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 811-21993
Oppenheimer Revenue Weighted ETF Trust
(Exact name of registrant as specified in charter)
6803 South Tucson Way, Centennial, Colorado 80112-3924
(Address of principal executive offices) (Zip code)
Cynthia Lo Bessette
VTL Associates, LLC
225 Liberty Street, New York, New York 10281-1008
(Name and address of agent for service)
Registrant's telephone number, including area code: (303) 768-3200
Date of fiscal year end: June 30
Date of reporting period: December 31, 2016
Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
Semiannual Report | 12/31/2016 |
ETF Trust
1. | Go to www.icsdelivery.com |
2. | Select the first letter of your brokerage firm’s name. |
3. | From the list that follows, select your brokerage firm. If your brokerage firm is not listed, electronic delivery may not be available. Please contact your brokerage firm. |
4. | Complete the information requested, including the e-mail address where you would like to receive notifications for electronic documents. |
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Schedules of Investments | |
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Beginning Account Value 07/01/2016 | | Ending Account Value 12/31/2016 | | Annualized Expense Ratios for the Six Month Period | | Expenses Paid During the Six Month Period1 | |||||
Oppenheimer Large Cap Revenue ETF | |||||||||||
Actual | $ | 1,000.00 | $ | 1,082.00 | 0.45 | % | $2.36 | ||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.94 | 0.45 | % | $2.29 | ||||
Oppenheimer Mid Cap Revenue ETF | |||||||||||
Actual | $ | 1,000.00 | $ | 1,145.60 | 0.48 | % | $2.60 | ||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.79 | 0.48 | % | $2.45 | ||||
Oppenheimer Small Cap Revenue ETF | |||||||||||
Actual | $ | 1,000.00 | $ | 1,224.50 | 0.48 | % | $2.69 | ||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.79 | 0.48 | % | $2.45 | ||||
Oppenheimer Financials Sector Revenue ETF | |||||||||||
Actual | $ | 1,000.00 | $ | 1,276.60 | 0.49 | % | $2.81 | ||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.74 | 0.49 | % | $2.50 | ||||
Oppenheimer ADR Revenue ETF | |||||||||||
Actual | $ | 1,000.00 | $ | 1,086.30 | 0.49 | % | $2.58 | ||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.74 | 0.49 | % | $2.50 | ||||
Oppenheimer Ultra Dividend Revenue ETF | |||||||||||
Actual | $ | 1,000.00 | $ | 1,113.50 | 0.44 | % | $2.34 | ||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.99 | 0.44 | % | $2.24 | ||||
Oppenheimer Global Growth Revenue ETF | |||||||||||
Actual | $ | 1,000.00 | $ | 1,122.90 | 0.64 | % | $3.42 | ||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,021.98 | 0.64 | % | $3.26 | ||||
Oppenheimer ESG Revenue ETF | |||||||||||
Actual | $ | 1,000.00 | $ | 1,075.50 | 0.40 | % | $0.73 | ||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,023.19 | 0.40 | % | $2.04 | ||||
Oppenheimer Global ESG Revenue ETF | |||||||||||
Actual | $ | 1,000.00 | $ | 999.00 | 0.45 | % | $0.80 | ||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.94 | 0.45 | % | $2.29 |
1 | Expenses are calculated using each Fund’s annualized expense ratio, multiplied by the average account value for the period, multiplied by 184/365 (to reflect the six-month period). |
2 | Actual Expenses Paid are equal to the Fund’s annualized expense ratio, multiplied by the average account value for the period, multiplied by 62/365 (to reflect the period from October 31, 2016 to December 31, 2016). |
Industry | % of Net Assets | |||
Automobiles & Components | 3.4 | % | ||
Banks | 3.9 | |||
Capital Goods | 8.3 | |||
Commercial & Professional Services | 0.5 | |||
Consumer Durables & Apparel | 1.6 | |||
Consumer Services | 1.0 | |||
Diversified Financials | 4.3 | |||
Energy | 7.1 | |||
Food & Staples Retailing | 10.2 | |||
Food, Beverage & Tobacco | 4.1 | |||
Health Care Equipment & Services | 12.3 | |||
Household & Personal Products | 1.2 | |||
Insurance | 4.3 | |||
Materials | 2.9 | |||
Media | 2.7 | |||
Money Market Fund | 0.9 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 3.8 | |||
Real Estate | 0.8 | |||
Retailing | 7.0 | |||
Semiconductors & Semiconductor Equipment | 1.6 | |||
Software & Services | 5.0 | |||
Technology Hardware & Equipment | 4.4 | |||
Telecommunication Services | 3.3 | |||
Transportation | 3.2 | |||
Utilities | 3.0 | |||
Total Investments | 100.8 | |||
Liabilities in Excess of Other Assets | (0.8 | ) | ||
Net Assets | 100.0 | % |
Industry | % of Net Assets | |||
Automobiles & Components | 1.0 | % | ||
Banks | 2.0 | |||
Capital Goods | 12.1 | |||
Commercial & Professional Services | 2.9 | |||
Consumer Durables & Apparel | 4.4 | |||
Consumer Services | 2.7 | |||
Diversified Financials | 1.7 | |||
Energy | 5.8 | |||
Food & Staples Retailing | 1.5 | |||
Food, Beverage & Tobacco | 3.6 | |||
Health Care Equipment & Services | 7.9 | |||
Household & Personal Products | 0.8 | |||
Insurance | 6.9 | |||
Materials | 9.0 | |||
Media | 1.9 | |||
Money Market Fund | 7.2 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 1.0 | |||
Real Estate | 2.8 | |||
Retailing | 7.6 | |||
Semiconductors & Semiconductor Equipment | 1.4 | |||
Software & Services | 4.5 | |||
Technology Hardware & Equipment | 12.4 | |||
Telecommunication Services | 0.4 | |||
Transportation | 2.2 | |||
Utilities | 3.4 | |||
Total Investments | 107.1 | |||
Liabilities in Excess of Other Assets | (7.1 | ) | ||
Net Assets | 100.0 | % |
Industry | % of Net Assets | |||
Automobiles & Components | 2.1 | % | ||
Banks | 2.6 | |||
Capital Goods | 11.3 | |||
Commercial & Professional Services | 8.7 | |||
Consumer Durables & Apparel | 4.0 | |||
Consumer Services | 3.1 | |||
Diversified Financials | 4.0 | |||
Energy | 2.4 | |||
Food & Staples Retailing | 4.0 | |||
Food, Beverage & Tobacco | 2.0 | |||
Health Care Equipment & Services | 10.2 | |||
Household & Personal Products | 0.4 | |||
Insurance | 2.7 | |||
Materials | 7.2 | |||
Media | 1.1 | |||
Money Market Fund | 9.0 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 1.1 | |||
Real Estate | 1.5 | |||
Retailing | 14.8 | |||
Semiconductors & Semiconductor Equipment | 1.0 | |||
Software & Services | 3.1 | |||
Technology Hardware & Equipment | 7.3 | |||
Telecommunication Services | 0.7 | |||
Transportation | 3.5 | |||
Utilities | 1.1 | |||
Total Investments | 108.9 | |||
Liabilities in Excess of Other Assets | (8.9 | ) | ||
Net Assets | 100.0 | % |
Industry | % of Net Assets | |||
Banks | 31.2 | % | ||
Capital Markets | 12.4 | |||
Consumer Finance | 5.1 | |||
Diversified Financial Services | 16.8 | |||
Insurance | 34.5 | |||
Total Investments | 100.0 | |||
Liabilities in Excess of Other Assets | 0.0 | ‡ | ||
Net Assets | 100.0 | % |
Industry | % of Net Assets | |||
Automobiles & Components | 8.4 | % | ||
Banks | 10.5 | |||
Capital Goods | 1.5 | |||
Commercial & Professional Services | 0.4 | |||
Consumer Durables & Apparel | 1.8 | |||
Consumer Services | 0.5 | |||
Diversified Financials | 3.2 | |||
Energy | 29.8 | |||
Food & Staples Retailing | 0.3 | |||
Food, Beverage & Tobacco | 2.6 | |||
Health Care Equipment & Services | 0.5 | |||
Household & Personal Products | 1.3 | |||
Insurance | 7.8 | |||
Materials | 7.3 | |||
Media | 0.7 | |||
Money Market Fund | 20.7 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 4.2 | |||
Semiconductors & Semiconductor Equipment | 0.9 | |||
Software & Services | 0.7 | |||
Technology Hardware & Equipment | 2.1 | |||
Telecommunication Services | 12.6 | |||
Transportation | 0.7 | |||
Utilities | 2.0 | |||
Total Investments | 120.5 | |||
Liabilities in Excess of Other Assets | (20.5 | ) | ||
Net Assets | 100.0 | % |
Industry | % of Net Assets | |||
Automobiles & Components | 9.6 | % | ||
Banks | 0.2 | |||
Commercial & Professional Services | 0.9 | |||
Consumer Durables & Apparel | 2.8 | |||
Diversified Financials | 0.4 | |||
Energy | 9.1 | |||
Food, Beverage & Tobacco | 5.2 | |||
Insurance | 2.5 | |||
Materials | 2.5 | |||
Media | 0.8 | |||
Money Market Fund | 6.8 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 5.1 | |||
Real Estate | 11.5 | |||
Retailing | 7.0 | |||
Technology Hardware & Equipment | 2.9 | |||
Telecommunication Services | 17.1 | |||
Utilities | 22.2 | |||
Total Investments | 106.6 | |||
Liabilities in Excess of Other Assets | (6.6 | ) | ||
Net Assets | 100.0 | % |
‡ | Less than 0.05% |
Industry | % of Net Assets | |||
Automobiles & Components | 5.3 | % | ||
Banks | 8.9 | |||
Capital Goods | 6.9 | |||
Commercial & Professional Services | 0.8 | |||
Consumer Durables & Apparel | 0.6 | |||
Consumer Services | 0.8 | |||
Diversified Financials | 0.6 | |||
Energy | 15.4 | |||
Food & Staples Retailing | 10.4 | |||
Food, Beverage & Tobacco | 5.6 | |||
Household & Personal Products | 2.0 | |||
Insurance | 12.0 | |||
Materials | 7.9 | |||
Media | 0.3 | |||
Money Market Fund | 1.0 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 3.5 | |||
Retailing | 0.4 | |||
Semiconductors & Semiconductor Equipment | 0.8 | |||
Technology Hardware & Equipment | 8.1 | |||
Telecommunication Services | 3.9 | |||
Utilities | 6.9 | |||
Total Investments | 102.1 | |||
Liabilities in Excess of Other Assets | (2.1 | ) | ||
Net Assets | 100.0 | % |
Industry | % of Net Assets | |||
Automobiles & Components | 3.9 | % | ||
Banks | 2.1 | |||
Capital Goods | 10.9 | |||
Commercial & Professional Services | 0.5 | |||
Consumer Durables & Apparel | 1.8 | |||
Consumer Services | 0.9 | |||
Diversified Financials | 2.4 | |||
Energy | 4.6 | |||
Food & Staples Retailing | 7.3 | |||
Food, Beverage & Tobacco | 5.7 | |||
Health Care Equipment & Services | 7.6 | |||
Household & Personal Products | 2.5 | |||
Insurance | 2.6 | |||
Materials | 3.7 | |||
Media | 3.6 | |||
Money Market Fund | 0.1 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 2.8 | |||
Real Estate | 1.2 | |||
Retailing | 5.6 | |||
Semiconductors & Semiconductor Equipment | 3.0 | |||
Software & Services | 8.3 | |||
Technology Hardware & Equipment | 3.2 | |||
Telecommunication Services | 6.4 | |||
Transportation | 4.5 | |||
Utilities | 4.8 | |||
Total Investments | 100.0 | |||
Liabilities in Excess of Other Assets | 0.0 | ‡ | ||
Net Assets | 100.0 | % |
Industry | % of Net Assets | |||
Automobiles & Components | 2.2 | % | ||
Capital Goods | 19.3 | |||
Commercial & Professional Services | 1.2 | |||
Consumer Durables & Apparel | 3.7 | |||
Consumer Services | 1.1 | |||
Diversified Financials | 0.8 | |||
Energy | 6.0 | |||
Food & Staples Retailing | 7.4 | |||
Food, Beverage & Tobacco | 5.6 | |||
Health Care Equipment & Services | 2.0 | |||
Household & Personal Products | 1.9 | |||
Insurance | 1.0 | |||
Materials | 9.3 | |||
Media | 0.6 | |||
Money Market Fund | 0.2 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 2.5 | |||
Real Estate | 1.1 | |||
Retailing | 1.9 | |||
Semiconductors & Semiconductor Equipment | 2.8 | |||
Software & Services | 7.4 | |||
Technology Hardware & Equipment | 8.6 | |||
Telecommunication Services | 4.5 | |||
Transportation | 3.4 | |||
Utilities | 5.6 | |||
Total Investments | 100.1 | |||
Liabilities in Excess of Other Assets | (0.1 | ) | ||
Net Assets | 100.0 | % |
‡ | Less than 0.05% |
Shares | Value | |||||||
COMMON STOCKS—99.9% | ||||||||
Automobiles & Components—3.4% | ||||||||
BorgWarner, Inc. | 10,730 | $ | 423,191 | |||||
Delphi Automotive PLC | 11,133 | 749,807 | ||||||
Ford Motor Co. | 572,921 | 6,949,532 | ||||||
General Motors Co. | 210,220 | 7,324,065 | ||||||
Goodyear Tire & Rubber Co. (The)1 | 22,506 | 694,760 | ||||||
Harley-Davidson, Inc. | 4,773 | 278,457 | ||||||
Total Automobiles & Components | 16,419,812 | |||||||
Banks—3.9% | ||||||||
Bank of America Corp. | 165,829 | 3,664,821 | ||||||
BB&T Corp. | 10,115 | 475,607 | ||||||
Citigroup, Inc. | 51,000 | 3,030,930 | ||||||
Citizens Financial Group, Inc. | 6,257 | 222,937 | ||||||
Comerica, Inc. | 1,804 | 122,871 | ||||||
Fifth Third Bancorp | 10,705 | 288,714 | ||||||
Huntington Bancshares, Inc. | 11,169 | 147,654 | ||||||
JPMorgan Chase & Co. | 49,983 | 4,313,033 | ||||||
KeyCorp | 11,050 | 201,884 | ||||||
M&T Bank Corp. | 1,559 | 243,874 | ||||||
People’s United Financial, Inc.1 | 3,130 | 60,597 | ||||||
PNC Financial Services Group, Inc. (The) | 6,092 | 712,520 | ||||||
Regions Financial Corp. | 17,513 | 251,487 | ||||||
SunTrust Banks, Inc. | 6,913 | 379,178 | ||||||
U.S. Bancorp | 17,485 | 898,205 | ||||||
Wells Fargo & Co. | 73,012 | 4,023,691 | ||||||
Zions Bancorporation1 | 2,509 | 107,987 | ||||||
Total Banks | 19,145,990 | |||||||
Capital Goods—8.3% | ||||||||
3M Co. | 8,033 | 1,434,453 | ||||||
Acuity Brands, Inc. | 635 | 146,596 | ||||||
Allegion PLC | 1,597 | 102,208 | ||||||
AMETEK, Inc. | 3,657 | 177,730 | ||||||
Arconic, Inc. | 47,265 | 876,293 | ||||||
Boeing Co. (The) | 28,977 | 4,511,139 | ||||||
Caterpillar, Inc. | 20,161 | 1,869,731 | ||||||
Cummins, Inc. | 6,253 | 854,598 | ||||||
Deere & Co. | 12,559 | 1,294,079 | ||||||
Dover Corp. | 4,190 | 313,957 | ||||||
Eaton Corp. PLC | 13,903 | 932,752 | ||||||
Emerson Electric Co. | 15,686 | 874,495 | ||||||
Fastenal Co. | 3,845 | 180,638 | ||||||
Flowserve Corp. | 4,038 | 194,026 | ||||||
Fluor Corp. | 15,590 | 818,787 | ||||||
Fortive Corp. | 5,354 | 287,135 | ||||||
Fortune Brands Home & Security, Inc. | 4,140 | 221,324 | ||||||
General Dynamics Corp. | 8,434 | 1,456,214 | ||||||
General Electric Co. | 169,255 | 5,348,458 | ||||||
Honeywell International, Inc. | 15,909 | 1,843,058 | ||||||
Illinois Tool Works, Inc. | 5,105 | 625,158 | ||||||
Ingersoll-Rand PLC | 8,186 | 614,277 | ||||||
Jacobs Engineering Group, Inc.2 | 8,963 | 510,891 | ||||||
Johnson Controls International PLC | 41,473 | 1,708,273 | ||||||
L-3 Communications Holdings, Inc. | 3,109 | 472,910 | ||||||
Lockheed Martin Corp. | 8,647 | 2,161,231 | ||||||
Masco Corp. | 10,643 | 336,532 | ||||||
Northrop Grumman Corp. | 4,848 | 1,127,548 | ||||||
Shares | Value | |||||||
PACCAR, Inc. | 12,440 | $ | 794,916 | |||||
Parker-Hannifin Corp. | 3,797 | 531,580 | ||||||
Pentair PLC | 4,635 | 259,884 | ||||||
Quanta Services, Inc.2 | 9,879 | 344,283 | ||||||
Raytheon Co. | 8,077 | 1,146,934 | ||||||
Rockwell Automation, Inc. | 2,055 | 276,192 | ||||||
Rockwell Collins, Inc. | 2,673 | 247,948 | ||||||
Roper Technologies, Inc. | 925 | 169,349 | ||||||
Snap-on, Inc. | 999 | 171,099 | ||||||
Stanley Black & Decker, Inc. | 4,501 | 516,220 | ||||||
Textron, Inc. | 13,554 | 658,182 | ||||||
TransDigm Group, Inc. | 600 | 149,376 | ||||||
United Rentals, Inc.2 | 2,615 | 276,092 | ||||||
United Technologies Corp. | 24,568 | 2,693,144 | ||||||
W.W. Grainger, Inc.1 | 2,029 | 471,235 | ||||||
Xylem, Inc. | 3,324 | 164,605 | ||||||
Total Capital Goods | 40,165,530 | |||||||
Commercial & Professional Services—0.5% | ||||||||
Cintas Corp. | 1,974 | 228,115 | ||||||
Dun & Bradstreet Corp. (The) | 654 | 79,343 | ||||||
Equifax, Inc. | 1,218 | 144,004 | ||||||
Nielsen Holdings PLC | 6,871 | 288,238 | ||||||
Pitney Bowes, Inc. | 10,319 | 156,746 | ||||||
Republic Services, Inc. | 7,771 | 443,336 | ||||||
Robert Half International, Inc. | 5,203 | 253,802 | ||||||
Stericycle, Inc.1,2 | 2,212 | 170,413 | ||||||
Verisk Analytics, Inc.2 | 1,176 | 95,456 | ||||||
Waste Management, Inc. | 9,023 | 639,821 | ||||||
Total Commercial & Professional Services | 2,499,274 | |||||||
Consumer Durables & Apparel—1.6% | ||||||||
Coach, Inc. | 5,647 | 197,758 | ||||||
D.R. Horton, Inc. | 20,185 | 551,656 | ||||||
Garmin Ltd.1 | 2,837 | 137,566 | ||||||
Hanesbrands, Inc.1 | 12,055 | 260,026 | ||||||
Harman International Industries, Inc. | 3,023 | 336,037 | ||||||
Hasbro, Inc.1 | 2,699 | 209,955 | ||||||
Leggett & Platt, Inc.1 | 3,590 | 175,479 | ||||||
Lennar Corp., Class A | 11,294 | 484,852 | ||||||
Mattel, Inc. | 8,977 | 247,316 | ||||||
Michael Kors Holdings Ltd.1,2 | 4,980 | 214,041 | ||||||
Mohawk Industries, Inc.2 | 2,004 | 400,159 | ||||||
Newell Brands, Inc. | 10,840 | 484,006 | ||||||
NIKE, Inc., Class B | 30,139 | 1,531,965 | ||||||
PulteGroup, Inc. | 17,922 | 329,406 | ||||||
PVH Corp. | 3,879 | 350,041 | ||||||
Ralph Lauren Corp. | 3,397 | 306,817 | ||||||
Under Armour, Inc., Class A1,2 | 3,529 | 102,518 | ||||||
Under Armour, Inc., Class C2 | 4,218 | 106,167 | ||||||
VF Corp.1 | 10,465 | 558,308 | ||||||
Whirlpool Corp. | 5,530 | 1,005,188 | ||||||
Total Consumer Durables & Apparel | 7,989,261 | |||||||
Consumer Services—1.0% | ||||||||
Carnival Corp. | 14,573 | 758,670 | ||||||
Chipotle Mexican Grill, Inc.1,2 | 482 | 181,868 | ||||||
Darden Restaurants, Inc. | 4,312 | 313,569 | ||||||
H&R Block, Inc.1 | 6,077 | 139,710 | ||||||
Marriott International, Inc., Class A | 1,685 | 139,316 | ||||||
McDonald’s Corp. | 9,584 | 1,166,565 |
Shares | Value | |||||||
Consumer Services (continued) | ||||||||
Royal Caribbean Cruises Ltd. | 4,683 | $ | 384,193 | |||||
Starbucks Corp. | 16,754 | 930,182 | ||||||
Wyndham Worldwide Corp. | 3,436 | 262,407 | ||||||
Wynn Resorts Ltd.1 | 1,673 | 144,731 | ||||||
Yum! Brands, Inc. | 6,605 | 418,295 | ||||||
Total Consumer Services | 4,839,506 | |||||||
Diversified Financials—4.3% | ||||||||
Affiliated Managers Group, Inc.2 | 670 | 97,351 | ||||||
American Express Co. | 19,480 | 1,443,078 | ||||||
Ameriprise Financial, Inc. | 4,933 | 547,267 | ||||||
Bank of New York Mellon Corp. (The) | 14,782 | 700,371 | ||||||
Berkshire Hathaway, Inc., Class B2 | 60,033 | 9,784,178 | ||||||
BlackRock, Inc. | 1,356 | 516,012 | ||||||
Capital One Financial Corp. | 10,140 | 884,614 | ||||||
Charles Schwab Corp. (The) | 8,666 | 342,047 | ||||||
CME Group, Inc. | 1,365 | 157,453 | ||||||
Discover Financial Services | 4,770 | 343,869 | ||||||
E*TRADE Financial Corp.2 | 2,760 | 95,634 | ||||||
Franklin Resources, Inc. | 7,951 | 314,701 | ||||||
Goldman Sachs Group, Inc. (The) | 5,874 | 1,406,529 | ||||||
Intercontinental Exchange, Inc. | 3,420 | 192,956 | ||||||
Invesco Ltd. | 7,149 | 216,901 | ||||||
Leucadia National Corp. | 21,315 | 495,574 | ||||||
Moody’s Corp. | 1,713 | 161,485 | ||||||
Morgan Stanley | 36,798 | 1,554,716 | ||||||
Nasdaq, Inc. | 2,484 | 166,726 | ||||||
Navient Corp. | 6,419 | 105,464 | ||||||
Northern Trust Corp. | 2,628 | 234,023 | ||||||
S&P Global, Inc. | 2,320 | 249,493 | ||||||
State Street Corp. | 6,064 | 471,294 | ||||||
Synchrony Financial | 9,108 | 330,347 | ||||||
T. Rowe Price Group, Inc. | 2,617 | 196,956 | ||||||
Total Diversified Financials | 21,009,039 | |||||||
Energy—7.1% | ||||||||
Anadarko Petroleum Corp. | 5,285 | 368,523 | ||||||
Apache Corp. | 3,665 | 232,618 | ||||||
Baker Hughes, Inc.1 | 7,928 | 515,082 | ||||||
Cabot Oil & Gas Corp. | 2,317 | 54,125 | ||||||
Chesapeake Energy Corp.1,2 | 65,449 | 459,452 | ||||||
Chevron Corp. | 41,187 | 4,847,710 | ||||||
Cimarex Energy Co. | 405 | 55,040 | ||||||
Concho Resources, Inc.2 | 501 | 66,433 | ||||||
ConocoPhillips | 21,172 | 1,061,564 | ||||||
Devon Energy Corp. | 10,276 | 469,305 | ||||||
EOG Resources, Inc. | 3,158 | 319,274 | ||||||
EQT Corp. | 1,188 | 77,695 | ||||||
Exxon Mobil Corp. | 102,539 | 9,255,170 | ||||||
FMC Technologies, Inc.2 | 7,125 | 253,151 | ||||||
Halliburton Co. | 14,982 | 810,376 | ||||||
Helmerich & Payne, Inc.1 | 943 | 72,988 | ||||||
Hess Corp. | 3,514 | 218,887 | ||||||
Kinder Morgan, Inc. | 29,410 | 609,081 | ||||||
Marathon Oil Corp. | 10,327 | 178,760 | ||||||
Marathon Petroleum Corp. | 52,986 | 2,667,845 | ||||||
Murphy Oil Corp.1 | 2,690 | 83,740 | ||||||
National Oilwell Varco, Inc. | 9,963 | 373,015 | ||||||
Newfield Exploration Co.2 | 1,462 | 59,211 | ||||||
Shares | Value | |||||||
Noble Energy, Inc. | 3,736 | $ | 142,192 | |||||
Occidental Petroleum Corp. | 6,707 | 477,740 | ||||||
ONEOK, Inc. | 6,745 | 387,230 | ||||||
Phillips 66 | 37,729 | 3,260,163 | ||||||
Pioneer Natural Resources Co. | 892 | 160,622 | ||||||
Range Resources Corp. | 1,554 | 53,395 | ||||||
Schlumberger Ltd. | 15,768 | 1,323,724 | ||||||
Southwestern Energy Co.1,2 | 10,685 | 115,612 | ||||||
Spectra Energy Corp. | 5,711 | 234,665 | ||||||
Tesoro Corp. | 12,524 | 1,095,224 | ||||||
Transocean Ltd.1,2 | 13,812 | 203,589 | ||||||
Valero Energy Corp. | 49,451 | 3,378,492 | ||||||
Williams Cos., Inc. (The) | 10,639 | 331,299 | ||||||
Total Energy | 34,272,992 | |||||||
Food & Staples Retailing—10.2% | ||||||||
Costco Wholesale Corp. | 35,218 | 5,638,754 | ||||||
CVS Health Corp. | 103,096 | 8,135,305 | ||||||
Kroger Co. (The) | 147,538 | 5,091,536 | ||||||
Sysco Corp. | 42,334 | 2,344,034 | ||||||
Walgreens Boots Alliance, Inc. | 63,701 | 5,271,895 | ||||||
Wal-Mart Stores, Inc. | 319,970 | 22,116,326 | ||||||
Whole Foods Market, Inc. | 22,585 | 694,715 | ||||||
Total Food & Staples Retailing | 49,292,565 | |||||||
Food, Beverage & Tobacco—4.1% | ||||||||
Altria Group, Inc. | 13,821 | 934,576 | ||||||
Archer-Daniels-Midland Co. | 64,445 | 2,941,914 | ||||||
Brown-Forman Corp., Class B1 | 3,213 | 144,328 | ||||||
Campbell Soup Co. | 6,358 | 384,468 | ||||||
Coca-Cola Co. (The) | 46,802 | 1,940,411 | ||||||
Conagra Brands, Inc. | 14,352 | 567,622 | ||||||
Constellation Brands, Inc., Class A | 2,139 | 327,930 | ||||||
Dr Pepper Snapple Group, Inc. | 3,365 | 305,105 | ||||||
General Mills, Inc. | 12,192 | 753,100 | ||||||
Hershey Co. (The) | 3,433 | 355,075 | ||||||
Hormel Foods Corp. | 12,605 | 438,780 | ||||||
JM Smucker Co. (The) | 2,826 | 361,898 | ||||||
Kellogg Co. | 8,471 | 624,397 | ||||||
Kraft Heinz Co. (The) | 14,843 | 1,296,091 | ||||||
McCormick & Co., Inc. | 2,244 | 209,432 | ||||||
Mead Johnson Nutrition Co. | 2,468 | 174,636 | ||||||
Molson Coors Brewing Co., Class B | 1,639 | 159,491 | ||||||
Mondelez International, Inc., Class A | 29,136 | 1,291,599 | ||||||
Monster Beverage Corp.2 | 3,146 | 139,494 | ||||||
PepsiCo, Inc. | 27,915 | 2,920,746 | ||||||
Philip Morris International, Inc. | 13,578 | 1,242,251 | ||||||
Reynolds American, Inc. | 10,558 | 591,670 | ||||||
Tyson Foods, Inc., Class A | 28,991 | 1,788,165 | ||||||
Total Food, Beverage & Tobacco | 19,893,179 | |||||||
Health Care Equipment & Services—12.3% | ||||||||
Abbott Laboratories | 25,205 | 968,124 | ||||||
Aetna, Inc. | 23,273 | 2,886,085 | ||||||
AmerisourceBergen Corp.1 | 89,885 | 7,028,108 | ||||||
Anthem, Inc. | 27,178 | 3,907,381 | ||||||
Baxter International, Inc. | 10,612 | 470,536 | ||||||
Becton Dickinson and Co. | 3,512 | 581,412 | ||||||
Boston Scientific Corp.2 | 17,825 | 385,555 | ||||||
C.R. Bard, Inc. | 773 | 173,662 |
Shares | Value | |||||||
Health Care Equipment & Services (continued) | ||||||||
Cardinal Health, Inc. | 81,551 | $ | 5,869,225 | |||||
Centene Corp.2 | 27,777 | 1,569,678 | ||||||
Cerner Corp.2 | 4,479 | 212,170 | ||||||
Cigna Corp. | 13,877 | 1,851,053 | ||||||
Cooper Cos., Inc. (The) | 517 | 90,439 | ||||||
Danaher Corp. | 12,745 | 992,071 | ||||||
DaVita, Inc.2 | 10,744 | 689,765 | ||||||
DENTSPLY SIRONA, Inc. | 2,700 | 155,871 | ||||||
Edwards Lifesciences Corp.2 | 1,501 | 140,644 | ||||||
Envision Healthcare Corp.2 | 2,154 | 136,327 | ||||||
Express Scripts Holding Co.2 | 68,056 | 4,681,572 | ||||||
HCA Holdings, Inc.2 | 26,505 | 1,961,900 | ||||||
Henry Schein, Inc.2 | 3,488 | 529,164 | ||||||
Hologic, Inc.2 | 3,286 | 131,834 | ||||||
Humana, Inc. | 12,624 | 2,575,675 | ||||||
Intuitive Surgical, Inc.2 | 197 | 124,931 | ||||||
Laboratory Corp. of America Holdings2 | 3,441 | 441,756 | ||||||
McKesson Corp. | 64,030 | 8,993,014 | ||||||
Medtronic PLC | 18,472 | 1,315,761 | ||||||
Patterson Cos., Inc. | 6,539 | 268,295 | ||||||
Quest Diagnostics, Inc. | 3,887 | 357,215 | ||||||
St. Jude Medical, Inc. | 3,427 | 274,811 | ||||||
Stryker Corp. | 4,389 | 525,846 | ||||||
UnitedHealth Group, Inc. | 53,380 | 8,542,935 | ||||||
Universal Health Services, Inc., Class B | 4,400 | 468,072 | ||||||
Varian Medical Systems, Inc.2 | 1,687 | 151,459 | ||||||
Zimmer Biomet Holdings, Inc. | 2,675 | 276,060 | ||||||
Total Health Care Equipment & Services | 59,728,406 | |||||||
Household & Personal Products—1.2% | ||||||||
Church & Dwight Co., Inc. | 3,655 | 161,514 | ||||||
Clorox Co. (The) | 2,354 | 282,527 | ||||||
Colgate-Palmolive Co. | 11,000 | 719,840 | ||||||
Coty, Inc., Class A | 10,777 | 197,327 | ||||||
Estee Lauder Cos., Inc., (The), Class A | 6,852 | 524,110 | ||||||
Kimberly-Clark Corp. | 7,477 | 853,275 | ||||||
Procter & Gamble Co. (The) | 36,502 | 3,069,088 | ||||||
Total Household & Personal Products | 5,807,681 | |||||||
Insurance—4.3% | ||||||||
Aflac, Inc. | 15,034 | 1,046,366 | ||||||
Allstate Corp. (The) | 23,352 | 1,730,850 | ||||||
American International Group, Inc. | 37,932 | 2,477,339 | ||||||
Aon PLC | 4,885 | 544,824 | ||||||
Arthur J. Gallagher & Co. | 5,150 | 267,594 | ||||||
Assurant, Inc. | 4,256 | 395,212 | ||||||
Chubb Ltd. | 10,021 | 1,323,975 | ||||||
Cincinnati Financial Corp. | 3,304 | 250,278 | ||||||
Hartford Financial Services Group, Inc. (The) | 17,971 | 856,318 | ||||||
Lincoln National Corp. | 9,479 | 628,173 | ||||||
Loews Corp. | 13,090 | 613,005 | ||||||
Marsh & McLennan Cos., Inc. | 9,076 | 613,447 | ||||||
MetLife, Inc. | 56,672 | 3,054,054 | ||||||
Principal Financial Group, Inc. | 9,417 | 544,868 | ||||||
Progressive Corp. (The) | 29,964 | 1,063,722 | ||||||
Prudential Financial, Inc. | 28,293 | 2,944,170 | ||||||
Shares | Value | |||||||
Torchmark Corp. | 2,508 | $ | 184,990 | |||||
Travelers Cos., Inc. (The) | 10,618 | 1,299,856 | ||||||
Unum Group | 11,925 | 523,865 | ||||||
Willis Towers Watson PLC1 | 2,143 | 262,046 | ||||||
XL Group Ltd. | 13,335 | 496,862 | ||||||
Total Insurance | 21,121,814 | |||||||
Materials—2.9% | ||||||||
Air Products & Chemicals, Inc. | 3,034 | 436,350 | ||||||
Albemarle Corp. | 1,536 | 132,219 | ||||||
Avery Dennison Corp. | 3,908 | 274,420 | ||||||
Ball Corp. | 5,267 | 395,394 | ||||||
CF Industries Holdings, Inc.1 | 6,294 | 198,135 | ||||||
Dow Chemical Co. (The) | 38,134 | 2,182,027 | ||||||
E.I. du Pont de Nemours & Co. | 15,742 | 1,155,463 | ||||||
Eastman Chemical Co. | 5,649 | 424,861 | ||||||
Ecolab, Inc. | 5,149 | 603,566 | ||||||
FMC Corp. | 2,739 | 154,918 | ||||||
Freeport-McMoRan, Inc.1,2 | 46,179 | 609,101 | ||||||
International Flavors & Fragrances, Inc. | 1,225 | 144,342 | ||||||
International Paper Co. | 18,855 | 1,000,446 | ||||||
LyondellBasell Industries NV, Class A | 15,290 | 1,311,576 | ||||||
Martin Marietta Materials, Inc. | 737 | 163,268 | ||||||
Monsanto Co. | 6,101 | 641,886 | ||||||
Mosaic Co. (The)1 | 11,842 | 347,326 | ||||||
Newmont Mining Corp. | 9,890 | 336,952 | ||||||
Nucor Corp. | 11,155 | 663,945 | ||||||
PPG Industries, Inc. | 7,303 | 692,032 | ||||||
Praxair, Inc. | 4,035 | 472,862 | ||||||
Sealed Air Corp. | 6,702 | 303,869 | ||||||
Sherwin-Williams Co. (The) | 2,064 | 554,679 | ||||||
Vulcan Materials Co. | 1,359 | 170,079 | ||||||
WestRock Co. | 12,751 | 647,368 | ||||||
Total Materials | 14,017,084 | |||||||
Media—2.7% | ||||||||
CBS Corp., Class B | 10,728 | 682,515 | ||||||
Charter Communications, Inc., Class A2 | 3,473 | 999,946 | ||||||
Comcast Corp., Class A | 52,981 | 3,658,338 | ||||||
Discovery Communications, Inc., Class A1,2 | 5,326 | 145,986 | ||||||
Discovery Communications, Inc., Class C2 | 5,513 | 147,638 | ||||||
Interpublic Group of Cos., Inc. (The) | 15,232 | 356,581 | ||||||
News Corp., Class A | 16,434 | 188,334 | ||||||
News Corp., Class B | 16,004 | 188,847 | ||||||
Omnicom Group, Inc. | 8,238 | 701,136 | ||||||
Scripps Networks Interactive, Inc., Class A1 | 2,226 | 158,870 | ||||||
TEGNA, Inc. | 6,603 | 141,238 | ||||||
Time Warner, Inc. | 14,239 | 1,374,491 | ||||||
Twenty-First Century Fox, Inc., Class A | 23,221 | 651,117 | ||||||
Twenty-First Century Fox, Inc., Class B | 23,576 | 642,446 | ||||||
Viacom, Inc., Class B | 16,725 | 587,047 | ||||||
Walt Disney Co. (The) | 25,409 | 2,648,126 | ||||||
Total Media | 13,272,656 |
Shares | Value | |||||||
Pharmaceuticals, Biotechnology & Life Sciences—3.8% | ||||||||
AbbVie, Inc. | 19,293 | $ | 1,208,128 | |||||
Agilent Technologies, Inc. | 4,218 | 192,172 | ||||||
Alexion Pharmaceuticals, Inc.2 | 1,210 | 148,044 | ||||||
Allergan PLC2 | 3,654 | 767,377 | ||||||
Amgen, Inc. | 7,153 | 1,045,840 | ||||||
Biogen, Inc.2 | 1,878 | 532,563 | ||||||
Bristol-Myers Squibb Co. | 14,899 | 870,698 | ||||||
Celgene Corp.2 | 4,403 | 509,647 | ||||||
Eli Lilly & Co. | 14,324 | 1,053,530 | ||||||
Endo International PLC2 | 11,307 | 186,226 | ||||||
Gilead Sciences, Inc. | 19,711 | 1,411,505 | ||||||
Illumina, Inc.1,2 | 862 | 110,371 | ||||||
Johnson & Johnson | 29,056 | 3,347,542 | ||||||
Mallinckrodt PLC2 | 3,015 | 150,207 | ||||||
Merck & Co., Inc. | 30,431 | 1,791,473 | ||||||
Mettler-Toledo International, Inc.2 | 284 | 118,871 | ||||||
Mylan NV2 | 12,876 | 491,219 | ||||||
PerkinElmer, Inc. | 2,009 | 104,769 | ||||||
Perrigo Co. PLC | 3,244 | 269,998 | ||||||
Pfizer, Inc. | 77,878 | 2,529,478 | ||||||
Regeneron Pharmaceuticals, Inc.1,2 | 587 | 215,482 | ||||||
Thermo Fisher Scientific, Inc. | 5,952 | 839,827 | ||||||
Vertex Pharmaceuticals, Inc.2 | 1,008 | 74,259 | ||||||
Waters Corp.2 | 634 | 85,203 | ||||||
Zoetis, Inc. | 4,346 | 232,641 | ||||||
Total Pharmaceuticals, Biotechnology & Life Sciences | 18,287,070 | |||||||
Real Estate—0.8% | ||||||||
American Tower Corp. | 2,449 | 258,810 | ||||||
Apartment Investment & Management Co., Class A | 1,067 | 48,495 | ||||||
AvalonBay Communities, Inc. | 559 | 99,027 | ||||||
Boston Properties, Inc. | 959 | 120,623 | ||||||
CBRE Group, Inc., Class A1,2 | 19,199 | 604,577 | ||||||
Crown Castle International Corp. | 2,098 | 182,043 | ||||||
Digital Realty Trust, Inc.1 | 1,038 | 101,994 | ||||||
Equinix, Inc. | 453 | 161,907 | ||||||
Equity Residential | 1,891 | 121,705 | ||||||
Essex Property Trust, Inc. | 267 | 62,077 | ||||||
Extra Space Storage, Inc. | 623 | 48,121 | ||||||
Federal Realty Investment Trust | 266 | 37,801 | ||||||
General Growth Properties, Inc. | 4,475 | 111,786 | ||||||
HCP, Inc. | 4,113 | 122,238 | ||||||
Host Hotels & Resorts, Inc. | 13,491 | 254,170 | ||||||
Iron Mountain, Inc. | 4,881 | 158,535 | ||||||
Kimco Realty Corp. | 2,031 | 51,100 | ||||||
Macerich Co. (The) | 760 | 53,838 | ||||||
Mid-America Apartment Communities, Inc. | 577 | 56,500 | ||||||
Prologis, Inc. | 2,505 | 132,239 | ||||||
Public Storage | 569 | 127,172 | ||||||
Realty Income Corp. | 926 | 53,226 | ||||||
Simon Property Group, Inc. | 1,401 | 248,916 | ||||||
SL Green Realty Corp. | 783 | 84,212 | ||||||
UDR, Inc. | 1,182 | 43,119 | ||||||
Ventas, Inc. | 2,630 | 164,428 | ||||||
Vornado Realty Trust | 1,147 | 119,712 | ||||||
Shares | Value | |||||||
Welltower, Inc. | 2,437 | $ | 163,108 | |||||
Weyerhaeuser Co. | 9,578 | 288,202 | ||||||
Total Real Estate | 4,079,681 | |||||||
Retailing—7.0% | ||||||||
Advance Auto Parts, Inc. | 2,641 | 446,646 | ||||||
Amazon.com, Inc.2 | 7,874 | 5,904,476 | ||||||
AutoNation, Inc.2 | 21,301 | 1,036,294 | ||||||
AutoZone, Inc.2 | 631 | 498,358 | ||||||
Bed Bath & Beyond, Inc. | 12,168 | 494,508 | ||||||
Best Buy Co., Inc. | 38,654 | 1,649,366 | ||||||
CarMax, Inc.1,2 | 11,814 | 760,704 | ||||||
Dollar General Corp. | 13,052 | 966,762 | ||||||
Dollar Tree, Inc.2 | 11,351 | 876,070 | ||||||
Expedia, Inc. | 3,394 | 384,472 | ||||||
Foot Locker, Inc. | 4,686 | 332,191 | ||||||
Gap, Inc. (The) | 28,912 | 648,785 | ||||||
Genuine Parts Co. | 7,342 | 701,455 | ||||||
Home Depot, Inc. (The) | 31,937 | 4,282,113 | ||||||
Kohl’s Corp. | 16,160 | 797,981 | ||||||
L Brands, Inc. | 8,118 | 534,489 | ||||||
LKQ Corp.2 | 12,228 | 374,788 | ||||||
Lowe’s Cos., Inc. | 39,194 | 2,787,477 | ||||||
Macy’s, Inc. | 31,062 | 1,112,330 | ||||||
