 505,724 | |||
Public Bank BHD | 1,913,500 | 1,744,212 | |||
QL Resources BHD | 138,750 | 161,701 | |||
RHB Bank BHD | 194,300 | 234,871 | |||
Sime Darby BHD | 358,400 | 177,428 | |||
Sime Darby Plantation BHD | 273,200 | 259,256 | |||
Telekom Malaysia BHD | 150,800 | 165,866 | |||
Tenaga Nasional BHD | 341,100 | 723,455 | |||
Top Glove Corp. BHD (A) | 653,700 | 107,842 | |||
12,355,239 | |||||
Mexico - 1.1% | |||||
Alfa SAB de CV, Class A | 602,944 | 399,240 | |||
America Movil SAB de CV (A) | 6,152,636 | 5,917,904 | |||
Arca Continental SAB de CV | 102,517 | 1,001,090 | |||
Banco del Bajio SA (B) | 150,154 | 472,729 | |||
Cemex SAB de CV, Series CPO (A) | 2,964,084 | 2,362,506 | |||
Coca-Cola Femsa SAB de CV | 103,575 | 878,995 |
The accompanying notes are an integral part of the financial statements. | 63 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Mexico (continued) | |||||
Fibra Uno Administracion SA de CV | 564,143 | $ | 819,224 | ||
Fomento Economico Mexicano SAB de CV | 379,266 | 4,246,320 | |||
Gruma SAB de CV, Class B | 35,830 | 596,000 | |||
Grupo Aeroportuario del Pacifico SAB de CV, B Shares | 75,505 | 1,380,660 | |||
Grupo Aeroportuario del Sureste SAB de CV, B Shares | 38,003 | 1,034,521 | |||
Grupo Bimbo SAB de CV, Series A | 257,957 | 1,269,172 | |||
Grupo Carso SAB de CV, Series A1 | 109,356 | 864,432 | |||
Grupo Financiero Banorte SAB de CV, Series O | 505,881 | 4,294,077 | |||
Grupo Financiero Inbursa SAB de CV, Series O (A) | 414,213 | 928,004 | |||
Grupo Mexico SAB de CV, Series B | 608,089 | 2,906,616 | |||
Grupo Televisa SAB, Series CPO | 494,486 | 442,559 | |||
Industrias Penoles SAB de CV (A) | 38,701 | 547,700 | |||
Kimberly-Clark de Mexico SAB de CV, Class A | 297,317 | 669,598 | |||
Operadora de Sites Mexicanos SAB de CV, Class A1 | 251,995 | 237,060 | |||
Orbia Advance Corp. SAB de CV | 198,762 | 442,393 | |||
Promotora y Operadora de Infraestructura SAB de CV | 36,762 | 351,072 | |||
Wal-Mart de Mexico SAB de CV | 1,018,697 | 4,016,118 | |||
36,077,990 | |||||
Netherlands - 3.1% | |||||
ABN AMRO Bank NV (B) | 55,255 | 812,797 | |||
Adyen NV (A)(B) | 3,007 | 2,510,913 | |||
Aegon NV | 239,552 | 1,227,704 | |||
Akzo Nobel NV | 23,614 | 1,917,070 | |||
Argenx SE (A) | 7,691 | 3,865,381 | |||
ASM International NV | 6,483 | 3,120,723 | |||
ASML Holding NV | 55,789 | 36,682,897 | |||
Euronext NV (B) | 14,680 | 1,059,760 | |||
EXOR NV | 15,081 | 1,334,626 | |||
Heineken Holding NV | 15,828 | 1,266,606 | |||
Heineken NV | 35,832 | 3,483,250 | |||
IMCD NV | 7,863 | 1,082,990 | |||
ING Groep NV | 499,979 | 7,084,216 | |||
JDE Peet's NV | 17,110 | 476,248 | |||
Just Eat Takeaway.com NV (A)(B) | 28,676 | 402,782 | |||
Koninklijke Ahold Delhaize NV | 134,744 | 4,407,482 | |||
Koninklijke DSM NV (A)(C)(D) | 30,685 | 2,493,836 | |||
Koninklijke KPN NV | 444,550 | 1,555,658 | |||
Koninklijke Philips NV (A) | 128,753 | 2,893,289 | |||
NEPI Rockcastle NV | 46,456 | 277,339 | |||
NN Group NV | 35,341 | 1,360,471 | |||
OCI NV | 14,275 | 361,033 | |||
Prosus NV (A) | 110,898 | 7,649,134 | |||
QIAGEN NV (A) | 38,500 | 1,756,660 | |||
Randstad NV | 15,270 | 896,122 | |||
Stellantis NV | 387,672 | 7,196,466 | |||
Universal Music Group NV | 113,304 | 2,809,170 | |||
Wolters Kluwer NV | 35,606 | 4,290,187 | |||
104,274,810 | |||||
New Zealand - 0.1% | |||||
Auckland International Airport, Ltd. (A) | 173,058 | 805,755 | |||
Fisher & Paykel Healthcare Corp., Ltd. | 80,456 | 1,086,615 | |||
Mercury NZ, Ltd. | 94,089 | 348,201 | |||
Meridian Energy, Ltd. | 178,377 | 570,595 | |||
Spark New Zealand, Ltd. | 260,167 | 787,085 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
New Zealand (continued) | |||||
Xero, Ltd. (A) | 7,082 | $ | 573,242 | ||
4,171,493 | |||||
Norway - 0.4% | |||||
Adevinta ASA (A) | 39,480 | 280,070 | |||
Aker BP ASA (C) | 42,506 | 1,156,073 | |||
DNB Bank ASA | 126,278 | 2,496,081 | |||
Equinor ASA | 128,610 | 3,949,772 | |||
Gjensidige Forsikring ASA | 28,238 | 438,469 | |||
Kongsberg Gruppen ASA | 12,189 | 505,611 | |||
Mowi ASA | 59,666 | 1,081,586 | |||
Norsk Hydro ASA | 182,387 | 1,009,128 | |||
Orkla ASA | 102,504 | 782,560 | |||
Salmar ASA | 9,758 | 476,379 | |||
Telenor ASA | 94,019 | 1,006,601 | |||
Yara International ASA | 22,576 | 822,881 | |||
14,005,211 | |||||
Peru - 0.1% | |||||
Cia de Minas Buenaventura SAA, ADR (C) | 29,089 | 248,420 | |||
Credicorp, Ltd. | 9,185 | 1,299,035 | |||
1,547,455 | |||||
Philippines - 0.2% | |||||
Aboitiz Equity Ventures, Inc. | 222,160 | 184,503 | |||
ACEN Corp. | 1,033,660 | 91,356 | |||
Ayala Corp. | 39,770 | 432,347 | |||
Ayala Land, Inc. | 882,280 | 422,779 | |||
Bank of the Philippine Islands | 260,087 | 505,140 | |||
BDO Unibank, Inc. | 311,820 | 766,634 | |||
International Container Terminal Services, Inc. | 131,870 | 481,976 | |||
JG Summit Holdings, Inc. | 339,132 | 218,722 | |||
Jollibee Foods Corp. | 58,510 | 244,779 | |||
Manila Electric Company | 36,630 | 222,466 | |||
Metropolitan Bank & Trust Company | 245,889 | 239,630 | |||
PLDT, Inc. | 9,785 | 198,579 | |||
SM Investments Corp. | 32,035 | 470,916 | |||
SM Prime Holdings, Inc. | 1,323,200 | 682,296 | |||
Universal Robina Corp. | 115,740 | 228,449 | |||
5,390,572 | |||||
Poland - 0.2% | |||||
Allegro.eu SA (A)(B) | 62,583 | 500,573 | |||
Bank Polska Kasa Opieki SA | 24,349 | 635,656 | |||
CD Projekt SA | 8,527 | 304,361 | |||
Cyfrowy Polsat SA | 32,385 | 106,426 | |||
Dino Polska SA (A)(B) | 6,495 | 595,602 | |||
KGHM Polska Miedz SA | 18,748 | 516,983 | |||
LPP SA | 147 | 494,527 | |||
mBank SA (A) | 1,984 | 206,052 | |||
ORLEN SA | 77,107 | 1,177,183 | |||
PGE Polska Grupa Energetyczna SA (A) | 119,770 | 245,849 | |||
Powszechna Kasa Oszczednosci Bank Polski SA (A) | 116,549 | 1,052,528 | |||
Powszechny Zaklad Ubezpieczen SA | 82,985 | 831,082 | |||
Santander Bank Polska SA (A) | 4,778 | 429,869 | |||
7,096,691 | |||||
Portugal - 0.1% | |||||
EDP - Energias de Portugal SA | 395,876 | 1,803,655 | |||
Galp Energia SGPS SA | 66,064 | 911,829 | |||
Jeronimo Martins SGPS SA | 38,071 | 970,506 | |||
3,685,990 |
The accompanying notes are an integral part of the financial statements. | 64 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Qatar - 0.2% | |||||
Barwa Real Estate Company | 287,205 | $ | 206,439 | ||
Commercial Bank PSQC | 420,399 | 655,824 | |||
Dukhan Bank | 248,243 | 284,884 | |||
Industries Qatar QSC | 197,905 | 671,538 | |||
Masraf Al Rayan QSC | 722,969 | 440,586 | |||
Mesaieed Petrochemical Holding Company | 574,104 | 289,946 | |||
Ooredoo QPSC | 104,878 | 311,191 | |||
Qatar Electricity & Water Company QSC | 57,987 | 284,746 | |||
Qatar Fuel QSC | 77,708 | 341,569 | |||
Qatar Gas Transport Company, Ltd. | 325,148 | 330,927 | |||
Qatar International Islamic Bank QSC | 126,394 | 343,192 | |||
Qatar Islamic Bank SAQ | 216,631 | 1,149,028 | |||
Qatar National Bank QPSC | 602,086 | 2,579,273 | |||
7,889,143 | |||||
Saudi Arabia - 1.1% | |||||
ACWA Power Company | 10,417 | 535,478 | |||
Advanced Petrochemical Company | 16,642 | 188,683 | |||
Al Rajhi Bank | 257,118 | 4,942,909 | |||
Alinma Bank | 128,012 | 1,257,745 | |||
Almarai Company JSC | 32,619 | 550,890 | |||
Arab National Bank | 89,110 | 612,414 | |||
Arabian Internet & Communications Services Company | 3,113 | 292,508 | |||
Bank AlBilad | 64,289 | 734,173 | |||
Bank Al-Jazira (A) | 53,713 | 253,701 | |||
Banque Saudi Fransi | 77,469 | 791,249 | |||
Bupa Arabia for Cooperative Insurance Company | 9,862 | 529,732 | |||
Dallah Healthcare Company | 4,411 | 164,635 | |||
Dar Al Arkan Real Estate Development Company (A) | 68,964 | 341,953 | |||
Dr Sulaiman Al Habib Medical Services Group Company | 11,434 | 739,732 | |||
Elm Company | 3,141 | 710,718 | |||
Emaar Economic City (A) | 49,284 | 110,456 | |||
Etihad Etisalat Company | 49,878 | 600,043 | |||
Jarir Marketing Company | 77,300 | 304,153 | |||
Mobile Telecommunications Company Saudi Arabia | 57,874 | 208,280 | |||
Mouwasat Medical Services Company | 12,699 | 371,981 | |||
Nahdi Medical Company | 5,141 | 207,862 | |||
National Industrialization Company (A) | 43,905 | 148,892 | |||
Rabigh Refining & Petrochemical Company (A) | 52,609 | 144,738 | |||
Riyad Bank | 192,660 | 1,562,396 | |||
SABIC Agri-Nutrients Company | 30,502 | 1,117,743 | |||
Sahara International Petrochemical Company | 47,107 | 457,280 | |||
Saudi Arabian Mining Company (A) | 168,794 | 1,818,314 | |||
Saudi Arabian Oil Company (B) | 347,909 | 3,239,646 | |||
Saudi Aramco Base Oil Company | 6,655 | 259,554 | |||
Saudi Awwal Bank | 131,567 | 1,255,185 | |||
Saudi Basic Industries Corp. | 117,870 | 2,775,974 | |||
Saudi Electricity Company | 108,849 | 600,432 | |||
Saudi Industrial Investment Group | 48,201 | 331,317 | |||
Saudi Kayan Petrochemical Company (A) | 94,614 | 306,838 | |||
Saudi Research & Media Group (A) | 4,684 | 221,319 | |||
Saudi Tadawul Group Holding Company | 6,253 | 329,644 | |||
Saudi Telecom Company | 261,892 | 2,779,038 | |||
The Saudi Investment Bank | 65,248 | 288,512 | |||
The Saudi National Bank | 384,829 | 3,664,824 | |||
The Savola Group | 34,296 | 346,059 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Saudi Arabia (continued) | |||||
Yanbu National Petrochemical Company | 35,978 | $ | 405,428 | ||
36,502,428 | |||||
Singapore - 0.9% | |||||
BOC Aviation, Ltd. (B) | 23,721 | 177,917 | |||
CapitaLand Ascendas REIT | 464,584 | 951,520 | |||
CapitaLand Integrated Commercial Trust | 731,907 | 1,033,884 | |||
CapitaLand Investment, Ltd. | 356,230 | 853,353 | |||
City Developments, Ltd. | 68,251 | 337,188 | |||
DBS Group Holdings, Ltd. | 250,011 | 6,153,682 | |||
Genting Singapore, Ltd. | 837,081 | 541,591 | |||
Grab Holdings, Ltd., Class A (A) | 257,655 | 971,359 | |||
Jardine Cycle & Carriage, Ltd. | 13,575 | 335,420 | |||
JOYY, Inc., ADR | 5,319 | 182,548 | |||
Keppel Corp., Ltd. | 201,566 | 1,034,070 | |||
Mapletree Logistics Trust | 475,582 | 590,886 | |||
Mapletree Pan Asia Commercial Trust | 322,022 | 361,982 | |||
Oversea-Chinese Banking Corp., Ltd. | 471,761 | 4,377,148 | |||
Sea, Ltd., ADR (A) | 50,580 | 1,903,325 | |||
Seatrium, Ltd. (A) | 5,693,167 | 610,285 | |||
Singapore Airlines, Ltd. | 186,169 | 945,951 | |||
Singapore Exchange, Ltd. | 119,190 | 848,502 | |||
Singapore Technologies Engineering, Ltd. | 217,946 | 614,065 | |||
Singapore Telecommunications, Ltd. | 1,142,056 | 2,006,637 | |||
United Overseas Bank, Ltd. | 175,568 | 3,688,221 | |||
UOL Group, Ltd. | 66,180 | 324,908 | |||
Venture Corp., Ltd. | 38,464 | 372,815 | |||
Wilmar International, Ltd. | 268,101 | 749,420 | |||
29,966,677 | |||||
South Africa - 0.6% | |||||
Absa Group, Ltd. | 83,481 | 804,884 | |||
African Rainbow Minerals, Ltd. | 11,078 | 104,616 | |||
Anglo American Platinum, Ltd. | 6,217 | 216,814 | |||
AngloGold Ashanti, Ltd. | 40,136 | 683,233 | |||
Aspen Pharmacare Holdings, Ltd. | 37,162 | 339,056 | |||
Bid Corp., Ltd. | 32,562 | 731,133 | |||
Capitec Bank Holdings, Ltd. | 8,424 | 706,501 | |||
Clicks Group, Ltd. | 23,241 | 336,476 | |||
Discovery, Ltd. (A) | 54,400 | 422,212 | |||
Exxaro Resources, Ltd. | 23,555 | 208,467 | |||
FirstRand, Ltd. | 494,547 | 1,921,521 | |||
Gold Fields, Ltd. | 86,780 | 1,110,235 | |||
Growthpoint Properties, Ltd. | 334,855 | 208,936 | |||
Harmony Gold Mining Company, Ltd. | 52,077 | 215,801 | |||
Impala Platinum Holdings, Ltd. | 83,893 | 431,892 | |||
Kumba Iron Ore, Ltd. | 6,242 | 136,689 | |||
Momentum Metropolitan Holdings | 15,313 | 16,295 | |||
Mr. Price Group, Ltd. | 24,720 | 173,010 | |||
MTN Group, Ltd. | 165,665 | 1,053,491 | |||
MultiChoice Group | 28,687 | 119,191 | |||
Naspers, Ltd., N Shares | 19,155 | 3,251,261 | |||
Nedbank Group, Ltd. | 45,136 | 516,655 | |||
Northam Platinum Holdings, Ltd. (A) | 34,536 | 228,367 | |||
Old Mutual, Ltd. | 497,524 | 333,211 | |||
OUTsurance Group, Ltd. | 83,590 | 177,277 | |||
Pepkor Holdings, Ltd. (B) | 197,041 | 169,932 | |||
Remgro, Ltd. | 52,044 | 436,483 | |||
Sanlam, Ltd. | 176,870 | 635,843 | |||
Sasol, Ltd. | 56,088 | 722,759 | |||
Shoprite Holdings, Ltd. | 48,687 | 679,488 | |||
Sibanye Stillwater, Ltd. | 275,710 | 416,001 | |||
Standard Bank Group, Ltd. | 131,987 | 1,347,573 | |||
The Bidvest Group, Ltd. | 27,943 | 421,594 | |||
The Foschini Group, Ltd. | 32,501 | 179,382 |
The accompanying notes are an integral part of the financial statements. | 65 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
South Africa (continued) | |||||
Vodacom Group, Ltd. | 60,035 | $ | 342,433 | ||
Woolworths Holdings, Ltd. | 92,415 | 363,191 | |||
20,161,903 | |||||
South Korea - 3.0% | |||||
Amorepacific Corp. | 3,820 | 386,356 | |||
BGF retail Company, Ltd. | 963 | 113,866 | |||
Celltrion Healthcare Company, Ltd. | 14,011 | 685,570 | |||
Celltrion Pharm, Inc. (A) | 2,404 | 124,913 | |||
Celltrion, Inc. | 14,361 | 1,562,853 | |||
CJ CheilJedang Corp. | 1,107 | 250,154 | |||
CJ Corp. | 1,963 | 104,298 | |||
CosmoAM&T Company, Ltd. (A) | 3,009 | 358,187 | |||
Coway Company, Ltd. | 7,332 | 239,412 | |||
DB Insurance Company, Ltd. | 6,280 | 387,837 | |||
Doosan Bobcat, Inc. | 6,666 | 270,877 | |||
Doosan Enerbility Company, Ltd. (A) | 58,504 | 805,200 | |||
Ecopro BM Company, Ltd. | 6,385 | 1,563,621 | |||
E-MART, Inc. | 2,602 | 145,103 | |||
F&F Company, Ltd. | 2,248 | 174,932 | |||
GS Holdings Corp. | 6,299 | 178,784 | |||
Hana Financial Group, Inc. | 38,967 | 1,164,437 | |||
Hankook Tire & Technology Company, Ltd. | 9,846 | 288,204 | |||
Hanmi Pharm Company, Ltd. | 910 | 202,655 | |||
Hanon Systems | 23,978 | 165,093 | |||
Hanwha Solutions Corp. (A) | 12,991 | 357,574 | |||
HD Hyundai Company, Ltd. | 5,640 | 251,945 | |||
HD Hyundai Heavy Industries Company, Ltd. (A) | 2,906 | 287,159 | |||
HD Korea Shipbuilding & Offshore Engineering Company, Ltd. (A) | 5,595 | 523,184 | |||
HLB, Inc. (A) | 15,335 | 334,291 | |||
HMM Company, Ltd. | 31,988 | 402,689 | |||
Hotel Shilla Company, Ltd. | 4,102 | 273,252 | |||
HYBE Company, Ltd. (A) | 2,458 | 469,335 | |||
Hyundai Engineering & Construction Company, Ltd. | 10,672 | 286,244 | |||
Hyundai Glovis Company, Ltd. | 2,490 | 324,675 | |||
Hyundai Mipo Dockyard Company, Ltd. (A) | 3,097 | 212,895 | |||
Hyundai Mobis Company, Ltd. | 8,103 | 1,414,663 | |||
Hyundai Motor Company | 18,052 | 2,579,347 | |||
Hyundai Steel Company | 11,870 | 324,578 | |||
Industrial Bank of Korea | 38,365 | 312,107 | |||
Kakao Corp. | 40,702 | 1,477,159 | |||
Kakao Games Corp. (A) | 4,925 | 105,802 | |||
KakaoBank Corp. | 21,736 | 432,366 | |||
Kakaopay Corp. (A) | 3,612 | 123,262 | |||
Kangwon Land, Inc. | 12,504 | 146,604 | |||
KB Financial Group, Inc. | 51,159 | 2,084,024 | |||
Kia Corp. | 34,615 | 2,098,156 | |||
Korea Aerospace Industries, Ltd. | 9,858 | 376,513 | |||
Korea Electric Power Corp. (A) | 33,086 | 445,295 | |||
Korea Investment Holdings Company, Ltd. | 5,927 | 232,821 | |||
Korea Zinc Company, Ltd. | 1,044 | 415,672 | |||
Korean Air Lines Company, Ltd. | 24,906 | 428,905 | |||
Krafton, Inc. (A) | 3,887 | 455,087 | |||
KT Corp. | 8,789 | 219,226 | |||
KT&G Corp. | 13,481 | 885,719 | |||
Kumho Petrochemical Company, Ltd. | 2,398 | 226,097 | |||
L&F Company, Ltd. | 3,298 | 535,090 | |||
LG Chem, Ltd. | 6,464 | 2,846,152 | |||
LG Corp. | 12,553 | 778,765 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
South Korea (continued) | |||||
LG Display Company, Ltd. (A) | 30,174 | $ | 305,269 | ||
LG Electronics, Inc. | 14,006 | 1,042,348 | |||
LG Energy Solution, Ltd. (A) | 4,603 | 1,891,862 | |||
LG H&H Company, Ltd. | 1,245 | 436,891 | |||
LG Innotek Company, Ltd. | 1,874 | 382,062 | |||
LG Uplus Corp. | 28,429 | 224,609 | |||
Lotte Chemical Corp. | 2,839 | 292,998 | |||
Lotte Energy Materials Corp. | 2,955 | 108,712 | |||
Meritz Financial Group, Inc. (A) | 13,685 | 565,536 | |||
Mirae Asset Securities Company, Ltd. | 39,503 | 198,829 | |||
NAVER Corp. | 17,173 | 2,779,832 | |||
NCSoft Corp. | 1,877 | 356,610 | |||
Netmarble Corp. (A)(B) | 2,773 | 89,781 | |||
NH Investment & Securities Company, Ltd. | 22,089 | 171,988 | |||
Orion Corp. | 3,071 | 282,831 | |||
Pan Ocean Company, Ltd. | 36,071 | 121,578 | |||
Pearl Abyss Corp. (A) | 4,116 | 150,170 | |||
POSCO Future M Company, Ltd. | 4,058 | 1,377,303 | |||
POSCO Holdings, Inc. | 9,405 | 4,112,275 | |||
Posco International Corp. | 6,862 | 410,886 | |||
Samsung Biologics Company, Ltd. (A)(B) | 2,323 | 1,294,195 | |||
Samsung C&T Corp. | 11,162 | 883,118 | |||
Samsung Electro-Mechanics Company, Ltd. | 7,363 | 752,963 | |||
Samsung Electronics Company, Ltd. | 624,088 | 31,564,030 | |||
Samsung Engineering Company, Ltd. (A) | 20,519 | 527,107 | |||
Samsung Fire & Marine Insurance Company, Ltd. | 4,115 | 766,546 | |||
Samsung Heavy Industries Company, Ltd. (A) | 81,275 | 541,211 | |||
Samsung Life Insurance Company, Ltd. | 10,891 | 556,649 | |||
Samsung SDI Company, Ltd. | 7,193 | 3,336,124 | |||
Samsung SDS Company, Ltd. | 5,109 | 548,294 | |||
Samsung Securities Company, Ltd. | 8,893 | 250,995 | |||
Shinhan Financial Group Company, Ltd. | 56,226 | 1,510,322 | |||
SK Biopharmaceuticals Company, Ltd. (A) | 4,095 | 265,154 | |||
SK Bioscience Company, Ltd. (A) | 3,593 | 199,723 | |||
SK Hynix, Inc. | 71,324 | 6,558,256 | |||
SK IE Technology Company, Ltd. (A)(B) | 3,293 | 224,538 | |||
SK Innovation Company, Ltd. (A) | 7,810 | 1,047,564 | |||
SK Square Company, Ltd. (A) | 12,901 | 439,536 | |||
SK, Inc. | 4,828 | 527,169 | |||
SKC Company, Ltd. | 2,543 | 175,734 | |||
S-Oil Corp. | 5,883 | 324,942 | |||
Woori Financial Group, Inc. | 80,329 | 722,683 | |||
Yuhan Corp. | 7,129 | 392,421 | |||
100,550,649 | |||||
Spain - 3.3% | |||||
Acciona SA | 6,785 | 969,704 | |||
ACS Actividades de Construccion y Servicios SA | 60,214 | 2,113,845 | |||
Aena SME SA (B) | 20,654 | 3,246,753 | |||
Amadeus IT Group SA | 124,067 | 8,512,677 | |||
Banco Bilbao Vizcaya Argentaria SA | 1,661,165 | 13,106,423 | |||
Banco Santander SA | 4,532,848 | 17,694,498 | |||
CaixaBank SA | 1,133,097 | 4,589,320 | |||
Cellnex Telecom SA (A)(B) | 155,496 | 5,947,025 | |||
Corp ACCIONA Energias Renovables SA | 17,893 | 531,713 | |||
EDP Renovaveis SA | 34,562 | 632,109 | |||
Enagas SA | 67,979 | 1,160,067 | |||
Endesa SA | 87,046 | 1,807,769 | |||
Ferrovial SE | 140,528 | 4,457,167 |
The accompanying notes are an integral part of the financial statements. | 66 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Spain (continued) | |||||
Grifols SA (A) | 82,142 | $ | 1,125,334 | ||
Iberdrola SA | 1,647,570 | 19,544,715 | |||
Industria de Diseno Textil SA | 300,429 | 11,509,859 | |||
Mapfre SA | 12,889 | 27,263 | |||
Naturgy Energy Group SA (C) | 34,588 | 1,001,808 | |||
Redeia Corp. SA | 111,095 | 1,804,108 | |||
Repsol SA | 365,252 | 5,645,383 | |||
Telefonica SA | 1,432,193 | 5,934,546 | |||
111,362,086 | |||||
Sweden - 0.6% | |||||
Alfa Laval AB | 14,336 | 503,338 | |||
Assa Abloy AB, B Shares | 49,641 | 1,117,217 | |||
Atlas Copco AB, A Shares | 132,670 | 1,754,059 | |||
Atlas Copco AB, B Shares | 76,606 | 881,937 | |||
Beijer Ref AB | 19,003 | 217,816 | |||
Boliden AB | 13,440 | 357,376 | |||
Embracer Group AB (A) | 36,827 | 89,158 | |||
Epiroc AB, A Shares | 32,567 | 624,811 | |||
Epiroc AB, B Shares | 19,011 | 311,181 | |||
EQT AB | 18,086 | 363,552 | |||
Essity AB, B Shares | 30,090 | 702,487 | |||
Evolution AB (B) | 9,039 | 977,631 | |||
Fastighets AB Balder, B Shares (A) | 32,387 | 154,798 | |||
Getinge AB, B Shares | 11,377 | 197,247 | |||
Hennes & Mauritz AB, B Shares | 32,404 | 494,744 | |||
Hexagon AB, B Shares | 102,350 | 913,797 | |||
Holmen AB, B Shares | 4,585 | 173,790 | |||
Husqvarna AB, B Shares | 20,765 | 178,778 | |||
Industrivarden AB, A Shares | 3,815 | 99,377 | |||
Industrivarden AB, C Shares | 10,137 | 263,570 | |||
Indutrade AB | 13,036 | 250,182 | |||
Investment AB Latour, B Shares | 7,175 | 130,375 | |||
Investor AB, A Shares | 20,219 | 385,849 | |||
Investor AB, B Shares | 86,933 | 1,673,272 | |||
Kinnevik AB, B Shares (A) | 11,957 | 140,402 | |||
L.E. Lundbergforetagen AB, B Shares | 3,807 | 154,722 | |||
Lifco AB, B Shares | 11,439 | 209,179 | |||
Nibe Industrier AB, B Shares | 74,703 | 559,157 | |||
Saab AB, B Shares | 4,132 | 217,815 | |||
Sagax AB, B Shares | 9,295 | 193,311 | |||
Sandvik AB | 52,662 | 995,934 | |||
Securitas AB, B Shares | 24,260 | 197,383 | |||
Skandinaviska Enskilda Banken AB, A Shares | 79,502 | 921,714 | |||
Skanska AB, B Shares | 17,021 | 249,162 | |||
SKF AB, B Shares | 16,940 | 274,282 | |||
Svenska Cellulosa AB SCA, B Shares | 29,828 | 397,069 | |||
Svenska Handelsbanken AB, A Shares | 70,495 | 588,214 | |||
Swedbank AB, A Shares | 41,307 | 731,040 | |||
Swedish Orphan Biovitrum AB (A)(C) | 8,391 | 161,849 | |||
Tele2 AB, B Shares | 25,585 | 180,753 | |||
Telefonaktiebolaget LM Ericsson, B Shares | 143,945 | 738,724 | |||
Telia Company AB | 116,936 | 236,071 | |||
Volvo AB, A Shares | 7,613 | 155,715 | |||
Volvo AB, B Shares | 77,039 | 1,552,615 | |||
Volvo Car AB, B Shares (A) | 29,099 | 110,478 | |||
21,781,931 | |||||
Switzerland - 9.8% | |||||
ABB, Ltd. | 321,081 | 12,210,145 | |||
Adecco Group AG | 32,540 | 1,399,712 | |||
Alcon, Inc. | 102,214 | 8,530,739 | |||
Bachem Holding AG | 6,875 | 639,871 | |||
Baloise Holding AG | 9,684 | 1,512,848 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Switzerland (continued) | |||||
Banque Cantonale Vaudoise | 6,083 | $ | 659,060 | ||
Barry Callebaut AG | 721 | 1,256,372 | |||
BKW AG | 4,228 | 726,469 | |||
