Table of Contents
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: 811-22555
FlexShares Trust
(Exact name of registrant as specified in charter)
50 South LaSalle Street
Chicago, Illinois 60603
(Address of principal executive offices) (Zip code)
Diana E. McCarthy, Esq.
Faegre Drinker Biddle & Reath LLP
One Logan Square, Ste. 2000
Philadelphia, Pennsylvania 19103-6996
(Name and Address of Agent for Service)
with a copy to:
Jose Del Real, Esq.
Northern Trust Investments, Inc.
50 South LaSalle Street
Chicago, Illinois 60603
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code: 855-353-9383
Date of fiscal year end: October 31
Date of reporting period: April 30, 2020
Table of Contents
Item 1. Reports to Stockholders.
The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
Table of Contents
FlexShares® Trust
Semiannual Report
April 30, 2020
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of FlexShares® Trust’s shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from FlexShares® Trust or your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on FlexShares® Trust’s website (www.flexshares.com) and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you have already elected to receive your shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from FlexShares® Trust electronically at any time by contacting your financial intermediary.
You may elect to receive all future reports in paper free of charge. Please contact your financial intermediary to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds in FlexShares® Trust that you hold in your account at the financial intermediary. You must provide separate instructions to each of your financial intermediaries.
Table of Contents
2 | ||||
10 | ||||
18 | ||||
34 | ||||
62 | ||||
62 | ||||
FlexShares® Developed Markets ex-US Quality Low Volatility Index Fund | 66 | |||
FlexShares® Emerging Markets Quality Low Volatility Index Fund | 72 | |||
77 | ||||
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund | 113 | |||
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund | 155 | |||
FlexShares® Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund | 195 | |||
FlexShares® Currency Hedged Morningstar EM Factor Tilt Index Fund | 197 | |||
199 | ||||
203 | ||||
209 | ||||
FlexShares® Morningstar Global Upstream Natural Resources Index Fund | 222 | |||
229 | ||||
236 | ||||
241 | ||||
242 | ||||
247 | ||||
251 | ||||
255 | ||||
FlexShares® International Quality Dividend Defensive Index Fund | 263 | |||
FlexShares® International Quality Dividend Dynamic Index Fund | 270 | |||
275 | ||||
276 | ||||
277 | ||||
283 | ||||
294 | ||||
301 | ||||
317 | ||||
328 | ||||
330 | ||||
370 | ||||
374 | ||||
375 | ||||
389 |
Table of Contents
FlexShares® Trust
Statements of Assets and Liabilities April 30, 2020 (Unaudited)
FlexShares® US Quality Low Volatility Index Fund | FlexShares® Developed Markets ex-US Quality Low Volatility Index Fund | FlexShares® Emerging Markets Quality Low Volatility Index Fund | FlexShares® Morningstar US Market Factor Tilt Index Fund | |||||||||||||
ASSETS |
| |||||||||||||||
Securities, at cost | $ | 45,496,480 | $ | 43,725,677 | $ | 6,920,402 | $ | 940,875,474 | ||||||||
Affiliate securities, at cost | — | — | — | 445,306 | ||||||||||||
Securities Lending Reinvestments, at cost | — | — | — | 209,819,175 | ||||||||||||
|
| |||||||||||||||
Securities, at value† | 43,089,509 | 40,757,800 | 6,360,040 | 1,213,272,934 | ||||||||||||
Affiliate securities, at value | — | — | — | 530,293 | ||||||||||||
Securities Lending Reinvestments, at value | — | — | — | 209,830,781 | ||||||||||||
Cash | 132,878 | 304,667 | 94,539 | 8,478,728 | ||||||||||||
Cash segregated at broker* | 38,895 | 78,982 | 58,751 | 2,713,599 | ||||||||||||
Foreign cash†† | — | 157,240 | 46,468 | — | ||||||||||||
Restricted cash** | — | — | — | — | ||||||||||||
Due from Authorized Participant | — | — | — | — | ||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | 390 | — | — | ||||||||||||
Receivables: | ||||||||||||||||
Dividends and interest | 34,997 | 197,708 | 15,239 | 1,034,487 | ||||||||||||
Securities lending income | — | — | — | 108,796 | ||||||||||||
Capital shares issued | 3,838,042 | — | — | — | ||||||||||||
Investment adviser | — | — | — | — | ||||||||||||
Securities sold | 81,375 | 2,014 | — | 247,152 | ||||||||||||
Variation margin on futures contracts | 6,122 | 57,763 | — | 1,107,667 | ||||||||||||
|
| |||||||||||||||
Total Assets | 47,221,818 | 41,556,564 | 6,575,037 | 1,437,324,437 | ||||||||||||
|
| |||||||||||||||
LIABILITIES |
| |||||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | 10,163 | — | — | ||||||||||||
Payables: | ||||||||||||||||
Due to Custodian | — | — | — | — | ||||||||||||
Cash collateral received from securities loaned | — | — | — | 209,882,134 | ||||||||||||
Deferred compensation (Note 7) | — | — | — | 74,636 | ||||||||||||
Investment advisory fees (Note 4) | 6,026 | 9,732 | 2,243 | 242,999 | ||||||||||||
Trustee fees (Note 7) | 346 | 261 | 44 | 11,519 | ||||||||||||
Securities purchased | 3,805,427 | — | — | 4,071 | ||||||||||||
Deferred non-US capital gains taxes | — | — | — | — | ||||||||||||
Due to Authorized Participant | — | — | — | 4,086 | ||||||||||||
Variation margin on futures contracts | — | — | 5,040 | — | ||||||||||||
Capital shares redeemed | — | — | — | — | ||||||||||||
Other | 2,258 | 8,324 | 3,785 | 19,500 | ||||||||||||
|
| |||||||||||||||
Total Liabilities | 3,814,057 | 28,480 | 11,112 | 210,238,945 | ||||||||||||
|
| |||||||||||||||
Net Assets | $ | 43,407,761 | $ | 41,528,084 | $ | 6,563,925 | $ | 1,227,085,492 | ||||||||
|
| |||||||||||||||
NET ASSETS CONSIST OF: |
| |||||||||||||||
Paid-in capital | $ | 46,031,950 | $ | 44,711,281 | $ | 7,386,200 | $ | 975,924,790 | ||||||||
Distributable earnings (loss) | (2,624,189 | ) | (3,183,197 | ) | (822,275 | ) | 251,160,702 | |||||||||
|
| |||||||||||||||
Net Assets | $ | 43,407,761 | $ | 41,528,084 | $ | 6,563,925 | $ | 1,227,085,492 | ||||||||
|
| |||||||||||||||
Shares Outstanding (unlimited number of shares authorized $ 0.0001 par value) | 1,150,001 | 1,800,001 | 300,001 | 11,550,001 | ||||||||||||
Net Asset Value | $ | 37.75 | $ | 23.07 | $ | 21.88 | $ | 106.24 | ||||||||
† Securities on loan, at value | $ | — | $ | — | $ | — | $ | 240,427,209 | ||||||||
†† Cost of foreign cash | $ | — | $ | 156,948 | $ | 48,768 | $ | — |
* | Includes cash pledged by the Fund to cover margin requirements for open futures contracts as of 04/30. |
** | Includes cash pledged by an Authorized Participant for missing deposit securities required to secure Creation Units. |
See Accompanying Notes to the Financial Statements.
2 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Statements of Assets and Liabilities (cont.)
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund | FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund | FlexShares® Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund | FlexShares® Currency Hedged Morningstar EM Factor Tilt Index Fund | |||||||||||||
ASSETS |
| |||||||||||||||
Securities, at cost | $ | 641,482,410 | $ | 236,468,506 | $ | — | $ | — | ||||||||
Affiliate securities, at cost | — | — | 7,674,546 | 3,943,656 | ||||||||||||
Securities Lending Reinvestments, at cost | 9,907,178 | 2,542,959 | — | — | ||||||||||||
|
| |||||||||||||||
Securities, at value† | 563,215,353 | 229,416,302 | — | — | ||||||||||||
Affiliate securities, at value | — | — | 5,935,971 | 2,969,454 | ||||||||||||
Securities Lending Reinvestments, at value | 9,907,178 | 2,542,959 | — | — | ||||||||||||
Cash | 891,654 | 1,581,349 | 3,976 | 43,133 | ||||||||||||
Cash segregated at broker* | 2,768,391 | 508,085 | — | 6,555 | ||||||||||||
Foreign cash†† | 2,487,452 | 831,297 | — | — | ||||||||||||
Restricted cash** | — | — | — | — | ||||||||||||
Due from Authorized Participant | — | — | — | — | ||||||||||||
Unrealized appreciation on forward foreign currency contracts | 154,707 | 52,610 | — | 4,674 | ||||||||||||
Receivables: | ||||||||||||||||
Dividends and interest | 5,672,210 | 331,515 | — | — | ||||||||||||
Securities lending income | 38,706 | 18,716 | — | — | ||||||||||||
Capital shares issued | — | — | — | — | ||||||||||||
Investment adviser | — | — | — | — | ||||||||||||
Securities sold | 12,171,333 | 885,165 | — | — | ||||||||||||
Variation margin on futures contracts | 846,151 | 315,641 | — | 7,445 | ||||||||||||
|
| |||||||||||||||
Total Assets | 598,153,135 | 236,483,639 | 5,939,947 | 3,031,261 | ||||||||||||
|
| |||||||||||||||
LIABILITIES |
| |||||||||||||||
Unrealized depreciation on forward foreign currency contracts | 178,243 | 2,836 | 43,814 | 14,505 | ||||||||||||
Payables: | ||||||||||||||||
Due to Custodian | 105,072 | — | — | — | ||||||||||||
Cash collateral received from securities loaned | 9,907,178 | 2,542,959 | — | — | ||||||||||||
Deferred compensation (Note 7) | 55,954 | 29,501 | 379 | 1,236 | ||||||||||||
Investment advisory fees (Note 4) | 200,080 | 116,090 | 427 | 361 | ||||||||||||
Trustee fees (Note 7) | 6,270 | 2,700 | 237 | 174 | ||||||||||||
Securities purchased | 2,035 | 15,370 | — | — | ||||||||||||
Deferred non-US capital gains taxes | — | — | — | — | ||||||||||||
Due to Authorized Participant | 10,340,397 | 396,508 | — | — | ||||||||||||
Variation margin on futures contracts | — | — | — | — | ||||||||||||
Capital shares redeemed | — | — | — | — | ||||||||||||
Other | 160,000 | 200,000 | — | — | ||||||||||||
|
| |||||||||||||||
Total Liabilities | 20,955,229 | 3,305,964 | 44,857 | 16,276 | ||||||||||||
|
| |||||||||||||||
Net Assets | $ | 577,197,906 | $ | 233,177,675 | $ | 5,895,090 | $ | 3,014,985 | ||||||||
|
| |||||||||||||||
NET ASSETS CONSIST OF: |
| |||||||||||||||
Paid-in capital | $ | 769,871,952 | $ | 318,848,082 | $ | 8,571,895 | $ | 5,634,664 | ||||||||
Distributable earnings (loss) | (192,674,046 | ) | (85,670,407 | ) | (2,676,805 | ) | (2,619,679 | ) | ||||||||
|
| |||||||||||||||
Net Assets | $ | 577,197,906 | $ | 233,177,675 | $ | 5,895,090 | $ | 3,014,985 | ||||||||
|
| |||||||||||||||
Shares Outstanding (unlimited number of shares authorized $ 0.0001 par value) | 11,400,001 | 5,500,001 | 250,001 | 125,001 | ||||||||||||
Net Asset Value | $ | 50.63 | $ | 42.40 | $ | 23.58 | $ | 24.12 | ||||||||
† Securities on loan, at value | $ | 52,910,474 | $ | 14,365,845 | $ | — | $ | — | ||||||||
†† Cost of foreign cash | $ | 2,430,817 | $ | 824,006 | $ | — | $ | — |
* | Includes cash pledged by the Fund to cover margin requirements for open futures contracts as of 04/30. |
** | Includes cash pledged by an Authorized Participant for missing deposit securities required to secure Creation Units. |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 3 |
Table of Contents
Statements of Assets and Liabilities (cont.)
FlexShares® US Quality Large Cap Index Fund | FlexShares® STOXX® US ESG Impact Index Fund | FlexShares® STOXX® Global ESG Impact Index Fund | FlexShares® Morningstar Global Upstream Natural Resources Index Fund | |||||||||||||
ASSETS |
| |||||||||||||||
Securities, at cost | $ | 57,418,870 | $ | 57,559,691 | $ | 81,375,156 | $ | 3,532,065,772 | ||||||||
Affiliate securities, at cost | — | — | — | — | ||||||||||||
Securities Lending Reinvestments, at cost | 331,984 | 87,992 | 221,348 | 199,818,613 | ||||||||||||
|
| |||||||||||||||
Securities, at value† | 57,616,205 | 66,018,962 | 89,102,007 | 3,090,701,630 | ||||||||||||
Affiliate securities, at value | — | — | — | — | ||||||||||||
Securities Lending Reinvestments, at value | 331,984 | 87,992 | 221,348 | 199,831,239 | ||||||||||||
Cash | 444,070 | 337,423 | 496,014 | 14,241,986 | ||||||||||||
Cash segregated at broker* | 136,073 | 260,937 | 317,426 | 5,323,433 | ||||||||||||
Foreign cash†† | — | — | 391,146 | 19,234,597 | ||||||||||||
Restricted cash** | — | — | — | — | ||||||||||||
Due from Authorized Participant | — | — | — | — | ||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | — | 659,662 | ||||||||||||
Receivables: | ||||||||||||||||
Dividends and interest | 43,033 | 90,712 | 245,441 | 7,769,390 | ||||||||||||
Securities lending income | 2,172 | 323 | 702 | 82,168 | ||||||||||||
Capital shares issued | 1,618,152 | 1,777,144 | — | — | ||||||||||||
Investment adviser | — | — | — | — | ||||||||||||
Securities sold | — | — | — | 19,330,144 | ||||||||||||
Variation margin on futures contracts | 12,908 | 55,249 | 115,366 | 4,911,406 | ||||||||||||
|
| |||||||||||||||
Total Assets | 60,204,597 | 68,628,742 | 90,889,450 | 3,362,085,655 | ||||||||||||
|
| |||||||||||||||
LIABILITIES |
| |||||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | — | 513,187 | ||||||||||||
Payables: | ||||||||||||||||
Due to Custodian | — | — | — | — | ||||||||||||
Cash collateral received from securities loaned | 331,984 | 87,992 | 221,348 | 199,849,647 | ||||||||||||
Deferred compensation (Note 7) | 1,045 | 194 | 1,018 | 315,207 | ||||||||||||
Investment advisory fees (Note 4) | 13,591 | 15,773 | 28,946 | 1,166,036 | ||||||||||||
Trustee fees (Note 7) | 538 | 644 | 877 | 31,067 | ||||||||||||
Securities purchased | 1,599,959 | 1,757,286 | — | 9,466 | ||||||||||||
Deferred non-US capital gains taxes | — | — | — | — | ||||||||||||
Due to Authorized Participant | — | — | — | 534,183 | ||||||||||||
Variation margin on futures contracts | — | — | — | — | ||||||||||||
Capital shares redeemed | — | — | — | 19,526,781 | ||||||||||||
Other | 4,000 | 1,400 | 7,500 | 109,500 | ||||||||||||
|
| |||||||||||||||
Total Liabilities | 1,951,117 | 1,863,289 | 259,689 | 222,055,074 | ||||||||||||
|
| |||||||||||||||
Net Assets | $ | 58,253,480 | $ | 66,765,453 | $ | 90,629,761 | $ | 3,140,030,581 | ||||||||
|
| |||||||||||||||
NET ASSETS CONSIST OF: |
| |||||||||||||||
Paid-in capital | $ | 60,427,818 | $ | 62,838,782 | $ | 89,342,202 | $ | 4,369,526,002 | ||||||||
Distributable earnings (loss) | (2,174,338 | ) | 3,926,671 | 1,287,559 | (1,229,495,421 | ) | ||||||||||
|
| |||||||||||||||
Net Assets | $ | 58,253,480 | $ | 66,765,453 | $ | 90,629,761 | $ | 3,140,030,581 | ||||||||
|
| |||||||||||||||
Shares Outstanding (unlimited number of shares authorized $ 0.0001 par value) | 1,800,001 | 950,001 | 950,001 | 120,600,001 | ||||||||||||
Net Asset Value | $ | 32.36 | $ | 70.28 | $ | 95.40 | $ | 26.04 | ||||||||
† Securities on loan, at value | $ | 4,114,982 | $ | 1,866,073 | $ | 2,545,747 | $ | 293,177,640 | ||||||||
†† Cost of foreign cash | $ | — | $ | — | $ | 382,629 | $ | 18,760,894 |
* | Includes cash pledged by the Fund to cover margin requirements for open futures contracts as of 04/30. |
** | Includes cash pledged by an Authorized Participant for missing deposit securities required to secure Creation Units. |
See Accompanying Notes to the Financial Statements.
4 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Statements of Assets and Liabilities (cont.)
FlexShares® STOXX® Global Broad Infrastructure Index Fund | FlexShares® Global Quality Real Estate Index Fund | FlexShares® Real Assets Allocation Index Fund | FlexShares® Quality Dividend Index Fund | |||||||||||||
ASSETS |
| |||||||||||||||
Securities, at cost | $ | 1,477,553,005 | $ | 361,414,762 | $ | — | $ | 1,234,458,532 | ||||||||
Affiliate securities, at cost | — | — | 9,964,375 | — | ||||||||||||
Securities Lending Reinvestments, at cost | 29,255,192 | 7,382,372 | — | 97,082,981 | ||||||||||||
|
| |||||||||||||||
Securities, at value† | 1,477,437,370 | 324,936,269 | — | 1,284,678,122 | ||||||||||||
Affiliate securities, at value | — | — | 8,722,594 | — | ||||||||||||
Securities Lending Reinvestments, at value | 29,255,192 | 7,382,372 | — | 97,078,268 | ||||||||||||
Cash | 4,079,235 | 980,344 | 4,546 | 6,836,597 | ||||||||||||
Cash segregated at broker* | 1,429,225 | 1,256,596 | — | 4,123,505 | ||||||||||||
Foreign cash†† | 4,206,074 | 547,479 | — | — | ||||||||||||
Restricted cash** | — | — | — | — | ||||||||||||
Due from Authorized Participant | — | — | — | — | ||||||||||||
Unrealized appreciation on forward foreign currency contracts | 205,692 | 31,334 | — | — | ||||||||||||
Receivables: | ||||||||||||||||
Dividends and interest | 3,640,745 | 1,031,984 | — | 1,886,917 | ||||||||||||
Securities lending income | 10,445 | 4,305 | — | 14,038 | ||||||||||||
Capital shares issued | — | — | — | — | ||||||||||||
Investment adviser | — | — | — | — | ||||||||||||
Securities sold | 20,781 | 107,091 | 90,546 | 6,103,002 | ||||||||||||
Variation margin on futures contracts | 1,020,310 | 273,611 | — | 1,052,940 | ||||||||||||
|
| |||||||||||||||
Total Assets | 1,521,305,069 | 336,551,385 | 8,817,686 | 1,401,773,389 | ||||||||||||
|
| |||||||||||||||
LIABILITIES |
| |||||||||||||||
Unrealized depreciation on forward foreign currency contracts | 153,950 | 32,213 | — | — | ||||||||||||
Payables: | ||||||||||||||||
Due to Custodian | — | — | — | — | ||||||||||||
Cash collateral received from securities loaned | 29,255,192 | 7,382,372 | — | 97,083,592 | ||||||||||||
Deferred compensation (Note 7) | 38,714 | 11,872 | 93 | 91,668 | ||||||||||||
Investment advisory fees (Note 4) | 552,029 | 120,302 | 1,015 | 391,791 | ||||||||||||
Trustee fees (Note 7) | 13,470 | 3,474 | 245 | 13,526 | ||||||||||||
Securities purchased | — | — | 90,000 | — | ||||||||||||
Deferred non-US capital gains taxes | 4,385 | — | — | — | ||||||||||||
Due to Authorized Participant | — | 107,091 | — | — | ||||||||||||
Variation margin on futures contracts | — | — | — | — | ||||||||||||
Capital shares redeemed | — | — | — | 6,166,137 | ||||||||||||
Other | 28,000 | 14,000 | — | 26,250 | ||||||||||||
|
| |||||||||||||||
Total Liabilities | 30,045,740 | 7,671,324 | 91,353 | 103,772,964 | ||||||||||||
|
| |||||||||||||||
Net Assets | $ | 1,491,259,329 | $ | 328,880,061 | $ | 8,726,333 | $ | 1,298,000,425 | ||||||||
|
| |||||||||||||||
NET ASSETS CONSIST OF: |
| |||||||||||||||
Paid-in capital | $ | 1,581,461,023 | $ | 379,173,265 | $ | 9,921,175 | $ | 1,207,974,682 | ||||||||
Distributable earnings (loss) | (90,201,694 | ) | (50,293,204 | ) | (1,194,842 | ) | 90,025,743 | |||||||||
|
| |||||||||||||||
Net Assets | $ | 1,491,259,329 | $ | 328,880,061 | $ | 8,726,333 | $ | 1,298,000,425 | ||||||||
|
| |||||||||||||||
Shares Outstanding (unlimited number of shares authorized $ 0.0001 par value) | 32,450,001 | 6,450,001 | 350,001 | 32,150,001 | ||||||||||||
Net Asset Value | $ | 45.96 | $ | 50.99 | $ | 24.93 | $ | 40.37 | ||||||||
† Securities on loan, at value | $ | 69,503,420 | $ | 34,678,480 | $ | — | $ | 96,568,896 | ||||||||
†† Cost of foreign cash | $ | 4,138,485 | $ | 536,899 | $ | — | $ | — |
* | Includes cash pledged by the Fund to cover margin requirements for open futures contracts as of 04/30. |
** | Includes cash pledged by an Authorized Participant for missing deposit securities required to secure Creation Units. |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 5 |
Table of Contents
Statements of Assets and Liabilities (cont.)
FlexShares® Quality Dividend Defensive Index Fund | FlexShares® Quality Dividend Dynamic Index Fund | FlexShares® International Quality Dividend Index Fund | FlexShares® International Quality Dividend Defensive Index Fund | |||||||||||||
ASSETS |
| |||||||||||||||
Securities, at cost | $ | 438,486,556 | $ | 15,627,897 | $ | 529,717,260 | $ | 68,675,745 | ||||||||
Affiliate securities, at cost | — | — | — | — | ||||||||||||
Securities Lending Reinvestments, at cost | 3,996,235 | 57,635 | 4,249,414 | 957,495 | ||||||||||||
|
| |||||||||||||||
Securities, at value† | 452,477,261 | 15,588,574 | 453,600,047 | 60,492,992 | ||||||||||||
Affiliate securities, at value | — | — | — | — | ||||||||||||
Securities Lending Reinvestments, at value | 3,996,235 | 57,635 | 4,249,414 | 957,495 | ||||||||||||
Cash | 2,479,031 | 125,553 | 2,486,756 | 960,792 | ||||||||||||
Cash segregated at broker* | 1,025,271 | 43,535 | 2,211,950 | 299,757 | ||||||||||||
Foreign cash†† | — | — | 3,250,681 | 584,220 | ||||||||||||
Restricted cash** | — | — | — | 2,448,136 | ||||||||||||
Due from Authorized Participant | — | — | — | 2,698,972 | ||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | 396,747 | 2,782 | ||||||||||||
Receivables: | ||||||||||||||||
Dividends and interest | 707,230 | 26,148 | 3,098,827 | 369,694 | ||||||||||||
Securities lending income | 1,107 | 78 | 18,681 | 2,480 | ||||||||||||
Capital shares issued | — | — | — | — | ||||||||||||
Investment adviser | — | — | — | — | ||||||||||||
Securities sold | 6,359 | 264 | 7,712,608 | — | ||||||||||||
Variation margin on futures contracts | 302,569 | 21,196 | 1,360,066 | 147,086 | ||||||||||||
|
| |||||||||||||||
Total Assets | 460,995,063 | 15,862,983 | 478,385,777 | 68,964,406 | ||||||||||||
|
| |||||||||||||||
LIABILITIES |
| |||||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | 399,575 | 2,954 | ||||||||||||
Payables: | ||||||||||||||||
Due to Custodian | — | — | — | — | ||||||||||||
Cash collateral received from securities loaned | 3,996,235 | 57,635 | 4,249,414 | 957,495 | ||||||||||||
Deferred compensation (Note 7) | 15,473 | 4,843 | 42,068 | 5,615 | ||||||||||||
Investment advisory fees (Note 4) | 133,835 | 5,201 | 181,874 | 22,589 | ||||||||||||
Trustee fees (Note 7) | 3,853 | 502 | 5,110 | 665 | ||||||||||||
Securities purchased | — | — | — | 3,515,391 | ||||||||||||
Deferred non-US capital gains taxes | — | — | — | — | ||||||||||||
Due to Authorized Participant | — | — | 178,150 | 2,448,136 | ||||||||||||
Variation margin on futures contracts | — | — | — | — | ||||||||||||
Capital shares redeemed | — | — | 7,674,436 | — | ||||||||||||
Other | 17,250 | 6,000 | 75,000 | 10,000 | ||||||||||||
|
| |||||||||||||||
Total Liabilities | 4,166,646 | 74,181 | 12,805,627 | 6,962,845 | ||||||||||||
|
| |||||||||||||||
Net Assets | $ | 456,828,417 | $ | 15,788,802 | $ | 465,580,150 | $ | 62,001,561 | ||||||||
|
| |||||||||||||||
NET ASSETS CONSIST OF: |
| |||||||||||||||
Paid-in capital | $ | 435,559,889 | $ | 14,545,468 | $ | 691,659,460 | $ | 93,987,300 | ||||||||
Distributable earnings (loss) | 21,268,528 | 1,243,334 | (226,079,310 | ) | (31,985,739 | ) | ||||||||||
|
| |||||||||||||||
Net Assets | $ | 456,828,417 | $ | 15,788,802 | $ | 465,580,150 | $ | 62,001,561 | ||||||||
|
| |||||||||||||||
Shares Outstanding (unlimited number of shares authorized $ 0.0001 par value) | 11,250,001 | 400,001 | 24,300,001 | 3,400,001 | ||||||||||||
Net Asset Value | $ | 40.61 | $ | 39.47 | $ | 19.16 | $ | 18.24 | ||||||||
† Securities on loan, at value | $ | 8,685,828 | $ | 255,856 | $ | 42,045,598 | $ | 4,648,657 | ||||||||
†† Cost of foreign cash | $ | — | $ | — | $ | 3,246,825 | $ | 577,637 |
* | Includes cash pledged by the Fund to cover margin requirements for open futures contracts as of 04/30. |
** | Includes cash pledged by an Authorized Participant for missing deposit securities required to secure Creation Units. |
See Accompanying Notes to the Financial Statements.
6 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Statements of Assets and Liabilities (cont.)
FlexShares® International Quality Dividend Dynamic Index Fund | FlexShares® iBoxx 3-Year Target Duration TIPS Index Fund | FlexShares® iBoxx 5-Year Target Duration TIPS Index Fund | FlexShares® Disciplined Duration MBS Index Fund | |||||||||||||
ASSETS |
| |||||||||||||||
Securities, at cost | $ | 24,168,263 | $ | 1,083,523,849 | $ | 490,779,259 | $ | 56,415,594 | ||||||||
Affiliate securities, at cost | — | — | — | — | ||||||||||||
Securities Lending Reinvestments, at cost | 263,417 | — | — | — | ||||||||||||
|
| |||||||||||||||
Securities, at value† | 20,681,880 | 1,104,609,904 | 513,277,135 | 58,388,841 | ||||||||||||
Affiliate securities, at value | — | — | — | — | ||||||||||||
Securities Lending Reinvestments, at value | 263,417 | — | — | — | ||||||||||||
Cash | 171,430 | 1,546,302 | 2,765,222 | 3,850,476 | ||||||||||||
Cash segregated at broker* | 62,635 | — | — | — | ||||||||||||
Foreign cash†† | 44,729 | — | — | — | ||||||||||||
Restricted cash** | — | — | — | — | ||||||||||||
Due from Authorized Participant | — | — | — | — | ||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | — | — | ||||||||||||
Receivables: | ||||||||||||||||
Dividends and interest | 161,560 | 1,228,305 | 861,862 | 167,035 | ||||||||||||
Securities lending income | 803 | 6,288 | 2,672 | — | ||||||||||||
Capital shares issued | — | — | — | — | ||||||||||||
Investment adviser | — | — | 51 | — | ||||||||||||
Securities sold | — | — | — | — | ||||||||||||
Variation margin on futures contracts | 19,060 | — | — | — | ||||||||||||
|
| |||||||||||||||
Total Assets | 21,405,514 | 1,107,390,799 | 516,906,942 | 62,406,352 | ||||||||||||
|
| |||||||||||||||
LIABILITIES |
| |||||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | — | — | ||||||||||||
Payables: | ||||||||||||||||
Due to Custodian | — | — | — | — | ||||||||||||
Cash collateral received from securities loaned | 263,417 | — | — | — | ||||||||||||
Deferred compensation (Note 7) | 3,425 | 175,635 | 58,200 | 1,649 | ||||||||||||
Investment advisory fees (Note 4) | 8,048 | 164,435 | 77,403 | 9,736 | ||||||||||||
Trustee fees (Note 7) | 463 | 9,358 | 4,798 | 618 | ||||||||||||
Securities purchased | — | — | — | 3,312,279 | ||||||||||||
Deferred non-US capital gains taxes | — | — | — | — | ||||||||||||
Due to Authorized Participant | — | — | — | — | ||||||||||||
Variation margin on futures contracts | — | — | — | — | ||||||||||||
Capital shares redeemed | — | — | — | — | ||||||||||||
Other | 20,000 | — | — | 3,200 | ||||||||||||
|
| |||||||||||||||
Total Liabilities | 295,353 | 349,428 | 140,401 | 3,327,482 | ||||||||||||
|
| |||||||||||||||
Net Assets | $ | 21,110,161 | $ | 1,107,041,371 | $ | 516,766,541 | $ | 59,078,870 | ||||||||
|
| |||||||||||||||
NET ASSETS CONSIST OF: |
| |||||||||||||||
Paid-in capital | $ | 37,882,250 | $ | 1,144,636,363 | $ | 502,647,664 | $ | 59,762,611 | ||||||||
Distributable earnings (loss) | (16,772,089 | ) | (37,594,992 | ) | 14,118,877 | (683,741 | ) | |||||||||
|
| |||||||||||||||
Net Assets | $ | 21,110,161 | $ | 1,107,041,371 | $ | 516,766,541 | $ | 59,078,870 | ||||||||
|
| |||||||||||||||
Shares Outstanding (unlimited number of shares authorized $ 0.0001 par value) | 1,000,001 | 44,404,000 | 19,600,001 | 2,450,001 | ||||||||||||
Net Asset Value | $ | 21.11 | $ | 24.93 | $ | 26.37 | $ | 24.11 | ||||||||
† Securities on loan, at value | $ | 2,129,395 | $ | 86,730,113 | $ | 68,484,229 | $ | — | ||||||||
†† Cost of foreign cash | $ | 44,583 | $ | — | $ | — | $ | — |
* | Includes cash pledged by the Fund to cover margin requirements for open futures contracts as of 04/30. |
** | Includes cash pledged by an Authorized Participant for missing deposit securities required to secure Creation Units. |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 7 |
Table of Contents
Statements of Assets and Liabilities (cont.)
FlexShares® Credit-Scored US Corporate Bond Index Fund | FlexShares® Credit-Scored US Long Corporate Bond Index Fund | FlexShares® High Yield Value-Scored Bond Index Fund | FlexShares® Ready Access Variable Income Fund | |||||||||||||
ASSETS |
| |||||||||||||||
Securities, at cost | $ | 121,730,872 | $ | 30,671,919 | $ | 162,956,643 | $ | 316,771,797 | ||||||||
Affiliate securities, at cost | — | — | — | — | ||||||||||||
Securities Lending Reinvestments, at cost | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Securities, at value† | 125,078,711 | 32,281,646 | 144,662,838 | 316,621,742 | ||||||||||||
Affiliate securities, at value | — | — | — | — | ||||||||||||
Securities Lending Reinvestments, at value | — | — | — | — | ||||||||||||
Cash | 608,749 | 161,632 | 5,960,004 | 2,972 | ||||||||||||
Cash segregated at broker* | — | — | — | — | ||||||||||||
Foreign cash†† | — | — | — | — | ||||||||||||
Restricted cash** | — | — | — | — | ||||||||||||
Due from Authorized Participant | — | — | — | — | ||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | — | — | ||||||||||||
Receivables: | ||||||||||||||||
Dividends and interest | 1,054,040 | 344,877 | 3,037,371 | 1,503,250 | ||||||||||||
Securities lending income | — | — | — | — | ||||||||||||
Capital shares issued | — | — | — | — | ||||||||||||
Investment adviser | 9 | — | — | — | ||||||||||||
Securities sold | 44,060,177 | 9,485,922 | 1,840,870 | 2,291,181 | ||||||||||||
Variation margin on futures contracts | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total Assets | 170,801,686 | 42,274,077 | 155,501,083 | 320,419,145 | ||||||||||||
|
| |||||||||||||||
LIABILITIES |
| |||||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | — | — | ||||||||||||
Payables: | ||||||||||||||||
Due to Custodian | — | — | — | — | ||||||||||||
Cash collateral received from securities loaned | — | — | — | — | ||||||||||||
Deferred compensation (Note 7) | 1,467 | 483 | — | 7,753 | ||||||||||||
Investment advisory fees (Note 4) | 22,430 | 5,474 | 42,841 | 65,024 | ||||||||||||
Trustee fees (Note 7) | 1,090 | 336 | 1,256 | 2,597 | ||||||||||||
Securities purchased | 44,461,986 | 9,594,729 | 6,684,427 | 2,997,460 | ||||||||||||
Deferred non-US capital gains taxes | — | — | — | — | ||||||||||||
Due to Authorized Participant | — | — | — | — | ||||||||||||
Variation margin on futures contracts | — | — | — | — | ||||||||||||
Capital shares redeemed | — | — | — | — | ||||||||||||
Other | 500 | 500 | 1,013 | 2,275 | ||||||||||||
|
| |||||||||||||||
Total Liabilities | 44,487,473 | 9,601,522 | 6,729,537 | 3,075,109 | ||||||||||||
|
| |||||||||||||||
Net Assets | $ | 126,314,213 | $ | 32,672,555 | $ | 148,771,546 | $ | 317,344,036 | ||||||||
|
| |||||||||||||||
NET ASSETS CONSIST OF: |
| |||||||||||||||
Paid-in capital | $ | 121,071,795 | $ | 30,393,002 | $ | 167,964,540 | $ | 317,143,985 | ||||||||
Distributable earnings (loss) | 5,242,418 | 2,279,553 | (19,192,994 | ) | 200,051 | |||||||||||
|
| |||||||||||||||
Net Assets | $ | 126,314,213 | $ | 32,672,555 | $ | 148,771,546 | $ | 317,344,036 | ||||||||
|
| |||||||||||||||
Shares Outstanding (unlimited number of shares authorized $ 0.0001 par value) | 2,400,001 | 550,001 | 3,500,001 | 4,200,001 | ||||||||||||
Net Asset Value | $ | 52.63 | $ | 59.40 | $ | 42.51 | $ | 75.56 | ||||||||
† Securities on loan, at value | $ | — | $ | — | $ | — | $ | — | ||||||||
†† Cost of foreign cash | $ | — | $ | — | $ | — | $ | — |
* | Includes cash pledged by the Fund to cover margin requirements for open futures contracts as of 04/30. |
** | Includes cash pledged by an Authorized Participant for missing deposit securities required to secure Creation Units. |
See Accompanying Notes to the Financial Statements.
8 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Statements of Assets and Liabilities (cont.)
FlexShares® Core Select Bond Fund | ||||
ASSETS |
| |||
Securities, at cost | $ | 15,763,427 | ||
Affiliate securities, at cost | 15,465,920 | |||
Securities Lending Reinvestments, at cost | — | |||
|
| |||
Securities, at value† | 16,864,894 | |||
Affiliate securities, at value | 15,999,123 | |||
Securities Lending Reinvestments, at value | — | |||
Cash | 178,517 | |||
Cash segregated at broker* | 2,034 | |||
Foreign cash†† | — | |||
Restricted cash** | — | |||
Due from Authorized Participant | — | |||
Unrealized appreciation on forward foreign currency contracts | — | |||
Receivables: | ||||
Dividends and interest | — | |||
Securities lending income | — | |||
Capital shares issued | — | |||
Investment adviser | — | |||
Securities sold | 504,172 | |||
Variation margin on futures contracts | — | |||
|
| |||
Total Assets | 33,548,740 | |||
|
| |||
LIABILITIES |
| |||
Unrealized depreciation on forward foreign currency contracts | — | |||
Payables: | ||||
Due to Custodian | — | |||
Cash collateral received from securities loaned | — | |||
Deferred compensation (Note 7) | 186 | |||
Investment advisory fees (Note 4) | 5,586 | |||
Trustee fees (Note 7) | 390 | |||
Securities purchased | 447,662 | |||
Deferred non-US capital gains taxes | — | |||
Due to Authorized Participant | — | |||
Variation margin on futures contracts | — | |||
Capital shares redeemed | — | |||
Other | — | |||
|
| |||
Total Liabilities | 453,824 | |||
|
| |||
Net Assets | $ | 33,094,916 | ||
|
| |||
NET ASSETS CONSIST OF: |
| |||
Paid-in capital | $ | 31,503,598 | ||
Distributable earnings (loss) | 1,591,318 | |||
|
| |||
Net Assets | $ | 33,094,916 | ||
|
| |||
Shares Outstanding (unlimited number of shares authorized $ 0.0001 par value) | 1,250,001 | |||
Net Asset Value | $ | 26.48 | ||
† Securities on loan, at value | $ | — | ||
†† Cost of foreign cash | $ | — |
* | Includes cash pledged by the Fund to cover margin requirements for open futures contracts as of 04/30. |
** | Includes cash pledged by an Authorized Participant for missing deposit securities required to secure Creation Units. |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 9 |
Table of Contents
FlexShares® Trust
For the six months ended April 30, 2020 (Unaudited)
FlexShares® US Quality Low Volatility Index Fund | FlexShares® Developed Markets ex-US Quality Low Volatility Index Fund | FlexShares® Emerging Markets Quality Low Volatility Index Fund | FlexShares® Morningstar US Market Factor Tilt Index Fund | |||||||||||||
INVESTMENT INCOME |
| |||||||||||||||
Dividend income | $ | 208,936 | $ | 440,470 | $ | 52,589 | $ | 14,733,668 | ||||||||
Income from non-cash dividends | — | — | — | — | ||||||||||||
Dividend income received from affiliate | — | — | — | 11,042 | ||||||||||||
Interest income | 8 | — | — | — | ||||||||||||
Securities lending income (net of fees) (Note 2) | — | — | — | 352,922 | ||||||||||||
Foreign withholding tax on dividends | (447 | ) | (48,962 | ) | (6,237 | ) | (3,342 | ) | ||||||||
Foreign withholding tax on interest | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total Investment Income | 208,497 | 391,508 | 46,352 | 15,094,290 | ||||||||||||
|
| |||||||||||||||
EXPENSES |
| |||||||||||||||
Deferred compensation (Note 7) | (495 | )(1) | (630 | )(1) | (86 | )(1) | (16,276 | )(1) | ||||||||
Investment advisory fees | 22,888 | 28,496 | 10,861 | 1,740,550 | ||||||||||||
Trustee fees (Note 7) | 590 | 474 | 172 | 43,688 | ||||||||||||
Other expenses (Note 4) | 60 | 46 | 44 | 13,105 | ||||||||||||
|
| |||||||||||||||
Total Gross Expenses Before Fees Reimbursed | 23,043 | 28,386 | 10,991 | 1,781,067 | ||||||||||||
|
| |||||||||||||||
Less: |
| |||||||||||||||
Deferred compensation reimbursed (Note 7) | (43 | ) | (34 | ) | (12 | ) | (3,272 | ) | ||||||||
Investment advisory fees reimbursed (Note 4) | — | — | — | — | ||||||||||||
Other expenses reimbursed (Note 4) | (60 | ) | (46 | ) | (44 | ) | (13,105 | ) | ||||||||
|
| |||||||||||||||
Total Net Expenses | 22,940 | 28,306 | 10,935 | 1,764,690 | ||||||||||||
|
| |||||||||||||||
Net Investment Income (Loss) | 185,557 | 363,202 | 35,417 | 13,329,600 | ||||||||||||
|
| |||||||||||||||
NET REALIZED GAIN (LOSS) FROM: |
| |||||||||||||||
Transactions in investment securities of affiliated issuers | — | — | — | (22,862 | ) | |||||||||||
Transactions in investment securities | (465,388 | ) | (379,051 | ) | (246,275 | )(2) | (8,809,951 | ) | ||||||||
In-kind redemptions on investments in affiliated securities | — | — | — | 19,967 | ||||||||||||
In-kind redemptions on investments in securities | 179,563 | — | 45,457 | 43,363,625 | ||||||||||||
Expiration or closing of futures contracts | (5,752 | ) | (140,838 | ) | (18,757 | ) | (3,094,766 | ) | ||||||||
Settlement of forward foreign currency contracts | — | (494 | ) | — | — | |||||||||||
Foreign currency transactions | — | (4,420 | ) | (9,108 | ) | — | ||||||||||
|
| |||||||||||||||
Net Realized Gain (Loss) | (291,577 | ) | (524,803 | ) | (228,683 | ) | 31,456,013 | |||||||||
|
| |||||||||||||||
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: |
| |||||||||||||||
Investments in securities | (2,459,822 | ) | (3,084,007 | ) | (556,429 | ) | (189,000,598 | )(3) | ||||||||
Securities lending | — | — | — | 12,700 | ||||||||||||
Futures contracts | 6,118 | 54,812 | (5,048 | ) | 1,033,351 | |||||||||||
Forward foreign currency contracts | — | (9,773 | ) | — | — | |||||||||||
Translation of other assets and liabilities denominated in foreign currencies | — | 2,148 | (2,523 | ) | — | |||||||||||
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) | (2,453,704 | ) | (3,036,820 | ) | (564,000 | ) | (187,954,547 | ) | ||||||||
|
| |||||||||||||||
Net Realized and Unrealized Gain (Loss) | (2,745,281 | ) | (3,561,623 | ) | (792,683 | ) | (156,498,534 | ) | ||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (2,559,724 | ) | $ | (3,198,421 | ) | $ | (757,266 | ) | $ | (143,168,934 | ) | ||||
|
|
(1) | The deferred compensation expense reflects the periodic adjustment of the performance of the investment options selected by the Trustees. |
(2) | Net of non-US capital gains tax of $(920). |
(3) | Includes $(170,254) change in unrealized depreciation on investments in affiliates. |
See Accompanying Notes to the Financial Statements.
10 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Statements of Operations (cont.)
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund | FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund | FlexShares® Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund | FlexShares® Currency Hedged Morningstar EM Factor Tilt Index Fund | |||||||||||||
INVESTMENT INCOME |
| |||||||||||||||
Dividend income | $ | 11,717,254 | $ | 3,578,164 | $ | — | $ | — | ||||||||
Income from non-cash dividends | 1,045,158 | — | — | — | ||||||||||||
Dividend income received from affiliate | — | — | 138,613 | 57,226 | ||||||||||||
Interest income | — | 621 | — | — | ||||||||||||
Securities lending income (net of fees) (Note 2) | 320,068 | 111,821 | — | — | ||||||||||||
Foreign withholding tax on dividends | (1,209,357 | ) | (358,354 | ) | — | — | ||||||||||
Foreign withholding tax on interest | — | (5 | ) | — | — | |||||||||||
|
| |||||||||||||||
Total Investment Income | 11,873,123 | 3,332,247 | 138,613 | 57,226 | ||||||||||||
|
| |||||||||||||||
EXPENSES |
| |||||||||||||||
Deferred compensation (Note 7) | (9,130 | )(1) | (3,162 | )(1) | (80 | )(1) | (31 | )(1) | ||||||||
Investment advisory fees | 1,676,682 | 1,031,364 | 17,114 | 14,793 | ||||||||||||
Trustee fees (Note 7) | 27,272 | 11,431 | 108 | 34 | ||||||||||||
Other expenses (Note 4) | 8,572 | 3,669 | 76 | 49 | ||||||||||||
|
| |||||||||||||||
Total Gross Expenses Before Fees Reimbursed | 1,703,396 | 1,043,302 | 17,218 | 14,845 | ||||||||||||
|
| |||||||||||||||
Less: |
| |||||||||||||||
Deferred compensation reimbursed (Note 7) | (2,045 | ) | (840 | ) | (18 | ) | (12 | ) | ||||||||
Investment advisory fees reimbursed (Note 4) | — | (907 | ) | (15,153 | ) | (13,462 | ) | |||||||||
Other expenses reimbursed (Note 4) | (8,572 | ) | (3,669 | ) | (76 | ) | (49 | ) | ||||||||
|
| |||||||||||||||
Total Net Expenses | 1,692,779 | 1,037,886 | 1,971 | 1,322 | ||||||||||||
|
| |||||||||||||||
Net Investment Income (Loss) | 10,180,344 | 2,294,361 | 136,642 | 55,904 | ||||||||||||
|
| |||||||||||||||
NET REALIZED GAIN (LOSS) FROM: |
| |||||||||||||||
Transactions in investment securities of affiliated issuers | — | — | (86,046 | ) | (1,644 | ) | ||||||||||
Transactions in investment securities | (3,339,461 | ) | (5,621,806 | )(2) | — | — | ||||||||||
In-kind redemptions on investments in affiliated securities | — | — | (238,044 | ) | 6,143 | |||||||||||
In-kind redemptions on investments in securities | (11,652,859 | ) | (1,447,728 | ) | — | — | ||||||||||
Expiration or closing of futures contracts | (1,097,236 | ) | (255,614 | ) | — | (8,404 | ) | |||||||||
Settlement of forward foreign currency contracts | (157,509 | ) | 17,344 | 249,671 | 196,722 | |||||||||||
Foreign currency transactions | 201,798 | (304,719 | ) | 96,362 | (27,948 | ) | ||||||||||
|
| |||||||||||||||
Net Realized Gain (Loss) | (16,045,267 | ) | (7,612,523 | ) | 21,943 | 164,869 | ||||||||||
|
| |||||||||||||||
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: |
| |||||||||||||||
Investments in securities | (171,286,827 | ) | (47,578,243 | ) | (1,444,985 | )(3) | (524,319 | )(4) | ||||||||
Securities lending | — | — | — | — | ||||||||||||
Futures contracts | 911,077 | 404,182 | — | 6,500 | ||||||||||||
Forward foreign currency contracts | (91,850 | ) | 91,474 | (28,899 | ) | 11,275 | ||||||||||
Translation of other assets and liabilities denominated in foreign currencies | 59,022 | (28,867 | ) | — | — | |||||||||||
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) | (170,408,578 | ) | (47,111,454 | ) | (1,473,884 | ) | (506,544 | ) | ||||||||
|
| |||||||||||||||
Net Realized and Unrealized Gain (Loss) | (186,453,845 | ) | (54,723,977 | ) | (1,451,941 | ) | (341,675 | ) | ||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (176,273,501 | ) | $ | (52,429,616 | ) | $ | (1,315,299 | ) | $ | (285,771 | ) | ||||
|
|
(1) | The deferred compensation expense reflects the periodic adjustment of the performance of the investment options selected by the Trustees. |
(2) | Net of non-US capital gains tax of $(3,291). |
(3) | Includes $(1,444,985) change in unrealized depreciation on investments in affiliates. |
(4) | Includes $(524,319) change in unrealized depreciation on investments in affiliates. |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 11 |
Table of Contents
Statements of Operations (cont.)
FlexShares® US Quality Large Cap Index Fund | FlexShares® STOXX® US ESG Impact Index Fund | FlexShares® STOXX® Global ESG Impact Index Fund | FlexShares® Morningstar Global Upstream Natural Resources Index Fund | |||||||||||||
INVESTMENT INCOME |
| |||||||||||||||
Dividend income | $ | 524,532 | $ | 683,523 | $ | 1,089,411 | $ | 81,539,333 | ||||||||
Income from non-cash dividends | — | — | — | — | ||||||||||||
Dividend income received from affiliate | — | — | — | — | ||||||||||||
Interest income | — | — | — | — | ||||||||||||
Securities lending income (net of fees) (Note 2) | 9,069 | 2,051 | 3,484 | 446,545 | ||||||||||||
Foreign withholding tax on dividends | — | — | (48,788 | ) | (3,963,960 | ) | ||||||||||
Foreign withholding tax on interest | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total Investment Income | 533,601 | 685,574 | 1,044,107 | 78,021,918 | ||||||||||||
|
| |||||||||||||||
EXPENSES |
| |||||||||||||||
Deferred compensation (Note 7) | (628 | )(1) | (857 | )(1) | (1,139 | )(1) | (39,798 | )(1) | ||||||||
Investment advisory fees | 79,259 | 98,320 | 190,476 | 10,690,656 | ||||||||||||
Trustee fees (Note 7) | 1,389 | 1,808 | 2,696 | 149,206 | ||||||||||||
Other expenses (Note 4) | 453 | 502 | 815 | 49,299 | ||||||||||||
|
| |||||||||||||||
Total Gross Expenses Before Fees Reimbursed | 80,473 | 99,773 | 192,848 | 10,849,363 | ||||||||||||
|
| |||||||||||||||
Less: |
| |||||||||||||||
Deferred compensation reimbursed (Note 7) | (112 | ) | (141 | ) | (210 | ) | (11,204 | ) | ||||||||
Investment advisory fees reimbursed (Note 4) | — | — | — | (7,025 | ) | |||||||||||
Other expenses reimbursed (Note 4) | (453 | ) | (502 | ) | (815 | ) | (49,299 | ) | ||||||||
|
| |||||||||||||||
Total Net Expenses | 79,908 | 99,130 | 191,823 | 10,781,835 | ||||||||||||
|
| |||||||||||||||
Net Investment Income (Loss) | 453,693 | 586,444 | 852,284 | 67,240,083 | ||||||||||||
|
| |||||||||||||||
NET REALIZED GAIN (LOSS) FROM: |
| |||||||||||||||
Transactions in investment securities of affiliated issuers | — | — | — | — | ||||||||||||
Transactions in investment securities | (244,618 | ) | (4,285,678 | ) | (2,775,323 | ) | (105,649,515 | )(2) | ||||||||
In-kind redemptions on investments in affiliated securities | — | — | — | — | ||||||||||||
In-kind redemptions on investments in securities | 815,827 | 301,364 | — | 121,475,469 | ||||||||||||
Expiration or closing of futures contracts | (52,124 | ) | (136,960 | ) | (264,974 | ) | (6,308,146 | ) | ||||||||
Settlement of forward foreign currency contracts | — | — | — | (287,306 | ) | |||||||||||
Foreign currency transactions | — | — | (29,179 | ) | (1,757,181 | ) | ||||||||||
|
| |||||||||||||||
Net Realized Gain (Loss) | 519,085 | (4,121,274 | ) | (3,069,476 | ) | 7,473,321 | ||||||||||
|
| |||||||||||||||
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: |
| |||||||||||||||
Investments in securities | (2,682,767 | ) | 1,390,154 | (2,695,932 | ) | (930,445,401 | ) | |||||||||
Securities lending | — | — | — | 15,634 | ||||||||||||
Futures contracts | 10,119 | 45,502 | 78,088 | 4,808,662 | ||||||||||||
Forward foreign currency contracts | — | — | — | 151,692 | ||||||||||||
Translation of other assets and liabilities denominated in foreign currencies | — | — | 6,699 | (57,559 | ) | |||||||||||
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) | (2,672,648 | ) | 1,435,656 | (2,611,145 | ) | (925,526,972 | ) | |||||||||
|
| |||||||||||||||
Net Realized and Unrealized Gain (Loss) | (2,153,563 | ) | (2,685,618 | ) | (5,680,621 | ) | (918,053,651 | ) | ||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (1,699,870 | ) | $ | (2,099,174 | ) | $ | (4,828,337 | ) | $ | (850,813,568 | ) | ||||
|
|
(1) | The deferred compensation expense reflects the periodic adjustment of the performance of the investment options selected by the Trustees. |
(2) | Net of non-US capital gains tax of $(672). |
See Accompanying Notes to the Financial Statements.
12 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Statements of Operations (cont.)
FlexShares® STOXX® Global Broad Infrastructure Index Fund | FlexShares® Global Quality Real Estate Index Fund | FlexShares® Real Assets Allocation Index Fund | FlexShares® Quality Dividend Index Fund | |||||||||||||
INVESTMENT INCOME |
| |||||||||||||||
Dividend income | $ | 22,495,151 | $ | 6,353,678 | $ | — | $ | 26,821,223 | ||||||||
Income from non-cash dividends | — | — | — | — | ||||||||||||
Dividend income received from affiliate | — | — | 191,504 | — | ||||||||||||
Interest income | — | — | — | — | ||||||||||||
Securities lending income (net of fees) (Note 2) | 107,753 | 27,874 | — | 186,974 | ||||||||||||
Foreign withholding tax on dividends | (1,257,850 | ) | (318,407 | ) | — | — | ||||||||||
Foreign withholding tax on interest | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total Investment Income | 21,345,054 | 6,063,145 | 191,504 | 27,008,197 | ||||||||||||
|
| |||||||||||||||
EXPENSES |
| |||||||||||||||
Deferred compensation (Note 7) | (20,269 | )(1) | (4,505 | )(1) | (116 | )(1) | (18,127 | )(1) | ||||||||
Investment advisory fees | 3,710,640 | 846,337 | 29,585 | 2,967,101 | ||||||||||||
Trustee fees (Note 7) | 49,434 | 11,943 | 197 | 50,993 | ||||||||||||
Other expenses (Note 4) | 13,423 | 3,365 | 101 | 15,311 | ||||||||||||
|
| |||||||||||||||
Total Gross Expenses Before Fees Reimbursed | 3,753,228 | 857,140 | 29,767 | 3,015,278 | ||||||||||||
|
| |||||||||||||||
Less: |
| |||||||||||||||
Deferred compensation reimbursed (Note 7) | (3,631 | ) | (892 | ) | (25 | ) | (3,820 | ) | ||||||||
Investment advisory fees reimbursed (Note 4) | — | — | (23,835 | ) | — | |||||||||||
Other expenses reimbursed (Note 4) | (13,423 | ) | (3,365 | ) | (101 | ) | (15,311 | ) | ||||||||
|
| |||||||||||||||
Total Net Expenses | 3,736,174 | 852,883 | 5,806 | 2,996,147 | ||||||||||||
|
| |||||||||||||||
Net Investment Income (Loss) | 17,608,880 | 5,210,262 | 185,698 | 24,012,050 | ||||||||||||
|
| |||||||||||||||
NET REALIZED GAIN (LOSS) FROM: |
| |||||||||||||||
Transactions in investment securities of affiliated issuers | — | — | (27,332 | ) | — | |||||||||||
Transactions in investment securities | (55,010,995 | )(2) | (945,267 | ) | — | (7,144,092 | ) | |||||||||
In-kind redemptions on investments in affiliated securities | — | — | 97,431 | — | ||||||||||||
In-kind redemptions on investments in securities | 13,934,341 | 38,132 | — | 45,078,785 | ||||||||||||
Expiration or closing of futures contracts | (3,439,461 | ) | (943,856 | ) | — | (3,523,687 | ) | |||||||||
Settlement of forward foreign currency contracts | 77,484 | 52,527 | — | — | ||||||||||||
Foreign currency transactions | (317,456 | ) | (118,693 | ) | — | — | ||||||||||
|
| |||||||||||||||
Net Realized Gain (Loss) | (44,756,087 | ) | (1,917,157 | ) | 70,099 | 34,411,006 | ||||||||||
|
| |||||||||||||||
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: |
| |||||||||||||||
Investments in securities | (189,154,399 | )(3) | (95,110,451 | ) | (1,918,473 | )(4) | (256,316,309 | ) | ||||||||
Securities lending | — | — | — | (2,918 | ) | |||||||||||
Futures contracts | 898,029 | 337,351 | — | 960,444 | ||||||||||||
Forward foreign currency contracts | 40,219 | (165 | ) | — | — | |||||||||||
Translation of other assets and liabilities denominated in foreign currencies | 41,232 | 21,736 | — | — | ||||||||||||
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) | (188,174,919 | ) | (94,751,529 | ) | (1,918,473 | ) | (255,358,783 | ) | ||||||||
|
| |||||||||||||||
Net Realized and Unrealized Gain (Loss) | (232,931,006 | ) | (96,668,686 | ) | (1,848,374 | ) | (220,947,777 | ) | ||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (215,322,126 | ) | $ | (91,458,424 | ) | $ | (1,662,676 | ) | $ | (196,935,727 | ) | ||||
|
|
(1) | The deferred compensation expense reflects the periodic adjustment of the performance of the investment options selected by the Trustees. |
(2) | Net of non-US capital gains tax of $(21,246). |
(3) | Net of deferred non-US capital gains tax of $4,385. |
(4) | Includes $(1,918,473) change in unrealized depreciation on investments in affiliates. |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 13 |
Table of Contents
Statements of Operations (cont.)
FlexShares® Quality Dividend Defensive Index Fund | FlexShares® Quality Dividend Dynamic Index Fund | FlexShares® International Quality Dividend Index Fund | FlexShares® International Quality Dividend Defensive Index Fund | |||||||||||||
INVESTMENT INCOME |
| |||||||||||||||
Dividend income | $ | 7,758,186 | $ | 725,346 | $ | 15,127,243 | $ | 1,589,933 | ||||||||
Income from non-cash dividends | — | — | — | — | ||||||||||||
Dividend income received from affiliate | — | — | — | — | ||||||||||||
Interest income | — | — | — | — | ||||||||||||
Securities lending income (net of fees) (Note 2) | 26,113 | 1,811 | 190,504 | 24,365 | ||||||||||||
Foreign withholding tax on dividends | (536 | ) | — | (1,356,763 | ) | (147,282 | ) | |||||||||
Foreign withholding tax on interest | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total Investment Income | 7,783,763 | 727,157 | 13,960,984 | 1,467,016 | ||||||||||||
|
| |||||||||||||||
EXPENSES |
| |||||||||||||||
Deferred compensation (Note 7) | (6,179 | )(1) | (187 | )(1) | (6,005 | )(1) | (820 | )(1) | ||||||||
Investment advisory fees | 855,973 | 78,811 | 1,618,096 | 169,752 | ||||||||||||
Trustee fees (Note 7) | 14,285 | 1,207 | 22,149 | 2,154 | ||||||||||||
Other expenses (Note 4) | 4,076 | 474 | 6,954 | 703 | ||||||||||||
|
| |||||||||||||||
Total Gross Expenses Before Fees Reimbursed | 868,155 | 80,305 | 1,641,194 | 171,789 | ||||||||||||
|
| |||||||||||||||
Less: |
| |||||||||||||||
Deferred compensation reimbursed (Note 7) | (1,068 | ) | (105 | ) | (1,651 | ) | (169 | ) | ||||||||
Investment advisory fees reimbursed (Note 4) | — | (22 | ) | (797 | ) | — | ||||||||||
Other expenses reimbursed (Note 4) | (4,076 | ) | (474 | ) | (6,954 | ) | (703 | ) | ||||||||
|
| |||||||||||||||
Total Net Expenses | 863,011 | 79,704 | 1,631,792 | 170,917 | ||||||||||||
|
| |||||||||||||||
Net Investment Income (Loss) | 6,920,752 | 647,453 | 12,329,192 | 1,296,099 | ||||||||||||
|
| |||||||||||||||
NET REALIZED GAIN (LOSS) FROM: |
| |||||||||||||||
Transactions in investment securities of affiliated issuers | — | — | — | — | ||||||||||||
Transactions in investment securities | (6,007,272 | ) | (907,260 | ) | (9,392,611 | )(2) | (2,019,603 | ) | ||||||||
In-kind redemptions on investments in affiliated securities | — | — | — | — | ||||||||||||
In-kind redemptions on investments in securities | 13,079,213 | 2,588,455 | 1,039,857 | 283,501 | ||||||||||||
Expiration or closing of futures contracts | (931,553 | ) | (91,853 | ) | (3,879,690 | ) | (338,014 | ) | ||||||||
Settlement of forward foreign currency contracts | — | — | (238,534 | ) | 13,258 | |||||||||||
Foreign currency transactions | — | — | (808,941 | ) | (60,192 | ) | ||||||||||
|
| |||||||||||||||
Net Realized Gain (Loss) | 6,140,388 | 1,589,342 | (13,279,919 | ) | (2,121,050 | ) | ||||||||||
|
| |||||||||||||||
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: |
| |||||||||||||||
Investments in securities | (61,491,120 | ) | (7,385,684 | ) | (100,551,210 | ) | (10,387,591 | ) | ||||||||
Securities lending | — | — | — | — | ||||||||||||
Futures contracts | 259,676 | 11,815 | 1,121,842 | 133,739 | ||||||||||||
Forward foreign currency contracts | — | — | 69,757 | 764 | ||||||||||||
Translation of other assets and liabilities denominated in foreign currencies | — | — | (116,898 | ) | (2,589 | ) | ||||||||||
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) | (61,231,444 | ) | (7,373,869 | ) | (99,476,509 | ) | (10,255,677 | ) | ||||||||
|
| |||||||||||||||
Net Realized and Unrealized Gain (Loss) | (55,091,056 | ) | (5,784,527 | ) | (112,756,428 | ) | (12,376,727 | ) | ||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (48,170,304 | ) | $ | (5,137,074 | ) | $ | (100,427,236 | ) | $ | (11,080,628 | ) | ||||
|
|
(1) | The deferred compensation expense reflects the periodic adjustment of the performance of the investment options selected by the Trustees. |
(2) | Net of non-US capital gains tax of $(1,150). |
See Accompanying Notes to the Financial Statements.
14 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Statements of Operations (cont.)
FlexShares® International Quality Dividend Dynamic Index Fund | FlexShares® iBoxx 3-Year Target Duration TIPS Index Fund | FlexShares® iBoxx 5-Year Target Duration TIPS Index Fund | FlexShares® Disciplined Duration MBS Index Fund | |||||||||||||
INVESTMENT INCOME |
| |||||||||||||||
Dividend income | $ | 660,016 | $ | — | $ | — | $ | — | ||||||||
Income from non-cash dividends | — | — | — | — | ||||||||||||
Dividend income received from affiliate | — | — | — | — | ||||||||||||
Interest income | — | 11,367,650 | 5,228,969 | 586,937 | ||||||||||||
Securities lending income (net of fees) (Note 2) | 8,790 | 30,744 | 18,825 | — | ||||||||||||
Foreign withholding tax on dividends | (56,179 | ) | — | — | — | |||||||||||
Foreign withholding tax on interest | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total Investment Income | 612,627 | 11,398,394 | 5,247,794 | 586,937 | ||||||||||||
|
| |||||||||||||||
EXPENSES |
| |||||||||||||||
Deferred compensation (Note 7) | (284 | )(1) | (16,546 | )(1) | (7,765 | )(1) | (937 | )(1) | ||||||||
Investment advisory fees | 98,780 | 1,034,501 | 480,898 | 50,545 | ||||||||||||
Trustee fees (Note 7) | 1,207 | 36,212 | 16,436 | 1,394 | ||||||||||||
Other expenses (Note 4) | 447 | 10,524 | 4,966 | 345 | ||||||||||||
|
| |||||||||||||||
Total Gross Expenses Before Fees Reimbursed | 100,150 | 1,064,691 | 494,535 | 51,347 | ||||||||||||
|
| |||||||||||||||
Less: |
| |||||||||||||||
Deferred compensation reimbursed (Note 7) | (103 | ) | (2,674 | ) | (1,244 | ) | (109 | ) | ||||||||
Investment advisory fees reimbursed (Note 4) | — | — | — | — | ||||||||||||
Other expenses reimbursed (Note 4) | (447 | ) | (10,524 | ) | (4,966 | ) | (345 | ) | ||||||||
|
| |||||||||||||||
Total Net Expenses | 99,600 | 1,051,493 | 488,325 | 50,893 | ||||||||||||
|
| |||||||||||||||
Net Investment Income (Loss) | 513,027 | 10,346,901 | 4,759,469 | 536,044 | ||||||||||||
|
| |||||||||||||||
NET REALIZED GAIN (LOSS) FROM: |
| |||||||||||||||
Transactions in investment securities of affiliated issuers | — | — | — | — | ||||||||||||
Transactions in investment securities | (97,367 | )(2) | 2,232,942 | 3,356,258 | 168,013 | |||||||||||
In-kind redemptions on investments in affiliated securities | — | — | — | — | ||||||||||||
In-kind redemptions on investments in securities | 543,677 | 1,099,577 | 2,055,324 | — | ||||||||||||
Expiration or closing of futures contracts | (33,806 | ) | — | — | — | |||||||||||
Settlement of forward foreign currency contracts | — | — | — | — | ||||||||||||
Foreign currency transactions | (18,583 | ) | — | — | — | |||||||||||
|
| |||||||||||||||
Net Realized Gain (Loss) | 393,921 | 3,332,519 | 5,411,582 | 168,013 | ||||||||||||
|
| |||||||||||||||
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: |
| |||||||||||||||
Investments in securities | (5,919,751 | ) | 9,241,188 | 10,582,354 | 1,401,777 | |||||||||||
Securities lending | — | — | — | — | ||||||||||||
Futures contracts | 5,666 | — | — | — | ||||||||||||
Forward foreign currency contracts | — | — | — | — | ||||||||||||
Translation of other assets and liabilities denominated in foreign currencies | 178 | — | — | — | ||||||||||||
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) | (5,913,907 | ) | 9,241,188 | 10,582,354 | 1,401,777 | |||||||||||
|
| |||||||||||||||
Net Realized and Unrealized Gain (Loss) | (5,519,986 | ) | 12,573,707 | 15,993,936 | 1,569,790 | |||||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (5,006,959 | ) | $ | 22,920,608 | $ | 20,753,405 | $ | 2,105,834 | |||||||
|
|
(1) | The deferred compensation expense reflects the periodic adjustment of the performance of the investment options selected by the Trustees. |
(2) | Net of non-US capital gains tax of $1,297. |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 15 |
Table of Contents
Statements of Operations (cont.)
FlexShares® Credit-Scored US Corporate Bond Index Fund | FlexShares® Credit-Scored US Long Corporate Bond Index Fund | FlexShares® High Yield Value-Scored Bond Index Fund | FlexShares® Ready Access Variable Income Fund | |||||||||||||
INVESTMENT INCOME |
| |||||||||||||||
Dividend income | $ | — | $ | — | $ | — | $ | — | ||||||||
Income from non-cash dividends | — | — | — | — | ||||||||||||
Dividend income received from affiliate | — | — | — | — | ||||||||||||
Interest income | 1,769,320 | 447,152 | 4,918,752 | 3,362,814 | ||||||||||||
Securities lending income (net of fees) (Note 2) | — | — | — | — | ||||||||||||
Foreign withholding tax on dividends | — | — | — | — | ||||||||||||
Foreign withholding tax on interest | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total Investment Income | 1,769,320 | 447,152 | 4,918,752 | 3,362,814 | ||||||||||||
|
| |||||||||||||||
EXPENSES |
| |||||||||||||||
Deferred compensation (Note 7) | (1,929 | )(1) | (410 | )(1) | (2,221 | )(1) | (4,760 | )(1) | ||||||||
Investment advisory fees | 127,098 | 27,035 | 260,510 | 375,088 | ||||||||||||
Trustee fees (Note 7) | 3,473 | 601 | 4,131 | 9,339 | ||||||||||||
Other expenses (Note 4) | 897 | 175 | 897 | 2,473 | ||||||||||||
|
| |||||||||||||||
Total Gross Expenses Before Fees Reimbursed | 129,539 | 27,401 | 263,317 | 382,140 | ||||||||||||
|
| |||||||||||||||
Less: |
| |||||||||||||||
Deferred compensation reimbursed (Note 7) | (260 | ) | (51 | ) | (306 | ) | (681 | ) | ||||||||
Investment advisory fees reimbursed (Note 4) | — | — | — | — | ||||||||||||
Other expenses reimbursed (Note 4) | (897 | ) | (175 | ) | (897 | ) | (2,473 | ) | ||||||||
|
| |||||||||||||||
Total Net Expenses | 128,382 | 27,175 | 262,114 | 378,986 | ||||||||||||
|
| |||||||||||||||
Net Investment Income (Loss) | 1,640,938 | 419,977 | 4,656,638 | 2,983,828 | ||||||||||||
|
| |||||||||||||||
NET REALIZED GAIN (LOSS) FROM: |
| |||||||||||||||
Transactions in investment securities of affiliated issuers | — | — | — | — | ||||||||||||
Transactions in investment securities | 1,647,545 | 781,126 | (690,836 | ) | (91,866 | ) | ||||||||||
In-kind redemptions on investments in affiliated securities | — | — | — | — | ||||||||||||
In-kind redemptions on investments in securities | — | — | — | — | ||||||||||||
Expiration or closing of futures contracts | — | — | — | — | ||||||||||||
Settlement of forward foreign currency contracts | — | — | — | — | ||||||||||||
Foreign currency transactions | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Net Realized Gain (Loss) | 1,647,545 | 781,126 | (690,836 | ) | (91,866 | ) | ||||||||||
|
| |||||||||||||||
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: |
| |||||||||||||||
Investments in securities | (1,028,293 | ) | (92,367 | ) | (17,745,382 | ) | (1,282,327 | ) | ||||||||
Securities lending | — | — | — | — | ||||||||||||
Futures contracts | — | — | — | — | ||||||||||||
Forward foreign currency contracts | — | — | — | — | ||||||||||||
Translation of other assets and liabilities denominated in foreign currencies | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) | (1,028,293 | ) | (92,367 | ) | (17,745,382 | ) | (1,282,327 | ) | ||||||||
|
| |||||||||||||||
Net Realized and Unrealized Gain (Loss) | 619,252 | 688,759 | (18,436,218 | ) | (1,374,193 | ) | ||||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 2,260,190 | $ | 1,108,736 | $ | (13,779,580 | ) | $ | 1,609,635 | |||||||
|
|
(1) | The deferred compensation expense reflects the periodic adjustment of the performance of the investment options selected by the Trustees. |
See Accompanying Notes to the Financial Statements.
16 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Statements of Operations (cont.)
FlexShares® Core Select Bond Fund | ||||
INVESTMENT INCOME |
| |||
Dividend income | $ | 194,897 | ||
Income from non-cash dividends | — | |||
Dividend income received from affiliate | 171,036 | |||
Interest income | 1,189 | |||
Securities lending income (net of fees) (Note 2) | — | |||
Foreign withholding tax on dividends | — | |||
Foreign withholding tax on interest | — | |||
|
| |||
Total Investment Income | 367,122 | |||
|
| |||
EXPENSES |
| |||
Deferred compensation (Note 7) | (484 | )(1) | ||
Investment advisory fees | 50,860 | |||
Trustee fees (Note 7) | 766 | |||
Other expenses (Note 4) | 230 | |||
|
| |||
Total Gross Expenses Before Fees Reimbursed | 51,372 | |||
|
| |||
Less: |
| |||
Deferred compensation reimbursed (Note 7) | (65 | ) | ||
Investment advisory fees reimbursed (Note 4) | (20,741 | ) | ||
Other expenses reimbursed (Note 4) | (230 | ) | ||
|
| |||
Total Net Expenses | 30,336 | |||
|
| |||
Net Investment Income (Loss) | 336,786 | |||
|
| |||
NET REALIZED GAIN (LOSS) FROM: |
| |||
Transactions in investment securities of affiliated issuers | (44,178 | ) | ||
Transactions in investment securities | 313,607 | |||
In-kind redemptions on investments in affiliated securities | — | |||
In-kind redemptions on investments in securities | — | |||
Expiration or closing of futures contracts | 128,418 | |||
Settlement of forward foreign currency contracts | — | |||
Foreign currency transactions | — | |||
|
| |||
Net Realized Gain (Loss) | 397,847 | |||
|
| |||
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: |
| |||
Investments in securities | 587,120 | (2) | ||
Securities lending | — | |||
Futures contracts | (3,412 | ) | ||
Forward foreign currency contracts | — | |||
Translation of other assets and liabilities denominated in foreign currencies | — | |||
|
| |||
Net Change in Unrealized Appreciation (Depreciation) | 583,708 | |||
|
| |||
Net Realized and Unrealized Gain (Loss) | 981,555 | |||
|
| |||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 1,318,341 | ||
|
|
(1) | The deferred compensation expense reflects the periodic adjustment of the performance of the investment options selected by the Trustees. |
(2) | Includes $239,990 change in unrealized appreciation on investments in affiliates. |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 17 |
Table of Contents
FlexShares® Trust
Statements of Changes in Net Assets
FlexShares® US Quality Low Volatility Index Fund | FlexShares® Developed Markets ex-US Quality Low Volatility Index Fund | |||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | July 15, 2019* through October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | July 15, 2019* through October 31, 2019 | |||||||||||||
OPERATIONS |
| |||||||||||||||
Net investment income (loss) | $ | 185,557 | $ | 21,918 | $ | 363,202 | $ | 32,836 | ||||||||
Net realized gain (loss) | (291,577 | ) | (528 | ) | (524,803 | ) | (14,447 | ) | ||||||||
Net change in unrealized appreciation (depreciation) | (2,453,704 | ) | 52,851 | (3,036,820 | ) | 119,248 | ||||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets | ||||||||||||||||
Resulting from Operations | (2,559,724 | ) | 74,241 | (3,198,421 | ) | 137,637 | ||||||||||
|
| |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributable earnings | (126,627 | ) | (12,079 | ) | (104,613 | ) | (17,800 | ) | ||||||||
Tax return of capital | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total distributions | (126,627 | ) | (12,079 | ) | (104,613 | ) | (17,800 | ) | ||||||||
|
| |||||||||||||||
CAPITAL TRANSACTIONS(1) |
| |||||||||||||||
Proceeds from shares issued | 43,739,140 | 2,004,366 | 39,710,867 | — | ||||||||||||
Cost of shares redeemed | (3,711,596 | ) | — | — | — | |||||||||||
|
| |||||||||||||||
Net Increase (Decrease) from Capital Transactions | 40,027,544 | 2,004,366 | 39,710,867 | — | ||||||||||||
|
| |||||||||||||||
Total Increase (Decrease) in Net Assets | 37,341,193 | 2,066,528 | 36,407,833 | 119,837 | ||||||||||||
|
| |||||||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | $ | 6,066,568 | $ | 4,000,040 | (2) | $ | 5,120,251 | $ | 5,000,414 | (2),(3) | ||||||
|
| |||||||||||||||
End of Period | $ | 43,407,761 | $ | 6,066,568 | $ | 41,528,084 | $ | 5,120,251 | ||||||||
|
| |||||||||||||||
SHARE TRANSACTIONS |
| |||||||||||||||
Beginning of period | 150,001 | 100,001 | (2) | 200,001 | 200,001 | (2) | ||||||||||
Shares issued | — | — | — | — | ||||||||||||
Shares issued in-kind | 1,100,000 | 50,000 | 1,600,000 | — | ||||||||||||
Shares redeemed | — | — | — | — | ||||||||||||
Shares redeemed in-kind | (100,000 | ) | — | — | — | |||||||||||
|
| |||||||||||||||
Shares Outstanding, End of Period | 1,150,001 | 150,001 | 1,800,001 | 200,001 | ||||||||||||
|
|
* | Commencement of investment operations. |
(1) | Capital transactions may include transaction fees associated with creation and redemption transactions which occurred during the period. See Note 9 to the Financial Statements. |
(2) | Amount includes the initial subscription. |
(3) | Includes amounts paid in capital from the Authorized Participant in addition to the order’s original cash component. This amount is made to offset taxes, commissions, and price differences from the net asset value (“NAV”) that would otherwise impact the fund on these order trades. |
See Accompanying Notes to the Financial Statements.
18 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Statements of Changes in Net Assets (cont.)
FlexShares® Emerging Markets Quality Low Volatility Index Fund | FlexShares® Morningstar US Market Factor Tilt Index Fund | |||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | July 15, 2019* through October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | |||||||||||||
OPERATIONS |
| |||||||||||||||
Net investment income (loss) | $ | 35,417 | $ | 46,101 | $ | 13,329,600 | $ | 24,246,782 | ||||||||
Net realized gain (loss) | (228,683 | ) | (38,951 | ) | 31,456,013 | 26,681,219 | ||||||||||
Net change in unrealized appreciation (depreciation) | (564,000 | ) | (3,887 | ) | (187,954,547 | ) | 90,783,007 | |||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets | ||||||||||||||||
Resulting from Operations | (757,266 | ) | 3,263 | (143,168,934 | ) | 141,711,008 | ||||||||||
|
| |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributable earnings | (47,013 | ) | (21,259 | ) | (13,028,744 | ) | (23,379,823 | ) | ||||||||
Tax return of capital | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total distributions | (47,013 | ) | (21,259 | ) | (13,028,744 | ) | (23,379,823 | ) | ||||||||
|
| |||||||||||||||
CAPITAL TRANSACTIONS(1) |
| |||||||||||||||
Proceeds from shares issued | 4,779,911 | — | 28,195,556 | 75,936,865 | ||||||||||||
Cost of shares redeemed | (2,400,617 | ) | — | (91,048,965 | ) | (135,796,153 | ) | |||||||||
|
| |||||||||||||||
Net Increase (Decrease) from Capital Transactions | 2,379,294 | — | (62,853,409 | ) | (59,859,288 | ) | ||||||||||
|
| |||||||||||||||
Total Increase (Decrease) in Net Assets | 1,575,015 | (17,996 | ) | (219,051,087 | ) | 58,471,897 | ||||||||||
|
| |||||||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | $ | 4,988,910 | $ | 5,006,906 | (2)(3) | $ | 1,446,136,579 | $ | 1,387,664,682 | |||||||
|
| |||||||||||||||
End of Period | $ | 6,563,925 | $ | 4,988,910 | $ | 1,227,085,492 | $ | 1,446,136,579 | ||||||||
|
| |||||||||||||||
SHARE TRANSACTIONS |
| |||||||||||||||
Beginning of period | 200,001 | 200,001 | (2) | 12,100,001 | 12,600,001 | |||||||||||
Shares issued | — | — | — | — | ||||||||||||
Shares issued in-kind | 200,000 | — | 300,000 | 700,000 | ||||||||||||
Shares redeemed | — | — | — | — | ||||||||||||
Shares redeemed in-kind | (100,000 | ) | — | (850,000 | ) | (1,200,000 | ) | |||||||||
|
| |||||||||||||||
Shares Outstanding, End of Period | 300,001 | 200,001 | 11,550,001 | 12,100,001 | ||||||||||||
|
|
* | Commencement of investment operations. |
(1) | Capital transactions may include transaction fees associated with creation and redemption transactions which occurred during the period. See Note 9 to the Financial Statements. |
(2) | Amount includes the initial subscription. |
(3) | Includes amounts paid in capital from the Authorized Participant in addition to the order’s original cash component. This amount is made to offset taxes, commissions, and price differences from the NAV that would otherwise impact the fund on these order trades. |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 19 |
Table of Contents
Statements of Changes in Net Assets (cont.)
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund | FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund | |||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | |||||||||||||
OPERATIONS |
| |||||||||||||||
Net investment income (loss) | $ | 10,180,344 | $ | 29,737,840 | $ | 2,294,361 | $ | 14,776,759 | ||||||||
Net realized gain (loss) | (16,045,267 | ) | (9,812,648 | ) | (7,612,523 | ) | (32,646,959 | ) | ||||||||
Net change in unrealized appreciation (depreciation) | (170,408,578 | ) | 52,240,524 | (47,111,454 | ) | 47,428,255 | ||||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets | ||||||||||||||||
Resulting from Operations | (176,273,501 | ) | 72,165,716 | (52,429,616 | ) | 29,558,055 | ||||||||||
|
| |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributable earnings | (15,125,833 | ) | (29,033,991 | ) | (4,130,326 | ) | (13,630,561 | ) | ||||||||
Tax return of capital | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total distributions | (15,125,833 | ) | (29,033,991 | ) | (4,130,326 | ) | (13,630,561 | ) | ||||||||
|
| |||||||||||||||
CAPITAL TRANSACTIONS(1) |
| |||||||||||||||
Proceeds from shares issued | — | 96,879,059 | — | 64,094,605 | ||||||||||||
Cost of shares redeemed | (196,545,241 | ) | (142,964,021 | ) | (123,676,546 | ) | (155,343,981 | ) | ||||||||
|
| |||||||||||||||
Net Increase (Decrease) from Capital Transactions | (196,545,241 | ) | (46,084,962 | ) | (123,676,546 | ) | (91,249,376 | ) | ||||||||
|
| |||||||||||||||
Total Increase (Decrease) in Net Assets | (387,944,575 | ) | (2,953,237 | ) | (180,236,488 | ) | (75,321,882 | ) | ||||||||
|
| |||||||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | $ | 965,142,481 | $ | 968,095,718 | $ | 413,414,163 | $ | 488,736,045 | ||||||||
|
| |||||||||||||||
End of Period | $ | 577,197,906 | $ | 965,142,481 | $ | 233,177,675 | $ | 413,414,163 | ||||||||
|
| |||||||||||||||
SHARE TRANSACTIONS |
| |||||||||||||||
Beginning of period | 15,400,001 | 16,200,001 | 8,200,001 | 10,200,001 | ||||||||||||
Shares issued | — | — | — | — | ||||||||||||
Shares issued in-kind | — | 1,600,000 | — | 1,200,000 | ||||||||||||
Shares redeemed | — | — | — | — | ||||||||||||
Shares redeemed in-kind | (4,000,000 | ) | (2,400,000 | ) | (2,700,000 | ) | (3,200,000 | ) | ||||||||
|
| |||||||||||||||
Shares Outstanding, End of Period | 11,400,001 | 15,400,001 | 5,500,001 | 8,200,001 | ||||||||||||
|
|
(1) | Capital transactions may include transaction fees associated with creation and redemption transactions which occurred during the period. See Note 9 to the Financial Statements. |
See Accompanying Notes to the Financial Statements.
20 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Statements of Changes in Net Assets (cont.)
FlexShares® Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund | FlexShares® Currency Hedged Morningstar EM Factor Tilt Index Fund | |||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | |||||||||||||
OPERATIONS |
| |||||||||||||||
Net investment income (loss) | $ | 136,642 | $ | 246,297 | $ | 55,904 | $ | 152,212 | ||||||||
Net realized gain (loss) | 21,943 | 163,159 | 164,869 | (13,524 | ) | |||||||||||
Net change in unrealized appreciation (depreciation) | (1,473,884 | ) | 349,642 | (506,544 | ) | 257,933 | ||||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets | ||||||||||||||||
Resulting from Operations | (1,315,299 | ) | 759,098 | (285,771 | ) | 396,621 | ||||||||||
|
| |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributable earnings | (185,811 | ) | (247,071 | ) | (56,100 | ) | (152,761 | ) | ||||||||
Tax return of capital | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total distributions | (185,811 | ) | (247,071 | ) | (56,100 | ) | (152,761 | ) | ||||||||
|
| |||||||||||||||
CAPITAL TRANSACTIONS(1) |
| |||||||||||||||
Proceeds from shares issued | — | 663,704 | — | 641,441 | ||||||||||||
Cost of shares redeemed | (1,069,971 | ) | (642,632 | ) | (2,085,874 | ) | — | |||||||||
|
| |||||||||||||||
Net Increase (Decrease) from Capital Transactions | (1,069,971 | ) | 21,072 | (2,085,874 | ) | 641,441 | ||||||||||
|
| |||||||||||||||
Total Increase (Decrease) in Net Assets | (2,571,081 | ) | 533,099 | (2,427,745 | ) | 885,301 | ||||||||||
|
| |||||||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | $ | 8,466,171 | $ | 7,933,072 | $ | 5,442,730 | $ | 4,557,429 | ||||||||
|
| |||||||||||||||
End of Period | $ | 5,895,090 | $ | 8,466,171 | $ | 3,014,985 | $ | 5,442,730 | ||||||||
|
| |||||||||||||||
SHARE TRANSACTIONS |
| |||||||||||||||
Beginning of period | 300,001 | 300,001 | 200,001 | 175,001 | ||||||||||||
Shares issued | — | — | — | — | ||||||||||||
Shares issued in-kind | — | 25,000 | — | 25,000 | ||||||||||||
Shares redeemed | — | — | — | — | ||||||||||||
Shares redeemed in-kind | (50,000 | ) | (25,000 | ) | (75,000 | ) | — | |||||||||
|
| |||||||||||||||
Shares Outstanding, End of Period | 250,001 | 300,001 | 125,001 | 200,001 | ||||||||||||
|
|
(1) | Capital transactions may include transaction fees associated with creation and redemption transactions which occurred during the period. See Note 9 to the Financial Statements. |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 21 |
Table of Contents
Statements of Changes in Net Assets (cont.)
FlexShares® US Quality Large Cap Index Fund | FlexShares® STOXX® US ESG Impact Index Fund | |||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | |||||||||||||
OPERATIONS |
| |||||||||||||||
Net investment income (loss) | $ | 453,693 | $ | 1,264,749 | $ | 586,444 | $ | 768,820 | ||||||||
Net realized gain (loss) | 519,085 | 1,892,186 | (4,121,274 | ) | 440,710 | |||||||||||
Net change in unrealized appreciation (depreciation) | (2,672,648 | ) | 137,256 | 1,435,656 | 4,833,562 | |||||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets | ||||||||||||||||
Resulting from Operations | (1,699,870 | ) | 3,294,191 | (2,099,174 | ) | 6,043,092 | ||||||||||
|
| |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributable earnings | (422,713 | ) | (1,241,265 | ) | (561,728 | ) | (688,327 | ) | ||||||||
Tax return of capital | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total distributions | (422,713 | ) | (1,241,265 | ) | (561,728 | ) | (688,327 | ) | ||||||||
|
| |||||||||||||||
CAPITAL TRANSACTIONS(1) |
| |||||||||||||||
Proceeds from shares issued | 16,067,140 | 25,305,729 | 14,883,769 | 25,211,577 | ||||||||||||
Cost of shares redeemed | (6,861,686 | ) | (38,046,783 | ) | (1,481,524 | ) | (3,488,613 | ) | ||||||||
|
| |||||||||||||||
Net Increase (Decrease) from Capital Transactions | 9,205,454 | (12,741,054 | ) | 13,402,245 | 21,722,964 | |||||||||||
|
| |||||||||||||||
Total Increase (Decrease) in Net Assets | 7,082,871 | (10,688,128 | ) | 10,741,343 | 27,077,729 | |||||||||||
|
| |||||||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | $ | 51,170,609 | $ | 61,858,737 | $ | 56,024,110 | $ | 28,946,381 | ||||||||
|
| |||||||||||||||
End of Period | $ | 58,253,480 | $ | 51,170,609 | $ | 66,765,453 | $ | 56,024,110 | ||||||||
|
| |||||||||||||||
SHARE TRANSACTIONS |
| |||||||||||||||
Beginning of period | 1,475,001 | 1,850,001 | 775,001 | 450,001 | ||||||||||||
Shares issued | — | — | — | — | ||||||||||||
Shares issued in-kind | 525,000 | 775,000 | 200,000 | 375,000 | ||||||||||||
Shares redeemed | — | — | — | — | ||||||||||||
Shares redeemed in-kind | (200,000 | ) | (1,150,000 | ) | (25,000 | ) | (50,000 | ) | ||||||||
|
| |||||||||||||||
Shares Outstanding, End of Period | 1,800,001 | 1,475,001 | 950,001 | 775,001 | ||||||||||||
|
|
(1) | Capital transactions may include transaction fees associated with creation and redemption transactions which occurred during the period. See Note 9 to the Financial Statements. |
See Accompanying Notes to the Financial Statements.
22 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Statements of Changes in Net Assets (cont.)
FlexShares® STOXX® Global ESG Impact Index Fund | FlexShares® Morningstar Global Upstream Natural Resources Index Fund | |||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | |||||||||||||
OPERATIONS |
| |||||||||||||||
Net investment income (loss) | $ | 852,284 | $ | 1,690,280 | $ | 67,240,083 | $ | 185,800,926 | ||||||||
Net realized gain (loss) | (3,069,476 | ) | (1,069,111 | ) | 7,473,321 | (121,979,135 | ) | |||||||||
Net change in unrealized appreciation (depreciation) | (2,611,145 | ) | 9,380,772 | (925,526,972 | ) | 97,960,307 | ||||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets | ||||||||||||||||
Resulting from Operations | (4,828,337 | ) | 10,001,941 | (850,813,568 | ) | 161,782,098 | ||||||||||
|
| |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributable earnings | (778,887 | ) | (1,626,069 | ) | (70,675,747 | ) | (190,017,355 | ) | ||||||||
Tax return of capital | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total distributions | (778,887 | ) | (1,626,069 | ) | (70,675,747 | ) | (190,017,355 | ) | ||||||||
|
| |||||||||||||||
CAPITAL TRANSACTIONS(1) |
| |||||||||||||||
Proceeds from shares issued | 4,646,580 | 19,292,286 | 8,720,573 | 336,876,123 | ||||||||||||
Cost of shares redeemed | — | (9,361,860 | ) | (1,457,401,799 | ) | (234,222,804 | ) | |||||||||
|
| |||||||||||||||
Net Increase (Decrease) from Capital Transactions | 4,646,580 | 9,930,426 | (1,448,681,226 | ) | 102,653,319 | |||||||||||
|
| |||||||||||||||
Total Increase (Decrease) in Net Assets | (960,644 | ) | 18,306,298 | (2,370,170,541 | ) | 74,418,062 | ||||||||||
|
| |||||||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | $ | 91,590,405 | $ | 73,284,107 | $ | 5,510,201,122 | $ | 5,435,783,060 | ||||||||
|
| |||||||||||||||
End of Period | $ | 90,629,761 | $ | 91,590,405 | $ | 3,140,030,581 | $ | 5,510,201,122 | ||||||||
|
| |||||||||||||||
SHARE TRANSACTIONS |
| |||||||||||||||
Beginning of period | 900,001 | 800,001 | 175,500,001 | 172,500,001 | ||||||||||||
Shares issued | — | — | — | — | ||||||||||||
Shares issued in-kind | 50,000 | 200,000 | 250,000 | 10,700,000 | ||||||||||||
Shares redeemed | — | — | — | — | ||||||||||||
Shares redeemed in-kind | — | (100,000 | ) | (55,150,000 | ) | (7,700,000 | ) | |||||||||
|
| |||||||||||||||
Shares Outstanding, End of Period | 950,001 | 900,001 | 120,600,001 | 175,500,001 | ||||||||||||
|
|
(1) | Capital transactions may include transaction fees associated with creation and redemption transactions which occurred during the period. See Note 9 to the Financial Statements. |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 23 |
Table of Contents
Statements of Changes in Net Assets (cont.)
FlexShares® STOXX® Global Broad Infrastructure Index Fund | FlexShares® Global Quality Real Estate Index Fund | |||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | |||||||||||||
OPERATIONS |
| |||||||||||||||
Net investment income (loss) | $ | 17,608,880 | $ | 28,533,152 | $ | 5,210,262 | $ | 9,162,306 | ||||||||
Net realized gain (loss) | (44,756,087 | ) | (15,162,565 | ) | (1,917,157 | ) | (3,993,200 | ) | ||||||||
Net change in unrealized appreciation (depreciation) | (188,174,919 | ) | 162,508,711 | (94,751,529 | ) | 49,485,461 | ||||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets | ||||||||||||||||
Resulting from Operations | (215,322,126 | ) | 175,879,298 | (91,458,424 | ) | 54,654,567 | ||||||||||
|
| |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributable earnings | (16,803,844 | ) | (26,640,580 | ) | (10,406,810 | ) | (9,305,846 | ) | ||||||||
Tax return of capital | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total distributions | (16,803,844 | ) | (26,640,580 | ) | (10,406,810 | ) | (9,305,846 | ) | ||||||||
|
| |||||||||||||||
CAPITAL TRANSACTIONS(1) |
| |||||||||||||||
Proceeds from shares issued | 363,316,237 | 554,428,651 | 85,123,061 | 55,583,944 | ||||||||||||
Cost of shares redeemed | (116,961,062 | ) | — | (30,642,163 | ) | — | ||||||||||
|
| |||||||||||||||
Net Increase (Decrease) from Capital Transactions | 246,355,175 | 554,428,651 | 54,480,898 | 55,583,944 | ||||||||||||
|
| |||||||||||||||
Total Increase (Decrease) in Net Assets | 14,229,205 | 703,667,369 | (47,384,336 | ) | 100,932,665 | |||||||||||
|
| |||||||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | $ | 1,477,030,124 | $ | 773,362,755 | $ | 376,264,397 | $ | 275,331,732 | ||||||||
|
| |||||||||||||||
End of Period | $ | 1,491,259,329 | $ | 1,477,030,124 | $ | 328,880,061 | $ | 376,264,397 | ||||||||
|
| |||||||||||||||
SHARE TRANSACTIONS |
| |||||||||||||||
Beginning of period | 28,100,001 | 17,150,001 | 5,650,001 | 4,750,001 | ||||||||||||
Shares issued | — | — | — | — | ||||||||||||
Shares issued in-kind | 7,250,000 | 10,950,000 | 1,450,000 | 900,000 | ||||||||||||
Shares redeemed | — | — | — | — | ||||||||||||
Shares redeemed in-kind | (2,900,000 | ) | — | (650,000 | ) | — | ||||||||||
|
| |||||||||||||||
Shares Outstanding, End of Period | 32,450,001 | 28,100,001 | 6,450,001 | 5,650,001 | ||||||||||||
|
|
(1) | Capital transactions may include transaction fees associated with creation and redemption transactions which occurred during the period. See Note 9 to the Financial Statements. |
See Accompanying Notes to the Financial Statements.
24 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Statements of Changes in Net Assets (cont.)
FlexShares® Real Assets Allocation Index Fund | FlexShares® Quality Dividend Index Fund | |||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | |||||||||||||
OPERATIONS |
| |||||||||||||||
Net investment income (loss) | $ | 185,698 | $ | 304,460 | $ | 24,012,050 | $ | 47,844,240 | ||||||||
Net realized gain (loss) | 70,099 | 372,297 | 34,411,006 | 60,035,237 | ||||||||||||
Net change in unrealized appreciation (depreciation) | (1,918,473 | ) | 1,224,066 | (255,358,783 | ) | 29,374,282 | ||||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets | ||||||||||||||||
Resulting from Operations | (1,662,676 | ) | 1,900,823 | (196,935,727 | ) | 137,253,759 | ||||||||||
|
| |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributable earnings | (186,669 | ) | (306,154 | ) | (32,735,708 | ) | (67,157,435 | ) | ||||||||
Tax return of capital | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total distributions | (186,669 | ) | (306,154 | ) | (32,735,708 | ) | (67,157,435 | ) | ||||||||
|
| |||||||||||||||
CAPITAL TRANSACTIONS(1) |
| |||||||||||||||
Proceeds from shares issued | — | 2,204,805 | 138,606,020 | 114,588,613 | ||||||||||||
Cost of shares redeemed | (785,657 | ) | (6,325,152 | ) | (318,278,135 | ) | (236,448,686 | ) | ||||||||
|
| |||||||||||||||
Net Increase (Decrease) from Capital Transactions | (785,657 | ) | (4,120,347 | ) | (179,672,115 | ) | (121,860,073 | ) | ||||||||
|
| |||||||||||||||
Total Increase (Decrease) in Net Assets | (2,635,002 | ) | (2,525,678 | ) | (409,343,550 | ) | (51,763,749 | ) | ||||||||
|
| |||||||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | $ | 11,361,335 | $ | 13,887,013 | $ | 1,707,343,975 | $ | 1,759,107,724 | ||||||||
|
| |||||||||||||||
End of Period | $ | 8,726,333 | $ | 11,361,335 | $ | 1,298,000,425 | $ | 1,707,343,975 | ||||||||
|
| |||||||||||||||
SHARE TRANSACTIONS |
| |||||||||||||||
Beginning of period | 375,001 | 525,001 | 36,850,001 | 39,500,001 | ||||||||||||
Shares issued | — | — | — | — | ||||||||||||
Shares issued in-kind | — | 75,000 | 3,050,000 | 2,700,000 | ||||||||||||
Shares redeemed | — | — | — | — | ||||||||||||
Shares redeemed in-kind | (25,000 | ) | (225,000 | ) | (7,750,000 | ) | (5,350,000 | ) | ||||||||
|
| |||||||||||||||
Shares Outstanding, End of Period | 350,001 | 375,001 | 32,150,001 | 36,850,001 | ||||||||||||
|
|
(1) | Capital transactions may include transaction fees associated with creation and redemption transactions which occurred during the period. See Note 9 to the Financial Statements. |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 25 |
Table of Contents
Statements of Changes in Net Assets (cont.)
FlexShares® Quality Dividend Defensive Index Fund | FlexShares® Quality Dividend Dynamic Index Fund | |||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | |||||||||||||
OPERATIONS |
| |||||||||||||||
Net investment income (loss) | $ | 6,920,752 | $ | 10,383,032 | $ | 647,453 | $ | 1,436,326 | ||||||||
Net realized gain (loss) | 6,140,388 | 2,570,078 | 1,589,342 | 2,578,750 | ||||||||||||
Net change in unrealized appreciation (depreciation) | (61,231,444 | ) | 28,119,545 | (7,373,869 | ) | 2,720,385 | ||||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets | ||||||||||||||||
Resulting from Operations | (48,170,304 | ) | 41,072,655 | (5,137,074 | ) | 6,735,461 | ||||||||||
|
| |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributable earnings | (10,132,033 | ) | (22,292,740 | ) | (742,223 | ) | (1,341,578 | ) | ||||||||
Tax return of capital | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total distributions | (10,132,033 | ) | (22,292,740 | ) | (742,223 | ) | (1,341,578 | ) | ||||||||
|
| |||||||||||||||
CAPITAL TRANSACTIONS(1) |
| |||||||||||||||
Proceeds from shares issued | 120,783,417 | 112,091,834 | — | 15,702,806 | ||||||||||||
Cost of shares redeemed | (56,615,387 | ) | — | (30,639,942 | ) | (13,094,067 | ) | |||||||||
|
| |||||||||||||||
Net Increase (Decrease) from Capital Transactions | 64,168,030 | 112,091,834 | (30,639,942 | ) | 2,608,739 | |||||||||||
|
| |||||||||||||||
Total Increase (Decrease) in Net Assets | 5,865,693 | 130,871,749 | (36,519,239 | ) | 8,002,622 | |||||||||||
|
| |||||||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | $ | 450,962,724 | $ | 320,090,975 | $ | 52,308,041 | $ | 44,305,419 | ||||||||
|
| |||||||||||||||
End of Period | $ | 456,828,417 | $ | 450,962,724 | $ | 15,788,802 | $ | 52,308,041 | ||||||||
|
| |||||||||||||||
SHARE TRANSACTIONS |
| |||||||||||||||
Beginning of period | 9,750,001 | 7,200,001 | 1,150,001 | 1,050,001 | ||||||||||||
Shares issued | — | — | — | — | ||||||||||||
Shares issued in-kind | 2,800,000 | 2,550,000 | — | 400,000 | ||||||||||||
Shares redeemed | — | — | — | — | ||||||||||||
Shares redeemed in-kind | (1,300,000 | ) | — | (750,000 | ) | (300,000 | ) | |||||||||
|
| |||||||||||||||
Shares Outstanding, End of Period | 11,250,001 | 9,750,001 | 400,001 | 1,150,001 | ||||||||||||
|
|
(1) | Capital transactions may include transaction fees associated with creation and redemption transactions which occurred during the period. See Note 9 to the Financial Statements. |
See Accompanying Notes to the Financial Statements.
26 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Statements of Changes in Net Assets (cont.)
FlexShares® International Quality Dividend Index Fund | FlexShares® International Quality Dividend Defensive Index Fund | |||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | |||||||||||||
OPERATIONS |
| |||||||||||||||
Net investment income (loss) | $ | 12,329,192 | $ | 38,093,068 | $ | 1,296,099 | $ | 4,333,281 | ||||||||
Net realized gain (loss) | (13,279,919 | ) | (66,570,980 | ) | (2,121,050 | ) | (5,826,629 | ) | ||||||||
Net change in unrealized appreciation (depreciation) | (99,476,509 | ) | 79,278,653 | (10,255,677 | ) | 8,174,047 | ||||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets | ||||||||||||||||
Resulting from Operations | (100,427,236 | ) | 50,800,741 | (11,080,628 | ) | 6,680,699 | ||||||||||
|
| |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributable earnings | (11,317,686 | ) | (38,665,442 | ) | (1,190,409 | ) | (4,343,474 | ) | ||||||||
Tax return of capital | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total distributions | (11,317,686 | ) | (38,665,442 | ) | (1,190,409 | ) | (4,343,474 | ) | ||||||||
|
| |||||||||||||||
CAPITAL TRANSACTIONS(1) |
| |||||||||||||||
Proceeds from shares issued | 9,483,006 | 167,508,000 | 3,675,133 | 20,897,031 | ||||||||||||
Cost of shares redeemed | (206,842,560 | ) | (170,125,412 | ) | (8,121,390 | ) | (32,218,082 | ) | ||||||||
|
| |||||||||||||||
Net Increase (Decrease) from Capital Transactions | (197,359,554 | ) | (2,617,412 | ) | (4,446,257 | ) | (11,321,051 | ) | ||||||||
|
| |||||||||||||||
Total Increase (Decrease) in Net Assets | (309,104,476 | ) | 9,517,887 | (16,717,294 | ) | (8,983,826 | ) | |||||||||
|
| |||||||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | $ | 774,684,626 | $ | 765,166,739 | $ | 78,718,855 | $ | 87,702,681 | ||||||||
|
| |||||||||||||||
End of Period | $ | 465,580,150 | $ | 774,684,626 | $ | 62,001,561 | $ | 78,718,855 | ||||||||
|
| |||||||||||||||
SHARE TRANSACTIONS |
| |||||||||||||||
Beginning of period | 33,600,001 | 34,200,001 | 3,600,001 | 4,100,001 | ||||||||||||
Shares issued | — | — | — | — | ||||||||||||
Shares issued in-kind | 400,000 | 7,200,000 | 200,000 | 1,000,000 | ||||||||||||
Shares redeemed | — | — | — | — | ||||||||||||
Shares redeemed in-kind | (9,700,000 | ) | (7,800,000 | ) | (400,000 | ) | (1,500,000 | ) | ||||||||
|
| |||||||||||||||
Shares Outstanding, End of Period | 24,300,001 | 33,600,001 | 3,400,001 | 3,600,001 | ||||||||||||
|
|
(1) | Capital transactions may include transaction fees associated with creation and redemption transactions which occurred during the period. See Note 9 to the Financial Statements. |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 27 |
Table of Contents
Statements of Changes in Net Assets (cont.)
FlexShares® International Quality Dividend Dynamic Index Fund | FlexShares® iBoxx 3-Year Target Duration TIPS Index Fund | |||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | |||||||||||||
OPERATIONS |
| |||||||||||||||
Net investment income (loss) | $ | 513,027 | $ | 1,951,820 | $ | 10,346,901 | $ | 24,889,422 | ||||||||
Net realized gain (loss) | 393,921 | (5,849,376 | ) | 3,332,519 | (7,527,589 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) | (5,913,907 | ) | 7,149,801 | 9,241,188 | 50,089,357 | |||||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets | ||||||||||||||||
Resulting from Operations | (5,006,959 | ) | 3,252,245 | 22,920,608 | 67,451,190 | |||||||||||
|
| |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributable earnings | (494,177 | ) | (2,113,234 | ) | (7,508,357 | ) | (25,965,622 | ) | ||||||||
Tax return of capital | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total distributions | (494,177 | ) | (2,113,234 | ) | (7,508,357 | ) | (25,965,622 | ) | ||||||||
|
| |||||||||||||||
CAPITAL TRANSACTIONS(1) |
| |||||||||||||||
Proceeds from shares issued | 7,645,835 | 11,826,312 | 13,578,735 | 54,204,646 | ||||||||||||
Cost of shares redeemed | (28,425,561 | ) | (29,055,029 | ) | (100,671,829 | ) | (558,578,038 | ) | ||||||||
|
| |||||||||||||||
Net Increase (Decrease) from Capital Transactions | (20,779,726 | ) | (17,228,717 | ) | (87,093,094 | ) | (504,373,392 | ) | ||||||||
|
| |||||||||||||||
Total Increase (Decrease) in Net Assets | (26,280,862 | ) | (16,089,706 | ) | (71,680,843 | ) | (462,887,824 | ) | ||||||||
|
| |||||||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | $ | 47,391,023 | $ | 63,480,729 | $ | 1,178,722,214 | $ | 1,641,610,038 | ||||||||
|
| |||||||||||||||
End of Period | $ | 21,110,161 | $ | 47,391,023 | $ | 1,107,041,371 | $ | 1,178,722,214 | ||||||||
|
| |||||||||||||||
SHARE TRANSACTIONS |
| |||||||||||||||
Beginning of period | 1,900,001 | 2,700,001 | 47,954,000 | 68,954,000 | ||||||||||||
Shares issued | — | — | — | — | ||||||||||||
Shares issued in-kind | 300,000 | 500,000 | 550,000 | 2,250,000 | ||||||||||||
Shares redeemed | — | — | — | — | ||||||||||||
Shares redeemed in-kind | (1,200,000 | ) | (1,300,000 | ) | (4,100,000 | ) | (23,250,000 | ) | ||||||||
|
| |||||||||||||||
Shares Outstanding, End of Period | 1,000,001 | 1,900,001 | 44,404,000 | 47,954,000 | ||||||||||||
|
|
(1) | Capital transactions may include transaction fees associated with creation and redemption transactions which occurred during the period. See Note 9 to the Financial Statements. |
See Accompanying Notes to the Financial Statements.
28 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Statements of Changes in Net Assets (cont.)
FlexShares® iBoxx 5-Year Target Duration TIPS Index Fund | FlexShares® Disciplined Duration MBS Index Fund | |||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | |||||||||||||
OPERATIONS |
| |||||||||||||||
Net investment income (loss) | $ | 4,759,469 | $ | 11,199,560 | $ | 536,044 | $ | 1,397,033 | ||||||||
Net realized gain (loss) | 5,411,582 | (4,759,734 | ) | 168,013 | (91,883 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) | 10,582,354 | 43,952,592 | 1,401,777 | 2,642,747 | ||||||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets | ||||||||||||||||
Resulting from Operations | 20,753,405 | 50,392,418 | 2,105,834 | 3,947,897 | ||||||||||||
|
| |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributable earnings | (3,458,419 | ) | (11,908,603 | ) | (717,224 | ) | (1,969,840 | ) | ||||||||
Tax return of capital | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total distributions | (3,458,419 | ) | (11,908,603 | ) | (717,224 | ) | (1,969,840 | ) | ||||||||
|
| |||||||||||||||
CAPITAL TRANSACTIONS(1) |
| |||||||||||||||
Proceeds from shares issued | 14,121,426 | 66,398,177 | 25,930,845 | 11,597,196 | ||||||||||||
Cost of shares redeemed | (71,834,599 | ) | (451,724,487 | ) | (3,570,206 | ) | (49,873,216 | ) | ||||||||
|
| |||||||||||||||
Net Increase (Decrease) from Capital Transactions | (57,713,173 | ) | (385,326,310 | ) | 22,360,639 | (38,276,020 | ) | |||||||||
|
| |||||||||||||||
Total Increase (Decrease) in Net Assets | (40,418,187 | ) | (346,842,495 | ) | 23,749,249 | (36,297,963 | ) | |||||||||
|
| |||||||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | $ | 557,184,728 | $ | 904,027,223 | $ | 35,329,621 | $ | 71,627,584 | ||||||||
|
| |||||||||||||||
End of Period | $ | 516,766,541 | $ | 557,184,728 | $ | 59,078,870 | $ | 35,329,621 | ||||||||
|
| |||||||||||||||
SHARE TRANSACTIONS |
| |||||||||||||||
Beginning of period | 21,850,001 | 37,750,001 | 1,500,001 | 3,150,001 | ||||||||||||
Shares issued | — | — | 1,100,000 | 500,000 | ||||||||||||
Shares issued in-kind | 550,000 | 2,700,000 | — | — | ||||||||||||
Shares redeemed | — | — | (150,000 | ) | (2,150,000 | ) | ||||||||||
Shares redeemed in-kind | (2,800,000 | ) | (18,600,000 | ) | — | — | ||||||||||
|
| |||||||||||||||
Shares Outstanding, End of Period | 19,600,001 | 21,850,001 | 2,450,001 | 1,500,001 | ||||||||||||
|
|
(1) | Capital transactions may include transaction fees associated with creation and redemption transactions which occurred during the period. See Note 9 to the Financial Statements. |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 29 |
Table of Contents
Statements of Changes in Net Assets (cont.)
FlexShares® Credit-Scored US Corporate Bond Index Fund | FlexShares® Credit-Scored US Long Corporate Bond Index Fund | |||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | |||||||||||||
OPERATIONS |
| |||||||||||||||
Net investment income (loss) | $ | 1,640,938 | $ | 2,939,612 | $ | 419,977 | $ | 951,493 | ||||||||
Net realized gain (loss) | 1,647,545 | 1,212,835 | 781,126 | 885,293 | ||||||||||||
Net change in unrealized appreciation (depreciation) | (1,028,293 | ) | 6,097,066 | (92,367 | ) | 3,495,491 | ||||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets | ||||||||||||||||
Resulting from Operations | 2,260,190 | 10,249,513 | 1,108,736 | 5,332,277 | ||||||||||||
|
| |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributable earnings | (2,110,318 | ) | (2,860,050 | ) | (393,631 | ) | (997,024 | ) | ||||||||
Tax return of capital | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total distributions | (2,110,318 | ) | (2,860,050 | ) | (393,631 | ) | (997,024 | ) | ||||||||
|
| |||||||||||||||
CAPITAL TRANSACTIONS(1) |
| |||||||||||||||
Proceeds from shares issued | 28,889,273 | 46,878,290 | 14,605,329 | — | ||||||||||||
Cost of shares redeemed | — | (17,728,455 | ) | — | (13,407,104 | ) | ||||||||||
|
| |||||||||||||||
Net Increase (Decrease) from Capital Transactions | 28,889,273 | 29,149,835 | 14,605,329 | (13,407,104 | ) | |||||||||||
|
| |||||||||||||||
Total Increase (Decrease) in Net Assets | 29,039,145 | 36,539,298 | 15,320,434 | (9,071,851 | ) | |||||||||||
|
| |||||||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | $ | 97,275,068 | $ | 60,735,770 | $ | 17,352,121 | $ | 26,423,972 | ||||||||
|
| |||||||||||||||
End of Period | $ | 126,314,213 | $ | 97,275,068 | $ | 32,672,555 | $ | 17,352,121 | ||||||||
|
| |||||||||||||||
SHARE TRANSACTIONS |
| |||||||||||||||
Beginning of period | 1,850,001 | 1,250,001 | 300,001 | 550,001 | ||||||||||||
Shares issued | 550,000 | 950,000 | 250,000 | — | ||||||||||||
Shares issued in-kind | — | — | — | — | ||||||||||||
Shares redeemed | — | (350,000 | ) | — | (200,000 | ) | ||||||||||
Shares redeemed in-kind | — | — | — | (50,000 | ) | |||||||||||
|
| |||||||||||||||
Shares Outstanding, End of Period | 2,400,001 | 1,850,001 | 550,001 | 300,001 | ||||||||||||
|
|
(1) | Capital transactions may include transaction fees associated with creation and redemption transactions which occurred during the period. See Note 9 to the Financial Statements. |
See Accompanying Notes to the Financial Statements.
30 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Statements of Changes in Net Assets (cont.)
FlexShares® High Yield Value- Scored Bond Index Fund | FlexShares® Ready Access Variable Income Fund | |||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | |||||||||||||
OPERATIONS |
| |||||||||||||||
Net investment income (loss) | $ | 4,656,638 | $ | 2,526,915 | $ | 2,983,828 | $ | 6,748,271 | ||||||||
Net realized gain (loss) | (690,836 | ) | (702,418 | ) | (91,866 | ) | (15,793 | ) | ||||||||
Net change in unrealized appreciation (depreciation) | (17,745,382 | ) | 996,832 | (1,282,327 | ) | 1,260,684 | ||||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets | ||||||||||||||||
Resulting from Operations | (13,779,580 | ) | 2,821,329 | 1,609,635 | 7,993,162 | |||||||||||
|
| |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributable earnings | (4,278,736 | ) | (3,203,781 | ) | (3,108,184 | ) | (6,639,458 | ) | ||||||||
Tax return of capital | — | (826,269 | ) | — | — | |||||||||||
|
| |||||||||||||||
Total distributions | (4,278,736 | ) | (4,030,050 | ) | (3,108,184 | ) | (6,639,458 | ) | ||||||||
|
| |||||||||||||||
CAPITAL TRANSACTIONS(1) |
| |||||||||||||||
Proceeds from shares issued | 66,349,623 | 86,540,196 | 70,182,553 | 139,613,701 | ||||||||||||
Cost of shares redeemed | — | (33,696,222 | ) | (26,436,867 | ) | (77,220,187 | ) | |||||||||
|
| |||||||||||||||
Net Increase (Decrease) from Capital Transactions | 66,349,623 | 52,843,974 | 43,745,686 | 62,393,514 | ||||||||||||
|
| |||||||||||||||
Total Increase (Decrease) in Net Assets | 48,291,307 | 51,635,253 | 42,247,137 | 63,747,218 | ||||||||||||
|
| |||||||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | $ | 100,480,239 | $ | 48,844,986 | $ | 275,096,899 | $ | 211,349,681 | ||||||||
|
| |||||||||||||||
End of Period | $ | 148,771,546 | $ | 100,480,239 | $ | 317,344,036 | $ | 275,096,899 | ||||||||
|
| |||||||||||||||
SHARE TRANSACTIONS |
| |||||||||||||||
Beginning of period | 2,100,001 | 1,000,001 | 3,625,001 | 2,800,001 | ||||||||||||
Shares issued | 1,400,000 | 1,800,000 | 925,000 | 1,850,000 | ||||||||||||
Shares issued in-kind | — | — | — | — | ||||||||||||
Shares redeemed | — | — | (350,000 | ) | (325,000 | ) | ||||||||||
Shares redeemed in-kind | — | (700,000 | ) | — | (700,000 | ) | ||||||||||
|
| |||||||||||||||
Shares Outstanding, End of Period | 3,500,001 | 2,100,001 | 4,200,001 | 3,625,001 | ||||||||||||
|
|
(1) | Capital transactions may include transaction fees associated with creation and redemption transactions which occurred during the period. See Note 9 to the Financial Statements. |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 31 |
Table of Contents
Statements of Changes in Net Assets (cont.)
FlexShares® Core Select Bond Fund | ||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | |||||||
OPERATIONS |
| |||||||
Net investment income (loss) | $ | 336,786 | $ | 993,328 | ||||
Net realized gain (loss) | 397,847 | 604,900 | ||||||
Net change in unrealized appreciation (depreciation) | 583,708 | 1,964,341 | ||||||
|
| |||||||
Net Increase (Decrease) in Net Assets | ||||||||
Resulting from Operations | 1,318,341 | 3,562,569 | ||||||
|
| |||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||
Distributable earnings | (375,335 | ) | (998,241 | ) | ||||
Tax return of capital | — | — | ||||||
|
| |||||||
Total distributions | (375,335 | ) | (998,241 | ) | ||||
|
| |||||||
CAPITAL TRANSACTIONS(1) |
| |||||||
Proceeds from shares issued | 5,853,219 | 14,123,739 | ||||||
Cost of shares redeemed | — | (28,972,275 | ) | |||||
|
| |||||||
Net Increase (Decrease) from Capital Transactions | 5,853,219 | (14,848,536 | ) | |||||
|
| |||||||
Total Increase (Decrease) in Net Assets | 6,796,225 | (12,284,208 | ) | |||||
|
| |||||||
NET ASSETS |
| |||||||
Beginning of Period | $ | 26,298,691 | $ | 38,582,899 | ||||
|
| |||||||
End of Period | $ | 33,094,916 | $ | 26,298,691 | ||||
|
| |||||||
SHARE TRANSACTIONS |
| |||||||
Beginning of period | 1,025,001 | 1,625,001 | ||||||
Shares issued | — | — | ||||||
Shares issued in-kind | 225,000 | 575,000 | ||||||
Shares redeemed | — | — | ||||||
Shares redeemed in-kind | — | (1,175,000 | ) | |||||
|
| |||||||
Shares Outstanding, End of Period | 1,250,001 | 1,025,001 | ||||||
|
|
(1) | Capital transactions may include transaction fees associated with creation and redemption transactions which occurred during the period. See Note 9 to the Financial Statements. |
See Accompanying Notes to the Financial Statements.
32 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
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FLEXSHARES SEMIANNUAL REPORT | 33 |
Table of Contents
FlexShares® Trust
PER SHARE | ||||||||||||||||||||||||||||||||
Investment Operations | Distributions | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net Investment Income | Net Realized and Unrealized Gain (Loss) | Total from Operations | Net Investment Income | From Net Realized Gains | Tax return of capital | Total | |||||||||||||||||||||||||
FlexShares® US Quality Low Volatility Index Fund | ||||||||||||||||||||||||||||||||
Six Months ended April 30, 2020 (Unaudited) | $ | 40.44 | $ | 0.35 | (a) | $ | (2.76 | ) | $ | (2.41 | ) | $ | (0.28 | ) | $ | — | $ | — | $ | (0.28 | ) | |||||||||||
For the period 07/15/19* through 10/31/19 | 40.00 | 0.17 | (a) | 0.35 | 0.52 | (0.08 | ) | — | — | (0.08 | ) | |||||||||||||||||||||
FlexShares® Developed Markets ex-US Quality Low Volatility Index Fund | ||||||||||||||||||||||||||||||||
Six Months ended April 30, 2020 (Unaudited) | 25.60 | 0.47 | (a) | (2.77 | ) | (2.30 | ) | (0.23 | ) | — | — | (0.23 | ) | |||||||||||||||||||
For the period 07/15/19* through 10/31/19 | 25.00 | 0.16 | (a) | 0.53 | 0.69 | (0.09 | ) | — | — | (0.09 | ) | |||||||||||||||||||||
FlexShares® Emerging Markets Quality Low Volatility Index Fund | ||||||||||||||||||||||||||||||||
Six Months ended April 30, 2020 (Unaudited) | 24.94 | 0.15 | (a) | (2.98 | ) | (2.83 | ) | (0.23 | ) | — | — | (0.23 | ) | |||||||||||||||||||
For the period 07/15/19* through 10/31/19 | 25.00 | 0.23 | (a) | (0.18 | ) | 0.05 | (0.11 | ) | — | — | (0.11 | ) |
* | Commencement of investment operations. |
(a) | Net investment income per share is based on average shares outstanding. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | 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 adjusted net asset value. |
(e) | 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 net asset value during the period and redemption on the last day of the period at market value. Market value is determined by the mid point of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market value returns may vary from net asset value returns. |
(f) | In-kind transactions are not included in portfolio turnover calculations. |
(g) | The amount shown for a share outstanding throughout the period is directionally inconsistent with aggregate net realized and unrealized gain (loss) for the period as presented in the financial statements. |
(h) | Per share amount is less than $0.005. |
(i) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the Underlying Fund(s) in which the Fund is invested. This ratio does not include these indirect fees and expenses. |
(j) | The Expenses net of reimbursements and Net investment Income (Loss) net of reimbursement ratios include a voluntary reimbursement of advisory fees made by JPMorgan Chase Bank, N.A. Absent this additional reimbursement, Expenses net of reimbursements would have increased by 0.20% and the Net investment Income (Loss) net of reimbursement would have decreased by 0.20%. |
(k) | Northern Trust Investments, Inc. reimbursed the Funds for losses incurred related to an error. The impact was an increase of $0.02 to the net realized and unrealized gain (loss) on investments per share and an increase of 0.06% to the total return of the FlexShares Morningstar Global Upstream Natural Resources Index Fund. For the FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund and FlexShares STOXX Global ESG Impact Index Fund, the impact to the net realized and unrealized gain (loss) on investments per share amount is less than $0.005 and the total returns are less than 0.005%. Had these reimbursements not been made, the total returns would have been lower. |
See Accompanying Notes to the Financial Statements.
34 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
| RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||||||||
Total Return(b) | Ratios to Average Net Assets(c) | Supplemental Data | ||||||||||||||||||||||||||||||||
Net Asset Value, end of period | Net Asset Value(d) | Market Value (Unaudited)(e) | Expenses | Expenses net of reimbursements | Net investment Income before reimbursements | Net investment Income net of reimbursements | Portfolio Turnover Rate(b)(f) | Net assets, end of period (thousands) | ||||||||||||||||||||||||||
$ | 37.75 |
| (5.93 | )% | (6.12 | )% | 0.22 | % | 0.22 | % | 1.78 | % | 1.79 | % | 23 | % | $ | 43,408 | ||||||||||||||||
| 40.44 | 1.30 | 1.43 | 0.23 | 0.22 | 1.45 | 1.45 | 9 | 6,067 | |||||||||||||||||||||||||
| 23.07 | (9.02 | ) | (9.54 | ) | 0.32 | 0.32 | 4.08 | 4.08 | 31 | 41,528 | |||||||||||||||||||||||
| 25.60 |
| 2.76 | 3.04 | 0.32 | 0.32 | 2.21 | 2.21 | 14 | 5,120 | ||||||||||||||||||||||||
| 21.88 |
| (11.47 | ) | (12.26 | ) | 0.41 | 0.40 | 1.30 | 1.31 | 59 | 6,564 | ||||||||||||||||||||||
| 24.94 |
| 0.19 | 0.31 | 0.40 | 0.40 | 3.18 | 3.18 | 12 | 4,989 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 35 |
Table of Contents
Financial Highlights (cont.)
PER SHARE | ||||||||||||||||||||||||||||||||
Investment Operations | Distributions | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net Investment Income | Net Realized and Unrealized Gain (Loss) | Total from Operations | Net Investment Income | From Net Realized Gains | Tax return of capital | Total | |||||||||||||||||||||||||
FlexShares® Morningstar US Market Factor Tilt Index Fund | ||||||||||||||||||||||||||||||||
Six Months ended April 30, 2020 (Unaudited) | $ | 119.52 | $ | 1.11 | (a) | $ | (13.31 | ) | $ | (12.20 | ) | $ | (1.08 | ) | $ | — | $ | — | $ | (1.08 | ) | |||||||||||
Year ended October 31, 2019 | 110.13 | 1.95 | (a) | 9.33 | 11.28 | (1.89 | ) | — | — | (1.89 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 107.50 | 2.02 | (a) | 2.59 | 4.61 | (1.98 | ) | — | — | (1.98 | ) | |||||||||||||||||||||
Year ended October 31, 2017 | 88.32 | 1.74 | (a) | 19.13 | 20.87 | (1.69 | ) | — | — | (1.69 | ) | |||||||||||||||||||||
Year ended October 31, 2016 | 87.02 | 1.65 | (a) | 2.33 | 3.98 | (2.68 | ) | — | — | (2.68 | ) | |||||||||||||||||||||
Year ended October 31, 2015 | 86.19 | 1.58 | (a) | 0.42 | 2.00 | (1.17 | ) | — | — | (1.17 | ) | |||||||||||||||||||||
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund | ||||||||||||||||||||||||||||||||
Six Months ended April 30, 2020 (Unaudited) | 62.67 | 0.70 | (a) | (11.73 | ) | (11.03 | ) | (1.01 | ) | — | — | (1.01 | ) | |||||||||||||||||||
Year ended October 31, 2019 | 59.76 | 1.85 | (a) | 2.89 | 4.74 | (1.83 | ) | — | — | (1.83 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 67.51 | 1.78 | (a) | (7.39 | ) | (5.61 | ) | (2.14 | ) | — | — | (2.14 | ) | |||||||||||||||||||
Year ended October 31, 2017 | 55.62 | 1.58 | (a) | 11.91 | (k) | 13.49 | (1.60 | ) | — | — | (1.60 | ) | ||||||||||||||||||||
Year ended October 31, 2016 | 58.18 | 1.59 | (a) | (1.55 | ) | 0.04 | (2.60 | ) | — | — | (2.60 | ) | ||||||||||||||||||||
Year ended October 31, 2015 | 60.74 | 1.51 | (a) | (2.27 | ) | (0.76 | ) | (1.80 | ) | — | — | (1.80 | ) |
* | Commencement of investment operations. |
(a) | Net investment income per share is based on average shares outstanding. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | 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 adjusted net asset value. |
(e) | 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 net asset value during the period and redemption on the last day of the period at market value. Market value is determined by the mid point of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market value returns may vary from net asset value returns. |
(f) | In-kind transactions are not included in portfolio turnover calculations. |
(g) | The amount shown for a share outstanding throughout the period is directionally inconsistent with aggregate net realized and unrealized gain (loss) for the period as presented in the financial statements. |
(h) | Per share amount is less than $0.005. |
(i) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the Underlying Fund(s) in which the Fund is invested. This ratio does not include these indirect fees and expenses. |
(j) | The Expenses net of reimbursements and Net investment Income (Loss) net of reimbursement ratios include a voluntary reimbursement of advisory fees made by JPMorgan Chase Bank, N.A. Absent this additional reimbursement, Expenses net of reimbursements would have increased by 0.20% and the Net investment Income (Loss) net of reimbursement would have decreased by 0.20%. |
(k) | Northern Trust Investments, Inc. reimbursed the Funds for losses incurred related to an error. The impact was an increase of $0.02 to the net realized and unrealized gain (loss) on investments per share and an increase of 0.06% to the total return of the FlexShares Morningstar Global Upstream Natural Resources Index Fund. For the FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund and FlexShares STOXX Global ESG Impact Index Fund, the impact to the net realized and unrealized gain (loss) on investments per share amount is less than $0.005 and the total returns are less than 0.005%. Had these reimbursements not been made, the total returns would have been lower. |
See Accompanying Notes to the Financial Statements.
36 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
| RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||||||||
Total Return(b) | Ratios to Average Net Assets(c) | Supplemental Data | ||||||||||||||||||||||||||||||||
Net Asset Value, end of period | Net Asset Value(d) | Market Value (Unaudited)(e) | Expenses | Expenses net of reimbursements | Net investment Income before reimbursements | Net investment Income net of reimbursements | Portfolio Turnover Rate(b)(f) | Net assets, end of period (thousands) | ||||||||||||||||||||||||||
$ | 106.24 |
| (10.18 | )% | (10.27 | )% | 0.26 | % | 0.25 | % | 1.92 | % | 1.92 | % | 14 | % | $ | 1,227,085 | ||||||||||||||||
119.52 | 10.41 | 10.41 | 0.26 | 0.25 | 1.72 | 1.72 | 28 | 1,446,137 | ||||||||||||||||||||||||||
110.13 | 4.22 | 4.19 | 0.25 | 0.25 | 1.77 | 1.77 | 15 | 1,387,665 | ||||||||||||||||||||||||||
107.50 | 23.77 | 23.72 | 0.26 | 0.25 | 1.73 | 1.74 | 22 | 1,150,199 | ||||||||||||||||||||||||||
88.32 | 4.70 | 4.77 | 0.28 | 0.27 | 1.92 | 1.93 | 26 | 830,253 | ||||||||||||||||||||||||||
87.02 | 2.30 | 2.30 | 0.28 | 0.27 | 1.81 | 1.81 | 51 | 761,457 | ||||||||||||||||||||||||||
| 50.63 |
| (17.78 | ) | (18.23 | ) | 0.40 | 0.39 | 2.37 | 2.37 | 10 | 577,198 | ||||||||||||||||||||||
62.67 | 8.13 | 8.16 | 0.40 | 0.39 | 3.09 | 3.09 | 25 | 965,142 | ||||||||||||||||||||||||||
59.76 | (8.61 | ) | (9.48 | ) | 0.39 | 0.39 | 2.65 | 2.65 | 34 | 968,096 | ||||||||||||||||||||||||
67.51 | 24.58 | (k) | 25.38 | 0.40 | 0.39 | 2.57 | 2.57 | 22 | 985,608 | |||||||||||||||||||||||||
55.62 | 0.20 | 0.80 | 0.43 | 0.42 | 2.91 | 2.92 | 35 | 622,898 | ||||||||||||||||||||||||||
58.18 | (1.26 | ) | (2.34 | ) | 0.43 | 0.42 | 2.52 | 2.53 | 26 | 570,188 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 37 |
Table of Contents
Financial Highlights (cont.)
PER SHARE | ||||||||||||||||||||||||||||||||
Investment Operations | Distributions | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net Investment Income | Net Realized and Unrealized Gain (Loss) | Total from Operations | Net Investment Income | From Net Realized Gains | Tax return of capital | Total | |||||||||||||||||||||||||
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund | ||||||||||||||||||||||||||||||||
Six Months ended April 30, 2020 (Unaudited) | $ | 50.42 | $ | 0.32 | (a) | $ | (7.79 | ) | $ | (7.47 | ) | $ | (0.55 | ) | $ | — | $ | — | $ | (0.55 | ) | |||||||||||
Year ended October 31, 2019 | 47.92 | 1.49 | (a) | 2.46 | 3.95 | (1.45 | ) | — | — | (1.45 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 57.38 | 1.46 | (a) | (9.34 | ) | (7.88 | ) | (1.58 | ) | — | — | (1.58 | ) | |||||||||||||||||||
Year ended October 31, 2017 | 47.52 | 1.28 | (a) | 9.80 | 11.08 | (1.22 | ) | — | — | (1.22 | ) | |||||||||||||||||||||
Year ended October 31, 2016 | 45.02 | 0.97 | (a) | 3.10 | 4.07 | (1.57 | ) | — | — | (1.57 | ) | |||||||||||||||||||||
Year ended October 31, 2015 | 52.75 | 0.92 | (a) | (7.65 | ) | (6.73 | ) | (1.00 | ) | — | — | (1.00 | ) | |||||||||||||||||||
FlexShares® Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund | ||||||||||||||||||||||||||||||||
Six Months ended April 30, 2020 (Unaudited) | 28.22 | 0.47 | (a) | (4.47 | ) | (4.00 | ) | (0.64 | ) | — | — | (0.64 | ) | |||||||||||||||||||
Year ended October 31, 2019 | 26.44 | 0.81 | (a) | 1.78 | 2.59 | (0.81 | ) | — | — | (0.81 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 29.14 | 0.93 | (a) | (2.53 | ) | (1.60 | ) | (0.78 | ) | — | (0.32 | ) | (1.10 | ) | ||||||||||||||||||
Year ended October 31, 2017 | 23.97 | 0.59 | (a) | 5.27 | 5.86 | (0.69 | ) | — | — | (0.69 | ) | |||||||||||||||||||||
For the period 11/09/15* through 10/31/16 | 25.00 | 1.04 | (a) | (0.96 | ) | 0.08 | (0.98 | ) | — | (0.13 | ) | (1.11 | ) |
* | Commencement of investment operations. |
(a) | Net investment income per share is based on average shares outstanding. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | 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 adjusted net asset value. |
(e) | 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 net asset value during the period and redemption on the last day of the period at market value. Market value is determined by the mid point of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market value returns may vary from net asset value returns. |
(f) | In-kind transactions are not included in portfolio turnover calculations. |
(g) | The amount shown for a share outstanding throughout the period is directionally inconsistent with aggregate net realized and unrealized gain (loss) for the period as presented in the financial statements. |
(h) | Per share amount is less than $0.005. |
(i) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the Underlying Fund(s) in which the Fund is invested. This ratio does not include these indirect fees and expenses. |
(j) | The Expenses net of reimbursements and Net investment Income (Loss) net of reimbursement ratios include a voluntary reimbursement of advisory fees made by JPMorgan Chase Bank, N.A. Absent this additional reimbursement, Expenses net of reimbursements would have increased by 0.20% and the Net investment Income (Loss) net of reimbursement would have decreased by 0.20%. |
(k) | Northern Trust Investments, Inc. reimbursed the Funds for losses incurred related to an error. The impact was an increase of $0.02 to the net realized and unrealized gain (loss) on investments per share and an increase of 0.06% to the total return of the FlexShares Morningstar Global Upstream Natural Resources Index Fund. For the FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund and FlexShares STOXX Global ESG Impact Index Fund, the impact to the net realized and unrealized gain (loss) on investments per share amount is less than $0.005 and the total returns are less than 0.005%. Had these reimbursements not been made, the total returns would have been lower. |
See Accompanying Notes to the Financial Statements.