Netflix, Inc.2 | 3,140 | 388,732 | ||||||
Nordstrom, Inc.1 | 11,961 | 573,291 | ||||||
O’Reilly Automotive, Inc.1,2 | 1,435 | 399,518 | ||||||
Priceline Group, Inc. (The)2 | 337 | 494,062 | ||||||
Ross Stores, Inc. | 8,604 | 564,422 | ||||||
Signet Jewelers Ltd.1 | 3,392 | 319,730 | ||||||
Staples, Inc. | 98,005 | 886,945 | ||||||
Target Corp. | 43,762 | 3,160,929 | ||||||
Tiffany & Co.1 | 2,266 | 175,456 | ||||||
TJX Cos., Inc. (The) | 19,623 | 1,474,276 | ||||||
Tractor Supply Co. | 4,077 | 309,077 | ||||||
TripAdvisor, Inc.2 | 1,461 | 67,747 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc.2 | 801 | 204,207 | ||||||
Urban Outfitters, Inc.2 | 5,153 | 146,758 | ||||||
Total Retailing | 33,754,415 | |||||||
Semiconductors & Semiconductor Equipment—1.6% | ||||||||
Analog Devices, Inc. | 2,217 | 160,999 | ||||||
Applied Materials, Inc. | 14,359 | 463,365 | ||||||
Broadcom Ltd. | 2,904 | 513,340 | ||||||
First Solar, Inc.1,2 | 4,585 | 147,133 | ||||||
Intel Corp. | 73,707 | 2,673,353 | ||||||
KLA-Tencor Corp. | 1,869 | 147,053 | ||||||
Lam Research Corp. | 2,678 | 283,145 | ||||||
Linear Technology Corp. | 1,080 | 67,338 | ||||||
Microchip Technology, Inc.1 | 2,008 | 128,813 | ||||||
Micron Technology, Inc.2 | 28,854 | 632,480 | ||||||
NVIDIA Corp. | 2,691 | 287,237 | ||||||
Qorvo, Inc.1,2 | 2,313 | 121,964 | ||||||
QUALCOMM, Inc. | 16,459 | 1,073,127 | ||||||
Skyworks Solutions, Inc. | 2,140 | 159,772 | ||||||
Texas Instruments, Inc. | 8,551 | 623,966 | ||||||
Xilinx, Inc. | 1,802 | 108,787 | ||||||
Total Semiconductors & Semiconductor Equipment | 7,591,872 |
Shares | Value | |||||||
Software & Services—5.0% | ||||||||
Accenture PLC, Class A | 12,563 | $ | 1,471,504 | |||||
Activision Blizzard, Inc. | 7,636 | 275,736 | ||||||
Adobe Systems, Inc.2 | 2,477 | 255,007 | ||||||
Akamai Technologies, Inc.2 | 1,628 | 108,555 | ||||||
Alliance Data Systems Corp. | 1,451 | 331,554 | ||||||
Alphabet, Inc., Class A2 | 2,469 | 1,956,559 | ||||||
Alphabet, Inc., Class C2 | 2,531 | 1,953,476 | ||||||
Autodesk, Inc.2 | 1,423 | 105,316 | ||||||
Automatic Data Processing, Inc. | 5,733 | 589,238 | ||||||
CA, Inc. | 5,921 | 188,110 | ||||||
Citrix Systems, Inc.2 | 1,784 | 159,329 | ||||||
Cognizant Technology Solutions Corp., Class A2 | 11,105 | 622,213 | ||||||
CSRA, Inc. | 6,693 | 213,105 | ||||||
eBay, Inc.2 | 14,101 | 418,659 | ||||||
Electronic Arts, Inc.1,2 | 2,659 | 209,423 | ||||||
Facebook, Inc., Class A2 | 9,698 | 1,115,755 | ||||||
Fidelity National Information Services, Inc. | 5,374 | 406,489 | ||||||
Fiserv, Inc.2 | 2,414 | 256,560 | ||||||
Global Payments, Inc. | 2,042 | 141,735 | ||||||
International Business Machines Corp. | 22,469 | 3,729,629 | ||||||
Intuit, Inc. | 1,872 | 214,550 | ||||||
Mastercard, Inc., Class A | 4,815 | 497,149 | ||||||
Microsoft Corp. | 64,312 | 3,996,348 | ||||||
Oracle Corp. | 43,082 | 1,656,503 | ||||||
Paychex, Inc. | 2,347 | 142,885 | ||||||
PayPal Holdings, Inc.2 | 12,431 | 490,652 | ||||||
Red Hat, Inc.2 | 1,333 | 92,910 | ||||||
salesforce.com, Inc.2 | 4,963 | 339,767 | ||||||
Symantec Corp. | 6,984 | 166,848 | ||||||
Teradata Corp.2 | 3,994 | 108,517 | ||||||
Total System Services, Inc. | 3,579 | 175,478 | ||||||
VeriSign, Inc.1,2 | 659 | 50,130 | ||||||
Visa, Inc., Class A1 | 9,007 | 702,726 | ||||||
Western Union Co. (The)1 | 11,661 | 253,277 | ||||||
Xerox Corp. | 80,955 | 706,737 | ||||||
Yahoo!, Inc.2 | 5,077 | 196,328 | ||||||
Total Software & Services | 24,298,757 | |||||||
Technology Hardware & Equipment—4.4% | ||||||||
Amphenol Corp., Class A | 4,223 | 283,786 | ||||||
Apple, Inc. | 88,360 | 10,233,855 | ||||||
Cisco Systems, Inc. | 75,941 | 2,294,937 | ||||||
Corning, Inc. | 17,729 | 430,283 | ||||||
F5 Networks, Inc.2 | 663 | 95,950 | ||||||
FLIR Systems, Inc. | 2,127 | 76,976 | ||||||
Harris Corp. | 3,291 | 337,229 | ||||||
Hewlett Packard Enterprise Co. | 100,801 | 2,332,535 | ||||||
HP, Inc. | 185,886 | 2,758,548 | ||||||
Juniper Networks, Inc. | 8,051 | 227,521 | ||||||
Motorola Solutions, Inc. | 3,406 | 282,323 | ||||||
NetApp, Inc. | 7,023 | 247,701 | ||||||
Seagate Technology PLC1 | 13,295 | 507,470 | ||||||
TE Connectivity Ltd. | 8,180 | 566,711 | ||||||
Western Digital Corp. | 9,997 | 679,296 | ||||||
Total Technology Hardware & Equipment | 21,355,121 | |||||||
Shares | Value | |||||||
Telecommunication Services—3.3% | ||||||||
AT&T, Inc. | 188,159 | $ | 8,002,402 | |||||
CenturyLink, Inc.1 | 34,460 | 819,459 | ||||||
Frontier Communications Corp.1 | 104,678 | 353,811 | ||||||
Level 3 Communications, Inc.2 | 6,849 | 386,010 | ||||||
Verizon Communications, Inc. | 116,786 | 6,234,037 | ||||||
Total Telecommunication Services | 15,795,719 | |||||||
Transportation—3.2% | ||||||||
Alaska Air Group, Inc.1 | 3,190 | 283,049 | ||||||
American Airlines Group, Inc. | 39,607 | 1,849,251 | ||||||
C.H. Robinson Worldwide, Inc. | 7,981 | 584,688 | ||||||
CSX Corp. | 14,020 | 503,739 | ||||||
Delta Air Lines, Inc. | 37,805 | 1,859,628 | ||||||
Expeditors International of Washington, Inc. | 5,202 | 275,498 | ||||||
FedEx Corp. | 12,591 | 2,344,444 | ||||||
JB Hunt Transport Services, Inc. | 3,092 | 300,140 | ||||||
Kansas City Southern | 1,296 | 109,966 | ||||||
Norfolk Southern Corp. | 4,355 | 470,645 | ||||||
Ryder System, Inc. | 3,969 | 295,452 | ||||||
Southwest Airlines Co. | 19,626 | 978,160 | ||||||
Union Pacific Corp. | 9,186 | 952,404 | ||||||
United Continental Holdings, Inc.2 | 23,908 | 1,742,415 | ||||||
United Parcel Service, Inc., Class B | 24,165 | 2,770,276 | ||||||
Total Transportation | 15,319,755 | |||||||
Utilities—3.0% | ||||||||
AES Corp. | 53,184 | 617,998 | ||||||
Alliant Energy Corp. | 4,187 | 158,646 | ||||||
Ameren Corp. | 5,413 | 283,966 | ||||||
American Electric Power Co., Inc. | 12,978 | 817,095 | ||||||
American Water Works Co., Inc. | 2,152 | 155,719 | ||||||
CenterPoint Energy, Inc. | 13,969 | 344,196 | ||||||
CMS Energy Corp. | 7,231 | 300,954 | ||||||
Consolidated Edison, Inc. | 7,974 | 587,524 | ||||||
Dominion Resources, Inc. | 7,117 | 545,091 | ||||||
DTE Energy Co. | 4,981 | 490,678 | ||||||
Duke Energy Corp. | 14,266 | 1,107,327 | ||||||
Edison International | 7,653 | 550,940 | ||||||
Entergy Corp. | 7,027 | 516,274 | ||||||
Eversource Energy | 6,694 | 369,710 | ||||||
Exelon Corp. | 39,866 | 1,414,844 | ||||||
FirstEnergy Corp. | 21,258 | 658,360 | ||||||
NextEra Energy, Inc. | 6,696 | 799,904 | ||||||
NiSource, Inc. | 8,997 | 199,194 | ||||||
NRG Energy, Inc. | 48,565 | 595,407 | ||||||
PG&E Corp. | 13,529 | 822,157 | ||||||
Pinnacle West Capital Corp. | 2,169 | 169,247 | ||||||
PPL Corp. | 10,168 | 346,220 | ||||||
Public Service Enterprise Group, Inc. | 10,206 | 447,839 | ||||||
SCANA Corp. | 2,677 | 196,171 | ||||||
Sempra Energy | 4,686 | 471,599 | ||||||
Southern Co. (The) | 17,767 | 873,959 | ||||||
WEC Energy Group, Inc. | 5,409 | 317,238 | ||||||
Xcel Energy, Inc. | 11,652 | 474,236 | ||||||
Total Utilities | 14,632,493 | |||||||
Total Common Stocks (Cost $427,078,238) | 484,589,672 |
Shares | Value | |||||||
INVESTMENT OF CASH COLLATERAL | ||||||||
FOR SECURITIES LOANED—0.9% | ||||||||
Dreyfus Institutional Preferred Money Market Fund—Institutional Shares, 0.67%3 (Cost $4,472,236) | 4,472,236 | $ | 4,472,236 | |||||
Total Investments—100.8% (Cost $431,550,474) | 489,061,908 | |||||||
Liabilities in Excess of Other Assets—(0.8)% | (4,046,055 | ) | ||||||
Net Assets—100.0% | $ | 485,015,853 |
1 | All or a portion of the security was on loan. The aggregate value of the securities on loan was $12,754,280; total value of the collateral held by the fund was $13,129,420. The total value of the collateral includes non-cash U.S. Treasury securities collateral having a value of $8,657,184 (Note 4). |
2 | Non-income producing security. |
3 | Rate shown represents annualized 7-day yield as of December 31, 2016. |
The accompanying notes are an integral part of these financial statements.
Shares | Value | |||||||
COMMON STOCKS—99.9% | ||||||||
Automobiles & Components—1.0% | ||||||||
Dana, Inc. | 61,985 | $ | 1,176,475 | |||||
Gentex Corp. | 16,737 | 329,552 | ||||||
Thor Industries, Inc. | 9,099 | 910,355 | ||||||
Total Automobiles & Components | 2,416,382 | |||||||
Banks—2.0% | ||||||||
Associated Banc-Corp.1 | 7,866 | 194,290 | ||||||
BancorpSouth, Inc. | 4,770 | 148,109 | ||||||
Bank of Hawaii Corp.1 | 1,401 | 124,255 | ||||||
Bank of the Ozarks, Inc. | 2,278 | 119,800 | ||||||
Cathay General Bancorp | 2,504 | 95,227 | ||||||
Chemical Financial Corp. | 1,517 | 82,176 | ||||||
Commerce Bancshares, Inc.1 | 3,875 | 224,014 | ||||||
Cullen/Frost Bankers, Inc.1 | 2,438 | 215,105 | ||||||
East West Bancorp, Inc. | 4,471 | 227,261 | ||||||
F.N.B. Corp. | 9,184 | 147,220 | ||||||
First Horizon National Corp. | 12,712 | 254,367 | ||||||
Fulton Financial Corp. | 7,501 | 141,019 | ||||||
Hancock Holding Co. | 3,612 | 155,677 | ||||||
International Bancshares Corp.1 | 2,373 | 96,818 | ||||||
MB Financial, Inc. | 3,584 | 169,272 | ||||||
New York Community Bancorp, Inc. | 8,222 | 130,812 | ||||||
PacWest Bancorp | 3,776 | 205,565 | ||||||
PrivateBancorp, Inc. | 2,605 | 141,165 | ||||||
Prosperity Bancshares, Inc. | 2,123 | 152,389 | ||||||
Signature Bank2 | 1,386 | 208,177 | ||||||
SVB Financial Group2 | 1,719 | 295,084 | ||||||
Synovus Financial Corp. | 5,572 | 228,898 | ||||||
TCF Financial Corp. | 13,087 | 256,374 | ||||||
Trustmark Corp. | 3,127 | 111,478 | ||||||
UMB Financial Corp. | 2,106 | 162,415 | ||||||
Umpqua Holdings Corp. | 11,653 | 218,843 | ||||||
Valley National Bancorp | 11,660 | 135,722 | ||||||
Washington Federal, Inc. | 2,741 | 94,153 | ||||||
Webster Financial Corp.1 | 3,453 | 187,429 | ||||||
Total Banks | 4,923,114 | |||||||
Capital Goods—12.1% | ||||||||
A.O. Smith Corp. | 11,036 | 522,555 | ||||||
AECOM2 | 93,283 | 3,391,770 | ||||||
AGCO Corp. | 25,821 | 1,494,003 | ||||||
B/E Aerospace, Inc. | 9,756 | 587,214 | ||||||
Carlisle Cos., Inc. | 6,565 | 724,054 | ||||||
CLARCOR, Inc. | 3,436 | 283,367 | ||||||
Crane Co. | 7,543 | 544,001 | ||||||
Curtiss-Wright Corp. | 4,257 | 418,718 | ||||||
Donaldson Co., Inc.1 | 10,429 | 438,852 | ||||||
Dycom Industries, Inc.1,2 | 6,862 | 550,950 | ||||||
EMCOR Group, Inc. | 20,790 | 1,471,100 | ||||||
EnerSys | 6,243 | 487,578 | ||||||
Esterline Technologies Corp.2 | 4,397 | 392,212 | ||||||
GATX Corp.1 | 4,843 | 298,232 | ||||||
Graco, Inc. | 3,172 | 263,561 | ||||||
Granite Construction, Inc. | 8,753 | 481,415 | ||||||
Hubbell, Inc. | 6,157 | 718,522 | ||||||
Huntington Ingalls Industries, Inc. | 8,011 | 1,475,546 | ||||||
IDEX Corp. | 4,636 | 417,518 | ||||||
ITT, Inc. | 12,288 | 473,948 | ||||||
Joy Global, Inc. | 18,626 | 521,528 | ||||||
Shares | Value | |||||||
KBR, Inc. | 48,514 | $ | 809,699 | |||||
Kennametal, Inc. | 12,591 | 393,595 | ||||||
KLX, Inc.2 | 6,513 | 293,801 | ||||||
Lennox International, Inc. | 4,644 | 711,321 | ||||||
Lincoln Electric Holdings, Inc. | 5,892 | 451,740 | ||||||
MSC Industrial Direct Co., Inc., Class A | 6,358 | 587,416 | ||||||
Nordson Corp. | 3,141 | 351,949 | ||||||
NOW, Inc.1,2 | 20,363 | 416,831 | ||||||
Orbital ATK, Inc. | 10,418 | 913,971 | ||||||
Oshkosh Corp. | 18,832 | 1,216,736 | ||||||
Regal Beloit Corp. | 9,377 | 649,357 | ||||||
Teledyne Technologies, Inc.2 | 3,646 | 448,458 | ||||||
Terex Corp. | 32,209 | 1,015,550 | ||||||
Timken Co. (The) | 14,116 | 560,405 | ||||||
Toro Co. (The) | 8,882 | 496,948 | ||||||
Trinity Industries, Inc. | 36,250 | 1,006,300 | ||||||
Triumph Group, Inc. | 28,270 | 749,155 | ||||||
Valmont Industries, Inc. | 3,335 | 469,901 | ||||||
Wabtec Corp.1 | 7,641 | 634,356 | ||||||
Watsco, Inc. | 5,706 | 845,173 | ||||||
Woodward, Inc. | 5,895 | 407,050 | ||||||
Total Capital Goods | 29,386,356 | |||||||
Commercial & Professional Services—2.9% | ||||||||
CEB, Inc. | 3,191 | 193,375 | ||||||
Clean Harbors, Inc.1,2 | 9,929 | 552,549 | ||||||
Copart, Inc.1,2 | 4,616 | 255,772 | ||||||
Deluxe Corp. | 5,231 | 374,592 | ||||||
FTI Consulting, Inc.2 | 8,148 | 367,312 | ||||||
Herman Miller, Inc. | 13,079 | 447,302 | ||||||
HNI Corp. | 8,268 | 462,347 | ||||||
Manpowergroup, Inc. | 44,360 | 3,942,273 | ||||||
MSA Safety, Inc. | 3,447 | 238,980 | ||||||
Rollins, Inc. | 9,371 | 316,552 | ||||||
Total Commercial & Professional Services | 7,151,054 | |||||||
Consumer Durables & Apparel—4.4% | ||||||||
Brunswick Corp. | 16,184 | 882,675 | ||||||
CalAtlantic Group, Inc.1 | 36,686 | 1,247,691 | ||||||
Carter’s, Inc. | 6,826 | 589,698 | ||||||
Deckers Outdoor Corp.1,2 | 6,496 | 359,814 | ||||||
Fossil Group, Inc.1,2 | 20,345 | 526,122 | ||||||
Helen of Troy Ltd.2 | 3,814 | 322,092 | ||||||
Kate Spade & Co.2 | 17,911 | 334,398 | ||||||
KB Home1 | 41,578 | 657,348 | ||||||
NVR, Inc.2 | 713 | 1,189,997 | ||||||
Polaris Industries, Inc.1 | 11,219 | 924,334 | ||||||
Skechers U.S.A., Inc., Class A2 | 28,230 | 693,894 | ||||||
Tempur Sealy International, Inc.1,2 | 9,576 | 653,849 | ||||||
Toll Brothers, Inc.2 | 30,525 | 946,275 | ||||||
TRI Pointe Group, Inc.2 | 42,302 | 485,627 | ||||||
Tupperware Brands Corp. | 8,431 | 443,639 | ||||||
Vista Outdoor, Inc.2 | 13,120 | 484,128 | ||||||
Total Consumer Durables & Apparel | 10,741,581 | |||||||
Consumer Services—2.7% | ||||||||
Brinker International, Inc.1 | 12,965 | 642,157 | ||||||
Buffalo Wild Wings, Inc.2 | 2,446 | 377,662 | ||||||
Cheesecake Factory, Inc. (The) | 7,256 | 434,489 | ||||||
Churchill Downs, Inc. | 1,738 | 261,482 |
Shares | Value | |||||||
Consumer Services (continued) | ||||||||
Cracker Barrel Old Country Store, Inc. | 3,487 | $ | 582,259 | |||||
DeVry Education Group, Inc. | 11,761 | 366,943 | ||||||
Domino’s Pizza, Inc. | 2,733 | 435,203 | ||||||
Dunkin’ Brands Group, Inc. | 3,108 | 162,984 | ||||||
Graham Holdings Co., Class B | 953 | 487,888 | ||||||
International Speedway Corp., Class A | 3,516 | 129,389 | ||||||
Jack in the Box, Inc. | 2,850 | 318,174 | ||||||
Panera Bread Co., Class A1,2 | 2,658 | 545,129 | ||||||
Papa John’s International, Inc. | 3,866 | 330,852 | ||||||
Service Corp. International | 21,904 | 622,074 | ||||||
Sotheby’s1,2 | 4,382 | 174,667 | ||||||
Texas Roadhouse, Inc. | 8,174 | 394,314 | ||||||
Wendy’s Co. (The)1 | 24,952 | 337,351 | ||||||
Total Consumer Services | 6,603,017 | |||||||
Diversified Financials—1.7% | ||||||||
CBOE Holdings, Inc.1 | 1,716 | 126,795 | ||||||
Eaton Vance Corp. | 6,556 | 274,565 | ||||||
FactSet Research Systems, Inc.1 | 1,390 | 227,168 | ||||||
Federated Investors, Inc., Class B | 8,121 | 229,662 | ||||||
Janus Capital Group, Inc. | 15,441 | 204,902 | ||||||
Legg Mason, Inc. | 18,028 | 539,218 | ||||||
MarketAxess Holdings, Inc. | 432 | 63,469 | ||||||
MSCI, Inc. | 2,870 | 226,099 | ||||||
Raymond James Financial, Inc. | 15,150 | 1,049,441 | ||||||
SEI Investments Co. | 5,690 | 280,858 | ||||||
SLM Corp.2 | 15,036 | 165,697 | ||||||
Stifel Financial Corp.2 | 9,879 | 493,456 | ||||||
Waddell & Reed Financial, Inc., Class A | 13,002 | 253,669 | ||||||
WisdomTree Investments, Inc.1 | 4,030 | 44,894 | ||||||
Total Diversified Financials | 4,179,893 | |||||||
Energy—5.8% | ||||||||
CONSOL Energy, Inc.1 | 19,028 | 346,880 | ||||||
Denbury Resources, Inc.1,2 | 50,379 | 185,395 | ||||||
Diamond Offshore Drilling, Inc.1,2 | 17,752 | 314,210 | ||||||
Dril-Quip, Inc.1,2 | 2,032 | 122,022 | ||||||
Energen Corp.2 | 2,173 | 125,317 | ||||||
Ensco PLC, Class A | 60,381 | 586,903 | ||||||
Gulfport Energy Corp.2 | 4,503 | 97,445 | ||||||
HollyFrontier Corp. | 67,209 | 2,201,767 | ||||||
Nabors Industries Ltd. | 31,086 | 509,810 | ||||||
Noble Corp. PLC1 | 82,373 | 487,648 | ||||||
Oceaneering International, Inc. | 16,296 | 459,710 | ||||||
Oil States International, Inc.1,2 | 4,075 | 158,925 | ||||||
Patterson-UTI Energy, Inc.1 | 7,578 | 204,000 | ||||||
QEP Resources, Inc.2 | 14,530 | 267,497 | ||||||
Rowan Cos. PLC, Class A2 | 20,840 | 393,668 | ||||||
SM Energy Co. | 6,267 | 216,086 | ||||||
Superior Energy Services, Inc.1 | 19,451 | 328,333 | ||||||
Western Refining, Inc. | 40,385 | 1,528,572 | ||||||
World Fuel Services Corp. | 116,743 | 5,359,671 | ||||||
WPX Energy, Inc.2 | 13,557 | 197,526 | ||||||
Total Energy | 14,091,385 | |||||||
Shares | Value | |||||||
Food & Staples Retailing—1.5% | ||||||||
Casey’s General Stores, Inc. | 10,205 | $ | 1,213,170 | |||||
Sprouts Farmers Market, Inc.1,2 | 37,538 | 710,219 | ||||||
United Natural Foods, Inc.2 | 36,783 | 1,755,285 | ||||||
Total Food & Staples Retailing | 3,678,674 | |||||||
Food, Beverage & Tobacco—3.6% | ||||||||
Boston Beer Co., Inc. (The), Class A1,2 | 1,090 | 185,137 | ||||||
Dean Foods Co. | 71,266 | 1,552,174 | ||||||
Flowers Foods, Inc.1 | 40,327 | 805,330 | ||||||
Hain Celestial Group, Inc. (The)2 | 15,511 | 605,394 | ||||||
Ingredion, Inc. | 9,315 | 1,164,002 | ||||||
Lamb Weston Holdings, Inc.2 | 17,703 | 670,059 | ||||||
Lancaster Colony Corp. | 1,753 | 247,857 | ||||||
Post Holdings, Inc.1,2 | 13,252 | 1,065,328 | ||||||
Snyder’s-Lance, Inc. | 10,122 | 388,077 | ||||||
Tootsie Roll Industries, Inc.1 | 2,712 | 107,802 | ||||||
TreeHouse Foods, Inc.1,2 | 14,677 | 1,059,533 | ||||||
WhiteWave Foods Co. (The)2 | 15,399 | 856,184 | ||||||
Total Food, Beverage & Tobacco | 8,706,877 | |||||||
Health Care Equipment & Services—7.9% | ||||||||
ABIOMED, Inc.2 | 664 | 74,819 | ||||||
Align Technology, Inc.1,2 | 2,073 | 199,277 | ||||||
Allscripts Healthcare Solutions, Inc.2 | 27,962 | 285,492 | ||||||
Globus Medical, Inc., Class A2 | 4,561 | 113,158 | ||||||
Halyard Health, Inc.2 | 8,432 | 311,815 | ||||||
HealthSouth Corp. | 17,317 | 714,153 | ||||||
Hill-Rom Holdings, Inc. | 9,850 | 552,979 | ||||||
IDEXX Laboratories, Inc.2 | 2,953 | 346,298 | ||||||
LifePoint Health, Inc.2 | 21,615 | 1,227,732 | ||||||
LivaNova PLC1,2 | 4,312 | 193,911 | ||||||
MEDNAX, Inc.2 | 9,674 | 644,869 | ||||||
Molina Healthcare, Inc.1,2 | 63,807 | 3,462,168 | ||||||
NuVasive, Inc.1,2 | 2,766 | 186,318 | ||||||
Owens & Minor, Inc. | 57,190 | 2,018,235 | ||||||
ResMed, Inc.1 | 6,195 | 384,400 | ||||||
STERIS PLC | 7,610 | 512,838 | ||||||
Teleflex, Inc. | 2,398 | 386,438 | ||||||
Tenet Healthcare Corp.2 | 265,423 | 3,938,877 | ||||||
VCA, Inc.2 | 7,484 | 513,777 | ||||||
WellCare Health Plans, Inc.2 | 21,144 | 2,898,420 | ||||||
West Pharmaceutical Services, Inc. | 3,563 | 302,249 | ||||||
Total Health Care Equipment & Services | 19,268,223 | |||||||
Household & Personal Products—0.8% | ||||||||
Avon Products, Inc.2 | 216,910 | 1,093,226 | ||||||
Edgewell Personal Care Co.2 | 6,388 | 466,260 | ||||||
Energizer Holdings, Inc. | 7,700 | 343,497 | ||||||
Total Household & Personal Products | 1,902,983 | |||||||
Insurance—6.9% | ||||||||
Alleghany Corp.2 | 2,057 | 1,250,903 | ||||||
American Financial Group, Inc. | 14,898 | 1,312,812 | ||||||
Aspen Insurance Holdings Ltd. | 11,507 | 632,885 | ||||||
Brown & Brown, Inc. | 7,889 | 353,901 | ||||||
CNO Financial Group, Inc. | 41,270 | 790,320 | ||||||
Endurance Specialty Holdings Ltd. | 5,462 | 504,689 | ||||||
Everest Re Group Ltd. | 5,493 | 1,188,685 | ||||||
First American Financial Corp. | 29,535 | 1,081,867 |
Shares | Value | |||||||
Insurance (continued) | ||||||||
Genworth Financial, Inc., Class A2 | 431,416 | $ | 1,643,695 | |||||
Hanover Insurance Group, Inc. (The) | 11,199 | 1,019,221 | ||||||
Kemper Corp.1 | 11,389 | 504,533 | ||||||
Mercury General Corp. | 11,507 | 692,836 | ||||||
Old Republic International Corp. | 63,662 | 1,209,578 | ||||||
Primerica, Inc.1 | 4,372 | 302,324 | ||||||
Reinsurance Group of America, Inc. | 18,187 | 2,288,470 | ||||||
RenaissanceRe Holdings Ltd. | 2,754 | 375,150 | ||||||
W.R. Berkley Corp. | 23,201 | 1,543,098 | ||||||
Total Insurance | 16,694,967 | |||||||
Materials—9.0% | ||||||||
Allegheny Technologies, Inc.1 | 37,527 | 597,805 | ||||||
AptarGroup, Inc. | 6,550 | 481,098 | ||||||
Ashland Global Holdings, Inc. | 8,998 | 983,391 | ||||||
Bemis Co., Inc. | 16,771 | 801,989 | ||||||
Cabot Corp. | 9,264 | 468,203 | ||||||
Carpenter Technology Corp. | 9,204 | 332,909 | ||||||
Commercial Metals Co. | 40,296 | 877,647 | ||||||
Compass Minerals International, Inc.1 | 2,511 | 196,737 | ||||||
Domtar Corp. | 26,506 | 1,034,529 | ||||||
Eagle Materials, Inc. | 2,419 | 238,344 | ||||||
Greif, Inc., Class A | 12,603 | 646,660 | ||||||
Louisiana-Pacific Corp.2 | 22,008 | 416,611 | ||||||
Minerals Technologies, Inc. | 4,310 | 332,948 | ||||||
NewMarket Corp. | 973 | 412,396 | ||||||
Olin Corp.1 | 43,094 | 1,103,637 | ||||||
Owens-Illinois, Inc.2 | 76,545 | 1,332,649 | ||||||
Packaging Corp. of America | 13,442 | 1,140,150 | ||||||
PolyOne Corp. | 19,835 | 635,513 | ||||||
Reliance Steel & Aluminum Co. | 21,233 | 1,688,873 | ||||||
Royal Gold, Inc. | 1,307 | 82,798 | ||||||
RPM International, Inc. | 18,321 | 986,219 | ||||||
Scotts Miracle-Gro Co., (The), Class A | 4,748 | 453,671 | ||||||
Sensient Technologies Corp. | 3,564 | 280,059 | ||||||
Silgan Holdings, Inc. | 14,668 | 750,708 | ||||||
Sonoco Products Co.1 | 18,985 | 1,000,510 | ||||||
Steel Dynamics, Inc. | 40,741 | 1,449,565 | ||||||
United States Steel Corp.1 | 57,479 | 1,897,382 | ||||||
Valspar Corp. (The) | 8,380 | 868,252 | ||||||
Worthington Industries, Inc. | 10,268 | 487,114 | ||||||
Total Materials | 21,978,367 | |||||||
Media—1.9% | ||||||||
AMC Networks, Inc., Class A2 | 10,728 | 561,504 | ||||||
Cable One, Inc. | 276 | 171,597 | ||||||
Cinemark Holdings, Inc. | 15,354 | 588,979 | ||||||
John Wiley & Sons, Inc., Class A | 6,230 | 339,535 | ||||||
Live Nation Entertainment, Inc.2 | 62,934 | 1,674,044 | ||||||
Meredith Corp. | 5,905 | 349,281 | ||||||
New York Times Co., (The), Class A1 | 23,285 | 309,691 | ||||||
Time, Inc. | 34,990 | 624,572 | ||||||
Total Media | 4,619,203 | |||||||
Shares | Value | |||||||
Pharmaceuticals, Biotechnology & Life Sciences—1.0% | ||||||||
Akorn, Inc.1,2 | 10,799 | $ | 235,742 | |||||
Bio-Rad Laboratories, Inc., Class A2 | 2,332 | 425,077 | ||||||
Bio-Techne Corp. | 1,002 | 103,036 | ||||||
Catalent, Inc.2 | 14,098 | 380,082 | ||||||
Charles River Laboratories International, Inc.2 | 4,202 | 320,150 | ||||||
PAREXEL International Corp.1,2 | 6,486 | 426,260 | ||||||
Prestige Brands Holdings, Inc.2 | 3,387 | 176,463 | ||||||
United Therapeutics Corp.1,2 | 2,242 | 321,570 | ||||||
Total Pharmaceuticals, Biotechnology & Life Sciences | 2,388,380 | |||||||
Real Estate—2.8% | ||||||||
Alexander & Baldwin, Inc. | 2,165 | 97,144 | ||||||
Alexandria Real Estate Equities, Inc. | 1,721 | 191,255 | ||||||
American Campus Communities, Inc.1 | 3,359 | 167,177 | ||||||
Camden Property Trust | 2,295 | 192,941 | ||||||
Care Capital Properties, Inc. | 2,770 | 69,250 | ||||||
Communications Sales & Leasing, Inc. | 7,636 | 194,031 | ||||||
CoreCivic, Inc. | 15,262 | 373,308 | ||||||
Corporate Office Properties Trust | 3,826 | 119,448 | ||||||
Cousins Properties, Inc.1 | 9,352 | 79,585 | ||||||
DCT Industrial Trust, Inc. | 1,685 | 80,678 | ||||||
Douglas Emmett, Inc. | 3,850 | 140,756 | ||||||
Duke Realty Corp. | 6,977 | 185,309 | ||||||
Education Realty Trust, Inc.1 | 1,406 | 59,474 | ||||||
EPR Properties | 1,369 | 98,253 | ||||||
Equity One, Inc. | 2,410 | 73,963 | ||||||
First Industrial Realty Trust, Inc. | 2,650 | 74,332 | ||||||
Healthcare Realty Trust, Inc. | 2,608 | 79,075 | ||||||
Highwoods Properties, Inc. | 2,753 | 140,430 | ||||||
Hospitality Properties Trust | 13,517 | 429,030 | ||||||
Jones Lang LaSalle, Inc. | 13,218 | 1,335,547 | ||||||
Kilroy Realty Corp. | 1,701 | 124,547 | ||||||
Lamar Advertising Co., Class A | 4,518 | 303,790 | ||||||
LaSalle Hotel Properties | 8,175 | 249,092 | ||||||
Liberty Property Trust | 4,026 | 159,027 | ||||||
Life Storage, Inc. | 987 | 84,152 | ||||||
Mack-Cali Realty Corp. | 4,460 | 129,429 | ||||||
Medical Properties Trust, Inc.1 | 8,619 | 106,014 | ||||||
National Retail Properties, Inc. | 2,538 | 112,180 | ||||||
Omega Healthcare Investors, Inc.1 | 5,856 | 183,059 | ||||||
Potlatch Corp. | 2,899 | 120,743 | ||||||
Quality Care Properties, Inc.2 | 6,575 | 101,912 | ||||||
Rayonier, Inc. | 5,252 | 139,703 | ||||||
Regency Centers Corp. | 1,986 | 136,935 | ||||||
Senior Housing Properties Trust | 12,088 | 228,826 | ||||||
Tanger Factory Outlet Centers, Inc. | 2,605 | 93,207 | ||||||
Taubman Centers, Inc. | 1,683 | 124,424 | ||||||
Urban Edge Properties | 2,310 | 63,548 | ||||||
Washington Prime Group, Inc. | 16,889 | 175,814 | ||||||
Weingarten Realty Investors | 3,163 | 113,204 | ||||||
Total Real Estate | 6,930,592 | |||||||
Retailing—7.6% | ||||||||
Aaron’s, Inc.1 | 19,828 | 634,298 | ||||||
American Eagle Outfitters, Inc. | 44,278 | 671,697 | ||||||
Big Lots, Inc.1 | 19,342 | 971,162 |
Shares | Value | |||||||
Retailing (continued) | ||||||||
Cabela’s, Inc.1,2 | 13,430 | $ | 786,326 | |||||
Chico’s FAS, Inc. | 32,314 | 464,998 | ||||||
CST Brands, Inc. | 36,315 | 1,748,567 | ||||||
Dick’s Sporting Goods, Inc. | 26,439 | 1,403,911 | ||||||
GameStop Corp., Class A1 | 73,010 | 1,844,233 | ||||||
HSN, Inc. | 20,412 | 700,132 | ||||||
JC Penney Co., Inc.1,2 | 281,684 | 2,340,794 | ||||||
Murphy USA, Inc.2 | 28,977 | 1,781,216 | ||||||
Office Depot, Inc. | 549,726 | 2,484,762 | ||||||
Pool Corp. | 4,902 | 511,475 | ||||||
Restoration Hardware Holdings, Inc.1,2 | 13,784 | 423,169 | ||||||
Sally Beauty Holdings, Inc.2 | 30,034 | 793,498 | ||||||
Williams-Sonoma, Inc.1 | 18,511 | 895,747 | ||||||
Total Retailing | 18,455,985 | |||||||
Semiconductors & Semiconductor Equipment—1.4% | ||||||||
Advanced Micro Devices, Inc.1,2 | 77,708 | 881,209 | ||||||
Cirrus Logic, Inc.2 | 4,489 | 253,808 | ||||||
Cree, Inc.1,2 | 11,264 | 297,257 | ||||||
Cypress Semiconductor Corp. | 32,845 | 375,747 | ||||||
Integrated Device Technology, Inc.2 | 5,861 | 138,085 | ||||||
Intersil Corp., Class A | 4,655 | 103,806 | ||||||
Microsemi Corp.2 | 5,599 | 302,178 | ||||||
Monolithic Power Systems, Inc. | 903 | 73,983 | ||||||
Silicon Laboratories, Inc.1,2 | 2,006 | 130,390 | ||||||
Synaptics, Inc.1,2 | 5,652 | 302,834 | ||||||
Teradyne, Inc. | 12,619 | 320,523 | ||||||
Versum Materials, Inc.2 | 6,844 | 192,111 | ||||||
Total Semiconductors & Semiconductor Equipment | 3,371,931 | |||||||
Software & Services—4.5% | ||||||||
ACI Worldwide, Inc.2 | 10,878 | 197,436 | ||||||
Acxiom Corp.2 | 6,602 | 176,934 | ||||||
ANSYS, Inc.2 | 2,094 | 193,674 | ||||||
Broadridge Financial Solutions, Inc. | 9,985 | 662,006 | ||||||
Cadence Design Systems, Inc.2 | 14,047 | 354,265 | ||||||
CDK Global, Inc. | 7,414 | 442,542 | ||||||
CommVault Systems, Inc.2 | 2,376 | 122,126 | ||||||
Computer Sciences Corp. | 23,867 | 1,418,177 | ||||||
comScore, Inc.2 | 2,275 | 71,845 | ||||||
Convergys Corp.1 | 23,927 | 587,647 | ||||||
CoreLogic, Inc.2 | 10,158 | 374,119 | ||||||
DST Systems, Inc. | 3,563 | 381,775 | ||||||
Fair Isaac Corp. | 1,487 | 177,280 | ||||||
Fortinet, Inc.2 | 8,112 | 244,333 | ||||||
Gartner, Inc.2 | 4,706 | 475,635 | ||||||
j2 Global, Inc.1 | 2,078 | 169,980 | ||||||
Jack Henry & Associates, Inc. | 3,142 | 278,947 | ||||||
Leidos Holdings, Inc. | 23,007 | 1,176,578 | ||||||
Manhattan Associates, Inc.2 | 2,367 | 125,522 | ||||||
MAXIMUS, Inc. | 8,968 | 500,325 | ||||||
Mentor Graphics Corp. | 6,041 | 222,853 | ||||||
NeuStar, Inc., Class A1,2 | 7,062 | 235,871 | ||||||
PTC, Inc.2 | 4,911 | 227,232 | ||||||
Science Applications International Corp. | 10,950 | 928,560 | ||||||
Synopsys, Inc.2 | 8,040 | 473,234 | ||||||
Tyler Technologies, Inc.1,2 | 1,037 | 148,052 | ||||||
Shares | Value | |||||||
Ultimate Software Group, Inc. (The)2 | 822 | $ | 149,892 | |||||
WebMD Health Corp.1,2 | 2,679 | 132,798 | ||||||
WEX, Inc.2 | 1,730 | 193,068 | ||||||
Total Software & Services | 10,842,706 | |||||||
Technology Hardware & Equipment—12.4% | ||||||||
3D Systems Corp.1,2 | 8,701 | 115,636 | ||||||
ARRIS International PLC2 | 40,561 | 1,222,103 | ||||||
Arrow Electronics, Inc.2 | 70,609 | 5,034,422 | ||||||
Avnet, Inc. | 101,558 | 4,835,176 | ||||||
Belden, Inc. | 6,071 | 453,929 | ||||||
Brocade Communications Systems, Inc. | 37,091 | 463,267 | ||||||
Ciena Corp.1,2 | 22,187 | 541,585 | ||||||
Cognex Corp. | 1,384 | 88,050 | ||||||
Diebold Nixdorf, Inc.1 | 21,867 | 549,955 | ||||||
InterDigital, Inc. | 1,137 | 103,865 | ||||||
IPG Photonics Corp.2 | 1,959 | 193,373 | ||||||
Jabil Circuit, Inc. | 154,237 | 3,650,790 | ||||||
Keysight Technologies, Inc.2 | 16,174 | 591,483 | ||||||
Knowles Corp.1,2 | 11,227 | 187,603 | ||||||
Littelfuse, Inc.1 | 1,209 | 183,490 | ||||||
National Instruments Corp. | 8,191 | 252,447 | ||||||
NCR Corp.2 | 31,887 | 1,293,337 | ||||||
NetScout Systems, Inc.2 | 6,938 | 218,547 | ||||||
Plantronics, Inc. | 3,220 | 176,327 | ||||||
SYNNEX Corp. | 22,290 | 2,697,536 | ||||||
Tech Data Corp.1,2 | 60,268 | 5,103,494 | ||||||
Trimble, Inc.2 | 15,170 | 457,375 | ||||||
VeriFone Systems, Inc.1,2 | 22,487 | 398,694 | ||||||
ViaSat, Inc.1,2 | 4,370 | 289,381 | ||||||
Vishay Intertechnology, Inc.1 | 29,098 | 471,388 | ||||||
Zebra Technologies Corp., Class A2 | 8,703 | 746,369 | ||||||
Total Technology Hardware & Equipment | 30,319,622 | |||||||
Telecommunication Services—0.4% | ||||||||
Telephone & Data Systems, Inc. | 35,348 | 1,020,497 | ||||||
Transportation—2.2% | ||||||||
Avis Budget Group, Inc.2 | 46,495 | 1,705,437 | ||||||
Genesee & Wyoming, Inc., Class A2 | 5,752 | 399,246 | ||||||
JetBlue Airways Corp.2 | 59,820 | 1,341,164 | ||||||
Kirby Corp.1,2 | 5,580 | 371,070 | ||||||
Landstar System, Inc. | 7,323 | 624,652 | ||||||
Old Dominion Freight Line, Inc.2 | 6,934 | 594,868 | ||||||
Werner Enterprises, Inc. | 14,895 | 401,420 | ||||||
Total Transportation | 5,437,857 | |||||||
Utilities—3.4% | ||||||||
Aqua America, Inc. | 5,443 | 163,508 | ||||||
Atmos Energy Corp. | 9,347 | 693,080 | ||||||
Black Hills Corp.1 | 4,851 | 297,560 | ||||||
Great Plains Energy, Inc. | 19,499 | 533,298 | ||||||
Hawaiian Electric Industries, Inc.1 | 14,519 | 480,143 | ||||||
IDACORP, Inc. | 3,208 | 258,404 | ||||||
MDU Resources Group, Inc. | 28,987 | 833,956 | ||||||
National Fuel Gas Co. | 5,126 | 290,337 | ||||||
New Jersey Resources Corp. | 10,487 | 372,289 | ||||||
NorthWestern Corp.1 | 4,518 | 256,939 | ||||||
OGE Energy Corp. | 13,073 | 437,292 |
Shares | Value | |||||||
Utilities (continued) | ||||||||
ONE Gas, Inc. | 4,492 | $ | 287,308 | |||||
PNM Resources, Inc. | 8,242 | 282,701 | ||||||
Southwest Gas Corp. | 6,749 | 517,108 | ||||||
UGI Corp. | 25,836 | 1,190,523 | ||||||
Vectren Corp. | 9,221 | 480,875 | ||||||
Westar Energy, Inc. | 8,926 | 502,980 | ||||||
WGL Holdings, Inc. | 6,179 | 471,334 | ||||||
Total Utilities | 8,349,635 | |||||||
Total Common Stocks (Cost $212,738,184) | 243,459,281 | |||||||
INVESTMENT OF CASH COLLATERAL | ||||||||
FOR SECURITIES LOANED—7.2% | ||||||||
Dreyfus Institutional Preferred Money Market Fund—Institutional Shares, 0.67%3 (Cost $17,518,410) | 17,518,410 | 17,518,410 | ||||||
Total Investments—107.1% (Cost $230,256,594) | 260,977,691 | |||||||
Liabilities in Excess of Other Assets—(7.1)% | (17,389,902 | ) | ||||||
Net Assets—100.0% | $ | 243,587,789 |
1 | All or a portion of the security was on loan. The aggregate value of the securities on loan was $33,190,687; total value of the collateral held by the fund was $34,195,170. The total value of the collateral includes non-cash U.S. Treasury securities collateral having a value of $16,676,760 (Note 4). |
2 | Non-income producing security. |
3 | Rate shown represents annualized 7-day yield as of December 31, 2016. |
The accompanying notes are an integral part of these financial statements.