Chocoladefabriken Lindt & Spruengli AG | 22 | 2,592,029 | |||
Chocoladefabriken Lindt & Spruengli AG, Participation Certificates | 206 | 2,462,271 | |||
Cie Financiere Richemont SA, A Shares | 106,769 | 15,144,287 | |||
Clariant AG (A) | 43,598 | 725,297 | |||
Coca-Cola HBC AG (A) | 24,116 | 694,708 | |||
DSM-Firmenich AG | 24,175 | 2,236,215 | |||
Dufry AG (A) | 19,930 | 885,541 | |||
EMS-Chemie Holding AG | 1,410 | 1,058,159 | |||
Geberit AG | 6,948 | 3,595,884 | |||
Givaudan SA | 1,885 | 6,278,997 | |||
Glencore PLC | 1,170,536 | 6,233,340 | |||
Helvetia Holding AG | 7,734 | 1,176,143 | |||
Holcim, Ltd. (A) | 113,440 | 7,501,808 | |||
Julius Baer Group, Ltd. | 43,863 | 3,044,507 | |||
Kuehne + Nagel International AG | 11,073 | 3,326,828 | |||
Logitech International SA | 33,516 | 2,318,722 | |||
Lonza Group AG | 15,226 | 8,398,529 | |||
Nestle SA | 562,256 | 67,605,332 | |||
Novartis AG | 419,116 | 42,180,576 | |||
Partners Group Holding AG | 4,661 | 5,024,116 | |||
Roche Holding AG | 143,678 | 42,167,829 | |||
Roche Holding AG, Bearer Shares | 6,494 | 2,023,910 | |||
Schindler Holding AG | 4,537 | 952,016 | |||
Schindler Holding AG, Participation Certificates | 8,516 | 1,896,504 | |||
SGS SA (A) | 30,460 | 2,766,463 | |||
SIG Group AG (A) | 62,467 | 1,643,222 | |||
Sika AG | 29,856 | 8,436,781 | |||
Sonova Holding AG | 10,635 | 2,810,113 | |||
STMicroelectronics NV | 116,834 | 5,513,957 | |||
Straumann Holding AG | 22,832 | 3,451,959 | |||
Swiss Life Holding AG | 6,358 | 3,981,795 | |||
Swiss Prime Site AG | 15,559 | 1,494,035 | |||
Swiss Re AG | 62,071 | 6,027,568 | |||
Swisscom AG | 5,283 | 3,216,763 | |||
Temenos AG | 13,082 | 1,036,826 | |||
The Swatch Group AG | 10,322 | 549,939 | |||
The Swatch Group AG, Bearer Shares | 5,997 | 1,683,600 | |||
UBS Group AG | 672,991 | 17,825,312 | |||
VAT Group AG (B) | 5,520 | 2,206,052 | |||
Zurich Insurance Group AG | 30,916 | 14,496,302 | |||
333,599,451 | |||||
Taiwan - 3.8% | |||||
Accton Technology Corp. | 66,000 | 984,346 | |||
Acer, Inc. | 381,000 | 436,847 | |||
Advantech Company, Ltd. | 60,844 | 654,766 | |||
Airtac International Group | 18,000 | 518,514 | |||
ASE Technology Holding Company, Ltd. | 400,000 | 1,480,508 | |||
Asia Cement Corp. | 302,000 | 378,297 | |||
Asustek Computer, Inc. | 93,000 | 1,171,707 | |||
AUO Corp. (A) | 846,800 | 472,864 | |||
Catcher Technology Company, Ltd. | 85,000 | 480,926 | |||
Cathay Financial Holding Company, Ltd. (A) | 1,257,000 | 1,797,305 | |||
Chailease Holding Company, Ltd. | 200,895 | 1,119,872 | |||
Chang Hwa Commercial Bank, Ltd. | 727,288 | 394,696 | |||
Cheng Shin Rubber Industry Company, Ltd. | 248,000 | 308,081 | |||
China Airlines, Ltd. | 383,000 | 271,458 |
The accompanying notes are an integral part of the financial statements. | 67 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Taiwan (continued) | |||||
China Development Financial Holding Corp. (A) | 2,124,548 | $ | 789,327 | ||
China Steel Corp. | 1,536,000 | 1,277,572 | |||
Chunghwa Telecom Company, Ltd. | 499,000 | 1,819,280 | |||
Compal Electronics, Inc. | 545,000 | 544,153 | |||
CTBC Financial Holding Company, Ltd. | 2,324,000 | 1,737,012 | |||
Delta Electronics, Inc. | 255,000 | 2,755,760 | |||
E Ink Holdings, Inc. | 112,000 | 640,171 | |||
E.Sun Financial Holding Company, Ltd. | 1,809,733 | 1,387,904 | |||
Eclat Textile Company, Ltd. | 25,340 | 403,711 | |||
eMemory Technology, Inc. | 8,000 | 453,198 | |||
Eva Airways Corp. | 338,000 | 333,573 | |||
Evergreen Marine Corp. Taiwan, Ltd. | 133,560 | 446,027 | |||
Far Eastern New Century Corp. | 382,000 | 337,210 | |||
Far EasTone Telecommunications Company, Ltd. | 207,000 | 459,132 | |||
Feng TAY Enterprise Company, Ltd. | 64,110 | 337,412 | |||
First Financial Holding Company, Ltd. | 1,421,252 | 1,172,989 | |||
Formosa Chemicals & Fibre Corp. | 458,000 | 891,327 | |||
Formosa Petrochemical Corp. | 144,000 | 358,660 | |||
Formosa Plastics Corp. | 501,000 | 1,250,703 | |||
Fubon Financial Holding Company, Ltd. | 981,255 | 1,956,782 | |||
Giant Manufacturing Company, Ltd. | 41,000 | 251,676 | |||
Global Unichip Corp. | 11,000 | 500,642 | |||
Globalwafers Company, Ltd. | 29,000 | 416,472 | |||
Hon Hai Precision Industry Company, Ltd. | 1,635,800 | 5,461,519 | |||
Hotai Motor Company, Ltd. | 39,820 | 846,993 | |||
Hua Nan Financial Holdings Company, Ltd. | 1,142,104 | 734,902 | |||
Innolux Corp. | 1,172,822 | 531,266 | |||
Inventec Corp. | 351,000 | 618,339 | |||
Largan Precision Company, Ltd. | 13,000 | 834,980 | |||
Lite-On Technology Corp. | 263,000 | 1,124,342 | |||
MediaTek, Inc. | 199,000 | 4,388,638 | |||
Mega Financial Holding Company, Ltd. | 1,474,475 | 1,659,407 | |||
Micro-Star International Company, Ltd. | 88,000 | 440,049 | |||
momo.com, Inc. | 11,220 | 183,006 | |||
Nan Ya Plastics Corp. | 623,000 | 1,292,966 | |||
Nan Ya Printed Circuit Board Corp. | 30,000 | 226,578 | |||
Nanya Technology Corp. | 164,000 | 341,722 | |||
Nien Made Enterprise Company, Ltd. | 22,000 | 206,187 | |||
Novatek Microelectronics Corp. | 76,000 | 950,069 | |||
Pegatron Corp. | 264,000 | 645,577 | |||
PharmaEssentia Corp. (A) | 31,000 | 348,134 | |||
Pou Chen Corp. | 293,000 | 262,900 | |||
Powerchip Semiconductor Manufacturing Corp. | 391,000 | 341,000 | |||
President Chain Store Corp. | 73,000 | 612,146 | |||
Quanta Computer, Inc. | 354,000 | 2,806,069 | |||
Realtek Semiconductor Corp. | 60,000 | 784,101 | |||
Ruentex Development Company, Ltd. (A) | 223,464 | 258,161 | |||
Shin Kong Financial Holding Company, Ltd. (A) | 1,752,988 | 520,641 | |||
SinoPac Financial Holdings Company, Ltd. | 1,379,273 | 740,320 | |||
Synnex Technology International Corp. | 166,000 | 318,167 | |||
Taishin Financial Holding Company, Ltd. | 1,459,003 | 814,560 | |||
Taiwan Business Bank | 800,768 | 335,077 | |||
Taiwan Cement Corp. | 795,442 | 872,058 | |||
Taiwan Cooperative Financial Holding Company, Ltd. | 1,328,932 | 1,095,156 | |||
Taiwan High Speed Rail Corp. | 243,000 | 226,758 | |||
Taiwan Mobile Company, Ltd. | 222,000 | 649,482 | |||
Taiwan Semiconductor Manufacturing Company, Ltd. | 3,222,816 | 55,377,511 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Taiwan (continued) | |||||
The Shanghai Commercial & Savings Bank, Ltd. | 501,000 | $ | 670,081 | ||
Unimicron Technology Corp. | 179,000 | 1,035,745 | |||
Uni-President Enterprises Corp. | 629,000 | 1,394,629 | |||
United Microelectronics Corp. | 1,476,000 | 2,107,358 | |||
Vanguard International Semiconductor Corp. | 116,000 | 248,022 | |||
Voltronic Power Technology Corp. | 8,000 | 363,100 | |||
Walsin Lihwa Corp. | 367,000 | 436,474 | |||
Wan Hai Lines, Ltd. | 92,545 | 131,364 | |||
Win Semiconductors Corp. | 44,000 | 187,471 | |||
Winbond Electronics Corp. (A) | 388,000 | 319,539 | |||
Wistron Corp. | 341,000 | 1,246,647 | |||
Wiwynn Corp. | 11,000 | 536,079 | |||
WPG Holdings, Ltd. | 207,960 | 357,867 | |||
Yageo Corp. | 41,646 | 632,656 | |||
Yang Ming Marine Transport Corp. | 230,000 | 304,645 | |||
Yuanta Financial Holding Company, Ltd. | 1,330,472 | 1,018,042 | |||
Zhen Ding Technology Holding, Ltd. | 87,000 | 263,380 | |||
129,092,760 | |||||
Thailand - 0.5% | |||||
Advanced Info Service PCL, NVDR | 154,691 | 953,671 | |||
Airports of Thailand PCL, NVDR (A) | 552,167 | 1,142,737 | |||
Asset World Corp. PCL, NVDR | 982,586 | 122,243 | |||
B. Grimm Power PCL, NVDR | 117,679 | 114,277 | |||
Bangkok Dusit Medical Services PCL, NVDR | 1,458,155 | 1,165,566 | |||
Bangkok Expressway & Metro PCL, NVDR | 984,018 | 243,037 | |||
Banpu PCL, NVDR | 983,119 | 241,275 | |||
Berli Jucker PCL, NVDR | 130,520 | 125,726 | |||
BTS Group Holdings PCL, NVDR | 989,688 | 207,627 | |||
Bumrungrad Hospital PCL, NVDR | 77,479 | 572,765 | |||
Carabao Group PCL, NVDR | 46,148 | 113,319 | |||
Central Pattana PCL, NVDR | 264,086 | 518,084 | |||
Central Retail Corp. PCL, NVDR | 228,083 | 268,319 | |||
Charoen Pokphand Foods PCL, NVDR | 501,572 | 296,464 | |||
CP ALL PCL, NVDR | 761,840 | 1,418,628 | |||
CP Axtra PCL, NVDR | 269,453 | 278,699 | |||
Delta Electronics Thailand PCL, NVDR | 405,869 | 1,256,100 | |||
Electricity Generating PCL, NVDR | 31,593 | 120,319 | |||
Energy Absolute PCL, NVDR | 216,759 | 391,391 | |||
Global Power Synergy PCL, NVDR | 93,304 | 140,395 | |||
Gulf Energy Development PCL, NVDR | 381,716 | 523,029 | |||
Home Product Center PCL, NVDR | 756,378 | 295,670 | |||
Indorama Ventures PCL, NVDR | 224,092 | 185,463 | |||
Intouch Holdings PCL, NVDR | 122,286 | 253,924 | |||
Kasikornbank PCL, NVDR | 79,765 | 297,136 | |||
Krung Thai Bank PCL, NVDR | 470,756 | 259,328 | |||
Krungthai Card PCL, NVDR | 132,844 | 183,888 | |||
Land & Houses PCL, NVDR | 1,133,125 | 268,464 | |||
Minor International PCL, NVDR | 417,629 | 396,258 | |||
Muangthai Capital PCL, NVDR | 96,269 | 111,888 | |||
Osotspa PCL, NVDR | 179,326 | 153,577 | |||
PTT Exploration & Production PCL, NVDR | 181,092 | 819,845 | |||
PTT Global Chemical PCL, NVDR | 294,044 | 312,465 | |||
PTT Oil & Retail Business PCL, NVDR | 395,716 | 230,427 | |||
PTT PCL, NVDR | 1,306,410 | 1,296,196 | |||
Ratch Group PCL, NVDR | 140,894 | 142,834 | |||
SCB X PCL, NVDR | 110,092 | 370,775 | |||
SCG Packaging PCL, NVDR | 171,621 | 200,810 | |||
Srisawad Corp. PCL, NVDR | 95,783 | 139,345 |
The accompanying notes are an integral part of the financial statements. | 68 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Thailand (continued) | |||||
Thai Oil PCL, NVDR | 156,169 | $ | 229,687 | ||
The Siam Cement PCL, NVDR | 102,398 | 914,805 | |||
True Corp. PCL, NVDR | 1,325,613 | 260,961 | |||
17,537,417 | |||||
Turkey - 0.2% | |||||
Akbank TAS | 393,566 | 423,378 | |||
Aselsan Elektronik Sanayi Ve Ticaret AS | 174,098 | 250,259 | |||
BIM Birlesik Magazalar AS | 57,225 | 540,169 | |||
Eregli Demir ve Celik Fabrikalari TAS (A) | 173,784 | 279,291 | |||
Ford Otomotiv Sanayi AS | 8,793 | 283,706 | |||
Haci Omer Sabanci Holding AS | 127,866 | 285,896 | |||
Hektas Ticaret TAS (A) | 144,809 | 138,835 | |||
KOC Holding AS | 95,411 | 506,265 | |||
Koza Altin Isletmeleri AS | 117,391 | 124,867 | |||
Pegasus Hava Tasimaciligi AS (A) | 5,901 | 193,045 | |||
Petkim Petrokimya Holding AS (A) | 1 | 1 | |||
Sasa Polyester Sanayi AS (A) | 133,021 | 262,461 | |||
Tofas Turk Otomobil Fabrikasi AS | 15,592 | 157,353 | |||
Turk Hava Yollari AO (A) | 69,876 | 640,119 | |||
Turkcell Iletisim Hizmetleri AS | 153,351 | 319,802 | |||
Turkiye Is Bankasi AS, Class C | 439,566 | 346,048 | |||
Turkiye Petrol Rafinerileri AS | 120,275 | 634,767 | |||
Turkiye Sise ve Cam Fabrikalari AS | 172,704 | 330,850 | |||
Yapi ve Kredi Bankasi AS | 418,596 | 248,615 | |||
5,965,727 | |||||
United Arab Emirates - 0.8% | |||||
Abu Dhabi Commercial Bank PJSC | 949,798 | 2,231,635 | |||
Abu Dhabi Islamic Bank PJSC | 470,658 | 1,335,294 | |||
Abu Dhabi National Oil Company for Distribution PJSC | 1,010,124 | 1,047,559 | |||
Aldar Properties PJSC | 1,249,754 | 1,788,877 | |||
Americana Restaurants International PLC | 829,253 | 995,766 | |||
Dubai Islamic Bank PJSC | 946,051 | 1,452,424 | |||
Emaar Properties PJSC | 2,158,020 | 4,147,199 | |||
Emirates NBD Bank PJSC | 615,004 | 2,736,624 | |||
Emirates Telecommunications Group Company PJSC | 1,130,717 | 6,106,129 | |||
First Abu Dhabi Bank PJSC | 1,434,572 | 5,341,704 | |||
Multiply Group PJSC (A) | 1,285,670 | 1,332,934 | |||
NMC Health PLC (A) | 5,577 | 1 | |||
28,516,146 | |||||
United Kingdom - 6.9% | |||||
3i Group PLC | 107,586 | 2,709,174 | |||
abrdn PLC | 223,929 | 467,133 | |||
Admiral Group PLC | 23,541 | 741,637 | |||
Anglo American PLC | 139,463 | 3,708,559 | |||
Ashtead Group PLC | 48,188 | 3,361,516 | |||
Associated British Foods PLC | 38,417 | 967,719 | |||
AstraZeneca PLC | 170,071 | 22,844,418 | |||
Auto Trader Group PLC (B) | 100,589 | 771,364 | |||
Aviva PLC | 311,757 | 1,479,215 | |||
BAE Systems PLC | 336,973 | 4,288,918 | |||
Barclays PLC | 1,703,394 | 3,172,845 | |||
Barratt Developments PLC | 107,701 | 617,394 | |||
BP PLC | 1,938,729 | 11,979,973 | |||
British American Tobacco PLC | 233,430 | 7,732,231 | |||
BT Group PLC | 761,528 | 1,114,050 | |||
Bunzl PLC | 36,915 | 1,321,893 | |||
Burberry Group PLC | 41,439 | 1,144,117 | |||
Centrica PLC | 622,850 | 1,195,478 | |||
CNH Industrial NV | 176,651 | 2,435,638 | |||
Coca-Cola Europacific Partners PLC | 28,455 | 1,824,250 | |||
Compass Group PLC | 191,468 | 4,828,203 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
United Kingdom (continued) | |||||
Croda International PLC | 15,304 | $ | 1,068,801 | ||
Diageo PLC | 247,458 | 10,134,160 | |||
Endeavour Mining PLC | 19,917 | 406,724 | |||
Entain PLC | 70,104 | 1,025,392 | |||
Ferguson PLC | 30 | 4,867 | |||
GSK PLC | 449,339 | 7,870,604 | |||
Haleon PLC | 556,810 | 2,279,885 | |||
Halma PLC | 41,772 | 1,132,375 | |||
Hargreaves Lansdown PLC | 39,303 | 378,221 | |||
HSBC Holdings PLC | 2,193,548 | 16,182,293 | |||
Imperial Brands PLC | 96,521 | 2,185,391 | |||
Informa PLC | 152,441 | 1,408,480 | |||
InterContinental Hotels Group PLC | 19,114 | 1,437,668 | |||
Intertek Group PLC | 17,662 | 924,953 | |||
J Sainsbury PLC | 179,520 | 613,915 | |||
JD Sports Fashion PLC | 283,648 | 520,636 | |||
Johnson Matthey PLC | 20,056 | 413,479 | |||
Kingfisher PLC | 213,944 | 634,022 | |||
Land Securities Group PLC | 76,335 | 581,665 | |||
Legal & General Group PLC | 669,193 | 1,848,914 | |||
Lloyds Banking Group PLC | 7,280,855 | 3,889,897 | |||
London Stock Exchange Group PLC | 44,104 | 4,562,748 | |||
M&G PLC | 240,602 | 581,137 | |||
Mondi PLC | 53,174 | 883,265 | |||
National Grid PLC | 403,014 | 5,030,588 | |||
NatWest Group PLC | 626,982 | 1,823,317 | |||
Next PLC | 13,375 | 1,182,067 | |||
Ocado Group PLC (A) | 63,609 | 700,663 | |||
Pearson PLC | 70,855 | 750,973 | |||
Pepco Group NV (A) | 21,767 | 170,526 | |||
Persimmon PLC | 35,157 | 473,962 | |||
Phoenix Group Holdings PLC | 83,044 | 547,045 | |||
Reckitt Benckiser Group PLC | 78,501 | 5,665,087 | |||
RELX PLC | 208,734 | 6,803,642 | |||
Rentokil Initial PLC | 275,893 | 2,100,505 | |||
Rio Tinto PLC | 123,513 | 7,606,516 | |||
Rolls-Royce Holdings PLC (A) | 919,812 | 2,580,373 | |||
Schroders PLC | 93,928 | 488,642 | |||
Segro PLC | 132,471 | 1,234,931 | |||
Severn Trent PLC | 27,115 | 823,428 | |||
Shell PLC | 751,730 | 22,984,370 | |||
Smith & Nephew PLC | 95,687 | 1,291,300 | |||
Smiths Group PLC | 38,894 | 806,657 | |||
Spirax-Sarco Engineering PLC | 8,080 | 1,035,423 | |||
SSE PLC | 119,313 | 2,451,784 | |||
St. James's Place PLC | 61,321 | 685,683 | |||
Standard Chartered PLC | 263,272 | 2,368,848 | |||
Taylor Wimpey PLC | 388,876 | 562,004 | |||
Tesco PLC | 800,704 | 2,693,798 | |||
The Berkeley Group Holdings PLC | 11,903 | 611,532 | |||
The British Land Company PLC | 95,184 | 389,452 | |||
The Sage Group PLC | 112,553 | 1,383,121 | |||
Unilever PLC | 277,170 | 14,154,879 | |||
United Utilities Group PLC | 74,049 | 886,718 | |||
Vodafone Group PLC | 2,520,449 | 2,336,594 | |||
Whitbread PLC | 22,231 | 966,905 | |||
Wise PLC, Class A (A) | 67,395 | 545,528 | |||
WPP PLC | 118,040 | 1,144,210 | |||
234,956,288 | |||||
United States - 0.1% | |||||
BeiGene, Ltd. (A) | 79,438 | 1,274,337 | |||
Brookfield Renewable Corp., Class A (C) | 13,200 | 368,490 | |||
Legend Biotech Corp., ADR (A) | 6,683 | 463,533 |
The accompanying notes are an integral part of the financial statements. | 69 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
United States (continued) | |||||
Parade Technologies, Ltd. | 9,924 | $ | 278,621 | ||
Southern Copper Corp. | 11,510 | 928,397 | |||
3,313,378 | |||||
TOTAL COMMON STOCKS (Cost $3,285,827,149) | $ | 3,208,358,314 | |||
PREFERRED SECURITIES - 0.9% | |||||
Brazil - 0.4% | |||||
Banco Bradesco SA | 700,987 | 2,116,246 | |||
Centrais Eletricas Brasileiras SA, B Shares | 35,800 | 280,064 | |||
Cia Energetica de Minas Gerais | 184,594 | 459,617 | |||
Gerdau SA | 152,345 | 795,250 | |||
Itau Unibanco Holding SA | 635,000 | 3,517,341 | |||
Itausa SA | 670,440 | 1,250,970 | |||
Petroleo Brasileiro SA | 628,500 | 4,053,733 | |||
12,473,221 | |||||
Chile - 0.0% | |||||
Sociedad Quimica y Minera de Chile SA, B Shares | 18,539 | 1,148,134 | |||
Colombia - 0.0% | |||||
Bancolombia SA | 60,688 | 403,548 | |||
Germany - 0.4% | |||||
Bayerische Motoren Werke AG | 9,941 | 955,148 | |||
Dr. Ing. h.c. F. Porsche AG (B) | 19,302 | 2,128,817 | |||
Henkel AG & Company KGaA | 29,077 | 2,228,199 | |||
Porsche Automobil Holding SE | 26,004 | 1,394,779 | |||
Sartorius AG | 4,454 | 1,821,361 | |||
Volkswagen AG | 35,160 | 4,302,971 | |||
12,831,275 | |||||
South Korea - 0.1% | |||||
Hyundai Motor Company | 3,063 | 235,725 | |||
Hyundai Motor Company, 2nd Preferred | 4,698 | 369,710 | |||
LG Chem, Ltd. | 1,017 | 262,479 | |||
Samsung Electronics Company, Ltd. | 107,617 | 4,392,921 | |||
5,260,835 | |||||
TOTAL PREFERRED SECURITIES (Cost $35,945,239) | $ | 32,117,013 | |||
WARRANTS - 0.0% | |||||
BTS Group Holdings PCL (Expiration Date: 11-20-26; Strike Price: THB 14.90) (A) | 100,920 | 490 | |||
BTS Group Holdings PCL (Expiration Date: 11-7-24; Strike Price: THB 11.90) (A) | 50,460 | 217 | |||
Cie Financiere Richemont SA (Expiration Date: 11-22-23; Strike Price: CHF 67.00) (A) | 72,322 | 69,182 | |||
Constellation Software, Inc. (Expiration Date: 3-31-40) (A)(D)(E) | 2,017 | 0 | |||
Minor International PCL (Expiration Date: 2-15-24; Strike Price: THB 31.00) (A) | 5,503 | 462 | |||
Srisawad Corp. PCL (Expiration Date: 8-29-25; Strike Price: THB 100.00) (A) | 2,652 | 207 | |||
TOTAL WARRANTS (Cost $0) | $ | 70,558 | |||
RIGHTS - 0.0% | |||||
Alstom SA (Expiration Date: 9-7-23; Strike Price: EUR 23.75) (A)(C) | 45,028 | 12,207 | |||
Constellation Software, Inc. (Expiration Date: 10-2-23; Strike Price: CAD 133.00) (A) | 2,017 | 1,120 |
Shares or Principal Amount | Value | ||||
RIGHTS (continued) | |||||
Itausa SA (Expiration Date: 9-25-23; Strike Price: BRL 6.50) (A) | 12,018 | $ | 6,722 | ||
SK Innovation Company, Ltd. (Expiration Date: 9-7-23; Strike Price: KRW 158,900.00) (A) | 535 | 15,320 | |||
Swedish Orphan Biovitrum AB (Expiration Date: 9-15-23; Strike Price: SEK 142.00) (A)(C) | 8,391 | 7,580 | |||
TOTAL RIGHTS (Cost $12,452) | $ | 42,949 | |||
SHORT-TERM INVESTMENTS - 4.9% | |||||
U.S. Government - 1.5% | |||||
U.S. Treasury Bill 5.270%, 09/19/2023 * | $ | 50,000,000 | 49,868,125 | ||
U.S. Government Agency - 2.7% | |||||
Federal Home Loan Bank Discount Note 5.170%, 09/01/2023 * | 41,200,000 | 41,200,000 | |||
Tennessee Valley Authority Discount Note 5.245%, 09/06/2023 * | 50,000,000 | 49,964,512 | |||
91,164,512 | |||||
Short-term funds - 0.7% | |||||
John Hancock Collateral Trust, 5.4789% (F)(G) | 2,522,734 | 25,218,768 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $166,245,896) | $ | 166,251,405 | |||
Total Investments (International Strategic Equity Allocation Fund) (Cost $3,488,030,736) - 100.1% | $ | 3,406,840,239 | |||
Other assets and liabilities, net - (0.1%) | (4,544,970) | ||||
TOTAL NET ASSETS - 100.0% | $ | 3,402,295,269 |
Currency Abbreviations | |
BRL | Brazilian Real |
CAD | Canadian Dollar |
CHF | Swiss Franc |
EUR | Euro |
KRW | Korean Won |
SEK | Swedish Krona |
THB | Thai Bhat |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
NVDR | Non-Voting Depositary Receipt |
(A) | Non-income producing security. |
(B) | These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration. |
(C) | All or a portion of this security is on loan as of 8-31-23. |
(D) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. Refer to Note 2 to the financial statements. |
(E) | Strike price and/or expiration date not available. |
(F) | The rate shown is the annualized seven-day yield as of 8-31-23. |
(G) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
* | Yield represents either the annualized yield at the date of purchase, the stated coupon rate or, for floating rate securities, the rate at period end. |
The accompanying notes are an integral part of the financial statements. | 70 |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
Canadian Dollar Currency Futures | 112 | Long | Sep 2023 | $8,340,109 | $8,289,120 | $(50,989) |
Mini MSCI EAFE Index Futures | 1,010 | Long | Sep 2023 | 105,902,771 | 106,499,450 | 596,679 |
Mini MSCI Emerging Markets Index Futures | 856 | Long | Sep 2023 | 41,700,577 | 41,896,920 | 196,343 |
S&P/TSX 60 Index Futures | 47 | Long | Sep 2023 | 8,304,865 | 8,460,139 | 155,274 |
$897,307 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS – 96.9% | |||||
Communication services – 4.0% | |||||
Entertainment – 0.5% | |||||
Madison Square Garden Entertainment Corp. (A) | 123,996 | $ | 3,979,032 | ||
Sphere Entertainment Company (A) | 104,296 | 3,656,618 | |||
7,635,650 | |||||
Media – 3.5% | |||||
DISH Network Corp., Class A (A) | 321,841 | 1,931,046 | |||
News Corp., Class A | 1,379,234 | 29,639,739 | |||
News Corp., Class B | 124,876 | 2,747,272 | |||
Paramount Global, Class B (B) | 399,638 | 6,030,537 | |||
Scholastic Corp. | 220,695 | 9,589,198 | |||
49,937,792 | |||||
57,573,442 | |||||
Consumer discretionary – 7.4% | |||||
Automobiles – 1.2% | |||||
General Motors Company | 503,474 | 16,871,414 | |||
Diversified consumer services – 1.1% | |||||
Bright Horizons Family Solutions, Inc. (A) | 169,247 | 15,980,302 | |||
Hotels, restaurants and leisure – 0.8% | |||||
Compass Group PLC | 437,288 | 11,026,965 | |||
Specialty retail – 3.1% | |||||