38 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
| RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||||||||
Total Return(b) | Ratios to Average Net Assets(c) | Supplemental Data | ||||||||||||||||||||||||||||||||
Net Asset Value, end of period | Net Asset Value(d) | Market Value (Unaudited)(e) | Expenses | Expenses net of reimbursements | Net investment Income before reimbursements | Net investment Income net of reimbursements | Portfolio Turnover Rate(b)(f) | Net assets, end of period (thousands) | ||||||||||||||||||||||||||
$ | 42.40 |
| (14.98 | )% | (15.86 | )% | 0.60 | % | 0.59 | % | 1.31 | % | 1.32 | % | 16 | % | $ | 233,178 | ||||||||||||||||
50.42 | 8.29 | 8.08 | 0.60 | 0.59 | 2.92 | 2.93 | 45 | 413,414 | ||||||||||||||||||||||||||
47.92 | (14.05 | ) | (15.22 | ) | 0.59 | 0.59 | 2.56 | 2.56 | 49 | 488,736 | ||||||||||||||||||||||||
57.38 | 23.56 | 23.47 | 0.60 | 0.59 | 2.44 | 2.44 | 34 | 568,071 | ||||||||||||||||||||||||||
47.52 | 9.41 | 10.65 | 0.66 | 0.65 | 2.23 | 2.23 | 34 | 299,351 | ||||||||||||||||||||||||||
45.02 | (12.91 | ) | (13.43 | ) | 0.66 | 0.65 | 1.86 | 1.87 | 30 | 198,073 | ||||||||||||||||||||||||
| 23.58 |
| (14.50 | ) | (14.70 | ) | 0.44 | (i) | 0.05 | (i) | 3.13 | 3.52 | 5 | 5,895 | ||||||||||||||||||||
28.22 | 10.02 | 10.61 | 0.45 | (i) | 0.05 | (i) | 2.62 | 3.02 | 4 | 8,466 | ||||||||||||||||||||||||
26.44 | (5.73 | ) | (6.19 | ) | 0.46 | (i) | 0.05 | (i) | 2.84 | 3.25 | 9 | 7,933 | ||||||||||||||||||||||
29.14 | 24.75 | 24.84 | 0.46 | (i) | 0.05 | (i) | 1.78 | 2.18 | 6 | 18,941 | ||||||||||||||||||||||||
| 23.97 | 0.59 | 0.97 | 0.55 | (i) | 0.05 | (i) | 4.12 | 4.62 | 11 | 3,595 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 39 |
Table of Contents
Financial Highlights (cont.)
PER SHARE | ||||||||||||||||||||||||||||||||
Investment Operations | Distributions | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net Investment Income | Net Realized and Unrealized Gain (Loss) | Total from Operations | Net Investment Income | From Net Realized Gains | Tax return of capital | Total | |||||||||||||||||||||||||
FlexShares® Currency Hedged Morningstar EM Factor Tilt Index Fund | ||||||||||||||||||||||||||||||||
Six Months ended April 30, 2020 (Unaudited) | $ | 27.21 | $ | 0.32 | (a) | $ | (3.12 | ) | $ | (2.80 | ) | $ | (0.29 | ) | $ | — | $ | — | $ | (0.29 | ) | |||||||||||
Year ended October 31, 2019 | 26.04 | 0.78 | (a) | 1.17 | 1.95 | (0.78 | ) | — | — | (0.78 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 30.58 | 0.63 | (a) | (4.35 | ) | (3.72 | ) | (0.79 | ) | — | (0.03 | ) | (0.82 | ) | ||||||||||||||||||
Year ended October 31, 2017 | 25.82 | 0.63 | (a) | 4.77 | 5.40 | (0.64 | ) | — | — | (0.64 | ) | |||||||||||||||||||||
For the period 11/09/15* through 10/31/16 | 25.00 | 0.59 | (a) | 1.10 | 1.69 | (0.87 | ) | — | — | (0.87 | ) | |||||||||||||||||||||
FlexShares® US Quality Large Cap Index Fund | ||||||||||||||||||||||||||||||||
Six Months ended April 30, 2020 (Unaudited) | 34.69 | 0.31 | (a) | (2.34 | ) | (2.03 | ) | (0.30 | ) | — | — | (0.30 | ) | |||||||||||||||||||
Year ended October 31, 2019 | 33.44 | 0.68 | (a) | 1.29 | 1.97 | (0.72 | ) | — | — | (0.72 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 31.83 | 0.54 | (a) | 1.58 | 2.12 | (0.51 | ) | — | — | (0.51 | ) | |||||||||||||||||||||
Year ended October 31, 2017 | 26.15 | 0.49 | (a) | 5.65 | 6.14 | (0.46 | ) | — | — | (0.46 | ) | |||||||||||||||||||||
Year ended October 31, 2016 | 26.62 | 0.50 | (a) | (0.47 | ) | 0.03 | (0.50 | ) | — | — | (0.50 | ) | ||||||||||||||||||||
For the period 09/23/15* through 10/31/15 | 25.00 | 0.03 | (a) | 1.59 | 1.62 | — | — | — | — |
* | Commencement of investment operations. |
(a) | Net investment income per share is based on average shares outstanding. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | 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 adjusted net asset value. |
(e) | 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 net asset value during the period and redemption on the last day of the period at market value. Market value is determined by the mid point of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market value returns may vary from net asset value returns. |
(f) | In-kind transactions are not included in portfolio turnover calculations. |
(g) | The amount shown for a share outstanding throughout the period is directionally inconsistent with aggregate net realized and unrealized gain (loss) for the period as presented in the financial statements. |
(h) | Per share amount is less than $0.005. |
(i) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the Underlying Fund(s) in which the Fund is invested. This ratio does not include these indirect fees and expenses. |
(j) | The Expenses net of reimbursements and Net investment Income (Loss) net of reimbursement ratios include a voluntary reimbursement of advisory fees made by JPMorgan Chase Bank, N.A. Absent this additional reimbursement, Expenses net of reimbursements would have increased by 0.20% and the Net investment Income (Loss) net of reimbursement would have decreased by 0.20%. |
(k) | Northern Trust Investments, Inc. reimbursed the Funds for losses incurred related to an error. The impact was an increase of $0.02 to the net realized and unrealized gain (loss) on investments per share and an increase of 0.06% to the total return of the FlexShares Morningstar Global Upstream Natural Resources Index Fund. For the FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund and FlexShares STOXX Global ESG Impact Index Fund, the impact to the net realized and unrealized gain (loss) on investments per share amount is less than $0.005 and the total returns are less than 0.005%. Had these reimbursements not been made, the total returns would have been lower. |
See Accompanying Notes to the Financial Statements.
40 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
| RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||||||||
Total Return(b) | Ratios to Average Net Assets(c) | Supplemental Data | ||||||||||||||||||||||||||||||||
Net Asset Value, end of period | Net Asset Value(d) | Market Value (Unaudited)(e) | Expenses | Expenses net of reimbursements | Net investment Income before reimbursements | Net investment Income net of reimbursements | Portfolio Turnover Rate(b)(f) | Net assets, end of period (thousands) | ||||||||||||||||||||||||||
$ | 24.12 |
| (10.43 | )% | (10.50 | )% | 0.64 | %(i) | 0.06 | %(i) | 1.84 | % | 2.42 | % | — | %(b) | $ | 3,015 | ||||||||||||||||
27.21 | 7.52 | 7.89 | 0.65 | (i) | 0.06 | (i) | 2.23 | 2.82 | 5 | 5,443 | ||||||||||||||||||||||||
26.04 | (12.40 | ) | (12.44 | ) | 0.65 | (i) | 0.05 | (i) | 1.45 | 2.05 | 6 | 4,557 | ||||||||||||||||||||||
30.58 | 21.16 | 20.75 | 0.65 | (i) | 0.05 | (i) | 1.67 | 2.27 | 4 | 41,285 | ||||||||||||||||||||||||
| 25.82 | 7.04 | 7.12 | 0.72 | (i) | 0.05 | (i) | 1.81 | 2.47 | 4 | 33,567 | |||||||||||||||||||||||
| 32.36 | (5.79 | ) | (5.79 | ) | 0.33 | 0.32 | 1.83 | 1.83 | 15 | 58,253 | |||||||||||||||||||||||
34.69 | 6.04 | 6.01 | 0.33 | 0.32 | 2.04 | 2.05 | 69 | 51,171 | ||||||||||||||||||||||||||
33.44 | 6.63 | 6.30 | 0.33 | 0.32 | 1.56 | 1.57 | 94 | 61,859 | ||||||||||||||||||||||||||
31.83 | 23.65 | 24.08 | 0.34 | 0.32 | 1.65 | 1.67 | 64 | 27,055 | ||||||||||||||||||||||||||
26.15 | 0.12 | 0.12 | 0.38 | 0.32 | 1.87 | 1.93 | 59 | 6,538 | ||||||||||||||||||||||||||
| 26.62 | 6.48 | 6.48 | 0.42 | 0.32 | 1.10 | 1.20 | 3 | 2,662 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 41 |
Table of Contents
Financial Highlights (cont.)
PER SHARE | ||||||||||||||||||||||||||||||||
Investment Operations | Distributions | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net Investment Income | Net Realized and Unrealized Gain (Loss) | Total from Operations | Net Investment Income | From Net Realized Gains | Tax return of capital | Total | |||||||||||||||||||||||||
FlexShares® STOXX® US ESG Impact Index Fund | ||||||||||||||||||||||||||||||||
Six Months ended April 30, 2020 (Unaudited) | $ | 72.29 | $ | 0.69 | (a) | $ | (2.05 | ) | $ | (1.36 | ) | $ | (0.65 | ) | $ | — | $ | — | $ | (0.65 | ) | |||||||||||
Year ended October 31, 2019 | 64.33 | 1.21 | (a) | 7.83 | 9.04 | (1.08 | ) | — | — | (1.08 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 60.49 | 1.09 | (a) | 3.84 | 4.93 | (1.09 | ) | — | — | (1.09 | ) | |||||||||||||||||||||
Year ended October 31, 2017 | 49.96 | 1.05 | (a) | 10.45 | 11.50 | (0.97 | ) | — | — | (0.97 | ) | |||||||||||||||||||||
For the period 07/13/16* through 10/31/16 | 50.00 | 0.27 | (a) | (0.15 | ) | 0.12 | (0.16 | ) | — | — | (0.16 | ) | ||||||||||||||||||||
FlexShares® STOXX® Global ESG Impact Index Fund | ||||||||||||||||||||||||||||||||
Six Months ended April 30, 2020 (Unaudited) | 101.77 | 0.94 | (a) | (6.44 | ) | (5.50 | ) | (0.87 | ) | — | — | (0.87 | ) | |||||||||||||||||||
Year ended October 31, 2019 | 91.61 | 2.05 | (a) | 10.12 | 12.17 | (2.01 | ) | — | — | (2.01 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 91.97 | 1.95 | (a) | (0.61 | ) | 1.34 | (1.70 | ) | — | — | (1.70 | ) | ||||||||||||||||||||
Year ended October 31, 2017 | 75.52 | 1.56 | (a) | 16.67 | (k) | 18.23 | (1.78 | ) | — | — | (1.78 | ) | ||||||||||||||||||||
For the period 07/13/16* through 10/31/16 | 75.00 | 0.41 | (a) | 0.34 | 0.75 | (0.23 | ) | — | — | (0.23 | ) |
* | Commencement of investment operations. |
(a) | Net investment income per share is based on average shares outstanding. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | 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 adjusted net asset value. |
(e) | 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 net asset value during the period and redemption on the last day of the period at market value. Market value is determined by the mid point of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market value returns may vary from net asset value returns. |
(f) | In-kind transactions are not included in portfolio turnover calculations. |
(g) | The amount shown for a share outstanding throughout the period is directionally inconsistent with aggregate net realized and unrealized gain (loss) for the period as presented in the financial statements. |
(h) | Per share amount is less than $0.005. |
(i) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the Underlying Fund(s) in which the Fund is invested. This ratio does not include these indirect fees and expenses. |
(j) | The Expenses net of reimbursements and Net investment Income (Loss) net of reimbursement ratios include a voluntary reimbursement of advisory fees made by JPMorgan Chase Bank, N.A. Absent this additional reimbursement, Expenses net of reimbursements would have increased by 0.20% and the Net investment Income (Loss) net of reimbursement would have decreased by 0.20%. |
(k) | Northern Trust Investments, Inc. reimbursed the Funds for losses incurred related to an error. The impact was an increase of $0.02 to the net realized and unrealized gain (loss) on investments per share and an increase of 0.06% to the total return of the FlexShares Morningstar Global Upstream Natural Resources Index Fund. For the FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund and FlexShares STOXX Global ESG Impact Index Fund, the impact to the net realized and unrealized gain (loss) on investments per share amount is less than $0.005 and the total returns are less than 0.005%. Had these reimbursements not been made, the total returns would have been lower. |
See Accompanying Notes to the Financial Statements.
42 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
| RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||||||||
Total Return(b) | Ratios to Average Net Assets(c) | Supplemental Data | ||||||||||||||||||||||||||||||||
Net Asset Value, end of period | Net Asset Value(d) | Market Value (Unaudited)(e) | Expenses | Expenses net of reimbursements | Net investment Income before reimbursements | Net investment Income net of reimbursements | Portfolio Turnover Rate(b)(f) | Net assets, end of period (thousands) | ||||||||||||||||||||||||||
$ | 70.28 |
| (1.80 | )% | (1.96 | )% | 0.33 | % | 0.32 | % | 1.91 | % | 1.91 | % | 33 | % | $ | 66,765 | ||||||||||||||||
72.29 | 14.21 | 14.26 | 0.33 | 0.32 | 1.78 | 1.79 | 75 | 56,024 | ||||||||||||||||||||||||||
64.33 | 8.13 | 7.97 | 0.33 | 0.32 | 1.66 | 1.67 | 110 | 28,946 | ||||||||||||||||||||||||||
60.49 | 23.19 | 23.30 | 0.35 | 0.32 | 1.82 | 1.85 | 67 | 13,610 | ||||||||||||||||||||||||||
| 49.96 | 0.24 | 0.28 | 0.37 | 0.32 | 1.75 | 1.80 | 20 | 4,996 | |||||||||||||||||||||||||
| 95.40 | (5.37 | ) | (5.01 | ) | 0.43 | 0.42 | 1.88 | 1.88 | 28 | 90,630 | |||||||||||||||||||||||
101.77 | 13.49 | 12.96 | 0.43 | 0.42 | 2.15 | 2.16 | 66 | 91,590 | ||||||||||||||||||||||||||
91.61 | 1.38 | 1.71 | 0.43 | 0.42 | 2.03 | 2.04 | 78 | 73,284 | ||||||||||||||||||||||||||
91.97 | 24.37 | (k) | 24.55 | 0.45 | 0.42 | 1.81 | 1.83 | 64 | 32,189 | |||||||||||||||||||||||||
| 75.52 | 1.00 | 1.03 | 0.45 | 0.42 | 1.74 | 1.77 | 22 | 7,552 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 43 |
Table of Contents
Financial Highlights (cont.)
PER SHARE | ||||||||||||||||||||||||||||||||
Investment Operations | Distributions | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net Investment Income | Net Realized and Unrealized Gain (Loss) | Total from Operations | Net Investment Income | From Net Realized Gains | Tax return of capital | Total | |||||||||||||||||||||||||
FlexShares® Morningstar Global Upstream Natural Resources Index Fund | ||||||||||||||||||||||||||||||||
Six Months ended April 30, 2020 (Unaudited) | $ | 31.40 | $ | 0.43 | (a) | $ | (5.32 | ) | $ | (4.89 | ) | $ | (0.47 | ) | $ | — | $ | — | $ | (0.47 | ) | |||||||||||
Year ended October 31, 2019 | 31.51 | 1.08 | (a) | (0.09 | ) | 0.99 | (1.10 | ) | — | — | (1.10 | ) | ||||||||||||||||||||
Year ended October 31, 2018 | 31.59 | 0.91 | (a) | (0.13 | ) | 0.78 | (0.86 | ) | — | — | (0.86 | ) | ||||||||||||||||||||
Year ended October 31, 2017 | 27.40 | 0.70 | (a) | 4.13 | (k) | 4.83 | (0.64 | ) | — | — | (0.64 | ) | ||||||||||||||||||||
Year ended October 31, 2016 | 25.52 | 0.55 | (a) | 2.73 | 3.28 | (1.40 | ) | — | — | (1.40 | ) | |||||||||||||||||||||
Year ended October 31, 2015 | 33.18 | 0.94 | (a) | (7.74 | ) | (6.80 | ) | (0.86 | ) | — | — | (0.86 | ) | |||||||||||||||||||
FlexShares® STOXX® Global Broad Infrastructure Index Fund | ||||||||||||||||||||||||||||||||
Six Months ended April 30, 2020 (Unaudited) | 52.56 | 0.56 | (a) | (6.62 | ) | (6.06 | ) | (0.54 | ) | — | — | (0.54 | ) | |||||||||||||||||||
Year ended October 31, 2019 | 45.09 | 1.35 | (a) | 7.34 | 8.69 | (1.22 | ) | — | — | (1.22 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 47.85 | 1.36 | (a) | (2.71 | ) | (1.35 | ) | (1.41 | ) | — | — | (1.41 | ) | |||||||||||||||||||
Year ended October 31, 2017 | 43.49 | 1.37 | (a) | 4.40 | 5.77 | (1.41 | ) | — | — | (1.41 | ) | |||||||||||||||||||||
Year ended October 31, 2016 | 43.30 | 1.34 | (a) | (0.02 | )(g) | 1.32 | (1.13 | ) | — | — | (1.13 | ) | ||||||||||||||||||||
Year ended October 31, 2015 | 45.84 | 1.13 | (a) | (2.67 | ) | (1.54 | ) | (1.00 | ) | — | — | (1.00 | ) |
* | Commencement of investment operations. |
(a) | Net investment income per share is based on average shares outstanding. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | 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 adjusted net asset value. |
(e) | 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 net asset value during the period and redemption on the last day of the period at market value. Market value is determined by the mid point of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market value returns may vary from net asset value returns. |
(f) | In-kind transactions are not included in portfolio turnover calculations. |
(g) | The amount shown for a share outstanding throughout the period is directionally inconsistent with aggregate net realized and unrealized gain (loss) for the period as presented in the financial statements. |
(h) | Per share amount is less than $0.005. |
(i) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the Underlying Fund(s) in which the Fund is invested. This ratio does not include these indirect fees and expenses. |
(j) | The Expenses net of reimbursements and Net investment Income (Loss) net of reimbursement ratios include a voluntary reimbursement of advisory fees made by JPMorgan Chase Bank, N.A. Absent this additional reimbursement, Expenses net of reimbursements would have increased by 0.20% and the Net investment Income (Loss) net of reimbursement would have decreased by 0.20%. |
(k) | Northern Trust Investments, Inc. reimbursed the Funds for losses incurred related to an error. The impact was an increase of $0.02 to the net realized and unrealized gain (loss) on investments per share and an increase of 0.06% to the total return of the FlexShares Morningstar Global Upstream Natural Resources Index Fund. For the FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund and FlexShares STOXX Global ESG Impact Index Fund, the impact to the net realized and unrealized gain (loss) on investments per share amount is less than $0.005 and the total returns are less than 0.005%. Had these reimbursements not been made, the total returns would have been lower. |
See Accompanying Notes to the Financial Statements.
44 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
| RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||||||||
Total Return(b) | Ratios to Average Net Assets(c) | Supplemental Data | ||||||||||||||||||||||||||||||||
Net Asset Value, end of period | Net Asset Value(d) | Market Value (Unaudited)(e) | Expenses | Expenses net of reimbursements | Net investment Income before reimbursements | Net investment Income net of reimbursements | Portfolio Turnover Rate(b)(f) | Net assets, end of period (thousands) | ||||||||||||||||||||||||||
$ | 26.04 |
| (15.45 | )% | (16.13 | )% | 0.47 | % | 0.46 | % | 2.90 | % | 2.90 | % | 13 | % | $ | 3,140,031 | ||||||||||||||||
31.40 | 3.16 | 3.06 | 0.47 | 0.46 | 3.40 | 3.41 | 24 | 5,510,201 | ||||||||||||||||||||||||||
31.51 | 2.33 | 2.01 | 0.46 | 0.46 | 2.72 | 2.72 | 30 | 5,435,783 | ||||||||||||||||||||||||||
31.59 | 17.81 | (k) | 17.97 | 0.47 | 0.46 | 2.36 | 2.36 | 18 | 4,760,397 | |||||||||||||||||||||||||
27.40 | 13.84 | 14.05 | 0.49 | 0.48 | 2.20 | 2.20 | 18 | 2,822,012 | ||||||||||||||||||||||||||
25.52 | (20.97 | ) | (21.05 | ) | 0.49 | 0.48 | 3.17 | 3.17 | 13 | 2,004,234 | ||||||||||||||||||||||||
| 45.96 | (11.55 | ) | (11.99 | ) | 0.48 | 0.47 | 2.23 | 2.23 | 10 | 1,491,259 | |||||||||||||||||||||||
52.56 | 19.52 | 19.99 | 0.48 | 0.47 | 2.73 | 2.74 | 12 | 1,477,030 | ||||||||||||||||||||||||||
45.09 | (2.90 | ) | (3.25 | ) | 0.47 | 0.47 | 2.88 | 2.89 | 13 | 773,363 | ||||||||||||||||||||||||
47.85 | 13.44 | 13.23 | 0.48 | 0.47 | 2.97 | 2.98 | 12 | 875,628 | ||||||||||||||||||||||||||
43.49 | 3.09 | 3.26 | 0.48 | 0.47 | 3.09 | 3.10 | 14 | 669,676 | ||||||||||||||||||||||||||
43.30 | (3.40 | ) | (4.03 | ) | 0.48 | 0.47 | 2.52 | 2.53 | 15 | 467,681 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 45 |
Table of Contents
Financial Highlights (cont.)
PER SHARE | ||||||||||||||||||||||||||||||||
Investment Operations | Distributions | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net Investment Income | Net Realized and Unrealized Gain (Loss) | Total from Operations | Net Investment Income | From Net Realized Gains | Tax return of capital | Total | |||||||||||||||||||||||||
FlexShares® Global Quality Real Estate Index Fund | ||||||||||||||||||||||||||||||||
Six Months ended April 30, 2020 (Unaudited) | $ | 66.60 | $ | 0.83 | (a) | $ | (14.70 | ) | $ | (13.87 | ) | $ | (1.74 | ) | $ | — | $ | — | $ | (1.74 | ) | |||||||||||
Year ended October 31, 2019 | 57.96 | 1.76 | (a) | 8.68 | 10.44 | (1.80 | ) | — | — | (1.80 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 62.02 | 1.80 | (a) | (3.99 | ) | (2.19 | ) | (1.87 | ) | — | — | (1.87 | ) | |||||||||||||||||||
Year ended October 31, 2017 | 57.12 | 0.99 | (a) | 5.54 | 6.53 | (1.63 | ) | — | — | (1.63 | ) | |||||||||||||||||||||
Year ended October 31, 2016 | 57.47 | 1.90 | (a) | (0.58 | ) | 1.32 | (1.67 | ) | — | — | (1.67 | ) | ||||||||||||||||||||
Year ended October 31, 2015 | 55.24 | 1.36 | (a) | 2.25 | 3.61 | (1.38 | ) | — | — | (1.38 | ) | |||||||||||||||||||||
FlexShares® Real Assets Allocation Index Fund | ||||||||||||||||||||||||||||||||
Six Months ended April 30, 2020 (Unaudited) | 30.30 | 0.51 | (a) | (5.38 | ) | (4.87 | ) | (0.50 | ) | — | — | (0.50 | ) | |||||||||||||||||||
Year ended October 31, 2019 | 26.45 | 0.76 | (a) | 3.85 | 4.61 | (0.76 | ) | — | — | (0.76 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 28.08 | 0.80 | (a) | (1.64 | ) | (0.84 | ) | (0.79 | ) | 0.00 | (h) | — | (0.79 | ) | ||||||||||||||||||
Year ended October 31, 2017 | 25.63 | 0.66 | (a) | 2.54 | 3.20 | (0.75 | ) | — | — | (0.75 | ) | |||||||||||||||||||||
For the period 11/23/15* through 10/31/16 | 25.00 | 0.86 | (a) | 0.51 | (g) | 1.37 | (0.74 | ) | — | — | (0.74 | ) |
* | Commencement of investment operations. |
(a) | Net investment income per share is based on average shares outstanding. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | 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 adjusted net asset value. |
(e) | 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 net asset value during the period and redemption on the last day of the period at market value. Market value is determined by the mid point of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market value returns may vary from net asset value returns. |
(f) | In-kind transactions are not included in portfolio turnover calculations. |
(g) | The amount shown for a share outstanding throughout the period is directionally inconsistent with aggregate net realized and unrealized gain (loss) for the period as presented in the financial statements. |
(h) | Per share amount is less than $0.005. |
(i) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the Underlying Fund(s) in which the Fund is invested. This ratio does not include these indirect fees and expenses. |
(j) | The Expenses net of reimbursements and Net investment Income (Loss) net of reimbursement ratios include a voluntary reimbursement of advisory fees made by JPMorgan Chase Bank, N.A. Absent this additional reimbursement, Expenses net of reimbursements would have increased by 0.20% and the Net investment Income (Loss) net of reimbursement would have decreased by 0.20%. |
(k) | Northern Trust Investments, Inc. reimbursed the Funds for losses incurred related to an error. The impact was an increase of $0.02 to the net realized and unrealized gain (loss) on investments per share and an increase of 0.06% to the total return of the FlexShares Morningstar Global Upstream Natural Resources Index Fund. For the FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund and FlexShares STOXX Global ESG Impact Index Fund, the impact to the net realized and unrealized gain (loss) on investments per share amount is less than $0.005 and the total returns are less than 0.005%. Had these reimbursements not been made, the total returns would have been lower. |
See Accompanying Notes to the Financial Statements.
46 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
| RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||||||||
Total Return(b) | Ratios to Average Net Assets(c) | Supplemental Data | ||||||||||||||||||||||||||||||||
Net Asset Value, end of period | Net Asset Value(d) | Market Value (Unaudited)(e) | Expenses | Expenses net of reimbursements | Net investment Income before reimbursements | Net investment Income net of reimbursements | Portfolio Turnover Rate(b)(f) | Net assets, end of period (thousands) | ||||||||||||||||||||||||||
$ | 50.99 | (21.30 | )% | (21.87 | )% | 0.46 | % | 0.45 | % | 2.77 | % | 2.78 | % | 30 | % | $ | 328,880 | |||||||||||||||||
66.60 | 18.37 | 18.65 | 0.46 | 0.45 | 2.80 | 2.81 | 53 | 376,264 | ||||||||||||||||||||||||||
57.96 | (3.69 | ) | (3.95 | ) | 0.46 | 0.45 | 2.92 | 2.92 | 61 | 275,332 | ||||||||||||||||||||||||
62.02 | 11.71 | 11.71 | 0.46 | 0.45 | 1.67 | 1.67 | 64 | 244,970 | ||||||||||||||||||||||||||
57.12 | 2.28 | 2.44 | 0.46 | 0.45 | 3.26 | 3.27 | 57 | 197,049 | ||||||||||||||||||||||||||
57.47 | 6.60 | 5.93 | 0.46 | 0.45 | 2.39 | 2.40 | 81 | 132,184 | ||||||||||||||||||||||||||
24.93 | (16.28 | ) | (16.50 | ) | 0.57 | (i) | 0.11 | (i) | 3.12 | 3.58 | 3 | 8,726 | ||||||||||||||||||||||
30.30 | 17.69 | 17.72 | 0.58 | (i) | 0.11 | (i) | 2.22 | 2.69 | 4 | 11,361 | ||||||||||||||||||||||||
26.45 | (3.09 | ) | (3.32 | ) | 0.59 | (i) | 0.11 | (i) | 2.39 | 2.87 | 5 | 13,887 | ||||||||||||||||||||||
28.08 | 12.73 | 13.05 | 0.65 | (i) | 0.11 | (i) | 1.88 | 2.42 | 11 | 6,318 | ||||||||||||||||||||||||
25.63 | 5.56 | 5.60 | 0.72 | (i) | 0.11 | (i) | 3.03 | 3.64 | 11 | 1,282 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 47 |
Table of Contents
Financial Highlights (cont.)
PER SHARE | ||||||||||||||||||||||||||||||||
Investment Operations | Distributions | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net Investment Income | Net Realized and Unrealized Gain (Loss) | Total from Operations | Net Investment Income | From Net Realized Gains | Tax return of capital | Total | |||||||||||||||||||||||||
FlexShares® Quality Dividend Index Fund | ||||||||||||||||||||||||||||||||
Six Months ended April 30, 2020 (Unaudited) | $ | 46.33 | $ | 0.67 | (a) | $ | (5.73 | ) | $ | (5.06 | ) | $ | (0.65 | ) | $ | (0.25 | ) | $ | — | $ | (0.90 | ) | ||||||||||
Year ended October 31, 2019 | 44.53 | 1.24 | (a) | 2.29 | 3.53 | (1.19 | ) | (0.54 | ) | — | (1.73 | ) | ||||||||||||||||||||
Year ended October 31, 2018 | 42.57 | 1.20 | (a) | 1.98 | 3.18 | (1.22 | ) | — | — | (1.22 | ) | |||||||||||||||||||||
Year ended October 31, 2017 | 37.11 | 1.23 | (a) | 5.43 | 6.66 | (1.20 | ) | — | — | (1.20 | ) | |||||||||||||||||||||
Year ended October 31, 2016 | 35.99 | 1.23 | (a) | 1.03 | 2.26 | (1.14 | ) | — | — | (1.14 | ) | |||||||||||||||||||||
Year ended October 31, 2015 | 35.77 | 1.08 | (a) | 0.14 | 1.22 | (1.00 | ) | — | — | (1.00 | ) | |||||||||||||||||||||
FlexShares® Quality Dividend Defensive Index Fund | ||||||||||||||||||||||||||||||||
Six Months ended April 30, 2020 (Unaudited) | 46.25 | 0.66 | (a) | (5.32 | ) | (4.66 | ) | (0.62 | ) | (0.36 | ) | — | (0.98 | ) | ||||||||||||||||||
Year ended October 31, 2019 | 44.46 | 1.22 | (a) | 3.35 | 4.57 | (1.14 | ) | (1.64 | ) | — | (2.78 | ) | ||||||||||||||||||||
Year ended October 31, 2018 | 42.04 | 1.21 | (a) | 2.45 | 3.66 | (1.24 | ) | — | — | (1.24 | ) | |||||||||||||||||||||
Year ended October 31, 2017 | 36.82 | 1.18 | (a) | 5.18 | 6.36 | (1.14 | ) | — | — | (1.14 | ) | |||||||||||||||||||||
Year ended October 31, 2016 | 35.81 | 1.11 | (a) | 0.99 | 2.10 | (1.09 | ) | — | — | (1.09 | ) | |||||||||||||||||||||
Year ended October 31, 2015 | 34.99 | 1.03 | (a) | 0.72 | 1.75 | (0.93 | ) | — | — | (0.93 | ) |
* | Commencement of investment operations. |
(a) | Net investment income per share is based on average shares outstanding. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | 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 adjusted net asset value. |
(e) | 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 net asset value during the period and redemption on the last day of the period at market value. Market value is determined by the mid point of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market value returns may vary from net asset value returns. |
(f) | In-kind transactions are not included in portfolio turnover calculations. |
(g) | The amount shown for a share outstanding throughout the period is directionally inconsistent with aggregate net realized and unrealized gain (loss) for the period as presented in the financial statements. |
(h) | Per share amount is less than $0.005. |
(i) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the Underlying Fund(s) in which the Fund is invested. This ratio does not include these indirect fees and expenses. |
(j) | The Expenses net of reimbursements and Net investment Income (Loss) net of reimbursement ratios include a voluntary reimbursement of advisory fees made by JPMorgan Chase Bank, N.A. Absent this additional reimbursement, Expenses net of reimbursements would have increased by 0.20% and the Net investment Income (Loss) net of reimbursement would have decreased by 0.20%. |
(k) | Northern Trust Investments, Inc. reimbursed the Funds for losses incurred related to an error. The impact was an increase of $0.02 to the net realized and unrealized gain (loss) on investments per share and an increase of 0.06% to the total return of the FlexShares Morningstar Global Upstream Natural Resources Index Fund. For the FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund and FlexShares STOXX Global ESG Impact Index Fund, the impact to the net realized and unrealized gain (loss) on investments per share amount is less than $0.005 and the total returns are less than 0.005%. Had these reimbursements not been made, the total returns would have been lower. |
See Accompanying Notes to the Financial Statements.
48 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
| RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||||||||
Total Return(b) | Ratios to Average Net Assets(c) | Supplemental Data | ||||||||||||||||||||||||||||||||
Net Asset Value, end of period | Net Asset Value(d) | Market Value (Unaudited)(e) | Expenses | Expenses net of reimbursements | Net investment Income before reimbursements | Net investment Income net of reimbursements | Portfolio Turnover Rate(b)(f) | Net assets, end of period (thousands) | ||||||||||||||||||||||||||
$ | 40.37 | (11.00 | )% | (11.10 | )% | 0.38 | % | 0.37 | % | 3.00 | % | 3.00 | % | 40 | % | $ | 1,298,000 | |||||||||||||||||
46.33 | 8.45 | 8.52 | 0.38 | 0.37 | 2.80 | 2.81 | 95 | 1,707,344 | ||||||||||||||||||||||||||
44.53 | 7.42 | 7.40 | 0.37 | 0.37 | 2.64 | 2.64 | 76 | 1,759,108 | ||||||||||||||||||||||||||
42.57 | 18.10 | 18.03 | 0.38 | 0.37 | 3.00 | 3.00 | 89 | 1,815,665 | ||||||||||||||||||||||||||
37.11 | 6.41 | 6.43 | 0.38 | 0.37 | 3.38 | 3.38 | 85 | 1,438,149 | ||||||||||||||||||||||||||
35.99 | 3.43 | 3.52 | 0.38 | 0.37 | 2.99 | 2.99 | 86 | 703,615 | ||||||||||||||||||||||||||
40.61 | (10.18 | ) | (10.28 | ) | 0.38 | 0.37 | 2.99 | 3.00 | 43 | 456,828 | ||||||||||||||||||||||||
46.25 | 11.40 | 11.40 | 0.38 | 0.37 | 2.76 | 2.76 | 91 | 450,963 | ||||||||||||||||||||||||||
44.46 | 8.69 | 8.74 | 0.38 | 0.37 | 2.70 | 2.71 | 94 | 320,091 | ||||||||||||||||||||||||||
42.04 | 17.44 | 17.41 | 0.38 | 0.37 | 2.94 | 2.95 | 74 | 313,167 | ||||||||||||||||||||||||||
36.82 | 5.96 | 5.96 | 0.38 | 0.37 | 3.09 | 3.10 | 72 | 252,223 | ||||||||||||||||||||||||||
35.81 | 5.04 | 5.13 | 0.38 | 0.37 | 2.87 | 2.88 | 92 | 191,606 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 49 |
Table of Contents
Financial Highlights (cont.)
PER SHARE | ||||||||||||||||||||||||||||||||
Investment Operations | Distributions | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net Investment Income | Net Realized and Unrealized Gain (Loss) | Total from Operations | Net Investment Income | From Net Realized Gains | Tax return of capital | Total | |||||||||||||||||||||||||
FlexShares® Quality Dividend Dynamic Index Fund | ||||||||||||||||||||||||||||||||
Six Months ended April 30, 2020 (Unaudited) | $ | 45.49 | $ | 0.69 | (a) | $ | (5.72 | ) | $ | (5.03 | ) | $ | (0.99 | ) | $ | — | $ | — | $ | (0.99 | ) | |||||||||||
Year ended October 31, 2019 | 42.20 | 1.21 | (a) | 3.26 | 4.47 | (1.18 | ) | — | — | (1.18 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 41.84 | 1.15 | (a) | 0.40 | 1.55 | (1.19 | ) | — | — | (1.19 | ) | |||||||||||||||||||||
Year ended October 31, 2017 | 35.32 | 1.19 | (a) | 6.45 | 7.64 | (1.12 | ) | — | — | (1.12 | ) | |||||||||||||||||||||
Year ended October 31, 2016 | 35.14 | 1.11 | (a) | 0.31 | (g) | 1.42 | (1.24 | ) | — | — | (1.24 | ) | ||||||||||||||||||||
Year ended October 31, 2015 | 35.83 | 1.14 | (a) | (0.82 | ) | 0.32 | (1.01 | ) | — | — | (1.01 | ) | ||||||||||||||||||||
FlexShares® International Quality Dividend Index Fund | ||||||||||||||||||||||||||||||||
Six Months ended April 30, 2020 (Unaudited) | 23.06 | 0.40 | (a) | (3.93 | ) | (3.53 | ) | (0.37 | ) | — | — | (0.37 | ) | |||||||||||||||||||
Year ended October 31, 2019 | 22.37 | 1.13 | (a) | 0.70 | 1.83 | (1.14 | ) | — | — | (1.14 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 26.27 | 1.22 | (a) | (3.86 | ) | (2.64 | ) | (1.26 | ) | — | — | (1.26 | ) | |||||||||||||||||||
Year ended October 31, 2017 | 22.45 | 1.06 | (a) | 3.69 | 4.75 | (0.93 | ) | — | — | (0.93 | ) | |||||||||||||||||||||
Year ended October 31, 2016 | 23.03 | 0.92 | (a) | (0.68 | ) | 0.24 | (0.82 | ) | — | — | (0.82 | ) | ||||||||||||||||||||
Year ended October 31, 2015 | 26.15 | 1.01 | (a) | (3.18 | ) | (2.17 | ) | (0.95 | ) | — | — | (0.95 | ) |
* | Commencement of investment operations. |
(a) | Net investment income per share is based on average shares outstanding. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | 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 adjusted net asset value. |
(e) | 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 net asset value during the period and redemption on the last day of the period at market value. Market value is determined by the mid point of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market value returns may vary from net asset value returns. |
(f) | In-kind transactions are not included in portfolio turnover calculations. |
(g) | The amount shown for a share outstanding throughout the period is directionally inconsistent with aggregate net realized and unrealized gain (loss) for the period as presented in the financial statements. |
(h) | Per share amount is less than $0.005. |
(i) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the Underlying Fund(s) in which the Fund is invested. This ratio does not include these indirect fees and expenses. |
(j) | The Expenses net of reimbursements and Net investment Income (Loss) net of reimbursement ratios include a voluntary reimbursement of advisory fees made by JPMorgan Chase Bank, N.A. Absent this additional reimbursement, Expenses net of reimbursements would have increased by 0.20% and the Net investment Income (Loss) net of reimbursement would have decreased by 0.20%. |
(k) | Northern Trust Investments, Inc. reimbursed the Funds for losses incurred related to an error. The impact was an increase of $0.02 to the net realized and unrealized gain (loss) on investments per share and an increase of 0.06% to the total return of the FlexShares Morningstar Global Upstream Natural Resources Index Fund. For the FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund and FlexShares STOXX Global ESG Impact Index Fund, the impact to the net realized and unrealized gain (loss) on investments per share amount is less than $0.005 and the total returns are less than 0.005%. Had these reimbursements not been made, the total returns would have been lower. |
See Accompanying Notes to the Financial Statements.
50 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
| RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||||||||
Total Return(b) | Ratios to Average Net Assets(c) | Supplemental Data | ||||||||||||||||||||||||||||||||
Net Asset Value, end of period | Net Asset Value(d) | Market Value (Unaudited)(e) | Expenses | Expenses net of reimbursements | Net investment Income before reimbursements | Net investment Income net of reimbursements | Portfolio Turnover Rate(b)(f) | Net assets, end of period (thousands) | ||||||||||||||||||||||||||
$ | 39.47 | (10.80 | )% | (10.82 | )% | 0.38 | % | 0.37 | % | 3.04 | % | 3.05 | % | 41 | % | $ | 15,789 | |||||||||||||||||
45.49 | 10.86 | 10.89 | 0.38 | 0.37 | 2.81 | 2.82 | 77 | 52,308 | ||||||||||||||||||||||||||
42.20 | 3.59 | 3.67 | 0.38 | 0.37 | 2.61 | 2.62 | 77 | 44,305 | ||||||||||||||||||||||||||
41.84 | 21.81 | 21.59 | 0.38 | 0.37 | 2.99 | 3.00 | 63 | 58,571 | ||||||||||||||||||||||||||
35.32 | 4.16 | 4.43 | 0.38 | 0.37 | 3.23 | 3.25 | 69 | 52,979 | ||||||||||||||||||||||||||
35.14 | 0.89 | 0.78 | 0.38 | 0.37 | 3.15 | 3.16 | 87 | 73,804 | ||||||||||||||||||||||||||
19.16 | (15.35 | ) | (16.43 | ) | 0.48 | 0.47 | 3.59 | 3.59 | 34 | 465,580 | ||||||||||||||||||||||||
23.06 | 8.41 | 9.09 | 0.48 | 0.47 | 4.98 | 4.98 | 71 | 774,685 | ||||||||||||||||||||||||||
22.37 | (10.48 | ) | (11.30 | ) | 0.47 | 0.47 | 4.77 | 4.78 | 71 | 765,167 | ||||||||||||||||||||||||
26.27 | 21.50 | 21.80 | 0.48 | 0.47 | 4.27 | 4.28 | 69 | 979,701 | ||||||||||||||||||||||||||
22.45 | 1.16 | 2.05 | 0.48 | 0.47 | 4.17 | 4.18 | 68 | 496,050 | ||||||||||||||||||||||||||
23.03 | (8.45 | ) | (9.95 | ) | 0.48 | 0.47 | 4.08 | 4.09 | 77 | 430,590 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 51 |
Table of Contents
Financial Highlights (cont.)
PER SHARE | ||||||||||||||||||||||||||||||||
Investment Operations | Distributions | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net Investment Income | Net Realized and Unrealized Gain (Loss) | Total from Operations | Net Investment Income | From Net Realized Gains | Tax return of capital | Total | |||||||||||||||||||||||||
FlexShares® International Quality Dividend Defensive Index Fund | ||||||||||||||||||||||||||||||||
Six Months ended April 30, 2020 (Unaudited) | $ | 21.87 | $ | 0.37 | (a) | $ | (3.66 | ) | $ | (3.29 | ) | $ | (0.34 | ) | $ | — | $ | — | $ | (0.34 | ) | |||||||||||
Year ended October 31, 2019 | 21.39 | 1.09 | (a) | 0.51 | 1.60 | (1.12 | ) | — | — | (1.12 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 25.06 | 1.14 | (a) | (3.54 | ) | (2.40 | ) | (1.27 | ) | — | — | (1.27 | ) | |||||||||||||||||||
Year ended October 31, 2017 | 22.16 | 0.99 | (a) | 2.81 | 3.80 | (0.90 | ) | — | — | (0.90 | ) | |||||||||||||||||||||
Year ended October 31, 2016 | 22.54 | 0.83 | (a) | (0.35 | ) | 0.48 | (0.86 | ) | — | — | (0.86 | ) | ||||||||||||||||||||
Year ended October 31, 2015 | 25.55 | 0.94 | (a) | (3.04 | ) | (2.10 | ) | (0.91 | ) | — | — | (0.91 | ) | |||||||||||||||||||
FlexShares® International Quality Dividend Dynamic Index Fund | ||||||||||||||||||||||||||||||||
Six Months ended April 30, 2020 (Unaudited) | 24.94 | 0.30 | (a) | (3.83 | ) | (3.53 | ) | (0.30 | ) | — | — | (0.30 | ) | |||||||||||||||||||
Year ended October 31, 2019 | 23.51 | 1.05 | (a) | 1.52 | 2.57 | (1.14 | ) | — | — | (1.14 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 27.82 | 1.32 | (a) | (4.34 | ) | (3.02 | ) | (1.29 | ) | — | — | (1.29 | ) | |||||||||||||||||||
Year ended October 31, 2017 | 23.47 | 1.11 | (a) | 4.08 | 5.19 | (0.84 | ) | — | — | (0.84 | ) | |||||||||||||||||||||
Year ended October 31, 2016 | 23.82 | 0.83 | (a) | (0.13 | ) | 0.70 | (0.98 | ) | — | (0.07 | ) | (1.05 | ) | |||||||||||||||||||
Year ended October 31, 2015 | 26.50 | 0.88 | (a) | (2.50 | ) | (1.62 | ) | (1.06 | ) | — | — | (1.06 | ) |
* | Commencement of investment operations. |
(a) | Net investment income per share is based on average shares outstanding. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | 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 adjusted net asset value. |
(e) | 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 net asset value during the period and redemption on the last day of the period at market value. Market value is determined by the mid point of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market value returns may vary from net asset value returns. |
(f) | In-kind transactions are not included in portfolio turnover calculations. |
(g) | The amount shown for a share outstanding throughout the period is directionally inconsistent with aggregate net realized and unrealized gain (loss) for the period as presented in the financial statements. |
(h) | Per share amount is less than $0.005. |
(i) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the Underlying Fund(s) in which the Fund is invested. This ratio does not include these indirect fees and expenses. |
(j) | The Expenses net of reimbursements and Net investment Income (Loss) net of reimbursement ratios include a voluntary reimbursement of advisory fees made by JPMorgan Chase Bank, N.A. Absent this additional reimbursement, Expenses net of reimbursements would have increased by 0.20% and the Net investment Income (Loss) net of reimbursement would have decreased by 0.20%. |
(k) | Northern Trust Investments, Inc. reimbursed the Funds for losses incurred related to an error. The impact was an increase of $0.02 to the net realized and unrealized gain (loss) on investments per share and an increase of 0.06% to the total return of the FlexShares Morningstar Global Upstream Natural Resources Index Fund. For the FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund and FlexShares STOXX Global ESG Impact Index Fund, the impact to the net realized and unrealized gain (loss) on investments per share amount is less than $0.005 and the total returns are less than 0.005%. Had these reimbursements not been made, the total returns would have been lower. |
See Accompanying Notes to the Financial Statements.
52 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
| RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||||||||
Total Return(b) | Ratios to Average Net Assets(c) | Supplemental Data | ||||||||||||||||||||||||||||||||
Net Asset Value, end of period | Net Asset Value(d) | Market Value (Unaudited)(e) | Expenses | Expenses net of reimbursements | Net investment Income before reimbursements | Net investment Income net of reimbursements | Portfolio Turnover Rate(b)(f) | Net assets, end of period (thousands) | ||||||||||||||||||||||||||
$ | 18.24 | (15.08 | )% | (15.51 | )% | 0.48 | % | 0.47 | % | 3.59 | % | 3.60 | % | 35 | % | $ | 62,002 | |||||||||||||||||
21.87 | 7.66 | 8.12 | 0.48 | 0.47 | 5.02 | 5.03 | 63 | 78,719 | ||||||||||||||||||||||||||
21.39 | (10.03 | ) | (10.91 | ) | 0.48 | 0.47 | 4.68 | 4.68 | 69 | 87,703 | ||||||||||||||||||||||||
25.06 | 17.45 | 17.69 | 0.48 | 0.47 | 4.18 | 4.19 | 72 | 95,217 | ||||||||||||||||||||||||||
22.16 | 2.24 | 3.39 | 0.48 | 0.47 | 3.78 | 3.79 | 73 | 77,561 | ||||||||||||||||||||||||||
22.54 | (8.37 | ) | (9.81 | ) | 0.48 | 0.47 | 3.86 | 3.87 | 77 | 87,893 | ||||||||||||||||||||||||
21.11 | (14.15 | ) | (15.80 | ) | 0.48 | 0.47 | 2.44 | 2.45 | 43 | 21,110 | ||||||||||||||||||||||||
24.94 | 11.30 | 12.23 | 0.48 | 0.47 | 4.36 | 4.37 | 88 | 47,391 | ||||||||||||||||||||||||||
23.51 | (11.34 | ) | (12.11 | ) | 0.48 | 0.47 | 4.83 | 4.83 | 75 | 63,481 | ||||||||||||||||||||||||
27.82 | 22.37 | 22.91 | 0.48 | 0.47 | 4.19 | 4.20 | 76 | 91,796 | ||||||||||||||||||||||||||
23.47 | 3.17 | 3.96 | 0.49 | 0.47 | 3.70 | 3.72 | 75 | 18,777 | ||||||||||||||||||||||||||
23.82 | (6.28 | ) | (8.00 | ) | 0.48 | 0.47 | 3.43 | 3.43 | 89 | 35,726 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 53 |
Table of Contents
Financial Highlights (cont.)
PER SHARE | ||||||||||||||||||||||||||||||||
Investment Operations | Distributions | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net Investment Income | Net Realized and Unrealized Gain (Loss) | Total from Operations | Net Investment Income | From Net Realized Gains | Tax return of capital | Total | |||||||||||||||||||||||||
FlexShares® iBoxx 3-Year Target Duration TIPS Index Fund | ||||||||||||||||||||||||||||||||
Six Months ended April 30, 2020 (Unaudited) | $ | 24.58 | $ | 0.22 | (a) | $ | 0.29 | $ | 0.51 | $ | (0.16 | ) | $ | — | $ | — | $ | (0.16 | ) | |||||||||||||
Year ended October 31, 2019 | 23.81 | 0.46 | (a) | 0.79 | 1.25 | (0.48 | ) | — | — | (0.48 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 24.60 | 0.68 | (a) | (0.78 | ) | (0.10 | ) | (0.69 | ) | — | — | (0.69 | ) | |||||||||||||||||||
Year ended October 31, 2017 | 24.82 | 0.37 | (a) | (0.27 | ) | 0.10 | (0.32 | ) | — | — | (0.32 | ) | ||||||||||||||||||||
Year ended October 31, 2016 | 24.38 | 0.15 | (a) | 0.47 | 0.62 | (0.16 | ) | — | (0.02 | ) | (0.18 | ) | ||||||||||||||||||||
Year ended October 31, 2015 | 24.73 | (0.10 | )(a) | (0.23 | ) | (0.33 | ) | — | — | (0.02 | ) | (0.02 | ) | |||||||||||||||||||
FlexShares® iBoxx 5-Year Target Duration TIPS Index Fund | ||||||||||||||||||||||||||||||||
Six Months ended April 30, 2020 (Unaudited) | 25.50 | 0.23 | (a) | 0.80 | 1.03 | (0.16 | ) | — | — | (0.16 | ) | |||||||||||||||||||||
Year ended October 31, 2019 | 23.95 | 0.44 | (a) | 1.59 | 2.03 | (0.48 | ) | — | — | (0.48 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 25.06 | 0.71 | (a) | (1.08 | ) | (0.37 | ) | (0.74 | ) | — | — | (0.74 | ) | |||||||||||||||||||
Year ended October 31, 2017 | 25.45 | 0.47 | (a) | (0.45 | ) | 0.02 | (0.41 | ) | — | — | (0.41 | ) | ||||||||||||||||||||
Year ended October 31, 2016 | 24.56 | 0.30 | (a) | 0.88 | 1.18 | (0.27 | ) | — | (0.02 | ) | (0.29 | ) | ||||||||||||||||||||
Year ended October 31, 2015 | 24.87 | 0.05 | (a) | (0.30 | ) | (0.25 | ) | (0.05 | ) | — | (0.01 | ) | (0.06 | ) |
* | Commencement of investment operations. |
(a) | Net investment income per share is based on average shares outstanding. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | 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 adjusted net asset value. |
(e) | 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 net asset value during the period and redemption on the last day of the period at market value. Market value is determined by the mid point of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market value returns may vary from net asset value returns. |
(f) | In-kind transactions are not included in portfolio turnover calculations. |
(g) | The amount shown for a share outstanding throughout the period is directionally inconsistent with aggregate net realized and unrealized gain (loss) for the period as presented in the financial statements. |
(h) | Per share amount is less than $0.005. |
(i) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the Underlying Fund(s) in which the Fund is invested. This ratio does not include these indirect fees and expenses. |
(j) | The Expenses net of reimbursements and Net investment Income (Loss) net of reimbursement ratios include a voluntary reimbursement of advisory fees made by JPMorgan Chase Bank, N.A. Absent this additional reimbursement, Expenses net of reimbursements would have increased by 0.20% and the Net investment Income (Loss) net of reimbursement would have decreased by 0.20%. |
(k) | Northern Trust Investments, Inc. reimbursed the Funds for losses incurred related to an error. The impact was an increase of $0.02 to the net realized and unrealized gain (loss) on investments per share and an increase of 0.06% to the total return of the FlexShares Morningstar Global Upstream Natural Resources Index Fund. For the FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund and FlexShares STOXX Global ESG Impact Index Fund, the impact to the net realized and unrealized gain (loss) on investments per share amount is less than $0.005 and the total returns are less than 0.005%. Had these reimbursements not been made, the total returns would have been lower. |
See Accompanying Notes to the Financial Statements.
54 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
| RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||||||||
Total Return(b) | Ratios to Average Net Assets(c) | Supplemental Data | ||||||||||||||||||||||||||||||||
Net Asset Value, end of period | Net Asset Value(d) | Market Value (Unaudited)(e) | Expenses | Expenses net of reimbursements | Net investment Income before reimbursements | Net investment Income net of reimbursements | Portfolio Turnover Rate(b)(f) | Net assets, end of period (thousands) | ||||||||||||||||||||||||||
$ | 24.93 |
| 2.09 | % | 2.05 | % | 0.19 | % | 0.18 | % | 1.80 | % | 1.80 | % | 37 | % | $ | 1,107,041 | ||||||||||||||||
24.58 | 5.30 | 5.35 | 0.19 | 0.18 | 1.89 | 1.89 | 52 | 1,178,722 | ||||||||||||||||||||||||||
23.81 | (0.41 | ) | (0.49 | ) | 0.18 | 0.18 | 2.79 | 2.80 | 85 | 1,641,610 | ||||||||||||||||||||||||
24.60 | 0.42 | 0.46 | 0.21 | 0.20 | 1.49 | 1.50 | 134 | 2,113,130 | ||||||||||||||||||||||||||
24.82 | 2.55 | 2.55 | 0.21 | 0.20 | 0.62 | 0.63 | 105 | 1,841,902 | ||||||||||||||||||||||||||
24.38 | (1.34 | ) | (1.46 | ) | 0.21 | 0.20 | (0.40 | ) | (0.39 | ) | 83 | 1,978,311 | ||||||||||||||||||||||
| 26.37 |
| 4.07 | 3.96 | 0.19 | 0.18 | 1.78 | 1.78 | 32 | 516,767 | ||||||||||||||||||||||||
25.50 | 8.53 | 8.45 | 0.19 | 0.18 | 1.77 | 1.78 | 41 | 557,185 | ||||||||||||||||||||||||||
23.95 | (1.51 | ) | (1.51 | ) | 0.18 | 0.18 | 2.88 | 2.88 | 65 | 904,027 | ||||||||||||||||||||||||
25.06 | 0.08 | 0.08 | 0.21 | 0.20 | 1.86 | 1.87 | 87 | 819,372 | ||||||||||||||||||||||||||
25.45 | 4.81 | 4.64 | 0.21 | 0.20 | 1.18 | 1.19 | 72 | 651,605 | ||||||||||||||||||||||||||
24.56 | (1.00 | ) | (1.04 | ) | 0.21 | 0.20 | 0.19 | 0.20 | 113 | 432,210 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 55 |
Table of Contents
Financial Highlights (cont.)
PER SHARE | ||||||||||||||||||||||||||||||||
Investment Operations | Distributions | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net Investment Income | Net Realized and Unrealized Gain (Loss) | Total from Operations | Net Investment Income | From Net Realized Gains | Tax return of capital | Total | |||||||||||||||||||||||||
FlexShares® Disciplined Duration MBS Index Fund | ||||||||||||||||||||||||||||||||
Six Months ended April 30, 2020 (Unaudited) | $ | 23.55 | $ | 0.25 | (a) | $ | 0.66 | $ | 0.91 | $ | (0.35 | ) | $ | — | $ | — | $ | (0.35 | ) | |||||||||||||
Year ended October 31, 2019 | 22.74 | 0.61 | (a) | 1.03 | 1.64 | (0.83 | ) | — | — | (0.83 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 23.86 | 0.49 | (a) | (0.88 | ) | (0.39 | ) | (0.73 | ) | — | — | (0.73 | ) | |||||||||||||||||||
Year ended October 31, 2017 | 24.74 | 0.39 | (a) | (0.50 | ) | (0.11 | ) | (0.77 | ) | — | — | (0.77 | ) | |||||||||||||||||||
Year ended October 31, 2016 | 24.87 | 0.45 | (a) | 0.29 | 0.74 | (0.87 | ) | — | — | (0.87 | ) | |||||||||||||||||||||
Year ended October 31, 2015 | 25.12 | 0.37 | (a) | 0.06 | (g) | 0.43 | (0.68 | ) | 0.00 | (h) | — | (0.68 | ) | |||||||||||||||||||
FlexShares® Credit-Scored US Corporate Bond Index Fund | ||||||||||||||||||||||||||||||||
Six Months ended April 30, 2020 (Unaudited) | 52.58 | 0.74 | (a) | 0.28 | 1.02 | (0.75 | ) | (0.22 | ) | — | (0.97 | ) | ||||||||||||||||||||
Year ended October 31, 2019 | 48.59 | 1.63 | (a) | 3.94 | 5.57 | (1.58 | ) | — | — | (1.58 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 50.98 | 1.40 | (a) | (2.43 | ) | (1.03 | ) | (1.36 | ) | — | — | (1.36 | ) | |||||||||||||||||||
Year ended October 31, 2017 | 51.49 | 1.26 | (a) | (0.34 | ) | 0.92 | (1.23 | ) | (0.20 | ) | — | (1.43 | ) | |||||||||||||||||||
Year ended October 31, 2016 | 50.32 | 1.21 | (a) | 1.13 | 2.34 | (1.17 | ) | — | — | (1.17 | ) | |||||||||||||||||||||
For the period 11/12/14* through 10/31/15 | 50.00 | 1.12 | (a) | 0.18 | 1.30 | (0.98 | ) | — | — | (0.98 | ) |
* | Commencement of investment operations. |
(a) | Net investment income per share is based on average shares outstanding. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | 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 adjusted net asset value. |
(e) | 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 net asset value during the period and redemption on the last day of the period at market value. Market value is determined by the mid point of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market value returns may vary from net asset value returns. |
(f) | In-kind transactions are not included in portfolio turnover calculations. |
(g) | The amount shown for a share outstanding throughout the period is directionally inconsistent with aggregate net realized and unrealized gain (loss) for the period as presented in the financial statements. |
(h) | Per share amount is less than $0.005. |
(i) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the Underlying Fund(s) in which the Fund is invested. This ratio does not include these indirect fees and expenses. |
(j) | The Expenses net of reimbursements and Net investment Income (Loss) net of reimbursement ratios include a voluntary reimbursement of advisory fees made by JPMorgan Chase Bank, N.A. Absent this additional reimbursement, Expenses net of reimbursements would have increased by 0.20% and the Net investment Income (Loss) net of reimbursement would have decreased by 0.20%. |
(k) | Northern Trust Investments, Inc. reimbursed the Funds for losses incurred related to an error. The impact was an increase of $0.02 to the net realized and unrealized gain (loss) on investments per share and an increase of 0.06% to the total return of the FlexShares Morningstar Global Upstream Natural Resources Index Fund. For the FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund and FlexShares STOXX Global ESG Impact Index Fund, the impact to the net realized and unrealized gain (loss) on investments per share amount is less than $0.005 and the total returns are less than 0.005%. Had these reimbursements not been made, the total returns would have been lower. |
See Accompanying Notes to the Financial Statements.
56 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
| RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||||||||
Total Return(b) | Ratios to Average Net Assets(c) | Supplemental Data | ||||||||||||||||||||||||||||||||
Net Asset Value, end of period | Net Asset Value(d) | Market Value (Unaudited)(e) | Expenses | Expenses net of reimbursements | Net investment Income before reimbursements | Net investment Income net of reimbursements | Portfolio Turnover Rate(b)(f) | Net assets, end of period (thousands) | ||||||||||||||||||||||||||
$ | 24.11 |
| 3.90 | % | 3.90 | % | 0.20 | % | 0.20 | % | 2.12 | % | 2.12 | % | 53 | % | $ | 59,079 | ||||||||||||||||
23.55 | 7.36 | 7.07 | 0.21 | 0.20 | 2.64 | 2.65 | 61 | 35,330 | ||||||||||||||||||||||||||
22.74 | (1.65 | ) | (1.31 | ) | 0.21 | 0.20 | 2.09 | 2.10 | 160 | 71,628 | ||||||||||||||||||||||||
23.86 | (0.44 | ) | (0.53 | ) | 0.21 | 0.20 | 1.61 | 1.62 | 61 | 38,183 | ||||||||||||||||||||||||
24.74 | 3.02 | 2.69 | 0.21 | — | (j) | 1.62 | 1.83 | (j) | 89 | 42,063 | ||||||||||||||||||||||||
24.87 | 1.74 | 2.02 | 0.22 | 0.20 | 1.44 | 1.46 | 179 | 23,627 | ||||||||||||||||||||||||||
| 52.63 |
| 2.03 | 2.17 | 0.22 | 0.22 | 2.84 | 2.84 | 47 | 126,314 | ||||||||||||||||||||||||
52.58 | 11.66 | 11.56 | 0.23 | 0.22 | 3.20 | 3.21 | 65 | 97,275 | ||||||||||||||||||||||||||
48.59 | (2.05 | ) | (2.23 | ) | 0.23 | 0.22 | 2.83 | 2.84 | 76 | 60,736 | ||||||||||||||||||||||||
50.98 | 1.85 | 1.99 | 0.23 | 0.22 | 2.48 | 2.49 | 65 | 50,982 | ||||||||||||||||||||||||||
51.49 | 4.71 | 4.70 | 0.24 | 0.22 | 2.34 | 2.36 | 59 | 36,041 | ||||||||||||||||||||||||||
| 50.32 |
| 2.61 | 2.78 | 0.26 | 0.22 | 2.26 | 2.30 | 69 | 12,581 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 57 |
Table of Contents
Financial Highlights (cont.)
PER SHARE | ||||||||||||||||||||||||||||||||
Investment Operations | Distributions | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net Investment Income | Net Realized and Unrealized Gain (Loss) | Total from Operations | Net Investment Income | From Net Realized Gains | Tax return of capital | Total | |||||||||||||||||||||||||
FlexShares® Credit-Scored US Long Corporate Bond Index Fund | ||||||||||||||||||||||||||||||||
Six Months ended April 30, 2020 (Unaudited) | $ | 57.84 | $ | 0.99 | (a) | $ | 1.54 | $ | 2.53 | $ | (0.97 | ) | $ | — | $ | — | $ | (0.97 | ) | |||||||||||||
Year ended October 31, 2019 | 48.04 | 2.11 | (a) | 9.89 | 12.00 | (2.20 | ) | — | — | (2.20 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 53.88 | 2.07 | (a) | (5.87 | ) | (3.80 | ) | (2.04 | ) | — | — | (2.04 | ) | |||||||||||||||||||
Year ended October 31, 2017 | 53.83 | 2.06 | (a) | 0.74 | 2.80 | (2.07 | ) | (0.68 | ) | — | (2.75 | ) | ||||||||||||||||||||
Year ended October 31, 2016 | 50.29 | 2.14 | (a) | 3.56 | 5.70 | (2.16 | ) | — | — | (2.16 | ) | |||||||||||||||||||||
For the period 09/23/15* through 10/31/15 | 50.00 | 0.23 | (a) | 0.06 | 0.29 | — | — | — | — | |||||||||||||||||||||||
FlexShares® High Yield Value-Scored Bond Index Fund | ||||||||||||||||||||||||||||||||
Six Months ended April 30, 2020 (Unaudited) | 47.85 | 1.52 | (a) | (5.41 | ) | (3.89 | ) | (1.45 | ) | — | — | (1.45 | ) | |||||||||||||||||||
Year ended October 31, 2019 | 48.84 | 2.67 | (a) | 0.78 | 3.45 | (3.57 | ) | — | (0.87 | ) | (4.44 | ) | ||||||||||||||||||||
For the period 07/17/18* through 10/31/18 | 50.00 | 1.68 | (a) | (1.60 | ) | 0.08 | (1.24 | ) | — | — | (1.24 | ) |
* | Commencement of investment operations. |
(a) | Net investment income per share is based on average shares outstanding. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | 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 adjusted net asset value. |
(e) | 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 net asset value during the period and redemption on the last day of the period at market value. Market value is determined by the mid point of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market value returns may vary from net asset value returns. |
(f) | In-kind transactions are not included in portfolio turnover calculations. |
(g) | The amount shown for a share outstanding throughout the period is directionally inconsistent with aggregate net realized and unrealized gain (loss) for the period as presented in the financial statements. |
(h) | Per share amount is less than $0.005. |
(i) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the Underlying Fund(s) in which the Fund is invested. This ratio does not include these indirect fees and expenses. |
(j) | The Expenses net of reimbursements and Net investment Income (Loss) net of reimbursement ratios include a voluntary reimbursement of advisory fees made by JPMorgan Chase Bank, N.A. Absent this additional reimbursement, Expenses net of reimbursements would have increased by 0.20% and the Net investment Income (Loss) net of reimbursement would have decreased by 0.20%. |
(k) | Northern Trust Investments, Inc. reimbursed the Funds for losses incurred related to an error. The impact was an increase of $0.02 to the net realized and unrealized gain (loss) on investments per share and an increase of 0.06% to the total return of the FlexShares Morningstar Global Upstream Natural Resources Index Fund. For the FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund and FlexShares STOXX Global ESG Impact Index Fund, the impact to the net realized and unrealized gain (loss) on investments per share amount is less than $0.005 and the total returns are less than 0.005%. Had these reimbursements not been made, the total returns would have been lower. |
See Accompanying Notes to the Financial Statements.
58 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
| RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||||||||
Total Return(b) | Ratios to Average Net Assets(c) | Supplemental Data | ||||||||||||||||||||||||||||||||
Net Asset Value, end of period | Net Asset Value(d) | Market Value (Unaudited)(e) | Expenses | Expenses net of reimbursements | Net investment Income before reimbursements | Net investment Income net of reimbursements | Portfolio Turnover Rate(b)(f) | Net assets, end of period (thousands) | ||||||||||||||||||||||||||
$ | 59.40 |
| 4.54 | % | 4.13 | % | 0.22 | % | 0.22 | % | 3.42 | % | 3.42 | % | 44 | % | $ | 32,673 | ||||||||||||||||
57.84 | 25.57 | 25.51 | 0.23 | 0.22 | 4.06 | 4.07 | 44 | 17,352 | ||||||||||||||||||||||||||
48.04 | (7.24 | ) | (7.86 | ) | 0.23 | 0.22 | 4.05 | 4.06 | 93 | 26,424 | ||||||||||||||||||||||||
53.88 | 5.58 | 4.25 | 0.24 | 0.22 | 3.92 | 3.94 | 91 | 18,858 | ||||||||||||||||||||||||||
53.83 | 11.60 | 12.75 | 0.25 | 0.22 | 4.01 | 4.04 | 80 | 13,457 | ||||||||||||||||||||||||||
| 50.29 |
| 0.56 | 1.16 | 0.27 | 0.22 | 4.38 | 4.43 | — | 5,029 | ||||||||||||||||||||||||
| 42.51 |
| (8.31 | ) | (7.33 | ) | 0.37 | 0.37 | 6.62 | 6.62 | 27 | 148,772 | ||||||||||||||||||||||
47.85 | 7.48 | 7.64 | 0.38 | 0.37 | 5.56 | 5.57 | 44 | 100,480 | ||||||||||||||||||||||||||
| 48.84 |
| 0.13 | 0.13 | 0.38 | 0.37 | 11.56 | 11.57 | 18 | 48,845 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 59 |
Table of Contents
Financial Highlights (cont.)
PER SHARE | ||||||||||||||||||||||||||||||||
Investment Operations | Distributions | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net Investment Income | Net Realized and Unrealized Gain (Loss) | Total from Operations | Net Investment Income | From Net Realized Gains | Tax return of capital | Total | |||||||||||||||||||||||||
FlexShares® Ready Access Variable Income Fund | ||||||||||||||||||||||||||||||||
Six Months ended April 30, 2020 (Unaudited) | $ | 75.89 | $ | 0.75 | (a) | $ | (0.28 | ) | $ | 0.47 | $ | (0.79 | ) | $ | (0.01 | ) | $ | — | $ | (0.80 | ) | |||||||||||
Year ended October 31, 2019 | 75.48 | 1.98 | (a) | 0.41 | 2.39 | (1.98 | ) | — | — | (1.98 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 75.61 | 1.58 | (a) | (0.24 | ) | 1.34 | (1.47 | ) | — | — | (1.47 | ) | ||||||||||||||||||||
Year ended October 31, 2017 | 75.56 | 0.89 | (a) | 0.00 | (h) | 0.89 | (0.84 | ) | — | — | (0.84 | ) | ||||||||||||||||||||
Year ended October 31, 2016 | 75.36 | 0.65 | (a) | 0.23 | 0.88 | (0.63 | ) | (0.05 | ) | — | (0.68 | ) | ||||||||||||||||||||
Year ended October 31, 2015 | 75.61 | 0.43 | (a) | (0.15 | ) | 0.28 | (0.42 | ) | (0.11 | ) | — | (0.53 | ) | |||||||||||||||||||
FlexShares® Core Select Bond Fund | ||||||||||||||||||||||||||||||||
Six Months ended April 30, 2020 (Unaudited) | 25.66 | 0.30 | (a) | 0.85 | 1.15 | (0.33 | ) | — | — | (0.33 | ) | |||||||||||||||||||||
Year ended October 31, 2019 | 23.74 | 0.73 | (a) | 1.93 | 2.66 | (0.74 | ) | — | — | (0.74 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 25.08 | 0.63 | (a) | (1.31 | ) | (0.68 | ) | (0.66 | ) | — | — | (0.66 | ) | |||||||||||||||||||
For the period 11/18/16* through 10/31/17 | 25.00 | 0.55 | (a) | 0.15 | 0.70 | (0.62 | ) | — | — | (0.62 | ) |
* | Commencement of investment operations. |
(a) | Net investment income per share is based on average shares outstanding. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | 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 adjusted net asset value. |
(e) | 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 net asset value during the period and redemption on the last day of the period at market value. Market value is determined by the mid point of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market value returns may vary from net asset value returns. |
(f) | In-kind transactions are not included in portfolio turnover calculations. |
(g) | The amount shown for a share outstanding throughout the period is directionally inconsistent with aggregate net realized and unrealized gain (loss) for the period as presented in the financial statements. |
(h) | Per share amount is less than $0.005. |
(i) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the Underlying Fund(s) in which the Fund is invested. This ratio does not include these indirect fees and expenses. |
(j) | The Expenses net of reimbursements and Net investment Income (Loss) net of reimbursement ratios include a voluntary reimbursement of advisory fees made by JPMorgan Chase Bank, N.A. Absent this additional reimbursement, Expenses net of reimbursements would have increased by 0.20% and the Net investment Income (Loss) net of reimbursement would have decreased by 0.20%. |
(k) | Northern Trust Investments, Inc. reimbursed the Funds for losses incurred related to an error. The impact was an increase of $0.02 to the net realized and unrealized gain (loss) on investments per share and an increase of 0.06% to the total return of the FlexShares Morningstar Global Upstream Natural Resources Index Fund. For the FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund and FlexShares STOXX Global ESG Impact Index Fund, the impact to the net realized and unrealized gain (loss) on investments per share amount is less than $0.005 and the total returns are less than 0.005%. Had these reimbursements not been made, the total returns would have been lower. |
See Accompanying Notes to the Financial Statements.
60 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
| RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||||||||
Total Return(b) | Ratios to Average Net Assets(c) | Supplemental Data | ||||||||||||||||||||||||||||||||
Net Asset Value, end of period | Net Asset Value(d) | Market Value (Unaudited)(e) | Expenses | Expenses net of reimbursements | Net investment Income before reimbursements | Net investment Income net of reimbursements | Portfolio Turnover Rate(b)(f) | Net assets, end of period (thousands) | ||||||||||||||||||||||||||
$ | 75.56 |
| 0.62 | % | 0.58 | % | 0.25 | % | 0.25 | % | 1.99 | % | %1.99 | 39 | % | $ | 317,344 | |||||||||||||||||
75.89 | 3.21 | 3.18 | 0.26 | 0.25 | 2.61 | 2.62 | 73 | 275,097 | ||||||||||||||||||||||||||
75.48 | 1.80 | 1.91 | 0.26 | 0.25 | 2.09 | 2.10 | 131 | 211,350 | ||||||||||||||||||||||||||
75.61 | 1.18 | 1.06 | 0.26 | 0.25 | 1.17 | 1.18 | 71 | 162,557 | ||||||||||||||||||||||||||
75.56 | 1.19 | 1.18 | 0.26 | 0.25 | 0.86 | 0.87 | 59 | 109,564 | ||||||||||||||||||||||||||
75.36 | 0.36 | 0.28 | 0.26 | 0.25 | 0.56 | 0.57 | 38 | 97,962 | ||||||||||||||||||||||||||
| 26.48 |
| 4.49 | 4.41 | 0.35 | (i) | 0.21 | (i) | 2.17 | 2.32 | 68 | 33,095 | ||||||||||||||||||||||
25.66 | 11.38 | 11.41 | 0.36 | (i) | 0.19 | (i) | 2.80 | 2.97 | 135 | 26,299 | ||||||||||||||||||||||||
23.74 | (2.73 | ) | (2.92 | ) | 0.36 | (i) | 0.16 | (i) | 2.41 | 2.61 | 53 | 38,583 | ||||||||||||||||||||||
| 25.08 |
| 2.86 | 3.19 | 0.43 | (i) | 0.16 | (i) | 2.08 | 2.35 | 99 | 3,762 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 61 |
Table of Contents
FlexShares® US Quality Low Volatility Index Fund
April 30, 2020 (Unaudited)
Investments | Shares | Value | ||||||
COMMON STOCKS – 99.2% | ||||||||
Aerospace & Defense – 2.0% | ||||||||
Lockheed Martin Corp. | 2,001 | $ | 778,509 | |||||
Northrop Grumman Corp. | 184 | 60,843 | ||||||
Teledyne Technologies, Inc.* | 46 | 14,981 | ||||||
854,333 | ||||||||
Banks – 1.6% | ||||||||
Commerce Bancshares, Inc. | 5,681 | 347,620 | ||||||
Investors Bancorp, Inc. | 22,655 | 210,918 | ||||||
JPMorgan Chase & Co. | 1,334 | 127,744 | ||||||
M&T Bank Corp. | 46 | 5,156 | ||||||
691,438 | ||||||||
Beverages – 5.2% | ||||||||
Coca-Cola Co. (The) | 17,641 | 809,545 | ||||||
PepsiCo, Inc. | 11,017 | 1,457,439 | ||||||
2,266,984 | ||||||||
Capital Markets – 2.1% | ||||||||
Intercontinental Exchange, Inc. | 4,853 | 434,101 | ||||||
Nasdaq, Inc. | 2,346 | 257,286 | ||||||
S&P Global, Inc. | 736 | 215,559 | ||||||
906,946 | ||||||||
Chemicals – 0.7% | ||||||||
Ecolab, Inc. | 1,633 | 315,986 | ||||||
Commercial Services & Supplies – 1.9% | ||||||||
Advanced Disposal Services, Inc.* | 7,797 | 251,453 | ||||||
Cintas Corp. | 115 | 25,511 | ||||||
Clean Harbors, Inc.* | 2,530 | 135,178 | ||||||
Republic Services, Inc. | 2,852 | 223,426 | ||||||
Tetra Tech, Inc. | 2,737 | 206,041 | ||||||
841,609 | ||||||||
Communications Equipment – 0.4% | ||||||||
EchoStar Corp., Class A* | 5,773 | 182,138 | ||||||
Consumer Finance – 0.9% | ||||||||
Credit Acceptance Corp.* | 897 | 279,478 | ||||||
FirstCash, Inc. | 1,725 | 123,924 | ||||||
403,402 |
Investments | Shares | Value | ||||||
Distributors – 0.6% | ||||||||
Pool Corp. | 1,265 | $ | 267,750 | |||||
Diversified Consumer Services – 0.3% | ||||||||
H&R Block, Inc. | 8,395 | 139,777 | ||||||
Diversified Financial Services – 2.3% | ||||||||
Berkshire Hathaway, Inc., Class B* | 5,313 | 995,444 | ||||||
Diversified Telecommunication Services – 6.2% | ||||||||
AT&T, Inc. | 28,382 | 864,800 | ||||||
Verizon Communications, Inc. | 31,901 | 1,832,712 | ||||||
2,697,512 | ||||||||
Electric Utilities – 3.3% | ||||||||
American Electric Power Co., Inc. | 3,174 | 263,791 | ||||||
Duke Energy Corp. | 115 | 9,736 | ||||||
IDACORP, Inc. | 3,266 | 299,753 | ||||||
NextEra Energy, Inc. | 1,288 | 297,683 | ||||||
Pinnacle West Capital Corp. | 3,588 | 276,240 | ||||||
Portland General Electric Co. | 5,566 | 260,433 | ||||||
1,407,636 | ||||||||
Electronic Equipment, Instruments & Components – 0.5% | ||||||||
Dolby Laboratories, Inc., Class A | 3,680 | 220,910 | ||||||
Entertainment – 0.2% | ||||||||
Cinemark Holdings, Inc. | 5,773 | 82,438 | ||||||
Equity Real Estate Investment Trusts (REITs) – 6.0% | ||||||||
AvalonBay Communities, Inc. | 1,863 | 303,576 | ||||||
Camden Property Trust | 2,323 | 204,586 | ||||||
Crown Castle International Corp. | 1,472 | 234,681 | ||||||
Equinix, Inc. | 115 | 77,648 | ||||||
Equity LifeStyle Properties, Inc. | 5,336 | 321,814 | ||||||
Essex Property Trust, Inc. | 1,265 | 308,786 | ||||||
Extra Space Storage, Inc. | 253 | 22,325 | ||||||
Federal Realty Investment Trust | 1,656 | 137,895 | ||||||
Life Storage, Inc. | 1,725 | 151,093 | ||||||
National Health Investors, Inc. | 4,324 | 238,079 | ||||||
National Retail Properties, Inc. | 1,909 | 62,310 | ||||||
Public Storage | 1,886 | 349,759 | ||||||
Realty Income Corp. | 3,542 | 194,527 | ||||||
2,607,079 |
See Accompanying Notes to the Financial Statements.
62 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® US Quality Low Volatility Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Food & Staples Retailing – 0.9% | ||||||||
Casey’s General Stores, Inc. | 506 | $ | 76,613 | |||||
Sysco Corp. | 5,773 | 324,847 | ||||||
401,460 | ||||||||
Food Products – 3.0% | ||||||||
Flowers Foods, Inc. | 6,486 | 144,508 | ||||||
Hershey Co. (The) | 2,599 | 344,186 | ||||||
Hormel Foods Corp. | 5,773 | 270,465 | ||||||
JM Smucker Co. (The) | 621 | 71,359 | ||||||
Kellogg Co. | 1,012 | 66,286 | ||||||
McCormick & Co., Inc. (Non-Voting) | 2,507 | 393,198 | ||||||
1,290,002 | ||||||||
Health Care Equipment & Supplies – 0.7% | ||||||||
Stryker Corp. | 1,656 | 308,728 | ||||||
Health Care Providers & Services – 1.6% | ||||||||
Chemed Corp. | 552 | 229,947 | ||||||
Encompass Health Corp. | 3,289 | 217,896 | ||||||
Quest Diagnostics, Inc. | 1,771 | 195,005 | ||||||
UnitedHealth Group, Inc. | 92 | 26,907 | ||||||
669,755 | ||||||||
Hotels, Restaurants & Leisure – 4.7% | ||||||||
Cracker Barrel Old Country Store, Inc. | 1,564 | 152,333 | ||||||
Domino’s Pizza, Inc. | 805 | 291,354 | ||||||
Dunkin’ Brands Group, Inc. | 3,496 | 219,689 | ||||||
Restaurant Brands International, Inc. | 4,278 | 210,905 | ||||||
Starbucks Corp. | 4,669 | 358,252 | ||||||
Wendy’s Co. (The) | 11,017 | 218,798 | ||||||
Wyndham Destinations, Inc. | 7,958 | 203,486 | ||||||
Yum! Brands, Inc. | 4,186 | 361,796 | ||||||
2,016,613 | ||||||||
Household Durables – 0.6% | ||||||||
Helen of Troy Ltd.* | 1,679 | 275,826 | ||||||
Household Products – 0.7% | ||||||||
Clorox Co. (The) | 1,656 | 308,745 | ||||||
Industrial Conglomerates – 0.9% | ||||||||
Honeywell International, Inc. | 2,737 | 388,380 |
Investments | Shares | Value | ||||||
Insurance – 6.2% | ||||||||
Alleghany Corp. | 322 | $ | 171,855 | |||||
Allstate Corp. (The) | 3,611 | 367,311 | ||||||
American Financial Group, Inc. | 2,415 | 159,970 | ||||||
Arthur J Gallagher & Co. | 1,196 | 93,886 | ||||||
Assured Guaranty Ltd. | 4,830 | 143,596 | ||||||
Chubb Ltd. | 2,254 | 243,454 | ||||||
Fidelity National Financial, Inc. | 1,288 | 34,840 | ||||||
First American Financial Corp. | 2,438 | 112,440 | ||||||
Hanover Insurance Group, Inc. (The) | 2,852 | 286,284 | ||||||
Old Republic International Corp. | 5,612 | 89,511 | ||||||
Progressive Corp. (The) | 92 | 7,112 | ||||||
RenaissanceRe Holdings Ltd. | 1,334 | 194,777 | ||||||
RLI Corp. | 2,737 | 199,336 | ||||||
Travelers Cos., Inc. (The) | 3,243 | 328,224 | ||||||
WR Berkley Corp. | 5,014 | 270,756 | ||||||
2,703,352 | ||||||||
Interactive Media & Services – 1.9% | ||||||||
Alphabet, Inc., Class A* | 184 | 247,793 | ||||||
Alphabet, Inc., Class C* | 207 | 279,173 | ||||||
Facebook, Inc., Class A* | 1,472 | 301,333 | ||||||
828,299 | ||||||||
IT Services – 10.2% | ||||||||
Accenture plc, Class A | 3,266 | 604,830 | ||||||
Automatic Data Processing, Inc. | 828 | 121,459 | ||||||
Evo Payments, Inc., Class A* | 8,717 | 173,555 | ||||||
Genpact Ltd. | 8,878 | 305,670 | ||||||
Jack Henry & Associates, Inc. | 1,081 | 176,798 | ||||||
Mastercard, Inc., Class A | 5,888 | 1,619,023 | ||||||
Switch, Inc., Class A | 598 | 10,268 | ||||||
Visa, Inc., Class A | 7,314 | 1,307,158 | ||||||
Wix.com Ltd.* | 644 | 84,242 | ||||||
4,403,003 | ||||||||
Life Sciences Tools & Services – 0.9% | ||||||||
ICON plc* | 2,277 | 365,390 | ||||||
QIAGEN NV* | 897 | 37,396 | ||||||
402,786 | ||||||||
Media – 1.8% | ||||||||
Cable One, Inc. | 145 | 277,365 | ||||||
Charter Communications, Inc., Class A* | 874 | 432,831 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 63 |
Table of Contents
FlexShares® US Quality Low Volatility Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Media – (continued) | ||||||||
Liberty Global plc, Class C* | 4,163 | $ | 76,224 | |||||
786,420 | ||||||||
Metals & Mining – 1.1% | ||||||||
Royal Gold, Inc. | 3,749 | 459,365 | ||||||
Multi-Utilities – 2.1% | ||||||||
Consolidated Edison, Inc. | 2,990 | 235,612 | ||||||
DTE Energy Co. | 2,047 | 212,356 | ||||||
NorthWestern Corp. | 1,564 | 90,227 | ||||||
WEC Energy Group, Inc. | 4,209 | 381,125 | ||||||
919,320 | ||||||||
Oil, Gas & Consumable Fuels – 1.4% | ||||||||
Chevron Corp. | 4,278 | 393,576 | ||||||
Exxon Mobil Corp. | 897 | 41,684 | ||||||
Kinder Morgan, Inc. | 10,074 | 153,427 | ||||||
588,687 | ||||||||
Pharmaceuticals – 10.5% | ||||||||
Eli Lilly and Co. | 6,877 | 1,063,459 | ||||||
Johnson & Johnson | 15,433 | 2,315,567 | ||||||
Merck & Co., Inc. | 13,386 | 1,062,045 | ||||||
Pfizer, Inc. | 782 | 29,998 | ||||||
Zoetis, Inc. | 621 | 80,302 | ||||||
4,551,371 | ||||||||
Professional Services – 0.6% | ||||||||
Verisk Analytics, Inc. | 1,702 | 260,117 | ||||||
Semiconductors & Semiconductor Equipment – 0.2% | ||||||||
NXP Semiconductors NV | 897 | 89,314 | ||||||
Software – 6.4% | ||||||||
Adobe, Inc.* | 92 | 32,535 | ||||||
Check Point Software Technologies Ltd.* | 3,473 | 367,235 | ||||||
Globant SA* | 2,047 | 236,776 | ||||||
Intuit, Inc. | 483 | 130,318 | ||||||
J2 Global, Inc. | 4,025 | 324,576 | ||||||
Microsoft Corp. | 8,694 | 1,558,052 | ||||||
Tyler Technologies, Inc.* | 414 | 132,766 | ||||||
2,782,258 |
Investments | Shares | Value | ||||||
Specialty Retail – 2.7% | ||||||||
Home Depot, Inc. (The) | 2,231 | $ | 490,441 | |||||
O’Reilly Automotive, Inc.* | 759 | 293,232 | ||||||
Ross Stores, Inc. | 1,702 | 155,495 | ||||||
TJX Cos., Inc. (The) | 4,761 | 233,527 | ||||||
1,172,695 | ||||||||
Technology Hardware, Storage & Peripherals – 3.7% | ||||||||
Apple, Inc. | 5,520 | 1,621,776 | ||||||
Thrifts & Mortgage Finance – 0.5% | ||||||||
Essent Group Ltd. | 7,912 | 216,156 | ||||||
Transportation Infrastructure – 0.4% | ||||||||
Macquarie Infrastructure Corp. | 5,704 | 157,373 | ||||||
Water Utilities – 0.7% | ||||||||
American States Water Co. | 3,726 | 295,733 | ||||||
Wireless Telecommunication Services – 0.6% | ||||||||
T-Mobile US, Inc.* | 3,082 | 270,600 | ||||||
Total Common Stocks (Cost $45,456,493) |
| 43,049,516 | ||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS – 0.1% | ||||||||
U.S. TREASURY OBLIGATIONS – 0.1% | ||||||||
U.S. Treasury Bills 0.15%, 7/16/2020(a) (b) | $ | 40,000 | 39,993 | |||||
Total Investments – 99.3% (Cost $45,496,480) |
| 43,089,509 | ||||||
Other Assets Less Liabilities – 0.7% |
| 318,252 | ||||||
NET ASSETS – 100.0% |
| $ | 43,407,761 |
* | Non-income producing security. |
(a) | All or a portion of the security pledged as collateral for Futures Contracts. |
(b) | The rate shown was the current yield as of April 30, 2020. |
Percentages shown are based on Net Assets.
See Accompanying Notes to the Financial Statements.
64 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® US Quality Low Volatility Index Fund (cont.)
As of April 30, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 750,773 | ||
Aggregate gross unrealized depreciation | (3,152,211 | ) | ||
Net unrealized depreciation | $ | (2,401,438 | ) | |
Federal income tax cost | $ | 45,497,065 |
Futures Contracts
FlexShares® US Quality Low Volatility Index Fund had the following open futures contracts as of April 30, 2020:
Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value and Unrealized Appreciation* | ||||||||||||||||
Long Contracts |
| |||||||||||||||||||
S&P 500 E-Mini Index | 2 | 06/19/2020 | USD | $ | 290,240 | $ | 6,118 |
* | This amount represents the cumulative appreciation/depreciation on futures contracts. Current day’s variation margin is reported within the Statement of Assets and Liabilities for futures contracts. |
Abbreviations:
USD – US Dollar
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 65 |
Table of Contents
Schedule of Investments
FlexShares® Developed Markets ex-US Quality Low Volatility Index Fund
April 30, 2020 (Unaudited)
Investments | Shares | Value | ||||||
COMMON STOCKS – 98.1% | ||||||||
Aerospace & Defense – 0.2% | ||||||||
Thales SA | 1,242 | $ | 94,055 | |||||
Air Freight & Logistics – 0.4% | ||||||||
SG Holdings Co. Ltd. | 5,400 | 151,090 | ||||||
Airlines – 0.6% | ||||||||
Deutsche Lufthansa AG (Registered)* | 6,570 | 58,706 | ||||||
Japan Airlines Co. Ltd. | 10,800 | 195,932 | ||||||
254,638 | ||||||||
Auto Components – 0.1% | ||||||||
Bridgestone Corp. | 1,800 | 56,861 | ||||||
Automobiles – 0.3% | ||||||||
Toyota Motor Corp. | 1,800 | 112,206 | ||||||
Banks – 7.5% | ||||||||
Bank Hapoalim BM | 17,532 | 113,550 | ||||||
Bank Leumi Le-Israel BM | 54,990 | 299,277 | ||||||
Bank of Nova Scotia (The) | 10,548 | 423,758 | ||||||
BNP Paribas SA | 5,958 | 187,127 | ||||||
Commonwealth Bank of Australia | 15,462 | 634,609 | ||||||
Hang Seng Bank Ltd. | 18,000 | 316,936 | ||||||
Royal Bank of Canada | 8,856 | 545,980 | ||||||
Skandinaviska Enskilda Banken AB, Class A | 1,728 | 14,214 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 10,900 | 289,892 | ||||||
Swedbank AB, Class A | 1,692 | 19,984 | ||||||
Toronto-Dominion Bank (The) | 3,996 | 167,326 | ||||||
Westpac Banking Corp. | 11,178 | 119,141 | ||||||
3,131,794 | ||||||||
Beverages – 1.1% | ||||||||
Carlsberg A/S, Class B | 432 | 54,461 | ||||||
Diageo plc | 7,182 | 249,123 | ||||||
Suntory Beverage & Food Ltd. | 3,600 | 136,513 | ||||||
Thai Beverage PCL | 73,800 | 36,174 | ||||||
476,271 | ||||||||
Capital Markets – 1.0% | ||||||||
Deutsche Boerse AG | 2,700 | 419,199 |
Investments | Shares | Value | ||||||
Chemicals – 2.7% | ||||||||
Air Liquide SA | 4,176 | $ | 531,038 | |||||
Akzo Nobel NV | 2,646 | 200,553 | ||||||
Givaudan SA (Registered) | 72 | 241,181 | ||||||
Symrise AG | 1,368 | 138,330 | ||||||
1,111,102 | ||||||||
Commercial Services & Supplies – 1.6% | ||||||||
Brambles Ltd. | 33,714 | 244,564 | ||||||
Secom Co. Ltd. | 3,800 | 319,998 | ||||||
Securitas AB, Class B | 8,730 | 103,190 | ||||||
667,752 | ||||||||
Communications Equipment – 0.2% | ||||||||
Telefonaktiebolaget LM Ericsson, Class B | 8,658 | 75,436 | ||||||
Construction & Engineering – 0.1% | ||||||||
Eiffage SA | 306 | 25,037 | ||||||
Consumer Finance – 0.0%(a) | ||||||||
Isracard Ltd. | — | (b) | 1 | |||||
Diversified Financial Services – 0.4% | ||||||||
M&G plc | 84,060 | 140,223 | ||||||
Sofina SA | 36 | 8,478 | ||||||
148,701 | ||||||||
Diversified Telecommunication Services – 4.2% | ||||||||
BCE, Inc. | 2,826 | 114,529 | ||||||
Deutsche Telekom AG (Registered) | 24,030 | 350,715 | ||||||
Elisa OYJ | 6,300 | 382,558 | ||||||
HKT Trust & HKT Ltd. | 90,000 | 144,653 | ||||||
Nippon Telegraph & Telephone Corp. | 10,800 | 246,733 | ||||||
Orange SA | 17,442 | 212,726 | ||||||
Proximus SADP | 7,272 | 155,079 | ||||||
Singapore Telecommunications Ltd. | 54,000 | 108,560 | ||||||
Spark New Zealand Ltd. | 6,894 | 18,884 | ||||||
Telia Co. AB | 4,482 | 15,487 | ||||||
1,749,924 | ||||||||
Electric Utilities – 2.9% | ||||||||
Chubu Electric Power Co., Inc. | 10,800 | 147,303 | ||||||
Chugoku Electric Power Co., Inc. (The) | 9,000 | 121,700 |
See Accompanying Notes to the Financial Statements.
66 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Developed Markets ex-US Quality Low Volatility Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Electric Utilities – (continued) | ||||||||
CLP Holdings Ltd. | 36,500 | $ | 389,843 | |||||
Emera, Inc. | 2,736 | 109,148 | ||||||
Fortis, Inc. | 4,104 | 159,379 | ||||||
Hydro One Ltd.(c) | 6,372 | 115,792 | ||||||
Power Assets Holdings Ltd. | 18,000 | 120,389 | ||||||
Red Electrica Corp. SA | 1,584 | 27,855 | ||||||
1,191,409 | ||||||||
Electrical Equipment – 0.4% | ||||||||
Vestas Wind Systems A/S | 1,746 | 150,280 | ||||||
Equity Real Estate Investment Trusts (REITs) – 3.0% | ||||||||
Covivio | 1,152 | 72,111 | ||||||
Derwent London plc | 2,574 | 100,843 | ||||||
GPT Group (The) | 31,806 | 88,083 | ||||||
H&R REIT | 7,362 | 52,262 | ||||||
Japan Real Estate Investment Corp. | 18 | 98,303 | ||||||
Japan Retail Fund Investment Corp. | 54 | 59,790 | ||||||
Link REIT | 34,200 | 307,045 | ||||||
Nippon Building Fund, Inc. | 18 | 108,234 | ||||||
RioCan REIT | 6,120 | 70,059 | ||||||
Scentre Group | 57,420 | 87,591 | ||||||
United Urban Investment Corp. | 180 | 183,139 | ||||||
1,227,460 | ||||||||
Food & Staples Retailing – 4.8% | ||||||||
Colruyt SA | 7,182 | 429,665 | ||||||
ICA Gruppen AB | 3,168 | 138,238 | ||||||
Kesko OYJ, Class B | 7,056 | 114,767 | ||||||
Koninklijke Ahold Delhaize NV | 17,082 | 414,612 | ||||||
Loblaw Cos. Ltd. | 2,736 | 134,934 | ||||||
Metro, Inc. | 2,826 | 116,523 | ||||||
Seven & i Holdings Co. Ltd. | 7,200 | 239,226 | ||||||
Wm Morrison Supermarkets plc | 13,410 | 30,954 | ||||||
Woolworths Group Ltd. | 15,858 | 371,165 | ||||||
1,990,084 | ||||||||
Food Products – 5.5% | ||||||||
Danone SA | 5,310 | 367,923 | ||||||
MEIJI Holdings Co. Ltd. | 1,800 | 125,740 | ||||||
Nestle SA (Registered) | 15,192 | 1,603,963 | ||||||
Saputo, Inc. | 4,518 | 113,848 |
Investments | Shares | Value | ||||||
Food Products – (continued) | ||||||||
Tate & Lyle plc | 7,200 | $ | 64,680 | |||||
2,276,154 | ||||||||
Gas Utilities – 1.3% | ||||||||
Enagas SA | 3,474 | 81,010 | ||||||
Hong Kong & China Gas Co. Ltd. | 180,000 | 321,812 | ||||||
Tokyo Gas Co. Ltd. | 5,600 | 123,484 | ||||||
526,306 | ||||||||
Health Care Equipment & Supplies – 2.0% | ||||||||
Carl Zeiss Meditec AG | 90 | 8,867 | ||||||
Coloplast A/S, Class B | 2,880 | 455,428 | ||||||
ConvaTec Group plc(c) | 28,386 | 76,049 | ||||||
Fisher & Paykel Healthcare Corp. Ltd. | 1,674 | 28,288 | ||||||
Siemens Healthineers AG(c) | 2,844 | 125,224 | ||||||
Smith & Nephew plc | 7,650 | 150,337 | ||||||
844,193 | ||||||||
Health Care Providers & Services – 0.5% | ||||||||
Medipal Holdings Corp. | 5,400 | 105,743 | ||||||
Sonic Healthcare Ltd. | 6,894 | 122,722 | ||||||
228,465 | ||||||||
Hotels, Restaurants & Leisure – 3.4% | ||||||||
Accor SA | 7,722 | 214,154 | ||||||
Compass Group plc | 13,878 | 233,867 | ||||||
Crown Resorts Ltd. | 14,454 | 93,589 | ||||||
Flutter Entertainment plc | 1,277 | 157,048 | ||||||
McDonald’s Holdings Co. Japan Ltd. | 7,200 | 355,506 | ||||||
Oriental Land Co. Ltd. | 1,800 | 230,271 | ||||||
Sodexo SA | 1,296 | 102,914 | ||||||
Whitbread plc | 792 | 29,770 | ||||||
1,417,119 | ||||||||
Household Durables – 0.9% | ||||||||
Barratt Developments plc | 11,394 | 74,590 | ||||||
Bellway plc | 2,502 | 84,041 | ||||||
Berkeley Group Holdings plc | 1,350 | 71,229 | ||||||
Sekisui House Ltd. | 7,200 | 125,134 | ||||||
354,994 | ||||||||
Household Products – 1.2% | ||||||||
Reckitt Benckiser Group plc | 6,174 | 516,316 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 67 |
Table of Contents
FlexShares® Developed Markets ex-US Quality Low Volatility Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Independent Power and Renewable Electricity Producers – 0.3% | ||||||||
Uniper SE | 4,266 | $ | 114,477 | |||||
Insurance – 7.7% | ||||||||
Admiral Group plc | 12,348 | 362,901 | ||||||
Ageas | 6,714 | 241,574 | ||||||
Assicurazioni Generali SpA | 19,548 | 278,663 | ||||||
Direct Line Insurance Group plc | 83,070 | 285,526 | ||||||
Gjensidige Forsikring ASA | 8,082 | 143,141 | ||||||
Great-West Lifeco, Inc. | 5,346 | 88,218 | ||||||
Hannover Rueck SE | 1,944 | 309,808 | ||||||
Helvetia Holding AG (Registered) | 918 | 84,034 | ||||||
Japan Post Holdings Co. Ltd. | 16,200 | 131,012 | ||||||
Mapfre SA | 41,832 | 76,563 | ||||||
MS&AD Insurance Group Holdings, Inc. | 11,100 | 324,068 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | 1,566 | 344,420 | ||||||
RSA Insurance Group plc | 18,972 | 86,436 | ||||||
Sampo OYJ, Class A | 3,960 | 131,163 | ||||||
SCOR SE | 3,402 | 95,764 | ||||||
Swiss Re AG | 234 | 16,889 | ||||||
Tryg A/S | 5,436 | 143,908 | ||||||
Zurich Insurance Group AG | 216 | 68,774 | ||||||
3,212,862 | ||||||||
IT Services – 2.4% | ||||||||
CGI, Inc.* | 2,124 | 135,748 | ||||||
Edenred | 7,002 | 282,000 | ||||||
Fujitsu Ltd. | 300 | 29,555 | ||||||
Itochu Techno-Solutions Corp. | 3,600 | 111,096 | ||||||
Nexi SpA* (c) | 21,348 | 323,263 | ||||||
NTT Data Corp. | 10,800 | 111,600 | ||||||
993,262 | ||||||||
Leisure Products – 1.0% | ||||||||
Bandai Namco Holdings, Inc. | 5,700 | 289,491 | ||||||
Sega Sammy Holdings, Inc. | 10,800 | 132,406 | ||||||
421,897 | ||||||||
Machinery – 1.3% | ||||||||
Alstom SA | 7,290 | 298,310 |
Investments | Shares | Value | ||||||
Machinery – (continued) | ||||||||
Mitsubishi Heavy Industries Ltd. | 9,000 | $ | 232,585 | |||||
530,895 | ||||||||
Marine – 0.2% | ||||||||
Kuehne + Nagel International AG (Registered) | 630 | 90,112 | ||||||
Metals & Mining – 4.2% | ||||||||
Barrick Gold Corp. | 22,453 | 579,208 | ||||||
Franco-Nevada Corp. | 1,695 | 224,739 | ||||||
Kinross Gold Corp.* | 70,308 | 465,193 | ||||||
Newcrest Mining Ltd.(d) | 7,650 | 137,933 | ||||||
Polymetal International plc | 7,902 | 162,714 | ||||||
Wheaton Precious Metals Corp. | 5,090 | 193,823 | ||||||
1,763,610 | ||||||||
Multiline Retail – 0.8% | ||||||||
Canadian Tire Corp. Ltd., Class A | 1,134 | 79,742 | ||||||
Wesfarmers Ltd. | 10,206 | 251,840 | ||||||
331,582 | ||||||||
Multi-Utilities – 1.0% | ||||||||
Algonquin Power & Utilities Corp. | 8,676 | 120,556 | ||||||
Canadian Utilities Ltd., Class A | 11,520 | 281,666 | ||||||
402,222 | ||||||||
Oil, Gas & Consumable Fuels – 3.0% | ||||||||
BP plc | 72,450 | 286,126 | ||||||
Imperial Oil Ltd. | 4,554 | 73,739 | ||||||
Koninklijke Vopak NV | 2,394 | 137,977 | ||||||
Neste OYJ | 9,702 | 343,558 | ||||||
Repsol SA | 12,960 | 118,018 | ||||||
Royal Dutch Shell plc, Class A | 16,398 | 274,058 | ||||||
Royal Dutch Shell plc, Class B | 2,088 | 33,880 | ||||||
1,267,356 | ||||||||
Personal Products – 0.1% | ||||||||
Unilever plc | 522 | 27,009 | ||||||
Pharmaceuticals – 11.5% | ||||||||
GlaxoSmithKline plc | 43,650 | 914,512 | ||||||
Merck KGaA | 1,836 | 213,364 | ||||||
Novartis AG (Registered) | 2,826 | 240,861 | ||||||
Novo Nordisk A/S, Class B | 13,482 | 859,717 |
See Accompanying Notes to the Financial Statements.
68 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Developed Markets ex-US Quality Low Volatility Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Pharmaceuticals – (continued) | ||||||||
Ono Pharmaceutical Co. Ltd. | 1,800 | $ | 43,613 | |||||
Roche Holding AG | 6,084 | 2,114,571 | ||||||
Roche Holding AG – BR | 72 | 25,051 | ||||||
UCB SA* | 4,086 | 373,874 | ||||||
4,785,563 | ||||||||
Professional Services – 2.0% | ||||||||
RELX plc | 18,720 | 424,198 | ||||||
Wolters Kluwer NV | 5,562 | 408,899 | ||||||
833,097 | ||||||||
Real Estate Management & Development – 1.3% | ||||||||
Aroundtown SA | 18,432 | 99,126 | ||||||
Azrieli Group Ltd. | 126 | 7,518 | ||||||
Deutsche Wohnen SE | 1,818 | 73,677 | ||||||
ESR Cayman Ltd.* (c) | 7,200 | 15,789 | ||||||
Hongkong Land Holdings Ltd. | 9,000 | 37,890 | ||||||
PSP Swiss Property AG (Registered) | 2,520 | 292,953 | ||||||
526,953 | ||||||||
Road & Rail – 4.3% | ||||||||
Aurizon Holdings Ltd. | 18,198 | 55,878 | ||||||
Central Japan Railway Co. | 2,000 | 318,044 | ||||||
East Japan Railway Co. | 5,600 | 412,295 | ||||||
Hankyu Hanshin Holdings, Inc. | 1,800 | 62,281 | ||||||
Keio Corp. | 1,800 | 102,679 | ||||||
Kintetsu Group Holdings Co. Ltd. | 3,600 | 173,713 | ||||||
MTR Corp. Ltd. | 18,000 | 99,957 | ||||||
Nagoya Railroad Co. Ltd. | 5,400 | 156,291 | ||||||
Seibu Holdings, Inc. | 3,600 | 43,597 | ||||||
West Japan Railway Co. | 5,600 | 349,139 | ||||||
1,773,874 | ||||||||
Semiconductors & Semiconductor Equipment – 0.1% | ||||||||
ASML Holding NV | 108 | 32,016 | ||||||
Software – 1.2% | ||||||||
Nice Ltd.* | 846 | 141,443 | ||||||
Open Text Corp. | 3,276 | 124,063 | ||||||
Oracle Corp. Japan | 1,800 | 187,179 | ||||||
SAP SE | 324 | 38,660 | ||||||
491,345 | ||||||||
Specialty Retail – 0.9% | ||||||||
ABC-Mart, Inc. | 5,400 | 278,244 |
Investments | Shares | Value | ||||||
Specialty Retail – (continued) | ||||||||
Yamada Denki Co. Ltd. | 23,400 | $ | 112,038 | |||||
390,282 | ||||||||
Technology Hardware, Storage & Peripherals – 1.1% | ||||||||
Canon, Inc. | 9,000 | 192,271 | ||||||
FUJIFILM Holdings Corp. | 5,700 | 273,926 | ||||||
466,197 | ||||||||
Textiles, Apparel & Luxury Goods – 1.0% | ||||||||
Hermes International | 558 | 408,144 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 18 | 6,949 | ||||||
415,093 | ||||||||
Tobacco – 0.8% | ||||||||
Japan Tobacco, Inc. | 18,000 | 339,094 | ||||||
Trading Companies & Distributors – 0.9% | ||||||||
ITOCHU Corp. | 19,800 | 393,463 | ||||||
Transportation Infrastructure – 0.6% | ||||||||
Aena SME SA* (c) | 288 | 36,434 | ||||||
Aeroports de Paris | 630 | 61,689 | ||||||
Auckland International Airport Ltd. | 2,862 | 10,753 | ||||||
Flughafen Zurich AG (Registered)* | 648 | 79,964 | ||||||
Fraport AG Frankfurt Airport Services Worldwide | 1,116 | 48,943 | ||||||
237,783 | ||||||||
Water Utilities – 0.8% | ||||||||
Severn Trent plc | 4,122 | 124,263 | ||||||
United Utilities Group plc | 19,332 | 219,996 | ||||||
344,259 | ||||||||
Wireless Telecommunication Services – 3.3% | ||||||||
KDDI Corp. | 16,200 | 470,994 | ||||||
NTT DOCOMO, Inc. | 16,200 | 476,903 | ||||||
Rogers Communications, Inc., Class B | 234 | 9,822 | ||||||
Softbank Corp. | 30,600 | 418,931 | ||||||
1,376,650 | ||||||||
Total Common Stocks (Cost $43,725,677) |
| 40,757,800 | ||||||
Total Investments – 98.1% (Cost $43,725,677) |
| 40,757,800 | ||||||
Other Assets Less Liabilities – 1.9% |
| 770,284 | ||||||
NET ASSETS – 100.0% |
| $ | 41,528,084 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 69 |
Table of Contents
FlexShares® Developed Markets ex-US Quality Low Volatility Index Fund (cont.)
* | Non-income producing security. |
(a) | Represents less than 0.05% of net assets. |
(b) | Amount represents less than one share. |
(c) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
(d) | Security fair valued as of April 30, 2020 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at April 30, 2020 amounted to $137,933, which represents approximately 0.33% of net assets of the Fund. |
Percentages shown are based on Net Assets.
Abbreviations
OYJ – Public Limited Company
As of April 30, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 1,135,813 | ||
Aggregate gross unrealized depreciation | (4,078,566 | ) | ||
Net unrealized depreciation | $ | (2,942,753 | ) | |
Federal income tax cost | $ | 43,748,525 |
Futures Contracts
FlexShares® Developed Markets ex-US Quality Low Volatility Index Fund had the following open futures contracts as of April 30, 2020:
Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value and Unrealized Appreciation* | ||||||||||||||||
Long Contracts |
| |||||||||||||||||||
MSCI EAFE E-Mini Index | 9 | 06/19/2020 | USD | $ | 737,235 | $ | 57,745 |
* | This amount represents the cumulative appreciation/depreciation on futures contracts. Current day’s variation margin is reported within the Statement of Assets and Liabilities for futures contracts. |
Forward Foreign Currency Contracts
FlexShares® Developed Markets ex-US Quality Low Volatility Index Fund had the following outstanding contracts as of April 30, 2020:
Contracts to Receive | Counterparty | In Exchange For | Maturity Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
GBP | 21,000 | Toronto-Dominion Bank (The) | USD | 26,106 | 06/17/2020 | $ | 387 | |||||||||||||||
USD | 16,602 | Bank of New York | CHF | 16,000 | 06/17/2020 | 3 | ||||||||||||||||
Total unrealized appreciation |
| $ | 390 | |||||||||||||||||||
CHF | 48,000 | Toronto-Dominion Bank (The) | USD | 50,211 | 06/17/2020 | $ | (414 | ) | ||||||||||||||
EUR | 35,000 | Toronto-Dominion Bank (The) | USD | 38,732 | 06/17/2020 | (361 | ) | |||||||||||||||
USD | 19,807 | Bank of New York | AUD | 34,000 | 06/17/2020 | (2,456 | ) | |||||||||||||||
USD | 48,324 | Morgan Stanley | CHF | 47,000 | 06/17/2020 | (436 | ) | |||||||||||||||
USD | 92,697 | Morgan Stanley | EUR | 85,000 | 06/17/2020 | (490 | ) | |||||||||||||||
USD | 44,494 | BNP Paribas SA | GBP | 37,000 | 06/17/2020 | (2,185 | ) | |||||||||||||||
USD | 12,439 | Citibank NA | GBP | 10,000 | 06/17/2020 | (177 | ) | |||||||||||||||
USD | 12,324 | Morgan Stanley | GBP | 10,000 | 06/17/2020 | (291 | ) | |||||||||||||||
USD | 37,433 | Bank of New York | JPY | 4,003,000 | 06/17/2020 | (25 | ) | |||||||||||||||
USD | 90,469 | Citibank NA | JPY | 9,924,000 | 06/17/2020 | (2,397 | ) | |||||||||||||||
USD | 51,664 | Morgan Stanley | JPY | 5,563,000 | 06/17/2020 | (393 | ) | |||||||||||||||
USD | 16,055 | Morgan Stanley | SEK | 162,000 | 06/17/2020 | (538 | ) | |||||||||||||||
Total unrealized depreciation |
| $ | (10,163 | ) | ||||||||||||||||||
Net unrealized depreciation |
| $ | (9,773 | ) |
See Accompanying Notes to the Financial Statements.
70 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Developed Markets ex-US Quality Low Volatility Index Fund (cont.)
Abbreviations:
AUD – Australian Dollar
CHF – Swiss Franc
EUR – Euro
GBP – British Pound
JPY – Japanese Yen
SEK – Swedish Krona
USD – US Dollar
FlexShares® Developed Markets ex-US Quality Low Volatility Index Fund invested, as a percentage of net assets, in companies domiciled in the following countries as of April 30, 2020:
Australia | 5.3 | % | ||
Belgium | 2.9 | |||
Canada | 10.8 | |||
Denmark | 4.0 | |||
Finland | 2.3 | |||
France | 7.1 | |||
Germany | 5.6 | |||
Hong Kong | 4.1 | |||
Israel | 1.4 | |||
Italy | 1.5 | |||
Japan | 23.4 | |||
Netherlands | 2.9 | |||
New Zealand | 0.1 | |||
Norway | 0.4 | |||
Singapore | 0.4 | |||
Spain | 0.8 | |||
Sweden | 0.9 | |||
Switzerland | 11.7 | |||
United Kingdom | 12.5 | |||
Other1 | 1.9 | |||
100.0 | % |
1 | Includes any non-equity securities and net other assets (liabilities). |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 71 |
Table of Contents
Schedule of Investments
FlexShares® Emerging Markets Quality Low Volatility Index Fund
April 30, 2020 (Unaudited)
Investments | Shares | Value | ||||||
COMMON STOCKS – 96.9% | ||||||||
Air Freight & Logistics – 0.9% | ||||||||
ZTO Express Cayman, Inc., ADR | 1,902 | $ | 56,604 | |||||
Airlines – 0.3% | ||||||||
InterGlobe Aviation Ltd.(a) | 1,695 | 22,464 | ||||||
Banks – 15.8% | ||||||||
Attijariwafa Bank | 570 | 20,600 | ||||||
Banco BBVA Peru SA* | 5,142 | 3,641 | ||||||
Banco Bradesco SA (Preference) | 2,310 | 8,172 | ||||||
Bank Central Asia Tbk. PT | 62,700 | 108,961 | ||||||
Bank of China Ltd., Class H | 168,000 | 64,362 | ||||||
Bank of Communications Co. Ltd., Class H | 81,000 | 51,406 | ||||||
Bank Rakyat Indonesia Persero Tbk. PT | 7,200 | 1,321 | ||||||
Banque Centrale Populaire | 1,266 | 26,204 | ||||||
BDO Unibank, Inc. | 11,490 | 23,021 | ||||||
Chang Hwa Commercial Bank Ltd. | 54,000 | 35,593 | ||||||
China Construction Bank Corp., Class H | 96,000 | 78,263 | ||||||
China Merchants Bank Co. Ltd., Class H | 500 | 2,396 | ||||||
Commercial International Bank Egypt SAE | 8,727 | 35,434 | ||||||
Credicorp Ltd. | 222 | 33,245 | ||||||
E.Sun Financial Holding Co. Ltd. | 36,000 | 33,050 | ||||||
First Financial Holding Co. Ltd. | 57,000 | 42,266 | ||||||
Grupo Elektra SAB de CV | 810 | 47,119 | ||||||
Hong Leong Bank Bhd. | 8,100 | 25,053 | ||||||
Hua Nan Financial Holdings Co. Ltd. | 60,000 | 39,245 | ||||||
Industrial & Commercial Bank of China Ltd., Class H | 45,000 | 30,591 | ||||||
ING Bank Slaski SA* | 1,011 | 32,568 | ||||||
Intercorp Financial Services, Inc.(a) | 24 | 608 | ||||||
Itau Unibanco Holding SA (Preference) | 3,300 | 13,881 | ||||||
Komercni banka A/S* | 1,659 | 35,229 | ||||||
Krung Thai Bank PCL | 26,600 | 8,797 | ||||||
Krung Thai Bank PCL, NVDR | 13,300 | 4,522 | ||||||
Malayan Banking Bhd. | 23,400 | 41,195 | ||||||
Mega Financial Holding Co. Ltd. | 48,000 | 48,587 |
Investments | Shares | Value | ||||||
Banks – (continued) | ||||||||
Postal Savings Bank of China Co. Ltd., Class H(a) | 24,000 | $ | 14,396 | |||||
Public Bank Bhd. | 11,100 | 42,283 | ||||||
Sberbank of Russia PJSC | 8,340 | 22,246 | ||||||
SinoPac Financial Holdings Co. Ltd. | 51,000 | 20,924 | ||||||
Taiwan Cooperative Financial Holding Co. Ltd. | 63,000 | 42,584 | ||||||
1,037,763 | ||||||||
Beverages – 0.6% | ||||||||
Ambev SA* | 300 | 628 | ||||||
Emperador, Inc. | 266,400 | 41,749 | ||||||
42,377 | ||||||||
Biotechnology – 0.5% | ||||||||
China Biologic Products Holdings, Inc.* | 330 | 34,399 | ||||||
Capital Markets – 0.6% | ||||||||
Macquarie Korea Infrastructure Fund | 4,086 | 38,397 | ||||||
Chemicals – 2.8% | ||||||||
Acron PJSC | 726 | 56,648 | ||||||
Asian Paints Ltd. | 1,368 | 32,038 | ||||||
Nan Ya Plastics Corp. | 19,000 | 42,298 | ||||||
Pidilite Industries Ltd. | 2,706 | 55,024 | ||||||
186,008 | ||||||||
Commercial Services & Supplies – 0.8% | ||||||||
S-1 Corp. | 783 | 55,587 | ||||||
Construction Materials – 1.0% | ||||||||
LafargeHolcim Maroc SA | 195 | 24,138 | ||||||
Ssangyong Cement Industrial Co. Ltd. | 9,489 | 39,873 | ||||||
64,011 | ||||||||
Diversified Consumer Services – 1.3% | ||||||||
China East Education Holdings Ltd.* (a) | 27,000 | 43,605 | ||||||
GSX Techedu, Inc., ADR* | 1,002 | 39,639 | ||||||
83,244 |
See Accompanying Notes to the Financial Statements.
72 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Emerging Markets Quality Low Volatility Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Diversified Telecommunication Services – 4.0% | ||||||||
China Telecom Corp. Ltd., Class H | 102,000 | $ | 35,130 | |||||
China Tower Corp. Ltd., Class H* (a) | 42,000 | 9,427 | ||||||
Chunghwa Telecom Co. Ltd. | 15,000 | 55,235 | ||||||
KT Corp. | 2,052 | 40,166 | ||||||
Maroc Telecom | 3,789 | 49,478 | ||||||
O2 Czech Republic A/S* | 5,421 | 47,563 | ||||||
Rostelecom PJSC | 20,940 | 23,248 | ||||||
260,247 | ||||||||
Electric Utilities – 1.7% | ||||||||
CEZ A/S | 1,854 | 34,637 | ||||||
CPFL Energia SA | 300 | 1,609 | ||||||
Equatorial Energia SA | 900 | 3,048 | ||||||
Luz del Sur SAA | 7,266 | 55,963 | ||||||
Transmissora Alianca de Energia Eletrica SA | 3,600 | 18,288 | ||||||
113,545 | ||||||||
Electronic Equipment, Instruments & Components – 0.7% | ||||||||
Honeywell Automation India Ltd. | 18 | 6,866 | ||||||
WPG Holdings Ltd. | 28,000 | 36,675 | ||||||
43,541 | ||||||||
Equity Real Estate Investment Trusts (REITs) – 1.2% | ||||||||
Embassy Office Parks REIT | 6,200 | 30,780 | ||||||
Growthpoint Properties Ltd. | 11,520 | 8,738 | ||||||
Hui Xian REIT | 84,000 | 27,039 | ||||||
Resilient REIT Ltd. | 6,342 | 12,428 | ||||||
78,985 | ||||||||
Food & Staples Retailing – 3.5% | ||||||||
BGF retail Co. Ltd. | 324 | 42,014 | ||||||
Clicks Group Ltd. | 213 | 2,676 | ||||||
President Chain Store Corp. | 6,000 | 62,146 | ||||||
Puregold Price Club, Inc. | 41,400 | 38,024 | ||||||
Sun Art Retail Group Ltd. | 31,500 | 52,498 | ||||||
Wal-Mart de Mexico SAB de CV | 12,600 | 30,677 | ||||||
228,035 | ||||||||
Food Products – 3.6% | ||||||||
Alicorp SAA* | 13,476 | 27,385 | ||||||
AVI Ltd. | 2,280 | 9,771 |
Investments | Shares | Value | ||||||
Food Products – (continued) | ||||||||
Dali Foods Group Co. Ltd.(a) | 51,000 | $ | 31,380 | |||||
Indofood CBP Sukses Makmur Tbk. PT | 49,500 | 32,861 | ||||||
Nestle Malaysia Bhd. | 1,600 | 52,130 | ||||||
PPB Group Bhd. | 8,700 | 33,303 | ||||||
Uni-President China Holdings Ltd. | 51,000 | 51,379 | ||||||
238,209 | ||||||||
Gas Utilities – 2.2% | ||||||||
China Gas Holdings Ltd. | 11,400 | 42,131 | ||||||
China Resources Gas Group Ltd. | 10,000 | 56,499 | ||||||
ENN Energy Holdings Ltd. | 4,200 | 47,459 | ||||||
146,089 | ||||||||
Health Care Equipment & Supplies – 0.1% | ||||||||
Hartalega Holdings Bhd. | 2,400 | 4,242 | ||||||
Health Care Providers & Services – 2.1% | ||||||||
Bangkok Dusit Medical Services PCL, NVDR | 63,300 | 40,694 | ||||||
Bangkok Dusit Medical Services PCL, Class F | 17,400 | 11,132 | ||||||
Hapvida Participacoes e Investimentos SA(a) | 3,000 | 29,062 | ||||||
IHH Healthcare Bhd. | 9,300 | 11,355 | ||||||
Odontoprev SA | 6,600 | 18,288 | ||||||
Sinopharm Group Co. Ltd., Class H | 11,200 | 30,339 | ||||||
140,870 | ||||||||
Hotels, Restaurants & Leisure – 0.5% | ||||||||
Kangwon Land, Inc. | 1,464 | 30,098 | ||||||
Household Durables – 1.4% | ||||||||
Coway Co. Ltd. | 942 | 47,469 | ||||||
PIK Group PJSC | 8,610 | 45,583 | ||||||
93,052 | ||||||||
Household Products – 0.1% | ||||||||
Hindustan Unilever Ltd. | 127 | 3,698 | ||||||
Independent Power and Renewable Electricity Producers – 0.5% | ||||||||
Electricity Generating PCL | 2,400 | 21,215 | ||||||
Electricity Generating PCL – Foreign | 600 | 5,304 | ||||||
Unipro PJSC | 177,000 | 6,711 | ||||||
33,230 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 73 |
Table of Contents
FlexShares® Emerging Markets Quality Low Volatility Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Insurance – 2.5% | ||||||||
IRB Brasil Resseguros S/A | 6,900 | $ | 13,027 | |||||
Liberty Holdings Ltd. | 4,647 | 17,839 | ||||||
Ping An Insurance Group Co. of China Ltd., Class H | 5,000 | 51,404 | ||||||
Samsung Fire & Marine Insurance Co. Ltd. | 30 | 4,690 | ||||||
Santam Ltd. | 2,757 | 41,290 | ||||||
SBI Life Insurance Co. Ltd.* (a) | 3,414 | 33,044 | ||||||
161,294 | ||||||||
Interactive Media & Services – 5.2% | ||||||||
Tencent Holdings Ltd. | 6,300 | 338,878 | ||||||
Internet & Direct Marketing Retail – 7.1% | ||||||||
Alibaba Group Holding Ltd., ADR* | 1,950 | 395,206 | ||||||
B2W Cia Digital* | 2,200 | 29,769 | ||||||
Naspers Ltd., Class N | 264 | 41,672 | ||||||
466,647 | ||||||||
IT Services – 4.2% | ||||||||
HCL Technologies Ltd. | 7,845 | 56,783 | ||||||
Infosys Ltd. | 2,403 | 22,896 | ||||||
Larsen & Toubro Infotech Ltd.(a) | 2,109 | 44,737 | ||||||
Mphasis Ltd. | 84 | 815 | ||||||
Samsung SDS Co. Ltd. | 87 | 11,603 | ||||||
Tata Consultancy Services Ltd. | 3,186 | 85,466 | ||||||
Tech Mahindra Ltd. | 2,442 | 17,763 | ||||||
Wipro Ltd. | 13,722 | 34,892 | ||||||
274,955 | ||||||||
Life Sciences Tools & Services – 0.5% | ||||||||
WuXi AppTec Co. Ltd., Class H(a) | 2,500 | 35,312 | ||||||
Metals & Mining – 1.2% | ||||||||
AngloGold Ashanti Ltd. | 2,397 | 60,653 | ||||||
MMC Norilsk Nickel PJSC | 9 | 2,492 | ||||||
Vale SA* | 2,100 | 17,403 | ||||||
80,548 | ||||||||
Multiline Retail – 0.6% | ||||||||
Grupo Sanborns SAB de CV(b) | 2,600 | 2,436 | ||||||
Lojas Renner SA | 3,900 | 27,658 | ||||||
Robinson PCL* (b) | 600 | 362 |
Investments | Shares | Value | ||||||
Multiline Retail – (continued) | ||||||||
Woolworths Holdings Ltd. | 6,036 | $ | 10,021 | |||||
40,477 | ||||||||
Oil, Gas & Consumable Fuels – 4.4% | ||||||||
China Coal Energy Co. Ltd., Class H | 99,000 | 26,434 | ||||||
China Shenhua Energy Co. Ltd., Class H | 33,000 | 58,999 | ||||||
CNOOC Ltd. | 9,000 | 10,205 | ||||||
Formosa Petrochemical Corp. | 4,000 | 12,066 | ||||||
LUKOIL PJSC | 450 | 29,371 | ||||||
MOL Hungarian Oil & Gas plc | 3,738 | 23,789 | ||||||
Novatek PJSC | 2,109 | 29,581 | ||||||
Petroleo Brasileiro SA | 600 | 2,067 | ||||||
Petroleo Brasileiro SA (Preference) | 2,100 | 7,002 | ||||||
Petronas Dagangan Bhd. | 7,200 | 34,058 | ||||||
Petronet LNG Ltd. | 16,176 | 52,344 | ||||||
Tatneft PJSC | 138 | 1,026 | ||||||
286,942 | ||||||||
Personal Products – 0.0%(c) | ||||||||
Procter & Gamble Hygiene & Health Care Ltd. | 6 | 843 | ||||||
Pharmaceuticals – 1.7% | ||||||||
Dr Reddy’s Laboratories Ltd. | 57 | 2,988 | ||||||
GlaxoSmithKline Pharmaceuticals Ltd. | 2,748 | 52,850 | ||||||
Hypera SA* | 3,410 | 18,318 | ||||||
Yuhan Corp. | 915 | 35,408 | ||||||
109,564 | ||||||||
Road & Rail – 0.2% | ||||||||
GMexico Transportes SAB de CV(a) | 16,800 | 15,685 | ||||||
Semiconductors & Semiconductor Equipment – 4.6% | ||||||||
SK Hynix, Inc. | 48 | 3,298 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 29,000 | 296,958 | ||||||
300,256 | ||||||||
Specialty Retail – 1.6% | ||||||||
Home Product Center PCL | 2,800 | 1,177 | ||||||
Home Product Center PCL, NVDR | 124,700 | 52,416 | ||||||
Petrobras Distribuidora SA* | 8,700 | 31,389 | ||||||
Zhongsheng Group Holdings Ltd. | 5,000 | 20,187 | ||||||
105,169 |
See Accompanying Notes to the Financial Statements.
74 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Emerging Markets Quality Low Volatility Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Technology Hardware, Storage & Peripherals – 4.6% | ||||||||
Chicony Electronics Co. Ltd. | 19,000 | $ | 53,927 | |||||
Samsung Electronics Co. Ltd. | 5,628 | 230,949 | ||||||
Samsung Electronics Co. Ltd. (Preference) | 492 | 17,060 | ||||||
301,936 | ||||||||
Textiles, Apparel & Luxury Goods – 0.9% | ||||||||
Alpargatas SA (Preference) | 3,300 | 16,697 | ||||||
Formosa Taffeta Co. Ltd. | 33,000 | 37,787 | ||||||
Grendene SA | 4,500 | 5,794 | ||||||
60,278 | ||||||||
Tobacco – 0.7% | ||||||||
KT&G Corp. | 654 | 43,530 | ||||||
Transportation Infrastructure – 3.7% | ||||||||
Airports of Thailand PCL, NVDR | 24,000 | 46,175 | ||||||
Bangkok Expressway & Metro PCL, NVDR | 163,200 | 47,666 | ||||||
Jiangsu Expressway Co. Ltd., Class H | 44,000 | 52,500 | ||||||
Promotora y Operadora de Infraestructura SAB de CV* | 1,995 | 14,029 | ||||||
Shenzhen Expressway Co. Ltd., Class H | 42,000 | 47,839 | ||||||
Shenzhen International Holdings Ltd. | 18,000 | 34,503 | ||||||
242,712 | ||||||||
Water Utilities – 0.6% | ||||||||
Guangdong Investment Ltd. | 20,000 | 41,587 | ||||||
Wireless Telecommunication Services – 6.4% | ||||||||
America Movil SAB de CV, Series L | 18,300 | 11,221 | ||||||
China Mobile Ltd. | 30,500 | 245,696 | ||||||
Far EasTone Telecommunications Co. Ltd. | 27,000 | 60,290 | ||||||
SK Telecom Co. Ltd. | 210 | 36,452 | ||||||
Taiwan Mobile Co. Ltd.* | 18,000 | 65,072 | ||||||
418,731 | ||||||||
Total Common Stocks (Cost $6,920,401) | 6,360,039 |
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – 0.0%(c) | ||||||||
Food Products – 0.0%(c) | ||||||||
Britannia Industries Ltd. | INR78 | $ | 1 | |||||
Total Investments – 96.9% (Cost $6,920,402) |
| 6,360,040 | ||||||
Other Assets Less Liabilities – 3.1% |
| 203,885 | ||||||
NET ASSETS – 100.0% |
| $ | 6,563,925 |
* | Non-income producing security. |
(a) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
(b) | Security fair valued as of April 30, 2020 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at April 30, 2020 amounted to $2,798, which represents approximately 0.04% of net assets of the Fund. |
(c) | Represents less than 0.05% of net assets. |
Percentages shown are based on Net Assets.
Abbreviations
ADR – American Depositary Receipt
INR – Indian Rupee
NVDR – Non-Voting Depositary Receipt
PJSC – Public Joint Stock Company
Preference – A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.
As of April 30, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 155,250 | ||
Aggregate gross unrealized depreciation | (870,198 | ) | ||
Net unrealized depreciation | $ | (714,948 | ) | |
Federal income tax cost | $ | 7,069,940 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 75 |
Table of Contents
FlexShares® Emerging Markets Quality Low Volatility Index Fund (cont.)
Futures Contracts
FlexShares® Emerging Markets Quality Low Volatility Index Fund had the following open futures contracts as of April 30, 2020:
Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value and Unrealized Depreciation* | ||||||||||||||||
Long Contracts |
| |||||||||||||||||||
MSCI Emerging Markets E-Mini Index | 4 | 06/19/2020 | USD | $ | 181,180 | $ | (5,048 | ) |
* | This amount represents the cumulative appreciation/depreciation on futures contracts. Current day’s variation margin is reported within the Statement of Assets and Liabilities for futures contracts. |
Abbreviations:
USD – US Dollar
FlexShares® Emerging Markets Quality Low Volatility Index Fund invested, as a percentage of net assets, in companies domiciled in the following countries as of April 30, 2020:
Brazil | 4.0 | % | ||
China | 32.9 | |||
Czech Republic | 1.8 | |||
Egypt | 0.5 | |||
Hungary | 0.4 | |||
India | 8.5 | |||
Indonesia | 2.2 | |||
Malaysia | 3.7 | |||
Mexico | 1.8 | |||
Morocco | 1.8 | |||
Peru | 1.8 | |||
Philippines | 1.6 | |||
Poland | 0.5 | |||
Russia | 3.3 | |||
South Africa | 3.1 | |||
South Korea | 10.3 | |||
Taiwan | 15.0 | |||
Thailand | 3.7 | |||
Other1 | 3.1 | |||
100.0 | % |
1 | Includes any non-equity securities and net other assets (liabilities). |
See Accompanying Notes to the Financial Statements.