Shares | Value | |||||||
COMMON STOCKS—99.9% | ||||||||
Automobiles & Components—2.1% | ||||||||
American Axle & Manufacturing Holdings, Inc.1 | 138,033 | $ | 2,664,037 | |||||
Cooper-Standard Holding, Inc.1 | 21,265 | 2,198,376 | ||||||
Dorman Products, Inc.1,2 | 7,152 | 522,525 | ||||||
Drew Industries, Inc.1 | 9,278 | 999,704 | ||||||
Fox Factory Holding Corp.1 | 9,186 | 254,911 | ||||||
Gentherm, Inc.1,2 | 16,423 | 555,919 | ||||||
Motorcar Parts of America, Inc.1 | 9,239 | 248,714 | ||||||
Standard Motor Products, Inc. | 12,009 | 639,119 | ||||||
Superior Industries International, Inc. | 17,290 | 455,591 | ||||||
Winnebago Industries, Inc. | 17,335 | 548,653 | ||||||
Total Automobiles & Components | 9,087,549 | |||||||
Banks—2.6% | ||||||||
Ameris Bancorp | 4,288 | 186,957 | ||||||
Astoria Financial Corp. | 14,059 | 262,200 | ||||||
Banc of California, Inc.2 | 20,188 | 350,262 | ||||||
Bank Mutual Corp. | 6,798 | 64,241 | ||||||
Banner Corp. | 5,271 | 294,175 | ||||||
BofI Holding, Inc.1,2 | 7,751 | 221,291 | ||||||
Boston Private Financial Holdings, Inc. | 13,906 | 230,144 | ||||||
Brookline Bancorp, Inc. | 8,346 | 136,874 | ||||||
Cardinal Financial Corp. | 3,435 | 112,634 | ||||||
Central Pacific Financial Corp. | 4,133 | 129,859 | ||||||
City Holding Co. | 1,587 | 107,281 | ||||||
Columbia Banking System, Inc. | 5,888 | 263,076 | ||||||
Community Bank System, Inc. | 4,211 | 260,198 | ||||||
Customers Bancorp, Inc.1 | 5,105 | 182,861 | ||||||
CVB Financial Corp. | 8,177 | 187,499 | ||||||
Dime Community Bancshares | 6,821 | 137,102 | ||||||
Fidelity Southern Corp. | 6,560 | 155,275 | ||||||
First BanCorp1 | 45,278 | 299,288 | ||||||
First Commonwealth Financial Corp. | 10,331 | 146,494 | ||||||
First Financial Bancorp | 7,202 | 204,897 | ||||||
First Financial Bankshares, Inc. | 4,182 | 189,026 | ||||||
First Midwest Bancorp, Inc. | 11,920 | 300,742 | ||||||
Glacier Bancorp, Inc. | 6,880 | 249,262 | ||||||
Great Western Bancorp, Inc.2 | 5,792 | 252,473 | ||||||
Hanmi Financial Corp.2 | 3,697 | 129,025 | ||||||
Home BancShares, Inc. | 10,369 | 287,947 | ||||||
HomeStreet, Inc.1,2 | 10,159 | 321,024 | ||||||
Hope Bancorp, Inc. | 9,885 | 216,383 | ||||||
Independent Bank Corp. | 2,675 | 188,454 | ||||||
LegacyTexas Financial Group, Inc. | 4,355 | 187,526 | ||||||
LendingTree, Inc.1,2 | 2,181 | 221,044 | ||||||
National Bank Holdings Corp., Class A | 3,414 | 108,873 | ||||||
NBT Bancorp, Inc.2 | 5,439 | 227,785 | ||||||
Northfield Bancorp, Inc. | 3,352 | 66,939 | ||||||
Northwest Bancshares, Inc.2 | 12,237 | 220,633 | ||||||
OFG Bancorp | 12,404 | 162,492 | ||||||
Old National Bancorp | 21,883 | 397,177 | ||||||
Opus Bank | 4,621 | 138,861 | ||||||
Oritani Financial Corp. | 4,987 | 93,506 | ||||||
Pinnacle Financial Partners, Inc.2 | 3,720 | 257,796 | ||||||
Provident Financial Services, Inc. | 6,751 | 191,053 | ||||||
Shares | Value | |||||||
S&T Bancorp, Inc. | 3,935 | $ | 153,622 | |||||
ServisFirst Bancshares, Inc. | 3,118 | 116,738 | ||||||
Simmons First National Corp., Class A | 3,992 | 248,103 | ||||||
Southside Bancshares, Inc. | 2,828 | 106,531 | ||||||
Sterling Bancorp | 11,698 | 273,733 | ||||||
Texas Capital Bancshares, Inc.1,2 | 4,707 | 369,029 | ||||||
Tompkins Financial Corp. | 1,692 | 159,962 | ||||||
TrustCo Bank Corp. | 11,706 | 102,428 | ||||||
United Bankshares, Inc.2 | 5,912 | 273,430 | ||||||
United Community Banks, Inc. | 8,486 | 251,355 | ||||||
Walker & Dunlop, Inc.1 | 9,955 | 310,596 | ||||||
Westamerica Bancorporation2 | 1,806 | 113,652 | ||||||
Wintrust Financial Corp.2 | 8,460 | 613,942 | ||||||
Total Banks | 11,433,750 | |||||||
Capital Goods—11.3% | ||||||||
AAON, Inc.2 | 7,495 | 247,710 | ||||||
AAR Corp. | 28,658 | 947,147 | ||||||
Actuant Corp., Class A | 25,664 | 665,981 | ||||||
Aegion Corp.1 | 30,464 | 721,997 | ||||||
Aerojet Rocketdyne Holdings, Inc.1 | 59,232 | 1,063,214 | ||||||
Aerovironment, Inc.1,2 | 5,836 | 156,580 | ||||||
Alamo Group, Inc. | 7,276 | 553,704 | ||||||
Albany International Corp., Class A | 9,888 | 457,814 | ||||||
American Woodmark Corp.1 | 7,967 | 599,517 | ||||||
Apogee Enterprises, Inc.2 | 13,299 | 712,294 | ||||||
Applied Industrial Technologies, Inc. | 25,382 | 1,507,691 | ||||||
Astec Industries, Inc. | 10,254 | 691,735 | ||||||
AZZ, Inc.2 | 8,704 | 556,186 | ||||||
Barnes Group, Inc. | 15,430 | 731,691 | ||||||
Briggs & Stratton Corp. | 60,872 | 1,355,011 | ||||||
Chart Industries, Inc.1,2 | 14,925 | 537,598 | ||||||
CIRCOR International, Inc.2 | 5,885 | 381,819 | ||||||
Comfort Systems USA, Inc. | 29,956 | 997,535 | ||||||
Cubic Corp.2 | 18,533 | 888,657 | ||||||
DXP Enterprises, Inc.1 | 17,516 | 608,506 | ||||||
Encore Wire Corp. | 13,478 | 584,271 | ||||||
Engility Holdings, Inc.1 | 38,596 | 1,300,685 | ||||||
EnPro Industries, Inc. | 11,687 | 787,236 | ||||||
ESCO Technologies, Inc. | 6,277 | 355,592 | ||||||
Federal Signal Corp. | 25,745 | 401,879 | ||||||
Franklin Electric Co., Inc. | 14,130 | 549,657 | ||||||
General Cable Corp. | 117,394 | �� | 2,236,356 | |||||
Gibraltar Industries, Inc.1 | 15,683 | 653,197 | ||||||
Greenbrier Cos., Inc. (The)2 | 40,487 | 1,682,235 | ||||||
Griffon Corp. | 48,877 | 1,280,577 | ||||||
Harsco Corp. | 63,835 | 868,156 | ||||||
Hillenbrand, Inc. | 25,770 | 988,279 | ||||||
Insteel Industries, Inc.2 | 7,809 | 278,313 | ||||||
John Bean Technologies Corp. | 9,549 | 820,737 | ||||||
Kaman Corp. | 22,852 | 1,118,148 | ||||||
Lindsay Corp.2 | 3,782 | 282,175 | ||||||
Lydall, Inc.1 | 5,558 | 343,762 | ||||||
Mercury Systems, Inc.1 | 5,828 | 176,122 | ||||||
Moog, Inc., Class A1 | 22,629 | 1,486,273 | ||||||
Mueller Industries, Inc. | 31,399 | 1,254,704 | ||||||
MYR Group, Inc.1 | 17,698 | 666,861 | ||||||
National Presto Industries, Inc.2 | 2,692 | 286,429 | ||||||
Orion Group Holdings, Inc.1 | 38,012 | 378,219 | ||||||
Patrick Industries, Inc.1,2 | 9,845 | 751,173 | ||||||
Shares | Value | |||||||
Capital Goods (continued) | ||||||||
PGT Innovations, Inc.1,2 | 22,991 | $ | 263,247 | |||||
Powell Industries, Inc. | 9,017 | 351,663 | ||||||
Proto Labs, Inc.1,2 | 3,545 | 182,036 | ||||||
Quanex Building Products Corp. | 27,642 | 561,133 | ||||||
Raven Industries, Inc. | 6,335 | 159,642 | ||||||
Simpson Manufacturing Co., Inc. | 11,809 | 516,644 | ||||||
SPX Corp.1 | 47,061 | 1,116,287 | ||||||
SPX FLOW, Inc.1 | 44,855 | 1,438,051 | ||||||
Standex International Corp.2 | 4,906 | 430,992 | ||||||
TASER International, Inc.1,2 | 6,318 | 153,148 | ||||||
Tennant Co. | 6,882 | 489,998 | ||||||
Titan International, Inc. | 69,945 | 784,083 | ||||||
Trex Co., Inc.1,2 | 4,448 | 286,451 | ||||||
Universal Forest Products, Inc. | 18,542 | 1,894,622 | ||||||
Veritiv Corp.1,2 | 103,057 | 5,539,314 | ||||||
Vicor Corp.1 | 8,080 | 122,008 | ||||||
Wabash National Corp.1 | 77,990 | 1,233,802 | ||||||
Watts Water Technologies, Inc., Class A | 13,210 | 861,292 | ||||||
Total Capital Goods | 50,297,836 | |||||||
Commercial & Professional Services—8.7% | ||||||||
ABM Industries, Inc. | 80,846 | 3,301,751 | ||||||
Brady Corp., Class A | 18,366 | 689,643 | ||||||
Brink’s Co. (The) | 44,108 | 1,819,455 | ||||||
CDI Corp.1 | 71,086 | 526,036 | ||||||
Essendant, Inc. | 162,184 | 3,389,646 | ||||||
Exponent, Inc. | 3,011 | 181,563 | ||||||
G&K Services, Inc., Class A | 6,395 | 616,798 | ||||||
Healthcare Services Group, Inc.2 | 24,000 | 940,080 | ||||||
Heidrick & Struggles International, Inc. | 14,746 | 356,116 | ||||||
Insperity, Inc. | 25,247 | 1,791,275 | ||||||
Interface, Inc. | 32,664 | 605,917 | ||||||
Kelly Services, Inc., Class A | 152,401 | 3,493,031 | ||||||
Korn/Ferry International | 29,916 | 880,428 | ||||||
LSC Communications, Inc. | 99,075 | 2,940,546 | ||||||
Matthews International Corp., Class A | 12,613 | 969,309 | ||||||
Mobile Mini, Inc. | 10,528 | 318,472 | ||||||
Multi-Color Corp. | 7,410 | 575,016 | ||||||
Navigant Consulting, Inc.1 | 21,306 | 557,791 | ||||||
On Assignment, Inc.1 | 34,057 | 1,503,957 | ||||||
Resources Connection, Inc. | 20,475 | 394,144 | ||||||
RR Donnelley & Sons Co.2 | 416,063 | 6,790,148 | ||||||
Team, Inc.1,2 | 19,855 | 779,309 | ||||||
Tetra Tech, Inc. | 27,588 | 1,190,422 | ||||||
TrueBlue, Inc.1 | 75,598 | 1,863,491 | ||||||
UniFirst Corp.2 | 6,311 | 906,575 | ||||||
US Ecology, Inc. | 6,470 | 318,000 | ||||||
Viad Corp. | 16,635 | 733,603 | ||||||
WageWorks, Inc.1 | 2,973 | 215,543 | ||||||
Total Commercial & Professional Services | 38,648,065 | |||||||
Consumer Durables & Apparel—4.0% | ||||||||
Arctic Cat, Inc.1,2 | 21,638 | 325,003 | ||||||
Callaway Golf Co. | 47,832 | 524,239 | ||||||
Cavco Industries, Inc.1 | 4,559 | 455,216 | ||||||
Crocs, Inc.1 | 93,091 | 638,604 | ||||||
Ethan Allen Interiors, Inc. | 13,707 | 505,103 | ||||||
Shares | Value | |||||||
G-III Apparel Group Ltd.1,2 | 47,327 | $ | 1,398,986 | |||||
Iconix Brand Group, Inc.1 | 25,960 | 242,466 | ||||||
Installed Building Products, Inc.1 | 12,672 | 523,354 | ||||||
iRobot Corp.1,2 | 6,792 | 396,992 | ||||||
La-Z-Boy, Inc. | 30,434 | 944,976 | ||||||
LGI Homes, Inc.1,2 | 16,947 | 486,887 | ||||||
M.D.C. Holdings, Inc.2 | 52,784 | 1,354,438 | ||||||
M/I Homes, Inc.1 | 40,690 | 1,024,574 | ||||||
Meritage Homes Corp.1 | 51,794 | 1,802,431 | ||||||
Movado Group, Inc. | 12,001 | 345,029 | ||||||
Nautilus, Inc.1,2 | 12,851 | 237,744 | ||||||
Oxford Industries, Inc.2 | 10,233 | 615,310 | ||||||
Perry Ellis International, Inc.1 | 21,104 | 525,701 | ||||||
Steven Madden Ltd.1 | 23,092 | 825,539 | ||||||
Sturm Ruger & Co., Inc.2 | 7,799 | 411,007 | ||||||
TopBuild Corp.1 | 29,950 | 1,066,220 | ||||||
Unifi, Inc.1 | 11,924 | 389,080 | ||||||
Universal Electronics, Inc.1 | 6,093 | 393,303 | ||||||
Vera Bradley, Inc.1 | 25,282 | 296,305 | ||||||
WCI Communities, Inc.1 | 17,729 | 415,745 | ||||||
Wolverine World Wide, Inc. | 67,417 | 1,479,803 | ||||||
Total Consumer Durables & Apparel | 17,624,055 | |||||||
Consumer Services—3.1% | ||||||||
American Public Education, Inc.1 | 7,603 | 186,654 | ||||||
Belmond Ltd., Class A1 | 25,685 | 342,895 | ||||||
Biglari Holdings, Inc.1 | 1,133 | 536,136 | ||||||
BJ’s Restaurants, Inc.1 | 15,706 | 617,246 | ||||||
Bob Evans Farms, Inc. | 15,920 | 847,103 | ||||||
Boyd Gaming Corp.1 | 66,050 | 1,332,228 | ||||||
Capella Education Co. | 3,058 | 268,492 | ||||||
Career Education Corp.1 | 53,022 | 534,992 | ||||||
Chuy’s Holdings, Inc.1 | 6,002 | 194,765 | ||||||
Dave & Buster’s Entertainment, Inc.1 | 10,636 | 598,807 | ||||||
DineEquity, Inc.2 | 4,949 | 381,073 | ||||||
El Pollo Loco Holdings, Inc.1,2 | 17,857 | 219,641 | ||||||
Fiesta Restaurant Group, Inc.1,2 | 15,487 | 462,287 | ||||||
ILG, Inc. | 30,284 | 550,260 | ||||||
Marcus Corp. (The) | 9,413 | 296,509 | ||||||
Marriott Vacations Worldwide Corp. | 8,951 | 759,492 | ||||||
Monarch Casino & Resort, Inc.1 | 5,283 | 136,196 | ||||||
Popeyes Louisiana Kitchen, Inc.1 | 2,671 | 161,542 | ||||||
Red Robin Gourmet Burgers, Inc.1 | 14,373 | 810,637 | ||||||
Regis Corp.1 | 75,226 | 1,092,282 | ||||||
Ruby Tuesday, Inc.1 | 201,451 | 650,687 | ||||||
Ruth’s Hospitality Group, Inc. | 12,790 | 234,057 | ||||||
Scientific Games Corp., Class A1,2 | 115,615 | 1,618,610 | ||||||
Sonic Corp. | 13,957 | 370,000 | ||||||
Strayer Education, Inc.1 | 3,404 | 274,465 | ||||||
Wingstop, Inc., Class A2 | 2,375 | 70,276 | ||||||
Total Consumer Services | 13,547,332 | |||||||
Diversified Financials—4.0% | ||||||||
Calamos Asset Management, Inc., Class A | 18,158 | 155,251 | ||||||
Capstead Mortgage Corp. | 7,018 | 71,513 | ||||||
Donnelley Financial Solutions, Inc.1 | 30,682 | 705,072 | ||||||
Encore Capital Group, Inc.1,2 | 24,550 | 703,358 | ||||||
Enova International, Inc.1 | 33,118 | 415,631 | ||||||
Evercore Partners, Inc., Class A | 12,878 | 884,719 | ||||||
EZCORP, Inc., Class A1,2 | 44,239 | 471,145 |
Shares | Value | |||||||
Diversified Financials (continued) | ||||||||
Financial Engines, Inc.2 | 6,380 | $ | 234,465 | |||||
FirstCash, Inc. | 11,091 | 521,277 | ||||||
Green Dot Corp., Class A1 | 18,176 | 428,045 | ||||||
Greenhill & Co., Inc. | 7,123 | 197,307 | ||||||
Interactive Brokers Group, Inc., Class A | 22,154 | 808,843 | ||||||
INTL. FCStone, Inc.1 | 257,447 | 10,194,901 | ||||||
Investment Technology Group, Inc. | 17,650 | 348,411 | ||||||
Piper Jaffray Cos.1 | 6,142 | 445,295 | ||||||
PRA Group, Inc.1,2 | 15,831 | 618,992 | ||||||
Virtus Investment Partners, Inc.2 | 1,824 | 215,323 | ||||||
World Acceptance Corp.1,2 | 5,284 | 339,656 | ||||||
Total Diversified Financials | 17,759,204 | |||||||
Energy—2.4% | ||||||||
Atwood Oceanics, Inc.2 | 45,321 | 595,065 | ||||||
Bill Barrett Corp.1,2 | 15,498 | 108,331 | ||||||
Bristow Group, Inc. | 43,984 | 900,792 | ||||||
CARBO Ceramics, Inc.1,2 | 9,373 | 98,042 | ||||||
Carrizo Oil & Gas, Inc.1,2 | 6,069 | 226,677 | ||||||
Cloud Peak Energy, Inc.1,2 | 84,887 | 476,216 | ||||||
Contango Oil & Gas Co.1 | 4,942 | 46,158 | ||||||
Era Group, Inc.1 | 11,519 | 195,477 | ||||||
Exterran Corp.1 | 44,556 | 1,064,888 | ||||||
Geospace Technologies Corp.1,2 | 1,764 | 35,915 | ||||||
Green Plains, Inc. | 70,013 | 1,949,862 | ||||||
Gulf Island Fabrication, Inc. | 14,526 | 172,859 | ||||||
Helix Energy Solutions Group, Inc.1,2 | 30,912 | 272,644 | ||||||
Hornbeck Offshore Services, Inc.1,2 | 22,068 | 159,331 | ||||||
Matrix Service Co.1 | 38,347 | 870,477 | ||||||
Newpark Resources, Inc.1 | 38,822 | 291,165 | ||||||
Northern Oil and Gas, Inc.1,2 | 28,230 | 77,633 | ||||||
PDC Energy, Inc.1,2 | 3,210 | 232,982 | ||||||
Pioneer Energy Services Corp.1 | 32,610 | 223,379 | ||||||
REX American Resources Corp.1,2 | 2,736 | 270,180 | ||||||
SEACOR Holdings, Inc.1 | 7,913 | 564,039 | ||||||
Synergy Resources Corp.1,2 | 5,949 | 53,006 | ||||||
Tesco Corp.1 | 11,176 | 92,202 | ||||||
TETRA Technologies, Inc.1 | 104,119 | 522,677 | ||||||
Tidewater, Inc.1,2 | 112,083 | 382,203 | ||||||
U.S. Silica Holdings, Inc.2 | 6,281 | 356,007 | ||||||
Unit Corp.1,2 | 14,852 | 399,073 | ||||||
Total Energy | 10,637,280 | |||||||
Food & Staples Retailing—4.0% | ||||||||
Andersons, Inc. (The) | 59,681 | 2,667,741 | ||||||
SpartanNash Co. | 127,065 | 5,024,150 | ||||||
SUPERVALU, Inc.1 | 2,179,427 | 10,177,924 | ||||||
Total Food & Staples Retailing | 17,869,815 | |||||||
Food, Beverage & Tobacco—2.0% | ||||||||
B&G Foods, Inc. | 17,578 | 769,916 | ||||||
Calavo Growers, Inc.2 | 9,712 | 596,317 | ||||||
Cal-Maine Foods, Inc.2 | 23,569 | 1,041,161 | ||||||
Darling Ingredients, Inc.1 | 154,097 | 1,989,392 | ||||||
J&J Snack Foods Corp. | 4,684 | 624,986 | ||||||
Sanderson Farms, Inc.2 | 19,113 | 1,801,209 | ||||||
Seneca Foods Corp., Class A1 | 19,086 | 764,394 | ||||||
Universal Corp.2 | 21,861 | 1,393,639 | ||||||
Total Food, Beverage & Tobacco | 8,981,014 | |||||||
Shares | Value | |||||||
Health Care Equipment & Services—10.2% | ||||||||
Abaxis, Inc. | 2,641 | $ | 139,366 | |||||
Aceto Corp.2 | 16,255 | 357,122 | ||||||
Adeptus Health, Inc., Class A1,2 | 30,633 | 234,036 | ||||||
Air Methods Corp.1,2 | 22,250 | 708,662 | ||||||
Almost Family, Inc.1 | 8,726 | 384,817 | ||||||
Amedisys, Inc.1 | 20,837 | 888,281 | ||||||
AMN Healthcare Services, Inc.1,2 | 30,031 | 1,154,692 | ||||||
Analogic Corp. | 3,745 | 310,648 | ||||||
AngioDynamics, Inc.1 | 13,247 | 223,477 | ||||||
Anika Therapeutics, Inc.1 | 1,352 | 66,194 | ||||||
BioTelemetry, Inc.1 | 5,786 | 129,317 | ||||||
Cantel Medical Corp. | 5,151 | 405,641 | ||||||
Chemed Corp. | 6,230 | 999,354 | ||||||
Community Health Systems, Inc.1,2 | 2,075,407 | 11,601,525 | ||||||
Computer Programs & Systems, Inc.2 | 6,555 | 154,698 | ||||||
CONMED Corp.2 | 10,506 | 464,050 | ||||||
CorVel Corp.1 | 8,937 | 327,094 | ||||||
Cross Country Healthcare, Inc.1 | 34,387 | 536,781 | ||||||
CryoLife, Inc.1 | 5,647 | 108,140 | ||||||
Cynosure, Inc., Class A1 | 5,481 | 249,934 | ||||||
Diplomat Pharmacy, Inc.1,2 | 203,084 | 2,558,858 | ||||||
Ensign Group, Inc. (The) | 44,694 | 992,654 | ||||||
Haemonetics Corp.1 | 14,113 | 567,343 | ||||||
HealthEquity, Inc.1,2 | 2,291 | 92,831 | ||||||
HealthStream, Inc.1,2 | 5,421 | 135,796 | ||||||
Healthways, Inc.1 | 15,291 | 347,870 | ||||||
HMS Holdings Corp.1 | 16,630 | 302,001 | ||||||
ICU Medical, Inc.1 | 1,565 | 230,603 | ||||||
Inogen, Inc.1,2 | 1,821 | 122,317 | ||||||
Integer Holdings Corp.1 | 23,650 | 696,492 | ||||||
Integra LifeSciences Holdings Corp.1 | 7,428 | 637,248 | ||||||
Invacare Corp. | 51,927 | 677,647 | ||||||
Kindred Healthcare, Inc. | 591,060 | 4,639,821 | ||||||
Landauer, Inc. | 1,969 | 94,709 | ||||||
LHC Group, Inc.1 | 12,669 | 578,973 | ||||||
Magellan Health, Inc.1 | 40,672 | 3,060,568 | ||||||
Masimo Corp.1 | 6,341 | 427,383 | ||||||
Medidata Solutions, Inc.1 | 5,346 | 265,536 | ||||||
Meridian Bioscience, Inc. | 6,848 | 121,210 | ||||||
Merit Medical Systems, Inc.1 | 13,888 | 368,032 | ||||||
Natus Medical, Inc.1 | 6,337 | 220,528 | ||||||
Neogen Corp.1 | 3,218 | 212,388 | ||||||
Omnicell, Inc.1 | 12,083 | 409,614 | ||||||
PharMerica Corp.1 | 52,201 | 1,312,855 | ||||||
Providence Service Corp. (The)1 | 27,586 | 1,049,647 | ||||||
Quality Systems, Inc.1 | 23,297 | 306,356 | ||||||
Quorum Health Corp.1 | 185,306 | 1,347,175 | ||||||
Select Medical Holdings Corp.1,2 | 195,050 | 2,584,413 | ||||||
Surgical Care Affiliates, Inc.1,2 | 16,543 | 765,445 | ||||||
SurModics, Inc.1 | 1,837 | 46,660 | ||||||
US Physical Therapy, Inc. | 3,080 | 216,216 | ||||||
Vascular Solutions, Inc.1 | 1,804 | 101,204 | ||||||
Zeltiq Aesthetics, Inc.1,2 | 4,689 | 204,065 | ||||||
Total Health Care Equipment & Services | 45,138,287 | |||||||
Household & Personal Products—0.4% | ||||||||
Central Garden & Pet Co.1,2 | 17,842 | 590,392 | ||||||
Central Garden & Pet Co., Class A1 | 18,892 | 583,763 | ||||||
Inter Parfums, Inc. | 9,195 | 301,136 |
Shares | Value | |||||||
Household & Personal Products (continued) | ||||||||
Medifast, Inc. | 4,223 | $ | 175,803 | |||||
WD-40 Co.2 | 2,142 | 250,400 | ||||||
Total Household & Personal Products | 1,901,494 | |||||||
�� | ||||||||
Insurance—2.7% | ||||||||
American Equity Investment Life Holding Co. | 60,375 | 1,360,852 | ||||||
AMERISAFE, Inc. | 4,056 | 252,891 | ||||||
eHealth, Inc.1,2 | 11,602 | 123,561 | ||||||
Employers Holdings, Inc. | 13,071 | 517,612 | ||||||
HCI Group, Inc.2 | 4,193 | 165,540 | ||||||
Horace Mann Educators Corp. | 16,488 | 705,686 | ||||||
Infinity Property & Casualty Corp. | 10,738 | 943,870 | ||||||
Maiden Holdings Ltd. | 93,497 | 1,631,523 | ||||||
Navigators Group, Inc. (The) | 6,291 | 740,765 | ||||||
ProAssurance Corp. | 8,459 | 475,396 | ||||||
RLI Corp. | 8,132 | 513,373 | ||||||
Safety Insurance Group, Inc. | 7,007 | 516,416 | ||||||
Selective Insurance Group, Inc.2 | 33,173 | 1,428,098 | ||||||
Stewart Information Services Corp. | 29,674 | 1,367,378 | ||||||
United Fire Group, Inc. | 14,344 | 705,294 | ||||||
United Insurance Holdings Corp.2 | 18,876 | 285,783 | ||||||
Universal Insurance Holdings, Inc.2 | 15,919 | 452,100 | ||||||
Total Insurance | 12,186,138 | |||||||
Materials—7.2% | ||||||||
A. Schulman, Inc. | 44,653 | 1,493,643 | ||||||
AdvanSix, Inc.1 | 36,538 | 808,951 | ||||||
AK Steel Holding Corp.1,2 | 357,988 | 3,655,057 | ||||||
American Vanguard Corp. | 10,253 | 196,345 | ||||||
Balchem Corp. | 3,980 | 334,002 | ||||||
Boise Cascade Co.1 | 103,091 | 2,319,547 | ||||||
Calgon Carbon Corp. | 17,807 | 302,719 | ||||||
Century Aluminum Co.1 | 96,562 | 826,571 | ||||||
Chemours Co. (The) | 132,614 | 2,929,443 | ||||||
Clearwater Paper Corp.1 | 16,826 | 1,102,944 | ||||||
Deltic Timber Corp.2 | 1,696 | 130,711 | ||||||
Flotek Industries, Inc.1,2 | 17,605 | 165,311 | ||||||
FutureFuel Corp. | 10,058 | 139,806 | ||||||
H.B. Fuller Co.2 | 26,421 | 1,276,399 | ||||||
Hawkins, Inc. | 5,191 | 280,054 | ||||||
Haynes International, Inc. | 5,635 | 242,249 | ||||||
Headwaters, Inc.1 | 26,030 | 612,226 | ||||||
Ingevity Corp.1 | 10,675 | 585,630 | ||||||
Innophos Holdings, Inc. | 7,983 | 417,192 | ||||||
Innospec, Inc. | 7,799 | 534,231 | ||||||
Kaiser Aluminum Corp. | 10,618 | 824,912 | ||||||
KapStone Paper and Packaging Corp. | 85,490 | 1,885,054 | ||||||
Koppers Holdings, Inc.1 | 22,013 | 887,124 | ||||||
Kraton Corp.1 | 30,011 | 854,713 | ||||||
LSB Industries, Inc.1,2 | 35,853 | 301,882 | ||||||
Materion Corp.2 | 14,264 | 564,854 | ||||||
Myers Industries, Inc. | 24,233 | 346,532 | ||||||
Neenah Paper, Inc. | 6,860 | 584,472 | ||||||
Olympic Steel, Inc. | 23,665 | 573,403 | ||||||
PH Glatfelter Co. | 42,983 | 1,026,864 | ||||||
Quaker Chemical Corp.2 | 3,554 | 454,699 | ||||||
Rayonier Advanced Materials, Inc. | 36,078 | 557,766 | ||||||
Schweitzer-Mauduit International, Inc. | 12,335 | 561,613 | ||||||
Shares | Value | |||||||
Stepan Co. | 13,087 | $ | 1,066,329 | |||||
Stillwater Mining Co.1,2 | 25,098 | 404,329 | ||||||
SunCoke Energy, Inc.1 | 66,352 | 752,432 | ||||||
TimkenSteel Corp.1,2 | 31,810 | 492,419 | ||||||
Tredegar Corp. | 21,713 | 521,112 | ||||||
US Concrete, Inc.1,2 | 10,838 | 709,889 | ||||||
Total Materials | 31,723,429 | |||||||
Media—1.1% | ||||||||
E.W. Scripps Co., (The), Class A1,2 | 29,598 | 572,129 | ||||||
Gannett Co., Inc. | 183,434 | 1,781,144 | ||||||
New Media Investment Group, Inc. | 49,657 | 794,016 | ||||||
Scholastic Corp. | 23,098 | 1,096,924 | ||||||
World Wrestling Entertainment, Inc., Class A2 | 23,796 | 437,846 | ||||||
Total Media | 4,682,059 | |||||||
Pharmaceuticals, Biotechnology & Life Sciences—1.1% | ||||||||
Acorda Therapeutics, Inc.1 | 15,303 | 287,696 | ||||||
Albany Molecular Research, Inc.1,2 | 17,574 | 329,688 | ||||||
AMAG Pharmaceuticals, Inc.1,2 | 8,739 | 304,117 | ||||||
Amphastar Pharmaceuticals, Inc.1,2 | 8,808 | 162,243 | ||||||
ANI Pharmaceuticals, Inc.1,2 | 1,154 | 69,955 | ||||||
Cambrex Corp.1 | 5,376 | 290,035 | ||||||
Depomed, Inc.1,2 | 15,116 | 272,390 | ||||||
Eagle Pharmaceuticals, Inc.1,2 | 1,058 | 83,942 | ||||||
Emergent BioSolutions, Inc.1 | 10,207 | 335,198 | ||||||
Enanta Pharmaceuticals, Inc.1,2 | 1,743 | 58,391 | ||||||
Impax Laboratories, Inc.1 | 43,002 | 569,777 | ||||||
Innoviva, Inc.1,2 | 6,508 | 69,636 | ||||||
Lannett Co., Inc.1,2 | 16,271 | 358,776 | ||||||
Ligand Pharmaceuticals, Inc.1,2 | 538 | 54,666 | ||||||
Luminex Corp.1,2 | 7,894 | 159,696 | ||||||
Medicines Co. (The)1,2 | 3,652 | 123,949 | ||||||
MiMedx Group, Inc.1,2 | 15,748 | 139,527 | ||||||
Momenta Pharmaceuticals, Inc.1 | 4,100 | 61,705 | ||||||
Nektar Therapeutics, Class A1,2 | 8,320 | 102,086 | ||||||
Phibro Animal Health Corp., Class A | 16,871 | 494,320 | ||||||
Repligen Corp.1,2 | 1,895 | 58,404 | ||||||
SciClone Pharmaceuticals, Inc.1 | 10,244 | 110,635 | ||||||
Spectrum Pharmaceuticals, Inc.1,2 | 22,204 | 98,364 | ||||||
Supernus Pharmaceuticals, Inc.1 | 4,959 | 125,215 | ||||||
Total Pharmaceuticals, Biotechnology & Life Sciences | 4,720,411 | |||||||
Real Estate—1.5% | ||||||||
Acadia Realty Trust | 4,239 | 138,531 | ||||||
Agree Realty Corp. | 1,234 | 56,826 | ||||||
American Assets Trust, Inc. | 4,304 | 185,416 | ||||||
CareTrust REIT, Inc. | 4,163 | 63,777 | ||||||
Cedar Realty Trust, Inc. | 15,192 | 99,204 | ||||||
Chesapeake Lodging Trust | 14,836 | 383,659 | ||||||
CoreSite Realty Corp. | 3,114 | 247,158 | ||||||
DiamondRock Hospitality Co. | 51,997 | 599,525 | ||||||
EastGroup Properties, Inc.2 | 2,189 | 161,636 | ||||||
Forestar Group, Inc.1 | 11,869 | 157,858 | ||||||
Four Corners Property Trust, Inc. | 3,674 | 75,390 | ||||||
Franklin Street Properties Corp.2 | 12,198 | 158,086 | ||||||
Geo Group, Inc. (The) | 38,260 | 1,374,682 | ||||||
Getty Realty Corp.2 | 2,962 | 75,501 |
Shares | Value | |||||||
Real Estate (continued) | ||||||||
Government Properties Income Trust2 | 8,673 | $ | 165,351 | |||||
HFF, Inc., Class A | 10,798 | 326,640 | ||||||
Kite Realty Group Trust | 9,505 | 223,177 | ||||||
Lexington Realty Trust | 26,016 | 280,973 | ||||||
LTC Properties, Inc. | 2,176 | 102,228 | ||||||
Parkway, Inc.1 | 9,188 | 204,433 | ||||||
Pennsylvania Real Estate Investment Trust2 | 13,943 | 264,359 | ||||||
PS Business Parks, Inc. | 2,167 | 252,499 | ||||||
RE/MAX Holdings, Inc., Class A | 2,041 | 114,296 | ||||||
Retail Opportunity Investments Corp. | 7,017 | 148,269 | ||||||
Sabra Health Care REIT, Inc. | 7,190 | 175,580 | ||||||
Saul Centers, Inc. | 2,020 | 134,552 | ||||||
Summit Hotel Properties, Inc. | 20,164 | 323,229 | ||||||
Universal Health Realty Income Trust | 706 | 46,307 | ||||||
Urstadt Biddle Properties, Inc., Class A | 3,155 | 76,067 | ||||||
Total Real Estate | 6,615,209 | |||||||
Retailing—14.8% | ||||||||
Abercrombie & Fitch Co., Class A2 | 164,335 | 1,972,020 | ||||||
Asbury Automotive Group, Inc.1 | 65,762 | 4,057,515 | ||||||
Ascena Retail Group, Inc.1 | 624,626 | 3,866,435 | ||||||
Barnes & Noble Education, Inc.1 | 91,886 | 1,053,932 | ||||||
Barnes & Noble, Inc. | 208,241 | 2,321,887 | ||||||
Big 5 Sporting Goods Corp.2 | 35,617 | 617,955 | ||||||
Blue Nile, Inc. | 7,396 | 300,499 | ||||||
Buckle, Inc. (The)2 | 28,125 | 641,250 | ||||||
Caleres, Inc. | 45,962 | 1,508,473 | ||||||
Cato Corp., (The), Class A | 21,034 | 632,703 | ||||||
Children’s Place, Inc. (The) | 10,133 | 1,022,926 | ||||||
Core-Mark Holding Co., Inc. | 161,929 | 6,974,282 | ||||||
Express, Inc.1 | 125,617 | 1,351,639 | ||||||
Finish Line, Inc., (The), Class A2 | 53,441 | 1,005,225 | ||||||