Advance Auto Parts, Inc. | 161,800 | 11,135,076 | |||
Bath & Body Works, Inc. | 363,624 | 13,406,817 | |||
Best Buy Company, Inc. | 137,662 | 10,524,260 | |||
Burlington Stores, Inc. (A) | 60,696 | 9,848,533 | |||
44,914,686 | |||||
Textiles, apparel and luxury goods – 1.2% | |||||
Ralph Lauren Corp. | 145,252 | 16,940,741 | |||
105,734,108 | |||||
Consumer staples – 7.5% | |||||
Beverages – 1.9% | |||||
Constellation Brands, Inc., Class A | 74,072 | 19,300,200 | |||
Monster Beverage Corp. (A) | 129,276 | 7,421,735 | |||
26,721,935 | |||||
Consumer staples distribution and retail – 1.9% | |||||
Dollar General Corp. | 97,500 | 13,503,750 | |||
Sysco Corp. | 193,560 | 13,481,454 | |||
26,985,204 | |||||
Food products – 3.0% | |||||
Bunge, Ltd. | 95,046 | 10,865,659 | |||
Flowers Foods, Inc. | 699,279 | 16,475,013 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Food products (continued) | |||||
Tyson Foods, Inc., Class A | 309,557 | $ | 16,490,101 | ||
43,830,773 | |||||
Personal care products – 0.7% | |||||
Kenvue, Inc. | 460,500 | 10,614,525 | |||
108,152,437 | |||||
Energy – 6.9% | |||||
Energy equipment and services – 5.2% | |||||
Baker Hughes Company | 314,300 | 11,374,517 | |||
Expro Group Holdings NV (A) | 393,423 | 9,249,375 | |||
SEACOR Marine Holdings, Inc. (A)(B) | 317,873 | 3,652,361 | |||
TechnipFMC PLC | 1,407,076 | 26,790,727 | |||
Tidewater, Inc. (A)(B) | 355,627 | 23,126,424 | |||
74,193,404 | |||||
Oil, gas and consumable fuels – 1.7% | |||||
Cameco Corp. | 312,651 | 11,568,087 | |||
Suncor Energy, Inc. (B) | 396,885 | 13,446,464 | |||
25,014,551 | |||||
99,207,955 | |||||
Financials – 15.5% | |||||
Banks – 4.6% | |||||
Fifth Third Bancorp | 858,700 | 22,798,485 | |||
Popular, Inc. | 274,053 | 18,712,339 | |||
Webster Financial Corp. | 345,770 | 14,664,106 | |||
Western Alliance Bancorp | 190,800 | 9,541,908 | |||
65,716,838 | |||||
Capital markets – 1.6% | |||||
Main Street Capital Corp. (B) | 217,141 | 8,759,468 | |||
Morningstar, Inc. | 40,600 | 9,446,402 | |||
Open Lending Corp. (A) | 666,800 | 5,501,100 | |||
23,706,970 | |||||
Consumer finance – 0.8% | |||||
OneMain Holdings, Inc. | 260,953 | 10,832,159 | |||
Financial services – 5.5% | |||||
Apollo Global Management, Inc. | 193,293 | 16,882,211 | |||
Corebridge Financial, Inc. | 385,306 | 6,870,006 | |||
FleetCor Technologies, Inc. (A) | 84,148 | 22,865,536 | |||
Global Payments, Inc. | 175,023 | 22,173,664 | |||
Jackson Financial, Inc., Class A (B) | 259,630 | 9,762,088 | |||
78,553,505 | |||||
Insurance – 3.0% | |||||
Assurant, Inc. | 63,366 | 8,828,785 | |||
Kemper Corp. | 263,992 | 12,399,704 | |||
RenaissanceRe Holdings, Ltd. | 71,040 | 13,347,706 |
The accompanying notes are an integral part of the financial statements. | 71 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Insurance (continued) | |||||
The Allstate Corp. | 85,700 | $ | 9,239,317 | ||
43,815,512 | |||||
222,624,984 | |||||
Health care – 10.1% | |||||
Health care equipment and supplies – 3.8% | |||||
Baxter International, Inc. | 418,974 | 17,010,344 | |||
Dentsply Sirona, Inc. | 293,612 | 10,890,069 | |||
Koninklijke Philips NV (A) | 416,556 | 9,360,672 | |||
Teleflex, Inc. | 34,000 | 7,233,160 | |||
Zimmer Biomet Holdings, Inc. | 82,249 | 9,797,501 | |||
54,291,746 | |||||
Health care providers and services – 3.3% | |||||
Cardinal Health, Inc. | 97,035 | 8,474,067 | |||
Centene Corp. (A) | 136,917 | 8,440,933 | |||
Select Medical Holdings Corp. | 1,047,336 | 30,592,685 | |||
47,507,685 | |||||
Life sciences tools and services – 1.2% | |||||
Charles River Laboratories International, Inc. (A) | 82,149 | 16,990,056 | |||
Pharmaceuticals – 1.8% | |||||
Catalent, Inc. (A) | 235,400 | 11,762,938 | |||
Elanco Animal Health, Inc. (A) | 445,280 | 5,432,416 | |||
Viatris, Inc. | 835,467 | 8,981,270 | |||
26,176,624 | |||||
144,966,111 | |||||
Industrials – 16.9% | |||||
Aerospace and defense – 5.2% | |||||
Huntington Ingalls Industries, Inc. | 48,575 | 10,702,044 | |||
L3Harris Technologies, Inc. | 64,000 | 11,397,760 | |||
Rolls-Royce Holdings PLC (A) | 6,057,353 | 16,992,811 | |||
Spirit AeroSystems Holdings, Inc., Class A (B) | 684,244 | 14,588,082 | |||
Textron, Inc. | 265,561 | 20,636,745 | |||
74,317,442 | |||||
Building products – 1.2% | |||||
Armstrong World Industries, Inc. | 36,800 | 2,818,512 | |||
Fortune Brands Innovations, Inc. | 74,303 | 5,128,393 | |||
Trane Technologies PLC | 48,189 | 9,891,274 | |||
17,838,179 | |||||
Ground transportation – 2.1% | |||||
JB Hunt Transport Services, Inc. | 92,140 | 17,311,263 | |||
Norfolk Southern Corp. | 66,822 | 13,699,178 | |||
31,010,441 | |||||
Machinery – 5.2% | |||||
Alstom SA (B) | 355,453 | 9,802,121 | |||
Esab Corp. | 147,763 | 10,664,056 | |||
PACCAR, Inc. | 102,114 | 8,402,961 | |||
Stanley Black & Decker, Inc. | 349,633 | 32,998,363 | |||
The Middleby Corp. (A) | 86,771 | 12,632,990 | |||
74,500,491 | |||||
Passenger airlines – 1.2% | |||||
Southwest Airlines Company | 547,976 | 17,316,042 | |||
Professional services – 1.3% | |||||
SS&C Technologies Holdings, Inc. | 213,300 | 12,247,686 | |||
Verra Mobility Corp. (A) | 338,342 | 6,019,104 | |||
18,266,790 | |||||
Trading companies and distributors – 0.7% | |||||
Ashtead Group PLC | 142,551 | 9,944,110 | |||
243,193,495 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Information technology – 10.3% | |||||
Communications equipment – 0.6% | |||||
Arista Networks, Inc. (A) | 43,587 | $ | 8,509,490 | ||
Electronic equipment, instruments and components – 2.8% | |||||
Corning, Inc. | 673,801 | 22,114,149 | |||
TE Connectivity, Ltd. | 82,052 | 10,862,864 | |||
Zebra Technologies Corp., Class A (A) | 26,100 | 7,177,761 | |||
40,154,774 | |||||
Semiconductors and semiconductor equipment – 3.3% | |||||
Marvell Technology, Inc. | 360,489 | 20,998,484 | |||
MKS Instruments, Inc. | 271,568 | 27,219,261 | |||
48,217,745 | |||||
Technology hardware, storage and peripherals – 3.6% | |||||
Pure Storage, Inc., Class A (A) | 290,960 | 10,646,226 | |||
Western Digital Corp. (A) | 903,947 | 40,677,611 | |||
51,323,837 | |||||
148,205,846 | |||||
Materials – 5.6% | |||||
Chemicals – 0.8% | |||||
FMC Corp. | 44,700 | 3,854,481 | |||
The Scotts Miracle-Gro Company (B) | 132,107 | 7,485,183 | |||
11,339,664 | |||||
Construction materials – 1.5% | |||||
Summit Materials, Inc., Class A (A) | 283,774 | 10,615,985 | |||
Vulcan Materials Company | 47,597 | 10,388,045 | |||
21,004,030 | |||||
Containers and packaging – 2.1% | |||||
Ball Corp. | 244,059 | 13,289,013 | |||
Westrock Company | 528,780 | 17,296,394 | |||
30,585,407 | |||||
Metals and mining – 1.2% | |||||
Franco-Nevada Corp. | 78,063 | 11,246,110 | |||
Freeport-McMoRan, Inc. | 157,236 | 6,275,289 | |||
17,521,399 | |||||
80,450,500 | |||||
Real estate – 6.3% | |||||
Industrial REITs – 1.1% | |||||
Rexford Industrial Realty, Inc. | 305,759 | 16,348,934 | |||
Office REITs – 0.7% | |||||
Douglas Emmett, Inc. | 196,228 | 2,682,437 | |||
Vornado Realty Trust | 322,669 | 7,750,509 | |||
10,432,946 | |||||
Residential REITs – 1.5% | |||||
Apartment Investment and Management Company, Class A | 1,033,393 | 7,864,121 | |||
Equity Residential | 200,213 | 12,979,809 | |||
20,843,930 | |||||
Retail REITs – 1.1% | |||||
Regency Centers Corp. | 190,299 | 11,836,598 | |||
Simon Property Group, Inc. | 31,900 | 3,620,331 | |||
15,456,929 | |||||
Specialized REITs – 1.9% | |||||
Digital Realty Trust, Inc. | 59,413 | 7,825,880 | |||
Rayonier, Inc. | 340,495 | 10,180,801 | |||
Weyerhaeuser Company | 286,788 | 9,392,307 | |||
27,398,988 | |||||
90,481,727 | |||||
Utilities – 6.4% | |||||
Electric utilities – 4.5% | |||||
Constellation Energy Corp. | 125,000 | 13,020,000 |
The accompanying notes are an integral part of the financial statements. | 72 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Electric utilities (continued) | |||||
Evergy, Inc. | 223,934 | $ | 12,309,652 | ||
FirstEnergy Corp. | 683,918 | 24,668,922 | |||
PG&E Corp. (A) | 874,923 | 14,261,245 | |||
64,259,819 | |||||
Multi-utilities – 1.9% | |||||
Ameren Corp. | 216,301 | 17,146,180 | |||
CenterPoint Energy, Inc. | 392,643 | 10,950,813 | |||
28,096,993 | |||||
92,356,812 | |||||
TOTAL COMMON STOCKS (Cost $1,139,065,977) | $ | 1,392,947,417 | |||
SHORT-TERM INVESTMENTS – 4.4% | |||||
Short-term funds – 4.4% | |||||
John Hancock Collateral Trust, 5.4789% (C)(D) | 1,995,190 | 19,945,112 | |||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 5.2681% (C) | 2,013,254 | 2,013,254 | |||
T. Rowe Price Government Reserve Fund, 5.3678% (C) | 41,696,332 | 41,696,332 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $63,645,648) | $ | 63,654,698 | |||
Total Investments (Mid Value Fund) (Cost $1,202,711,625) – 101.3% | $ | 1,456,602,115 | |||
Other assets and liabilities, net – (1.3%) | (18,769,392) | ||||
TOTAL NET ASSETS – 100.0% | $ | 1,437,832,723 |
Security Abbreviations and Legend | |
(A) | Non-income producing security. |
(B) | All or a portion of this security is on loan as of 8-31-23. |
(C) | The rate shown is the annualized seven-day yield as of 8-31-23. |
(D) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
Shares or Principal Amount | Value | ||||
COMMON STOCKS – 95.4% | |||||
Communication services – 14.5% | |||||
Interactive media and services – 14.0% | |||||
Alphabet, Inc., Class A (A) | 123,028 | $ | 16,752,723 | ||
Baidu, Inc., ADR (A) | 23,968 | 3,423,349 | |||
Kanzhun, Ltd., ADR (A) | 29,287 | 433,448 | |||
Match Group, Inc. (A) | 18,271 | 856,362 | |||
Meta Platforms, Inc., Class A (A) | 14,203 | 4,202,526 | |||
Pinterest, Inc., Class A (A) | 100,197 | 2,754,416 | |||
28,422,824 | |||||
Wireless telecommunication services – 0.5% | |||||
T-Mobile US, Inc. (A) | 7,753 | 1,056,346 | |||
29,479,170 | |||||
Consumer discretionary – 20.3% | |||||
Automobiles – 0.2% | |||||
Rivian Automotive, Inc., Class A (A) | 11,934 | 271,260 | |||
Broadline retail – 11.2% | |||||
Alibaba Group Holding, Ltd., ADR (A) | 47,227 | 4,387,388 | |||
Amazon.com, Inc. (A) | 76,587 | 10,569,772 | |||
Coupang, Inc. (A) | 29,559 | 561,030 | |||
D-Market Elektronik Hizmetler ve Ticaret AS, ADR (A) | 8,845 | 12,825 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Broadline retail (continued) | |||||
Etsy, Inc. (A) | 54,018 | $ | 3,974,104 | ||
JD.com, Inc., ADR | 25,850 | 858,479 | |||
MercadoLibre, Inc. (A) | 976 | 1,339,423 | |||
Prosus NV (A) | 17,001 | 1,172,634 | |||
22,875,655 | |||||
Hotels, restaurants and leisure – 4.5% | |||||
Booking Holdings, Inc. (A) | 1,426 | 4,427,773 | |||
Deliveroo PLC (A)(B) | 580,762 | 831,440 | |||
Delivery Hero SE (A)(B) | 61,533 | 2,244,576 | |||
DoorDash, Inc., Class A (A) | 11,615 | 977,170 | |||
Tongcheng Travel Holdings, Ltd. (A) | 327,600 | 734,170 | |||
9,215,129 | |||||
Specialty retail – 4.4% | |||||
Auto1 Group SE (A)(B) | 113,961 | 954,577 | |||
Warby Parker, Inc., Class A (A) | 29,913 | 359,255 | |||
Zalando SE (A)(B) | 247,878 | 7,705,413 | |||
9,019,245 | |||||
41,381,289 | |||||
Financials – 5.6% | |||||
Financial services – 5.6% | |||||
Mastercard, Inc., Class A | 20,255 | 8,358,023 | |||
Visa, Inc., Class A | 12,409 | 3,048,643 | |||
11,406,666 | |||||
Health care – 0.2% | |||||
Health care technology – 0.2% | |||||
Veeva Systems, Inc., Class A (A) | 2,240 | 467,488 | |||
Industrials – 0.7% | |||||
Ground transportation – 0.7% | |||||
Uber Technologies, Inc. (A) | 30,154 | 1,424,173 | |||
Information technology – 53.7% | |||||
Communications equipment – 0.4% | |||||
Arista Networks, Inc. (A) | 3,621 | 706,928 | |||
IT services – 3.6% | |||||
Accenture PLC, Class A | 22,785 | 7,377,099 | |||
Semiconductors and semiconductor equipment – 19.6% | |||||
Advanced Micro Devices, Inc. (A) | 45,300 | 4,789,116 | |||
ASML Holding NV, NYRS | 730 | 482,187 | |||
KLA Corp. | 6,330 | 3,176,837 | |||
Lam Research Corp. | 4,436 | 3,115,846 | |||
Micron Technology, Inc. | 16,818 | 1,176,251 | |||
NVIDIA Corp. | 19,967 | 9,854,713 | |||
Qualcomm, Inc. | 64,811 | 7,422,804 | |||
Silergy Corp. | 124,000 | 1,108,553 | |||
Taiwan Semiconductor Manufacturing Company, Ltd. | 176,000 | 3,024,199 | |||
Texas Instruments, Inc. | 34,596 | 5,814,204 | |||
39,964,710 | |||||
Software – 25.1% | |||||
Adobe, Inc. (A) | 3,932 | 2,199,325 | |||
DocuSign, Inc. (A) | 92,390 | 4,647,217 | |||
Fortinet, Inc. (A) | 34,935 | 2,103,436 | |||
Gen Digital, Inc. | 90,429 | 1,831,187 | |||
Intuit, Inc. | 7,904 | 4,282,466 | |||
Microsoft Corp. | 64,288 | 21,071,035 | |||
Salesforce, Inc. (A) | 47,252 | 10,464,428 | |||
TeamViewer SE (A)(B) | 50,833 | 942,107 | |||
Workday, Inc., Class A (A) | 8,471 | 2,071,160 |
The accompanying notes are an integral part of the financial statements. | 73 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Software (continued) | |||||
Zoom Video Communications, Inc., Class A (A) | 20,934 | $ | 1,486,942 | ||
51,099,303 | |||||
Technology hardware, storage and peripherals – 5.0% | |||||
Pure Storage, Inc., Class A (A) | 100,991 | 3,695,261 | |||
Samsung Electronics Company, Ltd. | 93,483 | 4,728,019 | |||
Western Digital Corp. (A) | 40,813 | 1,836,585 | |||
10,259,865 | |||||
109,407,905 | |||||
Real estate – 0.4% | |||||
Real estate management and development – 0.4% | |||||
KE Holdings, Inc., ADR (A) | 41,653 | 716,432 | |||
TOTAL COMMON STOCKS (Cost $166,093,110) | $ | 194,283,123 | |||
SHORT-TERM INVESTMENTS – 5.3% | |||||
Short-term funds – 5.3% | |||||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 5.2681% (C) | 2,426,713 | 2,426,713 | |||
T. Rowe Price Government Reserve Fund, 5.3678% (C) | 8,457,855 | 8,457,855 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $10,884,568) | $ | 10,884,568 | |||
Total Investments (Science & Technology Fund) (Cost $176,977,678) – 100.7% | $ | 205,167,691 | |||
Other assets and liabilities, net – (0.7%) | (1,411,051) | ||||
TOTAL NET ASSETS – 100.0% | $ | 203,756,640 |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
NYRS | New York Registry Shares |
(A) | Non-income producing security. |
(B) | These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration. |
(C) | The rate shown is the annualized seven-day yield as of 8-31-23. |
Shares or Principal Amount | Value | ||||
COMMON STOCKS – 97.6% | |||||
Communication services – 9.8% | |||||
Diversified telecommunication services – 0.8% | |||||
AT&T, Inc. | 657,104 | $ | 9,718,568 | ||
Verizon Communications, Inc. | 392,138 | 13,716,987 | |||
23,435,555 | |||||
Entertainment – 1.5% | |||||
Activision Blizzard, Inc. | 69,747 | 6,416,027 | |||
Electronic Arts, Inc. | 23,559 | 2,826,609 | |||
Live Nation Entertainment, Inc. (A) | 12,662 | 1,070,319 | |||
Netflix, Inc. (A) | 41,751 | 18,106,574 | |||
Take-Two Interactive Software, Inc. (A) | 15,050 | 2,140,110 | |||
The Walt Disney Company (A) | 177,281 | 14,834,874 | |||
Warner Brothers Discovery, Inc. (A) | 220,884 | 2,902,416 | |||
48,296,929 | |||||
Interactive media and services – 6.4% | |||||
Alphabet, Inc., Class A (A) | 558,539 | 76,056,256 | |||
Alphabet, Inc., Class C (A) | 480,924 | 66,054,911 | |||
Match Group, Inc. (A) | 23,758 | 1,113,537 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Interactive media and services (continued) | |||||
Meta Platforms, Inc., Class A (A) | 207,952 | $ | 61,530,917 | ||
204,755,621 | |||||
Media – 0.9% | |||||
Charter Communications, Inc., Class A (A) | 9,575 | 4,194,999 | |||
Comcast Corp., Class A | 397,790 | 18,600,660 | |||
Fox Corp., Class A | 21,567 | 713,005 | |||
Fox Corp., Class B | 11,632 | 355,009 | |||
News Corp., Class A | 33,578 | 721,591 | |||
News Corp., Class B | 16,455 | 362,010 | |||
Omnicom Group, Inc. | 17,650 | 1,429,827 | |||
Paramount Global, Class B (B) | 47,954 | 723,626 | |||
The Interpublic Group of Companies, Inc. | 32,630 | 1,064,064 | |||
28,164,791 | |||||
Wireless telecommunication services – 0.2% | |||||
T-Mobile US, Inc. (A) | 55,018 | 7,496,203 | |||
312,149,099 | |||||
Consumer discretionary – 11.3% | |||||
Automobile components – 0.1% | |||||
Aptiv PLC (A) | 23,608 | 2,395,032 | |||
BorgWarner, Inc. | 25,081 | 1,022,051 | |||
3,417,083 | |||||
Automobiles – 2.2% | |||||
Ford Motor Company | 365,964 | 4,439,143 | |||
General Motors Company | 121,745 | 4,079,675 | |||
Tesla, Inc. (A) | 232,195 | 59,924,886 | |||
68,443,704 | |||||
Broadline retail – 3.6% | |||||
Amazon.com, Inc. (A) | 808,954 | 111,643,742 | |||
eBay, Inc. | 45,545 | 2,039,505 | |||
Etsy, Inc. (A) | 9,134 | 671,988 | |||
114,355,235 | |||||
Distributors – 0.1% | |||||
Genuine Parts Company | 13,116 | 2,016,323 | |||
LKQ Corp. | 25,696 | 1,349,811 | |||
Pool Corp. | 3,694 | 1,350,526 | |||
4,716,660 | |||||
Hotels, restaurants and leisure – 2.2% | |||||
Booking Holdings, Inc. (A) | 3,384 | 10,507,422 | |||
Caesars Entertainment, Inc. (A) | 19,080 | 1,054,361 | |||
Carnival Corp. (A) | 84,789 | 1,341,362 | |||
Chipotle Mexican Grill, Inc. (A) | 2,489 | 4,795,407 | |||
Darden Restaurants, Inc. | 10,886 | 1,692,882 | |||
Domino's Pizza, Inc. | 3,486 | 1,350,476 | |||
Expedia Group, Inc. (A) | 12,302 | 1,333,414 | |||
Hilton Worldwide Holdings, Inc. | 24,835 | 3,691,723 | |||
Las Vegas Sands Corp. | 31,047 | 1,703,238 | |||
Marriott International, Inc., Class A | 23,026 | 4,686,021 | |||
McDonald's Corp. | 66,975 | 18,830,021 | |||
MGM Resorts International | 31,147 | 1,369,845 | |||
Norwegian Cruise Line Holdings, Ltd. (A) | 40,039 | 663,446 | |||
Royal Caribbean Cruises, Ltd. (A) | 20,165 | 1,995,125 | |||
Starbucks Corp. | 102,671 | 10,004,262 | |||
Wynn Resorts, Ltd. | 10,371 | 1,051,412 | |||
Yum! Brands, Inc. | 26,251 | 3,396,354 | |||
69,466,771 | |||||
Household durables – 0.4% | |||||
D.R. Horton, Inc. | 28,937 | 3,444,082 | |||
Garmin, Ltd. | 12,833 | 1,360,555 | |||
Hamilton Beach Brands Holding Company, Class B | 294 | 3,449 | |||
Lennar Corp., A Shares | 23,392 | 2,785,753 | |||
Mohawk Industries, Inc. (A) | 3,385 | 343,205 |
The accompanying notes are an integral part of the financial statements. | 74 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Household durables (continued) | |||||
Newell Brands, Inc. | 32,416 | $ | 342,961 | ||
NVR, Inc. (A) | 270 | 1,721,879 | |||
PulteGroup, Inc. | 21,303 | 1,748,124 | |||
Whirlpool Corp. | 4,893 | 684,824 | |||
12,434,832 | |||||
Leisure products – 0.0% | |||||
Hasbro, Inc. | 9,598 | 691,056 | |||
Specialty retail – 2.3% | |||||
AutoZone, Inc. (A) | 1,606 | 4,065,316 | |||
Bath & Body Works, Inc. | 18,425 | 679,330 | |||
Best Buy Company, Inc. | 17,349 | 1,326,331 | |||
CarMax, Inc. (A) | 12,473 | 1,018,795 | |||
Lowe's Companies, Inc. | 53,879 | 12,418,032 | |||
O'Reilly Automotive, Inc. (A) | 5,365 | 5,041,491 | |||
Ross Stores, Inc. | 30,744 | 3,744,927 | |||
The Home Depot, Inc. | 91,614 | 30,260,104 | |||
The TJX Companies, Inc. | 104,236 | 9,639,745 | |||
Tractor Supply Company | 9,124 | 1,993,594 | |||
Ulta Beauty, Inc. (A) | 4,885 | 2,027,422 | |||
72,215,087 | |||||
Textiles, apparel and luxury goods – 0.4% | |||||
NIKE, Inc., Class B | 109,930 | 11,180,980 | |||
Ralph Lauren Corp. | 2,945 | 343,475 | |||
Tapestry, Inc. | 20,315 | 676,896 | |||
VF Corp. | 34,864 | 688,913 | |||
12,890,264 | |||||
358,630,692 | |||||
Consumer staples – 5.3% | |||||
Beverages – 1.3% | |||||
Brown-Forman Corp., Class B | 11,103 | 734,241 | |||
Constellation Brands, Inc., Class A | 10,737 | 2,797,633 | |||
Keurig Dr. Pepper, Inc. | 60,239 | 2,027,042 | |||
Molson Coors Beverage Company, Class B | 12,099 | 768,166 | |||
Monster Beverage Corp. (A) | 52,427 | 3,009,834 | |||
PepsiCo, Inc. | 94,606 | 16,832,300 | |||
The Coca-Cola Company | 270,035 | 16,156,194 | |||
42,325,410 | |||||
Consumer staples distribution and retail – 1.4% | |||||
Costco Wholesale Corp. | 30,166 | 16,569,580 | |||
Dollar General Corp. | 14,752 | 2,043,152 | |||
Dollar Tree, Inc. (A) | 14,421 | 1,764,554 | |||
Sysco Corp. | 36,069 | 2,512,206 | |||
Target Corp. | 30,241 | 3,826,999 | |||
The Kroger Company | 44,007 | 2,041,485 | |||
Walgreens Boots Alliance, Inc. | 50,002 | 1,265,551 | |||
Walmart, Inc. | 95,534 | 15,534,784 | |||
45,558,311 | |||||
Food products – 0.8% | |||||
Archer-Daniels-Midland Company | 37,755 | 2,993,972 | |||
Bunge, Ltd. | 11,167 | 1,276,611 | |||
Campbell Soup Company | 12,061 | 502,944 | |||
Conagra Brands, Inc. | 33,640 | 1,005,163 | |||
General Mills, Inc. | 40,876 | 2,765,670 | |||
Hormel Foods Corp. | 19,221 | 741,738 | |||
Kellogg Company | 16,613 | 1,013,725 | |||
Lamb Weston Holdings, Inc. | 10,540 | 1,026,701 | |||
McCormick & Company, Inc. | 18,521 | 1,520,204 | |||
Mondelez International, Inc., Class A | 93,225 | 6,643,214 | |||
The Hershey Company | 10,534 | 2,263,335 | |||
The J.M. Smucker Company | 6,994 | 1,013,780 | |||
The Kraft Heinz Company | 52,803 | 1,747,251 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Food products (continued) | |||||
Tyson Foods, Inc., Class A | 18,634 | $ | 992,633 | ||
25,506,941 | |||||
Household products – 1.1% | |||||
Church & Dwight Company, Inc. | 16,094 | 1,557,416 | |||
Colgate-Palmolive Company | 55,590 | 4,084,197 | |||
Kimberly-Clark Corp. | 23,661 | 3,048,247 | |||
The Clorox Company | 8,166 | 1,277,571 | |||
The Procter & Gamble Company | 162,839 | 25,132,571 | |||
35,100,002 | |||||
Personal care products – 0.2% | |||||
Kenvue, Inc. | 121,466 | 2,799,791 | |||
The Estee Lauder Companies, Inc., Class A | 15,970 | 2,563,664 | |||
5,363,455 | |||||
Tobacco – 0.5% | |||||
Altria Group, Inc. | 121,441 | 5,370,121 | |||