76 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Schedule of Investments
FlexShares® Morningstar US Market Factor Tilt Index Fund
April 30, 2020 (Unaudited)
Investments | Shares | Value | ||||||
COMMON STOCKS – 98.9% | ||||||||
Aerospace & Defense – 1.3% | ||||||||
AAR Corp. | 1,386 | $ | 27,138 | |||||
Aerojet Rocketdyne Holdings, Inc.* | 2,772 | 114,040 | ||||||
AeroVironment, Inc.* | 924 | 55,680 | ||||||
Astronics Corp.* | 8,085 | 72,603 | ||||||
Axon Enterprise, Inc.* (a) | 2,310 | 167,960 | ||||||
Boeing Co. (The) | 16,863 | 2,378,020 | ||||||
BWX Technologies, Inc.(a) | 3,003 | 159,339 | ||||||
Cubic Corp.(a) | 1,155 | 44,133 | ||||||
Curtiss-Wright Corp. | 1,617 | 167,602 | ||||||
Ducommun, Inc.* | 231 | 6,524 | ||||||
General Dynamics Corp. | 7,392 | 965,543 | ||||||
HEICO Corp.(a) | 1,386 | 121,414 | ||||||
HEICO Corp., Class A | 2,310 | 167,082 | ||||||
Hexcel Corp.(a) | 2,772 | 95,884 | ||||||
Howmet Aerospace, Inc.(a) | 18,480 | 241,534 | ||||||
Huntington Ingalls Industries, Inc. | 1,386 | 265,294 | ||||||
Kratos Defense & Security Solutions, Inc.* (a) | 3,465 | 52,044 | ||||||
L3Harris Technologies, Inc. | 6,930 | 1,342,341 | ||||||
Lockheed Martin Corp. | 7,854 | 3,055,677 | ||||||
Maxar Technologies, Inc.(a) | 21,021 | 265,075 | ||||||
Mercury Systems, Inc.* (a) | 2,079 | 185,364 | ||||||
Moog, Inc., Class A | 1,155 | 57,149 | ||||||
National Presto Industries, Inc. | 231 | 18,783 | ||||||
Northrop Grumman Corp. | 4,851 | 1,604,080 | ||||||
Parsons Corp.* (a) | 693 | 25,918 | ||||||
Raytheon Technologies Corp. | 46,141 | 2,990,398 | ||||||
Spirit AeroSystems Holdings, Inc., Class A | 5,082 | 112,617 | ||||||
Teledyne Technologies, Inc.* | 1,155 | 376,149 | ||||||
Textron, Inc. | 7,161 | 188,764 | ||||||
TransDigm Group, Inc. | 1,617 | 587,100 | ||||||
Triumph Group, Inc.(a) | 2,079 | 14,636 | ||||||
Vectrus, Inc.* (a) | 4,158 | 216,258 | ||||||
16,142,143 | ||||||||
Air Freight & Logistics – 0.6% | ||||||||
Air Transport Services Group, Inc.* (a) | 2,310 | 46,754 |
Investments | Shares | Value | ||||||
Air Freight & Logistics – (continued) | ||||||||
Atlas Air Worldwide Holdings, Inc.* (a) | 9,009 | $ | 295,946 | |||||
CH Robinson Worldwide, Inc. | 6,468 | 458,581 | ||||||
Echo Global Logistics, Inc.* | 9,702 | 170,076 | ||||||
Expeditors International of Washington, Inc. | 5,313 | 380,437 | ||||||
FedEx Corp. | 11,319 | 1,434,910 | ||||||
Forward Air Corp. | 1,155 | 59,598 | ||||||
Hub Group, Inc., Class A* | 11,781 | 566,784 | ||||||
United Parcel Service, Inc., Class B | 33,495 | 3,170,637 | ||||||
XPO Logistics, Inc.* (a) | 4,389 | 292,922 | ||||||
6,876,645 | ||||||||
Airlines – 0.3% | ||||||||
Alaska Air Group, Inc. | 5,775 | 187,803 | ||||||
Allegiant Travel Co.(a) | 4,620 | 362,578 | ||||||
American Airlines Group, Inc.(a) | 18,480 | 221,945 | ||||||
Delta Air Lines, Inc. | 27,027 | 700,270 | ||||||
Hawaiian Holdings, Inc.(a) | 16,401 | 236,174 | ||||||
JetBlue Airways Corp.* (a) | 13,629 | 132,746 | ||||||
SkyWest, Inc.(a) | 17,556 | 543,358 | ||||||
Southwest Airlines Co. | 22,638 | 707,438 | ||||||
Spirit Airlines, Inc.* (a) | 24,024 | 360,840 | ||||||
United Airlines Holdings, Inc.* | 10,857 | 321,150 | ||||||
3,774,302 | ||||||||
Auto Components – 0.5% | ||||||||
Adient plc* | 28,875 | 432,548 | ||||||
American Axle & Manufacturing Holdings, Inc.* (a) | 38,346 | 165,655 | ||||||
Aptiv plc | 8,085 | 562,312 | ||||||
Autoliv, Inc.(a) | 3,927 | 235,699 | ||||||
BorgWarner, Inc.(a) | 9,702 | 277,186 | ||||||
Cooper Tire & Rubber Co. | 2,079 | 44,054 | ||||||
Cooper-Standard Holdings, Inc.* (a) | 6,006 | 77,177 | ||||||
Dana, Inc. | 50,589 | 581,773 | ||||||
Delphi Technologies plc* (a) | 30,261 | 302,307 | ||||||
Dorman Products, Inc.* (a) | 1,155 | 72,857 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 77 |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Auto Components – (continued) | ||||||||
Fox Factory Holding Corp.* (a) | 1,386 | $ | 70,700 | |||||
Garrett Motion, Inc.* | 23,562 | 128,413 | ||||||
Gentex Corp. | 8,085 | 195,980 | ||||||
Gentherm, Inc.* | 1,386 | 51,892 | ||||||
Goodyear Tire & Rubber Co. (The) | 81,774 | 586,320 | ||||||
LCI Industries(a) | 8,778 | 761,228 | ||||||
Lear Corp.(a) | 2,541 | 248,129 | ||||||
Modine Manufacturing Co.* | 18,018 | 83,423 | ||||||
Motorcar Parts of America, Inc.* (a) | 6,699 | 95,327 | ||||||
Standard Motor Products, Inc. | 693 | 28,198 | ||||||
Stoneridge, Inc.* | 1,155 | 23,135 | ||||||
Tenneco, Inc., Class A* (a) | 19,866 | 103,105 | ||||||
Veoneer, Inc.* (a) | 36,267 | 354,691 | ||||||
Visteon Corp.* (a) | 1,155 | 69,646 | ||||||
5,551,755 | ||||||||
Automobiles – 0.6% | ||||||||
Ford Motor Co.(a) | 185,493 | 944,159 | ||||||
General Motors Co. | 59,598 | 1,328,440 | ||||||
Harley-Davidson, Inc.(a) | 7,392 | 161,367 | ||||||
Tesla, Inc.* | 4,389 | 3,431,671 | ||||||
Thor Industries, Inc.(a) | 19,404 | 1,284,545 | ||||||
Winnebago Industries, Inc.(a) | 11,781 | 522,723 | ||||||
7,672,905 | ||||||||
Banks – 7.0% | ||||||||
1st Source Corp. | 924 | 32,091 | ||||||
Allegiance Bancshares, Inc.(a) | 693 | 17,380 | ||||||
Ameris Bancorp(a) | 22,869 | 581,559 | ||||||
Associated Banc-Corp. | 55,440 | 783,922 | ||||||
Atlantic Union Bankshares Corp. | 28,182 | 672,704 | ||||||
Banc of California, Inc.(a) | 1,848 | 19,256 | ||||||
BancFirst Corp.(a) | 693 | 26,687 | ||||||
Bancorp, Inc. (The)* | 16,401 | 114,315 | ||||||
BancorpSouth Bank(a) | 33,495 | 733,206 | ||||||
Bank of America Corp. | 385,770 | 9,277,769 | ||||||
Bank of Hawaii Corp.(a) | 1,617 | 110,247 | ||||||
Bank OZK(a) | 42,273 | 956,215 | ||||||
BankUnited, Inc. | 33,033 | 654,384 |
Investments | Shares | Value | ||||||
Banks – (continued) | ||||||||
Banner Corp. | 12,936 | $ | 497,130 | |||||
Berkshire Hills Bancorp, Inc. | 15,246 | 259,792 | ||||||
BOK Financial Corp.(a) | 1,617 | 83,744 | ||||||
Boston Private Financial Holdings, Inc. | 29,568 | 224,717 | ||||||
Bridge Bancorp, Inc. | 6,699 | 138,602 | ||||||
Brookline Bancorp, Inc. | 3,465 | 35,378 | ||||||
Bryn Mawr Bank Corp. | 693 | 20,177 | ||||||
Byline Bancorp, Inc. | 8,547 | 105,299 | ||||||
Cadence Bancorp(a) | 42,504 | 281,377 | ||||||
Camden National Corp. | 693 | 22,696 | ||||||
Carolina Financial Corp. | 924 | 31,259 | ||||||
Cathay General Bancorp(a) | 26,565 | 741,695 | ||||||
CBTX, Inc. | 462 | 8,344 | ||||||
CenterState Bank Corp.(a) | 43,659 | 759,230 | ||||||
Central Pacific Financial Corp. | 1,386 | 24,241 | ||||||
CIT Group, Inc.(a) | 32,802 | 622,582 | ||||||
Citigroup, Inc. | 103,950 | 5,047,812 | ||||||
Citizens Financial Group, Inc. | 21,252 | 475,832 | ||||||
City Holding Co.(a) | 693 | 46,840 | ||||||
Civista Bancshares, Inc. | 5,775 | 88,531 | ||||||
Columbia Banking System, Inc.(a) | 2,772 | 74,816 | ||||||
Comerica, Inc.(a) | 6,930 | 241,580 | ||||||
Commerce Bancshares, Inc.(a) | 3,234 | 197,888 | ||||||
Community Bank System, Inc.(a) | 1,848 | 115,482 | ||||||
Community Trust Bancorp, Inc. | 6,006 | 203,603 | ||||||
ConnectOne Bancorp, Inc. | 1,386 | 20,707 | ||||||
CrossFirst Bankshares, Inc.* | 3,234 | 31,273 | ||||||
Cullen/Frost Bankers, Inc.(a) | 2,772 | 199,196 | ||||||
Customers Bancorp, Inc.* | 10,164 | 129,693 | ||||||
CVB Financial Corp.(a) | 46,662 | 969,870 | ||||||
Dime Community Bancshares, Inc. | 1,386 | 22,772 | ||||||
Eagle Bancorp, Inc.(a) | 11,781 | 413,277 | ||||||
East West Bancorp, Inc. | 6,930 | 243,035 | ||||||
Enterprise Financial Services Corp. | 693 | 21,303 | ||||||
Equity Bancshares, Inc., Class A* | 693 | 12,987 | ||||||
FB Financial Corp. | 1,155 | 25,803 | ||||||
Fifth Third Bancorp | 33,726 | 630,339 |
See Accompanying Notes to the Financial Statements.
78 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Banks – (continued) | ||||||||
Financial Institutions, Inc. | 5,775 | $ | 111,746 | |||||
First Bancorp/NC | 1,386 | 36,854 | ||||||
First Bancorp/PR | 8,547 | 49,829 | ||||||
First Busey Corp. | 2,772 | 51,060 | ||||||
First Citizens BancShares, Inc., Class A(a) | 3,003 | 1,147,146 | ||||||
First Commonwealth Financial Corp.(a) | 4,620 | 43,982 | ||||||
First Financial Bancorp(a) | 35,112 | 540,023 | ||||||
First Financial Bankshares, Inc.(a) | 5,082 | 141,534 | ||||||
First Financial Corp. | 4,851 | 172,308 | ||||||
First Foundation, Inc. | 1,848 | 25,428 | ||||||
First Hawaiian, Inc. | 45,738 | 804,531 | ||||||
First Horizon National Corp.(a) | 108,801 | 987,913 | ||||||
First Interstate BancSystem, Inc., Class A(a) | 12,243 | 413,813 | ||||||
First Merchants Corp.(a) | 19,635 | 555,867 | ||||||
First Midwest Bancorp, Inc.(a) | 38,577 | 570,168 | ||||||
First of Long Island Corp. (The) | 1,386 | 21,885 | ||||||
First Republic Bank(a) | 5,313 | 554,093 | ||||||
Flushing Financial Corp. | 10,626 | 132,719 | ||||||
FNB Corp.(a) | 113,883 | 921,313 | ||||||
Franklin Financial Network, Inc. | 693 | 16,438 | ||||||
Fulton Financial Corp.(a) | 57,519 | 672,397 | ||||||
German American Bancorp, Inc.(a) | 924 | 27,471 | ||||||
Glacier Bancorp, Inc.(a) | 3,234 | 123,151 | ||||||
Great Southern Bancorp, Inc.(a) | 462 | 19,667 | ||||||
Great Western Bancorp, Inc. | 19,635 | 369,138 | ||||||
Hancock Whitney Corp. | 30,723 | 642,418 | ||||||
Hanmi Financial Corp. | 11,088 | 133,832 | ||||||
HarborOne Bancorp, Inc.* | 2,772 | 22,231 | ||||||
Heartland Financial USA, Inc. | 11,550 | 392,354 | ||||||
Heritage Commerce Corp. | 21,714 | 192,820 | ||||||
Heritage Financial Corp.(a) | 1,386 | 27,789 | ||||||
Hilltop Holdings, Inc.(a) | 24,486 | 472,580 | ||||||
Home BancShares, Inc.(a) | 54,516 | 835,730 | ||||||
Hope Bancorp, Inc.(a) | 45,045 | 448,198 | ||||||
Horizon Bancorp, Inc. | 13,629 | 155,098 | ||||||
Huntington Bancshares, Inc.(a) | 48,741 | 450,367 |
Investments | Shares | Value | ||||||
Banks – (continued) | ||||||||
IBERIABANK Corp. | 18,249 | $ | 756,604 | |||||
Independent Bank Corp. – MA(a) | 1,386 | 101,026 | ||||||
Independent Bank Corp. – MI | 8,085 | 118,769 | ||||||
Independent Bank Group, Inc. | 12,936 | 392,090 | ||||||
International Bancshares Corp.(a) | 20,097 | 582,612 | ||||||
Investors Bancorp, Inc. | 7,623 | 70,970 | ||||||
JPMorgan Chase & Co. | 149,457 | 14,312,002 | ||||||
KeyCorp | 46,893 | 546,303 | ||||||
Lakeland Bancorp, Inc. | 17,094 | 191,282 | ||||||
Lakeland Financial Corp.(a) | 924 | 39,113 | ||||||
Live Oak Bancshares, Inc.(a) | 1,155 | 16,112 | ||||||
M&T Bank Corp. | 6,237 | 699,043 | ||||||
Mercantile Bank Corp. | 924 | 21,806 | ||||||
Midland States Bancorp, Inc. | 7,161 | 116,151 | ||||||
National Bank Holdings Corp., Class A | 1,386 | 36,840 | ||||||
NBT Bancorp, Inc.(a) | 1,617 | 53,571 | ||||||
Nicolet Bankshares, Inc.* | 462 | 25,419 | ||||||
OFG Bancorp | 2,079 | 26,154 | ||||||
Old National Bancorp(a) | 59,367 | 841,230 | ||||||
Opus Bank | 1,155 | 22,199 | ||||||
Origin Bancorp, Inc.(a) | 924 | 20,596 | ||||||
Pacific Premier Bancorp, Inc.(a) | 21,021 | 448,798 | ||||||
PacWest Bancorp(a) | 42,042 | 850,930 | ||||||
Park National Corp.(a) | 5,082 | 406,458 | ||||||
Peoples Bancorp, Inc. | 6,930 | 168,468 | ||||||
People’s United Financial, Inc.(a) | 21,252 | 269,688 | ||||||
Pinnacle Financial Partners, Inc.(a) | 25,179 | 1,013,455 | ||||||
PNC Financial Services Group, Inc. (The) | 20,790 | 2,217,669 | ||||||
Popular, Inc. | 4,620 | 178,286 | ||||||
Preferred Bank(a) | 462 | 17,625 | ||||||
Prosperity Bancshares, Inc. | 3,465 | 207,657 | ||||||
QCR Holdings, Inc. | 693 | 21,331 | ||||||
RBB Bancorp | 4,620 | 59,690 | ||||||
Regions Financial Corp.(a) | 45,969 | 494,167 | ||||||
Renasant Corp.(a) | 20,097 | 527,144 | ||||||
S&T Bancorp, Inc.(a) | 1,617 | 43,190 | ||||||
Sandy Spring Bancorp, Inc.(a) | 12,474 | 318,087 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 79 |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Banks – (continued) | ||||||||
Seacoast Banking Corp. of Florida* (a) | 2,541 | $ | 57,096 | |||||
ServisFirst Bancshares, Inc.(a) | 1,848 | 65,641 | ||||||
Signature Bank | 2,541 | 272,344 | ||||||
Simmons First National Corp., Class A(a) | 39,963 | 747,308 | ||||||
South State Corp.(a) | 1,155 | 66,805 | ||||||
Southern National Bancorp of Virginia, Inc. | 6,699 | 67,459 | ||||||
Southside Bancshares, Inc.(a) | 1,155 | 35,124 | ||||||
Sterling Bancorp(a) | 70,686 | 871,558 | ||||||
Stock Yards Bancorp, Inc. | 924 | 30,529 | ||||||
SVB Financial Group* (a) | 2,541 | 490,845 | ||||||
Synovus Financial Corp. | 6,930 | 145,599 | ||||||
TCF Financial Corp.(a) | 7,392 | 219,468 | ||||||
Texas Capital Bancshares, Inc.* | 17,556 | 487,706 | ||||||
Tompkins Financial Corp. | 462 | 31,190 | ||||||
Towne Bank | 2,541 | 51,328 | ||||||
TriCo Bancshares | 924 | 27,831 | ||||||
TriState Capital Holdings, Inc.* (a) | 462 | 6,570 | ||||||
Triumph Bancorp, Inc.* | 693 | 19,203 | ||||||
Truist Financial Corp. | 63,987 | 2,387,995 | ||||||
Trustmark Corp.(a) | 2,310 | 61,469 | ||||||
UMB Financial Corp.(a) | 1,617 | 82,208 | ||||||
Umpqua Holdings Corp. | 76,923 | 963,461 | ||||||
United Bankshares, Inc.(a) | 3,696 | 110,732 | ||||||
United Community Banks, Inc. | 27,720 | 586,139 | ||||||
Univest Financial Corp. | 10,395 | 183,992 | ||||||
US Bancorp | 67,683 | 2,470,430 | ||||||
Valley National Bancorp(a) | 136,521 | 1,141,316 | ||||||
Veritex Holdings, Inc.(a) | 1,848 | 32,451 | ||||||
Washington Trust Bancorp, Inc. | 693 | 24,262 | ||||||
Webster Financial Corp. | 32,340 | 913,605 | ||||||
Wells Fargo & Co. | 183,414 | 5,328,177 | ||||||
WesBanco, Inc. | 23,331 | 575,809 | ||||||
Westamerica Bancorp(a) | 924 | 58,212 | ||||||
Western Alliance Bancorp | 33,033 | 1,185,224 | ||||||
Wintrust Financial Corp. | 20,097 | 842,064 | ||||||
Zions Bancorp NA(a) | 8,085 | 255,567 | ||||||
86,461,780 |
Investments | Shares | Value | ||||||
Beverages – 1.2% | ||||||||
Boston Beer Co., Inc. (The), Class A* (a) | 231 | $ | 107,764 | |||||
Brown-Forman Corp., Class A | 1,848 | 104,818 | ||||||
Brown-Forman Corp., Class B(a) | 5,775 | 359,205 | ||||||
Coca-Cola Co. (The) | 121,968 | 5,597,111 | ||||||
Coca-Cola Consolidated, Inc. | 231 | 54,394 | ||||||
Constellation Brands, Inc., Class A(a) | 5,313 | 874,998 | ||||||
Keurig Dr Pepper, Inc.(a) | 8,547 | 226,154 | ||||||
Molson Coors Beverage Co., Class B(a) | 9,009 | 369,459 | ||||||
Monster Beverage Corp.* | 12,012 | 742,462 | ||||||
National Beverage Corp.* (a) | 462 | 23,206 | ||||||
PepsiCo, Inc. | 44,121 | 5,836,767 | ||||||
14,296,338 | ||||||||
Biotechnology – 2.9% | ||||||||
AbbVie, Inc.(a) | 70,455 | 5,791,401 | ||||||
ACADIA Pharmaceuticals, Inc.* (a) | 3,696 | 178,554 | ||||||
Acceleron Pharma, Inc.* (a) | 1,617 | 146,387 | ||||||
Adverum Biotechnologies, Inc.* (a) | 2,541 | 30,111 | ||||||
Agenus, Inc.* | 2,772 | 7,387 | ||||||
Agios Pharmaceuticals, Inc.* (a) | 2,310 | 95,033 | ||||||
Aimmune Therapeutics, Inc.* (a) | 1,155 | 19,774 | ||||||
Akebia Therapeutics, Inc.* (a) | 41,811 | 338,669 | ||||||
Alector, Inc.* (a) | 1,386 | 34,262 | ||||||
Alexion Pharmaceuticals, Inc.* | 10,395 | 1,117,151 | ||||||
Alkermes plc* | 6,237 | 85,509 | ||||||
Alnylam Pharmaceuticals, Inc.* (a) | 3,465 | 456,341 | ||||||
AMAG Pharmaceuticals, Inc.* (a) | 13,860 | 111,296 | ||||||
Amgen, Inc. | 18,711 | 4,476,045 | ||||||
Amicus Therapeutics, Inc.* | 9,702 | 114,581 | ||||||
Anika Therapeutics, Inc.* (a) | 693 | 23,028 | ||||||
Arena Pharmaceuticals, Inc.* (a) | 17,325 | 848,405 | ||||||
Arrowhead Pharmaceuticals, Inc.* (a) | 3,696 | 127,253 |
See Accompanying Notes to the Financial Statements.
80 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Biotechnology – (continued) | ||||||||
Assembly Biosciences, Inc.* (a) | 2,079 | $ | 36,403 | |||||
Atara Biotherapeutics, Inc.* (a) | 17,094 | 141,709 | ||||||
Biogen, Inc.* | 8,547 | 2,537,006 | ||||||
Biohaven Pharmaceutical Holding Co. Ltd.* (a) | 1,617 | 76,161 | ||||||
BioMarin Pharmaceutical, Inc.* | 5,775 | 531,416 | ||||||
Bluebird Bio, Inc.* (a) | 2,079 | 112,017 | ||||||
Blueprint Medicines Corp.* | 2,079 | 122,308 | ||||||
CareDx, Inc.* (a) | 1,617 | 41,039 | ||||||
Catalyst Pharmaceuticals, Inc.* | 4,389 | 20,804 | ||||||
ChemoCentryx, Inc.* (a) | 1,617 | 85,717 | ||||||
Coherus Biosciences, Inc.* (a) | 21,252 | 352,783 | ||||||
CRISPR Therapeutics AG* | 1,386 | 68,191 | ||||||
Cytokinetics, Inc.* (a) | 2,541 | 38,395 | ||||||
Deciphera Pharmaceuticals, Inc.* | 693 | 40,180 | ||||||
Dicerna Pharmaceuticals, Inc.* | 2,772 | 54,608 | ||||||
Dynavax Technologies Corp.* (a) | 1,155 | 4,909 | ||||||
Eagle Pharmaceuticals, Inc.* (a) | 462 | 23,553 | ||||||
Editas Medicine, Inc.* (a) | 2,079 | 48,066 | ||||||
Emergent BioSolutions, Inc.* (a) | 1,617 | 119,577 | ||||||
Enanta Pharmaceuticals, Inc.* | 693 | 32,134 | ||||||
Epizyme, Inc.* (a) | 3,003 | 49,429 | ||||||
Esperion Therapeutics, Inc.* (a) | 924 | 36,590 | ||||||
Exact Sciences Corp.* (a) | 4,158 | 328,399 | ||||||
Exelixis, Inc.* | 11,550 | 285,227 | ||||||
Fate Therapeutics, Inc.* (a) | 2,310 | 63,248 | ||||||
FibroGen, Inc.* (a) | 3,003 | 110,781 | ||||||
Flexion Therapeutics, Inc.* (a) | 1,617 | 17,205 | ||||||
Gilead Sciences, Inc. | 60,291 | 5,064,444 | ||||||
Global Blood Therapeutics, Inc.* (a) | 2,310 | 176,761 | ||||||
Halozyme Therapeutics, Inc.* (a) | 4,620 | 104,666 | ||||||
Heron Therapeutics, Inc.* (a) | 3,234 | 46,117 | ||||||
ImmunoGen, Inc.* (a) | 9,933 | 40,527 | ||||||
Immunomedics, Inc.* (a) | 7,161 | 217,551 | ||||||
Incyte Corp.* | 5,775 | 563,987 | ||||||
Insmed, Inc.* (a) | 3,465 | 79,695 |
Investments | Shares | Value | ||||||
Biotechnology – (continued) | ||||||||
Intellia Therapeutics, Inc.* (a) | 1,617 | $ | 21,781 | |||||
Intercept Pharmaceuticals, Inc.* (a) | 924 | 75,694 | ||||||
Invitae Corp.* (a) | 3,465 | 57,346 | ||||||
Ionis Pharmaceuticals, Inc.* (a) | 4,158 | 230,894 | ||||||
Iovance Biotherapeutics, Inc.* (a) | 4,389 | 141,106 | ||||||
Ironwood Pharmaceuticals, Inc.* (a) | 6,237 | 62,370 | ||||||
Kadmon Holdings, Inc.* (a) | 6,006 | 25,826 | ||||||
Karyopharm Therapeutics, Inc.* | 2,079 | 45,842 | ||||||
Kindred Biosciences, Inc.* (a) | 3,234 | 16,235 | ||||||
Lexicon Pharmaceuticals, Inc.* (a) | 14,784 | 27,942 | ||||||
Ligand Pharmaceuticals, Inc.* (a) | 693 | 68,309 | ||||||
Madrigal Pharmaceuticals, Inc.* (a) | 3,234 | 270,621 | ||||||
Mirati Therapeutics, Inc.* (a) | 1,386 | 117,865 | ||||||
Moderna, Inc.* (a) | 7,161 | 329,334 | ||||||
Momenta Pharmaceuticals, Inc.* (a) | 4,389 | 139,131 | ||||||
Myriad Genetics, Inc.* (a) | 3,234 | 49,998 | ||||||
Natera, Inc.* (a) | 2,079 | 77,006 | ||||||
Neurocrine Biosciences, Inc.* | 3,003 | 294,714 | ||||||
OPKO Health, Inc.* (a) | 145,068 | 322,051 | ||||||
PDL BioPharma, Inc.* (a) | 5,544 | 18,794 | ||||||
Portola Pharmaceuticals, Inc.* (a) | 4,389 | 31,074 | ||||||
Precision BioSciences, Inc.* | 1,155 | 7,946 | ||||||
Principia Biopharma, Inc.* (a) | 693 | 43,091 | ||||||
Progenics Pharmaceuticals, Inc.* | 1,617 | 6,371 | ||||||
Prothena Corp. plc* | 1,848 | 20,735 | ||||||
PTC Therapeutics, Inc.* (a) | 2,310 | 117,625 | ||||||
Radius Health, Inc.* | 1,848 | 28,995 | ||||||
Regeneron Pharmaceuticals, Inc.* (a) | 3,696 | 1,943,652 | ||||||
REGENXBIO, Inc.* (a) | 1,155 | 45,992 | ||||||
Retrophin, Inc.* (a) | 1,386 | 21,095 | ||||||
Rhythm Pharmaceuticals, Inc.* (a) | 1,386 | 26,112 | ||||||
Rigel Pharmaceuticals, Inc.* | 7,854 | 14,059 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 81 |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Biotechnology – (continued) | ||||||||
Sage Therapeutics, Inc.* | 1,848 | $ | 72,035 | |||||
Sangamo Therapeutics, Inc.* (a) | 4,620 | 37,653 | ||||||
Sarepta Therapeutics, Inc.* (a) | 2,310 | 272,303 | ||||||
Seattle Genetics, Inc.* | 3,696 | 507,202 | ||||||
Spectrum Pharmaceuticals, Inc.* | 9,471 | 27,466 | ||||||
TG Therapeutics, Inc.* (a) | 3,234 | 38,032 | ||||||
Twist Bioscience Corp.* (a) | 1,155 | 37,780 | ||||||
Ultragenyx Pharmaceutical, Inc.* (a) | 2,310 | 139,593 | ||||||
United Therapeutics Corp.* | 15,477 | 1,695,660 | ||||||
Vanda Pharmaceuticals, Inc.* | 1,848 | 21,252 | ||||||
Veracyte, Inc.* (a) | 1,848 | 49,841 | ||||||
Vertex Pharmaceuticals, Inc.* | 8,085 | 2,030,952 | ||||||
Viking Therapeutics, Inc.* (a) | 23,331 | 134,387 | ||||||
Voyager Therapeutics, Inc.* (a) | 1,155 | 12,486 | ||||||
XBiotech, Inc.* | 1,625 | 25,708 | ||||||
Xencor, Inc.* (a) | 1,848 | 54,017 | ||||||
Y-mAbs Therapeutics, Inc.* | 231 | 7,757 | ||||||
ZIOPHARM Oncology, Inc.* (a) | 5,775 | 16,170 | ||||||
35,552,690 | ||||||||
Building Products – 0.5% | ||||||||
AAON, Inc.(a) | 1,617 | 77,034 | ||||||
Advanced Drainage Systems, Inc. | 2,079 | 84,283 | ||||||
Allegion plc(a) | 3,003 | 301,922 | ||||||
American Woodmark Corp.* | 693 | 35,627 | ||||||
AO Smith Corp.(a) | 4,389 | 186,006 | ||||||
Apogee Enterprises, Inc. | 1,155 | 23,608 | ||||||
Armstrong World Industries, Inc.(a) | 1,617 | 124,638 | ||||||
Builders FirstSource, Inc.* | 40,656 | 746,038 | ||||||
Cornerstone Building Brands, Inc.* | 14,784 | 78,799 | ||||||
Fortune Brands Home & Security, Inc.(a) | 4,389 | 211,550 | ||||||
Gibraltar Industries, Inc.* | 1,155 | 53,476 | ||||||
Griffon Corp.(a) | 1,617 | 26,535 | ||||||
Insteel Industries, Inc. | 462 | 8,117 |
Investments | Shares | Value | ||||||
Building Products – (continued) | ||||||||
JELD-WEN Holding, Inc.* | 23,793 | $ | 302,171 | |||||
Johnson Controls International plc | 36,729 | 1,069,181 | ||||||
Lennox International, Inc.(a) | 1,155 | 215,615 | ||||||
Masco Corp. | 9,009 | 369,729 | ||||||
Masonite International Corp.* | 924 | 54,590 | ||||||
Owens Corning | 5,082 | 220,356 | ||||||
Patrick Industries, Inc.(a) | 7,623 | 314,220 | ||||||
PGT Innovations, Inc.* (a) | 2,310 | 23,885 | ||||||
Quanex Building Products Corp. | 1,386 | 17,283 | ||||||
Resideo Technologies, Inc.* (a) | 43,197 | 221,601 | ||||||
Simpson Manufacturing Co., Inc. | 1,386 | 99,931 | ||||||
Trane Technologies plc | 7,623 | 666,403 | ||||||
Trex Co., Inc.* (a) | 2,310 | 219,958 | ||||||
Universal Forest Products, Inc. | 2,310 | 94,987 | ||||||
5,847,543 | ||||||||
Capital Markets – 3.0% | ||||||||
Affiliated Managers Group, Inc.(a) | 17,094 | 1,195,896 | ||||||
Ameriprise Financial, Inc. | 6,006 | 690,330 | ||||||
Apollo Global Management, Inc.(a) | 6,237 | 252,536 | ||||||
Ares Management Corp.(a) | 2,772 | 93,001 | ||||||
Artisan Partners Asset Management, Inc., Class A | 18,711 | 550,852 | ||||||
B. Riley Financial, Inc. | 4,851 | 96,486 | ||||||
Bank of New York Mellon Corp. (The) | 39,732 | 1,491,539 | ||||||
BGC Partners, Inc., Class A(a) | 97,944 | 303,137 | ||||||
BlackRock, Inc. | 3,696 | 1,855,540 | ||||||
Blackstone Group, Inc. (The), Class A | 20,790 | 1,086,070 | ||||||
Blucora, Inc.* | 2,079 | 29,252 | ||||||
Brightsphere Investment Group, Inc. | 23,562 | 174,594 | ||||||
Charles Schwab Corp. (The) | 36,267 | 1,367,991 | ||||||
CME Group, Inc. | 11,319 | 2,017,159 | ||||||
Cohen & Steers, Inc.(a) | 924 | 53,352 | ||||||
Cowen, Inc., Class A(a) | 10,164 | 111,296 | ||||||
Donnelley Financial Solutions, Inc.* (a) | 11,088 | 80,721 |
See Accompanying Notes to the Financial Statements.
82 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Capital Markets – (continued) | ||||||||
E*TRADE Financial Corp. | 10,626 | $ | 431,522 | |||||
Eaton Vance Corp.(a) | 4,158 | 152,599 | ||||||
Evercore, Inc., Class A(a) | 13,629 | 703,256 | ||||||
FactSet Research Systems, Inc. | 1,155 | 317,625 | ||||||
Federated Hermes, Inc., Class B(a) | 33,726 | 767,941 | ||||||
Focus Financial Partners, Inc., Class A* (a) | 10,626 | 253,536 | ||||||
Franklin Resources, Inc.(a) | 13,398 | 252,418 | ||||||
Goldman Sachs Group, Inc. (The) | 15,246 | 2,796,421 | ||||||
Greenhill & Co., Inc.(a) | 2,079 | 22,183 | ||||||
Hamilton Lane, Inc., Class A | 1,155 | 74,902 | ||||||
Houlihan Lokey, Inc.(a) | 1,617 | 96,017 | ||||||
Interactive Brokers Group, Inc., Class A(a) | 2,772 | 113,652 | ||||||
Intercontinental Exchange, Inc. | 17,787 | 1,591,047 | ||||||
INTL. FCStone, Inc.* | 5,775 | 230,769 | ||||||
Invesco Ltd.(a) | 17,787 | 153,324 | ||||||
Janus Henderson Group plc(a) | 54,516 | 975,836 | ||||||
KKR & Co., Inc., Class A(a) | 17,325 | 436,763 | ||||||
Legg Mason, Inc. | 28,644 | 1,427,331 | ||||||
LPL Financial Holdings, Inc. | 2,541 | 153,019 | ||||||
MarketAxess Holdings, Inc. | 1,155 | 525,537 | ||||||
Moelis & Co., Class��A(a) | 1,848 | 55,200 | ||||||
Moody’s Corp. | 5,082 | 1,239,500 | ||||||
Morgan Stanley(a) | 58,443 | 2,304,407 | ||||||
Morningstar, Inc. | 693 | 108,080 | ||||||
MSCI, Inc. | 2,772 | 906,444 | ||||||
Nasdaq, Inc. | 3,696 | 405,340 | ||||||
Northern Trust Corp.(a) (b) | 6,699 | 530,293 | ||||||
Oppenheimer Holdings, Inc., Class A | 3,234 | 66,556 | ||||||
Piper Sandler Cos. | 5,313 | 286,424 | ||||||
PJT Partners, Inc., Class A(a) | 924 | 44,943 | ||||||
Raymond James Financial, Inc. | 5,775 | 380,688 | ||||||
S&P Global, Inc. | 7,623 | 2,232,624 | ||||||
Sculptor Capital Management, Inc. | 6,006 | 88,048 | ||||||
SEI Investments Co. | 3,927 | 200,120 | ||||||
State Street Corp. | 17,325 | 1,092,168 | ||||||
Stifel Financial Corp.(a) | 23,793 | 1,053,555 |
Investments | Shares | Value | ||||||
Capital Markets – (continued) | ||||||||
T. Rowe Price Group, Inc. | 7,392 | $ | 854,737 | |||||
TD Ameritrade Holding Corp. | 12,705 | 498,925 | ||||||
Tradeweb Markets, Inc., Class A | 2,310 | 120,490 | ||||||
Virtu Financial, Inc., Class A(a) | 25,872 | 604,629 | ||||||
Virtus Investment Partners, Inc.(a) | 2,541 | 206,507 | ||||||
Waddell & Reed Financial, Inc., Class A(a) | 24,717 | 359,632 | ||||||
36,564,760 | ||||||||
Chemicals – 1.8% | ||||||||
AdvanSix, Inc.* (a) | 9,702 | 118,170 | ||||||
Air Products and Chemicals, Inc. | 6,930 | 1,563,269 | ||||||
Albemarle Corp.(a) | 4,851 | 297,997 | ||||||
American Vanguard Corp.(a) | 231 | 2,904 | ||||||
Ashland Global Holdings, Inc. | 2,079 | 128,254 | ||||||
Axalta Coating Systems Ltd.* | 6,006 | 118,558 | ||||||
Balchem Corp. | 1,155 | 103,072 | ||||||
Cabot Corp. | 20,097 | 681,087 | ||||||
Celanese Corp. | 5,775 | 479,729 | ||||||
CF Industries Holdings, Inc. | 6,699 | 184,223 | ||||||
Chase Corp. | 462 | 43,548 | ||||||
Chemours Co. (The)(a) | 57,288 | 671,988 | ||||||
Corteva, Inc. | 24,255 | 635,238 | ||||||
Dow, Inc. | 35,343 | 1,296,735 | ||||||
DuPont de Nemours, Inc. | 35,343 | 1,661,828 | ||||||
Eastman Chemical Co.(a) | 6,468 | 391,379 | ||||||
Ecolab, Inc. | 7,854 | 1,519,749 | ||||||
Element Solutions, Inc.* | 9,009 | 92,342 | ||||||
Ferro Corp.* (a) | 28,875 | 287,884 | ||||||
FMC Corp. | 4,158 | 382,120 | ||||||
FutureFuel Corp. | 924 | 9,591 | ||||||
GCP Applied Technologies, Inc.* (a) | 2,079 | 35,592 | ||||||
Hawkins, Inc. | 462 | 17,293 | ||||||
HB Fuller Co. | 1,848 | 67,988 | ||||||
Huntsman Corp. | 70,224 | 1,180,465 | ||||||
Ingevity Corp.* | 1,848 | 95,948 | ||||||
Innospec, Inc.(a) | 924 | 67,008 | ||||||
International Flavors & Fragrances, Inc.(a) | 3,465 | 454,019 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 83 |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Chemicals – (continued) | ||||||||
Koppers Holdings, Inc.* | 6,006 | $ | 94,655 | |||||
Kraton Corp.* (a) | 11,088 | 173,084 | ||||||
Kronos Worldwide, Inc. | 7,623 | 72,342 | ||||||
Linde plc | 17,094 | 3,145,125 | ||||||
Livent Corp.* (a) | 4,620 | 28,644 | ||||||
LyondellBasell Industries NV, Class A | 12,012 | 696,095 | ||||||
Minerals Technologies, Inc.(a) | 12,243 | 539,182 | ||||||
Mosaic Co. (The) | 16,863 | 194,093 | ||||||
NewMarket Corp. | 231 | 95,043 | ||||||
Olin Corp.(a) | 55,902 | 746,292 | ||||||
PolyOne Corp.(a) | 3,465 | 80,700 | ||||||
PPG Industries, Inc. | 7,392 | 671,415 | ||||||
PQ Group Holdings, Inc.* | 13,398 | 157,025 | ||||||
Quaker Chemical Corp.(a) | 462 | 70,279 | ||||||
RPM International, Inc.(a) | 4,158 | 276,133 | ||||||
Scotts Miracle-Gro Co. (The) | 1,386 | 171,906 | ||||||
Sensient Technologies Corp. | 1,617 | 77,276 | ||||||
Sherwin-Williams Co. (The) | 2,541 | 1,362,916 | ||||||
Stepan Co. | 693 | 66,112 | ||||||
Tredegar Corp. | 924 | 15,228 | ||||||
Trinseo SA | 13,629 | 278,713 | ||||||
Tronox Holdings plc, Class A | 3,696 | 25,207 | ||||||
Valvoline, Inc. | 7,161 | 123,098 | ||||||
Westlake Chemical Corp.(a) | 1,617 | 70,259 | ||||||
WR Grace & Co. | 2,079 | 98,191 | ||||||
21,916,991 | ||||||||
Commercial Services & Supplies – 0.7% | ||||||||
ABM Industries, Inc.(a) | 23,100 | 796,719 | ||||||
ACCO Brands Corp.(a) | 33,726 | 249,572 | ||||||
ADT, Inc.(a) | 5,313 | 30,444 | ||||||
Advanced Disposal Services, Inc.* | 3,003 | 96,847 | ||||||
Brady Corp., Class A | 1,848 | 80,462 | ||||||
BrightView Holdings, Inc.* (a) | 10,164 | 130,302 | ||||||
Brink’s Co. (The) | 1,848 | 94,470 | ||||||
Casella Waste Systems, Inc., Class A* (a) | 1,617 | 74,996 | ||||||
Cimpress plc* (a) | 924 | 67,258 | ||||||
Cintas Corp. | 2,772 | 614,913 | ||||||
Clean Harbors, Inc.* (a) | 2,310 | 123,423 |
Investments | Shares | Value | ||||||
Commercial Services & Supplies – (continued) | ||||||||
Copart, Inc.* | 6,468 | $ | 518,151 | |||||
Covanta Holding Corp.(a) | 4,620 | 35,944 | ||||||
Deluxe Corp.(a) | 15,015 | 422,973 | ||||||
Ennis, Inc.(a) | 9,471 | 176,255 | ||||||
Harsco Corp.* (a) | 1,155 | 11,527 | ||||||
Healthcare Services Group, Inc.(a) | 2,541 | 64,770 | ||||||
Herman Miller, Inc. | 20,790 | 468,607 | ||||||
HNI Corp. | 15,015 | 365,465 | ||||||
IAA, Inc.* | 5,082 | 196,165 | ||||||
Interface, Inc. | 20,559 | 189,965 | ||||||
KAR Auction Services, Inc.(a) | 4,851 | 72,668 | ||||||
Kimball International, Inc., Class B | 1,617 | 19,841 | ||||||
Knoll, Inc. | 17,556 | 204,703 | ||||||
Matthews International Corp., Class A(a) | 11,088 | 265,447 | ||||||
McGrath RentCorp | 693 | 37,803 | ||||||
Mobile Mini, Inc. | 1,848 | 52,797 | ||||||
MSA Safety, Inc.(a) | 1,386 | 155,967 | ||||||
Pitney Bowes, Inc.(a) | 59,829 | 211,196 | ||||||
Republic Services, Inc. | 6,699 | 524,800 | ||||||
Rollins, Inc.(a) | 4,158 | 166,320 | ||||||
RR Donnelley & Sons Co.(a) | 19,173 | 32,786 | ||||||
SP Plus Corp.* | 924 | 19,487 | ||||||
Steelcase, Inc., Class A | 31,185 | 341,476 | ||||||
Stericycle, Inc.* (a) | 3,465 | 169,092 | ||||||
Team, Inc.* (a) | 11,088 | 68,413 | ||||||
Tetra Tech, Inc. | 2,079 | 156,507 | ||||||
UniFirst Corp.(a) | 693 | 116,528 | ||||||
US Ecology, Inc. | 1,155 | 37,861 | ||||||
Viad Corp.(a) | 1,386 | 33,222 | ||||||
VSE Corp.(a) | 2,310 | 44,398 | ||||||
Waste Management, Inc. | 12,243 | 1,224,545 | ||||||
8,765,085 | ||||||||
Communications Equipment – 0.9% | ||||||||
Acacia Communications, Inc.* | 1,617 | 109,455 | ||||||
Arista Networks, Inc.* (a) | 1,617 | 354,608 | ||||||
CalAmp Corp.* | 2,310 | 15,523 | ||||||
Calix, Inc.* | 231 | 2,657 | ||||||
Casa Systems, Inc.* | 1,617 | 8,295 | ||||||
Ciena Corp.* (a) | 4,851 | 224,359 |
See Accompanying Notes to the Financial Statements.
84 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Communications Equipment – (continued) | ||||||||
Cisco Systems, Inc. | 134,211 | $ | 5,687,862 | |||||
CommScope Holding Co., Inc.* (a) | 68,145 | 750,276 | ||||||
Comtech Telecommunications Corp. | 693 | 12,827 | ||||||
EchoStar Corp., Class A* | 15,939 | 502,875 | ||||||
Extreme Networks, Inc.* | 42,966 | 146,084 | ||||||
F5 Networks, Inc.* | 1,848 | 257,353 | ||||||
Harmonic, Inc.* (a) | 3,696 | 21,437 | ||||||
Infinera Corp.* (a) | 54,747 | 337,515 | ||||||
InterDigital, Inc.(a) | 1,155 | 66,724 | ||||||
Juniper Networks, Inc. | 15,939 | 344,282 | ||||||
Lumentum Holdings, Inc.* | 3,003 | 242,973 | ||||||
Motorola Solutions, Inc. | 5,313 | 764,063 | ||||||
NETGEAR, Inc.* (a) | 10,626 | 254,812 | ||||||
NetScout Systems, Inc.* (a) | 2,541 | 67,286 | ||||||
Plantronics, Inc.(a) | 11,550 | 163,086 | ||||||
Ribbon Communications, Inc.* | 20,097 | 73,254 | ||||||
Ubiquiti, Inc.(a) | 462 | 74,858 | ||||||
ViaSat, Inc.* (a) | 2,310 | 97,944 | ||||||
Viavi Solutions, Inc.* | 8,778 | 106,038 | ||||||
10,686,446 | ||||||||
Construction & Engineering – 0.3% | ||||||||
AECOM* (a) | 7,392 | 268,034 | ||||||
Aegion Corp.* | 1,155 | 18,538 | ||||||
Arcosa, Inc.(a) | 1,848 | 68,875 | ||||||
Argan, Inc. | 462 | 17,343 | ||||||
Comfort Systems USA, Inc. | 1,386 | 46,154 | ||||||
Construction Partners, Inc., Class A* (a) | 1,386 | 25,405 | ||||||
Dycom Industries, Inc.* (a) | 1,848 | 60,245 | ||||||
EMCOR Group, Inc. | 2,079 | 132,079 | ||||||
Fluor Corp.(a) | 48,048 | 562,162 | ||||||
Granite Construction, Inc.(a) | 1,848 | 30,381 | ||||||
Great Lakes Dredge & Dock Corp.* (a) | 2,772 | 24,504 | ||||||
Jacobs Engineering Group, Inc. | 6,468 | 535,227 | ||||||
MasTec, Inc.* (a) | 21,021 | 754,654 | ||||||
MYR Group, Inc.* | 693 | 20,790 | ||||||
Northwest Pipe Co.* | 3,465 | 84,269 | ||||||
Primoris Services Corp. | 2,079 | 32,453 |
Investments | Shares | Value | ||||||
Construction & Engineering – (continued) | ||||||||
Quanta Services, Inc.(a) | 6,930 | $ | 251,975 | |||||
Sterling Construction Co., Inc.* | 1,155 | 11,411 | ||||||
Tutor Perini Corp.* (a) | 14,091 | 98,637 | ||||||
Valmont Industries, Inc. | 693 | 81,247 | ||||||
WillScot Corp.* (a) | 2,310 | 26,912 | ||||||
3,151,295 | ||||||||
Construction Materials – 0.1% | ||||||||
Eagle Materials, Inc.(a) | 1,617 | 98,653 | ||||||
Forterra, Inc.* (a) | 6,699 | 54,664 | ||||||
Martin Marietta Materials, Inc.(a) | 2,079 | 395,488 | ||||||
Summit Materials, Inc., Class A* (a) | 4,389 | 66,318 | ||||||
US Concrete, Inc.* (a) | 1,386 | 26,584 | ||||||
Vulcan Materials Co. | 4,158 | 469,729 | ||||||
1,111,436 | ||||||||
Consumer Finance – 0.7% | ||||||||
Ally Financial, Inc. | 18,018 | 295,315 | ||||||
American Express Co. | 21,252 | 1,939,245 | ||||||
Capital One Financial Corp. | 22,176 | 1,436,118 | ||||||
Credit Acceptance Corp.* (a) | 462 | 143,945 | ||||||
Curo Group Holdings Corp. | 4,851 | 45,211 | ||||||
Discover Financial Services | 15,246 | 655,121 | ||||||
Encore Capital Group, Inc.* (a) | 9,702 | 252,058 | ||||||
Enova International, Inc.* (a) | 12,474 | 200,083 | ||||||
FirstCash, Inc. | 1,617 | 116,165 | ||||||
Green Dot Corp., Class A* (a) | 16,632 | 507,276 | ||||||
LendingClub Corp.* (a) | 3,465 | 26,577 | ||||||
LendingTree, Inc.* | 231 | 57,604 | ||||||
Navient Corp.(a) | 59,367 | 452,377 | ||||||
Nelnet, Inc., Class A(a) | 7,161 | 344,802 | ||||||
OneMain Holdings, Inc. | 26,565 | 643,139 | ||||||
Oportun Financial Corp.* | 2,310 | 17,279 | ||||||
PRA Group, Inc.* | 1,848 | 51,264 | ||||||
Regional Management Corp.* | 3,465 | 55,232 | ||||||
Santander Consumer USA Holdings, Inc.(a) | 4,389 | 68,424 | ||||||
SLM Corp.(a) | 147,609 | 1,231,059 | ||||||
Synchrony Financial | 26,796 | 530,293 | ||||||
World Acceptance Corp.* (a) | 231 | 15,673 | ||||||
9,084,260 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 85 |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Containers & Packaging – 0.4% | ||||||||
Amcor plc(a) | 51,051 | $ | 457,927 | |||||
AptarGroup, Inc.(a) | 1,848 | 197,884 | ||||||
Avery Dennison Corp. | 2,541 | 280,501 | ||||||
Ball Corp. | 10,395 | 681,808 | ||||||
Berry Global Group, Inc.* (a) | 6,699 | 266,553 | ||||||
Crown Holdings, Inc.* | 6,468 | 416,604 | ||||||
Graphic Packaging Holding Co. | 10,626 | 141,857 | ||||||
Greif, Inc., Class A(a) | 9,240 | 313,144 | ||||||
International Paper Co. | 18,711 | 640,852 | ||||||
Myers Industries, Inc.(a) | 462 | 5,710 | ||||||
O-I Glass, Inc.(a) | 54,747 | 451,115 | ||||||
Packaging Corp. of America | 4,389 | 424,197 | ||||||
Sealed Air Corp. | 4,851 | 138,690 | ||||||
Silgan Holdings, Inc.(a) | 2,772 | 95,634 | ||||||
Sonoco Products Co.(a) | 4,620 | 225,641 | ||||||
Westrock Co. | 12,474 | 401,538 | ||||||
5,139,655 | ||||||||
Distributors – 0.1% | ||||||||
Core-Mark Holding Co., Inc. | 1,848 | 53,111 | ||||||
Genuine Parts Co.(a) | 4,620 | 366,274 | ||||||
LKQ Corp.* (a) | 14,553 | 380,561 | ||||||
Pool Corp.(a) | 1,155 | 244,467 | ||||||
1,044,413 | ||||||||
Diversified Consumer Services – 0.3% | ||||||||
Adtalem Global Education, Inc.* (a) | 18,942 | 601,787 | ||||||
American Public Education, Inc.* | 462 | 11,906 | ||||||
Bright Horizons Family Solutions, Inc.* | 1,848 | 215,200 | ||||||
Chegg, Inc.* (a) | 4,389 | 187,630 | ||||||
frontdoor, Inc.* | 3,234 | 125,188 | ||||||
Graham Holdings Co., Class B | 231 | 90,092 | ||||||
Grand Canyon Education, Inc.* (a) | 1,848 | 158,965 | ||||||
H&R Block, Inc.(a) | 68,145 | 1,134,614 | ||||||
Houghton Mifflin Harcourt Co.* (a) | 40,656 | 65,050 | ||||||
K12, Inc.* (a) | 1,617 | 36,722 |
Investments | Shares | Value | ||||||
Diversified Consumer Services – (continued) | ||||||||
Laureate Education, Inc., Class A* (a) | 38,346 | $ | 363,137 | |||||
Perdoceo Education Corp.* (a) | 2,772 | 36,036 | ||||||
Service Corp. International(a) | 5,775 | 212,174 | ||||||
ServiceMaster Global Holdings, Inc.* (a) | 4,389 | 149,445 | ||||||
Strategic Education, Inc.(a) | 924 | 147,193 | ||||||
WW International, Inc.* (a) | 1,848 | 47,142 | ||||||
3,582,281 | ||||||||
Diversified Financial Services – 1.5% | ||||||||
Berkshire Hathaway, Inc., Class B* | 93,093 | 17,441,904 | ||||||
Cannae Holdings, Inc.* (a) | 2,772 | 87,457 | ||||||
Equitable Holdings, Inc. | 21,021 | 385,105 | ||||||
FGL Holdings(a) | 45,738 | 474,760 | ||||||
Jefferies Financial Group, Inc.(a) | 11,319 | 155,297 | ||||||
On Deck Capital, Inc.* | 29,799 | 36,057 | ||||||
Voya Financial, Inc.(a) | 6,237 | 281,725 | ||||||
18,862,305 | ||||||||
Diversified Telecommunication Services – 1.9% | ||||||||
Anterix, Inc.* (a) | 462 | 24,255 | ||||||
AT&T, Inc. | 348,117 | 10,607,125 | ||||||
ATN International, Inc. | 462 | 28,699 | ||||||
Bandwidth, Inc., Class A* (a) | 462 | 37,681 | ||||||
CenturyLink, Inc.(a) | 46,662 | 495,550 | ||||||
Cogent Communications Holdings, Inc.(a) | 1,617 | 135,553 | ||||||
GCI Liberty, Inc., Class A* (a) | 4,620 | 281,035 | ||||||
Iridium Communications, Inc.* (a) | 3,696 | 83,179 | ||||||
ORBCOMM, Inc.* (a) | 28,875 | 76,230 | ||||||
Verizon Communications, Inc. | 197,043 | 11,320,120 | ||||||
Vonage Holdings Corp.* | 9,009 | 75,315 | ||||||
23,164,742 | ||||||||
Electric Utilities – 1.6% | ||||||||
ALLETE, Inc. | 1,848 | 106,371 | ||||||
Alliant Energy Corp.(a) | 7,392 | 358,882 | ||||||
American Electric Power Co., Inc. | 15,708 | 1,305,492 | ||||||
Avangrid, Inc.(a) | 1,617 | 69,531 |
See Accompanying Notes to the Financial Statements.
86 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Electric Utilities – (continued) | ||||||||
Duke Energy Corp.(a) | 34,650 | $ | 2,933,469 | |||||
Edison International | 17,094 | 1,003,589 | ||||||
El Paso Electric Co. | 1,617 | 109,956 | ||||||
Entergy Corp. | 6,237 | 595,696 | ||||||
Evergy, Inc. | 7,161 | 418,417 | ||||||
Eversource Energy(a) | 10,164 | 820,235 | ||||||
Exelon Corp. | 46,200 | 1,713,096 | ||||||
FirstEnergy Corp. | 17,094 | 705,469 | ||||||
Hawaiian Electric Industries, Inc.(a) | 4,158 | 164,116 | ||||||
IDACORP, Inc. | 1,848 | 169,609 | ||||||
MGE Energy, Inc. | 1,386 | 89,619 | ||||||
NextEra Energy, Inc. | 15,477 | 3,577,044 | ||||||
NRG Energy, Inc. | 11,781 | 395,017 | ||||||
OGE Energy Corp. | 6,237 | 196,590 | ||||||
Otter Tail Corp.(a) | 1,617 | 71,763 | ||||||
Pinnacle West Capital Corp. | 3,465 | 266,770 | ||||||
PNM Resources, Inc.(a) | 3,003 | 121,592 | ||||||
Portland General Electric Co. | 3,234 | 151,319 | ||||||
PPL Corp. | 36,729 | 933,651 | ||||||
Southern Co. (The) | 49,896 | 2,830,600 | ||||||
Xcel Energy, Inc. | 16,632 | 1,057,130 | ||||||
20,165,023 | ||||||||
Electrical Equipment – 0.6% | ||||||||
Acuity Brands, Inc. | 1,386 | 120,014 | ||||||
AMETEK, Inc. | 7,161 | 600,593 | ||||||
Atkore International Group, Inc.* | 16,401 | 399,200 | ||||||
AZZ, Inc. | 1,155 | 36,256 | ||||||
Eaton Corp. plc | 19,635 | 1,639,523 | ||||||
Emerson Electric Co. | 19,173 | 1,093,436 | ||||||
Encore Wire Corp. | 924 | 42,301 | ||||||
EnerSys(a) | 1,617 | 94,417 | ||||||
Generac Holdings, Inc.* (a) | 2,079 | 202,578 | ||||||
GrafTech International Ltd.(a) | 18,942 | 153,809 | ||||||
Hubbell, Inc.(a) | 1,617 | 201,203 | ||||||
nVent Electric plc | 6,006 | 112,012 | ||||||
Plug Power, Inc.* (a) | 12,474 | 52,204 | ||||||
Regal Beloit Corp. | 14,322 | 1,017,005 | ||||||
Rockwell Automation, Inc.(a) | 3,696 | 700,318 |
Investments | Shares | Value | ||||||
Electrical Equipment – (continued) | ||||||||
Sensata Technologies Holding plc* | 5,082 | $ | 184,883 | |||||
Sunrun, Inc.* (a) | 3,003 | 42,132 | ||||||
Thermon Group Holdings, Inc.* | 1,155 | 17,648 | ||||||
Vicor Corp.* (a) | 924 | 49,129 | ||||||
Vivint Solar, Inc.* (a) | 924 | 5,858 | ||||||
6,764,519 | ||||||||
Electronic Equipment, Instruments & Components – 1.4% | ||||||||
Amphenol Corp., Class A | 9,240 | 815,522 | ||||||
Anixter International, Inc.* (a) | 10,395 | 965,280 | ||||||
Arrow Electronics, Inc.* | 3,696 | 232,552 | ||||||
Avnet, Inc. | 35,343 | 1,060,997 | ||||||
Badger Meter, Inc.(a) | 1,155 | 68,180 | ||||||
Belden, Inc.(a) | 13,398 | 458,078 | ||||||
Benchmark Electronics, Inc. | 1,386 | 28,635 | ||||||
CDW Corp. | 4,620 | 511,896 | ||||||
Cognex Corp. | 5,313 | 293,490 | ||||||
Coherent, Inc.* (a) | 924 | 118,152 | ||||||
Corning, Inc.(a) | 36,729 | 808,405 | ||||||
CTS Corp. | 1,386 | 32,100 | ||||||
Daktronics, Inc. | 1,155 | 5,221 | ||||||
Dolby Laboratories, Inc., Class A | 2,310 | 138,669 | ||||||
ePlus, Inc.* | 462 | 32,686 | ||||||
Fabrinet* | 1,386 | 86,971 | ||||||
FARO Technologies, Inc.* | 693 | 38,039 | ||||||
Fitbit, Inc., Class A* (a) | 8,778 | 58,725 | ||||||
Flex Ltd.* (a) | 24,255 | 236,729 | ||||||
FLIR Systems, Inc.(a) | 4,158 | 180,457 | ||||||
II-VI, Inc.* (a) | 30,492 | 1,049,535 | ||||||
Insight Enterprises, Inc.* (a) | 12,474 | 677,213 | ||||||
IPG Photonics Corp.* (a) | 1,155 | 149,376 | ||||||
Itron, Inc.* (a) | 1,386 | 96,771 | ||||||
Jabil, Inc.(a) | 48,510 | 1,379,624 | ||||||
KEMET Corp. | 20,328 | 549,059 | ||||||
Keysight Technologies, Inc.* (a) | 5,775 | 558,847 | ||||||
Kimball Electronics, Inc.* | 8,547 | 115,555 | ||||||
Knowles Corp.* | 3,465 | 53,881 | ||||||
Littelfuse, Inc. | 924 | 134,202 | ||||||
Methode Electronics, Inc.(a) | 13,167 | 395,273 | ||||||
National Instruments Corp. | 3,696 | 142,000 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 87 |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Electronic Equipment, Instruments & Components – (continued) | ||||||||
nLight, Inc.* (a) | 462 | $ | 7,281 | |||||
Novanta, Inc.* | 1,386 | 120,430 | ||||||
OSI Systems, Inc.* (a) | 693 | 50,159 | ||||||
PC Connection, Inc.(a) | 462 | 21,229 | ||||||
Plexus Corp.* (a) | 1,155 | 72,407 | ||||||
Rogers Corp.* (a) | 693 | 76,951 | ||||||
Sanmina Corp.* (a) | 24,486 | 678,997 | ||||||
ScanSource, Inc.* | 9,009 | 233,513 | ||||||
SYNNEX Corp. | 1,848 | 161,811 | ||||||
TE Connectivity Ltd. | 10,626 | 780,586 | ||||||
Tech Data Corp.* | 12,474 | 1,754,343 | ||||||
Trimble, Inc.* (a) | 8,085 | 279,984 | ||||||
TTM Technologies, Inc.* (a) | 34,419 | 398,916 | ||||||
Vishay Intertechnology, Inc. | 46,662 | 774,123 | ||||||
Zebra Technologies Corp., Class A* | 1,617 | 371,360 | ||||||
17,254,210 | ||||||||
Energy Equipment & Services – 0.4% | ||||||||
Apergy Corp.* (a) | 3,234 | 29,785 | ||||||
Archrock, Inc.(a) | 45,276 | 217,778 | ||||||
Baker Hughes Co. | 30,723 | 428,586 | ||||||
Cactus, Inc., Class A | 2,310 | 41,072 | ||||||
Dril-Quip, Inc.* (a) | 1,386 | 45,918 | ||||||
Exterran Corp.* | 9,933 | 67,544 | ||||||
Halliburton Co. | 39,039 | 409,910 | ||||||
Helix Energy Solutions Group, Inc.* | 5,544 | 14,082 | ||||||
Helmerich & Payne, Inc.(a) | 3,696 | 73,070 | ||||||
Liberty Oilfield Services, Inc., Class A(a) | 16,170 | 76,322 | ||||||
Matrix Service Co.* | 8,547 | 89,231 | ||||||
Nabors Industries Ltd.(a) | 2,878 | 42,397 | ||||||
National Oilwell Varco, Inc.(a) | 12,474 | 157,671 | ||||||
Newpark Resources, Inc.* | 3,003 | 4,595 | ||||||
NexTier Oilfield Solutions, Inc.* | 58,443 | 135,588 | ||||||
Noble Corp. plc* (a) | 88,935 | 22,945 | ||||||
Oceaneering International, Inc.* (a) | 34,881 | 179,288 | ||||||
Oil States International, Inc.* (a) | 24,717 | 85,026 |
Investments | Shares | Value | ||||||
Energy Equipment & Services – (continued) | ||||||||
Patterson-UTI Energy, Inc.(a) | 68,607 | $ | 253,160 | |||||
ProPetro Holding Corp.* (a) | 31,185 | 132,224 | ||||||
RPC, Inc.(a) | 18,480 | 63,017 | ||||||
Schlumberger Ltd. | 66,528 | 1,119,001 | ||||||
SEACOR Holdings, Inc.* | 693 | 19,584 | ||||||
Select Energy Services, Inc., Class A* (a) | 24,948 | 119,750 | ||||||
Solaris Oilfield Infrastructure, Inc., Class A(a) | 11,319 | 77,422 | ||||||
Tidewater, Inc.* (a) | 14,322 | 82,495 | ||||||
Transocean Ltd.* (a) | 202,356 | 259,016 | ||||||
US Silica Holdings, Inc.(a) | 26,565 | 51,005 | ||||||
Valaris plc* (a) | 91,245 | 41,562 | ||||||
4,339,044 | ||||||||
Entertainment – 1.4% | ||||||||
Activision Blizzard, Inc. | 24,255 | 1,545,771 | ||||||
AMC Entertainment Holdings, Inc., Class A(a) | 18,711 | 92,058 | ||||||
Cinemark Holdings, Inc.(a) | 4,620 | 65,974 | ||||||
Electronic Arts, Inc.* | 9,240 | 1,055,762 | ||||||
Glu Mobile, Inc.* (a) | 4,620 | 36,036 | ||||||
IMAX Corp.* | 2,772 | 31,878 | ||||||
Liberty Media Corp-Liberty Braves, Class C* (a) | 1,386 | 27,845 | ||||||
Liberty Media Corp-Liberty Formula One, Class A* | 1,848 | 55,902 | ||||||
Liberty Media Corp-Liberty Formula One, Class C* | 5,775 | 185,897 | ||||||
Lions Gate Entertainment Corp., Class B* | 6,468 | 43,206 | ||||||
Live Nation Entertainment, Inc.* (a) | 4,389 | 196,934 | ||||||
Madison Square Garden Co. (The), Class A* | 693 | 118,725 | ||||||
Marcus Corp. (The) | 924 | 13,435 | ||||||
Netflix, Inc.* | 13,860 | 5,819,121 | ||||||
Roku, Inc.* (a) | 3,003 | 364,054 | ||||||
Take-Two Interactive Software, Inc.* | 3,696 | 447,401 | ||||||
Walt Disney Co. (The) | 57,057 | 6,170,714 | ||||||
World Wrestling Entertainment, Inc., Class A(a) | 1,848 | 82,181 |
See Accompanying Notes to the Financial Statements.
88 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Entertainment – (continued) | ||||||||
Zynga, Inc., Class A* | 30,261 | $ | 228,168 | |||||
16,581,062 | ||||||||
Equity Real Estate Investment Trusts (REITs) – 3.1% | ||||||||
Acadia Realty Trust | 3,465 | 42,931 | ||||||
Agree Realty Corp.(a) | 1,617 | 105,283 | ||||||
Alexander & Baldwin, Inc. | 3,003 | 39,459 | ||||||
Alexander’s, Inc. | 231 | 72,825 | ||||||
Alexandria Real Estate Equities, Inc.(a) | 3,927 | 616,892 | ||||||
American Assets Trust, Inc. | 1,848 | 52,335 | ||||||
American Campus Communities, Inc. | 4,389 | 154,888 | ||||||
American Finance Trust, Inc.(a) | 4,389 | 33,839 | ||||||
American Homes 4 Rent, Class A(a) | 8,085 | 195,172 | ||||||
American Tower Corp. | 14,091 | 3,353,658 | ||||||
Americold Realty Trust(a) | 6,006 | 183,724 | ||||||
Apartment Investment and Management Co., Class A | 4,389 | 165,334 | ||||||
Apple Hospitality REIT, Inc. | 8,085 | 78,263 | ||||||
Armada Hoffler Properties, Inc. | 2,310 | 22,199 | ||||||
AvalonBay Communities, Inc. | 4,389 | 715,188 | ||||||
Boston Properties, Inc. | 4,620 | 448,972 | ||||||
Braemar Hotels & Resorts, Inc. | 9,009 | 28,198 | ||||||
Brandywine Realty Trust(a) | 6,930 | 77,339 | ||||||
Brixmor Property Group, Inc.(a) | 9,471 | 108,443 | ||||||
Brookfield Property REIT, Inc., Class A(a) | 23,100 | 226,265 | ||||||
Camden Property Trust | 3,003 | 264,474 | ||||||
CareTrust REIT, Inc.(a) | 3,696 | 60,910 | ||||||
CatchMark Timber Trust, Inc., Class A | 2,541 | 19,972 | ||||||
Chatham Lodging Trust(a) | 462 | 3,470 | ||||||
City Office REIT, Inc.(a) | 19,173 | 193,647 | ||||||
Colony Capital, Inc. | 171,402 | 395,939 | ||||||
Columbia Property Trust, Inc. | 4,851 | 69,321 | ||||||
Community Healthcare Trust, Inc.(a) | 924 | 34,373 | ||||||
CoreCivic, Inc. | 41,811 | 548,560 | ||||||
CorEnergy Infrastructure Trust, Inc. | 1,155 | 14,022 |
Investments | Shares | Value | ||||||
Equity Real Estate Investment Trusts (REITs) – (continued) | ||||||||
CorePoint Lodging, Inc. | 16,632 | $ | 72,349 | |||||
CoreSite Realty Corp. | 1,386 | 167,969 | ||||||
Corporate Office Properties Trust | 4,158 | 109,854 | ||||||
Cousins Properties, Inc.(a) | 4,620 | 139,385 | ||||||
Crown Castle International Corp. | 13,167 | 2,099,215 | ||||||
CubeSmart | 6,237 | 157,172 | ||||||
CyrusOne, Inc. | 3,465 | 243,070 | ||||||
DiamondRock Hospitality Co.(a) | 6,006 | 37,417 | ||||||
Digital Realty Trust, Inc.(a) | 8,316 | 1,243,159 | ||||||
Diversified Healthcare Trust | 9,240 | 28,736 | ||||||
Douglas Emmett, Inc. | 5,082 | 154,950 | ||||||
Duke Realty Corp. | 11,550 | 400,785 | ||||||
Easterly Government Properties, Inc.(a) | 2,772 | 74,595 | ||||||
EastGroup Properties, Inc.(a) | 1,386 | 146,916 | ||||||
Empire State Realty Trust, Inc., Class A | 6,468 | 54,072 | ||||||
EPR Properties(a) | 3,003 | 88,348 | ||||||
Equinix, Inc. | 2,772 | 1,871,654 | ||||||
Equity Commonwealth | 42,504 | 1,443,011 | ||||||
Equity LifeStyle Properties, Inc. | 5,775 | 348,290 | ||||||
Equity Residential | 10,857 | 706,356 | ||||||
Essential Properties Realty Trust, Inc.(a) | 3,465 | 50,901 | ||||||
Essex Property Trust, Inc. | 2,079 | 507,484 | ||||||
Extra Space Storage, Inc. | 4,158 | 366,902 | ||||||
Federal Realty Investment Trust(a) | 2,310 | 192,354 | ||||||
First Industrial Realty Trust, Inc.(a) | 4,851 | 183,222 | ||||||
Four Corners Property Trust, Inc. | 2,772 | 62,065 | ||||||
Franklin Street Properties Corp. | 4,389 | 23,876 | ||||||
Front Yard Residential Corp.(a) | 2,079 | 23,721 | ||||||
Gaming and Leisure Properties, Inc. | 6,468 | 182,656 | ||||||
GEO Group, Inc. (The)(a) | 42,504 | 538,951 | ||||||
Getty Realty Corp. | 924 | 25,096 | ||||||
Global Net Lease, Inc.(a) | 4,851 | 69,806 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc.(a) | 2,772 | 77,588 | ||||||
Healthcare Realty Trust, Inc. | 4,851 | 142,571 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 89 |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Equity Real Estate Investment Trusts (REITs) – (continued) | ||||||||
Healthcare Trust of America, Inc., Class A | 6,468 | $ | 159,307 | |||||
Healthpeak Properties, Inc. | 15,708 | 410,607 | ||||||
Hersha Hospitality Trust(a) | 12,705 | 66,447 | ||||||
Highwoods Properties, Inc. | 3,927 | 152,407 | ||||||
Host Hotels & Resorts, Inc.(a) | 34,188 | 420,854 | ||||||
Hudson Pacific Properties, Inc. | 4,851 | 119,238 | ||||||
Independence Realty Trust, Inc.(a) | 3,696 | 37,219 | ||||||
Industrial Logistics Properties Trust(a) | 2,541 | 47,491 | ||||||
Innovative Industrial Properties, Inc.(a) | 693 | 54,373 | ||||||
Investors Real Estate Trust(a) | 462 | 28,935 | ||||||
Invitation Homes, Inc. | 17,094 | 404,273 | ||||||
Iron Mountain, Inc.(a) | 9,009 | 217,838 | ||||||
iStar, Inc.(a) | 26,334 | 263,867 | ||||||
JBG SMITH Properties | 4,389 | 149,007 | ||||||
Kilroy Realty Corp. | 3,003 | 186,967 | ||||||
Kimco Realty Corp. | 13,398 | 146,172 | ||||||
Kite Realty Group Trust(a) | 3,465 | 35,447 | ||||||
Lamar Advertising Co., Class A | 2,772 | 159,806 | ||||||
Lexington Realty Trust | 9,240 | 96,558 | ||||||
Life Storage, Inc. | 1,848 | 161,866 | ||||||
LTC Properties, Inc.(a) | 1,617 | 57,565 | ||||||
Macerich Co. (The)(a) | 4,389 | 32,786 | ||||||
Mack-Cali Realty Corp.(a) | 31,647 | 512,365 | ||||||
Medical Properties Trust, Inc. | 16,401 | 281,113 | ||||||
Mid-America Apartment Communities, Inc. | 3,696 | 413,656 | ||||||
Monmouth Real Estate Investment Corp. | 4,158 | 56,507 | ||||||
National Health Investors, Inc.(a) | 1,617 | 89,032 | ||||||
National Retail Properties, Inc.(a) | 5,544 | 180,956 | ||||||
National Storage Affiliates Trust | 2,310 | 65,789 | ||||||
New Senior Investment Group, Inc. | 29,799 | 98,635 | ||||||
NexPoint Residential Trust, Inc.(a) | 924 | 27,785 | ||||||
Office Properties Income Trust | 1,848 | 50,635 |
Investments | Shares | Value | ||||||
Equity Real Estate Investment Trusts (REITs) – (continued) | ||||||||
Omega Healthcare Investors, Inc.(a) | 6,930 | $ | 202,010 | |||||
Outfront Media, Inc. | 5,544 | 86,985 | ||||||
Paramount Group, Inc.(a) | 7,854 | 75,791 | ||||||
Park Hotels & Resorts, Inc.(a) | 11,550 | 109,841 | ||||||
Pebblebrook Hotel Trust | 5,082 | 60,171 | ||||||
Pennsylvania REIT(a) | 14,784 | 14,932 | ||||||
Physicians Realty Trust | 7,161 | 110,423 | ||||||
Piedmont Office Realty Trust, Inc., Class A(a) | 4,389 | 76,149 | ||||||
PotlatchDeltic Corp. | 2,541 | 89,215 | ||||||
Preferred Apartment Communities, Inc., Class A(a) | 16,170 | 119,820 | ||||||
Prologis, Inc. | 23,440 | 2,091,551 | ||||||
PS Business Parks, Inc. | 693 | 89,459 | ||||||
Public Storage | 4,851 | 899,618 | ||||||
QTS Realty Trust, Inc., Class A(a) | 2,079 | 130,000 | ||||||
Rayonier, Inc. | 4,851 | 116,570 | ||||||
Realty Income Corp.(a) | 10,395 | 570,893 | ||||||
Regency Centers Corp. | 5,313 | 233,294 | ||||||
Retail Opportunity Investments Corp.(a) | 3,927 | 38,112 | ||||||
Retail Properties of America, Inc., Class A | 8,316 | 51,559 | ||||||
Retail Value, Inc. | 726 | 10,505 | ||||||
Rexford Industrial Realty, Inc. | 3,927 | 159,907 | ||||||
RLJ Lodging Trust(a) | 6,699 | 62,234 | ||||||
RPT Realty(a) | 4,389 | 29,933 | ||||||
Ryman Hospitality Properties, Inc. | 2,079 | 73,472 | ||||||
Sabra Health Care REIT, Inc. | 7,854 | 100,688 | ||||||
Safehold, Inc. | 462 | 26,685 | ||||||
Saul Centers, Inc. | 462 | 15,070 | ||||||
SBA Communications Corp. | 3,465 | 1,004,573 | ||||||
Seritage Growth Properties, Class A* (a) | 2,310 | 24,440 | ||||||
Service Properties Trust(a) | 57,750 | 400,208 | ||||||
Simon Property Group, Inc.(a) | 9,702 | 647,803 | ||||||
SITE Centers Corp. | 6,006 | 36,396 | ||||||
SL Green Realty Corp.(a) | 2,541 | 134,800 | ||||||
Spirit Realty Capital, Inc. | 3,696 | 113,689 |
See Accompanying Notes to the Financial Statements.
90 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Equity Real Estate Investment Trusts (REITs) – (continued) | ||||||||
STAG Industrial, Inc.(a) | 5,544 | $ | 145,530 | |||||
STORE Capital Corp. | 6,699 | 134,449 | ||||||
Summit Hotel Properties, Inc.(a) | 4,158 | 25,197 | ||||||
Sun Communities, Inc. | 3,003 | 403,603 | ||||||
Sunstone Hotel Investors, Inc. | 8,547 | 78,547 | ||||||
Tanger Factory Outlet Centers, Inc.(a) | 3,696 | 27,794 | ||||||
Taubman Centers, Inc. | 2,310 | 99,561 | ||||||
Terreno Realty Corp. | 2,541 | 139,298 | ||||||
UDR, Inc. | 9,240 | 346,223 | ||||||
Uniti Group, Inc.(a) | 7,392 | 52,188 | ||||||
Universal Health Realty Income Trust | 462 | 49,416 | ||||||
Urban Edge Properties(a) | 4,620 | 53,130 | ||||||
Urstadt Biddle Properties, Inc., Class A | 231 | 3,375 | ||||||
Ventas, Inc. | 11,781 | 381,115 | ||||||
VEREIT, Inc. | 33,726 | 184,818 | ||||||
VICI Properties, Inc.(a) | 21,945 | 382,282 | ||||||
Vornado Realty Trust(a) | 5,082 | 222,693 | ||||||
Washington Prime Group, Inc.(a) | 56,133 | 48,263 | ||||||
Washington REIT | 3,003 | 70,030 | ||||||
Weingarten Realty Investors | 4,620 | 84,038 | ||||||
Welltower, Inc. | 12,936 | 662,711 | ||||||
Weyerhaeuser Co. | 23,562 | 515,301 | ||||||
WP Carey, Inc. | 5,544 | 364,684 | ||||||
Xenia Hotels & Resorts, Inc. | 4,389 | 42,573 | ||||||
38,069,509 | ||||||||
Food & Staples Retailing – 1.3% | ||||||||
Andersons, Inc. (The)(a) | 11,319 | 192,083 | ||||||
BJ’s Wholesale Club Holdings, Inc.* (a) | 42,735 | 1,124,358 | ||||||
Casey’s General Stores, Inc.(a) | 1,155 | 174,879 | ||||||
Costco Wholesale Corp. | 13,860 | 4,199,580 | ||||||
Grocery Outlet Holding Corp.* | 1,848 | 61,483 | ||||||
Ingles Markets, Inc., Class A(a) | 5,082 | 207,498 | ||||||
Kroger Co. (The)(a) | 38,115 | 1,204,815 | ||||||
Performance Food Group Co.* | 4,389 | 128,817 | ||||||
PriceSmart, Inc.(a) | 693 | 44,033 | ||||||
Rite Aid Corp.* (a) | 2,079 | 29,792 |
Investments | Shares | Value | ||||||
Food & Staples Retailing – (continued) | ||||||||
SpartanNash Co. | 12,705 | $ | 217,891 | |||||
Sprouts Farmers Market, Inc.* | 4,389 | 91,203 | ||||||
Sysco Corp.(a) | 16,170 | 909,886 | ||||||
United Natural Foods, Inc.* (a) | 18,711 | 199,085 | ||||||
US Foods Holding Corp.* | 10,395 | 223,493 | ||||||
Walgreens Boots Alliance, Inc. | 35,805 | 1,549,998 | ||||||
Walmart, Inc. | 44,814 | 5,447,142 | ||||||
Weis Markets, Inc.(a) | 693 | 34,671 | ||||||
16,040,707 | ||||||||
Food Products – 1.1% | ||||||||
Archer-Daniels-Midland Co. | 26,334 | 978,045 | ||||||
B&G Foods, Inc.(a) | 22,407 | 435,144 | ||||||
Beyond Meat, Inc.* (a) | 462 | 45,733 | ||||||
Bunge Ltd. | 6,699 | 265,749 | ||||||
Calavo Growers, Inc.(a) | 693 | 40,194 | ||||||
Cal-Maine Foods, Inc.* | 1,155 | 47,944 | ||||||
Campbell Soup Co.(a) | 5,313 | 265,544 | ||||||
Conagra Brands, Inc. | 23,100 | 772,464 | ||||||
Darling Ingredients, Inc.* (a) | 6,237 | 128,420 | ||||||
Flowers Foods, Inc. | 7,161 | 159,547 | ||||||
Fresh Del Monte Produce, Inc.(a) | 1,155 | 32,929 | ||||||
Freshpet, Inc.* | 1,386 | 104,518 | ||||||
General Mills, Inc. | 28,875 | 1,729,324 | ||||||
Hain Celestial Group, Inc. (The)* (a) | 3,003 | 77,597 | ||||||
Hershey Co. (The) | 4,620 | 611,827 | ||||||
Hormel Foods Corp.(a) | 8,778 | 411,249 | ||||||
Hostess Brands, Inc.* (a) | 4,851 | 58,309 | ||||||
Ingredion, Inc. | 3,234 | 262,601 | ||||||
J&J Snack Foods Corp. | 462 | 58,688 | ||||||
JM Smucker Co. (The)(a) | 5,544 | 637,061 | ||||||
John B Sanfilippo & Son, Inc.(a) | 462 | 37,944 | ||||||
Kellogg Co. | 11,781 | 771,655 | ||||||
Kraft Heinz Co. (The) | 29,799 | 903,804 | ||||||
Lamb Weston Holdings, Inc.(a) | 4,851 | 297,657 | ||||||
Lancaster Colony Corp. | 693 | 93,299 | ||||||
McCormick & Co., Inc. (Non-Voting)(a) | 3,927 | 615,911 | ||||||
Mondelez International, Inc., Class A | 45,507 | 2,340,880 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 91 |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Food Products – (continued) | ||||||||
Pilgrim’s Pride Corp.* | 2,541 | $ | 55,902 | |||||
Post Holdings, Inc.* | 2,079 | 190,956 | ||||||
Sanderson Farms, Inc.(a) | 693 | 94,345 | ||||||
Seaboard Corp. | 17 | 51,189 | ||||||
Simply Good Foods Co. (The)* (a) | 3,234 | 60,961 | ||||||
Tootsie Roll Industries, Inc. | 702 | 24,672 | ||||||
TreeHouse Foods, Inc.* (a) | 2,079 | 107,547 | ||||||
Tyson Foods, Inc., Class A | 14,091 | 876,319 | ||||||
13,645,928 | ||||||||
Gas Utilities – 0.2% | ||||||||
Atmos Energy Corp. | 3,696 | 376,881 | ||||||
Chesapeake Utilities Corp. | 693 | 60,901 | ||||||
National Fuel Gas Co.(a) | 30,261 | 1,240,701 | ||||||
New Jersey Resources Corp. | 3,696 | 124,851 | ||||||
Northwest Natural Holding Co.(a) | 1,155 | 75,191 | ||||||
ONE Gas, Inc. | 2,079 | 165,717 | ||||||
South Jersey Industries, Inc.(a) | 3,465 | 99,064 | ||||||
Southwest Gas Holdings, Inc.(a) | 2,079 | 157,588 | ||||||
Spire, Inc.(a) | 1,848 | 134,830 | ||||||
UGI Corp. | 6,699 | 202,176 | ||||||
2,637,900 | ||||||||
Health Care Equipment & Supplies – 2.8% | ||||||||
Abbott Laboratories | 55,902 | 5,148,015 | ||||||
ABIOMED, Inc.* | 1,386 | 265,072 | ||||||
Align Technology, Inc.* | 2,310 | 496,303 | ||||||
AngioDynamics, Inc.* (a) | 924 | 9,637 | ||||||
Antares Pharma, Inc.* | 1,155 | 3,742 | ||||||
AtriCure, Inc.* | 1,617 | 69,725 | ||||||
Avanos Medical, Inc.* (a) | 1,848 | 57,380 | ||||||
Baxter International, Inc. | 16,170 | 1,435,573 | ||||||
Becton Dickinson and Co. | 8,547 | 2,158,374 | ||||||
Boston Scientific Corp.* | 44,121 | 1,653,655 | ||||||
Cantel Medical Corp.(a) | 1,386 | 51,282 | ||||||
Cardiovascular Systems, Inc.* (a) | 1,155 | 48,510 | ||||||
Cerus Corp.* | 1,848 | 11,365 | ||||||
CONMED Corp.(a) | 1,155 | 85,366 |
Investments | Shares | Value | ||||||
Health Care Equipment & Supplies – (continued) | ||||||||
Cooper Cos., Inc. (The) | 1,617 | $ | 463,594 | |||||
CryoLife, Inc.* | 1,617 | 36,108 | ||||||
CryoPort, Inc.* (a) | 1,386 | 26,112 | ||||||
Danaher Corp. | 20,328 | 3,322,815 | ||||||
Dentsply Sirona, Inc. | 7,161 | 303,913 | ||||||
DexCom, Inc.* | 3,003 | 1,006,606 | ||||||
Edwards Lifesciences Corp.* | 6,468 | 1,406,790 | ||||||
Envista Holdings Corp.* (a) | 6,006 | 116,937 | ||||||
Establishment Labs Holdings, Inc.* (a) | 462 | 8,076 | ||||||
Glaukos Corp.* (a) | 1,617 | 59,328 | ||||||
Globus Medical, Inc., Class A* (a) | 3,003 | 142,522 | ||||||
Haemonetics Corp.* | 1,617 | 183,982 | ||||||
Heska Corp.* (a) | 231 | 16,355 | ||||||
Hill-Rom Holdings, Inc. | 2,079 | 233,867 | ||||||
Hologic, Inc.* | 8,547 | 428,205 | ||||||
ICU Medical, Inc.* (a) | 693 | 151,982 | ||||||
IDEXX Laboratories, Inc.* (a) | 2,772 | 769,507 | ||||||
Inogen, Inc.* | 693 | 34,650 | ||||||
Insulet Corp.* (a) | 2,079 | 415,218 | ||||||
Integer Holdings Corp.* (a) | 1,155 | 86,001 | ||||||
Integra LifeSciences Holdings Corp.* (a) | 2,772 | 141,511 | ||||||
Intuitive Surgical, Inc.* (a) | 3,465 | 1,770,199 | ||||||
iRhythm Technologies, Inc.* (a) | 1,155 | 122,014 | ||||||
Lantheus Holdings, Inc.* (a) | 1,848 | 24,116 | ||||||
LeMaitre Vascular, Inc.(a) | 462 | 13,162 | ||||||
LivaNova plc* (a) | 1,617 | 85,895 | ||||||
Masimo Corp.* | 1,617 | 345,892 | ||||||
Medtronic plc | 42,504 | 4,149,666 | ||||||
Merit Medical Systems, Inc.* (a) | 2,079 | 84,865 | ||||||
Natus Medical, Inc.* | 1,617 | 40,409 | ||||||
Neogen Corp.* | 2,079 | 130,125 | ||||||
Nevro Corp.* | 1,155 | 135,874 | ||||||
Novocure Ltd.* (a) | 2,541 | 167,198 | ||||||
NuVasive, Inc.* (a) | 2,079 | 126,570 | ||||||
OraSure Technologies, Inc.* | 693 | 11,046 | ||||||
Orthofix Medical, Inc.* | 924 | 32,756 | ||||||
Penumbra, Inc.* (a) | 1,155 | 204,805 | ||||||
Quidel Corp.* (a) | 1,386 | 192,654 | ||||||
ResMed, Inc. | 4,620 | 717,578 |
See Accompanying Notes to the Financial Statements.
92 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Health Care Equipment & Supplies – (continued) | ||||||||
STAAR Surgical Co.* | 1,155 | $ | 44,260 | |||||
STERIS plc | 2,772 | 395,010 | ||||||
Stryker Corp. | 10,164 | 1,894,875 | ||||||
Surmodics, Inc.* | 462 | 17,602 | ||||||
Tactile Systems Technology, Inc.* (a) | 462 | 23,848 | ||||||
Tandem Diabetes Care, Inc.* (a) | 2,310 | 184,292 | ||||||
Teleflex, Inc. | 1,386 | 464,864 | ||||||
Varex Imaging Corp.* (a) | 1,617 | 42,252 | ||||||
Varian Medical Systems, Inc.* (a) | 2,772 | 317,061 | ||||||
West Pharmaceutical Services, Inc. | 2,310 | 437,191 | ||||||
Wright Medical Group NV* (a) | 4,851 | 141,261 | ||||||
Zimmer Biomet Holdings, Inc. | 6,468 | 774,220 | ||||||
33,939,638 | ||||||||
Health Care Providers & Services – 3.4% | ||||||||
Acadia Healthcare Co., Inc.* (a) | 30,954 | 743,206 | ||||||
Addus HomeCare Corp.* (a) | 462 | 37,431 | ||||||
Amedisys, Inc.* (a) | 1,155 | 212,705 | ||||||
AmerisourceBergen Corp. | 7,161 | 642,055 | ||||||
AMN Healthcare Services, Inc.* (a) | 1,848 | 86,819 | ||||||
Anthem, Inc. | 12,012 | 3,372,129 | ||||||
BioTelemetry, Inc.* (a) | 1,386 | 64,740 | ||||||
Brookdale Senior Living, Inc.* (a) | 65,373 | 235,997 | ||||||
Cardinal Health, Inc. | 14,091 | 697,223 | ||||||
Centene Corp.* | 27,951 | 1,860,978 | ||||||
Chemed Corp. | 462 | 192,455 | ||||||
Cigna Corp. | 17,787 | 3,482,339 | ||||||
CorVel Corp.* (a) | 231 | 12,171 | ||||||
Covetrus, Inc.* (a) | 3,927 | 46,692 | ||||||
CVS Health Corp. | 62,139 | 3,824,655 | ||||||
DaVita, Inc.* (a) | 4,158 | 328,524 | ||||||
Encompass Health Corp.(a) | 3,234 | 214,252 | ||||||
Ensign Group, Inc. (The) | 1,848 | 69,134 | ||||||
Guardant Health, Inc.* (a) | 1,386 | 106,667 |
Investments | Shares | Value | ||||||
Health Care Providers & Services – (continued) | ||||||||
Hanger, Inc.* (a) | 1,617 | $ | 29,688 | |||||
HCA Healthcare, Inc. | 12,705 | 1,396,025 | ||||||
HealthEquity, Inc.* (a) | 2,772 | 155,980 | ||||||
Henry Schein, Inc.* | 4,620 | 252,067 | ||||||
Humana, Inc. | 6,237 | 2,381,411 | ||||||
Laboratory Corp. of America Holdings* | 4,620 | 759,759 | ||||||
LHC Group, Inc.* (a) | 1,155 | 150,138 | ||||||
Magellan Health, Inc.* (a) | 7,623 | 462,945 | ||||||
McKesson Corp. | 8,547 | 1,207,264 | ||||||
MEDNAX, Inc.* | 29,799 | 432,681 | ||||||
Molina Healthcare, Inc.* | 3,003 | 492,402 | ||||||
National HealthCare Corp. | 462 | 31,587 | ||||||
National Research Corp. | 462 | 23,835 | ||||||
Option Care Health, Inc.* (a) | 12,012 | 171,772 | ||||||
Owens & Minor, Inc.(a) | 22,176 | 157,006 | ||||||
Patterson Cos., Inc.(a) | 30,261 | 553,171 | ||||||
Premier, Inc., Class A* (a) | 23,100 | 765,996 | ||||||
Providence Service Corp. (The)* (a) | 462 | 26,801 | ||||||
Quest Diagnostics, Inc.(a) | 6,468 | 712,191 | ||||||
R1 RCM, Inc.* (a) | 4,389 | 45,294 | ||||||
RadNet, Inc.* (a) | 1,617 | 22,832 | ||||||
Select Medical Holdings Corp.* (a) | 4,158 | 70,977 | ||||||
Surgery Partners, Inc.* (a) | 7,161 | 84,500 | ||||||
Tenet Healthcare Corp.* (a) | 36,498 | 736,530 | ||||||
Tivity Health, Inc.* (a) | 13,398 | 120,180 | ||||||
Triple-S Management Corp., Class B* | 8,085 | 136,879 | ||||||
UnitedHealth Group, Inc. | 45,276 | 13,241,872 | ||||||
Universal Health Services, Inc., Class B | 3,927 | 415,045 | ||||||
US Physical Therapy, Inc.(a) | 462 | 34,881 | ||||||
41,301,881 | ||||||||
Health Care Technology – 0.3% | ||||||||
Allscripts Healthcare Solutions, Inc.* (a) | 6,468 | 42,042 | ||||||
Cerner Corp.(a) | 9,933 | 689,251 | ||||||
Change Healthcare, Inc.* | 77,181 | 898,387 | ||||||
Computer Programs and Systems, Inc.(a) | 4,620 | 111,019 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 93 |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Health Care Technology – (continued) | ||||||||
Evolent Health, Inc., Class A* (a) | 27,258 | $ | 196,530 | |||||
HealthStream, Inc.* | 462 | 10,545 | ||||||
HMS Holdings Corp.* | 3,465 | 99,359 | ||||||
Inovalon Holdings, Inc., Class A* (a) | 3,234 | 56,595 | ||||||
Inspire Medical Systems, Inc.* (a) | 462 | 33,107 | ||||||
Omnicell, Inc.* (a) | 1,617 | 117,879 | ||||||
Tabula Rasa HealthCare, Inc.* (a) | 693 | 43,895 | ||||||
Teladoc Health, Inc.* (a) | 2,772 | 456,243 | ||||||
Veeva Systems, Inc., Class A* | 4,158 | 793,346 | ||||||
Vocera Communications, Inc.* (a) | 1,155 | 21,899 | ||||||
3,570,097 | ||||||||
Hotels, Restaurants & Leisure – 1.6% | ||||||||
Aramark | 7,854 | 214,493 | ||||||
BBX Capital Corp. | 4,389 | 9,305 | ||||||
BJ’s Restaurants, Inc.(a) | 1,617 | 35,348 | ||||||
Bloomin’ Brands, Inc.(a) | 30,030 | 361,861 | ||||||
Boyd Gaming Corp.(a) | 3,234 | 53,975 | ||||||
Brinker International, Inc.(a) | 12,936 | 301,150 | ||||||
Caesars Entertainment Corp.* | 25,410 | 245,461 | ||||||
Carnival Corp. | 19,173 | 304,851 | ||||||
Cheesecake Factory, Inc. (The)(a) | 2,079 | 46,341 | ||||||
Chipotle Mexican Grill, Inc.* | 924 | 811,780 | ||||||
Choice Hotels International, Inc.(a) | 1,155 | 86,683 | ||||||
Churchill Downs, Inc.(a) | 1,386 | 138,905 | ||||||
Chuy’s Holdings, Inc.* (a) | 231 | 3,872 | ||||||
Cracker Barrel Old Country Store, Inc.(a) | 924 | 89,998 | ||||||
Darden Restaurants, Inc.(a) | 3,927 | 289,773 | ||||||
Denny’s Corp.* | 2,310 | 26,034 | ||||||
Dine Brands Global, Inc.(a) | 6,006 | 266,606 | ||||||
Domino’s Pizza, Inc. | 1,155 | 418,029 | ||||||
Dunkin’ Brands Group, Inc.(a) | 2,541 | 159,676 | ||||||
Eldorado Resorts, Inc.* (a) | 3,927 | 84,195 | ||||||
Everi Holdings, Inc.* | 2,541 | 12,578 |
Investments | Shares | Value | ||||||
Hotels, Restaurants & Leisure – (continued) | ||||||||
Extended Stay America, Inc. | 64,218 | $ | 698,050 | |||||
Golden Entertainment, Inc.* | 6,699 | 63,239 | ||||||
Hilton Grand Vacations, Inc.* | 3,465 | 71,379 | ||||||
Hilton Worldwide Holdings, Inc.(a) | 9,009 | 682,071 | ||||||
Hyatt Hotels Corp., Class A | 1,386 | 77,976 | ||||||
Jack in the Box, Inc.(a) | 693 | 41,788 | ||||||
Las Vegas Sands Corp. | 10,626 | 510,260 | ||||||
Marriott International, Inc., Class A | 8,547 | 777,264 | ||||||
Marriott Vacations Worldwide Corp. | 13,167 | 1,092,861 | ||||||
McDonald’s Corp. | 23,793 | 4,462,615 | ||||||
MGM Resorts International(a) | 16,401 | 276,029 | ||||||
Norwegian Cruise Line Holdings Ltd.* (a) | 8,778 | 143,959 | ||||||
Papa John’s International, Inc.(a) | 924 | 66,454 | ||||||
Penn National Gaming, Inc.* (a) | 38,115 | 679,209 | ||||||
Planet Fitness, Inc., Class A* (a) | 2,541 | 153,298 | ||||||
Red Rock Resorts, Inc., Class A | 2,772 | 30,381 | ||||||
Royal Caribbean Cruises Ltd. | 8,316 | 388,939 | ||||||
Ruth’s Hospitality Group, Inc.(a) | 2,541 | 28,599 | ||||||
Scientific Games Corp.* (a) | 18,942 | 238,859 | ||||||
SeaWorld Entertainment, Inc.* (a) | 1,617 | 23,754 | ||||||
Shake Shack, Inc., Class A* (a) | 1,155 | 62,959 | ||||||
Six Flags Entertainment Corp.(a) | 2,079 | 41,601 | ||||||
Starbucks Corp. | 37,422 | 2,871,390 | ||||||
Target Hospitality Corp.* | 10,395 | 20,998 | ||||||
Texas Roadhouse, Inc.(a) | 2,541 | 119,656 | ||||||
Vail Resorts, Inc.(a) | 1,386 | 237,006 | ||||||
Wendy’s Co. (The)(a) | 6,930 | 137,630 | ||||||
Wingstop, Inc.(a) | 1,155 | 135,447 | ||||||
Wyndham Destinations, Inc. | 31,878 | 815,120 | ||||||
Wyndham Hotels & Resorts, Inc.(a) | 3,003 | 113,243 | ||||||
Wynn Resorts Ltd.(a) | 3,003 | 256,847 | ||||||
Yum! Brands, Inc. | 9,471 | 818,578 | ||||||
20,098,373 |
See Accompanying Notes to the Financial Statements.
94 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Household Durables – 0.7% | ||||||||
Beazer Homes USA, Inc.* | 8,085 | $ | 56,918 | |||||
Cavco Industries, Inc.* (a) | 231 | 35,731 | ||||||
Century Communities, Inc.* (a) | 9,933 | 212,765 | ||||||
DR Horton, Inc. | 15,939 | 752,640 | ||||||
Ethan Allen Interiors, Inc. | 9,009 | 101,892 | ||||||
Garmin Ltd. | 4,620 | 374,959 | ||||||
GoPro, Inc., Class A* (a) | 3,696 | 13,010 | ||||||
Green Brick Partners, Inc.* | 9,702 | 86,445 | ||||||
Helen of Troy Ltd.* (a) | 924 | 151,795 | ||||||
Installed Building Products, Inc.* (a) | 924 | 45,562 | ||||||
iRobot Corp.* (a) | 924 | 56,327 | ||||||
KB Home(a) | 30,261 | 794,049 | ||||||
La-Z-Boy, Inc.(a) | 1,848 | 43,336 | ||||||
Leggett & Platt, Inc.(a) | 4,158 | 146,070 | ||||||
Lennar Corp., Class A(a) | 13,167 | 659,272 | ||||||
Lennar Corp., Class B | 693 | 26,438 | ||||||
LGI Homes, Inc.* (a) | 7,854 | 475,795 | ||||||
M/I Homes, Inc.* | 9,933 | 252,894 | ||||||
MDC Holdings, Inc.(a) | 17,556 | 513,513 | ||||||
Meritage Homes Corp.* | 12,705 | 667,775 | ||||||
Mohawk Industries, Inc.* (a) | 2,772 | 243,160 | ||||||
Newell Brands, Inc.(a) | 18,249 | 253,296 | ||||||
NVR, Inc.* | 158 | 489,800 | ||||||
PulteGroup, Inc. | 12,243 | 346,110 | ||||||
Skyline Champion Corp.* | 2,310 | 45,530 | ||||||
Sonos, Inc.* (a) | 2,772 | 28,330 | ||||||
Taylor Morrison Home Corp., Class A* (a) | 46,662 | 678,932 | ||||||
Tempur Sealy International, Inc.* | 1,617 | 86,914 | ||||||
Toll Brothers, Inc.(a) | 5,082 | 122,070 | ||||||
TopBuild Corp.* (a) | 1,386 | 129,161 | ||||||
TRI Pointe Group, Inc.* (a) | 48,972 | 562,199 | ||||||
Tupperware Brands Corp.(a) | 17,325 | 55,786 | ||||||
Universal Electronics, Inc.* | 462 | 19,071 | ||||||
Whirlpool Corp.(a) | 3,003 | 335,555 | ||||||
8,863,100 | ||||||||
Household Products – 1.3% | ||||||||
Central Garden & Pet Co.* | 3,465 | 114,137 |
Investments | Shares | Value | ||||||
Household Products – (continued) | ||||||||
Central Garden & Pet Co., Class A* | 14,091 | $ | 428,507 | |||||
Church & Dwight Co., Inc. | 7,854 | 549,702 | ||||||
Clorox Co. (The)(a) | 3,927 | 732,150 | ||||||
Colgate-Palmolive Co. | 27,027 | 1,899,187 | ||||||
Energizer Holdings, Inc.(a) | 22,638 | 881,977 | ||||||
Kimberly-Clark Corp. | 10,857 | 1,503,477 | ||||||
Procter & Gamble Co. (The) | 78,771 | 9,284,738 | ||||||
Spectrum Brands Holdings, Inc.(a) | 15,246 | 656,493 | ||||||
WD-40 Co.(a) | 462 | 80,517 | ||||||
16,130,885 | ||||||||
Independent Power and Renewable Electricity Producers – 0.1% | ||||||||
AES Corp. (The) | 31,416 | 416,262 | ||||||
Clearway Energy, Inc., Class A | 1,386 | 25,918 | ||||||
Clearway Energy, Inc., Class C(a) | 3,003 | 60,150 | ||||||
Ormat Technologies, Inc.(a) | 1,848 | 115,334 | ||||||
TerraForm Power, Inc., Class A | 3,234 | 56,013 | ||||||
Vistra Energy Corp. | 21,714 | 424,291 | ||||||
1,097,968 | ||||||||
Industrial Conglomerates – 0.8% | ||||||||
3M Co. | 18,249 | 2,772,388 | ||||||
Carlisle Cos., Inc.(a) | 1,848 | 223,534 | ||||||
General Electric Co. | 276,276 | 1,878,677 | ||||||
Honeywell International, Inc. | 22,638 | 3,212,332 | ||||||
Raven Industries, Inc. | 2,079 | 46,300 | ||||||
Roper Technologies, Inc. | 3,234 | 1,102,891 | ||||||
9,236,122 | ||||||||
Insurance – 2.8% | ||||||||
Aflac, Inc. | 34,881 | 1,298,968 | ||||||
Alleghany Corp. | 693 | 369,861 | ||||||
Allstate Corp. (The) | 15,246 | 1,550,823 | ||||||
Ambac Financial Group, Inc.* (a) | 2,310 | 39,732 | ||||||
American Equity Investment Life Holding Co.(a) | 30,723 | 645,797 | ||||||
American Financial Group, Inc.(a) | 3,465 | 229,522 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 95 |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Insurance – (continued) | ||||||||
American International Group, Inc. | 41,349 | $ | 1,051,505 | |||||
American National Insurance Co. | 3,003 | 241,742 | ||||||
AMERISAFE, Inc. | 693 | 44,123 | ||||||
Aon plc | 7,392 | 1,276,377 | ||||||
Arch Capital Group Ltd.* | 19,173 | 460,727 | ||||||
Argo Group International Holdings Ltd. | 1,386 | 49,009 | ||||||
Arthur J Gallagher & Co. | 6,006 | 471,471 | ||||||
Assurant, Inc. | 2,772 | 294,497 | ||||||
Assured Guaranty Ltd.(a) | 3,696 | 109,882 | ||||||
Athene Holding Ltd., Class A* | 5,544 | 149,688 | ||||||
Axis Capital Holdings Ltd. | 29,337 | 1,073,734 | ||||||
Benefytt Technologies, Inc.* (a) | 3,696 | 96,577 | ||||||
Brighthouse Financial, Inc.* (a) | 38,346 | 985,876 | ||||||
Brown & Brown, Inc. | 7,392 | 265,447 | ||||||
Chubb Ltd. | 21,483 | 2,320,379 | ||||||
Cincinnati Financial Corp. | 4,851 | 319,196 | ||||||
CNO Financial Group, Inc.(a) | 52,899 | 743,760 | ||||||
eHealth, Inc.* | 693 | 73,943 | ||||||
Employers Holdings, Inc.(a) | 1,155 | 35,077 | ||||||
Enstar Group Ltd.* | 462 | 66,814 | ||||||
Erie Indemnity Co., Class A(a) | 693 | 123,396 | ||||||
Everest Re Group Ltd. | 1,848 | 319,944 | ||||||
FBL Financial Group, Inc., Class A | 3,465 | 135,412 | ||||||
Fidelity National Financial, Inc. | 13,629 | 368,664 | ||||||
First American Financial Corp. | 5,313 | 245,036 | ||||||
Genworth Financial, Inc., Class A* | 176,253 | 639,798 | ||||||
Globe Life, Inc.(a) | 3,234 | 266,288 | ||||||
Goosehead Insurance, Inc., Class A* (a) | 462 | 25,937 | ||||||
Greenlight Capital Re Ltd., Class A* (a) | 9,702 | 63,257 | ||||||
Hallmark Financial Services, Inc.* | 6,237 | 26,944 | ||||||
Hanover Insurance Group, Inc. (The) | 13,629 | 1,368,079 | ||||||
Hartford Financial Services Group, Inc. (The) | 17,556 | 666,952 |
Investments | Shares | Value | ||||||
Insurance – (continued) | ||||||||
HCI Group, Inc.(a) | 2,310 | $ | 96,212 | |||||
Heritage Insurance Holdings, Inc. | 9,009 | 102,162 | ||||||
Horace Mann Educators Corp.(a) | 1,617 | 56,854 | ||||||
James River Group Holdings Ltd. | 1,155 | 40,979 | ||||||
Kemper Corp.(a) | 21,945 | 1,475,143 | ||||||
Kinsale Capital Group, Inc.(a) | 693 | 75,274 | ||||||
Lincoln National Corp.(a) | 9,471 | 335,936 | ||||||
Loews Corp. | 12,012 | 416,336 | ||||||
Markel Corp.* | 463 | 400,884 | ||||||
Marsh & McLennan Cos., Inc. | 15,939 | 1,551,343 | ||||||
MBIA, Inc.* (a) | 28,182 | 229,402 | ||||||
Mercury General Corp. | 9,471 | 387,932 | ||||||
MetLife, Inc. | 37,191 | 1,341,851 | ||||||
National General Holdings Corp. | 23,100 | 439,593 | ||||||
National Western Life Group, Inc., Class A | 693 | 133,562 | ||||||
Old Republic International Corp. | 13,398 | 213,698 | ||||||
Palomar Holdings, Inc.* (a) | 693 | 40,541 | ||||||
Primerica, Inc. | 1,386 | 144,019 | ||||||
Principal Financial Group, Inc. | 12,012 | 437,357 | ||||||
ProAssurance Corp. | 2,079 | 44,470 | ||||||
Progressive Corp. (The) | 27,951 | 2,160,612 | ||||||
Prudential Financial, Inc. | 19,173 | 1,195,820 | ||||||
Reinsurance Group of America, Inc. | 3,003 | 314,354 | ||||||
RenaissanceRe Holdings Ltd. | 2,079 | 303,555 | ||||||
RLI Corp.(a) | 1,617 | 117,766 | ||||||
Safety Insurance Group, Inc.(a) | 462 | 38,863 | ||||||
Selective Insurance Group, Inc. | 2,310 | 115,800 | ||||||
State Auto Financial Corp. | 924 | 23,183 | ||||||
Stewart Information Services Corp.(a) | 8,316 | 264,948 | ||||||
Third Point Reinsurance Ltd.* | 28,182 | 209,674 | ||||||
Travelers Cos., Inc. (The) | 12,243 | 1,239,114 | ||||||
Trupanion, Inc.* (a) | 1,155 | 34,546 | ||||||
United Fire Group, Inc. | 924 | 26,426 | ||||||
United Insurance Holdings Corp. | 7,392 | 63,202 |
See Accompanying Notes to the Financial Statements.
96 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Insurance – (continued) | ||||||||
Universal Insurance Holdings, Inc. | 10,857 | $ | 197,923 | |||||
Unum Group(a) | 9,471 | 165,269 | ||||||
Watford Holdings Ltd.* | 1,386 | 17,117 | ||||||
Willis Towers Watson plc | 4,158 | 741,330 | ||||||
WR Berkley Corp. | 4,620 | 249,480 | ||||||
33,956,764 | ||||||||
Interactive Media & Services – 3.5% | ||||||||
Alphabet, Inc., Class A* | 9,471 | 12,754,596 | ||||||
Alphabet, Inc., Class C* | 9,471 | 12,773,159 | ||||||
ANGI Homeservices, Inc., Class A* (a) | 2,079 | 14,085 | ||||||
Cargurus, Inc.* | 2,772 | 63,423 | ||||||
Cars.com, Inc.* (a) | 23,562 | 122,051 | ||||||
Eventbrite, Inc., Class A* (a) | 2,541 | 23,174 | ||||||
Facebook, Inc., Class A* | 75,999 | 15,557,755 | ||||||
IAC/interactivecorp* | 2,310 | 516,239 | ||||||
Match Group, Inc.* (a) | 2,079 | 160,000 | ||||||
Pinterest, Inc., Class A* | 3,927 | 81,132 | ||||||
Snap, Inc., Class A* (a) | 24,948 | 439,334 | ||||||
TripAdvisor, Inc. | 4,158 | 83,035 | ||||||
Twitter, Inc.* | 24,486 | 702,259 | ||||||
Yelp, Inc.* (a) | 2,541 | 56,791 | ||||||
Zillow Group, Inc., Class A* (a) | 924 | 40,231 | ||||||
Zillow Group, Inc., Class C* (a) | 4,158 | 182,786 | ||||||
43,570,050 | ||||||||
Internet & Direct Marketing Retail – 3.2% | ||||||||
Amazon.com, Inc.* | 13,167 | 32,575,158 | ||||||
Booking Holdings, Inc.* | 1,388 | 2,055,031 | ||||||
Chewy, Inc., Class A* (a) | 18,711 | 809,064 | ||||||
eBay, Inc. | 24,255 | 966,077 | ||||||
Etsy, Inc.* (a) | 3,696 | 239,760 | ||||||
Expedia Group, Inc. | 4,389 | 311,531 | ||||||
Groupon, Inc.* (a) | 157,542 | 192,201 | ||||||
GrubHub, Inc.* (a) | 3,465 | 165,592 | ||||||
Lands’ End, Inc.* (a) | 2,541 | 21,624 | ||||||
MercadoLibre, Inc.* | 1,386 | 808,745 | ||||||
PetMed Express, Inc.(a) | 924 | 36,563 |
Investments | Shares | Value | ||||||
Internet & Direct Marketing Retail – (continued) | ||||||||
Quotient Technology, Inc.* | 2,541 | $ | 18,244 | |||||
Qurate Retail, Inc., Series A* (a) | 135,366 | 1,090,373 | ||||||
Shutterstock, Inc.(a) | 693 | 26,334 | ||||||
Stamps.com, Inc.* (a) | 693 | 109,681 | ||||||
Stitch Fix, Inc., Class A* (a) | 1,386 | 22,245 | ||||||
Wayfair, Inc., Class A* (a) | 3,234 | 401,145 | ||||||
39,849,368 | ||||||||
IT Services – 4.4% | ||||||||
Accenture plc, Class A | 20,097 | 3,721,763 | ||||||
Akamai Technologies, Inc.* | 5,082 | 496,562 | ||||||
Alliance Data Systems Corp. | 14,322 | 717,103 | ||||||
Automatic Data Processing, Inc. | 13,629 | 1,999,238 | ||||||
Black Knight, Inc.* (a) | 4,620 | 326,033 | ||||||
Booz Allen Hamilton Holding Corp. | 4,389 | 322,328 | ||||||
Broadridge Financial Solutions, Inc. | 3,465 | 401,940 | ||||||
CACI International, Inc., Class A* | 924 | 231,129 | ||||||
Cardtronics plc, Class A* (a) | 1,386 | 31,739 | ||||||
Cass Information Systems, Inc.(a) | 231 | 9,265 | ||||||
Cognizant Technology Solutions Corp., Class A | 17,325 | 1,005,197 | ||||||
Conduent, Inc.* | 58,674 | 147,859 | ||||||
CSG Systems International, Inc. | 1,155 | 56,110 | ||||||
DXC Technology Co.(a) | 12,243 | 221,966 | ||||||
Endurance International Group Holdings, Inc.* | 29,106 | 74,657 | ||||||
EPAM Systems, Inc.* (a) | 1,617 | 357,179 | ||||||
Euronet Worldwide, Inc.* (a) | 1,617 | 148,376 | ||||||
EVERTEC, Inc. | 2,310 | 58,535 | ||||||
Evo Payments, Inc., Class A* | 1,848 | 36,794 | ||||||
ExlService Holdings, Inc.* (a) | 1,386 | 85,558 | ||||||
Fidelity National Information Services, Inc. | 19,404 | 2,559,194 | ||||||
Fiserv, Inc.* | 18,018 | 1,856,935 | ||||||
FleetCor Technologies, Inc.* (a) | 2,772 | 668,745 | ||||||
Gartner, Inc.* | 2,772 | 329,341 | ||||||
Genpact Ltd.(a) | 4,851 | 167,020 | ||||||
Global Payments, Inc. | 9,471 | 1,572,375 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 97 |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
IT Services – (continued) | ||||||||
GoDaddy, Inc., Class A* | 5,544 | $ | 384,920 | |||||
GreenSky, Inc., Class A* (a) | 14,784 | 64,163 | ||||||
GTT Communications, Inc.* (a) | 10,395 | 118,087 | ||||||
International Business Machines Corp. | 42,273 | 5,307,798 | ||||||
Jack Henry & Associates, Inc.(a) | 2,541 | 415,581 | ||||||
KBR, Inc. | 5,313 | 107,641 | ||||||
Leidos Holdings, Inc. | 4,158 | 410,852 | ||||||
Limelight Networks, Inc.* (a) | 4,851 | 24,595 | ||||||
LiveRamp Holdings, Inc.* (a) | 2,541 | 96,202 | ||||||
ManTech International Corp., Class A(a) | 924 | 68,894 | ||||||
Mastercard, Inc., Class A | 27,951 | 7,685,687 | ||||||
MAXIMUS, Inc. | 2,310 | 155,509 | ||||||
MongoDB, Inc.* (a) | 1,155 | 187,260 | ||||||
NIC, Inc.(a) | 2,541 | 61,568 | ||||||
Okta, Inc.* | 3,465 | 524,255 | ||||||
Paychex, Inc. | 10,164 | 696,437 | ||||||
PayPal Holdings, Inc.* | 37,191 | 4,574,493 | ||||||
Perficient, Inc.* (a) | 1,386 | 48,274 | ||||||
Perspecta, Inc.(a) | 48,048 | 1,036,395 | ||||||
Sabre Corp. | 4,446 | 32,322 | ||||||
Science Applications International Corp. | 17,094 | 1,395,896 | ||||||
Square, Inc., Class A* (a) | 10,857 | 707,225 | ||||||
Switch, Inc., Class A(a) | 2,079 | 35,696 | ||||||
Sykes Enterprises, Inc.* (a) | 13,629 | 390,198 | ||||||
TTEC Holdings, Inc. | 693 | 27,013 | ||||||
Tucows, Inc., Class A* (a) | 462 | 24,444 | ||||||
Twilio, Inc., Class A* (a) | 3,927 | 441,002 | ||||||
Unisys Corp.* (a) | 18,249 | 229,755 | ||||||
VeriSign, Inc.* | 3,234 | 677,491 | ||||||
Verra Mobility Corp.* (a) | 7,161 | 64,163 | ||||||
Virtusa Corp.* (a) | 1,155 | 38,115 | ||||||
Visa, Inc., Class A(a) | 54,054 | 9,660,531 | ||||||
Western Union Co. (The)(a) | 20,097 | 383,250 | ||||||
WEX, Inc.* (a) | 1,386 | 183,396 | ||||||
53,862,049 | ||||||||
Leisure Products – 0.1% | ||||||||
Acushnet Holdings Corp.(a) | 1,386 | 37,976 |
Investments | Shares | Value | ||||||
Leisure Products – (continued) | ||||||||
American Outdoor Brands Corp.* | 20,328 | $ | 192,405 | |||||
Brunswick Corp.(a) | 3,003 | 143,303 | ||||||
Callaway Golf Co.(a) | 5,313 | 76,082 | ||||||
Hasbro, Inc. | 3,927 | 283,569 | ||||||
Johnson Outdoors, Inc., Class A(a) | 462 | 31,582 | ||||||
Malibu Boats, Inc., Class A* (a) | 7,161 | 246,195 | ||||||
MasterCraft Boat Holdings, Inc.* (a) | 6,699 | 70,005 | ||||||
Mattel, Inc.* (a) | 12,936 | 112,802 | ||||||
Peloton Interactive, Inc., Class A* | 1,617 | 50,936 | ||||||
Polaris, Inc.(a) | 2,079 | 147,463 | ||||||
Sturm Ruger & Co., Inc. | 693 | 36,868 | ||||||
Vista Outdoor, Inc.* | 2,310 | 23,377 | ||||||
YETI Holdings, Inc.* (a) | 1,617 | 44,645 | ||||||
1,497,208 | ||||||||
Life Sciences Tools & Services – 0.9% | ||||||||
10X Genomics, Inc., Class A* | 462 | 36,900 | ||||||
Accelerate Diagnostics, Inc.* (a) | 1,617 | 17,642 | ||||||
Agilent Technologies, Inc. | 9,702 | 743,755 | ||||||
Avantor, Inc.* (a) | 7,161 | 120,377 | ||||||
Bio-Rad Laboratories, Inc., Class A* | 693 | 304,989 | ||||||
Bio-Techne Corp. | 1,155 | 259,875 | ||||||
Bruker Corp.(a) | 3,234 | 127,161 | ||||||
Charles River Laboratories International, Inc.* | 1,617 | 233,931 | ||||||
Codexis, Inc.* | 2,079 | 24,137 | ||||||
Illumina, Inc.* | 4,620 | 1,473,919 | ||||||
IQVIA Holdings, Inc.* | 5,775 | 823,457 | ||||||
Luminex Corp.(a) | 1,386 | 49,965 | ||||||
Medpace Holdings, Inc.* (a) | 1,155 | 92,238 | ||||||
Mettler-Toledo International, Inc.* (a) | 693 | 498,919 | ||||||
NanoString Technologies, Inc.* (a) | 1,386 | 44,019 | ||||||
NeoGenomics, Inc.* (a) | 3,927 | 107,364 | ||||||
PerkinElmer, Inc. | 3,465 | 313,687 | ||||||
PRA Health Sciences, Inc.* (a) | 2,079 | 200,624 |
See Accompanying Notes to the Financial Statements.
98 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Life Sciences Tools & Services – (continued) | ||||||||
Repligen Corp.* (a) | 1,848 | $ | 214,645 | |||||
Syneos Health, Inc.* (a) | 21,714 | 1,211,424 | ||||||
Thermo Fisher Scientific, Inc. | 12,705 | 4,252,109 | ||||||
Waters Corp.* (a) | 2,079 | 388,773 | ||||||
11,539,910 | ||||||||
Machinery – 1.9% | ||||||||
AGCO Corp. | 2,772 | 146,472 | ||||||
Alamo Group, Inc. | 462 | 45,479 | ||||||
Albany International Corp., Class A(a) | 1,155 | 59,067 | ||||||
Allison Transmission Holdings, Inc. | 5,313 | 193,074 | ||||||
Altra Industrial Motion Corp.(a) | 22,638 | 631,827 | ||||||
Astec Industries, Inc.(a) | 693 | 27,796 | ||||||
Barnes Group, Inc.(a) | 1,848 | 70,926 | ||||||
Blue Bird Corp.* | 5,313 | 65,191 | ||||||
Briggs & Stratton Corp.(a) | 1,848 | 4,195 | ||||||
Caterpillar, Inc. | 26,334 | 3,064,751 | ||||||
Chart Industries, Inc.* (a) | 1,386 | 49,508 | ||||||
CIRCOR International, Inc.* (a) | 924 | 13,795 | ||||||
Colfax Corp.* (a) | 30,030 | 774,474 | ||||||
Columbus McKinnon Corp. | 924 | 25,022 | ||||||
Crane Co. | 1,848 | 100,624 | ||||||
Cummins, Inc. | 7,161 | 1,170,824 | ||||||
Deere & Co. | 9,933 | 1,440,881 | ||||||
Donaldson Co., Inc.(a) | 3,696 | 161,996 | ||||||
Douglas Dynamics, Inc. | 924 | 34,151 | ||||||
Dover Corp. | 4,620 | 432,663 | ||||||
Enerpac Tool Group Corp. | 2,079 | 35,468 | ||||||
EnPro Industries, Inc. | 924 | 41,903 | ||||||
ESCO Technologies, Inc.(a) | 1,155 | 88,127 | ||||||
Evoqua Water Technologies Corp.* | 2,310 | 37,076 | ||||||
Federal Signal Corp.(a) | 2,310 | 62,208 | ||||||
Flowserve Corp.(a) | 4,158 | 117,131 | ||||||
Fortive Corp. | 9,471 | 606,144 | ||||||
Franklin Electric Co., Inc. | 1,386 | 70,409 | ||||||
Gates Industrial Corp. plc* (a) | 16,401 | 140,885 | ||||||
Gorman-Rupp Co. (The) | 924 | 27,258 | ||||||
Graco, Inc.(a) | 5,313 | 237,279 | ||||||
Greenbrier Cos., Inc. (The)(a) | 11,550 | 196,119 |
Investments | Shares | Value | ||||||
Machinery – (continued) | ||||||||
Helios Technologies, Inc. | 1,155 | $ | 41,083 | |||||
Hillenbrand, Inc.(a) | 26,334 | 551,697 | ||||||
Hyster-Yale Materials Handling, Inc.(a) | 462 | 18,036 | ||||||
IDEX Corp. | 2,310 | 354,885 | ||||||
Illinois Tool Works, Inc. | 9,240 | 1,501,500 | ||||||
Ingersoll Rand, Inc.* (a) | 10,920 | 317,554 | ||||||
ITT, Inc. | 3,234 | 170,496 | ||||||
John Bean Technologies Corp.(a) | 1,155 | 88,635 | ||||||
Kadant, Inc.(a) | 462 | 38,850 | ||||||
Kennametal, Inc.(a) | 29,106 | 745,405 | ||||||
Lincoln Electric Holdings, Inc.(a) | 1,848 | 148,782 | ||||||
Lindsay Corp. | 462 | 41,580 | ||||||
Luxfer Holdings plc | 1,386 | 18,808 | ||||||
Lydall, Inc.* | 6,237 | 69,854 | ||||||
Manitowoc Co., Inc. (The)* | 12,705 | 117,140 | ||||||
Meritor, Inc.* (a) | 25,872 | 530,376 | ||||||
Middleby Corp. (The)* (a) | 1,617 | 89,954 | ||||||
Miller Industries, Inc. | 3,927 | 119,302 | ||||||
Mueller Industries, Inc. | 2,541 | 65,812 | ||||||
Mueller Water Products, Inc., Class A(a) | 6,468 | 61,381 | ||||||
Navistar International Corp.* | 22,869 | 543,596 | ||||||
NN, Inc.(a) | 15,477 | 53,396 | ||||||
Nordson Corp.(a) | 1,617 | 260,191 | ||||||
Oshkosh Corp.(a) | 3,234 | 218,392 | ||||||
Otis Worldwide Corp.* | 1 | 25 | ||||||
PACCAR, Inc. | 16,401 | 1,135,441 | ||||||
Parker-Hannifin Corp. | 4,158 | 657,463 | ||||||
Park-Ohio Holdings Corp.(a) | 3,003 | 55,045 | ||||||
Pentair plc | 5,082 | 175,786 | ||||||
Proto Labs, Inc.* (a) | 924 | 93,869 | ||||||
RBC Bearings, Inc.* (a) | 924 | 117,052 | ||||||
REV Group, Inc.(a) | 1,155 | 6,145 | ||||||
Rexnord Corp. | 42,735 | 1,165,383 | ||||||
Snap-on, Inc. | 2,541 | 331,067 | ||||||
SPX Corp.* (a) | 1,848 | 70,464 | ||||||
SPX FLOW, Inc.* (a) | 1,848 | 60,189 | ||||||
Standex International Corp. | 462 | 23,026 | ||||||
Stanley Black & Decker, Inc.(a) | 4,851 | 534,580 | ||||||
Tennant Co. | 462 | 27,337 | ||||||
Terex Corp.(a) | 23,100 | 350,889 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 99 |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Machinery – (continued) | ||||||||
Timken Co. (The) | 23,793 | $ | 894,141 | |||||
Toro Co. (The)(a) | 3,234 | 206,362 | ||||||
TriMas Corp.* | 1,848 | 44,056 | ||||||
Trinity Industries, Inc.(a) | 3,696 | 71,296 | ||||||
Wabash National Corp. | 18,942 | 155,324 | ||||||
WABCO Holdings, Inc.* | 1,617 | 217,292 | ||||||
Watts Water Technologies, Inc., Class A | 924 | 76,138 | ||||||
Welbilt, Inc.* (a) | 3,696 | 18,221 | ||||||
Westinghouse Air Brake Technologies Corp.(a) | 5,775 | 325,826 | ||||||
Woodward, Inc.(a) | 1,848 | 111,915 | ||||||
Xylem, Inc. | 5,775 | 415,223 | ||||||
23,678,983 | ||||||||
Marine – 0.1% | ||||||||
Eagle Bulk Shipping, Inc.* | 27,258 | 45,793 | ||||||
Genco Shipping & Trading Ltd. | 4,620 | 26,935 | ||||||
Kirby Corp.* (a) | 2,310 | 123,400 | ||||||
Matson, Inc.(a) | 15,015 | 454,054 | ||||||
650,182 | ||||||||
Media – 1.6% | ||||||||
Altice USA, Inc., Class A* | 9,471 | 245,962 | ||||||
AMC Networks, Inc., Class A* (a) | 15,477 | 369,126 | ||||||
Boston Omaha Corp., Class A* (a) | 3,696 | 59,986 | ||||||
Cable One, Inc. | 231 | 441,871 | ||||||
Cardlytics, Inc.* (a) | 462 | 20,767 | ||||||
Central European Media Enterprises Ltd., Class A* | 32,109 | 124,904 | ||||||
Charter Communications, Inc., Class A* (a) | 4,851 | 2,402,361 | ||||||
Clear Channel Outdoor Holdings, Inc.* | 127,974 | 123,469 | ||||||
Comcast Corp., Class A | 216,447 | 8,144,901 | ||||||
Discovery, Inc., Class A* (a) | 7,623 | 170,908 | ||||||
Discovery, Inc., Class C* | 15,560 | 317,580 | ||||||
DISH Network Corp., Class A* | 11,550 | 288,923 | ||||||
Emerald Holding, Inc. | 4,851 | 11,060 | ||||||
Entercom Communications Corp., Class A(a) | 41,580 | 50,727 |
Investments | Shares | Value | ||||||
Media – (continued) | ||||||||
EW Scripps Co. (The), Class A(a) | 3,465 | $ | 27,962 | |||||
Fox Corp., Class A | 16,863 | 436,246 | ||||||
Fox Corp., Class B | 7,623 | 194,844 | ||||||
Gray Television, Inc.* (a) | 3,234 | 37,547 | ||||||
iHeartMedia, Inc., Class A* (a) | 20,097 | 141,081 | ||||||
Interpublic Group of Cos., Inc. (The)(a) | 18,480 | 313,790 | ||||||
John Wiley & Sons, Inc., Class A | 1,617 | 60,718 | ||||||
Liberty Broadband Corp., Class A* | 693 | 83,174 | ||||||
Liberty Broadband Corp., Class C* | 5,082 | 623,460 | ||||||
Liberty Latin America Ltd., Class A* | 15,477 | 165,604 | ||||||
Liberty Latin America Ltd., Class C* | 40,425 | 417,994 | ||||||
Liberty Media Corp-Liberty SiriusXM, Class A* | 2,541 | 85,657 | ||||||
Liberty Media Corp-Liberty SiriusXM, Class C* | 4,158 | 141,663 | ||||||
Meredith Corp.(a) | 14,091 | 208,969 | ||||||
MSG Networks, Inc., Class A* (a) | 16,401 | 194,844 | ||||||
National CineMedia, Inc.(a) | 24,024 | 79,279 | ||||||
New York Times Co. (The), Class A(a) | 5,544 | 180,291 | ||||||
News Corp., Class A(a) | 12,243 | 121,328 | ||||||
News Corp., Class B | 3,927 | 40,134 | ||||||
Nexstar Media Group, Inc., Class A(a) | 16,170 | 1,132,547 | ||||||
Omnicom Group, Inc.(a) | 10,395 | 592,827 | ||||||
Scholastic Corp.(a) | 1,155 | 33,576 | ||||||
Sinclair Broadcast Group, Inc., Class A(a) | 2,541 | 44,849 | ||||||
Sirius XM Holdings, Inc. | 43,659 | 258,025 | ||||||
TechTarget, Inc.* | 231 | 5,387 | ||||||
TEGNA, Inc.(a) | 75,999 | 814,709 | ||||||
Tribune Publishing Co. | 6,699 | 57,410 | ||||||
ViacomCBS, Inc.(a) | 25,641 | 442,564 | ||||||
WideOpenWest, Inc.* (a) | 4,851 | 28,718 | ||||||
19,737,742 |
See Accompanying Notes to the Financial Statements.