Five Below, Inc.1,2 | 14,305 | 571,628 | ||||||
Francesca’s Holdings Corp.1 | 14,151 | 255,143 | ||||||
Fred’s, Inc., Class A2 | 122,252 | 2,268,997 | ||||||
FTD Cos., Inc.1 | 28,996 | 691,265 | ||||||
Genesco, Inc.1 | 28,005 | 1,739,111 | ||||||
Group 1 Automotive, Inc.2 | 88,741 | 6,916,474 | ||||||
Guess?, Inc.2 | 108,045 | 1,307,345 | ||||||
Haverty Furniture Cos., Inc. | 21,913 | 519,338 | ||||||
Hibbett Sports, Inc.1,2 | 15,131 | 564,386 | ||||||
Kirkland’s, Inc.1,2 | 21,234 | 329,339 | ||||||
Lithia Motors, Inc., Class A2 | 54,283 | 5,256,223 | ||||||
Lumber Liquidators Holdings, Inc.1,2 | 36,001 | 566,656 | ||||||
MarineMax, Inc.1,2 | 29,701 | 574,714 | ||||||
Monro Muffler Brake, Inc.2 | 10,713 | 612,784 | ||||||
Nutrisystem, Inc. | 9,552 | 330,977 | ||||||
Ollie’s Bargain Outlet Holdings, Inc.1,2 | 17,272 | 491,388 | ||||||
PetMed Express, Inc.2 | 6,601 | 152,285 | ||||||
Rent-A-Center, Inc. | 162,301 | 1,825,886 | ||||||
Select Comfort Corp.1,2 | 33,318 | 753,653 | ||||||
Shoe Carnival, Inc. | 22,088 | 595,934 | ||||||
Sonic Automotive, Inc., Class A | 272,744 | 6,245,838 | ||||||
Stage Stores, Inc.2 | 202,049 | 882,954 | ||||||
Stein Mart, Inc. | 152,621 | 836,363 | ||||||
Shares | Value | |||||||
Tailored Brands, Inc. | 78,837 | $ | 2,014,285 | |||||
Tile Shop Holdings, Inc.1 | 9,750 | 190,613 | ||||||
Tuesday Morning Corp.1,2 | 109,136 | 589,334 | ||||||
Vitamin Shoppe, Inc.1,2 | 32,209 | 764,964 | ||||||
Zumiez, Inc.1,2 | 19,960 | 436,126 | ||||||
Total Retailing | 65,610,744 | |||||||
Semiconductors & Semiconductor Equipment—1.0% | ||||||||
Advanced Energy Industries, Inc.1 | 5,066 | 277,364 | ||||||
Brooks Automation, Inc. | 21,115 | 360,433 | ||||||
Cabot Microelectronics Corp. | 4,363 | 275,611 | ||||||
CEVA, Inc.1 | 1,251 | 41,971 | ||||||
Cohu, Inc. | 12,766 | 177,448 | ||||||
Diodes, Inc.1 | 22,166 | 569,001 | ||||||
DSP Group, Inc.1 | 7,225 | 94,286 | ||||||
Exar Corp.1 | 8,333 | 89,830 | ||||||
Kopin Corp.1 | 4,673 | 13,271 | ||||||
Kulicke & Soffa Industries, Inc.1 | 23,438 | 373,836 | ||||||
MKS Instruments, Inc. | 11,137 | 661,538 | ||||||
Nanometrics, Inc.1 | 5,179 | 129,786 | ||||||
Power Integrations, Inc.2 | 3,398 | 230,554 | ||||||
Rambus, Inc.1 | 14,184 | 195,314 | ||||||
Rudolph Technologies, Inc.1 | 6,526 | 152,382 | ||||||
Semtech Corp.1 | 9,706 | 306,224 | ||||||
Tessera Holding Corp. | 3,586 | 158,501 | ||||||
Ultratech, Inc.1 | 4,045 | 96,999 | ||||||
Veeco Instruments, Inc.1 | 7,607 | 221,744 | ||||||
Total Semiconductors & Semiconductor Equipment | 4,426,093 | |||||||
Software & Services—3.1% | ||||||||
8x8, Inc.1 | 9,821 | 140,440 | ||||||
Blackbaud, Inc.2 | 6,880 | 440,320 | ||||||
Blucora, Inc.1 | 15,300 | 225,675 | ||||||
Bottomline Technologies (de), Inc.1,2 | 8,917 | 223,103 | ||||||
CACI International, Inc., Class A1 | 19,913 | 2,475,186 | ||||||
Cardtronics PLC, Class A1 | 14,772 | 806,108 | ||||||
Ciber, Inc.1 | 538,020 | 339,921 | ||||||
CSG Systems International, Inc.2 | 9,876 | 477,998 | ||||||
DHI Group, Inc.1 | 22,427 | 140,169 | ||||||
Ebix, Inc.2 | 3,039 | 173,375 | ||||||
Exlservice Holdings, Inc.1 | 8,419 | 424,654 | ||||||
Forrester Research, Inc. | 4,742 | 203,669 | ||||||
Liquidity Services, Inc.1 | 19,682 | 191,900 | ||||||
LivePerson, Inc.1 | 17,858 | 134,828 | ||||||
LogMeIn, Inc.2 | 1,987 | 191,845 | ||||||
ManTech International Corp., Class A | 24,018 | 1,014,761 | ||||||
MicroStrategy, Inc., Class A1 | 1,612 | 318,209 | ||||||
Monotype Imaging Holdings, Inc. | 6,223 | 123,527 | ||||||
NIC, Inc. | 7,710 | 184,269 | ||||||
Perficient, Inc.1 | 15,811 | 276,534 | ||||||
Progress Software Corp. | 8,037 | 256,621 | ||||||
Qualys, Inc.1 | 3,642 | 115,269 | ||||||
QuinStreet, Inc.1,2 | 49,015 | 184,296 | ||||||
Shutterstock, Inc.1,2 | 6,121 | 290,870 | ||||||
SPS Commerce, Inc.1 | 1,716 | 119,931 | ||||||
Stamps.com, Inc.1,2 | 1,809 | 207,402 | ||||||
Sykes Enterprises, Inc.1 | 30,055 | 867,387 | ||||||
Synchronoss Technologies, Inc.1 | 9,555 | 365,957 | ||||||
Take-Two Interactive Software, Inc.1 | 19,044 | 938,679 |
Shares | Value | |||||||
Software & Services (continued) | ||||||||
Tangoe, Inc.1 | 17,603 | $ | 138,712 | |||||
TeleTech Holdings, Inc.2 | 25,723 | 784,552 | ||||||
TiVo Corp.1,2 | 16,454 | 343,889 | ||||||
VASCO Data Security International, Inc.1,2 | 8,597 | 117,349 | ||||||
Virtusa Corp.1 | 18,811 | 472,532 | ||||||
XO Group, Inc.1 | 4,754 | 92,465 | ||||||
Total Software & Services | 13,802,402 | |||||||
Technology Hardware & Equipment—7.3% | ||||||||
ADTRAN, Inc. | 16,976 | 379,413 | ||||||
Agilysys, Inc.1 | 7,569 | 78,415 | ||||||
Anixter International, Inc.1 | 54,613 | 4,426,384 | ||||||
Badger Meter, Inc.2 | 6,572 | 242,835 | ||||||
Bel Fuse, Inc., Class B | 10,920 | 337,428 | ||||||
Benchmark Electronics, Inc.1 | 49,134 | 1,498,587 | ||||||
Black Box Corp. | 35,371 | 539,408 | ||||||
CalAmp Corp.1,2 | 13,159 | 190,805 | ||||||
Coherent, Inc.1 | 3,798 | 521,788 | ||||||
Comtech Telecommunications Corp. | 22,565 | 267,395 | ||||||
Cray, Inc.1 | 16,449 | 340,494 | ||||||
CTS Corp. | 10,226 | 229,062 | ||||||
Daktronics, Inc. | 35,721 | 382,215 | ||||||
Digi International, Inc.1 | 9,336 | 128,370 | ||||||
Electro Scientific Industries, Inc.1 | 19,490 | 115,381 | ||||||
Electronics For Imaging, Inc.1,2 | 14,124 | 619,479 | ||||||
ePlus, Inc.1 | 6,909 | 795,917 | ||||||
Fabrinet1 | 16,593 | 668,698 | ||||||
FARO Technologies, Inc.1,2 | 5,323 | 191,628 | ||||||
Harmonic, Inc.1,2 | 44,303 | 221,515 | ||||||
II-VI, Inc.1 | 17,457 | 517,600 | ||||||
Insight Enterprises, Inc.1 | 83,215 | 3,365,215 | ||||||
Itron, Inc.1 | 19,290 | 1,212,376 | ||||||
Ixia1 | 18,547 | 298,607 | ||||||
Lumentum Holdings, Inc.1 | 14,271 | 551,574 | ||||||
Methode Electronics, Inc. | 11,739 | 485,408 | ||||||
MTS Systems Corp. | 6,531 | 370,308 | ||||||
NETGEAR, Inc.1 | 14,962 | 813,185 | ||||||
OSI Systems, Inc.1,2 | 7,075 | 538,549 | ||||||
Park Electrochemical Corp. | 4,363 | 81,370 | ||||||
Plexus Corp.1 | 30,208 | 1,632,440 | ||||||
Rogers Corp.1 | 5,186 | 398,337 | ||||||
Sanmina Corp.1 | 113,002 | 4,141,523 | ||||||
ScanSource, Inc.1 | 57,137 | 2,305,478 | ||||||
Super Micro Computer, Inc.1,2 | 49,693 | 1,393,889 | ||||||
TTM Technologies, Inc.1 | 113,653 | 1,549,090 | ||||||
Viavi Solutions, Inc.1 | 66,973 | 547,839 | ||||||
Total Technology Hardware & Equipment | 32,378,005 | |||||||
Telecommunication Services—0.7% | ||||||||
ATN International, Inc. | 3,330 | 266,833 | ||||||
Cincinnati Bell, Inc.1 | 34,095 | 762,023 | ||||||
Cogent Communications Holdings, Inc. | 6,494 | 268,527 | ||||||
Consolidated Communications Holdings, Inc. | 17,156 | 460,638 | ||||||
General Communication, Inc., Class A1 | 33,886 | 659,083 | ||||||
Shares | Value | |||||||
Inteliquent, Inc. | 9,657 | $ | 221,338 | |||||
Iridium Communications, Inc.1,2 | 27,201 | 261,130 | ||||||
Lumos Networks Corp.1 | 8,627 | 134,754 | ||||||
Spok Holdings, Inc. | 5,639 | 117,009 | ||||||
Total Telecommunication Services | 3,151,335 | |||||||
Transportation—3.5% | ||||||||
Allegiant Travel Co.2 | 5,046 | 839,654 | ||||||
ArcBest Corp. | 54,800 | 1,515,220 | ||||||
Atlas Air Worldwide Holdings, Inc.1 | 21,586 | 1,125,710 | ||||||
Celadon Group, Inc. | 79,102 | 565,579 | ||||||
Echo Global Logistics, Inc.1,2 | 38,674 | 968,784 | ||||||
Forward Air Corp. | 12,677 | 600,636 | ||||||
Hawaiian Holdings, Inc.1,2 | 26,485 | 1,509,645 | ||||||
Heartland Express, Inc.2 | 19,079 | 388,449 | ||||||
Hub Group, Inc., Class A1 | 49,968 | 2,186,100 | ||||||
Knight Transportation, Inc. | 20,045 | 662,487 | ||||||
Marten Transport Ltd. | 16,686 | 388,784 | ||||||
Matson, Inc.2 | 31,914 | 1,129,437 | ||||||
Roadrunner Transportation Systems, Inc.1 | 111,953 | 1,163,192 | ||||||
Saia, Inc.1 | 15,955 | 704,413 | ||||||
SkyWest, Inc. | 50,547 | 1,842,438 | ||||||
Total Transportation | 15,590,528 | |||||||
Utilities—1.1% | ||||||||
ALLETE, Inc.2 | 13,475 | 864,960 | ||||||
American States Water Co.2 | 6,152 | 280,285 | ||||||
Avista Corp. | 21,407 | 856,066 | ||||||
California Water Service Group | 11,072 | 375,341 | ||||||
El Paso Electric Co. | 11,785 | 548,003 | ||||||
Northwest Natural Gas Co. | 7,011 | 419,258 | ||||||
South Jersey Industries, Inc. | 17,789 | 599,311 | ||||||
Spire, Inc. | 15,276 | 986,066 | ||||||
Total Utilities | 4,929,290 | |||||||
Total Common Stocks (Cost $371,798,857) | 442,741,324 | |||||||
INVESTMENT OF CASH COLLATERAL | ||||||||
FOR SECURITIES LOANED—9.0% | ||||||||
Dreyfus Institutional Preferred Money Market Fund—Institutional Shares, 0.67%3 (Cost $39,775,262) | 39,775,262 | 39,775,262 | ||||||
Total Investments—108.9% (Cost $411,574,119) | 482,516,586 | |||||||
Liabilities in Excess of Other Assets—(8.9)% | (39,304,317 | ) | ||||||
Net Assets—100.0% | $ | 443,212,269 |
1 | Non-income producing security. |
2 | All or a portion of the security was on loan. The aggregate value of the securities on loan was $61,454,702; total value of the collateral held by the fund was $63,364,995. The total value of the collateral includes non-cash U.S. Treasury securities collateral having a value of $23,589,733 (Note 4). |
3 | Rate shown represents annualized 7-day yield as of December 31, 2016. |
The accompanying notes are an integral part of these financial statements.
Shares | Value | |||||||
COMMON STOCKS—100.0% | ||||||||
Banks—31.2% | ||||||||
Bank of America Corp. | 70,408 | $ | 1,556,017 | |||||
BB&T Corp. | 4,283 | 201,387 | ||||||
Citigroup, Inc. | 21,558 | 1,281,192 | ||||||
Citizens Financial Group, Inc. | 2,712 | 96,629 | ||||||
Comerica, Inc. | 760 | 51,764 | ||||||
Fifth Third Bancorp | 4,529 | 122,147 | ||||||
Huntington Bancshares, Inc. | 4,724 | 62,451 | ||||||
JPMorgan Chase & Co. | 21,123 | 1,822,704 | ||||||
KeyCorp | 4,733 | 86,472 | ||||||
M&T Bank Corp. | 658 | 102,931 | ||||||
People’s United Financial, Inc. | 1,317 | 25,497 | ||||||
PNC Financial Services Group, Inc. (The) | 2,575 | 301,172 | ||||||
Regions Financial Corp. | 7,398 | 106,235 | ||||||
SunTrust Banks, Inc. | 2,926 | 160,491 | ||||||
U.S. Bancorp | 7,403 | 380,292 | ||||||
Wells Fargo & Co. | 30,867 | 1,701,080 | ||||||
Zions Bancorporation1 | 1,058 | 45,536 | ||||||
Total Banks | 8,103,997 | |||||||
Capital Markets—12.4% | ||||||||
Affiliated Managers Group, Inc.2 | 290 | 42,137 | ||||||
Ameriprise Financial, Inc. | 2,087 | 231,532 | ||||||
Bank of New York Mellon Corp. (The) | 6,261 | 296,646 | ||||||
BlackRock, Inc. | 571 | 217,288 | ||||||
Charles Schwab Corp. (The) | 3,664 | 144,618 | ||||||
CME Group, Inc. | 577 | 66,557 | ||||||
E*TRADE Financial Corp.2 | 1,169 | 40,506 | ||||||
Franklin Resources, Inc. | 3,366 | 133,226 | ||||||
Goldman Sachs Group, Inc. (The) | 2,480 | 593,836 | ||||||
Intercontinental Exchange, Inc. | 1,452 | 81,922 | ||||||
Invesco Ltd. | 3,029 | 91,900 | ||||||
Moody’s Corp. | 726 | 68,440 | ||||||
Morgan Stanley | 15,574 | 658,002 | ||||||
Nasdaq, Inc. | 1,054 | 70,745 | ||||||
Northern Trust Corp. | 1,108 | 98,667 | ||||||
S&P Global, Inc. | 984 | 105,819 | ||||||
State Street Corp. | 2,571 | 199,818 | ||||||
T. Rowe Price Group, Inc. | 1,103 | 83,012 | ||||||
Total Capital Markets | 3,224,671 | |||||||
Consumer Finance—5.1% | ||||||||
American Express Co. | 8,231 | 609,753 | ||||||
Capital One Financial Corp. | 4,281 | 373,475 | ||||||
Discover Financial Services | 2,016 | 145,333 | ||||||
Navient Corp. | 2,775 | 45,593 | ||||||
Synchrony Financial | 3,837 | 139,168 | ||||||
Total Consumer Finance | 1,313,322 | |||||||
Shares | Value | |||||||
Diversified Financial Services—16.8% | ||||||||
Berkshire Hathaway, Inc., Class B2 | 25,442 | $ | 4,146,537 | |||||
Leucadia National Corp. | 9,031 | 209,971 | ||||||
Total Diversified Financial Services | 4,356,508 | |||||||
Insurance—34.5% | ||||||||
Aflac, Inc. | 6,377 | 443,839 | ||||||
Allstate Corp. (The) | 9,866 | 731,268 | ||||||
American International Group, Inc. | 16,066 | 1,049,270 | ||||||
Aon PLC | 2,069 | 230,756 | ||||||
Arthur J. Gallagher & Co. | 2,174 | 112,961 | ||||||
Assurant, Inc. | 1,804 | 167,519 | ||||||
Chubb Ltd. | 4,244 | 560,717 | ||||||
Cincinnati Financial Corp. | 1,405 | 106,429 | ||||||
Hartford Financial Services Group, Inc. (The) | 7,617 | 362,950 | ||||||
Lincoln National Corp. | 3,986 | 264,152 | ||||||
Loews Corp. | 5,544 | 259,625 | ||||||
Marsh & McLennan Cos., Inc. | 3,847 | 260,019 | ||||||
MetLife, Inc. | 23,955 | 1,290,935 | ||||||
Principal Financial Group, Inc. | 3,987 | 230,688 | ||||||
Progressive Corp. (The) | 12,890 | 457,595 | ||||||
Prudential Financial, Inc. | 11,711 | 1,218,647 | ||||||
Torchmark Corp. | 1,060 | 78,186 | ||||||
Travelers Cos., Inc. (The) | 4,495 | 550,278 | ||||||
Unum Group | 5,038 | 221,319 | ||||||
Willis Towers Watson PLC1 | 1,119 | 136,831 | ||||||
XL Group Ltd. | 5,649 | 210,482 | ||||||
Total Insurance | 8,944,466 | |||||||
Total Investments—100.0% (Cost $20,523,023) | 25,942,964 | |||||||
Liabilities in Excess of Other Assets—(0.0)%3 | (10,428 | ) | ||||||
Net Assets—100.0% | $ | 25,932,536 |
1 | All or a portion of the security was on loan. The aggregate value of the securities on loan was $158,863; total value of the collateral held by the fund was $161,812. The total value of the collateral is non-cash U.S. Treasury securities collateral having a value of $161,812 (Note 4). |
2 | Non-income producing security. |
3 | Less than 0.05% |
The accompanying notes are an integral part of these financial statements.
Shares | Value | |||||||
COMMON STOCKS—97.9% | ||||||||
Automobiles & Components—8.4% | ||||||||
Honda Motor Co. Ltd.1 | 12,432 | $ | 362,890 | |||||
Magna International, Inc. | 2,330 | 101,122 | ||||||
Toyota Motor Corp.1 | 5,467 | 640,732 | ||||||
Total Automobiles & Components | 1,104,744 | |||||||
Banks—9.8% | ||||||||
Banco Bilbao Vizcaya Argentaria SA1 | 9,815 | 66,448 | ||||||
Banco Bradesco SA1 | 7,916 | 68,948 | ||||||
Banco de Chile1 | 87 | 6,129 | ||||||
Banco Santander Chile1 | 241 | 5,271 | ||||||
Banco Santander SA1,2 | 21,632 | 112,054 | ||||||
Bancolombia SA1 | 295 | 10,821 | ||||||
Bank of Montreal | 610 | 43,871 | ||||||
Bank of Nova Scotia (The) | 891 | 49,611 | ||||||
Barclays PLC1 | 6,789 | 74,679 | ||||||
Canadian Imperial Bank of Commerce2 | 363 | 29,621 | ||||||
Credicorp Ltd. | 61 | 9,629 | ||||||
HSBC Holdings PLC1 | 3,222 | �� | 129,460 | |||||
ING Groep NV1,2 | 3,594 | 50,675 | ||||||
KB Financial Group, Inc.1 | 457 | 16,127 | ||||||
Lloyds Banking Group PLC1,2 | 20,952 | 64,951 | ||||||
Mitsubishi UFJ Financial Group, Inc.1 | 16,976 | 104,572 | ||||||
Mizuho Financial Group, Inc.1,2 | 18,288 | 65,654 | ||||||
Royal Bank of Canada | 1,152 | 78,002 | ||||||
Royal Bank of Scotland Group PLC1,2,3 | 8,857 | 48,979 | ||||||
Shinhan Financial Group Co. Ltd.1,2 | 898 | 33,801 | ||||||
Sumitomo Mitsui Financial Group, Inc.1 | 13,889 | 106,112 | ||||||
Toronto-Dominion Bank (The) | 1,393 | 68,731 | ||||||
Westpac Banking Corp.1 | 1,822 | 42,781 | ||||||
Total Banks | 1,286,927 | |||||||
Capital Goods—1.5% | ||||||||
ABB Ltd.1,2,3 | 4,716 | 99,366 | ||||||
Embraer SA1 | 1,025 | 19,731 | ||||||
Koninklijke Philips NV | 2,665 | 81,469 | ||||||
Total Capital Goods | 200,566 | |||||||
Commercial & Professional Services—0.4% | ||||||||
RELX NV1 | 1,587 | 26,598 | ||||||
RELX PLC1 | 1,474 | 26,488 | ||||||
Total Commercial & Professional Services | 53,086 | |||||||
Consumer Durables & Apparel—1.8% | ||||||||
Gildan Activewear, Inc. | 262 | 6,647 | ||||||
Luxottica Group S.p.A.1 | 544 | 29,213 | ||||||
Sony Corp.1,2 | 7,067 | 198,088 | ||||||
Total Consumer Durables & Apparel | 233,948 | |||||||
Consumer Services—0.5% | ||||||||
Carnival PLC1 | 902 | 46,173 | ||||||
InterContinental Hotels Group PLC1,2 | 113 | 5,009 | ||||||
Restaurant Brands International, Inc. | 242 | 11,534 | ||||||
Total Consumer Services | 62,716 | |||||||
Shares | Value | |||||||
Diversified Financials—3.2% | ||||||||
Brookfield Asset Management, Inc., Class A | 2,188 | $ | 72,226 | |||||
Credit Suisse Group AG1,3 | 3,745 | 53,591 | ||||||
Deutsche Bank AG3 | 4,931 | 89,251 | ||||||
Nomura Holdings, Inc.1 | 5,356 | 31,601 | ||||||
ORIX Corp.1 | 813 | 63,276 | ||||||
Thomson Reuters Corp. | 740 | 32,397 | ||||||
UBS Group AG | 5,087 | 79,713 | ||||||
Total Diversified Financials | 422,055 | |||||||
Energy—28.9% | ||||||||
Amec Foster Wheeler PLC1,2 | 4,040 | 23,068 | ||||||
BP PLC1 | 14,931 | 558,121 | ||||||
Cameco Corp.2 | 545 | 5,706 | ||||||
Canadian Natural Resources Ltd. | 638 | 20,339 | ||||||
Cenovus Energy, Inc. | 1,628 | 24,632 | ||||||
China Petroleum & Chemical Corp.1,2 | 8,991 | 638,541 | ||||||
CNOOC Ltd.1 | 475 | 58,881 | ||||||
Crescent Point Energy Corp. | 335 | 4,553 | ||||||
Ecopetrol SA1,2,3 | 5,116 | 46,300 | ||||||
Enbridge, Inc. | 1,786 | 75,226 | ||||||
Encana Corp. | 740 | 8,688 | ||||||
Eni S.p.A.1,2 | 5,601 | 180,576 | ||||||
Imperial Oil Ltd.2 | 1,396 | 48,525 | ||||||
Pembina Pipeline Corp.2 | 297 | 9,302 | ||||||
PetroChina Co. Ltd.1 | 8,786 | 647,528 | ||||||
Petroleo Brasileiro SA1,3 | 11,449 | 115,749 | ||||||
Royal Dutch Shell PLC, Class A1 | 6,181 | 336,123 | ||||||
Royal Dutch Shell PLC, Class B1,2 | 5,800 | 336,226 | ||||||
Statoil ASA1,2 | 7,368 | 134,392 | ||||||
Suncor Energy, Inc. | 1,727 | 56,456 | ||||||
Tenaris SA1,2 | 410 | 14,641 | ||||||
Total SA1,2 | 7,238 | 368,921 | ||||||
TransCanada Corp. | 566 | 25,555 | ||||||
Ultrapar Participacoes SA1,2 | 3,380 | 70,101 | ||||||
Total Energy | 3,808,150 | |||||||
Food & Staples Retailing—0.3% | ||||||||
Cencosud SA1,2 | 5,051 | 42,428 | ||||||
Food, Beverage & Tobacco—2.6% | ||||||||
Ambev SA1 | 8,206 | 40,291 | ||||||
Anheuser-Busch InBev SA/NV1 | 1,184 | 124,841 | ||||||
BRF SA1 | 1,934 | 28,546 | ||||||
British American Tobacco PLC1,2 | 483 | 54,420 | ||||||
Diageo PLC1,2 | 400 | 41,576 | ||||||
Fomento Economico Mexicano SAB de CV1 | 774 | 58,986 | ||||||
Total Food, Beverage & Tobacco | 348,660 | |||||||
Health Care Equipment & Services—0.5% | ||||||||
Fresenius Medical Care AG & Co. KGaA1,2 | 1,285 | 54,240 | ||||||
Smith & Nephew PLC1 | 459 | 13,807 | ||||||
Total Health Care Equipment & Services | 68,047 | |||||||
Household & Personal Products—1.3% | ||||||||
Unilever NV | 2,107 | 86,513 | ||||||
Unilever PLC1 | 2,083 | 84,778 | ||||||
Total Household & Personal Products | 171,291 |
Shares | Value | |||||||
Insurance—7.8% | ||||||||
Aegon NV2 | 34,315 | $ | 189,762 | |||||
Aviva PLC1,2 | 13,150 | 155,301 | ||||||
China Life Insurance Co. Ltd.1,2 | 17,670 | 227,413 | ||||||
Manulife Financial Corp. | 8,063 | 143,683 | ||||||
Prudential PLC1,2 | 6,234 | 248,051 | ||||||
Sun Life Financial, Inc. | 1,817 | 69,791 | ||||||
Total Insurance | 1,034,001 | |||||||
Materials—7.0% | ||||||||
Agnico Eagle Mines Ltd.2 | 163 | 6,846 | ||||||
Agrium, Inc.2 | 394 | 39,617 | ||||||
ArcelorMittal3 | 20,621 | 150,533 | ||||||
Barrick Gold Corp. | 1,679 | 26,830 | ||||||
BHP Billiton Ltd.1,2 | 2,408 | 86,158 | ||||||
BHP Billiton PLC1 | 2,699 | 84,911 | ||||||
Cemex SAB de CV1,3 | 4,801 | 38,552 | ||||||
CRH PLC1 | 2,531 | 87,016 | ||||||
Eldorado Gold Corp.2,3 | 531 | 1,710 | ||||||
Franco-Nevada Corp.2 | 30 | 1,793 | ||||||
Gerdau SA1,2 | 10,288 | 32,304 | ||||||
Goldcorp, Inc. | 860 | 11,696 | ||||||
James Hardie Industries PLC1,2 | 336 | 5,342 | ||||||
Kinross Gold Corp.3 | 2,979 | 9,265 | ||||||
POSCO1 | 2,365 | 124,281 | ||||||
Potash Corp. of Saskatchewan, Inc. | 668 | 12,084 | ||||||
Randgold Resources Ltd.1 | 46 | 3,512 | ||||||
Rio Tinto PLC1,2 | 2,279 | 87,650 | ||||||
Silver Wheaton Corp.2 | 132 | 2,550 | ||||||
Sociedad Quimica y Minera de Chile SA1 | 177 | 5,071 | ||||||
Southern Copper Corp.2 | 456 | 14,565 | ||||||
Syngenta AG1 | 491 | 38,814 | ||||||
Teck Resources Ltd., Class B | 809 | 16,204 | ||||||
Vale SA1,2 | 4,666 | 35,555 | ||||||
Yamana Gold, Inc.2 | 1,851 | 5,201 | ||||||
Total Materials | 928,060 | |||||||
Media—0.7% | ||||||||
Grupo Televisa SAB1 | 740 | 15,459 | ||||||
Pearson PLC1,2 | 1,460 | 14,585 | ||||||
Shaw Communications, Inc., Class B2 | 524 | 10,512 | ||||||
WPP PLC1 | 473 | 52,342 | ||||||
Total Media | 92,898 | |||||||
Pharmaceuticals, Biotechnology & Life Sciences—4.2% | ||||||||
AstraZeneca PLC1,2 | 2,522 | 68,901 | ||||||
GlaxoSmithKline PLC1,2 | 2,802 | 107,905 | ||||||
Novartis AG1 | 2,026 | 147,574 | ||||||
Novo Nordisk A/S1 | 1,367 | 49,021 | ||||||
QIAGEN NV3 | 129 | 3,615 | ||||||
Sanofi1 | 2,803 | 113,353 | ||||||
Shire PLC1 | 162 | 27,601 | ||||||
Valeant Pharmaceuticals International, Inc.3 | 2,055 | 29,839 | ||||||
Total Pharmaceuticals, Biotechnology & Life Sciences | 547,809 | |||||||
Shares | Value | |||||||
Semiconductors & Semiconductor Equipment—0.9% | ||||||||
ASML Holding NV | 184 | $ | 20,645 | |||||
STMicroelectronics NV2 | 1,830 | 20,771 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd.1 | 2,691 | 77,366 | ||||||
Total Semiconductors & Semiconductor Equipment | 118,782 | |||||||
Software & Services—0.7% | ||||||||
CGI Group, Inc., Class A3 | 485 | 23,295 | ||||||
SAP SE1,2 | 824 | 71,218 | ||||||
Total Software & Services | 94,513 | |||||||
Technology Hardware & Equipment—2.1% | ||||||||
BlackBerry Ltd.3 | 659 | 4,541 | ||||||
Canon, Inc.1,2 | 3,166 | 89,091 | ||||||
Kyocera Corp.1 | 757 | 37,683 | ||||||
Nokia OYJ1,2 | 14,009 | 67,383 | ||||||
Telefonaktiebolaget LM Ericsson1 | 13,838 | 80,676 | ||||||
Total Technology Hardware & Equipment | 279,374 | |||||||
Telecommunication Services—12.6% | ||||||||
America Movil SAB de CV, Class L1 | 12,345 | 155,176 | ||||||
BCE, Inc. | 1,099 | 47,521 | ||||||
BT Group PLC1,2 | 3,796 | 87,422 | ||||||
China Mobile Ltd.1 | 6,042 | 316,782 | ||||||
Chunghwa Telecom Co. Ltd.1 | 649 | 20,476 | ||||||
Nippon Telegraph & Telephone Corp.1 | 7,395 | 311,108 | ||||||
NTT DOCOMO, Inc.1 | 5,344 | 121,576 | ||||||
Orange SA1,2 | 9,014 | 136,472 | ||||||
Rogers Communications, Inc., Class B | 769 | 29,668 | ||||||
Telecom Italia S.p.A.1,2,3 | 3,775 | 33,560 | ||||||
Telecom Italia S.p.A.1,2 | 4,612 | 33,621 | ||||||
Telefonica SA1 | 18,526 | 170,439 | ||||||
TELUS Corp. | 864 | 27,518 | ||||||
Vodafone Group PLC1 | 6,976 | 170,424 | ||||||
Total Telecommunication Services | 1,661,763 | |||||||
Transportation—0.7% | ||||||||
Canadian National Railway Co. | 392 | 26,421 | ||||||
Canadian Pacific Railway Ltd. | 102 | 14,562 | ||||||
Latam Airlines Group SA1,2,3 | 2,973 | 24,319 | ||||||
Ryanair Holdings PLC1,3 | 256 | 21,315 | ||||||
Total Transportation | 86,617 | |||||||
Utilities—2.0% | ||||||||
Cia Energetica de Minas Gerais1 | 7,670 | 17,488 | ||||||
CPFL Energia SA1 | 1,028 | 15,831 | ||||||
Enel Americas SA1 | 2,627 | 21,568 | ||||||
Enel Generacion Chile SA1 | 369 | 7,173 | ||||||
Korea Electric Power Corp.1 | 7,788 | 143,922 | ||||||
National Grid PLC1 | 1,076 | 62,763 | ||||||
Total Utilities | 268,745 | |||||||
Total Common Stocks (Cost $14,100,958) | 12,915,180 |
Shares | Value | |||||||
PREFERRED STOCKS—1.9% | ||||||||
Banks—0.7% | ||||||||
Itau Unibanco Holding SA1 | 8,330 | $ | 85,632 | |||||
Energy—0.9% | ||||||||
Petroleo Brasileiro SA1,3 | 13,811 | 121,675 | ||||||
Materials—0.3% | ||||||||
Vale SA1,2 | 5,322 | 36,669 | ||||||
Total Preferred Stocks (Cost $169,077) | 243,976 | |||||||
INVESTMENT OF CASH COLLATERAL | ||||||||
FOR SECURITIES LOANED—20.7% | ||||||||
Dreyfus Institutional Preferred Money Market Fund—Institutional Shares, 0.67%4 (Cost $2,728,590) | 2,728,590 | 2,728,590 | ||||||
Total Investments—120.5% (Cost $16,998,625) | 15,887,746 | |||||||
Liabilities in Excess of Other Assets—(20.5)% | (2,700,170 | ) | ||||||
Net Assets—100.0% | $ | 13,187,576 |
1 | American Depositary Receipt. |
2 | All or a portion of the security was on loan. The aggregate value of the securities on loan was $2,829,636; total value of the collateral held by the fund was $2,921,857. The total value of the collateral includes non-cash U.S. Treasury securities collateral having a value of $193,267 (Note 4). |
3 | Non-income producing security. |
4 | Rate shown represents annualized 7-day yield as of December 31, 2016. |
Country | Value | % of Net Assets | ||||||
Australia | $ | 213,849 | 1.6 | % | ||||
Belgium | 124,841 | 1.0 | ||||||
Brazil | 688,522 | 5.2 | ||||||
Canada | 1,271,652 | 9.6 | ||||||
Chile | 111,960 | 0.9 | ||||||
China | 1,889,145 | 14.3 | ||||||
Colombia | 57,120 | 0.4 | ||||||
Denmark | 49,021 | 0.4 | ||||||
Finland | 67,383 | 0.5 | ||||||
France | 618,746 | 4.7 | ||||||
Germany | 214,709 | 1.6 | ||||||
Ireland | 113,673 | 0.9 | ||||||
Italy | 276,970 | 2.1 | ||||||
Japan | 2,132,383 | 16.2 | ||||||
Jersey Island | 3,512 | 0.0 | 1 | |||||
Luxembourg | 165,174 | 1.3 | ||||||
Mexico | 268,174 | 2.0 | ||||||
Netherlands | 1,014,900 | 7.7 | ||||||
Norway | 134,392 | 1.0 | ||||||
Peru | 24,194 | 0.2 | ||||||
South Korea | 318,131 | 2.4 | ||||||
Spain | 348,941 | 2.7 | ||||||
Sweden | 80,676 | 0.6 | ||||||
Switzerland | 439,828 | 3.3 | ||||||
Taiwan | 97,842 | 0.7 | ||||||
United Kingdom | 2,293,793 | 17.4 | ||||||
United States | 2,868,215 | 21.8 | ||||||
Total Investments | 15,887,746 | 120.5 | ||||||
Liabilities in Excess of Other Assets | (2,700,170 | ) | (20.5 | ) | ||||
Net Assets | $ | 13,187,576 | 100.0 | % |
1 | Less than 0.05% |
The accompanying notes are an integral part of these financial statements.