Philip Morris International, Inc. | 105,851 | 10,168,047 | |||
15,538,168 | |||||
169,392,287 | |||||
Energy – 5.1% | |||||
Energy equipment and services – 0.5% | |||||
Baker Hughes Company | 101,024 | 3,656,059 | |||
Halliburton Company | 84,738 | 3,272,582 | |||
Schlumberger, Ltd. | 137,940 | 8,132,942 | |||
15,061,583 | |||||
Oil, gas and consumable fuels – 4.6% | |||||
APA Corp. | 33,571 | 1,471,753 | |||
Chevron Corp. | 175,878 | 28,333,946 | |||
ConocoPhillips | 117,865 | 14,029,471 | |||
Coterra Energy, Inc. | 78,281 | 2,206,741 | |||
Devon Energy Corp. | 64,692 | 3,305,114 | |||
Diamondback Energy, Inc. | 16,957 | 2,573,733 | |||
EOG Resources, Inc. | 57,285 | 7,367,997 | |||
EQT Corp. | 34,288 | 1,481,927 | |||
Exxon Mobil Corp. | 396,528 | 44,089,948 | |||
Hess Corp. | 26,130 | 4,037,085 | |||
Kinder Morgan, Inc. | 188,783 | 3,250,843 | |||
Marathon Oil Corp. | 55,962 | 1,474,599 | |||
Marathon Petroleum Corp. | 41,045 | 5,859,995 | |||
Occidental Petroleum Corp. | 70,368 | 4,418,407 | |||
ONEOK, Inc. | 44,854 | 2,924,481 | |||
Phillips 66 | 45,489 | 5,193,024 | |||
Pioneer Natural Resources Company | 23,081 | 5,491,662 | |||
Targa Resources Corp. | 21,332 | 1,839,885 | |||
The Williams Companies, Inc. | 115,334 | 3,982,483 | |||
Valero Energy Corp. | 36,230 | 4,706,277 | |||
148,039,371 | |||||
163,100,954 | |||||
Financials – 12.4% | |||||
Banks – 2.9% | |||||
Bank of America Corp. | 580,643 | 16,647,035 | |||
Citigroup, Inc. | 165,850 | 6,847,947 | |||
Citizens Financial Group, Inc. | 44,625 | 1,255,301 | |||
Comerica, Inc. | 12,943 | 622,688 | |||
Fifth Third Bancorp | 59,489 | 1,579,433 | |||
Huntington Bancshares, Inc. | 112,871 | 1,251,739 | |||
JPMorgan Chase & Co. | 245,005 | 35,851,582 | |||
KeyCorp | 83,715 | 948,491 | |||
M&T Bank Corp. | 14,680 | 1,835,734 | |||
Regions Financial Corp. | 83,049 | 1,523,119 | |||
The PNC Financial Services Group, Inc. | 33,738 | 4,073,189 | |||
Truist Financial Corp. | 113,628 | 3,471,335 |
The accompanying notes are an integral part of the financial statements. | 75 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Banks (continued) | |||||
U.S. Bancorp | 120,640 | $ | 4,406,979 | ||
Wells Fargo & Company | 312,214 | 12,891,316 | |||
Zions Bancorp NA | 8,838 | 313,749 | |||
93,519,637 | |||||
Capital markets – 2.7% | |||||
Ameriprise Financial, Inc. | 8,323 | 2,809,678 | |||
BlackRock, Inc. | 12,324 | 8,633,455 | |||
Cboe Global Markets, Inc. | 8,338 | 1,248,282 | |||
CME Group, Inc. | 31,034 | 6,289,971 | |||
FactSet Research Systems, Inc. | 2,918 | 1,273,444 | |||
Franklin Resources, Inc. | 23,755 | 635,209 | |||
Intercontinental Exchange, Inc. | 47,787 | 5,638,388 | |||
Invesco, Ltd. | 40,105 | 638,472 | |||
MarketAxess Holdings, Inc. | 3,833 | 923,485 | |||
Moody's Corp. | 12,997 | 4,377,390 | |||
Morgan Stanley | 110,239 | 9,386,851 | |||
MSCI, Inc. | 7,023 | 3,817,843 | |||
Nasdaq, Inc. | 29,388 | 1,542,282 | |||
Northern Trust Corp. | 16,518 | 1,256,524 | |||
Raymond James Financial, Inc. | 15,027 | 1,571,674 | |||
S&P Global, Inc. | 28,012 | 10,948,770 | |||
State Street Corp. | 27,413 | 1,884,370 | |||
T. Rowe Price Group, Inc. | 19,706 | 2,211,604 | |||
The Bank of New York Mellon Corp. | 63,612 | 2,854,270 | |||
The Charles Schwab Corp. | 126,465 | 7,480,405 | |||
The Goldman Sachs Group, Inc. | 27,439 | 8,992,035 | |||
84,414,402 | |||||
Consumer finance – 0.4% | |||||
American Express Company | 50,857 | 8,034,897 | |||
Capital One Financial Corp. | 30,111 | 3,083,065 | |||
Discover Financial Services | 20,893 | 1,881,833 | |||
Synchrony Financial | 38,542 | 1,244,136 | |||
14,243,931 | |||||
Financial services – 4.3% | |||||
Berkshire Hathaway, Inc., Class B (A) | 150,215 | 54,107,443 | |||
Fidelity National Information Services, Inc. | 50,637 | 2,828,583 | |||
Fiserv, Inc. (A) | 51,074 | 6,199,873 | |||
FleetCor Technologies, Inc. (A) | 5,775 | 1,569,241 | |||
Global Payments, Inc. | 22,672 | 2,872,316 | |||
Jack Henry & Associates, Inc. | 5,975 | 936,761 | |||
Mastercard, Inc., Class A | 70,460 | 29,074,614 | |||
PayPal Holdings, Inc. (A) | 95,463 | 5,967,392 | |||
Visa, Inc., Class A | 137,314 | 33,735,304 | |||
137,291,527 | |||||
Insurance – 2.1% | |||||
Aflac, Inc. | 46,332 | 3,454,977 | |||
American International Group, Inc. | 59,287 | 3,469,475 | |||
Aon PLC, Class A | 17,019 | 5,673,964 | |||
Arch Capital Group, Ltd. (A) | 29,021 | 2,230,554 | |||
Arthur J. Gallagher & Company | 17,764 | 4,094,247 | |||
Assurant, Inc. | 4,526 | 630,608 | |||
Brown & Brown, Inc. | 21,373 | 1,583,739 | |||
Chubb, Ltd. | 34,322 | 6,894,260 | |||
Cincinnati Financial Corp. | 12,024 | 1,272,019 | |||
Everest Group, Ltd. | 3,497 | 1,261,298 | |||
Globe Life, Inc. | 8,451 | 942,878 | |||
Lincoln National Corp. | 12,123 | 311,076 | |||
Loews Corp. | 15,141 | 940,105 | |||
Marsh & McLennan Companies, Inc. | 41,724 | 8,135,763 | |||
MetLife, Inc. | 54,821 | �� | 3,472,362 | ||
Principal Financial Group, Inc. | 20,227 | 1,571,840 | |||
Prudential Financial, Inc. | 29,980 | 2,838,207 | |||
The Allstate Corp. | 20,626 | 2,223,689 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Insurance (continued) | |||||
The Hartford Financial Services Group, Inc. | 26,095 | $ | 1,874,143 | ||
The Progressive Corp. | 50,134 | 6,691,385 | |||
The Travelers Companies, Inc. | 19,507 | 3,145,114 | |||
W.R. Berkley Corp. | 15,335 | 948,623 | |||
Willis Towers Watson PLC | 9,110 | 1,883,584 | |||
65,543,910 | |||||
395,013,407 | |||||
Health care – 12.1% | |||||
Biotechnology – 1.9% | |||||
AbbVie, Inc. | 137,793 | 20,250,059 | |||
Amgen, Inc. | 41,402 | 10,612,989 | |||
Biogen, Inc. (A) | 10,833 | 2,896,311 | |||
Gilead Sciences, Inc. | 96,917 | 7,412,212 | |||
Incyte Corp. (A) | 13,465 | 868,896 | |||
Moderna, Inc. (A) | 25,182 | 2,847,329 | |||
Regeneron Pharmaceuticals, Inc. (A) | 8,404 | 6,945,822 | |||
Vertex Pharmaceuticals, Inc. (A) | 19,829 | 6,907,234 | |||
58,740,852 | |||||
Health care equipment and supplies – 2.4% | |||||
Abbott Laboratories | 134,132 | 13,802,183 | |||
ABIOMED, Inc. (A)(C) | 6,547 | 101,609 | |||
Align Technology, Inc. (A) | 5,529 | 2,046,504 | |||
Baxter International, Inc. | 40,988 | 1,664,113 | |||
Becton, Dickinson and Company | 22,611 | 6,318,644 | |||
Boston Scientific Corp. (A) | 111,519 | 6,015,335 | |||
Dentsply Sirona, Inc. | 15,412 | 571,631 | |||
DexCom, Inc. (A) | 28,632 | 2,891,259 | |||
Edwards Lifesciences Corp. (A) | 44,817 | 3,427,156 | |||
GE HealthCare Technologies, Inc. | 28,835 | 2,031,426 | |||
Hologic, Inc. (A) | 19,002 | 1,420,209 | |||
IDEXX Laboratories, Inc. (A) | 6,234 | 3,188,130 | |||
Insulet Corp. (A) | 4,563 | 874,773 | |||
Intuitive Surgical, Inc. (A) | 27,168 | 8,494,890 | |||
Medtronic PLC | 102,615 | 8,363,123 | |||
ResMed, Inc. | 10,655 | 1,700,431 | |||
STERIS PLC | 7,531 | 1,729,042 | |||
Stryker Corp. | 25,546 | 7,243,568 | |||
Teleflex, Inc. | 3,994 | 849,684 | |||
The Cooper Companies, Inc. | 3,847 | 1,423,352 | |||
Zimmer Biomet Holdings, Inc. | 17,042 | 2,030,043 | |||
76,187,105 | |||||
Health care providers and services – 2.5% | |||||
Cardinal Health, Inc. | 19,329 | 1,688,002 | |||
Cencora, Inc. | 12,886 | 2,267,678 | |||
Centene Corp. (A) | 40,400 | 2,490,660 | |||
CVS Health Corp. | 99,143 | 6,461,149 | |||
DaVita, Inc. (A) | 5,670 | 580,721 | |||
Elevance Health, Inc. | 18,357 | 8,113,978 | |||
HCA Healthcare, Inc. | 15,579 | 4,320,057 | |||
Henry Schein, Inc. (A) | 11,113 | 850,589 | |||
Humana, Inc. | 9,619 | 4,440,419 | |||
Laboratory Corp. of America Holdings | 6,834 | 1,422,155 | |||
McKesson Corp. | 10,981 | 4,527,686 | |||
Molina Healthcare, Inc. (A) | 4,481 | 1,389,648 | |||
Quest Diagnostics, Inc. | 8,720 | 1,146,680 | |||
The Cigna Group | 22,537 | 6,226,072 | |||
UnitedHealth Group, Inc. | 72,383 | 34,496,290 | |||
Universal Health Services, Inc., Class B | 4,295 | 578,537 | |||
81,000,321 | |||||
Life sciences tools and services – 1.5% | |||||
Agilent Technologies, Inc. | 23,723 | 2,872,144 | |||
Bio-Rad Laboratories, Inc., Class A (A) | 1,468 | 587,494 |
The accompanying notes are an integral part of the financial statements. | 76 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Life sciences tools and services (continued) | |||||
Bio-Techne Corp. | 10,931 | $ | 856,990 | ||
Charles River Laboratories International, Inc. (A) | 4,274 | 883,949 | |||
Danaher Corp. | 51,575 | 13,667,375 | |||
Illumina, Inc. (A) | 12,537 | 2,071,363 | |||
IQVIA Holdings, Inc. (A) | 14,154 | 3,151,105 | |||
Mettler-Toledo International, Inc. (A) | 1,687 | 2,047,141 | |||
Revvity, Inc. | 9,711 | 1,136,478 | |||
Thermo Fisher Scientific, Inc. | 29,681 | 16,535,285 | |||
Waters Corp. (A) | 4,036 | 1,133,309 | |||
West Pharmaceutical Services, Inc. | 5,637 | 2,293,695 | |||
47,236,328 | |||||
Pharmaceuticals – 3.8% | |||||
Bristol-Myers Squibb Company | 161,818 | 9,976,080 | |||
Catalent, Inc. (A) | 11,989 | 599,090 | |||
Eli Lilly & Company | 61,742 | 34,217,416 | |||
Johnson & Johnson | 189,423 | 30,625,911 | |||
Merck & Company, Inc. | 199,114 | 21,699,444 | |||
Organon & Company | 26,064 | 572,365 | |||
Pfizer, Inc. | 441,656 | 15,625,789 | |||
Viatris, Inc. | 105,157 | 1,130,438 | |||
Zoetis, Inc. | 34,925 | 6,653,562 | |||
121,100,095 | |||||
384,264,701 | |||||
Industrials – 8.4% | |||||
Aerospace and defense – 1.6% | |||||
Axon Enterprise, Inc. (A) | 6,126 | 1,304,287 | |||
General Dynamics Corp. | 19,445 | 4,407,015 | |||
Howmet Aerospace, Inc. | 31,797 | 1,572,998 | |||
Huntington Ingalls Industries, Inc. | 2,865 | 631,217 | |||
L3Harris Technologies, Inc. | 15,811 | 2,815,781 | |||
Lockheed Martin Corp. | 19,520 | 8,751,792 | |||
Northrop Grumman Corp. | 12,370 | 5,357,323 | |||
RTX Corp. | 124,240 | 10,689,610 | |||
Textron, Inc. | 16,279 | 1,265,041 | |||
The Boeing Company (A) | 48,095 | 10,774,723 | |||
TransDigm Group, Inc. (A) | 4,221 | 3,815,151 | |||
51,384,938 | |||||
Air freight and logistics – 0.6% | |||||
CH Robinson Worldwide, Inc. | 9,983 | 902,763 | |||
Expeditors International of Washington, Inc. | 13,382 | 1,561,813 | |||
FedEx Corp. | 19,307 | 5,039,513 | |||
United Parcel Service, Inc., Class B | 60,156 | 10,190,426 | |||
17,694,515 | |||||
Building products – 0.4% | |||||
A.O. Smith Corp. | 8,765 | 635,463 | |||
Allegion PLC | 8,336 | 948,720 | |||
Carrier Global Corp. | 71,982 | 4,135,366 | |||
Johnson Controls International PLC | 58,240 | 3,439,654 | |||
Masco Corp. | 16,185 | 955,077 | |||
Trane Technologies PLC | 19,885 | 4,081,595 | |||
14,195,875 | |||||
Commercial services and supplies – 0.5% | |||||
Cintas Corp. | 7,509 | 3,785,813 | |||
Copart, Inc. (A) | 70,628 | 3,166,253 | |||
Republic Services, Inc. | 17,262 | 2,487,972 | |||
Rollins, Inc. | 15,748 | 623,148 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Commercial services and supplies (continued) | |||||
Waste Management, Inc. | 31,853 | $ | 4,993,913 | ||
15,057,099 | |||||
Construction and engineering – 0.1% | |||||
Quanta Services, Inc. | 12,050 | 2,528,934 | |||
Electrical equipment – 0.6% | |||||
AMETEK, Inc. | 19,582 | 3,123,525 | |||
Eaton Corp. PLC | 32,972 | 7,595,760 | |||
Emerson Electric Company | 47,744 | 4,690,848 | |||
Generac Holdings, Inc. (A) | 5,248 | 623,515 | |||
Rockwell Automation, Inc. | 9,904 | 3,090,840 | |||
19,124,488 | |||||
Ground transportation – 0.8% | |||||
CSX Corp. | 172,542 | 5,210,768 | |||
JB Hunt Transport Services, Inc. | 6,592 | 1,238,505 | |||
Norfolk Southern Corp. | 19,465 | 3,990,520 | |||
Old Dominion Freight Line, Inc. | 7,342 | 3,137,751 | |||
Union Pacific Corp. | 51,751 | 11,414,718 | |||
24,992,262 | |||||
Industrial conglomerates – 0.8% | |||||
3M Company | 47,229 | 5,037,917 | |||
General Electric Company | 92,979 | 10,642,376 | |||
Honeywell International, Inc. | 56,240 | 10,569,746 | |||
26,250,039 | |||||
Machinery – 1.8% | |||||
Caterpillar, Inc. | 42,677 | 11,997,785 | |||
Cummins, Inc. | 12,341 | 2,838,924 | |||
Deere & Company | 22,525 | 9,256,424 | |||
Dover Corp. | 10,697 | 1,586,365 | |||
Fortive Corp. | 27,969 | 2,205,356 | |||
IDEX Corp. | 6,887 | 1,559,217 | |||
Illinois Tool Works, Inc. | 22,925 | 5,670,499 | |||
Ingersoll Rand, Inc. | 35,736 | 2,487,583 | |||
Nordson Corp. | 5,153 | 1,258,053 | |||
Otis Worldwide Corp. | 33,014 | 2,824,348 | |||
PACCAR, Inc. | 45,523 | 3,746,088 | |||
Parker-Hannifin Corp. | 10,553 | 4,399,546 | |||
Pentair PLC | 13,677 | 960,946 | |||
Snap-on, Inc. | 4,698 | 1,261,883 | |||
Stanley Black & Decker, Inc. | 13,434 | 1,267,901 | |||
Wabtec Corp. | 13,967 | 1,571,567 | |||
Xylem, Inc. | 21,509 | 2,227,042 | |||
57,119,527 | |||||
Passenger airlines – 0.2% | |||||
Alaska Air Group, Inc. (A) | 7,386 | 309,990 | |||
American Airlines Group, Inc. (A) | 62,917 | 926,767 | |||
Delta Air Lines, Inc. | 50,185 | 2,151,933 | |||
Southwest Airlines Company | 49,200 | 1,554,720 | |||
United Airlines Holdings, Inc. (A) | 24,869 | 1,238,725 | |||
6,182,135 | |||||
Professional services – 0.8% | |||||
Automatic Data Processing, Inc. | 34,569 | 8,801,613 | |||
Broadridge Financial Solutions, Inc. | 10,106 | 1,881,838 | |||
Ceridian HCM Holding, Inc. (A) | 13,048 | 946,241 | |||
Equifax, Inc. | 10,667 | 2,204,869 | |||
Jacobs Solutions, Inc. | 11,595 | 1,563,238 | |||
Leidos Holdings, Inc. | 12,945 | 1,262,267 | |||
Paychex, Inc. | 28,308 | 3,460,087 | |||
Paycom Software, Inc. | 4,272 | 1,259,556 | |||
Robert Half, Inc. | 8,306 | 614,312 |
The accompanying notes are an integral part of the financial statements. | 77 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Professional services (continued) | |||||
Verisk Analytics, Inc. | 11,830 | $ | 2,865,463 | ||
24,859,484 | |||||
Trading companies and distributors – 0.2% | |||||
Fastenal Company | 48,950 | 2,818,541 | |||
United Rentals, Inc. | 5,268 | 2,510,413 | |||
W.W. Grainger, Inc. | 3,915 | 2,795,858 | |||
8,124,812 | |||||
267,514,108 | |||||
Information technology – 28.7% | |||||
Communications equipment – 0.9% | |||||
Arista Networks, Inc. (A) | 20,955 | 4,091,045 | |||
Cisco Systems, Inc. | 355,541 | 20,390,276 | |||
F5, Inc. (A) | 6,062 | 992,107 | |||
Juniper Networks, Inc. | 22,818 | 664,460 | |||
Motorola Solutions, Inc. | 14,973 | 4,245,894 | |||
30,383,782 | |||||
Electronic equipment, instruments and components – 0.6% | |||||
Amphenol Corp., Class A | 52,031 | 4,598,500 | |||
CDW Corp. | 12,540 | 2,647,821 | |||
Corning, Inc. | 69,271 | 2,273,474 | |||
Keysight Technologies, Inc. (A) | 14,825 | 1,976,173 | |||
TE Connectivity, Ltd. | 27,338 | 3,619,278 | |||
Teledyne Technologies, Inc. (A) | 3,910 | 1,635,553 | |||
Trimble, Inc. (A) | 23,925 | 1,310,851 | |||
Zebra Technologies Corp., Class A (A) | 4,746 | 1,305,197 | |||
19,366,847 | |||||
IT services – 1.2% | |||||
Accenture PLC, Class A | 55,474 | 17,960,817 | |||
Akamai Technologies, Inc. (A) | 12,539 | 1,317,724 | |||
Cognizant Technology Solutions Corp., Class A | 45,779 | 3,278,234 | |||
DXC Technology Company (A) | 15,784 | 327,360 | |||
EPAM Systems, Inc. (A) | 5,168 | 1,338,460 | |||
Gartner, Inc. (A) | 6,519 | 2,279,564 | |||
IBM Corp. | 80,156 | 11,769,305 | |||
VeriSign, Inc. (A) | 7,862 | 1,633,645 | |||
39,905,109 | |||||
Semiconductors and semiconductor equipment – 7.8% | |||||
Advanced Micro Devices, Inc. (A) | 138,027 | 14,592,214 | |||
Analog Devices, Inc. | 44,536 | 8,095,754 | |||
Applied Materials, Inc. | 71,717 | 10,955,489 | |||
Broadcom, Inc. | 35,627 | 32,879,802 | |||
Enphase Energy, Inc. (A) | 12,578 | 1,591,494 | |||
First Solar, Inc. (A) | 8,920 | 1,686,950 | |||
Intel Corp. | 360,328 | 12,661,926 | |||
KLA Corp. | 11,728 | 5,885,931 | |||
Lam Research Corp. | 11,360 | 7,979,264 | |||
Microchip Technology, Inc. | 47,698 | 3,903,604 | |||
Micron Technology, Inc. | 92,686 | 6,482,459 | |||
Monolithic Power Systems, Inc. | 3,813 | 1,987,374 | |||
NVIDIA Corp. | 208,413 | 102,862,236 | |||
NXP Semiconductors NV | 22,199 | 4,566,778 | |||
ON Semiconductor Corp. (A) | 36,739 | 3,617,322 | |||
Qorvo, Inc. (A) | 9,217 | 989,814 | |||
Qualcomm, Inc. | 97,522 | 11,169,195 | |||
Skyworks Solutions, Inc. | 15,095 | 1,641,430 | |||
SolarEdge Technologies, Inc. (A) | 3,932 | 639,225 | |||
Teradyne, Inc. | 12,136 | 1,309,110 | |||
Texas Instruments, Inc. | 78,294 | 13,158,090 | |||
248,655,461 | |||||
Software – 10.4% | |||||
Adobe, Inc. (A) | 39,864 | 22,297,530 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Software (continued) | |||||
ANSYS, Inc. (A) | 7,271 | $ | 2,318,504 | ||
Autodesk, Inc. (A) | 19,396 | 4,304,748 | |||
Cadence Design Systems, Inc. (A) | 23,357 | 5,615,957 | |||
Fair Isaac Corp. (A) | 2,214 | 2,002,762 | |||
Fortinet, Inc. (A) | 53,693 | 3,232,856 | |||
Gen Digital, Inc. | 46,963 | 951,001 | |||
Intuit, Inc. | 23,807 | 12,898,871 | |||
Microsoft Corp. | 646,044 | 211,747,381 | |||
Oracle Corp. | 132,300 | 15,927,597 | |||
Palo Alto Networks, Inc. (A) | 26,438 | 6,432,365 | |||
PTC, Inc. (A) | 8,902 | 1,310,107 | |||
Roper Technologies, Inc. | 9,171 | 4,576,879 | |||
Salesforce, Inc. (A) | 86,177 | 19,084,758 | |||
ServiceNow, Inc. (A) | 17,433 | 10,265,073 | |||
Synopsys, Inc. (A) | 12,959 | 5,946,756 | |||
Tyler Technologies, Inc. (A) | 3,342 | 1,331,553 | |||
330,244,698 | |||||
Technology hardware, storage and peripherals – 7.8% | |||||
Apple, Inc. | 1,274,014 | 239,349,003 | |||
Hewlett Packard Enterprise Company | 116,103 | 1,972,590 | |||
HP, Inc. | 72,020 | 2,139,714 | |||
NetApp, Inc. | 17,044 | 1,307,275 | |||
Seagate Technology Holdings PLC | 14,684 | 1,039,480 | |||
Western Digital Corp. (A) | 31,460 | 1,415,700 | |||
247,223,762 | |||||
915,779,659 | |||||
Materials – 2.3% | |||||
Chemicals – 1.6% | |||||
Air Products & Chemicals, Inc. | 17,733 | 5,239,924 | |||
Albemarle Corp. | 9,259 | 1,839,856 | |||
Celanese Corp. | 7,517 | 949,848 | |||
CF Industries Holdings, Inc. | 16,049 | 1,236,896 | |||
Corteva, Inc. | 59,633 | 3,012,063 | |||
Dow, Inc. | 55,395 | 3,022,351 | |||
DuPont de Nemours, Inc. | 35,890 | 2,759,582 | |||
Eastman Chemical Company | 10,911 | 927,544 | |||
Ecolab, Inc. | 20,161 | 3,705,793 | |||
FMC Corp. | 10,341 | 891,704 | |||
International Flavors & Fragrances, Inc. | 22,393 | 1,577,587 | |||
Linde PLC | 40,425 | 15,646,092 | |||
LyondellBasell Industries NV, Class A | 21,702 | 2,143,507 | |||
PPG Industries, Inc. | 19,587 | 2,776,653 | |||
The Mosaic Company | 23,591 | 916,510 | |||
The Sherwin-Williams Company | 19,351 | 5,258,054 | |||
51,903,964 | |||||
Construction materials – 0.1% | |||||
Martin Marietta Materials, Inc. | 4,822 | 2,152,589 | |||
Vulcan Materials Company | 11,239 | 2,452,912 | |||
4,605,501 | |||||
Containers and packaging – 0.2% | |||||
Amcor PLC | 126,764 | 1,234,681 | |||
Avery Dennison Corp. | 6,543 | 1,232,570 | |||
Ball Corp. | 22,908 | 1,247,341 | |||
International Paper Company | 26,469 | 924,297 | |||
Packaging Corp. of America | 8,236 | 1,227,988 | |||
Sealed Air Corp. | 8,361 | 309,859 | |||
Westrock Company | 18,748 | 613,247 | |||
6,789,983 | |||||
Metals and mining – 0.4% | |||||
Freeport-McMoRan, Inc. | 114,563 | 4,572,209 | |||
Newmont Corp. | 62,284 | 2,455,235 | |||
Nucor Corp. | 19,819 | 3,410,850 |
The accompanying notes are an integral part of the financial statements. | 78 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Metals and mining (continued) | |||||
Steel Dynamics, Inc. | 11,708 | $ | 1,247,956 | ||
11,686,250 | |||||
74,985,698 | |||||
Real estate – 1.6% | |||||
Health care REITs – 0.1% | |||||
Healthpeak Properties, Inc. | 29,439 | 605,855 | |||
Ventas, Inc. | 23,131 | 1,010,362 | |||
Welltower, Inc. | 26,724 | 2,214,885 | |||
3,831,102 | |||||
Hotel and resort REITs – 0.0% | |||||
Host Hotels & Resorts, Inc. | 37,380 | 590,230 | |||
Industrial REITs – 0.2% | |||||
Prologis, Inc. | 49,826 | 6,188,389 | |||
Office REITs – 0.1% | |||||
Alexandria Real Estate Equities, Inc. | 8,567 | 996,685 | |||
Boston Properties, Inc. | 8,980 | 599,595 | |||
1,596,280 | |||||
Real estate management and development – 0.1% | |||||
CBRE Group, Inc., Class A (A) | 16,436 | 1,397,882 | |||
CoStar Group, Inc. (A) | 21,932 | 1,798,205 | |||
3,196,087 | |||||
Residential REITs – 0.2% | |||||
AvalonBay Communities, Inc. | 7,673 | 1,410,451 | |||
Camden Property Trust | 5,575 | 599,982 | |||
Equity Residential | 18,558 | 1,203,115 | |||
Essex Property Trust, Inc. | 3,387 | 807,427 | |||
Invitation Homes, Inc. | 29,586 | 1,008,587 | |||
Mid-America Apartment Communities, Inc. | 6,889 | 1,000,489 | |||
UDR, Inc. | 15,192 | 606,161 | |||
6,636,212 | |||||
Retail REITs – 0.2% | |||||
Federal Realty Investment Trust | 4,105 | 402,044 | |||
Kimco Realty Corp. | 32,079 | 607,576 | |||
Realty Income Corp. | 35,646 | 1,997,602 | |||
Regency Centers Corp. | 9,702 | 603,464 | |||
Simon Property Group, Inc. | 17,788 | 2,018,760 | |||
5,629,446 | |||||
Specialized REITs – 0.7% | |||||
American Tower Corp. | 24,555 | 4,452,313 | |||
Crown Castle, Inc. | 23,965 | 2,408,483 | |||
Digital Realty Trust, Inc. | 15,479 | 2,038,894 | |||
Equinix, Inc. | 5,108 | 3,991,289 | |||
Extra Space Storage, Inc. | 10,854 | 1,396,693 | |||
Iron Mountain, Inc. | 16,081 | 1,021,787 | |||
Public Storage | 8,679 | 2,398,702 | |||
SBA Communications Corp. | 6,205 | 1,393,209 | |||
VICI Properties, Inc. | 52,178 | 1,609,170 | |||
Weyerhaeuser Company | 36,754 | 1,203,694 | |||
21,914,234 | |||||
49,581,980 | |||||
Utilities – 0.6% | |||||
Electric utilities – 0.4% | |||||
Alliant Energy Corp. | 4,763 | 238,960 | |||