100 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Metals & Mining – 0.6% | ||||||||
Alcoa Corp.* | 65,142 | $ | 530,907 | |||||
Allegheny Technologies, Inc.* (a) | 44,121 | 331,349 | ||||||
Carpenter Technology Corp.(a) | 16,632 | 368,731 | ||||||
Century Aluminum Co.* (a) | 17,787 | 77,373 | ||||||
Cleveland-Cliffs, Inc.(a) | 139,062 | 609,091 | ||||||
Coeur Mining, Inc.* | 9,240 | 38,900 | ||||||
Commercial Metals Co.(a) | 41,349 | 659,103 | ||||||
Compass Minerals International, Inc.(a) | 1,386 | 68,136 | ||||||
Contura Energy, Inc.* | 6,468 | 24,708 | ||||||
Freeport-McMoRan, Inc.(a) | 46,200 | 407,946 | ||||||
Haynes International, Inc. | 1,155 | 25,525 | ||||||
Hecla Mining Co. | 20,328 | 53,463 | ||||||
Kaiser Aluminum Corp. | 693 | 50,055 | ||||||
Materion Corp. | 693 | 35,856 | ||||||
McEwen Mining, Inc.* (a) | 11,088 | 10,677 | ||||||
Newmont Corp. | 25,872 | 1,538,867 | ||||||
Nucor Corp.(a) | 13,860 | 570,893 | ||||||
Reliance Steel & Aluminum Co. | 3,234 | 289,702 | ||||||
Royal Gold, Inc. | 2,079 | 254,740 | ||||||
Ryerson Holding Corp.* | 8,085 | 37,353 | ||||||
Schnitzer Steel Industries, Inc., Class A(a) | 9,471 | 147,369 | ||||||
Southern Copper Corp.(a) | 2,772 | 89,924 | ||||||
Steel Dynamics, Inc. | 11,088 | 269,106 | ||||||
SunCoke Energy, Inc. | 31,878 | 100,416 | ||||||
United States Steel Corp.(a) | 6,699 | 51,448 | ||||||
Warrior Met Coal, Inc.(a) | 17,787 | 223,227 | ||||||
Worthington Industries, Inc. | 12,936 | 342,028 | ||||||
7,206,893 | ||||||||
Mortgage Real Estate Investment Trusts (REITs) – 0.6% | ||||||||
AG Mortgage Investment Trust, Inc.(a) | 1,386 | 4,421 | ||||||
AGNC Investment Corp.(a) | 25,641 | 318,461 | ||||||
Annaly Capital Management, Inc. | 68,145 | 425,906 | ||||||
Anworth Mortgage Asset Corp. | 35,112 | 60,393 | ||||||
Apollo Commercial Real Estate Finance, Inc.(a) | 50,127 | 408,535 | ||||||
Arbor Realty Trust, Inc.(a) | 33,495 | 230,780 |
Investments | Shares | Value | ||||||
Mortgage Real Estate Investment Trusts (REITs) – (continued) | ||||||||
Ares Commercial Real Estate Corp. | 11,550 | $ | 89,512 | |||||
ARMOUR Residential REIT, Inc. | 20,790 | 183,784 | ||||||
Blackstone Mortgage Trust, Inc., Class A(a) | 46,431 | 1,092,521 | ||||||
Capstead Mortgage Corp.(a) | 33,957 | 176,237 | ||||||
Chimera Investment Corp.(a) | 65,373 | 507,948 | ||||||
Colony Credit Real Estate, Inc.(a) | 25,179 | 121,111 | ||||||
Dynex Capital, Inc.(a) | 8,547 | 122,308 | ||||||
Ellington Financial, Inc.(a) | 14,322 | 148,806 | ||||||
Exantas Capital Corp. | 6,468 | 19,145 | ||||||
Granite Point Mortgage Trust, Inc.(a) | 19,404 | 96,632 | ||||||
Great Ajax Corp.(a) | 6,468 | 56,272 | ||||||
Invesco Mortgage Capital, Inc.(a) | 56,364 | 171,346 | ||||||
KKR Real Estate Finance Trust, Inc.(a) | 8,547 | 134,872 | ||||||
Ladder Capital Corp.(a) | 34,881 | 277,304 | ||||||
MFA Financial, Inc.(a) | 158,235 | 276,911 | ||||||
New Residential Investment Corp.(a) | 20,097 | 122,391 | ||||||
New York Mortgage Trust, Inc.(a) | 128,205 | 279,487 | ||||||
Orchid Island Capital, Inc.(a) | 3,003 | 11,832 | ||||||
PennyMac Mortgage Investment Trust(a) | 35,112 | 365,165 | ||||||
Ready Capital Corp.(a) | 13,597 | 90,692 | ||||||
Redwood Trust, Inc.(a) | 39,732 | 162,901 | ||||||
Starwood Property Trust, Inc. | 13,167 | 170,381 | ||||||
TPG RE Finance Trust, Inc.(a) | 19,635 | 150,993 | ||||||
Two Harbors Investment Corp.(a) | 95,403 | 435,992 | ||||||
Western Asset Mortgage Capital Corp.(a) | 19,173 | 58,478 | ||||||
6,771,517 | ||||||||
Multiline Retail – 0.5% | ||||||||
Big Lots, Inc.(a) | 13,629 | 319,601 | ||||||
Dillard’s, Inc., Class A(a) | 462 | 13,620 | ||||||
Dollar General Corp. | 8,085 | 1,417,300 | ||||||
Dollar Tree, Inc.* | 7,392 | 588,920 | ||||||
JC Penney Co., Inc.* (a) | 106,491 | 27,049 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 101 |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Multiline Retail – (continued) | ||||||||
Kohl’s Corp.(a) | 7,161 | $ | 132,192 | |||||
Macy’s, Inc.(a) | 108,108 | 633,513 | ||||||
Nordstrom, Inc.(a) | 5,082 | 95,440 | ||||||
Ollie’s Bargain Outlet Holdings, Inc.* (a) | 2,079 | 141,185 | ||||||
Target Corp. | 24,255 | 2,661,744 | ||||||
6,030,564 | ||||||||
Multi-Utilities – 0.9% | ||||||||
Ameren Corp. | 7,854 | 571,378 | ||||||
Avista Corp.(a) | 2,541 | 109,365 | ||||||
Black Hills Corp. | 2,310 | 143,081 | ||||||
CenterPoint Energy, Inc. | 24,024 | 409,129 | ||||||
CMS Energy Corp. | 9,009 | 514,324 | ||||||
Consolidated Edison, Inc. | 15,939 | 1,255,993 | ||||||
Dominion Energy, Inc. | 39,270 | 3,028,895 | ||||||
DTE Energy Co. | 9,240 | 958,557 | ||||||
MDU Resources Group, Inc. | 9,471 | 212,719 | ||||||
NiSource, Inc. | 11,781 | 295,821 | ||||||
NorthWestern Corp. | 1,848 | 106,611 | ||||||
Public Service Enterprise Group, Inc. | 24,024 | 1,218,257 | ||||||
Sempra Energy | 9,009 | 1,115,765 | ||||||
Unitil Corp. | 693 | 34,865 | ||||||
WEC Energy Group, Inc. | 9,933 | 899,433 | ||||||
10,874,193 | ||||||||
Oil, Gas & Consumable Fuels – 3.6% | ||||||||
Amplify Energy Corp.(a) | 15,246 | 20,125 | ||||||
Antero Midstream Corp.(a) | 98,637 | 468,526 | ||||||
Antero Resources Corp.* (a) | 70,917 | 211,333 | ||||||
Apache Corp.(a) | 12,012 | 157,117 | ||||||
Arch Coal, Inc., Class A(a) | 5,313 | 155,086 | ||||||
Berry Corp.(a) | 14,322 | 49,124 | ||||||
Bonanza Creek Energy, Inc.* | 6,699 | 116,965 | ||||||
Cabot Oil & Gas Corp. | 19,404 | 419,514 | ||||||
Callon Petroleum Co.* (a) | 166,089 | 156,074 | ||||||
Centennial Resource Development, Inc., Class A* (a) | 104,874 | 123,751 | ||||||
Cheniere Energy, Inc.* | 7,392 | 345,133 | ||||||
Chesapeake Energy Corp.* (a) | 2,399 | 41,983 |
Investments | Shares | Value | ||||||
Oil, Gas & Consumable Fuels – (continued) | ||||||||
Chevron Corp. | 90,090 | $ | 8,288,280 | |||||
Cimarex Energy Co. | 35,805 | 910,163 | ||||||
Clean Energy Fuels Corp.* | 5,544 | 11,947 | ||||||
CNX Resources Corp.* (a) | 65,373 | 692,954 | ||||||
Concho Resources, Inc. | 6,468 | 366,865 | ||||||
ConocoPhillips | 52,206 | 2,197,873 | ||||||
CONSOL Energy, Inc.* | 9,009 | 68,378 | ||||||
Continental Resources, Inc.(a) | 3,234 | 53,005 | ||||||
CVR Energy, Inc.(a) | 10,164 | 242,411 | ||||||
Delek US Holdings, Inc.(a) | 26,103 | 609,505 | ||||||
Denbury Resources, Inc.* (a) | 174,405 | 62,001 | ||||||
Devon Energy Corp. | 18,711 | 233,326 | ||||||
Diamond S Shipping, Inc.* | 693 | 8,600 | ||||||
Diamondback Energy, Inc. | 7,623 | 331,905 | ||||||
Dorian LPG Ltd.* | 9,933 | 94,264 | ||||||
EOG Resources, Inc. | 27,720 | 1,316,977 | ||||||
EQT Corp.(a) | 89,397 | 1,304,302 | ||||||
Equitrans Midstream Corp.(a) | 69,762 | 584,606 | ||||||
Exxon Mobil Corp. | 201,663 | 9,371,280 | ||||||
Gran Tierra Energy, Inc.* (a) | 131,670 | 44,689 | ||||||
Green Plains, Inc.(a) | 12,474 | 73,222 | ||||||
Gulfport Energy Corp.* (a) | 51,975 | 132,796 | ||||||
Hess Corp. | 8,085 | 393,254 | ||||||
HollyFrontier Corp. | 6,930 | 228,967 | ||||||
International Seaways, Inc. | 924 | 22,361 | ||||||
Kinder Morgan, Inc. | 92,631 | 1,410,770 | ||||||
Kosmos Energy Ltd.(a) | 127,281 | 210,014 | ||||||
Laredo Petroleum, Inc.* | 64,449 | 70,249 | ||||||
Magnolia Oil & Gas Corp., Class A* (a) | 4,389 | 28,397 | ||||||
Marathon Oil Corp.(a) | 38,346 | 234,678 | ||||||
Marathon Petroleum Corp. | 30,492 | 978,183 | ||||||
Matador Resources Co.* (a) | 38,577 | 271,582 | ||||||
Murphy Oil Corp.(a) | 51,282 | 608,205 | ||||||
Noble Energy, Inc.(a) | 23,100 | 226,611 | ||||||
Northern Oil and Gas, Inc.* (a) | 72,303 | 60,532 | ||||||
Oasis Petroleum, Inc.* (a) | 102,795 | 72,357 | ||||||
Occidental Petroleum Corp.(a) | 42,735 | 709,401 | ||||||
ONEOK, Inc.(a) | 13,860 | 414,830 | ||||||
Par Pacific Holdings, Inc.* | 231 | 2,245 | ||||||
Parsley Energy, Inc., Class A(a) | 108,339 | 1,023,804 | ||||||
PBF Energy, Inc., Class A(a) | 35,805 | 408,177 |
See Accompanying Notes to the Financial Statements.
102 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Oil, Gas & Consumable Fuels – (continued) | ||||||||
PDC Energy, Inc.* (a) | 34,359 | $ | 446,323 | |||||
Penn Virginia Corp.* | 3,003 | 18,889 | ||||||
Phillips 66 | 21,252 | 1,555,009 | ||||||
Pioneer Natural Resources Co. | 7,854 | 701,441 | ||||||
QEP Resources, Inc.(a) | 79,464 | 78,352 | ||||||
Range Resources Corp.(a) | 73,227 | 426,913 | ||||||
Renewable Energy Group, Inc.* (a) | 13,629 | 338,136 | ||||||
REX American Resources Corp.* | 231 | 13,740 | ||||||
SM Energy Co.(a) | 36,267 | 146,881 | ||||||
Southwestern Energy Co.* (a) | 189,651 | 612,573 | ||||||
Talos Energy, Inc.* (a) | 7,161 | 81,564 | ||||||
Targa Resources Corp.(a) | 11,319 | 146,694 | ||||||
Tellurian, Inc.* (a) | 8,778 | 12,465 | ||||||
Valero Energy Corp. | 19,404 | 1,229,243 | ||||||
W&T Offshore, Inc.* | 37,653 | 104,299 | ||||||
Williams Cos., Inc. (The) | 38,346 | 742,762 | ||||||
World Fuel Services Corp. | 22,869 | 571,725 | ||||||
WPX Energy, Inc.* (a) | 15,939 | 97,706 | ||||||
43,963,412 | ||||||||
Paper & Forest Products – 0.1% | ||||||||
Boise Cascade Co. | 1,386 | 43,340 | ||||||
Clearwater Paper Corp.* | 6,006 | 143,784 | ||||||
Domtar Corp. | 20,097 | 469,466 | ||||||
Louisiana-Pacific Corp. | 4,389 | 87,780 | ||||||
Mercer International, Inc. | 14,322 | 144,366 | ||||||
Neenah, Inc. | 693 | 33,860 | ||||||
PH Glatfelter Co. | 1,848 | 26,981 | ||||||
Resolute Forest Products, Inc.* | 31,647 | 76,269 | ||||||
Schweitzer-Mauduit International, Inc.(a) | 10,857 | 349,812 | ||||||
Verso Corp., Class A* (a) | 12,243 | 170,055 | ||||||
1,545,713 | ||||||||
Personal Products – 0.2% | ||||||||
BellRing Brands, Inc., Class A* | 13,629 | 238,916 | ||||||
Coty, Inc., Class A | 14,322 | 78,055 | ||||||
Edgewell Personal Care Co.* | 18,942 | 522,989 | ||||||
elf Beauty, Inc.* (a) | 1,155 | 15,096 |
Investments | Shares | Value | ||||||
Personal Products – (continued) | ||||||||
Estee Lauder Cos., Inc. (The), Class A | 6,930 | $ | 1,222,452 | |||||
Herbalife Nutrition Ltd.* | 3,003 | 112,162 | ||||||
Inter Parfums, Inc. | 693 | 30,970 | ||||||
Medifast, Inc. | 462 | 35,056 | ||||||
Nu Skin Enterprises, Inc., Class A | 19,635 | 573,538 | ||||||
Revlon, Inc., Class A* (a) | 1,155 | 15,385 | ||||||
USANA Health Sciences, Inc.* (a) | 462 | 41,220 | ||||||
2,885,839 | ||||||||
Pharmaceuticals – 4.0% | ||||||||
Aerie Pharmaceuticals, Inc.* (a) | 1,617 | 24,643 | ||||||
Allergan plc | 15,708 | 2,942,737 | ||||||
Amneal Pharmaceuticals, Inc.* (a) | 43,428 | 157,644 | ||||||
Amphastar Pharmaceuticals, Inc.* | 1,617 | 27,408 | ||||||
ANI Pharmaceuticals, Inc.* (a) | 462 | 18,485 | ||||||
Arvinas, Inc.* (a) | 693 | 36,382 | ||||||
Axsome Therapeutics, Inc.* (a) | 924 | 87,808 | ||||||
Bristol-Myers Squibb Co. | 111,804 | 6,798,801 | ||||||
Cara Therapeutics, Inc.* (a) | 2,079 | 30,811 | ||||||
Catalent, Inc.* (a) | 4,851 | 335,447 | ||||||
Collegium Pharmaceutical, Inc.* (a) | 1,155 | 23,885 | ||||||
Corcept Therapeutics, Inc.* (a) | 3,927 | 49,716 | ||||||
Cymabay Therapeutics, Inc.* | 23,562 | 41,705 | ||||||
Elanco Animal Health, Inc.* (a) | 12,474 | 308,232 | ||||||
Eli Lilly and Co. | 26,796 | 4,143,733 | ||||||
Endo International plc* (a) | 68,376 | 314,530 | ||||||
Horizon Therapeutics plc* | 7,161 | 258,082 | ||||||
Innoviva, Inc.* (a) | 24,024 | 340,660 | ||||||
Intra-Cellular Therapies, Inc.* (a) | 2,079 | 36,736 | ||||||
Jazz Pharmaceuticals plc* | 2,772 | 305,613 | ||||||
Johnson & Johnson | 83,160 | 12,477,326 | ||||||
Lannett Co., Inc.* (a) | 11,088 | 105,779 | ||||||
Merck & Co., Inc. | 80,388 | 6,377,984 | ||||||
Mylan NV* | 24,717 | 414,504 | ||||||
MyoKardia, Inc.* (a) | 1,848 | 116,091 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 103 |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Pharmaceuticals – (continued) | ||||||||
Nektar Therapeutics* (a) | 6,006 | $ | 115,315 | |||||
Odonate Therapeutics, Inc.* (a) | 4,158 | 117,048 | ||||||
Omeros Corp.* (a) | 2,079 | 34,553 | ||||||
Optinose, Inc.* (a) | 693 | 2,800 | ||||||
Pacira BioSciences, Inc.* (a) | 1,617 | 66,766 | ||||||
Perrigo Co. plc | 6,468 | 344,744 | ||||||
Pfizer, Inc. | 263,802 | 10,119,445 | ||||||
Phibro Animal Health Corp., Class A | 1,155 | 30,850 | ||||||
Prestige Consumer Healthcare, Inc.* (a) | 17,556 | 714,354 | ||||||
Reata Pharmaceuticals, Inc., Class A* (a) | 924 | 146,140 | ||||||
Revance Therapeutics, Inc.* | 2,310 | 42,758 | ||||||
Supernus Pharmaceuticals, Inc.* (a) | 2,079 | 48,649 | ||||||
Theravance Biopharma, Inc.* | 1,848 | 53,888 | ||||||
Zoetis, Inc. | 15,015 | 1,941,590 | ||||||
Zogenix, Inc.* | 2,310 | 65,211 | ||||||
49,618,853 | ||||||||
Professional Services – 0.6% | ||||||||
ASGN, Inc.* (a) | 18,480 | 858,396 | ||||||
CBIZ, Inc.* | 2,310 | 54,863 | ||||||
CoreLogic, Inc. | 3,003 | 115,375 | ||||||
CoStar Group, Inc.* | 1,155 | 748,740 | ||||||
CRA International, Inc. | 231 | 9,732 | ||||||
Equifax, Inc. | 3,927 | 545,460 | ||||||
Exponent, Inc.(a) | 2,079 | 146,216 | ||||||
Forrester Research, Inc.* (a) | 462 | 14,461 | ||||||
FTI Consulting, Inc.* (a) | 1,386 | 176,521 | ||||||
Heidrick & Struggles International, Inc. | 6,699 | 150,326 | ||||||
Huron Consulting Group, Inc.* | 924 | 51,781 | ||||||
ICF International, Inc. | 693 | 50,963 | ||||||
IHS Markit Ltd. | 12,705 | 855,047 | ||||||
Insperity, Inc. | 1,386 | 66,126 | ||||||
Kelly Services, Inc., Class A(a) | 11,550 | 178,448 | ||||||
Kforce, Inc. | 693 | 20,755 | ||||||
Korn Ferry(a) | 19,404 | 559,417 | ||||||
ManpowerGroup, Inc. | 2,772 | 205,793 |
Investments | Shares | Value | ||||||
Professional Services – (continued) | ||||||||
Nielsen Holdings plc | 16,863 | $ | 248,392 | |||||
Resources Connection, Inc. | 10,626 | 115,611 | ||||||
Robert Half International, Inc.(a) | 3,696 | 174,710 | ||||||
TransUnion | 6,006 | 473,213 | ||||||
TriNet Group, Inc.* (a) | 1,617 | 79,184 | ||||||
TrueBlue, Inc.* | 13,629 | 211,658 | ||||||
Verisk Analytics, Inc. | 5,313 | 811,986 | ||||||
6,923,174 | ||||||||
Real Estate Management & Development – 0.2% | ||||||||
CBRE Group, Inc., Class A* | 15,939 | 684,261 | ||||||
Consolidated-Tomoka Land Co. | 1,848 | 77,671 | ||||||
Cushman & Wakefield plc* (a) | 57,519 | 700,006 | ||||||
eXp World Holdings, Inc.* (a) | 924 | 8,482 | ||||||
Howard Hughes Corp. (The)* | 1,617 | 87,577 | ||||||
Jones Lang LaSalle, Inc.(a) | 2,541 | 268,279 | ||||||
Kennedy-Wilson Holdings, Inc. | 4,620 | 65,373 | ||||||
Marcus & Millichap, Inc.* (a) | 1,155 | 33,553 | ||||||
Newmark Group, Inc., Class A | 55,671 | 216,004 | ||||||
Realogy Holdings Corp.(a) | 40,194 | 174,442 | ||||||
Redfin Corp.* (a) | 3,234 | 68,334 | ||||||
RMR Group, Inc. (The), Class A | 924 | 27,406 | ||||||
St Joe Co. (The)* (a) | 924 | 16,909 | ||||||
2,428,297 | ||||||||
Road & Rail – 0.8% | ||||||||
AMERCO(a) | 231 | 64,710 | ||||||
ArcBest Corp. | 9,009 | 183,513 | ||||||
Avis Budget Group, Inc.* | 19,866 | 327,392 | ||||||
CSX Corp. | 24,486 | 1,621,708 | ||||||
Heartland Express, Inc.(a) | 2,079 | 40,728 | ||||||
Hertz Global Holdings, Inc.* (a) | 35,343 | 142,786 | ||||||
JB Hunt Transport Services, Inc.(a) | 2,772 | 280,305 | ||||||
Kansas City Southern | 3,234 | 422,199 | ||||||
Knight-Swift Transportation Holdings, Inc.(a) | 5,775 | 214,714 | ||||||
Landstar System, Inc.(a) | 1,386 | 143,188 | ||||||
Lyft, Inc., Class A* (a) | 6,237 | 204,761 | ||||||
Marten Transport Ltd. | 1,617 | 36,253 | ||||||
Norfolk Southern Corp. | 8,316 | 1,422,868 |
See Accompanying Notes to the Financial Statements.
104 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Road & Rail – (continued) | ||||||||
Old Dominion Freight Line, Inc. | 3,124 | $ | 453,886 | |||||
Ryder System, Inc.(a) | 2,079 | 73,596 | ||||||
Saia, Inc.* (a) | 924 | 85,488 | ||||||
Schneider National, Inc., Class B | 11,781 | 258,122 | ||||||
Uber Technologies, Inc.* | 6,468 | 195,786 | ||||||
Union Pacific Corp. | 21,945 | 3,506,591 | ||||||
Universal Logistics Holdings, Inc. | 2,772 | 38,614 | ||||||
Werner Enterprises, Inc. | 15,477 | 620,937 | ||||||
10,338,145 | ||||||||
Semiconductors & Semiconductor Equipment – 3.9% | ||||||||
Advanced Energy Industries, Inc.* | 1,617 | 89,905 | ||||||
Advanced Micro Devices, Inc.* | 36,729 | 1,924,232 | ||||||
Alpha & Omega Semiconductor Ltd.* | 6,930 | 83,368 | ||||||
Ambarella, Inc.* | 1,155 | 60,730 | ||||||
Amkor Technology, Inc.* (a) | 4,158 | 41,081 | ||||||
Analog Devices, Inc. | 11,550 | 1,265,880 | ||||||
Applied Materials, Inc. | 29,337 | 1,457,462 | ||||||
Axcelis Technologies, Inc.* | 1,386 | 32,377 | ||||||
Broadcom, Inc. | 18,942 | 5,145,026 | ||||||
Brooks Automation, Inc.(a) | 2,772 | 106,694 | ||||||
Cabot Microelectronics Corp.(a) | 1,155 | 141,534 | ||||||
CEVA, Inc.* | 231 | 7,242 | ||||||
Cirrus Logic, Inc.* | 2,310 | 174,636 | ||||||
Cohu, Inc. | 1,848 | 30,547 | ||||||
Cree, Inc.* (a) | 4,158 | 179,335 | ||||||
Diodes, Inc.* (a) | 1,617 | 82,289 | ||||||
Enphase Energy, Inc.* | 2,772 | 129,813 | ||||||
Entegris, Inc. | 4,389 | 238,015 | ||||||
First Solar, Inc.* (a) | 2,541 | 111,829 | ||||||
FormFactor, Inc.* | 3,003 | 69,970 | ||||||
Ichor Holdings Ltd.* (a) | 924 | 23,008 | ||||||
Inphi Corp.* | 1,848 | 178,406 | ||||||
Intel Corp. | 207,438 | 12,442,131 | ||||||
KLA Corp.(a) | 5,082 | 833,905 | ||||||
Kulicke & Soffa Industries, Inc. | 2,541 | 60,908 | ||||||
Lam Research Corp. | 4,620 | 1,179,394 |
Investments | Shares | Value | ||||||
Semiconductors & Semiconductor Equipment – (continued) | ||||||||
Lattice Semiconductor Corp.* (a) | 5,082 | $ | 114,396 | |||||
MACOM Technology Solutions Holdings, Inc.* (a) | 1,848 | 56,660 | ||||||
MagnaChip Semiconductor Corp.* | 1,386 | 16,036 | ||||||
Marvell Technology Group Ltd.(a) | 21,252 | 568,279 | ||||||
Maxim Integrated Products, Inc. | 8,547 | 469,914 | ||||||
MaxLinear, Inc.* | 1,848 | 30,474 | ||||||
Microchip Technology, Inc.(a) | 7,392 | 648,500 | ||||||
Micron Technology, Inc.* | 52,899 | 2,533,333 | ||||||
MKS Instruments, Inc. | 1,848 | 185,225 | ||||||
Monolithic Power Systems, Inc.(a) | 1,386 | 277,075 | ||||||
NeoPhotonics Corp.* | 15,708 | 151,111 | ||||||
NVIDIA Corp. | 19,404 | 5,671,401 | ||||||
ON Semiconductor Corp.* (a) | 18,480 | 296,512 | ||||||
Onto Innovation, Inc.* (a) | 1,848 | 59,986 | ||||||
PDF Solutions, Inc.* (a) | 693 | 11,067 | ||||||
Photronics, Inc.* | 2,772 | 33,125 | ||||||
Power Integrations, Inc.(a) | 1,155 | 118,214 | ||||||
Qorvo, Inc.* | 5,544 | 543,478 | ||||||
QUALCOMM, Inc. | 36,036 | 2,834,952 | ||||||
Rambus, Inc.* | 4,620 | 57,889 | ||||||
Semtech Corp.* (a) | 2,541 | 114,955 | ||||||
Silicon Laboratories, Inc.* (a) | 1,617 | 157,205 | ||||||
Skyworks Solutions, Inc. | 5,313 | 551,914 | ||||||
SMART Global Holdings, Inc.* (a) | 4,620 | 116,840 | ||||||
SolarEdge Technologies, Inc.* (a) | 1,848 | 206,218 | ||||||
SunPower Corp.* (a) | 30,723 | 225,814 | ||||||
Synaptics, Inc.* (a) | 11,781 | 770,360 | ||||||
Teradyne, Inc. | 5,313 | 332,275 | ||||||
Texas Instruments, Inc. | 29,568 | 3,431,958 | ||||||
Ultra Clean Holdings, Inc.* | 1,617 | 29,737 | ||||||
Universal Display Corp.(a) | 1,386 | 208,066 | ||||||
Veeco Instruments, Inc.* | 2,079 | 22,723 | ||||||
Xilinx, Inc. | 8,085 | 706,629 | ||||||
Xperi Corp.(a) | 17,556 | 268,256 | ||||||
47,910,294 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 105 |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Software – 6.7% | ||||||||
2U, Inc.* (a) | 22,407 | $ | 532,166 | |||||
8x8, Inc.* (a) | 3,927 | 66,602 | ||||||
ACI Worldwide, Inc.* (a) | 4,389 | 120,259 | ||||||
Adobe, Inc.* | 15,246 | 5,391,595 | ||||||
Alarm.com Holdings, Inc.* (a) | 1,386 | 61,996 | ||||||
Altair Engineering, Inc., Class A* (a) | 1,386 | 45,724 | ||||||
Alteryx, Inc., Class A* (a) | 1,617 | 183,012 | ||||||
Anaplan, Inc.* | 2,772 | 113,264 | ||||||
ANSYS, Inc.* (a) | 2,772 | 725,793 | ||||||
Appfolio, Inc., Class A* (a) | 462 | 50,755 | ||||||
Appian Corp.* (a) | 1,155 | 52,749 | ||||||
Aspen Technology, Inc.* | 2,079 | 212,578 | ||||||
Autodesk, Inc.* | 6,930 | 1,296,811 | ||||||
Avalara, Inc.* (a) | 2,310 | 206,445 | ||||||
Avaya Holdings Corp.* (a) | 34,881 | 346,717 | ||||||
Blackbaud, Inc.(a) | 1,848 | 102,120 | ||||||
Blackline, Inc.* (a) | 1,386 | 84,186 | ||||||
Bottomline Technologies DE, Inc.* | 1,617 | 67,316 | ||||||
Box, Inc., Class A* (a) | 6,468 | 104,394 | ||||||
Cadence Design Systems, Inc.* | 8,778 | 712,159 | ||||||
CDK Global, Inc. | 3,927 | 154,253 | ||||||
Cerence, Inc.* | 1,386 | 29,328 | ||||||
Ceridian HCM Holding, Inc.* (a) | 3,234 | 190,709 | ||||||
Citrix Systems, Inc. | 3,696 | 535,957 | ||||||
Cloudera, Inc.* (a) | 86,394 | 715,342 | ||||||
Cloudflare, Inc., Class A* (a) | 1,386 | 32,654 | ||||||
CommVault Systems, Inc.* | 1,617 | 69,030 | ||||||
Cornerstone OnDemand, Inc.* | 1,848 | 62,019 | ||||||
Coupa Software, Inc.* | 2,079 | 366,091 | ||||||
Crowdstrike Holdings, Inc., Class A* | 693 | 46,888 | ||||||
Datadog, Inc., Class A* | 1,155 | 52,114 | ||||||
Digimarc Corp.* (a) | 693 | 11,608 | ||||||
DocuSign, Inc.* (a) | 3,927 | 411,353 | ||||||
Dropbox, Inc., Class A* | 8,316 | 174,802 | ||||||
Dynatrace, Inc.* (a) | 3,003 | 89,640 | ||||||
Ebix, Inc.(a) | 924 | 19,339 | ||||||
Elastic NV* | 1,155 | 74,082 | ||||||
Envestnet, Inc.* (a) | 2,079 | 129,979 |
Investments | Shares | Value | ||||||
Software – (continued) | ||||||||
Everbridge, Inc.* (a) | 1,386 | $ | 154,373 | |||||
Fair Isaac Corp.* | 924 | 326,117 | ||||||
FireEye, Inc.* | 8,547 | 98,376 | ||||||
Five9, Inc.* (a) | 2,310 | 214,068 | ||||||
ForeScout Technologies, Inc.* (a) | 1,386 | 44,019 | ||||||
Fortinet, Inc.* | 4,620 | 497,759 | ||||||
Guidewire Software, Inc.* (a) | 2,541 | 230,824 | ||||||
HubSpot, Inc.* (a) | 1,386 | 233,721 | ||||||
Intuit, Inc. | 8,316 | 2,243,740 | ||||||
J2 Global, Inc.(a) | 1,848 | 149,023 | ||||||
LivePerson, Inc.* (a) | 3,003 | 71,892 | ||||||
LogMeIn, Inc. | 17,094 | 1,460,853 | ||||||
Manhattan Associates, Inc.* (a) | 2,310 | 163,871 | ||||||
Microsoft Corp. | 241,164 | 43,219,000 | ||||||
MicroStrategy, Inc., Class A* | 231 | 29,182 | ||||||
Mimecast Ltd.* (a) | 2,079 | 85,031 | ||||||
Model N, Inc.* (a) | 1,155 | 33,333 | ||||||
New Relic, Inc.* (a) | 1,848 | 99,219 | ||||||
NortonLifeLock, Inc. | 18,249 | 388,156 | ||||||
Nuance Communications, Inc.* | 10,626 | 214,645 | ||||||
Nutanix, Inc., Class A* (a) | 6,006 | 123,063 | ||||||
OneSpan, Inc.* | 2,310 | 38,808 | ||||||
Oracle Corp. | 68,376 | 3,621,877 | ||||||
Palo Alto Networks, Inc.* | 3,003 | 590,120 | ||||||
Paycom Software, Inc.* (a) | 1,617 | 422,069 | ||||||
Paylocity Holding Corp.* (a) | 1,386 | 158,739 | ||||||
Pegasystems, Inc.(a) | 1,155 | 96,581 | ||||||
Pluralsight, Inc., Class A* | 3,465 | 56,965 | ||||||
Progress Software Corp. | 1,848 | 75,602 | ||||||
Proofpoint, Inc.* | 1,848 | 224,957 | ||||||
PROS Holdings, Inc.* | 1,617 | 55,609 | ||||||
PTC, Inc.* (a) | 3,234 | 223,955 | ||||||
Q2 Holdings, Inc.* (a) | 1,617 | 128,907 | ||||||
QAD, Inc., Class A | 231 | 9,776 | ||||||
Qualys, Inc.* (a) | 1,155 | 121,783 | ||||||
Rapid7, Inc.* (a) | 1,617 | 73,654 | ||||||
RealPage, Inc.* (a) | 2,541 | 163,869 | ||||||
RingCentral, Inc., Class A* (a) | 2,310 | 527,904 | ||||||
SailPoint Technologies Holding, Inc.* (a) | 3,465 | 64,414 | ||||||
salesforce.com, Inc.* | 28,182 | 4,564,075 |
See Accompanying Notes to the Financial Statements.
106 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Software – (continued) | ||||||||
ServiceNow, Inc.* | 6,006 | $ | 2,111,349 | |||||
Slack Technologies, Inc., Class A* | 1,386 | 36,992 | ||||||
Smartsheet, Inc., Class A* (a) | 3,465 | 182,675 | ||||||
SolarWinds Corp.* | 2,079 | 35,301 | ||||||
Splunk, Inc.* (a) | 4,851 | 680,886 | ||||||
SPS Commerce, Inc.* | 1,155 | 64,114 | ||||||
SS&C Technologies Holdings, Inc. | 6,930 | 382,259 | ||||||
SVMK, Inc.* (a) | 3,696 | 58,027 | ||||||
Synopsys, Inc.* (a) | 4,851 | 762,189 | ||||||
Tenable Holdings, Inc.* | 1,848 | 48,159 | ||||||
Teradata Corp.* (a) | 4,389 | 107,926 | ||||||
TiVo Corp.(a) | 44,583 | 313,418 | ||||||
Trade Desk, Inc. (The), Class A* (a) | 1,386 | 405,516 | ||||||
Tyler Technologies, Inc.* (a) | 1,155 | 370,397 | ||||||
Upland Software, Inc.* (a) | 924 | 29,226 | ||||||
Varonis Systems, Inc.* | 1,155 | 77,443 | ||||||
Verint Systems, Inc.* | 2,541 | 108,602 | ||||||
VMware, Inc., Class A* (a) | 2,541 | 334,192 | ||||||
Workday, Inc., Class A* (a) | 5,313 | 817,671 | ||||||
Workiva, Inc.* | 1,617 | 62,012 | ||||||
Yext, Inc.* (a) | 3,927 | 50,266 | ||||||
Zendesk, Inc.* (a) | 3,696 | 284,148 | ||||||
Zoom Video Communications, Inc., Class A* (a) | 924 | 124,897 | ||||||
Zscaler, Inc.* (a) | 2,079 | 139,459 | ||||||
Zuora, Inc., Class A* | 3,003 | 31,742 | ||||||
82,560,624 | ||||||||
Specialty Retail – 2.5% | ||||||||
Aaron’s, Inc. | 2,541 | 81,083 | ||||||
Abercrombie & Fitch Co., Class A(a) | 21,945 | 232,178 | ||||||
Advance Auto Parts, Inc. | 2,310 | 279,302 | ||||||
American Eagle Outfitters, Inc.(a) | 56,595 | 449,930 | ||||||
America’s Car-Mart, Inc.* (a) | 231 | 15,234 | ||||||
Asbury Automotive Group, Inc.* (a) | 6,699 | 452,182 | ||||||
At Home Group, Inc.* (a) | 21,021 | 49,399 |
Investments | Shares | Value | ||||||
Specialty Retail – (continued) | ||||||||
AutoNation, Inc.* (a) | 20,559 | $ | 765,617 | |||||
AutoZone, Inc.* | 693 | 707,082 | ||||||
Bed Bath & Beyond, Inc.(a) | 42,504 | 263,100 | ||||||
Best Buy Co., Inc. | 10,626 | 815,333 | ||||||
Boot Barn Holdings, Inc.* (a) | 693 | 12,793 | ||||||
Buckle, Inc. (The)(a) | 10,164 | 155,611 | ||||||
Burlington Stores, Inc.* | 2,079 | 379,813 | ||||||
Caleres, Inc.(a) | 16,863 | 136,759 | ||||||
Camping World Holdings, Inc., Class A(a) | 1,386 | 12,294 | ||||||
CarMax, Inc.* (a) | 5,082 | 374,289 | ||||||
Carvana Co.* (a) | 1,848 | 148,043 | ||||||
Cato Corp. (The), Class A(a) | 7,854 | 88,436 | ||||||
Chico’s FAS, Inc.(a) | 38,577 | 57,865 | ||||||
Children’s Place, Inc. (The)(a) | 1,155 | 34,142 | ||||||
Conn’s, Inc.* (a) | 9,933 | 67,147 | ||||||
Designer Brands, Inc., Class A(a) | 19,635 | 124,682 | ||||||
Dick’s Sporting Goods, Inc.(a) | 22,176 | 651,753 | ||||||
Five Below, Inc.* (a) | 1,617 | 145,789 | ||||||
Floor & Decor Holdings, Inc., Class A* (a) | 2,541 | 107,738 | ||||||
Foot Locker, Inc.(a) | 37,422 | 959,126 | ||||||
GameStop Corp., Class A* (a) | 23,331 | 133,687 | ||||||
Gap, Inc. (The)(a) | 10,164 | 82,532 | ||||||
Genesco, Inc.* (a) | 5,313 | 100,575 | ||||||
Group 1 Automotive, Inc.(a) | 6,237 | 352,952 | ||||||
Guess?, Inc.(a) | 1,617 | 15,119 | ||||||
Haverty Furniture Cos., Inc.(a) | 6,468 | 87,512 | ||||||
Hibbett Sports, Inc.* (a) | 6,006 | 92,673 | ||||||
Home Depot, Inc. (The) | 34,419 | 7,566,329 | ||||||
L Brands, Inc.(a) | 81,312 | 966,800 | ||||||
Lithia Motors, Inc., Class A(a) | 7,854 | 868,338 | ||||||
Lowe’s Cos., Inc. | 24,255 | 2,540,711 | ||||||
MarineMax, Inc.* | 7,392 | 106,519 | ||||||
Michaels Cos., Inc. (The)* (a) | 26,565 | 80,758 | ||||||
Monro, Inc.(a) | 1,155 | 64,091 | ||||||
Murphy USA, Inc.* (a) | 1,155 | 123,354 | ||||||
National Vision Holdings, Inc.* (a) | 3,003 | 79,579 | ||||||
Office Depot, Inc.(a) | 191,499 | 425,128 | ||||||
O’Reilly Automotive, Inc.* | 2,310 | 892,445 | ||||||
Party City Holdco, Inc.* (a) | 17,787 | 13,491 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 107 |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Specialty Retail – (continued) | ||||||||
Penske Automotive Group, Inc.(a) | 11,781 | $ | 423,880 | |||||
Rent-A-Center, Inc.(a) | 17,325 | 344,854 | ||||||
RH* (a) | 693 | 99,640 | ||||||
Ross Stores, Inc. | 11,319 | 1,034,104 | ||||||
Sally Beauty Holdings, Inc.* (a) | 40,656 | 394,770 | ||||||
Shoe Carnival, Inc.(a) | 3,234 | 76,387 | ||||||
Signet Jewelers Ltd.(a) | 18,480 | 185,909 | ||||||
Sleep Number Corp.* (a) | 9,933 | 296,997 | ||||||
Sonic Automotive, Inc., Class A(a) | 8,547 | 183,162 | ||||||
Sportsman’s Warehouse Holdings, Inc.* (a) | 14,091 | 100,892 | ||||||
Tiffany & Co. | 3,465 | 438,322 | ||||||
TJX Cos., Inc. (The) | 38,346 | 1,880,871 | ||||||
Tractor Supply Co. | 3,696 | 374,885 | ||||||
Ulta Beauty, Inc.* (a) | 1,848 | 402,716 | ||||||
Urban Outfitters, Inc.* (a) | 24,024 | 416,576 | ||||||
Williams-Sonoma, Inc.(a) | 27,258 | 1,685,635 | ||||||
Zumiez, Inc.* | 7,161 | 151,384 | ||||||
30,650,297 | ||||||||
Technology Hardware, Storage & Peripherals – 3.5% | ||||||||
3D Systems Corp.* (a) | 3,927 | 33,340 | ||||||
Apple, Inc. | 132,132 | 38,820,382 | ||||||
Dell Technologies, Inc., Class C* | 7,392 | 315,564 | ||||||
Diebold Nixdorf, Inc.* (a) | 27,258 | 134,382 | ||||||
Hewlett Packard Enterprise Co. | 61,446 | 618,147 | ||||||
HP, Inc. | 70,686 | 1,096,340 | ||||||
NCR Corp.* | 44,583 | 914,843 | ||||||
NetApp, Inc. | 7,161 | 313,437 | ||||||
Pure Storage, Inc., Class A* (a) | 8,778 | 126,403 | ||||||
Seagate Technology plc | 11,088 | 553,846 | ||||||
Western Digital Corp.(a) | 9,471 | 436,424 | ||||||
Xerox Holdings Corp. | 9,240 | 168,999 | ||||||
43,532,107 | ||||||||
Textiles, Apparel & Luxury Goods – 0.8% | ||||||||
Capri Holdings Ltd.* (a) | 53,130 | 810,233 | ||||||
Carter’s, Inc.(a) | 1,617 | 126,449 | ||||||
Columbia Sportswear Co.(a) | 924 | 67,350 |
Investments | Shares | Value | ||||||
Textiles, Apparel & Luxury Goods – (continued) | ||||||||
Crocs, Inc.* (a) | 2,541 | $ | 61,619 | |||||
Deckers Outdoor Corp.* (a) | 1,155 | 171,818 | ||||||
Fossil Group, Inc.* (a) | 1,848 | 7,318 | ||||||
G-III Apparel Group Ltd.* (a) | 15,015 | 170,120 | ||||||
Hanesbrands, Inc.(a) | 17,094 | 169,914 | ||||||
Kontoor Brands, Inc.(a) | 16,401 | 318,343 | ||||||
Levi Strauss & Co., Class A(a) | 2,541 | 32,753 | ||||||
Lululemon Athletica, Inc.* | 3,696 | 825,982 | ||||||
Movado Group, Inc.(a) | 6,699 | 69,067 | ||||||
NIKE, Inc., Class B | 39,270 | 3,423,559 | ||||||
Oxford Industries, Inc.(a) | 693 | 29,051 | ||||||
PVH Corp.(a) | 3,465 | 170,582 | ||||||
Ralph Lauren Corp.(a) | 17,325 | 1,278,238 | ||||||
Skechers USA, Inc., Class A* (a) | 46,893 | 1,321,445 | ||||||
Steven Madden Ltd.(a) | 3,003 | 75,285 | ||||||
Tapestry, Inc. | 13,167 | 195,925 | ||||||
Under Armour, Inc., Class A* (a) | 5,775 | 60,176 | ||||||
Under Armour, Inc., Class C* (a) | 6,468 | 59,958 | ||||||
Vera Bradley, Inc.* | 10,857 | 59,822 | ||||||
VF Corp. | 10,395 | 603,950 | ||||||
Wolverine World Wide, Inc.(a) | 3,234 | 66,265 | ||||||
10,175,222 | ||||||||
Thrifts & Mortgage Finance – 0.5% | ||||||||
Axos Financial, Inc.* (a) | 18,711 | 431,289 | ||||||
Capitol Federal Financial, Inc. | 5,313 | 63,703 | ||||||
Columbia Financial, Inc.* | 2,079 | 29,428 | ||||||
Essent Group Ltd. | 34,419 | 940,327 | ||||||
Federal Agricultural Mortgage Corp., Class C | 3,465 | 230,873 | ||||||
First Defiance Financial Corp. | 695 | 12,079 | ||||||
Flagstar Bancorp, Inc. | 12,012 | 311,231 | ||||||
HomeStreet, Inc. | 924 | 23,608 | ||||||
Kearny Financial Corp. | 3,234 | 30,076 | ||||||
Merchants Bancorp | 6,468 | 99,607 | ||||||
Meridian Bancorp, Inc.(a) | 2,310 | 27,212 | ||||||
Meta Financial Group, Inc. | 1,386 | 25,530 | ||||||
MGIC Investment Corp. | 121,968 | 891,586 | ||||||
Mr Cooper Group, Inc.* (a) | 25,641 | 245,641 | ||||||
New York Community Bancorp, Inc.(a) | 22,176 | 240,831 |
See Accompanying Notes to the Financial Statements.
108 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Thrifts & Mortgage Finance – (continued) | ||||||||
NMI Holdings, Inc., Class A* | 2,079 | $ | 28,108 | |||||
Northfield Bancorp, Inc. | 1,617 | 18,224 | ||||||
Northwest Bancshares, Inc. | 4,158 | 44,117 | ||||||
OceanFirst Financial Corp. | 21,252 | 358,096 | ||||||
PennyMac Financial Services, Inc.(a) | 14,553 | 439,064 | ||||||
Provident Financial Services, Inc. | 21,021 | 301,651 | ||||||
Radian Group, Inc. | 70,455 | 1,055,416 | ||||||
TFS Financial Corp. | 2,310 | 31,532 | ||||||
TrustCo Bank Corp. | 4,851 | 30,561 | ||||||
Walker & Dunlop, Inc.(a) | 10,164 | 390,603 | ||||||
Washington Federal, Inc.(a) | 3,003 | 80,300 | ||||||
WSFS Financial Corp. | 2,079 | 60,665 | ||||||
6,441,358 | ||||||||
Tobacco – 0.7% | ||||||||
Altria Group, Inc. | 88,935 | 3,490,699 | ||||||
Philip Morris International, Inc. | 49,203 | 3,670,544 | ||||||
Turning Point Brands, Inc.(a) | 231 | 5,382 | ||||||
Universal Corp. | 8,778 | 424,592 | ||||||
Vector Group Ltd.(a) | 40,425 | 432,547 | ||||||
8,023,764 | ||||||||
Trading Companies & Distributors – 0.8% | ||||||||
Air Lease Corp.(a) | 36,498 | 954,423 | ||||||
Applied Industrial Technologies, Inc.(a) | 13,398 | 701,921 | ||||||
Beacon Roofing Supply, Inc.* (a) | 24,024 | 528,528 | ||||||
BMC Stock Holdings, Inc.* (a) | 23,331 | 495,784 | ||||||
CAI International, Inc.* | 5,544 | 91,421 | ||||||
DXP Enterprises, Inc.* | 693 | 10,339 | ||||||
Fastenal Co.(a) | 18,249 | 660,979 | ||||||
Foundation Building Materials, Inc.* | 6,237 | 72,973 | ||||||
GATX Corp.(a) | 12,474 | 739,708 | ||||||
GMS, Inc.* | 14,784 | 271,730 | ||||||
H&E Equipment Services, Inc. | 11,088 | 180,291 | ||||||
HD Supply Holdings, Inc.* | 7,854 | 233,107 | ||||||
Herc Holdings, Inc.* (a) | 8,547 | 241,282 | ||||||
Kaman Corp. | 1,155 | 44,768 |
Investments | Shares | Value | ||||||
Trading Companies & Distributors – (continued) | ||||||||
MSC Industrial Direct Co., Inc., Class A(a) | 15,708 | $ | 936,825 | |||||
NOW, Inc.* | 4,851 | 29,931 | ||||||
Rush Enterprises, Inc., Class A | 9,702 | 363,825 | ||||||
SiteOne Landscape Supply, Inc.* (a) | 1,617 | 143,315 | ||||||
Systemax, Inc. | 462 | 9,175 | ||||||
Titan Machinery, Inc.* (a) | 1,155 | 10,857 | ||||||
Triton International Ltd.(a) | 18,480 | 572,510 | ||||||
United Rentals, Inc.* (a) | 3,465 | 445,252 | ||||||
Univar Solutions, Inc.* (a) | 48,741 | 707,719 | ||||||
Watsco, Inc.(a) | 924 | 148,755 | ||||||
WESCO International, Inc.* | 14,784 | 382,462 | ||||||
WW Grainger, Inc. | 1,386 | 381,954 | ||||||
9,359,834 | ||||||||
Transportation Infrastructure – 0.0%(c) | ||||||||
Macquarie Infrastructure Corp. | 3,003 | 82,853 | ||||||
Water Utilities – 0.1% | ||||||||
American States Water Co. | 1,386 | 110,007 | ||||||
American Water Works Co., Inc. | 5,544 | 674,649 | ||||||
California Water Service Group | 1,848 | 83,012 | ||||||
Essential Utilities, Inc. | 6,930 | 289,605 | ||||||
Middlesex Water Co. | 693 | 41,788 | ||||||
SJW Group | 1,155 | 68,757 | ||||||
York Water Co. (The) | 693 | 27,942 | ||||||
1,295,760 | ||||||||
Wireless Telecommunication Services – 0.1% | ||||||||
Boingo Wireless, Inc.* | 1,848 | 25,761 | ||||||
Gogo, Inc.* (a) | 19,635 | 32,005 | ||||||
Shenandoah Telecommunications Co.(a) | 1,848 | 98,887 | ||||||
Telephone and Data Systems, Inc. | 3,696 | 72,516 | ||||||
T-Mobile US, Inc.* (a) | 18,049 | 1,584,702 | ||||||
United States Cellular Corp.* | 462 | 14,705 | ||||||
1,828,576 | ||||||||
Total Common Stocks (Cost $941,320,780) |
| 1,213,775,281 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 109 |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Number of Rights | Value | ||||||
RIGHTS – 0.0%(c) | ||||||||
Biotechnology – 0.0%(c) | ||||||||
Achillion Pharmaceuticals, Inc., CVR* ‡ (d) | 44,344 | $ | 25,720 | |||||
Media – 0.0%(c) | ||||||||
Media General, Inc., CVR* ‡ (d) | 22,261 | 2,226 | ||||||
Total Rights (Cost $–) |
| 27,946 | ||||||
Principal Amount | ||||||||
SECURITIES LENDING REINVESTMENTS(e) – 17.1% | ||||||||
CERTIFICATES OF DEPOSIT – 1.2% | ||||||||
Bank of Montreal, Chicago | ||||||||
(US Federal Funds Effective Rate (continuous series) + 0.35%), 0.39%, 8/6/2020(f) | $ | 4,000,000 | 3,995,652 | |||||
MUFG Bank Ltd., New York Branch 1.85%, 10/15/2020 | 4,000,000 | 4,021,800 | ||||||
Natixis SA, New York 1.79%, 6/5/2020 | 2,000,000 | 2,000,342 | ||||||
(ICE LIBOR USD 1 Month + 0.29%), 1.27%, 6/5/2020(f) | 1,000,000 | 1,000,000 | ||||||
Svenska Handelsbanken, New York | ||||||||
(ICE LIBOR USD 1 Month + 0.08%), 0.86%, 11/30/2020(f) | 4,000,000 | 3,987,164 | ||||||
Total Certificates of Deposit (Cost $14,993,352) |
| 15,004,958 | ||||||
COMMERCIAL PAPER – 0.7% | ||||||||
Bank of China, Hong Kong Branch 1.84%, 5/21/2020 | 3,000,000 | 2,996,950 | ||||||
Bank of Nova Scotia, Houston |
Investments | Principal Amount | Value | ||||||
COMMERCIAL PAPER – (continued) | ||||||||
(ICE LIBOR USD 1 Month + 0.17%), 0.98%, 5/15/2020(f) (g) | $ | 2,500,000 | $ | 2,500,000 | ||||
UBS AG, London (ICE LIBOR USD 1 Month + 0.34%), 0.78%, 5/6/2020(f) (g) | 3,000,000 | 3,000,000 | ||||||
Total Commercial Paper (Cost $8,496,950) |
| 8,496,950 | ||||||
REPURCHASE AGREEMENTS – 15.2% | ||||||||
BofA Securities, Inc., 0.49%, dated 4/30/2020, due 7/31/2020, repurchase price $6,007,513, collateralized by various Common Stocks; total market value $6,472,544 | 6,000,000 | 6,000,000 | ||||||
Citigroup Global Markets, Inc., 0.02%, dated 4/30/2020, due 5/1/2020, repurchase price $113,678,936, collateralized by various U.S. Treasury Securities, ranging from 0.75% – 4.38%, maturing 8/15/2040 – 2/15/2046; total market value $114,547,065 | 113,678,873 | 113,678,873 | ||||||
NBC Global Finance Ltd., 0.21%, dated 4/30/2020, due 5/1/2020, repurchase price $11,400,067, collateralized by various U.S. Treasury Securities, 2.88%, maturing 8/15/2028; Common Stocks; total market value $12,527,110 | 11,400,000 | 11,400,000 |
See Accompanying Notes to the Financial Statements.
110 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
REPURCHASE AGREEMENTS – (continued) | ||||||||
Societe Generale, 0.20%, dated 4/30/2020, due 5/1/2020, repurchase price $55,250,307, collateralized by various U.S. Treasury Securities, ranging from 1.13% – 2.88%, maturing 2/28/2021 – 2/15/2046; Common Stocks; total market value $60,033,564 | $ | 55,250,000 | $ | 55,250,000 | ||||
Total Repurchase Agreements (Cost $186,328,873) |
| 186,328,873 | ||||||
Total Securities Lending Reinvestments (Cost $209,819,175) |
| 209,830,781 | ||||||
Total Investments – 116.0% (Cost $1,151,139,955) |
| 1,423,634,008 | ||||||
Liabilities in excess of other assets – (16.0%) |
| (196,548,516 | ) | |||||
NET ASSETS – 100.0% |
| 1,227,085,492 |
* | Non-income producing security. |
‡ | Value determined using significant unobservable inputs. |
(a) | The security or a portion of this security is on loan at April 30, 2020. The total value of securities on loan at April 30, 2020 was $240,427,209, collateralized in the form of cash with a value of $209,882,134 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Investments; $39,858,810 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% – 8.75%, and maturity dates ranging from May 5, 2020 – November 15, |
2049 and $5,208,891 of collateral in the form of Foreign Government Fixed Income Securities, interest rates ranging from 0.00% – 4.50%, and maturity dates ranging from July 15, 2023 – September 20, 2117; a total value of $254,949,835. |
(b) | Investment in affiliated company. Northern Trust Investments, Inc., the Investment Adviser of the Fund, is a subsidiary of Northern Trust Corporation. |
(c) | Represents less than 0.05% of net assets. |
(d) | Security fair valued as of April 30, 2020 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at April 30, 2020 amounted to $27,946, which represents approximately 0.00% of net assets of the Fund. |
(e) | The security was purchased with cash collateral held from securities on loan at April 30, 2020. The total value of securities purchased was $209,830,781. |
(f) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the rate in effect as of April 30, 2020. |
(g) | Security exempt from registration under Section 4(2) of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration normally to qualified institutional buyers. |
Percentages shown are based on Net Assets.
Abbreviations
CVR – Contingent Value Rights
ICE – Intercontinental Exchange
LIBOR – London Interbank Offered Rate
USD – US Dollar
As of April 30, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 364,352,094 | ||
Aggregate gross unrealized depreciation | (91,060,146 | ) | ||
Net unrealized appreciation | $ | 273,291,948 | ||
Federal income tax cost | $ | 1,151,588,267 |
Investment in a company which was affiliated for the period ended April 30, 2020, was as follows:
Security | Value October 31, 2019 | Purchases at Cost | Sales | Shares April 30, 2020 | Value April 30, 2020 | Change in Unrealized Appreciation (Depreciation) | Dividend Income | Realized Loss | ||||||||||||||||||||||||
Northern Trust Corp. | $ | 796,044 | $ | 13,875 | $ | 106,477 | 6,699 | $ | 530,293 | $ | (170,254 | ) | $ | 11,042 | $ | (2,895 | ) |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 111 |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Futures Contracts
FlexShares® Morningstar US Market Factor Tilt Index Fund had the following open futures contracts as of April 30, 2020:
Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value and Unrealized Appreciation* | ||||||||||||||||
Long Contracts |
| |||||||||||||||||||
Russell 2000 E-Mini Index | 43 | 06/19/2020 | USD | $ | 2,809,405 | $ | 334,301 | |||||||||||||
S&P 500 E-Mini Index | 53 | 06/19/2020 | USD | 7,691,360 | 728,247 | |||||||||||||||
S&P Midcap 400 E-Mini Index | 12 | 06/19/2020 | USD | 1,969,560 | 183,659 | |||||||||||||||
$ | 1,246,207 |
* | This amount represents the cumulative appreciation/depreciation on futures contracts. Current day’s variation margin is reported within the Statement of Assets and Liabilities for futures contracts. |
Abbreviations:
USD – US Dollar
See Accompanying Notes to the Financial Statements.
112 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Schedule of Investments
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund
April 30, 2020 (Unaudited)
Investments | Shares | Value | ||||||
COMMON STOCKS – 97.6% | ||||||||
Aerospace & Defense – 0.6% | ||||||||
Airbus SE* | 12,483 | $ | 791,372 | |||||
BAE Systems plc | 56,886 | 364,793 | ||||||
Bombardier, Inc., Class B* (a) | 48,735 | 17,193 | ||||||
CAE, Inc. | 7,016 | 116,180 | ||||||
Dassault Aviation SA | 55 | 44,880 | ||||||
Elbit Systems Ltd. | 412 | 56,324 | ||||||
Leonardo SpA | 13,623 | 93,915 | ||||||
LISI* | 3,196 | 51,809 | ||||||
Meggitt plc | 24,567 | 86,548 | ||||||
MTU Aero Engines AG* | 1,026 | 139,686 | ||||||
QinetiQ Group plc | 30,657 | 117,554 | ||||||
Rolls-Royce Holdings plc* | 33,801 | 140,695 | ||||||
Saab AB, Class B* | 2,493 | 57,812 | ||||||
Safran SA | 7,296 | 673,028 | ||||||
Senior plc(a) | 238,675 | 195,684 | ||||||
Singapore Technologies Engineering Ltd. | 17,900 | 43,615 | ||||||
Thales SA | 2,622 | 198,562 | ||||||
Ultra Electronics Holdings plc | 1,661 | 41,294 | ||||||
3,230,944 | ||||||||
Air Freight & Logistics – 0.5% | ||||||||
bpost SA | 5,210 | 36,379 | ||||||
Cia de Distribucion Integral Logista Holdings SA | 2,159 | 38,451 | ||||||
Deutsche Post AG (Registered) | 33,573 | 998,374 | ||||||
DSV Panalpina A/S | 4,141 | 427,194 | ||||||
Freightways Ltd. | 12,987 | 53,522 | ||||||
ID Logistics Group* | 81 | 15,082 | ||||||
Kerry Logistics Network Ltd.(a) | 40,500 | 55,481 | ||||||
Kintetsu World Express, Inc. | 1,900 | 28,020 | ||||||
Konoike Transport Co. Ltd. | 23,200 | 253,402 | ||||||
Mainfreight Ltd. | 3,192 | 71,880 | ||||||
PostNL NV(a) | 269,735 | 463,547 | ||||||
Royal Mail plc | 37,485 | 78,724 | ||||||
SG Holdings Co. Ltd. | 2,400 | 67,151 | ||||||
Yamato Holdings Co. Ltd. | 6,800 | 120,058 | ||||||
2,707,265 |
Investments | Shares | Value | ||||||
Airlines – 0.3% | ||||||||
Air Canada* | 8,322 | $ | 121,269 | |||||
Air France-KLM* (a) | 10,431 | 53,092 | ||||||
Air New Zealand Ltd.(a) | 30,617 | 25,406 | ||||||
ANA Holdings, Inc.* (a) | 4,500 | 96,830 | ||||||
Chorus Aviation, Inc.(a) | 82,194 | 207,120 | ||||||
Dart Group plc | 7,866 | 63,847 | ||||||
Deutsche Lufthansa AG (Registered)* | 11,685 | 104,411 | ||||||
easyJet plc | 10,440 | 79,432 | ||||||
Exchange Income Corp. | 19,437 | 416,042 | ||||||
Finnair OYJ* (a) | 37,563 | 149,842 | ||||||
Japan Airlines Co. Ltd. | 500 | 9,071 | ||||||
Qantas Airways Ltd. | 31,329 | 79,173 | ||||||
SAS AB* (a) | 93,556 | 86,926 | ||||||
Singapore Airlines Ltd.(a) | 12,000 | 52,085 | ||||||
Wizz Air Holdings plc* (b) | 2,172 | 78,737 | ||||||
1,623,283 | ||||||||
Auto Components – 1.9% | ||||||||
Aisan Industry Co. Ltd. | 20,408 | 108,400 | ||||||
Aisin Seiki Co. Ltd. | 7,000 | 203,909 | ||||||
ARB Corp. Ltd.(a) | 997 | 9,941 | ||||||
Bridgestone Corp. | 19,600 | 619,150 | ||||||
CIE Automotive SA | 3,217 | 56,342 | ||||||
Cie Generale des Etablissements Michelin SCA | 5,928 | 578,521 | ||||||
Cie Plastic Omnium SA | 720 | 13,690 | ||||||
Continental AG* | 3,534 | 298,825 | ||||||
Daikyonishikawa Corp.(a) | 28,500 | 143,653 | ||||||
Denso Corp. | 19,900 | 709,392 | ||||||
Dometic Group AB* (c) | 5,962 | 40,128 | ||||||
Eagle Industry Co. Ltd. | 20,200 | 129,207 | ||||||
Exedy Corp. | 17,100 | 279,043 | ||||||
Faurecia SE | 3,990 | 144,480 | ||||||
FCC Co. Ltd. | 22,800 | 329,202 | ||||||
Freni Brembo SpA(a) | 3,647 | 31,018 | ||||||
Futaba Industrial Co. Ltd. | 27,600 | 132,922 | ||||||
Gestamp Automocion SA(b) | 9,396 | 23,876 | ||||||
G-Tekt Corp. | 19,000 | 196,690 | ||||||
GUD Holdings Ltd.(a) | 4,852 | 29,161 | ||||||
Hella GmbH & Co. KGaA | 2,907 | 107,620 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 113 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Auto Components – (continued) | ||||||||
HI-LEX Corp.(a) | 17,100 | $ | 186,775 | |||||
Ichikoh Industries Ltd. | 17,400 | 78,104 | ||||||
JTEKT Corp. | 2,300 | 17,121 | ||||||
Keihin Corp. | 4,000 | 95,647 | ||||||
Koito Manufacturing Co. Ltd. | 3,200 | 122,392 | ||||||
KYB Corp.* (a) | 14,700 | 297,340 | ||||||
Linamar Corp. | 27,347 | 658,399 | ||||||
Magna International, Inc. | 9,804 | 382,857 | ||||||
Musashi Seimitsu Industry Co. Ltd. | 27,800 | 228,515 | ||||||
NGK Spark Plug Co. Ltd. | 7,400 | 112,244 | ||||||
NHK Spring Co. Ltd. | 17,000 | 113,349 | ||||||
Nifco, Inc. | 2,400 | 47,019 | ||||||
Nippon Seiki Co. Ltd. | 34,300 | 374,963 | ||||||
NOK Corp. | 11,600 | 136,356 | ||||||
Nokian Renkaat OYJ(a) | 4,930 | 105,486 | ||||||
Pacific Industrial Co. Ltd.(a) | 36,500 | 312,657 | ||||||
Piolax, Inc.(a) | 17,100 | 256,816 | ||||||
Pirelli & C SpA(b) | 1,748 | 6,804 | ||||||
Press Kogyo Co. Ltd. | 68,400 | 170,145 | ||||||
Schaeffler AG (Preference) | 106,419 | 725,591 | ||||||
Showa Corp. | 400 | 8,439 | ||||||
Stanley Electric Co. Ltd. | 3,800 | 87,951 | ||||||
Sumitomo Electric Industries Ltd. | 22,800 | 237,413 | ||||||
Sumitomo Riko Co. Ltd. | 8,000 | 43,541 | ||||||
Sumitomo Rubber Industries Ltd. | 9,300 | 91,578 | ||||||
Tachi-S Co. Ltd. | 15,100 | 134,429 | ||||||
TI Fluid Systems plc(a) (b) | 126,939 | 255,543 | ||||||
Tokai Rika Co. Ltd. | 2,400 | 31,084 | ||||||
Topre Corp. | 34,200 | 403,933 | ||||||
Toyo Tire Corp. | 4,600 | 55,363 | ||||||
Toyoda Gosei Co. Ltd. | 2,000 | 37,668 | ||||||
Toyota Boshoku Corp. | 2,700 | 33,985 | ||||||
Toyota Industries Corp. | 7,100 | 360,527 | ||||||
TPR Co. Ltd. | 12,500 | 147,870 | ||||||
TS Tech Co. Ltd. | 2,400 | 65,401 | ||||||
Unipres Corp.(a) | 22,800 | 202,979 | ||||||
Valeo SA | 7,239 | 167,854 | ||||||
Yokohama Rubber Co. Ltd. (The) | 8,000 | 104,063 | ||||||
11,083,371 |
Investments | Shares | Value | ||||||
Automobiles – 2.4% | ||||||||
Bayerische Motoren Werke AG | 10,684 | $ | 632,503 | |||||
Bayerische Motoren Werke AG (Preference) | 2,292 | 108,501 | ||||||
Daimler AG (Registered) | 32,681 | 1,128,811 | ||||||
Ferrari NV | 2,394 | 376,016 | ||||||
Fiat Chrysler Automobiles NV | 36,480 | 320,292 | ||||||
Honda Motor Co. Ltd. | 67,100 | 1,638,047 | ||||||
Isuzu Motors Ltd. | 26,200 | 202,108 | ||||||
Mazda Motor Corp. | 19,700 | 112,745 | ||||||
Mitsubishi Motors Corp.(a) | 9,700 | 27,666 | ||||||
Nissan Motor Co. Ltd.(a) | 74,500 | 257,634 | ||||||
Peugeot SA | 17,811 | 255,072 | ||||||
Porsche Automobil Holding SE (Preference) | 6,555 | 330,481 | ||||||
Renault SA* (a) | 7,467 | 148,082 | ||||||
Subaru Corp. | 23,200 | 471,875 | ||||||
Suzuki Motor Corp. | 17,100 | 554,728 | ||||||
Toyota Motor Corp. | 92,600 | 5,772,400 | ||||||
Trigano SA | 5,187 | 382,637 | ||||||
Volkswagen AG | 1,434 | 214,081 | ||||||
Volkswagen AG (Preference) | 6,270 | 880,555 | ||||||
Yamaha Motor Co. Ltd. | 13,700 | 179,746 | ||||||
13,993,980 | ||||||||
Banks – 9.8% | ||||||||
77 Bank Ltd. (The) | 45,600 | 616,187 | ||||||
ABN AMRO Bank NV, CVA(b) | 14,364 | 110,130 | ||||||
AIB Group plc* | 45,372 | 62,120 | ||||||
Aktia Bank OYJ | 25,821 | 217,769 | ||||||
Aozora Bank Ltd. | 5,400 | 97,613 | ||||||
Australia & New Zealand Banking Group Ltd. | 101,337 | 1,121,236 | ||||||
Awa Bank Ltd. (The)(a) | 28,500 | 625,782 | ||||||
Banca Monte dei Paschi di Siena SpA* (a) | 218,196 | 266,235 | ||||||
Banca Popolare di Sondrio SCPA | 275,679 | 436,923 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 230,166 | 753,025 | ||||||
Banco BPM SpA(a) | 69,483 | 84,743 | ||||||
Banco Comercial Portugues SA, Class R | 771,628 | 86,207 | ||||||
Banco de Sabadell SA(a) | 127,237 | 52,693 |
See Accompanying Notes to the Financial Statements.
114 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Banks – (continued) | ||||||||
Banco Espirito Santo SA (Registered)* ‡ (d) | 48,647 | $ | — | |||||
Banco Santander SA | 588,924 | 1,314,286 | ||||||
Bank Hapoalim BM | 49,989 | 323,764 | ||||||
Bank Leumi Le-Israel BM | 43,149 | 234,834 | ||||||
Bank of East Asia Ltd. (The) | 36,467 | 77,334 | ||||||
Bank of Georgia Group plc | 22,710 | 285,307 | ||||||
Bank of Ireland Group plc | 33,125 | 66,867 | ||||||
Bank of Kyoto Ltd. (The)(a) | 2,600 | 90,204 | ||||||
Bank of Montreal(a) | 22,401 | 1,141,379 | ||||||
Bank of Nagoya Ltd. (The)(a) | 11,400 | 241,145 | ||||||
Bank of Nova Scotia (The) | 44,004 | 1,767,827 | ||||||
Bank of Okinawa Ltd. (The)(a) | 4,240 | 126,683 | ||||||
Bank of Queensland Ltd.(a) | 27,437 | 93,587 | ||||||
Bank of the Ryukyus Ltd. | 28,500 | 268,383 | ||||||
Bankia SA | 53,716 | 54,646 | ||||||
Bankinter SA | 21,280 | 87,731 | ||||||
Banque Cantonale de Geneve | 480 | 90,514 | ||||||
Banque Cantonale Vaudoise (Registered) | 74 | 65,401 | ||||||
Barclays plc | 557,964 | 745,311 | ||||||
BAWAG Group AG* (b) | 3,420 | 116,199 | ||||||
Bendigo & Adelaide Bank Ltd. | 9,158 | 39,212 | ||||||
Berner Kantonalbank AG (Registered)(a) | 640 | 149,200 | ||||||
BNP Paribas SA | 42,066 | 1,321,197 | ||||||
BPER Banca(a) | 232,275 | 572,933 | ||||||
Caisse Regionale de Credit Agricole Mutuel de Paris et d’Ile-de-France | 5,415 | 490,498 | ||||||
CaixaBank SA | 150,708 | 270,881 | ||||||
Canadian Imperial Bank of Commerce | 15,903 | 944,368 | ||||||
Canadian Western Bank | 49,704 | 788,350 | ||||||
Chiba Bank Ltd. (The) | 17,400 | 81,683 | ||||||
Close Brothers Group plc | 8,892 | 122,366 | ||||||
Collector AB* (a) | 13,224 | 20,634 | ||||||
comdirect bank AG | 4,193 | 60,163 | ||||||
Commerzbank AG | 36,064 | 133,276 | ||||||
Commonwealth Bank of Australia | 35,906 | 1,473,695 | ||||||
Concordia Financial Group Ltd. | 43,121 | 133,877 |
Investments | Shares | Value | ||||||
Banks – (continued) | ||||||||
Credit Agricole Atlantique Vendee | 912 | $ | 137,850 | |||||
Credit Agricole SA | 50,958 | 406,440 | ||||||
Credito Emiliano SpA | 58,539 | 259,677 | ||||||
Dah Sing Banking Group Ltd. | 161,440 | 158,684 | ||||||
Dah Sing Financial Holdings Ltd. | 114,000 | 374,983 | ||||||
Daishi Hokuetsu Financial Group, Inc.(a) | 28,500 | 625,249 | ||||||
Danske Bank A/S* | 20,178 | 239,387 | ||||||
DBS Group Holdings Ltd. | 62,529 | 886,609 | ||||||
DNB ASA | 30,609 | 371,997 | ||||||
Erste Group Bank AG | 8,949 | 194,322 | ||||||
FIBI Holdings Ltd. | 3,623 | 108,140 | ||||||
FinecoBank Banca Fineco SpA* | 6,110 | 67,860 | ||||||
Fukuoka Financial Group, Inc. | 8,000 | 115,958 | ||||||
Graubuendner Kantonalbank | 7 | 10,444 | ||||||
Gunma Bank Ltd. (The)(a) | 21,800 | 70,536 | ||||||
Hachijuni Bank Ltd. (The) | 22,800 | 82,087 | ||||||
Hang Seng Bank Ltd.(a) | 17,100 | 301,089 | ||||||
Heartland Group Holdings Ltd.(a) | 295,384 | 205,928 | ||||||
Hiroshima Bank Ltd. (The)(a) | 14,900 | 62,562 | ||||||
Hokkoku Bank Ltd. (The) | 14,900 | 445,878 | ||||||
Hokuhoku Financial Group, Inc. | 9,200 | 75,538 | ||||||
HSBC Holdings plc | 741,816 | 3,836,327 | ||||||
Hyakugo Bank Ltd. (The) | 159,600 | 467,151 | ||||||
Hyakujushi Bank Ltd. (The)(a) | 17,100 | 307,827 | ||||||
ING Groep NV | 141,303 | 775,084 | ||||||
Intesa Sanpaolo SpA | 551,874 | 860,157 | ||||||
Israel Discount Bank Ltd., Class A | 51,375 | 168,295 | ||||||
Juroku Bank Ltd. (The)(a) | 18,900 | 335,281 | ||||||
Jyske Bank A/S (Registered)* | 1,180 | 31,879 | ||||||
KBC Group NV | 11,514 | 621,484 | ||||||
Keiyo Bank Ltd. (The) | 82,100 | 404,607 | ||||||
Kiyo Bank Ltd. (The)(a) | 36,400 | 544,290 | ||||||
Kyushu Financial Group, Inc.(a) | 7,600 | 32,266 | ||||||
Laurentian Bank of Canada(a) | 27,816 | 622,628 | ||||||
Liberbank SA(a) | 1,182,921 | 237,105 | ||||||
Liechtensteinische Landesbank AG | 1,920 | 110,010 | ||||||
Lloyds Banking Group plc | 2,646,453 | 1,076,205 | ||||||
Luzerner Kantonalbank AG (Registered)* (a) | 259 | 105,194 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 115 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Banks – (continued) | ||||||||
Mebuki Financial Group, Inc. | 46,210 | $ | 98,094 | |||||
Mediobanca Banca di Credito Finanziario SpA | 19,152 | 110,927 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 470,300 | 1,910,051 | ||||||
Mizrahi Tefahot Bank Ltd. | 1,889 | 39,044 | ||||||
Mizuho Financial Group, Inc. | 889,300 | 1,046,186 | ||||||
Musashino Bank Ltd. (The) | 20,200 | 256,904 | ||||||
Nanto Bank Ltd. (The)(a) | 16,746 | 354,229 | ||||||
National Australia Bank Ltd.(a) | 56,109 | 623,018 | ||||||
National Bank of Canada | 13,509 | 546,021 | ||||||
NIBC Holding NV(b) | 13,604 | 102,068 | ||||||
Nishi-Nippon Financial Holdings, Inc. | 91,200 | 538,151 | ||||||
Nordea Bank Abp | 107,502 | 696,047 | ||||||
North Pacific Bank Ltd. | 199,500 | 360,065 | ||||||
Ogaki Kyoritsu Bank Ltd. (The)(a) | 1,200 | 24,722 | ||||||
Oita Bank Ltd. (The) | 7,300 | 147,044 | ||||||
Oversea-Chinese Banking Corp. Ltd. | 91,272 | 586,133 | ||||||
Raiffeisen Bank International AG | 7,809 | 134,542 | ||||||
Resona Holdings, Inc. | 79,800 | 251,486 | ||||||
Ringkjoebing Landbobank A/S | 1,100 | 68,804 | ||||||
Royal Bank of Canada | 29,699 | 1,830,970 | ||||||
Royal Bank of Scotland Group plc | 152,874 | 213,171 | ||||||
San-In Godo Bank Ltd. (The)(a) | 96,900 | 512,885 | ||||||
Sbanken ASA* (b) | 12,000 | 64,230 | ||||||
Senshu Ikeda Holdings, Inc. | 182,400 | 286,559 | ||||||
Seven Bank Ltd.(a) | 3,800 | 10,376 | ||||||
Shiga Bank Ltd. (The)(a) | 29,500 | 699,603 | ||||||
Shinsei Bank Ltd. | 5,700 | 69,561 | ||||||
Shizuoka Bank Ltd. (The) | 24,000 | 146,781 | ||||||
Skandinaviska Enskilda Banken AB, Class A | 44,574 | 366,643 | ||||||
Skandinaviska Enskilda Banken AB, Class C | 684 | 6,121 | ||||||
Societe Generale SA | 26,904 | 420,213 | ||||||
Spar Nord Bank A/S* | 44,517 | 308,517 | ||||||
SpareBank 1 Nord Norge | 64,068 | 384,926 | ||||||
Sparebank 1 Oestlandet | 19,152 | 156,858 | ||||||
SpareBank 1 SMN | 240 | 1,759 |
Investments | Shares | Value | ||||||
Banks – (continued) | ||||||||
SpareBank 1 SR-Bank ASA | 8,041 | $ | 51,262 | |||||
St Galler Kantonalbank AG (Registered) | 110 | 47,412 | ||||||
Standard Chartered plc(a) | 102,030 | 524,434 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 50,900 | 1,353,716 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 11,400 | 336,984 | ||||||
Suruga Bank Ltd. | 145,100 | 510,194 | ||||||
Svenska Handelsbanken AB, Class A* | 23,276 | 215,192 | ||||||
Svenska Handelsbanken AB, Class B* | 908 | 9,045 | ||||||
Swedbank AB, Class A | 28,557 | 337,286 | ||||||
Sydbank A/S | 38,019 | 632,473 | ||||||
TBC Bank Group plc | 23,940 | 247,311 | ||||||
Toho Bank Ltd. (The) | 13,600 | 32,049 | ||||||
TOMONY Holdings, Inc. | 102,600 | 347,325 | ||||||
Toronto-Dominion Bank (The) | 38,076 | 1,594,370 | ||||||
Unicaja Banco SA(b) | 506,046 | 273,810 | ||||||
UniCredit SpA* | 82,137 | 632,362 | ||||||
Unione di Banche Italiane SpA | 42,864 | 122,490 | ||||||
United Overseas Bank Ltd. | 30,726 | 443,963 | ||||||
Valiant Holding AG (Registered) | 1,000 | 96,669 | ||||||
Van Lanschot Kempen NV, CVA | 24,054 | 368,849 | ||||||
Virgin Money UK plc* (a) | 62,652 | 60,155 | ||||||
Walliser Kantonalbank (Registered) | 485 | 54,020 | ||||||
Westpac Banking Corp. | 67,488 | 719,322 | ||||||
Yamagata Bank Ltd. (The) | 2,200 | 26,272 | ||||||
Yamaguchi Financial Group, Inc. | 13,300 | 72,386 | ||||||
56,543,466 | ||||||||
Beverages – 1.1% | ||||||||
AG Barr plc(a) | 4,785 | 29,785 | ||||||
Anheuser-Busch InBev SA/NV | 17,955 | 823,617 | ||||||
Asahi Group Holdings Ltd. | 12,200 | 426,689 | ||||||
Britvic plc | 7,320 | 67,632 | ||||||
C&C Group plc | 20,320 | 49,980 | ||||||
Carlsberg A/S, Class B | 2,223 | 280,248 | ||||||
Coca-Cola Amatil Ltd. | 20,178 | 114,667 | ||||||
Coca-Cola Bottlers Japan Holdings, Inc. | 3,354 | 61,005 |
See Accompanying Notes to the Financial Statements.
116 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Beverages – (continued) | ||||||||
Coca-Cola European Partners plc(a) | 4,514 | $ | 178,935 | |||||
Coca-Cola HBC AG, DI | 4,000 | 101,665 | ||||||
Davide Campari-Milano SpA | 13,794 | 106,818 | ||||||
Diageo plc | 48,621 | 1,686,523 | ||||||
Fevertree Drinks plc | 2,199 | 48,263 | ||||||
Goldin Financial Holdings Ltd.* | 1,200,000 | 207,421 | ||||||
Heineken Holding NV | 1,938 | 150,923 | ||||||
Heineken NV(a) | 4,161 | 353,757 | ||||||
Ito En Ltd.(a) | 800 | 44,737 | ||||||
Kirin Holdings Co. Ltd. | 16,138 | 313,675 | ||||||
Molson Coors Canada, Inc., Class B | 6,078 | 272,973 | ||||||
Pernod Ricard SA | 4,731 | 720,797 | ||||||
Primo Water Corp. | 2,631 | 26,993 | ||||||
Remy Cointreau SA(a) | 580 | 64,671 | ||||||
Royal Unibrew A/S* | 1,210 | 93,628 | ||||||
Sapporo Holdings Ltd.(a) | 1,800 | 34,759 | ||||||
Suntory Beverage & Food Ltd. | 3,000 | 113,761 | ||||||
Takara Holdings, Inc. | 8,600 | 64,177 | ||||||
Treasury Wine Estates Ltd. | 15,732 | 104,542 | ||||||
6,542,641 | ||||||||
Biotechnology – 0.7% | ||||||||
Abcam plc(a) | 4,545 | 72,807 | ||||||
Argenx SE* | 546 | 82,230 | ||||||
Avita Medical Ltd.* (a) | 58,444 | 17,792 | ||||||
BioGaia AB, Class B | 1,134 | 54,975 | ||||||
Clinuvel Pharmaceuticals Ltd.(a) | 1,368 | 19,731 | ||||||
CSL Ltd. | 9,804 | 1,986,196 | ||||||
Galapagos NV* | 1,197 | 264,181 | ||||||
Genmab A/S* | 1,083 | 260,388 | ||||||
Genus plc | 4,282 | 184,285 | ||||||
Grifols SA | 7,182 | 244,332 | ||||||
Grifols SA (Preference), Class B | 5,680 | 117,583 | ||||||
Hansa Biopharma AB* | 2,660 | 32,163 | ||||||
HEALIOS KK* (a) | 1,100 | 18,588 | ||||||
MorphoSys AG* | 1,140 | 119,795 | ||||||
Opthea Ltd.* | 6,840 | 10,524 | ||||||
PeptiDream, Inc.* (a) | 2,500 | 94,684 | ||||||
SanBio Co. Ltd.* (a) | 2,200 | 27,568 | ||||||
Swedish Orphan Biovitrum AB* | 6,345 | 123,428 |
Investments | Shares | Value | ||||||
Biotechnology – (continued) | ||||||||
Vitrolife AB | 1,652 | $ | 30,191 | |||||
3,761,441 | ||||||||
Building Products – 0.8% | ||||||||
AGC, Inc. | 5,700 | 143,866 | ||||||
Aica Kogyo Co. Ltd.(a) | 1,500 | 43,975 | ||||||
Assa Abloy AB, Class B(a) | 20,634 | 371,920 | ||||||
Belimo Holding AG (Registered) | 21 | 139,471 | ||||||
Bunka Shutter Co. Ltd. | 35,900 | 264,546 | ||||||
Central Glass Co. Ltd. | 23,000 | 398,766 | ||||||
Cie de Saint-Gobain | 18,126 | 480,651 | ||||||
Daikin Industries Ltd. | 6,300 | 825,095 | ||||||
dormakaba Holding AG* | 20 | 10,000 | ||||||
Geberit AG (Registered) | 627 | 281,359 | ||||||
GWA Group Ltd.(a) | 17,760 | 32,208 | ||||||
James Halstead plc | 4,686 | 29,435 | ||||||
Kingspan Group plc | 3,419 | 174,135 | ||||||
Lindab International AB | 3,680 | 34,022 | ||||||
LIXIL Group Corp. | 4,400 | 53,820 | ||||||
Munters Group AB* (b) | 48 | 203 | ||||||
Nibe Industrier AB, Class B | 9,994 | 187,096 | ||||||
Nichias Corp. | 800 | 16,309 | ||||||
Nippon Sheet Glass Co. Ltd.* (a) | 57,000 | 184,963 | ||||||
Okabe Co. Ltd. | 27,700 | 196,867 | ||||||
Reliance Worldwide Corp. Ltd.(a) | 23,739 | 42,429 | ||||||
ROCKWOOL International A/S, Class A | 220 | 42,962 | ||||||
ROCKWOOL International A/S, Class B | 174 | 36,534 | ||||||
Sanwa Holdings Corp. | 9,800 | 77,531 | ||||||
Schweiter Technologies AG | 56 | 55,411 | ||||||
Sekisui Jushi Corp. | 3,600 | 74,064 | ||||||
Takara Standard Co. Ltd. | 2,176 | 32,355 | ||||||
Takasago Thermal Engineering Co. Ltd. | 3,400 | 54,369 | ||||||
Tarkett SA(a) | 17,765 | 175,900 | ||||||
TOTO Ltd. | 3,900 | 138,224 | ||||||
Uponor OYJ | 7,733 | 86,902 | ||||||
4,685,388 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 117 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Capital Markets – 2.9% | ||||||||
3i Group plc | 40,527 | $ | 400,771 | |||||
Amundi SA(b) | 1,440 | 95,580 | ||||||
Anima Holding SpA(b) | 185,794 | 656,899 | ||||||
Ashmore Group plc | 9,588 | 45,884 | ||||||
ASX Ltd. | 2,715 | 144,956 | ||||||
AURELIUS Equity Opportunities SE & Co. KGaA | 4,332 | 75,917 | ||||||
Avanza Bank Holding AB | 6,589 | 80,008 | ||||||
Azimut Holding SpA(a) | 5,680 | 96,586 | ||||||
Banca Generali SpA | 1,397 | 34,673 | ||||||
Bolsas y Mercados Espanoles SHMSF SA | 3,245 | 118,285 | ||||||
Brederode SA | 80 | 6,388 | ||||||
Brewin Dolphin Holdings plc | 19,451 | 67,225 | ||||||
Brookfield Asset Management, Inc., Class A(a) | 30,267 | 1,025,045 | ||||||
Bure Equity AB(a) | 25,185 | 464,135 | ||||||
Burford Capital Ltd. | 9,191 | 57,989 | ||||||
CI Financial Corp. | 5,814 | 61,909 | ||||||
Credit Suisse Group AG (Registered)* | 91,878 | 830,677 | ||||||
Daiwa Securities Group, Inc. | 57,000 | 239,012 | ||||||
Deutsche Bank AG (Registered) | 33,459 | 248,398 | ||||||
Deutsche Boerse AG | 4,277 | 664,042 | ||||||
EFG International AG* | 6,000 | 37,362 | ||||||
Euronext NV(b) | 1,650 | 138,435 | ||||||
Fairfax India Holdings Corp.* (b) | 4,683 | 36,293 | ||||||
Flow Traders(a) (b) | 2,452 | 81,645 | ||||||
GAM Holding AG* (a) | 11,400 | 23,930 | ||||||
Gimv NV | 2,736 | 150,137 | ||||||
GMO Financial Holdings, Inc. | 15,200 | 78,036 | ||||||
Haitong International Securities Group Ltd.(a) | 1,425,000 | 334,544 | ||||||
Hargreaves Lansdown plc | 5,061 | 91,957 | ||||||
Hong Kong Exchanges & Clearing Ltd. | 27,458 | 892,557 | ||||||
IG Group Holdings plc | 673 | 6,405 | ||||||
IGM Financial, Inc. | 5,472 | 116,141 | ||||||
Intermediate Capital Group plc | 7,524 | 107,052 | ||||||
Investec plc | 30,336 | 62,734 | ||||||
IOOF Holdings Ltd. | 20,140 | 56,962 |
Investments | Shares | Value | ||||||
Capital Markets – (continued) | ||||||||
IP Group plc* (a) | 663,879 | $ | 464,748 | |||||
Jafco Co. Ltd. | 17,400 | 567,878 | ||||||
Japan Exchange Group, Inc. | 14,400 | 270,938 | ||||||
Julius Baer Group Ltd.* | 4,160 | 163,098 | ||||||
Jupiter Fund Management plc | 10,640 | 29,338 | ||||||
Kingston Financial Group Ltd. | 152,000 | 12,745 | ||||||
Leonteq AG | 5,130 | 184,970 | ||||||
London Stock Exchange Group plc | 6,555 | 616,473 | ||||||
Macquarie Group Ltd. | 5,757 | 386,937 | ||||||
Magellan Financial Group Ltd. | 2,640 | 88,183 | ||||||
Man Group plc | 61,623 | 103,689 | ||||||
Monex Group, Inc. | 119,700 | 238,426 | ||||||
Natixis SA | 22,024 | 52,130 | ||||||
Nomura Holdings, Inc. | 106,400 | 447,550 | ||||||
Okasan Securities Group, Inc.(a) | 12,500 | 38,224 | ||||||
Partners Group Holding AG | 399 | 314,107 | ||||||
Pendal Group Ltd.(a) | 6,964 | 25,168 | ||||||
Perpetual Ltd.(a) | 3,971 | 78,254 | ||||||
Platinum Asset Management Ltd. | 16 | 37 | ||||||
Quilter plc(b) | 103,740 | 161,276 | ||||||
Rathbone Brothers plc | 2,584 | 49,281 | ||||||
Ratos AB, Class B* (a) | 125,571 | 299,811 | ||||||
Rothschild & Co. | 2,375 | 46,980 | ||||||
Sanne Group plc | 9,329 | 76,251 | ||||||
SBI Holdings, Inc. | 10,800 | 205,123 | ||||||
Schroders plc | 960 | 32,137 | ||||||
Schroders plc (Non-Voting) | 2,211 | 59,402 | ||||||
Singapore Exchange Ltd. | 7,600 | 52,099 | ||||||
Sparx Group Co. Ltd. | 9,200 | 15,056 | ||||||
St James’s Place plc | 9,547 | 102,527 | ||||||
Standard Life Aberdeen plc | 68,343 | 190,598 | ||||||
TMX Group Ltd. | 1,545 | 134,138 | ||||||
Tokai Tokyo Financial Holdings, Inc. | 153,900 | 332,453 | ||||||
TP ICAP plc | 347,700 | 1,488,511 | ||||||
UBS Group AG (Registered)* | 145,749 | 1,561,462 | ||||||
Value Partners Group Ltd.(a) | 8,000 | 3,220 | ||||||
Vontobel Holding AG (Registered) | 339 | 17,597 | ||||||
Vostok New Ventures Ltd., SDR* (a) | 6,421 | 39,444 |
See Accompanying Notes to the Financial Statements.
118 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Capital Markets – (continued) | ||||||||
VZ Holding AG | 285 | $ | 19,932 | |||||
16,598,760 | ||||||||
Chemicals – 3.0% | ||||||||
ADEKA Corp. | 4,200 | 53,455 | ||||||
Air Liquide SA | 9,462 | 1,203,229 | ||||||
Air Water, Inc. | 6,000 | 81,694 | ||||||
Akzo Nobel NV | 4,320 | 327,433 | ||||||
Arkema SA | 2,223 | 184,318 | ||||||
Asahi Kasei Corp. | 45,600 | 326,217 | ||||||
BASF SE | 19,209 | 982,235 | ||||||
Borregaard ASA | 6,375 | 59,449 | ||||||
C Uyemura & Co. Ltd. | 5,000 | 277,739 | ||||||
Chemtrade Logistics Income Fund(a) | 19,139 | 72,067 | ||||||
Chr Hansen Holding A/S | 2,052 | 176,799 | ||||||
Chugoku Marine Paints Ltd. | 9,500 | 73,114 | ||||||
CI Takiron Corp. | 34,200 | 188,054 | ||||||
Clariant AG (Registered)* | 3,106 | 57,492 | ||||||
Corbion NV | 3,198 | 114,365 | ||||||
Covestro AG(b) | 4,617 | 155,149 | ||||||
Croda International plc | 3,298 | 203,088 | ||||||
Daicel Corp. | 15,700 | 128,613 | ||||||
DIC Corp. | 2,899 | 68,425 | ||||||
Elementis plc | 26,045 | 22,996 | ||||||
Elkem ASA(b) | 28,160 | 47,367 | ||||||
EMS-Chemie Holding AG (Registered) | 171 | 110,823 | ||||||
Evonik Industries AG | 4,912 | 120,837 | ||||||
FUCHS PETROLUB SE | 3,256 | 108,772 | ||||||
FUCHS PETROLUB SE (Preference) | 1,182 | 45,908 | ||||||
Fuso Chemical Co. Ltd.(a) | 1,100 | 33,020 | ||||||
Givaudan SA (Registered) | 171 | 572,805 | ||||||
Hexpol AB* (a) | 5,784 | 42,193 | ||||||
Incitec Pivot Ltd. | 54,091 | 84,638 | ||||||
Israel Chemicals Ltd. | 29,862 | 104,705 | ||||||
Israel Corp. Ltd. (The)* | 243 | 31,505 | ||||||
JCU Corp. | 500 | 11,890 | ||||||
Johnson Matthey plc | 3,360 | 84,445 | ||||||
JSP Corp. | 13,700 | 180,002 | ||||||
JSR Corp. | 8,300 | 158,339 |
Investments | Shares | Value | ||||||
Chemicals – (continued) | ||||||||
K+S AG (Registered) | 9,758 | $ | 65,731 | |||||
Kaneka Corp. | 4,400 | 114,799 | ||||||
Kansai Paint Co. Ltd. | 6,100 | 117,568 | ||||||
Kanto Denka Kogyo Co. Ltd.(a) | 25,200 | 204,079 | ||||||
Koninklijke DSM NV | 3,685 | 451,043 | ||||||
Konishi Co. Ltd. | 15,100 | 199,385 | ||||||
Kumiai Chemical Industry Co. Ltd.(a) | 8,000 | 65,535 | ||||||
Kuraray Co. Ltd. | 18,600 | 188,722 | ||||||
Kureha Corp. | 11,400 | 467,471 | ||||||
LANXESS AG | 2,793 | 137,540 | ||||||
Lenzing AG | 485 | 27,730 | ||||||
Lintec Corp. | 1,800 | 38,984 | ||||||
Methanex Corp.(a) | 4,028 | 64,178 | ||||||
Mitsubishi Chemical Holdings Corp. | 34,900 | 201,499 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 6,700 | 83,268 | ||||||
Mitsui Chemicals, Inc. | 6,100 | 121,276 | ||||||
Nihon Parkerizing Co. Ltd. | 1,900 | 19,633 | ||||||
Nippon Kayaku Co. Ltd. | 8,100 | 79,307 | ||||||
Nippon Paint Holdings Co. Ltd. | 5,200 | 301,978 | ||||||
Nippon Shokubai Co. Ltd. | 400 | 19,152 | ||||||
Nippon Soda Co. Ltd.(a) | 20,339 | 527,804 | ||||||
Nissan Chemical Corp.(a) | 3,800 | 147,117 | ||||||
Nitto Denko Corp. | 3,300 | 166,952 | ||||||
NOF Corp.(a) | 2,000 | 66,957 | ||||||
Novozymes A/S, Class B | 4,959 | 242,902 | ||||||
Nufarm Ltd.* | 23,520 | 80,996 | ||||||
Nutrien Ltd. | 13,281 | 475,322 | ||||||
OCI NV* (a) | 1,318 | 15,952 | ||||||
Okamoto Industries, Inc. | 600 | 24,295 | ||||||
Orica Ltd. | 4,722 | 55,400 | ||||||
Osaka Soda Co. Ltd.(a) | 12,200 | 279,630 | ||||||
Sakata INX Corp. | 23,200 | 209,361 | ||||||
Sanyo Chemical Industries Ltd. | 9,100 | 364,647 | ||||||
Shikoku Chemicals Corp.(a) | 7,600 | 77,823 | ||||||
Shin-Etsu Chemical Co. Ltd. | 8,100 | 910,100 | ||||||
Shin-Etsu Polymer Co. Ltd. | 17,500 | 138,449 | ||||||
Showa Denko KK(a) | 7,400 | 164,352 | ||||||
Sika AG (Registered) | 2,223 | 367,832 | ||||||
SOL SpA | 3,009 | 32,562 | ||||||
Solvay SA | 2,052 | 160,116 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 119 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Chemicals – (continued) | ||||||||
Sumitomo Bakelite Co. Ltd. | 3,000 | $ | 79,029 | |||||
Sumitomo Chemical Co. Ltd. | 48,600 | 151,797 | ||||||
Symrise AG | 2,565 | 259,368 | ||||||
Synthomer plc(a) | 190,155 | 680,220 | ||||||
T Hasegawa Co. Ltd. | 900 | 18,154 | ||||||
Taiyo Holdings Co. Ltd. | 900 | 37,200 | ||||||
Taiyo Nippon Sanso Corp.(a) | 7,200 | 113,250 | ||||||
Tayca Corp.(a) | 8,100 | 114,984 | ||||||
Teijin Ltd. | 8,200 | 132,277 | ||||||
Tenma Corp. | 1,100 | 15,996 | ||||||
Tessenderlo Group SA* | 779 | 21,715 | ||||||
Toagosei Co. Ltd. | 5,800 | 53,479 | ||||||
Tokai Carbon Co. Ltd. | 11,000 | 92,271 | ||||||
Tokuyama Corp. | 3,200 | 68,827 | ||||||
Tokyo Ohka Kogyo Co. Ltd. | 700 | 30,374 | ||||||
Toray Industries, Inc. | 51,300 | 239,434 | ||||||
Tosoh Corp. | 13,800 | 171,508 | ||||||
Toyo Ink SC Holdings Co. Ltd. | 1,600 | 30,852 | ||||||
Toyobo Co. Ltd. | 51,300 | 608,298 | ||||||
Ube Industries Ltd. | 9,400 | 160,249 | ||||||
Umicore SA | 4,213 | 181,857 | ||||||
Victrex plc | 2,830 | 71,250 | ||||||
Wacker Chemie AG | 786 | 45,869 | ||||||
Yara International ASA | 4,446 | 151,962 | ||||||
Zeon Corp.(a) | 8,000 | 71,370 | ||||||
17,572,217 | ||||||||
Commercial Services & Supplies – 0.9% | ||||||||
Aggreko plc | 3,648 | 21,120 | ||||||
Babcock International Group plc | 14,064 | 74,773 | ||||||
Bell System24 Holdings, Inc. | 5,600 | 67,503 | ||||||
Biffa plc(a) (b) | 136,343 | 378,348 | ||||||
Bilfinger SE | 15,668 | 294,657 | ||||||
Boyd Group Services, Inc. | 228 | 32,149 | ||||||
Brambles Ltd. | 33,231 | 241,060 | ||||||
Bravida Holding AB* (b) | 12,702 | 103,778 | ||||||
Cleanaway Waste Management Ltd. | 56,747 | 69,475 | ||||||
Coor Service Management Holding AB* (b) | 6,692 | 44,192 | ||||||
Dai Nippon Printing Co. Ltd. | 3,900 | 83,518 | ||||||
Daiseki Co. Ltd. | 2,500 | 55,945 |
Investments | Shares | Value | ||||||
Commercial Services & Supplies – (continued) | ||||||||
Downer EDI Ltd. | 32,262 | $ | 88,078 | |||||
Duskin Co. Ltd.(a) | 3,700 | 96,535 | ||||||
Elis SA | 3,517 | 43,529 | ||||||
Elis SA – XLON | 4,520 | 54,632 | ||||||
G4S plc | 81,966 | 112,899 | ||||||
HomeServe plc | 11,489 | 161,582 | ||||||
Intrum AB(a) | 5,187 | 79,713 | ||||||
ISS A/S* (a) | 3,956 | 59,015 | ||||||
Kokuyo Co. Ltd. | 5,600 | 69,021 | ||||||
Lassila & Tikanoja OYJ | 960 | 13,438 | ||||||
Loomis AB, Class B | 2,271 | 55,524 | ||||||
Mitsubishi Pencil Co. Ltd. | 1,800 | 22,758 | ||||||
Nippon Kanzai Co. Ltd. | 1,300 | 22,466 | ||||||
Okamura Corp. | 53,100 | 388,313 | ||||||
Park24 Co. Ltd. | 2,200 | 35,551 | ||||||
PayPoint plc | 3,648 | 30,415 | ||||||
Pilot Corp. | 500 | 16,950 | ||||||
Prestige International, Inc. | 4,000 | 31,720 | ||||||
Relia, Inc. | 2,100 | 22,486 | ||||||
Rentokil Initial plc | 41,724 | 249,617 | ||||||
Ritchie Bros Auctioneers, Inc. | 2,886 | 124,483 | ||||||
Sato Holdings Corp. | 1,100 | 22,949 | ||||||
Secom Co. Ltd. | 5,400 | 454,734 | ||||||
Securitas AB, Class B | 7,047 | 83,297 | ||||||
Serco Group plc* | 57,046 | 92,678 | ||||||
SmartGroup Corp. Ltd. | 918 | 3,245 | ||||||
Societe BIC SA(a) | 770 | 38,526 | ||||||
Sohgo Security Services Co. Ltd. | 2,900 | 140,207 | ||||||
SPIE SA | 1,216 | 18,353 | ||||||
TOMRA Systems ASA | 2,590 | 86,270 | ||||||
Toppan Printing Co. Ltd. | 15,000 | 226,119 | ||||||
Transcontinental, Inc., Class A(a) | 43,947 | 398,986 | ||||||
Waste Connections, Inc. | 6,327 | 545,535 | ||||||
5,356,142 | ||||||||
Communications Equipment – 0.3% | ||||||||
Nokia OYJ | 115,197 | 419,406 | ||||||
Spirent Communications plc | 5,928 | 18,020 | ||||||
Telefonaktiebolaget LM Ericsson, Class A | 3,789 | 35,884 | ||||||
Telefonaktiebolaget LM Ericsson, Class B | 51,995 | 453,024 |
See Accompanying Notes to the Financial Statements.
120 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Communications Equipment – (continued) | ||||||||
VTech Holdings Ltd. | 102,600 | $ | 773,568 | |||||
1,699,902 | ||||||||
Construction & Engineering – 2.6% | ||||||||
ACS Actividades de Construccion y Servicios SA(a) | 10,002 | 249,450 | ||||||
Aecon Group, Inc. | 294 | 3,236 | ||||||
AF Gruppen ASA | 2,860 | 47,128 | ||||||
Arcadis NV* (a) | 42,557 | 661,434 | ||||||
Ashtrom Group Ltd.* | 9,804 | 146,542 | ||||||
Badger Daylighting Ltd.(a) | 2,812 | 61,243 | ||||||
Balfour Beatty plc | 406,809 | 1,332,082 | ||||||
Boskalis Westminster | 218 | 3,785 | ||||||
Bouygues SA* | 7,353 | 226,391 | ||||||
Chiyoda Corp.* (a) | 89,500 | 205,891 | ||||||
Cie d’Entreprises CFE | 282 | 21,837 | ||||||
CIMIC Group Ltd. | 5,661 | 91,322 | ||||||
COMSYS Holdings Corp. | 4,300 | 120,554 | ||||||
Dai-Dan Co. Ltd.(a) | 11,500 | 291,546 | ||||||
Daiho Corp.(a) | 11,400 | 241,678 | ||||||
Eiffage SA | 2,280 | 186,547 | ||||||
Elecnor SA | 27,075 | 247,325 | ||||||
Electra Ltd. | 103 | 47,540 | ||||||
Ferrovial SA | 12,426 | 310,312 | ||||||
Fomento de Construcciones y Contratas SA | 3,542 | 33,636 | ||||||
Galliford Try Holdings plc | 62,688 | 119,588 | ||||||
Gold-Finance Holdings Ltd.* ‡ (b) (d) | 89,827 | 626 | ||||||
Hazama Ando Corp. | 17,100 | 108,259 | ||||||
HOCHTIEF AG | 442 | 34,736 | ||||||
JDC Corp.(a) | 28,500 | 140,454 | ||||||
JGC Holdings Corp. | 5,400 | 53,225 | ||||||
John Laing Group plc(b) | 287,565 | 1,323,203 | ||||||
Kajima Corp. | 14,900 | 157,451 | ||||||
Kandenko Co. Ltd. | 3,000 | 25,389 | ||||||
Kinden Corp. | 7,500 | 122,528 | ||||||
Kumagai Gumi Co. Ltd. | 800 | 17,775 | ||||||
Kyowa Exeo Corp.(a) | 3,900 | 96,246 | ||||||
Kyudenko Corp. | 2,100 | 59,307 | ||||||
Maeda Corp. | 8,100 | 65,976 |
Investments | Shares | Value | ||||||
Construction & Engineering – (continued) | ||||||||
Maeda Road Construction Co. Ltd.(a) | 1,200 | $ | 22,500 | |||||
Maire Tecnimont SpA* (a) | 64,752 | 125,533 | ||||||
Mirait Holdings Corp. | 6,700 | 88,093 | ||||||
Monadelphous Group Ltd. | 9,080 | 67,175 | ||||||
Morgan Sindall Group plc | 22,743 | 368,339 | ||||||
NCC AB, Class B | 246 | 3,790 | ||||||
Nippo Corp.(a) | 2,000 | 45,392 | ||||||
Nippon Densetsu Kogyo Co. Ltd. | 1,700 | 33,655 | ||||||
Nippon Koei Co. Ltd.(a) | 5,700 | 166,040 | ||||||
Nippon Road Co. Ltd. (The) | 5,300 | 324,141 | ||||||
Nishimatsu Construction Co. Ltd. | 31,100 | 597,076 | ||||||
Obayashi Corp. | 22,900 | 203,870 | ||||||
Okumura Corp. | 3,000 | 65,086 | ||||||
Peab AB, Class B | 3,999 | 30,646 | ||||||
Penta-Ocean Construction Co. Ltd.(a) | 17,100 | 87,951 | ||||||
Raito Kogyo Co. Ltd.(a) | 7,600 | 95,946 | ||||||
Raiznext Corp.(a) | 17,100 | 190,773 | ||||||
Sacyr SA(a) | 195,035 | 364,012 | ||||||
Salini Impregilo SpA* (a) | 147,687 | 218,378 | ||||||
Sanki Engineering Co. Ltd. | 24,400 | 279,516 | ||||||
Shapir Engineering and Industry Ltd.* | 7,497 | 52,789 | ||||||
Shikun & Binui Ltd. | 10,078 | 42,247 | ||||||
Shimizu Corp. | 23,000 | 179,810 | ||||||
Shinnihon Corp. | 18,100 | 131,178 | ||||||
SHO-BOND Holdings Co. Ltd. | 1,200 | 49,095 | ||||||
Skanska AB, Class B* | 5,586 | 107,034 | ||||||
SNC-Lavalin Group, Inc.(a) | 6,803 | 125,730 | ||||||
Sumitomo Densetsu Co. Ltd. | 11,400 | 240,612 | ||||||
Sumitomo Mitsui Construction Co. Ltd. | 98,540 | 412,829 | ||||||
Sweco AB, Class B | 2,583 | 88,857 | ||||||
Taihei Dengyo Kaisha Ltd. | 11,600 | 240,494 | ||||||
Taikisha Ltd. | 4,500 | 132,767 | ||||||
Taisei Corp. | 9,200 | 291,224 | ||||||
Takamatsu Construction Group Co. Ltd. | 11,500 | 239,281 | ||||||
Toda Corp.(a) | 25,000 | 147,286 | ||||||
Toenec Corp. | 5,700 | 174,302 | ||||||
Tokyu Construction Co. Ltd.(a) | 46,400 | 244,290 | ||||||
Totetsu Kogyo Co. Ltd.(a) | 1,800 | 47,131 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 121 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Construction & Engineering – (continued) | ||||||||
Veidekke ASA | 3,088 | $ | 27,618 | |||||
Vinci SA | 10,089 | 825,471 | ||||||
WSP Global, Inc. | 1,210 | 81,375 | ||||||
YIT OYJ | 106,020 | 580,618 | ||||||
Yokogawa Bridge Holdings Corp.(a) | 23,200 | 411,562 | ||||||
Yurtec Corp. | 23,000 | 130,986 | ||||||
15,236,740 | ||||||||
Construction Materials – 0.6% | ||||||||
Adelaide Brighton Ltd.(a) | 8,796 | 15,721 | ||||||
Boral Ltd.(a) | 52,820 | 104,435 | ||||||
Breedon Group plc* | 45,296 | 48,792 | ||||||
Brickworks Ltd.(a) | 3,147 | 28,124 | ||||||
Buzzi Unicem SpA(a) | 3,145 | 61,609 | ||||||
Buzzi Unicem SpA (Retirement Savings Plan) | 5 | 52 | ||||||
Cementir Holding NV | 37,335 | 228,592 | ||||||
CRH plc | 16,816 | 509,061 | ||||||
CSR Ltd. | 46,626 | 113,862 | ||||||
Fletcher Building Ltd.(a) | 17,649 | 40,288 | ||||||
HeidelbergCement AG | 4,275 | 203,123 | ||||||
Ibstock plc(b) | 9,600 | 24,412 | ||||||
Imerys SA | 1,021 | 32,006 | ||||||
James Hardie Industries plc, CHDI | 7,840 | 115,078 | ||||||
Krosaki Harima Corp. | 2,700 | 96,704 | ||||||
LafargeHolcim Ltd. (Registered)* | 10,469 | 434,315 | ||||||
Marshalls plc | 3,724 | 29,945 | ||||||
Mitani Sekisan Co. Ltd. | 5,800 | 260,887 | ||||||
Rhi Magnesita NV | 16,644 | 512,671 | ||||||
Sumitomo Osaka Cement Co. Ltd. | 1,700 | 56,357 | ||||||
Taiheiyo Cement Corp. | 5,800 | 115,962 | ||||||
Vicat SA | 8,835 | 247,731 | ||||||
Wienerberger AG | 3,846 | 71,823 | ||||||
3,351,550 | ||||||||
Consumer Finance – 0.3% | ||||||||
Acom Co. Ltd.(a) | 24,400 | 99,941 | ||||||
AEON Financial Service Co. Ltd. | 4,800 | 50,722 | ||||||
Aiful Corp.* (a) | 188,100 | 420,404 |
Investments | Shares | Value | ||||||
Consumer Finance – (continued) | ||||||||
Allied Properties HK Ltd.* | 1,104,000 | $ | 276,272 | |||||
B2Holding ASA(a) | 136,192 | 55,039 | ||||||
Cembra Money Bank AG | 726 | 69,016 | ||||||
Credit Corp. Group Ltd.(a) | 3,350 | 36,298 | ||||||
Credit Saison Co. Ltd. | 6,700 | 77,379 | ||||||
Hitachi Capital Corp. | 2,300 | 45,232 | ||||||
Hong Leong Finance Ltd. | 142,500 | 231,814 | ||||||
Isracard Ltd. | 3,252 | 8,573 | ||||||
Jaccs Co. Ltd. | 17,100 | 288,478 | ||||||
Provident Financial plc | 19,760 | 48,229 | ||||||
Resurs Holding AB(a) (b) | 73,841 | 273,676 | ||||||
Sun Hung Kai & Co. Ltd. | 105,996 | 43,616 | ||||||
2,024,689 | ||||||||
Containers & Packaging – 0.2% | ||||||||
BillerudKorsnas AB | 2,965 | 37,506 | ||||||
CCL Industries, Inc., Class B | 2,960 | 92,725 | ||||||
DS Smith plc(a) | 35,796 | 140,827 | ||||||
FP Corp. | 600 | 45,504 | ||||||
Fuji Seal International, Inc.(a) | 2,000 | 35,162 | ||||||
Huhtamaki OYJ* | 2,051 | 76,649 | ||||||
Intertape Polymer Group, Inc.(a) | 4,731 | 46,528 | ||||||
Mayr Melnhof Karton AG* | 275 | 37,771 | ||||||
Orora Ltd. | 44,370 | 74,656 | ||||||
Pack Corp. (The) | 1,200 | 38,266 | ||||||
Pact Group Holdings Ltd.* (a) | 100,662 | 126,205 | ||||||
Rengo Co. Ltd. | 11,100 | 88,024 | ||||||
Smurfit Kappa Group plc | 6,669 | 209,056 | ||||||
Toyo Seikan Group Holdings Ltd. | 5,600 | 57,658 | ||||||
Vidrala SA | 1,239 | 110,602 | ||||||
Winpak Ltd. | 74 | 2,469 | ||||||
1,219,608 | ||||||||
Distributors – 0.1% | ||||||||
Arata Corp. | 9,200 | 383,709 | ||||||
Bapcor Ltd. | 25,156 | 81,360 | ||||||
Doshisha Co. Ltd. | 1,800 | 22,354 | ||||||
Inchcape plc | 8,938 | 56,539 | ||||||
Jardine Cycle & Carriage Ltd. | 9,922 | 141,743 | ||||||
PALTAC Corp. | 800 | 42,194 | ||||||
727,899 |
See Accompanying Notes to the Financial Statements.
122 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Diversified Consumer Services – 0.1% | ||||||||
AcadeMedia AB(a) (b) | 37,107 | $ | 193,756 | |||||
Benesse Holdings, Inc. | 2,000 | 57,418 | ||||||
G8 Education Ltd.(a) | 28,720 | 16,547 | ||||||
IDP Education Ltd. | 2,501 | 24,332 | ||||||
InvoCare Ltd. | 4,344 | 29,236 | ||||||
321,289 | ||||||||
Diversified Financial Services – 1.2% | ||||||||
Ackermans & van Haaren NV* | 784 | 103,819 | ||||||
Aker ASA, Class A* | 760 | 20,183 | ||||||
AMP Ltd.* (a) | 89,503 | 83,795 | ||||||
Banca Farmafactoring SpA* (b) | 56,373 | 291,129 | ||||||
Banca IFIS SpA* | 14,820 | 144,874 | ||||||
Banca Mediolanum SpA | 9,158 | 55,871 | ||||||
Banque Nationale de Belgique | 97 | 216,738 | ||||||
Cerved Group SpA | 10,505 | 71,511 | ||||||
Challenger Ltd.(a) | 11,680 | 37,929 | ||||||
doValue SpA(a) (b) | 3,680 | 27,167 | ||||||
ECN Capital Corp.(a) | 144,357 | 410,533 | ||||||
Element Fleet Management Corp.(a) | 24,567 | 181,650 | ||||||
Eurazeo SE* | 1,824 | 87,225 | ||||||
EXOR NV | 3,648 | 199,343 | ||||||
FFP | 94 | 6,383 | ||||||
Financial Products Group Co. Ltd.(a) | 39,900 | 194,024 | ||||||
First Pacific Co. Ltd. | 1,368,000 | 284,105 | ||||||
Fuyo General Lease Co. Ltd. | 700 | 35,414 | ||||||
GRENKE AG | 495 | 34,699 | ||||||
Groupe Bruxelles Lambert SA* | 1,760 | 140,493 | ||||||
HAL Trust(a) | 1,270 | 163,029 | ||||||
Industrivarden AB, Class A* | 6,288 | 130,560 | ||||||
Industrivarden AB, Class C* | 250 | 5,175 | ||||||
Investor AB, Class A | 2,092 | 104,095 | ||||||
Investor AB, Class B | 9,550 | 480,277 | ||||||
Japan Investment Adviser Co. Ltd.(a) | 600 | 4,102 | ||||||
Japan Securities Finance Co. Ltd. | 57,000 | 272,380 | ||||||
KBC Ancora | 1,377 | 48,324 | ||||||
Kinnevik AB, Class B | 3,304 | 68,332 | ||||||
L E Lundbergforetagen AB, Class B* | 1,348 | 56,889 |
Investments | Shares | Value | ||||||
Diversified Financial Services – (continued) | ||||||||
M&G plc | 72,504 | $ | 120,946 | |||||
Mitsubishi UFJ Lease & Finance Co. Ltd. | 21,500 | 104,348 | ||||||
Mizuho Leasing Co. Ltd. | 22,738 | 444,617 | ||||||
Onex Corp. | 1,520 | 70,214 | ||||||
ORIX Corp. | 47,100 | 567,746 | ||||||
Pargesa Holding SA | 1,265 | 89,978 | ||||||
Plus500 Ltd. | 64,125 | 1,011,455 | ||||||
Ricoh Leasing Co. Ltd. | 5,700 | 153,780 | ||||||
Sofina SA | 330 | 77,712 | ||||||
SRH NV* ‡ (d) | 2,857 | — | ||||||
Tokyo Century Corp.(a) | 600 | 20,676 | ||||||
Wendel SE | 1,377 | 117,642 | ||||||
Zenkoku Hosho Co. Ltd. | 1,600 | 47,356 | ||||||
6,786,518 | ||||||||
Diversified Telecommunication Services – 1.4% | ||||||||
ARTERIA Networks Corp. | 1,900 | 38,112 | ||||||
BCE, Inc. | 4,731 | 191,733 | ||||||
Bezeq The Israeli Telecommunication Corp. Ltd.* | 3,283 | 2,356 | ||||||
BT Group plc | 293,094 | 429,030 | ||||||
Cellnex Telecom SA(b) | 5,301 | 277,536 | ||||||
Chorus Ltd. | 13,004 | 57,122 | ||||||
Deutsche Telekom AG (Registered) | 67,260 | 981,651 | ||||||
Elisa OYJ | 3,744 | 227,349 | ||||||
Euskaltel SA(b) | 8,683 | 69,236 | ||||||
Gamma Communications plc | 1,701 | 28,643 | ||||||
HKBN Ltd.(a) | 51,500 | 88,620 | ||||||
HKT Trust & HKT Ltd. | 58,400 | 93,864 | ||||||
Iliad SA(a) | 646 | 96,229 | ||||||
Infrastrutture Wireless Italiane SpA(b) | 5,179 | 54,769 | ||||||
Internet Initiative Japan, Inc. | 2,300 | 80,119 | ||||||
Koninklijke KPN NV | 80,484 | 186,181 | ||||||
Masmovil Ibercom SA* | 1,672 | 31,572 | ||||||
Nippon Telegraph & Telephone Corp. | 46,600 | 1,064,607 | ||||||
NOS SGPS SA | 1,360 | 5,071 | ||||||
Orange SA | 63,840 | 778,603 | ||||||
PCCW Ltd. | 127,035 | 77,837 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 123 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Diversified Telecommunication Services – (continued) | ||||||||
Proximus SADP | 4,446 | $ | 94,813 | |||||
Singapore Telecommunications Ltd. | 142,500 | 286,478 | ||||||
Spark New Zealand Ltd. | 52,849 | 144,767 | ||||||
Sunrise Communications Group AG* (a) (b) | 1,791 | 143,443 | ||||||
Swisscom AG (Registered)(a) | 445 | 231,364 | ||||||
TalkTalk Telecom Group plc | 45,639 | 47,579 | ||||||
Telecom Italia SpA* | 302,328 | 119,740 | ||||||
Telecom Italia SpA (Retirement Savings Plan) | 268,930 | 107,043 | ||||||
Telefonica Deutschland Holding AG | 14,053 | 39,943 | ||||||
Telefonica SA | 157,058 | 719,067 | ||||||
Telekom Austria AG | 1,426 | 10,027 | ||||||
Telenor ASA | 16,245 | 249,965 | ||||||
Telia Co. AB | 64,467 | 222,762 | ||||||
Telstra Corp. Ltd. | 58,083 | 115,982 | ||||||
TELUS Corp. | 12,688 | 207,820 | ||||||
United Internet AG (Registered) | 4,866 | 167,620 | ||||||
Vocus Group Ltd.* (a) | 47,520 | 95,512 | ||||||
7,864,165 | ||||||||
Electric Utilities – 1.6% | ||||||||
Acciona SA(a) | 857 | 84,856 | ||||||
AusNet Services | 46,020 | 56,492 | ||||||
BKW AG | 773 | 62,631 | ||||||
Chubu Electric Power Co., Inc. | 22,800 | 310,972 | ||||||
Chugoku Electric Power Co., Inc. (The)(a) | 4,206 | 56,875 | ||||||
CK Infrastructure Holdings Ltd. | 24,000 | 143,028 | ||||||
CLP Holdings Ltd. | 29,000 | 309,738 | ||||||
Contact Energy Ltd. | 20,140 | 78,156 | ||||||
EDP – Energias de Portugal SA | 81,111 | 342,037 | ||||||
Electricite de France SA | 14,075 | 112,139 | ||||||
Elia Group SA/NV | 794 | 91,315 | ||||||
Emera, Inc. | 3,821 | 152,433 | ||||||
Endesa SA | 5,284 | 117,198 | ||||||
Enel SpA | 272,321 | 1,860,032 | ||||||
EVN AG | 2,240 | 34,937 | ||||||
Fortis, Inc. | 7,866 | 305,477 | ||||||
Fortum OYJ(a) | 7,923 | 131,473 |
Investments | Shares | Value | ||||||
Electric Utilities – (continued) | ||||||||
Genesis Energy Ltd. | 13,838 | $ | 23,990 | |||||
HK Electric Investments & HK Electric Investments Ltd.(b) | 500 | 516 | ||||||
Hokkaido Electric Power Co., Inc.(a) | 110,800 | 427,927 | ||||||
Hokuriku Electric Power Co. | 9,300 | 63,139 | ||||||
Hydro One Ltd.(a) (b) | 10,089 | 183,337 | ||||||
Iberdrola SA | 121,799 | 1,219,335 | ||||||
Infratil Ltd. | 42,865 | 121,650 | ||||||
Kansai Electric Power Co., Inc. (The) | 32,600 | 336,868 | ||||||
Kyushu Electric Power Co., Inc. | 17,100 | 136,403 | ||||||
Mercury NZ Ltd. | 17,270 | 48,639 | ||||||
Okinawa Electric Power Co., Inc. (The)(a) | 32,115 | 591,936 | ||||||
Orsted A/S(b) | 3,990 | 403,297 | ||||||
Power Assets Holdings Ltd. | 17,000 | 113,701 | ||||||
Red Electrica Corp. SA | 9,621 | 169,186 | ||||||
Romande Energie Holding SA (Registered) | 76 | 82,681 | ||||||
Shikoku Electric Power Co., Inc.(a) | 8,600 | 66,912 | ||||||
Spark Infrastructure Group | 1,230 | 1,522 | ||||||
SSE plc | 25,926 | 408,772 | ||||||
Terna Rete Elettrica Nazionale SpA | 29,768 | 186,500 | ||||||
Tohoku Electric Power Co., Inc. | 16,800 | 159,147 | ||||||
Tokyo Electric Power Co. Holdings, Inc.* | 34,200 | 116,095 | ||||||
Trustpower Ltd. | 5,123 | 20,544 | ||||||
Verbund AG | 1,385 | 62,743 | ||||||
9,194,629 | ||||||||
Electrical Equipment – 1.0% | ||||||||
ABB Ltd. (Registered) | 37,262 | 707,482 | ||||||
Ballard Power Systems, Inc.* | 1,824 | 18,582 | ||||||
Fagerhult AB | 4,207 | 16,368 | ||||||
Fuji Electric Co. Ltd. | 4,800 | 116,437 | ||||||
Fujikura Ltd. | 4,700 | 14,021 | ||||||
Futaba Corp. | 3,400 | 32,113 | ||||||
Huber + Suhner AG (Registered) | 867 | 55,605 | ||||||
Johnson Electric Holdings Ltd.(a) | 228,000 | 385,277 | ||||||
Legrand SA | 6,441 | 434,013 |
See Accompanying Notes to the Financial Statements.
124 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Electrical Equipment – (continued) | ||||||||
Mabuchi Motor Co. Ltd.(a) | 2,000 | $ | 62,655 | |||||
Melrose Industries plc | 92,397 | 116,289 | ||||||
Mitsubishi Electric Corp. | 36,100 | 452,537 | ||||||
NEL ASA* | 12,688 | 15,674 | ||||||
Nexans SA | 15,618 | 555,958 | ||||||
Nidec Corp. | 11,510 | 676,597 | ||||||
Nippon Carbon Co. Ltd.(a) | 5,800 | 180,343 | ||||||
Nissin Electric Co. Ltd.(a) | 1,200 | 11,368 | ||||||
Nitto Kogyo Corp. | 1,800 | 30,770 | ||||||
Nordex SE* | 3,040 | 24,623 | ||||||
OSRAM Licht AG* | 2,567 | 106,561 | ||||||
Prysmian SpA | 7,072 | 132,998 | ||||||
Schneider Electric SE* (a) | 12,255 | 1,120,275 | ||||||
Siemens Gamesa Renewable Energy SA | 6,044 | 89,833 | ||||||
Signify NV(b) | 4,218 | 86,001 | ||||||
Somfy SA | 275 | 23,012 | ||||||
TKH Group NV, CVA | 2,194 | 77,139 | ||||||
Ushio, Inc. | 5,900 | 63,119 | ||||||
Vestas Wind Systems A/S | 4,902 | 421,920 | ||||||
6,027,570 | ||||||||
Electronic Equipment, Instruments & Components – 2.0% | ||||||||
Alps Alpine Co. Ltd. | 5,348 | 56,163 | ||||||
ALSO Holding AG (Registered)* | 536 | 110,404 | ||||||
Amano Corp. | 2,600 | 53,831 | ||||||
Anritsu Corp. | 500 | 10,240 | ||||||
Azbil Corp. | 3,000 | 79,787 | ||||||
Barco NV | 440 | 70,362 | ||||||
Canon Electronics, Inc. | 13,200 | 196,516 | ||||||
Canon Marketing Japan, Inc. | 3,700 | 72,453 | ||||||
Carel Industries SpA(a) (b) | 4,028 | 60,001 | ||||||
Celestica, Inc.* | 64,695 | 404,766 | ||||||
Citizen Watch Co. Ltd. | 9,200 | 32,951 | ||||||
Comet Holding AG (Registered) | 352 | 47,120 | ||||||
CONEXIO Corp. | 13,600 | 185,683 | ||||||
Daiwabo Holdings Co. Ltd.(a) | 11,400 | 713,200 | ||||||
Datalogic SpA | 535 | 7,372 | ||||||
Electrocomponents plc | 17,215 | 125,508 | ||||||
Evertz Technologies Ltd. | 1,712 | 18,587 | ||||||
FIH Mobile Ltd.* (a) | 228,000 | 25,881 | ||||||
Fingerprint Cards AB, Class B* | 10,108 | 16,056 |
Investments | Shares | Value | ||||||
Electronic Equipment, Instruments & Components – (continued) | ||||||||
Halma plc | 10,545 | $ | 277,990 | |||||
Hamamatsu Photonics KK | 3,400 | 150,390 | ||||||
Hexagon AB, Class B* | 4,959 | 247,310 | ||||||
Hirose Electric Co. Ltd. | 782 | 86,804 | ||||||
Hitachi Ltd. | 34,200 | 1,036,538 | ||||||
Horiba Ltd. | 800 | 43,092 | ||||||
Hosiden Corp.(a) | 34,200 | 297,433 | ||||||
Inficon Holding AG (Registered) | 110 | 74,196 | ||||||
Ingenico Group SA | 827 | 103,897 | ||||||
Iriso Electronics Co. Ltd.(a) | 1,200 | 34,058 | ||||||
Japan Aviation Electronics Industry Ltd. | 2,044 | 26,989 | ||||||
Japan Display, Inc.* (a) | 72,000 | 29,625 | ||||||
Jenoptik AG | 2,585 | 53,343 | ||||||
Kaga Electronics Co. Ltd. | 10,300 | 189,654 | ||||||
Keyence Corp. | 4,000 | 1,450,227 | ||||||
Koa Corp. | 8,100 | 68,324 | ||||||
Kyocera Corp. | 9,300 | 502,592 | ||||||
Lagercrantz Group AB, Class B | 1,944 | 26,869 | ||||||
Landis+Gyr Group AG* | 1,102 | 74,445 | ||||||
LEM Holding SA (Registered) | 27 | 34,969 | ||||||
Macnica Fuji Electronics Holdings, Inc. | 28,600 | 394,492 | ||||||
Meiko Electronics Co. Ltd. | 11,600 | 153,387 | ||||||
Murata Manufacturing Co. Ltd. | 14,600 | 821,783 | ||||||
Mycronic AB | 3,001 | 50,451 | ||||||
Nichicon Corp. | 7,600 | 50,745 | ||||||
Nippon Ceramic Co. Ltd. | 900 | 16,883 | ||||||
Nippon Signal Co. Ltd. | 30,000 | 283,069 | ||||||
Nohmi Bosai Ltd. | 2,500 | 51,082 | ||||||
Oki Electric Industry Co. Ltd. | 51,300 | 500,839 | ||||||
Omron Corp. | 6,000 | 356,852 | ||||||
Optex Group Co. Ltd. | 1,000 | 11,549 | ||||||
Renishaw plc | 1,617 | 71,876 | ||||||
Restar Holdings Corp. | 17,100 | 279,683 | ||||||
Shimadzu Corp.(a) | 7,000 | 175,761 | ||||||
Siix Corp. | 2,028 | 16,841 | ||||||
Smart Metering Systems plc | 8,300 | 62,606 | ||||||
Spectris plc | 3,026 | 101,795 | ||||||
Taiyo Yuden Co. Ltd.(a) | 2,500 | 70,837 | ||||||
Tamura Corp. | 8,000 | 33,366 | ||||||
TDK Corp. | 2,900 | 254,379 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 125 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Electronic Equipment, Instruments & Components – (continued) | ||||||||
Topcon Corp.(a) | 2,200 | $ | 18,372 | |||||
V Technology Co. Ltd.(a) | 6,400 | 225,034 | ||||||
Venture Corp. Ltd. | 4,500 | 50,668 | ||||||
VSTECS Holdings Ltd.(a) | 460,000 | 213,613 | ||||||
Yokogawa Electric Corp. | 1,600 | 22,144 | ||||||
11,383,733 | ||||||||
Energy Equipment & Services – 0.3% | ||||||||
Borr Drilling Ltd.* (a) | 51,654 | 36,645 | ||||||
BW Offshore Ltd.* | 18,696 | 53,054 | ||||||
CGG SA* | 52,560 | 66,204 | ||||||
Enerflex Ltd.(a) | 48,109 | 181,844 | ||||||
Fugro NV, CVA* | 3,648 | 13,585 | ||||||
Hunting plc | 21,556 | 49,594 | ||||||
John Wood Group plc | 37,276 | 95,259 | ||||||
Ocean Yield ASA(a) | 30,348 | 79,140 | ||||||
Odfjell Drilling Ltd.* | 43,397 | 36,095 | ||||||
Pason Systems, Inc. | 2,356 | 12,841 | ||||||
Petrofac Ltd.(a) | 170,202 | 422,713 | ||||||
PGS ASA* | 62,000 | 22,417 | ||||||
Saipem SpA* | 8,562 | 21,954 | ||||||
SBM Offshore NV | 5,113 | 64,711 | ||||||
ShawCor Ltd.(a) | 1,520 | 2,232 | ||||||
Subsea 7 SA* | 26 | 144 | ||||||
TechnipFMC plc | 12,026 | 107,152 | ||||||
Tecnicas Reunidas SA* | 1,324 | 20,273 | ||||||
Tenaris SA | 6,336 | 44,373 | ||||||
TGS NOPEC Geophysical Co. ASA | 1,140 | 17,564 | ||||||
Vallourec SA* (a) | 178,467 | 212,188 | ||||||
Worley Ltd.(a) | 15,811 | 93,163 | ||||||
1,653,145 | ||||||||
Entertainment – 0.6% | ||||||||
Akatsuki, Inc. | 5,700 | 217,744 | ||||||
Avex, Inc. | 22,800 | 175,048 | ||||||
Bollore SA | 12,858 | 34,110 | ||||||
Capcom Co. Ltd. | 2,600 | 80,114 | ||||||
Cineplex, Inc. | 6,480 | 77,632 | ||||||
Cineworld Group plc | 49,077 | 40,522 | ||||||
CTS Eventim AG & Co. KGaA | 1,375 | 57,139 |
Investments | Shares | Value | ||||||
Entertainment – (continued) | ||||||||
Daiichikosho Co. Ltd. | 1,100 | $ | 33,534 | |||||
DeNA Co. Ltd. | 4,000 | 49,563 | ||||||
EVENT Hospitality and Entertainment Ltd. | 2,282 | 11,504 | ||||||
IGG, Inc.(a) | 399,000 | 253,224 | ||||||
Kinepolis Group NV | 1,030 | 38,752 | ||||||
Koei Tecmo Holdings Co. Ltd.(a) | 1,728 | 46,070 | ||||||
Konami Holdings Corp. | 2,200 | 70,052 | ||||||
Modern Times Group MTG AB, Class B* (a) | 42,434 | 429,675 | ||||||
Nexon Co. Ltd. | 9,800 | 159,828 | ||||||
Nintendo Co. Ltd. | 2,500 | 1,043,859 | ||||||
Paradox Interactive AB | 952 | 18,519 | ||||||
Shochiku Co. Ltd.(a) | 300 | 33,020 | ||||||
Square Enix Holdings Co. Ltd. | 1,800 | 74,148 | ||||||
Toei Animation Co. Ltd. | 900 | 44,607 | ||||||
Toho Co. Ltd. | 4,100 | 135,727 | ||||||
Ubisoft Entertainment SA* | 2,066 | 153,696 | ||||||
Vivendi SA(a) | 19,437 | 419,507 | ||||||
3,697,594 | ||||||||
Equity Real Estate Investment Trusts (REITs) – 2.4% | ||||||||
Abacus Property Group(a) | 55,680 | 92,228 | ||||||
Activia Properties, Inc. | 15 | 44,466 | ||||||
Advance Residence Investment Corp. | 18 | 55,379 | ||||||
Aedifica SA | 1,526 | 147,587 | ||||||
AEON REIT Investment Corp. | 29 | 29,180 | ||||||
ALE Property Group(a) | 9,405 | 25,861 | ||||||
Allied Properties REIT | 4,180 | 134,102 | ||||||
alstria office REIT-AG | 6,756 | 101,156 | ||||||
Altarea SCA | 129 | 15,768 | ||||||
Argosy Property Ltd. | 64,665 | 42,289 | ||||||
Artis REIT(a) | 48,963 | 308,101 | ||||||
Ascendas REIT | 84,480 | 178,238 | ||||||
Ascott Residence Trust | 42,764 | 27,189 | ||||||
Assura plc | 57,957 | 55,778 | ||||||
Aventus Group | 20,697 | 23,171 | ||||||
Befimmo SA | 657 | 29,324 | ||||||
Big Yellow Group plc | 7,866 | 106,361 | ||||||
British Land Co. plc (The) | 16,528 | 84,349 | ||||||
BWP Trust | 12,444 | 28,759 |
See Accompanying Notes to the Financial Statements.