Shares | Value | |||||||
COMMON STOCKS—99.8% | ||||||||
Automobiles & Components—9.6% | ||||||||
Ford Motor Co. | 1,347,213 | $ | 16,341,693 | |||||
General Motors Co. | 468,389 | 16,318,673 | ||||||
Total Automobiles & Components | 32,660,366 | |||||||
Banks—0.2% | ||||||||
New York Community Bancorp, Inc.1 | 37,620 | 598,534 | ||||||
Commercial & Professional Services—0.9% | ||||||||
Pitney Bowes, Inc. | 201,834 | 3,065,858 | ||||||
Consumer Durables & Apparel—2.8% | ||||||||
Garmin Ltd. | 55,341 | 2,683,485 | ||||||
Mattel, Inc. | 176,850 | 4,872,218 | ||||||
Tupperware Brands Corp.1 | 37,679 | 1,982,669 | ||||||
Total Consumer Durables & Apparel | 9,538,372 | |||||||
Diversified Financials—0.4% | ||||||||
Waddell & Reed Financial, Inc., Class A | 59,186 | 1,154,719 | ||||||
Energy—9.1% | ||||||||
HollyFrontier Corp. | 303,972 | 9,958,123 | ||||||
Occidental Petroleum Corp. | 126,988 | 9,045,355 | ||||||
ONEOK, Inc. | 129,460 | 7,432,298 | ||||||
Spectra Energy Corp. | 108,929 | 4,475,893 | ||||||
Total Energy | 30,911,669 | |||||||
Food, Beverage & Tobacco—5.2% | ||||||||
Philip Morris International, Inc. | 191,752 | 17,543,391 | ||||||
Insurance—2.5% | ||||||||
Mercury General Corp. | 50,812 | 3,059,391 | ||||||
Old Republic International Corp. | 289,410 | 5,498,790 | ||||||
Total Insurance | 8,558,181 | |||||||
Materials—2.5% | ||||||||
CF Industries Holdings, Inc.1 | 123,114 | 3,875,629 | ||||||
Domtar Corp. | 119,360 | 4,658,621 | ||||||
Total Materials | 8,534,250 | |||||||
Media—0.8% | ||||||||
Time, Inc. | 159,065 | 2,839,310 | ||||||
Pharmaceuticals, Biotechnology & Life Sciences—5.1% | ||||||||
AbbVie, Inc. | 273,969 | 17,155,939 | ||||||
Real Estate—11.5% | ||||||||
Care Capital Properties, Inc. | 13,018 | 325,450 | ||||||
Communications Sales & Leasing, Inc. | 35,248 | 895,652 | ||||||
CoreCivic, Inc. | 67,724 | 1,656,529 | ||||||
Crown Castle International Corp. | 42,263 | 3,667,160 | ||||||
EPR Properties | 6,080 | 436,362 | ||||||
Extra Space Storage, Inc. | 12,409 | 958,471 | ||||||
HCP, Inc. | 83,122 | 2,470,386 | ||||||
Healthcare Realty Trust, Inc. | 12,347 | 374,361 | ||||||
Hospitality Properties Trust | 61,368 | 1,947,820 | ||||||
Host Hotels & Resorts, Inc. | 264,453 | 4,982,295 | ||||||
Iron Mountain, Inc. | 95,782 | 3,110,999 | ||||||
Kimco Realty Corp. | 42,542 | 1,070,357 | ||||||
Lamar Advertising Co., Class A | 20,075 | 1,349,843 | ||||||
LaSalle Hotel Properties | 37,096 | 1,130,315 | ||||||
Shares | Value | |||||||
Liberty Property Trust | 17,904 | $ | 707,208 | |||||
Life Storage, Inc. | 4,410 | 375,997 | ||||||
Macerich Co. (The) | 14,827 | 1,050,345 | ||||||
Medical Properties Trust, Inc.1 | 39,180 | 481,914 | ||||||
National Retail Properties, Inc. | 11,301 | 499,504 | ||||||
Omega Healthcare Investors, Inc.1 | 26,716 | 835,142 | ||||||
Realty Income Corp. | 17,947 | 1,031,594 | ||||||
Senior Housing Properties Trust | 54,951 | 1,040,222 | ||||||
Ventas, Inc. | 51,462 | 3,217,404 | ||||||
Washington Prime Group, Inc. | 76,781 | 799,290 | ||||||
Weingarten Realty Investors | 14,798 | 529,620 | ||||||
Welltower, Inc. | 58,514 | 3,916,342 | ||||||
Total Real Estate | 38,860,582 | |||||||
Retailing—7.0% | ||||||||
GameStop Corp., Class A1 | 331,907 | 8,383,971 | ||||||
Staples, Inc. | 1,699,193 | 15,377,696 | ||||||
Total Retailing | 23,761,667 | |||||||
Technology Hardware & Equipment—2.9% | ||||||||
Seagate Technology PLC1 | 259,815 | 9,917,139 | ||||||
Telecommunication Services—17.1% | ||||||||
AT&T, Inc. | 409,081 | 17,398,215 | ||||||
CenturyLink, Inc.1 | 674,009 | �� | 16,027,934 | |||||
Frontier Communications Corp.1 | 2,047,398 | 6,920,205 | ||||||
Verizon Communications, Inc. | 326,121 | 17,408,339 | ||||||
Total Telecommunication Services | 57,754,693 | |||||||
Utilities—22.2% | ||||||||
CenterPoint Energy, Inc. | 274,924 | 6,774,128 | ||||||
Duke Energy Corp. | 223,673 | 17,361,498 | ||||||
Entergy Corp. | 136,104 | 9,999,561 | ||||||
FirstEnergy Corp. | 415,790 | 12,877,016 | ||||||
Great Plains Energy, Inc. | 88,648 | 2,424,523 | ||||||
Hawaiian Electric Industries, Inc.1 | 66,004 | 2,182,752 | ||||||
PPL Corp. | 198,883 | 6,771,966 | ||||||
Southern Co. (The) | 344,815 | 16,961,450 | ||||||
Total Utilities | 75,352,894 | |||||||
Total Common Stocks (Cost $332,513,062) | 338,207,564 | |||||||
INVESTMENT OF CASH COLLATERAL | ||||||||
FOR SECURITIES LOANED—6.8% | ||||||||
Dreyfus Institutional Preferred Money Market Fund—Institutional Shares, 0.67%2 (Cost $23,048,421) | 23,048,421 | 23,048,421 | ||||||
Total Investments—106.6% (Cost $355,561,483) | 361,255,985 | |||||||
Liabilities in Excess of Other Assets—(6.6)% | (22,320,557 | ) | ||||||
Net Assets—100.0% | $ | 338,935,428 |
1 | All or a portion of the security was on loan. The aggregate value of the securities on loan was $29,525,912; total value of the collateral held by the fund was $30,406,075. The total value of the collateral includes non-cash U.S. Treasury securities collateral having a value of $7,357,654 (Note 4). |
2 | Rate shown represents annualized 7-day yield as of December 31, 2016. |
The accompanying notes are an integral part of these financial statements.
Shares | Value | |||||||
COMMON STOCKS—97.2% | ||||||||
Automobiles & Components—5.3% | ||||||||
Honda Motor Co. Ltd. | 922 | $ | 26,996 | |||||
Magna International, Inc. | 537 | 23,345 | ||||||
Nissan Motor Co. Ltd. | 2,319 | 23,372 | ||||||
Toyota Motor Corp. | 896 | 52,837 | ||||||
Total Automobiles & Components | 126,550 | |||||||
Banks—8.3% | ||||||||
Banco BPI SA1 | 3,820 | 4,557 | ||||||
Banco do Brasil SA | 1,984 | 17,123 | ||||||
Bank Hapoalim B.M. | 2,732 | 16,263 | ||||||
Bank Leumi Le-Israel B.M.1 | 3,525 | 14,526 | ||||||
BBVA Banco Continental SA | 10,066 | 12,009 | ||||||
CIMB Group Holdings Bhd | 12,930 | 12,999 | ||||||
Credicorp Ltd. | 264 | 41,675 | ||||||
ING Groep NV | 982 | 13,848 | ||||||
Intercorp Financial Services, Inc. | 324 | 10,368 | ||||||
Itau Unibanco Holding SA | 1,631 | 15,034 | ||||||
Malayan Banking Bhd | 11,043 | 20,186 | ||||||
Royal Bank of Canada | 274 | 18,566 | ||||||
Total Banks | 197,154 | |||||||
Capital Goods—6.9% | ||||||||
Elbit Systems Ltd. | 143 | 14,491 | ||||||
Ellaktor SA1 | 10,305 | 11,847 | ||||||
Ferreycorp SAA | 34,512 | 17,396 | ||||||
GEK Terna Holding Real Estate Construction SA1 | 3,829 | 9,208 | ||||||
Grana y Montero SAA | 17,013 | 23,849 | ||||||
Koninklijke Philips NV | 736 | 22,512 | ||||||
Mota-Engil SGPS SA | 5,095 | 8,652 | ||||||
Mytilineos Holdings SA1 | 1,596 | 10,353 | ||||||
Sime Darby Bhd | 25,244 | 45,581 | ||||||
Total Capital Goods | 163,889 | |||||||
Commercial & Professional Services—0.8% | ||||||||
Randstad Holding NV | 332 | 18,045 | ||||||
Consumer Durables & Apparel—0.6% | ||||||||
Sony Corp. | 535 | 15,022 | ||||||
Consumer Services—0.8% | ||||||||
Genting Bhd | 10,866 | 19,378 | ||||||
Diversified Financials—0.6% | ||||||||
Fubon Financial Holding Co. Ltd. | 8,398 | 13,289 | ||||||
Energy—13.6% | ||||||||
Aegean Marine Petroleum Network, Inc. | 2,471 | 25,081 | ||||||
Enbridge, Inc. | 415 | 17,484 | ||||||
Formosa Petrochemical Corp. | 3,288 | 11,426 | ||||||
Galp Energia SGPS SA | 3,663 | 54,824 | ||||||
Hellenic Petroleum SA1 | 10,850 | 50,583 | ||||||
JX Holdings, Inc. | 3,623 | 15,367 | ||||||
Motor Oil Hellas Corinth Refineries SA | 3,254 | 44,961 | ||||||
Oil Refineries Ltd.1 | 46,289 | 16,297 | ||||||
Petroleo Brasileiro SA1 | 7,881 | 41,019 | ||||||
Petronas Dagangan Bhd | 4,280 | 22,707 | ||||||
Ultrapar Participacoes SA | 1,133 | 23,828 | ||||||
Total Energy | 323,577 | |||||||
Shares | Value | |||||||
Food & Staples Retailing—9.6% | ||||||||
AEON Co. Ltd. | 1,099 | $ | 15,604 | |||||
Alimentation Couche-Tard, Inc., Class B | 481 | 21,836 | ||||||
George Weston Ltd. | 271 | 22,954 | ||||||
InRetail Peru Corp.1,2 | 1,309 | 25,368 | ||||||
Jeronimo Martins SGPS SA | 3,827 | 59,499 | ||||||
Koninklijke Ahold Delhaize NV | 1,679 | 35,472 | ||||||
Loblaw Cos. Ltd. | 449 | 23,718 | ||||||
Sonae SGPS SA1 | 26,445 | 24,378 | ||||||
Total Food & Staples Retailing | 228,829 | |||||||
Food, Beverage & Tobacco—5.6% | ||||||||
Alicorp SAA | 11,311 | 24,627 | ||||||
Ambev SA | 2,693 | 13,570 | ||||||
Felda Global Ventures Holdings Bhd | 42,412 | 14,654 | ||||||
Heineken NV | 135 | 10,147 | ||||||
JBS SA | 14,973 | 52,445 | ||||||
Kuala Lumpur Kepong Bhd | 3,216 | 17,205 | ||||||
Total Food, Beverage & Tobacco | 132,648 | |||||||
Household & Personal Products—2.0% | ||||||||
Unilever NV | 1,159 | 47,816 | ||||||
Insurance—11.9% | ||||||||
Aegon NV | 9,391 | 51,784 | ||||||
Cathay Financial Holding Co. Ltd. | 11,869 | 17,751 | ||||||
Delta Lloyd NV | 2,124 | 11,912 | ||||||
Great-West Lifeco, Inc. | 895 | 23,472 | ||||||
Harel Insurance Investments & Financial Services Ltd. | 3,465 | 15,935 | ||||||
Japan Post Holdings Co. Ltd. | 2,046 | 25,594 | ||||||
Manulife Financial Corp. | 1,863 | 33,216 | ||||||
Migdal Insurance & Financial Holding Ltd.1 | 23,059 | 18,873 | ||||||
NN Group NV | 586 | 19,899 | ||||||
Phoenix Holdings Ltd. (The)1 | 4,103 | 14,232 | ||||||
Power Corp. of Canada | 1,147 | 25,702 | ||||||
Power Financial Corp.3 | 988 | 24,725 | ||||||
Total Insurance | 283,095 | |||||||
Materials—7.3% | ||||||||
Akzo Nobel NV | 213 | 13,343 | ||||||
Cia de Minas Buenaventura SAA4 | 1,216 | 13,717 | ||||||
Israel Chemicals Ltd. | 5,624 | 23,088 | ||||||
Israel Corp. Ltd. (The)1 | 152 | 25,276 | ||||||
Navigator Co. SA (The) | 1,938 | 6,674 | ||||||
Semapa-Sociedade de Investimento e Gestao | 645 | 9,116 | ||||||
Southern Copper Corp. | 1,954 | 62,411 | ||||||
Titan Cement Co. SA | 490 | 11,525 | ||||||
Volcan Cia Minera SAA | 41,136 | 8,834 | ||||||
Total Materials | 173,984 | |||||||
Media—0.3% | ||||||||
NOS SGPS SA | 1,058 | 6,292 | ||||||
Pharmaceuticals, Biotechnology & Life Sciences—3.5% | ||||||||
Teva Pharmaceutical Industries Ltd. | 2,279 | 81,895 | ||||||
Retailing—0.4% | ||||||||
FF Group1 | 494 | 10,020 |
Shares | Value | |||||||
Semiconductors & Semiconductor Equipment—0.8% | ||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 3,189 | $ | 17,959 | |||||
Technology Hardware & Equipment—8.1% | ||||||||
Compal Electronics, Inc. | 27,113 | 15,521 | ||||||
Hitachi Ltd. | 3,416 | 18,510 | ||||||
Hon Hai Precision Industry Co. Ltd. | 34,670 | 90,577 | ||||||
Pegatron Corp. | 10,477 | 25,031 | ||||||
Quanta Computer, Inc. | 10,047 | 18,798 | ||||||
Wistron Corp. | 16,948 | 13,120 | ||||||
WPG Holdings Ltd. | 8,926 | 10,525 | ||||||
Total Technology Hardware & Equipment | 192,082 | |||||||
Telecommunication Services—3.9% | ||||||||
Axiata Group Bhd | 20,713 | 21,794 | ||||||
Hellenic Telecommunications Organization SA | 3,190 | 30,046 | ||||||
Nippon Telegraph & Telephone Corp. | 554 | 23,331 | ||||||
SoftBank Group Corp. | 270 | 17,975 | ||||||
Total Telecommunication Services | 93,146 | |||||||
Utilities—6.9% | ||||||||
EDP—Energias de Portugal SA | 20,069 | 61,260 | ||||||
EDP Renovaveis SA | 1,002 | 6,379 | ||||||
Public Power Corp. SA1 | 12,256 | 37,359 | ||||||
Tenaga Nasional Bhd | 14,785 | 45,812 | ||||||
YTL Corp Bhd | 41,035 | 14,178 | ||||||
Total Utilities | 164,988 | |||||||
Total Common Stocks (Cost $2,252,564) | 2,309,658 | |||||||
PREFERRED STOCKS—3.9% | ||||||||
Banks—0.6% | ||||||||
Itau Unibanco Holding SA | 1,433 | 14,904 | ||||||
Energy—1.8% | ||||||||
Petroleo Brasileiro SA1 | 9,194 | 42,005 | ||||||
Food & Staples Retailing—0.8% | ||||||||
Cia Brasileira de Distribuicao | 1,124 | 18,908 | ||||||
Insurance—0.1% | ||||||||
Cathay Financial Holding Co. Ltd.1 | 702 | 1,307 | ||||||
Materials—0.6% | ||||||||
Braskem SA, Class A | 1,384 | 14,564 | ||||||
Total Preferred Stocks (Cost $86,192) | 91,688 | |||||||
Shares | Value | |||||||
INVESTMENT OF CASH COLLATERAL | ||||||||
FOR SECURITIES LOANED—1.0% | ||||||||
Dreyfus Institutional Preferred Money Market Fund-Institutional Shares, 0.67%5 (Cost $24,498) | 24,498 | $ | 24,498 | |||||
Total Investments—102.1% (Cost $2,363,254) | 2,425,844 | |||||||
Liabilities in Excess of Other Assets—(2.1)% | (49,337 | ) | ||||||
Net Assets—100.0% | $ | 2,376,507 |
1 | Non-income producing security. |
2 | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. |
3 | All or a portion of the security was on loan. The aggregate value of the security on loan was $23,399; total value of the collateral held by the fund was $24,498 (Note 4). |
4 | American Depositary Receipt. |
5 | Rate shown represents annualized 7-day yield as of December 31, 2016. |
Country | Value | % of Net Assets | ||||||
Brazil | $ | 253,399 | 10.7 | % | ||||
Canada | 235,019 | 9.9 | ||||||
Greece | 240,983 | 10.1 | ||||||
Israel | 240,878 | 10.1 | ||||||
Japan | 234,608 | 9.9 | ||||||
Malaysia | 234,494 | 9.9 | ||||||
Netherlands | 196,962 | 8.3 | ||||||
Peru | 240,253 | 10.1 | ||||||
Portugal | 235,251 | 9.9 | ||||||
Spain | 6,379 | 0.3 | ||||||
Taiwan | 235,304 | 9.9 | ||||||
United Kingdom | 47,816 | 2.0 | ||||||
United States | 24,498 | 1.0 | ||||||
Total Investments | 2,425,844 | 102.1 | ||||||
Liabilities in Excess of Other Assets | (49,337 | ) | (2.1 | ) | ||||
Net Assets | $ | 2,376,507 | 100.0 | % |
The accompanying notes are an integral part of these financial statements.
Shares | Value | |||||||
COMMON STOCKS—99.9% | ||||||||
Automobiles & Components—3.9% | ||||||||
BorgWarner, Inc. | 1,024 | $ | 40,387 | |||||
Delphi Automotive PLC | 1,063 | 71,593 | ||||||
Ford Motor Co. | 54,747 | 664,081 | ||||||
Goodyear Tire & Rubber Co. (The) | 2,151 | 66,401 | ||||||
Total Automobiles & Components | 842,462 | |||||||
Banks—2.1% | ||||||||
Bank of America Corp. | 15,842 | 350,108 | ||||||
Comerica, Inc. | 170 | 11,579 | ||||||
U.S. Bancorp | 1,668 | 85,685 | ||||||
Total Banks | 447,372 | |||||||
Capital Goods—10.9% | ||||||||
3M Co. | 768 | 137,142 | ||||||
Arconic, Inc. | 4,497 | 83,374 | ||||||
Cummins, Inc. | 592 | 80,909 | ||||||
Deere & Co. | 1,198 | 123,442 | ||||||
Dover Corp. | 400 | 29,972 | ||||||
Eaton Corp. PLC | 1,328 | 89,096 | ||||||
Emerson Electric Co. | 1,498 | 83,513 | ||||||
Fastenal Co. | 367 | 17,242 | ||||||
Flowserve Corp. | 384 | 18,451 | ||||||
Fluor Corp. | 1,488 | 78,150 | ||||||
General Electric Co. | 16,155 | 510,498 | ||||||
Illinois Tool Works, Inc. | 489 | 59,883 | ||||||
Ingersoll-Rand PLC | 782 | 58,681 | ||||||
Lockheed Martin Corp. | 826 | 206,450 | ||||||
Northrop Grumman Corp. | 468 | 108,847 | ||||||
Parker-Hannifin Corp. | 361 | 50,540 | ||||||
Raytheon Co. | 772 | 109,624 | ||||||
Rockwell Automation, Inc. | 201 | 27,014 | ||||||
Rockwell Collins, Inc. | 256 | 23,747 | ||||||
Stanley Black & Decker, Inc. | 430 | 49,317 | ||||||
Textron, Inc. | 1,292 | 62,740 | ||||||
United Technologies Corp. | 2,347 | 257,278 | ||||||
W.W. Grainger, Inc.1 | 202 | 46,914 | ||||||
Xylem, Inc. | 327 | 16,193 | ||||||
Total Capital Goods | 2,329,017 | |||||||
Commercial & Professional Services—0.5% | ||||||||
Nielsen Holdings PLC | 656 | 27,519 | ||||||
Pitney Bowes, Inc. | 855 | 12,988 | ||||||
Waste Management, Inc. | 862 | 61,124 | ||||||
Total Commercial & Professional Services | 101,631 | |||||||
Consumer Durables & Apparel—1.8% | ||||||||
Coach, Inc. | 536 | 18,771 | ||||||
Harman International Industries, Inc. | 289 | 32,125 | ||||||
Hasbro, Inc. | 257 | 19,992 | ||||||
Mohawk Industries, Inc.2 | 196 | 39,137 | ||||||
Newell Brands, Inc. | 1,033 | 46,124 | ||||||
NIKE, Inc., Class B | 2,874 | 146,085 | ||||||
PVH Corp. | 366 | 33,028 | ||||||
VF Corp. | 997 | 53,190 | ||||||
Total Consumer Durables & Apparel | 388,452 | |||||||
Shares | Value | |||||||
Consumer Services—0.9% | ||||||||
Darden Restaurants, Inc. | 410 | $ | 29,815 | |||||
Marriott International, Inc., Class A | 160 | 13,229 | ||||||
Royal Caribbean Cruises Ltd. | 446 | 36,590 | ||||||
Starbucks Corp. | 1,599 | 88,776 | ||||||
Wyndham Worldwide Corp. | 326 | 24,897 | ||||||
Total Consumer Services | 193,307 | |||||||
Diversified Financials—2.4% | ||||||||
Bank of New York Mellon Corp. (The) | 1,409 | 66,758 | ||||||
BlackRock, Inc. | 128 | 48,709 | ||||||
Goldman Sachs Group, Inc. (The) | 559 | 133,853 | ||||||
Morgan Stanley | 3,508 | 148,213 | ||||||
Northern Trust Corp. | 249 | 22,174 | ||||||
S&P Global, Inc. | 221 | 23,766 | ||||||
State Street Corp. | 579 | 45,000 | ||||||
T. Rowe Price Group, Inc. | 246 | 18,514 | ||||||
Total Diversified Financials | 506,987 | |||||||
Energy—4.6% | ||||||||
Baker Hughes, Inc. | 753 | 48,922 | ||||||
ConocoPhillips | 2,021 | 101,333 | ||||||
Devon Energy Corp. | 980 | 44,757 | ||||||
EQT Corp. | 112 | 7,325 | ||||||
Halliburton Co. | 1,427 | 77,186 | ||||||
Hess Corp. | 334 | 20,805 | ||||||
Kinder Morgan, Inc. | 2,731 | 56,559 | ||||||
Marathon Oil Corp. | 858 | 14,852 | ||||||
Marathon Petroleum Corp. | 5,062 | 254,872 | ||||||
Newfield Exploration Co.2 | 139 | 5,629 | ||||||
Noble Energy, Inc. | 352 | 13,397 | ||||||
Occidental Petroleum Corp. | 642 | 45,730 | ||||||
ONEOK, Inc. | 644 | 36,972 | ||||||
Schlumberger Ltd. | 1,506 | 126,429 | ||||||
Spectra Energy Corp. | 547 | 22,476 | ||||||
Tesoro Corp. | 1,195 | 104,503 | ||||||
Total Energy | 981,747 | |||||||
Food & Staples Retailing—7.3% | ||||||||
CVS Health Corp. | 9,861 | 778,132 | ||||||
Kroger Co. (The) | 14,597 | 503,742 | ||||||
Sysco Corp. | 4,045 | 223,972 | ||||||
Whole Foods Market, Inc. | 2,083 | 64,073 | ||||||
Total Food & Staples Retailing | 1,569,919 | |||||||
Food, Beverage & Tobacco—5.7% | ||||||||
Altria Group, Inc. | 1,321 | 89,326 | ||||||
Brown-Forman Corp., Class B | 307 | 13,790 | ||||||
Campbell Soup Co. | 607 | 36,705 | ||||||
Coca-Cola Co. (The) | 4,476 | 185,575 | ||||||
Conagra Brands, Inc. | 1,375 | 54,381 | ||||||
Dr Pepper Snapple Group, Inc. | 322 | 29,196 | ||||||
General Mills, Inc. | 1,166 | 72,024 | ||||||
Hershey Co. (The) | 330 | 34,132 | ||||||
Hormel Foods Corp. | 1,220 | 42,468 | ||||||
J.M. Smucker Co. (The) | 270 | 34,576 | ||||||
Kellogg Co. | 810 | 59,705 | ||||||
McCormick & Co., Inc. | 215 | 20,066 |
Shares | Value | |||||||
Food, Beverage & Tobacco (continued) | ||||||||
Molson Coors Brewing Co., Class B | 157 | $ | 15,278 | |||||
Mondelez International, Inc., Class A | 2,791 | 123,725 | ||||||
PepsiCo, Inc. | 2,670 | 279,362 | ||||||
Philip Morris International, Inc. | 1,297 | 118,663 | ||||||
Total Food, Beverage & Tobacco | 1,208,972 | |||||||
Health Care Equipment & Services—7.6% | ||||||||
Abbott Laboratories | 2,405 | 92,376 | ||||||
Baxter International, Inc. | 1,013 | 44,916 | ||||||
Becton Dickinson and Co. | 336 | 55,625 | ||||||
Boston Scientific Corp.2 | 1,570 | 33,959 | ||||||
Cigna Corp. | 1,328 | 177,142 | ||||||
Edwards Lifesciences Corp.2 | 144 | 13,493 | ||||||
Humana, Inc. | 1,205 | 245,856 | ||||||
Medtronic PLC | 1,767 | 125,863 | ||||||
UnitedHealth Group, Inc. | 5,102 | 816,524 | ||||||
Varian Medical Systems, Inc.2 | 161 | 14,455 | ||||||
Total Health Care Equipment & Services | 1,620,209 | |||||||
Household & Personal Products—2.5% | ||||||||
Church & Dwight Co., Inc. | 349 | 15,422 | ||||||
Clorox Co. (The) | 226 | 27,125 | ||||||
Colgate-Palmolive Co. | 1,051 | 68,777 | ||||||
Estee Lauder Cos., Inc., (The), Class A | 653 | 49,948 | ||||||
Kimberly-Clark Corp. | 716 | 81,710 | ||||||
Procter & Gamble Co. (The) | 3,489 | 293,355 | ||||||
Total Household & Personal Products | 536,337 | |||||||
Insurance—2.6% | ||||||||
Allstate Corp. (The) | 2,232 | 165,436 | ||||||
Marsh & McLennan Cos., Inc. | 867 | 58,601 | ||||||
Principal Financial Group, Inc. | 897 | 51,900 | ||||||
Prudential Financial, Inc. | 2,692 | 280,129 | ||||||
Total Insurance | 556,066 | |||||||
Materials—3.7% | ||||||||
Air Products & Chemicals, Inc. | 290 | 41,708 | ||||||
Albemarle Corp. | 146 | 12,568 | ||||||
Avery Dennison Corp. | 373 | 26,192 | ||||||
Ball Corp. | 505 | 37,910 | ||||||
Eastman Chemical Co. | 539 | 40,538 | ||||||
Ecolab, Inc. | 492 | 57,672 | ||||||
FMC Corp. | 261 | 14,762 | ||||||
International Flavors & Fragrances, Inc. | 117 | 13,786 | ||||||
International Paper Co. | 1,801 | 95,561 | ||||||
LyondellBasell Industries NV, Class A | 1,459 | 125,153 | ||||||
Mosaic Co. (The)1 | 995 | 29,183 | ||||||
Newmont Mining Corp. | 958 | 32,639 | ||||||
PPG Industries, Inc. | 698 | 66,143 | ||||||
Praxair, Inc. | 386 | 45,235 | ||||||
Sealed Air Corp. | 640 | 29,018 | ||||||
Sherwin-Williams Co. (The) | 198 | 53,211 | ||||||
WestRock Co. | 1,271 | 64,529 | ||||||
Total Materials | 785,808 | |||||||
Shares | Value | |||||||
Media—3.6% | ||||||||
Comcast Corp., Class A | 5,062 | $ | 349,531 | |||||
Interpublic Group of Cos., Inc. (The) | 1,455 | 34,061 | ||||||
Time Warner, Inc. | 1,358 | 131,088 | ||||||
Walt Disney Co. (The) | 2,427 | 252,942 | ||||||
Total Media | 767,622 | |||||||
Pharmaceuticals, Biotechnology & Life Sciences—2.8% | ||||||||
AbbVie, Inc. | 1,845 | 115,534 | ||||||
Agilent Technologies, Inc. | 403 | 18,361 | ||||||
Biogen, Inc.2 | 180 | 51,044 | ||||||
Bristol-Myers Squibb Co. | 1,423 | 83,160 | ||||||
Eli Lilly & Co. | 1,388 | 102,087 | ||||||
Pfizer, Inc. | 7,301 | 237,137 | ||||||
Total Pharmaceuticals, Biotechnology & Life Sciences | 607,323 | |||||||
Real Estate—1.2% | ||||||||
American Tower Corp. | 234 | 24,729 | ||||||
AvalonBay Communities, Inc. | 58 | 10,275 | ||||||
Boston Properties, Inc. | 92 | 11,572 | ||||||
CBRE Group, Inc., Class A2 | 1,834 | 57,752 | ||||||
Crown Castle International Corp. | 200 | 17,354 | ||||||
Digital Realty Trust, Inc. | 99 | 9,728 | ||||||
HCP, Inc. | 258 | 7,668 | ||||||
Host Hotels & Resorts, Inc. | 1,152 | 21,704 | ||||||
Iron Mountain, Inc. | 465 | 15,103 | ||||||
Kimco Realty Corp. | 58 | 1,459 | ||||||
Prologis, Inc. | 239 | 12,617 | ||||||
Ventas, Inc. | 251 | 15,692 | ||||||
Vornado Realty Trust | 110 | 11,481 | ||||||
Welltower, Inc. | 289 | 19,343 | ||||||
Weyerhaeuser Co. | 935 | 28,134 | ||||||
Total Real Estate | 264,611 | |||||||
Retailing—5.6% | ||||||||
Bed Bath & Beyond, Inc. | 1,152 | 46,817 | ||||||
Best Buy Co., Inc. | 3,686 | 157,282 | ||||||
Gap, Inc. (The) | 2,757 | 61,867 | ||||||
Home Depot, Inc. (The) | 3,052 | 409,212 | ||||||
Kohl’s Corp. | 1,540 | 76,045 | ||||||
L Brands, Inc. | 773 | 50,894 | ||||||
Macy’s, Inc. | 2,961 | 106,033 | ||||||
Nordstrom, Inc. | 1,136 | 54,449 | ||||||
Staples, Inc. | 9,254 | 83,749 | ||||||
Tiffany & Co.1 | 214 | 16,570 | ||||||
TJX Cos., Inc. (The) | 1,874 | 140,794 | ||||||
Total Retailing | 1,203,712 | |||||||
Semiconductors & Semiconductor Equipment—3.0% | ||||||||
Analog Devices, Inc. | 211 | 15,323 | ||||||
Applied Materials, Inc. | 1,238 | 39,950 | ||||||
First Solar, Inc.1,2 | 472 | 15,146 | ||||||
Intel Corp. | 7,038 | 255,268 | ||||||
KLA-Tencor Corp. | 176 | 13,848 | ||||||
Lam Research Corp. | 256 | 27,067 | ||||||
Micron Technology, Inc.2 | 2,642 | 57,913 | ||||||
NVIDIA Corp. | 254 | 27,112 | ||||||
QUALCOMM, Inc. | 1,571 | 102,429 | ||||||
Skyworks Solutions, Inc. | 205 | 15,305 |
Shares | Value | |||||||
Semiconductors & Semiconductor Equipment (continued) | ||||||||
Texas Instruments, Inc. | 817 | $ | 59,617 | |||||
Xilinx, Inc. | 176 | 10,625 | ||||||
Total Semiconductors & Semiconductor Equipment | 639,603 | |||||||
Software & Services—8.3% | ||||||||
Accenture PLC, Class A | 1,199 | 140,439 | ||||||
Adobe Systems, Inc.2 | 237 | 24,399 | ||||||
Alphabet, Inc., Class A2 | 236 | 187,018 | ||||||
Alphabet, Inc., Class C2 | 242 | 186,781 | ||||||
Autodesk, Inc.2 | 138 | 10,213 | ||||||
CA, Inc. | 565 | 17,950 | ||||||
Cognizant Technology Solutions Corp., Class A2 | 1,060 | 59,392 | ||||||
eBay, Inc.2 | 1,346 | 39,963 | ||||||
International Business Machines Corp. | 2,146 | 356,215 | ||||||
Intuit, Inc. | 176 | 20,171 | ||||||
Microsoft Corp. | 6,142 | 381,664 | ||||||
Oracle Corp. | 4,102 | 157,722 | ||||||
salesforce.com, Inc.2 | 472 | 32,313 | ||||||
Symantec Corp. | 665 | 15,887 | ||||||
Teradata Corp.2 | 381 | 10,352 | ||||||
Visa, Inc., Class A | 859 | 67,019 | ||||||
Xerox Corp. | 8,632 | 75,357 | ||||||
Total Software & Services | 1,782,855 | |||||||
Technology Hardware & Equipment—3.2% | ||||||||
Cisco Systems, Inc. | 7,139 | 215,741 | ||||||
HP, Inc. | 17,745 | 263,336 | ||||||
Juniper Networks, Inc. | 782 | 22,099 | ||||||
NetApp, Inc. | 685 | 24,160 | ||||||
Seagate Technology PLC | 1,267 | 48,361 | ||||||
TE Connectivity Ltd. | 781 | 54,108 | ||||||
Western Digital Corp. | 954 | 64,824 | ||||||
Total Technology Hardware & Equipment | 692,629 | |||||||
Telecommunication Services—6.4% | ||||||||
AT&T, Inc. | 17,997 | 765,412 | ||||||
Verizon Communications, Inc. | 11,168 | 596,148 | ||||||
Total Telecommunication Services | 1,361,560 | |||||||
Transportation—4.5% | ||||||||
CSX Corp. | 1,336 | 48,003 | ||||||
Delta Air Lines, Inc. | 3,591 | 176,641 | ||||||
FedEx Corp. | 1,202 | 223,812 | ||||||
Norfolk Southern Corp. | 416 | 44,957 | ||||||
Ryder System, Inc. | 379 | 28,213 | ||||||
Southwest Airlines Co. | 1,859 | 92,653 | ||||||
Union Pacific Corp. | 876 | 90,824 | ||||||
United Parcel Service, Inc., Class B | 2,308 | 264,589 | ||||||
Total Transportation | 969,692 | |||||||
Shares | Value | |||||||
Utilities—4.8% | ||||||||
AES Corp. | 5,075 | $ | 58,971 | |||||
Alliant Energy Corp. | 401 | 15,194 | ||||||
Ameren Corp. | 517 | 27,122 | ||||||
American Electric Power Co., Inc. | 1,243 | 78,259 | ||||||
American Water Works Co., Inc. | 205 | 14,834 | ||||||
CMS Energy Corp. | 692 | 28,801 | ||||||
Consolidated Edison, Inc. | 764 | 56,292 | ||||||
Dominion Resources, Inc. | 681 | 52,158 | ||||||
DTE Energy Co. | 476 | 46,891 | ||||||
Edison International | 733 | 52,769 | ||||||
Entergy Corp. | 673 | 49,445 | ||||||
Eversource Energy | 641 | 35,402 | ||||||
Exelon Corp. | 3,878 | 137,630 | ||||||
NextEra Energy, Inc. | 642 | 76,693 | ||||||
NiSource, Inc. | 726 | 16,074 | ||||||
NRG Energy, Inc. | 4,638 | 56,862 | ||||||
Pinnacle West Capital Corp. | 207 | 16,152 | ||||||
Public Service Enterprise Group, Inc. | 976 | 42,827 | ||||||
Southern Co. (The) | 1,700 | 83,623 | ||||||
WEC Energy Group, Inc. | 582 | 34,134 | ||||||
Xcel Energy, Inc. | 1,233 | 50,183 | ||||||
Total Utilities | 1,030,316 | |||||||
Total Common Stocks (Cost $20,197,028) | 21,388,209 | |||||||
INVESTMENT OF CASH COLLATERAL | ||||||||
FOR SECURITIES LOANED—0.1% | ||||||||
Dreyfus Institutional Preferred Money Market Fund—Institutional Shares, 0.67%3 (Cost $31,873) | 31,873 | 31,873 | ||||||
Total Investments—100.0% (Cost $20,228,901) | 21,420,082 | |||||||
Liabilities in Excess of Other Assets—(0.0)%4 | (6,617 | ) | ||||||
Net Assets—100.0% | $ | 21,413,465 |
1 | All or a portion of the security was on loan. The aggregate value of the securities on loan was $103,855; total value of the collateral held by the fund was $106,480. The total value of the collateral includes non-cash U.S. Treasury securities collateral having a value of $74,607. (Note 4) |
2 | Non-income producing security. |
3 | Rate shown represents annualized 7-day yield as of December 31, 2016. |
4 | Less than 0.05% |
The accompanying notes are an integral part of these financial statements.