American Electric Power Company, Inc. | 11,169 | 875,650 | |||
Constellation Energy Corp. | 6,894 | 718,079 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Electric utilities (continued) | |||||
Duke Energy Corp. | 16,960 | $ | 1,506,048 | ||
Edison International | 8,086 | 556,721 | |||
Entergy Corp. | 4,108 | 391,287 | |||
Evergy, Inc. | 5,664 | 311,350 | |||
Eversource Energy | 7,399 | 472,204 | |||
Exelon Corp. | 21,971 | 881,477 | |||
FirstEnergy Corp. | 11,077 | 399,547 | |||
NextEra Energy, Inc. | 44,299 | 2,959,173 | |||
NRG Energy, Inc. | 4,302 | 161,540 | |||
PG&E Corp. (A) | 33,916 | 552,831 | |||
Pinnacle West Capital Corp. | 2,044 | 157,940 | |||
PPL Corp. | 15,992 | 398,521 | |||
The Southern Company | 23,643 | 1,601,340 | |||
Xcel Energy, Inc. | 12,545 | 716,696 | |||
12,899,364 | |||||
Gas utilities – 0.0% | |||||
Atmos Energy Corp. | 3,456 | 400,723 | |||
Independent power and renewable electricity producers – 0.0% | |||||
The AES Corp. | 13,285 | 238,200 | |||
Multi-utilities – 0.2% | |||||
Ameren Corp. | 6,001 | 475,699 | |||
CenterPoint Energy, Inc. | 14,300 | 398,827 | |||
CMS Energy Corp. | 5,674 | 318,822 | |||
Consolidated Edison, Inc. | 7,215 | 641,846 | |||
Dominion Energy, Inc. | 18,001 | 873,769 | |||
DTE Energy Company | 4,600 | 475,548 | |||
NiSource, Inc. | 9,078 | 242,927 | |||
Public Service Enterprise Group, Inc. | 10,506 | 641,706 | |||
Sempra | 13,501 | 948,040 | |||
WEC Energy Group, Inc. | 6,629 | 557,631 | |||
5,574,815 | |||||
Water utilities – 0.0% | |||||
American Water Works Company, Inc. | 4,044 | 561,065 | |||
19,674,167 | |||||
TOTAL COMMON STOCKS (Cost $2,740,933,468) | $ | 3,110,086,752 | |||
SHORT-TERM INVESTMENTS – 2.1% | |||||
Short-term funds – 2.1% | |||||
John Hancock Collateral Trust, 5.4789% (D)(E) | 6,570,132 | 65,678,983 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $65,666,992) | $ | 65,678,983 | |||
Total Investments (U.S. Sector Rotation Fund) (Cost $2,806,600,460) – 99.7% | $ | 3,175,765,735 | |||
Other assets and liabilities, net – 0.3% | 8,790,343 | ||||
TOTAL NET ASSETS – 100.0% | $ | 3,184,556,078 |
Security Abbreviations and Legend | |
(A) | Non-income producing security. |
(B) | All or a portion of this security is on loan as of 8-31-23. |
(C) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. Refer to Note 2 to the financial statements. |
(D) | The rate shown is the annualized seven-day yield as of 8-31-23. |
(E) | Investment is an affiliate of the fund, the advisor and/or subadvisor. A portion of this security represents the investment of cash collateral received for securities lending. Market value of this investment amounted to $676,678. |
The accompanying notes are an integral part of the financial statements. | 79 |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
S&P 500 E-Mini Index Futures | 328 | Long | Sep 2023 | $73,498,804 | $74,062,400 | $563,596 |
$563,596 |
The accompanying notes are an integral part of the financial statements. | 80 |
United States | 87.7% |
France | 3.2% |
Denmark | 2.3% |
Uruguay | 1.8% |
Canada | 1.6% |
Netherlands | 1.4% |
United Kingdom | 1.3% |
Other countries | 0.7% |
TOTAL | 100.0% |
United States | 87.9% |
United Kingdom | 3.6% |
Netherlands | 2.5% |
Denmark | 2.0% |
Switzerland | 1.0% |
Other countries | 3.0% |
TOTAL | 100.0% |
United States | 76.4% |
Cayman Islands | 7.5% |
Canada | 4.7% |
France | 1.6% |
United Kingdom | 1.6% |
Luxembourg | 1.2% |
Netherlands | 1.0% |
Other countries | 6.0% |
TOTAL | 100.0% |
United States | 88.7% |
United Kingdom | 4.5% |
Canada | 2.5% |
Puerto Rico | 1.3% |
Other countries | 3.0% |
TOTAL | 100.0% |
United States | 79.1% |
Germany | 5.8% |
China | 5.8% |
Ireland | 3.6% |
South Korea | 2.3% |
Taiwan | 1.5% |
Other countries | 1.9% |
TOTAL | 100.0% |
The accompanying notes are an integral part of the financial statements. | 81 |
Assets | Capital Appreciation Fund | Capital Appreciation Value Fund | Core Bond Fund | Health Sciences Fund |
Unaffiliated investments, at value (including securities loaned) | $1,483,892,248 | $1,160,420,058 | $1,983,535,430 | $265,881,234 |
Affiliated investments, at value | — | 2,018,771 | — | — |
Total investments, at value | 1,483,892,248 | 1,162,438,829 | 1,983,535,430 | 265,881,234 |
Cash | — | 89,859 | — | — |
Foreign currency, at value | 237 | 107,473 | — | 629 |
Cash collateral at broker for sale commitments | — | — | 220,000 | — |
Dividends and interest receivable | 1,063,999 | 4,804,377 | 10,851,855 | 239,911 |
Receivable for fund shares sold | 20,527 | — | 17,200 | — |
Receivable for investments sold | 497,666 | 4,636,860 | 40,624,693 | 21,153 |
Receivable for delayed delivery securities sold | — | — | 46,028,774 | — |
Receivable for securities lending income | 1,178 | 1,407 | 34 | — |
Other assets | 64,475 | 49,152 | 77,034 | 237,790 |
Total assets | 1,485,540,330 | 1,172,127,957 | 2,081,355,020 | 266,380,717 |
Liabilities | ||||
Payable for sale commitments outstanding, at value | — | — | 5,361,328 | — |
Written options, at value | — | 6,616,180 | — | — |
Due to custodian | — | — | — | 1,633 |
Payable for investments purchased | 1,322,347 | 1,166,243 | 69,185,290 | 930,141 |
Payable for delayed delivery securities purchased | — | — | 207,504,456 | — |
Payable for fund shares repurchased | 2,881,712 | 1,752,415 | 1,170,635 | 135,214 |
Payable upon return of securities loaned | — | 2,018,769 | — | — |
Payable to affiliates | ||||
Accounting and legal services fees | 74,756 | 60,485 | 90,248 | 14,348 |
Trustees' fees | 103 | 80 | 125 | 17 |
Other liabilities and accrued expenses | 80,443 | 82,710 | 102,879 | 41,876 |
Total liabilities | 4,359,361 | 11,696,882 | 283,414,961 | 1,123,229 |
Net assets | $1,481,180,969 | $1,160,431,075 | $1,797,940,059 | $265,257,488 |
Net assets consist of | ||||
Paid-in capital | $595,273,544 | $1,027,382,255 | $2,089,210,200 | $176,030,503 |
Total distributable earnings (loss) | 885,907,425 | 133,048,820 | (291,270,141) | 89,226,985 |
Net assets | $1,481,180,969 | $1,160,431,075 | $1,797,940,059 | $265,257,488 |
Unaffiliated investments, including repurchase agreements, at cost | $629,119,558 | $1,037,251,312 | $2,070,820,233 | $187,246,100 |
Affiliated investments, at cost | — | $2,017,985 | — | — |
Foreign currency, at cost | $237 | $108,494 | — | $693 |
Proceeds received on sale commitments outstanding | — | — | $5,407,734 | — |
Premiums received on written options | — | $7,666,409 | — | — |
Securities loaned, at value | — | $1,976,076 | — | — |
Net asset value per share | ||||
The funds have an unlimited number of shares authorized with no par value. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | ||||
Class 1 | ||||
Net assets | $585,967,240 | — | $118,882,662 | — |
Shares outstanding | 44,434,060 | — | 10,932,123 | — |
Net asset value, offering price and redemption price per share | $13.19 | — | $10.87 | — |
Class NAV | ||||
Net assets | $895,213,729 | $1,160,431,075 | $1,679,057,397 | $265,257,488 |
Shares outstanding | 67,270,091 | 127,522,915 | 154,680,018 | 54,925,586 |
Net asset value, offering price and redemption price per share | $13.31 | $9.10 | $10.86 | $4.83 |
The accompanying notes are an integral part of the financial statements. | 82 |
Assets | High Yield Fund | International Strategic Equity Allocation Fund | Mid Value Fund | Science & Technology Fund |
Unaffiliated investments, at value (including securities loaned) | $187,555,293 | $3,381,621,471 | $1,436,657,003 | $205,167,691 |
Affiliated investments, at value | — | 25,218,768 | 19,945,112 | — |
Total investments, at value | 187,555,293 | 3,406,840,239 | 1,456,602,115 | 205,167,691 |
Receivable for centrally cleared swaps | 932,303 | — | — | — |
Unrealized appreciation on forward foreign currency contracts | 8,292 | — | — | — |
Receivable for futures variation margin | 18,440 | — | — | — |
Cash | 5,454 | 1,456,782 | — | — |
Foreign currency, at value | 418,151 | 3,828,577 | — | 1,188 |
Collateral held at broker for futures contracts | 185,141 | 5,778,000 | — | — |
Dividends and interest receivable | 2,931,240 | 11,427,998 | 3,559,358 | 180,960 |
Receivable for fund shares sold | — | 2,478,055 | 8,360 | — |
Receivable for investments sold | — | — | 483,873 | 572,978 |
Receivable for delayed delivery securities sold | 301,677 | — | — | — |
Receivable for securities lending income | 2,281 | 27,545 | 108,036 | 230 |
Other assets | 8,463 | 195,235 | 66,717 | 9,154 |
Total assets | 192,366,735 | 3,432,032,431 | 1,460,828,459 | 205,932,201 |
Liabilities | ||||
Unrealized depreciation on forward foreign currency contracts | 10,284 | — | — | — |
Payable for futures variation margin | — | 1,111,416 | — | — |
Due to custodian | — | — | 206,871 | 48,022 |
Foreign capital gains tax payable | — | 2,558,219 | — | — |
Payable for investments purchased | 257,469 | — | 554,665 | 838,978 |
Payable for fund shares repurchased | 263,066 | 2,051 | 2,116,379 | 1,252,686 |
Payable upon return of securities loaned | — | 25,223,992 | 19,960,422 | — |
Payable to affiliates | ||||
Accounting and legal services fees | 9,535 | 199,912 | 73,929 | 9,107 |
Trustees' fees | 13 | 280 | 102 | 14 |
Other liabilities and accrued expenses | 36,620 | 641,292 | 83,368 | 26,754 |
Total liabilities | 576,987 | 29,737,162 | 22,995,736 | 2,175,561 |
Net assets | $191,789,748 | $3,402,295,269 | $1,437,832,723 | $203,756,640 |
Net assets consist of | ||||
Paid-in capital | $334,816,193 | $3,627,027,333 | $1,079,151,675 | $198,273,023 |
Total distributable earnings (loss) | (143,026,445) | (224,732,064) | 358,681,048 | 5,483,617 |
Net assets | $191,789,748 | $3,402,295,269 | $1,437,832,723 | $203,756,640 |
Unaffiliated investments, including repurchase agreements, at cost | $219,125,568 | $3,462,816,667 | $1,182,775,563 | $176,977,678 |
Affiliated investments, at cost | — | $25,214,069 | $19,936,062 | — |
Foreign currency, at cost | $427,016 | $3,831,107 | — | $1,188 |
Collateral held at broker for centrally cleared swaps | $977,397 | — | — | — |
Securities loaned, at value | — | $23,855,935 | $26,149,522 | $724,944 |
Net asset value per share | ||||
The funds have an unlimited number of shares authorized with no par value. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | ||||
Class 1 | ||||
Net assets | $191,789,748 | — | — | — |
Shares outstanding | 27,854,858 | — | — | — |
Net asset value, offering price and redemption price per share | $6.89 | — | — | — |
Class NAV | ||||
Net assets | — | $3,402,295,269 | $1,437,832,723 | $203,756,640 |
Shares outstanding | — | 366,940,153 | 87,551,017 | 121,971,522 |
Net asset value, offering price and redemption price per share | — | $9.27 | $16.42 | $1.67 |
The accompanying notes are an integral part of the financial statements. | 83 |
Assets | U.S. Sector Rotation Fund |
Unaffiliated investments, at value (including securities loaned) | $3,110,086,752 |
Affiliated investments, at value | 65,678,983 |
Total investments, at value | 3,175,765,735 |
Cash | 35,042 |
Collateral held at broker for futures contracts | 4,810,000 |
Dividends and interest receivable | 4,998,491 |
Receivable for securities lending income | 3,712 |
Other assets | 134,464 |
Total assets | 3,185,747,444 |
Liabilities | |
Payable for futures variation margin | 131,584 |
Payable upon return of securities loaned | 672,936 |
Payable to affiliates | |
Accounting and legal services fees | 193,797 |
Trustees' fees | 272 |
Other liabilities and accrued expenses | 192,777 |
Total liabilities | 1,191,366 |
Net assets | $3,184,556,078 |
Net assets consist of | |
Paid-in capital | $3,158,258,704 |
Total distributable earnings (loss) | 26,297,374 |
Net assets | $3,184,556,078 |
Unaffiliated investments, including repurchase agreements, at cost | $2,740,933,468 |
Affiliated investments, at cost | $65,666,992 |
Securities loaned, at value | $658,360 |
Net asset value per share | |
The funds have an unlimited number of shares authorized with no par value. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | |
Class NAV | |
Net assets | $3,184,556,078 |
Shares outstanding | 331,873,001 |
Net asset value, offering price and redemption price per share | $9.60 |
The accompanying notes are an integral part of the financial statements. | 84 |
Investment income | Capital Appreciation Fund | Capital Appreciation Value Fund | Core Bond Fund | Health Sciences Fund |
Dividends | $9,388,900 | $12,672,764 | $2,855,160 | $2,179,659 |
Interest | 8,373 | 23,290,975 | 62,006,734 | 284 |
Securities lending | 20,668 | 36,748 | 604 | — |
Less foreign taxes withheld | (233,651) | (104,217) | (844) | (12,910) |
Total investment income | 9,184,290 | 35,896,270 | 64,861,654 | 2,167,033 |
Expenses | ||||
Investment management fees | 9,691,100 | 10,001,275 | 9,643,545 | 2,790,980 |
Distribution and service fees | 255,707 | — | 62,845 | — |
Accounting and legal services fees | 278,540 | 246,495 | 341,200 | 61,962 |
Trustees' fees | 31,929 | 30,260 | 40,149 | 7,684 |
Custodian fees | 135,290 | 150,839 | 199,784 | 48,063 |
Printing and postage | 25,114 | 19,688 | 20,214 | 17,964 |
Professional fees | 101,758 | 106,573 | 197,210 | 86,778 |
Other | 83,954 | 60,588 | 97,368 | 26,298 |
Total expenses | 10,603,392 | 10,615,718 | 10,602,315 | 3,039,729 |
Less expense reductions | (97,869) | (526,410) | (120,291) | (158,808) |
Net expenses | 10,505,523 | 10,089,308 | 10,482,024 | 2,880,921 |
Net investment income (loss) | (1,321,233) | 25,806,962 | 54,379,630 | (713,888) |
Realized and unrealized gain (loss) | ||||
Net realized gain (loss) on | ||||
Unaffiliated investments and foreign currency transactions | 108,591,580 | 5,778,774 | (107,522,389) | 15,917,926 |
Affiliated investments | (2,328) | (359) | (205) | — |
Written options | — | (1,927,294) | — | — |
108,589,252 | 3,851,121 | (107,522,594) | 15,917,926 | |
Change in net unrealized appreciation (depreciation) of | ||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | 209,275,497 | 102,708,913 | 35,339,323 | (663,056) |
Affiliated investments | — | 1,116 | — | — |
Written options | — | (3,043,567) | — | — |
209,275,497 | 99,666,462 | 35,339,323 | (663,056) | |
Net realized and unrealized gain (loss) | 317,864,749 | 103,517,583 | (72,183,271) | 15,254,870 |
Increase (decrease) in net assets from operations | $316,543,516 | $129,324,545 | $(17,803,641) | $14,540,982 |
The accompanying notes are an integral part of the financial statements. | 85 |
Investment income | High Yield Fund | International Strategic Equity Allocation Fund | Mid Value Fund | Science & Technology Fund |
Dividends | $216,466 | $138,085,134 | $28,715,237 | $1,007,247 |
Interest | 14,960,365 | 7,035,861 | 21,198 | 5,792 |
Securities lending | 58,121 | 531,719 | 365,732 | 8,990 |
Less foreign taxes withheld | (25) | (13,903,967) | (255,730) | (14,645) |
Total investment income | 15,234,927 | 131,748,747 | 28,846,437 | 1,007,384 |
Expenses | ||||
Investment management fees | 1,350,952 | 25,543,548 | 12,270,038 | 1,430,214 |
Distribution and service fees | 96,497 | — | — | — |
Accounting and legal services fees | 39,524 | 850,320 | 286,990 | 30,826 |
Trustees' fees | 4,790 | 104,883 | 34,089 | 3,534 |
Custodian fees | 35,895 | 1,458,527 | 162,085 | 39,142 |
Printing and postage | 17,764 | 24,494 | 19,893 | 17,673 |
Professional fees | 102,240 | 263,929 | 108,783 | 72,333 |
Other | 28,605 | 155,644 | 51,252 | 19,046 |
Total expenses | 1,676,267 | 28,401,345 | 12,933,130 | 1,612,768 |
Less expense reductions | (13,885) | (5,972,437) | (673,183) | (83,089) |
Net expenses | 1,662,382 | 22,428,908 | 12,259,947 | 1,529,679 |
Net investment income (loss) | 13,572,545 | 109,319,839 | 16,586,490 | (522,295) |
Realized and unrealized gain (loss) | ||||
Net realized gain (loss) on | ||||
Unaffiliated investments and foreign currency transactions | (12,745,034) | (171,467,227) | 140,947,585 | 5,549,217 |
Affiliated investments | (1,511) | (14,340) | (7,025) | 166 |
Futures contracts | (827,606) | 13,177,630 | — | — |
Forward foreign currency contracts | 54,750 | — | — | — |
Swap contracts | (221,319) | — | — | — |
Redemptions in kind | — | 100,551,956 | — | — |
(13,740,720) | (57,751,981) | 140,940,560 | 5,549,383 | |
Change in net unrealized appreciation (depreciation) of | ||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | 12,292,037 | 420,689,332 | 31,091,832 | 39,077,531 |
Affiliated investments | 972 | 4,826 | 9,312 | 5 |
Futures contracts | 147,173 | 7,024,318 | — | — |
Forward foreign currency contracts | 14,040 | — | — | — |
Swap contracts | (41,468) | — | — | — |
12,412,754 | 427,718,476 | 31,101,144 | 39,077,536 | |
Net realized and unrealized gain (loss) | (1,327,966) | 369,966,495 | 172,041,704 | 44,626,919 |
Increase in net assets from operations | $12,244,579 | $479,286,334 | $188,628,194 | $44,104,624 |
The accompanying notes are an integral part of the financial statements. | 86 |
Investment income | U.S. Sector Rotation Fund |
Dividends | $69,636,978 |
Income distributions received from affiliated investments | 5,891,537 |
Interest | 135,942 |
Securities lending | 37,482 |
Less foreign taxes withheld | (16,730) |
Total investment income | 75,685,209 |
Expenses | |
Investment management fees | 26,635,329 |
Accounting and legal services fees | 887,294 |
Trustees' fees | 114,759 |
Custodian fees | 655,173 |
Printing and postage | 25,486 |
Professional fees | 253,812 |
Other | 107,834 |
Total expenses | 28,679,687 |
Less expense reductions | (5,932,549) |
Net expenses | 22,747,138 |
Net investment income | 52,938,071 |
Realized and unrealized gain (loss) | |
Net realized gain (loss) on | |
Unaffiliated investments and foreign currency transactions | (267,377,054) |
Affiliated investments | (7,970) |
Futures contracts | 10,103,486 |
Redemptions in kind | 150,440,341 |
(106,841,197) | |
Change in net unrealized appreciation (depreciation) of | |
Unaffiliated investments and translation of assets and liabilities in foreign currencies | 663,383,569 |
Affiliated investments | 14,077 |
Futures contracts | 5,005,189 |
668,402,835 | |
Net realized and unrealized gain (loss) | 561,561,638 |
Increase in net assets from operations | $614,499,709 |
The accompanying notes are an integral part of the financial statements. | 87 |
Capital Appreciation Fund | Capital Appreciation Value Fund | Core Bond Fund | ||||
Year ended 8-31-23 | Year ended 8-31-22 | Year ended 8-31-23 | Year ended 8-31-22 | Year ended 8-31-23 | Year ended 8-31-22 | |
Increase (decrease) in net assets | ||||||
From operations | ||||||
Net investment income (loss) | $(1,321,233) | $(5,532,826) | $25,806,962 | $13,314,402 | $54,379,630 | $23,348,292 |
Net realized gain (loss) | 108,589,252 | 145,464,507 | 3,851,121 | 168,016,116 | (107,522,594) | (95,229,555) |
Change in net unrealized appreciation (depreciation) | 209,275,497 | (777,331,675) | 99,666,462 | (279,577,687) | 35,339,323 | (145,383,408) |
Increase (decrease) in net assets resulting from operations | 316,543,516 | (637,399,994) | 129,324,545 | (98,247,169) | (17,803,641) | (217,264,671) |
Distributions to shareholders | ||||||
From earnings | ||||||
Class 1 | (51,623,538) | (234,037,715) | — | — | (4,071,085) | (3,151,517) |
Class NAV | (87,259,196) | (310,779,087) | (152,535,808) | (259,582,767) | (49,179,048) | (29,676,464) |
Total distributions | (138,882,734) | (544,816,802) | (152,535,808) | (259,582,767) | (53,250,133) | (32,827,981) |
From fund share transactions | ||||||
From fund share transactions | (82,482,263) | 431,644,019 | (69,593,451) | 215,270,220 | 257,099,119 | 73,687,525 |
Total increase (decrease) | 95,178,519 | (750,572,777) | (92,804,714) | (142,559,716) | 186,045,345 | (176,405,127) |
Net assets | ||||||
Beginning of year | 1,386,002,450 | 2,136,575,227 | 1,253,235,789 | 1,395,795,505 | 1,611,894,714 | 1,788,299,841 |
End of year | $1,481,180,969 | $1,386,002,450 | $1,160,431,075 | $1,253,235,789 | $1,797,940,059 | $1,611,894,714 |
Health Sciences Fund | High Yield Fund | International Strategic Equity Allocation Fund | ||||
Year ended 8-31-23 | Year ended 8-31-22 | Year ended 8-31-23 | Year ended 8-31-22 | Year ended 8-31-23 | Year ended 8-31-22 | |
Increase (decrease) in net assets | ||||||
From operations | ||||||
Net investment income (loss) | $(713,888) | $(1,160,190) | $13,572,545 | $13,246,359 | $109,319,839 | $83,982,226 |
Net realized gain (loss) | 15,917,926 | 15,163,654 | (13,740,720) | (16,047,579) | (57,751,981) | (22,483,103) |
Change in net unrealized appreciation (depreciation) | (663,056) | (98,141,793) | 12,412,754 | (28,694,226) | 427,718,476 | (832,140,487) |
Increase (decrease) in net assets resulting from operations | 14,540,982 | (84,138,329) | 12,244,579 | (31,495,446) | 479,286,334 | (770,641,364) |
Distributions to shareholders | ||||||
From earnings | ||||||
Class 1 | — | — | (13,372,984) | (13,647,917) | — | — |
Class NAV | (8,653,037) | (56,448,788) | — | — | (92,213,840) | (91,427,800) |
Total distributions | (8,653,037) | (56,448,788) | (13,372,984) | (13,647,917) | (92,213,840) | (91,427,800) |
From fund share transactions | ||||||
From fund share transactions | (57,564,224) | 30,275,300 | (14,977,008) | (26,315,847) | (947,029,848) | 3,095,643,495 |
Total increase (decrease) | (51,676,279) | (110,311,817) | (16,105,413) | (71,459,210) | (559,957,354) | 2,233,574,331 |
Net assets | ||||||