126 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Equity Real Estate Investment Trusts (REITs) – (continued) | ||||||||
Canadian Apartment Properties REIT | 3,021 | $ | 104,184 | |||||
CapitaLand Commercial Trust | 15,200 | 17,384 | ||||||
CapitaLand Mall Trust | 26,100 | 35,042 | ||||||
CapitaLand Retail China Trust | 73,733 | 70,711 | ||||||
CDL Hospitality Trusts | 36,800 | 25,488 | ||||||
Champion REIT(a) | 68,000 | 40,174 | ||||||
Charter Hall Group | 16,271 | 81,493 | ||||||
Charter Hall Long Wale REIT | 3,602 | 10,565 | ||||||
Charter Hall Retail REIT | 25,935 | 53,825 | ||||||
Charter Hall Social Infrastructure REIT(a) | 31 | 50 | ||||||
Choice Properties REIT(a) | 6,432 | 58,441 | ||||||
Cofinimmo SA | 491 | 68,300 | ||||||
Comforia Residential REIT, Inc. | 34 | 101,903 | ||||||
Cominar REIT(a) | 46,854 | 286,397 | ||||||
Covivio(a) | 1,425 | 89,200 | ||||||
Cromwell Property Group(a) | 48,403 | 24,876 | ||||||
Daiwa House REIT Investment Corp. | 42 | 102,315 | ||||||
Daiwa Securities Living Investments Corp. | 26 | 22,004 | ||||||
Derwent London plc | 3,591 | 140,687 | ||||||
Dexus | 29,184 | 175,018 | ||||||
Dream Industrial REIT(a) | 32,148 | 235,622 | ||||||
Dream Office REIT | 3,966 | 62,019 | ||||||
ESR-REIT | 72,000 | 17,390 | ||||||
Eurocommercial Properties NV, CVA | 24,054 | 267,152 | ||||||
Far East Hospitality Trust | 53,976 | 19,939 | ||||||
First Capital REIT | 5,244 | 54,179 | ||||||
Fortune REIT | 48,000 | 44,952 | ||||||
Frasers Centrepoint Trust | 25,775 | 39,000 | ||||||
Frasers Hospitality Trust | 39,200 | 13,784 | ||||||
Frasers Logistics & Industrial Trust(b) | 155,339 | 116,971 | ||||||
Frontier Real Estate Investment Corp. | 12 | 34,114 | ||||||
Fukuoka REIT Corp. | 26 | 26,429 | ||||||
GCP Student Living plc | 218,880 | 371,609 | ||||||
GDI Property Group | 9,440 | 6,458 | ||||||
Gecina SA | 1,311 | 171,020 |
Investments | Shares | Value | ||||||
Equity Real Estate Investment Trusts (REITs) – (continued) | ||||||||
Global One Real Estate Investment Corp. | 48 | $ | 41,341 | |||||
GLP J-REIT | 74 | 95,982 | ||||||
Goodman Group | 38,931 | 335,169 | ||||||
Goodman Property Trust | 19,085 | 26,551 | ||||||
GPT Group (The) | 53,637 | 148,541 | ||||||
Granite REIT(a) | 1,072 | 49,087 | ||||||
Growthpoint Properties Australia Ltd. | 19,121 | 38,682 | ||||||
Hamborner REIT AG | 6,058 | 54,489 | ||||||
Hammerson plc | 28,983 | 25,802 | ||||||
Hankyu Hanshin REIT, Inc. | 26 | 28,374 | ||||||
Heiwa Real Estate REIT, Inc. | 87 | 77,697 | ||||||
Hibernia REIT plc | 40,755 | 52,674 | ||||||
Hoshino Resorts REIT, Inc. | 24 | 83,041 | ||||||
Hulic Reit, Inc. | 23 | 26,047 | ||||||
ICADE | 1,235 | 94,892 | ||||||
Ichigo Office REIT Investment Corp.(a) | 40 | 25,586 | ||||||
Industrial & Infrastructure Fund Investment Corp. | 69 | 96,788 | ||||||
Inmobiliaria Colonial Socimi SA | 7,185 | 69,254 | ||||||
InterRent REIT | 1,947 | 20,368 | ||||||
Intu Properties plc* (a) | 580,203 | 40,617 | ||||||
Invincible Investment Corp. | 121 | 31,649 | ||||||
Japan Hotel REIT Investment Corp. | 77 | 25,922 | ||||||
Japan Logistics Fund, Inc. | 19 | 45,112 | ||||||
Japan Prime Realty Investment Corp. | 25 | 69,902 | ||||||
Japan Real Estate Investment Corp. | 24 | 131,070 | ||||||
Japan Retail Fund Investment Corp. | 52 | 57,575 | ||||||
Kenedix Office Investment Corp.(a) | 9 | 45,364 | ||||||
Kenedix Residential Next Investment Corp. | 34 | 54,179 | ||||||
Kenedix Retail REIT Corp. | 31 | 49,369 | ||||||
Keppel DC REIT | 47,500 | 79,296 | ||||||
Keppel Pacific Oak US REIT(b) | 336,300 | 215,232 | ||||||
Keppel REIT | 80,733 | 60,792 | ||||||
Killam Apartment REIT | 8,192 | 98,673 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 127 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Equity Real Estate Investment Trusts (REITs) – (continued) | ||||||||
Kiwi Property Group Ltd. | 3,973 | $ | 2,365 | |||||
Klepierre SA | 5,598 | 113,157 | ||||||
Land Securities Group plc | 13,636 | 113,862 | ||||||
Lar Espana Real Estate Socimi SA | 29,526 | 121,113 | ||||||
LaSalle Logiport REIT | 44 | 62,419 | ||||||
Link REIT | 44,701 | 401,322 | ||||||
LondonMetric Property plc(a) | 63,612 | 155,820 | ||||||
LXI REIT plc(a) (b) | 271,890 | 364,211 | ||||||
Mapletree Commercial Trust | 34,368 | 47,852 | ||||||
Mapletree Industrial Trust | 33,416 | 60,532 | ||||||
Mapletree Logistics Trust | 73,207 | 93,608 | ||||||
Mapletree North Asia Commercial Trust(b) | 49,500 | 33,230 | ||||||
MCUBS MidCity Investment Corp. | 43 | 30,199 | ||||||
Mercialys SA | 14,934 | 116,300 | ||||||
Merlin Properties Socimi SA | 10,940 | 101,373 | ||||||
Mirai Corp.(a) | 304 | 104,190 | ||||||
Mirvac Group | 102,429 | 150,215 | ||||||
Mitsubishi Estate Logistics REIT Investment Corp.(a) | 171 | 561,285 | ||||||
Mori Hills REIT Investment Corp. | 16 | 20,753 | ||||||
Mori Trust Hotel Reit, Inc. | 171 | 134,325 | ||||||
National Storage REIT | 70,798 | 80,420 | ||||||
NewRiver REIT plc | 166,269 | 140,724 | ||||||
Nippon Accommodations Fund, Inc. | 8 | 48,179 | ||||||
Nippon Building Fund, Inc. | 17 | 102,221 | ||||||
Nippon Prologis REIT, Inc. | 41 | 113,336 | ||||||
NIPPON REIT Investment Corp. | 23 | 69,580 | ||||||
Nomura Real Estate Master Fund, Inc. | 121 | 139,857 | ||||||
Northview Apartment REIT(a) | 15,732 | 398,694 | ||||||
One REIT, Inc.(a) | 14 | 30,989 | ||||||
Orix JREIT, Inc. | 49 | 59,431 | ||||||
OUE Commercial REIT | 82,177 | 23,643 | ||||||
Parkway Life REIT | 12,500 | 29,303 | ||||||
Precinct Properties New Zealand Ltd. | 22,735 | 22,302 | ||||||
Premier Investment Corp. | 67 | 67,793 | ||||||
Primary Health Properties plc | 61,429 | 119,325 |
Investments | Shares | Value | ||||||
Equity Real Estate Investment Trusts (REITs) – (continued) | ||||||||
Property for Industry Ltd. | 25,906 | $ | 34,682 | |||||
Regal REIT | 193,000 | 34,854 | ||||||
Reit 1 Ltd. | 8,804 | 44,135 | ||||||
Retail Estates NV | 694 | 37,513 | ||||||
Safestore Holdings plc | 12,195 | 110,598 | ||||||
Scentre Group | 91,884 | 140,165 | ||||||
Secure Income REIT plc | 14,030 | 48,666 | ||||||
Segro plc | 24,738 | 258,862 | ||||||
Sekisui House Reit, Inc. | 55 | 33,946 | ||||||
Shaftesbury plc | 4,480 | 33,905 | ||||||
Shopping Centres Australasia Property Group | 54,215 | 79,153 | ||||||
Societe Fonciere Lyonnaise SA | 516 | 38,432 | ||||||
SPH REIT | 44,800 | 25,937 | ||||||
Star Asia Investment Corp.(a) | 78 | 62,876 | ||||||
Starhill Global REIT | 72,900 | 25,893 | ||||||
Stockland | 54,460 | 102,686 | ||||||
Summit Industrial Income REIT(a) | 32,433 | 242,381 | ||||||
Sunlight REIT | 55,000 | 28,308 | ||||||
Suntec REIT | 134,000 | 133,267 | ||||||
Tokyu REIT, Inc. | 21 | 28,279 | ||||||
Tritax Big Box REIT plc | 47,975 | 72,979 | ||||||
Unibail-Rodamco-Westfield | 2,394 | 140,862 | ||||||
Unibail-Rodamco-Westfield, CHDI | 5 | 16 | ||||||
UNITE Group plc (The) | 9,194 | 101,530 | ||||||
United Urban Investment Corp. | 84 | 85,465 | ||||||
Vicinity Centres | 33,192 | 32,379 | ||||||
Vital Healthcare Property Trust(a) | 44,355 | 65,812 | ||||||
Warehouses De Pauw CVA, CVA* | 4,535 | 124,180 | ||||||
Wereldhave NV | 20,976 | 183,800 | ||||||
Workspace Group plc | 8,954 | 88,207 | ||||||
13,586,794 | ||||||||
Food & Staples Retailing – 1.7% | ||||||||
Aeon Co. Ltd. | 18,613 | 377,969 | ||||||
Ain Holdings, Inc.(a) | 800 | 45,112 | ||||||
Alimentation Couche-Tard, Inc. | 608 | 17,225 | ||||||
Alimentation Couche-Tard, Inc., Class B | 16,074 | 449,486 | ||||||
Arcs Co. Ltd. | 31,318 | 593,646 | ||||||
Axfood AB | 3,184 | 67,545 |
See Accompanying Notes to the Financial Statements.
128 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Food & Staples Retailing – (continued) | ||||||||
Belc Co. Ltd. | 800 | $ | 47,206 | |||||
Carrefour SA | 10,046 | 148,491 | ||||||
Casino Guichard Perrachon SA(a) | 2,142 | 80,308 | ||||||
Cawachi Ltd. | 1,000 | 23,771 | ||||||
Coles Group Ltd. | 18,753 | 190,425 | ||||||
Colruyt SA | 1,044 | 62,458 | ||||||
Cosmos Pharmaceutical Corp. | 100 | 26,886 | ||||||
Create SD Holdings Co. Ltd. | 2,000 | 57,325 | ||||||
Daikokutenbussan Co. Ltd. | 400 | 16,533 | ||||||
Dairy Farm International Holdings Ltd. | 7,600 | 36,404 | ||||||
Distribuidora Internacional de Alimentacion SA* (a) | 1,243,683 | 178,449 | ||||||
Empire Co. Ltd., Class A | 1,666 | 36,860 | ||||||
FamilyMart Co. Ltd. | 3,748 | 64,245 | ||||||
George Weston Ltd. | 1,920 | 136,492 | ||||||
Heiwado Co. Ltd. | 24,000 | 413,410 | ||||||
ICA Gruppen AB(a) | 2,552 | 111,359 | ||||||
Inageya Co. Ltd. | 2,398 | 38,862 | ||||||
Itochu-Shokuhin Co. Ltd. | 400 | 17,693 | ||||||
J Sainsbury plc(a) | 75,411 | 188,432 | ||||||
Jeronimo Martins SGPS SA | 988 | 16,681 | ||||||
Kato Sangyo Co. Ltd. | 1,400 | 47,590 | ||||||
Kesko OYJ, Class A | 2,248 | 36,441 | ||||||
Kesko OYJ, Class B | 9,272 | 150,811 | ||||||
Kobe Bussan Co. Ltd. | 1,600 | 77,505 | ||||||
Koninklijke Ahold Delhaize NV | 38,874 | 943,544 | ||||||
Kusuri no Aoki Holdings Co. Ltd. | 600 | 47,188 | ||||||
Life Corp. | 17,100 | 532,501 | ||||||
Loblaw Cos. Ltd. | 3,420 | 168,667 | ||||||
MARR SpA | 1,155 | 15,130 | ||||||
Matsumotokiyoshi Holdings Co. Ltd. | 3,600 | 124,898 | ||||||
Maxvalu Tokai Co. Ltd. | 7,600 | 158,773 | ||||||
Metcash Ltd.(a) | 43,474 | 70,871 | ||||||
METRO AG | 9,348 | 81,174 | ||||||
Metro, Inc. | 5,871 | 242,077 | ||||||
Nihon Chouzai Co. Ltd. | 6,800 | 113,890 | ||||||
North West Co., Inc. (The) | 95 | 1,799 | ||||||
Olam International Ltd. | 35,100 | 37,401 | ||||||
Qol Holdings Co. Ltd. | 1,500 | 16,847 |
Investments | Shares | Value | ||||||
Food & Staples Retailing – (continued) | ||||||||
Rami Levy Chain Stores Hashikma Marketing 2006 Ltd. | 243 | $ | 15,927 | |||||
Seven & i Holdings Co. Ltd. | 17,400 | 578,129 | ||||||
Sheng Siong Group Ltd. | 51,500 | 54,145 | ||||||
Shufersal Ltd. | 3,578 | 23,071 | ||||||
Sligro Food Group NV | 1,155 | 17,939 | ||||||
Sonae SGPS SA(a) | 76,391 | 59,909 | ||||||
Sugi Holdings Co. Ltd. | 800 | 48,328 | ||||||
Sundrug Co. Ltd. | 1,600 | 55,286 | ||||||
Tesco plc | 180,519 | 535,317 | ||||||
Tsuruha Holdings, Inc. | 900 | 121,027 | ||||||
United Super Markets Holdings, Inc. | 2,000 | 19,769 | ||||||
Valor Holdings Co. Ltd. | 25,600 | 480,232 | ||||||
Welcia Holdings Co. Ltd. | 1,800 | 130,621 | ||||||
Wm Morrison Supermarkets plc | 72,447 | 167,227 | ||||||
Woolworths Group Ltd. | 24,966 | 584,342 | ||||||
Yaoko Co. Ltd.(a) | 1,800 | 112,106 | ||||||
Yokohama Reito Co. Ltd. | 28,600 | 243,649 | ||||||
9,557,404 | ||||||||
Food Products – 3.0% | ||||||||
a2 Milk Co. Ltd.* | 17,120 | 207,336 | ||||||
AAK AB | 5,004 | 82,203 | ||||||
Agrana Beteiligungs AG | 4,821 | 88,817 | ||||||
Ajinomoto Co., Inc. | 9,200 | 164,840 | ||||||
Ariake Japan Co. Ltd. | 800 | 46,683 | ||||||
Aryzta AG* (a) | 598,815 | 241,474 | ||||||
Associated British Foods plc | 5,358 | 127,901 | ||||||
Austevoll Seafood ASA | 8,913 | 69,729 | ||||||
Bakkafrost P/F | 1,281 | 63,489 | ||||||
Bakkavor Group plc(b) | 80,427 | 70,911 | ||||||
Barry Callebaut AG (Registered) | 38 | 74,492 | ||||||
Bega Cheese Ltd.(a) | 7,095 | 22,482 | ||||||
Bell Food Group AG (Registered) | 320 | 81,728 | ||||||
Bonduelle SCA | 10,476 | 229,487 | ||||||
Bumitama Agri Ltd. | 121,600 | 36,712 | ||||||
Calbee, Inc. | 3,200 | 97,704 | ||||||
Chocoladefabriken Lindt & Spruengli AG | 43 | 335,259 | ||||||
Chocoladefabriken Lindt & Spruengli AG (Registered) | 4 | 334,870 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 129 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Food Products – (continued) | ||||||||
Costa Group Holdings Ltd. | 13,860 | $ | 26,224 | |||||
Cranswick plc(a) | 2,319 | 108,754 | ||||||
Danone SA | 12,554 | 869,850 | ||||||
DyDo Group Holdings, Inc.(a) | 500 | 19,849 | ||||||
Ebro Foods SA | 1,618 | 34,381 | ||||||
Elders Ltd. | 73,359 | 416,404 | ||||||
Emmi AG (Registered) | 41 | 37,680 | ||||||
First Resources Ltd. | 5,100 | 4,565 | ||||||
Freedom Foods Group Ltd.(a) | 4,368 | 12,383 | ||||||
Fuji Oil Holdings, Inc. | 3,400 | 79,933 | ||||||
Fujicco Co. Ltd. | 2,000 | 36,265 | ||||||
Fujiya Co. Ltd. | 400 | 7,578 | ||||||
Glanbia plc | 7,586 | 80,431 | ||||||
Golden Agri-Resources Ltd.* | 220,400 | 24,425 | ||||||
GrainCorp Ltd., Class A* (a) | 10,837 | 25,116 | ||||||
Greencore Group plc | 27,840 | 63,981 | ||||||
Grieg Seafood ASA | 5,037 | 49,584 | ||||||
House Foods Group, Inc. | 2,400 | 75,859 | ||||||
Inghams Group Ltd.(a) | 24,494 | 56,127 | ||||||
Itoham Yonekyu Holdings, Inc. | 6,500 | 38,051 | ||||||
Japfa Ltd.* | 409,420 | 165,781 | ||||||
J-Oil Mills, Inc. | 5,700 | 219,077 | ||||||
Kagome Co. Ltd. | 900 | 23,086 | ||||||
Kameda Seika Co. Ltd. | 900 | 43,512 | ||||||
Kerry Group plc, Class A | 3,534 | 405,272 | ||||||
Kikkoman Corp.(a) | 4,000 | 186,281 | ||||||
Kotobuki Spirits Co. Ltd. | 1,000 | 39,884 | ||||||
LDC SA(a) | 2,241 | 238,093 | ||||||
Leroy Seafood Group ASA | 11,649 | 62,032 | ||||||
Lotus Bakeries NV | 13 | 39,442 | ||||||
Maple Leaf Foods, Inc. | 1,946 | 36,049 | ||||||
Maruha Nichiro Corp. | 4,400 | 93,156 | ||||||
Mehadrin Ltd.* | 1 | 43 | ||||||
MEIJI Holdings Co. Ltd. | 3,800 | 265,451 | ||||||
Mitsui Sugar Co. Ltd. | 8,600 | 172,748 | ||||||
Morinaga & Co. Ltd. | 1,100 | 45,621 | ||||||
Morinaga Milk Industry Co. Ltd.(a) | 1,200 | 46,907 | ||||||
Mowi ASA | 12,255 | 210,455 | ||||||
Nestle SA (Registered) | 60,563 | 6,394,208 | ||||||
Nichirei Corp. | 3,500 | 87,913 |
Investments | Shares | Value | ||||||
Food Products – (continued) | ||||||||
Nippon Flour Mills Co. Ltd. | 7,000 | $ | 110,955 | |||||
Nippon Suisan Kaisha Ltd. | 16,000 | 71,819 | ||||||
Nisshin Oillio Group Ltd. (The) | 1,100 | 36,363 | ||||||
Nisshin Seifun Group, Inc. | 7,090 | 111,520 | ||||||
Nissin Foods Holdings Co. Ltd. | 1,500 | 124,001 | ||||||
Norway Royal Salmon ASA | 2,624 | 53,355 | ||||||
Orkla ASA | 17,867 | 162,139 | ||||||
Premium Brands Holdings Corp. | 1,100 | 66,478 | ||||||
Riken Vitamin Co. Ltd. | 17,500 | 339,903 | ||||||
S Foods, Inc.(a) | 10,200 | 218,718 | ||||||
S&B Foods, Inc. | 5,700 | 211,881 | ||||||
Sakata Seed Corp. | 2,800 | 91,514 | ||||||
Salmar ASA | 1,908 | 74,680 | ||||||
Saputo, Inc. | 4,455 | 112,261 | ||||||
Savencia SA | 2,223 | 131,482 | ||||||
Scandi Standard AB | 30,039 | 198,062 | ||||||
Schouw & Co. A/S | 1,160 | 83,202 | ||||||
Showa Sangyo Co. Ltd.(a) | 17,100 | 514,911 | ||||||
Strauss Group Ltd. | 952 | 27,099 | ||||||
Suedzucker AG | 1,979 | 26,163 | ||||||
Synlait Milk Ltd.* (a) | 1,760 | 7,449 | ||||||
Tassal Group Ltd. | 37,680 | 93,002 | ||||||
Tate & Lyle plc | 3,262 | 29,304 | ||||||
Toyo Suisan Kaisha Ltd. | 2,800 | 135,110 | ||||||
Vilmorin & Cie SA | 4,779 | 191,057 | ||||||
Viscofan SA(a) | 825 | 52,817 | ||||||
Vitasoy International Holdings Ltd.(a) | 16,000 | 57,583 | ||||||
WH Group Ltd.(b) | 199,500 | 192,491 | ||||||
Wilmar International Ltd. | 96,900 | 245,743 | ||||||
Yakult Honsha Co. Ltd. | 4,300 | 252,125 | ||||||
Yamazaki Baking Co. Ltd. | 2,900 | 51,499 | ||||||
17,293,254 | ||||||||
Gas Utilities – 0.6% | ||||||||
AltaGas Ltd. | 11,723 | 140,445 | ||||||
APA Group | 21,147 | 151,187 | ||||||
Enagas SA | 6,899 | 160,877 | ||||||
Hong Kong & China Gas Co. Ltd. | 181,848 | 325,116 | ||||||
Italgas SpA | 24,947 | 139,491 | ||||||
Naturgy Energy Group SA(a) | 8,835 | 155,896 | ||||||
Nippon Gas Co. Ltd. | 2,000 | 66,208 |
See Accompanying Notes to the Financial Statements.
130 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Gas Utilities – (continued) | ||||||||
Osaka Gas Co. Ltd. | 11,700 | $ | 218,715 | |||||
Rubis SCA | 2,773 | 124,407 | ||||||
Saibu Gas Co. Ltd.(a) | 20,700 | 516,653 | ||||||
Shizuoka Gas Co. Ltd. | 34,200 | 308,947 | ||||||
Snam SpA | 30,667 | 137,314 | ||||||
Superior Plus Corp.(a) | 97,367 | 692,599 | ||||||
Toho Gas Co. Ltd. | 2,000 | 98,378 | ||||||
Tokyo Gas Co. Ltd. | 7,600 | 167,586 | ||||||
3,403,819 | ||||||||
Health Care Equipment & Supplies – 1.3% | ||||||||
Alcon, Inc.* | 10,146 | 535,499 | ||||||
Ambu A/S, Class B | 3,923 | 123,036 | ||||||
Ansell Ltd. | 6,098 | 113,982 | ||||||
Arjo AB, Class B | 4,131 | 20,555 | ||||||
Asahi Intecc Co. Ltd. | 3,200 | 85,675 | ||||||
BioMerieux | 825 | 102,381 | ||||||
Carl Zeiss Meditec AG | 715 | 70,443 | ||||||
Cochlear Ltd. | 928 | 112,095 | ||||||
Coloplast A/S, Class B | 2,793 | 441,670 | ||||||
ConvaTec Group plc(b) | 5,396 | 14,457 | ||||||
CYBERDYNE, Inc.* (a) | 4,500 | 18,221 | ||||||
Demant A/S* | 2,796 | 66,814 | ||||||
DiaSorin SpA | 293 | 49,839 | ||||||
Draegerwerk AG & Co. KGaA (Preference) | 860 | 71,871 | ||||||
Eiken Chemical Co. Ltd. | 1,600 | 28,174 | ||||||
Elekta AB, Class B(a) | 6,069 | 56,159 | ||||||
Fisher & Paykel Healthcare Corp. Ltd. | 12,815 | 216,551 | ||||||
Fukuda Denshi Co. Ltd. | 5,700 | 406,172 | ||||||
Getinge AB, Class B | 608 | 11,709 | ||||||
GN Store Nord A/S | 3,824 | 174,787 | ||||||
Hogy Medical Co. Ltd. | 1,200 | 37,593 | ||||||
Hoya Corp. | 8,500 | 784,224 | ||||||
Koninklijke Philips NV | 18,411 | 800,876 | ||||||
Mani, Inc.(a) | 3,900 | 87,566 | ||||||
Menicon Co. Ltd.(a) | 1,600 | 70,323 | ||||||
Nagaileben Co. Ltd. | 1,500 | 36,765 | ||||||
Nakanishi, Inc. | 5,100 | 70,347 | ||||||
Nanosonics Ltd.* | 16,777 | 75,899 | ||||||
Nihon Kohden Corp. | 2,300 | 82,915 |
Investments | Shares | Value | ||||||
Health Care Equipment & Supplies – (continued) | ||||||||
Nipro Corp. | 5,200 | $ | 58,791 | |||||
Olympus Corp. | 27,200 | 438,898 | ||||||
Paramount Bed Holdings Co. Ltd. | 800 | 33,366 | ||||||
PolyNovo Ltd.* (a) | 11,324 | 16,088 | ||||||
Sartorius AG (Preference) | 838 | 235,707 | ||||||
Sectra AB, Class B* | 1,654 | 71,124 | ||||||
Siemens Healthineers AG(b) | 3,645 | 160,493 | ||||||
Smith & Nephew plc | 20,007 | 393,174 | ||||||
Sonova Holding AG (Registered) | 1,083 | 195,583 | ||||||
Straumann Holding AG (Registered) | 219 | 166,187 | ||||||
Sysmex Corp. | 4,200 | 292,215 | ||||||
Terumo Corp. | 14,400 | 481,010 | ||||||
Ypsomed Holding AG (Registered)* | 81 | 10,659 | ||||||
7,319,893 | ||||||||
Health Care Providers & Services – 0.5% | ||||||||
Alfresa Holdings Corp. | 5,500 | 110,993 | ||||||
Ambea AB(b) | 14,972 | 74,421 | ||||||
Amplifon SpA | 3,837 | 87,878 | ||||||
As One Corp. | 700 | 62,842 | ||||||
BML, Inc. | 3,300 | 85,852 | ||||||
Chartwell Retirement Residences(a) | 11,907 | 76,640 | ||||||
EBOS Group Ltd. | 1,980 | 27,119 | ||||||
Evergrande Health Industry Group Ltd.* | 125,000 | 95,939 | ||||||
Fagron | 2,504 | 56,443 | ||||||
Fresenius Medical Care AG & Co. KGaA | 3,534 | 277,381 | ||||||
Fresenius SE & Co. KGaA | 7,353 | 319,170 | ||||||
Galenica AG* (b) | 132 | 9,444 | ||||||
Healius Ltd.(a) | 27,458 | 46,560 | ||||||
Japan Lifeline Co. Ltd. | 3,000 | 35,769 | ||||||
Korian SA(a) | 2,092 | 70,299 | ||||||
Mediclinic International plc | 22,600 | 73,946 | ||||||
Medipal Holdings Corp. | 700 | 13,707 | ||||||
Metlifecare Ltd. | 84,132 | 217,483 | ||||||
NichiiGakkan Co. Ltd. | 2,400 | 24,508 | ||||||
NMC Health plc(d) | 2,074 | 131 | ||||||
Orpea | 1,118 | 124,291 | ||||||
Raffles Medical Group Ltd. | 4,124 | 2,549 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 131 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Health Care Providers & Services – (continued) | ||||||||
Ramsay Health Care Ltd. | 2,640 | $ | 108,216 | |||||
RHOEN-KLINIKUM AG | 579 | 11,529 | ||||||
Ryman Healthcare Ltd.(a) | 13,156 | 98,292 | ||||||
Ship Healthcare Holdings, Inc. | 900 | 41,072 | ||||||
Sienna Senior Living, Inc. | 2,835 | 27,045 | ||||||
Sonic Healthcare Ltd. | 12,262 | 218,279 | ||||||
Summerset Group Holdings Ltd. | 11,425 | 42,997 | ||||||
Suzuken Co. Ltd. | 3,380 | 131,489 | ||||||
Toho Holdings Co. Ltd. | 4,200 | 88,018 | ||||||
Town Health International Medical Group Ltd.‡ (a) (d) | 398,000 | – | ||||||
UDG Healthcare plc | 11,405 | 90,342 | ||||||
Vital KSK Holdings, Inc.(a) | 23,200 | 235,612 | ||||||
2,986,256 | ||||||||
Health Care Technology – 0.1% | ||||||||
CompuGroup Medical SE | 624 | 47,467 | ||||||
Craneware plc | 608 | 14,724 | ||||||
M3, Inc. | 8,100 | 294,656 | ||||||
356,847 | ||||||||
Hotels, Restaurants & Leisure – 1.7% | ||||||||
Accor SA(a) | 5,415 | 150,174 | ||||||
Aeon Fantasy Co. Ltd.(a) | 500 | 7,925 | ||||||
Arcland Service Holdings Co. Ltd.(a) | 1,400 | 22,126 | ||||||
Aristocrat Leisure Ltd. | 11,571 | 193,100 | ||||||
Atom Corp.(a) | 5,800 | 45,940 | ||||||
Autogrill SpA | 6,257 | 32,320 | ||||||
Basic-Fit NV* (b) | 3,008 | 60,556 | ||||||
Betsson AB* | 73,986 | 419,652 | ||||||
Carnival plc | 6,441 | 89,002 | ||||||
Colowide Co. Ltd.(a) | 3,500 | 49,030 | ||||||
Compass Group plc | 31,635 | 533,102 | ||||||
Corporate Travel Management Ltd.(a) | 3,366 | 27,987 | ||||||
Create Restaurants Holdings, Inc. | 4,400 | 24,811 | ||||||
Crown Resorts Ltd. | 11,014 | 71,315 | ||||||
Dalata Hotel Group plc | 16,255 | 52,878 | ||||||
Domino’s Pizza Enterprises Ltd.(a) | 1,460 | 55,488 | ||||||
Domino’s Pizza Group plc | 15,345 | 66,621 |
Investments | Shares | Value | ||||||
Hotels, Restaurants & Leisure – (continued) | ||||||||
Doutor Nichires Holdings Co. Ltd. | 2,700 | $ | 41,434 | |||||
Evolution Gaming Group AB(b) | 3,147 | 143,347 | ||||||
Flight Centre Travel Group Ltd. | 3,119 | 22,442 | ||||||
Flutter Entertainment plc | 2,427 | 298,476 | ||||||
Flutter Entertainment plc – XDUB(a) | 102 | 12,479 | ||||||
Fuji Kyuko Co. Ltd.(a) | 1,000 | 29,317 | ||||||
Galaxy Entertainment Group Ltd. | 67,000 | 436,016 | ||||||
Gamesys Group plc* | 50,901 | 563,069 | ||||||
Genting Hong Kong Ltd.* | 1,601,000 | 115,650 | ||||||
Genting Singapore Ltd. | 144,000 | 80,301 | ||||||
GL Ltd. | 188,600 | 77,037 | ||||||
Great Canadian Gaming Corp.* | 2,860 | 55,822 | ||||||
Greggs plc | 5,951 | 137,515 | ||||||
GVC Holdings plc | 16,074 | 152,873 | ||||||
Hiday Hidaka Corp. | 2,191 | 34,422 | ||||||
HIS Co. Ltd.(a) | 800 | 10,780 | ||||||
Hongkong & Shanghai Hotels Ltd. (The)(a) | 24,000 | 21,919 | ||||||
Ichibanya Co. Ltd. | 1,000 | 42,035 | ||||||
InterContinental Hotels Group plc | 4,332 | 197,147 | ||||||
J D Wetherspoon plc | 3,795 | 45,236 | ||||||
Kisoji Co. Ltd. | 1,700 | 37,693 | ||||||
KOMEDA Holdings Co. Ltd. | 1,200 | 18,437 | ||||||
Kyoritsu Maintenance Co. Ltd. | 1,600 | 39,486 | ||||||
Mandarin Oriental International Ltd. | 8,000 | 11,200 | ||||||
Marston’s plc | 439,983 | 209,558 | ||||||
McDonald’s Holdings Co. Japan Ltd. | 1,100 | 54,313 | ||||||
Melco International Development Ltd. | 21,000 | 39,549 | ||||||
Melia Hotels International SA(a) | 58,026 | 266,299 | ||||||
MGM China Holdings Ltd.(a) | 32,400 | 40,540 | ||||||
Miramar Hotel & Investment | 171,000 | 315,868 | ||||||
Mitchells & Butlers plc* | 138,111 | 309,042 | ||||||
MOS Food Services, Inc. | 2,100 | 53,416 | ||||||
NagaCorp Ltd. | 116,000 | 137,362 | ||||||
Ohsho Food Service Corp.(a) | 1,504 | 81,294 | ||||||
Oriental Land Co. Ltd. | 5,200 | 665,227 |
See Accompanying Notes to the Financial Statements.
132 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Hotels, Restaurants & Leisure – (continued) | ||||||||
Pandox AB* | 5,720 | $ | 60,437 | |||||
Playtech plc | 180,804 | 532,285 | ||||||
Plenus Co. Ltd. | 1,000 | 16,608 | ||||||
Rank Group plc | 17,448 | 35,829 | ||||||
Restaurant Brands International, Inc.(a) | 5,244 | 256,357 | ||||||
Restaurant Brands New Zealand Ltd.* | 1,154 | 8,544 | ||||||
Restaurant Group plc (The) | 310,707 | 211,436 | ||||||
Ringer Hut Co. Ltd.(a) | 1,700 | 34,577 | ||||||
Round One Corp. | 5,100 | 42,399 | ||||||
Royal Holdings Co. Ltd. | 1,600 | 26,708 | ||||||
Saizeriya Co. Ltd. | 1,800 | 36,258 | ||||||
Sands China Ltd. | 50,800 | 209,036 | ||||||
Scandic Hotels Group AB(a) (b) | 44,460 | 203,018 | ||||||
Shangri-La Asia Ltd. | 32,000 | 26,335 | ||||||
SJM Holdings Ltd. | 76,000 | 75,291 | ||||||
SkiStar AB | 2,828 | 26,261 | ||||||
Skylark Holdings Co. Ltd.(a) | 3,700 | 55,430 | ||||||
Sodexo SA | 2,344 | 186,135 | ||||||
SSP Group plc | 17,726 | 62,694 | ||||||
St Marc Holdings Co. Ltd. | 1,400 | 23,605 | ||||||
Star Entertainment Grp Ltd. (The)(a) | 38,963 | 77,293 | ||||||
Stars Group, Inc. (The)* | 6,869 | 192,032 | ||||||
Tabcorp Holdings Ltd. | 39,123 | 82,477 | ||||||
Tokyo Dome Corp. | 7,000 | 51,845 | ||||||
Toridoll Holdings Corp.(a) | 3,200 | 37,107 | ||||||
Tosho Co. Ltd. | 800 | 7,354 | ||||||
TUI AG, DI | 15,162 | 60,529 | ||||||
Whitbread plc | 3,534 | 132,837 | ||||||
William Hill plc | 38,994 | 56,120 | ||||||
Wynn Macau Ltd. | 50,400 | 88,417 | ||||||
Yoshinoya Holdings Co. Ltd.(a) | 4,900 | 102,733 | ||||||
Zensho Holdings Co. Ltd.(a) | 3,600 | 71,909 | ||||||
9,788,524 | ||||||||
Household Durables – 1.9% | ||||||||
Barratt Developments plc | 37,563 | 245,903 | ||||||
Bellway plc | 4,030 | 135,367 | ||||||
Berkeley Group Holdings plc | 4,410 | 232,682 | ||||||
Bonava AB, Class B | 44,525 | 217,264 |
Investments | Shares | Value | ||||||
Household Durables – (continued) | ||||||||
Breville Group Ltd. | 4,514 | $ | 51,895 | |||||
Cairn Homes plc | 53,277 | 49,484 | ||||||
Casio Computer Co. Ltd. | 3,600 | 57,568 | ||||||
Countryside Properties plc(b) | 272,460 | 1,392,540 | ||||||
Crest Nicholson Holdings plc(a) | 153,387 | 496,843 | ||||||
De’ Longhi SpA(a) | 2,352 | 42,481 | ||||||
Electrolux AB, Series B | 7,237 | 99,917 | ||||||
ES-Con Japan Ltd.(a) | 23,200 | 159,678 | ||||||
Fiskars OYJ Abp | 574 | 6,614 | ||||||
Forbo Holding AG (Registered) | 24 | 32,177 | ||||||
Fujitsu General Ltd. | 2,100 | 35,250 | ||||||
Haseko Corp.(a) | 14,900 | 164,696 | ||||||
Husqvarna AB, Class B | 10,433 | 63,193 | ||||||
Iida Group Holdings Co. Ltd. | 5,900 | 79,395 | ||||||
JM AB | 1,842 | 34,201 | ||||||
Kaufman & Broad SA | 9,861 | 355,885 | ||||||
Man Wah Holdings Ltd. | 54,400 | 31,367 | ||||||
McCarthy & Stone plc(b) | 41,312 | 36,893 | ||||||
Nagawa Co. Ltd. | 500 | 34,834 | ||||||
Neinor Homes SA* (a) (b) | 28,899 | 253,225 | ||||||
Nikon Corp. | 11,800 | 111,120 | ||||||
Nobia AB | 69,141 | 259,654 | ||||||
Panasonic Corp. | 85,500 | 661,069 | ||||||
Persimmon plc | 9,633 | 267,920 | ||||||
Pressance Corp.(a) | 20,200 | 211,001 | ||||||
Redrow plc | 9,122 | 53,066 | ||||||
Rinnai Corp. | 100 | 7,640 | ||||||
Sangetsu Corp. | 2,256 | 34,008 | ||||||
SEB SA | 560 | 67,348 | ||||||
Sekisui Chemical Co. Ltd. | 9,800 | 125,553 | ||||||
Sekisui House Ltd. | 20,500 | 356,284 | ||||||
Sharp Corp.* (a) | 6,700 | 75,123 | ||||||
Sony Corp. | 27,600 | 1,789,154 | ||||||
Starts Corp., Inc. | 22,800 | 446,683 | ||||||
Sumitomo Forestry Co. Ltd. | 7,700 | 97,065 | ||||||
Tama Home Co. Ltd.(a) | 7,600 | 89,550 | ||||||
Taylor Wimpey plc | 92,055 | 170,745 | ||||||
Token Corp.(a) | 5,500 | 380,605 | ||||||
TomTom NV* | 5,853 | 46,158 | ||||||
Vistry Group plc | 124,666 | 1,270,559 | ||||||
Zojirushi Corp.(a) | 1,300 | 19,135 | ||||||
10,848,792 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 133 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Household Products – 0.5% | ||||||||
Earth Corp. | 600 | $ | 35,068 | |||||
Essity AB, Class A* | 3,889 | 126,618 | ||||||
Essity AB, Class B* | 9,477 | 308,067 | ||||||
Henkel AG & Co. KGaA | 2,188 | 170,392 | ||||||
Henkel AG & Co. KGaA (Preference) | 2,964 | 263,094 | ||||||
Lion Corp. | 7,600 | 159,981 | ||||||
Pigeon Corp. | 2,400 | 86,071 | ||||||
PZ Cussons plc(a) | 28,228 | 66,582 | ||||||
Reckitt Benckiser Group plc | 14,877 | 1,244,127 | ||||||
Unicharm Corp. | 6,500 | 240,099 | ||||||
2,700,099 | ||||||||
Independent Power and Renewable Electricity Producers – 0.2% | ||||||||
Boralex, Inc., Class A | 2,081 | 40,378 | ||||||
ContourGlobal plc(b) | 21,886 | 44,722 | ||||||
Drax Group plc | 242,535 | 638,764 | ||||||
EDP Renovaveis SA | 26 | 319 | ||||||
Electric Power Development Co. Ltd. | 8,300 | 167,653 | ||||||
Encavis AG | 3,696 | 45,421 | ||||||
ERG SpA | 2,090 | 37,542 | ||||||
Innergex Renewable Energy, Inc.(a) | 559 | 7,518 | ||||||
Meridian Energy Ltd. | 28,875 | 79,987 | ||||||
Northland Power, Inc.(a) | 2,116 | 45,506 | ||||||
Renewables Infrastructure Group Ltd. (The) | 57,144 | 88,801 | ||||||
Scatec Solar ASA(b) | 988 | 14,473 | ||||||
TransAlta Corp. | 3,496 | 20,614 | ||||||
Uniper SE | 6,042 | 162,136 | ||||||
1,393,834 | ||||||||
Industrial Conglomerates – 0.8% | ||||||||
CK Hutchison Holdings Ltd. | 105,856 | 783,780 | ||||||
DCC plc | 2,080 | 148,444 | ||||||
Guoco Group Ltd. | 4,000 | 56,344 | ||||||
Indus Holding AG | 9,430 | 290,236 | ||||||
Investment AB Latour, Class B | 6,498 | 97,531 | ||||||
Italmobiliare SpA | 245 | 7,326 | ||||||
Jardine Matheson Holdings Ltd. | 5,700 | 250,572 |
Investments | Shares | Value | ||||||
Industrial Conglomerates – (continued) | ||||||||
Jardine Strategic Holdings Ltd. | 6,600 | $ | 142,230 | |||||
Keppel Corp. Ltd. | 30,500 | 129,566 | ||||||
Lifco AB, Class B | 2,000 | 95,462 | ||||||
Mie Kotsu Group Holdings, Inc. | 40,600 | 183,381 | ||||||
Nisshinbo Holdings, Inc.(a) | 7,800 | 55,363 | ||||||
Nolato AB, Class B | 710 | 37,291 | ||||||
NWS Holdings Ltd. | 53,401 | 55,658 | ||||||
Rheinmetall AG | 1,254 | 84,910 | ||||||
Sembcorp Industries Ltd. | 17,200 | 19,794 | ||||||
Shun Tak Holdings Ltd. | 1,140,000 | 399,982 | ||||||
Siemens AG (Registered) | 17,385 | 1,612,459 | ||||||
Smiths Group plc | 9,861 | 154,295 | ||||||
TOKAI Holdings Corp. | 13,795 | 126,036 | ||||||
Toshiba Corp. | 5,700 | 143,226 | ||||||
4,873,886 | ||||||||
Insurance – 4.5% | ||||||||
Admiral Group plc | 6,099 | 179,246 | ||||||
Aegon NV | 41,328 | 106,376 | ||||||
Ageas | 7,182 | 258,413 | ||||||
AIA Group Ltd. | 253,200 | 2,349,964 | ||||||
Allianz SE (Registered) | 15,390 | 2,846,754 | ||||||
Alm Brand A/S | 8,488 | 66,552 | ||||||
ASR Nederland NV | 6,163 | 165,721 | ||||||
Assicurazioni Generali SpA | 41,382 | 589,914 | ||||||
AUB Group Ltd. | 2,255 | 17,229 | ||||||
Aviva plc | 153,558 | 468,343 | ||||||
AXA SA | 68,229 | 1,210,347 | ||||||
Baloise Holding AG (Registered) | 2,166 | 324,288 | ||||||
Beazley plc | 21,090 | 105,343 | ||||||
CBL Corp. Ltd.* ‡ (d) | 102,937 | — | ||||||
Clal Insurance Enterprises Holdings Ltd.* | 4,320 | 43,189 | ||||||
CNP Assurances* | 6,555 | 67,669 | ||||||
Coface SA | 59,337 | 348,356 | ||||||
Dai-ichi Life Holdings, Inc. | 42,300 | 538,367 | ||||||
Direct Line Insurance Group plc | 59,736 | 205,323 | ||||||
Fairfax Financial Holdings Ltd. | 855 | 232,330 | ||||||
Gjensidige Forsikring ASA | 945 | 16,737 | ||||||
Great Eastern Holdings Ltd. | 6,800 | 90,428 | ||||||
Great-West Lifeco, Inc. | 6,954 | 114,753 | ||||||
Grupo Catalana Occidente SA | 2,102 | 40,705 | ||||||
Hannover Rueck SE | 887 | 141,358 |
See Accompanying Notes to the Financial Statements.
134 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Insurance – (continued) | ||||||||
Harel Insurance Investments & Financial Services Ltd. | 8,005 | $ | 51,777 | |||||
Hastings Group Holdings plc(b) | 216,984 | 499,489 | ||||||
Helvetia Holding AG (Registered) | 1,265 | 115,798 | ||||||
Hiscox Ltd. | 10,488 | 92,947 | ||||||
iA Financial Corp., Inc. | 5,301 | 172,470 | ||||||
IDI Insurance Co. Ltd. | 4,845 | 149,919 | ||||||
Insurance Australia Group Ltd. | 41,154 | 155,734 | ||||||
Intact Financial Corp. | 3,762 | 358,798 | ||||||
Japan Post Holdings Co. Ltd. | 48,500 | 392,227 | ||||||
Just Group plc* | 638,691 | 449,935 | ||||||
Lancashire Holdings Ltd. | 16,074 | 124,083 | ||||||
Legal & General Group plc | 197,735 | 510,299 | ||||||
Manulife Financial Corp.(a) | 67,317 | 849,611 | ||||||
Mapfre SA | 41,382 | 75,739 | ||||||
Medibank Pvt Ltd. | 62,011 | 109,616 | ||||||
Menora Mivtachim Holdings Ltd. | 17,044 | 229,813 | ||||||
Migdal Insurance & Financial Holdings Ltd. | 90,400 | 58,315 | ||||||
MS&AD Insurance Group Holdings, Inc. | 17,100 | 499,240 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | 5,529 | 1,216,028 | ||||||
nib holdings Ltd. | 11,260 | 36,270 | ||||||
NN Group NV | 13,174 | 381,083 | ||||||
Phoenix Group Holdings plc | 16,000 | 121,291 | ||||||
Phoenix Holdings Ltd. (The)* | 13,484 | 71,249 | ||||||
Poste Italiane SpA(b) | 13,434 | 114,065 | ||||||
Power Corp. of Canada(a) | 16,767 | 268,716 | ||||||
Prudential plc | 55,176 | 785,394 | ||||||
QBE Insurance Group Ltd. | 20,349 | 112,575 | ||||||
RSA Insurance Group plc | 27,873 | 126,989 | ||||||
Sabre Insurance Group plc(a) (b) | 21,200 | 75,409 | ||||||
Sampo OYJ, Class A | 8,553 | 283,291 | ||||||
SCOR SE | 7,353 | 206,981 | ||||||
Societa Cattolica di Assicurazioni SC(a) | 91,257 | 503,267 | ||||||
Sompo Holdings, Inc. | 15,200 | 497,498 | ||||||
Sony Financial Holdings, Inc. | 1,300 | 25,116 | ||||||
Steadfast Group Ltd.(a) | 30,028 | 60,354 |
Investments | Shares | Value | ||||||
Insurance – (continued) | ||||||||
Storebrand ASA | 17,930 | $ | 90,180 | |||||
Sun Life Financial, Inc. | 20,235 | 695,066 | ||||||
Suncorp Group Ltd. | 18,297 | 110,087 | ||||||
Swiss Life Holding AG (Registered) | 1,197 | 424,032 | ||||||
Swiss Re AG(a) | 10,431 | 752,861 | ||||||
T&D Holdings, Inc. | 17,100 | 150,156 | ||||||
Talanx AG | 3,690 | 131,677 | ||||||
Tokio Marine Holdings, Inc. | 27,000 | 1,284,163 | ||||||
Topdanmark A/S | 1,650 | 66,624 | ||||||
Tryg A/S | 2,365 | 62,609 | ||||||
Unipol Gruppo SpA | 6,080 | 20,937 | ||||||
UnipolSai Assicurazioni SpA(a) | 27,841 | 68,429 | ||||||
UNIQA Insurance Group AG | 4,884 | 32,846 | ||||||
Wuestenrot & Wuerttembergische AG | 10,032 | 177,127 | ||||||
Yunfeng Financial Group Ltd.* | 136,000 | 54,384 | ||||||
Zurich Insurance Group AG | 5,302 | 1,688,136 | ||||||
26,118,405 | ||||||||
Interactive Media & Services – 0.2% | ||||||||
Auto Trader Group plc(b) | 20,634 | 119,385 | ||||||
carsales.com Ltd. | 634 | 5,890 | ||||||
Dip Corp. | 1,400 | 30,767 | ||||||
Kakaku.com, Inc. | 1,600 | 32,917 | ||||||
LIFULL Co. Ltd. | 7,600 | 23,809 | ||||||
LINE Corp.* | 900 | 44,354 | ||||||
New Work SE | 159 | 37,878 | ||||||
REA Group Ltd.(a) | 2,064 | 120,306 | ||||||
Rightmove plc | 22,907 | 143,775 | ||||||
Scout24 AG(b) | 2,584 | 168,966 | ||||||
Z Holdings Corp. | 47,600 | 186,510 | ||||||
914,557 | ||||||||
Internet & Direct Marketing Retail – 0.4% | ||||||||
ASKUL Corp. | 500 | 14,308 | ||||||
ASOS plc* | 1,370 | 41,370 | ||||||
Belluna Co. Ltd. | 39,900 | 189,547 | ||||||
boohoo Group plc* | 21,836 | 88,963 | ||||||
Delivery Hero SE* (b) | 3,102 | 261,617 | ||||||
Dustin Group AB(b) | 3,680 | 18,688 | ||||||
HelloFresh SE* | 1,596 | 56,603 | ||||||
Just Eat Takeaway.com NV* (b) | 2,635 | 268,681 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 135 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Internet & Direct Marketing Retail – (continued) | ||||||||
Moneysupermarket.com Group plc | 22,168 | $ | 88,806 | |||||
Ocado Group plc* | 13,395 | 271,093 | ||||||
On the Beach Group plc(b) | 2,052 | 7,196 | ||||||
Prosus NV* | 7,752 | 587,391 | ||||||
Rakuten, Inc. | 17,400 | 149,048 | ||||||
Rocket Internet SE* (b) | 1,646 | 34,669 | ||||||
Takkt AG | 17,271 | 140,553 | ||||||
Webjet Ltd.(a) | 5,413 | 10,844 | ||||||
Zalando SE* (b) | 1,921 | 93,610 | ||||||
ZOZO, Inc.(a) | 2,800 | 45,560 | ||||||
2,368,547 | ||||||||
IT Services – 1.2% | ||||||||
Adyen NV* (b) | 399 | 393,847 | ||||||
Afterpay Ltd.* (a) | 2,660 | 54,335 | ||||||
Alten SA | 1,130 | 81,316 | ||||||
Amadeus IT Group SA | 9,633 | 463,401 | ||||||
Atea ASA* | 8,826 | 77,468 | ||||||
Atos SE* | 3,876 | 276,205 | ||||||
Bechtle AG | 793 | 114,825 | ||||||
CANCOM SE | 2,336 | 119,027 | ||||||
Capgemini SE | 3,306 | 310,470 | ||||||
Capita plc* | 20,884 | 10,268 | ||||||
CGI, Inc.* | 5,871 | 375,225 | ||||||
Computacenter plc | 7,011 | 128,759 | ||||||
Computershare Ltd. | 12,584 | 100,348 | ||||||
Digital Garage, Inc. | 1,300 | 47,412 | ||||||
DTS Corp. | 4,000 | 77,468 | ||||||
Edenred | 4,048 | 163,030 | ||||||
FDM Group Holdings plc(a) | 3,850 | 36,324 | ||||||
Formula Systems 1985 Ltd. | 829 | 55,650 | ||||||
Fujitsu Ltd. | 5,000 | 492,589 | ||||||
Global Dominion Access SA* (b) | 2,113 | 6,527 | ||||||
GMO internet, Inc.(a) | 1,200 | 26,472 | ||||||
Indra Sistemas SA* | 5,627 | 48,474 | ||||||
Infocom Corp. | 1,600 | 38,872 | ||||||
Itochu Techno-Solutions Corp. | 2,400 | 74,064 | ||||||
Keywords Studios plc(a) | 1,140 | 22,906 | ||||||
Link Administration Holdings Ltd.(a) | 6,763 | 16,781 | ||||||
Matrix IT Ltd. | 2,464 | 48,167 |
Investments | Shares | Value | ||||||
IT Services – (continued) | ||||||||
NEC Corp. | 2,900 | $ | 112,952 | |||||
NEC Networks & System Integration Corp. | 800 | 34,937 | ||||||
NET One Systems Co. Ltd. | 3,800 | 110,516 | ||||||
NEXTDC Ltd.* | 16,647 | 96,672 | ||||||
Nihon Unisys Ltd. | 2,600 | 76,467 | ||||||
Nomura Research Institute Ltd. | 6,545 | 161,215 | ||||||
NS Solutions Corp. | 800 | 20,177 | ||||||
NSD Co. Ltd.(a) | 5,160 | 74,504 | ||||||
NTT Data Corp. | 11,400 | 117,801 | ||||||
Obic Co. Ltd. | 1,500 | 227,521 | ||||||
Otsuka Corp. | 3,400 | 154,047 | ||||||
Reply SpA | 880 | 61,495 | ||||||
S&T AG(a) | 228 | 5,005 | ||||||
SCSK Corp. | 900 | 40,903 | ||||||
Shopify, Inc., Class A* | 2,109 | 1,340,425 | ||||||
Softcat plc | 7,388 | 105,303 | ||||||
Sopra Steria Group | 969 | 114,731 | ||||||
SUNeVision Holdings Ltd.(a) | 134,000 | 95,586 | ||||||
TietoEVRY OYJ | 1,598 | 38,926 | ||||||
TIS, Inc. | 6,900 | 133,825 | ||||||
Transcosmos, Inc. | 2,100 | 42,752 | ||||||
Wirecard AG | 1,938 | 191,891 | ||||||
Worldline SA* (a) (b) | 2,391 | 162,317 | ||||||
7,180,198 | ||||||||
Leisure Products – 0.3% | ||||||||
Bandai Namco Holdings, Inc. | 5,800 | 294,570 | ||||||
Beneteau SA(a) | 20,086 | 127,711 | ||||||
BRP, Inc.(a) | 2,501 | 75,015 | ||||||
Games Workshop Group plc | 684 | 51,938 | ||||||
Heiwa Corp. | 2,450 | 41,721 | ||||||
Mizuno Corp. | 11,400 | 200,634 | ||||||
Sega Sammy Holdings, Inc. | 5,300 | 64,977 | ||||||
Shimano, Inc. | 1,700 | 251,816 | ||||||
Spin Master Corp.* (b) | 2,048 | 29,696 | ||||||
Technogym SpA(b) | 4,905 | 36,157 | ||||||
Thule Group AB(b) | 2,805 | 52,699 | ||||||
Tomy Co. Ltd. | 10,900 | 88,986 | ||||||
Universal Entertainment Corp. | 300 | 4,994 | ||||||
Yamaha Corp. | 4,600 | 188,413 | ||||||
Yonex Co. Ltd.(a) | 10,000 | 44,139 | ||||||
1,553,466 |
See Accompanying Notes to the Financial Statements.
136 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Life Sciences Tools & Services – 0.3% | ||||||||
Clinigen Group plc | 5,270 | $ | 47,994 | |||||
EPS Holdings, Inc. | 1,900 | 19,989 | ||||||
Eurofins Scientific SE(a) | 342 | 189,169 | ||||||
Evotec SE* | 3,180 | 78,613 | ||||||
Gerresheimer AG | 755 | 60,243 | ||||||
Lonza Group AG (Registered)* | 1,539 | 671,952 | ||||||
PureTech Health plc* (a) | 5,168 | 17,079 | ||||||
QIAGEN NV* | 4,978 | 207,533 | ||||||
Sartorius Stedim Biotech | 770 | 184,700 | ||||||
Siegfried Holding AG (Registered)* (a) | 165 | 75,392 | ||||||
Tecan Group AG (Registered)(a) | 303 | 97,761 | ||||||
1,650,425 | ||||||||
Machinery – 3.7% | ||||||||
Aalberts NV | 1,539 | 43,322 | ||||||
Aida Engineering Ltd. | 34,200 | 237,946 | ||||||
Alfa Laval AB* | 6,238 | 117,196 | ||||||
Alstom SA | 3,962 | 162,127 | ||||||
Amada Co. Ltd. | 7,200 | 66,186 | ||||||
ANDRITZ AG | 2,081 | 68,380 | ||||||
Atlas Copco AB, Class A(a) | 10,944 | 380,181 | ||||||
Atlas Copco AB, Class B | 9,006 | 281,507 | ||||||
ATS Automation Tooling Systems, Inc.* | 1,400 | 20,814 | ||||||
Beijer Alma AB | 2,304 | 22,221 | ||||||
Bobst Group SA (Registered)(a) | 4,275 | 213,495 | ||||||
Bodycote plc | 12,363 | 90,991 | ||||||
Bucher Industries AG (Registered) | 275 | 77,444 | ||||||
Cargotec OYJ, Class B | 684 | 14,931 | ||||||
CKD Corp.(a) | 8,000 | 136,232 | ||||||
CNH Industrial NV* | 13,965 | 87,370 | ||||||
Concentric AB* | 914 | 10,387 | ||||||
Construcciones y Auxiliar de Ferrocarriles SA | 720 | 24,644 | ||||||
Conzzeta AG (Registered) | 55 | 47,184 | ||||||
Daetwyler Holding AG | 474 | 81,132 | ||||||
Daifuku Co. Ltd. | 2,800 | 197,167 | ||||||
Daiwa Industries Ltd. | 1,600 | 13,915 | ||||||
Danieli & C Officine Meccaniche SpA(a) | 9,196 | 116,437 |
Investments | Shares | Value | ||||||
Machinery – (continued) | ||||||||
Danieli & C Officine Meccaniche SpA (Retirement Savings Plan) | 24,366 | $ | 180,678 | |||||
DMG Mori AG | 1,007 | 45,222 | ||||||
DMG Mori Co. Ltd. | 2,100 | 21,916 | ||||||
Duerr AG | 29,314 | 684,535 | ||||||
Epiroc AB, Class A | 13,120 | 131,802 | ||||||
FANUC Corp. | 3,900 | 650,274 | ||||||
Fincantieri SpA* (a) | 39,950 | 30,893 | ||||||
FLSmidth & Co. A/S* | 2,798 | 73,682 | ||||||
Fluidra SA* | 912 | 10,189 | ||||||
Fuji Corp. | 5,400 | 91,452 | ||||||
Fujitec Co. Ltd. | 7,600 | 110,018 | ||||||
Fukushima Galilei Co. Ltd. | 5,700 | 169,505 | ||||||
Furukawa Co. Ltd. | 22,800 | 236,880 | ||||||
GEA Group AG* | 4,960 | 113,978 | ||||||
Georg Fischer AG (Registered) | 152 | 113,313 | ||||||
Glory Ltd. | 100 | 2,281 | ||||||
Harmonic Drive Systems, Inc. | 1,500 | 70,557 | ||||||
Hino Motors Ltd. | 10,300 | 62,223 | ||||||
Hitachi Construction Machinery Co. Ltd.(a) | 5,700 | 135,710 | ||||||
Hitachi Zosen Corp. | 91,200 | 307,028 | ||||||
Hoshizaki Corp. | 1,200 | 92,467 | ||||||
IHI Corp.(a) | 2,500 | 31,585 | ||||||
IMA Industria Macchine Automatiche SpA | 857 | 58,385 | ||||||
IMI plc | 1,824 | 19,038 | ||||||
Interpump Group SpA | 2,231 | 64,951 | ||||||
Interroll Holding AG (Registered) | 34 | 64,608 | ||||||
Japan Steel Works Ltd. (The) | 2,200 | 27,424 | ||||||
Jungheinrich AG (Preference) | 2,972 | 53,842 | ||||||
Kawasaki Heavy Industries Ltd. | 2,800 | 43,047 | ||||||
KION Group AG | 2,394 | 118,810 | ||||||
Kitz Corp.(a) | 61,300 | 381,781 | ||||||
Komatsu Ltd. | 32,200 | 621,055 | ||||||
Komax Holding AG (Registered)* (a) | 435 | 63,144 | ||||||
Komori Corp. | 4,400 | 31,230 | ||||||
Kone OYJ, Class B | 8,208 | 497,339 | ||||||
Konecranes OYJ | 2,273 | 49,394 | ||||||
Krones AG | 926 | 55,834 | ||||||
Kubota Corp. | 22,800 | 287,199 | ||||||
Kurita Water Industries Ltd. | 3,400 | 96,339 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 137 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Machinery – (continued) | ||||||||
Kyokuto Kaihatsu Kogyo Co. Ltd. | 22,900 | $ | 270,042 | |||||
Makita Corp. | 6,600 | 217,253 | ||||||
Manitou BF SA | 8,136 | 124,759 | ||||||
Max Co. Ltd. | 2,800 | 42,235 | ||||||
Meidensha Corp.(a) | 20,600 | 324,406 | ||||||
Metso OYJ | 1,115 | 30,935 | ||||||
MINEBEA MITSUMI, Inc. | 11,411 | 189,303 | ||||||
MISUMI Group, Inc. | 8,100 | 195,882 | ||||||
Mitsubishi Heavy Industries Ltd. | 11,400 | 294,608 | ||||||
Mitsuboshi Belting Ltd. | 17,100 | 236,667 | ||||||
Mitsui E&S Holdings Co. Ltd.* | 51,300 | 295,994 | ||||||
Miura Co. Ltd. | 3,300 | 136,401 | ||||||
Morgan Advanced Materials plc | 177,555 | 489,350 | ||||||
Morita Holdings Corp. | 2,600 | 40,483 | ||||||
Nachi-Fujikoshi Corp. | 10,000 | 294,571 | ||||||
NFI Group, Inc. | 32,889 | 376,970 | ||||||
NGK Insulators Ltd. | 8,700 | 115,854 | ||||||
Nikkiso Co. Ltd.(a) | 40,300 | 319,581 | ||||||
Nitta Corp. | 14,800 | 268,223 | ||||||
Noritake Co. Ltd. | 5,700 | 188,694 | ||||||
Norma Group SE | 1,526 | 38,343 | ||||||
NSK Ltd. | 22,800 | 159,484 | ||||||
NTN Corp.(a) | 7,600 | 14,783 | ||||||
Obara Group, Inc. | 5,700 | 149,889 | ||||||
OC Oerlikon Corp. AG (Registered)(a) | 6,297 | 47,171 | ||||||
Oiles Corp. | 2,920 | 38,229 | ||||||
OKUMA Corp.(a) | 1,000 | 38,528 | ||||||
Organo Corp. | 5,800 | 312,414 | ||||||
OSG Corp.(a) | 1,500 | 19,778 | ||||||
Outotec OYJ | 7,372 | 30,764 | ||||||
Palfinger AG | 5,929 | 128,712 | ||||||
Pfeiffer Vacuum Technology AG | 398 | 65,651 | ||||||
Rational AG | 55 | 26,554 | ||||||
Rotork plc | 23,256 | 72,924 | ||||||
Ryobi Ltd. | 18,800 | 224,682 | ||||||
Sandvik AB* | 21,090 | 326,697 | ||||||
Schindler Holding AG | 914 | 203,132 | ||||||
Schindler Holding AG (Registered) | 602 | 129,114 | ||||||
Sembcorp Marine Ltd.* | 22,800 | 12,147 | ||||||
SFS Group AG | 593 | 47,033 |
Investments | Shares | Value | ||||||
Machinery – (continued) | ||||||||
Shibaura Machine Co. Ltd. | 11,449 | $ | 228,477 | |||||
Shibuya Corp.(a) | 11,400 | 283,787 | ||||||
Shima Seiki Manufacturing Ltd.(a) | 1,300 | 19,937 | ||||||
Shinmaywa Industries Ltd.(a) | 26,600 | 273,873 | ||||||
Sintokogio Ltd. | 28,500 | 199,355 | ||||||
SKF AB, Class A | 2,427 | 38,764 | ||||||
SKF AB, Class B(a) | 3,728 | 59,371 | ||||||
SMC Corp. | 1,400 | 641,511 | ||||||
Sodick Co. Ltd.(a) | 22,800 | 159,910 | ||||||
Spirax-Sarco Engineering plc | 1,853 | 203,998 | ||||||
Stabilus SA(a) | 1,511 | 64,644 | ||||||
Star Micronics Co. Ltd.(a) | 22,800 | 255,856 | ||||||
Sumitomo Heavy Industries Ltd. | 5,200 | 111,552 | ||||||
Tadano Ltd. | 8,900 | 68,830 | ||||||
Takeuchi Manufacturing Co. Ltd.(a) | 22,800 | 333,679 | ||||||
Takuma Co. Ltd.(a) | 45,800 | 506,248 | ||||||
Techtronic Industries Co. Ltd. | 28,500 | 217,086 | ||||||
Tocalo Co. Ltd.(a) | 8,200 | 82,127 | ||||||
Trelleborg AB, Class B* | 6,432 | 82,843 | ||||||
Tsubaki Nakashima Co. Ltd. | 22,700 | 161,968 | ||||||
Tsubakimoto Chain Co. | 2,200 | 52,071 | ||||||
Tsugami Corp.(a) | 3,400 | 30,046 | ||||||
Union Tool Co. | 500 | 12,868 | ||||||
Valmet OYJ | 5,005 | 114,573 | ||||||
VAT Group AG* (b) | 76 | 12,536 | ||||||
Vesuvius plc | 131,385 | 664,216 | ||||||
Volvo AB, Class A | 11,457 | 147,330 | ||||||
Volvo AB, Class B | 59,899 | 773,636 | ||||||
Wacker Neuson SE | 15,447 | 191,524 | ||||||
Wartsila OYJ Abp | 8,141 | 59,778 | ||||||
Washtec AG | 720 | 28,390 | ||||||
Weir Group plc (The) | 3,920 | 47,200 | ||||||
YAMABIKO Corp. | 28,500 | 222,275 | ||||||
Yaskawa Electric Corp. | 5,700 | 190,027 | ||||||
21,489,343 | ||||||||
Marine – 0.3% | ||||||||
AP Moller – Maersk A/S, Class A | 57 | 52,601 | ||||||
AP Moller – Maersk A/S, Class B | 114 | 113,319 |
See Accompanying Notes to the Financial Statements.
138 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Marine – (continued) | ||||||||
Dfds A/S* | 18,583 | $ | 470,397 | |||||
Fjord1 ASA(b) | 18,012 | 78,960 | ||||||
Golden Ocean Group Ltd. | 53,238 | 191,186 | ||||||
Irish Continental Group plc | 11,810 | 44,369 | ||||||
Kawasaki Kisen Kaisha Ltd.* (a) | 1,300 | 13,093 | ||||||
Kuehne + Nagel International AG (Registered)(a) | 969 | 138,601 | ||||||
NS United Kaiun Kaisha Ltd.(a) | 8,100 | 109,530 | ||||||
Pacific Basin Shipping Ltd.(a) | 2,671,000 | 330,759 | ||||||
SITC International Holdings Co. Ltd. | 49,000 | 48,606 | ||||||
Stolt-Nielsen Ltd. | 14,240 | 121,923 | ||||||
Wallenius Wilhelmsen ASA | 71,008 | 78,237 | ||||||
Wilh Wilhelmsen Holding ASA, Class A | 2,468 | 24,995 | ||||||
1,816,576 | ||||||||
Media – 0.8% | ||||||||
Altice Europe NV* | 4,851 | 19,314 | ||||||
Ascential plc(b) | 19,337 | 61,709 | ||||||
Atresmedia Corp. de Medios de Comunicacion SA(a) | 40,641 | 105,053 | ||||||
Cogeco, Inc. | 3,990 | 246,504 | ||||||
Corus Entertainment, Inc., Class B(a) | 107,787 | 246,002 | ||||||
CyberAgent, Inc. | 2,200 | 93,403 | ||||||
Daily Mail & General Trust plc, Class A(a) | 6,037 | 53,836 | ||||||
Dentsu Group, Inc. | 7,800 | 166,161 | ||||||
Euromoney Institutional Investor plc | 4,083 | 42,488 | ||||||
Eutelsat Communications SA | 9,280 | 104,083 | ||||||
Future plc(a) | 3,420 | 44,519 | ||||||
Hakuhodo DY Holdings, Inc. | 7,400 | 83,180 | ||||||
Informa plc | 32,946 | 182,516 | ||||||
IPSOS | 21,261 | 409,854 | ||||||
ITV plc | 99,912 | 96,408 | ||||||
JCDecaux SA | 4,626 | 95,865 | ||||||
Lagardere SCA | 4,618 | 74,860 | ||||||
Mediaset Espana Comunicacion SA* | 87,096 | 312,327 | ||||||
Mediaset SpA* | 7,888 | 16,027 |
Investments | Shares | Value | ||||||
Media – (continued) | ||||||||
Metropole Television SA | 1,295 | $ | 14,411 | |||||
Nine Entertainment Co. Holdings Ltd.(a) | 90,800 | 84,712 | ||||||
Nippon Television Holdings, Inc. | 2,400 | 27,067 | ||||||
Pearson plc(a) | 20,349 | 118,018 | ||||||
Promotora de Informaciones SA, Class A* | 32,897 | 21,655 | ||||||
ProSiebenSat.1 Media SE | 9,500 | 95,167 | ||||||
Publicis Groupe SA | 6,561 | 194,963 | ||||||
Quebecor, Inc., Class B | 4,781 | 104,332 | ||||||
RAI Way SpA(b) | 8,120 | 43,669 | ||||||
Sanoma OYJ | 10,880 | 98,433 | ||||||
Schibsted ASA, Class A | 2,349 | 49,970 | ||||||
Schibsted ASA, Class B | 3,483 | 67,857 | ||||||
SES SA, FDR | 8,892 | 59,371 | ||||||
Shaw Communications, Inc., Class B | 7,969 | 130,297 | ||||||
Singapore Press Holdings Ltd. | 50,900 | 54,961 | ||||||
SKY Perfect JSAT Holdings, Inc. | 74,100 | 282,028 | ||||||
Stroeer SE & Co. KGaA | 620 | 39,285 | ||||||
Telenet Group Holding NV | 1,273 | 53,096 | ||||||
Television Francaise 1* (a) | 63,555 | 311,304 | ||||||
TX Group AG | 316 | 21,052 | ||||||
Vector, Inc.* (a) | 1,500 | 10,058 | ||||||
Wowow, Inc. | 3,630 | 86,596 | ||||||
WPP plc | 40,812 | 319,783 | ||||||
Zenrin Co. Ltd. | 2,400 | 25,810 | ||||||
4,768,004 | ||||||||
Metals & Mining – 4.5% | ||||||||
Acerinox SA | 231 | 1,752 | ||||||
Agnico Eagle Mines Ltd. | 3,853 | 225,612 | ||||||
Aichi Steel Corp. | 7,400 | 200,683 | ||||||
Alacer Gold Corp.* (a) | 20,547 | 105,623 | ||||||
Alamos Gold, Inc., Class A | 24,480 | 197,574 | ||||||
Alumina Ltd. | 94,737 | 107,612 | ||||||
AMG Advanced Metallurgical Group NV | 2,315 | 38,985 | ||||||
Anglo American plc | 52,953 | 945,244 | ||||||
Antofagasta plc | 7,809 | 80,080 | ||||||
Aperam SA(a) | 28,390 | 738,209 | ||||||
ArcelorMittal SA | 22,743 | 249,154 | ||||||
Asahi Holdings, Inc. | 23,600 | 544,233 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 139 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Metals & Mining – (continued) | ||||||||
Aurubis AG | 21,033 | $ | 1,099,808 | |||||
B2Gold Corp. | 31,328 | 158,788 | ||||||
Barrick Gold Corp. | 15,297 | 394,608 | ||||||
Barrick Gold Corp. – XLON | 22,380 | 595,985 | ||||||
Bekaert SA | 22,743 | 482,265 | ||||||
BHP Group Ltd. | 64,296 | 1,361,760 | ||||||
BHP Group plc | 73,929 | 1,246,011 | ||||||
BlueScope Steel Ltd.(a) | 19,095 | 128,140 | ||||||
Boliden AB(a) | 7,182 | 147,284 | ||||||
Centamin plc | 48,989 | 96,303 | ||||||
Centerra Gold, Inc. | 12,299 | 98,555 | ||||||
Daido Steel Co. Ltd. | 2,000 | 67,237 | ||||||
Dowa Holdings Co. Ltd. | 2,200 | 61,925 | ||||||
Eldorado Gold Corp.* | 7,220 | 68,980 | ||||||
Endeavour Mining Corp.* | 2,501 | 45,124 | ||||||
Eramet(a) | 6,042 | 191,916 | ||||||
Evolution Mining Ltd. | 42,290 | 141,482 | ||||||
Evraz plc | 23,537 | 78,734 | ||||||
Ferrexpo plc | 139,992 | 239,441 | ||||||
First Majestic Silver Corp.* | 7,676 | 62,118 | ||||||
First Quantum Minerals Ltd. | 21,546 | 131,856 | ||||||
Fortescue Metals Group Ltd. | 52,554 | 411,509 | ||||||
Franco-Nevada Corp. | 3,313 | 439,269 | ||||||
Glencore plc* | 375,117 | 696,009 | ||||||
Granges AB | 45,372 | 336,323 | ||||||
Highland Gold Mining Ltd. | 136,116 | 409,309 | ||||||
Hill & Smith Holdings plc(a) | 4,063 | 59,141 | ||||||
Hitachi Metals Ltd. | 4,740 | 46,808 | ||||||
Hochschild Mining plc | 14,099 | 24,773 | ||||||
Hudbay Minerals, Inc. | 14,880 | 36,425 | ||||||
IAMGOLD Corp.* | 27,352 | 95,903 | ||||||
IGO Ltd. | 17,166 | 53,271 | ||||||
Iluka Resources Ltd.(a) | 6,916 | 34,774 | ||||||
Ivanhoe Mines Ltd., Class A* | 21,170 | 44,506 | ||||||
JFE Holdings, Inc. | 22,800 | 154,367 | ||||||
KAZ Minerals plc(a) | 17,892 | 93,567 | ||||||
Kinross Gold Corp.* | 27,217 | 180,081 | ||||||
Kirkland Lake Gold Ltd. | 6,316 | 261,653 | ||||||
Kobe Steel Ltd.* | 15,800 | 53,930 | ||||||
Kyoei Steel Ltd. | 14,300 | 184,676 | ||||||
Labrador Iron Ore Royalty Corp. | 36,251 | 515,206 |
Investments | Shares | Value | ||||||
Metals & Mining – (continued) | ||||||||
Lundin Gold, Inc.* (a) | 11,732 | $ | 87,592 | |||||
Lundin Mining Corp. | 33,631 | 165,134 | ||||||
Lynas Corp. Ltd.* | 50,800 | 58,037 | ||||||
MAG Silver Corp.* | 4,656 | 53,065 | ||||||
Mineral Resources Ltd.(a) | 10,526 | 115,637 | ||||||
Mitsubishi Materials Corp. | 5,800 | 120,193 | ||||||
Mount Gibson Iron Ltd.(a) | 293,607 | 122,063 | ||||||
Newcrest Mining Ltd.(d) | 13,851 | 249,740 | ||||||
Nippon Light Metal Holdings Co. Ltd. | 342,000 | 550,091 | ||||||
Nippon Steel Corp. | 30,615 | 261,073 | ||||||
Norsk Hydro ASA | 42,080 | 107,758 | ||||||
Northern Star Resources Ltd. | 15,204 | 127,312 | ||||||
Novagold Resources, Inc.* (a) | 7,962 | 89,540 | ||||||
OceanaGold Corp.* | 35,910 | 54,811 | ||||||
Orocobre Ltd.* (a) | 6,080 | 9,076 | ||||||
Osaka Steel Co. Ltd. | 1,000 | 11,063 | ||||||
Osisko Gold Royalties Ltd. | 5,548 | 50,769 | ||||||
Outokumpu OYJ | 193,857 | 521,699 | ||||||
OZ Minerals Ltd. | 13,621 | 79,991 | ||||||
Pan American Silver Corp.(a) | 5,270 | 112,309 | ||||||
Perenti Global Ltd.(a) | 376,277 | 224,177 | ||||||
Perseus Mining Ltd.* | 23,104 | 14,597 | ||||||
Polymetal International plc | 5,376 | 110,700 | ||||||
Pretium Resources, Inc.* | 112,290 | 859,385 | ||||||
Regis Resources Ltd. | 7,828 | 23,062 | ||||||
Resolute Mining Ltd.* (a) | 498,981 | 308,715 | ||||||
Rio Tinto Ltd. | 7,695 | 440,868 | ||||||
Rio Tinto plc | 35,967 | 1,671,546 | ||||||
Salzgitter AG | 24,282 | 324,073 | ||||||
Sandfire Resources Ltd. | 99,864 | 294,868 | ||||||
Sandstorm Gold Ltd.* | 16,268 | 126,612 | ||||||
Sanyo Special Steel Co. Ltd.(a) | 15,200 | 135,177 | ||||||
Saracen Mineral Holdings Ltd.* (a) | 36,229 | 102,941 | ||||||
SEMAFO, Inc.* | 198,360 | 499,845 | ||||||
Sims Ltd. | 22,952 | 105,487 | ||||||
South32 Ltd. | 195,852 | 254,525 | ||||||
SSAB AB, Class A* | 13,394 | 32,761 | ||||||
SSR Mining, Inc.* | 7,029 | 123,429 | ||||||
St Barbara Ltd. | 396,817 | 672,872 | ||||||
Stelco Holdings, Inc.(a) | 20,007 | 94,781 | ||||||
Sumitomo Metal Mining Co. Ltd. | 6,400 | 162,701 |
See Accompanying Notes to the Financial Statements.
140 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Metals & Mining – (continued) | ||||||||
Teck Resources Ltd., Class B | 15,960 | $ | 140,991 | |||||
thyssenkrupp AG* | 13,756 | 91,607 | ||||||
Toho Titanium Co. Ltd. | 200 | 1,163 | ||||||
Tokyo Steel Manufacturing Co. Ltd.(a) | 45,600 | 294,661 | ||||||
Topy Industries Ltd. | 9,700 | 114,929 | ||||||
Torex Gold Resources, Inc.* (a) | 5,650 | 80,584 | ||||||
Turquoise Hill Resources Ltd.* (a) | 607,098 | 297,222 | ||||||
UACJ Corp. | 800 | 13,152 | ||||||
voestalpine AG(a) | 1,880 | 38,908 | ||||||
Wheaton Precious Metals Corp. | 8,187 | 311,754 | ||||||
Yamana Gold, Inc. | 28,870 | 136,353 | ||||||
Yodogawa Steel Works Ltd.(a) | 20,000 | 318,698 | ||||||
25,834,678 | ||||||||
Multiline Retail – 0.5% | ||||||||
B&M European Value Retail SA | 31,065 | 130,404 | ||||||
Canadian Tire Corp. Ltd., Class A(a) | 1,368 | 96,197 | ||||||
Dollarama, Inc. | 5,757 | 180,964 | ||||||
Europris ASA(b) | 84,303 | 310,994 | ||||||
Fuji Co. Ltd. | 17,100 | 275,046 | ||||||
H2O Retailing Corp. | 5,615 | 44,580 | ||||||
Harvey Norman Holdings Ltd.(a) | 5,610 | 10,210 | ||||||
Isetan Mitsukoshi Holdings Ltd.(a) | 14,400 | 88,607 | ||||||
Izumi Co. Ltd. | 1,300 | 38,659 | ||||||
J Front Retailing Co. Ltd. | 10,700 | 88,954 | ||||||
Lifestyle International Holdings Ltd.(a) | 171,000 | 162,787 | ||||||
Marks & Spencer Group plc | 63,270 | 73,501 | ||||||
Marui Group Co. Ltd. | 5,500 | 91,139 | ||||||
Next plc | 3,135 | 186,882 | ||||||
Pan Pacific International Holdings Corp. | 13,500 | 262,842 | ||||||
Ryohin Keikaku Co. Ltd. | 6,000 | 72,493 | ||||||
Seria Co. Ltd. | 1,000 | 32,730 | ||||||
Takashimaya Co. Ltd. | 9,100 | 83,141 | ||||||
Warehouse Group Ltd. (The)(a) | 11,552 | 15,323 | ||||||
Wesfarmers Ltd. | 21,147 | 521,816 | ||||||
2,767,269 |
Investments | Shares | Value | ||||||
Multi-Utilities – 0.6% | ||||||||
A2A SpA | 97,185 | $ | 132,260 | |||||
ACEA SpA | 1,552 | 25,924 | ||||||
AGL Energy Ltd. | 15,960 | 177,215 | ||||||
Algonquin Power & Utilities Corp. | 11,459 | 159,227 | ||||||
Atco Ltd., Class I | 1,064 | 29,945 | ||||||
Centrica plc | 150,537 | 75,762 | ||||||
E.ON SE | 38,837 | 389,054 | ||||||
Engie SA | 63,042 | 683,870 | ||||||
Hera SpA(a) | 33,573 | 124,218 | ||||||
Iren SpA | 34,534 | 85,106 | ||||||
Keppel Infrastructure Trust | 170,047 | 59,795 | ||||||
National Grid plc | 76,680 | 903,174 | ||||||
REN – Redes Energeticas Nacionais SGPS SA | 13,606 | 36,884 | ||||||
RWE AG | 12,540 | 360,408 | ||||||
Suez | 10,565 | 119,364 | ||||||
Telecom Plus plc | 4,843 | 80,879 | ||||||
Veolia Environnement SA(a) | 12,084 | 257,896 | ||||||
3,700,981 | ||||||||
Oil, Gas & Consumable Fuels – 4.5% | ||||||||
Aker BP ASA | 4,404 | 73,303 | ||||||
ARC Resources Ltd. | 24,960 | 105,486 | ||||||
Beach Energy Ltd. | 99,237 | 98,755 | ||||||
BP plc | 739,381 | 2,920,028 | ||||||
Brightoil Petroleum Holdings Ltd.* ‡ (d) | 50,147 | — | ||||||
BW LPG Ltd.(b) | 49,191 | 169,047 | ||||||
Cairn Energy plc* | 50,800 | 71,766 | ||||||
Caltex Australia Ltd. | 6,669 | 108,806 | ||||||
Cameco Corp. | 9,372 | 93,386 | ||||||
Canadian Natural Resources Ltd.(a) | 42,978 | 721,277 | ||||||
Cenovus Energy, Inc. | 28,842 | 104,865 | ||||||
China Aviation Oil Singapore Corp. Ltd. | 96,000 | 70,242 | ||||||
Cosmo Energy Holdings Co. Ltd. | 600 | 9,157 | ||||||
Crescent Point Energy Corp. | 329,745 | 460,568 | ||||||
Delek Group Ltd. | 53 | 2,443 | ||||||
Diversified Gas & Oil plc(a) (b) | 370,956 | 442,638 | ||||||
DNO ASA(a) | 22,960 | 10,463 | ||||||
Enbridge, Inc. | 44,232 | 1,358,216 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 141 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Oil, Gas & Consumable Fuels – (continued) | ||||||||
Enerplus Corp. | 134,845 | $ | 364,065 | |||||
Eni SpA | 95,703 | 913,432 | ||||||
Equinor ASA(a) | 40,755 | 572,071 | ||||||
Equital Ltd.* | 12,566 | 315,987 | ||||||
Euronav NV(a) | 6,841 | 76,428 | ||||||
FLEX LNG Ltd.(a) | 16,530 | 85,889 | ||||||
Galp Energia SGPS SA | 7,324 | 84,351 | ||||||
Gaztransport Et Technigaz SA | 660 | 47,856 | ||||||
Genel Energy plc(a) | 131,385 | 193,564 | ||||||
Gibson Energy, Inc. | 7,625 | 108,862 | ||||||
Hurricane Energy plc* | 90,592 | 13,415 | ||||||
Husky Energy, Inc.(a) | 11,656 | 37,512 | ||||||
Idemitsu Kosan Co. Ltd. | 9,982 | 230,566 | ||||||
Imperial Oil Ltd. | 7,476 | 121,052 | ||||||
Inpex Corp. | 19,100 | 123,440 | ||||||
Inter Pipeline Ltd.(a) | 12,996 | 108,912 | ||||||
Itochu Enex Co. Ltd. | 34,300 | 256,604 | ||||||
Iwatani Corp. | 2,197 | 75,504 | ||||||
Japan Petroleum Exploration Co. Ltd. | 1,700 | 29,744 | ||||||
JXTG Holdings, Inc. | 96,450 | 345,176 | ||||||
Keyera Corp.(a) | 1,840 | 27,356 | ||||||
Koninklijke Vopak NV | 1,558 | 89,795 | ||||||
Lundin Energy AB | 4,170 | 108,314 | ||||||
MEG Energy Corp.* | 20,320 | 45,498 | ||||||
Mitsuuroko Group Holdings Co. Ltd.(a) | 1,200 | 12,479 | ||||||
Naphtha Israel Petroleum Corp. Ltd.* | 20,959 | 109,297 | ||||||
Neste OYJ | 9,918 | 351,207 | ||||||
New Hope Corp. Ltd.(a) | 251,636 | 254,533 | ||||||
Oil Refineries Ltd. | 93,868 | 26,287 | ||||||
OMV AG | 6,669 | 218,406 | ||||||
Origin Energy Ltd. | 42,123 | 153,333 | ||||||
Ovintiv, Inc. | 6,741 | 42,224 | ||||||
Parex Resources, Inc.* | 81,817 | 898,900 | ||||||
Parkland Fuel Corp. | 2,333 | 55,312 | ||||||
Pembina Pipeline Corp. | 9,519 | 218,760 | ||||||
PrairieSky Royalty Ltd.(a) | 486 | 3,562 | ||||||
Premier Oil plc* (a) | 468,255 | 192,724 | ||||||
Repsol SA | 50,546 | 460,288 | ||||||
Royal Dutch Shell plc, Class A(a) | 150,195 | 2,510,192 |
Investments | Shares | Value | ||||||
Oil, Gas & Consumable Fuels – (continued) | ||||||||
Royal Dutch Shell plc, Class B | 136,353 | $ | 2,212,465 | |||||
San-Ai Oil Co. Ltd. | 38,300 | 394,336 | ||||||
Santos Ltd. | 49,704 | 160,754 | ||||||
Saras SpA | 294,177 | 277,102 | ||||||
Seven Generations Energy Ltd., Class A* (a) | 172,652 | 357,995 | ||||||
Suncor Energy, Inc. | 32,319 | 577,528 | ||||||
TC Energy Corp. | 21,000 | 968,545 | ||||||
TOTAL SA | 90,801 | 3,267,075 | ||||||
Tourmaline Oil Corp. | 9,770 | 97,070 | ||||||
United Energy Group Ltd.(a) | 198,000 | 36,268 | ||||||
Vermilion Energy, Inc.(a) | 8,935 | 44,065 | ||||||
Washington H Soul Pattinson & Co. Ltd.(a) | 3,009 | 36,524 | ||||||
Whitecap Resources, Inc.(a) | 246,753 | 325,107 | ||||||
Whitehaven Coal Ltd.(a) | 24,365 | 29,032 | ||||||
Woodside Petroleum Ltd. | 18,294 | 268,885 | ||||||
25,756,094 | ||||||||
Paper & Forest Products – 0.5% | ||||||||
Ahlstrom-Munksjo OYJ | 4,545 | 63,621 | ||||||
Altri SGPS SA(a) | 28,101 | 148,355 | ||||||
Canfor Corp.* | 4,489 | 31,350 | ||||||
Daiken Corp.(a) | 12,500 | 187,731 | ||||||
Daio Paper Corp. | 3,745 | 51,621 | ||||||
Ence Energia y Celulosa SA(a) | 91,998 | 295,243 | ||||||
Hokuetsu Corp. | 84,900 | 338,218 | ||||||
Holmen AB, Class B | 4,070 | 118,926 | ||||||
Interfor Corp.* | 5,920 | 34,993 | ||||||
Metsa Board OYJ* | 6,595 | 45,941 | ||||||
Mondi plc | 14,478 | 257,492 | ||||||
Navigator Co. SA (The)* | 6,520 | 16,954 | ||||||
Nippon Paper Industries Co. Ltd.(a) | 8,100 | 117,332 | ||||||
Norbord, Inc. | 3,136 | 50,982 | ||||||
Oji Holdings Corp. | 32,500 | 167,158 | ||||||
Semapa-Sociedade de Investimento e Gestao* | 14,136 | 139,348 | ||||||
Stella-Jones, Inc. | 1,045 | 26,107 | ||||||
Stora Enso OYJ, Class R | 19,095 | 225,879 | ||||||
Svenska Cellulosa AB SCA, Class A* | 3,160 | 34,294 | ||||||
Svenska Cellulosa AB SCA, Class B* | 14,939 | 160,981 |
See Accompanying Notes to the Financial Statements.
142 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Paper & Forest Products – (continued) | ||||||||
Tokushu Tokai Paper Co. Ltd. | 5,700 | $ | 217,478 | |||||
UPM-Kymmene OYJ | 13,224 | 365,872 | ||||||
West Fraser Timber Co. Ltd.(a) | 2,213 | 61,724 | ||||||
3,157,600 | ||||||||
Personal Products – 1.3% | ||||||||
Beiersdorf AG | 1,938 | 202,887 | ||||||
Blackmores Ltd.(a) | 798 | 39,581 | ||||||
Fancl Corp. | 5,000 | 121,382 | ||||||
Interparfums SA | 595 | 20,594 | ||||||
Kao Corp. | 11,700 | 909,872 | ||||||
Kobayashi Pharmaceutical Co. Ltd. | 1,400 | 130,135 | ||||||
Kose Corp.(a) | 700 | 88,110 | ||||||
L’Occitane International SA | 43,000 | 65,673 | ||||||
L’Oreal SA | 4,854 | 1,410,490 | ||||||
Mandom Corp. | 2,600 | 50,719 | ||||||
Milbon Co. Ltd. | 1,000 | 44,232 | ||||||
Noevir Holdings Co. Ltd. | 1,900 | 89,905 | ||||||
Ontex Group NV | 35,682 | 650,724 | ||||||
Pola Orbis Holdings, Inc. | 2,000 | 35,872 | ||||||
Rohto Pharmaceutical Co. Ltd. | 2,000 | 58,821 | ||||||
Shiseido Co. Ltd. | 10,600 | 632,223 | ||||||
Unilever NV | 29,039 | 1,449,736 | ||||||
Unilever plc | 24,795 | 1,282,908 | ||||||
7,283,864 | ||||||||
Pharmaceuticals – 5.3% | ||||||||
ALK-Abello A/S* | 532 | 135,448 | ||||||
Almirall SA | 4,710 | 60,875 | ||||||
Aphria, Inc.* (a) | 15,976 | 56,821 | ||||||
Astellas Pharma, Inc. | 38,400 | 641,526 | ||||||
AstraZeneca plc | 27,759 | 2,913,850 | ||||||
Bausch Health Cos., Inc.* | 9,006 | 163,073 | ||||||
Bayer AG (Registered) | 35,619 | 2,346,271 | ||||||
Canopy Growth Corp.* | 6,156 | 98,393 | ||||||
Chugai Pharmaceutical Co. Ltd. | 4,500 | 539,066 | ||||||
COSMO Pharmaceuticals NV* (a) | 413 | 31,452 | ||||||
Daiichi Sankyo Co. Ltd. | 14,100 | 973,359 | ||||||
Dechra Pharmaceuticals plc | 3,990 | 139,408 | ||||||
Eisai Co. Ltd. | 6,800 | 478,833 |
Investments | Shares | Value | ||||||
Pharmaceuticals – (continued) | ||||||||
Faes Farma SA | 15,630 | $ | 68,392 | |||||
Financiere de Tubize SA(a) | 751 | 56,181 | ||||||
GlaxoSmithKline plc | 101,264 | 2,121,584 | ||||||
H Lundbeck A/S | 1,852 | 67,465 | ||||||
Haw Par Corp. Ltd. | 3,200 | 23,278 | ||||||
Hikma Pharmaceuticals plc | 2,900 | 86,693 | ||||||
Hisamitsu Pharmaceutical Co., Inc. | 1,900 | 90,260 | ||||||
Hutchison China MediTech Ltd.* | 7,150 | 30,573 | ||||||
Ipsen SA | 770 | 57,139 | ||||||
JCR Pharmaceuticals Co. Ltd. | 600 | 58,185 | ||||||
Kaken Pharmaceutical Co. Ltd. | 1,500 | 82,901 | ||||||
Kissei Pharmaceutical Co. Ltd. | 1,400 | 33,516 | ||||||
Knight Therapeutics, Inc.* | 11,684 | 63,848 | ||||||
Kyowa Kirin Co. Ltd. | 5,000 | 117,735 | ||||||
Merck KGaA | 1,995 | 231,842 | ||||||
Mochida Pharmaceutical Co. Ltd. | 3,200 | 125,684 | ||||||
Nichi-iko Pharmaceutical Co. Ltd. | 34,200 | 447,749 | ||||||
Nippon Shinyaku Co. Ltd. | 2,000 | 141,581 | ||||||
Novartis AG (Registered) | 51,834 | 4,417,826 | ||||||
Novo Nordisk A/S, Class B | 34,738 | 2,215,165 | ||||||
Ono Pharmaceutical Co. Ltd. | 12,000 | 290,756 | ||||||
Orion OYJ, Class A | 1,474 | 72,813 | ||||||
Orion OYJ, Class B | 1,539 | 78,181 | ||||||
Otsuka Holdings Co. Ltd. | 12,700 | 505,340 | ||||||
Recipharm AB, Class B | 3,741 | 44,851 | ||||||
Recordati SpA | 2,359 | 102,500 | ||||||
Roche Holding AG | 14,364 | 4,992,388 | ||||||
Roche Holding AG – BR | 639 | 222,324 | ||||||
Sanofi(a) | 23,577 | 2,303,233 | ||||||
Santen Pharmaceutical Co. Ltd. | 11,500 | 204,760 | ||||||
Seikagaku Corp. | 1,800 | 17,977 | ||||||
Shionogi & Co. Ltd. | 7,000 | 388,114 | ||||||
Sosei Group Corp.* | 1,200 | 16,945 | ||||||
Sumitomo Dainippon Pharma Co. Ltd. | 3,600 | 50,431 | ||||||
Taisho Pharmaceutical Holdings Co. Ltd. | 2,500 | 157,339 | ||||||
Takeda Pharmaceutical Co. Ltd. | 34,217 | 1,242,480 | ||||||
Teva Pharmaceutical Industries Ltd.* | 27,873 | 308,290 | ||||||
Torii Pharmaceutical Co. Ltd. | 800 | 22,264 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 143 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Pharmaceuticals – (continued) | ||||||||
Towa Pharmaceutical Co. Ltd. | 1,200 | $ | 24,845 | |||||
Tsumura & Co. | 900 | 25,114 | ||||||
UCB SA* | 2,850 | 260,779 | ||||||
Vifor Pharma AG | 1,084 | 162,912 | ||||||
Virbac SA* | 212 | 41,797 | ||||||
ZERIA Pharmaceutical Co. Ltd.(a) | 1,800 | 35,197 | ||||||
30,687,602 | ||||||||
Professional Services – 1.1% | ||||||||
Adecco Group AG (Registered) | 7,125 | 312,344 | ||||||
AF Poyry AB, Class B* | 4,429 | 80,942 | ||||||
ALS Ltd. | 13,503 | 60,203 | ||||||
Applus Services SA | 12,062 | 79,269 | ||||||
Benefit One, Inc.(a) | 2,000 | 35,648 | ||||||
Bureau Veritas SA | 4,296 | 89,120 | ||||||
DKSH Holding AG | 660 | 37,269 | ||||||
en-japan, Inc. | 1,700 | 38,392 | ||||||
Experian plc | 20,976 | 628,644 | ||||||
Funai Soken Holdings, Inc. | 2,700 | 58,477 | ||||||
Groupe Crit | 1,176 | 65,176 | ||||||
Hays plc | 34,264 | 46,893 | ||||||
Intertek Group plc | 3,078 | 184,416 | ||||||
Intertrust NV(a) (b) | 5,909 | 93,069 | ||||||
IPH Ltd.(a) | 21,158 | 102,506 | ||||||
JAC Recruitment Co. Ltd. | 1,300 | 13,859 | ||||||
McMillan Shakespeare Ltd. | 8,533 | 37,262 | ||||||
Meitec Corp. | 2,400 | 107,168 | ||||||
Morneau Shepell, Inc. | 2,428 | 58,823 | ||||||
Nihon M&A Center, Inc.(a) | 2,400 | 79,787 | ||||||
Nomura Co. Ltd. | 6,000 | 46,626 | ||||||
Outsourcing, Inc. | 11,100 | 53,769 | ||||||
Pagegroup plc | 20,728 | 98,306 | ||||||
Persol Holdings Co. Ltd. | 5,700 | 67,216 | ||||||
Randstad NV* | 3,363 | 134,926 | ||||||
Recruit Holdings Co. Ltd. | 28,500 | 848,057 | ||||||
RELX plc | 43,320 | 981,638 | ||||||
RWS Holdings plc | 3,113 | 21,125 | ||||||
SEEK Ltd.(a) | 5,653 | 64,435 | ||||||
SGS SA (Registered) | 114 | 258,084 | ||||||
SMS Co. Ltd. | 3,200 | 70,772 | ||||||
Stantec, Inc. | 1,027 | 30,338 | ||||||
Tanseisha Co. Ltd. | 22,800 | 149,250 |
Investments | Shares | Value | ||||||
Professional Services – (continued) | ||||||||
TechnoPro Holdings, Inc. | 1,900 | $ | 110,338 | |||||
Teleperformance | 1,197 | 268,115 | ||||||
Thomson Reuters Corp. | 2,683 | 189,439 | ||||||
Wolters Kluwer NV | 6,726 | 494,472 | ||||||
6,096,173 | ||||||||
Real Estate Management & Development – 2.7% | ||||||||
ADO Properties SA(b) | 2,368 | 66,398 | ||||||
Aedas Homes SA* (b) | 486 | 7,452 | ||||||
Aeon Mall Co. Ltd. | 1,990 | 25,420 | ||||||
AFI Properties Ltd.* | 12,711 | 388,189 | ||||||
Airport City Ltd.* | 1,928 | 29,496 | ||||||
Allreal Holding AG (Registered) | 366 | 68,031 | ||||||
Alrov Properties and Lodgings Ltd. | 288 | 8,298 | ||||||
Altus Group Ltd. | 1,792 | 54,226 | ||||||
Amot Investments Ltd. | 11,168 | 63,065 | ||||||
Aroundtown SA | 29,826 | 160,402 | ||||||
Ashtrom Properties Ltd. | 22,807 | 116,108 | ||||||
Atrium Ljungberg AB, Class B | 2,912 | 40,666 | ||||||
Azrieli Group Ltd. | 1,016 | 60,622 | ||||||
Bayside Land Corp. | 98 | 58,805 | ||||||
Big Shopping Centers Ltd. | 16 | 1,290 | ||||||
Blue Square Real Estate Ltd. | 710 | 32,832 | ||||||
Bukit Sembawang Estates Ltd. | 91,200 | 253,963 | ||||||
CA Immobilien Anlagen AG | 1,760 | 56,000 | ||||||
CapitaLand Ltd.* | 74,100 | 158,444 | ||||||
Castellum AB | 8,721 | 153,085 | ||||||
Catena AB | 1,676 | 53,280 | ||||||
City Developments Ltd. | 21,400 | 121,009 | ||||||
CK Asset Holdings Ltd. | 85,500 | 540,417 | ||||||
CLS Holdings plc | 14,403 | 37,424 | ||||||
Colliers International Group, Inc. | 1,142 | 62,808 | ||||||
Corem Property Group AB, Class B | 66,913 | 128,110 | ||||||
Corestate Capital Holding SA | 6,954 | 143,423 | ||||||
Daejan Holdings plc | 4,721 | 478,769 | ||||||
Daibiru Corp. | 3,300 | 30,829 | ||||||
Daito Trust Construction Co. Ltd. | 1,900 | 183,275 | ||||||
Daiwa House Industry Co. Ltd. | 25,800 | 665,297 | ||||||
Deutsche Wohnen SE | 7,410 | 300,298 | ||||||
Dios Fastigheter AB | 52,782 | 325,862 | ||||||
Emperor International Holdings Ltd.(a) | 574,000 | 105,140 |
See Accompanying Notes to the Financial Statements.
144 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Real Estate Management & Development – (continued) | ||||||||
Fabege AB | 8,276 | $ | 99,095 | |||||
Far East Consortium International Ltd. | 639,969 | 227,017 | ||||||
Fastighets AB Balder, Class B* | 3,648 | 144,169 | ||||||
FastPartner AB, Class A(a) | 6,642 | 47,670 | ||||||
FirstService Corp. | 1,780 | 154,234 | ||||||
Gazit-Globe Ltd. | 3,498 | 26,001 | ||||||
Goldcrest Co. Ltd.(a) | 1,000 | 15,299 | ||||||
Grainger plc | 33,054 | 111,403 | ||||||
Grand City Properties SA | 2,508 | 52,468 | ||||||
Great Eagle Holdings Ltd. | 8,776 | 26,150 | ||||||
Heba Fastighets AB, Class B | 19,551 | 172,146 | ||||||
Henderson Land Development Co. Ltd. | 33,239 | 135,917 | ||||||
Hiag Immobilien Holding AG* | 355 | 32,515 | ||||||
Ho Bee Land Ltd. | 78,800 | 115,314 | ||||||
Hufvudstaden AB, Class A | 2,610 | 33,509 | ||||||
Hulic Co. Ltd. | 4,900 | 49,121 | ||||||
Hysan Development Co. Ltd. | 19,000 | 63,232 | ||||||
Ichigo, Inc. | 14,300 | 37,577 | ||||||
IMMOFINANZ AG* (a) | 2,253 | 41,655 | ||||||
Intershop Holding AG | 131 | 67,390 | ||||||
Isras Investment Co. Ltd. | 312 | 58,384 | ||||||
IWG plc | 27,360 | 82,135 | ||||||
Jeudan A/S* | 560 | 19,018 | ||||||
K Wah International Holdings Ltd. | 782,089 | 360,156 | ||||||
Kenedix, Inc. | 13,500 | 62,113 | ||||||
Kerry Properties Ltd. | 38,500 | 105,781 | ||||||
Klovern AB, Class B | 22,886 | 31,047 | ||||||
Kowloon Development Co. Ltd. | 232,000 | 269,338 | ||||||
Kungsleden AB | 208 | 1,593 | ||||||
Lai Sun Development Co. Ltd.(a) | 78,826 | 91,004 | ||||||
LEG Immobilien AG | 1,881 | 215,998 | ||||||
Lendlease Group | 19,344 | 156,533 | ||||||
Melisron Ltd. | 944 | 38,321 | ||||||
Mitsubishi Estate Co. Ltd. | 25,600 | 421,939 | ||||||
Mitsui Fudosan Co. Ltd. | 21,400 | 399,843 | ||||||
Mivne Real Estate KD Ltd.* | 331,114 | 716,337 | ||||||
Mobimo Holding AG (Registered)* | 232 | 63,700 |
Investments | Shares | Value | ||||||
Real Estate Management & Development – (continued) | ||||||||
New World Development Co. Ltd. | 144,362 | $ | 170,389 | |||||
Nexity SA | 1,546 | 47,413 | ||||||
Nomura Real Estate Holdings, Inc. | 5,800 | 96,111 | ||||||
Norstar Holdings, Inc. | 10,032 | 130,064 | ||||||
Norwegian Property ASA | 16,948 | 18,574 | ||||||
Open House Co. Ltd.(a) | 4,000 | 88,839 | ||||||
Oxley Holdings Ltd. | 459,532 | 75,082 | ||||||
PATRIZIA AG | 3,248 | 72,396 | ||||||
Platzer Fastigheter Holding AB, Class B | 12,160 | 93,374 | ||||||
Property & Building Corp. Ltd. | 480 | 35,610 | ||||||
PSP Swiss Property AG (Registered) | 531 | 61,729 | ||||||
Relo Group, Inc. | 2,270 | 49,949 | ||||||
S IMMO AG | 2,564 | 47,630 | ||||||
Sagax AB, Class B | 8,693 | 93,452 | ||||||
Samhallsbyggnadsbolaget i Norden AB | 40,413 | 78,408 | ||||||
SAMTY Co. Ltd. | 17,400 | 229,592 | ||||||
Savills plc | 11,457 | 139,455 | ||||||
Selvaag Bolig ASA | 21,356 | 88,709 | ||||||
Sino Land Co. Ltd. | 29,823 | 41,701 | ||||||
Sirius Real Estate Ltd. | 94,543 | 84,073 | ||||||
St Modwen Properties plc | 2,689 | 12,482 | ||||||
Sumitomo Realty & Development Co. Ltd. | 8,700 | 237,036 | ||||||
Summit Real Estate Holdings Ltd. | 18,909 | 238,617 | ||||||
Sun Frontier Fudousan Co. Ltd. | 16,200 | 132,103 | ||||||
Sun Hung Kai Properties Ltd. | 56,000 | 768,593 | ||||||
Swire Pacific Ltd., Class A | 3,500 | 22,980 | ||||||
Swire Properties Ltd. | 24,800 | 69,579 | ||||||
Swiss Prime Site AG (Registered) | 1,691 | 160,664 | ||||||
TAG Immobilien AG* | 7,460 | 163,010 | ||||||
Takara Leben Co. Ltd. | 34,200 | 114,496 | ||||||
Tokyo Tatemono Co. Ltd. | 12,200 | 140,214 | ||||||
Tokyu Fudosan Holdings Corp. | 20,000 | 100,061 | ||||||
Tricon Capital Group, Inc. | 85,272 | 496,670 | ||||||
United Industrial Corp. Ltd. | 5,656 | 9,080 | ||||||
UOL Group Ltd. | 15,599 | 75,685 | ||||||
Vonovia SE | 11,445 | 564,734 | ||||||
Wallenstam AB, Class B(a) | 7,068 | 73,305 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 145 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Real Estate Management & Development – (continued) | ||||||||
Wang On Properties Ltd. | 312,000 | $ | 39,843 | |||||
Wharf Holdings Ltd. (The)(a) | 57,000 | 107,789 | ||||||
Wharf Real Estate Investment Co. Ltd.(a) | 21,000 | 88,715 | ||||||
Wheelock & Co. Ltd. | 24,000 | 175,689 | ||||||
Wihlborgs Fastigheter AB | 5,830 | 83,446 | ||||||
Wing Tai Holdings Ltd. | 59,200 | 72,754 | ||||||
Wing Tai Properties Ltd. | 304,000 | 184,305 | ||||||
YH Dimri Construction & Development Ltd. | 1,596 | 48,971 | ||||||
15,647,226 | ||||||||
Road & Rail – 1.6% | ||||||||
Aurizon Holdings Ltd. | 31,840 | 97,766 | ||||||
Canadian National Railway Co. | 14,934 | 1,237,664 | ||||||
Canadian Pacific Railway Ltd. | 3,192 | 727,039 | ||||||
Central Japan Railway Co. | 3,900 | 620,185 | ||||||
ComfortDelGro Corp. Ltd. | 106,400 | 124,714 | ||||||
East Japan Railway Co. | 8,300 | 611,081 | ||||||
Firstgroup plc* | 699,390 | 589,734 | ||||||
Fukuyama Transporting Co. Ltd. | 1,000 | 35,021 | ||||||
Go-Ahead Group plc (The) | 27,018 | 455,979 | ||||||
Hamakyorex Co. Ltd. | 8,100 | 223,908 | ||||||
Hankyu Hanshin Holdings, Inc. | 5,400 | 186,843 | ||||||
Hitachi Transport System Ltd. | 2,700 | 66,683 | ||||||
Keikyu Corp. | 6,000 | 99,425 | ||||||
Keio Corp. | 2,800 | 159,723 | ||||||
Keisei Electric Railway Co. Ltd. | 5,100 | 155,478 | ||||||
Kintetsu Group Holdings Co. Ltd. | 5,900 | 284,696 | ||||||
Kyushu Railway Co. | 2,100 | 57,009 | ||||||
Maruzen Showa Unyu Co. Ltd. | 9,200 | 218,525 | ||||||
MTR Corp. Ltd. | 32,264 | 179,167 | ||||||
Nagoya Railroad Co. Ltd. | 5,000 | 144,714 | ||||||
Nankai Electric Railway Co. Ltd. | 3,000 | 67,443 | ||||||
National Express Group plc | 18,069 | 62,266 | ||||||
Nikkon Holdings Co. Ltd. | 2,600 | 51,132 | ||||||
Nippon Express Co. Ltd. | 3,700 | 183,036 | ||||||
Nishi-Nippon Railroad Co. Ltd.(a) | 1,000 | 24,697 | ||||||
Odakyu Electric Railway Co. Ltd. | 5,900 | 130,927 | ||||||
Sankyu, Inc. | 2,333 | 90,977 | ||||||
SBS Transit Ltd. | 30,400 | 65,219 |
Investments | Shares | Value | ||||||
Road & Rail – (continued) | ||||||||
Seibu Holdings, Inc. | 8,100 | $ | 98,092 | |||||
Seino Holdings Co. Ltd. | 7,500 | 90,335 | ||||||
Senko Group Holdings Co. Ltd. | 83,400 | 683,204 | ||||||
Sixt SE | 550 | 37,139 | ||||||
Sixt SE (Preference) | 958 | 44,228 | ||||||
Stagecoach Group plc | 261,687 | 246,899 | ||||||
Stef SA | 1,710 | 128,485 | ||||||
TFI International, Inc. | 4,788 | 133,062 | ||||||
Tobu Railway Co. Ltd. | 4,000 | 137,093 | ||||||
Tokyu Corp. | 11,500 | 174,648 | ||||||
Tonami Holdings Co. Ltd. | 5,000 | 248,749 | ||||||
Trancom Co. Ltd. | 600 | 40,062 | ||||||
West Japan Railway Co. | 3,600 | 224,447 | ||||||
9,237,494 | ||||||||
Semiconductors & Semiconductor Equipment – 1.1% | ||||||||
Advantest Corp. | 3,100 | 152,775 | ||||||
ams AG* (a) | 10,955 | 142,677 | ||||||
ASM International NV | 1,311 | 144,240 | ||||||
ASM Pacific Technology Ltd. | 5,000 | 50,823 | ||||||
ASML Holding NV | 9,063 | 2,686,662 | ||||||
BE Semiconductor Industries NV* (a) | 4,080 | 167,849 | ||||||
Dialog Semiconductor plc* | 720 | 22,673 | ||||||
Disco Corp. | 700 | 159,396 | ||||||
Infineon Technologies AG | 23,028 | 427,523 | ||||||
IQE plc* (a) | 80,000 | 41,372 | ||||||
Japan Material Co. Ltd.(a) | 3,900 | 57,405 | ||||||
Lasertec Corp. | 1,000 | 67,424 | ||||||
Melexis NV | 495 | 30,118 | ||||||
Mimasu Semiconductor Industry Co. Ltd. | 11,600 | 228,561 | ||||||
Nordic Semiconductor ASA* (a) | 13,828 | 81,727 | ||||||
Renesas Electronics Corp.* | 17,100 | 92,748 | ||||||
Rohm Co. Ltd. | 2,000 | 128,302 | ||||||
SCREEN Holdings Co. Ltd.(a) | 1,800 | 88,540 | ||||||
Shinko Electric Industries Co. Ltd. | 5,800 | 73,819 | ||||||
Siltronic AG | 1,016 | 87,223 | ||||||
SOITEC* | 816 | 74,987 | ||||||
STMicroelectronics NV | 15,333 | 398,191 | ||||||
SUMCO Corp. | 7,600 | 110,160 | ||||||
Tokyo Electron Ltd. | 3,500 | 750,830 | ||||||
Tower Semiconductor Ltd.* | 3,423 | 67,397 |
See Accompanying Notes to the Financial Statements.
146 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Semiconductors & Semiconductor Equipment – (continued) | ||||||||
Ulvac, Inc. | 1,700 | $ | 47,693 | |||||
6,381,115 | ||||||||
Software – 1.1% | ||||||||
Altium Ltd.(a) | 5,461 | 122,097 | ||||||
AVEVA Group plc | 2,580 | 116,178 | ||||||
BlackBerry Ltd.* | 8,682 | 37,130 | ||||||
Blue Prism Group plc* (a) | 4,832 | 79,111 | ||||||
Bravura Solutions Ltd. | 5,168 | 16,444 | ||||||
Constellation Software, Inc. | 460 | 443,302 | ||||||
Dassault Systemes SE | 2,927 | 428,154 | ||||||
Descartes Systems Group, Inc. (The)* | 4,000 | 168,501 | ||||||
Enghouse Systems Ltd. | 3,344 | 125,555 | ||||||
Fuji Soft, Inc. | 1,600 | 57,156 | ||||||
GB Group plc(a) | 1,064 | 9,059 | ||||||
Hilan Ltd.* | 1,569 | 62,337 | ||||||
Infomart Corp. | 5,300 | 37,172 | ||||||
IRESS Ltd. | 8,665 | 64,388 | ||||||
Kinaxis, Inc.* | 1,436 | 144,660 | ||||||
Lightspeed POS, Inc.* | 836 | 15,872 | ||||||
Micro Focus International plc | 12,369 | 75,153 | ||||||
Miroku Jyoho Service Co. Ltd. | 1,000 | 25,483 | ||||||
Nemetschek SE | 2,310 | 145,483 | ||||||
Nice Ltd.* | 1,538 | 257,138 | ||||||
Open Text Corp. | 7,353 | 278,461 | ||||||
Oracle Corp. Japan | 800 | 83,191 | ||||||
RIB Software SE | 2,138 | 67,817 | ||||||
Sage Group plc (The) | 21,375 | 172,553 | ||||||
SAP SE | 22,344 | 2,666,130 | ||||||
SimCorp A/S | 1,425 | 131,816 | ||||||
Software AG | 1,320 | 46,844 | ||||||
Systena Corp.(a) | 5,200 | 74,400 | ||||||
Technology One Ltd. | 7,884 | 49,036 | ||||||
Temenos AG (Registered)* (a) | 986 | 128,313 | ||||||
Trend Micro, Inc. | 2,500 | 127,881 | ||||||
WiseTech Global Ltd.(a) | 4,953 | 60,282 | ||||||
6,317,097 | ||||||||
Specialty Retail – 1.8% | ||||||||
ABC-Mart, Inc. | 700 | 36,069 | ||||||
Accent Group Ltd. | 18,000 | 13,906 |
Investments | Shares | Value | ||||||
Specialty Retail – (continued) | ||||||||
Alpen Co. Ltd.(a) | 10,600 | $ | 164,648 | |||||
AOKI Holdings, Inc. | 3,800 | 23,596 | ||||||
Aoyama Trading Co. Ltd. | 28,500 | 245,196 | ||||||
AP Eagers Ltd.(a) | 8,151 | 27,429 | ||||||
Arcland Sakamoto Co. Ltd. | 20,600 | 199,383 | ||||||
Autobacs Seven Co. Ltd. | 2,100 | 24,882 | ||||||
Bic Camera, Inc. | 4,100 | 38,494 | ||||||
Bilia AB, Class A(a) | 47,367 | 319,346 | ||||||
Carasso Motors Ltd. | 31,120 | 97,729 | ||||||
Card Factory plc(a) | 175,617 | 92,150 | ||||||
CECONOMY AG* | 101,574 | 259,222 | ||||||
Chiyoda Co. Ltd. | 2,800 | 27,205 | ||||||
Clas Ohlson AB, Class B | 5,460 | 47,824 | ||||||
DCM Holdings Co. Ltd.(a) | 2,400 | 23,700 | ||||||
Delek Automotive Systems Ltd. | 4,432 | 23,546 | ||||||
Dixons Carphone plc | 618,450 | 605,734 | ||||||
Dufry AG (Registered)(a) | 380 | 12,375 | ||||||
Dunelm Group plc | 2,604 | 30,234 | ||||||
EDION Corp. | 57,000 | 499,986 | ||||||
Fast Retailing Co. Ltd. | 1,400 | 674,241 | ||||||
Fenix Outdoor International AG | 369 | 29,581 | ||||||
Fielmann AG | 607 | 39,725 | ||||||
Fnac Darty SA* (a) | 11,571 | 372,861 | ||||||
Fox Wizel Ltd. | 3,116 | 117,605 | ||||||
Geo Holdings Corp.(a) | 21,500 | 284,495 | ||||||
GrandVision NV(a) (b) | 1,506 | 39,918 | ||||||
Hennes & Mauritz AB, Class B(a) | 19,494 | 271,837 | ||||||
Hikari Tsushin, Inc. | 600 | 117,773 | ||||||
Hornbach Holding AG & Co. KGaA | 4,902 | 279,196 | ||||||
Industria de Diseno Textil SA | 20,007 | 509,493 | ||||||
JB Hi-Fi Ltd.(a) | 2,881 | 66,319 | ||||||
JD Sports Fashion plc | 8,827 | 58,943 | ||||||
JINS Holdings, Inc. | 900 | 48,057 | ||||||
Joshin Denki Co. Ltd. | 17,100 | 335,971 | ||||||
Joyful Honda Co. Ltd. | 2,000 | 24,463 | ||||||
Kingfisher plc | 58,305 | 115,683 | ||||||
Kohnan Shoji Co. Ltd. | 17,100 | 400,735 | ||||||
Komeri Co. Ltd. | 17,100 | 335,332 | ||||||
K’s Holdings Corp. | 6,100 | 67,426 | ||||||
Leon’s Furniture Ltd. | 13,281 | 126,695 | ||||||
LIXIL VIVA Corp. | 12,200 | 210,492 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 147 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Specialty Retail – (continued) | ||||||||
Luk Fook Holdings International Ltd.(a) | 187,672 | $ | 400,891 | |||||
Nishimatsuya Chain Co. Ltd. | 1,300 | 10,406 | ||||||
Nitori Holdings Co. Ltd. | 2,300 | 355,319 | ||||||
Nojima Corp. | 22,800 | 400,202 | ||||||
PAL GROUP Holdings Co. Ltd. | 3,600 | 42,688 | ||||||
Pets at Home Group plc | 29,526 | 95,565 | ||||||
Premier Investments Ltd.(a) | 6,508 | 66,255 | ||||||
Sa Sa International Holdings Ltd.(a) | 215,601 | 40,326 | ||||||
Shimachu Co. Ltd. | 1,300 | 32,848 | ||||||
Shimamura Co. Ltd. | 1,700 | 108,103 | ||||||
SMCP SA* (a) (b) | 17,442 | 82,148 | ||||||
Super Retail Group Ltd.(a) | 71,307 | 296,448 | ||||||
T-Gaia Corp. | 1,000 | 20,124 | ||||||
United Arrows Ltd. | 4,400 | 70,031 | ||||||
USS Co. Ltd. | 6,200 | 99,144 | ||||||
Vivo Energy plc(b) | 768 | 757 | ||||||
VT Holdings Co. Ltd. | 45,700 | 127,781 | ||||||
Watches of Switzerland Group plc* (a) (c) | 54,720 | 172,553 | ||||||
WH Smith plc | 3,339 | 52,772 | ||||||
World Co. Ltd. | 11,600 | 138,308 | ||||||
Xebio Holdings Co. Ltd. | 7,600 | 63,822 | ||||||
Yamada Denki Co. Ltd. | 7,800 | 37,346 | ||||||
Yellow Hat Ltd. | 23,000 | 322,196 | ||||||
10,375,528 | ||||||||
Technology Hardware, Storage & Peripherals – 0.4% | ||||||||
Brother Industries Ltd. | 8,200 | 140,788 | ||||||
Canon, Inc. | 20,700 | 442,223 | ||||||
Eizo Corp.(a) | 1,400 | 42,549 | ||||||
Elecom Co. Ltd. | 800 | 31,795 | ||||||
FUJIFILM Holdings Corp. | 11,200 | 538,241 | ||||||
Konica Minolta, Inc. | 18,900 | 74,409 | ||||||
Logitech International SA (Registered) | 3,669 | 176,807 | ||||||
MCJ Co. Ltd. | 39,900 | 267,903 | ||||||
Quadient | 18,126 | 250,153 | ||||||
Ricoh Co. Ltd. | 20,500 | 141,862 | ||||||
Riso Kagaku Corp.(a) | 1,700 | 22,956 | ||||||
Seiko Epson Corp. | 8,300 | 95,237 |
Investments | Shares | Value | ||||||
Technology Hardware, Storage & Peripherals – (continued) | ||||||||
Toshiba TEC Corp. | 1,100 | $ | 36,209 | |||||
2,261,132 | ||||||||
Textiles, Apparel & Luxury Goods – 1.7% | ||||||||
adidas AG | 3,933 | 901,195 | ||||||
Asics Corp. | 5,200 | 50,232 | ||||||
Brunello Cucinelli SpA(a) | 1,556 | 50,072 | ||||||
Burberry Group plc | 9,975 | 174,889 | ||||||
Canada Goose Holdings, Inc.* (a) | 912 | 21,826 | ||||||
Chow Sang Sang Holdings International Ltd.(a) | 228,000 | 231,754 | ||||||
Cie Financiere Richemont SA (Registered) | 9,975 | 566,575 | ||||||
Coats Group plc | 98,856 | 57,358 | ||||||
Crystal International Group Ltd.(b) | 435,000 | 120,080 | ||||||
Delta Galil Industries Ltd. | 960 | 17,187 | ||||||
Descente Ltd.* | 2,400 | 32,431 | ||||||
EssilorLuxottica SA – IM | 2,578 | 316,253 | ||||||
EssilorLuxottica SA – MO | 3,236 | 399,276 | ||||||
Gildan Activewear, Inc. | 4,560 | 63,757 | ||||||
Goldwin, Inc.(a) | 1,900 | 103,586 | ||||||
Gunze Ltd. | 700 | 23,991 | ||||||
Hermes International | 685 | 501,037 | ||||||
HUGO BOSS AG | 2,107 | 58,572 | ||||||
Japan Wool Textile Co. Ltd. (The) | 7,600 | 67,376 | ||||||
Kering SA | 1,539 | 775,744 | ||||||
Kurabo Industries Ltd.(a) | 13,800 | 316,819 | ||||||
Li & Fung Ltd.(a) | 3,192,000 | 481,743 | ||||||
LVMH Moet Hennessy Louis Vuitton SE(a) | 5,757 | 2,222,424 | ||||||
Moncler SpA | 3,061 | 114,998 | ||||||
Onward Holdings Co. Ltd. | 79,800 | 252,978 | ||||||
Pacific Textiles Holdings Ltd. | 399,000 | 200,726 | ||||||
Pandora A/S(a) | 4,389 | 155,888 | ||||||
Puma SE* | 2,080 | 130,724 | ||||||
Regina Miracle International Holdings Ltd.(b) | 20,000 | 9,442 | ||||||
Samsonite International SA(b) | 59,400 | 50,187 | ||||||
Seiko Holdings Corp. | 17,400 | 293,376 | ||||||
Seiren Co. Ltd. | 32,100 | 383,633 |
See Accompanying Notes to the Financial Statements.
148 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Textiles, Apparel & Luxury Goods – (continued) | ||||||||
Stella International Holdings Ltd. | 342,500 | $ | 348,140 | |||||
Swatch Group AG (The) | 912 | 182,513 | ||||||
Swatch Group AG (The) (Registered) | 1,465 | 57,043 | ||||||
Tod’s SpA(a) | 245 | 7,498 | ||||||
TSI Holdings Co. Ltd. | 50,400 | 197,009 | ||||||
Wacoal Holdings Corp. | 1,500 | 30,649 | ||||||
Yondoshi Holdings, Inc.(a) | 1,400 | 22,898 | ||||||
Yue Yuen Industrial Holdings Ltd. | 22,000 | 35,360 | ||||||
10,027,239 | ||||||||
Thrifts & Mortgage Finance – 0.5% | ||||||||
Aareal Bank AG | 33,288 | 543,988 | ||||||
Deutsche Pfandbriefbank AG(b) | 76,437 | 562,190 | ||||||
Equitable Group, Inc.(a) | 5,871 | 287,432 | ||||||
Genworth Mortgage Insurance Australia Ltd. | 47,182 | 65,796 | ||||||
Home Capital Group, Inc.* | 7,524 | 100,919 | ||||||
OneSavings Bank plc | 220,403 | 678,333 | ||||||
Paragon Banking Group plc | 167,808 | 706,113 | ||||||
2,944,771 | ||||||||
Tobacco – 0.9% | ||||||||
British American Tobacco plc | 81,795 | 3,178,217 | ||||||
Imperial Brands plc | 31,578 | 668,761 | ||||||
Japan Tobacco, Inc. | 39,900 | 751,658 | ||||||
Scandinavian Tobacco Group A/S(b) | 33,802 | 389,604 | ||||||
Swedish Match AB | 4,446 | 275,668 | ||||||
5,263,908 | ||||||||
Trading Companies & Distributors – 2.1% | ||||||||
AddTech AB, Class B | 4,329 | 118,428 | ||||||
Advan Co. Ltd. | 6,400 | 65,056 | ||||||
Ashtead Group plc | 12,027 | 329,953 | ||||||
BayWa AG | 5,985 | 175,684 | ||||||
Beijer Ref AB | 3,795 | 78,797 | ||||||
Brenntag AG | 2,605 | 117,526 | ||||||
Bunzl plc | 7,752 | 168,915 | ||||||
Diploma plc | 6,602 | 143,648 | ||||||
Ferguson plc | 4,617 | 334,045 | ||||||
Finning International, Inc. | 4,111 | 52,300 |
Investments | Shares | Value | ||||||
Trading Companies & Distributors – (continued) | ||||||||
Grafton Group plc | 11,760 | $ | 94,193 | |||||
Hanwa Co. Ltd. | 27,000 | 437,060 | ||||||
Howden Joinery Group plc | 20,691 | 137,070 | ||||||
IMCD NV | 1,750 | 154,722 | ||||||
Inaba Denki Sangyo Co. Ltd. | 30,100 | 647,966 | ||||||
Inabata & Co. Ltd. | 27,000 | 304,503 | ||||||
Indutrade AB | 2,198 | 70,842 | ||||||
ITOCHU Corp.(a) | 58,100 | 1,154,557 | ||||||
Japan Pulp & Paper Co. Ltd. | 7,200 | 242,390 | ||||||
Kanamoto Co. Ltd.(a) | 23,923 | 470,026 | ||||||
Kanematsu Corp. | 57,000 | 570,346 | ||||||
Marubeni Corp. | 60,000 | 294,010 | ||||||
Mitani Corp. | 8,600 | 506,663 | ||||||
Mitsubishi Corp. | 57,000 | 1,225,978 | ||||||
Mitsui & Co. Ltd. | 57,800 | 818,340 | ||||||
MonotaRO Co. Ltd. | 2,800 | 90,859 | ||||||
Nagase & Co. Ltd. | 4,900 | 59,706 | ||||||
Nichiden Corp. | 11,400 | 218,544 | ||||||
Nippon Steel Trading Corp. | 600 | 19,161 | ||||||
Nishio Rent All Co. Ltd. | 12,500 | 260,906 | ||||||
Reece Ltd.(a) | 5,999 | 34,680 | ||||||
Rexel SA | 4,641 | 43,462 | ||||||
Richelieu Hardware Ltd. | 1,340 | 25,508 | ||||||
Russel Metals, Inc.(a) | 41,952 | 455,478 | ||||||
Seven Group Holdings Ltd.(a) | 10,640 | 106,650 | ||||||
SIG plc | 398,943 | 120,770 | ||||||
Sojitz Corp. | 47,300 | 111,466 | ||||||
Sumitomo Corp. | 42,100 | 483,657 | ||||||
Toromont Industries Ltd. | 3,554 | 167,343 | ||||||
Toyota Tsusho Corp. | 6,600 | 159,731 | ||||||
Travis Perkins plc | 9,462 | 124,063 | ||||||
Wakita & Co. Ltd.(a) | 22,800 | 212,787 | ||||||
Yamazen Corp. | 53,500 | 456,277 | ||||||
Yuasa Trading Co. Ltd. | 11,400 | 310,972 | ||||||
12,175,038 | ||||||||
Transportation Infrastructure – 0.3% | ||||||||
Aena SME SA* (b) | 1,425 | 180,273 | ||||||
Aeroports de Paris | 1,061 | 103,893 | ||||||
ASTM SpA | 3,971 | 77,420 | ||||||
Atlantia SpA | 9,633 | 156,735 | ||||||
Atlas Arteria Ltd.(a) | 33,187 | 135,797 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 149 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Transportation Infrastructure – (continued) | ||||||||
Auckland International Airport Ltd.(a) | 22,876 | $ | 85,950 | |||||
Enav SpA(b) | 12,657 | 56,700 | ||||||
Flughafen Zurich AG (Registered)* | 320 | 39,488 | ||||||
Fraport AG Frankfurt Airport Services Worldwide | 890 | 39,032 | ||||||
Getlink SE | 11,489 | 146,351 | ||||||
Hamburger Hafen und Logistik AG | 1,220 | 19,884 | ||||||
James Fisher & Sons plc | 1,322 | 22,578 | ||||||
Kamigumi Co. Ltd. | 800 | 14,237 | ||||||
Port of Tauranga Ltd.(a) | 5,225 | 21,695 | ||||||
Qube Holdings Ltd.(a) (d) | 72,230 | 104,509 | ||||||
SATS Ltd. | 19,000 | 44,271 | ||||||
Signature Aviation plc | 24,573 | 60,673 | ||||||
Sumitomo Warehouse Co. Ltd. (The) | 7,600 | 88,270 | ||||||
Sydney Airport | 35,910 | 148,115 | ||||||
Transurban Group | 47,687 | 430,845 | ||||||
Westshore Terminals Investment Corp.(a) | 2,626 | 28,208 | ||||||
2,004,924 | ||||||||
Water Utilities – 0.1% | ||||||||
Pennon Group plc | 4,356 | 60,219 | ||||||
Severn Trent plc | 6,840 | 206,200 | ||||||
United Utilities Group plc | 14,535 | 165,407 | ||||||
431,826 | ||||||||
Wireless Telecommunication Services – 1.4% | ||||||||
1&1 Drillisch AG | 987 | 22,962 | ||||||
Freenet AG | 2,198 | 41,661 | ||||||
KDDI Corp. | 58,800 | 1,709,536 | ||||||
Millicom International Cellular SA, SDR(a) | 1,924 | 50,625 | ||||||
NTT DOCOMO, Inc. | 26,400 | 777,175 | ||||||
Okinawa Cellular Telephone Co. | 8,500 | 328,681 | ||||||
Rogers Communications, Inc., Class B | 8,835 | 370,842 | ||||||
SmarTone Telecommunications Holdings Ltd. | 4,740 | 3,002 |
Investments | Shares | Value | ||||||
Wireless Telecommunication Services – (continued) | ||||||||
Softbank Corp.(a) | 34,300 | $ | 469,586 | |||||
SoftBank Group Corp. | 60,282 | 2,611,741 | ||||||
StarHub Ltd. | 17,700 | 18,735 | ||||||
Tele2 AB, Class B | 13,284 | 172,184 | ||||||
VEON Ltd. | 33,090 | 56,757 | ||||||
Vodafone Group plc | 940,671 | 1,330,558 | ||||||
7,964,045 | ||||||||
Total Common Stocks (Cost $641,446,601) | 563,172,456 | |||||||
Number of Rights | ||||||||
RIGHTS – 0.0%(e) | ||||||||
Diversified Consumer Services – 0.0%(e) | ||||||||
G8 Education Ltd., expiring 5/1/2020, price 0.80 AUD* (d) | 13,052 | 684 | ||||||
Hotels, Restaurants & Leisure – 0.0%(e) | ||||||||
Flight Centre Travel Group Ltd., expiring 5/1/2020, price 7.20 AUD* (d) | 1,791 | 4,444 | ||||||
Metals & Mining – 0.0%(e) | ||||||||
Pan American Silver Corp., CVR* | 41,840 | 20,083 | ||||||
Specialty Retail – 0.0%(e) | ||||||||
Carasso Motors Ltd., expiring 5/6/2020, price 9.60 ILS* (d) | 43 | 1,612 | ||||||
Total Rights (Cost $14,461) | 26,823 | |||||||
Shares | ||||||||
CLOSED END FUNDS – 0.0%(e) | ||||||||
Equity Real Estate Investment Trusts (REITs) – 0.0%(e) | ||||||||
UK Commercial Property REIT Ltd. | 18,880 | 16,074 |
See Accompanying Notes to the Financial Statements.
150 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
SECURITIES LENDING REINVESTMENTS(f) – 1.7% | ||||||||
REPURCHASE AGREEMENTS – 1.7% | ||||||||
Citigroup Global Markets, Inc., 0.02%, dated 4/30/2020, due 5/1/2020, repurchase price $907,179, collateralized by various U.S. Treasury Securities, ranging from 0.75% – 4.38%, maturing 8/15/2040 – 2/15/2046; total market value $914,107 | $ | 907,178 | $ | 907,178 | ||||
NBC Global Finance Ltd., 0.21%, dated 4/30/2020, due 5/1/2020, repurchase price $700,004, collateralized by various U.S. Treasury Securities, 2.88%, maturing 8/15/2028; Common Stocks; total market value $769,209 | 700,000 | 700,000 | ||||||
Societe Generale, 0.20%, dated 4/30/2020, due 5/1/2020, repurchase price $8,300,046, collateralized by various U.S. Treasury Securities, ranging from 1.13% – 2.88%, maturing 2/28/2021 – 2/15/2046; Common Stocks; total market value $9,018,617 | 8,300,000 | 8,300,000 | ||||||
9,907,178 | ||||||||
Total Securities Lending Reinvestments (Cost $9,907,178) |
| 9,907,178 | ||||||
Total Investments – 99.3% (Cost $651,389,588) | 573,122,531 | |||||||
Other Assets Less Liabilities – 0.7% |
| 4,075,375 | ||||||
NET ASSETS – 100.0% | $ | 577,197,906 |
* | Non-income producing security. |
‡ | Value determined using significant unobservable inputs. |
(a) | The security or a portion of this security is on loan at April 30, 2020. The total value of securities on loan at April 30, 2020 was $52,910,474, collateralized in the form of cash with a value of $9,907,178 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Investments; $14,726,153 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% – 8.00%, and maturity dates ranging from May 15, 2020 – August 15, 2049 and $32,444,847 of collateral in the form of Foreign Government Fixed Income Securities, interest rates ranging from 0.00% – 6.50%, and maturity dates ranging from May 11, 2020 – September 20, 2117; a total value of $57,078,178. |
(b) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
(c) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined by valuations supplied by a pricing service or brokers, or, if not available, in accordance with procedures established by the Board of Trustees. |
(d) | Security fair valued as of April 30, 2020 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at April 30, 2020 amounted to $361,746, which represents approximately 0.06% of net assets of the Fund. |
(e) | Represents less than 0.05% of net assets. |
(f) | The security was purchased with cash collateral held from securities on loan at April 30, 2020. The total value of securities purchased was $9,907,178. |
Percentages shown are based on Net Assets.
Abbreviations
AUD – Australian Dollar
CHDI – Clearing House Electronic Subregister System (CHESS) Depository Interest
CVA – Dutch Certification
CVR – Contingent Value Rights
DI – Depositary Interest
FDR – Fiduciary Depositary Receipt
ILS – Israeli Shekel
OYJ –Public Limited Company
Preference – A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.
SCA – Limited partnership with share capital
SDR – Swedish Depositary Receipt
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 151 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
As of April 30, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 70,444,313 | ||
Aggregate gross unrealized depreciation | (156,147,839 | ) | ||
Net unrealized depreciation | $ | (85,703,526 | ) | |
Federal income tax cost | $ | 660,041,985 |
Futures Contracts
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund had the following open futures contracts as of April 30, 2020:
Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value and Unrealized Appreciation* | ||||||||||||||||
Long Contracts |
| |||||||||||||||||||
EURO STOXX 50 Index | 146 | 06/19/2020 | EUR | $ | 4,616,711 | $ | 489,910 | |||||||||||||
FTSE 100 Index | 36 | 06/19/2020 | GBP | 2,672,296 | 218,081 | |||||||||||||||
Hang Seng Index | 2 | 05/28/2020 | HKD | 316,059 | 7,605 | |||||||||||||||
S&P/TSX 60 Index | 13 | 06/18/2020 | CAD | 1,662,637 | 173,333 | |||||||||||||||
SGX Nikkei 225 Index | 34 | 06/11/2020 | JPY | 3,197,784 | 281,798 | |||||||||||||||
SPI 200 Index | 9 | 06/18/2020 | AUD | 816,084 | 68,737 | |||||||||||||||
$ | 1,239,464 |
* | This amount represents the cumulative appreciation/depreciation on futures contracts. Current day’s variation margin is reported within the Statement of Assets and Liabilities for futures contracts. |
Forward Foreign Currency Contracts
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund had the following outstanding contracts as of April 30, 2020:
Contracts to Receive | Counterparty | In Exchange For | Maturity Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
AUD | 300,372 | Citibank NA | USD | 194,903 | 06/17/2020 | $ | 1,779 | |||||||||||||||
AUD | 677,387 | JPMorgan Chase Bank | USD | 411,874 | 06/17/2020 | 31,674 | ||||||||||||||||
AUD | 215,222 | Morgan Stanley | USD | 131,819 | 06/17/2020 | 9,107 | ||||||||||||||||
AUD | 717,283 | Toronto-Dominion Bank (The) | USD | 458,345 | 06/17/2020 | 11,328 | ||||||||||||||||
CAD | 1,414,528 | Morgan Stanley | USD | 1,016,563 | 06/17/2020 | 2,002 | ||||||||||||||||
CHF | 122,193 | Morgan Stanley | USD | 126,581 | 06/17/2020 | 186 | ||||||||||||||||
CHF | 400,095 | Toronto-Dominion Bank (The) | USD | 414,766 | 06/17/2020 | 307 | ||||||||||||||||
EUR | 1,046,229 | Morgan Stanley | USD | 1,145,923 | 06/17/2020 | 1,068 | ||||||||||||||||
EUR | 200,149 | Toronto-Dominion Bank (The) | USD | 218,092 | 06/17/2020 | 1,334 | ||||||||||||||||
GBP | 148,626 | JPMorgan Chase Bank | USD | 186,066 | 06/17/2020 | 1,439 | ||||||||||||||||
GBP | 874,891 | Morgan Stanley | USD | 1,093,885 | 06/17/2020 | 9,868 | ||||||||||||||||
GBP | 479,144 | Toronto-Dominion Bank (The) | USD | 595,646 | 06/17/2020 | 8,837 | ||||||||||||||||
HKD | 2,212,375 | Citibank NA | USD | 285,192 | 06/17/2020 | 11 | ||||||||||||||||
HKD | 6,374,199 | Morgan Stanley | USD | 818,951 | 06/17/2020 | 2,765 | ||||||||||||||||
ILS | 637,129 | Morgan Stanley | USD | 177,576 | 06/17/2020 | 6,231 | ||||||||||||||||
JPY | 26,791,247 | JPMorgan Chase Bank | USD | 247,630 | 06/17/2020 | 3,075 |
See Accompanying Notes to the Financial Statements.