Shares | Value | |||||||
COMMON STOCKS—98.7% | ||||||||
Automobiles & Components—2.2% | ||||||||
Aisin Seiki Co. Ltd. | 1,960 | $ | 85,199 | |||||
Astra International Tbk PT | 60,369 | 37,080 | ||||||
BYD Co. Ltd., Class H | 2,151 | 11,333 | ||||||
Cie Generale des Etablissements Michelin | 570 | 63,548 | ||||||
Fuji Heavy Industries Ltd. | 1,929 | 78,923 | ||||||
Geely Automobile Holdings Ltd. | 13,005 | 12,430 | ||||||
Guangzhou Automobile Group Co. Ltd., Class H | 4,165 | 5,039 | ||||||
Hankook Tire Co. Ltd.1 | 336 | 16,135 | ||||||
Stanley Electric Co. Ltd. | 362 | 9,916 | ||||||
Toyoda Gosei Co. Ltd. | 854 | 20,018 | ||||||
Valeo SA | 802 | 46,195 | ||||||
Total Automobiles & Components | 385,816 | |||||||
Capital Goods—19.3% | ||||||||
3M Co. | 431 | 76,964 | ||||||
ABB Ltd.1 | 4,634 | 97,937 | ||||||
Aboitiz Equity Ventures, Inc. | 3,913 | 5,573 | ||||||
Acuity Brands, Inc. | 33 | 7,618 | ||||||
AGCO Corp. | 352 | 20,367 | ||||||
Amada Holdings Co. Ltd. | 682 | 7,631 | ||||||
Asahi Glass Co. Ltd. | 4,952 | 33,796 | ||||||
Ashtead Group PLC | 409 | 7,985 | ||||||
Atlas Copco AB, Class A | 645 | 19,702 | ||||||
Atlas Copco AB, Class B | 336 | 9,195 | ||||||
Bidvest Group Ltd. (The) | 1,159 | 15,361 | ||||||
CAE, Inc. | 328 | 4,593 | ||||||
Caterpillar, Inc. | 1,160 | 107,578 | ||||||
CNH Industrial NV | 8,381 | 72,831 | ||||||
Cummins, Inc. | 345 | 47,151 | ||||||
Daikin Industries Ltd. | 529 | 48,689 | ||||||
DCC PLC | 441 | 32,913 | ||||||
Deere & Co. | 744 | 76,662 | ||||||
Doosan Heavy Industries & Construction Co. Ltd.1 | 1,451 | 32,677 | ||||||
Eaton Corp. PLC | 806 | 54,075 | ||||||
Eiffage SA | 593 | 41,437 | ||||||
Fastenal Co. | 202 | 9,490 | ||||||
Finning International, Inc. | 579 | 11,351 | ||||||
Fluor Corp. | 900 | 47,268 | ||||||
Fortune Brands Home & Security, Inc. | 174 | 9,302 | ||||||
Fuji Electric Co. Ltd. | 3,984 | 20,700 | ||||||
Geberit AG | 19 | 7,631 | ||||||
General Electric Co. | 9,629 | 304,276 | ||||||
GS Engineering & Construction Corp.1 | 1,092 | 23,959 | ||||||
HAP Seng Consolidated Bhd | 1,492 | 2,947 | ||||||
Hitachi Construction Machinery Co. Ltd. | 862 | 18,706 | ||||||
HOCHTIEF AG | 394 | 55,292 | ||||||
Honeywell International, Inc. | 889 | 102,991 | ||||||
Hoshizaki Corp. | 48 | 3,807 | ||||||
Huntington Ingalls Industries, Inc. | 104 | 19,156 | ||||||
Hyundai Heavy Industries Co. Ltd.1 | 821 | 98,903 | ||||||
Ingersoll-Rand PLC | 457 | 34,293 | ||||||
Shares | Value | |||||||
Jacobs Engineering Group, Inc.1 | 510 | $ | 29,070 | |||||
Johnson Controls International PLC | 1,387 | 57,131 | ||||||
Kajima Corp. | 6,426 | 44,572 | ||||||
Komatsu Ltd. | 2,029 | 46,056 | ||||||
Kone OYJ, Class B | 476 | 21,373 | ||||||
Koninklijke Philips NV | 2,383 | 72,891 | ||||||
Kurita Water Industries Ltd. | 216 | 4,767 | ||||||
Lockheed Martin Corp. | 461 | 115,222 | ||||||
Masco Corp. | 538 | 17,012 | ||||||
Metso OYJ | 258 | 7,375 | ||||||
Mitsubishi Corp. | 7,443 | 158,898 | ||||||
Mitsubishi Electric Corp. | 7,353 | 102,728 | ||||||
Nabtesco Corp. | 216 | 5,035 | ||||||
Obayashi Corp. | 4,681 | 44,829 | ||||||
Parker-Hannifin Corp. | 213 | 29,820 | ||||||
Prysmian SpA | 893 | 22,982 | ||||||
Raytheon Co. | 418 | 59,356 | ||||||
Rockwell Automation, Inc. | 116 | 15,590 | ||||||
Sandvik AB | 1,922 | 23,844 | ||||||
Schindler Holding AG | 89 | 15,578 | ||||||
Schindler Holding AG | 56 | 9,896 | ||||||
Schneider Electric SE | 1,142 | 79,631 | ||||||
Siemens AG | 1,966 | 242,201 | ||||||
Sime Darby Bhd | 15,472 | 27,936 | ||||||
Skanska AB, Class B | 1,853 | 43,874 | ||||||
Smiths Group PLC | 528 | 9,238 | ||||||
SNC-Lavalin Group, Inc. | 412 | 17,754 | ||||||
Stanley Black & Decker, Inc. | 223 | 25,576 | ||||||
Sumitomo Heavy Industries Ltd. | 2,859 | 18,458 | ||||||
Taisei Corp. | 5,324 | 37,339 | ||||||
Thales SA | 433 | 42,076 | ||||||
THK Co. Ltd. | 288 | 6,385 | ||||||
Toshiba Corp.1 | 38,331 | 93,038 | ||||||
TOTO Ltd. | 362 | 14,355 | ||||||
United Rentals, Inc.1 | 160 | 16,893 | ||||||
United Technologies Corp. | 1,303 | 142,835 | ||||||
Vestas Wind Systems A/S | 410 | 26,695 | ||||||
WEG SA | 1,672 | 7,963 | ||||||
Weir Group PLC (The) | 259 | 6,049 | ||||||
Xylem, Inc. | 160 | 7,923 | ||||||
Total Capital Goods | 3,361,051 | |||||||
Commercial & Professional Services—1.2% | ||||||||
Brambles Ltd. | 1,626 | 14,600 | ||||||
Dun & Bradstreet Corp. (The) | 35 | 4,246 | ||||||
Edenred | 147 | 2,920 | ||||||
Experian PLC | 658 | 12,798 | ||||||
IHS Markit Ltd.1 | 241 | 8,534 | ||||||
Intertek Group PLC | 182 | 7,828 | ||||||
ISS A/S | 840 | 28,407 | ||||||
Park24 Co. Ltd. | 118 | 3,207 | ||||||
Recruit Holdings Co. Ltd. | 1,031 | 41,458 | ||||||
RELX NV | 728 | 12,278 | ||||||
RELX PLC | 616 | 11,029 | ||||||
Secom Co. Ltd. | 300 | 21,987 | ||||||
SEEK Ltd. | 168 | 1,810 | ||||||
SGS SA | 14 | 28,541 | ||||||
Wolters Kluwer NV | 336 | 12,198 | ||||||
Total Commercial & Professional Services | 211,841 |
Shares | Value | |||||||
Consumer Durables & Apparel—3.7% | ||||||||
adidas AG | 364 | $ | 57,647 | |||||
Arcelik AS | 2,129 | 12,831 | ||||||
Garmin Ltd.2 | 118 | 5,722 | ||||||
Hasbro, Inc. | 112 | 8,712 | ||||||
Hermes International | 42 | 17,277 | ||||||
Husqvarna AB, Class B | 1,106 | 8,626 | ||||||
Kering | 151 | 33,972 | ||||||
LG Electronics, Inc.1 | 3,176 | 135,686 | ||||||
Mattel, Inc. | 426 | 11,736 | ||||||
Newell Brands, Inc. | 602 | 26,879 | ||||||
Pandora A/S | 70 | 9,175 | ||||||
PVH Corp. | 196 | 17,687 | ||||||
SEB SA | 102 | 13,851 | ||||||
Sega Sammy Holdings, Inc. | 681 | 10,154 | ||||||
Sekisui Chemical Co. Ltd. | 1,844 | 29,470 | ||||||
Sekisui House Ltd. | 2,949 | 49,190 | ||||||
Sony Corp. | 6,596 | 185,209 | ||||||
Yamaha Corp. | 328 | 10,040 | ||||||
Total Consumer Durables & Apparel | 643,864 | |||||||
Consumer Services—1.1% | ||||||||
Aramark | 1,087 | 38,828 | ||||||
Aristocrat Leisure Ltd. | 300 | 3,367 | ||||||
Compass Group PLC | 3,338 | 61,910 | ||||||
Crown Resorts Ltd. | 857 | 7,186 | ||||||
Domino’s Pizza, Inc. | 47 | 7,484 | ||||||
MGM China Holdings Ltd. | 2,491 | 5,166 | ||||||
MGM Resorts International1 | 805 | 23,208 | ||||||
Minor International PCL | 3,624 | 3,618 | ||||||
Sands China Ltd. | 3,437 | 14,939 | ||||||
Shangri-La Asia Ltd. | 4,772 | 5,035 | ||||||
Tabcorp Holdings Ltd. | 1,246 | 4,340 | ||||||
Tatts Group Ltd. | 2,006 | 6,508 | ||||||
Tsogo Sun Holdings Ltd. | 1,260 | 2,543 | ||||||
Total Consumer Services | 184,132 | |||||||
Diversified Financials—0.8% | ||||||||
ASX Ltd. | 42 | 1,513 | ||||||
BM&FBovespa SA—Bolsa de Valores Mercadorias e Futuros | 364 | 1,845 | ||||||
Brookfield Asset Management, Inc., Class A | 1,654 | 54,638 | ||||||
Challenger Ltd. | 451 | 3,671 | ||||||
Grupo de Inversiones Suramericana SA | 630 | 8,017 | ||||||
L E Lundbergforetagen AB, Class B | 53 | 3,258 | ||||||
Macquarie Group Ltd. | 146 | 9,210 | ||||||
Metro Pacific Investments Corp. | 15,997 | 2,143 | ||||||
Onex Corp. | 769 | 52,400 | ||||||
Samsung Card Co. Ltd.1 | 174 | 5,719 | ||||||
Total Diversified Financials | 142,414 | |||||||
Energy—6.0% | ||||||||
ARC Resources Ltd. | 62 | 1,068 | ||||||
Banpu PCL | 11,078 | 5,940 | ||||||
Caltex Australia Ltd. | 1,616 | 35,643 | ||||||
Cosan SA Industria e Comercio | 580 | 6,799 | ||||||
Empresas COPEC SA | 5,060 | 48,489 | ||||||
Encana Corp. | 854 | 10,036 | ||||||
Energy Absolute PCL | 1,084 | 901 | ||||||
Shares | Value | |||||||
Exxaro Resources Ltd. | 533 | $ | 3,488 | |||||
Galp Energia SGPS SA | 2,710 | 40,560 | ||||||
Grupa Lotos SA1 | 1,638 | 15,009 | ||||||
GS Holdings Corp.1 | 608 | 27,234 | ||||||
Idemitsu Kosan Co. Ltd. | 3,521 | 93,734 | ||||||
IRPC PCL | 103,719 | 13,902 | ||||||
Koninklijke Vopak NV | 34 | 1,609 | ||||||
Lundin Petroleum AB1 | 98 | 2,137 | ||||||
MOL Hungarian Oil & Gas PLC | 527 | 37,136 | ||||||
Neste OYJ | 790 | 30,414 | ||||||
Newfield Exploration Co.1 | 48 | 1,944 | ||||||
Novatek PJSC | 205 | 26,609 | ||||||
Occidental Petroleum Corp. | 406 | 28,919 | ||||||
OMV AG | 1,791 | 63,397 | ||||||
Pembina Pipeline Corp. | 258 | 8,073 | ||||||
Petronas Dagangan Bhd | 2,586 | 13,720 | ||||||
Polski Koncern Naftowy ORLEN SA | 3,034 | 61,999 | ||||||
PrairieSky Royalty Ltd. | 50 | 1,191 | ||||||
PTT Exploration & Production PCL | 5,336 | 14,342 | ||||||
PTT PCL | 13,494 | 140,176 | ||||||
Repsol SA | 7,914 | 112,021 | ||||||
Snam SpA | 2,922 | 12,063 | ||||||
S-Oil Corp. | 513 | 35,975 | ||||||
Spectra Energy Corp. | 313 | 12,861 | ||||||
Technip SA | 352 | 25,176 | ||||||
Thai Oil PCL | 9,956 | 20,087 | ||||||
Tourmaline Oil Corp.1 | 70 | 1,874 | ||||||
TransCanada Corp | 532 | 24,016 | ||||||
Ultrapar Participacoes SA | 3,188 | 67,047 | ||||||
Vermilion Energy, Inc. | 50 | 2,106 | ||||||
Total Energy | 1,047,695 | |||||||
Food & Staples Retailing—7.2% | ||||||||
Jeronimo Martins SGPS SA | 2,506 | 38,961 | ||||||
Koninklijke Ahold Delhaize NV | 8,821 | 186,358 | ||||||
Metro, Inc., Class A | 762 | 22,820 | ||||||
President Chain Store Corp. | 2,316 | 16,600 | ||||||
Wal-Mart Stores, Inc. | 12,403 | 857,295 | ||||||
Wesfarmers Ltd. | 4,220 | 128,767 | ||||||
Total Food & Staples Retailing | 1,250,801 | |||||||
Food, Beverage & Tobacco—5.6% | ||||||||
Arca Continental SAB de CV | 2,265 | 11,882 | ||||||
Barry Callebaut AG1 | 19 | 23,293 | ||||||
BRF SA | 1,639 | 24,298 | ||||||
Campbell Soup Co. | 378 | 22,858 | ||||||
Carlsberg A/S, Class B | 233 | 20,145 | ||||||
Coca-Cola Amatil Ltd. | 1,448 | 10,611 | ||||||
Coca-Cola Co. (The) | 2,706 | 112,191 | ||||||
Coca-Cola European Partners PLC | 784 | 24,824 | ||||||
Danone SA | 1,061 | 67,369 | ||||||
Dr Pepper Snapple Group, Inc. | 196 | 17,771 | ||||||
General Mills, Inc. | 658 | 40,645 | ||||||
Hormel Foods Corp. | 636 | 22,139 | ||||||
Indofood Sukses Makmur Tbk PT | 22,195 | 13,056 | ||||||
Ingredion, Inc. | 118 | 14,745 | ||||||
Kellogg Co. | 457 | 33,686 | ||||||
Kirin Holdings Co. Ltd. | 3,193 | 52,055 | ||||||
Kraft Heinz Co. (The) | 809 | 70,642 | ||||||
Marine Harvest ASA1 | 538 | 9,732 | ||||||
McCormick & Co., Inc. | 112 | 10,453 |
Shares | Value | |||||||
Food, Beverage & Tobacco (continued) | ||||||||
Molson Coors Brewing Co., Class B | 98 | $ | 9,536 | |||||
Mondelez International, Inc., Class A | 1,597 | 70,795 | ||||||
Nissin Foods Holdings Co. Ltd. | 202 | 10,634 | ||||||
Orkla ASA | 1,269 | 11,529 | ||||||
PepsiCo, Inc. | 1,570 | 164,269 | ||||||
Pernod Ricard SA | 202 | 21,935 | ||||||
PT Indofood CBP Sukses Makmur Tbk | 9,658 | 6,147 | ||||||
Suntory Beverage & Food Ltd. | 843 | 35,090 | ||||||
Swedish Match AB | 90 | 2,871 | ||||||
Tate & Lyle PLC | 860 | 7,518 | ||||||
Tiger Brands Ltd. | 188 | 5,469 | ||||||
Toyo Suisan Kaisha Ltd. | 280 | 10,167 | ||||||
Treasury Wine Estates Ltd. | 546 | 4,222 | ||||||
WhiteWave Foods Co. (The)1 | 160 | 8,896 | ||||||
Total Food, Beverage & Tobacco | 971,473 | |||||||
Health Care Equipment & Services—2.0% | ||||||||
Alfresa Holdings Corp. | 4,126 | 68,416 | ||||||
Align Technology, Inc.1 | 50 | 4,806 | ||||||
Bangkok Dusit Medical Services PCL | 7,442 | 4,801 | ||||||
Becton Dickinson and Co. | 201 | 33,275 | ||||||
Cochlear Ltd. | 28 | 2,485 | ||||||
Cooper Cos., Inc. (The) | 33 | 5,773 | ||||||
Edwards Lifesciences Corp.1 | 70 | 6,559 | ||||||
HCA Holdings, Inc.1 | 1,437 | 106,367 | ||||||
Henry Schein, Inc.1 | 196 | 29,735 | ||||||
IDEXX Laboratories, Inc.1 | 47 | 5,512 | ||||||
Miraca Holdings, Inc. | 76 | 3,421 | ||||||
Quest Diagnostics, Inc. | 216 | 19,850 | ||||||
Ramsay Health Care Ltd. | 280 | 13,848 | ||||||
ResMed, Inc.2 | 84 | 5,212 | ||||||
Ryman Healthcare Ltd. | 34 | 192 | ||||||
Shanghai Pharmaceuticals Holding Co. Ltd., Class H | 4,877 | 11,184 | ||||||
Sonic Healthcare Ltd. | 574 | 8,895 | ||||||
Sonova Holding AG | 47 | 5,706 | ||||||
Sysmex Corp. | 99 | 5,746 | ||||||
Total Health Care Equipment & Services | 341,783 | |||||||
Household & Personal Products—1.7% | ||||||||
Colgate-Palmolive Co. | 595 | 38,937 | ||||||
Estee Lauder Cos., Inc., (The), Class A | 215 | 16,445 | ||||||
Henkel AG & Co KGaA | 308 | 32,155 | ||||||
Kao Corp. | 784 | 37,246 | ||||||
Natura Cosmeticos SA | 842 | 5,955 | ||||||
Procter & Gamble Co. (The) | 1,931 | 162,359 | ||||||
PT Unilever Indonesia Tbk | 2,515 | 7,243 | ||||||
Total Household & Personal Products | 300,340 | |||||||
Insurance—1.0% | ||||||||
CNP Assurances | 5,279 | 97,997 | ||||||
Gjensidige Forsikring ASA | 398 | 6,335 | ||||||
Hyundai Marine & Fire Insurance Co. Ltd.1 | 669 | 17,448 | ||||||
Insurance Australia Group Ltd. | 3,676 | 15,944 | ||||||
Shares | Value | |||||||
Marsh & McLennan Cos., Inc. | 487 | $ | 32,916 | |||||
Tryg A/S | 363 | 6,576 | ||||||
Total Insurance | 177,216 | |||||||
Materials—9.3% | ||||||||
Agnico Eagle Mines Ltd. | 112 | 4,714 | ||||||
Air Products & Chemicals, Inc. | 175 | 25,168 | ||||||
Amcor Ltd. | 2,305 | 24,952 | ||||||
Anglo American PLC1 | 3,906 | 55,987 | ||||||
Arkema SA | 216 | 21,174 | ||||||
Asahi Kasei Corp. | 5,308 | 46,397 | ||||||
Avery Dennison Corp. | 224 | 15,729 | ||||||
Ball Corp. | 291 | 21,845 | ||||||
BASF SE | 1,980 | 184,427 | ||||||
Boliden AB | 434 | 11,365 | ||||||
Boral Ltd. | 1,870 | 7,325 | ||||||
Braskem SA | 2,215 | 20,410 | ||||||
Cementos Argos SA | 2,173 | 8,585 | ||||||
Cemex SAB de CV1 | 41,624 | 33,418 | ||||||
Chr Hansen Holding A/S | 42 | 2,330 | ||||||
Covestro AG3 | 533 | 36,643 | ||||||
CRH PLC | 2,240 | 77,861 | ||||||
Duratex SA1 | 1,550 | 3,238 | ||||||
E.I. du Pont de Nemours & Co. | 809 | 59,381 | ||||||
Fletcher Building Ltd. | 2,222 | 16,424 | ||||||
Franco-Nevada Corp. | 28 | 1,676 | ||||||
Fresnillo PLC | 254 | 3,832 | ||||||
Givaudan SA | 7 | 12,852 | ||||||
Grupo Argos SA | 1,638 | 10,520 | ||||||
Hanwha Chemical Corp.1 | 943 | 19,285 | ||||||
HeidelbergCement AG | 412 | 38,515 | ||||||
Hitachi Chemical Co. Ltd. | 575 | 14,410 | ||||||
Hitachi Metals Ltd. | 1,796 | 24,391 | ||||||
Hyosung Corp.1 | 248 | 29,876 | ||||||
International Flavors & Fragrances, Inc. | 64 | 7,541 | ||||||
Kansai Paint Co. Ltd.2 | 420 | 7,753 | ||||||
Kinross Gold Corp.1 | 2,468 | 7,711 | ||||||
Koninklijke DSM NV | 322 | 19,345 | ||||||
Kuraray Co. Ltd. | 866 | 13,038 | ||||||
Mitsubishi Chemical Holdings Corp. | 14,454 | 93,935 | ||||||
Mitsui Chemicals, Inc. | 7,000 | 31,509 | ||||||
Newcrest Mining Ltd. | 574 | 8,417 | ||||||
Nippon Paint Holdings Co. Ltd. | 370 | 10,104 | ||||||
Norsk Hydro ASA | 5,751 | 27,593 | ||||||
POSCO | 607 | 129,411 | ||||||
Praxair, Inc. | 244 | 28,594 | ||||||
PTT Global Chemical PCL | 14,728 | 25,910 | ||||||
Shin-Etsu Chemical Co. Ltd. | 420 | 32,650 | ||||||
Siam Cement PCL (The) | 2,444 | 33,851 | ||||||
Siam Cement PCL (The) | 2,454 | 34,127 | ||||||
Sika AG | 5 | 24,067 | ||||||
Silver Wheaton Corp. | 84 | 1,625 | ||||||
Solvay SA | 315 | 36,996 | ||||||
South32 Ltd. | 7,850 | 15,632 | ||||||
Symrise AG | 112 | 6,832 | ||||||
Syngenta AG | 89 | 35,246 | ||||||
Taiwan Fertilizer Co. Ltd. | 1,011 | 1,259 |
Shares | Value | |||||||
Materials (continued) | ||||||||
Teck Resources Ltd., Class B | 632 | $ | 12,663 | |||||
Teijin Ltd. | 1,022 | 20,758 | ||||||
Titan Cement Co. SA | 132 | 3,105 | ||||||
Toray Industries, Inc. | 6,326 | 51,320 | ||||||
Umicore SA | 468 | 26,730 | ||||||
UPM-Kymmene OYJ | 1,242 | 30,575 | ||||||
Total Materials | 1,611,027 | |||||||
Media—0.6% | ||||||||
PT Media Nusantara Citra Tbk | 10,144 | 1,321 | ||||||
Publicis Groupe SA | 432 | 29,868 | ||||||
Scripps Networks Interactive, Inc., Class A | 62 | 4,425 | ||||||
Time Warner, Inc. | 781 | 75,390 | ||||||
Total Media | 111,004 | |||||||
Pharmaceuticals, Biotechnology & Life Sciences—2.5% | ||||||||
Actelion Ltd.1 | 42 | 9,112 | ||||||
Agilent Technologies, Inc. | 202 | 9,203 | ||||||
CSL Ltd. | 213 | 15,487 | ||||||
Genmab A/S1 | 5 | 832 | ||||||
Johnson & Johnson | 1,572 | 181,110 | ||||||
Lonza Group AG1 | 61 | 10,581 | ||||||
Merck & Co., Inc. | 1,630 | 95,958 | ||||||
Merck KGaA | 131 | 13,700 | ||||||
Mettler-Toledo International, Inc.1 | 19 | 7,953 | ||||||
Mitsubishi Tanabe Pharma Corp. | 564 | 11,088 | ||||||
Orion OYJ, Class B | 50 | 2,230 | ||||||
PT Kalbe Farma Tbk | 33,667 | 3,786 | ||||||
Quintiles IMS Holdings, Inc.1 | 394 | 29,964 | ||||||
Santen Pharmaceutical Co. Ltd. | 356 | 4,365 | ||||||
Shionogi & Co. Ltd. | 160 | 7,681 | ||||||
Sumitomo Dainippon Pharma Co. Ltd. | 592 | 10,202 | ||||||
Waters Corp.1 | 42 | 5,644 | ||||||
Zoetis, Inc. | 216 | 11,562 | ||||||
Total Pharmaceuticals, Biotechnology & Life Sciences | 430,458 | |||||||
Real Estate—1.1% | ||||||||
Alexandria Real Estate Equities, Inc. | 28 | 3,112 | ||||||
American Tower Corp. | 132 | 13,950 | ||||||
Ascendas Real Estate Investment Trust | 882 | 1,386 | ||||||
Azrieli Group Ltd. | 48 | 2,084 | ||||||
Brixmor Property Group, Inc. | 126 | 3,077 | ||||||
Camden Property Trust | 33 | 2,774 | ||||||
CapitaLand Commercial Trust | 440 | 451 | ||||||
CapitaLand Ltd. | 4,256 | 8,897 | ||||||
CapitaLand Mall Trust | 910 | 1,187 | ||||||
Central Pattana PCL | 1,291 | 2,046 | ||||||
City Developments Ltd. | 1,086 | 6,224 | ||||||
Deutsche Wohnen AG | 76 | 2,392 | ||||||
Dexus Property Group | 252 | 1,755 | ||||||
Duke Realty Corp. | 48 | 1,275 | ||||||
Equinix, Inc. | 28 | 10,007 | ||||||
Federal Realty Investment Trust | 14 | 1,989 | ||||||
First Capital Realty, Inc. | 84 | 1,295 | ||||||
Gecina SA | 14 | 1,941 | ||||||
Goodman Group | 701 | 3,619 | ||||||
Shares | Value | |||||||
GPT Group (The) | 364 | $ | 1,326 | |||||
Hysan Development Co. Ltd. | 252 | 1,042 | ||||||
Iron Mountain, Inc. | 266 | 8,640 | ||||||
LendLease Group | 2,954 | 31,272 | ||||||
Liberty Property Trust | 6 | 237 | ||||||
Link REIT | 412 | 2,678 | ||||||
Mid-America Apartment Communities, Inc. | 33 | 3,231 | ||||||
Mirvac Group | 3,110 | 4,797 | ||||||
Multiplan Empreendimentos Imobiliarios SA | 6 | 109 | ||||||
New Europe Property Investments PLC | 28 | 326 | ||||||
Nippon Prologis REIT, Inc. | 5 | 10,241 | ||||||
Prologis, Inc. | 126 | 6,652 | ||||||
Regency Centers Corp. | 21 | 1,448 | ||||||
Scentre Group | 1,809 | 6,078 | ||||||
SM Prime Holdings, Inc. | 8,272 | 4,717 | ||||||
Stockland | 1,489 | 4,938 | ||||||
Swiss Prime Site AG1 | 33 | 2,706 | ||||||
UDR, Inc. | 70 | 2,554 | ||||||
Vonovia SE | 182 | 5,933 | ||||||
Welltower, Inc. | 154 | 10,307 | ||||||
Weyerhaeuser Co. | 590 | 17,753 | ||||||
Total Real Estate | 196,446 | |||||||
Retailing—1.9% | ||||||||
Best Buy Co., Inc. | 2,265 | 96,648 | ||||||
Canadian Tire Corp. Ltd., Class A | 207 | 21,497 | ||||||
Harvey Norman Holdings Ltd. | 1,046 | 3,893 | ||||||
Home Product Center PCL | 15,190 | 4,327 | ||||||
Jardine Cycle & Carriage Ltd. | 1,350 | 38,527 | ||||||
LKQ Corp.1 | 630 | 19,309 | ||||||
Lojas Renner SA | 761 | 5,418 | ||||||
Nitori Holdings Co. Ltd. | 134 | 15,349 | ||||||
Priceline Group, Inc. (The)1 | 20 | 29,321 | ||||||
S.A.C.I. Falabella | 4,293 | 33,967 | ||||||
Yamada Denki Co. Ltd. | 9,027 | 48,759 | ||||||
Zalando SE1,3 | 216 | 8,268 | ||||||
Total Retailing | 325,283 | |||||||
Semiconductors & Semiconductor Equipment—2.8% | ||||||||
Advanced Semiconductor Engineering, Inc. | 20,692 | 21,219 | ||||||
Analog Devices, Inc. | 104 | 7,553 | ||||||
Applied Materials, Inc. | 804 | 25,945 | ||||||
ASM Pacific Technology Ltd. | 434 | 4,599 | ||||||
ASML Holding NV | 182 | 20,473 | ||||||
Infineon Technologies AG | 1,065 | 18,546 | ||||||
Intel Corp. | 4,143 | 150,267 | ||||||
Lam Research Corp. | 132 | 13,956 | ||||||
Marvell Technology Group Ltd. | 431 | 5,978 | ||||||
Microchip Technology, Inc.2 | 62 | 3,977 | ||||||
NVIDIA Corp. | 149 | 15,904 | ||||||
NXP Semiconductors NV1 | 180 | 17,642 | ||||||
Siliconware Precision Industries Co. Ltd. | 4,585 | 6,807 | ||||||
SK Hynix, Inc.1 | 1,100 | 40,711 | ||||||
STMicroelectronics NV2 | 1,900 | 21,593 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 12,067 | 67,956 |
Shares | Value | |||||||
Semiconductors & Semiconductor Equipment (continued) | ||||||||
Texas Instruments, Inc. | 454 | $ | 33,128 | |||||
Tokyo Electron Ltd. | 151 | 14,299 | ||||||
Vanguard International Semiconductor Corp. | 1,053 | 1,836 | ||||||
Total Semiconductors & Semiconductor Equipment | 492,389 | |||||||
Software & Services—7.4% | ||||||||
Accenture PLC, Class A | 720 | 84,334 | ||||||
Adobe Systems, Inc.1 | 148 | 15,237 | ||||||
Alphabet, Inc., Class A1 | 115 | 91,132 | ||||||
Alphabet, Inc., Class C1 | 135 | 104,196 | ||||||
Amadeus IT Group SA, Class A | 244 | 11,110 | ||||||
Atos SE | 314 | 33,202 | ||||||
Autodesk, Inc.1 | 48 | 3,552 | ||||||
Automatic Data Processing, Inc. | 315 | 32,376 | ||||||
CA, Inc. | 336 | 10,675 | ||||||
Cadence Design Systems, Inc.1 | 160 | 4,035 | ||||||
CGI Group, Inc., Class A1 | 383 | 18,404 | ||||||
Cielo SA | 1,141 | 9,777 | ||||||
Citrix Systems, Inc.1 | 112 | 10,003 | ||||||
Dassault Systemes SE | 112 | 8,551 | ||||||
Fujitsu Ltd. | 19,294 | 107,442 | ||||||
International Business Machines Corp. | 1,282 | 212,799 | ||||||
Intuit, Inc. | 112 | 12,836 | ||||||
Konami Holdings Corp. | 160 | 6,475 | ||||||
Microsoft Corp. | 3,589 | 223,020 | ||||||
Nintendo Co. Ltd. | 57 | 11,993 | ||||||
NTT Data Corp. | 813 | 39,383 | ||||||
Oracle Corp. | 2,406 | 92,511 | ||||||
Oracle Corp. Japan | 84 | 4,242 | ||||||
PayPal Holdings, Inc.1 | 638 | 25,182 | ||||||
Sage Group PLC (The) | 538 | 4,354 | ||||||
salesforce.com, Inc.1 | 252 | 17,252 | ||||||
SAP SE | 713 | 62,276 | ||||||
Symantec Corp. | 321 | 7,669 | ||||||
VMware Inc, Class A1 | 64 | 5,039 | ||||||
Western Union Co. (The) | 676 | 14,683 | ||||||
Workday, Inc., Class A1 | 28 | 1,850 | ||||||
Yahoo!, Inc.1 | 272 | 10,518 | ||||||
Total Software & Services | 1,296,108 | |||||||
Technology Hardware & Equipment—8.1% | ||||||||
AAC Technologies Holdings, Inc. | 500 | 4,543 | ||||||
Acer, Inc.1 | 48,864 | 19,862 | ||||||
Amphenol Corp., Class A | 216 | 14,515 | ||||||
AU Optronics Corp. | 72,192 | 26,432 | ||||||
Cisco Systems, Inc. | 4,157 | 125,624 | ||||||
Corning, Inc. | 952 | 23,105 | ||||||
F5 Networks, Inc.1 | 50 | 7,236 | ||||||
Flex Ltd.1 | 4,496 | 64,607 | ||||||
Hexagon AB, Class B | 224 | 8,026 | ||||||
Hirose Electric Co. Ltd. | 33 | 4,100 | ||||||
Hitachi High-Technologies Corp. | 384 | 15,523 | ||||||
HP, Inc. | 9,921 | 147,228 | ||||||
Inventec Corp. | 50,146 | 34,386 | ||||||
Keyence Corp. | 19 | 13,065 | ||||||
Kyocera Corp. | 750 | 37,373 | ||||||
LG Display Co. Ltd.1 | 2,461 | 64,082 | ||||||
Shares | Value | |||||||
Lite-On Technology Corp. | 11,528 | $ | 17,384 | |||||
Motorola Solutions, Inc. | 165 | 13,677 | ||||||
Nippon Electric Glass Co. Ltd. | 1,145 | 6,204 | ||||||
Omron Corp. | 532 | 20,457 | ||||||
Samsung Electronics Co. Ltd. | 391 | 583,360 | ||||||
Seiko Epson Corp. | 1,488 | 31,575 | ||||||
TDK Corp. | 398 | 27,435 | ||||||
TE Connectivity Ltd. | 442 | 30,622 | ||||||
Trimble, Inc.1 | 188 | 5,668 | ||||||
Wistron Corp. | 67,722 | 52,427 | ||||||
Yaskawa Electric Corp. | 608 | 9,477 | ||||||
Yokogawa Electric Corp. | 696 | 10,103 | ||||||
Total Technology Hardware & Equipment | 1,418,096 | |||||||
Telecommunication Services—4.3% | ||||||||
Asia Pacific Telecom Co. Ltd.1 | 3,780 | 1,214 | ||||||
Chunghwa Telecom Co. Ltd. | 5,690 | 17,920 | ||||||
Far EasTone Telecommunications Co. Ltd. | 2,817 | 6,337 | ||||||
HKT Trust & HKT Ltd. | 9,025 | 11,070 | ||||||
KDDI Corp. | 4,660 | 118,243 | ||||||
KT Corp.1 | 2,082 | 50,680 | ||||||
Nippon Telegraph & Telephone Corp. | 7,406 | 311,898 | ||||||
NTT DOCOMO, Inc. | 5,329 | 121,671 | ||||||
PCCW Ltd. | 22,831 | 12,368 | ||||||
Rogers Communications, Inc., Class B | 482 | 18,614 | ||||||
Singapore Telecommunications Ltd. | 11,746 | 29,676 | ||||||
Spark New Zealand Ltd. | 2,725 | 6,479 | ||||||
Taiwan Mobile Co. Ltd. | 2,834 | 9,145 | ||||||
Telekom Malaysia Bhd | 5,104 | 6,770 | ||||||
Telekomunikasi Indonesia Persero Tbk PT | 72,111 | 21,303 | ||||||
Total Telecommunication Services | 743,388 | |||||||
Transportation—3.4% | ||||||||
Aena SA3 | 84 | 11,487 | ||||||
Auckland International Airport Ltd. | 210 | 915 | ||||||
Canadian National Railway Co. | 360 | 24,257 | ||||||
CSX Corp. | 817 | 29,355 | ||||||
Deutsche Post AG | 5,302 | 174,675 | ||||||
DSV A/S | 468 | 20,859 | ||||||
Expeditors International of Washington, Inc. | 305 | 16,153 | ||||||
Hankyu Hanshin Holdings, Inc. | 566 | 18,198 | ||||||
Keio Corp. | 1,305 | 10,752 | ||||||
Keisei Electric Railway Co. Ltd. | 244 | 5,935 | ||||||
Kintetsu Group Holdings Co. Ltd. | 7,708 | 29,474 | ||||||
Localiza Rent a Car SA | 330 | 3,470 | ||||||
MTR Corp. Ltd. | 2,750 | 13,372 | ||||||
Nagoya Railroad Co. Ltd. | 3,004 | 14,552 | ||||||
Norfolk Southern Corp. | 250 | 27,017 | ||||||
Odakyu Electric Railway Co. Ltd. | 664 | 13,168 | ||||||
Sydney Airport | 574 | 2,490 | ||||||
Tobu Railway Co. Ltd. | 2,886 | 14,351 | ||||||
Transurban Group | 546 | 4,080 | ||||||
United Parcel Service, Inc., Class B | 1,036 | 118,767 | ||||||
Yamato Holdings Co. Ltd. | 1,714 | 34,924 | ||||||
Total Transportation | 588,251 |
Shares | Value | |||||||
Utilities—5.5% | ||||||||
AES Corp. | 3,044 | $ | 35,371 | |||||
AES Tiete Energia SA | 298 | 1,282 | ||||||
Aguas Andinas SA, Class A | 2,892 | 1,506 | ||||||
Ameren Corp. | 300 | 15,738 | ||||||
American Electric Power Co., Inc. | 686 | 43,191 | ||||||
American Water Works Co., Inc. | 126 | 9,117 | ||||||
Atco Ltd./Canada, Class I | 210 | 6,993 | ||||||
AusNet Services | 3,450 | 3,947 | ||||||
Canadian Utilities Ltd., Class A | 161 | 4,345 | ||||||
Cia Energetica de Minas Gerais | 85 | 206 | ||||||
Cia Paranaense de Energia | 61 | 358 | ||||||
CLP Holdings Ltd. | 2,758 | 25,345 | ||||||
CMS Energy Corp. | 401 | 16,690 | ||||||
Consolidated Edison, Inc. | 455 | 33,524 | ||||||
CPFL Energia SA | 2,095 | 16,227 | ||||||
Dominion Resources, Inc. | 370 | 28,338 | ||||||
DTE Energy Co. | 258 | 25,416 | ||||||
Edison International | 395 | 28,436 | ||||||
EDP—Energias do Brasil SA | 2,372 | 9,766 | ||||||
Enel Americas SA | 131,820 | 21,427 | ||||||
Engie Brasil Energia SA | 418 | 4,495 | ||||||
Eversource Energy | 342 | 18,889 | ||||||
Exelon Corp. | 2,302 | 81,698 | ||||||
Fortis, Inc./Canada | 584 | 18,055 | ||||||
Fortum OYJ | 663 | 10,189 | ||||||
Interconexion Electrica SA ESP | 1,675 | 5,568 | ||||||
Korea Gas Corp.1 | 1,437 | 57,644 | ||||||
Mercury NZ Ltd. | 1,323 | 2,731 | ||||||
Meridian Energy Ltd. | 2,390 | 4,333 | ||||||
NextEra Energy, Inc. | 397 | 47,426 | ||||||
Osaka Gas Co. Ltd. | 8,053 | 31,042 | ||||||
PG&E Corp. | 720 | 43,754 | ||||||
Public Service Enterprise Group, Inc. | 603 | 26,460 | ||||||
RusHydro PJSC | 1,197,624 | 18,165 | ||||||
RWE AG1 | 9,548 | 118,986 | ||||||
SCANA Corp. | 118 | 8,647 | ||||||
Sempra Energy | 230 | 23,147 | ||||||
Southern Co. (The) | 952 | 46,829 | ||||||
Tenaga Nasional Bhd | 8,535 | 26,446 | ||||||
Toho Gas Co. Ltd. | 1,384 | 11,285 | ||||||
Xcel Energy, Inc. | 692 | 28,164 | ||||||
Total Utilities | 961,176 | |||||||
Total Common Stocks (Cost $17,217,533) | 17,192,052 | |||||||
PREFERRED STOCKS—1.2% | ||||||||
Diversified Financials—0.0%4 | ||||||||
Grupo de Inversiones Suramericana SA | 140 | 1,725 | ||||||
Shares | Value | |||||||
Food & Staples Retailing—0.2% | ||||||||
Cia Brasileira de Distribuicao | 2,256 | $ | 37,950 | |||||
Food, Beverage & Tobacco—0.0%4 | ||||||||
Embotelladora Andina SA | 936 | 3,199 | ||||||
Household & Personal Products—0.2% | ||||||||
Henkel AG & Co KGaA, | 182 | 21,740 | ||||||
LG Household & Health Care Ltd1 | 5 | 2,331 | ||||||
Amorepacific Corp1 | 14 | 2,382 | ||||||
Total Household & Personal Products | 26,453 | |||||||
Materials—0.0%4 | ||||||||
Sociedad Quimica y Minera de Chile SA, Class B | 34 | 969 | ||||||
Technology Hardware & Equipment—0.5% | ||||||||
Samsung Electronics Co. Ltd. | 76 | 90,171 | ||||||
Telecommunication Services—0.2% | ||||||||
Telefonica Brasil SA | 1,769 | 23,958 | ||||||
Utilities—0.1% | ||||||||
Cia Paranaense de Energia | 546 | 4,590 | ||||||
Cia Energetica de Minas Gerais | 4,284 | 10,148 | ||||||
Total Utilities | 14,738 | |||||||
Total Preferred Stocks (Cost $200,967) | 199,163 | |||||||
INVESTMENT OF CASH COLLATERAL | ||||||||
FOR SECURITIES LOANED—0.2% | ||||||||
Dreyfus Institutional Preferred Money Market Fund—Institutional Shares, 0.67%5 (Cost $40,295) | 40,295 | 40,295 | ||||||
Total Investments—100.1% (Cost $17,458,795) | 17,431,510 | |||||||
Liabilities in Excess of Other Assets—(0.1)% | (13,674 | ) | ||||||
Net Assets—100.0% | $ | 17,417,836 |
1 | Non-income producing security. |
2 | All or a portion of the security was on loan. The aggregate value of the securities on loan was $43,860; total value of the collateral held by the fund was $45,521. The total value of the collateral includes non-cash U.S. Treasury securities collateral having a value of $5,226 (Note 4). |
3 | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. |
4 | Less than 0.05% |
5 | Rate shown represents annualized 7-day yield as of December 31, 2016. |
Country | Value | % of Net Assets | ||||||
Australia | $ | 412,625 | 2.4 | % | ||||
Austria | 63,397 | 0.4 | ||||||
Belgium | 63,725 | 0.4 | ||||||
Bermuda | 5,978 | 0.0 | 1 | |||||
Brazil | 265,309 | 1.5 | ||||||
Canada | 353,771 | 2.0 | ||||||
Chile | 109,556 | 0.6 | ||||||
China | 44,529 | 0.3 | ||||||
Colombia | 34,415 | 0.2 | ||||||
Denmark | 115,019 | 0.7 | ||||||
Finland | 102,156 | 0.6 | ||||||
France | 648,121 | 3.7 | ||||||
Germany | 1,080,226 | 6.2 | ||||||
Greece | 3,105 | 0.0 | 1 | |||||
Hong Kong | 90,448 | 0.5 | ||||||
Hungary | 37,136 | 0.2 | ||||||
Indonesia | 89,936 | 0.5 | ||||||
Ireland | 90,658 | 0.5 | ||||||
Israel | 2,084 | 0.0 | 1 | |||||
Italy | 35,045 | 0.2 | ||||||
Japan | 3,119,658 | 17.9 | ||||||
Macau | 5,166 | 0.0 | 1 | |||||
Malaysia | 77,819 | 0.4 | ||||||
Mexico | 49,132 | 0.3 | ||||||
Netherlands | 330,516 | 1.9 | ||||||
New Zealand | 31,074 | 0.2 | ||||||
Norway | 55,188 | 0.3 | ||||||
Philippines | 12,433 | 0.1 | ||||||
Poland | 77,008 | 0.4 | ||||||
Portugal | 79,521 | 0.5 | ||||||
Romania | 326 | 0.0 | 1 | |||||
Russia | 44,774 | 0.3 | ||||||
Singapore | 86,348 | 0.5 | ||||||
South Africa | 26,862 | 0.2 | ||||||
South Korea | 1,463,668 | 8.4 | ||||||
Spain | 134,618 | 0.8 | ||||||
Sweden | 132,898 | 0.8 | ||||||
Switzerland | 304,741 | 1.7 | ||||||
Taiwan | 300,784 | 1.7 | ||||||
Thailand | 304,026 | 1.7 | ||||||
Turkey | 12,831 | 0.1 | ||||||
United Kingdom | 314,746 | 1.8 | ||||||
United States | 6,820,134 | 39.2 | ||||||
Total Investments | 17,431,510 | 100.1 | % | |||||
Liabilities in Excess of Other Assets | (13,674 | ) | (0.1 | ) | ||||
Net Assets | $ | 17,417,836 | 100.0 | % |
1 | Less than 0.05% |
The accompanying notes are an integral part of these financial statements.