Beginning of year | 316,933,767 | 427,245,584 | 207,895,161 | 279,354,371 | 3,962,252,623 | 1,728,678,292 |
End of year | $265,257,488 | $316,933,767 | $191,789,748 | $207,895,161 | $3,402,295,269 | $3,962,252,623 |
The accompanying notes are an integral part of the financial statements. | 88 |
Mid Value Fund | Science & Technology Fund | U.S. Sector Rotation Fund | ||||
Year ended 8-31-23 | Year ended 8-31-22 | Year ended 8-31-23 | Year ended 8-31-22 | Year ended 8-31-23 | Year ended 8-31-22 | |
Increase (decrease) in net assets | ||||||
From operations | ||||||
Net investment income (loss) | $16,586,490 | $12,842,933 | $(522,295) | $(1,281,095) | $52,938,071 | $26,620,084 |
Net realized gain (loss) | 140,940,560 | 230,707,565 | 5,549,383 | (393,314) | (106,841,197) | (60,403,371) |
Change in net unrealized appreciation (depreciation) | 31,101,144 | (236,462,700) | 39,077,536 | (68,569,495) | 668,402,835 | (589,584,401) |
Increase (decrease) in net assets resulting from operations | 188,628,194 | 7,087,798 | 44,104,624 | (70,243,904) | 614,499,709 | (623,367,688) |
Distributions to shareholders | ||||||
From earnings | ||||||
Class NAV | (228,179,709) | (149,119,105) | (18,119,628) | (121,883,322) | (117,724,841) | (259,017,769) |
Total distributions | (228,179,709) | (149,119,105) | (18,119,628) | (121,883,322) | (117,724,841) | (259,017,769) |
From fund share transactions | ||||||
From fund share transactions | 100,795,139 | (328,074,061) | 23,622,210 | 129,167,856 | (1,723,680,714) | 4,085,740,784 |
Total increase (decrease) | 61,243,624 | (470,105,368) | 49,607,206 | (62,959,370) | (1,226,905,846) | 3,203,355,327 |
Net assets | ||||||
Beginning of year | 1,376,589,099 | 1,846,694,467 | 154,149,434 | 217,108,804 | 4,411,461,924 | 1,208,106,597 |
End of year | $1,437,832,723 | $1,376,589,099 | $203,756,640 | $154,149,434 | $3,184,556,078 | $4,411,461,924 |
The accompanying notes are an integral part of the financial statements. | 89 |
Per share operating performance for a share outstanding throughout each period | Ratios and supplemental data | |||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | ||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net realized and unrealized gain (loss) on investments ($) | Total from investment operations ($) | From net investment income ($) | From net realized gain ($) | Total distributions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||
Capital Appreciation Fund | ||||||||||||||||||
Class 1 | ||||||||||||||||||
08-31-2023 | 11.86 | (0.01) | 2.56 | 2.55 | — | (1.22) | (1.22) | 13.19 | 25.42 | 0.81 | 0.80 | (0.13) | 586 | 30 | ||||
08-31-2022 | 24.06 | (0.06) | (5.69) | (5.75) | — | (6.45) | (6.45) | 11.86 | (31.48) | 0.79 | 0.79 | (0.36) | 538 | 36 | ||||
08-31-2021 | 23.01 | (0.10) | 5.14 | 5.04 | — | (3.99) | (3.99) | 24.06 | 24.71 | 0.79 | 0.78 | (0.46) | 908 | 45 | ||||
08-31-2020 | 15.66 | (0.04) | 9.09 | 9.05 | — | (1.70) | (1.70) | 23.01 | 62.93 | 0.80 | 0.79 | (0.23) | 810 | 47 | ||||
08-31-2019 | 18.80 | —3 | (0.46) | (0.46) | (0.02) | (2.66) | (2.68) | 15.66 | 0.84 | 0.80 | 0.79 | (0.03) | 584 | 50 | ||||
Class NAV | ||||||||||||||||||
08-31-2023 | 11.95 | (0.01) | 2.59 | 2.58 | — | (1.22) | (1.22) | 13.31 | 25.49 | 0.76 | 0.75 | (0.08) | 895 | 30 | ||||
08-31-2022 | 24.18 | (0.05) | (5.73) | (5.78) | — | (6.45) | (6.45) | 11.95 | (31.44) | 0.74 | 0.74 | (0.29) | 848 | 36 | ||||
08-31-2021 | 23.10 | (0.09) | 5.16 | 5.07 | — | (3.99) | (3.99) | 24.18 | 24.75 | 0.74 | 0.73 | (0.41) | 1,229 | 45 | ||||
08-31-2020 | 15.71 | (0.03) | 9.12 | 9.09 | —3 | (1.70) | (1.70) | 23.10 | 63.00 | 0.75 | 0.74 | (0.18) | 1,373 | 47 | ||||
08-31-2019 | 18.85 | —3 | (0.45) | (0.45) | (0.03) | (2.66) | (2.69) | 15.71 | 0.89 | 0.75 | 0.74 | 0.03 | 1,153 | 50 | ||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Less than $0.005 per share. | ||||||||||||||||||
Capital Appreciation Value Fund | ||||||||||||||||||
Class NAV | ||||||||||||||||||
08-31-2023 | 9.36 | 0.19 | 0.72 | 0.91 | (0.14) | (1.03) | (1.17) | 9.10 | 11.38 | 0.88 | 0.84 | 2.14 | 1,160 | 88 | ||||
08-31-2022 | 12.56 | 0.11 | (0.84) | (0.73) | (0.13) | (2.34) | (2.47) | 9.36 | (7.56) | 0.87 | 0.82 | 1.01 | 1,253 | 73 | ||||
08-31-2021 | 11.92 | 0.12 | 2.63 | 2.75 | (0.14) | (1.97) | (2.11) | 12.56 | 25.84 | 0.86 | 0.82 | 0.98 | 1,396 | 57 | ||||
08-31-2020 | 11.75 | 0.14 | 1.33 | 1.47 | (0.20) | (1.10) | (1.30) | 11.92 | 13.38 | 0.87 | 0.83 | 1.20 | 1,442 | 79 | ||||
08-31-2019 | 12.27 | 0.19 | 0.76 | 0.95 | (0.33) | (1.14) | (1.47) | 11.75 | 10.07 | 0.85 | 0.81 | 1.66 | 1,607 | 63 | ||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. | ||||||||||||||||||
Core Bond Fund | ||||||||||||||||||
Class 1 | ||||||||||||||||||
08-31-2023 | 11.35 | 0.35 | (0.48) | (0.13) | (0.35) | — | (0.35) | 10.87 | (1.11) | 0.68 | 0.67 | 3.19 | 119 | 238 | ||||
08-31-2022 | 13.19 | 0.16 | (1.76) | (1.60) | (0.24) | — | (0.24) | 11.35 | (12.33) | 0.67 | 0.66 | 1.32 | 134 | 262 | ||||
08-31-2021 | 13.96 | 0.11 | (0.08) | 0.03 | (0.22) | (0.58) | (0.80) | 13.19 | 0.17 | 0.66 | 0.65 | 0.84 | 185 | 310 | ||||
08-31-2020 | 13.50 | 0.23 | 0.66 | 0.89 | (0.31) | (0.12) | (0.43) | 13.96 | 6.76 | 0.66 | 0.65 | 1.73 | 207 | 347 | ||||
08-31-2019 | 12.66 | 0.33 | 0.86 | 1.19 | (0.35) | — | (0.35) | 13.50 | 9.59 | 0.66 | 0.65 | 2.60 | 175 | 447 | ||||
Class NAV | ||||||||||||||||||
08-31-2023 | 11.33 | 0.36 | (0.47) | (0.11) | (0.36) | — | (0.36) | 10.86 | (0.97) | 0.63 | 0.62 | 3.26 | 1,679 | 238 | ||||
08-31-2022 | 13.17 | 0.17 | (1.77) | (1.60) | (0.24) | — | (0.24) | 11.33 | (12.30) | 0.62 | 0.61 | 1.41 | 1,478 | 262 | ||||
08-31-2021 | 13.94 | 0.12 | (0.08) | 0.04 | (0.23) | (0.58) | (0.81) | 13.17 | 0.22 | 0.61 | 0.60 | 0.89 | 1,604 | 310 | ||||
08-31-2020 | 13.47 | 0.24 | 0.66 | 0.90 | (0.31) | (0.12) | (0.43) | 13.94 | 6.90 | 0.61 | 0.60 | 1.81 | 2,507 | 347 | ||||
08-31-2019 | 12.64 | 0.34 | 0.84 | 1.18 | (0.35) | — | (0.35) | 13.47 | 9.58 | 0.61 | 0.60 | 2.63 | 2,693 | 447 | ||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. | ||||||||||||||||||
Health Sciences Fund | ||||||||||||||||||
Class NAV | ||||||||||||||||||
08-31-2023 | 4.75 | (0.01) | 0.23 | 0.22 | — | (0.14) | (0.14) | 4.83 | 4.65 | 1.00 | 0.95 | (0.24) | 265 | 36 | ||||
08-31-2022 | 6.91 | (0.02) | (1.22) | (1.24) | — | (0.92) | (0.92) | 4.75 | (19.99) | 1.03 | 0.97 | (0.32) | 317 | 30 | ||||
08-31-2021 | 5.60 | (0.02) | 1.71 | 1.69 | — | (0.38) | (0.38) | 6.91 | 31.27 | 1.02 | 0.97 | (0.38) | 427 | 35 | ||||
08-31-2020 | 4.53 | (0.01) | 1.27 | 1.26 | — | (0.19) | (0.19) | 5.60 | 28.39 | 1.11 | 1.05 | (0.28) | 428 | 47 | ||||
08-31-2019 | 5.10 | (0.01) | (0.28) | (0.29) | — | (0.28) | (0.28) | 4.53 | (4.87) | 1.11 | 1.05 | (0.17) | 272 | 42 | ||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. | ||||||||||||||||||
High Yield Fund | ||||||||||||||||||
Class 1 | ||||||||||||||||||
08-31-2023 | 6.91 | 0.47 | (0.02) | 0.45 | (0.47) | — | (0.47) | 6.89 | 6.91 | 0.87 | 0.86 | 7.03 | 192 | 31 | ||||
08-31-2022 | 8.31 | 0.41 | (1.39) | (0.98) | (0.42) | — | (0.42) | 6.91 | (12.21) | 0.84 | 0.83 | 5.30 | 208 | 43 | ||||
08-31-2021 | 7.86 | 0.40 | 0.46 | 0.86 | (0.41) | — | (0.41) | 8.31 | 11.30 | 0.84 | 0.83 | 4.91 | 279 | 82 | ||||
08-31-2020 | 8.04 | 0.43 | (0.14) | 0.29 | (0.47) | — | (0.47) | 7.86 | 4.01 | 0.85 | 0.84 | 5.54 | 202 | 81 | ||||
08-31-2019 | 8.17 | 0.46 | (0.10) | 0.36 | (0.49) | — | (0.49) | 8.04 | 4.32 | 0.82 | 0.81 | 5.77 | 250 | 51 | ||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
The accompanying notes are an integral part of the financial statements. | 90 |
Per share operating performance for a share outstanding throughout each period | Ratios and supplemental data | |||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | ||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net realized and unrealized gain (loss) on investments ($) | Total from investment operations ($) | From net investment income ($) | From net realized gain ($) | Total distributions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||
International Strategic Equity Allocation Fund | ||||||||||||||||||
Class NAV | ||||||||||||||||||
08-31-2023 | 8.54 | 0.24 | 0.69 | 0.93 | (0.20) | — | (0.20) | 9.27 | 11.14 | 0.70 | 0.56 | 2.71 | 3,402 | 333 | ||||
08-31-2022 | 11.48 | 0.31 | (2.64) | (2.33) | (0.29) | (0.32) | (0.61) | 8.54 | (21.25) | 0.70 | 0.56 | 3.19 | 3,962 | 783 | ||||
08-31-2021 | 9.55 | 0.19 | 1.92 | 2.11 | (0.18) | — | (0.18) | 11.48 | 22.25 | 0.69 | 0.56 | 1.81 | 1,729 | 63 | ||||
08-31-2020 | 9.01 | 0.19 | 0.62 | 0.81 | (0.27) | — | (0.27) | 9.55 | 8.98 | 0.69 | 0.56 | 2.07 | 1,714 | 76 | ||||
08-31-2019 | 11.21 | 0.26 | (0.85) | (0.59) | (0.26) | (1.35) | (1.61) | 9.01 | (3.97) | 0.69 | 0.56 | 2.74 | 1,634 | 57 | ||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Excludes in-kind transactions. | ||||||||||||||||||
Mid Value Fund | ||||||||||||||||||
Class NAV | ||||||||||||||||||
08-31-2023 | 17.35 | 0.19 | 1.83 | 2.02 | (0.10) | (2.85) | (2.95) | 16.42 | 13.82 | 0.92 | 0.87 | 1.18 | 1,438 | 55 | ||||
08-31-2022 | 19.15 | 0.14 | (0.35) | (0.21) | (0.15) | (1.44) | (1.59) | 17.35 | (1.38) | 0.95 | 0.90 | 0.76 | 1,377 | 36 | ||||
08-31-2021 | 14.91 | 0.13 | 4.70 | 4.83 | (0.21) | (0.38) | (0.59) | 19.15 | 33.10 | 0.99 | 0.93 | 0.76 | 1,847 | 41 | ||||
08-31-2020 | 14.27 | 0.17 | 0.90 | 1.07 | (0.26) | (0.17) | (0.43) | 14.91 | 7.40 | 0.99 | 0.94 | 1.18 | 1,322 | 45 | ||||
08-31-2019 | 17.08 | 0.22 | (1.81) | (1.59) | (0.15) | (1.07) | (1.22) | 14.27 | (8.82) | 0.99 | 0.94 | 1.48 | 1,231 | 42 | ||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. | ||||||||||||||||||
Science & Technology Fund | ||||||||||||||||||
Class NAV | ||||||||||||||||||
08-31-2023 | 1.38 | —3 | 0.44 | 0.44 | — | (0.15) | (0.15) | 1.67 | 37.29 | 1.07 | 1.02 | (0.35) | 204 | 127 | ||||
08-31-2022 | 5.53 | (0.01) | (0.89) | (0.90) | — | (3.25) | (3.25) | 1.38 | (33.02) | 1.10 | 1.05 | (0.71) | 154 | 124 | ||||
08-31-2021 | 5.22 | (0.03) | 1.47 | 1.44 | (0.01) | (1.12) | (1.13) | 5.53 | 30.29 | 1.10 | 1.04 | (0.57) | 217 | 86 | ||||
08-31-2020 | 3.87 | 0.024 | 1.69 | 1.71 | — | (0.36) | (0.36) | 5.22 | 47.55 | 1.10 | 1.06 | 0.404 | 363 | 116 | ||||
08-31-2019 | 5.99 | (0.01) | (0.32) | (0.33) | — | (1.79) | (1.79) | 3.87 | 3.19 | 1.10 | 1.06 | (0.36) | 284 | 110 | ||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Less than $0.005 per share. 4. Net investment income (loss) per share and ratio of net investment income (loss) to average net assets reflect a special dividend received by the fund, which amounted to $0.04 and 1.00%, respectively. | ||||||||||||||||||
U.S. Sector Rotation Fund | ||||||||||||||||||
Class NAV | ||||||||||||||||||
08-31-2023 | 8.56 | 0.11 | 1.16 | 1.27 | (0.09) | (0.14) | (0.23) | 9.60 | 15.27 | 0.68 | 0.54 | 1.26 | 3,185 | 683 | ||||
08-31-2022 | 12.62 | 0.10 | (1.22) | (1.12) | (0.11) | (2.83) | (2.94) | 8.56 | (12.17) | 0.66 | 0.52 | 1.05 | 4,411 | 1183 | ||||
08-31-2021 | 10.76 | 0.10 | 2.93 | 3.03 | (0.17) | (1.00) | (1.17) | 12.62 | 30.62 | 0.67 | 0.53 | 0.87 | 1,208 | 91 | ||||
08-31-2020 | 9.86 | 0.16 | 1.79 | 1.95 | (0.19) | (0.86) | (1.05) | 10.76 | 20.74 | 0.67 | 0.54 | 1.63 | 1,295 | 113 | ||||
08-31-2019 | 13.13 | 0.17 | (0.72) | (0.55) | (0.19) | (2.53) | (2.72) | 9.86 | (0.34) | 0.66 | 0.53 | 1.66 | 1,497 | 92 | ||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Excludes in-kind transactions. |
The accompanying notes are an integral part of the financial statements. | 91 |
Total value at 8-31-23 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Capital Appreciation Fund | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Communication services | $152,131,624 | $152,131,624 | — | — |
Consumer discretionary | 350,008,934 | 318,514,117 | $31,494,817 | — |
Consumer staples | 44,202,155 | 28,739,428 | 15,462,727 | — |
Financials | 128,915,688 | 128,915,688 | — | — |
Health care | 167,695,753 | 167,695,753 | — | — |
Industrials | 32,003,426 | 32,003,426 | — | — |
Information technology | 582,643,960 | 582,643,960 | — | — |
Real estate | 13,378,696 | 13,378,696 | — | — |
Preferred securities | 7,537,646 | — | 7,537,646 | — |
Short-term investments | 5,374,366 | 5,374,366 | — | — |
Total investments in securities | $1,483,892,248 | $1,429,397,058 | $54,495,190 | — |
Capital Appreciation Value Fund | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | $754,546,192 | $754,546,192 | — | — |
Preferred securities | 4,520,373 | 4,520,373 | — | — |
U.S. Government and Agency obligations | 129,108,722 | — | $129,108,722 | — |
Corporate bonds | 120,329,627 | — | 120,329,627 | — |
Term loans | 123,763,037 | — | 123,763,037 | — |
Short-term investments | 30,170,878 | 30,170,878 | — | — |
Total investments in securities | $1,162,438,829 | $789,237,443 | $373,201,386 | — |
Derivatives: | ||||
Liabilities | ||||
Written options | $(6,616,180) | — | $(6,616,180) | — |
Core Bond Fund | ||||
Investments in securities: | ||||
Assets | ||||
U.S. Government and Agency obligations | $1,070,043,319 | — | $1,070,043,319 | — |
Foreign government obligations | 12,740,243 | — | 12,740,243 | — |
Corporate bonds | 402,178,341 | — | 402,178,341 | — |
Municipal bonds | 3,675,730 | — | 3,675,730 | — |
Collateralized mortgage obligations | 211,596,163 | — | 211,596,163 | — |
Asset backed securities | 183,753,178 | — | 183,753,178 | — |
Short-term investments | 99,548,456 | $99,548,456 | — | — |
Total investments in securities | $1,983,535,430 | $99,548,456 | $1,883,986,974 | — |
Liabilities | ||||
Sale commitments outstanding | $(5,361,328) | — | $(5,361,328) | — |
Health Sciences Fund | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Consumer discretionary | $192,232 | $192,232 | — | — |
Financials | 46,398 | 46,398 | — | — |
Health care | 262,501,994 | 256,960,127 | $5,541,867 | — |
Materials | 213,176 | 213,176 | — | — |
Preferred securities | 1,358,862 | — | 1,358,862 | — |
Warrants | 1,148 | 1,148 | — | — |
Total value at 8-31-23 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Health Sciences Fund (continued) | ||||
Short-term investments | $1,567,424 | $1,567,424 | — | — |
Total investments in securities | $265,881,234 | $258,980,505 | $6,900,729 | — |
High Yield Fund | ||||
Investments in securities: | ||||
Assets | ||||
Foreign government obligations | $760,153 | — | $760,153 | — |
Corporate bonds | 156,877,220 | — | 156,877,220 | — |
Convertible bonds | 1,390,615 | — | 1,390,615 | — |
Term loans | 12,378,044 | — | 11,938,878 | $439,166 |
Asset backed securities | 12,447,254 | — | 12,447,254 | — |
Common stocks | 1,191,244 | $1,162,189 | — | 29,055 |
Preferred securities | 846,784 | 551,426 | — | 295,358 |
Escrow certificates | — | — | — | — |
Short-term investments | 1,663,979 | 1,663,979 | — | — |
Total investments in securities | $187,555,293 | $3,377,594 | $183,414,120 | $763,579 |
Derivatives: | ||||
Assets | ||||
Futures | $77,427 | $77,427 | — | — |
Forward foreign currency contracts | 8,292 | — | $8,292 | — |
Swap contracts | 76,572 | — | 76,572 | — |
Liabilities | ||||
Forward foreign currency contracts | (10,284) | — | (10,284) | — |
Swap contracts | (69,169) | — | (69,169) | — |
Level 3 includes securities valued at $0. Refer to Portfolio of Investments. | ||||
International Strategic Equity Allocation Fund | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Australia | $54,838,230 | — | $54,838,230 | — |
Austria | 3,875,145 | — | 3,875,145 | — |
Belgium | 16,690,005 | — | 16,690,005 | — |
Brazil | 33,657,971 | $33,657,971 | — | — |
Canada | 178,430,432 | 178,430,432 | — | — |
Chile | 4,174,255 | 3,390,016 | 784,239 | — |
China | 210,971,122 | 11,111,614 | 199,858,974 | $534 |
Colombia | 449,090 | 449,090 | — | — |
Czech Republic | 1,370,789 | — | 1,370,789 | — |
Denmark | 68,822,144 | — | 68,822,144 | — |
Finland | 20,086,381 | — | 20,086,381 | — |
France | 312,814,296 | — | 312,814,296 | — |
Germany | 208,004,738 | — | 208,004,738 | — |
Hong Kong | 64,531,016 | 453,496 | 64,077,520 | — |
Hungary | 2,049,097 | — | 2,049,097 | — |
India | 147,709,310 | — | 147,709,310 | — |
Indonesia | 17,457,656 | — | 17,457,656 | — |
Ireland | 30,067,362 | 7,244,504 | 22,822,858 | — |
Israel | 13,904,072 | 5,432,868 | 8,471,204 | — |
Italy | 58,057,812 | — | 58,057,812 | — |
Japan | 483,750,392 | — | 483,750,392 | — |
Jordan | 504,289 | — | 504,289 | — |
Luxembourg | 5,209,836 | — | 5,209,836 | — |
Macau | 1,131,439 | — | 1,131,439 | — |
Total value at 8-31-23 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
International Strategic Equity Allocation Fund (continued) | ||||
Malaysia | $12,355,239 | — | $12,355,239 | — |
Mexico | 36,077,990 | $36,077,990 | — | — |
Netherlands | 104,274,810 | — | 101,780,974 | $2,493,836 |
New Zealand | 4,171,493 | — | 4,171,493 | — |
Norway | 14,005,211 | — | 14,005,211 | — |
Peru | 1,547,455 | 1,547,455 | — | — |
Philippines | 5,390,572 | — | 5,390,572 | — |
Poland | 7,096,691 | — | 7,096,691 | — |
Portugal | 3,685,990 | — | 3,685,990 | — |
Qatar | 7,889,143 | — | 7,889,143 | — |
Saudi Arabia | 36,502,428 | — | 36,502,428 | — |
Singapore | 29,966,677 | 3,057,232 | 26,909,445 | — |
South Africa | 20,161,903 | — | 20,161,903 | — |
South Korea | 100,550,649 | — | 100,550,649 | — |
Spain | 111,362,086 | — | 111,362,086 | — |
Sweden | 21,781,931 | — | 21,781,931 | — |
Switzerland | 333,599,451 | — | 333,599,451 | — |
Taiwan | 129,092,760 | — | 129,092,760 | — |
Thailand | 17,537,417 | — | 17,537,417 | — |
Turkey | 5,965,727 | — | 5,965,727 | — |
United Arab Emirates | 28,516,146 | — | 28,516,146 | — |
United Kingdom | 234,956,288 | 1,824,250 | 233,132,038 | — |
United States | 3,313,378 | 1,760,420 | 1,552,958 | — |
Preferred securities | ||||
Brazil | 12,473,221 | 12,473,221 | — | — |
Chile | 1,148,134 | 1,148,134 | — | — |
Colombia | 403,548 | 403,548 | — | — |
Germany | 12,831,275 | — | 12,831,275 | — |
South Korea | 5,260,835 | — | 5,260,835 | — |
Warrants | 70,558 | 70,558 | — | — |
Rights | 42,949 | 30,742 | 12,207 | — |
Short-term investments | 166,251,405 | 25,218,768 | 141,032,637 | — |
Total investments in securities | $3,406,840,239 | $323,782,309 | $3,080,563,560 | $2,494,370 |
Derivatives: | ||||
Assets | ||||
Futures | $948,296 | $948,296 | — | — |
Liabilities | ||||
Futures | (50,989) | (50,989) | — | — |
Level 3 includes securities valued at $0. Refer to Portfolio of Investments. | ||||
Mid Value Fund | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Communication services | $57,573,442 | $57,573,442 | — | — |
Consumer discretionary | 105,734,108 | 94,707,143 | $11,026,965 | — |
Consumer staples | 108,152,437 | 108,152,437 | — | — |
Energy | 99,207,955 | 99,207,955 | — | — |
Financials | 222,624,984 | 222,624,984 | — | — |
Health care | 144,966,111 | 135,605,439 | 9,360,672 | — |
Industrials | 243,193,495 | 206,454,453 | 36,739,042 | — |
Information technology | 148,205,846 | 148,205,846 | — | — |
Materials | 80,450,500 | 80,450,500 | — | — |
Real estate | 90,481,727 | 90,481,727 | — | — |
Utilities | 92,356,812 | 92,356,812 | — | — |
Total value at 8-31-23 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Mid Value Fund (continued) | ||||
Short-term investments | $63,654,698 | $63,654,698 | — | — |
Total investments in securities | $1,456,602,115 | $1,399,475,436 | $57,126,679 | — |
Science & Technology Fund | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Communication services | $29,479,170 | $29,479,170 | — | — |
Consumer discretionary | 41,381,289 | 27,738,479 | $13,642,810 | — |
Financials | 11,406,666 | 11,406,666 | — | — |
Health care | 467,488 | 467,488 | — | — |
Industrials | 1,424,173 | 1,424,173 | — | — |
Information technology | 109,407,905 | 99,605,027 | 9,802,878 | — |
Real estate | 716,432 | 716,432 | — | — |
Short-term investments | 10,884,568 | 10,884,568 | — | — |
Total investments in securities | $205,167,691 | $181,722,003 | $23,445,688 | — |
U.S. Sector Rotation Fund | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Communication services | $312,149,099 | $312,149,099 | — | — |
Consumer discretionary | 358,630,692 | 358,627,243 | $3,449 | — |
Consumer staples | 169,392,287 | 169,392,287 | — | — |
Energy | 163,100,954 | 163,100,954 | — | — |
Financials | 395,013,407 | 395,013,407 | — | — |
Health care | 384,264,701 | 384,163,092 | — | $101,609 |
Industrials | 267,514,108 | 267,514,108 | — | — |
Information technology | 915,779,659 | 915,779,659 | — | — |
Materials | 74,985,698 | 74,985,698 | — | — |
Real estate | 49,581,980 | 49,581,980 | — | — |
Utilities | 19,674,167 | 19,674,167 | — | — |
Short-term investments | 65,678,983 | 65,678,983 | — | — |
Total investments in securities | $3,175,765,735 | $3,175,660,677 | $3,449 | $101,609 |
Derivatives: | ||||
Assets | ||||
Futures | $563,596 | $563,596 | — | — |
Fund | Counterparty | Collateral Paid/ (Received) |
Core Bond Fund | Goldman Sachs | $220,000 |
Obligations to repay collateral received by the funds are shown on the Statements of assets and liabilities as Payable upon return of securities loaned and are secured by the loaned securities. The following table summarizes the values of securities loaned by the funds and the corresponding cash collateral received at August 31, 2023. In addition, non-cash collateral in the form of U.S. Treasuries was pledged, as indicated below. This non-cash collateral cannot be sold or repledged by the funds, and accordingly, is not reflected in the funds' net assets.