152 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Forward Foreign Currency Contracts (cont.)
Contracts to Receive | Counterparty | In Exchange For | Maturity Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
SEK | 2,598,567 | Morgan Stanley | USD | 259,713 | 06/17/2020 | $ | 6,450 | |||||||||||||||
SEK | 2,990,221 | Toronto-Dominion Bank (The) | USD | 301,757 | 06/17/2020 | 4,522 | ||||||||||||||||
USD | 1,740,232 | Citibank NA | CHF | 1,646,371 | 06/17/2020 | 32,227 | ||||||||||||||||
USD | 204,595 | Goldman Sachs & Co. | DKK | 1,368,665 | 06/17/2020 | 3,452 | ||||||||||||||||
USD | 237,327 | JPMorgan Chase Bank | EUR | 214,445 | 06/17/2020 | 2,228 | ||||||||||||||||
USD | 171,638 | Morgan Stanley | EUR | 154,246 | 06/17/2020 | 2,537 | ||||||||||||||||
USD | 530,313 | Toronto-Dominion Bank (The) | EUR | 481,003 | 06/17/2020 | 2,984 | ||||||||||||||||
USD | 1,163,153 | Citibank NA | HKD | 9,020,085 | 06/17/2020 | 348 | ||||||||||||||||
USD | 581,932 | Morgan Stanley | JPY | 61,234,902 | 06/17/2020 | 8,914 | ||||||||||||||||
USD | 20,397 | Goldman Sachs & Co. | SEK | 199,095 | 06/17/2020 | 4 | ||||||||||||||||
USD | 2,750 | Citibank NA | SGD | 3,828 | 06/17/2020 | 30 | ||||||||||||||||
Total unrealized appreciation |
| $ | 154,707 | |||||||||||||||||||
CHF | 569,032 | Morgan Stanley | USD | 599,955 | 06/17/2020 | $ | (9,620 | ) | ||||||||||||||
CHF | 522,756 | Toronto-Dominion Bank (The) | USD | 545,597 | 06/17/2020 | (3,270 | ) | |||||||||||||||
EUR | 950,715 | JPMorgan Chase Bank | USD | 1,061,686 | 06/17/2020 | (19,407 | ) | |||||||||||||||
EUR | 512,088 | Toronto-Dominion Bank (The) | USD | 566,689 | 06/17/2020 | (5,282 | ) | |||||||||||||||
JPY | 110,060,033 | Citibank NA | USD | 1,029,947 | 06/17/2020 | (38 | ) | |||||||||||||||
JPY | 300,180,633 | Morgan Stanley | USD | 2,811,690 | 06/17/2020 | (2,690 | ) | |||||||||||||||
JPY | 60,491,331 | Toronto-Dominion Bank (The) | USD | 566,220 | 06/17/2020 | (160 | ) | |||||||||||||||
NOK | 4,088,978 | Goldman Sachs & Co. | USD | 408,701 | 06/17/2020 | (8,486 | ) | |||||||||||||||
USD | 208,834 | JPMorgan Chase Bank | AUD | 347,682 | 06/17/2020 | (18,826 | ) | |||||||||||||||
USD | 586,166 | Morgan Stanley | AUD | 933,492 | 06/17/2020 | (25,079 | ) | |||||||||||||||
USD | 279,253 | JPMorgan Chase Bank | CAD | 397,671 | 06/17/2020 | (7,100 | ) | |||||||||||||||
USD | 447,209 | Toronto-Dominion Bank (The) | CAD | 637,559 | 06/17/2020 | (11,880 | ) | |||||||||||||||
USD | 206,051 | JPMorgan Chase Bank | CHF | 201,213 | 06/17/2020 | (2,695 | ) | |||||||||||||||
USD | 891,366 | JPMorgan Chase Bank | EUR | 820,252 | 06/17/2020 | (7,884 | ) | |||||||||||||||
USD | 114,848 | JPMorgan Chase Bank | GBP | 92,672 | 06/17/2020 | (2,066 | ) | |||||||||||||||
USD | 435,707 | Morgan Stanley | GBP | 346,876 | 06/17/2020 | (1,908 | ) | |||||||||||||||
USD | 200,101 | BNP Paribas SA | HKD | 1,552,362 | 06/17/2020 | (19 | ) | |||||||||||||||
USD | 276,812 | Citibank NA | HKD | 2,150,633 | 06/17/2020 | (432 | ) | |||||||||||||||
USD | 237,439 | Toronto-Dominion Bank (The) | HKD | 1,843,584 | 06/17/2020 | (223 | ) | |||||||||||||||
USD | 380,029 | Bank of New York | ILS | 1,346,332 | 06/17/2020 | (8,377 | ) | |||||||||||||||
USD | 532,412 | JPMorgan Chase Bank | JPY | 57,057,863 | 06/17/2020 | (1,519 | ) | |||||||||||||||
USD | 1,904,386 | Morgan Stanley | JPY | 205,056,792 | 06/17/2020 | (14,474 | ) | |||||||||||||||
USD | 1,787,435 | Toronto-Dominion Bank (The) | JPY | 192,192,915 | 06/17/2020 | (11,048 | ) | |||||||||||||||
USD | 110,639 | Morgan Stanley | NOK | 1,148,420 | 06/17/2020 | (1,764 | ) | |||||||||||||||
USD | 142,878 | Toronto-Dominion Bank (The) | NOK | 1,490,001 | 06/17/2020 | (2,958 | ) | |||||||||||||||
USD | 225,730 | JPMorgan Chase Bank | NZD | 378,159 | 06/17/2020 | (7,509 | ) | |||||||||||||||
USD | 176,741 | Morgan Stanley | SEK | 1,735,117 | 06/17/2020 | (981 | ) | |||||||||||||||
USD | 363,568 | Citibank NA | SGD | 515,283 | 06/17/2020 | (2,548 | ) | |||||||||||||||
Total unrealized depreciation |
| $ | (178,243 | ) | ||||||||||||||||||
Net unrealized depreciation |
| $ | (23,536 | ) |
Abbreviations:
AUD – Australian Dollar
CAD – Canadian Dollar
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 153 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
CHF – Swiss Franc
DKK – Danish Krone
EUR – Euro
GBP – British Pound
HKD – Hong Kong Dollar
ILS – Israeli Shekel
JPY – Japanese Yen
NOK – Norwegian Krone
NZD – New Zealand Dollar
SEK – Swedish Krona
SGD – Singapore Dollar
USD – US Dollar
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund invested, as a percentage of net assets, in companies domiciled in the following countries as of April 30, 2020:
Australia | 4.3 | % | ||
Austria | 0.2 | |||
Belgium | 0.9 | |||
Canada | 8.5 | |||
Denmark | 1.5 | |||
Finland | 0.9 | |||
France | 6.8 | |||
Germany | 6.3 | |||
Hong Kong | 3.2 | |||
Ireland | 0.3 | |||
Israel | 1.0 | |||
Italy | 2.4 | |||
Japan | 30.5 | |||
Netherlands | 2.7 | |||
New Zealand | 0.4 | |||
Norway | 0.9 | |||
Portugal | 0.2 | |||
Singapore | 1.2 | |||
Spain | 2.1 | |||
Sweden | 2.9 | |||
Switzerland | 5.8 | |||
United Kingdom | 14.6 | |||
Other1 | 2.4 | |||
100.0 | % |
1 | Includes any non-equity securities, securities lending reinvestments and net other assets (liabilities). |
See Accompanying Notes to the Financial Statements.
154 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Schedule of Investments
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund
April 30, 2020 (Unaudited)
Investments | Shares | Value | ||||||
COMMON STOCKS – 98.4% | ||||||||
Aerospace & Defense – 0.2% | ||||||||
Aselsan Elektronik Sanayi ve Ticaret A/S | 11,836 | $ | 45,959 | |||||
AviChina Industry & Technology Co. Ltd., Class H(a) | 70,000 | 27,630 | ||||||
Bharat Electronics Ltd. | 17,280 | 16,591 | ||||||
Embraer SA* | 16,500 | 26,366 | ||||||
Hanwha Aerospace Co. Ltd.* | 899 | 19,847 | ||||||
Korea Aerospace Industries Ltd. | 1,698 | 35,745 | ||||||
LIG Nex1 Co. Ltd. | 430 | 9,211 | ||||||
United Aircraft Corp. PJSC* ^ | 25,155,036 | 174,166 | ||||||
355,515 | ||||||||
Air Freight & Logistics – 0.4% | ||||||||
BEST, Inc., ADR* (a) | 4,700 | 25,239 | ||||||
Gulf Warehousing Co. | 2,888 | 3,879 | ||||||
Hyundai Glovis Co. Ltd. | 935 | 77,888 | ||||||
Imperial Logistics Ltd. | 119,515 | 211,893 | ||||||
Kerry TJ Logistics Co. Ltd. | 14,000 | 19,279 | ||||||
Sinotrans Ltd., Class H(a) | 1,375,000 | 335,221 | ||||||
ZTO Express Cayman, Inc., | 8,910 | 265,161 | ||||||
938,560 | ||||||||
Airlines – 0.6% | ||||||||
Aegean Airlines SA | 18,755 | 120,789 | ||||||
Aeroflot PJSC | 34,339 | 35,180 | ||||||
Air Arabia PJSC | 1,500,730 | 465,773 | ||||||
Air China Ltd., Class H | 108,000 | 77,597 | ||||||
AirAsia Group Bhd. | 129,200 | 24,488 | ||||||
Asiana Airlines, Inc.* | 2,987 | 10,223 | ||||||
Azul SA (Preference)* | 5,500 | 17,679 | ||||||
Cebu Air, Inc. | 135,900 | 130,346 | ||||||
China Airlines Ltd. | 87,000 | 24,137 | ||||||
China Eastern Airlines Corp. Ltd., Class H(a) | 110,000 | 45,831 | ||||||
China Southern Airlines Co. Ltd., Class H(a) | 86,000 | 42,932 | ||||||
Eva Airways Corp. | 142,798 | 55,224 |
Investments | Shares | Value | ||||||
Airlines – (continued) | ||||||||
Garuda Indonesia Persero Tbk. PT* | 2,326,500 | $ | 29,404 | |||||
Gol Linhas Aereas Inteligentes SA (Preference)* | 3,500 | 8,017 | ||||||
Hanjin Kal Corp. | 1,043 | 74,472 | ||||||
InterGlobe Aviation Ltd.(b) | 765 | 10,139 | ||||||
Jeju Air Co. Ltd.* | 755 | 12,672 | ||||||
Korean Air Lines Co. Ltd.* | 2,310 | 37,538 | ||||||
Latam Airlines Group SA | 6,202 | 23,407 | ||||||
Pegasus Hava Tasimaciligi A/S* | 2,356 | 17,865 | ||||||
SpiceJet Ltd.* | 7,072 | 4,219 | ||||||
Turk Hava Yollari AO* | 35,090 | 53,668 | ||||||
1,321,600 | ||||||||
Auto Components – 0.9% | ||||||||
Apollo Tyres Ltd. | 1,052 | 1,349 | ||||||
Balkrishna Industries Ltd. | 938 | 11,676 | ||||||
Bharat Forge Ltd. | 6,966 | 28,682 | ||||||
Bosch Ltd. | 228 | 32,221 | ||||||
Cheng Shin Rubber Industry Co. Ltd. | 55,000 | 63,903 | ||||||
China First Capital Group Ltd.* | 66,000 | 1,830 | ||||||
Cub Elecparts, Inc. | 2,949 | 14,330 | ||||||
Depo Auto Parts Ind Co. Ltd. | 55,000 | 87,300 | ||||||
Endurance Technologies Ltd.(b) | 1,456 | 13,129 | ||||||
Exide Industries Ltd. | 5,676 | 11,886 | ||||||
Fuyao Glass Industry Group Co. Ltd., Class H(b) | 14,400 | 31,763 | ||||||
Halla Holdings Corp. | 5,225 | 129,076 | ||||||
Hankook Technology Group Co. Ltd. | 2,460 | 20,392 | ||||||
Hankook Tire & Technology Co. Ltd. | 3,630 | 63,308 | ||||||
Hanon Systems | 4,400 | 32,970 | ||||||
Hota Industrial Manufacturing Co. Ltd. | 1,826 | 5,858 | ||||||
Hyundai Mobis Co. Ltd. | 3,025 | 427,018 | ||||||
Hyundai Wia Corp. | 618 | 16,662 | ||||||
Kenda Rubber Industrial Co. Ltd. | 29,307 | 26,167 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 155 |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Auto Components – (continued) | ||||||||
Korea Autoglass Corp. | 6,105 | $ | 66,639 | |||||
Kumho Tire Co., Inc.* | 3,552 | 8,920 | ||||||
Mando Corp. | 1,595 | 30,959 | ||||||
Minth Group Ltd.(a) | 22,000 | 52,841 | ||||||
Motherson Sumi Systems Ltd. | 24,184 | 28,195 | ||||||
MRF Ltd. | 36 | 29,008 | ||||||
Nan Kang Rubber Tire Co. Ltd. | 20,000 | 27,105 | ||||||
Nemak SAB de CV(b) | 364,600 | 68,908 | ||||||
Nexen Tire Corp. | 1,545 | 7,266 | ||||||
S&T Motiv Co. Ltd. | 5,390 | 158,809 | ||||||
Sebang Global Battery Co. Ltd. | 4,510 | 106,971 | ||||||
SL Corp. | 1,545 | 16,801 | ||||||
Sundram Fasteners Ltd. | 3,224 | 14,264 | ||||||
Tianneng Power International | 440,000 | 428,515 | ||||||
WABCO India Ltd. | 172 | 14,305 | ||||||
Xinyi Glass Holdings Ltd. | 110,000 | 127,845 | ||||||
2,206,871 | ||||||||
Automobiles – 1.3% | ||||||||
Astra International Tbk. PT | 407,000 | 105,341 | ||||||
BAIC Motor Corp. Ltd., Class H(b) | 1,017,500 | 448,877 | ||||||
Bajaj Auto Ltd. | 1,705 | 59,561 | ||||||
Brilliance China Automotive Holdings Ltd. | 110,000 | 102,304 | ||||||
BYD Co. Ltd., Class H(a) | 13,000 | 81,833 | ||||||
China Motor Corp. | 5,400 | 5,802 | ||||||
Dongfeng Motor Group Co. Ltd., Class H | 116,000 | 77,060 | ||||||
DRB-Hicom Bhd. | 7,300 | 2,394 | ||||||
Eicher Motors Ltd. | 277 | 54,253 | ||||||
Ford Otomotiv Sanayi A/S | 4,129 | 37,394 | ||||||
Geely Automobile Holdings Ltd. | 220,000 | 343,947 | ||||||
Great Wall Motor Co. Ltd., Class H(a) | 137,500 | 91,875 | ||||||
Guangzhou Automobile Group Co. Ltd., Class H(a) | 110,000 | 99,183 | ||||||
Hero MotoCorp Ltd. | 2,255 | 65,063 |
Investments | Shares | Value | ||||||
Automobiles – (continued) | ||||||||
Hyundai Motor Co. | 6,215 | $ | 477,430 | |||||
Hyundai Motor Co. (2nd Preference) | 1,540 | 74,065 | ||||||
Hyundai Motor Co. (3rd Preference) | 54 | 2,526 | ||||||
Hyundai Motor Co. (Preference) | 880 | 41,095 | ||||||
Kia Motors Corp. | 12,045 | 293,105 | ||||||
Mahindra & Mahindra Ltd. | 14,025 | 68,477 | ||||||
Maruti Suzuki India Ltd. | 2,475 | 176,617 | ||||||
NIO, Inc., ADR* (a) | 15,200 | 51,832 | ||||||
Oriental Holdings Bhd. | 22,800 | 26,671 | ||||||
Tata Motors Ltd.* | 21,126 | 26,233 | ||||||
Tata Motors Ltd., Class A* | 13,101 | 6,935 | ||||||
Tofas Turk Otomobil Fabrikasi A/S | 6,639 | 21,220 | ||||||
TVS Motor Co. Ltd. | 3,564 | 15,583 | ||||||
UMW Holdings Bhd. | 20,800 | 10,303 | ||||||
Yadea Group Holdings Ltd.(a) (b) | 660,000 | 248,596 | ||||||
3,115,575 | ||||||||
Banks – 13.1% | ||||||||
Absa Group Ltd.(a) | 31,350 | 155,854 | ||||||
Abu Dhabi Commercial Bank PJSC | 124,795 | 150,851 | ||||||
Abu Dhabi Islamic Bank PJSC | 49,610 | 48,488 | ||||||
AFFIN Bank Bhd.* | 38,816 | 13,721 | ||||||
Agricultural Bank of China Ltd., Class H | 1,265,000 | 531,955 | ||||||
Akbank T.A.S.* | 91,693 | 77,269 | ||||||
Akbank T.A.S., ADR* | 20,016 | 32,626 | ||||||
Al Khalij Commercial Bank PQSC | 1,147,960 | 397,262 | ||||||
Al Rajhi Bank | 25,025 | 381,206 | ||||||
Alinma Bank* | 20,900 | 88,832 | ||||||
Alior Bank SA* | 2,987 | 10,870 | ||||||
Alliance Bank Malaysia Bhd. | 73,800 | 33,467 | ||||||
Alpha Bank AE* | 29,150 | 21,296 | ||||||
AMMB Holdings Bhd. | 82,500 | 57,174 | ||||||
AU Small Finance Bank Ltd.(b) | 2,288 | 16,582 | ||||||
Axis Bank Ltd. | 40,700 | 241,127 | ||||||
Banco Bradesco SA | 27,751 | 90,020 |
See Accompanying Notes to the Financial Statements.
156 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Banks – (continued) | ||||||||
Banco Bradesco SA (Preference) | 90,900 | $ | 321,566 | |||||
Banco Davivienda SA (Preference) | 433 | 3,173 | ||||||
Banco de Bogota SA | 4,730 | 77,231 | ||||||
Banco de Chile | 818,290 | 72,043 | ||||||
Banco de Credito e Inversiones SA | 1,155 | 42,828 | ||||||
Banco del Bajio SA(b) | 25,800 | 20,588 | ||||||
Banco do Brasil SA* | 49,500 | 260,608 | ||||||
Banco do Estado do Rio Grande do Sul SA (Preference), Class B | 11,000 | 25,482 | ||||||
Banco Santander Chile | 1,393,590 | 59,763 | ||||||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand | 40,000 | 22,545 | ||||||
Bancolombia SA | 6,270 | 40,503 | ||||||
Bancolombia SA (Preference) | 10,340 | 68,271 | ||||||
Bandhan Bank Ltd.(b) | 8,208 | 28,675 | ||||||
Bangkok Bank PCL, NVDR | 22,000 | 70,716 | ||||||
Bank Al Habib Ltd. | 577,500 | 207,162 | ||||||
Bank AlBilad | 8,745 | 53,006 | ||||||
Bank Alfalah Ltd. | 770,000 | 144,662 | ||||||
Bank Al-Jazira | 13,908 | 44,372 | ||||||
Bank Central Asia Tbk. PT | 231,000 | 401,435 | ||||||
Bank Mandiri Persero Tbk. PT | 374,000 | 112,137 | ||||||
Bank Millennium SA* | 25,240 | 17,151 | ||||||
Bank Negara Indonesia Persero Tbk. PT | 313,500 | 86,410 | ||||||
Bank of Ayudhya PCL, NVDR | 66,000 | 44,061 | ||||||
Bank of Baroda* | 41,116 | 26,938 | ||||||
Bank of China Ltd., Class H | 3,465,000 | 1,327,475 | ||||||
Bank of Chongqing Co. Ltd., Class H | 330,000 | 177,507 | ||||||
Bank of Communications Co. Ltd., Class H | 959,000 | 608,626 | ||||||
Bank of the Philippine Islands | 40,150 | 46,593 | ||||||
Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk. PT | 249,600 | 13,508 |
Investments | Shares | Value | ||||||
Banks – (continued) | ||||||||
Bank Pembangunan Daerah Jawa Timur Tbk. PT | 1,969,000 | $ | 74,127 | |||||
Bank Polska Kasa Opieki SA | 2,860 | 35,899 | ||||||
Bank Rakyat Indonesia Persero Tbk. PT | 1,089,000 | 199,864 | ||||||
Bank Tabungan Negara Persero Tbk. PT | 192,100 | 11,365 | ||||||
Bank Tabungan Pensiunan Nasional Syariah Tbk. PT | 91,200 | 13,427 | ||||||
Banque Saudi Fransi | 9,735 | 80,239 | ||||||
BDO Unibank, Inc. | 39,600 | 79,341 | ||||||
BIMB Holdings Bhd. | 15,380 | 11,303 | ||||||
BNK Financial Group, Inc. | 13,530 | 56,077 | ||||||
BOC Hong Kong Holdings Ltd. | 165,000 | 507,620 | ||||||
Canara Bank* | 9,256 | 10,834 | ||||||
Capitec Bank Holdings Ltd. | 1,430 | 70,235 | ||||||
Chang Hwa Commercial Bank Ltd. | 120,344 | 79,321 | ||||||
China Banking Corp. | 718,074 | 281,190 | ||||||
China CITIC Bank Corp. Ltd., Class H | 495,000 | 241,998 | ||||||
China Construction Bank Corp., Class H | 4,400,000 | 3,587,041 | ||||||
China Everbright Bank Co. Ltd., Class H | 165,000 | 70,024 | ||||||
China Merchants Bank Co. Ltd., Class H | 165,000 | 790,696 | ||||||
China Minsheng Banking Corp. Ltd., Class H(a) | 275,000 | 205,744 | ||||||
Chongqing Rural Commercial Bank Co. Ltd., Class H* | 1,485,000 | 649,371 | ||||||
CIMB Group Holdings Bhd. | 137,500 | 110,320 | ||||||
City Union Bank Ltd. | 9,675 | 18,598 | ||||||
Commercial Bank PSQC (The) | 38,500 | 42,296 | ||||||
Commercial International Bank Egypt SAE | 30,965 | 125,728 | ||||||
Credicorp Ltd. | 1,375 | 204,902 | ||||||
Credit Agricole Egypt SAE | 6,777 | 12,035 | ||||||
Credit Bank of Moscow PJSC | 435,690 | 32,110 | ||||||
CTBC Financial Holding Co. Ltd. | 880,000 | 591,865 | ||||||
DCB Bank Ltd. | 1,720 | 1,846 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 157 |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Banks – (continued) | ||||||||
DGB Financial Group, Inc. | 6,764 | $ | 29,255 | |||||
Doha Bank QPSC* | 63,286 | 35,076 | ||||||
Dubai Islamic Bank PJSC | 82,500 | 82,430 | ||||||
E.Sun Financial Holding Co. Ltd. | 253,721 | 232,932 | ||||||
Emirates NBD Bank PJSC | 58,190 | 136,243 | ||||||
Eurobank Ergasias Services and Holdings SA* | 110,660 | 44,628 | ||||||
Far Eastern International Bank | 123,013 | 44,057 | ||||||
Federal Bank Ltd. | 45,798 | 29,762 | ||||||
First Abu Dhabi Bank PJSC | 84,590 | 267,143 | ||||||
First Financial Holding Co. Ltd. | 224,120 | 166,188 | ||||||
Grupo Aval Acciones y Valores SA (Preference) | 168,135 | 36,247 | ||||||
Grupo Bolivar SA | 22,110 | 327,731 | ||||||
Grupo Elektra SAB de CV(a) | 1,375 | 79,986 | ||||||
Grupo Financiero Banorte SAB de CV, Class O(a) | 110,000 | 304,498 | ||||||
Grupo Financiero Inbursa SAB de CV, Class O(a) | 49,500 | 30,145 | ||||||
Grupo Security SA | 607,292 | 108,023 | ||||||
Habib Bank Ltd. | 32,200 | 20,212 | ||||||
Hana Financial Group, Inc. | 13,145 | 297,757 | ||||||
Hong Leong Bank Bhd. | 16,500 | 51,035 | ||||||
Hong Leong Financial Group Bhd. | 5,000 | 15,233 | ||||||
Housing & Development Bank | 36,465 | 72,073 | ||||||
Hua Nan Financial Holdings Co. Ltd. | 181,350 | 118,617 | ||||||
Huishang Bank Corp. Ltd., Class H | 1,265,000 | 451,998 | ||||||
ICICI Bank Ltd. | 66,935 | 338,842 | ||||||
IDFC First Bank Ltd.* | 11 | 3 | ||||||
Indian Bank* | 71,555 | 49,453 | ||||||
IndusInd Bank Ltd. | 10,670 | 66,518 | ||||||
Industrial & Commercial Bank of China Ltd., Class H | 3,465,000 | 2,355,486 | ||||||
Industrial Bank of Korea | 10,945 | 70,964 | ||||||
ING Bank Slaski SA* | 241 | 7,763 | ||||||
Intercorp Financial Services, | 1,040 | 26,364 |
Investments | Shares | Value | ||||||
Banks – (continued) | ||||||||
Itau CorpBanca Chile SA | 1,015,777 | $ | 2,871 | |||||
Itau Unibanco Holding SA (Preference) | 99,000 | 416,424 | ||||||
Itausa – Investimentos Itau SA | 23,109 | 45,421 | ||||||
Itausa – Investimentos Itau SA (Preference) | 93,500 | 155,450 | ||||||
JB Financial Group Co. Ltd. | 9,020 | 35,793 | ||||||
Jiangxi Bank Co. Ltd., Class H(b) | 275,000 | 121,318 | ||||||
Karur Vysya Bank Ltd. (The) | 199,604 | 77,747 | ||||||
Kasikornbank PCL, NVDR | 55,000 | 146,616 | ||||||
KB Financial Group, Inc. | 17,544 | 500,356 | ||||||
Kiatnakin Bank PCL, NVDR | 22,000 | 28,728 | ||||||
King’s Town Bank Co. Ltd. | 52,000 | 55,871 | ||||||
Komercni banka A/S* | 715 | 15,183 | ||||||
Kotak Mahindra Bank Ltd. | 17,380 | 314,111 | ||||||
Krung Thai Bank PCL, NVDR | 159,500 | 54,227 | ||||||
LH Financial Group PCL, NVDR | 2,590,500 | 79,264 | ||||||
Malayan Banking Bhd. | 132,000 | 232,381 | ||||||
Masraf Al Rayan QSC | 83,820 | 87,918 | ||||||
mBank SA* | 532 | 28,134 | ||||||
MCB Bank Ltd. | 16,600 | 16,941 | ||||||
Mega Financial Holding Co. Ltd. | 220,000 | 222,689 | ||||||
Metropolitan Bank & Trust Co. | 42,560 | 32,969 | ||||||
Moneta Money Bank A/S(b) | 10,390 | 21,769 | ||||||
National Bank of Greece SA* | 14,435 | 19,589 | ||||||
National Bank of Pakistan* | 330,500 | 58,424 | ||||||
National Commercial Bank | 26,840 | 265,541 | ||||||
Nedbank Group Ltd.(a) | 16,005 | 93,433 | ||||||
OTP Bank Nyrt. | 4,675 | 138,997 | ||||||
Philippine National Bank* | 390,500 | 184,366 | ||||||
Piraeus Bank SA* | 9,431 | 12,582 | ||||||
Postal Savings Bank of China Co. Ltd., Class H(a) (b) | 385,000 | 230,930 | ||||||
Powszechna Kasa Oszczednosci Bank Polski SA | 16,830 | 89,451 | ||||||
Public Bank Bhd. | 61,000 | 232,367 | ||||||
Punjab National Bank* | 28,520 | 12,267 |
See Accompanying Notes to the Financial Statements.
158 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Banks – (continued) | ||||||||
Qatar International Islamic Bank QSC | 20,420 | $ | 44,979 | |||||
Qatar Islamic Bank SAQ | 20,821 | 88,579 | ||||||
Qatar National Bank QPSC | 91,685 | 433,873 | ||||||
RBL Bank Ltd.(b) | 3,686 | 6,487 | ||||||
RHB Bank Bhd. | 126,500 | 139,738 | ||||||
Riyad Bank | 28,435 | 128,885 | ||||||
Rizal Commercial Banking Corp. | 43,139 | 14,206 | ||||||
Samba Financial Group | 16,830 | 104,342 | ||||||
Santander Bank Polska SA | 715 | 28,143 | ||||||
Saudi Investment Bank (The)* | 9,515 | 34,665 | ||||||
Sberbank of Russia PJSC | 475,200 | 1,267,543 | ||||||
Sberbank of Russia PJSC (Preference) | 48,958 | 117,316 | ||||||
Security Bank Corp. | 5,130 | 10,523 | ||||||
Shanghai Commercial & Savings Bank Ltd. (The) | 103,568 | 153,768 | ||||||
Shengjing Bank Co. Ltd., Class H(b) | 385,000 | 352,603 | ||||||
Shinhan Financial Group Co. Ltd. | 20,049 | 502,685 | ||||||
Siam Commercial Bank PCL (The), NVDR | 71,500 | 151,375 | ||||||
SinoPac Financial Holdings Co. Ltd. | 220,000 | 90,259 | ||||||
Standard Bank Group Ltd.(a) | 57,310 | 318,708 | ||||||
State Bank of India* | 37,235 | 94,457 | ||||||
Taichung Commercial Bank Co. Ltd. | 76,000 | 29,264 | ||||||
Taishin Financial Holding Co. Ltd. | 459,278 | 196,923 | ||||||
Taiwan Business Bank | 127,462 | 46,507 | ||||||
Taiwan Cooperative Financial Holding Co. Ltd. | 205,000 | 138,567 | ||||||
Thanachart Capital PCL, NVDR | 33,000 | 37,483 | ||||||
Tisco Financial Group PCL, NVDR | 9,900 | 22,490 | ||||||
TMB Bank PCL, NVDR | 902,000 | 26,763 | ||||||
Turkiye Garanti Bankasi A/S* | 89,595 | 106,906 | ||||||
Turkiye Halk Bankasi A/S* | 28,578 | 21,261 |
Investments | Shares | Value | ||||||
Banks – (continued) | ||||||||
Turkiye Is Bankasi A/S, Class C* | 70,565 | $ | 49,975 | |||||
Turkiye Vakiflar Bankasi TAO, Class D* | 57,228 | 37,090 | ||||||
Union Bank of India* | 245,960 | 89,252 | ||||||
Union Bank of Taiwan* | 119,296 | 42,926 | ||||||
Union Bank of the Philippines | 261,250 | 279,337 | ||||||
United Bank Ltd. | 21,500 | 14,349 | ||||||
VTB Bank PJSC | 241,561,531 | 114,005 | ||||||
Woori Financial Group, Inc. | 25,245 | 174,868 | ||||||
Yapi ve Kredi Bankasi A/S* | 80,342 | 24,139 | ||||||
Yes Bank Ltd. | 51,148 | 19,003 | ||||||
30,450,083 | ||||||||
Beverages – 0.5% | ||||||||
Ambev SA* | 93,500 | 195,868 | ||||||
Anadolu Efes Biracilik ve Malt Sanayii A/S | 10,922 | 28,721 | ||||||
Arca Continental SAB de CV(a) | 10,700 | 41,717 | ||||||
Becle SAB de CV | 10,700 | 16,614 | ||||||
Carabao Group PCL, NVDR | 2,800 | 6,837 | ||||||
Carlsberg Brewery Malaysia Bhd. | 5,100 | 32,735 | ||||||
China Resources Beer Holdings Co. Ltd. | 31,107 | 148,265 | ||||||
Cia Cervecerias Unidas SA | 1,212 | 8,699 | ||||||
Coca-Cola Embonor SA (Preference), Class B | 4,368 | 5,330 | ||||||
Coca-Cola Femsa SAB de | 11,000 | 44,859 | ||||||
Coca-Cola Icecek A/S | 4,540 | 23,916 | ||||||
Distell Group Holdings Ltd. | 3,420 | �� | 14,712 | |||||
Embotelladora Andina SA (Preference), Class B | 9,513 | 22,691 | ||||||
Emperador, Inc. | 55,200 | 8,651 | ||||||
Fomento Economico Mexicano SAB de CV(a) | 38,500 | 251,875 | ||||||
Fraser & Neave Holdings Bhd. | 3,700 | 27,311 | ||||||
Heineken Malaysia Bhd. | 1,900 | 10,587 | ||||||
Hey Song Corp. | 2,000 | 2,179 | ||||||
Hite Jinro Co. Ltd. | 1,223 | 32,571 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 159 |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Beverages – (continued) | ||||||||
Lotte Chilsung Beverage Co. Ltd. | 150 | $ | 13,419 | |||||
Osotspa PCL, NVDR | 22,400 | 28,731 | ||||||
Tsingtao Brewery Co. Ltd., Class H | 10,000 | 60,820 | ||||||
United Breweries Ltd. | 1,379 | 17,236 | ||||||
United Spirits Ltd.* | 6,536 | 46,708 | ||||||
Varun Beverages Ltd. | 1,161 | 10,351 | ||||||
Vina Concha y Toro SA | 1,616 | 2,542 | ||||||
1,103,945 | ||||||||
Biotechnology – 0.4% | ||||||||
3SBio, Inc.* (b) | 18,480 | 18,951 | ||||||
ABLBio, Inc.* | 1,133 | 16,924 | ||||||
Alteogen, Inc.* | 151 | 11,674 | ||||||
Amicogen, Inc.* | 514 | 11,875 | ||||||
Anterogen Co. Ltd.* | 328 | 9,435 | ||||||
BeiGene Ltd.* | 7,500 | 93,746 | ||||||
Biocon Ltd. | 4,294 | 20,239 | ||||||
Celltrion, Inc.* | 2,310 | 399,077 | ||||||
China Biologic Products Holdings, Inc.* | 456 | 47,533 | ||||||
Green Cross Cell Corp. | 258 | 8,290 | ||||||
Green Cross Corp. | 145 | 17,672 | ||||||
Green Cross Holdings Corp. | 631 | 10,901 | ||||||
G-treeBNT Co. Ltd.* | 525 | 10,858 | ||||||
Helixmith Co. Ltd.* | 432 | 23,613 | ||||||
Hugel, Inc.* | 42 | 13,240 | ||||||
Innovent Biologics, Inc.* (b) | 23,000 | 113,927 | ||||||
iNtRON Biotechnology, Inc.* | 920 | 9,702 | ||||||
Medy-Tox, Inc. | 110 | 10,436 | ||||||
OBI Pharma, Inc.* | 2,584 | 7,794 | ||||||
PharmaEngine, Inc. | 4,172 | 7,394 | ||||||
PharmaEssentia Corp.* | 5,000 | 15,671 | ||||||
Seegene, Inc. | 461 | 35,149 | ||||||
SillaJen, Inc.* | 2,522 | 26,080 | ||||||
TaiMed Biologics, Inc.* | 1,000 | 3,259 | ||||||
Tanvex BioPharma, Inc.* | 9,000 | 11,516 | ||||||
Zai Lab Ltd., ADR* | 700 | 43,904 | ||||||
998,860 |
Investments | Shares | Value | ||||||
Building Products – 0.2% | ||||||||
Astral Poly Technik Ltd. | 237 | $ | 2,967 | |||||
China Lesso Group Holdings Ltd. | 55,000 | 78,183 | ||||||
Kajaria Ceramics Ltd. | 2,608 | 13,011 | ||||||
Kyung Dong Navien Co. Ltd. | 208 | 6,128 | ||||||
LG Hausys Ltd. | 4,125 | 174,012 | ||||||
Taiwan Glass Industry Corp. | 56,000 | 16,873 | ||||||
Trakya Cam Sanayii A/S | 231,077 | 106,786 | ||||||
Xxentria Technology Materials Corp. | 92,000 | 167,996 | ||||||
565,956 | ||||||||
Capital Markets – 1.7% | ||||||||
B3 SA – Brasil Bolsa Balcao | 44,000 | 312,283 | ||||||
Banco BTG Pactual SA* | 5,200 | 40,633 | ||||||
Bolsa Mexicana de Valores SAB de CV(a) | 6,900 | 12,687 | ||||||
Brait SE* | 10,006 | 2,152 | ||||||
Bursa Malaysia Bhd. | 17,700 | 24,492 | ||||||
Capital Securities Corp. | 4,000 | 1,321 | ||||||
China Cinda Asset Management Co. Ltd., Class H | 330,000 | 64,277 | ||||||
China Everbright Ltd.(a) | 48,000 | 73,433 | ||||||
China Galaxy Securities Co. Ltd., Class H | 165,000 | 84,284 | ||||||
China Huarong Asset Management Co. Ltd., Class H(b) | 220,000 | 24,689 | ||||||
China International Capital Corp. Ltd., Class H(a) (b) | 30,400 | 46,743 | ||||||
China Merchants Securities Co. Ltd., Class H(a) (b) | 484,000 | 535,672 | ||||||
CITIC Securities Co. Ltd., Class H(a) | 110,000 | 212,271 | ||||||
Coronation Fund Managers Ltd. | 7,009 | 13,797 | ||||||
CSC Financial Co. Ltd., Class H(b) | 495,000 | 457,177 | ||||||
Daishin Securities Co. Ltd. | 564 | 4,606 | ||||||
Daishin Securities Co. Ltd. (Preference) | 1,603 | 11,248 | ||||||
Daou Technology, Inc. | 16,830 | 226,527 | ||||||
Dubai Financial Market PJSC | 67,052 | 13,490 |
See Accompanying Notes to the Financial Statements.
160 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Capital Markets – (continued) | ||||||||
Edelweiss Financial Services Ltd. | 11,236 | $ | 5,955 | |||||
Egyptian Financial Group-Hermes Holding Co. | 9,880 | 7,070 | ||||||
GF Securities Co. Ltd., Class H | 66,000 | 72,110 | ||||||
Guotai Junan International Holdings Ltd.(a) | 1,705,000 | 224,332 | ||||||
Guotai Junan Securities Co. Ltd., Class H(b) | 34,800 | 50,097 | ||||||
Haitong Securities Co. Ltd., Class H | 132,000 | 120,382 | ||||||
Hanwha Investment & Securities Co. Ltd.* | 113,245 | 165,437 | ||||||
HDFC Asset Management Co. | 862 | 29,050 | ||||||
Huatai Securities Co. Ltd., | 33,000 | 54,998 | ||||||
IBF Financial Holdings Co. Ltd. | 47,398 | 17,454 | ||||||
Indiabulls Ventures Ltd. | 4,412 | 6,289 | ||||||
Investec Ltd. | 6,985 | 14,601 | ||||||
Jih Sun Financial Holdings Co. Ltd. | 38,410 | 12,181 | ||||||
JM Financial Ltd. | 11,544 | 10,115 | ||||||
JSE Ltd. | 4,205 | 23,549 | ||||||
KIWOOM Securities Co. Ltd. | 675 | 41,549 | ||||||
Korea Investment Holdings Co. Ltd. | 2,035 | 83,675 | ||||||
Kresna Graha Investama Tbk. PT* | 187,300 | 1,700 | ||||||
Macquarie Korea Infrastructure Fund | 6,309 | 59,287 | ||||||
Meritz Securities Co. Ltd. | 7,095 | 19,041 | ||||||
Mirae Asset Daewoo Co. Ltd. | 14,520 | 66,853 | ||||||
Mirae Asset Daewoo Co. Ltd. (2nd Preference) | 6,840 | 17,262 | ||||||
Moscow Exchange MICEX-RTS PJSC | 29,911 | 48,631 | ||||||
NH Investment & Securities Co. Ltd. | 5,665 | 45,052 | ||||||
Nippon Life India Asset Management Ltd.(b) | 5,244 | 17,231 |
Investments | Shares | Value | ||||||
Capital Markets – (continued) | ||||||||
Noah Holdings Ltd., ADR* | 800 | $ | 22,208 | |||||
PSG Konsult Ltd. | 3,256 | 1,356 | ||||||
Reinet Investments SCA | 4,345 | 70,175 | ||||||
Samsung Securities Co. Ltd. | 3,080 | 76,087 | ||||||
Shenwan Hongyuan Group Co. Ltd., Class H* (b) | 880,000 | 212,271 | ||||||
Shinyoung Securities Co. Ltd.* | 2,035 | 76,827 | ||||||
Warsaw Stock Exchange | 1,040 | 10,146 | ||||||
Yuanta Securities Korea Co. Ltd.* | 58,850 | 124,129 | ||||||
3,968,882 | ||||||||
Chemicals – 3.6% | ||||||||
Acron PJSC | 380 | 29,650 | ||||||
Advanced Petrochemical Co. | 3,851 | 45,792 | ||||||
AECI Ltd. | 74,305 | 299,364 | ||||||
AK Holdings, Inc. | 3,740 | 77,658 | ||||||
Alpek SAB de CV | 14,100 | 6,787 | ||||||
Asian Paints Ltd. | 6,600 | 154,570 | ||||||
Barito Pacific Tbk. PT* | 555,500 | 54,150 | ||||||
Batu Kawan Bhd. | 13,400 | 39,951 | ||||||
Berger Paints India Ltd. | 5,453 | 36,917 | ||||||
Braskem SA (Preference), Class A | 5,300 | 20,698 | ||||||
Castrol India Ltd. | 9,090 | 15,700 | ||||||
Chambal Fertilizers and Chemicals Ltd. | 5,408 | 9,326 | ||||||
Chandra Asri Petrochemical Tbk. PT | 51,500 | 31,073 | ||||||
China General Plastics Corp. | 220,000 | 134,649 | ||||||
China Lumena New Materials Corp.* ‡ (c) | 22,200 | — | ||||||
China Man-Made Fiber Corp. | 715,425 | 156,623 | ||||||
China Petrochemical Development Corp. | 76,000 | 20,676 | ||||||
China Risun Group Ltd., Class H(b) | 660,000 | 191,555 | ||||||
China Steel Chemical Corp.* | 8,000 | 28,248 | ||||||
Ciech SA* | 15,620 | 149,179 | ||||||
Coromandel International Ltd. | 1,898 | 15,020 | ||||||
D&L Industries, Inc. | 110,800 | 11,627 | ||||||
DCM Shriram Ltd. | 25,685 | 94,059 | ||||||
Dongjin Semichem Co. Ltd. | 206 | 2,654 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 161 |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Chemicals – (continued) | ||||||||
Dongyue Group Ltd.(a) | 715,000 | $ | 316,349 | |||||
Eastern Polymer Group PCL, NVDR | 52,200 | 7,486 | ||||||
Ecopro Co. Ltd. | 624 | 10,345 | ||||||
Egypt Kuwait Holding Co. SAE | 36,677 | 36,677 | ||||||
ENF Technology Co. Ltd. | 6,105 | 132,777 | ||||||
Engro Corp. Ltd. | 11,270 | 21,626 | ||||||
Engro Fertilizers Ltd. | 403,000 | 154,943 | ||||||
Eternal Materials Co. Ltd. | 19,010 | 17,101 | ||||||
Fauji Fertilizer Co. Ltd. | 40,039 | 27,909 | ||||||
Finolex Industries Ltd. | 145 | 776 | ||||||
Foosung Co. Ltd. | 1,768 | 9,736 | ||||||
Formosa Chemicals & Fibre Corp. | 91,000 | 232,270 | ||||||
Formosa Plastics Corp. | 93,000 | 274,905 | ||||||
Fufeng Group Ltd.* (a) | 715,000 | 243,487 | ||||||
Grand Pacific Petrochemical* | 440,000 | 222,689 | ||||||
Grupa Azoty SA* | 3,090 | 19,774 | ||||||
Hansol Chemical Co. Ltd. | 224 | 15,774 | ||||||
Hanwha Solutions Corp. | 3,300 | 39,407 | ||||||
HDC Holdings Co. Ltd. | 25,728 | 197,851 | ||||||
Huabao International Holdings Ltd. | 550,000 | 217,095 | ||||||
Huchems Fine Chemical Corp. | 398 | 5,716 | ||||||
Indorama Ventures PCL, NVDR | 99,000 | 87,969 | ||||||
Kansai Nerolac Paints Ltd. | 2,196 | 12,104 | ||||||
KCC Corp. | 170 | 23,021 | ||||||
Kolon Industries, Inc. | 822 | 20,812 | ||||||
Korea Petrochemical Ind Co. Ltd. | 2,625 | 302,690 | ||||||
Kumho Petrochemical Co. Ltd. | 880 | 55,178 | ||||||
LG Chem Ltd. | 1,045 | 322,904 | ||||||
LG Chem Ltd. (Preference) | 152 | 21,519 | ||||||
Lotte Chemical Corp. | 660 | 116,730 | ||||||
Lotte Chemical Titan Holding Bhd.(b) | 41,200 | 16,288 | ||||||
LOTTE Fine Chemical Co. Ltd. | 1,217 | 38,954 | ||||||
Mesaieed Petrochemical Holding Co. | 89,815 | 44,402 |
Investments | Shares | Value | ||||||
Chemicals – (continued) | ||||||||
Misr Fertilizers Production Co. SAE | 1,204 | $ | 3,187 | |||||
Miwon Specialty Chemical Co. Ltd. | 1,925 | 120,387 | ||||||
Namhae Chemical Corp. | 1,040 | 6,649 | ||||||
Nan Ya Plastics Corp. | 129,000 | 287,182 | ||||||
National Industrialization Co.* | 5,584 | 15,109 | ||||||
National Petrochemical Co. | 4,256 | 22,782 | ||||||
Nizhnekamskneftekhim PJSC | 36,480 | 47,358 | ||||||
OCI Co. Ltd.* | 721 | 23,640 | ||||||
Orbia Advance Corp. SAB de CV(a) | 20,233 | 24,167 | ||||||
Oriental Union Chemical Corp. | 1,000 | 568 | ||||||
Petkim Petrokimya Holding A/S* | 47,514 | 24,133 | ||||||
Petronas Chemicals Group Bhd. | 55,000 | 71,628 | ||||||
PhosAgro PJSC | 1,281 | 46,789 | ||||||
PI Industries Ltd. | 1,268 | 26,840 | ||||||
Pidilite Industries Ltd. | 2,750 | 55,919 | ||||||
PTT Global Chemical PCL, NVDR | 71,500 | 83,422 | ||||||
Sahara International Petrochemical Co. | 11,932 | 48,872 | ||||||
Sasa Polyester Sanayi A/S | 2,128 | 2,658 | ||||||
Sasol Ltd.* (a) | 25,190 | 119,689 | ||||||
Saudi Arabian Fertilizer Co. | 4,125 | 77,776 | ||||||
Saudi Basic Industries Corp. | 18,590 | 370,810 | ||||||
Saudi Industrial Investment Group | 11,165 | 55,364 | ||||||
Saudi Kayan Petrochemical Co.* | 17,930 | 41,447 | ||||||
Scientex Bhd. | 8,700 | 16,793 | ||||||
Shinkong Synthetic Fibers Corp. | 935,000 | 345,871 | ||||||
Sinofert Holdings Ltd.* | 1,010,000 | 93,804 | ||||||
Sinopec Shanghai Petrochemical Co. Ltd., Class H | 1,980,000 | 544,016 | ||||||
SK Chemicals Co. Ltd. | 213 | 13,583 | ||||||
SK Materials Co. Ltd. | 65 | 8,402 | ||||||
SKC Co. Ltd. | 545 | 22,163 |
See Accompanying Notes to the Financial Statements.
162 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Chemicals – (continued) | ||||||||
SKCKOLONPI, Inc. | 520 | $ | 13,998 | |||||
Sociedad Quimica y Minera de Chile SA (Preference), Class B | 2,365 | 56,157 | ||||||
Soda Sanayii A/S | 30,857 | 25,782 | ||||||
Solar Industries India Ltd. | 1,040 | 12,263 | ||||||
Songwon Industrial Co. Ltd. | 11,385 | 134,551 | ||||||
Soulbrain Co. Ltd. | 615 | 36,846 | ||||||
SRF Ltd. | 401 | 19,858 | ||||||
Supreme Industries Ltd. | 1,204 | 17,549 | ||||||
Taekwang Industrial Co. Ltd. | 30 | 19,697 | ||||||
Taiwan Styrene Monomer | 275,000 | 156,752 | ||||||
Tata Chemicals Ltd. | 1,541 | 5,801 | ||||||
TOA Paint Thailand PCL, NVDR | 12,000 | 13,908 | ||||||
TSRC Corp. | 34,000 | 18,580 | ||||||
Unid Co. Ltd. | 3,465 | 122,851 | ||||||
Unipar Carbocloro SA (Preference) | 27,500 | 118,874 | ||||||
UPL Ltd. | 12,646 | 70,736 | ||||||
Vinythai PCL, NVDR | 115,500 | 81,034 | ||||||
Yanbu National Petrochemical Co. | 6,105 | 73,162 | ||||||
8,512,597 | ||||||||
Commercial Services & Supplies – 0.1% | ||||||||
China Everbright International Ltd. | 165,000 | 95,990 | ||||||
Cleanaway Co. Ltd. | 1,000 | 5,246 | ||||||
Country Garden Services Holdings Co. Ltd.(a) | 24,887 | 115,569 | ||||||
ECOVE Environment Corp. | 1,000 | 7,062 | ||||||
Greentown Service Group Co. | 30,000 | 39,859 | ||||||
S-1 Corp. | 347 | 24,634 | ||||||
Sunny Friend Environmental Technology Co. Ltd. | 3,000 | 26,029 | ||||||
Taiwan Secom Co. Ltd. | 3,165 | 9,377 | ||||||
Taiwan Shin Kong Security Co. Ltd.* | 8,240 | 10,045 | ||||||
333,811 |
Investments | Shares | Value | ||||||
Communications Equipment – 0.3% | ||||||||
Accton Technology Corp. | 10,000 | $ | 73,143 | |||||
Advanced Ceramic X Corp. | 1,000 | 10,559 | ||||||
Gemtek Technology Corp.* | 220,000 | 153,885 | ||||||
KMW Co. Ltd.* | 618 | 30,939 | ||||||
Seojin System Co. Ltd. | 8,030 | 174,315 | ||||||
Sterlite Technologies Ltd. | 60,005 | 71,555 | ||||||
Wistron NeWeb Corp. | 10,093 | 21,180 | ||||||
ZTE Corp., Class H* | 20,400 | 58,418 | ||||||
593,994 | ||||||||
Construction & Engineering – 1.7% | ||||||||
Acter Group Corp. Ltd. | 33,000 | 237,486 | ||||||
BES Engineering Corp. | 55,000 | 13,169 | ||||||
Budimex SA | 460 | 22,549 | ||||||
CH Karnchang PCL, NVDR | 737 | 390 | ||||||
China Communications Construction Co. Ltd., Class H | 194,000 | 129,878 | ||||||
China Communications Services Corp. Ltd., Class H | 1,540,000 | 1,094,558 | ||||||
China Energy Engineering Corp. Ltd., Class H | 3,960,000 | 423,975 | ||||||
China Railway Construction Corp. Ltd., Class H | 85,500 | 93,746 | ||||||
China Railway Group Ltd., Class H | 165,000 | 99,183 | ||||||
China State Construction International Holdings Ltd. | 80,000 | 61,917 | ||||||
Continental Holdings Corp. | 276,000 | 102,561 | ||||||
CTCI Corp.* | 23,000 | 25,485 | ||||||
Daelim Industrial Co. Ltd. | 1,375 | 99,419 | ||||||
Daewoo Engineering & Construction Co. Ltd.* | 11,770 | 34,389 | ||||||
Dilip Buildcon Ltd.(b) | 20,920 | 72,375 | ||||||
Engineers India Ltd. | 7,880 | 7,062 | ||||||
Gamuda Bhd. | 55,221 | 41,352 | ||||||
GEK Terna Holding Real Estate Construction SA* | 1,216 | 7,752 | ||||||
GS Engineering & Construction Corp. | 2,090 | 43,397 | ||||||
HDC Hyundai Development Co-Engineering & Construction, Class E | 1,236 | 19,121 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 163 |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Construction & Engineering – (continued) | ||||||||
Hyundai Engineering & Construction Co. Ltd. | 3,106 | $ | 89,347 | |||||
IJM Corp. Bhd. | 86,400 | 33,354 | ||||||
IS Dongseo Co. Ltd. | 1,106 | 23,147 | ||||||
Kalpataru Power Transmission Ltd. | 542 | 1,650 | ||||||
KEC International Ltd. | 516 | 1,340 | ||||||
KEPCO Engineering & Construction Co., Inc. | 602 | 8,399 | ||||||
Kumho Industrial Co. Ltd. | 13,860 | 92,138 | ||||||
Larsen & Toubro Ltd. | 6,139 | 73,369 | ||||||
Larsen & Toubro Ltd., GDR(b) | 296 | 3,434 | ||||||
Malaysian Resources Corp. Bhd. | 83,200 | 9,384 | ||||||
Metallurgical Corp. of China Ltd., Class H | 1,925,000 | 335,221 | ||||||
PP Persero Tbk. PT | 2,084,500 | 93,890 | ||||||
Samsung Engineering Co. Ltd.* | 1,310 | 12,364 | ||||||
Sinopec Engineering Group Co. Ltd., Class H(a) | 825,000 | 392,687 | ||||||
Sino-Thai Engineering & Construction PCL, NVDR | 41,571 | 19,915 | ||||||
Sterling & Wilson Solar Ltd.(b) | 11,165 | 24,629 | ||||||
Taeyoung Engineering & Construction Co. Ltd. | 2,884 | 34,084 | ||||||
Tekfen Holding A/S | 893 | 1,821 | ||||||
Totalindo Eka Persada Tbk. PT* | 262,900 | 884 | ||||||
United Integrated Services Co. Ltd. | 5,000 | 31,863 | ||||||
Voltas Ltd. | 1,251 | 8,419 | ||||||
Waskita Karya Persero Tbk. PT | 385,600 | 15,683 | ||||||
Wijaya Karya Persero Tbk. PT | 164,800 | 10,525 | ||||||
3,947,311 | ||||||||
Construction Materials – 1.7% | ||||||||
ACC Ltd. | 41 | 644 | ||||||
Ambuja Cements Ltd. | 20,064 | 45,862 | ||||||
Anhui Conch Cement Co. Ltd., Class H | 55,000 | 432,772 |
Investments | Shares | Value | ||||||
Construction Materials – (continued) | ||||||||
Asia Cement China Holdings Corp. | 27,000 | $ | 31,206 | |||||
Asia Cement Corp. | 110,000 | 162,393 | ||||||
BBMG Corp., Class H(a) | 1,320,000 | 335,434 | ||||||
Cahya Mata Sarawak Bhd. | 32,900 | 10,559 | ||||||
Cementos Argos SA | 5,520 | 5,485 | ||||||
Cementos Argos SA (Preference) | 10,296 | 8,406 | ||||||
Cementos Pacasmayo SAA | 4,992 | 5,989 | ||||||
CEMEX Latam Holdings SA* | 7,998 | 3,673 | ||||||
Cemex SAB de CV(a) | 665,500 | 141,709 | ||||||
Chia Hsin Cement Corp. | 330,000 | 190,877 | ||||||
China National Building Material Co. Ltd., Class H | 194,050 | 244,053 | ||||||
China Resources Cement Holdings Ltd. | 110,000 | 148,987 | ||||||
China Shanshui Cement Group Ltd.* | 809,000 | 228,538 | ||||||
Dalmia Bharat Ltd. | 1,648 | 11,448 | ||||||
Eugene Corp. | 36,685 | 124,496 | ||||||
Grasim Industries Ltd. | 6,050 | 40,677 | ||||||
Grupo Argos SA | 7,752 | 18,235 | ||||||
Grupo Argos SA (Preference) | 5,396 | 11,151 | ||||||
Grupo Cementos de Chihuahua SAB de CV(a) | 2,700 | 7,933 | ||||||
Hanil Cement Co. Ltd. | 1,430 | 100,814 | ||||||
Huaxin Cement Co. Ltd., Class B | 203,500 | 349,003 | ||||||
Indocement Tunggal Prakarsa Tbk. PT | 38,500 | 30,153 | ||||||
Lucky Cement Ltd. | 5,787 | 16,975 | ||||||
POSCO Chemical Co. Ltd. | 638 | 27,123 | ||||||
Qatar National Cement Co. QSC | 988 | 944 | ||||||
Ramco Cements Ltd. (The) | 268 | 1,973 | ||||||
Saudi Cement Co. | 2,237 | 31,395 | ||||||
Semen Indonesia Persero Tbk. PT | 66,000 | 35,274 | ||||||
Shree Cement Ltd. | 220 | 57,912 | ||||||
Siam Cement PCL (The), NVDR | 11,000 | 117,633 | ||||||
Siam City Cement PCL, NVDR | 4,700 | 17,359 | ||||||
Southern Province Cement Co. | 1,634 | 23,281 |
See Accompanying Notes to the Financial Statements.
164 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Construction Materials – (continued) | ||||||||
Ssangyong Cement Industrial Co. Ltd. | 290 | $ | 1,219 | |||||
Taiwan Cement Corp. | 220,000 | 319,607 | ||||||
TPI Polene PCL, NVDR | 377,200 | 13,990 | ||||||
UltraTech Cement Ltd. | 2,367 | 111,401 | ||||||
Waskita Beton Precast Tbk. PT | 7,122,500 | 70,387 | ||||||
West China Cement Ltd. | 1,650,000 | 293,717 | ||||||
Yanbu Cement Co. | 2,888 | 23,035 | ||||||
3,853,722 | ||||||||
Consumer Finance – 0.7% | ||||||||
360 Finance, Inc., ADR* (a) | 33,000 | 297,000 | ||||||
AEON Credit Service M Bhd. | 4,400 | 9,322 | ||||||
Aju Capital Co. Ltd. | 9,900 | 99,532 | ||||||
Bajaj Finance Ltd. | 4,015 | 123,939 | ||||||
Cholamandalam Financial Holdings Ltd. | 3,206 | 12,680 | ||||||
Cholamandalam Investment and Finance Co. Ltd. | 40 | 85 | ||||||
Gentera SAB de CV | 665,500 | 267,765 | ||||||
KRUK SA | 1 | 19 | ||||||
Krungthai Card PCL, NVDR | 4,300 | 4,519 | ||||||
LexinFintech Holdings Ltd., | 38,555 | 325,019 | ||||||
Mahindra & Mahindra Financial Services Ltd. | 9,847 | 21,761 | ||||||
Manappuram Finance Ltd. | 6,929 | 12,378 | ||||||
Muangthai Capital PCL, NVDR* | 20,600 | 30,243 | ||||||
Muthoot Finance Ltd. | 2,897 | 33,281 | ||||||
Qudian, Inc., ADR* (a) | 75,602 | 130,791 | ||||||
Safmar Financial Investment | 38,278 | 220,510 | ||||||
Samsung Card Co. Ltd. | 1,140 | 28,068 | ||||||
Shriram Transport Finance Co. Ltd. | 3,300 | 34,320 | ||||||
Srisawad Corp. PCL, NVDR | 16,703 | 27,748 | ||||||
Sundaram Finance Ltd. | 1,310 | 22,014 | ||||||
Transaction Capital Ltd. | 17,028 | 13,991 | ||||||
Yixin Group Ltd.* (a) (b) | 122,000 | 20,773 | ||||||
Yulon Finance Corp. | 1,100 | 3,736 | ||||||
1,739,494 |
Investments | Shares | Value | ||||||
Containers & Packaging – 0.4% | ||||||||
Cheng Loong Corp. | 642,000 | $ | 457,700 | |||||
Greatview Aseptic Packaging Co. Ltd. | 12,000 | 4,427 | ||||||
Klabin SA | 16,500 | 54,286 | ||||||
Taiwan Hon Chuan Enterprise Co. Ltd. | 165,000 | 302,406 | ||||||
Vitro SAB de CV, Series A* | 71,500 | 67,416 | ||||||
886,235 | ||||||||
Distributors – 0.0%(d) | ||||||||
Inter Cars SA | 402 | 18,687 | ||||||
Diversified Consumer Services – 0.5% | ||||||||
China Education Group Holdings Ltd.(b) | 13,000 | 21,901 | ||||||
China Maple Leaf Educational Systems Ltd.(a) | 56,000 | 16,470 | ||||||
China Yuhua Education Corp. | 28,000 | 28,172 | ||||||
Cogna Educacao | 33,000 | 33,772 | ||||||
Fu Shou Yuan International Group Ltd. | 42,000 | 37,816 | ||||||
GSX Techedu, Inc., ADR* (a) | 550 | 21,758 | ||||||
Lung Yen Life Service Corp. | 2,000 | 3,766 | ||||||
MegaStudyEdu Co. Ltd. | 5,390 | 199,064 | ||||||
New Oriental Education & Technology Group, Inc., ADR* | 2,530 | 322,980 | ||||||
TAL Education Group, ADR* | 7,755 | 420,244 | ||||||
Virscend Education Co. Ltd.(b) | 67,000 | 14,260 | ||||||
Wisdom Education International Holdings Co. Ltd.(b) | 40,000 | 16,924 | ||||||
YDUQS Participacoes SA | 5,500 | 30,836 | ||||||
1,167,963 | ||||||||
Diversified Financial Services – 0.9% | ||||||||
Aditya Birla Capital Ltd.* | 14,160 | 9,419 | ||||||
Bajaj Holdings & Investment Ltd. | 750 | 20,352 | ||||||
Bank of Greece | 11,715 | 168,605 | ||||||
Chailease Holding Co. Ltd. | 32,827 | 126,400 | ||||||
China Shandong Hi-Speed Financial Group Ltd.* (a) | 5,610,000 | 238,805 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 165 |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Diversified Financial Services – (continued) | ||||||||
Corp. Financiera Colombiana SA* | 5,016 | $ | 33,016 | |||||
CSSC Hong Kong Shipping Co. | 770,000 | 101,311 | ||||||
Far East Horizon Ltd. | 110,000 | 88,825 | ||||||
FirstRand Ltd. | 72,655 | 160,106 | ||||||
Grupo de Inversiones Suramericana SA | 11,440 | 62,809 | ||||||
Grupo de Inversiones Suramericana SA (Preference) | 5,280 | 25,432 | ||||||
Haci Omer Sabanci Holding A/S | 56,540 | 66,170 | ||||||
Inversiones La Construccion SA | 21,031 | 158,493 | ||||||
L&T Finance Holdings Ltd. | 11,529 | 10,071 | ||||||
Meritz Financial Group, Inc. | 947 | 7,718 | ||||||
Metro Pacific Investments Corp. | 381,000 | 19,424 | ||||||
NICE Holdings Co. Ltd. | 728 | 11,890 | ||||||
Power Finance Corp. Ltd. | 29,412 | 37,365 | ||||||
PSG Group Ltd.(a) | 3,850 | 33,332 | ||||||
REC Ltd. | 30,580 | 38,910 | ||||||
Remgro Ltd. | 23,375 | 174,374 | ||||||
RMB Holdings Ltd.(a) | 17,325 | 49,999 | ||||||
Turkiye Sinai Kalkinma Bankasi A/S* | 881,705 | 129,932 | ||||||
Yuanta Financial Holding Co. Ltd. | 495,000 | 284,650 | ||||||
2,057,408 | ||||||||
Diversified Telecommunication Services – 1.4% | ||||||||
Asia Pacific Telecom Co. Ltd.* | 68,164 | 15,817 | ||||||
Bharti Infratel Ltd. | 18,920 | 43,940 | ||||||
China Telecom Corp. Ltd., Class H | 550,000 | 189,426 | ||||||
China Tower Corp. Ltd., | 880,000 | 197,514 | ||||||
China Unicom Hong Kong Ltd. | 110,000 | 71,088 | ||||||
Chunghwa Telecom Co. Ltd. | 80,000 | 294,588 | ||||||
CITIC Telecom International Holdings Ltd. | 990,000 | 366,508 |
Investments | Shares | Value | ||||||
Diversified Telecommunication Services – (continued) | ||||||||
Emirates Telecommunications Group Co. PJSC | 36,080 | $ | 152,253 | |||||
Hellenic Telecommunications Organization SA | 5,665 | 75,079 | ||||||
Jasmine International PCL, NVDR | 76,400 | 9,351 | ||||||
LG Uplus Corp. | 10,670 | 116,906 | ||||||
Link Net Tbk. PT | 31,200 | 5,831 | ||||||
Magyar Telekom Telecommunications plc | 279,675 | 348,650 | ||||||
O2 Czech Republic A/S* | 3,092 | 27,128 | ||||||
Oi SA* | 3,580,500 | 410,084 | ||||||
Ooredoo QPSC | 38,060 | 66,900 | ||||||
Orange Polska SA* | 14,014 | 23,604 | ||||||
Rostelecom PJSC | 53,432 | 59,322 | ||||||
Rostelecom PJSC (Preference) | 15,392 | 14,799 | ||||||
Sarana Menara Nusantara Tbk. PT | 739,200 | 44,725 | ||||||
Saudi Telecom Co. | 11,990 | 289,293 | ||||||
Telecom Egypt Co. | 24,843 | 17,019 | ||||||
Telefonica Brasil SA (Preference) | 18,889 | 159,290 | ||||||
Telekom Malaysia Bhd. | 45,600 | 42,737 | ||||||
Telekomunikasi Indonesia Persero Tbk. PT | 962,500 | 226,471 | ||||||
Telesites SAB de CV* (a) | 22,200 | 14,778 | ||||||
Telkom SA SOC Ltd. | 17,936 | 20,138 | ||||||
TIME dotCom Bhd. | 3,000 | 6,837 | ||||||
Tower Bersama Infrastructure Tbk. PT | 121,300 | 9,745 | ||||||
True Corp. PCL, NVDR | 338,400 | 34,933 | ||||||
Turk Telekomunikasyon A/S* | 19,746 | 20,849 | ||||||
3,375,603 | ||||||||
Electric Utilities – 1.3% | ||||||||
Adani Transmission Ltd.* | 6,748 | 18,587 | ||||||
Alupar Investimento SA | 3,500 | 14,593 | ||||||
Celsia SA ESP | 11,648 | 12,481 | ||||||
Centrais Eletricas Brasileiras SA* | 14,300 | 64,060 | ||||||
Centrais Eletricas Brasileiras SA (Preference), Class B* | 11,000 | 56,572 | ||||||
CESC Ltd. | 40,920 | 357,461 | ||||||
CEZ A/S | 3,740 | 69,871 |
See Accompanying Notes to the Financial Statements.
166 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Electric Utilities – (continued) | ||||||||
Cia de Transmissao de Energia Eletrica Paulista (Preference) | 5,500 | $ | 19,741 | |||||
Cia Energetica de Minas Gerais* | 6,200 | 11,075 | ||||||
Cia Energetica de Minas Gerais (Preference)* | 16,762 | 29,478 | ||||||
Cia Paranaense de Energia (Preference)* | 5,500 | 55,271 | ||||||
EDP – Energias do Brasil SA | 11,000 | 34,545 | ||||||
Enea SA* | 17,968 | 24,038 | ||||||
Enel Americas SA | 1,657,912 | 271,701 | ||||||
Enel Chile SA | 467,448 | 38,018 | ||||||
Energisa SA | 5,500 | 44,400 | ||||||
Enerjisa Enerji A/S(b) | 7,676 | 8,456 | ||||||
Engie Energia Chile SA | 32,626 | 40,206 | ||||||
Equatorial Energia SA | 38,500 | 130,365 | ||||||
Federal Grid Co. Unified Energy System PJSC | 14,865,298 | 36,896 | ||||||
First Philippine Holdings Corp. | 140,600 | 159,957 | ||||||
Inter RAO UES PJSC | 1,596,292 | 107,932 | ||||||
Interconexion Electrica SA ESP | 8,965 | 41,627 | ||||||
Korea District Heating Corp.* | 2,035 | 64,468 | ||||||
Korea Electric Power Corp.* | 5,225 | 102,274 | ||||||
Light SA* | 7,600 | 15,949 | ||||||
Manila Electric Co. | 7,150 | 36,083 | ||||||
Moscow United Electric Grid Co. PJSC | 9,020,000 | 123,135 | ||||||
Mosenergo PJSC | 5,115,000 | 135,711 | ||||||
PGE Polska Grupa Energetyczna SA* | 40,810 | 40,621 | ||||||
Power Grid Corp. of India Ltd. | 62,315 | 134,472 | ||||||
ROSSETI PJSC | 1,466,436 | 25,442 | ||||||
RusHydro PJSC | 5,256,324 | 44,788 | ||||||
Saudi Electricity Co. | 17,435 | 79,212 | ||||||
SJVN Ltd. | 254,705 | 71,736 | ||||||
Tata Power Co. Ltd. (The) | 10,543 | 4,451 | ||||||
Tauron Polska Energia SA* | 696,795 | 190,640 | ||||||
Tenaga Nasional Bhd. | 60,500 | 172,214 | ||||||
TGC-1 PJSC | 473,000,000 | 75,732 |
Investments | Shares | Value | ||||||
Electric Utilities – (continued) | ||||||||
Transmissora Alianca de Energia Eletrica SA | 7,600 | $ | 38,609 | |||||
3,002,868 | ||||||||
Electrical Equipment – 0.9% | ||||||||
ABB India Ltd.* | 427 | 5,121 | ||||||
ABB Power Products & Systems India Ltd.* | 411 | 4,386 | ||||||
AcBel Polytech, Inc. | 263,000 | 184,847 | ||||||
Bharat Heavy Electricals Ltd. | 37,473 | 11,203 | ||||||
Bizlink Holding, Inc. | 1,103 | 7,289 | ||||||
China High Speed Transmission Equipment Group Co. Ltd. | 20,000 | 12,719 | ||||||
Doosan Heavy Industries & Construction Co. Ltd.* | 5,872 | 19,253 | ||||||
Ecopro BM Co. Ltd. | 198 | 11,862 | ||||||
ElSewedy Electric Co. | 13,485 | 7,620 | ||||||
Finolex Cables Ltd. | 2,600 | 8,832 | ||||||
Graphite India Ltd. | 32,230 | 89,400 | ||||||
Gunkul Engineering PCL, NVDR | 144,480 | 11,789 | ||||||
Havells India Ltd. | 4,620 | 34,668 | ||||||
Honbridge Holdings Ltd.* (a) | 2,586,000 | 113,416 | ||||||
Kung Long Batteries Industrial Co. Ltd. | 1,000 | 4,893 | ||||||
LS Corp. | 1,320 | 40,788 | ||||||
LS Electric Co. Ltd. | 927 | 29,747 | ||||||
Shanghai Electric Group Co. Ltd., Class H | 1,980,000 | 612,975 | ||||||
Taihan Electric Wire Co. Ltd.* | 7,800 | 4,129 | ||||||
Teco Electric and Machinery Co. Ltd. | 46,000 | 41,535 | ||||||
V-Guard Industries Ltd. | 1,032 | 2,428 | ||||||
Voltronic Power Technology Corp.* | 1,389 | 33,164 | ||||||
Walsin Lihwa Corp. | 110,000 | 48,644 | ||||||
WEG SA | 16,500 | 121,739 | ||||||
Xinjiang Goldwind Science & Technology Co. Ltd., Class H(a) | 495,000 | 485,911 | ||||||
Zhuzhou CRRC Times Electric Co. Ltd., Class H | 14,300 | 44,086 | ||||||
1,992,444 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 167 |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Electronic Equipment, Instruments & Components – 3.8% | ||||||||
AAC Technologies Holdings, Inc.(a) | 19,000 | $ | 93,010 | |||||
Asia Optical Co., Inc.* | 8,000 | 19,532 | ||||||
AU Optronics Corp. | 419,000 | 111,314 | ||||||
Aurora Corp. | 4,900 | 14,830 | ||||||
BH Co. Ltd.* | 14,520 | 200,202 | ||||||
Camsing International Holding Ltd.* ‡ (c) | 22,000 | 2,469 | ||||||
Career Technology MFG. Co. Ltd. | 11,330 | 10,840 | ||||||
Chang Wah Electromaterials, Inc. | 15,000 | 81,466 | ||||||
Chilisin Electronics Corp. | 129,490 | 461,586 | ||||||
China Railway Signal & Communication Corp. Ltd., Class H* (b) | 935,000 | 461,931 | ||||||
Chroma ATE, Inc. | 12,000 | 56,093 | ||||||
Compeq Manufacturing Co. Ltd. | 33,000 | 44,334 | ||||||
Concraft Holding Co. Ltd. | 3,512 | 15,176 | ||||||
Coretronic Corp.* | 275,000 | 295,933 | ||||||
Daea TI Co. Ltd. | 1,964 | 10,300 | ||||||
Daeduck Electronics Co.(c) | 618 | 4,164 | ||||||
Delta Electronics, Inc. | 43,000 | 202,445 | ||||||
Elite Material Co. Ltd. | 5,000 | 21,859 | ||||||
Feelux Co. Ltd.* | 1,427 | 6,008 | ||||||
Flytech Technology Co. Ltd.* | 235 | 541 | ||||||
Foxconn Technology Co. Ltd. | 44,000 | 85,229 | ||||||
General Interface Solution Holding Ltd. | 13,000 | 41,794 | ||||||
Genius Electronic Optical Co. Ltd. | 2,237 | 36,523 | ||||||
Hana Microelectronics PCL, NVDR | 22,400 | 20,077 | ||||||
Hannstar Board Corp. | 183,343 | 246,623 | ||||||
HannStar Display Corp. | 103,000 | 21,891 | ||||||
Hollysys Automation Technologies Ltd. | 35,338 | 506,747 | ||||||
Hon Hai Precision Industry Co. Ltd. | 553,000 | 1,431,944 | ||||||
Honeywell Automation India Ltd. | 76 | 28,989 |
Investments | Shares | Value | ||||||
Electronic Equipment, Instruments & Components – (continued) | ||||||||
Iljin Materials Co. Ltd. | 936 | $ | 30,612 | |||||
Inari Amertron Bhd. | 78,000 | 25,758 | ||||||
Innolux Corp. | 440,000 | 96,770 | ||||||
ITEQ Corp. | 7,554 | 36,834 | ||||||
Kaimei Electronic Corp. | 110,000 | 127,251 | ||||||
KCE Electronics PCL, NVDR | 27,600 | 14,928 | ||||||
Kingboard Holdings Ltd. | 28,000 | 69,058 | ||||||
Kingboard Laminates Holdings Ltd. | 21,000 | 20,560 | ||||||
L&F Co. Ltd. | 574 | 8,998 | ||||||
Largan Precision Co. Ltd. | 2,300 | 317,892 | ||||||
LG Display Co. Ltd.* | 8,470 | 76,814 | ||||||
LG Innotek Co. Ltd. | 377 | 40,842 | ||||||
Lotes Co. Ltd. | 1,256 | 14,150 | ||||||
Mcnex Co. Ltd. | 7,810 | 190,691 | ||||||
Merry Electronics Co. Ltd. | 4,161 | 19,590 | ||||||
Pan-International Industrial Corp. | 263,000 | 168,485 | ||||||
Partron Co. Ltd. | 28,455 | 187,762 | ||||||
Prosperity Dielectrics Co. Ltd. | 55,000 | 110,605 | ||||||
Redington India Ltd. | 185,955 | 183,863 | ||||||
Samsung Electro-Mechanics Co. Ltd. | 1,045 | 97,343 | ||||||
Samsung SDI Co. Ltd. | 1,155 | 271,107 | ||||||
Simplo Technology Co. Ltd. | 3,200 | 33,575 | ||||||
Sinbon Electronics Co. Ltd. | 3,253 | 16,026 | ||||||
Sunny Optical Technology Group Co. Ltd. | 16,400 | 232,915 | ||||||
Supreme Electronics Co. Ltd. | 257,000 | 291,255 | ||||||
Synnex Technology International Corp. | 73,000 | 97,950 | ||||||
Taiwan PCB Techvest Co. Ltd. | 165,000 | 187,547 | ||||||
Taiwan Union Technology Corp. | 7,000 | 32,014 | ||||||
Telcon RF Pharmaceutical, Inc.* | 2,328 | 9,572 | ||||||
Tong Hsing Electronic Industries Ltd.* | 4,000 | 16,478 | ||||||
Tripod Technology Corp. | 20,000 | 71,629 | ||||||
Unimicron Technology Corp. | 41,000 | 59,081 | ||||||
VS Industry Bhd. | 22,800 | 4,905 | ||||||
Wah Lee Industrial Corp. | 110,000 | 201,234 |
See Accompanying Notes to the Financial Statements.
168 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Electronic Equipment, Instruments & Components – (continued) | ||||||||
Walsin Technology Corp. | 9,378 | $ | 67,174 | |||||
Wintek Corp.* ‡ (c) | 64,000 | — | ||||||
WiSoL Co. Ltd. | 13,255 | 112,593 | ||||||
WPG Holdings Ltd. | 55,440 | 72,617 | ||||||
WT Microelectronics Co. Ltd. | 330,182 | 428,043 | ||||||
Yageo Corp. | 12,575 | 165,346 | ||||||
Zhen Ding Technology Holding Ltd. | 27,150 | 98,606 | ||||||
8,842,323 | ||||||||
Energy Equipment & Services – 0.1% | ||||||||
China Oilfield Services Ltd., Class H | 50,000 | 38,827 | ||||||
Dialog Group Bhd. | 60,500 | 46,852 | ||||||
Gulf International Services QSC* | 23,256 | 8,240 | ||||||
Sapura Energy Bhd. | 195,700 | 3,868 | ||||||
Serba Dinamik Holdings Bhd. | 54,180 | 20,034 | ||||||
TMK PJSC | 230,450 | 176,448 | ||||||
Yinson Holdings Bhd. | 25,000 | 30,116 | ||||||
324,385 | ||||||||
Entertainment – 0.9% | ||||||||
Alibaba Pictures Group Ltd.* (a) | 340,000 | 45,612 | ||||||
Bilibili, Inc., ADR* (a) | 2,660 | 72,857 | ||||||
CD Projekt SA | 1,406 | 121,412 | ||||||
CJ CGV Co. Ltd.* | 670 | 14,682 | ||||||
Com2uSCorp | 367 | 32,229 | ||||||
Gamania Digital Entertainment Co. Ltd. | 6,000 | 10,674 | ||||||
iDreamSky Technology Holdings Ltd.* (b) | 330,000 | 203,474 | ||||||
IMAX China Holding, Inc.(b) | 1,900 | 2,863 | ||||||
International Games System Co. Ltd. | 2,000 | 37,530 | ||||||
iQIYI, Inc., ADR* | 5,776 | 98,019 | ||||||
Jcontentree Corp. | 239 | 6,875 | ||||||
JYP Entertainment Corp. | 1,093 | 18,614 | ||||||
Major Cineplex Group PCL, NVDR | 25,300 | 11,338 |
Investments | Shares | Value | ||||||
Entertainment – (continued) | ||||||||
Nan Hai Corp. Ltd.(a) | 11,000,000 | $ | 93,649 | |||||
NCSoft Corp. | 330 | 174,147 | ||||||
NetDragon Websoft Holdings Ltd. | 153,500 | 427,690 | ||||||
NetEase, Inc., ADR | 1,485 | 512,265 | ||||||
Netmarble Corp.* (b) | 935 | 73,284 | ||||||
NHN Corp.* | 315 | 19,751 | ||||||
Pearl Abyss Corp.* | 108 | 17,045 | ||||||
PVR Ltd. | 1,040 | 14,027 | ||||||
SM Entertainment Co. Ltd.* | 831 | 18,892 | ||||||
SMI Holdings Group Ltd.* ‡ (c) | 72,000 | 10,866 | ||||||
Soft-World International Corp. | 5,000 | 14,057 | ||||||
Webzen, Inc.* | 474 | 6,477 | ||||||
Wemade Co. Ltd. | 299 | 5,803 | ||||||
XPEC Entertainment, Inc.* ‡ (c) | 14,800 | — | ||||||
2,064,132 | ||||||||
Equity Real Estate Investment Trusts (REITs) – 0.7% | ||||||||
Attacq Ltd. | 22,672 | 6,679 | ||||||
Concentradora Fibra Danhos SA de CV | 18,800 | 14,702 | ||||||
CPN Retail Growth Leasehold REIT | 44,100 | 40,549 | ||||||
Emlak Konut Gayrimenkul Yatirim Ortakligi A/S* | 1,269,895 | 227,108 | ||||||
Equites Property Fund Ltd. | 11,527 | 10,325 | ||||||
Fibra Uno Administracion SA de CV | 60,500 | 50,235 | ||||||
Fortress REIT Ltd., Class A | 56,430 | 31,096 | ||||||
Fortress REIT Ltd., Class B | 37,279 | 4,750 | ||||||
Growthpoint Properties Ltd. | 129,195 | 97,995 | ||||||
Hyprop Investments Ltd. | 162,881 | 168,513 | ||||||
IGB REIT | 68,800 | 27,680 | ||||||
Investec Property Fund Ltd. | 346,280 | 155,557 | ||||||
KLCCP Stapled Group | 6,900 | 12,580 | ||||||
Korea Asset In Trust Co. Ltd. | 34,798 | 68,971 | ||||||
Macquarie Mexico Real Estate Management SA de CV(b) | 19,100 | 15,971 | ||||||
Pavilion REIT | 46,200 | 17,406 | ||||||
PLA Administradora Industrial S de RL de CV | 493,200 | 517,642 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 169 |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Equity Real Estate Investment Trusts (REITs) – (continued) | ||||||||
Prologis Property Mexico SA de CV | 10,400 | $ | 17,162 | |||||
Redefine Properties Ltd. | 237,600 | 29,368 | ||||||
Resilient REIT Ltd. | 7,546 | 14,788 | ||||||
Sunway REIT | 39,400 | 14,386 | ||||||
Vukile Property Fund Ltd. | 32,833 | 9,672 | ||||||
YTL Hospitality REIT | 43,000 | 9,500 | ||||||
Yuexiu REIT | 56,000 | 27,377 | ||||||
1,590,012 | ||||||||
Food & Staples Retailing – 0.9% | ||||||||
Abdullah Al Othaim Markets Co. | 944 | 25,064 | ||||||
Al Meera Consumer Goods Co. QSC | 1,990 | 9,565 | ||||||
Atacadao SA* | 7,700 | 28,449 | ||||||
Avenue Supermarts Ltd.* (b) | 2,365 | 75,069 | ||||||
Berli Jucker PCL | 500 | 622 | ||||||
Berli Jucker PCL, NVDR | 32,500 | 40,430 | ||||||
BGF retail Co. Ltd. | 264 | 34,234 | ||||||
Bid Corp. Ltd.(a) | 6,160 | 81,054 | ||||||
BIM Birlesik Magazalar A/S | 10,120 | 80,141 | ||||||
Cencosud SA | 35,915 | 43,392 | ||||||
Cia Brasileira de Distribuicao* | 3,933 | 48,112 | ||||||
Clicks Group Ltd. | 4,675 | 58,730 | ||||||
Cosco Capital, Inc. | 1,784,800 | 176,320 | ||||||
CP ALL PCL, NVDR | 88,000 | 193,108 | ||||||
Dino Polska SA* (b) | 881 | 37,145 | ||||||
Dis-Chem Pharmacies Ltd.(b) | 17,784 | 21,256 | ||||||
Dongsuh Cos., Inc. | 859 | 12,196 | ||||||
E-MART, Inc. | 880 | 86,668 | ||||||
Eurocash SA | 592 | 3,059 | ||||||
Grupo Comercial Chedraui SA de CV | 10,400 | 12,623 | ||||||
GS Retail Co. Ltd. | 575 | 17,909 | ||||||
Hyundai Greenfood Co. Ltd. | 2,808 | 18,874 | ||||||
InRetail Peru Corp.(b) | 933 | 28,923 | ||||||
Magnit PJSC | 3,190 | 159,179 | ||||||
Massmart Holdings Ltd.* | 5,387 | 7,239 | ||||||
Migros Ticaret A/S* | 152 | 638 | ||||||
Organizacion Soriana SAB de CV, Class B(a) | 17,200 | 12,916 |
Investments | Shares | Value | ||||||
Food & Staples Retailing – (continued) | ||||||||
Philippine Seven Corp. | 5,321 | $ | 13,036 | |||||
Pick n Pay Stores Ltd. | 9,735 | 30,745 | ||||||
President Chain Store Corp. | 11,000 | 113,934 | ||||||
Puregold Price Club, Inc. | 26,060 | 23,935 | ||||||
Raia Drogasil SA | 5,500 | 106,458 | ||||||
Shoprite Holdings Ltd. | 10,010 | 58,392 | ||||||
Sok Marketler Ticaret A/S* | 7,298 | 11,412 | ||||||
SPAR Group Ltd. (The) | 3,630 | 34,962 | ||||||
Sun Art Retail Group Ltd. | 55,000 | 91,663 | ||||||
Taiwan TEA Corp. | 8,000 | 3,834 | ||||||
Wal-Mart de Mexico SAB de CV | 104,500 | 254,425 | ||||||
2,055,711 | ||||||||
Food Products – 1.8% | ||||||||
Alicorp SAA* | 7,591 | 15,426 | ||||||
Almarai Co. JSC | 5,995 | 78,390 | ||||||
Astra Agro Lestari Tbk. PT* | 20,800 | 8,530 | ||||||
Avanti Feeds Ltd. | 2,250 | 12,963 | ||||||
AVI Ltd. | 8,085 | 34,647 | ||||||
Binggrae Co. Ltd. | 321 | 16,755 | ||||||
Bombay Burmah Trading Co. | 10,560 | 127,136 | ||||||
BRF SA* | 17,100 | 61,251 | ||||||
Britannia Industries Ltd. | 1,265 | 53,328 | ||||||
Camil Alimentos SA* | 73,400 | 110,643 | ||||||
Century Pacific Food, Inc. | 17,700 | 5,021 | ||||||
Charoen Pokphand Foods PCL, NVDR | 71,500 | 59,666 | ||||||
Charoen Pokphand Indonesia Tbk. PT | 170,700 | 52,788 | ||||||
China Foods Ltd.(a) | 46,789 | 15,451 | ||||||
China Huiyuan Juice Group Ltd.* ‡ (c) | 24,000 | — | ||||||
China Mengniu Dairy Co. Ltd.* | 55,000 | 196,166 | ||||||
China Modern Dairy Holdings Ltd.* | 76,000 | 8,039 | ||||||
CJ CheilJedang Corp. | 206 | 46,071 | ||||||
CJ CheilJedang Corp. (Preference) | 104 | 9,517 | ||||||
CP Pokphand Co. Ltd. | 204,000 | 17,631 | ||||||
Daesang Corp. | 13,256 | 238,259 | ||||||
Dali Foods Group Co. Ltd.(b) | 45,500 | 27,996 |
See Accompanying Notes to the Financial Statements.
170 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Food Products – (continued) | ||||||||
Dongwon F&B Co. Ltd. | 79 | $ | 12,773 | |||||
Dongwon Industries Co. Ltd. | 843 | 156,361 | ||||||
Dutch Lady Milk Industries Bhd. | 700 | 7,830 | ||||||
FGV Holdings Bhd.* | 38,800 | 7,670 | ||||||
Genting Plantations Bhd. | 10,400 | 23,194 | ||||||
Gruma SAB de CV, Class B(a) | 5,225 | 50,207 | ||||||
Grupo Bimbo SAB de CV, Series A(a) | 33,000 | 49,327 | ||||||
Grupo Lala SAB de CV(a) | 16,800 | 8,008 | ||||||
Grupo Nutresa SA | 3,592 | 20,216 | ||||||
Harim Holdings Co. Ltd. | 7 | 37 | ||||||
Health & Happiness H&H International Holdings Ltd.(a) | 5,500 | 20,965 | ||||||
HUISHAN DAIRY* ‡ (c) | 158,000 | — | ||||||
Indofood CBP Sukses Makmur Tbk. PT | 57,100 | 37,907 | ||||||
Indofood Sukses Makmur Tbk. PT | 115,500 | 50,665 | ||||||
Industrias Bachoco SAB de CV, Series B | 7,300 | 21,440 | ||||||
IOI Corp. Bhd. | 66,000 | 62,316 | ||||||
Japfa Comfeed Indonesia Tbk. PT* | 350,200 | 22,954 | ||||||
JBS SA | 22,000 | 96,887 | ||||||
Juhayna Food Industries | 35,793 | 16,658 | ||||||
Kernel Holding SA | 2,533 | 24,528 | ||||||
KRBL Ltd. | 2,726 | 6,959 | ||||||
Kuala Lumpur Kepong Bhd. | 11,231 | 54,849 | ||||||
Lien Hwa Industrial Holdings Corp. | 23,967 | 34,738 | ||||||
Lotte Food Co. Ltd. | 330 | 103,595 | ||||||
Mayora Indah Tbk. PT | 83,900 | 12,127 | ||||||
Minerva SA* | 165,000 | 373,691 | ||||||
Namchow Holdings Co. Ltd. | 6,000 | 9,140 | ||||||
Namyang Dairy Products Co. Ltd. | 35 | 9,221 | ||||||
Naturecell Co. Ltd.* | 782 | 7,092 | ||||||
Nestle India Ltd. | 495 | 118,153 | ||||||
Nestle Malaysia Bhd. | 1,700 | 55,388 |
Investments | Shares | Value | ||||||
Food Products – (continued) | ||||||||
Nong Shim Holdings Co. Ltd. | 1,210 | $ | 73,983 | |||||
NongShim Co. Ltd. | 56 | 13,581 | ||||||
Oceana Group Ltd. | 2,143 | 7,118 | ||||||
Orion Corp. | 550 | 55,973 | ||||||
Orion Holdings Corp. | 1,890 | 21,871 | ||||||
Ottogi Corp. | 15 | 6,709 | ||||||
Perusahaan Perkebunan London Sumatra Indonesia Tbk. PT | 122,600 | 5,852 | ||||||
PPB Group Bhd. | 15,680 | 60,022 | ||||||
QL Resources Bhd. | 18,430 | 34,931 | ||||||
Samyang Corp. | 1,980 | 63,701 | ||||||
Samyang Foods Co. Ltd. | 86 | 7,129 | ||||||
Samyang Holdings Corp. | 3,906 | 159,965 | ||||||
San Miguel Food and Beverage, Inc. | 15,960 | 18,680 | ||||||
Savola Group (The) | 6,215 | 67,033 | ||||||
Sawit Sumbermas Sarana Tbk. PT | 135,700 | 8,165 | ||||||
Sime Darby Plantation Bhd. | 60,700 | 69,876 | ||||||
SLC Agricola SA | 55,000 | 243,844 | ||||||
SPC Samlip Co. Ltd. | 191 | 11,145 | ||||||
Standard Foods Corp. | 7,652 | 17,318 | ||||||
Tata Consumer Products Ltd. | 5,780 | 27,062 | ||||||
Thai Union Group PCL, NVDR | 45,100 | 18,260 | ||||||
Thai Vegetable Oil PCL, NVDR | 15,570 | 11,790 | ||||||
Tiger Brands Ltd. | 2,035 | 20,012 | ||||||
Tingyi Cayman Islands Holding Corp. | 40,000 | 70,791 | ||||||
Ulker Biskuvi Sanayi A/S | 4,225 | 14,326 | ||||||
Uni-President China Holdings Ltd. | 42,000 | 42,312 | ||||||
Uni-President Enterprises Corp. | 110,000 | 257,091 | ||||||
Universal Robina Corp. | 19,250 | 48,077 | ||||||
Want Want China Holdings Ltd. | 110,000 | 78,892 | ||||||
Yihai International Holding Ltd.* | 9,000 | 71,978 | ||||||
Zhou Hei Ya International Holdings Co. Ltd.(b) | 14,000 | 7,856 | ||||||
4,285,913 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 171 |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Gas Utilities – 0.5% | ||||||||
Aygaz A/S | 61,490 | $ | 90,702 | |||||
Beijing Enterprises Holdings Ltd. | 25,500 | 90,621 | ||||||
China Gas Holdings Ltd. | 44,000 | 162,609 | ||||||
China Resources Gas Group Ltd. | 22,000 | 124,298 | ||||||
China Tian Lun Gas Holdings Ltd.(a) | 165,000 | 128,129 | ||||||
ENN Energy Holdings Ltd. | 16,500 | 186,447 | ||||||
GAIL India Ltd. | 40,480 | 51,587 | ||||||
Great Taipei Gas Co. Ltd. | 5,000 | 5,095 | ||||||
Grupo Energia Bogota SA ESP | 60,577 | 34,618 | ||||||
Gujarat State Petronet Ltd. | 2,352 | 6,491 | ||||||
Indraprastha Gas Ltd. | 945 | 5,998 | ||||||
Infraestructura Energetica Nova SAB de CV | 11,000 | 34,529 | ||||||
Korea Gas Corp. | 1,375 | 30,413 | ||||||
Kunlun Energy Co. Ltd. | 190,000 | 123,769 | ||||||
Mahanagar Gas Ltd.(b) | 1,456 | 18,860 | ||||||
Perusahaan Gas Negara Tbk. PT | 286,100 | 16,445 | ||||||
Petronas Gas Bhd. | 15,700 | 56,228 | ||||||
Promigas SA ESP | 10,792 | 19,246 | ||||||
Samchully Co. Ltd. | 1,430 | 87,083 | ||||||
Zhongyu Gas Holdings Ltd. | 10,000 | 8,526 | ||||||
1,281,694 | ||||||||
Health Care Equipment & Supplies – 0.1% | ||||||||
Dentium Co. Ltd.* | 344 | 10,559 | ||||||
DIO Corp.* | 520 | 12,227 | ||||||
Ginko International Co. Ltd. | 3,000 | 15,940 | ||||||
Hartalega Holdings Bhd. | 33,000 | 58,326 | ||||||
Kossan Rubber Industries | 17,700 | 23,051 | ||||||
Lifetech Scientific Corp.* | 82,000 | 18,087 | ||||||
Microport Scientific Corp.(a) | 11,098 | 24,165 | ||||||
Pihsiang Machinery Manufacturing Co. Ltd.* ‡ (c) | 5,000 | — | ||||||
Shandong Weigao Group Medical Polymer Co. Ltd., Class H | 48,000 | 73,186 |
Investments | Shares | Value | ||||||
Health Care Equipment & Supplies – (continued) | ||||||||
St Shine Optical Co. Ltd. | 2,000 | $ | 23,574 | |||||
Top Glove Corp. Bhd. | 30,700 | 51,833 | ||||||
Value Added Technology Co. Ltd. | 510 | 10,652 | ||||||
321,600 | ||||||||
Health Care Providers & Services – 0.6% | ||||||||
Apollo Hospitals Enterprise Ltd. | 1,800 | 33,422 | ||||||
Bangkok Chain Hospital PCL, NVDR | 4,800 | 2,033 | ||||||
Bangkok Dusit Medical Services PCL, NVDR | 88,000 | 56,572 | ||||||
Bumrungrad Hospital PCL, NVDR | 10,300 | 37,405 | ||||||
Celltrion Healthcare Co. Ltd.* | 1,803 | 125,187 | ||||||
Chabiotech Co. Ltd.* | 1,560 | 21,829 | ||||||
China Resources Medical Holdings Co. Ltd. | 30,000 | 15,324 | ||||||
Chularat Hospital PCL, NVDR | 183,100 | 13,921 | ||||||
Dr Lal PathLabs Ltd.(b) | 430 | 9,081 | ||||||
Fleury SA | 7,200 | 30,325 | ||||||
Fortis Healthcare Ltd.* | 9,651 | 16,322 | ||||||
Genertec Universal Medical Group Co. Ltd.(a) (b) | 687,500 | 416,809 | ||||||
Hapvida Participacoes e Investimentos SA(b) | 5,300 | 51,343 | ||||||
HLB Life Science Co. Ltd.* | 1,132 | 17,652 | ||||||
IHH Healthcare Bhd. | 66,000 | 80,581 | ||||||
Instituto Hermes Pardini SA | 1,800 | 6,467 | ||||||
Jinxin Fertility Group Ltd.* (a) (b) | 28,000 | 35,721 | ||||||
KPJ Healthcare Bhd. | 14,124 | 2,940 | ||||||
Life Healthcare Group Holdings Ltd. | 35,903 | 34,916 | ||||||
Medipost Co. Ltd.* | 446 | 9,645 | ||||||
Mitra Keluarga Karyasehat Tbk. PT(b) | 157,500 | 20,594 | ||||||
Mouwasat Medical Services Co. | 1,395 | 31,578 | ||||||
Netcare Ltd. | 36,355 | 30,684 | ||||||
Notre Dame Intermedica Participacoes SA | 11,000 | 111,376 | ||||||
Odontoprev SA | 4,900 | 13,578 |
See Accompanying Notes to the Financial Statements.
172 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Health Care Providers & Services – (continued) | ||||||||
Qualicorp Consultoria e Corretora de Seguros SA | 6,600 | $ | 31,602 | |||||
Shanghai Pharmaceuticals Holding Co. Ltd., Class H | 27,500 | 48,456 | ||||||
Sinopharm Group Co. Ltd., Class H | 22,000 | 59,595 | ||||||
1,364,958 | ||||||||
Health Care Technology – 0.1% | ||||||||
Alibaba Health Information Technology Ltd.* | 68,000 | 164,554 | ||||||
Ping An Healthcare and Technology Co. Ltd.* (a) (b) | 3,200 | 44,332 | ||||||
208,886 | ||||||||
Hotels, Restaurants & Leisure – 0.6% | ||||||||
Alsea SAB de CV* | 9,733 | 8,122 | ||||||
Altus San Nicolas Corp.* (c) | 2,005 | 207 | ||||||
AmRest Holdings SE* | 994 | 6,565 | ||||||
Ananti, Inc.* | 1,058 | 8,683 | ||||||
Asset World Corp. PCL, NVDR | 182,400 | 31,006 | ||||||
Berjaya Sports Toto Bhd. | 11,300 | 6,097 | ||||||
BK Brasil Operacao e Assessoria a Restaurantes SA* | 2,800 | 4,893 | ||||||
Bloomberry Resorts Corp. | 88,700 | 9,854 | ||||||
Central Plaza Hotel PCL* | 1,600 | 1,068 | ||||||
Central Plaza Hotel PCL, NVDR* | 31,200 | 20,829 | ||||||
China Travel International Investment Hong Kong Ltd.(a) | 1,430,000 | 201,062 | ||||||
CVC Brasil Operadora e Agencia de Viagens SA* | 3,400 | 8,668 | ||||||
DoubleUGames Co. Ltd. | 312 | 14,852 | ||||||
Formosa International Hotels Corp. | 2,311 | 10,997 | ||||||
Genting Bhd. | 99,000 | 96,007 | ||||||
Genting Malaysia Bhd. | 71,500 | 39,408 | ||||||
Gourmet Master Co. Ltd. | 4,868 | 15,797 | ||||||
Grand Korea Leisure Co. Ltd. | 1,040 | 13,529 |
Investments | Shares | Value | ||||||
Hotels, Restaurants & Leisure – (continued) | ||||||||
Haidilao International Holding | 18,164 | $ | 79,077 | |||||
Hana Tour Service, Inc. | 403 | 14,024 | ||||||
Huazhu Group Ltd., ADR(a) | 1,650 | 59,416 | ||||||
Indian Hotels Co. Ltd. (The) | 9,131 | 9,715 | ||||||
Jollibee Foods Corp. | 11,480 | 32,589 | ||||||
Jubilant Foodworks Ltd. | 2,038 | 43,653 | ||||||
Kangwon Land, Inc. | 2,640 | 54,275 | ||||||
Magnum Bhd. | 19,400 | 9,926 | ||||||
Minor International PCL, NVDR | 44,000 | 28,694 | ||||||
MK Restaurants Group PCL, NVDR | 10,400 | 17,679 | ||||||
OPAP SA | 4,240 | 38,081 | ||||||
Paradise Co. Ltd. | 2,112 | 27,300 | ||||||
Saudi Airlines Catering Co. | 893 | 19,002 | ||||||
Thomas Cook India Ltd. | 2,244 | 805 | ||||||
Travellers International Hotel Group, Inc.‡ (c) | 209,900 | 16,926 | ||||||
Tsogo Sun Gaming Ltd. | 342,449 | 48,668 | ||||||
Xiabuxiabu Catering Management China Holdings Co. Ltd.* (b) | 11,500 | 10,473 | ||||||
Yum China Holdings, Inc. | 7,425 | 359,815 | ||||||
1,367,762 | ||||||||
Household Durables – 0.5% | ||||||||
Arcelik A/S* | 13,119 | 30,782 | ||||||
Coway Co. Ltd. | 1,046 | 52,710 | ||||||
Crompton Greaves Consumer Electricals Ltd. | 2,687 | 7,951 | ||||||
Cyrela Brazil Realty SA Empreendimentos e Participacoes | 10,400 | 30,566 | ||||||
Dom Development SA | 5,555 | 104,630 | ||||||
Ez Tec Empreendimentos e Participacoes SA | 3,515 | 19,616 | ||||||
Haier Electronics Group Co. Ltd. | 33,000 | 90,882 | ||||||
Hanssem Co. Ltd. | 303 | 18,104 | ||||||
Kasen International Holdings Ltd.* | 32,000 | 5,119 | ||||||
LG Electronics, Inc. | 4,675 | 210,643 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 173 |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Household Durables – (continued) | ||||||||
LG Electronics, Inc. (Preference) | 1,345 | $ | 23,402 | |||||
Lock&Lock Co. Ltd.* | 728 | 6,602 | ||||||
MRV Engenharia e Participacoes SA | 11,000 | 30,785 | ||||||
Nien Made Enterprise Co. Ltd. | 4,000 | 30,938 | ||||||
PIK Group PJSC | 5,594 | 29,616 | ||||||
Skyworth Group Ltd.(a) | 1,100,000 | 256,825 | ||||||
Symphony Ltd. | 1,272 | 15,626 | ||||||
Tatung Co. Ltd.* | 46,000 | 33,259 | ||||||
TCL Electronics Holdings Ltd. | 495,000 | 201,771 | ||||||
TTK Prestige Ltd. | 242 | 15,549 | ||||||
Whirlpool of India Ltd. | 674 | 18,482 | ||||||
1,233,858 | ||||||||
Household Products – 0.2% | ||||||||
Hindustan Unilever Ltd. | 15,844 | 463,128 | ||||||
Jyothy Labs Ltd. | 3,300 | 5,100 | ||||||
Kimberly-Clark de Mexico SAB de CV, Class A | 31,000 | 44,319 | ||||||
Unilever Indonesia Tbk. PT | 88,000 | 48,955 | ||||||
Vinda International Holdings Ltd. | 3,000 | 8,939 | ||||||
570,441 | ||||||||
Independent Power and Renewable Electricity Producers – 1.4% | ||||||||
Aboitiz Power Corp. | 34,200 | 18,589 | ||||||
Adani Green Energy Ltd.* | 5,541 | 15,528 | ||||||
Adani Power Ltd.* | 20,413 | 8,603 | ||||||
AES Gener SA | 216,720 | 31,892 | ||||||
AES Tiete Energia SA | 2 | 1 | ||||||
AES Tiete Energia SA – UNIT* | 99,000 | 265,180 | ||||||
AES Tiete Energia SA (Preference) | 30 | 16 | ||||||
B Grimm Power PCL, NVDR | 26,600 | 36,790 | ||||||
Banpu Power PCL, NVDR | 41,600 | 20,058 | ||||||
BCPG PCL, NVDR | 1,600 | 801 | ||||||
Beijing Enterprises Clean Energy Group Ltd.* (a) | 22,000,000 | 90,811 |
Investments | Shares | Value | ||||||
Independent Power and Renewable Electricity Producers – (continued) | ||||||||
CGN New Energy Holdings Co. Ltd. | 770,000 | $ | 158,920 | |||||
CGN Power Co. Ltd., Class H* (b) | 385,000 | 96,345 | ||||||
China Everbright Greentech | 385,000 | 159,416 | ||||||
China Longyuan Power Group Corp. Ltd., Class H | 139,000 | 69,389 | ||||||
China Power International Development Ltd. | 228,000 | 46,174 | ||||||
China Resources Power Holdings Co. Ltd. | 84,000 | 99,578 | ||||||
Cia Energetica de Sao Paulo (Preference), Class B | 7,600 | 39,535 | ||||||
Colbun SA | 27,248 | 3,993 | ||||||
Datang International Power Generation Co. Ltd., Class H(a) | 1,870,000 | 272,575 | ||||||
Electricity Generating PCL, NVDR | 5,500 | 48,617 | ||||||
Energy Absolute PCL, NVDR | 38,500 | 47,895 | ||||||
Eneva SA* | 5,500 | 36,556 | ||||||
Engie Brasil Energia SA | 6,450 | 46,612 | ||||||
First Gen Corp. | 82,400 | 31,057 | ||||||
GCL New Energy Holdings Ltd.* | 5,060,000 | 70,492 | ||||||
Global Power Synergy PCL, NVDR | 20,868 | 45,470 | ||||||
Gulf Energy Development PCL, NVDR | 98,400 | 117,849 | ||||||
Huadian Power International Corp. Ltd., Class H | 1,066,000 | 369,893 | ||||||
Huaneng Power International, Inc., Class H | 180,000 | 67,799 | ||||||
Hub Power Co. Ltd. (The)* | 522,500 | 274,355 | ||||||
JSW Energy Ltd. | 3,160 | 1,877 | ||||||
Malakoff Corp. Bhd. | 2,800 | 567 | ||||||
NHPC Ltd. | 79,420 | 21,998 | ||||||
NTPC Ltd. | 110,165 | 139,439 | ||||||
OGK-2 PJSC | 20,066,280 | 171,849 | ||||||
Ratch Group PCL, NVDR | 9,300 | 19,115 | ||||||
SPCG PCL, NVDR | 313,500 | 168,595 | ||||||
Taiwan Cogeneration Corp. | 18,000 | 20,006 |
See Accompanying Notes to the Financial Statements.
174 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Independent Power and Renewable Electricity Producers – (continued) | ||||||||
Terna Energy SA* | 933 | $ | 8,717 | |||||
TPI Polene Power PCL, NVDR | 156,000 | 18,900 | ||||||
Unipro PJSC | 284,000 | 10,769 | ||||||
3,172,621 | ||||||||
Industrial Conglomerates – 1.6% | ||||||||
3M India Ltd.* | 69 | 17,826 | ||||||
Aamal Co. | 1,062,986 | 175,169 | ||||||
Aboitiz Equity Ventures, Inc. | 51,320 | 42,249 | ||||||
AG Anadolu Grubu Holding A/S | 79,585 | 189,014 | ||||||
Alfa SAB de CV, Class A(a) | 115,500 | 47,830 | ||||||
Alliance Global Group, Inc.* | 243,200 | 31,166 | ||||||
AntarChile SA | 6,469 | 44,623 | ||||||
Ayala Corp. | 5,500 | 63,499 | ||||||
BGF Co. Ltd. | 19,415 | 76,882 | ||||||
Bidvest Group Ltd. (The) | 7,810 | 64,024 | ||||||
Boustead Holdings Bhd.* | 31,200 | 3,301 | ||||||
CJ Corp. | 660 | 43,875 | ||||||
DMCI Holdings, Inc. | 149,300 | 12,202 | ||||||
Dogan Sirketler Grubu Holding A/S | 743,710 | 191,527 | ||||||
Doosan Co. Ltd. | 688 | 22,784 | ||||||
Doosan Co. Ltd. (Preference) | 376 | 9,227 | ||||||
Dubai Investments PJSC | 1,175,295 | 383,968 | ||||||
Enka Insaat ve Sanayi A/S | 31,920 | 27,629 | ||||||
Far Eastern New Century Corp. | 80,000 | 69,948 | ||||||
Fosun International Ltd.(a) | 95,000 | 120,338 | ||||||
Godrej Industries Ltd. | 3,377 | 11,897 | ||||||
Grupo Carso SAB de CV, | 11,100 | 22,494 | ||||||
GT Capital Holdings, Inc.* | 2,280 | 20,489 | ||||||
Hanwha Corp. | 1,980 | 33,638 | ||||||
Hanwha Corp. (3rd Preference) | 1,425 | 13,333 | ||||||
HAP Seng Consolidated Bhd. | 11,900 | 20,368 | ||||||
Hong Leong Industries Bhd. | 1,200 | 2,302 | ||||||
Hyosung Corp. | 201 | 11,514 | ||||||
Industries Qatar QSC | 37,455 | 72,523 | ||||||
JG Summit Holdings, Inc. | 62,860 | 63,471 | ||||||
KAP Industrial Holdings Ltd. | 1,728,839 | 188,275 |
Investments | Shares | Value | ||||||
Industrial Conglomerates – (continued) | ||||||||
KOC Holding A/S | 50,270 | $ | 110,329 | |||||
LG Corp. | 5,830 | 296,656 | ||||||
Lotte Corp. | 1,595 | 52,493 | ||||||
LT Group, Inc.* | 131,600 | 20,232 | ||||||
Mytilineos SA | 4,712 | 35,095 | ||||||
Opus Global Nyrt.* | 138,655 | 114,730 | ||||||
Quinenco SA | 12,939 | 18,889 | ||||||
Reunert Ltd. | 104,396 | 227,324 | ||||||
Samsung C&T Corp. | 1,870 | 162,682 | ||||||
San Miguel Corp. | 8,340 | 16,048 | ||||||
Shanghai Industrial Holdings Ltd. | 24,000 | 40,741 | ||||||
Siemens Ltd. | 2,163 | 32,829 | ||||||
Sigdo Koppers SA | 16,555 | 16,070 | ||||||
Sime Darby Bhd. | 22,100 | 10,279 | ||||||
SK Holdings Co. Ltd. | 1,705 | 254,676 | ||||||
SM Investments Corp. | 9,900 | 165,949 | ||||||
Top Frontier Investment Holdings, Inc.* | 28,600 | 80,563 | ||||||
Turkiye Sise ve Cam Fabrikalari A/S | 38,243 | 26,537 | ||||||
3,779,507 | ||||||||
Insurance – 3.5% | ||||||||
Bajaj Finserv Ltd. | 770 | 52,338 | ||||||
Bangkok Life Assurance PCL, NVDR | 269,500 | 129,107 | ||||||
BB Seguridade Participacoes SA | 16,500 | 80,926 | ||||||
Bupa Arabia for Cooperative Insurance Co. | 864 | 24,712 | ||||||
Cathay Financial Holding Co. Ltd. | 384,000 | 515,246 | ||||||
China Development Financial Holding Corp. | 550,000 | 167,572 | ||||||
China Life Insurance Co. Ltd. | 140,000 | 96,514 | ||||||
China Life Insurance Co. Ltd., Class H | 167,000 | 356,302 | ||||||
China Pacific Insurance Group Co. Ltd., Class H | 110,000 | 364,664 | ||||||
China Reinsurance Group Corp., Class H | 3,905,000 | 458,384 | ||||||
China Taiping Insurance Holdings Co. Ltd. | 66,000 | 111,187 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 175 |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Insurance – (continued) | ||||||||
Co. for Cooperative Insurance (The)* | 2,678 | $ | 51,777 | |||||
DB Insurance Co. Ltd. | 2,014 | 72,976 | ||||||
Discovery Ltd.(a) | 10,175 | 53,742 | ||||||
Fanhua, Inc., ADR | 280 | 5,300 | ||||||
Fubon Financial Holding Co. Ltd. | 330,000 | 469,423 | ||||||
General Insurance Corp. of | 8,949 | 16,684 | ||||||
Hanwha Life Insurance Co. Ltd. | 22,248 | 32,867 | ||||||
HDFC Life Insurance Co. Ltd.* (b) | 11,220 | 74,862 | ||||||
Hyundai Marine & Fire Insurance Co. Ltd. | 2,970 | 63,619 | ||||||
ICICI Lombard General Insurance Co. Ltd.(b) | 1,869 | 32,121 | ||||||
ICICI Prudential Life Insurance Co. Ltd.(b) | 6,796 | 37,281 | ||||||
IRB Brasil Resseguros S/A | 11,000 | 20,767 | ||||||
Korean Reinsurance Co. | 6,490 | 44,742 | ||||||
Liberty Holdings Ltd. | 5,244 | 20,131 | ||||||
Max Financial Services Ltd.* | 2,721 | 17,023 | ||||||
Mercuries Life Insurance Co. Ltd.* | 20,268 | 6,550 | ||||||
Meritz Fire & Marine Insurance Co. Ltd. | 2,860 | 32,509 | ||||||
Mirae Asset Life Insurance Co. Ltd. | 45,267 | 134,116 | ||||||
Momentum Metropolitan Holdings | 38,280 | 36,477 | ||||||
New China Life Insurance Co. Ltd., Class H | 38,500 | 133,592 | ||||||
Old Mutual Ltd. | 208,780 | 152,563 | ||||||
Panin Financial Tbk. PT* | 8,448,000 | 102,796 | ||||||
People’s Insurance Co. Group of China Ltd. (The), Class H | 330,000 | 108,122 | ||||||
PICC Property & Casualty Co. Ltd., Class H | 330,000 | 316,278 | ||||||
Ping An Insurance Group Co. of China Ltd., Class H(a) | 240,000 | 2,467,381 | ||||||
Porto Seguro SA | 4,000 | 33,466 |
Investments | Shares | Value | ||||||
Insurance – (continued) | ||||||||
Powszechny Zaklad Ubezpieczen SA | 24,365 | $ | 178,156 | |||||
Qatar Insurance Co. SAQ | 75,618 | 41,682 | ||||||
Qualitas Controladora SAB de CV | 7,600 | 31,715 | ||||||
Rand Merchant Investment Holdings Ltd. | 23,045 | 31,434 | ||||||
Samsung Fire & Marine Insurance Co. Ltd. | 1,430 | 223,575 | ||||||
Samsung Fire & Marine Insurance Co. Ltd. (Preference) | 194 | 20,778 | ||||||
Samsung Life Insurance Co. Ltd. | 3,795 | 152,927 | ||||||
Sanlam Ltd. | 41,525 | 134,038 | ||||||
Santam Ltd. | 723 | 10,828 | ||||||
SBI Life Insurance Co. Ltd.* (b) | 5,638 | 54,571 | ||||||
Shin Kong Financial Holding Co. Ltd. | 495,000 | 142,159 | ||||||
Shinkong Insurance Co. Ltd. | 136,000 | 168,534 | ||||||
Sul America SA | 5,500 | 45,467 | ||||||
Tongyang Life Insurance Co. Ltd. | 24,805 | 60,157 | ||||||
ZhongAn Online P&C Insurance Co. Ltd., Class H* (a) (b) | 8,100 | 28,002 | ||||||
8,218,140 | ||||||||
Interactive Media & Services – 3.6% | ||||||||
58.com, Inc., ADR* | 1,540 | 80,003 | ||||||
9F, Inc., ADR* (a) | 5,500 | 34,760 | ||||||
Autohome, Inc., ADR | 990 | 81,328 | ||||||
Baidu, Inc., ADR* | 5,775 | 582,871 | ||||||
Bitauto Holdings Ltd., ADR* (a) | 16,722 | 203,340 | ||||||
Info Edge India Ltd. | 1,474 | 50,005 | ||||||
JOYY, Inc., ADR* | 1,155 | 70,409 | ||||||
Kakao Corp. | 1,155 | 174,418 | ||||||
Momo, Inc., ADR(a) | 3,300 | 79,464 | ||||||
NAVER Corp. | 3,080 | 499,241 | ||||||
SINA Corp.* | 715 | 24,146 | ||||||
Tencent Holdings Ltd. | 120,900 | 6,503,228 |
See Accompanying Notes to the Financial Statements.
176 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Interactive Media & Services – (continued) | ||||||||
Weibo Corp., ADR* (a) | 1,485 | $ | 55,732 | |||||
8,438,945 | ||||||||
Internet & Direct Marketing Retail – 4.7% | ||||||||
Alibaba Group Holding Ltd., ADR* | 33,130 | 6,714,457 | ||||||
B2W Cia Digital* | 5,500 | 74,423 | ||||||
Baozun, Inc., ADR* (a) | 235 | 7,482 | ||||||
CJ ENM Co. Ltd. | 412 | 43,247 | ||||||
GS Home Shopping, Inc. | 133 | 13,939 | ||||||
HengTen Networks Group | 1,032,000 | 9,718 | ||||||
Hyundai Home Shopping Network Corp. | 293 | 17,314 | ||||||
JD.com, Inc., ADR* | 17,820 | 768,042 | ||||||
Maoyan Entertainment* (b) | 13,800 | 18,691 | ||||||
Meituan Dianping, Class B* (b) | 74,900 | 1,002,873 | ||||||
momo.com, Inc.* | 1,000 | 16,159 | ||||||
Naspers Ltd., Class N | 9,240 | 1,458,506 | ||||||
PChome Online, Inc. | 2,763 | 9,162 | ||||||
Pinduoduo, Inc., ADR* (a) | 7,645 | 362,679 | ||||||
Tongcheng-Elong Holdings | 30,400 | 51,292 | ||||||
Trip.com Group Ltd., ADR* | 7,748 | 199,588 | ||||||
Vipshop Holdings Ltd., ADR* | 8,140 | 129,670 | ||||||
10,897,242 | ||||||||
IT Services – 1.0% | ||||||||
21Vianet Group, Inc., ADR* | 1,418 | 21,227 | ||||||
Cafe24 Corp.* | 360 | 13,030 | ||||||
Cielo SA | 22,000 | 16,500 | ||||||
Digital China Holdings Ltd. | 58,000 | 31,123 | ||||||
GDS Holdings Ltd., ADR* (a) | 1,617 | 92,686 | ||||||
HCL Technologies Ltd. | 22,550 | 163,221 | ||||||
Hexaware Technologies Ltd. | 3,640 | 13,558 | ||||||
Infosys Ltd. | 79,200 | 754,612 | ||||||
Kginicis Co. Ltd. | 10,975 | 198,162 | ||||||
Larsen & Toubro Infotech Ltd.(b) | 721 | 15,294 | ||||||
Mindtree Ltd. | 1,813 | 22,114 | ||||||
Mphasis Ltd. | 1,149 | 11,149 |
Investments | Shares | Value | ||||||
IT Services – (continued) | ||||||||
My EG Services Bhd. | 41,900 | $ | 12,375 | |||||
NIIT Technologies Ltd. | 928 | 14,872 | ||||||
Persistent Systems Ltd. | 900 | 5,687 | ||||||
Posco ICT Co. Ltd. | 2,080 | 7,554 | ||||||
Samsung SDS Co. Ltd. | 770 | 102,692 | ||||||
SONDA SA | 24,083 | 14,548 | ||||||
Systex Corp. | 9,000 | 24,606 | ||||||
Tata Consultancy Services Ltd. | 19,085 | 511,962 | ||||||
Tech Mahindra Ltd. | 11,000 | 80,015 | ||||||
TravelSky Technology Ltd., Class H | 22,000 | 38,878 | ||||||
Wipro Ltd. | 28,641 | 72,828 | ||||||
2,238,693 | ||||||||
Leisure Products – 0.1% | ||||||||
Giant Manufacturing Co. Ltd. | 9,000 | 53,722 | ||||||
HLB, Inc.* | 827 | 65,158 | ||||||
KMC Kuei Meng International, Inc. | 3,315 | 9,587 | ||||||
Merida Industry Co. Ltd. | 5,350 | 27,617 | ||||||
156,084 | ||||||||
Life Sciences Tools & Services – 0.2% | ||||||||
Divi’s Laboratories Ltd. | 1,692 | 52,564 | ||||||
Genscript Biotech Corp.* (a) | 26,000 | 46,417 | ||||||
LegoChem Biosciences, Inc.* | 478 | 19,105 | ||||||
Samsung Biologics Co. Ltd.* (b) | 366 | 174,522 | ||||||
ST Pharm Co. Ltd.* | 344 | 9,289 | ||||||
Syngene International Ltd.(b) | 1,720 | 7,377 | ||||||
WuXi AppTec Co. Ltd., Class H(b) | 4,500 | 63,561 | ||||||
Wuxi Biologics Cayman, Inc.* (b) | 12,000 | 187,298 | ||||||
560,133 | ||||||||
Machinery – 1.4% | ||||||||
AIA Engineering Ltd. | 972 | 20,815 | ||||||
Airtac International Group | 1,784 | 34,736 | ||||||
Ashok Leyland Ltd. | 29,880 | 20,830 | ||||||
China Conch Venture Holdings Ltd. | 36,500 | 175,147 | ||||||
China International Marine Containers Group Co. Ltd., Class H | 24,280 | 21,673 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 177 |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Machinery – (continued) | ||||||||
CIMC Enric Holdings Ltd.(a) | 416,000 | $ | 194,790 | |||||
CIMC Vehicles Group Co. Ltd., Class H* (b) | 110,000 | 83,433 | ||||||
CRRC Corp. Ltd., Class H | 202,000 | 107,093 | ||||||
Cummins India Ltd. | 2,280 | 11,461 | ||||||
Daewoo Shipbuilding & Marine Engineering Co. Ltd.* | 1,692 | 23,815 | ||||||
Doosan Bobcat, Inc. | 1,980 | 38,188 | ||||||
Doosan Infracore Co. Ltd.* | 403 | 1,421 | ||||||
Escorts Ltd. | 1,997 | 18,970 | ||||||
Famur SA | 204,987 | 102,713 | ||||||
Haitian International Holdings Ltd. | 16,000 | 28,729 | ||||||
Hiwin Technologies Corp. | 5,917 | 57,307 | ||||||
Hyundai Construction Equipment Co. Ltd.* | 8,211 | 124,332 | ||||||
Hyundai Elevator Co. Ltd. | 633 | 32,158 | ||||||
Hyundai Heavy Industries Holdings Co. Ltd. | 440 | 87,751 | ||||||
Hyundai Mipo Dockyard Co. Ltd. | 602 | 15,193 | ||||||
Hyundai Rotem Co. Ltd.* | 1,951 | 28,822 | ||||||
Iochpe Maxion SA | 82,500 | 193,703 | ||||||
Korea Shipbuilding & Offshore Engineering Co. Ltd.* | 1,045 | 70,927 | ||||||
Lonking Holdings Ltd. | 1,265,000 | 427,522 | ||||||
Marcopolo SA (Preference) | 32,659 | 17,255 | ||||||
Randon SA Implementos e Participacoes (Preference) | 113,700 | 178,532 | ||||||
Rechi Precision Co. Ltd. | 165,000 | 94,883 | ||||||
Samsung Heavy Industries Co. Ltd.* | 5,886 | 20,700 | ||||||
Sany Heavy Equipment International Holdings Co. Ltd. | 46,000 | 24,447 | ||||||
SFA Engineering Corp. | 1,204 | 34,536 | ||||||
Shanghai Zhenhua Heavy Industries Co. Ltd., Class B | 37,440 | 9,622 | ||||||
Shin Zu Shing Co. Ltd.* | 4,000 | 17,756 | ||||||
Sinotruk Hong Kong Ltd. | 31,500 | 63,468 |
Investments | Shares | Value | ||||||
Machinery – (continued) | ||||||||
SKF India Ltd. | 624 | $ | 12,328 | |||||
Sunonwealth Electric Machine Industry Co. Ltd. | 8,000 | 10,546 | ||||||
Weichai Power Co. Ltd., Class H(a) | 99,000 | 173,166 | ||||||
Yangzijiang Shipbuilding Holdings Ltd. | 104,500 | 73,121 | ||||||
Zoomlion Heavy Industry Science and Technology Co. Ltd., Class H(a) | 869,000 | 699,473 | ||||||
3,351,362 | ||||||||
Marine – 0.4% | ||||||||
Cia Sud Americana de Vapores SA* | 258,035 | 6,173 | ||||||
COSCO SHIPPING Holdings Co. Ltd., Class H* | 1,650,000 | 476,759 | ||||||
Evergreen Marine Corp. Taiwan Ltd.* | 45,558 | 17,006 | ||||||
HMM Co. Ltd.* | 10,455 | 30,976 | ||||||
Korea Line Corp.* | 8,470 | 126,169 | ||||||
MISC Bhd. | 33,000 | 60,551 | ||||||
Pan Ocean Co. Ltd.* | 5,613 | 15,870 | ||||||
Qatar Navigation QSC | 19,954 | 31,238 | ||||||
U-Ming Marine Transport Corp. | 2,000 | 1,987 | ||||||
Wan Hai Lines Ltd. | 9,000 | 5,115 | ||||||
Wisdom Marine Lines Co. Ltd.* | 244,000 | 206,366 | ||||||
Yang Ming Marine Transport Corp.* | 53,000 | 12,066 | ||||||
990,276 | ||||||||
Media – 0.2% | ||||||||
Astro Malaysia Holdings Bhd. | 90,700 | 19,933 | ||||||
Cheil Worldwide, Inc. | 2,544 | 36,956 | ||||||
China Literature Ltd.* (b) | 6,200 | 27,871 | ||||||
Cyfrowy Polsat SA | 6,600 | 40,736 | ||||||
Grupo Televisa SAB, Series | 55,000 | 59,158 | ||||||
Innocean Worldwide, Inc. | 520 | 24,881 | ||||||
KT Skylife Co. Ltd. | 14,410 | 94,021 | ||||||
LG HelloVision Co. Ltd. | 625 | 2,301 |
See Accompanying Notes to the Financial Statements.
178 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Media – (continued) | ||||||||
Media Nusantara Citra Tbk. PT | 167,200 | $ | 10,285 | |||||
Megacable Holdings SAB de CV(a) | 9,700 | 24,472 | ||||||
MultiChoice Group* | 8,800 | 41,798 | ||||||
Plan B Media PCL, NVDR | 72,800 | 11,115 | ||||||
Saudi Research & Marketing Group* | 1,030 | 16,924 | ||||||
Sun TV Network Ltd. | 1,889 | 9,662 | ||||||
Surya Citra Media Tbk. PT | 85,400 | 5,052 | ||||||
VGI PCL, NVDR | 114,400 | 29,524 | ||||||
Woongjin Thinkbig Co. Ltd.(c) | 34,046 | 75,164 | ||||||
Zee Entertainment Enterprises Ltd. | 12,100 | 25,676 | ||||||
555,529 | ||||||||
Metals & Mining – 4.2% | ||||||||
African Rainbow Minerals Ltd. | 4,290 | 31,846 | ||||||
Alrosa PJSC | 105,600 | 88,823 | ||||||
Aluminum Corp. of China Ltd., Class H* | 114,000 | 24,264 | ||||||
Aneka Tambang Tbk. | 649,010 | 22,252 | ||||||
Anglo American Platinum Ltd.(a) | 1,155 | 61,415 | ||||||
AngloGold Ashanti Ltd. | 8,800 | 222,671 | ||||||
Assore Ltd. | 2,365 | 40,699 | ||||||
Bradespar SA (Preference) | 5,500 | 30,338 | ||||||
CAP SA* | 46,200 | 225,205 | ||||||
Century Iron & Steel Industrial Co. Ltd. | 8,000 | 22,545 | ||||||
China Hongqiao Group Ltd. | 82,500 | 41,078 | ||||||
China Metal Products | 165,000 | 140,383 | ||||||
China Metal Recycling Holdings Ltd.* ‡ (c) | 51,000 | — | ||||||
China Metal Resources Utilization Ltd.* (b) | 56,000 | 21,237 | ||||||
China Oriental Group Co. Ltd. | 770,000 | 234,406 | ||||||
China Steel Corp. | 275,000 | 184,958 | ||||||
China Zhongwang Holdings Ltd.(a) | 43,600 | 10,517 | ||||||
Chung Hung Steel Corp. | 550,000 | 144,822 |
Investments | Shares | Value | ||||||
Metals & Mining – (continued) | ||||||||
Cia Siderurgica Nacional SA | 27,500 | $ | 45,518 | |||||
Dongkuk Steel Mill Co. Ltd.* | 40,150 | 139,880 | ||||||
Eregli Demir ve Celik Fabrikalari TAS | 61,215 | 70,853 | ||||||
Ezz Steel Co. SAE* | 121,385 | 56,338 | ||||||
Gerdau SA (Preference) | 49,500 | 107,352 | ||||||
Gloria Material Technology Corp. | 18,000 | 9,776 | ||||||
Gold Fields Ltd.(a) | 17,545 | 135,488 | ||||||
Grupa Kety SA | 331 | 29,134 | ||||||
Grupo Mexico SAB de CV, | 143,000 | 308,702 | ||||||
Harmony Gold Mining Co. Ltd.* (a) | 21,230 | 79,556 | ||||||
Hindalco Industries Ltd. | 35,805 | 62,079 | ||||||
Hsin Kuang Steel Co. Ltd. | 165,000 | 133,170 | ||||||
Hyundai Steel Co. | 2,695 | 47,775 | ||||||
Impala Platinum Holdings Ltd. | 36,245 | 221,437 | ||||||
Industrias Penoles SAB de CV(a) | 3,040 | 23,758 | ||||||
Jiangxi Copper Co. Ltd., Class H | 55,000 | 53,777 | ||||||
Jinchuan Group International Resources Co. Ltd. | 1,980,000 | 140,474 | ||||||
Jindal Steel & Power Ltd.* | 9,044 | 11,441 | ||||||
JSW Steel Ltd. | 23,815 | 57,290 | ||||||
KGHM Polska Miedz SA* | 5,610 | 104,284 | ||||||
KISWIRE Ltd. | 720 | 8,480 | ||||||
Korea Zinc Co. Ltd. | 275 | 87,119 | ||||||
Koza Altin Isletmeleri A/S* | 2,182 | 22,430 | ||||||
Koza Anadolu Metal Madencilik Isletmeleri A/S* | 120,065 | 196,687 | ||||||
Kumba Iron Ore Ltd. | 2,475 | 47,534 | ||||||
Maanshan Iron & Steel Co. Ltd., Class H(a) | 1,100,000 | 356,150 | ||||||
Magnitogorsk Iron & Steel Works PJSC | 93,624 | 50,972 | ||||||
Mechel PJSC* | 124,300 | 110,384 | ||||||
Mechel PJSC (Preference) | 58,382 | 58,422 | ||||||
Merdeka Copper Gold Tbk. PT* | 326,800 | 27,023 | ||||||
Metalurgica Gerdau SA | 66,000 | 59,254 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 179 |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Metals & Mining – (continued) | ||||||||
Metalurgica Gerdau SA (Preference) | 467,500 | $ | 444,761 | |||||
MMC Norilsk Nickel PJSC | 1,265 | 350,306 | ||||||
National Aluminium Co. Ltd. | 297,550 | 126,002 | ||||||
NMDC Ltd. | 36,355 | 38,996 | ||||||
Northam Platinum Ltd.* | 7,824 | 39,386 | ||||||
Novolipetsk Steel PJSC | 52,332 | 90,824 | ||||||
Polyus PJSC | 550 | 90,069 | ||||||
Poongsan Corp. | 11,521 | 199,983 | ||||||
POSCO | 3,135 | 474,708 | ||||||
Press Metal Aluminium Holdings Bhd. | 44,000 | 40,316 | ||||||
Qatar Aluminum Manufacturing Co. | 1,730,025 | 298,870 | ||||||
Raspadskaya OJSC | 90,758 | 130,144 | ||||||
Saudi Arabian Mining Co.* | 9,570 | 95,190 | ||||||
Seah Besteel Corp. | 8,635 | 65,837 | ||||||
Severstal PAO | 8,965 | 107,849 | ||||||
Shandong Gold Mining Co. Ltd., Class H(b) | 9,750 | 28,990 | ||||||
Shougang Fushan Resources Group Ltd. | 2,200,000 | 437,029 | ||||||
Sibanye Stillwater Ltd.* | 100,818 | 207,290 | ||||||
Steel Authority of India Ltd. | 13,988 | 5,933 | ||||||
TA Chen Stainless Pipe* | 44,962 | 40,295 | ||||||
Tata Steel Ltd. | 6,710 | 26,654 | ||||||
Tung Ho Steel Enterprise Corp. | 495,000 | 384,527 | ||||||
Usinas Siderurgicas de Minas Gerais SA | 6,900 | 6,756 | ||||||
Usinas Siderurgicas de Minas Gerais SA (Preference), Class A | 28,000 | 24,828 | ||||||
Vale Indonesia Tbk. PT* | 6,000 | 1,037 | ||||||
Vale SA* | 143,000 | 1,185,041 | ||||||
Vedanta Ltd. | 68,915 | 82,180 | ||||||
Volcan Cia Minera SAA, Class B* | 176,027 | 15,070 | ||||||
YC INOX Co. Ltd.* | 220,000 | 176,820 | ||||||
Young Poong Corp. | 65 | 27,793 | ||||||
Zhaojin Mining Industry Co. Ltd., Class H | 3,500 | 3,955 |
Investments | Shares | Value | ||||||
Metals & Mining – (continued) | ||||||||
Zijin Mining Group Co. Ltd., Class H | 220,000 | $ | 90,811 | |||||
9,748,246 | ||||||||
Multiline Retail – 0.4% | ||||||||
Aeon Co. M Bhd. | 28,000 | 7,358 | ||||||
Central Retail Corp. PCL, NVDR* | 46,275 | 52,918 | ||||||
El Puerto de Liverpool SAB de CV, Class C1(a) | 2,700 | 6,884 | ||||||
Future Retail Ltd.* | 7,735 | 8,766 | ||||||
Golden Eagle Retail Group Ltd. | 5,000 | 4,811 | ||||||
Hyundai Department Store Co. Ltd. | 760 | 45,346 | ||||||
Lojas Americanas SA* | 5,300 | 19,904 | ||||||
Lojas Americanas SA (Preference)* | 16,739 | 76,934 | ||||||
Lojas Renner SA | 16,500 | 117,015 | ||||||
Lotte Shopping Co. Ltd. | 211 | 17,282 | ||||||
Magazine Luiza SA | 15,400 | 141,389 | ||||||
Matahari Department Store Tbk. PT | 1,414,000 | 115,972 | ||||||
Mitra Adiperkasa Tbk. PT | 258,000 | 11,361 | ||||||
Poya International Co. Ltd. | 2,000 | 33,629 | ||||||
Ripley Corp. SA | 50,856 | 15,817 | ||||||
SACI Falabella | 14,136 | 38,554 | ||||||
Shinsegae, Inc. | 330 | 71,772 | ||||||
Woolworths Holdings Ltd. | 22,660 | 37,621 | ||||||
823,333 | ||||||||
Multi-Utilities – 0.0%(d) | ||||||||
Qatar Electricity & Water Co. QSC | 10,488 | 43,496 | ||||||
YTL Corp. Bhd. | 76,326 | 13,579 | ||||||
YTL Power International Bhd. | 120,500 | 19,196 | ||||||
76,271 | ||||||||
Oil, Gas & Consumable Fuels – 5.9% | ||||||||
Adaro Energy Tbk. PT | 781,000 | 48,304 | ||||||
Bangchak Corp. PCL, NVDR | 223,600 | 127,850 | ||||||
Banpu PCL, NVDR | 129,200 | 23,360 | ||||||
Bashneft PJSC | 1,521 | 35,892 | ||||||
Bashneft PJSC (Preference) | 1,163 | 21,648 |
See Accompanying Notes to the Financial Statements.