| Oppenheimer Large Cap Revenue ETF | | Oppenheimer Mid Cap Revenue ETF | | Oppenheimer Small Cap Revenue ETF | |||||||||
ASSETS: | ||||||||||||||
Investments at value (including securities on loan) (Note 3)1 | $ | 489,061,908 | $ | 260,977,691 | $ | 482,516,586 | ||||||||
Cash | 1,574,495 | 229,812 | 691,928 | |||||||||||
Receivables and other assets: | ||||||||||||||
Dividends | 652,730 | 186,354 | 302,218 | |||||||||||
Capital shares sold | — | — | 68,602 | |||||||||||
Investment securities sold | 707,842 | 1,182,457 | 353,925 | |||||||||||
Securities lending income, net (Note 4) | 1,279 | 3,996 | 13,957 | |||||||||||
Prepaid expenses | 44,915 | 22,442 | 37,248 | |||||||||||
Total Assets | 492,043,169 | 262,602,752 | 483,984,464 | |||||||||||
LIABILITIES: | ||||||||||||||
Payables and other liabilities: | ||||||||||||||
Investment of cash collateral for securities on loan (Note 4) | 4,472,236 | 17,518,410 | 39,775,262 | |||||||||||
Income Distributions | 2,279,123 | 1,366,985 | 734,528 | |||||||||||
Management fees (Note 9) | 141,436 | 77,675 | 126,862 | |||||||||||
BNY Fund Services fees | 90,168 | 12,981 | 95,357 | |||||||||||
Professional fees | 9,426 | 9,426 | 9,426 | |||||||||||
Trustee fees | 7,780 | 6,111 | 7,075 | |||||||||||
Other accrued expenses | 27,147 | 23,375 | 23,685 | |||||||||||
Total Liabilities | 7,027,316 | 19,014,963 | 40,772,195 | |||||||||||
NET ASSETS | $ | 485,015,853 | $ | 243,587,789 | $ | 443,212,269 | ||||||||
Composition of Net Assets: | ||||||||||||||
Paid-in capital | $ | 418,908,030 | $ | 221,674,777 | $ | 386,441,597 | ||||||||
Undistributed net investment income (loss) | (49,278 | ) | 1,232 | 11,588 | ||||||||||
Accumulated undistributed net realized gain (loss) on investments and foreign currency translations | 8,645,667 | (8,809,317 | ) | (14,183,383 | ) | |||||||||
Net unrealized appreciation on investments and foreign currency translations | 57,511,434 | 30,721,097 | 70,942,467 | |||||||||||
NET ASSETS | $ | 485,015,853 | $ | 243,587,789 | $ | 443,212,269 | ||||||||
Shares outstanding (unlimited number of shares of beneficial interest authorized, without par value) | 11,151,400 | 4,501,400 | 6,601,400 | |||||||||||
Net asset value, offering and redemption price per share1 | $ | 43.49 | $ | 54.11 | $ | 67.14 | ||||||||
Investments at cost | $ | 431,550,474 | $ | 230,256,594 | $ | 411,574,119 | ||||||||
1Includes value of securities on loan: | $ | 12,754,280 | $ | 33,190,687 | $ | 61,454,702 |
The accompanying notes are an integral part of these financial statements.
| Oppenheimer Financials Sector Revenue ETF | | Oppenheimer ADR Revenue ETF | | Oppenheimer Ultra Dividend Revenue ETF | |||||||||
ASSETS: | ||||||||||||||
Investments at value (including securities on loan) (Note 3)1 | $ | 25,942,964 | $ | 15,887,746 | $ | 361,255,985 | ||||||||
Cash | 51,245 | 20,933 | 484,892 | |||||||||||
Receivables and other assets: | ||||||||||||||
Dividends | 16,813 | 17,229 | 943,266 | |||||||||||
Capital shares sold | — | — | 8,586,219 | |||||||||||
Investment securities sold | 23,403 | — | 2,646,528 | |||||||||||
Securities lending income, net (Note 4) | 3 | 1,467 | 1,531 | |||||||||||
Reclaims | — | 19,917 | — | |||||||||||
Prepaid expenses | 3,233 | — | 20,616 | |||||||||||
Total Assets | 26,037,661 | 15,947,292 | 373,939,037 | |||||||||||
LIABILITIES: | ||||||||||||||
Payables and other liabilities: | ||||||||||||||
Investment of cash collateral for securities on loan (Note 4) | — | 2,728,590 | 23,048,421 | |||||||||||
Investment securities purchased | — | — | 8,583,792 | |||||||||||
Income Distributions | 69,795 | — | 3,024,310 | |||||||||||
Capital Gains Distributions | — | — | 191,360 | |||||||||||
Management fees (Note 9) | 21,431 | 14,373 | 98,824 | |||||||||||
BNY Fund Services fees | — | 94 | 41,160 | |||||||||||
Professional fees | 7,084 | 9,831 | 9,426 | |||||||||||
Trustee fees | 3,610 | 3,486 | 3,339 | |||||||||||
Other accrued expenses | 3,205 | 3,342 | 2,977 | |||||||||||
Total Liabilities | 105,125 | 2,759,716 | 35,003,609 | |||||||||||
NET ASSETS | $ | 25,932,536 | $ | 13,187,576 | $ | 338,935,428 | ||||||||
Composition of Net Assets: | ||||||||||||||
Paid-in capital | $ | 20,312,165 | $ | 21,646,388 | $ | 318,839,660 | ||||||||
Undistributed net investment income | 21 | 72,431 | 52,395 | |||||||||||
Accumulated undistributed net realized gain (loss) on investments and foreign currency translations | 200,409 | (7,420,364 | ) | 14,348,871 | ||||||||||
Net unrealized appreciation (depreciation) on investments and foreign currency translations | 5,419,941 | (1,110,879 | ) | 5,694,502 | ||||||||||
NET ASSETS | $ | 25,932,536 | $ | 13,187,576 | $ | 338,935,428 | ||||||||
Shares outstanding (unlimited number of shares of beneficial interest authorized, without par value) | 450,000 | 400,000 | 9,900,000 | |||||||||||
Net asset value, offering and redemption price per share1 | $ | 57.63 | $ | 32.97 | $ | 34.24 | ||||||||
Investments at cost | $ | 20,523,023 | $ | 16,998,625 | $ | 355,561,483 | ||||||||
1Includes value of securities on loan: | $ | 158,863 | $ | 2,829,636 | $ | 29,525,912 |
The accompanying notes are an integral part of these financial statements.
| Oppenheimer Global Growth Revenue ETF | | Oppenheimer ESG Revenue ETF | | Oppenheimer Global ESG Revenue ETF | |||||||||
ASSETS: | ||||||||||||||
Investments at value (including securities on loan) (Note 3)1 | $ | 2,425,844 | $ | 21,420,082 | $ | 17,431,510 | ||||||||
Cash | 28,608 | 36,694 | 17,247 | |||||||||||
Foreign currency at value | 11,732 | — | 2,754 | |||||||||||
Receivables and other assets: | ||||||||||||||
Expense reimbursement due from Advisor | — | — | 6,024 | |||||||||||
Dividends | 889 | 29,830 | 33,234 | |||||||||||
Investment securities sold | — | 65,175 | 52,659 | |||||||||||
Securities lending income, net (Note 4) | 18 | 17 | 6 | |||||||||||
Reclaims | 2,901 | — | 459 | |||||||||||
Prepaid expenses | 2,267 | 774 | 630 | |||||||||||
Total Assets | 2,472,259 | 21,552,572 | 17,544,523 | |||||||||||
LIABILITIES: | ||||||||||||||
Payables and other liabilities: | ||||||||||||||
Investment of cash collateral for securities on loan (Note 4) | 24,498 | 31,873 | 40,295 | |||||||||||
Investment securities purchased | 24,769 | — | — | |||||||||||
Income Distributions | — | 96,120 | 64,323 | |||||||||||
Management fees (Note 9) | 10,873 | 201 | — | |||||||||||
BNY Fund Services fees | 23,809 | 2,925 | 13,826 | |||||||||||
Professional fees | 8,517 | 5,919 | 6,174 | |||||||||||
Trustee fees | 3,286 | 2,069 | 2,069 | |||||||||||
Total Liabilities | 95,752 | 139,107 | 126,687 | |||||||||||
NET ASSETS | $ | 2,376,507 | $ | 21,413,465 | $ | 17,417,836 | ||||||||
Composition of Net Assets: | ||||||||||||||
Paid-in capital | $ | 2,489,576 | $ | 20,000,025 | $ | 17,500,025 | ||||||||
Undistributed net investment income (loss) | (3,953 | ) | 235 | 2,523 | ||||||||||
Accumulated undistributed net realized gain (loss) on investments and foreign currency translations | (171,641 | ) | 222,024 | (57,518 | ) | |||||||||
Net unrealized appreciation (depreciation) on investments and foreign currency translations | 62,525 | 1,191,181 | (27,194 | ) | ||||||||||
NET ASSETS | $ | 2,376,507 | $ | 21,413,465 | $ | 17,417,836 | ||||||||
Shares outstanding (unlimited number of shares of beneficial interest authorized, without par value) | 50,000 | 800,001 | 700,001 | |||||||||||
Net asset value, offering and redemption price per share1 | $ | 47.53 | $ | 26.77 | $ | 24.88 | ||||||||
Investments at cost | $ | 2,363,254 | $ | 20,228,901 | $ | 17,458,795 | ||||||||
Foreign currency at cost | 11,563 | — | 2,702 | |||||||||||
1Includes value of securities on loan: | $ | 23,399 | $ | 103,855 | $ | 43,860 |
The accompanying notes are an integral part of these financial statements.
| Oppenheimer Large Cap Revenue ETF | | Oppenheimer Mid Cap Revenue ETF | | Oppenheimer Small Cap Revenue ETF | |||||||||
INVESTMENT INCOME: | ||||||||||||||
Dividend income | �� | $ | 4,807,257 | $ | 2,485,967 | $ | 2,005,137 | |||||||
Foreign withholding tax | — | — | (150 | ) | ||||||||||
Securities lending income, net (Note 4) | 10,462 | 32,933 | 98,189 | |||||||||||
Total Income | 4,817,719 | 2,518,900 | 2,103,176 | |||||||||||
EXPENSES: | ||||||||||||||
Management fees (Note 9) | 874,959 | 474,569 | 786,876 | |||||||||||
BNY Fund Services fees | 180,729 | 118,386 | 165,208 | |||||||||||
Professional fees | 14,363 | 12,767 | 13,823 | |||||||||||
Trustees fees | 6,988 | 5,281 | 6,421 | |||||||||||
AMEX Listing Fees | 2,500 | 2,500 | 2,500 | |||||||||||
Calculating Agent Expense | 1,500 | 1,500 | 1,500 | |||||||||||
Other Expenses | 19,437 | 13,753 | 17,671 | |||||||||||
Total Expenses | 1,100,476 | 628,756 | 993,999 | |||||||||||
Less expense waivers (Note 9) | (175,296 | ) | (128,666 | ) | (165,575 | ) | ||||||||
Net Expenses | 925,180 | 500,090 | 828,424 | |||||||||||
Net Investment Income | 3,892,539 | 2,018,810 | 1,274,752 | |||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: | ||||||||||||||
Net realized gain (loss) on investments | (934,643 | ) | (4,562,636 | ) | 4,060,445 | |||||||||
Net realized gain on in-kind redemptions | 16,848,978 | 3,247,196 | 2,106,704 | |||||||||||
Total net realized gain (loss) | 15,914,335 | (1,315,440 | ) | 6,167,149 | ||||||||||
Net change in unrealized appreciation on investments | 12,518,220 | 27,560,763 | 63,038,865 | |||||||||||
Net realized and unrealized gain on investments | 28,432,555 | 26,245,323 | 69,206,014 | |||||||||||
Net Increase in Net Assets Resulting From Operations | $ | 32,325,094 | $ | 28,264,133 | $ | 70,480,766 |
The accompanying notes are an integral part of these financial statements.
| Oppenheimer Financials Sector Revenue ETF | | Oppenheimer ADR Revenue ETF | | Oppenheimer Ultra Dividend Revenue ETF | |||||||||
INVESTMENT INCOME: | ||||||||||||||
Dividend income | $ | 201,894 | $ | 196,017 | $ | 5,110,041 | ||||||||
Foreign withholding tax | — | (23,034 | ) | — | ||||||||||
Securities lending income, net (Note 4) | 100 | 10,200 | 13,588 | |||||||||||
Total Income | 201,994 | 183,183 | 5,123,629 | |||||||||||
EXPENSES: | ||||||||||||||
Management fees (Note 9) | 48,695 | 38,775 | 411,487 | |||||||||||
BNY Fund Services fees | 22,754 | 22,803 | 106,134 | |||||||||||
Professional fees | 11,179 | 9,931 | 11,028 | |||||||||||
Trustees fees | 3,260 | 3,171 | 3,785 | |||||||||||
AMEX Listing Fees | 2,500 | 2,500 | 2,500 | |||||||||||
Calculating Agent Expense | 1,500 | 1,500 | 1,500 | |||||||||||
Other Expenses | 4,055 | 4,003 | 6,935 | |||||||||||
Total Expenses | 93,943 | 82,683 | 543,369 | |||||||||||
Less expense waivers (Note 9) | (40,919 | ) | (51,017 | ) | (111,719 | ) | ||||||||
Net Expenses | 53,024 | 31,666 | 431,650 | |||||||||||
Net Investment Income | 148,970 | 151,517 | 4,691,979 | |||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: | ||||||||||||||
Net realized gain (loss) on investments | 360,384 | (281,209 | ) | (930,183 | ) | |||||||||
Net realized gain on in-kind redemptions | 389,306 | — | 17,852,092 | |||||||||||
Total net realized gain (loss) | 749,690 | (281,209 | ) | 16,921,909 | ||||||||||
Net change in unrealized appreciation (depreciation) on investments | 4,172,203 | 1,179,655 | (229,007 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) | — | 1,179,655 | (229,007 | ) | ||||||||||
Net realized and unrealized gain on investments | 4,921,893 | 898,446 | 16,692,902 | |||||||||||
Net Increase in Net Assets Resulting From Operations | $ | 5,070,863 | $ | 1,049,963 | $ | 21,384,881 |
The accompanying notes are an integral part of these financial statements.
| Oppenheimer Global Growth Revenue ETF | | Oppenheimer ESG Revenue ETF1 | | Oppenheimer Global ESG Revenue ETF1 | |||||||||
INVESTMENT INCOME: | ||||||||||||||
Dividend income | $ | 32,510 | $ | 110,651 | $ | 84,812 | ||||||||
Foreign withholding tax | (6,284 | ) | — | (4,689 | ) | |||||||||
Securities lending income, net (Note 4) | 99 | 20 | 7 | |||||||||||
Total Income | 26,325 | 110,671 | 80,130 | |||||||||||
EXPENSES: | ||||||||||||||
Management fees (Note 9) | 7,329 | 14,316 | 13,284 | |||||||||||
BNY Fund Services fees | 38,815 | 2,925 | 13,825 | |||||||||||
Professional fees | 10,357 | 5,919 | 6,174 | |||||||||||
Trustees fees | 3,015 | 2,069 | 2,069 | |||||||||||
AMEX Listing Fees | 2,500 | 1,276 | 1,276 | |||||||||||
Calculating Agent Expense | 1,500 | 766 | 766 | |||||||||||
Other Expenses | 2,692 | 1,342 | 1,342 | |||||||||||
Total Expenses | 66,208 | 28,613 | 38,736 | |||||||||||
Less expense waivers (Note 9) | (58,879 | ) | (14,297 | ) | (25,452 | ) | ||||||||
Net Expenses | 7,329 | 14,316 | 13,284 | |||||||||||
Net Investment Income | 18,996 | 96,355 | 66,846 | |||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: | ||||||||||||||
Net realized gain (loss) on investments | 107,019 | 222,024 | (63,639 | ) | ||||||||||
Net realized gain on foreign currency translation | 111,305 | — | 6,121 | |||||||||||
Total net realized gain (loss) | 218,324 | 222,024 | (57,518 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) on investments | 24,862 | 1,191,181 | (27,285 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) on foreign currency translations | (162 | ) | — | 91 | ||||||||||
Net change in unrealized appreciation (depreciation) | 24,700 | 1,191,181 | (27,194 | ) | ||||||||||
Net realized and unrealized gain (loss) on investments | 243,024 | 1,413,205 | (84,712 | ) | ||||||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 262,020 | $ | 1,509,560 | $ | (17,866 | ) |
1 | Commencement of Operations was October 31, 2016. |
The accompanying notes are an integral part of these financial statements.
Oppenheimer Large Cap Revenue ETF | | Oppenheimer Mid Cap Revenue ETF | | Oppenheimer Small Cap Revenue ETF | ||||||||||||||||||||
Six Months Ended December 31, 2016 (Unaudited) | | Year Ended June 30, 2016 | | Six Months Ended December 31, 2016 (Unaudited) | | Year Ended June 30, 2016 | | Six Months Ended December 31, 2016 (Unaudited) | | Year Ended June 30, 2016 | ||||||||||||||
OPERATIONS: | ||||||||||||||||||||||||
Net investment income | $ | 3,892,539 | $ | 6,372,289 | $ | 2,018,810 | $ | 1,974,899 | $ | 1,274,752 | $ | 2,151,661 | ||||||||||||
Net realized gain (loss) on investments and in-kind redemptions | 15,914,335 | 18,970,873 | (1,315,440 | ) | 16,355,307 | 6,167,149 | 7,656,054 | |||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments | 12,518,220 | (21,568,369 | ) | 27,560,763 | (29,452,236 | ) | 63,038,865 | (35,767,955 | ) | |||||||||||||||
Net increase (decrease) in net assets resulting from operations | 32,325,094 | 3,774,793 | 28,264,133 | (11,122,030 | ) | 70,480,766 | (25,960,240 | ) | ||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||||||||||||||||||||
Net investment income | (5,560,398 | ) | (6,322,234 | ) | (2,338,560 | ) | (2,125,196 | ) | (1,546,626 | ) | (2,283,532 | ) | ||||||||||||
Realized gains | — | (234,442 | ) | — | — | — | — | |||||||||||||||||
Total distributions to shareholders | (5,560,398 | ) | (6,556,676 | ) | (2,338,560 | ) | (2,125,196 | ) | (1,546,626 | ) | (2,283,532 | ) | ||||||||||||
SHAREHOLDER TRANSACTIONS: | ||||||||||||||||||||||||
Proceeds from shares sold | 132,804,122 | 95,604,911 | 42,260,911 | 73,461,233 | 91,802,675 | 68,728,756 | ||||||||||||||||||
Cost of shares redeemed | (41,231,932 | ) | (69,825,570 | ) | (10,850,731 | ) | (116,054,019 | ) | (14,945,774 | ) | (117,579,966 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from shareholder transactions | 91,572,190 | 25,779,341 | 31,410,180 | (42,592,786 | ) | 76,856,901 | (48,851,210 | ) | ||||||||||||||||
Increase (Decrease) in net assets | 118,336,886 | 22,997,458 | 57,335,753 | (55,840,012 | ) | 145,791,041 | (77,094,982 | ) | ||||||||||||||||
NET ASSETS: | ||||||||||||||||||||||||
Beginning of period | 366,678,967 | 343,681,509 | 186,252,036 | 242,092,048 | 297,421,228 | 374,516,210 | ||||||||||||||||||
End of period | $ | 485,015,853 | $ | 366,678,967 | $ | 243,587,789 | $ | 186,252,036 | $ | 443,212,269 | $ | 297,421,228 | ||||||||||||
Undistributed net investment income (loss) included in net assets at end of period | $ | (49,278 | ) | $ | 1,618,581 | $ | 1,232 | $ | 320,982 | $ | 11,588 | $ | 283,462 | |||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||||||||||
Shares outstanding, beginning of period | 9,001,400 | 8,401,400 | 3,901,400 | 4,901,400 | 5,401,400 | 6,451,400 | ||||||||||||||||||
Shares sold | 3,100,000 | 2,400,000 | 800,000 | 1,550,000 | 1,450,000 | 1,300,000 | ||||||||||||||||||
Shares redeemed | (950,000 | ) | (1,800,000 | ) | (200,000 | ) | (2,550,000 | ) | (250,000 | ) | (2,350,000 | ) | ||||||||||||
Shares outstanding, end of period | 11,151,400 | 9,001,400 | 4,501,400 | 3,901,400 | 6,601,400 | 5,401,400 |
The accompanying notes are an integral part of these financial statements.
| Oppenheimer Financials Sector Revenue ETF | | Oppenheimer ADR Revenue ETF | |||||||||||||||
| Six Months Ended December 31, 2016 (Unaudited) | | Year Ended June 30, 2016 | | Six Months Ended December 31, 2016 (Unaudited) | | Year Ended June 30, 2016 | |||||||||||
OPERATIONS: | ||||||||||||||||||
Net investment income | $ | 148,970 | $ | 351,216 | $ | 151,517 | $ | 580,766 | ||||||||||
Net realized gain (loss) on investments, in-kind redemptions and foreign currency translations | 749,690 | 1,465,095 | (281,209 | ) | (2,777,443 | ) | ||||||||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations | 4,172,203 | (4,166,644 | ) | 1,179,655 | (2,438,760 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from operations | 5,070,863 | (2,350,333 | ) | 1,049,963 | (4,635,437 | ) | ||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||||||||||||||
Net investment income | (218,190 | ) | (372,325 | ) | (240,392 | ) | (727,010 | ) | ||||||||||
Total distributions to shareholders | (218,190 | ) | (372,325 | ) | (240,392 | ) | (727,010 | ) | ||||||||||
SHAREHOLDER TRANSACTIONS: | ||||||||||||||||||
Proceeds from shares sold | 2,937,351 | — | — | 1,797,937 | ||||||||||||||
Cost of shares redeemed | (2,381,373 | ) | (9,266,481 | ) | — | (9,882,334 | ) | |||||||||||
Net increase (decrease) in net assets resulting from shareholder transactions | 555,978 | (9,266,481 | ) | — | (8,084,397 | ) | ||||||||||||
Increase (Decrease) in net assets | 5,408,651 | (11,989,139 | ) | 809,571 | (13,446,844 | ) | ||||||||||||
NET ASSETS: | ||||||||||||||||||
Beginning of period | 20,523,885 | 32,513,024 | 12,378,005 | 25,824,849 | ||||||||||||||
End of period | $ | 25,932,536 | $ | 20,523,885 | $ | 13,187,576 | $ | 12,378,005 | ||||||||||
Undistributed net investment income included in net assets at end of period | $ | 21 | $ | 69,241 | $ | 72,431 | $ | 161,306 | ||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||||
Shares outstanding, beginning of period | 450,000 | 650,000 | 400,000 | 700,000 | ||||||||||||||
Shares sold | 50,000 | — | — | 50,000 | ||||||||||||||
Shares redeemed | (50,000 | ) | (200,000 | ) | — | (350,000 | ) | |||||||||||
Shares outstanding, end of period | 450,000 | 450,000 | 400,000 | 400,000 |
The accompanying notes are an integral part of these financial statements.
| Oppenheimer Ultra Dividend Revenue ETF | | Oppenheimer Global Growth Revenue ETF | | Oppenheimer ESG Revenue ETF | |||||||||||||||||
| Six Months Ended December 31, 2016 (Unaudited) | | Year Ended June 30, 2016 | | Six Months Ended December 31, 2016 (Unaudited) | | Year Ended June 30, 2016 | | For the Period October 31, 20161 to December 31, 2016 | |||||||||||||
OPERATIONS: | ||||||||||||||||||||||
Net investment income | $ | 4,691,979 | $ | 2,813,311 | $ | 18,996 | $ | 43,067 | $ | 96,355 | ||||||||||||
Net realized gain (loss) on investments, in-kind redemptions and foreign currency translations | 16,921,909 | (2,382,122 | ) | 218,324 | (474,932 | ) | 222,024 | |||||||||||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations | (229,007 | ) | 8,519,386 | 24,700 | 164,824 | 1,191,181 | ||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 21,384,881 | 8,950,575 | 262,020 | (267,041 | ) | 1,509,560 | ||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||||||||||||||||||
Net investment income | (5,402,944 | ) | (2,568,683 | ) | (24,307 | ) | (73,286 | ) | (96,120 | ) | ||||||||||||
Realized gains | (191,360 | ) | — | — | (143,071 | ) | — | |||||||||||||||
Total distributions to shareholders | (5,594,304 | ) | (2,568,683 | ) | (24,307 | ) | (216,357 | ) | (96,120 | ) | ||||||||||||
SHAREHOLDER TRANSACTIONS: | ||||||||||||||||||||||
Proceeds from shares sold | 358,357,213 | 101,389,903 | — | — | 20,000,025 | |||||||||||||||||
Cost of shares redeemed | (145,541,976 | ) | (63,696,211 | ) | — | (2,466,939 | ) | — | ||||||||||||||
Net increase (decrease) in net assets resulting from shareholder transactions | 212,815,237 | 37,693,692 | — | (2,466,939 | ) | 20,000,025 | ||||||||||||||||
Increase (Decrease) in net assets | 228,605,814 | 44,075,584 | 237,713 | (2,950,337 | ) | 21,413,465 | ||||||||||||||||
NET ASSETS: | ||||||||||||||||||||||
Beginning of period | 110,329,614 | 66,254,030 | 2,138,794 | 5,089,131 | — | |||||||||||||||||
End of period | $ | 338,935,428 | $ | 110,329,614 | $ | 2,376,507 | $ | 2,138,794 | $ | 21,413,465 | ||||||||||||
Undistributed net investment income (loss) included in net assets at end of period | $ | 52,395 | $ | 763,360 | $ | (3,953 | ) | $ | 1,358 | $ | 235 | |||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||||||||
Shares outstanding, beginning of period | 3,500,000 | 2,300,000 | 50,000 | 100,000 | — | |||||||||||||||||
Shares sold | 10,650,000 | 3,350,000 | — | — | 800,001 | |||||||||||||||||
Shares redeemed | (4,250,000 | ) | (2,150,000 | ) | — | (50,000 | ) | — | ||||||||||||||
Shares outstanding, end of period | 9,900,000 | 3,500,000 | 50,000 | 50,000 | 800,001 |
1 | Commencement of operations. |
The accompanying notes are an integral part of these financial statements.
| Oppenheimer Global ESG Revenue ETF | |||||
| For the Period October 31, 20161 to December 31, 2016 | |||||
OPERATIONS: | ||||||
Net investment income | $ | 66,846 | ||||
Net realized loss on investments | (57,518 | ) | ||||
Net change in unrealized depreciation on investments and foreign currency translations | (27,194 | ) | ||||
Net decrease in net assets resulting from operations | (17,866 | ) | ||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||
Net investment income | (64,323 | ) | ||||
Total distributions to shareholders | (64,323 | ) | ||||
SHAREHOLDER TRANSACTIONS: | ||||||
Proceeds from shares sold | 17,500,025 | |||||
Net increase in net assets resulting from shareholder transactions | 17,500,025 | |||||
Increase in net assets | 17,417,836 | |||||
NET ASSETS: | ||||||
Beginning of period | — | |||||
End of period | $ | 17,417,836 | ||||
Undistributed net investment income included in net assets at end of period | $ | 2,523 | ||||
CHANGES IN SHARES OUTSTANDING: | ||||||
Shares outstanding, beginning of period | — | |||||
Shares sold | 700,001 | |||||
Shares redeemed | — | |||||
Shares outstanding, end of period | 700,001 |
1 | Commencement of operations. |
The accompanying notes are an integral part of these financial statements.
Financial Highlights
For a share outstanding throughout each period presented.
Six-Months Ended December 31, 2016 (Unaudited) | Year Ended June 30, | |||||||||||||||||||||||||
| | 2016 | | 2015 | | 2014 | | 2013 | | 2012 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 40.74 | $ | 40.91 | $ | 38.56 | $ | 31.38 | $ | 25.20 | $ | 25.00 | ||||||||||||||
Net investment income1 | 0.40 | 0.76 | 0.68 | 0.59 | 0.54 | 2 | 0.41 | |||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 2.91 | (0.14 | ) | 2.35 | 7.13 | 6.17 | 0.21 | 3 | ||||||||||||||||||
Total gain from investment operations | 3.31 | 0.62 | 3.03 | 7.72 | 6.71 | 0.62 | ||||||||||||||||||||
Less Distributions from: | ||||||||||||||||||||||||||
Net investment income | (0.56 | ) | (0.76 | ) | (0.64 | ) | (0.54 | ) | (0.53 | ) | (0.42 | ) | ||||||||||||||
Realized gains | — | (0.03 | ) | (0.04 | ) | — | — | — | ||||||||||||||||||
Total distributions | (0.56 | ) | (0.79 | ) | (0.68 | ) | (0.54 | ) | (0.53 | ) | (0.42 | ) | ||||||||||||||
Net asset value, end of period | $ | 43.49 | $ | 40.74 | $ | 40.91 | $ | 38.56 | $ | 31.38 | $ | 25.20 | ||||||||||||||
Total Return at Net Asset Value4 | 8.20 | % | 1.55 | % | 7.91 | % | 24.84 | % | 26.98 | % | 2.59 | % | ||||||||||||||
Total Return at Market Value4 | 8.20 | % | 1.61 | % | 7.85 | % | 25.10 | % | 28.86 | % | 2.57 | % | ||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||
Net assets, end of period (000’s) omitted | $ | 485,016 | $ | 366,679 | $ | 343,682 | $ | 242,970 | $ | 182,025 | $ | 156,284 | ||||||||||||||
Average Net Assets (000’s) omitted | 406,723 | 331,701 | 296,609 | 201,920 | 163,192 | 165,508 | ||||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||||
Expenses, net of expense waivers and reimbursements | 0.45 | %5 | 0.49 | % | 0.49 | % | 0.49 | % | 0.49 | % | 0.49 | % | ||||||||||||||
Expenses, prior to expense waivers and reimbursements | 0.54 | %5 | 0.62 | % | 0.61 | % | 0.68 | % | 0.71 | % | 0.75 | % | ||||||||||||||
Net investment income, net of waivers and reimbursements | 1.90 | %5 | 1.92 | % | 1.70 | % | 1.66 | % | 1.93 %2 | 1.72 | % | |||||||||||||||
Portfolio turnover rate6 | 5.01 | % | 14.13 | % | 18.79 | % | 11.98 | % | 23.47 | % | 29.05 | % |
1 | Based on average daily shares outstanding. |
2 | For the year ended June 30, 2013, net investment income per share reflects a special dividend which amounted to $0.02 per share. Excluding the special dividend, the ratio of net investment income to average net assets would have been 1.85%. |
3 | The amount of net gain from securities (both realized and unrealized) per share does not accord with the amounts reported in the Statement of Operations due to the timing of purchases and redemptions of Fund shares during the year. |
4 | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at net asset value. Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at market value during the period, and sale at the market value on the last day of the period. Market value is determined by trading that occurs on the NYSE Arca, and may be greater or less than net asset value, depending on the 4 p.m. mean of the bid and offer prices for a share of the Fund. Total return calculated for a period of less than one year is not annualized. The total return would have been lower if certain expenses had not been reimbursed/waived by the Adviser. |
5 | Annualized. |
6 | Portfolio turnover rate is not annualized and excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. |
The accompanying notes are an integral part of these financial statements.
Financial Highlights — continued
For a share outstanding throughout each period presented.
Six-Months Ended December 31, 2016 (Unaudited) | Year Ended June 30, | |||||||||||||||||||||||||
| | 2016 | | 2015 | | 2014 | | 2013 | | 2012 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 47.74 | $ | 49.39 | $ | 47.75 | $ | 38.00 | $ | 29.88 | $ | 31.69 | ||||||||||||||
Net investment income1 | 0.50 | 2 | 0.44 | 0.41 | 0.34 | 0.39 | 3 | 0.23 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 6.42 | (1.63 | ) | 1.79 | 9.97 | 8.18 | (1.15 | ) | ||||||||||||||||||
Total gain (loss) from investment operations | 6.92 | (1.19 | ) | 2.20 | 10.31 | 8.57 | (0.92 | ) | ||||||||||||||||||
Less Distributions from: | ||||||||||||||||||||||||||
Net investment income | (0.55 | ) | (0.46 | ) | (0.39 | ) | (0.34 | ) | (0.31 | ) | (0.22 | ) | ||||||||||||||
Realized gains | — | — | (0.17 | ) | (0.22 | ) | (0.14 | ) | (0.67 | ) | ||||||||||||||||
Total distributions | (0.55 | ) | (0.46 | ) | (0.56 | ) | (0.56 | ) | (0.45 | ) | (0.89 | ) | ||||||||||||||
Net asset value, end of period | $ | 54.11 | $ | 47.74 | $ | 49.39 | $ | 47.75 | $ | 38.00 | $ | 29.88 | ||||||||||||||
Total Return at Net Asset Value4 | 14.56 | % | (2.39 | )% | 4.63 | % | 27.28 | % | 28.95 | % | (2.72 | )% | ||||||||||||||
Total Return at Market Value4 | 14.52 | % | (2.38 | )% | 5.05 | % | 27.14 | % | 29.25 | % | (2.80 | )% | ||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||
Net assets, end of period (000’s) omitted | $ | 243,588 | $ | 186,252 | $ | 242,092 | $ | 205,404 | $ | 123,565 | $ | 122,557 | ||||||||||||||
Average Net Assets (000’s) omitted | 205,688 | 210,021 | 223,753 | 167,424 | 115,203 | 128,669 | ||||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||||
Expenses, net of expense waivers and reimbursements | 0.48 | %5 | 0.54 | % | 0.54 | % | 0.54 | % | 0.54 | % | 0.54 | % | ||||||||||||||
Expenses, prior to expense waivers and reimbursements | 0.61 | %5 | 0.72 | % | 0.68 | % | 0.73 | % | 0.80 | % | 0.82 | % | ||||||||||||||
Net investment income, net of waivers and reimbursements | 1.95 | %2,5 | 0.94 | % | 0.84 | % | 0.78 | % | 1.17 | %3 | 0.77 | % | ||||||||||||||
Portfolio turnover rate6 | 24.64 | % | 22.23 | % | 13.93 | % | 24.19 | % | 44.42 | % | 55.02 | % |
1 | Based on average daily shares outstanding. |
2 | Net investment per share and the net investment income ratio include $0.16 and 0.63%, respectively, resulting from a special dividend from Cousins Properties, Inc in 2016. |
3 | For the year ended June 30, 2013, net investment income per share reflects a special dividend which amounted to $0.05 per share. Excluding the special dividend, the ratio of net investment income to average net assets would have been 1.03%. |
4 | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at net asset value. Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at market value during the period, and sale at the market value on the last day of the period. Market value is determined by trading that occurs on the NYSE Arca, and may be greater or less than net asset value, depending on the 4 p.m. mean of the bid and offer prices for a share of the Fund. Total return calculated for a period of less than one year is not annualized. The total return would have been lower if certain expenses had not been reimbursed/waived by the Adviser. |
5 | Annualized. |
6 | Portfolio turnover rate is not annualized and excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. |
The accompanying notes are an integral part of these financial statements.
Financial Highlights — continued
For a share outstanding throughout each period presented.
Six-Months Ended December 31, 2016 (Unaudited) | Year Ended June 30, | |||||||||||||||||||||||||
| | 2016 | | 2015 | | 2014 | | 2013 | | 2012 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 55.06 | $ | 58.05 | $ | 56.25 | $ | 43.82 | $ | 33.71 | $ | 34.47 | ||||||||||||||
Net investment income1 | 0.22 | 0.36 | 0.39 | 0.26 | 0.38 | 2 | 0.20 | |||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 12.12 | (2.97 | ) | 1.89 | 12.81 | 10.22 | (0.81 | ) | ||||||||||||||||||
Total gain (loss) from investment operations | 12.34 | (2.61 | ) | 2.28 | 13.07 | 10.60 | (0.61 | ) | ||||||||||||||||||
Less Distributions from: | ||||||||||||||||||||||||||
Net investment income | (0.26 | ) | (0.38 | ) | (0.38 | ) | (0.52 | ) | (0.35 | ) | (0.15 | ) | ||||||||||||||
Realized gains | — | — | (0.10 | ) | (0.12 | ) | (0.14 | ) | — | |||||||||||||||||
Total distributions | (0.26 | ) | (0.38 | ) | (0.48 | ) | (0.64 | ) | (0.49 | ) | (0.15 | ) | ||||||||||||||
Net asset value, end of period | $ | 67.14 | $ | 55.06 | $ | 58.05 | $ | 56.25 | $ | 43.82 | $ | 33.71 | ||||||||||||||
Total Return at Net Asset Value3 | 22.45 | % | (4.46 | )% | 4.06 | % | 30.03 | % | 31.74 | % | (1.75 | )% | ||||||||||||||
Total Return at Market Value3 | 22.60 | % | (4.51 | )% | 4.24 | % | 30.38 | % | 31.53 | % | (1.67 | )% | ||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||
Net assets, end of period (000’s) omitted | $ | 443,212 | $ | 297,421 | $ | 374,516 | $ | 292,584 | $ | 153,441 | $ | 109,601 | ||||||||||||||
Average Net Assets (000’s) omitted | 342,121 | 317,271 | 322,714 | 232,088 | 129,239 | 114,027 | ||||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||||
Expenses, net of expense waivers and reimbursements | 0.48 | %4 | 0.54 | % | 0.54 | % | 0.54 | % | 0.54 | % | 0.54 | % | ||||||||||||||
Expenses, prior to expense waivers and reimbursements | 0.58 | %4 | 0.68 | % | 0.67 | % | 0.72 | % | 0.79 | % | 0.84 | % | ||||||||||||||
Net investment income, net of waivers and reimbursements | 0.74 | %4 | 0.68 | % | 0.69 | % | 0.51 | % | 0.99 | %2 | 0.61 | % | ||||||||||||||
Portfolio turnover rate5 | 24.76 | % | 44.07 | % | 21.21 | % | 10.69 | % | 39.39 | % | 47.80 | % |
1 | Based on average daily shares outstanding. |
2 | For the year ended June 30, 2013, net investment income per share reflects a special dividend which amounted to $0.12 per share. Excluding the special dividend, the ratio of net investment income to average net assets would have been 0.69%. |
3 | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at net asset value. Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at market value during the period, and sale at the market value on the last day of the period. Market value is determined by trading that occurs on the NYSE Arca, and may be greater or less than net asset value, depending on the 4 p.m. mean of the bid and offer prices for a share of the Fund. Total return calculated for a period of less than one year is not annualized. The total return would have been lower if certain expenses had not been reimbursed/waived by the Adviser. |
4 | Annualized. |
5 | Portfolio turnover rate is not annualized and excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. |
The accompanying notes are an integral part of these financial statements.
Financial Highlights — continued
For a share outstanding throughout each period presented.