Fund | Market value of securities on loan | Cash collateral received | Non-cash collateral |
Capital Appreciation Value Fund | $1,976,076 | $2,018,769 | — |
International Strategic Equity Allocation Fund | 23,855,935 | 25,223,992 | — |
Mid Value Fund | 26,149,522 | 19,960,422 | $7,136,094 |
Science & Technology Fund | 724,944 | — | 765,650 |
U.S. Sector Rotation Fund | 658,360 | 672,936 | — |
Fund | Commitment fee |
Capital Appreciation Fund | $7,475 |
Capital Appreciation Value Fund | 6,886 |
Core Bond Fund | 29,991 |
Health Sciences Fund | 4,004 |
High Yield Fund | 3,663 |
International Strategic Equity Allocation Fund | 16,276 |
Mid Value Fund | 7,490 |
Science & Technology Fund | 3,552 |
U.S. Sector Rotation Fund | 16,922 |
Class allocations. Income, common expenses and realized and unrealized gains (losses) are determined at the fund level and allocated daily to each class of shares based on the net assets of the class. Class-specific expenses, such as distribution and service fees, if any, and transfer agent fees, for all classes, are charged daily at the class level based on the net assets of each class and the specific expense rates applicable to each class.
No Expiration Date | ||
Fund | Short Term | Long Term |
Core Bond Fund | $126,207,176 | $84,439,793 |
High Yield Fund | 5,413,183 | 108,511,055 |
International Strategic Equity Allocation Fund | 123,862,759 | 93,428,929 |
Science & Technology Fund | — | 15,751,129 |
U.S. Sector Rotation Fund | 106,796,746 | — |
Fund | Aggregate cost | Unrealized appreciation | Unrealized (depreciation) | Net unrealized appreciation/ (depreciation) |
Capital Appreciation Fund | $644,208,305 | $851,237,550 | $(11,553,607) | $839,683,943 |
Capital Appreciation Value Fund | 1,054,272,180 | 123,087,101 | (21,536,632) | 101,550,469 |
Core Bond Fund | 2,074,153,238 | 2,982,150 | (98,961,286) | (95,979,136) |
Health Sciences Fund | 193,295,046 | 92,298,745 | (19,712,557) | 72,586,188 |
High Yield Fund | 220,096,709 | 2,114,713 | (34,573,291) | (32,458,578) |
International Strategic Equity Allocation Fund | 3,508,035,321 | 200,482,692 | (300,780,467) | (100,297,775) |
Mid Value Fund | 1,215,013,793 | 296,985,310 | (55,396,988) | 241,588,322 |
Science & Technology Fund | 183,731,763 | 23,968,690 | (2,532,762) | 21,435,928 |
U.S. Sector Rotation Fund | 3,076,303,130 | 168,894,642 | (68,868,441) | 100,026,201 |
Fund | Ordinary Income | Long Term Capital Gains | Total |
Capital Appreciation Fund | — | $138,882,734 | $138,882,734 |
Capital Appreciation Value Fund | $23,727,618 | 128,808,190 | 152,535,808 |
Core Bond Fund | 53,250,133 | — | 53,250,133 |
Health Sciences Fund | — | 8,653,037 | 8,653,037 |
High Yield Fund | 13,372,984 | — | 13,372,984 |
International Strategic Equity Allocation Fund | 92,213,840 | — | 92,213,840 |
Mid Value Fund | 31,565,079 | 196,614,630 | 228,179,709 |
Science & Technology Fund | — | 18,119,628 | 18,119,628 |
U.S. Sector Rotation Fund | 42,857,112 | 74,867,729 | 117,724,841 |
Fund | Ordinary Income | Long Term Capital Gains | Total |
Capital Appreciation Fund | $15,095,399 | $529,721,403 | $544,816,802 |
Capital Appreciation Value Fund | 63,623,495 | 195,959,272 | 259,582,767 |
Core Bond Fund | 32,827,981 | — | 32,827,981 |
Health Sciences Fund | 1,460,208 | 54,988,580 | 56,448,788 |
High Yield Fund | 13,647,917 | — | 13,647,917 |
International Strategic Equity Allocation Fund | 44,313,581 | 47,114,219 | 91,427,800 |
Mid Value Fund | 53,295,313 | 95,823,792 | 149,119,105 |
Science & Technology Fund | 39,054,850 | 82,828,472 | 121,883,322 |
U.S. Sector Rotation Fund | 42,560,602 | 216,457,167 | 259,017,769 |
Distributions paid by the funds with respect to each class of shares are calculated in the same manner, at the same time and in the same amount, except for the effect of class level expenses that may be applied differently to each class. Qualified late year ordinary losses are treated as occurring on September 1, 2023, the first day of the funds' next taxable year. As of August 31, 2023, the components of distributable earnings on a tax basis were as follows:
Fund | Undistributed Ordinary Income | Undistributed Long Term Capital Gains | Qualified Late Year Ordinary Losses | |
Capital Appreciation Fund | — | $47,227,324 | $1,002,721 | |
Capital Appreciation Value Fund | $17,261,710 | 14,237,027 | — | |
Core Bond Fund | 15,355,964 | — | — | |
Health Sciences Fund | — | 17,157,695 | 495,557 | |
High Yield Fund | 3,365,317 | — | — | |
International Strategic Equity Allocation Fund | 95,336,577 | — | — | |
Mid Value Fund | 10,674,484 | 106,437,189 | — | |
Science & Technology Fund | — | — | 201,064 | |
U.S. Sector Rotation Fund | 33,067,919 | — | — |
held at broker for futures contracts. Securities pledged by the funds, if any, are identified in the Portfolio of investments. Subsequent payments, referred to as variation margin, are made or received by a fund periodically and are based on changes in the market value of open futures contracts. Futures contracts are marked-to-market daily and unrealized gain or loss is recorded by the fund. Receivable/Payable for futures variation margin is included in the Statements of assets and liabilities. When the contract is closed, a fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Fund | Reason | USD Notional range |
High Yield Fund | To manage duration of the fund. | From $12.5 million to $13.0 million |
International Strategic Equity Allocation Fund | To manage against changes in foreign currency exchange rates, manage against change in certain securities markets and gain exposure to certain securities markets. | From $165.1 million to $292.4 million |
U.S. Sector Rotation Fund | To manage against change in certain securities markets and gain exposure to certain securities markets. | From $74.1 million to $203.4 million |
Fund | Reason | USD Notional range |
High Yield Fund | To manage against changes in foreign currency exchange rates and to gain exposure to foreign currencies. | From $1.1 million to $1.3 million |
Fund | Reason | Market value range |
Capital Appreciation Value Fund | To manage against changes in certain securities markets, to gain exposure to certain securities markets and to generate potential income from options premiums. | From $1.0 million to $13.1 million |
credit default agreement. The funds may enter into CDS in which it may act as either Buyer or Seller. By acting as the Seller, the funds may incur economic leverage since it would be obligated to pay the Buyer the notional amount of the contract in the event of a default. The amount of loss in such case could be significant, but would typically be reduced by any recovery value on the underlying credit.
Fund | Reason | USD Notional range |
High Yield Fund | To manage against potential credit events. | From $1.3 million to $3.3 million |
Fund | Reason | USD Notional range |
High Yield Fund | To gain credit exposure to an issuer or index. | up to $1.8 million* |
Fund | Risk | Statements of assets and liabilities location | Financial instruments location | Assets derivatives fair value | Liabilities derivatives fair value |
Capital Appreciation Value Fund | Equity | Written options, at value | Written options | — | $(6,616,180) |
High Yield Fund | Interest rate | Receivable/payable for futures variation margin1 | Futures | $77,427 | — |
Currency | Unrealized appreciation (depreciation) on forward foreign currency contracts | Forward foreign currency contracts | 8,292 | $(10,284) | |
Credit | Swap contracts, at value2 | Credit default swaps | 76,572 | (69,169) | |
$162,291 | $(79,453) | ||||
International Strategic Equity Allocation Fund | Currency | Receivable/payable for futures variation margin1 | Futures | — | $(50,989) |
Equity | Receivable/payable for futures variation margin1 | Futures | $948,296 | — | |
$948,296 | $(50,989) | ||||
U.S. Sector Rotation Fund | Equity | Receivable/payable for futures variation margin1 | Futures | $563,596 | — |
1 | Reflects cumulative appreciation/depreciation on open futures as disclosed in the Derivatives section of the Portfolio of investments. Only the year end variation margin receivable/payable is separately reported on the Statements of assets and liabilities. |
2 | Reflects cumulative value of swap contracts. Receivable/payable for centrally cleared swaps, which includes value and margin, are shown separately on the Statements of assets and liabilities. |
Effect of derivative instruments on the Statements of operations
Statements of operations location - Net realized gain (loss) on: | ||||||
Fund | Risk | Futures contracts | Forward foreign currency contracts | Written options | Swap contracts | Total |
Capital Appreciation Value Fund | Equity | — | — | $(1,927,294) | — | $(1,927,294) |
High Yield Fund | Interest rate | $(827,606) | — | — | — | $(827,606) |
Currency | — | $54,750 | — | — | 54,750 | |
Credit | — | — | — | $(221,319) | (221,319) | |
Total | $(827,606) | $54,750 | — | $(221,319) | $(994,175) | |
International Strategic Equity Allocation Fund | Currency | $(1,164,184) | — | — | — | $(1,164,184) |
Equity | 14,341,814 | — | — | — | 14,341,814 | |
Total | $13,177,630 | — | — | — | $13,177,630 | |
U.S. Sector Rotation Fund | Equity | $10,103,486 | — | — | — | $10,103,486 |
Statements of operations location - Change in net unrealized appreciation (depreciation) of: | ||||||
Fund | Risk | Futures contracts | Forward foreign currency contracts | Written options | Swap contracts | Total |
Capital Appreciation Value Fund | Equity | — | — | $(3,043,567) | — | $(3,043,567) |
High Yield Fund | Interest rate | $147,173 | — | — | — | $147,173 |
Currency | — | $14,040 | — | — | 14,040 | |
Credit | — | — | — | $(41,468) | (41,468) | |
Total | $147,173 | $14,040 | — | $(41,468) | $119,745 | |
International Strategic Equity Allocation Fund | Currency | $341,306 | — | — | — | $341,306 |
Equity | 6,683,012 | — | — | — | 6,683,012 | |
Total | $7,024,318 | — | — | — | $7,024,318 | |
U.S. Sector Rotation Fund | Equity | $5,005,189 | — | — | — | $5,005,189 |
0.950% of the first $750 million of aggregate net assets. If aggregate net assets exceed $1.5 billion, the management fee is 0.900% of all aggregate net assets. Aggregate net assets include the fund and JHVIT Health Sciences Trust and Manulife Healthcare Fund Series I.
Fund | Subadvisor(s) |
Core Bond Fund | Allspring Global Investments, LLC |
Capital Appreciation Fund | Jennison Associates LLC |
International Strategic Equity Allocation Fund U.S. Sector Rotation Fund | Manulife Investment Management (US) LLC1 |
Capital Appreciation Value Fund Health Sciences Fund Mid Value Fund Science & Technology Fund2 | T. Rowe Price Associates, Inc. |
High Yield Fund | Western Asset Management Company, LLC, (Sub-Subadvisor is Western Asset Management Company Limited) |
Fund | Expense limitation as a percentage of average net assets |
Capital Appreciation Fund | 0.20% |
Capital Appreciation Value Fund | 0.20% |
Core Bond Fund | 0.15% |
Health Sciences Fund | 0.20% |
High Yield Fund | 0.15% |
Fund | Expense limitation as a percentage of average net assets |
International Strategic Equity Allocation Fund | 0.25% |
Mid Value Fund | 0.20% |
Science & Technology Fund | 0.20% |
U.S. Sector Rotation Fund | 0.20% |
The Advisor has voluntarily agreed to waive a portion of its management fees for the funds subadvised by T. Rowe Price Associates, Inc. which include Capital Appreciation Value Fund, Health Sciences Fund, Mid Value Fund, and Science & Technology Fund. This voluntary waiver equals the amount by which the subadvisory fee paid to T. Rowe Price Associates, Inc. is reduced. This voluntary waiver may terminate at any time.
Expense Reimbursement by Class | |||
Fund | Class 1 | Class NAV | Total |
Capital Appreciation Fund | $36,876 | $60,993 | $97,869 |
Capital Appreciation Value Fund | — | 526,410 | 526,410 |
Core Bond Fund | 9,038 | 111,253 | 120,291 |
Health Sciences Fund | — | 158,808 | 158,808 |
High Yield Fund | 13,885 | — | 13,885 |
International Strategic Equity Allocation Fund | — | 5,972,437 | 5,972,437 |
Mid Value Fund | — | 673,183 | 673,183 |
Science & Technology Fund | — | 83,089 | 83,089 |
U.S. Sector Rotation Fund | — | 5,932,549 | 5,932,549 |
Fund | Net Annual Effective Rate |
Capital Appreciation Fund | 0.71% |
Capital Appreciation Value Fund | 0.79% |
Core Bond Fund | 0.57% |
Health Sciences Fund | 0.87% |
High Yield Fund | 0.69% |
Fund | Net Annual Effective Rate |
International Strategic Equity Allocation Fund | 0.48% |
Mid Value Fund | 0.83% |
Science & Technology Fund | 0.89% |
U.S. Sector Rotation Fund | 0.49% |
Class | Rule 12b-1 Fee |
Class 1 | 0.05% |
Fund | Class | Distribution and service fees |
Capital Appreciation Fund | Class 1 | $255,707 |
Core Bond Fund | Class 1 | $62,845 |
High Yield Fund | Class 1 | $96,497 |
Fund | Borrower or Lender | Weighted Average Loan Balance | Days Outstanding | Weighted Average Interest Rate | Interest Income (Expense) |
Capital Appreciation Fund | Borrower | $10,750,000 | 2 | 5.32% | $(3,174) |
International Strategic Equity Allocation Fund | Borrower | 9,300,000 | 1 | 3.31% | (854) |
Capital Appreciation Fund | Lender | 12,585,714 | 7 | 3.32% | 8,135 |
Capital Appreciation Value Fund | Lender | 26,775,000 | 12 | 3.53% | 31,528 |
Health Sciences Fund | Lender | 3,100,000 | 1 | 3.31% | 285 |
Mid Value Fund | Lender | 24,128,571 | 7 | 3.51% | 16,487 |
Science & Technology Fund | Lender | 7,200,000 | 5 | 5.21% | 5,207 |
Capital Appreciation Fund | Year Ended 8-31-23 | Year Ended 8-31-22 | ||
Shares | Amount | Shares | Amount | |
Class 1 shares | ||||
Sold | 2,469,272 | $29,614,258 | 1,885,863 | $30,321,585 |
Distributions reinvested | 5,428,343 | 51,623,538 | 14,158,361 | 234,037,715 |
Repurchased | (8,772,337) | (97,585,184) | (8,463,197) | (134,999,393) |
Net increase (decrease) | (874,722) | $(16,347,388) | 7,581,027 | $129,359,907 |
Class NAV shares | ||||
Sold | 6,530,293 | $75,733,143 | 11,002,434 | $154,959,479 |
Distributions reinvested | 9,098,978 | 87,259,196 | 18,665,411 | 310,779,087 |
Repurchased | (19,334,466) | (229,127,214) | (9,511,301) | (163,454,454) |
Net increase (decrease) | (3,705,195) | $(66,134,875) | 20,156,544 | $302,284,112 |
Total net increase (decrease) | (4,579,917) | $(82,482,263) | 27,737,571 | $431,644,019 |
Capital Appreciation Value Fund | Year Ended 8-31-23 | Year Ended 8-31-22 | ||
Shares | Amount | Shares | Amount | |
Class NAV shares | ||||
Sold | 1,205,496 | $10,558,464 | 13,228,207 | $126,631,864 |
Distributions reinvested | 19,043,172 | 152,535,808 | 25,226,702 | 259,582,767 |
Repurchased | (26,617,705) | (232,687,723) | (15,660,719) | (170,944,411) |
Net increase (decrease) | (6,369,037) | $(69,593,451) | 22,794,190 | $215,270,220 |
Total net increase (decrease) | (6,369,037) | $(69,593,451) | 22,794,190 | $215,270,220 |
Core Bond Fund | Year Ended 8-31-23 | Year Ended 8-31-22 | ||
Shares | Amount | Shares | Amount | |
Class 1 shares | ||||
Sold | 1,148,133 | $12,703,995 | 558,554 | $6,802,255 |
Distributions reinvested | 369,919 | 4,071,085 | 249,654 | 3,151,517 |
Repurchased | (2,365,496) | (25,899,569) | (3,026,217) | (37,190,897) |
Net decrease | (847,444) | $(9,124,489) | (2,218,009) | $(27,237,125) |
Class NAV shares | ||||
Sold | 44,896,771 | $493,988,860 | 19,803,959 | $236,047,635 |
Distributions reinvested | 4,476,741 | 49,179,048 | 2,365,347 | 29,676,464 |
Repurchased | (25,142,550) | (276,944,300) | (13,461,470) | (164,799,449) |
Net increase | 24,230,962 | $266,223,608 | 8,707,836 | $100,924,650 |
Total net increase | 23,383,518 | $257,099,119 | 6,489,827 | $73,687,525 |
Health Sciences Fund | Year Ended 8-31-23 | Year Ended 8-31-22 | ||
Shares | Amount | Shares | Amount | |
Class NAV shares | ||||
Sold | 1,700,843 | $8,217,828 | 4,345,622 | $24,191,656 |
Distributions reinvested | 1,817,865 | 8,653,037 | 10,044,268 | 56,448,788 |
Repurchased | (15,273,463) | (74,435,089) | (9,504,977) | (50,365,144) |
Net increase (decrease) | (11,754,755) | $(57,564,224) | 4,884,913 | $30,275,300 |
Total net increase (decrease) | (11,754,755) | $(57,564,224) | 4,884,913 | $30,275,300 |
High Yield Fund | Year Ended 8-31-23 | Year Ended 8-31-22 | ||
Shares | Amount | Shares | Amount | |
Class 1 shares | ||||
Sold | 2,137,077 | $14,516,079 | 2,402,969 | $19,413,419 |
Distributions reinvested | 2,022,010 | 13,372,984 | 1,776,613 | 13,647,917 |
Repurchased | (6,382,314) | (42,866,071) | (7,708,801) | (59,377,183) |
Net decrease | (2,223,227) | $(14,977,008) | (3,529,219) | $(26,315,847) |
Total net decrease | (2,223,227) | $(14,977,008) | (3,529,219) | $(26,315,847) |
International Strategic Equity Allocation Fund | Year Ended 8-31-23 | Year Ended 8-31-22 | ||
Shares | Amount | Shares | Amount | |
Class NAV shares | ||||
Sold | 65,361,245 | $583,011,355 | 323,192,115 | $3,176,965,2421 |
Distributions reinvested | 10,797,874 | 92,213,840 | 8,825,077 | 91,427,800 |
Repurchased | (173,275,517) | (1,622,255,043) | (18,584,550) | (172,749,547) |
Net increase (decrease) | (97,116,398) | $(947,029,848) | 313,432,642 | $3,095,643,495 |
Total net increase (decrease) | (97,116,398) | $(947,029,848) | 313,432,642 | $3,095,643,495 |
1 | Includes in-kind subscriptions of approximately $3.0 billion by affiliates of the fund. The cost basis of the contributed securities is equal to the market value of the securities on the date of the subscription. |
Mid Value Fund | Year Ended 8-31-23 | Year Ended 8-31-22 | ||
Shares | Amount | Shares | Amount | |
Class NAV shares | ||||
Sold | 3,445,218 | $53,247,705 | 1,401,916 | $26,684,322 |
Distributions reinvested | 15,671,683 | 228,179,709 | 8,266,026 | 149,119,105 |
Repurchased | (10,929,609) | (180,632,275) | (26,750,313) | (503,877,488) |
Net increase (decrease) | 8,187,292 | $100,795,139 | (17,082,371) | $(328,074,061) |
Total net increase (decrease) | 8,187,292 | $100,795,139 | (17,082,371) | $(328,074,061) |
Science & Technology Fund | Year Ended 8-31-23 | Year Ended 8-31-22 | ||
Shares | Amount | Shares | Amount | |
Class NAV shares | ||||
Sold | 50,504,165 | $78,522,072 | 15,490,826 | $27,266,486 |
Distributions reinvested | 15,894,410 | 18,119,628 | 63,151,980 | 121,883,322 |
Repurchased | (56,395,986) | (73,019,490) | (5,966,442) | (19,981,952) |
Net increase | 10,002,589 | $23,622,210 | 72,676,364 | $129,167,856 |
Total net increase | 10,002,589 | $23,622,210 | 72,676,364 | $129,167,856 |
U.S. Sector Rotation Fund | Year Ended 8-31-23 | Year Ended 8-31-22 | ||
Shares | Amount | Shares | Amount | |
Class NAV shares | ||||
Sold | 35,681,140 | $307,359,946 | 430,266,464 | $4,186,145,6351 |
Distributions reinvested | 14,533,931 | 117,724,841 | 25,953,684 | 259,017,769 |
Repurchased | (233,859,337) | (2,148,765,501) | (36,414,422) | (359,422,620) |
Net increase (decrease) | (183,644,266) | $(1,723,680,714) | 419,805,726 | $4,085,740,784 |
Total net increase (decrease) | (183,644,266) | $(1,723,680,714) | 419,805,726 | $4,085,740,784 |
1 | Includes in-kind subscriptions of approximately $4.1 billion by affiliates of the fund. The cost basis of the contributed securities is equal to the market value of the securities on the date of the subscription. |
Purchases | Sales | |||
Fund | U.S. Government | Other issuers | U.S. Government | Other issuers |
Capital Appreciation Fund | — | $415,863,805 | — | $625,641,956 |
Capital Appreciation Value Fund | $305,858,455 | 707,677,859 | $270,195,981 | 849,290,069 |
Core Bond Fund | 2,819,961,585 | 1,545,905,351 | 2,771,260,642 | 1,327,919,917 |
Health Sciences Fund | — | 106,716,163 | — | 172,225,364 |
High Yield Fund | — | 59,181,883 | — | 76,074,773 |
International Strategic Equity Allocation Fund | — | 1,266,714,932 | — | 1,426,840,688 |
Mid Value Fund | — | 740,181,415 | — | 801,938,243 |
Science & Technology Fund | — | 190,559,531 | — | 186,387,365 |
Purchases | Sales | |||
Fund | U.S. Government | Other issuers | U.S. Government | Other issuers |
U.S. Sector Rotation Fund | — | $2,731,734,847 | — | $3,197,825,072 |
Dividends and distributions | |||||||||
Affiliate | Ending share amount | Beginning value | Cost of purchases | Proceeds from shares sold | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Income distributions received | Capital gain distributions received | Ending value |
Capital Appreciation Fund | |||||||||
John Hancock Collateral Trust* | — | — | $110,385,121 | $(110,382,793) | $(2,328) | — | $20,668 | — | — |
Capital Appreciation Value Fund | |||||||||
John Hancock Collateral Trust* | 201,946 | $2,077,345 | $73,055,644 | $(73,114,975) | $(359) | $1,116 | $36,748 | — | $2,018,771 |
Core Bond Fund | |||||||||
John Hancock Collateral Trust* | — | — | $10,932,412 | $(10,932,207) | $(205) | — | $604 | — | — |
High Yield Fund | |||||||||
John Hancock Collateral Trust* | — | $2,375,359 | $19,191,960 | $(21,566,780) | $(1,511) | $972 | $58,121 | — | — |
International Strategic Equity Allocation Fund | |||||||||
John Hancock Collateral Trust* | 2,522,734 | $26,922,715 | $565,992,949 | $(567,687,382) | $(14,340) | $4,826 | $531,719 | — | $25,218,768 |
Mid Value Fund | |||||||||
John Hancock Collateral Trust* | 1,995,190 | $22,095,028 | $294,128,926 | $(296,281,129) | $(7,025) | $9,312 | $365,732 | — | $19,945,112 |
Science & Technology Fund | |||||||||
John Hancock Collateral Trust* | — | $1,229,283 | $31,074,014 | $(32,303,468) | $166 | $5 | $8,990 | — | — |
U.S. Sector Rotation Fund | |||||||||
John Hancock Collateral Trust* | 6,570,132 | $180,838,338 | $1,233,703,761 | $(1,348,869,223) | $(7,970) | $14,077 | $5,929,019 | — | $65,678,983 |
* | Refer to the Securities lending note within Note 2 for details regarding this investment. |
Fund | Affiliated Concentration |
Capital Appreciation Fund | 42.1% |
Capital Appreciation Value Fund | 98.2% |
Core Bond Fund | 63.8% |
Health Sciences Fund | 100% |
International Strategic Equity Allocation Fund | 100% |
Mid Value Fund | 100% |
Science & Technology Fund | 100% |
U.S. Sector Rotation Fund | 100% |
Fund | Purchases |
Capital Appreciation Value Fund | $265,496 |
Issuer, Description | Original acquisition date | Acquisition cost | Beginning share amount | Shares purchased | Shares sold | Ending share amount | Value as a percentage of net assets | Ending value |
High Yield Fund | ||||||||
KCAD Holdings I, Ltd. | 3-21-11 | $6,150,520 | 752,218,031 | — | — | 752,218,031 | 0.0%1 | $752 |
MWO Holdings LLC | 8-30-16 | 1,116,559 | 1,134 | — | — | 1,134 | 0.0%1 | 7,053 |
New Cotai, Inc., Class B | 4-12-13 | 0 | 11 | — | — | 11 | 0.0% | 0 |
$7,805 |
1 | Less than 0.05%. |
Fund | Foreign sourced income | Foreign tax credit |
International Strategic Equity Allocation Fund | $141,383,121 | $11,591,124 |
Fund | Long term capital gains |
Capital Appreciation Fund | $138,882,734 |
Capital Appreciation Value Fund | 128,808,190 |
Health Sciences Fund | 8,653,037 |
Mid Value Fund | 196,614,630 |
Science & Technology Fund | 18,119,628 |
U.S. Sector Rotation Fund | 74,867,729 |
(1) | information relating to each Subadvisor’s business, including current subadvisory services to the Trust (and other funds in the John Hancock family of funds); |
(2) | the historical and current performance of each Fund and comparative performance information relating to the Fund’s benchmark and comparable funds; |
(3) | the subadvisory fee for each Fund, and comparative fee information, where available, prepared by an independent third-party provider of fund data; and |
(4) | information relating to the nature and scope of any material relationships and their significance to the Trust’s Advisor and unaffiliated Subadvisors. |
(1) | each Subadvisor has extensive experience and demonstrated skills as a manager; |
(2) | although not without variation, the performance of each Fund managed by a Subadvisor generally has been in line with or outperformed the historical performance of comparable funds and/or each Fund’s respective benchmark, with the exceptions noted in Appendix A (with respect to such exceptions, the Board concluded that performance is being monitored and reasonably addressed); |
(3) | the subadvisory fees are reasonable in relation to the level and quality of services being provided under the Subadvisory Agreements; and |
(4) | the subadvisory fees are paid by the Advisor and not the Funds, and that the fee structure for the Funds contains breakpoints, breakpoints are reflected as breakpoints in the advisory fees for the Funds in order to permit shareholders to benefit from economies of scale if those Funds grow. |
Portfolio (subadvisors) | Performance of fund, as of 12.31.2022 | Fees and expenses | Comments |
JHF II Capital Appreciation Fund(Jennison Associates LLC) | Benchmark Index — The fund underperformed for the three-, five- and ten-year periods.Lipper Category — The fund outperformed the median for the ten-year period and underperformed for the one-, three- and five-year periods. | Subadvisory fee comparative data not provided due to limited size of Lipper peer group for this purpose.Net management fees for this fund are higher than the peer group median.Total expenses for this fund are lower than the peer group median. | The Board took into account management’s discussion of the fund’s performance, including the favorable performance relative to the peer group median for the ten-year period. The Board took into account management's discussion of the factors that contributed to the fund's performance relative to the benchmark index for the one-, three-, five- and ten-year periods and relative to the peer group median for the one-, three- and five-year periods, including the impact of past and current market conditions on the fund's strategy and management's outlook for the fund.The Board concluded that the fund's performance is being monitored and reasonably addressed, where appropriate.The Board took into account management’s discussion of the fund’s expenses. |
JHF II Capital Appreciation Value Fund(T. Rowe Price Associates, Inc.) | Benchmark Index — The fund outperformed for the one-, three-, five- and ten-year periods.Lipper Category — The fund outperformed the median for the one-, three-, five- and ten-year periods. | Subadvisory fee comparative data not provided due to limited size of Lipper peer group for this purpose.Net management fees for this fund are higher than the peer group median.Total expenses for this fund are higher than the peer group median. | The Board took into account management’s discussion of the fund’s performance, including the favorable performance relative to the benchmark index and peer group median for the one-, three-, five- and ten-year periods.The Board took into account management’s discussion of the fund’s expenses. |