180 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Oil, Gas & Consumable Fuels – (continued) | ||||||||
Bharat Petroleum Corp. Ltd. | 36,025 | $ | 177,499 | |||||
Bukit Asam Tbk. PT | 206,000 | 25,966 | ||||||
China Coal Energy Co. Ltd., Class H | 110,000 | 29,372 | ||||||
China Petroleum & Chemical Corp., Class H | 1,144,000 | 578,467 | ||||||
China Shenhua Energy Co. Ltd., Class H | 156,500 | 279,798 | ||||||
CNOOC Ltd. | 715,000 | 810,703 | ||||||
Coal India Ltd. | 62,755 | 124,098 | ||||||
Cosan SA | 4,923 | 54,875 | ||||||
Dana Gas PJSC | 117,116 | 23,499 | ||||||
Ecopetrol SA | 216,645 | 115,517 | ||||||
Empresas COPEC SA | 8,250 | 51,495 | ||||||
Enauta Participacoes SA | 4,600 | 7,758 | ||||||
Esso Thailand PCL, NVDR | 704,200 | 117,530 | ||||||
Exxaro Resources Ltd. | 12,540 | 73,615 | ||||||
Formosa Petrochemical Corp. | 38,000 | 114,627 | ||||||
Gazprom PJSC | 524,368 | 1,347,283 | ||||||
Gazprom PJSC, ADR | 3,466 | 17,593 | ||||||
Great Eastern Shipping Co. Ltd. (The) | 878 | 2,746 | ||||||
Grupa Lotos SA | 4,345 | 65,430 | ||||||
GS Holdings Corp. | 2,420 | 76,565 | ||||||
Hellenic Petroleum SA | 3,199 | 21,198 | ||||||
Hindustan Petroleum Corp. Ltd. | 26,455 | 77,609 | ||||||
IDG Energy Investment Ltd.* | 162,000 | 14,001 | ||||||
Indian Oil Corp. Ltd. | 103,840 | 116,430 | ||||||
Indo Tambangraya Megah Tbk. PT | 245,600 | 118,879 | ||||||
Inner Mongolia Yitai Coal Co. Ltd., Class B | 649,000 | 401,082 | ||||||
IRPC PCL, NVDR | 500,500 | 41,457 | ||||||
LUKOIL PJSC | 18,425 | 1,202,566 | ||||||
Mangalore Refinery & Petrochemicals Ltd. | 109,517 | 47,324 | ||||||
Mari Petroleum Co. Ltd. | 1,984 | 14,473 | ||||||
Medco Energi Internasional Tbk. PT* | 3,247,600 | 98,247 | ||||||
MOL Hungarian Oil & Gas plc | 20,405 | 129,858 |
Investments | Shares | Value | ||||||
Oil, Gas & Consumable Fuels – (continued) | ||||||||
Motor Oil Hellas Corinth Refineries SA | 3,300 | $ | 48,470 | |||||
Novatek PJSC | 21,450 | 300,856 | ||||||
Oil & Gas Development Co. Ltd. | 42,500 | 27,921 | ||||||
Oil & Natural Gas Corp. Ltd. | 113,795 | 121,076 | ||||||
Oil India Ltd. | 22,479 | 29,575 | ||||||
Pakistan Oilfields Ltd. | 84,940 | 168,275 | ||||||
Pakistan Petroleum Ltd. | 29,830 | 16,988 | ||||||
Pakistan State Oil Co. Ltd. | 176,000 | 169,465 | ||||||
PetroChina Co. Ltd., Class H | 946,000 | 340,457 | ||||||
Petroleo Brasileiro SA | 121,000 | 416,871 | ||||||
Petroleo Brasileiro SA (Preference) | 192,500 | 641,868 | ||||||
Petron Corp. | 1,815,000 | 114,855 | ||||||
Petronas Dagangan Bhd. | 6,600 | 31,220 | ||||||
Petronet LNG Ltd. | 12,210 | 39,510 | ||||||
Pilipinas Shell Petroleum Corp.* | 275,060 | 100,944 | ||||||
Polski Koncern Naftowy ORLEN SA | 12,650 | 190,492 | ||||||
Polskie Gornictwo Naftowe i Gazownictwo SA | 47,410 | 42,508 | ||||||
PTT Exploration & Production PCL | 469 | 1,225 | ||||||
PTT Exploration & Production PCL, NVDR | 32,531 | 84,960 | ||||||
PTT PCL, NVDR | 379,500 | 416,388 | ||||||
Qatar Fuel QSC | 10,450 | 45,950 | ||||||
Qatar Gas Transport Co. Ltd. | 83,144 | 57,043 | ||||||
Reliance Industries Ltd. | 64,460 | 1,258,384 | ||||||
Rosneft Oil Co. PJSC | 50,880 | 230,942 | ||||||
Rosneft Oil Co. PJSC, GDR(b) | 1,920 | 8,605 | ||||||
RussNeft PJSC* | 2,048 | 11,521 | ||||||
Semirara Mining & Power Corp. | 102,400 | 24,579 | ||||||
Sinopec Kantons Holdings Ltd. | 660,000 | 292,866 | ||||||
SK Discovery Co. Ltd. | 228 | 4,716 | ||||||
SK Gas Ltd. | 2,620 | 164,281 | ||||||
SK Innovation Co. Ltd. | 2,475 | 199,674 | ||||||
S-Oil Corp. | 1,925 | 110,591 | ||||||
S-Oil Corp. (Preference) | 208 | 6,666 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 181 |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Oil, Gas & Consumable Fuels – (continued) | ||||||||
Star Petroleum Refining PCL, NVDR | 51,900 | $ | 9,384 | |||||
Surgutneftegas PJSC | 401,500 | 201,514 | ||||||
Surgutneftegas PJSC, ADR, OTC | 9,182 | 43,890 | ||||||
Surgutneftegas PJSC (Preference) | 280,500 | 137,844 | ||||||
Tatneft PJSC | 39,474 | 293,591 | ||||||
Tatneft PJSC, ADR | 4,806 | 214,444 | ||||||
Tatneft PJSC (Preference) | 7,425 | 51,619 | ||||||
Thai Oil PCL, NVDR | 38,500 | 48,787 | ||||||
Transneft PJSC (Preference) | 74 | 136,595 | ||||||
Tupras Turkiye Petrol Rafinerileri A/S* | 4,290 | 55,731 | ||||||
Ultrapar Participacoes SA | 16,500 | 44,197 | ||||||
United Tractors Tbk. PT | 66,000 | 72,323 | ||||||
Yanzhou Coal Mining Co. Ltd., Class H | 96,000 | 72,814 | ||||||
13,737,089 | ||||||||
Paper & Forest Products – 0.5% | ||||||||
Century Textiles & Industries Ltd. | 1,872 | 7,280 | ||||||
Duratex SA* | 8,874 | 15,967 | ||||||
Empresas CMPC SA | 26,895 | 57,907 | ||||||
Indah Kiat Pulp & Paper Corp. Tbk. PT | 55,000 | 20,521 | ||||||
Lee & Man Paper Manufacturing Ltd. | 47,000 | 28,980 | ||||||
Longchen Paper & Packaging Co. Ltd. | 23,991 | 10,811 | ||||||
Nine Dragons Paper Holdings Ltd. | 55,000 | 53,210 | ||||||
Pabrik Kertas Tjiwi Kimia Tbk. PT | 60,500 | 20,336 | ||||||
Sappi Ltd.* | 355,850 | 435,972 | ||||||
Suzano SA* | 11,000 | 80,082 | ||||||
YFY, Inc. | 825,000 | 355,119 | ||||||
1,086,185 | ||||||||
Personal Products – 0.4% | ||||||||
Amorepacific Corp. | 599 | 87,015 | ||||||
Amorepacific Corp. (Preference) | 380 | 19,523 |
Investments | Shares | Value | ||||||
Personal Products – (continued) | ||||||||
AMOREPACIFIC Group | 715 | $ | 34,094 | |||||
AMOREPACIFIC Group (Preference) | 312 | 5,633 | ||||||
Chlitina Holding Ltd. | 2,000 | 13,250 | ||||||
Colgate-Palmolive India Ltd. | 1,511 | 29,359 | ||||||
Cosmax, Inc. | 322 | 23,520 | ||||||
Dabur India Ltd. | 12,155 | 79,199 | ||||||
Emami Ltd. | 4,766 | 12,352 | ||||||
Gillette India Ltd. | 103 | 7,314 | ||||||
Godrej Consumer Products Ltd. | 8,690 | 62,859 | ||||||
Grape King Bio Ltd. | 4,000 | 26,634 | ||||||
Hengan International Group Co. Ltd. | 16,000 | 142,718 | ||||||
Kolmar Korea Co. Ltd. | 643 | 22,534 | ||||||
Kolmar Korea Holdings Co. Ltd. | 4,070 | 72,986 | ||||||
LG Household & Health Care Ltd. | 165 | 187,689 | ||||||
LG Household & Health Care Ltd. (Preference) | 43 | 25,621 | ||||||
Marico Ltd. | 9,900 | 37,836 | ||||||
Natura & Co. Holding SA* | 10,500 | 68,897 | ||||||
TCI Co. Ltd. | 3,186 | 24,696 | ||||||
983,729 | ||||||||
Pharmaceuticals – 1.3% | ||||||||
Adcock Ingram Holdings Ltd. | 5,074 | 12,264 | ||||||
Ajanta Pharma Ltd. | 384 | 7,605 | ||||||
Alkem Laboratories Ltd. | 919 | 31,811 | ||||||
Aspen Pharmacare Holdings Ltd.* | 14,410 | 90,736 | ||||||
Aurobindo Pharma Ltd. | 7,068 | 58,906 | ||||||
Beijing Tong Ren Tang Chinese Medicine Co. Ltd. | 10,000 | 13,957 | ||||||
Bukwang Pharmaceutical Co. Ltd. | 52 | 1,114 | ||||||
Cadila Healthcare Ltd. | 4,844 | 20,896 | ||||||
Caregen Co. Ltd. | 258 | 12,281 | ||||||
Celltrion Pharm, Inc.* | 178 | 10,314 | ||||||
Center Laboratories, Inc. | 4,071 | 6,599 | ||||||
China Grand Pharmaceutical and Healthcare Holdings Ltd.(a) | 32,000 | 21,217 |
See Accompanying Notes to the Financial Statements.
182 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Pharmaceuticals – (continued) | ||||||||
China Medical System Holdings Ltd. | 38,000 | $ | 45,292 | |||||
China Resources Pharmaceutical Group Ltd.(b) | 86,000 | 54,358 | ||||||
China Shineway Pharmaceutical Group Ltd. | 165,000 | 122,595 | ||||||
China Traditional Chinese Medicine Holdings Co. Ltd.(a) | 62,000 | 27,512 | ||||||
Chong Kun Dang Pharmaceutical Corp. | 282 | 22,334 | ||||||
Cipla Ltd. | 7,210 | 56,609 | ||||||
CSPC Pharmaceutical Group Ltd. | 108,000 | 214,541 | ||||||
Daewoong Co. Ltd. | 339 | 4,841 | ||||||
Daewoong Pharmaceutical Co. Ltd. | 49 | 4,303 | ||||||
Dong-A Socio Holdings Co. Ltd. | 104 | 7,460 | ||||||
Dong-A ST Co. Ltd. | 94 | 7,044 | ||||||
Dr Reddy’s Laboratories Ltd. | 1,815 | 95,138 | ||||||
Genomma Lab Internacional SAB de CV, Class B* | 12,000 | 9,782 | ||||||
GlaxoSmithKline Pharmaceuticals Ltd. | 1,140 | 21,925 | ||||||
Glenmark Pharmaceuticals Ltd. | 990 | 4,443 | ||||||
Guangzhou Baiyunshan Pharmaceutical Holdings Co. Ltd., Class H | 6,000 | 15,866 | ||||||
Hanall Biopharma Co. Ltd.* | 919 | 18,328 | ||||||
Hanmi Pharm Co. Ltd. | 197 | 41,875 | ||||||
Hanmi Science Co. Ltd. | 1,222 | 28,683 | ||||||
Hansoh Pharmaceutical Group Co. Ltd.* (b) | 16,000 | 62,123 | ||||||
Hua Han Health Industry Holdings Ltd.* ‡ (c) | 3,780,000 | — | ||||||
Hypera SA* | 9,200 | 49,422 | ||||||
Il Dong Pharmaceutical Co. Ltd.* | 502 | 5,335 | ||||||
Ilyang Pharmaceutical Co. Ltd. | 756 | 20,351 |
Investments | Shares | Value | ||||||
Pharmaceuticals – (continued) | ||||||||
Jubilant Life Sciences Ltd. | 1,723 | $ | 9,183 | |||||
JW Holdings Corp. | 28,554 | 116,588 | ||||||
JW Pharmaceutical Corp. | 230 | 5,521 | ||||||
Kalbe Farma Tbk. PT | 481,900 | 46,651 | ||||||
Komipharm International Co. Ltd.* | 1,575 | 25,336 | ||||||
Kwang Dong Pharmaceutical Co. Ltd. | 21,010 | 104,494 | ||||||
Livzon Pharmaceutical Group, Inc., Class H | 3,930 | 17,464 | ||||||
Lotus Pharmaceutical Co. Ltd.* | 5,000 | 12,594 | ||||||
Lupin Ltd. | 4,620 | 51,389 | ||||||
Luye Pharma Group Ltd.(a) (b) | 39,500 | 19,260 | ||||||
Mega Lifesciences PCL, NVDR | 23,000 | 20,615 | ||||||
Mezzion Pharma Co. Ltd.* | 198 | 25,302 | ||||||
Natco Pharma Ltd. | 2,480 | 20,168 | ||||||
Oscotec, Inc.* | 808 | 14,788 | ||||||
Pfizer Ltd. | 341 | 22,259 | ||||||
Pharmally International Holding Co. Ltd. | 2,564 | 14,141 | ||||||
Piramal Enterprises Ltd. | 2,145 | 28,243 | ||||||
Richter Gedeon Nyrt. | 2,695 | 57,870 | ||||||
Sam Chun Dang Pharm Co. Ltd. | 307 | 7,748 | ||||||
Samjin Pharmaceutical Co. Ltd. | 344 | 7,157 | ||||||
Sanofi India Ltd. | 163 | 16,883 | ||||||
ScinoPharm Taiwan Ltd. | 6,000 | 5,841 | ||||||
Sihuan Pharmaceutical Holdings Group Ltd.(a) | 2,309,000 | 232,319 | ||||||
Sino Biopharmaceutical Ltd. | 154,000 | 225,269 | ||||||
Sun Pharmaceutical Industries Ltd. | 24,255 | 150,013 | ||||||
Tong Ren Tang Technologies Co. Ltd., Class H | 17,000 | 13,552 | ||||||
Torrent Pharmaceuticals Ltd. | 717 | 22,394 | ||||||
United Laboratories International Holdings Ltd. (The)(a) | 414,000 | 359,937 | ||||||
YiChang HEC ChangJiang Pharmaceutical Co. Ltd., Class H(a) (b) | 800 | 3,029 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 183 |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Pharmaceuticals – (continued) | ||||||||
Yuhan Corp. | 1,047 | $ | 40,516 | |||||
Yungjin Pharmaceutical Co. Ltd.* | 5,316 | 21,793 | ||||||
2,946,177 | ||||||||
Professional Services – 0.0%(d) | ||||||||
51job, Inc., ADR* | 291 | 17,443 | ||||||
Benefit Systems SA* | 33 | 6,375 | ||||||
L&T Technology Services Ltd.(b) | 103 | 1,694 | ||||||
Quess Corp. Ltd.* (b) | 1,983 | 5,470 | ||||||
Sporton International, Inc. | 2,386 | 15,847 | ||||||
46,829 | ||||||||
Real Estate Management & Development – 6.1% | ||||||||
8990 Holdings, Inc.* | 40,000 | 8,649 | ||||||
Agile Group Holdings Ltd. | 84,000 | 94,702 | ||||||
Aldar Properties PJSC | 179,905 | 89,142 | ||||||
AP Thailand PCL, NVDR | 654,500 | 102,155 | ||||||
Arabian Centres Co. Ltd. | 4,636 | 29,680 | ||||||
Ayala Land, Inc. | 93,500 | 59,261 | ||||||
Bangkok Land PCL, NVDR | 100 | 3 | ||||||
Barwa Real Estate Co. | 87,450 | 68,692 | ||||||
BR Malls Participacoes SA | 16,500 | 30,602 | ||||||
BR Properties SA | 4,577 | 7,390 | ||||||
Bumi Serpong Damai Tbk. PT* | 336,800 | 15,963 | ||||||
C&D International Investment Group Ltd.(a) | 148,000 | 211,146 | ||||||
Cathay Real Estate Development Co. Ltd. | 33,100 | 22,040 | ||||||
Cencosud Shopping SA* | 11,704 | 20,721 | ||||||
Central China Real Estate Ltd. | 440,000 | 224,758 | ||||||
Central Pattana PCL, NVDR | 22,000 | 33,318 | ||||||
China Aoyuan Group Ltd. | 55,000 | 64,419 | ||||||
China Dili Group* | 112,600 | 25,418 | ||||||
China Evergrande Group(a) | 144,000 | 255,592 | ||||||
China Jinmao Holdings Group Ltd. | 220,000 | 153,528 | ||||||
China Logistics Property Holdings Co. Ltd.* (b) | 59,000 | 22,223 | ||||||
China Merchants Land Ltd. | 880,000 | 145,298 |
Investments | Shares | Value | ||||||
Real Estate Management & Development – (continued) | ||||||||
China Overseas Grand Oceans Group Ltd. | 76,000 | $ | 47,547 | |||||
China Overseas Land & Investment Ltd. | 169,000 | 620,205 | ||||||
China Resources Land Ltd. | 123,777 | 507,731 | ||||||
China SCE Group Holdings Ltd. | 103,000 | 45,173 | ||||||
China South City Holdings Ltd.(a) | 2,970,000 | 283,501 | ||||||
China Vanke Co. Ltd., Class H(a) | 71,500 | 237,954 | ||||||
Chong Hong Construction Co. Ltd. | 10,000 | 27,710 | ||||||
CIFI Holdings Group Co. Ltd. | 184,047 | 139,833 | ||||||
Ciputra Development Tbk. PT | 365,949 | 13,408 | ||||||
Corp. Inmobiliaria Vesta SAB de CV | 15,200 | 21,086 | ||||||
Cosmopolitan International Holdings Ltd.* (a) | 770,000 | 99,325 | ||||||
Country Garden Holdings Co. Ltd.(a) | 330,000 | 425,252 | ||||||
DaFa Properties Group Ltd. | 165,000 | 97,054 | ||||||
DAMAC Properties Dubai Co. PJSC* | 104,520 | 17,728 | ||||||
Dar Al Arkan Real Estate Development Co.* | 8,271 | 17,864 | ||||||
Dexin China Holdings Co. Ltd.* (a) (b) | 495,000 | 199,856 | ||||||
DLF Ltd. | 14,053 | 27,481 | ||||||
Dongwon Development Co. Ltd. | 27,390 | 79,802 | ||||||
DoubleDragon Properties Corp.* | 400,020 | 128,235 | ||||||
E-House China Enterprise Holdings Ltd.(b) | 429,000 | 379,066 | ||||||
Emaar Development PJSC | 41,305 | 25,864 | ||||||
Emaar Economic City* | 7,389 | 14,463 | ||||||
Emaar Malls PJSC | 46,896 | 16,470 | ||||||
Emaar Properties PJSC | 152,625 | 113,437 | ||||||
Fantasia Holdings Group Co. Ltd.* | 742,500 | 143,666 | ||||||
Farglory Land Development Co. Ltd. | 6,000 | 8,676 | ||||||
Filinvest Development Corp. | 92,700 | 15,815 |
See Accompanying Notes to the Financial Statements.
184 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Real Estate Management & Development – (continued) | ||||||||
Filinvest Land, Inc. | 6,490,000 | $ | 122,307 | |||||
Gemdale Properties & Investment Corp. Ltd. | 378,000 | 59,974 | ||||||
Globe Trade Centre SA | 103 | 192 | ||||||
Godrej Properties Ltd.* | 1,507 | 13,598 | ||||||
Greenland Hong Kong Holdings Ltd. | 495,000 | 183,254 | ||||||
Greentown China Holdings Ltd.(a) | 61,000 | 66,017 | ||||||
Guangzhou R&F Properties Co. Ltd., Class H(a) | 814,000 | 1,026,904 | ||||||
Guorui Properties Ltd.(a) (b) | 495,000 | 81,730 | ||||||
Hanson International Tbk. PT* ‡ (c) | 2,409,275 | 6,074 | ||||||
Highwealth Construction Corp. | 48,000 | 70,459 | ||||||
Hopson Development Holdings Ltd. | 22,000 | 24,831 | ||||||
Huang Hsiang Construction Corp. | 70,000 | 79,095 | ||||||
Hung Sheng Construction Ltd. | 279,600 | 166,426 | ||||||
IOI Properties Group Bhd. | 52,800 | 12,525 | ||||||
Jaya Real Property Tbk. PT | 2,073,500 | 56,316 | ||||||
Jiayuan International Group | 770,000 | 320,819 | ||||||
Joy City Property Ltd. | 2,200,000 | 175,947 | ||||||
Kaisa Group Holdings Ltd.* | 110,000 | 42,000 | ||||||
Korea Real Estate Investment & Trust Co. Ltd. | 101,035 | 155,891 | ||||||
KWG Group Holdings Ltd.* | 55,000 | 81,021 | ||||||
LAMDA Development SA* | 1,368 | 8,990 | ||||||
Logan Property Holdings Co. Ltd. | 68,000 | 107,013 | ||||||
Longfor Group Holdings Ltd.(b) | 67,500 | 341,751 | ||||||
LSR Group PJSC | 23,925 | 195,415 | ||||||
LVGEM China Real Estate Investment Co. Ltd. | 770,000 | 224,474 | ||||||
MAS Real Estate, Inc. | 13,905 | 8,139 | ||||||
MBK PCL, NVDR | 29,800 | 14,644 | ||||||
Medinet Nasr Housing | 24,052 | 4,688 | ||||||
Megaworld Corp. | 256,200 | 13,112 |
Investments | Shares | Value | ||||||
Real Estate Management & Development – (continued) | ||||||||
Midea Real Estate Holding Ltd.(b) | 14,000 | $ | 35,685 | |||||
Mingfa Group International Co. Ltd.* ‡ (c) | 36,000 | — | ||||||
Multiplan Empreendimentos Imobiliarios SA* | 500 | 1,929 | ||||||
NEPI Rockcastle plc | 9,350 | 40,679 | ||||||
Oberoi Realty Ltd. | 4,021 | 18,446 | ||||||
OSK Holdings Bhd. | 572,000 | 103,758 | ||||||
Pakuwon Jati Tbk. PT | 534,400 | 13,580 | ||||||
Palm Hills Developments SAE* | 906,785 | 74,443 | ||||||
Parque Arauco SA | 18,315 | 30,696 | ||||||
Poly Property Group Co. Ltd. | 1,265,000 | 440,576 | ||||||
Powerlong Real Estate Holdings Ltd. | 93,000 | 56,863 | ||||||
Prestige Estates Projects Ltd. | 652 | 1,510 | ||||||
Pruksa Holding PCL, NVDR | 3,300 | 1,112 | ||||||
Quality Houses PCL, NVDR | 2,849,000 | 183,153 | ||||||
Radium Life Tech Co. Ltd. | 385,000 | 137,239 | ||||||
Redco Properties Group Ltd.(b) | 26,000 | 12,174 | ||||||
Redsun Properties Group Ltd. | 605,000 | 200,565 | ||||||
Road King Infrastructure Ltd. | 142,000 | 218,705 | ||||||
Robinsons Land Corp. | 27,906 | 8,326 | ||||||
Ronshine China Holdings Ltd.* (a) (b) | 38,500 | 40,028 | ||||||
Ruentex Development Co. Ltd. | 33,400 | 50,095 | ||||||
Sansiri PCL, NVDR | 3,663,000 | 80,381 | ||||||
Seazen Group Ltd.* | 80,000 | 77,499 | ||||||
Shanghai Industrial Urban Development Group Ltd. | 1,210,000 | 118,622 | ||||||
Shanghai Lujiazui Finance & Trade Zone Development Co. Ltd., Class B | 704,240 | 586,632 | ||||||
Shenzhen Investment Ltd. | 115,930 | 37,834 | ||||||
Shimao Property Holdings Ltd. | 49,500 | 199,856 | ||||||
Shining Building Business Co. Ltd.* | 13,786 | 4,223 | ||||||
Shui On Land Ltd. | 75,000 | 13,254 | ||||||
Sime Darby Property Bhd. | 73,800 | 11,156 | ||||||
Singha Estate PCL, NVDR* | 77,400 | 3,995 | ||||||
Sino-Ocean Group Holding Ltd. | 85,767 | 22,569 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 185 |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Real Estate Management & Development – (continued) | ||||||||
Six of October Development & Investment | 168,080 | $ | 112,053 | |||||
SK D&D Co. Ltd. | 4,815 | 96,620 | ||||||
Skyfame Realty Holdings Ltd. | 1,980,000 | 260,515 | ||||||
SM Prime Holdings, Inc. | 225,500 | 138,673 | ||||||
SOHO China Ltd. | 48,500 | 23,148 | ||||||
SP Setia Bhd. Group | 53,194 | 10,020 | ||||||
Summarecon Agung Tbk. PT | 219,800 | 6,561 | ||||||
Sunac China Holdings Ltd. | 105,000 | 465,923 | ||||||
Sunway Bhd. | 50,749 | 18,529 | ||||||
Supalai PCL, NVDR | 48,600 | 22,381 | ||||||
Talaat Moustafa Group | 51,370 | 18,526 | ||||||
Tian An China Investment Co. Ltd. | 330,000 | 131,960 | ||||||
Times China Holdings Ltd. | 44,000 | 73,671 | ||||||
UEM Sunrise Bhd.* | 71,900 | 7,190 | ||||||
United Development Co. QSC | 1,121,285 | 325,822 | ||||||
UOA Development Bhd. | 18,800 | 7,301 | ||||||
Vista Land & Lifescapes, Inc. | 147,400 | 12,603 | ||||||
WHA Corp. PCL, NVDR | 113,390 | 9,602 | ||||||
Yuexiu Property Co. Ltd. | 330,000 | 62,575 | ||||||
Yuzhou Properties Co. Ltd. | 53,243 | 22,664 | ||||||
Zall Smart Commerce Group Ltd.* (a) | 2,744,000 | 283,166 | ||||||
Zhenro Properties Group Ltd.(b) | 113,000 | 72,444 | ||||||
Zhongliang Holdings Group Co. Ltd.(b) | 38,000 | 27,891 | ||||||
Zhuguang Holdings Group Co. Ltd.* | 40,000 | 5,727 | ||||||
14,143,656 | ||||||||
Road & Rail – 0.2% | ||||||||
Autohellas SA | 12,650 | 65,052 | ||||||
BTS Group Holdings PCL, NVDR | 119,840 | 42,595 | ||||||
CAR, Inc.* | 25,000 | 7,288 | ||||||
Cia de Locacao das Americas* | 4,500 | 11,039 | ||||||
CJ Logistics Corp.* | 188 | 22,836 | ||||||
Container Corp. of India Ltd. | 4,571 | 22,707 |
Investments | Shares | Value | ||||||
Road & Rail – (continued) | ||||||||
Cosan Logistica SA* | 4,018 | $ | 11,401 | |||||
GMexico Transportes SAB de CV(b) | 21,300 | 19,887 | ||||||
Localiza Rent a Car SA* | 12,950 | 81,791 | ||||||
Rumo SA* | 22,000 | 80,428 | ||||||
365,024 | ||||||||
Semiconductors & Semiconductor Equipment – 4.5% | ||||||||
A-DATA Technology Co. Ltd. | 134,000 | 257,757 | ||||||
Ardentec Corp. | 258,000 | 228,618 | ||||||
ASE Technology Holding Co. Ltd. | 55,000 | 124,107 | ||||||
ASMedia Technology, Inc. | 1,104 | 31,112 | ||||||
Chang Wah Technology Co. Ltd. | 97,000 | 98,186 | ||||||
Chipbond Technology Corp.* | 15,000 | 28,551 | ||||||
Darwin Precisions Corp. | 11,000 | 4,346 | ||||||
DB HiTek Co. Ltd. | 23,430 | 514,385 | ||||||
Elan Microelectronics Corp. | 8,400 | 27,259 | ||||||
Elite Advanced Laser Corp. | 3,960 | 9,455 | ||||||
Elite Semiconductor Memory Technology, Inc. | 12,000 | 16,545 | ||||||
eMemory Technology, Inc. | 2,000 | 19,000 | ||||||
Eo Technics Co. Ltd. | 390 | 23,206 | ||||||
Epistar Corp.* | 32,000 | 41,323 | ||||||
Everlight Electronics Co. Ltd. | 275,000 | 301,481 | ||||||
Faraday Technology Corp. | 6,000 | 8,747 | ||||||
Formosa Advanced Technologies Co. Ltd. | 110,000 | 138,903 | ||||||
GCL-Poly Energy Holdings Ltd.* (a) | 8,635,000 | 247,276 | ||||||
GemVax & Kael Co. Ltd.* | 920 | 16,800 | ||||||
Global Unichip Corp. | 2,000 | 16,310 | ||||||
Globalwafers Co. Ltd. | 10,000 | 129,471 | ||||||
Greatek Electronics, Inc. | 26,000 | 39,783 | ||||||
Hanmi Semiconductor Co. Ltd. | 17,082 | 109,772 | ||||||
Holtek Semiconductor, Inc. | 1,000 | 2,230 | ||||||
Hua Hong Semiconductor Ltd.(a) (b) | 11,000 | 21,369 | ||||||
Jusung Engineering Co. Ltd. | 774 | 3,437 | ||||||
KC Tech Co. Ltd. | 7,370 | 109,178 | ||||||
Koh Young Technology, Inc. | 416 | 27,689 |
See Accompanying Notes to the Financial Statements.
186 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Semiconductors & Semiconductor Equipment – (continued) | ||||||||
LandMark Optoelectronics Corp. | 2,000 | $ | 18,899 | |||||
LEENO Industrial, Inc. | 416 | 30,489 | ||||||
Lextar Electronics Corp. | 12,000 | 7,102 | ||||||
Machvision, Inc. | 1,000 | 11,350 | ||||||
Macronix International | 37,000 | 44,918 | ||||||
MediaTek, Inc.* | 32,000 | 446,589 | ||||||
Nanya Technology Corp. | 31,000 | 67,762 | ||||||
Novatek Microelectronics Corp.* | 12,000 | 75,261 | ||||||
On-Bright Electronics, Inc. | 2,000 | 15,335 | ||||||
Parade Technologies Ltd. | 1,400 | 34,745 | ||||||
Phison Electronics Corp. | 5,000 | 48,173 | ||||||
Pixart Imaging, Inc. | 5,000 | 29,677 | ||||||
Powertech Technology, Inc. | 35,000 | 118,877 | ||||||
Radiant Opto-Electronics Corp. | 20,330 | 67,547 | ||||||
Realtek Semiconductor Corp.* | 9,070 | 78,541 | ||||||
SDI Corp. | 7,000 | 11,417 | ||||||
Semiconductor Manufacturing International Corp.* (a) | 66,000 | 126,171 | ||||||
Seoul Semiconductor Co. Ltd. | 1,370 | 14,842 | ||||||
Sigurd Microelectronics Corp.* | 232,552 | 286,227 | ||||||
Silergy Corp. | 2,000 | 80,373 | ||||||
Silicon Works Co. Ltd. | 416 | 10,294 | ||||||
Sino-American Silicon Products, Inc. | 23,000 | 68,915 | ||||||
Sitronix Technology Corp. | 5,000 | 24,633 | ||||||
SK Hynix, Inc. | 24,200 | 1,662,391 | ||||||
Taiwan Semiconductor Co. Ltd. | 9,000 | 11,592 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 400,000 | 4,095,976 | ||||||
Tokai Carbon Korea Co. Ltd. | 86 | 5,082 | ||||||
United Microelectronics Corp. | 220,000 | 115,044 | ||||||
United Renewable Energy Co. Ltd.* | 44,003 | 7,813 | ||||||
Vanguard International Semiconductor Corp. | 24,000 | 56,415 |
Investments | Shares | Value | ||||||
Semiconductors & Semiconductor Equipment – (continued) | ||||||||
Visual Photonics Epitaxy Co. Ltd. | 6,000 | $ | 17,917 | |||||
Wafer Works Corp. | 16,798 | 18,472 | ||||||
Win Semiconductors Corp. | 6,961 | 62,970 | ||||||
Winbond Electronics Corp. | 93,000 | 43,785 | ||||||
WONIK IPS Co. Ltd.* | 824 | 18,834 | ||||||
XinTec, Inc.* | 6,000 | 16,687 | ||||||
Xinyi Solar Holdings Ltd. | 93,918 | 59,120 | ||||||
10,506,531 | ||||||||
Software – 0.2% | ||||||||
Ahnlab, Inc. | 190 | 9,044 | ||||||
Asseco Poland SA | 3,740 | 60,420 | ||||||
China Youzan Ltd.* (a) | 232,000 | 21,248 | ||||||
Douzone Bizon Co. Ltd. | 214 | 15,438 | ||||||
Kingdee International Software Group Co. Ltd.(a) | 55,000 | 80,027 | ||||||
Kingsoft Corp. Ltd. | 28,000 | 97,338 | ||||||
Linx SA* | 3,300 | 13,235 | ||||||
Oracle Financial Services Software Ltd.* | 883 | 27,595 | ||||||
Tata Elxsi Ltd. | 516 | 5,517 | ||||||
TOTVS SA | 3,500 | 38,244 | ||||||
Weimob, Inc.* (b) | 40,000 | 30,442 | ||||||
398,548 | ||||||||
Specialty Retail – 1.1% | ||||||||
Ace Hardware Indonesia Tbk. PT | 206,000 | 21,050 | ||||||
Bermaz Auto Bhd. | 20,800 | 6,579 | ||||||
China Yongda Automobiles Services Holdings Ltd. | 797,500 | 808,574 | ||||||
China ZhengTong Auto Services Holdings Ltd.(a) | 605,000 | 94,429 | ||||||
Detsky Mir PJSC(b) | 167,446 | 198,810 | ||||||
Foschini Group Ltd. (The) | 2,090 | 8,310 | ||||||
GOME Retail Holdings Ltd.* (a) | 279,447 | 32,442 | ||||||
Home Product Center PCL, NVDR | 98,800 | 41,529 | ||||||
Hotai Motor Co. Ltd. | 8,000 | 149,850 | ||||||
Hotel Shilla Co. Ltd. | 417 | 29,159 | ||||||
Italtile Ltd. | 10,931 | 5,946 | ||||||
Jarir Marketing Co. | 1,485 | 58,372 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 187 |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Specialty Retail – (continued) | ||||||||
JUMBO SA | 2,805 | $ | 43,903 | |||||
LOTTE Himart Co. Ltd. | 5,524 | 122,408 | ||||||
M.Video PJSC | 54,942 | 270,220 | ||||||
Motus Holdings Ltd. | 116,710 | 190,651 | ||||||
Mr Price Group Ltd. | 5,830 | 41,904 | ||||||
Padini Holdings Bhd. | 17,200 | 10,000 | ||||||
Pepkor Holdings Ltd.(b) | 8,270 | 5,458 | ||||||
Petrobras Distribuidora SA* | 33,000 | 119,057 | ||||||
Pou Sheng International Holdings Ltd. | 97,000 | 20,020 | ||||||
PTG Energy PCL, NVDR | 26,300 | 11,217 | ||||||
Seobu T&D* | 533 | 2,445 | ||||||
Shinsegae International, Inc. | 81 | 14,492 | ||||||
Siam Global House PCL, NVDR | 15,900 | 6,634 | ||||||
Super Group Ltd.* | 239,635 | 182,678 | ||||||
Truworths International Ltd. | 6,156 | 9,885 | ||||||
Via Varejo SA* | 17,100 | 28,999 | ||||||
Zhongsheng Group Holdings Ltd.(a) | 15,000 | 60,562 | ||||||
2,595,583 | ||||||||
Technology Hardware, Storage & Peripherals – 5.7% | ||||||||
Acer, Inc. | 68,858 | 38,555 | ||||||
Advantech Co. Ltd. | 7,220 | 68,955 | ||||||
Asustek Computer, Inc. | 14,000 | 95,337 | ||||||
Catcher Technology Co. Ltd. | 35,000 | 268,357 | ||||||
Chicony Electronics Co. Ltd. | 15,992 | 45,389 | ||||||
Clevo Co.* | 35,000 | 38,841 | ||||||
CMC Magnetics Corp.* | 29,542 | 7,828 | ||||||
Compal Electronics, Inc.* | 165,000 | 105,981 | ||||||
Darfon Electronics Corp. | 110,000 | 137,979 | ||||||
Getac Technology Corp. | 16,000 | 23,944 | ||||||
Gigabyte Technology Co. Ltd. | 29,000 | 50,712 | ||||||
HTC Corp. | 29,000 | 29,257 | ||||||
Innodisk Corp. | 41,680 | 262,108 | ||||||
Inventec Corp. | 153,000 | 120,912 | ||||||
King Slide Works Co. Ltd. | 2,000 | 20,883 | ||||||
Legend Holdings Corp., | 11,000 | 12,855 | ||||||
Lenovo Group Ltd.(a) | 298,000 | 162,217 | ||||||
Lite-On Technology Corp. | 55,000 | 86,005 |
Investments | Shares | Value | ||||||
Technology Hardware, Storage & Peripherals – (continued) | ||||||||
Micro-Star International Co. Ltd. | 19,000 | $ | 59,422 | |||||
Mitac Holdings Corp. | 48,000 | 49,394 | ||||||
Pegatron Corp. | 90,000 | 200,057 | ||||||
Qisda Corp. | 91,000 | 51,871 | ||||||
Quanta Computer, Inc. | 55,000 | 120,038 | ||||||
Ritek Corp.* | 32,590 | 5,524 | ||||||
Samsung Electronics Co. Ltd. | 228,985 | 9,396,569 | ||||||
Samsung Electronics Co. Ltd. (Preference) | 36,410 | 1,262,524 | ||||||
Sindoh Co. Ltd. | 3,135 | 70,885 | ||||||
Transcend Information, Inc.* | 7,000 | 16,619 | ||||||
Wistron Corp. | 55,000 | 52,251 | ||||||
Wiwynn Corp. | 2,000 | 51,788 | ||||||
Xiaomi Corp., Class B* (a) (b) | 275,000 | 361,826 | ||||||
13,274,883 | ||||||||
Textiles, Apparel & Luxury Goods – 1.2% | ||||||||
Aditya Birla Fashion and Retail Ltd.* | 6,536 | 10,061 | ||||||
Alpargatas SA (Preference) | 875 | 4,427 | ||||||
ANTA Sports Products Ltd. | 23,000 | 194,180 | ||||||
Arezzo Industria e Comercio SA | 1,600 | 12,562 | ||||||
Bata India Ltd. | 122 | 2,218 | ||||||
Bosideng International Holdings Ltd.(a) | 126,000 | 34,294 | ||||||
CCC SA | 1,067 | 13,352 | ||||||
China Dongxiang Group Co. | 2,420,000 | 202,906 | ||||||
China Lilang Ltd. | 302,000 | 185,041 | ||||||
Cia Hering | 4,800 | 13,265 | ||||||
Eclat Textile Co. Ltd. | 5,698 | 57,485 | ||||||
F&F Co. Ltd. | 206 | 18,090 | ||||||
Feng TAY Enterprise Co. Ltd. | 11,834 | 68,052 | ||||||
FF Group* ‡ (c) | 3,536 | 1,859 | ||||||
Fila Holdings Corp. | 350 | 9,996 | ||||||
Formosa Taffeta Co. Ltd. | 33,000 | 37,787 | ||||||
Fuguiniao Group Ltd.* ‡ (c) | 334,800 | – | ||||||
Grendene SA | 8,264 | 10,640 | ||||||
Guararapes Confeccoes SA | 2,400 | 5,653 | ||||||
Handsome Co. Ltd. | 6,802 | 136,213 | ||||||
Hansae Co. Ltd. | 1,034 | 10,141 |
See Accompanying Notes to the Financial Statements.
188 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Textiles, Apparel & Luxury Goods – (continued) | ||||||||
HS Industries Co. Ltd. | 608 | $ | 4,107 | |||||
Hwaseung Enterprise Co. Ltd. | 331 | 3,409 | ||||||
JNBY Design Ltd.(b) | 10,000 | 9,726 | ||||||
Lao Feng Xiang Co. Ltd., Class B | 126,500 | 352,555 | ||||||
LF Corp. | 11,825 | 127,620 | ||||||
Li Ning Co. Ltd. | 47,500 | 149,809 | ||||||
LPP SA | 41 | 64,354 | ||||||
Makalot Industrial Co. Ltd. | 6,032 | 25,863 | ||||||
Nan Liu Enterprise Co. Ltd. | 2,000 | 14,561 | ||||||
Page Industries Ltd. | 130 | 31,497 | ||||||
Pou Chen Corp. | 110,000 | 104,316 | ||||||
Quang Viet Enterprise Co. Ltd. | 4,000 | 17,016 | ||||||
Rajesh Exports Ltd. | 3,055 | 25,174 | ||||||
Roo Hsing Co. Ltd.* | 330,000 | 103,206 | ||||||
Ruentex Industries Ltd. | 23,800 | 54,825 | ||||||
Shenzhou International Group Holdings Ltd. | 16,500 | 192,300 | ||||||
Tainan Spinning Co. Ltd. | 48,555 | 14,941 | ||||||
Taiwan Paiho Ltd. | 7,000 | 16,243 | ||||||
Texhong Textile Group Ltd. | 165,000 | 117,913 | ||||||
Titan Co. Ltd. | 5,005 | 64,653 | ||||||
Welspun India Ltd. | 11,024 | 3,861 | ||||||
Xtep International Holdings Ltd.(a) | 40,134 | 15,376 | ||||||
Youngone Corp. | 890 | 19,831 | ||||||
Youngone Holdings Co. Ltd. | 3,795 | 127,855 | ||||||
2,689,233 | ||||||||
Thrifts & Mortgage Finance – 0.7% | ||||||||
Housing Development Finance Corp. Ltd. | 36,355 | 927,574 | ||||||
Indiabulls Housing Finance Ltd. | 214,830 | 379,625 | ||||||
LIC Housing Finance Ltd. | 4,896 | 18,467 | ||||||
Malaysia Building Society Bhd. | 100,217 | 14,800 | ||||||
PNB Housing Finance Ltd.(b) | 25,544 | 67,300 | ||||||
Sangsangin Co. Ltd. | 25,303 | 162,602 | ||||||
1,570,368 |
Investments | Shares | Value | ||||||
Tobacco – 0.2% | ||||||||
British American Tobacco Malaysia Bhd. | 5,900 | $ | 17,371 | |||||
Eastern Co. SAE | 24,548 | 18,890 | ||||||
Gudang Garam Tbk. PT | 11,200 | 34,108 | ||||||
ITC Ltd. | 57,915 | 140,401 | ||||||
KT&G Corp. | 2,530 | 168,397 | ||||||
379,167 | ||||||||
Trading Companies & Distributors – 0.3% | ||||||||
Adani Enterprises Ltd. | 3,355 | 6,317 | ||||||
AKR Corporindo Tbk. PT | 71,700 | 11,568 | ||||||
Barloworld Ltd. | 7,865 | 29,105 | ||||||
BOC Aviation Ltd.(b) | 10,500 | 71,040 | ||||||
Brighton-Best International Taiwan, Inc.* | 16,000 | 13,882 | ||||||
China Aircraft Leasing Group Holdings Ltd.(a) (b) | 165,000 | 151,967 | ||||||
Ferreycorp SAA | 616,660 | 210,075 | ||||||
LG International Corp. | 17,985 | 194,839 | ||||||
Posco International Corp. | 2,533 | 29,520 | ||||||
Shougang Concord International Enterprises Co. Ltd. | 30,400 | 5,921 | ||||||
SK Networks Co. Ltd. | 2,415 | 10,703 | ||||||
734,937 | ||||||||
Transportation Infrastructure – 1.3% | ||||||||
Adani Ports & Special Economic Zone Ltd. | 17,930 | 69,266 | ||||||
Airports of Thailand PCL | 54,000 | 103,894 | ||||||
Airports of Thailand PCL, NVDR | 34,000 | 65,415 | ||||||
Bangkok Aviation Fuel Services PCL, NVDR | 18,800 | 13,713 | ||||||
Bangkok Expressway & Metro PCL, NVDR | 159,500 | 46,586 | ||||||
Beijing Capital International Airport Co. Ltd., Class H | 36,000 | 24,240 | ||||||
CCR SA | 16,500 | 37,643 | ||||||
China Merchants Port Holdings Co. Ltd. | 70,123 | 90,454 | ||||||
COSCO SHIPPING Ports Ltd. | 70,854 | 37,747 | ||||||
DP World plc | 6,435 | 102,896 | ||||||
GMR Infrastructure Ltd.* | 48,418 | 11,025 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 189 |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Transportation Infrastructure – (continued) | ||||||||
Grupo Aeroportuario del Centro Norte SAB de CV | 8,605 | $ | 31,731 | |||||
Grupo Aeroportuario del Pacifico SAB de CV, Class B(a) | 9,800 | 61,986 | ||||||
Grupo Aeroportuario del Sureste SAB de CV, Class B(a) | 2,475 | 25,092 | ||||||
International Container Terminal Services, Inc. | 21,590 | 38,375 | ||||||
Jasa Marga Persero Tbk. PT | 88,423 | 18,725 | ||||||
Jiangsu Expressway Co. Ltd., Class H | 30,000 | 35,796 | ||||||
Malaysia Airports Holdings Bhd. | 30,400 | 37,116 | ||||||
MMC Corp. Bhd. | 478,500 | 76,783 | ||||||
Novorossiysk Commercial Sea Port PJSC | 190,696 | 22,332 | ||||||
Promotora y Operadora de Infraestructura SAB de CV* | 2,200 | 15,470 | ||||||
Promotora y Operadora de Infraestructura SAB de CV, Class L* | 2,300 | 11,495 | ||||||
Qingdao Port International Co. Ltd., Class H(a) (b) | 660,000 | 355,015 | ||||||
Santos Brasil Participacoes SA | 15,200 | 11,456 | ||||||
Shenzhen Expressway Co. Ltd., Class H | 440,000 | 501,164 | ||||||
Shenzhen International Holdings Ltd. | 27,833 | 53,351 | ||||||
Taiwan High Speed Rail Corp. | 56,000 | 64,217 | ||||||
TAV Havalimanlari Holding A/S | 6,386 | 16,629 | ||||||
Westports Holdings Bhd. | 17,500 | 15,058 | ||||||
Yuexiu Transport Infrastructure Ltd. | 550,000 | 383,819 | ||||||
Zhejiang Expressway Co. Ltd., Class H | 944,000 | 709,916 | ||||||
3,088,405 |
Investments | Shares | Value | ||||||
Water Utilities – 0.4% | ||||||||
Aguas Andinas SA, Class A | 36,828 | $ | 12,335 | |||||
Beijing Enterprises Water Group Ltd.* | 242,000 | 93,649 | ||||||
China Everbright Water Ltd. | 533,500 | 77,692 | ||||||
China Water Affairs Group Ltd.(a) | 550,000 | 416,454 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo* | 5,500 | 40,722 | ||||||
Cia de Saneamento do Parana* | 4,304 | 20,434 | ||||||
Guangdong Investment Ltd. | 62,000 | 128,921 | ||||||
Inversiones Aguas Metropolitanas SA | 11,208 | 8,983 | ||||||
Manila Water Co., Inc. | 451,000 | 95,192 | ||||||
894,382 | ||||||||
Wireless Telecommunication Services – 2.1% | ||||||||
Advanced Info Service PCL, NVDR | 20,400 | 124,840 | ||||||
America Movil SAB de CV, | 489,500 | 300,155 | ||||||
Axiata Group Bhd. | 86,304 | 79,079 | ||||||
Bharti Airtel Ltd.* | 40,315 | 276,104 | ||||||
China Mobile Ltd. | 247,500 | 1,993,766 | ||||||
DiGi.Com Bhd. | 71,500 | 77,153 | ||||||
Empresa Nacional de Telecomunicaciones SA* | 5,699 | 34,427 | ||||||
Etihad Etisalat Co.* | 9,130 | 67,715 | ||||||
Far EasTone Telecommunications Co. Ltd. | 41,000 | 91,551 | ||||||
Globe Telecom, Inc. | 580 | 25,266 | ||||||
Indosat Tbk. PT* | 22,800 | 3,295 | ||||||
Intouch Holdings PCL, NVDR | 27,500 | 45,472 | ||||||
Maxis Bhd. | 38,500 | 49,065 | ||||||
Mobile Telecommunications Co. Saudi Arabia* | 9,621 | 31,259 | ||||||
Mobile TeleSystems PJSC | 41,256 | 178,305 | ||||||
MTN Group Ltd.(a) | 29,810 | 78,904 | ||||||
PLAY Communications SA(b) | 2,862 | 23,000 | ||||||
PLDT, Inc. | 1,735 | 44,709 | ||||||
Sistema PJSFC | 2,395,943 | 468,181 | ||||||
SK Telecom Co. Ltd. | 1,430 | 248,221 | ||||||
Taiwan Mobile Co. Ltd.* | 37,000 | 133,758 |
See Accompanying Notes to the Financial Statements.
190 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Wireless Telecommunication Services – (continued) | ||||||||
TIM Participacoes SA* | 16,500 | $ | 38,893 | |||||
Total Access Communication PCL, NVDR | 15,200 | 19,849 | ||||||
Turkcell Iletisim Hizmetleri A/S | 42,625 | 85,073 | ||||||
Vodacom Group Ltd.(a) | 12,100 | 81,185 | ||||||
Vodafone Idea Ltd.* | 5,030,887 | 281,373 | ||||||
Vodafone Qatar QSC | 101,920 | 30,652 | ||||||
XL Axiata Tbk. PT* | 149,675 | 25,558 | ||||||
4,936,808 | ||||||||
Total Common Stocks (Cost $236,468,475) | 229,403,575 | |||||||
Principal Amount | ||||||||
CORPORATE BONDS – 0.0%(d) | ||||||||
Food Products – 0.0%(d) | ||||||||
Britannia Industries Ltd. | INR2,231 | 32 | ||||||
Independent Power and Renewable Electricity Producers – 0.0%(d) | ||||||||
NTPC Ltd. | INR49,126 | 8,955 | ||||||
Total Corporate Bonds (Cost $31) |
| 8,987 | ||||||
Number of Rights | ||||||||
RIGHTS – 0.0%(d) | ||||||||
Electronic Equipment, Instruments & Components – 0.0%(d) | ||||||||
Hannstar Board Corp., expiring 5/18/2020, price 36 TWD* (c) | 11,584 | 1,558 | ||||||
Simplo Technology Co. Ltd., price 83 TWD* ‡ (c) | 179 | — | ||||||
1,558 |
Investments | Number of Rights | Value | ||||||
Insurance – 0.0%(d) | ||||||||
Shin Kong Financial Holding Co. Ltd., expiring 5/6/2020, price 7.80 TWD* (c) | 13,007 | $ | 324 | |||||
Leisure Products – 0.0%(d) | ||||||||
HLB, Inc., expiring 5/29/2020, price 78,700.00 KRW* (c) | 86 | 1,221 | ||||||
Semiconductors & Semiconductor Equipment – 0.0%(d) | ||||||||
Machvision, Inc., expiring 5/11/2020, price 250.00 TWD* (c) | 39 | 115 | ||||||
Technology Hardware, Storage & Peripherals – 0.0% | ||||||||
Legend Holdings Corp., expiring 12/31/2020* ‡ (c) | 4,192 | — | ||||||
Total Rights (Cost $—) |
| 3,218 | ||||||
Number of Warrants | ||||||||
WARRANTS – 0.0%(d) | ||||||||
Road & Rail – 0.0%(d) | ||||||||
BTS Group Holdings PCL, | 17,234 | 522 | ||||||
Principal Amount | ||||||||
SECURITIES LENDING REINVESTMENTS(e) – 1.1% | ||||||||
REPURCHASE AGREEMENTS – 1.1% | ||||||||
Citigroup Global Markets, Inc., 0.02%, dated 4/30/2020, due 5/1/2020, repurchase price $1,342,960, collateralized by various U.S. Treasury Securities, ranging from 0.75% – 4.38%, maturing 8/15/2040 – 2/15/2046; total market value $1,353,215 | $ | 1,342,959 | 1,342,959 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 191 |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
SECURITIES LENDING REINVESTMENTS(e) – (continued) | ||||||||
REPURCHASE AGREEMENTS – (continued) | ||||||||
NBC Global Finance Ltd., 0.21%, dated 4/30/2020, due 5/1/2020, repurchase price $200,001, collateralized by various U.S. Treasury Securities, 2.88%, maturing 8/15/2028; Common Stocks; total market value $219,774 | $ | 200,000 | $ | 200,000 | ||||
Societe Generale, 0.20%, dated 4/30/2020, due 5/1/2020, repurchase price $1,000,006, collateralized by various U.S. Treasury Securities, ranging from 1.13% – 2.88%, maturing 2/28/2021 – 2/15/2046; Common Stocks; total market value $1,086,580 | 1,000,000 | 1,000,000 | ||||||
2,542,959 | ||||||||
Total Securities Lending Reinvestments (Cost $2,542,959) |
| 2,542,959 | ||||||
Total Investments – 99.5% (Cost $239,011,465) |
| 231,959,261 | ||||||
Other Assets Less Liabilities – 0.5% |
| 1,218,414 | ||||||
NET ASSETS – 100.0% |
| $ | 233,177,675 |
* | Non-income producing security. |
^ | Security subject to restrictions on resale. |
‡ | Value determined using significant unobservable inputs. |
(a) | The security or a portion of this security is on loan at April 30, 2020. The total value of securities on loan at April 30, 2020 was $14,365,845, collateralized in the form of cash with a value of $2,542,959 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Investments; $2,942,145 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% – 8.75%, and maturity dates ranging from May 5, 2020 – November 15, 2049 and $9,906,835 of collateral in the form of Foreign Government Fixed Income Securities, interest rates ranging from 0.00% – 6.50%, and maturity dates ranging from May 11, 2020 – September 20, 2117; a total value of $15,391,939. |
(b) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities |
offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
(c) | Security fair valued as of April 30, 2020 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at April 30, 2020 amounted to $120,947, which represents approximately 0.05% of net assets of the Fund. |
(d) | Represents less than 0.05% of net assets. |
(e) | The security was purchased with cash collateral held from securities on loan at April 30, 2020. The total value of securities purchased was $2,542,959. |
Percentages shown are based on Net Assets.
Abbreviations
ADR – American Depositary Receipt
GDR – Global Depositary Receipt
INR – Indian Rupee
KRW – Korean Won
NVDR – Non-Voting Depositary Receipt
OJSC – Open Joint Stock Company
PJSC – Public Joint Stock Company
Preference – A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.
SCA – Limited partnership with share capital
THB – Thai Baht
TWD – Taiwan Dollar
As of April 30, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 43,947,509 | ||
Aggregate gross unrealized depreciation | (55,281,791 | ) | ||
Net unrealized depreciation | $ | (11,334,282 | ) | |
Federal income tax cost | $ | 243,798,249 |
See Accompanying Notes to the Financial Statements.
192 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Futures Contracts
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund had the following open futures contracts as of April 30, 2020:
Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value and Unrealized Appreciation* | ||||||||||||||||
Long Contracts |
| |||||||||||||||||||
MSCI Emerging Markets E-Mini Index | 83 | 06/19/2020 | USD | $ | 3,759,485 | $ | 454,932 |
* | This amount represents the cumulative appreciation/depreciation on futures contracts. Current day’s variation margin is reported within the Statement of Assets and Liabilities for futures contracts. |
Forward Foreign Currency Contracts
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund had the following outstanding contracts as of April 30, 2020:
Contracts to Receive | Counterparty | In Exchange For | Maturity Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
HKD | 9,900,000 | BNP Paribas SA | USD | 1,275,841 | 06/17/2020 | $ | 397 | |||||||||||||||
HKD | 2,021,472 | Citibank NA | USD | 260,188 | 06/17/2020 | 406 | ||||||||||||||||
USD | 262,677 | BNP Paribas SA | BRL* | 1,239,553 | 06/17/2020 | 34,488 | ||||||||||||||||
USD | 79,426 | Toronto-Dominion Bank (The) | INR* | 5,978,500 | 06/17/2020 | 187 | ||||||||||||||||
USD | 615,993 | Goldman Sachs & Co. | KRW* | 730,856,590 | 06/17/2020 | 15,715 | ||||||||||||||||
USD | 86,492 | Goldman Sachs & Co. | RUB* | 6,343,045 | 06/17/2020 | 1,306 | ||||||||||||||||
USD | 97,945 | Toronto-Dominion Bank (The) | TWD* | 2,906,120 | 06/17/2020 | 111 | ||||||||||||||||
Total unrealized appreciation |
| $ | 52,610 | |||||||||||||||||||
BRL* | 640,000 | Morgan Stanley | USD | 118,337 | 06/17/2020 | $ | (520 | ) | ||||||||||||||
KRW* | 600,000,000 | Citibank NA | USD | 494,063 | 06/17/2020 | (1,262 | ) | |||||||||||||||
USD | 1,572,663 | Citibank NA | HKD | 12,207,609 | 06/17/2020 | (1,054 | ) | |||||||||||||||
Total unrealized depreciation |
| $ | (2,836 | ) | ||||||||||||||||||
Net unrealized appreciation |
| $ | 49,774 |
* | Non-deliverable forward. See Note 2 in the Notes to Financial Statements. |
Abbreviations:
BRL – Brazilian Real
HKD – Hong Kong Dollar
INR – Indian Rupee
KRW – Korean Won
RUB – Russian Ruble
TWD – Taiwan Dollar
USD – US Dollar
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 193 |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund invested, as a percentage of net assets, in companies domiciled in the following countries as of April 30, 2020:
Brazil | 4.3 | % | ||
Chile | 0.7 | |||
China | 37.3 | |||
Colombia | 0.4 | |||
Czech Republic | 0.1 | |||
Egypt | 0.3 | |||
Greece | 0.3 | |||
Hungary | 0.3 | |||
India | 6.0 | |||
Indonesia | 1.3 | |||
Malaysia | 1.4 | |||
Mexico | 1.5 | |||
Pakistan | 0.6 | |||
Peru | 0.2 | |||
Philippines | 1.4 | |||
Poland | 0.8 | |||
Qatar | 1.1 | |||
Russia | 4.3 | |||
Saudi Arabia | 1.3 | |||
South Africa | 3.3 | |||
South Korea | 15.0 | |||
Taiwan | 12.7 | |||
Thailand | 1.9 | |||
Turkey | 1.0 | |||
United Arab Emirates | 0.9 | |||
Other1 | 1.6 | |||
100.0 | % |
1 | Includes any non-equity securities, securities lending reinvestments and net other assets (liabilities). |
See Accompanying Notes to the Financial Statements.
194 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Schedule of Investments
FlexShares® Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund
April 30, 2020 (Unaudited)
Investments | Shares | Value | ||||||
EXCHANGE TRADED FUNDS – 100.7% | ||||||||
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund(a) | 118,270 | $ | 5,935,971 | |||||
Total Investments – 100.7% (Cost $7,674,546) |
| 5,935,971 | ||||||
Liabilities in excess of other assets – (0.7%) |
| (40,881 | ) | |||||
NET ASSETS – 100.0% |
| $ | 5,895,090 |
(a) | Investment in affiliated Fund. Northern Trust Investments, Inc. is the Investment Adviser to both the Fund and the affiliated Fund. |
Percentages shown are based on Net Assets.
As of April 30, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | — | ||
Aggregate gross unrealized depreciation | (1,787,381 | ) | ||
Net unrealized depreciation | $ | (1,787,381 | ) | |
Federal income tax cost | $ | 7,679,538 |
The FlexShares® Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund currently seeks its investment objective by investing a substantial portion of its assets in an affiliated FlexShares® Fund. The Schedule of Investments of the affiliated FlexShares® Fund is located elsewhere in this Report.
Investment in a company which was affiliated for the period ended April 30, 2020, was as follows:
Security | Value October 31, 2019 | Purchases at Cost | Sales Proceeds | Shares April 30, 2020 | Value April 30, 2020 | Change in Unrealized Appreciation (Depreciation) | Dividend Income | Realized Loss | ||||||||||||||||||||||||
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund | $ | 8,481,240 | $ | 651,654 | $ | 1,427,848 | 118,270 | $ | 5,935,971 | $ | (1,444,985 | ) | $ | 138,613 | $ | (324,090 | ) |
Forward Foreign Currency Contracts
FlexShares® Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund had the following outstanding contracts as of April 30, 2020:
Contracts to Receive | Counterparty | In Exchange For | Maturity Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
USD | 248,113 | Morgan Stanley | AUD | 390,000 | 05/19/2020 | $ | (7,232 | ) | ||||||||||||||
USD | 470,252 | Morgan Stanley | CAD | 660,000 | 05/19/2020 | (4,943 | ) | |||||||||||||||
USD | 352,280 | Morgan Stanley | CHF | 340,000 | 05/19/2020 | (144 | ) | |||||||||||||||
USD | 83,256 | Morgan Stanley | DKK | 570,000 | 05/19/2020 | (459 | ) | |||||||||||||||
USD | 1,318,263 | Morgan Stanley | EUR | 1,210,000 | 05/19/2020 | (7,438 | ) | |||||||||||||||
USD | 825,393 | Morgan Stanley | GBP | 660,000 | 05/19/2020 | (7,141 | ) | |||||||||||||||
USD | 194,703 | Morgan Stanley | HKD | 1,510,000 | 05/19/2020 | (36 | ) | |||||||||||||||
USD | 52,962 | Morgan Stanley | ILS | 190,000 | 05/19/2020 | (1,799 | ) | |||||||||||||||
USD | 1,787,777 | Morgan Stanley | JPY | 192,150,000 | 05/19/2020 | (9,472 | ) | |||||||||||||||
USD | 51,193 | Morgan Stanley | NOK | 530,000 | 05/19/2020 | (673 | ) | |||||||||||||||
USD | 18,094 | Morgan Stanley | NZD | 30,000 | 05/19/2020 | (412 | ) | |||||||||||||||
USD | 161,430 | Morgan Stanley | SEK | 1,610,000 | 05/19/2020 | (3,430 | ) | |||||||||||||||
USD | 63,302 | Morgan Stanley | SGD | 90,000 | 05/19/2020 | (635 | ) | |||||||||||||||
Net unrealized depreciation |
| $ | (43,814 | ) |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 195 |
Table of Contents
FlexShares® Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund (cont.)
Abbreviations:
AUD – Australian Dollar
CAD – Canadian Dollar
CHF – Swiss Franc
DKK – Danish Krone
EUR – Euro
GBP – British Pound
HKD – Hong Kong Dollar
ILS – Israeli Shekel
JPY – Japanese Yen
NOK – Norwegian Krone
NZD – New Zealand Dollar
SEK – Swedish Krona
SGD – Singapore Dollar
USD – US Dollar
See Accompanying Notes to the Financial Statements.
196 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Schedule of Investments
FlexShares® Currency Hedged Morningstar EM Factor Tilt Index Fund
April 30, 2020 (Unaudited)
Investments | Shares | Value | ||||||
EXCHANGE TRADED FUNDS – 98.5% | ||||||||
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund(a) | 71,565 | $ | 2,969,454 | |||||
Total Investments – 98.5% (Cost $3,943,656) |
| 2,969,454 | ||||||
Other Assets Less Liabilities – 1.5% |
| 45,531 | ||||||
NET ASSETS – 100.0% |
| $ | 3,014,985 |
(a) | Investment in affiliated Fund. Northern Trust Investments, Inc. is the Investment Adviser to both the Fund and the affiliated Fund. |
Percentages shown are based on Net Assets.
As of April 30, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 11,989 | ||
Aggregate gross unrealized depreciation | (999,161 | ) | ||
Net unrealized depreciation | $ | (987,172 | ) | |
Federal income tax cost | $ | 3,954,238 |
The FlexShares® Currency Hedged Morningstar EM Factor Tilt Index Fund currently seeks its investment objective by investing a substantial portion of its assets in an affiliated FlexShares® Fund. The Schedule of Investments of the affiliated FlexShares® Fund is located elsewhere in this Report.
Investment in a company which was affiliated for the period ended April 30, 2020, was as follows:
Security | Value October 31, 2019 | Purchases at Cost | Sales Proceeds | Shares April 30, 2020 | Value April 30, 2020 | Change in Unrealized Appreciation (Depreciation) | Dividend Income | Realized Gain | ||||||||||||||||||||||||
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund | $ | 5,409,036 | $ | 140,253 | $ | 2,060,015 | 71,565 | $ | 2,969,454 | $ | (524,319 | ) | $ | 57,226 | $ | 4,499 |
Futures Contracts
FlexShares® Currency Hedged Morningstar EM Factor Tilt Index Fund had the following open futures contract as of April 30, 2020:
Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value and Unrealized Appreciation* | ||||||||||||||||
Long Contracts | ||||||||||||||||||||
MSCI Emerging Markets E-Mini Index | 1 | 06/19/2020 | USD | $ | 45,295 | $ | 7,443 |
* | This amount represents the cumulative appreciation/depreciation on futures contracts. Current day’s variation margin is reported within the Statement of Assets and Liabilities for futures contracts. |
Forward Foreign Currency Contracts
FlexShares® Currency Hedged Morningstar EM Factor Tilt Index Fund had the following outstanding contracts as of April 30, 2020:
Contracts to Receive | Counterparty | In Exchange For | Maturity Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
USD | 134,748 | Goldman Sachs & Co. | BRL* | 710,000 | 05/20/2020 | $ | 3,775 | |||||||||||||||
USD | 446,389 | JPMorgan Chase Bank | KRW* | 542,720,000 | 05/20/2020 | 899 | ||||||||||||||||
Total unrealized appreciation |
| $ | 4,674 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 197 |
Table of Contents
FlexShares® Currency Hedged Morningstar EM Factor Tilt Index Fund (cont.)
Forward Foreign Currency Contracts (cont.)
Contracts to Receive | Counterparty | In Exchange For | Maturity Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
USD | 19,902 | Goldman Sachs & Co. | CLP* | 16,830,000 | 05/20/2020 | $ | (240 | ) | ||||||||||||||
USD | 10,896 | Citibank NA | EUR | 10,000 | 05/20/2020 | (60 | ) | |||||||||||||||
USD | 924,588 | Citibank NA | HKD | 7,170,000 | 05/20/2020 | (86 | ) | |||||||||||||||
USD | 35,477 | JPMorgan Chase Bank | IDR* | 558,230,000 | 05/20/2020 | (1,970 | ) | |||||||||||||||
USD | 168,370 | JPMorgan Chase Bank | INR* | 13,000,000 | 05/20/2020 | (4,449 | ) | |||||||||||||||
USD | 43,604 | Citibank NA | MXN | 1,050,000 | 05/20/2020 | (374 | ) | |||||||||||||||
USD | 42,942 | Goldman Sachs & Co. | MYR* | 190,000 | 05/20/2020 | (1,205 | ) | |||||||||||||||
USD | 40,895 | JPMorgan Chase Bank | PHP* | 2,090,000 | 05/20/2020 | (550 | ) | |||||||||||||||
USD | 28,888 | Citibank NA | PLN | 120,000 | 05/20/2020 | (85 | ) | |||||||||||||||
USD | 124,868 | BNP Paribas SA | RUB* | 9,280,000 | 05/20/2020 | (295 | ) | |||||||||||||||
USD | 54,962 | Citibank NA | THB | 1,790,000 | 05/20/2020 | (363 | ) | |||||||||||||||
USD | 29,744 | Citibank NA | TRY | 210,000 | 05/20/2020 | (239 | ) | |||||||||||||||
USD | 373,657 | JPMorgan Chase Bank | TWD* | 11,160,000 | 05/20/2020 | (1,742 | ) | |||||||||||||||
USD | 98,249 | Citibank NA | ZAR | 1,860,000 | 05/20/2020 | (2,847 | ) | |||||||||||||||
Total unrealized depreciation |
| $ | (14,505 | ) | ||||||||||||||||||
Net unrealized depreciation |
| $ | (9,831 | ) |
* | Non-deliverable forward. See Note 2 in the Notes to Financial Statements. |
Abbreviations:
BRL – Brazilian Real
CLP – Chilean Peso
EUR – Euro
HKD – Hong Kong Dollar
IDR – Indonesian Rupiah
INR – Indian Rupee
KRW – Korean Won
MXN – Mexican Peso
MYR – Malaysian Ringgit
PHP – Philippine Peso
PLN – Polish Zloty
RUB – Russian Ruble
THB – Thai Baht
TRY – Turkish Lira
TWD – Taiwan Dollar
USD – US Dollar
ZAR – South African Rand
See Accompanying Notes to the Financial Statements.
198 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Schedule of Investments
FlexShares® US Quality Large Cap Index Fund
April 30, 2020 (Unaudited)
Investments | Shares | Value | ||||||
COMMON STOCKS – 98.9% | ||||||||
Aerospace & Defense – 0.6% | ||||||||
Lockheed Martin Corp. | 504 | $ | 196,086 | |||||
Textron, Inc. | 5,832 | 153,732 | ||||||
349,818 | ||||||||
Air Freight & Logistics – 0.8% | ||||||||
CH Robinson Worldwide, Inc.(a) | 3,816 | 270,554 | ||||||
Expeditors International of Washington, Inc. | 2,304 | 164,978 | ||||||
435,532 | ||||||||
Airlines – 0.3% | ||||||||
Southwest Airlines Co. | 5,616 | 175,500 | ||||||
Banks – 3.4% | ||||||||
Bank of America Corp. | 12,384 | 297,835 | ||||||
Citigroup, Inc. | 15,840 | 769,191 | ||||||
JPMorgan Chase & Co. | 7,128 | 682,577 | ||||||
M&T Bank Corp. | 2,232 | 250,163 | ||||||
1,999,766 | ||||||||
Beverages – 1.0% | ||||||||
Molson Coors Beverage Co., Class B | 5,328 | 218,501 | ||||||
Monster Beverage Corp.* | 5,832 | 360,476 | ||||||
578,977 | ||||||||
Biotechnology – 3.5% | ||||||||
AbbVie, Inc. | 2,592 | 213,062 | ||||||
Amgen, Inc. | 4,968 | 1,188,445 | ||||||
Biogen, Inc.* | 2,088 | 619,781 | ||||||
2,021,288 | ||||||||
Building Products – 0.7% | ||||||||
Johnson Controls International plc | 10,008 | 291,333 | ||||||
Masco Corp. | 3,024 | 124,105 | ||||||
415,438 | ||||||||
Capital Markets – 2.8% | ||||||||
Ameriprise Financial, Inc. | 216 | 24,827 | ||||||
E*TRADE Financial Corp. | 8,352 | 339,175 | ||||||
Goldman Sachs Group, Inc. (The) | 3,744 | 686,725 |
Investments | Shares | Value | ||||||
Capital Markets – (continued) | ||||||||
Morgan Stanley | 13,968 | $ | 550,758 | |||||
1,601,485 | ||||||||
Chemicals – 1.2% | ||||||||
Celanese Corp.(a) | 2,736 | 227,279 | ||||||
CF Industries Holdings, Inc. | 6,552 | 180,180 | ||||||
Dow, Inc. | 8,352 | 306,435 | ||||||
713,894 | ||||||||
Communications Equipment – 1.8% | ||||||||
Cisco Systems, Inc. | 24,624 | 1,043,565 | ||||||
Construction & Engineering – 0.5% | ||||||||
Jacobs Engineering Group, Inc. | 3,600 | 297,900 | ||||||
Consumer Finance – 1.9% | ||||||||
Ally Financial, Inc. | 10,944 | 179,372 | ||||||
American Express Co. | 1,656 | 151,110 | ||||||
Capital One Financial Corp. | 5,040 | 326,390 | ||||||
Discover Financial Services | 4,392 | 188,724 | ||||||
Synchrony Financial | 11,736 | 232,256 | ||||||
1,077,852 | ||||||||
Diversified Financial Services – 0.3% | ||||||||
Berkshire Hathaway, Inc., Class B* | 792 | 148,389 | ||||||
Diversified Telecommunication Services – 1.1% | ||||||||
AT&T, Inc. | 8,784 | 267,648 | ||||||
Verizon Communications, Inc. | 6,768 | 388,822 | ||||||
656,470 | ||||||||
Electric Utilities – 3.3% | ||||||||
Evergy, Inc. | 5,184 | 302,901 | ||||||
Exelon Corp. | 10,944 | 405,804 | ||||||
NRG Energy, Inc. | 7,848 | 263,143 | ||||||
Pinnacle West Capital Corp. | 3,384 | 260,534 | ||||||
Southern Co. (The) | 12,024 | 682,122 | ||||||
1,914,504 | ||||||||
Electrical Equipment – 1.0% | ||||||||
Eaton Corp. plc | 4,824 | 402,804 | ||||||
Rockwell Automation, Inc. | 864 | 163,711 | ||||||
566,515 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 199 |
Table of Contents
FlexShares® US Quality Large Cap Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Electronic Equipment, Instruments & Components – 0.5% | ||||||||
CDW Corp. | 2,664 | $ | 295,171 | |||||
Energy Equipment & Services – 0.3% | ||||||||
Baker Hughes Co. | 14,256 | 198,871 | ||||||
Entertainment – 1.2% | ||||||||
Activision Blizzard, Inc. | 8,712 | 555,216 | ||||||
Electronic Arts, Inc.* | 360 | 41,134 | ||||||
Spotify Technology SA* | 576 | 87,304 | ||||||
Take-Two Interactive Software, Inc.* | 216 | 26,147 | ||||||
709,801 | ||||||||
Equity Real Estate Investment Trusts (REITs) – 4.5% | ||||||||
American Tower Corp. | 2,520 | 599,760 | ||||||
AvalonBay Communities, Inc. | 1,800 | 293,310 | ||||||
Duke Realty Corp. | 9,720 | 337,284 | ||||||
Equity Residential | 4,464 | 290,428 | ||||||
Host Hotels & Resorts, Inc.(a) | 19,224 | 236,647 | ||||||
Prologis, Inc. | 3,456 | 308,379 | ||||||
Public Storage | 1,800 | 333,810 | ||||||
Vornado Realty Trust | 5,256 | 230,318 | ||||||
2,629,936 | ||||||||
Food & Staples Retailing – 0.5% | ||||||||
Sysco Corp. | 5,544 | 311,961 | ||||||
Food Products – 0.8% | ||||||||
Archer-Daniels-Midland Co. | 504 | 18,718 | ||||||
General Mills, Inc. | 1,800 | 107,802 | ||||||
Kraft Heinz Co. (The) | 10,584 | 321,013 | ||||||
447,533 | ||||||||
Health Care Equipment & Supplies – 1.5% | ||||||||
Dentsply Sirona, Inc. | 1,296 | 55,002 | ||||||
Medtronic plc | 8,280 | 808,377 | ||||||
863,379 | ||||||||
Health Care Providers & Services – 3.9% | ||||||||
AmerisourceBergen Corp. | 216 | 19,367 | ||||||
Anthem, Inc. | 864 | 242,551 | ||||||
Cardinal Health, Inc. | 6,264 | 309,943 | ||||||
Henry Schein, Inc.* | 4,752 | 259,269 | ||||||
Humana, Inc. | 1,584 | 604,803 |
Investments | Shares | Value | ||||||
Health Care Providers & Services – (continued) | ||||||||
McKesson Corp. | 2,448 | $ | 345,780 | |||||
UnitedHealth Group, Inc. | 1,584 | 463,272 | ||||||
2,244,985 | ||||||||
Hotels, Restaurants & Leisure – 1.0% | ||||||||
Hilton Worldwide Holdings, Inc.(a) | 3,672 | 278,007 | ||||||
Yum! Brands, Inc. | 3,600 | 311,148 | ||||||
589,155 | ||||||||
Household Durables – 0.4% | ||||||||
PulteGroup, Inc. | 7,992 | 225,934 | ||||||
Household Products – 2.4% | ||||||||
Colgate-Palmolive Co. | 4,104 | 288,388 | ||||||
Procter & Gamble Co. (The) | 9,216 | 1,086,290 | ||||||
1,374,678 | ||||||||
Independent Power and Renewable Electricity Producers – 0.9% | ||||||||
AES Corp. (The) | 17,928 | 237,546 | ||||||
Vistra Energy Corp. | 15,624 | 305,293 | ||||||
542,839 | ||||||||
Industrial Conglomerates – 0.6% | ||||||||
Honeywell International, Inc.(a) | 2,376 | 337,154 | ||||||
Insurance – 2.7% | ||||||||
Allstate Corp. (The) | 2,448 | 249,011 | ||||||
Aon plc(a) | 2,736 | 472,425 | ||||||
Loews Corp. | 576 | 19,964 | ||||||
MetLife, Inc. | 8,856 | 319,524 | ||||||
Progressive Corp. (The) | 6,696 | 517,601 | ||||||
1,578,525 | ||||||||
Interactive Media & Services – 3.4% | ||||||||
Alphabet, Inc., Class A* | 504 | 678,737 | ||||||
Alphabet, Inc., Class C* | 288 | 388,414 | ||||||
Facebook, Inc., Class A* | 2,808 | 574,826 | ||||||
Match Group, Inc.* (a) | 4,392 | 338,008 | ||||||
1,979,985 | ||||||||
Internet & Direct Marketing Retail – 4.4% | ||||||||
Amazon.com, Inc.* | 576 | 1,425,024 | ||||||
Booking Holdings, Inc.* | 504 | 746,207 |
See Accompanying Notes to the Financial Statements.
200 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® US Quality Large Cap Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Internet & Direct Marketing Retail – (continued) | ||||||||
eBay, Inc. | 10,296 | $ | 410,090 | |||||
2,581,321 | ||||||||
IT Services – 5.2% | ||||||||
Amdocs Ltd. | 360 | 23,198 | ||||||
Cognizant Technology Solutions Corp., Class A | 6,336 | 367,615 | ||||||
Mastercard, Inc., Class A | 3,168 | 871,105 | ||||||
VeriSign, Inc.* | 1,728 | 361,999 | ||||||
Visa, Inc., Class A(a) | 7,992 | 1,428,330 | ||||||
3,052,247 | ||||||||
Life Sciences Tools & Services – 0.5% | ||||||||
Waters Corp.* | 1,512 | 282,744 | ||||||
Machinery – 1.4% | ||||||||
Cummins, Inc. | 2,088 | 341,388 | ||||||
Dover Corp. | 3,168 | 296,683 | ||||||
Illinois Tool Works, Inc. | 1,224 | 198,900 | ||||||
836,971 | ||||||||
Media – 2.8% | ||||||||
Charter Communications, Inc., Class A* | 1,547 | 766,121 | ||||||
Discovery, Inc., Class C* | 9,216 | 188,099 | ||||||
Interpublic Group of Cos., Inc. (The) | 14,256 | 242,067 | ||||||
Liberty Broadband Corp., Class C* | 144 | 17,666 | ||||||
Liberty Global plc, Class C* | 792 | 14,501 | ||||||
Omnicom Group, Inc.(a) | 4,248 | 242,263 | ||||||
ViacomCBS, Inc. | 10,605 | 183,042 | ||||||
1,653,759 | ||||||||
Multiline Retail – 0.5% | ||||||||
Target Corp. | 2,808 | 308,150 | ||||||
Multi-Utilities – 0.6% | ||||||||
Public Service Enterprise Group, Inc. | 6,840 | 346,856 | ||||||
Oil, Gas & Consumable Fuels – 4.3% | ||||||||
Chevron Corp. | 10,944 | 1,006,848 | ||||||
ConocoPhillips | 12,456 | 524,398 | ||||||
Devon Energy Corp.(a) | 13,536 | 168,794 | ||||||
HollyFrontier Corp. | 5,616 | 185,553 |
Investments | Shares | Value | ||||||
Oil, Gas & Consumable Fuels – (continued) | ||||||||
Phillips 66 | 4,968 | $ | 363,508 | |||||
Valero Energy Corp.(a) | 4,248 | 269,111 | ||||||
2,518,212 | ||||||||
Pharmaceuticals – 6.5% | ||||||||
Allergan plc | 3,744 | 701,401 | ||||||
Eli Lilly and Co. | 6,408 | 990,933 | ||||||
Johnson & Johnson | 11,664 | 1,750,067 | ||||||
Merck & Co., Inc. | 1,080 | 85,687 | ||||||
Mylan NV* | 11,448 | 191,983 | ||||||
Pfizer, Inc. | 1,224 | 46,953 | ||||||
3,767,024 | ||||||||
Semiconductors & Semiconductor Equipment – 4.3% | ||||||||
Broadcom, Inc. | 1,080 | 293,349 | ||||||
Intel Corp. | 13,392 | 803,252 | ||||||
Lam Research Corp.(a) | 1,656 | 422,744 | ||||||
Qorvo, Inc.* | 288 | 28,233 | ||||||
QUALCOMM, Inc. | 1,872 | 147,270 | ||||||
Texas Instruments, Inc. | 6,696 | 777,205 | ||||||
2,472,053 | ||||||||
Software – 8.3% | ||||||||
Aspen Technology, Inc.* | 144 | 14,724 | ||||||
Check Point Software Technologies Ltd.* (a) | 3,240 | 342,598 | ||||||
Citrix Systems, Inc. | 2,952 | 428,070 | ||||||
Fair Isaac Corp.* | 144 | 50,823 | ||||||
Intuit, Inc. | 2,952 | 796,479 | ||||||
Microsoft Corp. | 12,096 | 2,167,724 | ||||||
Oracle Corp. | 19,224 | 1,018,295 | ||||||
VMware, Inc., Class A* (a) | 216 | 28,408 | ||||||
4,847,121 | ||||||||
Specialty Retail – 2.3% | ||||||||
Home Depot, Inc. (The) | 5,904 | 1,297,876 | ||||||
Lowe’s Cos., Inc. | 504 | 52,794 | ||||||
1,350,670 | ||||||||
Technology Hardware, Storage & Peripherals – 7.0% | ||||||||
Apple, Inc. | 13,032 | 3,828,802 | ||||||
HP, Inc. | 15,048 | 233,394 | ||||||
NetApp, Inc. | 576 | 25,212 | ||||||
4,087,408 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 201 |
Table of Contents
FlexShares® US Quality Large Cap Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Textiles, Apparel & Luxury Goods – 1.1% | ||||||||
NIKE, Inc., Class B | 4,608 | $ | 401,726 | |||||
VF Corp. | 4,104 | 238,442 | ||||||
640,168 | ||||||||
Tobacco – 0.4% | ||||||||
Philip Morris International, Inc. | 3,312 | 247,075 | ||||||
Trading Companies & Distributors – 0.5% | ||||||||
WW Grainger, Inc. | 1,080 | 297,626 | ||||||
Total Common Stocks (Cost $57,418,870) |
| 57,616,205 | ||||||
Principal Amount | ||||||||
SECURITIES LENDING REINVESTMENTS(b) – 0.6% | ||||||||
REPURCHASE AGREEMENTS – 0.6% | ||||||||
Citigroup Global Markets, Inc., 0.02%, dated 4/30/2020, due 5/1/2020, repurchase price $331,985, collateralized by various U.S. Treasury Securities, ranging from 0.75% – 4.38%, maturing 8/15/2040 – 2/15/2046; total market value $334,520 (Cost $331,984) | $ | 331,984 | 331,984 | |||||
Total Investments – 99.5% (Cost $57,750,854) |
| 57,948,189 | ||||||
Other Assets Less Liabilities – 0.5% |
| 305,291 | ||||||
NET ASSETS – 100.0% |
| $ | 58,253,480 |
* | Non-income producing security. |
(a) | The security or a portion of this security is on loan at April 30, 2020. The total value of securities on loan at April 30, 2020 was $4,114,982, collateralized in the form of cash with a value of $331,984 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Investments and $3,991,666 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% – 8.75%, and maturity dates ranging from May 5, 2020 – November 15, 2049; a total value of $4,323,650. |
(b) | The security was purchased with cash collateral held from securities on loan at April 30, 2020. The total value of securities purchased was $331,984. |
Percentages shown are based on Net Assets.
As of April 30, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 4,794,395 | ||
Aggregate gross unrealized depreciation | (4,584,161 | ) | ||
Net unrealized appreciation | $ | 210,234 | ||
Federal income tax cost | $ | 57,750,854 |
Futures Contracts
FlexShares® US Quality Large Cap Index Fund had the following open futures contracts as of April 30, 2020:
Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value and Unrealized Appreciation* | ||||||||||||||||
Long Contracts |
| |||||||||||||||||||
S&P 500 E-Mini Index | 4 | 06/19/2020 | USD | $ | 580,480 | $ | 12,899 |
* | This amount represents the cumulative appreciation/depreciation on futures contracts. Current day’s variation margin is reported within the Statement of Assets and Liabilities for futures contracts. |
Abbreviations:
USD – US Dollar
See Accompanying Notes to the Financial Statements.
202 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Schedule of Investments
FlexShares® STOXX® US ESG Impact Index Fund
April 30, 2020 (Unaudited)
Investments | Shares | Value | ||||||
COMMON STOCKS – 98.9% | ||||||||
Aerospace & Defense – 0.1% | ||||||||
Howmet Aerospace, Inc. | 3,230 | $ | 42,216 | |||||
Air Freight & Logistics – 0.5% | ||||||||
FedEx Corp.(a) | 1,558 | 197,508 | ||||||
United Parcel Service, Inc., Class B | 1,482 | 140,286 | ||||||
337,794 | ||||||||
Airlines – 0.1% | ||||||||
Delta Air Lines, Inc.(a) | 1,254 | 32,491 | ||||||
Southwest Airlines Co. | 874 | 27,313 | ||||||
59,804 | ||||||||
Auto Components – 0.1% | ||||||||
Aptiv plc | 836 | 58,144 | ||||||
BorgWarner, Inc. | 1,406 | 40,169 | ||||||
98,313 | ||||||||
Automobiles – 1.1% | ||||||||
Tesla, Inc.* | 912 | 713,075 | ||||||
Banks – 4.6% | ||||||||
Bank of America Corp. | 50,350 | 1,210,917 | ||||||
Citigroup, Inc. | 8,512 | 413,343 | ||||||
Comerica, Inc. | 3,002 | 104,650 | ||||||
JPMorgan Chase & Co. | 8,664 | 829,665 | ||||||
PNC Financial Services Group, Inc. (The) | 3,154 | 336,437 | ||||||
US Bancorp | 5,320 | 194,180 | ||||||
3,089,192 | ||||||||
Beverages – 1.2% | ||||||||
Coca-Cola Co. (The) | 6,118 | 280,755 | ||||||
Coca-Cola European Partners plc | 1,292 | 51,215 | ||||||
PepsiCo, Inc. | 3,458 | 457,459 | ||||||
789,429 | ||||||||
Biotechnology – 2.6% | ||||||||
AbbVie, Inc. | 6,118 | 502,899 | ||||||
Amgen, Inc. | 3,040 | 727,229 | ||||||
Biogen, Inc.* | 912 | 270,709 | ||||||
Regeneron Pharmaceuticals, Inc.* | 190 | 99,917 |
Investments | Shares | Value | ||||||
Biotechnology – (continued) | ||||||||
Vertex Pharmaceuticals, Inc.* | 494 | $ | 124,093 | |||||
1,724,847 | ||||||||
Building Products – 0.3% | ||||||||
Allegion plc | 190 | 19,103 | ||||||
Fortune Brands Home & Security, Inc. | 570 | 27,474 | ||||||
Johnson Controls International plc | 3,572 | 103,981 | ||||||
Trane Technologies plc | 532 | 46,507 | ||||||
197,065 | ||||||||
Capital Markets – 3.1% | ||||||||
Bank of New York Mellon Corp. (The) | 5,244 | 196,860 | ||||||
BlackRock, Inc. | 874 | 438,783 | ||||||
Charles Schwab Corp. (The)(a) | 3,686 | 139,036 | ||||||
CME Group, Inc. | 1,482 | 264,107 | ||||||
Goldman Sachs Group, Inc. (The) | 2,204 | 404,258 | ||||||
Morgan Stanley | 3,648 | 143,840 | ||||||
MSCI, Inc. | 608 | 198,816 | ||||||
Nasdaq, Inc. | 380 | 41,674 | ||||||
S&P Global, Inc. | 836 | 244,848 | ||||||
2,072,222 | ||||||||
Chemicals – 2.3% | ||||||||
Air Products and Chemicals, Inc.(a) | 570 | 128,581 | ||||||
Celanese Corp.(a) | 950 | 78,916 | ||||||
Dow, Inc. | 3,192 | 117,114 | ||||||
DuPont de Nemours, Inc. | 3,534 | 166,169 | ||||||
Eastman Chemical Co. | 1,634 | 98,873 | ||||||
Ecolab, Inc. | 1,786 | 345,591 | ||||||
FMC Corp.(a) | 532 | 48,891 | ||||||
International Flavors & Fragrances, Inc.(a) | 684 | 89,625 | ||||||
LyondellBasell Industries NV, Class A | 1,862 | 107,903 | ||||||
PPG Industries, Inc. | 1,558 | 141,513 | ||||||
Sherwin-Williams Co. (The) | 418 | 224,203 | ||||||
1,547,379 | ||||||||
Commercial Services & Supplies – 0.3% | ||||||||
Cintas Corp.(a) | 152 | 33,718 | ||||||
Republic Services, Inc. | 646 | 50,608 | ||||||
Waste Management, Inc. | 988 | 98,820 | ||||||
183,146 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 203 |
Table of Contents
FlexShares® STOXX® US ESG Impact Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Communications Equipment – 1.3% | ||||||||
Cisco Systems, Inc. | 17,822 | $ | 755,296 | |||||
Motorola Solutions, Inc. | 722 | 103,831 | ||||||
859,127 | ||||||||
Consumer Finance – 0.7% | ||||||||
American Express Co. | 2,394 | 218,452 | ||||||
Capital One Financial Corp. | 2,660 | 172,262 | ||||||
Synchrony Financial | 3,002 | 59,410 | ||||||
450,124 | ||||||||
Containers & Packaging – 0.4% | ||||||||
Avery Dennison Corp. | 494 | 54,533 | ||||||
Ball Corp. | 1,748 | 114,651 | ||||||
International Paper Co. | 2,850 | 97,612 | ||||||
266,796 | ||||||||
Diversified Financial Services – 0.9% | ||||||||
Berkshire Hathaway, Inc., Class B* | 2,888 | 541,095 | ||||||
Voya Financial, Inc. | 1,710 | 77,241 | ||||||
618,336 | ||||||||
Diversified Telecommunication Services – 4.3% | ||||||||
AT&T, Inc. | 44,232 | 1,347,749 | ||||||
CenturyLink, Inc. | 6,232 | 66,184 | ||||||
Verizon Communications, Inc. | 25,346 | 1,456,128 | ||||||
2,870,061 | ||||||||
Electric Utilities – 1.5% | ||||||||
American Electric Power Co., Inc. | 1,102 | 91,587 | ||||||
Entergy Corp. | 988 | 94,364 | ||||||
Eversource Energy | 1,976 | 159,463 | ||||||
NextEra Energy, Inc. | 2,014 | 465,476 | ||||||
Pinnacle West Capital Corp. | 304 | 23,405 | ||||||
PPL Corp. | 3,876 | 98,528 | ||||||
Xcel Energy, Inc. | 1,254 | 79,704 | ||||||
1,012,527 | ||||||||
Electrical Equipment – 0.6% | ||||||||
Eaton Corp. plc | 1,064 | 88,844 | ||||||
Emerson Electric Co. | 3,534 | 201,544 | ||||||
Rockwell Automation, Inc. | 684 | 129,604 | ||||||
419,992 |
Investments | Shares | Value | ||||||
Electronic Equipment, Instruments & Components – 0.4% | ||||||||
Amphenol Corp., Class A | 1,406 | $ | 124,094 | |||||
Keysight Technologies, Inc.* (a) | 798 | 77,222 | ||||||
Zebra Technologies Corp., Class A* | 228 | 52,362 | ||||||
253,678 | ||||||||
Energy Equipment & Services – 0.4% | ||||||||
Baker Hughes Co. | 6,004 | 83,756 | ||||||
Halliburton Co.(a) | 8,626 | 90,573 | ||||||
National Oilwell Varco, Inc.(a) | 5,472 | 69,166 | ||||||
243,495 | ||||||||
Entertainment – 1.8% | ||||||||
Walt Disney Co. (The) | 11,058 | 1,195,923 | ||||||
Equity Real Estate Investment Trusts (REITs) – 1.5% | ||||||||
Alexandria Real Estate Equities, Inc.(a) | 532 | 83,572 | ||||||
AvalonBay Communities, Inc. | 190 | 30,961 | ||||||
Digital Realty Trust, Inc.(a) | 608 | 90,890 | ||||||
Healthpeak Properties, Inc. | 4,674 | 122,178 | ||||||
Iron Mountain, Inc.(a) | 1,102 | 26,646 | ||||||
Prologis, Inc. | 3,876 | 345,855 | ||||||
Simon Property Group, Inc. | 1,064 | 71,043 | ||||||
Ventas, Inc. | 1,368 | 44,255 | ||||||
Welltower, Inc.(a) | 1,520 | 77,870 | ||||||
WP Carey, Inc. | 1,178 | 77,489 | ||||||
970,759 | ||||||||
Food & Staples Retailing – 2.4% | ||||||||
Costco Wholesale Corp. | 2,698 | 817,494 | ||||||
Kroger Co. (The)(a) | 3,344 | 105,704 | ||||||
Sysco Corp. | 3,154 | 177,475 | ||||||
Walgreens Boots Alliance, Inc. | 3,078 | 133,247 | ||||||
Walmart, Inc. | 2,812 | 341,799 | ||||||
1,575,719 | ||||||||
Food Products – 0.9% | ||||||||
Archer-Daniels-Midland Co. | 1,710 | 63,510 | ||||||
General Mills, Inc. | 3,762 | 225,306 | ||||||
Hershey Co. (The) | 380 | 50,323 | ||||||
JM Smucker Co. (The) | 380 | 43,666 | ||||||
McCormick & Co., Inc. (Non-Voting) | 418 | 65,559 | ||||||
Mondelez International, Inc., Class A | 3,040 | 156,378 | ||||||
604,742 |
See Accompanying Notes to the Financial Statements.
204 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® STOXX® US ESG Impact Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Health Care Equipment & Supplies – 3.8% | ||||||||
Abbott Laboratories | 10,944 | $ | 1,007,833 | |||||
Becton Dickinson and Co. | 1,140 | 287,884 | ||||||
Boston Scientific Corp.* | 4,826 | 180,879 | ||||||
Danaher Corp. | 2,052 | 335,420 | ||||||
Medtronic plc | 5,738 | 560,201 | ||||||
Varian Medical Systems, Inc.* (a) | 190 | 21,732 | ||||||
Zimmer Biomet Holdings, Inc. | 1,140 | 136,458 | ||||||
2,530,407 | ||||||||
Health Care Providers & Services – 2.5% | ||||||||
Anthem, Inc. | 1,292 | 362,703 | ||||||
Cigna Corp. | 836 | 163,672 | ||||||
CVS Health Corp. | 6,726 | 413,985 | ||||||
Humana, Inc. | 266 | 101,564 | ||||||
Laboratory Corp. of America Holdings* | 532 | 87,488 | ||||||
UnitedHealth Group, Inc. | 1,900 | 555,693 | ||||||
1,685,105 | ||||||||
Hotels, Restaurants & Leisure – 2.1% | ||||||||
Carnival Corp. | 4,104 | 65,254 | ||||||
Darden Restaurants, Inc. | 380 | 28,040 | ||||||
Domino’s Pizza, Inc. | 152 | 55,013 | ||||||
Las Vegas Sands Corp. | 1,976 | 94,887 | ||||||
Marriott International, Inc., Class A(a) | 1,938 | 176,242 | ||||||
McDonald’s Corp. | 3,952 | 741,237 | ||||||
Royal Caribbean Cruises Ltd. | 1,406 | 65,759 | ||||||
Yum! Brands, Inc. | 1,824 | 157,648 | ||||||
1,384,080 | ||||||||
Household Products – 2.9% | ||||||||
Clorox Co. (The) | 494 | 92,101 | ||||||
Kimberly-Clark Corp. | 494 | 68,409 | ||||||
Procter & Gamble Co. (The) | 15,200 | 1,791,624 | ||||||
1,952,134 | ||||||||
Independent Power and Renewable Electricity Producers – 0.1% | ||||||||
AES Corp. (The) | 3,572 | 47,329 | ||||||
Industrial Conglomerates – 1.5% | ||||||||
3M Co. | 3,610 | 548,431 | ||||||
General Electric Co. | 45,638 | 310,338 |
Investments | Shares | Value | ||||||
Industrial Conglomerates – (continued) | ||||||||
Roper Technologies, Inc. | 456 | $ | 155,510 | |||||
1,014,279 | ||||||||
Insurance – 1.9% | ||||||||
Aflac, Inc. | 4,104 | 152,833 | ||||||
Allstate Corp. (The) | 570 | 57,981 | ||||||
American International Group, Inc. | 3,154 | 80,206 | ||||||
Aon plc(a) | 1,254 | 216,528 | ||||||
Arthur J Gallagher & Co.(a) | 950 | 74,575 | ||||||
Hartford Financial Services Group, Inc. (The) | 1,976 | 75,068 | ||||||
Lincoln National Corp. | 1,216 | 43,132 | ||||||
Marsh & McLennan Cos., Inc. | 1,672 | 162,736 | ||||||
MetLife, Inc. | 2,698 | 97,344 | ||||||
Principal Financial Group, Inc. | 2,508 | 91,316 | ||||||
Reinsurance Group of America, Inc. | 684 | 71,601 | ||||||
Travelers Cos., Inc. (The) | 1,406 | 142,301 | ||||||
1,265,621 | ||||||||
Interactive Media & Services – 4.0% | ||||||||
Alphabet, Inc., Class C* | 1,900 | 2,562,454 | ||||||
Snap, Inc., Class A* | 6,688 | 117,776 | ||||||
2,680,230 | ||||||||
Internet & Direct Marketing Retail – 6.8% | ||||||||
Amazon.com, Inc.* | 1,672 | 4,136,528 | ||||||
Booking Holdings, Inc.* | 190 | 281,308 | ||||||
eBay, Inc. | 2,204 | 87,785 | ||||||
Expedia Group, Inc. | 532 | 37,762 | ||||||
4,543,383 | ||||||||
IT Services – 4.2% | ||||||||
Accenture plc, Class A | 4,142 | 767,057 | ||||||
Akamai Technologies, Inc.* | 684 | 66,834 | ||||||
Amdocs Ltd. | 1,102 | 71,013 | ||||||
Booz Allen Hamilton Holding Corp. | 912 | 66,977 | ||||||
Cognizant Technology Solutions Corp., Class A | 1,900 | 110,238 | ||||||
DXC Technology Co. | 1,330 | 24,113 | ||||||
Fidelity National Information Services, Inc. | 1,976 | 260,615 | ||||||
International Business Machines Corp. | 1,026 | 128,824 | ||||||
Leidos Holdings, Inc. | 266 | 26,283 | ||||||
Mastercard, Inc., Class A | 4,598 | 1,264,312 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 205 |
Table of Contents
FlexShares® STOXX® US ESG Impact Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
IT Services – (continued) | ||||||||
Western Union Co. (The)(a) | 1,786 | $ | 34,059 | |||||
2,820,325 | ||||||||
Leisure Products – 0.0%(b) | ||||||||
Hasbro, Inc. | 418 | 30,184 | ||||||
Life Sciences Tools & Services – 0.5% | ||||||||
Agilent Technologies, Inc.(a) | 1,748 | 134,002 | ||||||
Illumina, Inc.* | 494 | 157,601 | ||||||
Mettler-Toledo International, Inc.* | 76 | 54,715 | ||||||
346,318 | ||||||||
Machinery – 0.8% | ||||||||
Cummins, Inc. | 988 | 161,538 | ||||||
Deere & Co. | 114 | 16,537 | ||||||
Dover Corp. | 1,140 | 106,761 | ||||||
IDEX Corp. | 418 | 64,217 | ||||||
PACCAR, Inc. | 494 | 34,200 | ||||||
Snap-on, Inc. | 380 | 49,510 | ||||||
Stanley Black & Decker, Inc. | 912 | 100,502 | ||||||
Xylem, Inc. | 342 | 24,590 | ||||||
557,855 | ||||||||
Media – 1.5% | ||||||||
Comcast Corp., Class A | 23,256 | 875,123 | ||||||
DISH Network Corp., Class A* | 1,482 | 37,072 | ||||||
Interpublic Group of Cos., Inc. (The) | 2,812 | 47,748 | ||||||
Liberty Global plc, Class C* | 1,292 | 23,657 | ||||||
983,600 | ||||||||
Metals & Mining – 0.6% | ||||||||
Newmont Corp. | 5,092 | 302,872 | ||||||
Nucor Corp. | 2,432 | 100,174 | ||||||
403,046 | ||||||||
Multiline Retail – 0.7% | ||||||||
Dollar General Corp. | 912 | 159,874 | ||||||
Target Corp. | 2,584 | 283,568 | ||||||
443,442 | ||||||||
Multi-Utilities – 1.1% | ||||||||
CMS Energy Corp. | 988 | 56,405 | ||||||
Dominion Energy, Inc. | 4,180 | 322,404 |
Investments | Shares | Value | ||||||
Multi-Utilities – (continued) | ||||||||
NiSource, Inc. | 1,976 | $ | 49,617 | |||||
Sempra Energy | 1,786 | 221,196 | ||||||
WEC Energy Group, Inc. | 646 | 58,495 | ||||||
708,117 | ||||||||
Oil, Gas & Consumable Fuels – 3.1% | ||||||||
Chevron Corp. | 6,194 | 569,848 | ||||||
ConocoPhillips | 1,938 | 81,590 | ||||||
Devon Energy Corp.(a) | 7,448 | 92,876 | ||||||
Exxon Mobil Corp. | 27,474 | 1,276,717 | ||||||
Hess Corp. | 1,672 | 81,326 | ||||||
2,102,357 | ||||||||
Personal Products – 0.4% | ||||||||
Estee Lauder Cos., Inc. (The), Class A | 1,368 | 241,315 | ||||||
Pharmaceuticals – 3.2% | ||||||||
Allergan plc | 1,672 | 313,233 | ||||||
Bristol-Myers Squibb Co. | 11,666 | 709,410 | ||||||
Eli Lilly and Co. | 2,280 | 352,579 | ||||||
Merck & Co., Inc. | 4,066 | 322,596 | ||||||
Pfizer, Inc. | 11,704 | 448,965 | ||||||
2,146,783 | ||||||||
Professional Services – 0.1% | ||||||||
IHS Markit Ltd. | 1,216 | 81,837 | ||||||
Real Estate Management & Development – 0.2% | ||||||||
CBRE Group, Inc., Class A* | 2,584 | 110,931 | ||||||
Road & Rail – 0.6% | ||||||||
CSX Corp. | 1,786 | 118,287 | ||||||
Kansas City Southern | 304 | 39,687 | ||||||
Lyft, Inc., Class A* | 1,672 | 54,892 | ||||||
Norfolk Southern Corp. | 608 | 104,029 | ||||||
Old Dominion Freight Line, Inc. | 401 | 58,261 | ||||||
375,156 | ||||||||
Semiconductors & Semiconductor Equipment – 6.1% | ||||||||
Advanced Micro Devices, Inc.* | 3,914 | 205,055 | ||||||
Analog Devices, Inc. | 152 | 16,659 | ||||||
Broadcom, Inc. | 1,368 | 371,576 | ||||||
Intel Corp. | 26,638 | 1,597,747 | ||||||
Lam Research Corp. | 836 | 213,414 | ||||||
Microchip Technology, Inc.(a) | 1,254 | 110,013 |
See Accompanying Notes to the Financial Statements.
206 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® STOXX® US ESG Impact Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Semiconductors & Semiconductor Equipment – (continued) | ||||||||
Micron Technology, Inc.* | 6,498 | $ | 311,189 | |||||
NVIDIA Corp. | 2,584 | 755,252 | ||||||
QUALCOMM, Inc. | 2,546 | 200,294 | ||||||
Teradyne, Inc. | 456 | 28,518 | ||||||
Texas Instruments, Inc. | 2,242 | 260,229 | ||||||
4,069,946 | ||||||||
Software – 9.3% | ||||||||
Adobe, Inc.* | 2,052 | 725,669 | ||||||
ANSYS, Inc.* (a) | 266 | 69,647 | ||||||
Autodesk, Inc.* | 1,444 | 270,216 | ||||||
Citrix Systems, Inc. | 380 | 55,104 | ||||||
Intuit, Inc. | 1,368 | 369,100 | ||||||
Microsoft Corp. | 20,178 | 3,616,099 | ||||||
Oracle Corp. | 12,616 | 668,270 | ||||||
Paycom Software, Inc.* | 190 | 49,594 | ||||||
salesforce.com, Inc.* | 1,938 | 313,859 | ||||||
Splunk, Inc.* | 456 | 64,004 | ||||||
Zendesk, Inc.* | 380 | 29,214 | ||||||
6,230,776 | ||||||||
Specialty Retail – 1.5% | ||||||||
AutoZone, Inc.* | 76 | 77,544 | ||||||
Best Buy Co., Inc. | 1,520 | 116,630 | ||||||
Lowe’s Cos., Inc. | 4,066 | 425,914 | ||||||
Tiffany & Co. | 342 | 43,263 | ||||||
TJX Cos., Inc. (The) | 7,448 | 365,324 | ||||||
1,028,675 | ||||||||
Technology Hardware, Storage & Peripherals – 5.4% | ||||||||
Apple, Inc. | 11,514 | 3,382,813 | ||||||
Hewlett Packard Enterprise Co. | 9,234 | 92,894 | ||||||
HP, Inc. | 266 | 4,126 | ||||||
Seagate Technology plc | 1,102 | 55,045 | ||||||
Western Digital Corp. | 1,444 | 66,539 | ||||||
3,601,417 | ||||||||
Textiles, Apparel & Luxury Goods – 0.2% | ||||||||
Lululemon Athletica, Inc.* | 646 | 144,368 | ||||||
Tobacco – 0.1% | ||||||||
Altria Group, Inc. | 1,710 | 67,118 |
Investments | Shares | Value | ||||||
Trading Companies & Distributors – 0.1% | ||||||||
WW Grainger, Inc. | 304 | $ | 83,776 | |||||
Water Utilities – 0.1% | ||||||||
American Water Works Co., Inc. | 684 | 83,236 | ||||||
Wireless Telecommunication Services – 0.1% | ||||||||
T-Mobile US, Inc.* | 684 | 60,055 | ||||||
Total Common Stocks (Cost $57,559,691) |
| 66,018,962 | ||||||
Principal Amount | ||||||||
SECURITIES LENDING REINVESTMENTS(c) – 0.1% | ||||||||
REPURCHASE AGREEMENTS – 0.1% | ||||||||
Citigroup Global Markets, Inc., 0.02%, dated 4/30/2020, due 5/1/2020, repurchase price $87,992, collateralized by various U.S. Treasury Securities, ranging from 0.75% – 4.38%, maturing 8/15/2040 – 2/15/2046; total market value $88,664 | $ | 87,992 | 87,992 | |||||
Total Investments – 99.0% (Cost $57,647,683) |
| 66,106,954 | ||||||
Other Assets Less Liabilities – 1.0% |
| 658,499 | ||||||
NET ASSETS – 100.0% |
| $ | 66,765,453 |
* | Non-income producing security. |
(a) | The security or a portion of this security is on loan at April 30, 2020. The total value of securities on loan at April 30, 2020 was $1,866,073, collateralized in the form of cash with a value of $87,992 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Investments and $1,868,020 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% – 8.75%, and maturity dates ranging from May 5, 2020 – November 15, 2049; a total value of $1,956,012. |
(b) | Represents less than 0.05% of net assets. |
(c) | The security was purchased with cash collateral held from securities on loan at April 30, 2020. The total value of securities purchased was $87,992. |
Percentages shown are based on Net Assets.
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 207 |
Table of Contents
FlexShares® STOXX® US ESG Impact Index Fund (cont.)
As of April 30, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 10,473,893 | ||
Aggregate gross unrealized depreciation | (1,986,916 | ) | ||
Net unrealized appreciation | $ | 8,486,977 | ||
Federal income tax cost | $ | 57,675,217 |
Futures Contracts
FlexShares® STOXX® US ESG Impact Index Fund had the following open futures contracts as of April 30, 2020:
Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value and Unrealized Appreciation* | ||||||||||||||||
Long Contracts |
| |||||||||||||||||||
S&P 500 E-Mini Index | 4 | 06/19/2020 | USD | $ | 580,480 | $ | 55,240 |
* | This amount represents the cumulative appreciation/depreciation on futures contracts. Current day’s variation margin is reported within the Statement of Assets and Liabilities for futures contracts. |
Abbreviations:
USD – US Dollar
See Accompanying Notes to the Financial Statements.
208 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Schedule of Investments
FlexShares® STOXX® Global ESG Impact Index Fund
April 30, 2020 (Unaudited)
Investments | Shares | Value | ||||||
COMMON STOCKS – 98.4% | ||||||||
Aerospace & Defense – 0.0%(a) | ||||||||
Howmet Aerospace, Inc. | 1,691 | $ | 22,101 | |||||
Saab AB, Class B* | 361 | 8,372 | ||||||
30,473 | ||||||||
Air Freight & Logistics – 0.3% | ||||||||
Deutsche Post AG (Registered) | 2,413 | 71,757 | ||||||
FedEx Corp. | 760 | 96,345 | ||||||
United Parcel Service, Inc., Class B | 1,311 | 124,099 | ||||||
292,201 | ||||||||
Airlines – 0.1% | ||||||||
Delta Air Lines, Inc. | 1,216 | 31,507 | ||||||
Deutsche Lufthansa AG (Registered)* | 133 | 1,188 | ||||||
easyJet plc | 76 | 578 | ||||||
International Consolidated Airlines Group SA | 5,187 | 14,518 | ||||||
Qantas Airways Ltd. | 2,394 | 6,050 | ||||||
Southwest Airlines Co. | 1,349 | 42,156 | ||||||
United Airlines Holdings, Inc.* | 513 | 15,175 | ||||||
111,172 | ||||||||
Auto Components – 0.3% | ||||||||
Aptiv plc | 1,007 | 70,037 | ||||||
Bridgestone Corp. | 4,500 | 142,152 | ||||||
Cie Generale des Etablissements Michelin SCA | 171 | 16,688 | ||||||
Continental AG* | 304 | 25,705 | ||||||
Nokian Renkaat OYJ(b) | 57 | 1,220 | ||||||
Valeo SA | 1,368 | 31,720 | ||||||
287,522 | ||||||||
Automobiles – 1.3% | ||||||||
Bayerische Motoren Werke AG | 1,330 | 78,737 | ||||||
Daimler AG (Registered) | 3,496 | 120,753 | ||||||
Ferrari NV | 380 | 59,685 | ||||||
Fiat Chrysler Automobiles NV | 1,957 | 17,182 | ||||||
Ford Motor Co. | 13,889 | 70,695 | ||||||
General Motors Co. | 2,907 | 64,797 | ||||||
Honda Motor Co. Ltd. | 9,500 | 231,914 | ||||||
Renault SA* | 95 | 1,884 |
Investments | Shares | Value | ||||||
Automobiles – (continued) | ||||||||
Tesla, Inc.* | 703 | $ | 549,662 | |||||
1,195,309 | ||||||||
Banks – 6.6% | ||||||||
ABN AMRO Bank NV, CVA(c) | 2,945 | 22,580 | ||||||
Australia & New Zealand Banking Group Ltd. | 9,291 | 102,800 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 28,196 | 92,248 | ||||||
Banco Santander SA | 75,848 | 169,268 | ||||||
Bank of America Corp. | 42,465 | 1,021,283 | ||||||
Bank of Montreal | 2,565 | 130,692 | ||||||
Bank of Nova Scotia (The) | 3,819 | 153,425 | ||||||
Bank Polska Kasa Opieki SA | 399 | 5,008 | ||||||
Bankinter SA | 209 | 862 | ||||||
Barclays plc | 72,447 | 96,773 | ||||||
BNP Paribas SA | 4,959 | 155,751 | ||||||
Citigroup, Inc. | 7,372 | 357,984 | ||||||
Commerzbank AG | 247 | 913 | ||||||
Commonwealth Bank of Australia | 7,011 | 287,753 | ||||||
DBS Group Holdings Ltd. | 5,700 | 80,821 | ||||||
DNB ASA | 2,603 | 31,635 | ||||||
Erste Group Bank AG | 1,159 | 25,167 | ||||||
Hang Seng Bank Ltd.(b) | 1,900 | 33,454 | ||||||
HSBC Holdings plc | 92,245 | 477,048 | ||||||
ING Groep NV | 8,436 | 46,274 | ||||||
Intesa Sanpaolo SpA | 71,231 | 111,021 | ||||||
JPMorgan Chase & Co. | 5,605 | 536,735 | ||||||
KBC Group NV | 1,159 | 62,559 | ||||||
KeyCorp | 304 | 3,542 | ||||||
Lloyds Banking Group plc | 341,810 | 139,000 | ||||||
Mediobanca Banca di Credito Finanziario SpA | 2,090 | 12,105 | ||||||
Mizuho Financial Group, Inc. | 209,000 | 245,871 | ||||||
National Australia Bank Ltd. | 2,603 | 28,903 | ||||||
PNC Financial Services Group, Inc. (The) | 1,767 | 188,486 | ||||||
Royal Bank of Canada | 5,187 | 319,783 | ||||||
Skandinaviska Enskilda Banken AB, Class A | 4,826 | 39,696 | ||||||
Societe Generale SA | 3,306 | 51,636 | ||||||
Standard Chartered plc(b) | 11,495 | 59,084 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 209 |
Table of Contents
FlexShares® STOXX® Global ESG Impact Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Banks – (continued) | ||||||||
Sumitomo Mitsui Trust Holdings, Inc. | 1,900 | $ | 56,164 | |||||
Svenska Handelsbanken AB, Class A* | 5,377 | 49,712 | ||||||
Swedbank AB, Class A | 2,641 | 31,193 | ||||||
Toronto-Dominion Bank (The) | 5,415 | �� | 226,744 | |||||
UniCredit SpA* | 8,759 | 67,434 | ||||||
Unione di Banche Italiane SpA(b) | 5,928 | 16,940 | ||||||
United Overseas Bank Ltd. | 3,800 | 54,907 | ||||||
US Bancorp | 5,662 | 206,663 | ||||||
Westpac Banking Corp. | 13,585 | 144,796 | ||||||
5,944,713 | ||||||||
Beverages – 1.9% | ||||||||
Anheuser-Busch InBev SA/NV | 2,166 | 99,357 | ||||||
Carlsberg A/S, Class B | 228 | 28,743 | ||||||
Coca-Cola Amatil Ltd. | 2,261 | 12,849 | ||||||
Coca-Cola Bottlers Japan Holdings, Inc. | 1,900 | 34,558 | ||||||
Coca-Cola Co. (The) | 10,602 | 486,526 | ||||||
Coca-Cola European Partners plc | 722 | 28,620 | ||||||
Coca-Cola HBC AG, DI | 722 | 18,350 | ||||||
Diageo plc | 5,092 | 176,627 | ||||||
Heineken Holding NV | 266 | 20,715 | ||||||
Heineken NV(b) | 323 | 27,461 | ||||||
PepsiCo, Inc. | 3,952 | 522,810 | ||||||
Pernod Ricard SA | 893 | 136,054 | ||||||
Remy Cointreau SA(b) | 38 | 4,237 | ||||||
Suntory Beverage & Food Ltd. | 1,300 | 49,296 | ||||||
Thai Beverage PCL | 34,200 | 16,764 | ||||||
Treasury Wine Estates Ltd. | 3,173 | 21,085 | ||||||
1,684,052 | ||||||||
Biotechnology – 1.7% | ||||||||
AbbVie, Inc. | 3,876 | 318,607 | ||||||
Amgen, Inc. | 2,223 | 531,786 | ||||||
Biogen, Inc.* | 646 | 191,752 | ||||||
CSL Ltd. | 1,273 | 257,898 | ||||||
Regeneron Pharmaceuticals, Inc.* | 152 | 79,934 | ||||||
Vertex Pharmaceuticals, Inc.* | 665 | 167,048 | ||||||
1,547,025 |
Investments | Shares | Value | ||||||
Building Products – 0.6% | ||||||||
AGC, Inc. | 1,100 | $ | 27,764 | |||||
Assa Abloy AB, Class B | 3,800 | 68,493 | ||||||
Cie de Saint-Gobain | 1,653 | 43,833 | ||||||
Daikin Industries Ltd. | 1,400 | 183,354 | ||||||
Fortune Brands Home & Security, Inc. | 741 | 35,716 | ||||||
Geberit AG (Registered) | 133 | 59,682 | ||||||
Johnson Controls International plc | 1,805 | 52,544 | ||||||
LIXIL Group Corp. | 1,900 | 23,240 | ||||||
Trane Technologies plc | 285 | 24,915 | ||||||
519,541 | ||||||||
Capital Markets – 2.5% | ||||||||
3i Group plc | 2,717 | 26,868 | ||||||
Bank of New York Mellon Corp. (The) | 3,610 | 135,519 | ||||||
BlackRock, Inc. | 532 | 267,085 | ||||||
Charles Schwab Corp. (The) | 2,451 | 92,452 | ||||||
CME Group, Inc. | 1,330 | 237,019 | ||||||
Credit Suisse Group AG (Registered)* | 5,757 | 52,050 | ||||||
Deutsche Bank AG (Registered) | 4,465 | 33,148 | ||||||
Deutsche Boerse AG | 418 | 64,898 | ||||||
Goldman Sachs Group, Inc. (The) | 1,425 | 261,373 | ||||||
Hong Kong Exchanges & Clearing Ltd. | 3,827 | 124,401 | ||||||
Investec plc | 4,560 | 9,430 | ||||||
London Stock Exchange Group plc | 1,273 | 119,721 | ||||||
Macquarie Group Ltd. | 1,577 | 105,993 | ||||||
Morgan Stanley | 4,066 | 160,322 | ||||||
MSCI, Inc. | 190 | 62,130 | ||||||
Nasdaq, Inc. | 266 | 29,172 | ||||||
Natixis SA | 76 | 180 | ||||||
S&P Global, Inc. | 912 | 267,107 | ||||||
State Street Corp. | 342 | 21,560 | ||||||
UBS Group AG (Registered)* | 15,390 | 164,879 | ||||||
2,235,307 | ||||||||
Chemicals – 1.7% | ||||||||
Air Liquide SA | 1,128 | 143,441 | ||||||
Akzo Nobel NV | 874 | 66,245 | ||||||
Arkema SA | 19 | 1,575 | ||||||
Asahi Kasei Corp. | 7,600 | 54,369 |
See Accompanying Notes to the Financial Statements.
210 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® STOXX® Global ESG Impact Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Chemicals – (continued) | ||||||||
BASF SE | 1,862 | $ | 95,212 | |||||
Celanese Corp. | 380 | 31,567 | ||||||
Chr Hansen Holding A/S | 513 | 44,200 | ||||||
Clariant AG (Registered)* | 817 | 15,123 | ||||||
Croda International plc | 406 | 25,001 | ||||||
Dow, Inc. | 1,577 | 57,860 | ||||||
DuPont de Nemours, Inc. | 1,615 | 75,937 | ||||||
Ecolab, Inc. | 817 | 158,090 | ||||||
FUCHS PETROLUB SE (Preference) | 323 | 12,545 | ||||||
Givaudan SA (Registered) | 21 | 70,345 | ||||||
Hexpol AB* | 1,330 | 9,702 | ||||||
International Flavors & Fragrances, Inc. | 266 | 34,854 | ||||||
Johnson Matthey plc | 855 | 21,488 | ||||||
Koninklijke DSM NV(b) | 513 | 62,791 | ||||||
LyondellBasell Industries NV, Class A | 532 | 30,829 | ||||||
Mitsubishi Chemical Holdings Corp. | 11,400 | 65,819 | ||||||
Mitsui Chemicals, Inc. | 2,000 | 39,762 | ||||||
Novozymes A/S, Class B | 703 | 34,434 | ||||||
PPG Industries, Inc. | 836 | 75,934 | ||||||
Sherwin-Williams Co. (The) | 323 | 173,248 | ||||||
Sika AG (Registered) | 285 | 47,158 | ||||||
Solvay SA | 513 | 40,029 | ||||||
Symrise AG | 209 | 21,134 | ||||||
1,508,692 | ||||||||
Commercial Services & Supplies – 0.3% | ||||||||
Brambles Ltd. | 2,755 | 19,985 | ||||||
Cintas Corp. | 190 | 42,148 | ||||||
Downer EDI Ltd. | 950 | 2,594 | ||||||
Elis SA | 1,064 | 13,169 | ||||||
ISS A/S* (b) | 57 | 850 | ||||||
Rentokil Initial plc | 8,816 | 52,742 | ||||||
Republic Services, Inc. | 285 | 22,327 | ||||||
Securitas AB, Class B | 1,881 | 22,234 | ||||||
SPIE SA | 627 | 9,463 | ||||||
Waste Management, Inc. | 741 | 74,115 | ||||||
259,627 | ||||||||
Communications Equipment – 0.9% | ||||||||
Cisco Systems, Inc. | 11,742 | 497,626 | ||||||
Juniper Networks, Inc. | 1,216 | 26,266 |
Investments | Shares | Value | ||||||
Communications Equipment – (continued) | ||||||||
Motorola Solutions, Inc. | 513 | $ | 73,775 | |||||
Nokia OYJ | 17,746 | 64,609 | ||||||
Telefonaktiebolaget LM Ericsson, Class B | 12,939 | 112,735 | ||||||
775,011 | ||||||||
Construction & Engineering – 0.2% | ||||||||
Bouygues SA* | 1,178 | 36,269 | ||||||
Eiffage SA | 247 | 20,209 | ||||||
Ferrovial SA | 1,053 | 26,296 | ||||||
Skanska AB, Class B* | 2,090 | 40,047 | ||||||
Taisei Corp. | 1,400 | 44,317 | ||||||
Vinci SA | 513 | 41,973 | ||||||
209,111 | ||||||||
Construction Materials – 0.2% | ||||||||
Boral Ltd. | 1,539 | 3,043 | ||||||
CRH plc | 2,641 | 79,694 | ||||||
LafargeHolcim Ltd. (Registered)* | 1,621 | 67,248 | ||||||
Wienerberger AG | 361 | 6,742 | ||||||
156,727 | ||||||||
Consumer Finance – 0.3% | ||||||||
American Express Co. | 1,387 | 126,564 | ||||||
Capital One Financial Corp. | 1,957 | 126,735 | ||||||
Synchrony Financial | 2,489 | 49,257 | ||||||
302,556 | ||||||||
Containers & Packaging – 0.3% | ||||||||
Amcor plc, CHDI | 3,021 | 27,828 | ||||||
Avery Dennison Corp. | 437 | 48,241 | ||||||
Ball Corp. | 1,330 | 87,235 | ||||||
DS Smith plc(b) | 5,453 | 21,453 | ||||||
International Paper Co. | 741 | 25,379 | ||||||
Orora Ltd. | 4,826 | 8,120 | ||||||
Smurfit Kappa Group plc | 665 | 20,846 | ||||||
239,102 | ||||||||
Distributors – 0.0%(a) | ||||||||
Genuine Parts Co. | 456 | 36,152 | ||||||
Diversified Financial Services – 0.1% | ||||||||
EXOR NV | 475 | 25,956 | ||||||
Groupe Bruxelles Lambert SA* | 494 | 39,434 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 211 |
Table of Contents
FlexShares® STOXX® Global ESG Impact Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Diversified Financial Services – (continued) | ||||||||
Kinnevik AB, Class B | 874 | $ | 18,076 | |||||
L E Lundbergforetagen AB, Class B* | 627 | 26,461 | ||||||
Wendel SE | 38 | 3,246 | ||||||
113,173 | ||||||||
Diversified Telecommunication Services – 3.4% | ||||||||
AT&T, Inc. | 32,737 | 997,496 | ||||||
BCE, Inc. | 1,577 | 63,911 | ||||||
BT Group plc | 37,335 | 54,651 | ||||||
Cellnex Telecom SA(c) | 1,387 | 72,617 | ||||||
CenturyLink, Inc. | 3,059 | 32,487 | ||||||
Deutsche Telekom AG (Registered) | 14,763 | 215,464 | ||||||
Elisa OYJ | 513 | 31,151 | ||||||
Koninklijke KPN NV | 17,499 | 40,480 | ||||||
Orange SA | 7,429 | 90,605 | ||||||
Proximus SADP | 741 | 15,802 | ||||||
Singapore Telecommunications Ltd. | 30,400 | 61,115 | ||||||
Spark New Zealand Ltd. | 8,968 | 24,566 | ||||||
Swisscom AG (Registered)(b) | 114 | 59,271 | ||||||
Telecom Italia SpA* | 38,855 | 15,389 | ||||||
Telenor ASA | 3,895 | 59,933 | ||||||
Telia Co. AB | 10,203 | 35,256 | ||||||
Telstra Corp. Ltd. | 33,915 | 67,723 | ||||||
TELUS Corp. | 2,305 | 37,754 | ||||||
Verizon Communications, Inc. | 18,829 | 1,081,726 | ||||||
3,057,397 | ||||||||
Electric Utilities – 1.5% | ||||||||
American Electric Power Co., Inc. | 798 | 66,322 | ||||||
CK Infrastructure Holdings Ltd. | 4,500 | 26,818 | ||||||
CLP Holdings Ltd. | 5,000 | 53,403 | ||||||
EDP – Energias de Portugal SA | 5,871 | 24,757 | ||||||
Electricite de France SA | 521 | 4,151 | ||||||
Endesa SA | 494 | 10,957 | ||||||
Enel SpA | 16,739 | 114,332 | ||||||
Entergy Corp. | 589 | 56,255 | ||||||
Eversource Energy | 1,444 | 116,531 | ||||||
FirstEnergy Corp. | 1,330 | 54,889 | ||||||
Fortum OYJ | 1,710 | 28,375 | ||||||
Iberdrola SA | 26,180 | 262,089 | ||||||
NextEra Energy, Inc. | 1,311 | 302,998 | ||||||
Orsted A/S(c) | 912 | 92,182 |
Investments | Shares | Value | ||||||
Electric Utilities – (continued) | ||||||||
Red Electrica Corp. SA | 741 | $ | 13,031 | |||||
SSE plc | 4,767 | 75,161 | ||||||
Terna Rete Elettrica Nazionale SpA | 6,517 | 40,830 | ||||||
Xcel Energy, Inc. | 741 | 47,098 | ||||||
1,390,179 | ||||||||
Electrical Equipment – 0.7% | ||||||||
ABB Ltd. (Registered) | 4,902 | 93,073 | ||||||
Eaton Corp. plc | 1,501 | 125,334 | ||||||
Legrand SA | 1,292 | 87,059 | ||||||
Mitsubishi Electric Corp. | 11,400 | 142,906 | ||||||
Prysmian SpA | 1,197 | 22,511 | ||||||
Schneider Electric SE* (b) | 1,197 | 109,422 | ||||||
Signify NV(b) (c) | 209 | 4,261 | ||||||
Vestas Wind Systems A/S | 627 | 53,967 | ||||||
638,533 | ||||||||
Electronic Equipment, Instruments & Components – 1.1% | ||||||||
AAC Technologies Holdings, Inc.(b) | 2,000 | 9,791 | ||||||
Amphenol Corp., Class A | 1,026 | 90,555 | ||||||
Azbil Corp. | 1,300 | 34,574 | ||||||
Corning, Inc. | 2,546 | 56,037 | ||||||
Electrocomponents plc | 19 | 139 | ||||||
Halma plc | 1,216 | 32,056 | ||||||
Hexagon AB, Class B* | 1,007 | 50,220 | ||||||
Hitachi Ltd. | 10,600 | 321,266 | ||||||
Ingenico Group SA | 114 | 14,322 | ||||||
Keysight Technologies, Inc.* | 570 | 55,159 | ||||||
Murata Manufacturing Co. Ltd. | 3,000 | 168,860 | ||||||
Omron Corp. | 1,400 | 83,266 | ||||||
Taiyo Yuden Co. Ltd.(b) | 1,200 | 34,002 | ||||||
Zebra Technologies Corp., Class A* | 190 | 43,635 | ||||||
993,882 | ||||||||
Energy Equipment & Services – 0.2% | ||||||||
Baker Hughes Co. | 1,691 | 23,589 | ||||||
Halliburton Co. | 5,738 | 60,249 | ||||||
John Wood Group plc | 76 | 194 | ||||||
Saipem SpA* | 3,591 | 9,208 | ||||||
Schlumberger Ltd. | 2,736 | 46,020 | ||||||
TGS NOPEC Geophysical Co. ASA | 418 | 6,440 | ||||||
Worley Ltd. | 1,755 | 10,341 | ||||||
156,041 |
See Accompanying Notes to the Financial Statements.