Six-Months Ended December 31, 2016 (Unaudited) | Year Ended June 30, | |||||||||||||||||||||||||
| | 2016 | | 2015 | | 2014 | | 2013 | | 2012 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 45.61 | $ | 50.02 | $ | 46.54 | $ | 39.35 | $ | 27.62 | $ | 29.70 | ||||||||||||||
Net investment income1 | 0.35 | 0.66 | 0.54 | 0.45 | 0.38 | 2 | 0.26 | |||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 12.18 | (4.38 | ) | 3.44 | 7.17 | 11.71 | (2.05 | ) | ||||||||||||||||||
Total gain (loss) from investment operations | 12.53 | (3.72 | ) | 3.98 | 7.62 | 12.09 | (1.79 | ) | ||||||||||||||||||
Less Distributions from: | ||||||||||||||||||||||||||
Net investment income | (0.51 | ) | (0.69 | ) | (0.50 | ) | (0.43 | ) | (0.36 | ) | (0.29 | ) | ||||||||||||||
Net asset value, end of period | $ | 57.63 | $ | 45.61 | $ | 50.02 | $ | 46.54 | $ | 39.35 | $ | 27.62 | ||||||||||||||
Total Return at Net Asset Value3 | 27.66 | % | (7.49 | )% | 8.57 | % | 19.44 | % | 44.09 | % | (5.95 | )% | ||||||||||||||
Total Return at Market Value3 | 27.89 | % | (7.58 | )% | 8.66 | % | 19.32 | % | 44.24 | % | (5.93 | )% | ||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||
Net assets, end of period (000’s) omitted | $ | 25,933 | $ | 20,524 | $ | 32,513 | $ | 32,577 | $ | 29,509 | $ | 9,667 | ||||||||||||||
Average Net Assets (000’s) omitted | 21,466 | 25,009 | 33,925 | 31,390 | 12,464 | 8,638 | ||||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||||
Expenses, net of expense waivers and reimbursements | 0.49 | %4 | 0.49 | % | 0.49 | % | 0.49 | % | 0.49 | % | 0.49 | % | ||||||||||||||
Expenses, prior to expense waivers and reimbursements | 0.87 | %4 | 0.91 | % | 0.77 | % | 0.80 | % | 1.03 | % | 1.29 | % | ||||||||||||||
Net investment income, net of waivers and reimbursements | 1.38 | %4 | 1.40 | % | 1.11 | % | 1.03 | % | 1.12 | %2 | 0.98 | % | ||||||||||||||
Portfolio turnover rate5 | 11.95 | % | 20.42 | % | 12.79 | % | 13.27 | % | 20.20 | % | 26.17 | % |
1 | Based on average daily shares outstanding. |
2 | For the year ended June 30, 2013, net investment income per share reflects a special dividend which amounted to $0.004 per share. Excluding the special dividend, the ratio of net investment income to average net assets would have been 1.11%. |
3 | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at net asset value. Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at market value during the period, and sale at the market value on the last day of the period. Market value is determined by trading that occurs on the NYSE Arca, and may be greater or less than net asset value, depending on the 4 p.m. mean of the bid and offer prices for a share of the Fund. Total return calculated for a period of less than one year is not annualized. The total return would have been lower if certain expenses had not been reimbursed/waived by the Adviser. |
4 | Annualized. |
5 | Portfolio turnover rate is not annualized and excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. |
The accompanying notes are an integral part of these financial statements.
Financial Highlights — continued
For a share outstanding throughout each period presented.
Six-Months Ended December 31, 2016 (Unaudited) | Year Ended June 30, | |||||||||||||||||||||||||
| | 2016 | | 2015 | | 2014 | | 2013 | | 2012 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 30.95 | $ | 36.89 | $ | 41.82 | $ | 34.45 | $ | 31.81 | $ | 39.84 | ||||||||||||||
Net investment income1 | 0.38 | 0.91 | 1.07 | 1.33 | 0.97 | 2 | 1.00 | |||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 2.24 | (5.78 | ) | (4.83 | ) | 7.24 | 2.47 | (7.47 | ) | |||||||||||||||||
Total gain (loss) from investment operations | 2.62 | (4.87 | ) | (3.76 | ) | 8.57 | 3.44 | (6.47 | ) | |||||||||||||||||
Less Distributions from: | ||||||||||||||||||||||||||
Net investment income | (0.60 | ) | (1.07 | ) | (1.17 | ) | (1.20 | ) | (0.80 | ) | (1.33 | ) | ||||||||||||||
Realized gains | — | — | — | — | — | (0.23 | ) | |||||||||||||||||||
Total distributions | (0.60 | ) | (1.07 | ) | (1.17 | ) | (1.20 | ) | (0.80 | ) | (1.56 | ) | ||||||||||||||
Net asset value, end of period | $ | 32.97 | $ | 30.95 | $ | 36.89 | $ | 41.82 | $ | 34.45 | $ | 31.81 | ||||||||||||||
Total Return at Net Asset Value3 | 8.63 | % | (13.32 | )%6 | (9.13 | )% | 25.38 | % | 10.87 | % | (16.30 | )% | ||||||||||||||
Total Return at Market Value3 | 8.73 | % | (13.47 | )%6 | (9.08 | )% | 25.39 | % | 10.76 | % | (16.32 | )% | ||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||
Net assets, end of period (000’s) omitted | $ | 13,188 | $ | 12,378 | $ | 25,825 | $ | 23,000 | $ | 24,118 | $ | 36,587 | ||||||||||||||
Average Net Assets (000’s) omitted | 12,820 | 19,956 | 24,074 | 22,885 | 28,629 | 42,642 | ||||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||||
Expenses, net of expense waivers and reimbursements | 0.49 | %4 | 0.49 | % | 0.49 | % | 0.49 | % | 0.49 | % | 0.49 | % | ||||||||||||||
Expenses, prior to expense waivers and reimbursements | 1.28 | %4 | 1.15 | % | 1.01 | % | 1.04 | % | 1.06 | % | 1.05 | % | ||||||||||||||
Net investment income, net of waivers and reimbursements | 2.34 | %4 | 2.91 | % | 2.80 | % | 3.47 | % | 2.83 | %2 | 2.97 | % | ||||||||||||||
Portfolio turnover rate5 | 12.00 | % | 26.31 | % | 25.62 | % | 21.31 | % | 21.02 | % | 35.04 | % |
1 | Based on average daily shares outstanding. |
2 | For the year ended June 30, 2013, net investment income per share reflects a special dividend which amounted to $0.003 per share. Excluding the special dividend, the ratio of net investment income to average net assets would have been 2.82%. |
3 | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at net asset value. Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at market value during the period, and sale at the market value on the last day of the period. Market value is determined by trading that occurs on the NYSE Arca, and may be greater or less than net asset value, depending on the 4 p.m. mean of the bid and offer prices for a share of the Fund. Total return calculated for a period of less than one year is not annualized. The total return would have been lower if certain expenses had not been reimbursed/waived by the Adviser. |
4 | Annualized. |
5 | Portfolio turnover rate is not annualized and excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. |
6 | The return includes adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes. |
The accompanying notes are an integral part of these financial statements.
Financial Highlights — continued
For a share outstanding throughout each period presented.
Six-Months Ended December 31, 2016 (Unaudited) | Year Ended June 30, | For the Period October 1, 20131 Through June 30, 2014 | ||||||||||||||||
| | 2016 | | 2015 | | |||||||||||||
Per Share Operating Performance: | ||||||||||||||||||
Net asset value, beginning of period | $ | 31.52 | $ | 28.81 | $ | 28.72 | $ | 24.87 | ||||||||||
Net investment income2 | 0.79 | 1.21 | 1.20 | 0.91 | ||||||||||||||
Net realized and unrealized gain on investments | 2.75 | 2.66 | 0.03 | 3 | 3.39 | |||||||||||||
Total gain from investment operations | 3.54 | 3.87 | 1.23 | 4.30 | ||||||||||||||
Less Distributions from: | ||||||||||||||||||
Net investment income | (0.80 | ) | (1.16 | ) | (1.11 | ) | (0.45 | ) | ||||||||||
Realized gains | (0.02 | ) | — | (0.03 | ) | — | ||||||||||||
Total distributions | (0.82 | ) | (1.16 | ) | (1.14 | ) | (0.45 | ) | ||||||||||
Net asset value, end of period | $ | 34.24 | $ | 31.52 | $ | 28.81 | $ | 28.72 | ||||||||||
Total Return at Net Asset Value4 | 11.35 | % | 13.91 | % | 4.30 | % | 17.46 | % | ||||||||||
Total Return at Market Value4 | 11.40 | % | 13.90 | % | 4.19 | % | 17.58 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||
Net assets, end of period (000’s) omitted | $ | 338,935 | $ | 110,330 | $ | 66,254 | $ | 22,976 | ||||||||||
Average Net Assets (000’s) omitted | 193,915 | 67,190 | 47,799 | 10,504 | ||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||
Expenses, net of expense waivers and reimbursements | 0.44 | %5 | 0.49 | % | 0.49 | % | 0.49 | %5 | ||||||||||
Expenses, prior to expense waivers and reimbursements | 0.56 | %5 | 0.75 | % | 0.72 | % | 1.18 | %5 | ||||||||||
Net investment income, net of waivers and reimbursements | 4.80 | %5 | 4.19 | % | 4.06 | % | 4.57 | %5 | ||||||||||
Portfolio turnover rate6 | 2.29 | % | 208.25 | % | 51.83 | % | 37.43 | % |
1 | Commencement of operations. |
2 | Based on average daily shares outstanding. |
3 | The amount shown for a share outstanding throughout the period may not correlate with the Statements of Operations for the period due to timing of sales and repurchase of creation unit Fund shares in relation to income earned and/or fluctuating market value of the investments of the Fund. |
4 | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at net asset value. Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at market value during the period, and sale at the market value on the last day of the period. Market value is determined by trading that occurs on the NYSE Arca, and may be greater or less than net asset value, depending on the 4 p.m. mean of the bid and offer prices for a share of the Fund. Total return calculated for a period of less than one year is not annualized. The total return would have been lower if certain expenses had not been reimbursed/waived by the Adviser. |
5 | Annualized. |
6 | Portfolio turnover rate is not annualized and excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. |
The accompanying notes are an integral part of these financial statements.
Financial Highlights — continued
For a share outstanding throughout each period presented.
| Six-Months Ended December 31, 2016 (Unaudited) | | Year Ended June 30, 2016 | | For the Period February 02, 20151 Through June 30, 2015 | |||||||||
Per Share Operating Performance: | ||||||||||||||
Net asset value, beginning of period | $ | 42.78 | $ | 50.89 | $ | 50.00 | ||||||||
Net investment income2 | 0.38 | 0.77 | 0.67 | |||||||||||
Net realized and unrealized gain (loss) on investments | 4.86 | (5.20 | ) | 0.25 | ||||||||||
Total gain (loss) from investment operations | 5.24 | (4.43 | ) | 0.92 | ||||||||||
Less Distributions from: | ||||||||||||||
Net investment income | (0.49 | ) | (0.82 | ) | (0.03 | ) | ||||||||
Realized gains | — | (2.86 | ) | — | ||||||||||
Total distributions | (0.49 | ) | (3.68 | ) | (0.03 | ) | ||||||||
Net asset value, end of period | $ | 47.53 | $ | 42.78 | $ | 50.89 | ||||||||
Total Return at Net Asset Value3 | 12.29 | % | (8.60 | )% | 1.83 | % | ||||||||
Total Return at Market Value3 | 10.35 | % | (6.93 | )% | 1.09 | % | ||||||||
Ratios/Supplemental Data: | ||||||||||||||
Net assets, end of period (000’s) omitted | $ | 2,377 | $ | 2,139 | $ | 5,089 | ||||||||
Average Net Assets (000’s) omitted | 2,258 | 2,527 | 5,244 | |||||||||||
Ratio to average net assets of: | ||||||||||||||
Expenses, net of expense waivers and reimbursements | 0.64 | %4 | 0.70 | % | 0.70 | %4 | ||||||||
Expenses, prior to expense waivers and reimbursements | 5.82 | %4 | 6.64 | % | 1.94 | %4 | ||||||||
Net investment income, net of waivers and reimbursements | 1.67 | %4 | 1.70 | % | 3.13 | %4 | ||||||||
Portfolio turnover rate5 | 158.81 | % | 304.06 | % | 137.64 | % |
1 | Commencement of operations. |
2 | Based on average daily shares outstanding. |
3 | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at net asset value. Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at market value during the period, and sale at the market value on the last day of the period. Market value is determined by trading that occurs on the NYSE Arca, and may be greater or less than net asset value, depending on the 4 p.m. mean of the bid and offer prices for a share of the Fund. Total return calculated for a period of less than one year is not annualized. The total return would have been lower if certain expenses had not been reimbursed/waived by the Adviser. |
4 | Annualized. |
5 | Portfolio turnover rate is not annualized and excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. |
The accompanying notes are an integral part of these financial statements.
Financial Highlights — continued
For a share outstanding throughout each period presented.
| For the Period October 31, 20161 Through December 31, 2016 | |||||
Per Share Operating Performance: | ||||||
Net asset value, beginning of period | $ | 25.00 | ||||
Net investment income2 | 0.12 | |||||
Net realized and unrealized gain on investments | 1.77 | |||||
Total gain from investment operations | 1.89 | |||||
Less Distributions from: | ||||||
Net investment income | (0.12 | ) | ||||
Net asset value, end of period | $ | 26.77 | ||||
Total Return at Net Asset Value3 | 7.55 | % | ||||
Total Return at Market Value3 | 7.76 | % | ||||
Ratios/Supplemental Data: | ||||||
Net assets, end of period (000’s) omitted | $ | 21,413 | ||||
Average Net Assets (000’s) omitted | 21,070 | |||||
Ratio to average net assets of: | ||||||
Expenses, net of expense waivers and reimbursements | 0.40 | %4 | ||||
Expenses, prior to expense waivers and reimbursements | 0.80 | %4 | ||||
Net investment income, net of waivers and reimbursements | 2.69 | %4 | ||||
Portfolio turnover rate5 | 11.87 | % |
1 | Commencement of operations. |
2 | Based on average daily shares outstanding. |
3 | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at net asset value. Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at market value during the period, and sale at the market value on the last day of the period. Market value is determined by trading that occurs on the NYSE Arca, and may be greater or less than net asset value, depending on the 4 p.m. mean of the bid and offer prices for a share of the Fund. Total return calculated for a period of less than one year is not annualized. The total return would have been lower if certain expenses had not been reimbursed/waived by the Adviser. |
4 | Annualized. |
5 | Portfolio turnover rate is not annualized and excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. |
The accompanying notes are an integral part of these financial statements.
Financial Highlights — concluded
For a share outstanding throughout each period presented.
| For the Period October 31, 20161 Through December 31, 2016 | |||||
Per Share Operating Performance: | ||||||
Net asset value, beginning of period | $ | 25.00 | ||||
Net investment income2 | 0.10 | |||||
Net realized and unrealized loss on investments | (0.13 | ) | ||||
Total loss from investment operations | (0.03 | ) | ||||
Less Distributions from: | ||||||
Net investment income | (0.09 | ) | ||||
Net asset value, end of period | $ | 24.88 | ||||
Total Return at Net Asset Value3 | (0.10 | )% | ||||
Total Return at Market Value3 | 0.53 | % | ||||
Ratios/Supplemental Data: | ||||||
Net assets, end of period (000’s) omitted | $ | 17,418 | ||||
Average Net Assets (000’s) omitted | 17,379 | |||||
Ratio to average net assets of: | ||||||
Expenses, net of expense waivers and reimbursements | 0.45 | %4 | ||||
Expenses, prior to expense waivers and reimbursements | 1.31 | %4 | ||||
Net investment income, net of waivers and reimbursements | 2.26 | %4 | ||||
Portfolio turnover rate5 | 22.16 | % |
1 | Commencement of operations. |
2 | Based on average daily shares outstanding. |
3 | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at net asset value. Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at market value during the period, and sale at the market value on the last day of the period. Market value is determined by trading that occurs on the NYSE Arca, and may be greater or less than net asset value, depending on the 4 p.m. mean of the bid and offer prices for a share of the Fund. Total return calculated for a period of less than one year is not annualized. The total return would have been lower if certain expenses had not been reimbursed/waived by the Adviser. |
4 | Annualized. |
5 | Portfolio turnover rate is not annualized and excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. |
The accompanying notes are an integral part of these financial statements.
1. | Organization |
2. | Significant Accounting Policies |
Fund | | Undistributed Net Investment Income | | Undistributed Long-Term Gain | | Capital Loss Carryforwards | | Post-October Capital Losses3 | | Net Unrealized Appreciation (Depreciation) Based on cost of Securities and Other Investments for Federal Income Tax Purposes | ||||||||||||
Oppenheimer Large Cap Revenue ETF | $ | 1,597,553 | — | — 1 | $ | (4,380,914 | ) | $ | 42,126,489 | |||||||||||||
Oppenheimer Mid Cap Revenue ETF | 320,981 | — | (2,091,070 | )1 | (4,046,071 | ) | 1,803,598 | |||||||||||||||
Oppenheimer Small Cap Revenue ETF | 273,718 | — | (7,299,324 | )1 | (10,692,378 | ) | 5,554,516 | |||||||||||||||
Oppenheimer Financials Sector Revenue ETF | 69,241 | — | (441,484 | )2 | — | 1,139,941 | ||||||||||||||||
Oppenheimer ADR Revenue ETF | 161,306 | — | (4,833,436 | )1 | (1,672,262 | ) | (2,923,991 | ) | ||||||||||||||
Oppenheimer Ultra Dividend Revenue ETF | 76,360 | 124,151 | — 1 | — | 3,417,680 | |||||||||||||||||
Oppenheimer Global Growth Revenue ETF | 1,345 | — | (277,289 | )1 | (112,130 | ) | 37,292 | |||||||||||||||
Oppenheimer ESG Revenue ETF | — | — | — | — | — | |||||||||||||||||
Oppenheimer Global ESG Revenue ETF | — | — | — | — | — |
1 | During the reporting period, the Funds did not utilize any capital loss carryforward. |
2 | During the reporting period, the Fund utilized $106,498 of capital loss carryforward to offset capital gains realized in that fiscal year. |
3 | At period end, the Fund elected to treat all, or a portion of, post-October losses as arising on the first day of the following taxable year. |
Fund | | Capital Loss Available Through 2017 | | Capital Loss Available Through 2018 | | Capital Loss Available Through 2019 | | Short Term Post-Effective No Expiration | | Long Term Post-Effective No Expiration | | Total | ||||||||||||||
Oppenheimer Mid Cap Revenue ETF | $ | — | $ | — | $ | — | $ | 2,091,070 | $ | — | $ | 2,091,070 | ||||||||||||||
Oppenheimer Small Cap Revenue ETF | — | — | — | 5,700,823 | 1,598,501 | 7,299,324 | ||||||||||||||||||||
Oppenheimer Financials Sector Revenue ETF | 52,317 | 21,626 | 78,535 | 54 | 288,952 | 441,484 | ||||||||||||||||||||
Oppenheimer ADR Revenue ETF | — | — | — | 912,169 | 3,921,267 | 4,833,436 | ||||||||||||||||||||
Oppenheimer Global Growth Revenue ETF | — | — | — | 277,289 | — | 277,289 |
Year Ended June 30, 2016 | Year Ended June 30, 2015 | |||||||||||||||||||||||||
Fund | | Distributions Paid from Ordinary Income | | Distributions Paid from Long-Term Capital Gains | | Total | | Distributions Paid from Ordinary Income | | Distributions Paid from Long-Term Capital Gains | | Total | ||||||||||||||
Oppenheimer Large Cap Revenue ETF | $ | 6,322,311 | $ | 234,365 | $ | 6,556,676 | $ | 4,589,744 | $ | 274,822 | $ | 4,864,566 | ||||||||||||||
Oppenheimer Mid Cap Revenue ETF | 2,125,196 | — | 2,125,196 | 1,772,461 | 745,246 | 2,517,707 | ||||||||||||||||||||
Oppenheimer Small Cap Revenue ETF | 2,283,532 | — | 2,283,532 | 2,154,563 | 547,479 | 2,702,042 | ||||||||||||||||||||
Oppenheimer Financials Sector Revenue ETF | 372,325 | — | 372,325 | 347,753 | — | 347,753 | ||||||||||||||||||||
Oppenheimer ADR Revenue ETF | 727,010 | — | 727,010 | 679,055 | — | 679,055 | ||||||||||||||||||||
Oppenheimer Ultra Dividend Revenue ETF | 2,568,683 | — | 2,568,683 | 1,624,239 | — | 1,624,239 | ||||||||||||||||||||
Oppenheimer Global Growth Revenue ETF | 216,357 | — | 216,357 | 2,563 | — | 2,563 | ||||||||||||||||||||
Oppenheimer ESG Revenue ETF | — | — | — | — | — | — | ||||||||||||||||||||
Oppenheimer Global ESG Revenue ETF | — | — | — | — | — | — |
Fund | | Federal tax cost of securities | | Gross Unrealized Appreciation | | Gross Unrealized (Depreciation) | | Net Unrealized Appreciation (Depreciation) | ||||||||||
Oppenheimer Large Cap Revenue ETF | $ | 434,417,199 | $ | 63,137,685 | $ | (8,492,976 | ) | $ | 54,644,709 | |||||||||
Oppenheimer Mid Cap Revenue ETF | 231,613,330 | 38,259,031 | (8,894,670 | ) | 29,364,361 | |||||||||||||
Oppenheimer Small Cap Revenue ETF | 413,923,205 | 87,374,967 | (18,781,586 | ) | 68,593,381 | |||||||||||||
Oppenheimer Financials Sector Revenue ETF | 20,630,820 | 5,511,346 | (199,202 | ) | 5,312,144 | |||||||||||||
Oppenheimer ADR Revenue ETF | 17,632,082 | 969,143 | (2,713,479 | ) | (1,744,336 | ) | ||||||||||||
Oppenheimer Ultra Dividend Revenue ETF | 358,067,312 | 11,246,093 | (8,057,420 | ) | 3,188,673 | |||||||||||||
Oppenheimer Global Growth Revenue ETF | 2,375,363 | 77,641 | (15,428 | ) | 62,213 | |||||||||||||
Oppenheimer ESG Revenue ETF | 20,228,901 | 1,412,039 | (220,858 | ) | 1,191,181 | |||||||||||||
Oppenheimer Global ESG Revenue ETF | 17,461,497 | 478,090 | (505,323 | ) | (27,233 | ) |
3. | Securities Valuation |
(Level 1) | (Level 2) | (Level 3) | ||||||||||||||||||||||||||||
Fund | | Common Stock | | Preferred Stock | | Money Market Funds | | Common Stock | | Preferred Stock | | Common Stock | | Total | ||||||||||||||||
Oppenheimer Large Cap Revenue ETF | $ | 484,589,672 | $ | — | $ | 4,472,236 | $ | — | $ | — | $ | — | $ | 489,061,908 | ||||||||||||||||
Oppenheimer Mid Cap Revenue ETF | 243,459,281 | — | 17,518,410 | — | — | — | 260,977,691 | |||||||||||||||||||||||
Oppenheimer Small Cap Revenue ETF | 442,741,324 | — | 39,775,262 | — | — | — | 482,516,586 | |||||||||||||||||||||||
Oppenheimer Financials Sector Revenue ETF | 25,942,964 | — | — | — | — | — | 25,942,964 | |||||||||||||||||||||||
Oppenheimer ADR Revenue ETF | 12,915,180 | 243,976 | 2,728,590 | — | — | — | 15,887,746 | |||||||||||||||||||||||
Oppenheimer Ultra Dividend Revenue ETF | 338,207,564 | — | 23,048,421 | — | — | — | 361,255,985 | |||||||||||||||||||||||
Oppenheimer Global Growth Revenue ETF | 2,309,658 | 90,381 | 24,498 | — | 1,307 | — | 2,425,844 | |||||||||||||||||||||||
Oppenheimer ESG Revenue ETF | 21,388,209 | — | 31,873 | — | — | — | 21,420,082 | |||||||||||||||||||||||
Oppenheimer Global ESG Revenue ETF | 17,165,443 | 199,163 | 40,295 | 26,609 | — | — | 17,431,510 |
4. | Securities Lending |
Overnight and Continuous | | <30 Days | | Between 30 & 90 days | | >90 days | | Total | ||||||||||||
Oppenheimer Large Cap Revenue ETF | ||||||||||||||||||||
Money Market Mutual Fund | 4,472,236 | — | — | — | 4,472,236 | |||||||||||||||
U.S. Government Securities | — | 352,535 | 2,866,239 | 5,438,410 | 8,657,184 | |||||||||||||||
Total | 4,472,236 | 352,535 | 2,866,239 | 5,438,410 | 13,129,420 | |||||||||||||||
Oppenheimer Mid Cap Revenue ETF | ||||||||||||||||||||
Money Market Mutual Fund | 17,518,410 | — | — | — | 17,518,410 | |||||||||||||||
U.S. Government Securities | — | 669,167 | 2,512,437 | 13,495,156 | 16,676,760 | |||||||||||||||
Total | 17,518,410 | 669,167 | 2,512,437 | 13,495,156 | 34,195,170 | |||||||||||||||
Oppenheimer Small Cap Revenue ETF | ||||||||||||||||||||
Money Market Mutual Fund | 39,775,262 | — | — | — | 39,775,262 | |||||||||||||||
U.S. Government Securities | — | 1,303,840 | 1,805,908 | 20,479,985 | 23,589,733 | |||||||||||||||
Total | 39,775,262 | 1,303,840 | 1,805,908 | 20,479,985 | 63,364,995 | |||||||||||||||
Oppenheimer Financials Sector Revenue ETF | ||||||||||||||||||||
Money Market Mutual Fund | — | — | — | — | — | |||||||||||||||
U.S. Government Securities | 3,791 | 6,182 | 151,839 | 161,812 | ||||||||||||||||
Total | — | 3,791 | 6,182 | 151,839 | 161,812 | |||||||||||||||
Oppenheimer ADR Revenue ETF | ||||||||||||||||||||
Money Market Mutual Fund | 2,728,590 | — | — | — | 2,728,590 | |||||||||||||||
U.S. Government Securities | — | 22,726 | 8,920 | 161,621 | 193,267 | |||||||||||||||
Total | 2,728,590 | 22,726 | 8,920 | 161,621 | 2,921,857 | |||||||||||||||
Oppenheimer Ultra Dividend Revenue ETF | ||||||||||||||||||||
Money Market Mutual Fund | 23,048,421 | — | — | — | 23,048,421 | |||||||||||||||
U.S. Government Securities | — | 198,929 | 244,836 | 6,913,889 | 7,357,654 | |||||||||||||||
Total | 23,048,421 | 198,929 | 244,836 | 6,913,889 | 30,406,075 | |||||||||||||||
Oppenheimer Global Growth Revenue ETF | ||||||||||||||||||||
Money Market Mutual Fund | 24,498 | — | — | — | 24,498 | |||||||||||||||
U.S. Government Securities | — | — | — | — | — | |||||||||||||||
Total | 24,498 | — | — | — | 24,498 |
Overnight and Continuous | | <30 Days | | Between 30 & 90 days | | >90 days | | Total | ||||||||||||
Oppenheimer ESG Revenue ETF | ||||||||||||||||||||
Money Market Mutual Fund | 31,873 | — | — | — | 31,873 | |||||||||||||||
U.S. Government Securities | — | — | 405 | 74,202 | 74,607 | |||||||||||||||
Total | 31,873 | — | 405 | 74,202 | 106,480 | |||||||||||||||
Oppenheimer Global ESG Revenue ETF | ||||||||||||||||||||
Money Market Mutual Fund | 40,295 | — | — | — | 40,295 | |||||||||||||||
U.S. Government Securities | — | — | 47 | 5,179 | 5,226 | |||||||||||||||
Total | 40,295 | — | 47 | 5,179 | 45,521 |
Assets | Liabilities | ||||||||||||||||||||||||||||||
Fund | | Gross Amounts Presented in Statement of Assets and Liabilities | | Gross Amounts Not Offset in the Statement of Assets and Liabilities Cash Collateral Received | | Gross Amounts Not Offset in the Statement of Assets and Liabilities Non-cash Collateral Received | | Net Amount | | Gross Amounts Presented in Statement of Assets and Liabilities | | Gross Amounts Not Offset in the Statement of Assets and Liabilities Collateral Received | | Net Amount | | ||||||||||||||||
Oppenheimer Large Cap Revenue ETF | $ | 12,754,280 | $ | (4,097,096 | ) | $ | (8,657,184 | ) | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
Oppenheimer Mid Cap Revenue ETF | 33,190,687 | (16,513,927 | ) | (16,676,760 | ) | — | — | — | — | ||||||||||||||||||||||
Oppenheimer Small Cap Revenue ETF | 61,454,702 | (37,864,969 | ) | (23,589,733 | ) | — | — | — | — | ||||||||||||||||||||||
Oppenheimer Financials Sector Revenue ETF | 158,863 | — | (161,812 | ) | 2,949 | — | — | — | |||||||||||||||||||||||
Oppenheimer ADR Revenue ETF | 2,829,636 | (2,636,369 | ) | (193,267 | ) | — | — | — | — | ||||||||||||||||||||||
Oppenheimer Ultra Dividend Revenue ETF | 29,525,912 | (22,168,258 | ) | (7,357,654 | ) | — | — | — | — | ||||||||||||||||||||||
Oppenheimer Global Growth Revenue ETF | 23,399 | (23,399 | ) | — | — | — | — | — | |||||||||||||||||||||||
Oppenheimer ESG Revenue ETF | 103,855 | (29,248 | ) | (74,607 | ) | — | — | — | — | ||||||||||||||||||||||
Oppenheimer Global ESG Revenue ETF | 43,860 | (38,634 | ) | (5,226 | ) | — | — | — | — |
1 | The amount of collateral presented is limited such that the net amount cannot be less than zero. |
5. | Investments and Risks |
of global economies and financial markets, changes in political and economic factors in one country or region could adversely affect conditions in another country or region. Investments in foreign securities may also expose the Funds to time-zone arbitrage risk. Foreign securities may trade on weekends or other days when the Funds do not price their shares. At times, the Funds may emphasize investments in a particular country or region and may be subject to greater risks from adverse events that occur in that country or region. Foreign securities and foreign currencies held in foreign banks and securities depositories may be subject to limited or no regulatory oversight.
6. | Market Risk Factors |
7. | Shares of Beneficial Interest |
8. | Purchases & Sales of Securities |
Fund | | Purchases | | Sales | ||||||
Oppenheimer Large Cap Revenue ETF | $ | 42,458,541 | $ | 20,475,599 | ||||||
Oppenheimer Mid Cap Revenue ETF | 59,624,929 | 50,782,573 | ||||||||
Oppenheimer Small Cap Revenue ETF | 95,373,971 | 85,339,450 | ||||||||
Oppenheimer Financials Sector Revenue ETF | 2,616,643 | 2,576,976 | ||||||||
Oppenheimer ADR Revenue ETF | 1,562,288 | 1,530,622 | ||||||||
Oppenheimer Ultra Dividend Revenue ETF | 156,879,679 | 4,583,019 | ||||||||
Oppenheimer Global Growth Revenue ETF | 3,808,141 | 3,573,032 | ||||||||
Oppenheimer ESG Revenue ETF | 2,470,334 | 2,474,279 | ||||||||
Oppenheimer Global ESG Revenue ETF | 6,309,135 | 3,836,763 |
Fund | | Purchases | | Sales | ||||||
Oppenheimer Large Cap Revenue ETF | $ | 108,068,383 | $ | 39,725,128 | ||||||
Oppenheimer Mid Cap Revenue ETF | 31,167,548 | 8,346,869 | ||||||||
Oppenheimer Small Cap Revenue ETF | 72,666,002 | 5,782,411 | ||||||||
Oppenheimer Financials Sector Revenue ETF | 2,929,264 | 2,373,553 | ||||||||
Oppenheimer ADR Revenue ETF | — | — | ||||||||
Oppenheimer Ultra Dividend Revenue ETF | 196,497,434 | 137,066,352 | ||||||||
Oppenheimer Global Growth Revenue ETF | — | — | ||||||||
Oppenheimer ESG Revenue ETF | 19,978,966 | — | ||||||||
Oppenheimer Global ESG Revenue ETF | 15,009,947 | — |
9. | Fees and Other Transactions with Affiliates |
Fund | | Management Fees | | Expense Limit | ||||||
Oppenheimer Large Cap Revenue ETF | 0.45 | % | 0.49 | % | ||||||
Oppenheimer Mid Cap Revenue ETF | 0.50 | % | 0.54 | % | ||||||
Oppenheimer Small Cap Revenue ETF | 0.50 | % | 0.54 | % | ||||||
Oppenheimer Financials Sector Revenue ETF | 0.45 | % | 0.49 | % | ||||||
Oppenheimer ADR Revenue ETF | 0.60 | % | 0.49 | % | ||||||
Oppenheimer Ultra Dividend Revenue ETF | 0.45 | % | 0.49 | % | ||||||
Oppenheimer Global Growth Revenue ETF | 0.70 | % | 0.70 | % |
Fund | | Management Fees | | Expense Limit | ||||||
Oppenheimer Large Cap Revenue ETF | 0.39 | % | 0.39 | % | ||||||
Oppenheimer Mid Cap Revenue ETF | 0.39 | % | 0.39 | % | ||||||
Oppenheimer Small Cap Revenue ETF | 0.39 | % | 0.39 | % | ||||||
Oppenheimer Financials Sector Revenue ETF | 0.45 | % | 0.49 | % | ||||||
Oppenheimer ADR Revenue ETF | 0.60 | % | 0.49 | % | ||||||
Oppenheimer Ultra Dividend Revenue ETF | 0.39 | % | 0.39 | % | ||||||
Oppenheimer Global Growth Revenue ETF | 0.54 | % | 0.54 | % | ||||||
Oppenheimer ESG Revenue ETF | 0.40 | % | 0.40 | % | ||||||
Oppenheimer Global ESG Revenue ETF | 0.45 | % | 0.45 | % |
Fund: | | Expenses Reimbursed: | | Recoupment Balance: | | Recoupment Expiration | ||||||||
Oppenheimer Large Cap Revenue ETF | $ | 344,337 | $ | 344,337 | 6/30/2019 | |||||||||
175,296 | 175,296 | 6/30/2020 | ||||||||||||
Oppenheimer Mid Cap Revenue ETF | 281,135 | 281,135 | 6/30/2019 | |||||||||||
128,666 | 128,666 | 6/30/2020 | ||||||||||||
Oppenheimer Small Cap Revenue ETF | 350,636 | 350,636 | 6/30/2019 | |||||||||||
165,575 | 165,575 | 6/30/2020 | ||||||||||||
Oppenheimer Financials Sector Revenue ETF | 78,895 | 78,895 | 6/30/2019 | |||||||||||
40,919 | 40,919 | 6/30/2020 | ||||||||||||
Oppenheimer ADR Revenue ETF | 91,569 | 91,569 | 6/30/2019 | |||||||||||
51,017 | 51,017 | 6/30/2020 | ||||||||||||
Oppenheimer Ultra Dividend Revenue ETF | 132,110 | 132,110 | 6/30/2019 | |||||||||||
111,719 | 111,719 | 6/30/2020 | ||||||||||||
Oppenheimer Global Growth Revenue ETF | 26,624 | 26,624 | 6/30/2018 | |||||||||||
150,107 | 150,107 | 6/30/2019 | ||||||||||||
58,879 | 58,879 | 6/30/2020 | ||||||||||||
Oppenheimer ESG Revenue ETF | 14,297 | 14,297 | 6/30/2020 | |||||||||||
Oppenheimer Global ESG Revenue ETF | 25,452 | 25,452 | 6/30/2020 | |||||||||||
Total | 2,227,233 | 2,227,233 |
10. | Pending Litigation |
Board Approval of Investment Advisory Agreements(Unaudited)
• | Oppenheimer Global ESG Revenue ETF’s contractual management fee and total expense ratio are expected to be higher than the selected peer group averages and peer group medians. |
• | Oppenheimer ESG Revenue ETF’s contractual management fee is expected to be higher than the selected peer group average and equal to the selected peer group median, and its total expense ratio is expected to be lower than the selected peer group average and peer group median. |
Fund Name | | Record Date | | Ex-Div Date | | Pay Date | | Net Income | | Net Profit from Sale | | Other Capital Sources | ||||||||||||||
Oppenheimer Large Cap Revenue ETF | 12/30/16 | 12/28/16 | 1/4/2017 | 98.30 | % | 0.00 | % | 1.70 | % | |||||||||||||||||
Oppenheimer Mid Cap Revenue ETF | 12/30/16 | 12/28/16 | 1/4/2017 | 99.00 | % | 0.00 | % | 1.00 | % | |||||||||||||||||
Oppenheimer Small Cap Revenue ETF | 12/30/16 | 12/28/16 | 1/4/2017 | 95.70 | % | 4.30 | % | 0.00 | % | |||||||||||||||||
Oppenheimer Financials Sector Revenue ETF | 12/30/16 | 12/28/16 | 1/4/2017 | 100.00 | % | 0.00 | % | 0.00 | % | |||||||||||||||||
Oppenheimer Ultra Dividend Revenue ETF | 12/30/16 | 12/28/16 | 1/4/2017 | 93.20 | % | 0.00 | % | 6.80 | % | |||||||||||||||||
Oppenheimer ESG Revenue ETF | 12/30/16 | 12/28/16 | 1/4/2017 | 97.60 | % | 2.40 | % | 0.00 | % | |||||||||||||||||
Oppenheimer ESG Global ESG Revenue ETF | 12/30/16 | 12/28/16 | 1/4/2017 | 100.00 | % | 0.00 | % | 0.00 | % |
Trustees and Officers | |||||||
Robert J. Malone, Chairman of the Board of Trustees and Trustee Jon S. Fossel, Trustee Richard F. Grabish, Trustee Beverly L. Hamilton, Trustee Victoria J. Herget, Trustee F. William Marshall, Jr., Trustee Karen L. Stuckey, Trustee James D. Vaughn, Trustee Arthur P. Steinmetz, Trustee, President and Principal Executive Officer Vincent T. Lowry, Vice President Michael J. Gompers, Vice President Justin V. Lowry, Vice President Sean P. Reichert, Vice President Cynthia Lo Bessette, Secretary and Chief Legal Officer Jennifer Foxson, Vice President and Chief Business Officer Mary Ann Picciotto, Chief Compliance Officer and Chief Anti-Money Laundering Officer Brian S. Petersen, Treasurer and Principal Financial & Accounting Officer | |||||||
Investment Adviser | Independent Registered Public Accounting Firm | ||||||
VTL Associates, LLC | Cohen & Company, Ltd. | ||||||
Distributor | Legal Counsel | ||||||
OppenheimerFunds Distributor, Inc. | Ropes & Gray LLP | ||||||
Administrator, Custodian and Transfer Agent | |||||||
The Bank of New York Mellon (BNY Mellon) |
One Commerce Square
2005 Market Street, Suite 2020
Philadelphia, PA 19103
Visit Us oppenheimerfunds.com Call Us 888 854 8181 | Oppenheimer Revenue Weighted ETF Trust is distributed by OppenheimerFunds Distributor, Inc. 225 Liberty Street, New York, NY 10281-1008 © 2017 OppenheimerFunds Distributor, Inc. All rights reserved. RS0000.011.1216 December 31, 2016 |
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
Not applicable. The complete schedule of investments is included in Item 1 of this Form N-CSR.
(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. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
Based on their evaluation of the registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) as of 1/29/2016, the registrant’s principal executive officer and principal financial officer found the registrant’s disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by the registrant in the reports that it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to registrant’s management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission.
There have been no changes in the registrant’s internal controls over financial reporting that occurred during the registrant’s second fiscal quarter of 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. Exhibits.
(a) | (1) Not applicable to semiannual reports. |
(2) Exhibits attached hereto.
(3) Not applicable.
(b) | Exhibit attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Oppenheimer Revenue Weighted ETF Trust
By (Signature and Title)* /s/ Arthur P. Steinmetz
Arthur P. Steinmetz
Principal Executive Officer
Date 2/17/2017
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* /s/ Arthur P. Steinmetz
Arthur P. Steinmetz
Principal Executive Officer
Date 2/17/2017
By (Signature and Title)* /s/ Brian S. Petersen
Brian S. Petersen
Principal Financial Officer
Date 2/17/2017
* Print the name and title of each signing officer under his or her signature.