Portfolio (subadvisors) | Performance of fund, as of 12.31.2022 | Fees and expenses | Comments |
JHF II Core Bond Fund(Allspring Global Investments) | Benchmark Index — The fund underperformed for the one-, three-, five- and ten-year periods.Lipper Category — The fund underperformed the median for the one-, three-, five- and ten-year periods. | Subadvisory fee comparative data not provided due to limited size of Lipper peer group for this purpose.Net management fees for this fund are higher than the peer group median.Total expenses for this fund are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the fund’s performance relative to the benchmark index and peer group median for the one-, three-, five- and ten-year periods, including the impact of past and current market conditions on the fund’s strategy and management’s outlook for the fund. The Board also noted that the fund’s longer term performance, in part, reflects that of the previous subadvisor.The Board concluded that the fund's performance is being monitored and reasonably addressed, where appropriate.The Board took into account management’s discussion of the fund’s expenses. |
JHF II Health Sciences Fund(T. Rowe Price Associates, Inc.) | Benchmark Index — The fund outperformed for the three-, five- and ten-year periods and underperformed for the one-year period.Lipper Category — The fund outperformed the median for the five- and ten-year periods and underperformed for the one- and three-year periods. | Subadvisor fee comparative data not provided due to limited size of Lipper peer group for this purpose.Net management fees for this fund are higher than the peer group median.Total expenses for this fund are higher than the peer group median. | The Board took into account management’s discussion of the fund’s performance, including the favorable performance relative to the benchmark index for the three-, five- and ten-year periods and relative to the peer group median for the five- and ten-year periods.The Board took into account management’s discussion of the fund’s expenses. |
JHF II High Yield Fund(Western Asset Management) | Benchmark Index — The fund underperformed for the one-, three-, five- and ten-year periods.Lipper Category — The fund underperformed the median for the one-, three-, five- and ten-year periods. | Subadvisory fee comparative data not provided due to limited size of Lipper peer group for this purpose.Net management fees for this fund are higher than the peer group median.Total expenses for this fund are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the fund’s performance relative to the benchmark index and peer group median for the one-, three-, five- and ten-year periods, including the impact of past and current market conditions on the fund’s strategy and management’s outlook for the fund.The Board concluded that the fund's performance is being monitored and reasonably addressed, where appropriate.The Board took into account management’s discussion of the fund’s expenses. |
Portfolio (subadvisors) | Performance of fund, as of 12.31.2022 | Fees and expenses | Comments |
JHF II International Strategic Equity Allocation Fund(Manulife Investment Management (United States)) | Benchmark Index — The fund underperformed for the one-, three- and five-year periods.Lipper Category — The fund underperformed the median for the one-, three- and five-year periods. | Subadvisor fee comparative data not provided due to limited size of Lipper peer group for this purpose.Net management fees for this fund are lower than the peer group median.Total expenses for this fund are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the fund’s performance relative to the benchmark index and peer group median for the one-, three- and five-year periods, including the impact of past and current market conditions on the fund’s strategy and management’s outlook for the fund.The Board concluded that the fund's performance is being monitored and reasonably addressed, where appropriate. |
JHF II Mid Value Fund(T. Rowe Price Associates, Inc.) | Benchmark Index — The fund outperformed for the one-, three-, five- and ten-year periods.Lipper Category — The fund outperformed for the one-, three-, five- and ten-year periods. | Subadvisor fee comparative data not provided due to limited size of Lipper peer group for this purpose.Net management fees for this fund are higher than the peer group median.Total expenses for this fund are higher than the peer group median. | The Board took into account management’s discussion of the fund’s performance, including the favorable performance relative to the benchmark index and peer group median for the one-, three-, five- and ten-year periods.The Board took into account management’s discussion of the fund’s expenses. |
JHF II Science & Technology Fund(T. Rowe Price Associates, Inc.) | Benchmark Index — The fund outperformed for the one-year period and underperformed for the three- and five-year periods.Lipper Category — The fund outperformed the median for the one-year period and underperformed for the three- and five-year periods. | Subadvisor fee comparative data not provided due to limited size of Lipper peer group for this purpose.Net management fees for this fund are lower than the peer group median.Total expenses for this fund are higher than the peer group median. | The Board took into account management’s discussion of the fund’s performance, including the favorable performance relative to the benchmark index and peer group median for the one-year period.The Board took into account management’s discussion of the factors that contributed to the fund’s performance relative to the benchmark index and peer group median for the three- and five-year periods.The Board concluded that the fund's performance is being monitored and reasonably addressed, where appropriate. The Board also noted that the fund's longer term performance, in part, reflects that of the previous subadvisor.The Board took into account management’s discussion of the fund’s expenses. |
Portfolio (subadvisors) | Performance of fund, as of 12.31.2022 | Fees and expenses | Comments |
JHF II U.S. Sector Rotation Fund(Manulife Investment Management (United States)) | Benchmark Index — The fund underperformed for the one-, three- and five-year periods.Lipper Category — The fund underperformed the median for the one-, three- and five-year periods. | Subadvisor fee comparative data not provided due to limited size of Lipper peer group for this purpose.Net management fees for this fund are lower than the peer group median.Total expenses for this fund are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the fund’s performance relative to the benchmark index and peer group median for the one-, three- and five-year periods.The Board concluded that the fund's performance is being monitored and reasonably addressed, where appropriate.The Board took into account management’s discussion of the fund’s expenses. |
• | The Fund’s investment strategy remained appropriate for an open-end fund structure; |
• | The Fund was able to meet requests for redemption without significant dilution of remaining shareholders’ interests in the Fund; |
• | The Fund did not experience any breaches of the 15% limit on illiquid investments, or any applicable HLIM, that would require reporting to the Securities and Exchange Commission; |
• | The Fund continued to qualify as a Primarily Highly Liquid Fund under the Liquidity Rule and therefore is not required to establish a HLIM; and |
• | The Chief Compliance Officer’s office, as a part of their annual Rule 38a-1 assessment of the Fund’s policies and procedures, reviewed the LRMP’s control environment and deemed it to be operating effectively and in compliance with the Board approved procedures. |
INDEPENDENT TRUSTEES | ||
Name, year of birth Position(s) held with Trust Principal occupation(s) and other directorships during past 5 years | Trustee of the Trust since1 | Number of John Hancock funds overseen by Trustee |
Hassell H. McClellan,2 Born: 1945 | 2005 | 186 |
Trustee and Chairperson of the Board | ||
Director/Trustee, Virtus Funds (2008-2020); Director, The Barnes Group (2010-2021); Associate Professor, The Wallace E. Carroll School of Management, Boston College (retired 2013). Trustee (since 2005) and Chairperson of the Board (since 2017) of various trusts within the John Hancock Fund Complex. | ||
James R. Boyle, Born: 1959 | 2015 | 183 |
Trustee | ||
Board Member, United of Omaha Life Insurance Company (since 2022). Board Member, Mutual of Omaha Investor Services, Inc. (since 2022). Foresters Financial, Chief Executive Officer (2018–2022) and board member (2017–2022). Manulife Financial and John Hancock, more than 20 years, retiring in 2012 as Chief Executive Officer, John Hancock and Senior Executive Vice President, Manulife Financial. Trustee of various trusts within the John Hancock Fund Complex (2005–2014 and since 2015). | ||
William H. Cunningham,3 Born: 1944 | 2012 | 184 |
Trustee | ||
Professor, University of Texas, Austin, Texas (since 1971); former Chancellor, University of Texas System and former President of the University of Texas, Austin, Texas; Director (since 2006), Lincoln National Corporation (insurance); Director, Southwest Airlines (since 2000). Trustee of various trusts within the John Hancock Fund Complex (since 1986). | ||
Noni L. Ellison,* Born: 1971 | 2022 | 183 |
Trustee | ||
Senior Vice President, General Counsel & Corporate Secretary, Tractor Supply Company (rural lifestyle retailer) (since 2021); General Counsel, Chief Compliance Officer & Corporate Secretary, Carestream Dental, L.L.C.(2017–2021); Associate General Counsel & Assistant Corporate Secretary, W.W. Grainger, Inc. (global industrial supplier) (2015–2017); Board Member, Goodwill of North Georgia, 2018 (FY2019)–2020 (FY2021); Board Member, Howard University School of Law Board of Visitors (since 2021); Board Member, University of Chicago Law School Board of Visitors (since 2016); Board member, Children’s Healthcare of Atlanta Foundation Board (2021–present). Trustee of various trusts within the John Hancock Fund Complex (since 2022). | ||
Grace K. Fey, Born: 1946 | 2008 | 186 |
Trustee | ||
Chief Executive Officer, Grace Fey Advisors (since 2007); Director and Executive Vice President, Frontier Capital Management Company (1988–2007); Director, Fiduciary Trust (since 2009). Trustee of various trusts within the John Hancock Fund Complex (since 2008). | ||
Dean C. Garfield,* Born: 1968 | 2022 | 183 |
Trustee | ||
Vice President, Netflix, Inc. (since 2019); President & Chief Executive Officer, Information Technology Industry Council (2009–2019); NYU School of Law Board of Trustees (since 2021); Member, U.S. Department of Transportation, Advisory Committee on Automation (since 2021); President of the United States Trade Advisory Council (2010–2018); Board Member, College for Every Student (2017–2021); Board Member, The Seed School of Washington, D.C. (2012–2017). Trustee of various trusts within the John Hancock Fund Complex (since 2022). | ||
Deborah C. Jackson, Born: 1952 | 2012 | 185 |
Trustee | ||
President, Cambridge College, Cambridge, Massachusetts (since 2011); Board of Directors, Amwell Corporation (since 2020); Board of Directors, Massachusetts Women’s Forum (2018-2020); Board of Directors, National Association of Corporate Directors/New England (2015-2020); Chief Executive Officer, American Red Cross of Massachusetts Bay (2002–2011); Board of Directors of Eastern Bank Corporation (since 2001); Board of Directors of Eastern Bank Charitable Foundation (since 2001); Board of Directors of Boston Stock Exchange (2002–2008); Board of Directors of Harvard Pilgrim Healthcare (health benefits company) (2007–2011). Trustee of various trusts within the John Hancock Fund Complex (since 2008). | ||
Steven R. Pruchansky, Born: 1944 | 2012 | 183 |
Trustee and Vice Chairperson of the Board | ||
Managing Director, Pru Realty (since 2017); Chairman and Chief Executive Officer, Greenscapes of Southwest Florida, Inc. (2014-2020); Director and President, Greenscapes of Southwest Florida, Inc. (until 2000); Member, Board of Advisors, First American Bank (until 2010); Managing Director, Jon James, LLC (real estate) (since 2000); Partner, Right Funding, LLC (2014-2017); Director, First Signature Bank & Trust Company (until 1991); Director, Mast Realty Trust (until 1994); President, Maxwell Building Corp. (until 1991). Trustee (since 1992), Chairperson of the Board (2011–2012), and Vice Chairperson of the Board (since 2012) of various trusts within the John Hancock Fund Complex. | ||
Frances G. Rathke,3 Born: 1960 | 2020 | 183 |
Trustee | ||
Director, Audit Committee Chair, Oatly Group AB (plant-based drink company) (since 2021); Director, Audit Committee Chair and Compensation Committee Member, Green Mountain Power Corporation (since 2016); Director, Treasurer and Finance & Audit Committee Chair, Flynn Center for Performing Arts (since 2016); Director and Audit Committee Chair, Planet Fitness (since 2016); Chief Financial Officer and Treasurer, Keurig Green Mountain, Inc. (2003-retired 2015). Trustee of various trusts within the John Hancock Fund Complex (since 2020). |
INDEPENDENT TRUSTEES (continued) | ||
Name, year of birth Position(s) held with Trust Principal occupation(s) and other directorships during past 5 years | Trustee of the Trust since1 | Number of John Hancock funds overseen by Trustee |
Gregory A. Russo, Born: 1949 | 2012 | 183 |
Trustee | ||
Director and Audit Committee Chairman (2012-2020), and Member, Audit Committee and Finance Committee (2011-2020), NCH Healthcare System, Inc. (holding company for multi-entity healthcare system); Director and Member (2012-2018), and Finance Committee Chairman (2014-2018), The Moorings, Inc. (nonprofit continuing care community); Global Vice Chairman, Risk & Regulatory Matters, KPMG LLP (KPMG) (2002–2006); Vice Chairman, Industrial Markets, KPMG (1998–2002). Trustee of various trusts within the John Hancock Fund Complex (since 2008). |
NON-INDEPENDENT TRUSTEES4 | ||
Name, year of birth Position(s) held with Trust Principal occupation(s) and other directorships during past 5 years | Trustee of the Trust since1 | Number of John Hancock funds overseen by Trustee |
Andrew G. Arnott, Born: 1971 | 2017 | 184 |
Non-Independent Trustee | ||
Global Head of Retail for Manulife (since 2022); Head of Wealth and Asset Management, United States and Europe, for John Hancock and Manulife (2018-2023); Director and Chairman, John Hancock Investment Management LLC (since 2005, including prior positions); Director and Chairman, John Hancock Variable Trust Advisers LLC (since 2006, including prior positions); Director and Chairman, John Hancock Investment Management Distributors LLC (since 2004, including prior positions); President of various trusts within the John Hancock Fund Complex (2007-2023, including prior positions). Trustee of various trusts within the John Hancock Fund Complex (since 2017). | ||
Paul Lorentz,† Born: 1968 | 2022 | 183 |
Non-Independent Trustee | ||
Global Head, Manulife Wealth and Asset Management (since 2017); General Manager, Manulife, Individual Wealth Management and Insurance (2013–2017); President, Manulife Investments (2010–2016). Trustee of various trusts within the John Hancock Fund Complex (since 2022). |
PRINCIPAL OFFICERS WHO ARE NOT TRUSTEES | |
Name, year of birth Position(s) held with Trust Principal occupation(s) during past 5 years | Current Position(s) with the Trust since |
Kristie M. Feinberg, Born: 1975 | 2023 |
President | |
Head of Wealth and Asset Management, United States and Europe, for John Hancock and Manulife (since 2023); CFO and Global Head of Strategy, Manulife Investment Management (2021-2023, including prior positions); CFO Americas & Global Head of Treasury, Invesco, Ltd., Invesco US (2019-2020, including prior positions); Senior Vice President, Corporate Treasurer and Business Controller, Oppenheimer Funds (2001-2019, including prior positions); President of various trusts within the John Hancock Fund Complex (since 2023). | |
Charles A. Rizzo, Born: 1957 | 2007 |
Chief Financial Officer | |
Vice President, John Hancock Financial Services (since 2008); Senior Vice President, John Hancock Investment Management LLC and John Hancock Variable Trust Advisers LLC (since 2008); Chief Financial Officer of various trusts within the John Hancock Fund Complex (since 2007). | |
Salvatore Schiavone, Born: 1965 | 2009 |
Treasurer | |
Assistant Vice President, John Hancock Financial Services (since 2007); Vice President, John Hancock Investment Management LLC and John Hancock Variable Trust Advisers LLC (since 2007); Treasurer of various trusts within the John Hancock Fund Complex (since 2007, including prior positions). | |
Christopher (Kit) Sechler, Born: 1973 | 2018 |
Secretary and Chief Legal Officer | |
Vice President and Deputy Chief Counsel, John Hancock Investment Management (since 2015); Assistant Vice President and Senior Counsel (2009–2015), John Hancock Investment Management; Assistant Secretary of John Hancock Investment Management LLC and John Hancock Variable Trust Advisers LLC (since 2009); Chief Legal Officer and Secretary of various trusts within the John Hancock Fund Complex (since 2009, including prior positions). | |
Trevor Swanberg, Born: 1979 | 2020 |
Chief Compliance Officer | |
Chief Compliance Officer, John Hancock Investment Management LLC and John Hancock Variable Trust Advisers LLC (since 2020); Deputy Chief Compliance Officer, John Hancock Investment Management LLC and John Hancock Variable Trust Advisers LLC (2019–2020); Assistant Chief Compliance Officer, John Hancock Investment Management LLC and John Hancock Variable Trust Advisers LLC (2016–2019); Vice President, State Street Global Advisors (2015–2016); Chief Compliance Officer of various trusts within the John Hancock Fund Complex (since 2016, including prior positions). |
1 | Each Trustee holds office until his or her successor is duly elected and qualified, or until the Trustee’s death, retirement, resignation, or removal. Mr. Boyle has served as Trustee at various times prior to the date listed in the table. |
2 | Member of the Audit Committee as of September 26, 2023. |
3 | Member of the Audit Committee. |
4 | The Trustee is a Non-Independent Trustee due to current or former positions with the Advisor and certain affiliates. |
* | Elected to serve as Independent Trustee effective as of September 9, 2022. |
† | Elected to serve as Non-Independent Trustee effective as of September 9, 2022. |
Steven R. Pruchansky, Vice Chairperson
Andrew G. Arnott†
James R. Boyle
William H. Cunningham*
Grace K. Fey
Noni L. Ellison^
Dean C. Garfield^
Deborah C. Jackson
Patricia Lizarraga*,^,§
Paul Lorentz‡
Frances G. Rathke*
Gregory A. Russo
Management LLC
Management Distributors LLC
State Street Bank and Trust Company
Charles A. Rizzo, Chief Financial Officer
Salvatore Schiavone, Treasurer
Christopher (Kit) Sechler, Secretary and Chief Legal Officer
Trevor Swanberg, Chief Compliance Officer
JHF2A | 8/23 10/23 |
ITEM 2. CODE OF ETHICS.
As of the end of the fiscal year, August 31, 2023, the registrant has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its Chief Executive Officer, Chief Financial Officer and Treasurer (respectively, the principal executive officer, the principal financial officer and the principal accounting officer, the "Covered Officers"). A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Frances G. Rathke is the audit committee financial expert and is "independent", pursuant to general instructions on Form N-CSR Item 3.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit fees:
The aggregate fees billed for professional services rendered by the principal accountant for the audits of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements amounted to the following for the fiscal years ended August 31, 2023 and 2022. These fees were billed to the registrant and were approved by the registrant's audit committee.
2023: $501,905
2022: $480,868
(b) Audit related fees:
Audit-related fees for assurance and related services by the principal accountant are billed to the registrant or to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser ("control affiliates") that provides ongoing services to the registrant. The nature of the services provided was affiliated service provider internal controls reviews, and reviews related to supplemental regulatory filings. Amounts billed to the registrant for the fiscal years ended August 31, 2023 and 2022 were as follows:
2023: $666
2022: $30,984
Amounts billed to control affiliates were $127,376 and $129,201 for the fiscal years ended August 31, 2023 and 2022, respectively.
(c) Tax fees:
The aggregate fees billed for professional services rendered by the principal accountant for tax compliance, tax advice and tax planning ("tax fees") amounted to the following for the fiscal years ended August 31, 2023 and 2022. The nature of the services comprising the tax fees was the review of the registrant's tax distribution requirements. These fees were billed to the registrant and were approved by the registrant's audit committee.
2023: $4,725
2022: $1,250
(d) All other fees:
The nature of the services comprising all other fees is advisory services provided to the investment manager. Other fees amounted to the following for the fiscal years ended August 31, 2023 and 2022:
2023: $0
2022: $6,209
(e)(1) Audit Committee Pre-Approval Policies and Procedures:
The Trust's Audit Committee must pre-approve all audit and non-audit services provided by the independent registered public accounting firm (the "Auditor") relating to the operations or financial reporting of the funds. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.
The Trust's Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee's consideration of audit-related and non-audit services by the Auditor. The policies and procedures require that any audit-related and non-audit service provided by the Auditor and any non-audit service provided by the Auditor to a fund service provider that relates directly to the operations and financial reporting of a fund are subject to approval by the Audit Committee before such service is provided. Audit-related services provided by the Auditor that are expected to exceed $25,000 per instance/per fund are subject to specific pre-approval by the Audit Committee. Tax services provided by the Auditor that are expected to exceed $30,000 per instance/per fund are subject to specific pre-approval by the Audit Committee.
All audit services, as well as the audit-related and non-audit services that are expected to exceed the amounts stated above, must be approved in advance of provision of the service by formal resolution of the Audit Committee. At the regularly scheduled Audit Committee meetings, the Committee reviews a report summarizing the services, including fees, provided by the Auditor.
(e)(2) Services approved pursuant to paragraph (c) (7) (i) (C) of Rule 2-01 of Regulation S-X:
Audit-Related Fees, Tax Fees and All Other Fees:
There were no amounts that were approved by the Audit Committee pursuant to the de minimis exception under Rule 2-01 of Regulation S-X.
(f)According to the registrant's principal accountant, for the fiscal year ended August 31, 2023, the percentage of hours spent on the audit of the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons who were not full-time, permanent employees of principal accountant was less than 50%.
(g)The aggregate non-audit fees billed by the registrant's principal accountant for non-audit services rendered to the registrant and rendered to the registrant's control affiliates were $1,423,642 for the fiscal year ended August 31, 2023 and $796,305 for the fiscal year ended August 31, 2022.
(h)The audit committee of the registrant has considered the non-audit services provided by the registrant's principal accountant to the control affiliates and has determined that the services that were not pre-approved are compatible with maintaining the principal accountant's independence.
(i)Not applicable
(j)Not applicable
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
The registrant has a separately-designated standing audit committee comprised of independent trustees. The members of the audit committee are as follows:
Frances G. Rathke – Chairperson
William H. Cunningham
Hassell H. McClellan – Member of the Audit Committee as of September 26, 2023 Patricia Lizarraga – effective September 20, 2022 to September 21, 2023
ITEM 6. SCHEDULE OF INVESTMENTS.
(a)Not Applicable
(b)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. PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANIES AND AFFILIATED PURCHASERS.
Not Applicable
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
The registrant has adopted procedures by which shareholders may recommend nominees to the registrant's Board of Trustees. A copy of the procedures is filed as an exhibit to this Form N-CSR. See attached "John Hancock Funds – Nominating and Governance Committee Charter".
ITEM 11. CONTROLS AND PROCEDURES.
(a)Based upon their evaluation of the registrant's disclosure controls and procedures as conducted within
90 days of the filing date of this Form N-CSR, the registrant's principal executive officer and principal financial officer have concluded that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms.
(b)There were no changes in the registrant's internal control over financial reporting that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.
ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable
ITEM 13. EXHIBITS.
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.
JOHN HANCOCK FUNDS II
/s/ Kristie M. Feinberg
_______________________
Kristie M. Feinberg
President
Date: October 19, 2023
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.
/s/ Kristie M. Feinberg
_______________________
Kristie M. Feinberg
President
Date: October 19, 2023
/s/ Charles A. Rizzo
_______________________
Charles A. Rizzo
Chief Financial Officer
Date: October 19, 2023