212 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® STOXX® Global ESG Impact Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Entertainment – 1.1% | ||||||||
Ubisoft Entertainment SA* | 418 | $ | 31,096 | |||||
Vivendi SA(b) | 2,964 | 63,972 | ||||||
Walt Disney Co. (The) | 8,341 | 902,079 | ||||||
997,147 | ||||||||
Equity Real Estate Investment Trusts (REITs) – 1.1% | ||||||||
Alexandria Real Estate Equities, Inc. | 418 | 65,664 | ||||||
AvalonBay Communities, Inc. | 494 | 80,497 | ||||||
British Land Co. plc (The) | 475 | 2,424 | ||||||
Cofinimmo SA | 76 | 10,572 | ||||||
Covivio(b) | 138 | 8,638 | ||||||
Derwent London plc(b) | 38 | 1,489 | ||||||
Dexus | 2,166 | 12,990 | ||||||
Gecina SA | 304 | 39,657 | ||||||
GPT Group (The) | 3,990 | 11,050 | ||||||
Hammerson plc | 247 | 220 | ||||||
Healthpeak Properties, Inc. | 2,337 | 61,089 | ||||||
Host Hotels & Resorts, Inc. | 3,401 | 41,866 | ||||||
ICADE | 171 | 13,139 | ||||||
Klepierre SA | 912 | 18,435 | ||||||
Land Securities Group plc | 3,990 | 33,317 | ||||||
Mirvac Group | 11,115 | 16,300 | ||||||
Orix JREIT, Inc. | 38 | 46,090 | ||||||
Prologis, Inc. | 2,907 | 259,392 | ||||||
Simon Property Group, Inc. | 817 | 54,551 | ||||||
Stockland | 12,673 | 23,895 | ||||||
Suntec REIT | 7,600 | 7,558 | ||||||
Unibail-Rodamco-Westfield | 323 | 19,005 | ||||||
Ventas, Inc. | 684 | 22,127 | ||||||
Vicinity Centres | 15,637 | 15,254 | ||||||
Welltower, Inc. | 950 | 48,669 | ||||||
Weyerhaeuser Co. | 3,401 | 74,380 | ||||||
WP Carey, Inc. | 627 | 41,244 | ||||||
1,029,512 | ||||||||
Food & Staples Retailing – 2.2% | ||||||||
Aeon Co. Ltd. | 7,600 | 154,331 | ||||||
Carrefour SA | 2,288 | 33,819 | ||||||
Coles Group Ltd. | 3,515 | 35,693 | ||||||
Colruyt SA | 95 | 5,684 | ||||||
Costco Wholesale Corp. | 2,071 | 627,513 | ||||||
J Sainsbury plc(b) | 6,783 | 16,949 |
Investments | Shares | Value | ||||||
Food & Staples Retailing – (continued) | ||||||||
Jeronimo Martins SGPS SA | 817 | $ | 13,794 | |||||
Kesko OYJ, Class B | 836 | 13,598 | ||||||
Koninklijke Ahold Delhaize NV | 2,565 | 62,257 | ||||||
Kroger Co. (The) | 2,128 | 67,266 | ||||||
Lawson, Inc. | 800 | 41,670 | ||||||
Loblaw Cos. Ltd. | 57 | 2,811 | ||||||
Seven & i Holdings Co. Ltd. | 6,900 | 229,258 | ||||||
Sysco Corp. | 1,900 | 106,913 | ||||||
Tesco plc | 26,961 | 79,951 | ||||||
Walgreens Boots Alliance, Inc. | 2,451 | 106,104 | ||||||
Walmart, Inc. | 2,660 | 323,323 | ||||||
Woolworths Group Ltd. | 4,617 | 108,063 | ||||||
2,028,997 | ||||||||
Food Products – 2.2% | ||||||||
AAK AB | 456 | 7,491 | ||||||
Ajinomoto Co., Inc. | 3,800 | 68,086 | ||||||
Archer-Daniels-Midland Co. | 1,976 | 73,389 | ||||||
Associated British Foods plc | 1,349 | 32,202 | ||||||
Danone SA | 2,337 | 161,928 | ||||||
General Mills, Inc. | 1,919 | 114,929 | ||||||
Hershey Co. (The) | 513 | 67,937 | ||||||
JM Smucker Co. (The) | 209 | 24,016 | ||||||
Kellogg Co. | 513 | 33,601 | ||||||
Kerry Group plc, Class A | 361 | 41,399 | ||||||
Kraft Heinz Co. (The) | 1,330 | 40,339 | ||||||
McCormick & Co., Inc. (Non-Voting) | 228 | 35,759 | ||||||
Mondelez International, Inc., Class A | 3,933 | 202,313 | ||||||
Mowi ASA | 1,691 | 29,039 | ||||||
Nestle SA (Registered) | 9,595 | 1,013,035 | ||||||
Orkla ASA | 4,484 | 40,691 | ||||||
Salmar ASA | 133 | 5,206 | ||||||
Tate & Lyle plc | 1,406 | 12,631 | ||||||
Vitasoy International Holdings Ltd.(b) | 2,000 | 7,198 | ||||||
2,011,189 | ||||||||
Gas Utilities – 0.2% | ||||||||
Enagas SA | 646 | 15,064 | ||||||
Italgas SpA | 399 | 2,231 | ||||||
Rubis SCA | 352 | 15,792 | ||||||
Snam SpA | 8,645 | 38,709 | ||||||
Tokyo Gas Co. Ltd. | 3,800 | 83,793 | ||||||
155,589 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 213 |
Table of Contents
FlexShares® STOXX® Global ESG Impact Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Health Care Equipment & Supplies – 3.1% | ||||||||
Abbott Laboratories | 7,923 | $ | 729,629 | |||||
Alcon, Inc.* | 1,292 | 68,191 | ||||||
Ansell Ltd. | 1,273 | 23,795 | ||||||
Baxter International, Inc. | 760 | 67,473 | ||||||
Becton Dickinson and Co. | 1,045 | 263,894 | ||||||
Boston Scientific Corp.* | 3,971 | 148,833 | ||||||
Cochlear Ltd. | 247 | 29,836 | ||||||
Coloplast A/S, Class B | 323 | 51,077 | ||||||
Danaher Corp. | 1,729 | 282,622 | ||||||
Edwards Lifesciences Corp.* | 456 | 99,180 | ||||||
Fisher & Paykel Healthcare Corp. Ltd. | 1,292 | 21,833 | ||||||
Getinge AB, Class B | 589 | 11,343 | ||||||
Hologic, Inc.* | 1,539 | 77,104 | ||||||
Hoya Corp. | 1,900 | 175,297 | ||||||
Koninklijke Philips NV | 2,318 | 100,833 | ||||||
Medtronic plc | 3,515 | 343,169 | ||||||
Sartorius AG (Preference) | 209 | 58,786 | ||||||
Smith & Nephew plc | 1,881 | 36,965 | ||||||
Sonova Holding AG (Registered) | 285 | 51,469 | ||||||
Straumann Holding AG (Registered) | 57 | 43,254 | ||||||
Varian Medical Systems, Inc.* | 247 | 28,252 | ||||||
Zimmer Biomet Holdings, Inc. | 608 | 72,778 | ||||||
�� | 2,785,613 | |||||||
Health Care Providers & Services – 1.7% | ||||||||
Anthem, Inc. | 969 | 272,027 | ||||||
Cigna Corp. | 741 | 145,073 | ||||||
CVS Health Corp. | 4,769 | 293,532 | ||||||
Fresenius Medical Care AG & Co. KGaA | 893 | 70,091 | ||||||
Fresenius SE & Co. KGaA | 1,596 | 69,277 | ||||||
Humana, Inc. | 190 | 72,546 | ||||||
Laboratory Corp. of America Holdings* | 361 | 59,367 | ||||||
Orpea | 133 | 14,786 | ||||||
Ramsay Health Care Ltd. | 285 | 11,682 | ||||||
Sonic Healthcare Ltd. | 2,489 | 44,307 | ||||||
UnitedHealth Group, Inc. | 1,710 | 500,124 | ||||||
1,552,812 |
Investments | Shares | Value | ||||||
Hotels, Restaurants & Leisure – 1.8% | ||||||||
Accor SA(b) | 1,140 | $ | 31,616 | |||||
Aristocrat Leisure Ltd. | 3,876 | 64,684 | ||||||
Carnival Corp. | 1,919 | 30,512 | ||||||
Carnival plc | 152 | 2,100 | ||||||
Compass Group plc | 7,923 | 133,515 | ||||||
Domino’s Pizza Enterprises Ltd.(b) | 285 | 10,831 | ||||||
Domino’s Pizza, Inc. | 57 | 20,630 | ||||||
Genting Singapore Ltd. | 13,300 | 7,417 | ||||||
Hilton Worldwide Holdings, Inc. | 798 | 60,417 | ||||||
InterContinental Hotels Group plc | 576 | 26,213 | ||||||
Las Vegas Sands Corp. | 1,691 | 81,202 | ||||||
Marriott International, Inc., Class A | 1,216 | 110,583 | ||||||
McDonald’s Corp. | 2,774 | 520,291 | ||||||
Oriental Land Co. Ltd. | 1,900 | 243,064 | ||||||
Restaurant Brands International, Inc. | 893 | 43,655 | ||||||
Royal Caribbean Cruises Ltd. | 912 | 42,654 | ||||||
Sands China Ltd. | 7,600 | 31,273 | ||||||
Sodexo SA | 361 | 28,667 | ||||||
SSP Group plc | 1,373 | 4,856 | ||||||
TUI AG, DI | 2,451 | 9,785 | ||||||
Whitbread plc | 931 | 34,995 | ||||||
Yum! Brands, Inc. | 1,026 | 88,677 | ||||||
1,627,637 | ||||||||
Household Durables – 1.2% | ||||||||
Barratt Developments plc | 3,686 | 24,130 | ||||||
Berkeley Group Holdings plc | 551 | 29,072 | ||||||
Garmin Ltd. | 475 | 38,551 | ||||||
Husqvarna AB, Class B | 2,147 | 13,004 | ||||||
Persimmon plc | 1,254 | 34,877 | ||||||
SEB SA | 114 | 13,710 | ||||||
Sony Corp. | 13,300 | 862,165 | ||||||
Taylor Wimpey plc | 15,960 | 29,603 | ||||||
1,045,112 | ||||||||
Household Products – 2.3% | ||||||||
Church & Dwight Co., Inc. | 418 | 29,256 | ||||||
Clorox Co. (The) | 209 | 38,966 | ||||||
Colgate-Palmolive Co. | 1,558 | 109,481 | ||||||
Essity AB, Class B* | 2,299 | 74,733 | ||||||
Kimberly-Clark Corp. | 912 | 126,294 | ||||||
Procter & Gamble Co. (The) | 13,566 | 1,599,024 |
See Accompanying Notes to the Financial Statements.
214 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® STOXX® Global ESG Impact Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Household Products – (continued) | ||||||||
Unicharm Corp. | 2,600 | $ | 96,039 | |||||
2,073,793 | ||||||||
Industrial Conglomerates – 0.9% | ||||||||
3M Co. | 2,546 | 386,789 | ||||||
CK Hutchison Holdings Ltd. | 9,500 | 70,340 | ||||||
General Electric Co. | 29,944 | 203,619 | ||||||
Rheinmetall AG | 152 | 10,292 | ||||||
Siemens AG (Registered) | 1,463 | 135,693 | ||||||
Smiths Group plc | 266 | 4,162 | ||||||
810,895 | ||||||||
Insurance – 2.5% | ||||||||
Admiral Group plc | 551 | 16,194 | ||||||
Aegon NV | 133 | 342 | ||||||
Aflac, Inc. | 2,603 | 96,936 | ||||||
AIA Group Ltd. | 26,600 | 246,876 | ||||||
Allstate Corp. (The) | 1,083 | 110,163 | ||||||
American International Group, Inc. | 2,299 | 58,464 | ||||||
Aon plc | 931 | 160,756 | ||||||
Arthur J Gallagher & Co. | 684 | 53,694 | ||||||
ASR Nederland NV | 133 | 3,576 | ||||||
Assicurazioni Generali SpA | 3,971 | 56,608 | ||||||
Aviva plc | 13,262 | 40,448 | ||||||
AXA SA | 7,334 | 130,101 | ||||||
CNP Assurances* | 874 | 9,023 | ||||||
Direct Line Insurance Group plc | 627 | 2,155 | ||||||
Hartford Financial Services Group, Inc. (The) | 1,102 | 41,865 | ||||||
Insurance Australia Group Ltd. | 9,234 | 34,943 | ||||||
Japan Post Holdings Co. Ltd. | 13,300 | 107,559 | ||||||
Legal & General Group plc | 27,303 | 70,461 | ||||||
Manulife Financial Corp. | 4,237 | 53,475 | ||||||
Mapfre SA | 2,470 | 4,521 | ||||||
Marsh & McLennan Cos., Inc. | 1,007 | 98,011 | ||||||
Medibank Pvt Ltd. | 8,379 | 14,811 | ||||||
MetLife, Inc. | 1,957 | 70,609 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | 418 | 91,933 | ||||||
Phoenix Group Holdings plc | 2,223 | 16,852 | ||||||
Poste Italiane SpA(c) | 2,394 | 20,327 |
Investments | Shares | Value | ||||||
Insurance – (continued) | ||||||||
Power Corp. of Canada | 3,002 | $ | 48,112 | |||||
Principal Financial Group, Inc. | 1,349 | 49,117 | ||||||
Prudential plc | 6,251 | 88,979 | ||||||
Sampo OYJ, Class A | 950 | 31,466 | ||||||
Storebrand ASA | 4,389 | 22,075 | ||||||
Sun Life Financial, Inc. | 1,330 | 45,685 | ||||||
Suncorp Group Ltd. | 19 | 114 | ||||||
Swiss Life Holding AG (Registered) | 152 | 53,845 | ||||||
Swiss Re AG(b) | 1,178 | 85,023 | ||||||
Travelers Cos., Inc. (The) | 1,007 | 101,919 | ||||||
Zurich Insurance Group AG | 342 | 108,891 | ||||||
2,245,929 | ||||||||
Interactive Media & Services – 2.3% | ||||||||
Alphabet, Inc., Class C* | 1,387 | 1,870,592 | ||||||
Rightmove plc | 3,477 | 21,823 | ||||||
Scout24 AG(c) | 95 | 6,212 | ||||||
Snap, Inc., Class A* | 3,097 | 54,538 | ||||||
Z Holdings Corp. | 24,700 | 96,781 | ||||||
2,049,946 | ||||||||
Internet & Direct Marketing Retail – 4.8% | ||||||||
Amazon.com, Inc.* | 1,558 | 3,854,492 | ||||||
Booking Holdings, Inc.* | 152 | 225,046 | ||||||
Delivery Hero SE* (c) | 798 | 67,302 | ||||||
eBay, Inc. | 2,584 | 102,921 | ||||||
Expedia Group, Inc. | 456 | 32,367 | ||||||
Rakuten, Inc. | 5,700 | 48,826 | ||||||
4,330,954 | ||||||||
IT Services – 3.2% | ||||||||
Accenture plc, Class A | 3,534 | 654,462 | ||||||
Akamai Technologies, Inc.* | 456 | 44,556 | ||||||
Alten SA | 57 | 4,102 | ||||||
Amadeus IT Group SA | 1,273 | 61,238 | ||||||
Amdocs Ltd. | 361 | 23,263 | ||||||
Atos SE* | 672 | 47,887 | ||||||
Booz Allen Hamilton Holding Corp. | 513 | 37,675 | ||||||
Capgemini SE | 494 | 46,392 | ||||||
Capita plc* | 5,567 | 2,737 | ||||||
CGI, Inc.* | 608 | 38,858 | ||||||
Cognizant Technology Solutions Corp., Class A | 1,805 | 104,726 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 215 |
Table of Contents
FlexShares® STOXX® Global ESG Impact Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
IT Services – (continued) | ||||||||
Computershare Ltd. | 684 | $ | 5,454 | |||||
Edenred | 1,026 | 41,321 | ||||||
EPAM Systems, Inc.* | 152 | 33,575 | ||||||
Fidelity National Information Services, Inc. | 1,596 | 210,496 | ||||||
Fujitsu Ltd. | 1,900 | 187,184 | ||||||
International Business Machines Corp. | 1,501 | 188,466 | ||||||
Itochu Techno-Solutions Corp. | 1,200 | 37,032 | ||||||
Leidos Holdings, Inc. | 266 | 26,284 | ||||||
Mastercard, Inc., Class A | 3,192 | 877,704 | ||||||
NEC Corp. | 1,900 | 74,003 | ||||||
Nihon Unisys Ltd. | 1,400 | 41,175 | ||||||
Nomura Research Institute Ltd. | 1,900 | 46,800 | ||||||
Sopra Steria Group | 38 | 4,499 | ||||||
Western Union Co. (The) | 1,197 | 22,827 | ||||||
Wirecard AG | 285 | 28,219 | ||||||
Worldline SA* (b) (c) | 817 | 55,463 | ||||||
2,946,398 | ||||||||
Leisure Products – 0.1% | ||||||||
Hasbro, Inc. | 589 | 42,532 | ||||||
Yamaha Corp. | 900 | 36,863 | ||||||
79,395 | ||||||||
Life Sciences Tools & Services – 0.3% | ||||||||
Agilent Technologies, Inc. | 361 | 27,674 | ||||||
Eurofins Scientific SE(b) | 38 | 21,019 | ||||||
Illumina, Inc.* | 342 | 109,108 | ||||||
Lonza Group AG (Registered)* | 133 | 58,070 | ||||||
Mettler-Toledo International, Inc.* | 95 | 68,395 | ||||||
284,266 | ||||||||
Machinery – 1.2% | ||||||||
Alfa Laval AB* | 1,311 | 24,630 | ||||||
Alstom SA | 570 | 23,325 | ||||||
Atlas Copco AB, Class A(b) | 2,242 | 77,884 | ||||||
CNH Industrial NV* | 3,572 | 22,348 | ||||||
Cummins, Inc. | 665 | 108,728 | ||||||
Daifuku Co. Ltd.(b) | 900 | 63,375 | ||||||
Dover Corp. | 399 | 37,366 | ||||||
Epiroc AB, Class A | 2,850 | 28,631 |
Investments | Shares | Value | ||||||
Machinery – (continued) | ||||||||
GEA Group AG* | 494 | $ | 11,352 | |||||
IDEX Corp. | 323 | 49,622 | ||||||
IHI Corp. | 1,900 | 24,004 | ||||||
IMI plc | 1,026 | 10,709 | ||||||
Kawasaki Heavy Industries Ltd. | 1,900 | 29,210 | ||||||
KION Group AG | 247 | 12,258 | ||||||
Komatsu Ltd. | 5,700 | 109,938 | ||||||
Kone OYJ, Class B | 1,425 | 86,344 | ||||||
Kurita Water Industries Ltd. | 1,500 | 42,502 | ||||||
Metso OYJ | 304 | 8,434 | ||||||
PACCAR, Inc. | 1,026 | 71,030 | ||||||
Parker-Hannifin Corp. | 114 | 18,026 | ||||||
Rotork plc | 4,028 | 12,631 | ||||||
Sandvik AB* | 2,679 | 41,499 | ||||||
Schindler Holding AG(b) | 190 | 42,227 | ||||||
SKF AB, Class B | 1,444 | 22,997 | ||||||
Snap-on, Inc. | 266 | 34,657 | ||||||
Stanley Black & Decker, Inc. | 456 | 50,251 | ||||||
Trelleborg AB, Class B* | 95 | 1,224 | ||||||
Valmet OYJ | 304 | 6,959 | ||||||
Volvo AB, Class B | 2,033 | 26,258 | ||||||
1,098,419 | ||||||||
Marine – 0.0%(a) | ||||||||
AP Moller – Maersk A/S, Class B(b) | 19 | 18,887 | ||||||
Kuehne + Nagel International AG (Registered)(b) | 171 | 24,459 | ||||||
43,346 | ||||||||
Media – 0.9% | ||||||||
Comcast Corp., Class A | 16,720 | 629,173 | ||||||
DISH Network Corp., Class A* | 1,311 | 32,795 | ||||||
Eutelsat Communications SA | 646 | 7,245 | ||||||
Informa plc | 6,042 | 33,472 | ||||||
Interpublic Group of Cos., Inc. (The) | 1,919 | 32,585 | ||||||
Liberty Global plc, Class C* | 1,786 | 32,702 | ||||||
Pearson plc(b) | 1,273 | 7,383 | ||||||
Publicis Groupe SA | 19 | 564 | ||||||
SES SA, FDR | 1,520 | 10,149 | ||||||
WPP plc | 4,427 | 34,688 | ||||||
820,756 |
See Accompanying Notes to the Financial Statements.
216 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® STOXX® Global ESG Impact Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Metals & Mining – 1.3% | ||||||||
Agnico Eagle Mines Ltd. | 459 | $ | 26,877 | |||||
Alumina Ltd. | 9,082 | 10,316 | ||||||
ArcelorMittal SA(b) | 2,869 | 31,430 | ||||||
BHP Group Ltd.(b) | 5,244 | 111,065 | ||||||
BHP Group plc | 10,317 | 173,884 | ||||||
BlueScope Steel Ltd. | 2,413 | 16,193 | ||||||
Boliden AB(b) | 912 | 18,703 | ||||||
Evraz plc | 950 | 3,178 | ||||||
Fortescue Metals Group Ltd. | 10,868 | 85,099 | ||||||
Glencore plc* (b) | 48,773 | 90,496 | ||||||
Newcrest Mining Ltd.(d) | 3,743 | 67,488 | ||||||
Newmont Corp. | 2,546 | 151,516 | ||||||
Norsk Hydro ASA | 266 | 681 | ||||||
Northern Star Resources Ltd. | 1,710 | 14,319 | ||||||
OZ Minerals Ltd. | 2,755 | 16,179 | ||||||
Rio Tinto Ltd. | 1,558 | 89,262 | ||||||
Rio Tinto plc | 3,800 | 176,603 | ||||||
South32 Ltd. | 28,120 | 36,544 | ||||||
Sumitomo Metal Mining Co. Ltd. | 1,900 | 48,302 | ||||||
1,168,135 | ||||||||
Multiline Retail – 0.6% | ||||||||
Dollar General Corp. | 551 | 96,590 | ||||||
Isetan Mitsukoshi Holdings Ltd.(b) | 5,700 | 35,074 | ||||||
J Front Retailing Co. Ltd. | 1,900 | 15,796 | ||||||
Marks & Spencer Group plc | 10,621 | 12,338 | ||||||
Marui Group Co. Ltd.(b) | 1,900 | 31,485 | ||||||
Next plc | 494 | 29,448 | ||||||
Target Corp. | 1,938 | 212,676 | ||||||
Wesfarmers Ltd. | 3,040 | 75,014 | ||||||
508,421 | ||||||||
Multi-Utilities – 0.8% | ||||||||
A2A SpA | 10,450 | 14,222 | ||||||
AGL Energy Ltd. | 2,584 | 28,692 | ||||||
CMS Energy Corp. | 418 | 23,864 | ||||||
Dominion Energy, Inc. | 1,425 | 109,910 | ||||||
DTE Energy Co. | 475 | 49,276 | ||||||
E.ON SE | 3,078 | 30,834 | ||||||
Engie SA | 3,458 | 37,512 | ||||||
National Grid plc | 15,637 | 184,180 | ||||||
RWE AG | 1,311 | 37,679 |
Investments | Shares | Value | ||||||
Multi-Utilities – (continued) | ||||||||
Sempra Energy | 627 | $ | 77,654 | |||||
Veolia Environnement SA(b) | 2,280 | 48,660 | ||||||
WEC Energy Group, Inc. | 456 | 41,291 | ||||||
683,774 | ||||||||
Oil, Gas & Consumable Fuels – 3.5% | ||||||||
Aker BP ASA | 76 | 1,265 | ||||||
BP plc | 72,846 | 287,690 | ||||||
Canadian Natural Resources Ltd. | 4,009 | 67,281 | ||||||
Chevron Corp. | 4,978 | 457,976 | ||||||
ConocoPhillips | 4,389 | 184,777 | ||||||
Enbridge, Inc. | 4,237 | 130,104 | ||||||
Eni SpA(b) | 6,783 | 64,740 | ||||||
Equinor ASA(b) | 5,529 | 77,610 | ||||||
Exxon Mobil Corp. | 19,855 | 922,662 | ||||||
Galp Energia SGPS SA | 893 | 10,285 | ||||||
Hess Corp. | 684 | 33,270 | ||||||
JXTG Holdings, Inc. | 13,300 | 47,598 | ||||||
Koninklijke Vopak NV | 361 | 20,806 | ||||||
Lundin Energy AB | 361 | 9,377 | ||||||
Neste OYJ | 1,482 | 52,479 | ||||||
OMV AG | 532 | 17,423 | ||||||
Origin Energy Ltd. | 1,102 | 4,011 | ||||||
Polski Koncern Naftowy ORLEN SA | 817 | 12,303 | ||||||
Royal Dutch Shell plc, Class A(b) | 19,057 | 323,074 | ||||||
TC Energy Corp. | 2,356 | 108,661 | ||||||
TOTAL SA | 7,866 | 283,023 | ||||||
Woodside Petroleum Ltd. | 4,104 | 60,321 | ||||||
3,176,736 | ||||||||
Paper & Forest Products – 0.1% | ||||||||
Mondi plc | 2,337 | 41,564 | ||||||
Stora Enso OYJ, Class R | 798 | 9,440 | ||||||
Svenska Cellulosa AB SCA, Class B* | 2,869 | 30,916 | ||||||
UPM-Kymmene OYJ | 1,159 | 32,066 | ||||||
113,986 | ||||||||
Personal Products – 1.4% | ||||||||
Beiersdorf AG | 323 | 33,814 | ||||||
Estee Lauder Cos., Inc. (The), Class A | 779 | 137,416 | ||||||
L’Oreal SA | 988 | 287,096 | ||||||
Rohto Pharmaceutical Co. Ltd. | 1,100 | 32,351 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 217 |
Table of Contents
FlexShares® STOXX® Global ESG Impact Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Personal Products – (continued) | ||||||||
Shiseido Co. Ltd. | 3,100 | $ | 184,896 | |||||
Unilever NV | 5,605 | 279,823 | ||||||
Unilever plc | 5,282 | 273,294 | ||||||
1,228,690 | ||||||||
Pharmaceuticals – 6.8% | ||||||||
Allergan plc | 1,292 | 242,043 | ||||||
Astellas Pharma, Inc. | 19,000 | 317,422 | ||||||
AstraZeneca plc | 5,795 | 608,298 | ||||||
Bayer AG (Registered) | 3,002 | 197,746 | ||||||
Bristol-Myers Squibb Co. | 8,341 | 507,216 | ||||||
Eisai Co. Ltd. | 1,300 | 91,542 | ||||||
Eli Lilly and Co. | 1,653 | 255,620 | ||||||
GlaxoSmithKline plc | 13,680 | 286,610 | ||||||
Hikma Pharmaceuticals plc | 247 | 7,384 | ||||||
Ipsen SA | 95 | 7,050 | ||||||
Merck & Co., Inc. | 4,883 | 387,417 | ||||||
Merck KGaA | 475 | 55,200 | ||||||
Mylan NV* | 1,444 | 24,216 | ||||||
Novartis AG (Registered) | 9,633 | 821,023 | ||||||
Novo Nordisk A/S, Class B | 5,073 | 323,494 | ||||||
Otsuka Holdings Co. Ltd. | 4,200 | 167,120 | ||||||
Pfizer, Inc. | 10,469 | 401,591 | ||||||
Recordati SpA | 133 | 5,779 | ||||||
Roche Holding AG | 2,337 | 812,254 | ||||||
Sanofi(b) | 4,579 | 447,322 | ||||||
Santen Pharmaceutical Co. Ltd. | 3,800 | 67,660 | ||||||
Shionogi & Co. Ltd. | 2,100 | 116,434 | ||||||
6,150,441 | ||||||||
Professional Services – 0.6% | ||||||||
Adecco Group AG (Registered) | 1,083 | 47,476 | ||||||
Bureau Veritas SA | 1,349 | 27,985 | ||||||
Experian plc | 1,824 | 54,665 | ||||||
IHS Markit Ltd. | 912 | 61,378 | ||||||
Intertek Group plc | 741 | 44,396 | ||||||
RELX plc | 9,424 | 213,549 | ||||||
SEEK Ltd. | 703 | 8,013 | ||||||
SGS SA (Registered) | 19 | 43,014 | ||||||
Wolters Kluwer NV | 1,045 | 76,825 | ||||||
577,301 |
Investments | Shares | Value | ||||||
Real Estate Management & Development – 0.3% | ||||||||
Aroundtown SA | 1,653 | $ | 8,890 | |||||
CapitaLand Ltd.* | 9,500 | 20,313 | ||||||
Castellum AB | 1,064 | 18,677 | ||||||
CBRE Group, Inc., Class A* | 836 | 35,890 | ||||||
CK Asset Holdings Ltd. | 9,500 | 60,046 | ||||||
Fabege AB | 1,178 | 14,105 | ||||||
New World Development Co. Ltd. | 19,000 | 22,425 | ||||||
Sun Hung Kai Properties Ltd. | 3,000 | 41,175 | ||||||
Vonovia SE | 361 | 17,813 | ||||||
239,334 | ||||||||
Road & Rail – 0.5% | ||||||||
Aurizon Holdings Ltd. | 7,258 | 22,286 | ||||||
Canadian National Railway Co. | 779 | 64,560 | ||||||
Canadian Pacific Railway Ltd. | 266 | 60,586 | ||||||
CSX Corp. | 1,539 | 101,928 | ||||||
Kansas City Southern | 247 | 32,246 | ||||||
MTR Corp. Ltd. | 8,549 | 47,474 | ||||||
Nippon Express Co. Ltd. | 200 | 9,894 | ||||||
Norfolk Southern Corp. | 532 | 91,025 | ||||||
Old Dominion Freight Line, Inc. | 313 | 45,476 | ||||||
475,475 | ||||||||
Semiconductors & Semiconductor Equipment – 4.6% | ||||||||
Advanced Micro Devices, Inc.* | 3,040 | 159,266 | ||||||
Advantest Corp.(b) | 1,200 | 59,139 | ||||||
ams AG* | 769 | 10,015 | ||||||
Analog Devices, Inc. | 532 | 58,307 | ||||||
ASM International NV | 399 | 43,899 | ||||||
ASML Holding NV | 1,539 | 456,226 | ||||||
Broadcom, Inc. | 1,102 | 299,325 | ||||||
Infineon Technologies AG | 3,496 | 64,904 | ||||||
Intel Corp. | 23,883 | 1,432,502 | ||||||
Lam Research Corp. | 361 | 92,156 | ||||||
Maxim Integrated Products, Inc. | 437 | 24,026 | ||||||
Microchip Technology, Inc. | 779 | 68,342 | ||||||
Micron Technology, Inc.* | 3,173 | 151,955 | ||||||
NVIDIA Corp. | 2,242 | 655,292 | ||||||
QUALCOMM, Inc. | 2,318 | 182,357 | ||||||
Renesas Electronics Corp.* | 9,500 | 51,527 | ||||||
Skyworks Solutions, Inc. | 570 | 59,212 | ||||||
STMicroelectronics NV | 2,318 | 60,197 | ||||||
Teradyne, Inc. | 874 | 54,660 |
See Accompanying Notes to the Financial Statements.
218 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® STOXX® Global ESG Impact Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Semiconductors & Semiconductor Equipment – (continued) | ||||||||
Texas Instruments, Inc. | 1,862 | $ | 216,122 | |||||
4,199,429 | ||||||||
Software – 8.3% | ||||||||
Adobe, Inc.* | 1,786 | 631,601 | ||||||
ANSYS, Inc.* | 285 | 74,622 | ||||||
Autodesk, Inc.* | 1,064 | 199,106 | ||||||
Citrix Systems, Inc. | 323 | 46,838 | ||||||
Dassault Systemes SE | 496 | 72,554 | ||||||
Intuit, Inc. | 779 | 210,182 | ||||||
Micro Focus International plc | 45 | 273 | ||||||
Microsoft Corp. | 27,740 | 4,971,285 | ||||||
NortonLifeLock, Inc. | 2,280 | 48,496 | ||||||
Oracle Corp. | 9,025 | 478,054 | ||||||
Paycom Software, Inc.* | 152 | 39,675 | ||||||
Sage Group plc (The) | 3,914 | 31,596 | ||||||
salesforce.com, Inc.* | 1,634 | 264,626 | ||||||
SAP SE | 3,173 | 378,609 | ||||||
SimCorp A/S | 323 | 29,878 | ||||||
Splunk, Inc.* | 304 | 42,670 | ||||||
Synopsys, Inc.* | 285 | 44,779 | ||||||
7,564,844 | ||||||||
Specialty Retail – 1.2% | ||||||||
AutoZone, Inc.* | 38 | 38,772 | ||||||
Best Buy Co., Inc. | 1,026 | 78,725 | ||||||
Burlington Stores, Inc.* | 323 | 59,009 | ||||||
Fast Retailing Co. Ltd. | 400 | 192,640 | ||||||
Hennes & Mauritz AB, Class B(b) | 2,508 | 34,973 | ||||||
Industria de Diseno Textil SA | 3,762 | 95,802 | ||||||
Kingfisher plc | 646 | 1,282 | ||||||
Lowe’s Cos., Inc. | 2,888 | 302,518 | ||||||
Tiffany & Co. | 209 | 26,438 | ||||||
TJX Cos., Inc. (The) | 5,111 | 250,695 | ||||||
1,080,854 | ||||||||
Technology Hardware, Storage & Peripherals – 5.5% | ||||||||
Apple, Inc. | 15,542 | 4,566,240 | ||||||
Brother Industries Ltd. | 1,900 | 32,622 | ||||||
Hewlett Packard Enterprise Co. | 5,472 | 55,048 | ||||||
HP, Inc. | 4,275 | 66,305 |
Investments | Shares | Value | ||||||
Technology Hardware, Storage & Peripherals – (continued) | ||||||||
Logitech International SA (Registered) | 190 | $ | 9,156 | |||||
NetApp, Inc. | 931 | 40,750 | ||||||
Ricoh Co. Ltd. | 5,700 | 39,444 | ||||||
Seagate Technology plc | 741 | 37,013 | ||||||
Seiko Epson Corp. | 3,800 | 43,602 | ||||||
Western Digital Corp. | 893 | 41,149 | ||||||
Xiaomi Corp., Class B* (b) (c) | 22,800 | 29,999 | ||||||
4,961,328 | ||||||||
Textiles, Apparel & Luxury Goods – 1.3% | ||||||||
adidas AG | 589 | 134,962 | ||||||
Burberry Group plc | 1,805 | 31,647 | ||||||
Cie Financiere Richemont SA (Registered) | 1,444 | 82,018 | ||||||
EssilorLuxottica SA – IM | 282 | 34,594 | ||||||
EssilorLuxottica SA – MO | 991 | 122,275 | ||||||
Hermes International | 114 | 83,384 | ||||||
HUGO BOSS AG | 57 | 1,585 | ||||||
Kering SA | 285 | 143,656 | ||||||
Lululemon Athletica, Inc.* | 380 | 84,922 | ||||||
LVMH Moet Hennessy Louis Vuitton SE(b) | 1,064 | 410,745 | ||||||
Moncler SpA | 1,064 | 39,973 | ||||||
Pandora A/S(b) | 19 | 675 | ||||||
1,170,436 | ||||||||
Tobacco – 0.5% | ||||||||
Altria Group, Inc. | 5,187 | 203,590 | ||||||
Imperial Brands plc | 4,769 | 100,998 | ||||||
Japan Tobacco, Inc. | 9,500 | 178,966 | ||||||
483,554 | ||||||||
Trading Companies & Distributors – 0.8% | ||||||||
Brenntag AG | 418 | 18,858 | ||||||
Bunzl plc | 1,748 | 38,089 | ||||||
ITOCHU Corp.(b) | 11,400 | 226,540 | ||||||
Mitsubishi Corp. | 7,600 | 163,464 | ||||||
Mitsui & Co. Ltd. | 9,500 | 134,502 | ||||||
Rexel SA | 171 | 1,601 | ||||||
Sojitz Corp. | 9,500 | 22,388 | ||||||
Toyota Tsusho Corp. | 1,900 | 45,983 | ||||||
WW Grainger, Inc. | 209 | 57,596 | ||||||
709,021 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 219 |
Table of Contents
FlexShares® STOXX® Global ESG Impact Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Transportation Infrastructure – 0.1% | ||||||||
Aeroports de Paris | 209 | $ | 20,465 | |||||
Auckland International Airport Ltd.(b) | 5,051 | 18,978 | ||||||
Flughafen Zurich AG (Registered)* | 95 | 11,723 | ||||||
Fraport AG Frankfurt Airport Services Worldwide | 171 | 7,499 | ||||||
Getlink SE | 1,919 | 24,445 | ||||||
83,110 | ||||||||
Water Utilities – 0.1% | ||||||||
American Water Works Co., Inc. | 437 | 53,179 | ||||||
Severn Trent plc | 1,292 | 38,949 | ||||||
92,128 | ||||||||
Wireless Telecommunication Services – 0.8% | ||||||||
KDDI Corp. | 8,500 | 247,127 | ||||||
NTT DOCOMO, Inc. | 9,000 | 264,946 | ||||||
Rogers Communications, Inc., Class B | 722 | 30,305 | ||||||
Tele2 AB, Class B | 1,501 | 19,455 | ||||||
Vodafone Group plc | 121,581 | 171,974 | ||||||
733,807 | ||||||||
Total Common Stocks (Cost $81,375,156) |
| 89,102,007 | ||||||
Principal Amount | ||||||||
SECURITIES LENDING REINVESTMENTS(e) – 0.2% | ||||||||
REPURCHASE AGREEMENTS – 0.2% | ||||||||
Citigroup Global Markets, Inc., 0.02%, dated 4/30/2020, due 5/1/2020, repurchase price $221,348, collateralized by various U.S. Treasury Securities, ranging from 0.75% – 4.38%, maturing 8/15/2040 – 2/15/2046; total market value $223,038 | $ | 221,348 | 221,348 | |||||
Total Investments – 98.6% (Cost $81,596,504) |
| 89,323,355 | ||||||
Other Assets Less Liabilities – 1.4% |
| 1,306,406 | ||||||
NET ASSETS – 100.0% |
| $ | 90,629,761 |
* | Non-income producing security. |
(a) | Represents less than 0.05% of net assets. |
(b) | The security or a portion of this security is on loan at April 30, 2020. The total value of securities on loan at April 30, 2020 was $2,545,747, collateralized in the form of cash with a value of $221,348 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Investments; $909,193 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% – 6.13%, and maturity dates ranging from May 21, 2020 – May 15, 2049 and $1,645,344 of collateral in the form of Foreign Government Fixed Income Securities, interest rates ranging from 0.00% – 6.50%, and maturity dates ranging from January 22, 2021 – September 20, 2117; a total value of $2,775,885. |
(c) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
(d) | Security fair valued as of April 30, 2020 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at April 30, 2020 amounted to $67,488, which represents approximately 0.07% of net assets of the Fund. |
(e) | The security was purchased with cash collateral held from securities on loan at April 30, 2020. The total value of securities purchased was $221,348. |
Percentages shown are based on Net Assets.
Abbreviations
CHDI – Clearing House Electronic Subregister System (CHESS) Depository Interest
CVA – Dutch Certification
DI – Depositary Interest
FDR – Fiduciary Depositary Receipt
OYJ – Public Limited Company
Preference – A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.
SCA – Limited partnership with share capital
As of April 30, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 14,479,618 | ||
Aggregate gross unrealized depreciation | (6,661,152 | ) | ||
Net unrealized appreciation | $ | 7,818,466 | ||
Federal income tax cost | $ | 81,611,209 |
See Accompanying Notes to the Financial Statements.
220 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® STOXX® Global ESG Impact Index Fund (cont.)
Futures Contracts
FlexShares® STOXX® Global ESG Impact Index Fund had the following open futures contracts as of April 30, 2020:
Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value and Unrealized Appreciation* | ||||||||||||||||
Long Contracts |
| |||||||||||||||||||
EURO STOXX 50 Index | 3 | 06/19/2020 | EUR | $ | 94,864 | $ | 3,635 | |||||||||||||
MSCI EAFE E-Mini Index | 7 | 06/19/2020 | USD | 573,405 | 45,243 | |||||||||||||||
S&P 500 E-Mini Index | 5 | 06/19/2020 | USD | 725,600 | 57,442 | |||||||||||||||
$ | 106,320 |
* | This amount represents the cumulative appreciation/depreciation on futures contracts. Current day’s variation margin is reported within the Statement of Assets and Liabilities for futures contracts. |
Abbreviations:
EUR – Euro
USD – US Dollar
FlexShares® STOXX® Global ESG Impact Index Fund invested, as a percentage of net assets, in companies domiciled in the following countries as of April 30, 2020:
Australia | 2.4 | % | ||
Austria | 0.1 | |||
Belgium | 0.3 | |||
Canada | 1.8 | |||
Denmark | 0.8 | |||
Finland | 0.4 | |||
France | 4.4 | |||
Germany | 2.5 | |||
Hong Kong | 0.9 | |||
Ireland | 0.2 | |||
Italy | 0.9 | |||
Japan | 8.6 | |||
Luxembourg | 0.0 | † | ||
Netherlands | 1.5 | |||
New Zealand | 0.1 | |||
Norway | 0.3 | |||
Poland | 0.0 | † | ||
Portugal | 0.1 | |||
Singapore | 0.3 | |||
Spain | 0.9 | |||
Sweden | 1.1 | |||
Switzerland | 4.4 | |||
United Kingdom | 6.1 | |||
United States | 60.3 | |||
Other1 | 1.6 | |||
100.0 | % |
† | Amount represents less than 0.05%. |
1 | Includes any non-equity securities, securities lending reinvestments and net other assets (liabilities). |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 221 |
Table of Contents
Schedule of Investments
FlexShares® Morningstar Global Upstream Natural Resources Index Fund
April 30, 2020 (Unaudited)
Investments | Shares | Value | ||||||
COMMON STOCKS – 98.4% | ||||||||
Building Products – 0.1% | ||||||||
Universal Forest Products, Inc.(a) | 118,188 | $ | 4,859,890 | |||||
Chemicals – 14.3% | ||||||||
CF Industries Holdings, Inc. | 1,247,004 | 34,292,610 | ||||||
Corteva, Inc.(a) | 3,601,116 | 94,313,228 | ||||||
FMC Corp.(a) | 641,592 | 58,962,305 | ||||||
Israel Chemicals Ltd. | 3,880,908 | 13,607,609 | ||||||
K+S AG (Registered) | 921,384 | 6,206,530 | ||||||
Mosaic Co. (The) | 2,291,400 | 26,374,014 | ||||||
Nufarm Ltd.* (a) | 1,558,152 | 5,365,842 | ||||||
Nutrien Ltd. | 3,198,312 | 114,466,388 | ||||||
PhosAgro PJSC | 164,016 | 5,990,733 | ||||||
Sasol Ltd.* (a) | 1,408,608 | 6,692,901 | ||||||
Saudi Arabian Fertilizer Co. | 923,796 | 17,418,045 | ||||||
Scotts Miracle-Gro Co. (The)(a) | 178,488 | 22,137,867 | ||||||
UPL Ltd. | 2,496,420 | 13,963,929 | ||||||
Yara International ASA(a) | 827,316 | 28,277,319 | ||||||
448,069,320 | ||||||||
Equity Real Estate Investment Trusts (REITs) – 1.2% | ||||||||
Rayonier, Inc. | 260,496 | 6,259,719 | ||||||
Weyerhaeuser Co. | 1,507,500 | 32,969,025 | ||||||
39,228,744 | ||||||||
Food Products – 14.5% | ||||||||
a2 Milk Co. Ltd.* (a) | 3,244,140 | 39,288,899 | ||||||
Archer-Daniels-Midland Co.(a) | 2,641,140 | 98,091,940 | ||||||
Bakkafrost P/F | 233,964 | 11,595,693 | ||||||
Bunge Ltd. | 735,660 | 29,183,632 | ||||||
Charoen Pokphand Foods PCL, NVDR | 18,813,600 | 15,699,805 | ||||||
Charoen Pokphand Indonesia Tbk. PT | 31,114,800 | 9,622,056 | ||||||
IOI Corp. Bhd. | 14,699,800 | 13,879,346 | ||||||
Kuala Lumpur Kepong Bhd. | 2,653,200 | 12,957,488 | ||||||
Maruha Nichiro Corp. | 241,700 | 5,117,209 | ||||||
Mowi ASA | 2,216,628 | 38,066,081 | ||||||
PPB Group Bhd. | 3,263,800 | 12,493,523 |
Investments | Shares | Value | ||||||
Food Products – (continued) | ||||||||
QL Resources Bhd. | 3,264,400 | $ | 6,187,177 | |||||
Sakata Seed Corp.(a) | 179,500 | 5,866,671 | ||||||
Salmar ASA | 248,436 | 9,723,951 | ||||||
Sime Darby Plantation Bhd. | 14,472,000 | 16,659,628 | ||||||
Tyson Foods, Inc., Class A | 1,509,912 | 93,901,427 | ||||||
Wilmar International Ltd. | 14,230,800 | 36,090,045 | ||||||
454,424,571 | ||||||||
Metals & Mining – 31.1% | ||||||||
Agnico Eagle Mines Ltd.(a) | 463,263 | 27,126,376 | ||||||
Anglo American plc | 2,976,408 | 53,130,744 | ||||||
AngloGold Ashanti Ltd. | 713,952 | 18,065,532 | ||||||
Barrick Gold Corp. | 3,329,246 | 85,882,779 | ||||||
BHP Group Ltd.(a) | 6,329,088 | 134,047,205 | ||||||
Boliden AB(a) | 578,880 | 11,871,331 | ||||||
First Quantum Minerals Ltd.(a) | 1,811,412 | 11,085,354 | ||||||
Fortescue Metals Group Ltd. | 3,350,268 | 26,233,309 | ||||||
Franco-Nevada Corp.(a) | 365,437 | 48,453,060 | ||||||
Freeport-McMoRan, Inc.(a) | 3,273,084 | 28,901,332 | ||||||
Glencore plc* (a) | 25,241,580 | 46,834,385 | ||||||
Gold Fields Ltd.(a) | 1,370,016 | 10,579,672 | ||||||
Grupo Mexico SAB de CV, Series B(a) | 6,498,228 | 14,028,094 | ||||||
Impala Platinum Holdings Ltd. | 1,531,620 | 9,357,352 | ||||||
Kinross Gold Corp.* | 2,412,000 | 15,959,019 | ||||||
Kirkland Lake Gold Ltd. | 520,992 | 21,583,124 | ||||||
Korea Zinc Co. Ltd. | 25,075 | 7,943,658 | ||||||
MMC Norilsk Nickel PJSC | 34,536 | 9,563,761 | ||||||
MMC Norilsk Nickel PJSC, ADR | 831,764 | 23,106,404 | ||||||
Newcrest Mining Ltd.(b) | 1,377,252 | 24,832,457 | ||||||
Newmont Corp. | 1,464,084 | 87,083,716 | ||||||
Norsk Hydro ASA | 3,101,832 | 7,943,103 | ||||||
Northern Star Resources Ltd. | 1,365,192 | 11,431,589 | ||||||
Rio Tinto plc | 1,951,308 | 90,685,948 | ||||||
Royal Gold, Inc. | 132,660 | 16,254,830 | ||||||
Saudi Arabian Mining Co.* | 986,508 | 9,812,536 | ||||||
South32 Ltd. | 10,873,296 | 14,130,713 | ||||||
Sumitomo Metal Mining Co. Ltd.(a) | 557,700 | 14,177,841 | ||||||
Teck Resources Ltd., Class B | 1,104,696 | 9,758,897 |
See Accompanying Notes to the Financial Statements.
222 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Global Upstream Natural Resources Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Metals & Mining – (continued) | ||||||||
Vale SA* | 6,616,100 | $ | 54,827,600 | |||||
Wheaton Precious Metals Corp.(a) | 845,067 | 32,179,411 | ||||||
976,871,132 | ||||||||
Multi-Utilities – 0.9% | ||||||||
Suez | 713,952 | 8,066,244 | ||||||
Veolia Environnement SA(a) | 918,972 | 19,612,627 | ||||||
27,678,871 | ||||||||
Oil, Gas & Consumable Fuels – 29.0% | ||||||||
BP plc | 17,291,628 | 68,289,599 | ||||||
Canadian Natural Resources Ltd.(a) | 1,396,548 | 23,437,513 | ||||||
Chevron Corp.(a) | 1,466,496 | 134,917,632 | ||||||
China Petroleum & Chemical Corp., Class H | 19,026,000 | 9,620,556 | ||||||
CNOOC Ltd. | 14,142,000 | 16,034,903 | ||||||
Concho Resources, Inc. | 205,020 | 11,628,734 | ||||||
ConocoPhillips | 1,126,404 | 47,421,608 | ||||||
Diamondback Energy, Inc.(a) | 265,320 | 11,552,033 | ||||||
Eni SpA(a) | 2,356,524 | 22,491,712 | ||||||
EOG Resources, Inc. | 653,652 | 31,055,006 | ||||||
Equinor ASA | 1,005,804 | 14,118,291 | ||||||
Exxon Mobil Corp.(a) | 3,415,392 | 158,713,266 | ||||||
Gazprom PJSC | 9,508,720 | 24,431,201 | ||||||
Gazprom PJSC, ADR | 384,132 | 1,949,854 | ||||||
Gazprom PJSC, ADR, OTC | 155,011 | 782,806 | ||||||
Hess Corp.(a) | 272,556 | 13,257,124 | ||||||
Inpex Corp. | 964,800 | 6,235,314 | ||||||
LUKOIL PJSC | 177,466 | 11,582,882 | ||||||
LUKOIL PJSC, ADR(a) | 184,514 | 12,085,667 | ||||||
Novatek PJSC | 793,548 | 11,130,249 | ||||||
Occidental Petroleum Corp.(a) | 1,712,520 | 28,427,832 | ||||||
PetroChina Co. Ltd., Class H | 16,306,000 | 5,868,381 | ||||||
Petroleo Brasileiro SA (Preference) | 5,091,333 | 16,976,440 | ||||||
Pioneer Natural Resources Co. | 200,196 | 17,879,505 | ||||||
PTT PCL, NVDR | 12,783,600 | 14,026,203 | ||||||
Repsol SA | 1,208,412 | 11,004,191 |
Investments | Shares | Value | ||||||
Oil, Gas & Consumable Fuels – (continued) | ||||||||
Royal Dutch Shell plc, Class A | 3,569,760 | $ | 59,660,998 | |||||
Suncor Energy, Inc. | 1,555,740 | 27,800,473 | ||||||
Tatneft PJSC | 1,505,088 | 11,194,218 | ||||||
TOTAL SA | 2,103,264 | 75,676,712 | ||||||
Woodside Petroleum Ltd.(a) | 841,788 | 12,372,613 | ||||||
911,623,516 | ||||||||
Paper & Forest Products – 3.3% | ||||||||
Canfor Corp.* (a) | 142,308 | 993,835 | ||||||
Duratex SA* | 723,600 | 1,301,953 | ||||||
Holmen AB, Class B | 180,900 | 5,285,943 | ||||||
Interfor Corp.* (a) | 173,664 | 1,026,517 | ||||||
Mondi plc | 899,676 | 16,000,769 | ||||||
Oji Holdings Corp.(a) | 1,929,600 | 9,924,534 | ||||||
Stella-Jones, Inc. | 120,600 | 3,012,938 | ||||||
Stora Enso OYJ, Class R | 1,172,232 | 13,866,614 | ||||||
Suzano SA* | 1,036,800 | 7,548,129 | ||||||
Svenska Cellulosa AB SCA, Class B* (a) | 1,085,400 | 11,696,121 | ||||||
UPM-Kymmene OYJ | 1,015,452 | 28,094,793 | ||||||
West Fraser Timber Co. Ltd.(a) | 125,424 | 3,498,273 | ||||||
102,250,419 | ||||||||
Trading Companies & Distributors – 0.6% | ||||||||
Mitsui & Co. Ltd. | 1,323,300 | 18,735,458 | ||||||
Water Utilities – 3.4% | ||||||||
American States Water Co.(a) | 50,652 | 4,020,249 | ||||||
American Water Works Co., Inc.(a) | 253,260 | 30,819,209 | ||||||
Beijing Enterprises Water Group Ltd.* | 9,682,000 | 3,746,735 | ||||||
California Water Service Group(a) | 69,948 | 3,142,064 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo* | 620,805 | 4,596,432 | ||||||
Cia de Saneamento de Minas Gerais-COPASA* | 135,566 | 1,202,070 | ||||||
Cia de Saneamento do Parana* | 464,260 | 2,204,105 | ||||||
Essential Utilities, Inc.(a) | 340,092 | 14,212,445 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 223 |
Table of Contents
FlexShares® Morningstar Global Upstream Natural Resources Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Water Utilities – (continued) | ||||||||
Guangdong Investment Ltd. | 4,209,576 | $ | 8,753,264 | |||||
Pennon Group plc | 646,416 | 8,936,311 | ||||||
Severn Trent plc | 364,212 | 10,979,631 | ||||||
SJW Group(a) | 38,592 | 2,297,382 | ||||||
United Utilities Group plc | 1,058,868 | 12,049,812 | ||||||
106,959,709 | ||||||||
Total Common Stocks (Cost $3,532,065,772) |
| 3,090,701,630 | ||||||
Principal Amount | ||||||||
SECURITIES LENDING REINVESTMENTS(c) – 6.4% | ||||||||
CERTIFICATES OF DEPOSIT – 0.4% | ||||||||
Bank of Montreal, Chicago | ||||||||
(US Federal Funds Effective Rate (continuous series) + 0.35%), 0.39%, 8/6/2020(d) | $ | 4,000,000 | 3,995,652 | |||||
MUFG Bank Ltd., New York Branch 1.85%, 10/15/2020 | 4,000,000 | 4,021,800 | ||||||
Natixis SA, New York 1.79%, 6/5/2020 | 1,000,000 | 1,000,171 | ||||||
Svenska Handelsbanken, New York | ||||||||
(ICE LIBOR USD 1 Month + 0.08%), 0.86%, 11/30/2020(d) | 3,000,000 | 2,990,373 | ||||||
Total Certificates of Deposit (Cost $11,995,370) |
| 12,007,996 | ||||||
COMMERCIAL PAPER – 0.3% | ||||||||
Bank of China, Hong Kong Branch 1.84%, 5/21/2020 | 2,000,000 | 1,997,967 | ||||||
Bank of Nova Scotia, Houston | ||||||||
(ICE LIBOR USD 1 Month + 0.17%), 0.98%, 5/15/2020(d) (e) | 5,000,000 | 5,000,000 |
Investments | Principal Amount | Value | ||||||
COMMERCIAL PAPER – (continued) | ||||||||
UBS AG, London | ||||||||
(ICE LIBOR USD 1 Month + 0.34%), 0.78%, 5/6/2020(d) (e) | $ | 3,000,000 | $ | 3,000,000 | ||||
Total Commercial Paper (Cost $9,997,967) |
| 9,997,967 | ||||||
REPURCHASE AGREEMENTS – 5.7% | ||||||||
BofA Securities, Inc., 0.49%, dated 4/30/2020, due 7/31/2020, repurchase price $8,010,018, collateralized by various Common Stocks; total market value $8,630,058 | 8,000,000 | 8,000,000 | ||||||
Citigroup Global Markets, Inc., 0.02%, dated 4/30/2020, due 5/1/2020, repurchase price $129,875,348, collateralized by various U.S. Treasury Securities, ranging from 0.75% – 4.38%, maturing 8/15/2040 – 2/15/2046; total market value $130,867,164 | 129,875,276 | 129,875,276 | ||||||
NBC Global Finance Ltd., 0.21%, dated 4/30/2020, due 5/1/2020, repurchase price $7,500,044, collateralized by various U.S. Treasury Securities, 2.88%, maturing 8/15/2028; Common Stocks; total market value $8,241,520 | 7,500,000 | 7,500,000 |
See Accompanying Notes to the Financial Statements.
224 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Global Upstream Natural Resources Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
SECURITIES LENDING REINVESTMENTS(c) – (continued) | ||||||||
REPURCHASE AGREEMENTS – (continued) | ||||||||
Societe Generale, 0.20%, dated 4/30/2020, due 5/1/2020, repurchase price $32,450,180, collateralized by various U.S. Treasury Securities, ranging from 1.13% – 2.88%, maturing 2/28/2021 – 2/15/2046; Common Stocks; total market value $35,259,532 | $ | 32,450,000 | $ | 32,450,000 | ||||
Total Repurchase Agreements (Cost $177,825,276) |
| 177,825,276 | ||||||
Total Securities Lending Reinvestments (Cost $199,818,613) |
| 199,831,239 | ||||||
Total Investments – 104.8% (Cost $3,731,884,385) |
| 3,290,532,869 | ||||||
Liabilities in excess of other assets – (4.8%) |
| (150,502,288 | ) | |||||
NET ASSETS – 100.0% |
| $ | 3,140,030,581 |
* | Non-income producing security. |
(a) | The security or a portion of this security is on loan at April 30, 2020. The total value of securities on loan at April 30, 2020 was $293,177,640, collateralized in the form of cash with a value of $199,849,647 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Investments; $47,277,304 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% – 8.75%, and maturity dates ranging from May 5, 2020 – November 15, 2049 and $65,044,346 of collateral in the form of Foreign Government Fixed Income Securities, interest rates ranging from 0.00% – 6.50%, and maturity dates ranging from May 11, 2020 – September 20, 2117; a total value of $312,171,297. |
(b) | Security fair valued as of April 30, 2020 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at April 30, 2020 amounted to $24,832,457, which represents approximately 0.79% of net assets of the Fund. |
(c) | The security was purchased with cash collateral held from securities on loan at April 30, 2020. The total value of securities purchased was $199,831,239. |
(d) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the rate in effect as of April 30, 2020. |
(e) | Security exempt from registration under Section 4(2) of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration normally to qualified institutional buyers. |
Percentages shown are based on Net Assets.
Abbreviations
ADR – American Depositary Receipt
ICE – Intercontinental Exchange
LIBOR – London Interbank Offered Rate
NVDR – Non-Voting Depositary Receipt
OYJ – Public Limited Company
PJSC – Public Joint Stock Company
Preference – A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.
SCA – Limited partnership with share capital
USD – US Dollar
As of April 30, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 310,435,775 | ||
Aggregate gross unrealized depreciation | (774,836,787 | ) | ||
Net unrealized depreciation | $ | (464,401,012 | ) | |
Federal income tax cost | $ | 3,759,903,666 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 225 |
Table of Contents
FlexShares® Morningstar Global Upstream Natural Resources Index Fund (cont.)
Futures Contracts
FlexShares® Morningstar Global Upstream Natural Resources Index Fund had the following open futures contracts as of April 30, 2020:
Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value and Unrealized Appreciation* | ||||||||||||||||
Long Contracts |
| |||||||||||||||||||
EURO STOXX 50 Index | 4 | 06/19/2020 | EUR | $ | 126,485 | $ | 24,572 | |||||||||||||
FTSE 100 Index | 196 | 06/19/2020 | GBP | 14,549,168 | 1,849,649 | |||||||||||||||
FTSE/JSE Top 40 Index | 48 | 06/18/2020 | ZAR | 1,220,269 | 292,613 | |||||||||||||||
Hang Seng Index | 3 | 05/28/2020 | HKD | 474,089 | 16,382 | |||||||||||||||
MSCI Emerging Markets E-Mini Index | 47 | 06/19/2020 | USD | 2,128,865 | 185,624 | |||||||||||||||
S&P Midcap 400 E-Mini Index | 43 | 06/19/2020 | USD | 7,057,590 | 771,240 | |||||||||||||||
S&P/TSX 60 Index | 118 | 06/18/2020 | CAD | 15,091,630 | 883,350 | |||||||||||||||
SPI 200 Index | 79 | 06/18/2020 | AUD | 7,163,400 | 742,663 | |||||||||||||||
TOPIX Index | 6 | 06/11/2020 | JPY | 815,823 | 57,217 | |||||||||||||||
$ | 4,823,310 |
* | This amount represents the cumulative appreciation/depreciation on futures contracts. Current day’s variation margin is reported within the Statement of Assets and Liabilities for futures contracts. |
Forward Foreign Currency Contracts
FlexShares® Morningstar Global Upstream Natural Resources Index Fund had the following outstanding contracts as of April 30, 2020:
Contracts to Receive | Counterparty | In Exchange For | Maturity Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
AUD | 3,600,000 | Toronto-Dominion Bank (The) | USD | 2,143,018 | 06/17/2020 | $ | 214,238 | |||||||||||||||
CAD | 6,124,822 | Morgan Stanley | USD | 4,401,657 | 06/17/2020 | 8,669 | ||||||||||||||||
CAD | 1,600,000 | Toronto-Dominion Bank (The) | USD | 1,130,530 | 06/17/2020 | 21,589 | ||||||||||||||||
EUR | 175,000 | JPMorgan Chase Bank | USD | 190,290 | 06/17/2020 | 1,564 | ||||||||||||||||
EUR | 2,150,000 | Morgan Stanley | USD | 2,314,749 | 06/17/2020 | 42,318 | ||||||||||||||||
GBP | 2,820,586 | Morgan Stanley | USD | 3,533,505 | 06/17/2020 | 24,914 | ||||||||||||||||
NOK | 3,000,000 | Goldman Sachs & Co. | USD | 288,164 | 06/17/2020 | 5,466 | ||||||||||||||||
NZD | 426,346 | Morgan Stanley | USD | 259,876 | 06/17/2020 | 3,083 | ||||||||||||||||
SGD | 400,000 | Morgan Stanley | USD | 275,593 | 06/17/2020 | 8,613 | ||||||||||||||||
USD | 2,189,215 | BNP Paribas SA | BRL* | 10,330,760 | 06/17/2020 | 287,435 | ||||||||||||||||
USD | 114,476 | Toronto-Dominion Bank (The) | BRL* | 620,000 | 06/17/2020 | 340 | ||||||||||||||||
USD | 1,016,352 | Citibank NA | CHF | 961,534 | 06/17/2020 | 18,822 | ||||||||||||||||
USD | 439,470 | JPMorgan Chase Bank | EUR | 393,535 | 06/17/2020 | 8,033 | ||||||||||||||||
USD | 708,239 | Toronto-Dominion Bank (The) | EUR | 640,000 | 06/17/2020 | 6,601 | ||||||||||||||||
USD | 1,160,415 | Morgan Stanley | HKD | 9,000,000 | 06/17/2020 | 200 | ||||||||||||||||
USD | 295,037 | Goldman Sachs & Co. | KRW* | 350,052,156 | 06/17/2020 | 7,527 | ||||||||||||||||
USD | 16,579 | Goldman Sachs & Co. | RUB* | 1,215,850 | 06/17/2020 | 250 | ||||||||||||||||
Total unrealized appreciation |
| $ | 659,662 | |||||||||||||||||||
EUR | 337,137 | Bank of New York | USD | 371,683 | 06/17/2020 | $ | (2,076 | ) | ||||||||||||||
INR* | 6,925,711 | Toronto-Dominion Bank (The) | USD | 92,010 | 06/17/2020 | (217 | ) | |||||||||||||||
JPY | 49,750,030 | Morgan Stanley | USD | 466,733 | 06/17/2020 | (1,187 | ) | |||||||||||||||
MXN | 28,291 | Citibank NA | USD | 1,313 | 06/17/2020 | (134 | ) | |||||||||||||||
MYR* | 724,831 | Goldman Sachs & Co. | USD | 170,605 | 06/17/2020 | (2,374 | ) | |||||||||||||||
NOK | 7,031,048 | Goldman Sachs & Co. | USD | 702,766 | 06/17/2020 | (14,592 | ) | |||||||||||||||
SEK | 555,456 | Goldman Sachs & Co. | USD | 56,905 | 06/17/2020 | (12 | ) |
See Accompanying Notes to the Financial Statements.
226 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Global Upstream Natural Resources Index Fund (cont.)
Forward Foreign Currency Contracts (cont.)
Contracts to Receive | Counterparty | In Exchange For | Maturity Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
SGD | 204,915 | Citibank NA | USD | 147,188 | 06/17/2020 | $ | (1,593 | ) | ||||||||||||||
USD | 412,136 | JPMorgan Chase Bank | AUD | 675,000 | 06/17/2020 | (29,850 | ) | |||||||||||||||
USD | 1,403,540 | Morgan Stanley | AUD | 2,358,630 | 06/17/2020 | (140,874 | ) | |||||||||||||||
USD | 2,447,210 | Goldman Sachs & Co. | CAD | 3,540,283 | 06/17/2020 | (102,057 | ) | |||||||||||||||
USD | 1,549,166 | JPMorgan Chase Bank | CAD | 2,200,000 | 06/17/2020 | (34,997 | ) | |||||||||||||||
USD | 142,861 | Morgan Stanley | CAD | 200,000 | 06/17/2020 | (1,154 | ) | |||||||||||||||
USD | 1,314,595 | JPMorgan Chase Bank | EUR | 1,200,000 | 06/17/2020 | (977 | ) | |||||||||||||||
USD | 855,808 | Bank of Montreal | GBP | 709,829 | 06/17/2020 | (39,704 | ) | |||||||||||||||
USD | 880,461 | Morgan Stanley | GBP | 715,000 | 06/17/2020 | (21,575 | ) | |||||||||||||||
USD | 4,723,955 | Toronto-Dominion Bank (The) | GBP | 3,800,000 | 06/17/2020 | (70,082 | ) | |||||||||||||||
USD | 1,044,819 | Citibank NA | HKD | 8,117,495 | 06/17/2020 | (1,630 | ) | |||||||||||||||
USD | 611,554 | Goldman Sachs & Co. | JPY | 66,827,381 | 06/17/2020 | (13,797 | ) | |||||||||||||||
USD | 1,343,354 | Morgan Stanley | JPY | 145,000,000 | 06/17/2020 | (13,513 | ) | |||||||||||||||
USD | 578,315 | Toronto-Dominion Bank (The) | JPY | 64,000,000 | 06/17/2020 | (20,578 | ) | |||||||||||||||
USD | 131,492 | Morgan Stanley | ZAR | 2,430,000 | 06/17/2020 | (214 | ) | |||||||||||||||
Total unrealized depreciation |
| $ | (513,187 | ) | ||||||||||||||||||
Net unrealized appreciation |
| $ | 146,475 |
* | Non-deliverable forward. See Note 2 in the Notes to Financial Statements. |
Abbreviations:
AUD – Australian Dollar
BRL – Brazilian Real
CAD – Canadian Dollar
CHF – Swiss Franc
EUR – Euro
GBP – British Pound
HKD – Hong Kong Dollar
INR – Indian Rupee
JPY – Japanese Yen
KRW – Korean Won
MXN – Mexican Peso
MYR – Malaysian Ringgit
NOK – Norwegian Krone
NZD – New Zealand Dollar
RUB – Russian Ruble
SEK – Swedish Krona
SGD – Singapore Dollar
USD – US Dollar
ZAR – South African Rand
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 227 |
Table of Contents
FlexShares® Morningstar Global Upstream Natural Resources Index Fund (cont.)
FlexShares® Morningstar Global Upstream Natural Resources Index Fund invested, as a percentage of net assets, in companies domiciled in the following countries as of April 30, 2020:
Australia | 7.3 | % | ||
Brazil | 2.8 | |||
Canada | 13.6 | |||
China | 1.4 | |||
Finland | 1.3 | |||
France | 3.3 | |||
Germany | 0.2 | |||
India | 0.4 | |||
Indonesia | 0.3 | |||
Israel | 0.4 | |||
Italy | 0.7 | |||
Japan | 1.9 | |||
Malaysia | 2.0 | |||
Mexico | 0.4 | |||
New Zealand | 1.3 | |||
Norway | 3.5 | |||
Russia | 3.6 | |||
Saudi Arabia | 0.9 | |||
Singapore | 1.1 | |||
South Africa | 1.4 | |||
South Korea | 0.3 | |||
Spain | 0.4 | |||
Sweden | 0.9 | |||
Thailand | 0.9 | |||
United Kingdom | 11.7 | |||
United States | 36.4 | |||
Other1 | 1.6 | |||
100.0 | % |
1 | Includes any non-equity securities, securities lending reinvestments and net other assets (liabilities). |
See Accompanying Notes to the Financial Statements.
228 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Schedule of Investments
FlexShares® STOXX® Global Broad Infrastructure Index Fund
April 30, 2020 (Unaudited)
Investments | Shares | Value | ||||||
COMMON STOCKS – 99.0% | ||||||||
Air Freight & Logistics – 2.5% | ||||||||
bpost SA(a) | 106,436 | $ | 743,193 | |||||
CTT-Correios de Portugal SA(a) | 136,939 | 322,477 | ||||||
Deutsche Post AG (Registered) | 1,066,956 | 31,728,492 | ||||||
Oesterreichische Post AG* (a) | 35,046 | 1,320,475 | ||||||
Royal Mail plc(a) | 1,090,320 | 2,289,833 | ||||||
Singapore Post Ltd. | 1,362,900 | 706,768 | ||||||
37,111,238 | ||||||||
Commercial Services & Supplies – 3.6% | ||||||||
Advanced Disposal Services, Inc.* (a) | 17,523 | 565,117 | ||||||
Befesa SA(b) | 36,993 | 1,168,957 | ||||||
Biffa plc(a) (b) | 271,282 | 752,799 | ||||||
Bingo Industries Ltd.(a) (b) | 485,452 | 746,890 | ||||||
Casella Waste Systems, Inc., Class A* (a) | 12,331 | 571,912 | ||||||
China Everbright International Ltd. | 3,245,000 | 1,887,808 | ||||||
Clean Harbors, Inc.* | 14,927 | 797,550 | ||||||
Cleanaway Waste Management Ltd. | 2,236,454 | 2,738,066 | ||||||
Covanta Holding Corp.(a) | 33,099 | 257,510 | ||||||
Daiseki Co. Ltd. | 37,700 | 843,654 | ||||||
Insun ENT Co. Ltd.* | 30,503 | 184,002 | ||||||
Koentec Co. Ltd. | 22,066 | 175,847 | ||||||
Lassila & Tikanoja OYJ | 40,238 | 563,249 | ||||||
Republic Services, Inc. | 57,112 | 4,474,154 | ||||||
Shanghai Youngsun Investment Co. Ltd., Class B* ^ ‡ (c) | 57,800 | — | ||||||
Stericycle, Inc.* (a) | 24,662 | 1,203,505 | ||||||
US Ecology, Inc.(a) | 5,841 | 191,468 | ||||||
Waste Connections, Inc.(a) | 286,858 | 24,733,874 | ||||||
Waste Management, Inc. | 114,873 | 11,489,597 | ||||||
53,345,959 | ||||||||
Diversified Financial Services – 0.0%(d) | ||||||||
Metro Pacific Investments Corp. | 14,278,000 | 727,920 |
Investments | Shares | Value | ||||||
Diversified Telecommunication Services – 13.3% | ||||||||
AT&T, Inc. | 1,944,404 | $ | 59,245,990 | |||||
BCE, Inc.(a) | 273,878 | 11,099,458 | ||||||
Bharti Infratel Ltd. | 224,554 | 521,502 | ||||||
BT Group plc | 2,655,708 | 3,887,417 | ||||||
Cellnex Telecom SA(b) | 75,933 | 3,975,498 | ||||||
CenturyLink, Inc. | 264,143 | 2,805,199 | ||||||
China Tower Corp. Ltd., Class H* (b) | 12,980,000 | 2,913,336 | ||||||
Chunghwa Telecom Co. Ltd. | 1,373,000 | 5,055,857 | ||||||
Deutsche Telekom AG (Registered) | 985,831 | 14,388,078 | ||||||
GCI Liberty, Inc., Class A* (a) | 27,258 | 1,658,104 | ||||||
Infrastrutture Wireless Italiane SpA(b) | 68,794 | 727,505 | ||||||
Nippon Telegraph & Telephone Corp. | 700,100 | 15,994,242 | ||||||
Swisscom AG (Registered)(a) | 7,788 | 4,049,131 | ||||||
Telstra Corp. Ltd. | 3,577,937 | 7,144,550 | ||||||
Tower Bersama Infrastructure Tbk. PT | 3,245,000 | 260,691 | ||||||
Verizon Communications, Inc. | 1,120,174 | 64,353,997 | ||||||
198,080,555 | ||||||||
Electric Utilities – 14.1% | ||||||||
American Electric Power Co., Inc. | 133,694 | 11,111,308 | ||||||
Duke Energy Corp.(a) | 199,243 | 16,867,912 | ||||||
Edison International | 97,350 | 5,715,419 | ||||||
Enel SpA | 6,005,846 | 41,021,675 | ||||||
Entergy Corp. | 54,516 | 5,206,823 | ||||||
Eversource Energy | 88,913 | 7,175,279 | ||||||
Exelon Corp. | 264,143 | 9,794,422 | ||||||
FirstEnergy Corp. | 147,323 | 6,080,020 | ||||||
Iberdrola SA | 4,561,821 | 45,668,582 | ||||||
NextEra Energy, Inc. | 132,396 | 30,599,364 | ||||||
PPL Corp. | 208,329 | 5,295,723 | ||||||
Southern Co. (The) | 286,209 | 16,236,637 | ||||||
Xcel Energy, Inc. | 142,131 | 9,033,846 | ||||||
209,807,010 | ||||||||
Equity Real Estate Investment Trusts (REITs) – 5.8% | ||||||||
American Tower Corp. | 120,065 | 28,575,470 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 229 |
Table of Contents
FlexShares® STOXX® Global Broad Infrastructure Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Equity Real Estate Investment Trusts (REITs) – (continued) | ||||||||
CoreCivic, Inc. | 32,450 | $ | 425,744 | |||||
CoreSite Realty Corp. | 7,139 | 865,176 | ||||||
Crown Castle International Corp. | 112,277 | 17,900,322 | ||||||
CyrusOne, Inc. | 29,854 | 2,094,258 | ||||||
Digital Realty Trust, Inc.(a) | 70,092 | 10,478,053 | ||||||
Equinix, Inc. | 22,715 | 15,337,168 | ||||||
GEO Group, Inc. (The) | 33,099 | 419,695 | ||||||
Keppel DC REIT | 353,322 | 589,832 | ||||||
QTS Realty Trust, Inc., Class A(a) | 14,927 | 933,385 | ||||||
SBA Communications Corp. | 29,854 | 8,655,272 | ||||||
86,274,375 | ||||||||
Gas Utilities – 1.4% | ||||||||
APA Group | 760,628 | 5,437,976 | ||||||
Beijing Enterprises Holdings Ltd. | 384,500 | 1,366,421 | ||||||
Enagas SA | 183,667 | 4,282,919 | ||||||
Infraestructura Energetica Nova SAB de CV(a) | 389,400 | 1,222,333 | ||||||
Petronas Gas Bhd. | 389,400 | 1,394,596 | ||||||
Snam SpA | 1,608,222 | 7,200,953 | ||||||
20,905,198 | ||||||||
Health Care Providers & Services – 2.6% | ||||||||
Acadia Healthcare Co., Inc.* (a) | 23,364 | 560,970 | ||||||
Apollo Hospitals Enterprise Ltd. | 121,363 | 2,253,446 | ||||||
Bangkok Dusit Medical Services PCL, NVDR | 12,331,000 | 7,927,207 | ||||||
Bumrungrad Hospital PCL, NVDR | 454,300 | 1,649,830 | ||||||
Encompass Health Corp. | 25,960 | 1,719,850 | ||||||
Fortis Healthcare Ltd.* | 559,438 | 946,117 | ||||||
HCA Healthcare, Inc. | 72,688 | 7,986,957 | ||||||
IHH Healthcare Bhd. | 2,660,900 | 3,248,773 | ||||||
Life Healthcare Group Holdings Ltd. | 1,342,132 | 1,305,226 | ||||||
Mitra Keluarga Karyasehat Tbk. PT(b) | 4,867,500 | 636,456 |
Investments | Shares | Value | ||||||
Health Care Providers & Services – (continued) | ||||||||
Netcare Ltd. | 1,286,967 | $ | 1,086,196 | |||||
Ramsay Health Care Ltd. | 172,634 | 7,076,400 | ||||||
Tenet Healthcare Corp.* (a) | 29,854 | 602,454 | ||||||
Universal Health Services, Inc., Class B | 20,768 | 2,194,970 | ||||||
39,194,852 | ||||||||
IT Services – 0.1% | ||||||||
NEXTDC Ltd.* | 110,330 | 640,707 | ||||||
Switch, Inc., Class A(a) | 18,172 | 312,013 | ||||||
952,720 | ||||||||
Media – 5.5% | ||||||||
Cable One, Inc. | 1,298 | 2,482,892 | ||||||
Charter Communications, Inc., Class A* | 41,536 | 20,569,873 | ||||||
Comcast Corp., Class A | 1,233,100 | 46,401,553 | ||||||
DISH Network Corp., Class A* | 77,231 | 1,931,934 | ||||||
Liberty Broadband Corp., Class C* | 40,887 | 5,016,017 | ||||||
Liberty Global plc, Class C* | 118,118 | 2,162,741 | ||||||
Shaw Communications, Inc., Class B | 142,131 | 2,323,910 | ||||||
Sirius XM Holdings, Inc.(a) | 336,182 | 1,986,836 | ||||||
82,875,756 | ||||||||
Multi-Utilities – 7.6% | ||||||||
Consolidated Edison, Inc. | 90,211 | 7,108,627 | ||||||
Dominion Energy, Inc. | 223,256 | 17,219,735 | ||||||
Engie SA | 1,440,780 | 15,629,367 | ||||||
National Grid plc | 2,713,469 | 31,960,558 | ||||||
Public Service Enterprise Group, Inc. | 136,939 | 6,944,177 | ||||||
Sempra Energy(a) | 75,933 | 9,404,302 | ||||||
Suez | 427,042 | 4,824,729 | ||||||
Veolia Environnement SA(a) | 580,855 | 12,396,561 | ||||||
WEC Energy Group, Inc. | 85,019 | 7,698,470 | ||||||
113,186,526 | ||||||||
Oil, Gas & Consumable Fuels – 8.2% | ||||||||
Enbridge, Inc. | 1,567,984 | 48,147,534 | ||||||
Inter Pipeline Ltd.(a) | 328,394 | 2,752,083 | ||||||
Keyera Corp.(a) | 169,389 | 2,518,365 |
See Accompanying Notes to the Financial Statements.
230 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® STOXX® Global Broad Infrastructure Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Oil, Gas & Consumable Fuels – (continued) | ||||||||
Kinder Morgan, Inc. | 547,756 | $ | 8,342,324 | |||||
Koninklijke Vopak NV | 50,622 | 2,917,583 | ||||||
ONEOK, Inc. | 110,979 | 3,321,602 | ||||||
Pembina Pipeline Corp. | 425,744 | 9,784,188 | ||||||
Petronet LNG Ltd. | 571,120 | 1,848,088 | ||||||
Plains GP Holdings LP, Class A* (a) | 49,973 | 459,252 | ||||||
Targa Resources Corp. | 67,496 | 874,748 | ||||||
TC Energy Corp.(a) | 729,476 | 33,644,287 | ||||||
Transneft PJSC (Preference) | 1,089 | 2,010,156 | ||||||
Williams Cos., Inc. (The) | 327,745 | 6,348,421 | ||||||
122,968,631 | ||||||||
Road & Rail – 18.6% | ||||||||
Aurizon Holdings Ltd. | 2,106,654 | 6,468,572 | ||||||
Canadian National Railway Co. | 773,608 | 64,113,191 | ||||||
Canadian Pacific Railway Ltd. | 148,621 | 33,851,283 | ||||||
Central Japan Railway Co. | 219,900 | 34,968,902 | ||||||
CSX Corp. | 209,627 | 13,883,596 | ||||||
East Japan Railway Co. | 405,400 | 29,847,236 | ||||||
Kansas City Southern | 25,311 | 3,304,351 | ||||||
Keisei Electric Railway Co. Ltd. | 188,500 | 5,746,575 | ||||||
Kyushu Railway Co. | 174,100 | 4,726,351 | ||||||
MTR Corp. Ltd. | 1,658,000 | 9,207,131 | ||||||
Norfolk Southern Corp. | 69,443 | 11,881,697 | ||||||
Odakyu Electric Railway Co. Ltd.(a) | 365,800 | 8,117,486 | ||||||
Tobu Railway Co. Ltd. | 232,500 | 7,968,509 | ||||||
Union Pacific Corp. | 186,912 | 29,866,668 | ||||||
West Japan Railway Co. | 209,300 | 13,049,078 | ||||||
277,000,626 | ||||||||
Transportation Infrastructure – 7.6% | ||||||||
Adani Ports & Special Economic Zone Ltd. | 927,421 | 3,582,726 | ||||||
Aena SME SA* (b) | 79,178 | 10,016,583 | ||||||
Aeroports de Paris | 30,503 | 2,986,848 | ||||||
Airports of Thailand PCL, NVDR | 4,672,800 | 8,990,320 | ||||||
ASTM SpA | 69,443 | 1,353,884 | ||||||
Atlantia SpA | 508,816 | 8,278,783 |
Investments | Shares | Value | ||||||
Transportation Infrastructure – (continued) | ||||||||
Atlas Arteria Ltd.(a) | 955,328 | $ | 3,909,083 | |||||
Auckland International Airport Ltd.(a) | 1,032,559 | 3,879,557 | ||||||
Bangkok Expressway & Metro PCL, NVDR | 8,891,300 | 2,596,903 | ||||||
CCR SA | 1,362,900 | 3,109,345 | ||||||
China Merchants Port Holdings Co. Ltd. | 1,298,000 | 1,674,331 | ||||||
COSCO SHIPPING Ports Ltd. | 1,820,000 | 969,590 | ||||||
Getlink SE | 475,717 | 6,059,845 | ||||||
Grupo Aeroportuario del Pacifico SAB de CV, Class B(a) | 477,880 | 3,022,626 | ||||||
Grupo Aeroportuario del Sureste SAB de CV, Class B(a) | 194,700 | 1,973,903 | ||||||
International Container Terminal Services, Inc. | 1,882,100 | 3,345,292 | ||||||
Japan Airport Terminal Co. Ltd.(a) | 83,000 | 3,434,563 | ||||||
Jiangsu Expressway Co. Ltd., Class H | 1,078,000 | 1,286,255 | ||||||
Qube Holdings Ltd.(a) (c) | 1,614,712 | 2,336,306 | ||||||
Shenzhen International Holdings Ltd. | 1,298,000 | 2,488,056 | ||||||
Sydney Airport | 2,464,253 | 10,164,083 | ||||||
Transurban Group | 2,971,771 | 26,849,535 | ||||||
Westports Holdings Bhd. | 778,800 | 670,130 | ||||||
Westshore Terminals Investment Corp.(a) | 48,675 | 522,863 | ||||||
113,501,410 | ||||||||
Water Utilities – 3.2% | ||||||||
Aguas Andinas SA, Class A | 3,010,711 | 1,008,408 | ||||||
American States Water Co.(a) | 10,384 | 824,178 | ||||||
American Water Works Co., Inc. | 48,675 | 5,923,261 | ||||||
Beijing Enterprises Water Group Ltd.* | 6,490,000 | 2,511,497 | ||||||
California Water Service Group | 13,629 | 612,215 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo* | 350,500 | 2,595,097 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 231 |
Table of Contents
FlexShares® STOXX® Global Broad Infrastructure Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Water Utilities – (continued) | ||||||||
Cia de Saneamento de Minas Gerais-COPASA* | 64,900 | $ | 575,472 | |||||
Cia de Saneamento do Parana (Preference)* | 1,168,200 | 1,074,693 | ||||||
Essential Utilities, Inc. | 57,112 | 2,386,710 | ||||||
Guangdong Investment Ltd. | 3,108,000 | 6,462,680 | ||||||
Inversiones Aguas Metropolitanas SA | 427,691 | 342,774 | ||||||
Manila Water Co., Inc. | 1,298,000 | 273,968 | ||||||
Middlesex Water Co.(a) | 4,543 | 273,943 | ||||||
Pennon Group plc | 458,843 | 6,343,227 | ||||||
Severn Trent plc | 262,196 | 7,904,230 | ||||||
SJW Group(a) | 7,788 | 463,620 | ||||||
TTW PCL, NVDR | 1,622,500 | 671,967 | ||||||
United Utilities Group plc | 739,211 | 8,412,147 | ||||||
48,660,087 | ||||||||
Wireless Telecommunication Services – 4.9% | ||||||||
China Mobile Ltd. | 1,712,500 | 13,795,252 | ||||||
KDDI Corp. | 519,200 | 15,095,084 | ||||||
NTT DOCOMO, Inc. | 369,000 | 10,862,786 | ||||||
SoftBank Group Corp. | 498,000 | 21,576,041 | ||||||
Vodafone Group plc | 8,141,056 | 11,515,344 | ||||||
72,844,507 | ||||||||
Total Common Stocks (Cost $1,477,553,005) |
| 1,477,437,370 | ||||||
Principal Amount | ||||||||
SECURITIES LENDING REINVESTMENTS(e) – 2.0% | ||||||||
REPURCHASE AGREEMENTS – 2.0% | ||||||||
BofA Securities, Inc., 0.49%, dated 4/30/2020, due 7/31/2020, repurchase price $2,002,504, collateralized by various Common Stocks; total market value $2,157,515 | $ | 2,000,000 | 2,000,000 |
Investments | Principal Amount | Value | ||||||
REPURCHASE AGREEMENTS – (continued) | ||||||||
Citigroup Global Markets, Inc., 0.02%, dated 4/30/2020, due 5/1/2020, repurchase price $26,255,206, collateralized by various U.S. Treasury Securities, ranging from 0.75% – 4.38%, maturing 8/15/2040 – 2/15/2046; total market value $26,455,709 | $ | 26,255,192 | $ | 26,255,192 | ||||
NBC Global Finance Ltd., 0.21%, dated 4/30/2020, due 5/1/2020, repurchase price $1,000,006, collateralized by various U.S. Treasury Securities, 2.88%, maturing 8/15/2028; Common Stocks; total market value $1,098,869 | 1,000,000 | 1,000,000 | ||||||
29,255,192 | ||||||||
Total Securities Lending Reinvestments (Cost $29,255,192) |
| 29,255,192 | ||||||
Total Investments – 101.0% (Cost $1,506,808,197) |
| 1,506,692,562 | ||||||
Liabilities in excess of other assets – (1.0%) |
| (15,433,233 | ) | |||||
NET ASSETS – 100.0% |
| $ | 1,491,259,329 |
* | Non-income producing security. |
^ | Security subject to restrictions on resale. |
‡ | Value determined using significant unobservable inputs. |
(a) | The security or a portion of this security is on loan at April 30, 2020. The total value of securities on loan at April 30, 2020 was $69,503,420, collateralized in the form of cash with a value of $29,255,192 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Investments; $15,450,844 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% – 8.75%, and maturity dates ranging from May 5, 2020 – November 15, 2049 and $29,052,707 of collateral in the form of Foreign Government Fixed Income Securities, interest rates ranging from |
See Accompanying Notes to the Financial Statements.
232 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® STOXX® Global Broad Infrastructure Index Fund (cont.)
0.00% – 6.50%, and maturity dates ranging from May 11, 2020 – September 20, 2117; a total value of $73,758,743. |
(b) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
(c) | Security fair valued as of April 30, 2020 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at April 30, 2020 amounted to $2,336,306, which represents approximately 0.16% of net assets of the Fund. |
(d) | Represents less than 0.05% of net assets. |
(e) | The security was purchased with cash collateral held from securities on loan at April 30, 2020. The total value of securities purchased was $29,255,192. |
Percentages shown are based on Net Assets.
Abbreviations
NVDR – Non-Voting Depositary Receipt
OYJ – Public Limited Company
PJSC – Public Joint Stock Company
Preference – A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.
As of April 30, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 120,462,510 | ||
Aggregate gross unrealized depreciation | (126,257,976 | ) | ||
Net unrealized depreciation | $ | (5,795,466 | ) | |
Federal income tax cost | $ | 1,513,717,116 |
Futures Contracts
FlexShares® STOXX® Global Broad Infrastructure Index Fund had the following open futures contracts as of April 30, 2020:
Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value and Unrealized Appreciation* | ||||||||||||||||
Long Contracts |
| |||||||||||||||||||
EURO STOXX 50 Index | 61 | 06/19/2020 | EUR | $ | 1,928,900 | $ | 175,779 | |||||||||||||
FTSE 100 Index | 14 | 06/19/2020 | GBP | 1,039,226 | 74,613 | |||||||||||||||
S&P 500 E-Mini Index | 34 | 06/19/2020 | USD | 4,934,080 | 543,986 | |||||||||||||||
S&P/TSX 60 Index | 20 | 06/18/2020 | CAD | 2,557,903 | 220,240 | |||||||||||||||
SPI 200 Index | 9 | 06/18/2020 | AUD | 816,084 | 74,244 | |||||||||||||||
TOPIX Index | 15 | 06/11/2020 | JPY | 2,039,557 | 88,484 | |||||||||||||||
$ | 1,177,346 |
* | This amount represents the cumulative appreciation/depreciation on futures contracts. Current day’s variation margin is reported within the Statement of Assets and Liabilities for futures contracts. |
Forward Foreign Currency Contracts
FlexShares® STOXX® Global Broad Infrastructure Index Fund had the following outstanding contracts as of April 30, 2020:
Contracts to Receive | Counterparty | In Exchange For | Maturity Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
AUD | 1,308,000 | Toronto-Dominion Bank (The) | USD | 768,825 | 06/17/2020 | $ | 87,645 | |||||||||||||||
CAD | 338,000 | JPMorgan Chase Bank | USD | 242,634 | 06/17/2020 | 751 | ||||||||||||||||
CAD | 681,816 | Morgan Stanley | USD | 489,993 | 06/17/2020 | 965 | ||||||||||||||||
CAD | 757,000 | Toronto-Dominion Bank (The) | USD | 523,126 | 06/17/2020 | 21,971 | ||||||||||||||||
EUR | 195,000 | Citibank NA | USD | 213,378 | 06/17/2020 | 402 | ||||||||||||||||
EUR | 1,487,000 | Toronto-Dominion Bank (The) | USD | 1,605,959 | 06/17/2020 | 24,254 | ||||||||||||||||
GBP | 441,000 | Toronto-Dominion Bank (The) | USD | 519,569 | 06/17/2020 | 36,791 | ||||||||||||||||
JPY | 42,871,000 | BNP Paribas SA | USD | 395,512 | 06/17/2020 | 5,662 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 233 |
Table of Contents
FlexShares® STOXX® Global Broad Infrastructure Index Fund (cont.)
Forward Foreign Currency Contracts (cont.)
Contracts to Receive | Counterparty | In Exchange For | Maturity Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
JPY | 22,968,000 | Morgan Stanley | USD | 213,401 | 06/17/2020 | $ | 1,526 | |||||||||||||||
JPY | 64,897,000 | Toronto-Dominion Bank (The) | USD | 585,562 | 06/17/2020 | 21,725 | ||||||||||||||||
USD | 398,671 | JPMorgan Chase Bank | EUR | 360,000 | 06/17/2020 | 4,000 | ||||||||||||||||
Total unrealized appreciation |
| $ | 205,692 | |||||||||||||||||||
EUR | 3,130 | JPMorgan Chase Bank | USD | 3,495 | 06/17/2020 | $ | (64 | ) | ||||||||||||||
JPY | 38,040,439 | Morgan Stanley | USD | 356,879 | 06/17/2020 | (908 | ) | |||||||||||||||
THB | 7,100,000 | BNP Paribas SA | USD | 225,837 | 06/17/2020 | (6,392 | ) | |||||||||||||||
USD | 173,018 | Bank of New York | AUD | 297,000 | 06/17/2020 | (21,455 | ) | |||||||||||||||
USD | 746,505 | Morgan Stanley | AUD | 1,188,839 | 06/17/2020 | (31,939 | ) | |||||||||||||||
USD | 647,973 | Goldman Sachs & Co. | CAD | 931,000 | 06/17/2020 | (22,416 | ) | |||||||||||||||
USD | 392,267 | Morgan Stanley | CAD | 557,000 | 06/17/2020 | (8,814 | ) | |||||||||||||||
USD | 675,987 | Morgan Stanley | EUR | 625,000 | 06/17/2020 | (9,206 | ) | |||||||||||||||
USD | 269,978 | BNP Paribas SA | GBP | 232,000 | 06/17/2020 | (22,711 | ) | |||||||||||||||
USD | 146,889 | Morgan Stanley | GBP | 117,253 | 06/17/2020 | (1,036 | ) | |||||||||||||||
USD | 41,239 | Citibank NA | HKD | 320,399 | 06/17/2020 | (64 | ) | |||||||||||||||
USD | 497,554 | Citibank NA | JPY | 54,579,000 | 06/17/2020 | (13,180 | ) | |||||||||||||||
USD | 1,427,262 | Morgan Stanley | JPY | 153,682,000 | 06/17/2020 | (10,848 | ) | |||||||||||||||
USD | 214,529 | Morgan Stanley | THB | 7,100,000 | 06/17/2020 | (4,917 | ) | |||||||||||||||
Total unrealized depreciation |
| $ | (153,950 | ) | ||||||||||||||||||
Net unrealized appreciation |
| $ | 51,742 |
Abbreviations:
AUD – Australian Dollar
CAD – Canadian Dollar
EUR – Euro
GBP – British Pound
HKD – Hong Kong Dollar
JPY – Japanese Yen
THB – Thai Baht
USD – US Dollar
See Accompanying Notes to the Financial Statements.
234 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® STOXX® Global Broad Infrastructure Index Fund (cont.)
FlexShares® STOXX® Global Broad Infrastructure Index Fund invested, as a percentage of net assets, in companies domiciled in the following countries as of April 30, 2020:
Australia | 4.9 | % | ||
Austria | 0.1 | |||
Belgium | 0.0 | † | ||
Brazil | 0.5 | |||
Canada | 15.7 | |||
Chile | 0.1 | |||
China | 2.4 | |||
Finland | 0.0 | † | ||
France | 2.8 | |||
Germany | 3.2 | |||
Hong Kong | 0.6 | |||
India | 0.6 | |||
Indonesia | 0.1 | |||
Italy | 3.9 | |||
Japan | 11.5 | |||
Malaysia | 0.3 | |||
Mexico | 0.4 | |||
Netherlands | 0.2 | |||
New Zealand | 0.3 | |||
Philippines | 0.3 | |||
Portugal | 0.0 | † | ||
Russia | 0.1 | |||
Singapore | 0.1 | |||
South Africa | 0.2 | |||
South Korea | 0.0 | † | ||
Spain | 4.3 | |||
Switzerland | 0.3 | |||
Taiwan | 0.3 | |||
Thailand | 1.5 | |||
United Kingdom | 4.9 | |||
United States | 39.4 | |||
Other1 | 1.0 | |||
100.0 | % |
† | Amount represents less than 0.05%. |
1 | Includes any non-equity securities, securities lending reinvestments and net other assets (liabilities). |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 235 |
Table of Contents
Schedule of Investments
FlexShares® Global Quality Real Estate Index Fund
April 30, 2020 (Unaudited)
Investments | Shares | Value | ||||||
COMMON STOCKS – 98.8% | ||||||||
Equity Real Estate Investment Trusts (REITs) – 78.3% | ||||||||
AEON REIT Investment Corp. | 903 | $ | 908,616 | |||||
Alexandria Real Estate Equities, Inc.(a) | 68,886 | 10,821,302 | ||||||
alstria office REIT-AG | 85,656 | 1,282,506 | ||||||
American Homes 4 Rent, Class A(a) | 151,704 | 3,662,135 | ||||||
Apple Hospitality REIT, Inc. | 121,260 | 1,173,797 | ||||||
Argosy Property Ltd. | 161,508 | 105,621 | ||||||
AvalonBay Communities, Inc. | 78,432 | 12,780,494 | ||||||
Boardwalk REIT(a) | 27,864 | 533,427 | ||||||
Brixmor Property Group, Inc.(a) | 166,797 | 1,909,826 | ||||||
BWP Trust | 433,440 | 1,001,719 | ||||||
Camden Property Trust | 54,180 | 4,771,633 | ||||||
Canadian Apartment Properties REIT(a) | 45,150 | 1,557,065 | ||||||
Charter Hall Group | 216,462 | 1,084,140 | ||||||
Corporate Office Properties Trust | 51,213 | 1,353,048 | ||||||
Cousins Properties, Inc. | 82,560 | 2,490,835 | ||||||
Crombie REIT(a) | 77,787 | 728,054 | ||||||
Daiwa Securities Living Investments Corp. | 1,290 | 1,091,738 | ||||||
Derwent London plc(a) | 59,727 | 2,339,956 | ||||||
Dexus | 173,634 | 1,041,292 | ||||||
DiamondRock Hospitality Co. | 122,034 | 760,272 | ||||||
Dream Office REIT | 39,732 | 621,318 | ||||||
Duke Realty Corp. | 206,529 | 7,166,556 | ||||||
EastGroup Properties, Inc. | 21,801 | 2,310,906 | ||||||
Equinix, Inc. | 2,322 | 1,567,814 | ||||||
Equity Commonwealth | 68,628 | 2,329,921 | ||||||
Equity LifeStyle Properties, Inc. | 96,750 | 5,834,993 | ||||||
Equity Residential(a) | 208,722 | 13,579,453 | ||||||
Essex Property Trust, Inc. | 19,092 | 4,660,357 | ||||||
First Capital REIT(a) | 74,691 | 771,673 | ||||||
First Industrial Realty Trust, Inc. | 71,079 | 2,684,654 | ||||||
Fortune REIT(a) | 258,000 | 241,615 | ||||||
Franklin Street Properties Corp.(a) | 112,617 | 612,637 | ||||||
Frasers Centrepoint Trust | 541,800 | 819,801 | ||||||
Frontier Real Estate Investment Corp. | 258 | 733,455 |
Investments | Shares | Value | ||||||
Equity Real Estate Investment Trusts (REITs) – (continued) | ||||||||
Fukuoka REIT Corp. | 645 | $ | 655,646 | |||||
GCP Student Living plc | 399,771 | 678,722 | ||||||
Gecina SA | 2,064 | 269,249 | ||||||
Getty Realty Corp. | 32,250 | 875,910 | ||||||
Goodman Group | 688,860 | 5,930,606 | ||||||
Goodman Property Trust | 806,895 | 1,122,570 | ||||||
Granite REIT(a) | 21,156 | 968,733 | ||||||
Growthpoint Properties Australia Ltd.(a) | 309,858 | 626,850 | ||||||
H&R REIT(a) | 79,851 | 566,853 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc.(a) | 37,539 | 1,050,717 | ||||||
Heiwa Real Estate REIT, Inc. | 774 | 691,233 | ||||||
Hibernia REIT plc | 684,603 | 884,818 | ||||||
Highwoods Properties, Inc. | 58,437 | 2,267,940 | ||||||
Host Hotels & Resorts, Inc.(a) | 403,383 | 4,965,645 | ||||||
InterRent REIT | 42,957 | 449,379 | ||||||
Investors Real Estate Trust(a) | 12,900 | 807,927 | ||||||
iStar, Inc.(a) | 68,757 | 688,945 | ||||||
Killam Apartment REIT(a) | 60,888 | 733,400 | ||||||
Kimco Realty Corp. | 242,262 | 2,643,078 | ||||||
Lexington Realty Trust(a) | 127,710 | 1,334,570 | ||||||
Life Storage, Inc.(a) | 26,316 | 2,305,018 | ||||||
Link REIT | 1,173,900 | 10,539,184 | ||||||
LTC Properties, Inc.(a) | 25,800 | 918,480 | ||||||
Mapletree Commercial Trust | 1,212,600 | 1,688,354 | ||||||
Mapletree North Asia Commercial Trust(b) | 1,290,000 | 865,987 | ||||||
Medical Properties Trust, Inc. | 181,503 | 3,110,961 | ||||||
Merlin Properties Socimi SA | 196,854 | 1,824,096 | ||||||
MGM Growth Properties LLC, Class A(a) | 46,182 | 1,162,401 | ||||||
Mid-America Apartment Communities, Inc. | 66,177 | 7,406,530 | ||||||
Mirvac Group | 2,197,257 | 3,222,339 | ||||||
Mori Trust Sogo Reit, Inc. | 645 | 723,201 | ||||||
National Health Investors, Inc.(a) | 24,768 | 1,363,726 | ||||||
National Retail Properties, Inc. | 95,847 | 3,128,446 | ||||||
NexPoint Residential Trust, Inc.(a) | 21,156 | 636,161 | ||||||
Nippon Accommodations Fund, Inc. | 258 | 1,553,766 | ||||||
Nippon Building Fund, Inc. | 485 | 2,916,304 |
See Accompanying Notes to the Financial Statements.
236 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Global Quality Real Estate Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Equity Real Estate Investment Trusts (REITs) – (continued) | ||||||||
NSI NV | 18,705 | $ | 751,894 | |||||
Office Properties Income Trust(a) | 34,959 | 957,877 | ||||||
Omega Healthcare Investors, Inc. | 122,808 | 3,579,853 | ||||||
Parkway Life REIT | 412,800 | 967,706 | ||||||
Piedmont Office Realty Trust, Inc., Class A(a) | 71,079 | 1,233,221 | ||||||
Precinct Properties New Zealand Ltd. | 917,835 | 900,351 | ||||||
Premier Investment Corp.(a) | 903 | 913,682 | ||||||
Prologis, Inc. | 253,743 | 22,641,488 | ||||||
PS Business Parks, Inc. | 11,610 | 1,498,735 | ||||||
Public Storage | 65,532 | 12,152,909 | ||||||
RioCan REIT(a) | 85,398 | 977,593 | ||||||
Sabra Health Care REIT, Inc. | 105,393 | 1,351,138 | ||||||
Safestore Holdings plc | 120,744 | 1,095,040 | ||||||
Segro plc | 614,943 | 6,434,862 | ||||||
SITE Centers Corp. | 98,427 | 596,468 | ||||||
SmartCentres REIT(a) | 46,698 | 716,801 | ||||||
Spirit Realty Capital, Inc. | 50,826 | 1,563,408 | ||||||
STORE Capital Corp. | 125,001 | 2,508,770 | ||||||
Summit Hotel Properties, Inc. | 90,945 | 551,127 | ||||||
Summit Industrial Income REIT(a) | 94,428 | 705,686 | ||||||
Sunlight REIT | 258,000 | 132,788 | ||||||
Sunstone Hotel Investors, Inc.(a) | 127,065 | 1,167,727 | ||||||
Terreno Realty Corp. | 36,120 | 1,980,098 | ||||||
Tritax Big Box REIT plc(a) | 301,344 | 458,401 | ||||||
UNITE Group plc (The)(a) | 162,798 | 1,797,798 | ||||||
Universal Health Realty Income Trust | 9,288 | 993,445 | ||||||
Urstadt Biddle Properties, Inc., Class A | 44,376 | 648,333 | ||||||
VICI Properties, Inc.(a) | 258,129 | 4,496,607 | ||||||
Vornado Realty Trust | 96,621 | 4,233,932 | ||||||
Weingarten Realty Investors | 68,499 | 1,245,997 | ||||||
Welltower, Inc. | 222,138 | 11,380,130 | ||||||
257,544,239 | ||||||||
Household Durables – 0.3% | ||||||||
Iida Group Holdings Co. Ltd. | 80,700 | 1,085,961 |
Investments | Shares | Value | ||||||
Real Estate Management & Development – 20.2% | ||||||||
ADO Properties SA(b) | 33,540 | $ | 940,451 | |||||
Aeon Mall Co. Ltd. | 67,900 | 867,362 | ||||||
Aroundtown SA | 477,816 | 2,569,658 | ||||||
Atrium Ljungberg AB, Class B(a) | 45,924 | 641,334 | ||||||
CA Immobilien Anlagen AG(a) | 36,636 | 1,165,701 | ||||||
Castellum AB | 146,028 | 2,563,324 | ||||||
City Developments Ltd. | 258,000 | 1,458,890 | ||||||
CK Asset Holdings Ltd. | 1,002,500 | 6,336,466 | ||||||
CLS Holdings plc(a) | 32,637 | 84,803 | ||||||
Daejan Holdings plc | 1,677 | 170,069 | ||||||
DREAM Unlimited Corp., Class A | 105,909 | 668,722 | ||||||
Entra ASA(a) (b) | 75,981 | 959,098 | ||||||
Fabege AB | 149,511 | 1,790,207 | ||||||
Fastighets AB Balder, Class B* (a) | 28,767 | 1,136,873 | ||||||
Goldcrest Co. Ltd.(a) | 51,600 | 789,429 | ||||||
Heiwa Real Estate Co. Ltd.(a) | 38,700 | 1,054,583 | ||||||
Helical plc | 150,027 | 681,252 | ||||||
Henderson Land Development Co. Ltd. | 799,053 | 3,267,394 | ||||||
Hongkong Land Holdings Ltd. | 657,900 | 2,769,759 | ||||||
Hufvudstaden AB, Class A | 63,726 | 818,171 | ||||||
Hulic Co. Ltd. | 90,300 | 905,238 | ||||||
Ichigo, Inc. | 270,900 | 711,861 | ||||||
K Wah International Holdings Ltd. | 1,935,000 | 891,078 | ||||||
Kenedix, Inc. | 193,500 | 890,279 | ||||||
Kennedy-Wilson Holdings, Inc.(a) | 72,627 | 1,027,672 | ||||||
Kojamo OYJ | 72,756 | 1,306,910 | ||||||
Kungsleden AB | 115,326 | 883,199 | ||||||
Lendlease Group | 316,953 | 2,564,813 | ||||||
Nomura Real Estate Holdings, Inc. | 67,900 | 1,125,158 | ||||||
Nyfosa AB* | 118,293 | 730,308 | ||||||
Open House Co. Ltd.(a) | 38,700 | 859,518 | ||||||
PSP Swiss Property AG (Registered) | 23,220 | 2,699,357 | ||||||
S IMMO AG | 41,151 | 764,433 | ||||||
Sagax AB, Class B(a) | 71,982 | 773,826 | ||||||
Sirius Real Estate Ltd.(a) | 901,452 | 801,618 | ||||||
St Joe Co. (The)* (a) | 48,117 | 880,541 | ||||||
St Modwen Properties plc | 172,215 | 799,382 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 237 |
Table of Contents
FlexShares® Global Quality Real Estate Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Real Estate Management & Development – (continued) | ||||||||
Sumitomo Realty & Development Co. Ltd. | 190,000 | $ | 5,176,649 | |||||
Swire Pacific Ltd., Class A | 281,500 | 1,848,259 | ||||||
Swire Pacific Ltd., Class B | 717,500 | 784,846 | ||||||
Swire Properties Ltd. | 670,800 | 1,881,997 | ||||||
TAG Immobilien AG* | 74,949 | 1,637,728 | ||||||
Takara Leben Co. Ltd. | 219,300 | 734,179 | ||||||
Tokyo Tatemono Co. Ltd. | 103,200 | 1,186,074 | ||||||
Tricon Capital Group, Inc. | 34,830 | 202,869 | ||||||
Wharf Real Estate Investment Co. Ltd.(a) | 443,000 | 1,871,465 | ||||||
Wihlborgs Fastigheter AB | 78,819 | 1,128,153 | ||||||
Yanlord Land Group Ltd. | 670,800 | 505,113 | ||||||
66,306,069 | ||||||||
Total Common Stocks (Cost $361,414,762) | 324,936,269 | |||||||
Principal Amount | ||||||||
SECURITIES LENDING REINVESTMENTS(c) – 2.2% | ||||||||
REPURCHASE AGREEMENTS – 2.2% | ||||||||
Citigroup Global Markets, Inc., 0.02%, dated 4/30/2020, due 5/1/2020, repurchase price $3,382,374, collateralized by various U.S. Treasury Securities, ranging from 0.75% – 4.38%, maturing 8/15/2040 – 2/15/2046; total market value $3,408,204 | $ | 3,382,372 | 3,382,372 |
Principal Amount | ||||||||
REPURCHASE AGREEMENTS – (continued) | ||||||||
NBC Global Finance Ltd., 0.21%, dated 4/30/2020, due 5/1/2020, repurchase price $4,000,023, collateralized by various U.S. Treasury Securities, 2.88%, maturing 8/15/2028; Common Stocks; total market value $4,395,477 | $ | 4,000,000 | $ | 4,000,000 | ||||
7,382,372 | ||||||||
Total Securities Lending Reinvestments (Cost $7,382,372) |
| 7,382,372 | ||||||
Total Investments – 101.0% (Cost $368,797,134) | 332,318,641 | |||||||
Liabilities in excess of other assets – (1.0%) |
| (3,438,580 | ) | |||||
NET ASSETS – 100.0% | $ | 328,880,061 |
* | Non-income producing security. |
(a) | The security or a portion of this security is on loan at April 30, 2020. The total value of securities on loan at April 30, 2020 was $34,678,480, collateralized in the form of cash with a value of $7,382,372 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Investments; $22,280,332 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% – 8.75%, and maturity dates ranging from May 5, 2020 – November 15, 2049 and $6,995,387 of collateral in the form of Foreign Government Fixed Income Securities, interest rates ranging from 0.00% – 6.50%, and maturity dates ranging from May 11, 2020 – September 20, 2117; a total value of $36,658,091. |
(b) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
(c) | The security was purchased with cash collateral held from securities on loan at April 30, 2020. The total value of securities purchased was $7,382,372. |
Percentages shown are based on Net Assets.
Abbreviations
OYJ – Public Limited Company
See Accompanying Notes to the Financial Statements.
238 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Global Quality Real Estate Index Fund (cont.)
As of April 30, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 22,768,415 | ||
Aggregate gross unrealized depreciation | (65,846,165 | ) | ||
Net unrealized depreciation | $ | (43,077,750 | ) | |
Federal income tax cost | $ | 375,788,631 |
Futures Contracts
FlexShares® Global Quality Real Estate Index Fund had the following open futures contracts as of April 30, 2020:
Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value and Unrealized Appreciation* | ||||||||||||||||
Long Contracts |
| |||||||||||||||||||
EURO STOXX 50 Index | 5 | 06/19/2020 | EUR | $ | 158,107 | $ | 27,078 | |||||||||||||
Hang Seng Index | 3 | 05/28/2020 | HKD | 474,088 | 16,382 | |||||||||||||||
S&P 500 E-Mini Index | 7 | 06/19/2020 | USD | 1,015,840 | 95,620 | |||||||||||||||
S&P Midcap 400 E-Mini Index | 8 | 06/19/2020 | USD | 1,313,040 | 183,205 | |||||||||||||||
SPI 200 Index | 7 | 06/18/2020 | AUD | 634,732 | 51,937 | |||||||||||||||
TOPIX Mini Index | 21 | 06/11/2020 | JPY | 285,538 | 18,897 | |||||||||||||||
$ | 393,119 |
* | This amount represents the cumulative appreciation/depreciation on futures contracts. Current day’s variation margin is reported within the Statement of Assets and Liabilities for futures contracts. |
Forward Foreign Currency Contracts
FlexShares® Global Quality Real Estate Index Fund had the following outstanding contracts as of April 30, 2020:
Contracts to Receive | Counterparty | In Exchange For | Maturity Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
AUD | 115,000 | Citibank NA | USD | 69,559 | 06/17/2020 | $ | 5,742 | |||||||||||||||
CAD | 86,000 | Citibank NA | USD | 61,268 | 06/17/2020 | 659 | ||||||||||||||||
HKD | 2,062,674 | Citibank NA | USD | 265,491 | 06/17/2020 | 414 | ||||||||||||||||
JPY | 124,064,000 | JPMorgan Chase Bank | USD | 1,155,113 | 06/17/2020 | 5,841 | ||||||||||||||||
SEK | 2,253,000 | Morgan Stanley | USD | 221,900 | 06/17/2020 | 8,867 | ||||||||||||||||
SGD | 356,000 | Morgan Stanley | USD | 246,030 | 06/17/2020 | 6,913 | ||||||||||||||||
USD | 18,364 | Citibank NA | CHF | 17,373 | 06/17/2020 | 340 | ||||||||||||||||
USD | 70,773 | Citibank NA | EUR | 64,000 | 06/17/2020 | 609 | ||||||||||||||||
USD | 289,417 | Goldman Sachs & Co. | HKD | 2,245,000 | 06/17/2020 | 8 | ||||||||||||||||
USD | 172,538 | Goldman Sachs & Co. | SEK | 1,684,149 | 06/17/2020 | 36 | ||||||||||||||||
USD | 176,006 | Citibank NA | SGD | 245,035 | 06/17/2020 | 1,905 | ||||||||||||||||
Total unrealized appreciation |
| $ | 31,334 | |||||||||||||||||||
EUR | 19,023 | JPMorgan Chase Bank | USD | 21,243 | 06/17/2020 | $ | (388 | ) | ||||||||||||||
JPY | 9,703,193 | Morgan Stanley | USD | 91,031 | 06/17/2020 | (232 | ) | |||||||||||||||
USD | 97,392 | Morgan Stanley | AUD | 155,101 | 06/17/2020 | (4,167 | ) |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 239 |
Table of Contents
FlexShares® Global Quality Real Estate Index Fund (cont.)
Forward Foreign Currency Contracts (cont.)
Contracts to Receive | Counterparty | In Exchange For | Maturity Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
USD | 15,113 | Morgan Stanley | CAD | 21,029 | 06/17/2020 | $ | (30 | ) | ||||||||||||||
USD | 81,459 | BNP Paribas SA | GBP | 70,000 | 06/17/2020 | (6,852 | ) | |||||||||||||||
USD | 97,527 | Morgan Stanley | GBP | 77,850 | 06/17/2020 | (688 | ) | |||||||||||||||
USD | 1,200,620 | Citibank NA | JPY | 130,332,000 | 06/17/2020 | (18,988 | ) | |||||||||||||||
USD | 114,250 | Morgan Stanley | JPY | 12,302,000 | 06/17/2020 | (868 | ) | |||||||||||||||
Total unrealized depreciation |
| $ | (32,213 | ) | ||||||||||||||||||
Net unrealized depreciation |
| $ | (879 | ) |
Abbreviations:
AUD – Australian Dollar
CAD – Canadian Dollar
CHF – Swiss Franc
EUR – Euro
GBP – British Pound
HKD – Hong Kong Dollar
JPY – Japanese Yen
SEK – Swedish Krona
SGD – Singapore Dollar
USD – US Dollar
FlexShares® Global Quality Real Estate Index Fund invested, as a percentage of net assets, in companies domiciled in the following countries as of April 30, 2020:
Australia | 4.7 | % | ||
Austria | 0.6 | |||
Canada | 3.1 | |||
Finland | 0.4 | |||
France | 0.1 | |||
Germany | 2.0 | |||
Hong Kong | 8.4 | |||
Ireland | 0.3 | |||
Japan | 7.8 | |||
Netherlands | 0.2 | |||
New Zealand | 0.6 | |||
Norway | 0.3 | |||
Singapore | 2.8 | |||
Spain | 0.5 | |||
Sweden | 3.2 | |||
Switzerland | 0.8 | |||
United Kingdom | 4.7 | |||
United States | 58.3 | |||
Other1 | 1.2 | |||
100.0 | % |
1 | Includes any non-equity securities, securities lending reinvestments and net other assets (liabilities). |
See Accompanying Notes to the Financial Statements.
240 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Schedule of Investments
FlexShares® Real Assets Allocation Index Fund
April 30, 2020 (Unaudited)
Investments | Shares | Value | ||||||
EXCHANGE TRADED FUNDS – 100.0% | ||||||||
FlexShares® Global Quality Real Estate Index Fund(a) | 63,616 | $ | 3,233,601 | |||||
FlexShares® Global Upstream Natural Resources Index Fund(a) | 33,852 | 874,736 | ||||||
FlexShares® STOXX® Global Broad Infrastructure Index Fund(a) | 100,814 | 4,614,257 | ||||||
Total Exchange Traded Funds (Cost $9,964,375) |
| 8,722,594 | ||||||
Total Investments – 100.0% (Cost $9,964,375) |
| 8,722,594 | ||||||
Other Assets Less Liabilities – 0.0%(b) |
| 3,739 | ||||||
NET ASSETS – 100.0% |
| $ | 8,726,333 |
(a) | Investment in affiliated Fund. Northern Trust Investments, Inc. is the Investment Adviser to both the Fund and the affiliated Funds. |
(b) | Represents less than 0.05% of net assets. |
Percentages shown are based on Net Assets.
As of April 30, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | — | ||
Aggregate gross unrealized depreciation | (1,267,008 | ) | ||
Net unrealized depreciation | $ | (1,267,008 | ) | |
Federal income tax cost | $ | 9,989,602 |
The underlying index of the FlexShares® Real Assets Allocation Index Fund is comprised of securities of affiliated FlexShares® Funds. The Schedules of Investments of the affiliated FlexShares® Funds are located elsewhere in this Report.
Investment in a company which was affiliated for the period ended April 30, 2020, was as follows:
Security | Value October 31, 2019 | Purchases at Cost | Sales Proceeds | Shares April 30, 2020 | Value April 30, 2020 | Change in Unrealized Appreciation (Depreciation) | Dividend Income | Realized Gain/ (Loss) | ||||||||||||||||||||||||
FlexShares® Global Quality Real Estate Index Fund | $ | 4,608,580 | $ | 72,723 | $ | 430,819 | 63,616 | $ | 3,233,601 | $ | (1,025,914 | ) | $ | 120,038 | $ | 9,031 | ||||||||||||||||
FlexShares® Global Upstream Natural Resources Index Fund | 1,020,332 | 107,052 | 86,205 | 33,852 | 874,736 | (166,195 | ) | 14,630 | (248 | ) | ||||||||||||||||||||||
FlexShares® STOXX® Global Broad Infrastructure Index Fund | 5,729,117 | 98,443 | 548,255 | 100,814 | 4,614,257 | (726,364 | ) | 56,836 | 61,316 | |||||||||||||||||||||||
$ | 11,358,029 | $ | 278,218 | $ | 1,065,279 | 198,282 | $ | 8,722,594 | $ | (1,918,473 | ) | $ | 191,504 | $ | 70,099 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 241 |
Table of Contents
Schedule of Investments
FlexShares® Quality Dividend Index Fund
April 30, 2020 (Unaudited)
Investments | Shares | Value | ||||||
COMMON STOCKS – 99.0% | ||||||||
Aerospace & Defense – 1.8% | ||||||||
Lockheed Martin Corp. | 61,085 | $ | 23,765,730 | |||||
Air Freight & Logistics – 0.6% | ||||||||
CH Robinson Worldwide, Inc.(a) | 106,738 | 7,567,724 | ||||||
Auto Components – 0.5% | ||||||||
Lear Corp. | 64,300 | 6,278,895 | ||||||
Banks – 6.2% | ||||||||
Bank of America Corp. | 253,342 | 6,092,875 | ||||||
Citigroup, Inc. | 182,612 | 8,867,639 | ||||||
Comerica, Inc. | 114,454 | 3,989,866 | ||||||
JPMorgan Chase & Co. | 439,812 | 42,116,397 | ||||||
M&T Bank Corp. | 52,083 | 5,837,463 | ||||||
Wells Fargo & Co. | 97,093 | 2,820,552 | ||||||
Western Alliance Bancorp | 139,531 | 5,006,372 | ||||||
Zions Bancorp NA(a) | 159,464 | 5,040,657 | ||||||
79,771,821 | ||||||||
Beverages – 0.4% | ||||||||
Coca-Cola Co. (The) | 72,659 | 3,334,322 | ||||||
PepsiCo, Inc. | 14,146 | 1,871,374 | ||||||
5,205,696 | ||||||||
Biotechnology – 4.9% | ||||||||
AbbVie, Inc.(a) | 354,293 | 29,122,885 | ||||||
Amgen, Inc. | 143,389 | 34,301,516 | ||||||
63,424,401 | ||||||||
Building Products – 0.5% | ||||||||
Johnson Controls International plc | 216,691 | 6,307,875 | ||||||
Capital Markets – 3.5% | ||||||||
Ameriprise Financial, Inc. | 50,154 | 5,764,701 | ||||||
Eaton Vance Corp.(a) | 158,821 | 5,828,731 | ||||||
Evercore, Inc., Class A | 79,732 | 4,114,171 | ||||||
Lazard Ltd., Class A | 187,756 | 5,163,290 | ||||||
MSCI, Inc. | 15,432 | 5,046,264 | ||||||
S&P Global, Inc. | 38,580 | 11,299,310 | ||||||
T. Rowe Price Group, Inc. | 67,515 | 7,806,759 | ||||||
45,023,226 |
Investments | Shares | Value | ||||||
Chemicals – 1.0% | ||||||||
Dow, Inc. | 185,827 | $ | 6,817,993 | |||||
Eastman Chemical Co. | 100,951 | 6,108,545 | ||||||
12,926,538 | ||||||||
Communications Equipment – 3.4% | ||||||||
Cisco Systems, Inc. | 1,024,942 | 43,437,042 | ||||||
Consumer Finance – 0.7% | ||||||||
Navient Corp.(a) | 536,262 | 4,086,317 | ||||||
Synchrony Financial(a) | 231,480 | 4,580,989 | ||||||
8,667,306 | ||||||||
Containers & Packaging – 0.5% | ||||||||
International Paper Co. | 181,969 | 6,232,438 | ||||||
Diversified Consumer Services – 0.4% | ||||||||
H&R Block, Inc.(a) | 344,648 | 5,738,389 | ||||||
Diversified Telecommunication Services – 4.0% | ||||||||
AT&T, Inc. | 1,089,885 | 33,208,796 | ||||||
Verizon Communications, Inc. | 331,145 | 19,024,280 | ||||||
52,233,076 | ||||||||
Electric Utilities – 4.0% | ||||||||
Evergy, Inc. | 116,383 | 6,800,259 | ||||||
Exelon Corp. | 232,766 | 8,630,963 | ||||||
IDACORP, Inc. | 47,582 | 4,367,076 | ||||||
OGE Energy Corp. | 177,468 | 5,593,791 | ||||||
Pinnacle West Capital Corp. | 78,446 | 6,039,558 | ||||||
Portland General Electric Co. | 127,957 | 5,987,108 | ||||||
PPL Corp. | 249,484 | 6,341,883 | ||||||
Southern Co. (The) | 142,746 | 8,097,981 | ||||||
51,858,619 | ||||||||
Electrical Equipment – 0.6% | ||||||||
Rockwell Automation, Inc.(a) | 43,081 | 8,162,988 | ||||||
Energy Equipment & Services – 0.4% | ||||||||
Helmerich & Payne, Inc.(a) | 176,182 | 3,483,118 | ||||||
Schlumberger Ltd. | 133,744 | 2,249,574 | ||||||
5,732,692 |
See Accompanying Notes to the Financial Statements.
242 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Quality Dividend Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Entertainment – 0.9% | ||||||||
Activision Blizzard, Inc. | 183,898 | $ | 11,719,819 | |||||
Equity Real Estate Investment Trusts (REITs) – 5.0% | ||||||||
Apple Hospitality REIT, Inc. | 516,329 | 4,998,065 | ||||||
Brandywine Realty Trust | 484,179 | 5,403,437 | ||||||
Brixmor Property Group, Inc.(a) | 349,149 | 3,997,756 | ||||||
Highwoods Properties, Inc. | 16,075 | 623,871 | ||||||
Host Hotels & Resorts, Inc. | 473,248 | 5,825,683 | ||||||
Lamar Advertising Co., Class A | 84,876 | 4,893,101 | ||||||
Life Storage, Inc. | 66,872 | 5,857,318 | ||||||
Omega Healthcare Investors, Inc. | 25,720 | 749,738 | ||||||
Public Storage | 40,509 | 7,512,394 | ||||||
Simon Property Group, Inc.(a) | 76,517 | 5,109,040 | ||||||
SITE Centers Corp. | 598,633 | 3,627,716 | ||||||
Spirit Realty Capital, Inc. | 147,247 | 4,529,318 | ||||||
Vornado Realty Trust(a) | 28,935 | 1,267,932 | ||||||
Weingarten Realty Investors | 255,914 | 4,655,076 | ||||||
Welltower, Inc. | 105,452 | 5,402,306 | ||||||
64,452,751 | ||||||||
Food & Staples Retailing – 0.2% | ||||||||
Sysco Corp. | 32,150 | 1,809,081 | ||||||
Walmart, Inc. | 9,002 | 1,094,193 | ||||||
2,903,274 | ||||||||
Food Products – 0.8% | ||||||||
General Mills, Inc. | 172,324 | 10,320,484 | ||||||
Gas Utilities – 0.4% | ||||||||
National Fuel Gas Co.(a) | 124,742 | 5,114,422 | ||||||
Health Care Equipment & Supplies – 0.6% | ||||||||
Hill-Rom Holdings, Inc. | 64,300 | 7,233,107 | ||||||
Health Care Providers & Services – 2.2% | ||||||||
AmerisourceBergen Corp. | 87,448 | 7,840,588 | ||||||
Cardinal Health, Inc. | 144,032 | 7,126,703 | ||||||
McKesson Corp. | 54,655 | 7,720,019 |
Investments | Shares | Value | ||||||
Health Care Providers & Services – (continued) | ||||||||
UnitedHealth Group, Inc. | 19,933 | $ | 5,829,804 | |||||
28,517,114 | ||||||||
Hotels, Restaurants & Leisure – 0.9% | ||||||||
Las Vegas Sands Corp. | 129,534 | 6,220,223 | ||||||
Marriott International, Inc., Class A | 20,576 | 1,871,181 | ||||||
Wyndham Destinations, Inc. | 159,464 | 4,077,495 | ||||||
12,168,899 | ||||||||
Household Durables – 0.8% | ||||||||
PulteGroup, Inc. | 126,671 | 3,580,989 | ||||||
Whirlpool Corp.(a) | 55,298 | 6,178,999 | ||||||
9,759,988 | ||||||||
Household Products – 2.3% | ||||||||
Procter & Gamble Co. (The) | 256,557 | 30,240,374 | ||||||
Independent Power and Renewable Electricity Producers – 0.2% | ||||||||
Vistra Energy Corp. | 115,740 | 2,261,560 | ||||||
Industrial Conglomerates – 0.0%(b) | ||||||||
Honeywell International, Inc. | 1,929 | 273,725 | ||||||
Insurance – 1.1% | ||||||||
Aflac, Inc. | 183,255 | 6,824,416 | ||||||
MetLife, Inc. | 190,971 | 6,890,234 | ||||||
13,714,650 | ||||||||
Internet & Direct Marketing Retail – 0.7% | ||||||||
eBay, Inc. | 241,768 | 9,629,619 | ||||||
IT Services – 4.9% | ||||||||
Amdocs Ltd. | 111,239 | 7,168,241 | ||||||
International Business Machines Corp.(a) | 212,190 | 26,642,576 | ||||||
Mastercard, Inc., Class A | 20,576 | 5,657,783 | ||||||
Visa, Inc., Class A(a) | 103,523 | 18,501,631 | ||||||
Western Union Co. (The)(a) | 318,928 | 6,081,957 | ||||||
64,052,188 | ||||||||
Machinery – 2.8% | ||||||||
Caterpillar, Inc. | 135,030 | 15,714,791 | ||||||
Cummins, Inc. | 48,225 | 7,884,788 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 243 |
Table of Contents
FlexShares® Quality Dividend Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Machinery – (continued) | ||||||||
Illinois Tool Works, Inc. | 77,160 | $ | 12,538,500 | |||||
36,138,079 | ||||||||
Media – 1.9% | ||||||||
Comcast Corp., Class A | 327,930 | 12,340,006 | ||||||
Interpublic Group of Cos., Inc. (The) | 85,519 | 1,452,112 | ||||||
Omnicom Group, Inc.(a) | 108,667 | 6,197,279 | ||||||
ViacomCBS, Inc.(a) | 246,269 | 4,250,603 | ||||||
24,240,000 | ||||||||
Metals & Mining – 0.9% | ||||||||
Nucor Corp.(a) | 151,748 | 6,250,500 | ||||||
Steel Dynamics, Inc. | 246,269 | 5,976,949 | ||||||
12,227,449 | ||||||||
Multiline Retail – 1.0% | ||||||||
Target Corp. | 122,813 | 13,477,499 | ||||||
Multi-Utilities – 1.0% | ||||||||
NorthWestern Corp.(a) | 99,665 | 5,749,674 | ||||||
Public Service Enterprise Group, Inc. | 147,890 | 7,499,502 | ||||||
13,249,176 | ||||||||
Oil, Gas & Consumable Fuels – 4.5% | ||||||||
Chevron Corp. | 405,090 | 37,268,280 | ||||||
Exxon Mobil Corp. | 73,945 | 3,436,224 | ||||||
HollyFrontier Corp. | 109,310 | 3,611,602 | ||||||
Phillips 66 | 109,310 | 7,998,213 | ||||||
Valero Energy Corp.(a) | 89,377 | 5,662,033 | ||||||
57,976,352 | ||||||||
Pharmaceuticals – 8.3% | ||||||||
Eli Lilly and Co. | 101,594 | 15,710,496 | ||||||
Johnson & Johnson | 385,157 | 57,788,956 | ||||||
Merck & Co., Inc. | 217,334 | 17,243,280 | ||||||
Pfizer, Inc. | 443,027 | 16,994,516 | ||||||
107,737,248 | ||||||||
Professional Services – 0.5% | ||||||||
ManpowerGroup, Inc. | 80,375 | 5,967,040 |
Investments | Shares | Value | ||||||
Semiconductors & Semiconductor Equipment – 5.3% | ||||||||
Intel Corp. | 95,807 | $ | 5,746,504 | |||||
Lam Research Corp. | 34,722 | 8,863,832 | ||||||
Maxim Integrated Products, Inc. | 136,316 | 7,494,654 | ||||||
QUALCOMM, Inc. | 243,054 | 19,121,058 | ||||||
Skyworks Solutions, Inc. | 19,290 | 2,003,845 | ||||||
Texas Instruments, Inc. | 223,764 | 25,972,288 | ||||||
69,202,181 | ||||||||
Software – 5.9% | ||||||||
Citrix Systems, Inc. | 41,795 | 6,060,693 | ||||||
Intuit, Inc. | 36,651 | 9,888,806 | ||||||
Microsoft Corp. | 306,068 | 54,850,446 | ||||||
Oracle Corp. | 95,807 | 5,074,897 | ||||||
75,874,842 | ||||||||
Specialty Retail – 1.6% | ||||||||
Best Buy Co., Inc. | 97,093 | 7,449,946 | ||||||
Home Depot, Inc. (The) | 63,014 | 13,852,367 | ||||||
21,302,313 | ||||||||
Technology Hardware, Storage & Peripherals – 7.1% | ||||||||
Apple, Inc. | 246,269 | 72,353,831 | ||||||
HP, Inc. | 418,593 | 6,492,377 | ||||||
NetApp, Inc. | 131,172 | 5,741,399 | ||||||
Seagate Technology plc | 140,174 | 7,001,691 | ||||||
91,589,298 | ||||||||
Textiles, Apparel & Luxury Goods – 0.8% | ||||||||
Hanesbrands, Inc.(a) | 497,039 | 4,940,568 | ||||||
VF Corp. | 102,880 | 5,977,328 | ||||||
10,917,896 | ||||||||
Tobacco – 2.1% | ||||||||
Philip Morris International, Inc. | 372,940 | 27,821,324 | ||||||
Trading Companies & Distributors – 0.9% | ||||||||
MSC Industrial Direct Co., Inc., Class A | 101,594 | 6,059,066 | ||||||
WW Grainger, Inc. | 22,505 | 6,201,929 | ||||||
12,260,995 | ||||||||
Total Common Stocks (Cost $1,234,458,532) |
| 1,284,678,122 |
See Accompanying Notes to the Financial Statements.
244 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Quality Dividend Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
SECURITIES LENDING REINVESTMENTS(c) – 7.5% | ||||||||
CERTIFICATES OF DEPOSIT – 0.5% | ||||||||
Bank of Montreal, Chicago | ||||||||
(US Federal Funds Effective Rate (continuous series) + 0.35%), 0.39%, 8/6/2020(d) | $ | 4,000,000 | $ | 3,995,652 | ||||
Natixis SA, New York 1.79%, 6/5/2020 | 1,000,000 | 1,000,171 | ||||||
Svenska Handelsbanken, New York |
| |||||||
(ICE LIBOR USD 1 Month + 0.16%), 1.16%, 7/8/2020(d) | 2,010,000 | 2,009,340 | ||||||
Total Certificates of Deposit (Cost $7,009,876) |
| 7,005,163 | ||||||
COMMERCIAL PAPER – 0.7% | ||||||||
Bank of China, Hong Kong Branch 1.84%, 5/21/2020 | 2,000,000 | 1,997,967 | ||||||
Bank of Nova Scotia, Houston |
| |||||||
(ICE LIBOR USD 1 Month + 0.17%), | 2,500,000 | 2,500,000 | ||||||
UBS AG, London |
| |||||||
(ICE LIBOR USD 1 Month + 0.34%), | 4,000,000 | 4,000,000 | ||||||
Total Commercial Paper (Cost $8,497,967) |
| 8,497,967 | ||||||
REPURCHASE AGREEMENTS – 6.3% | ||||||||
BofA Securities, Inc., 0.49%, dated 4/30/2020, due 7/31/2020, repurchase price $8,010,018, collateralized by various Common Stocks; total market value $8,630,058 | 8,000,000 | 8,000,000 |
Investments | Principal Amount | Value | ||||||
REPURCHASE AGREEMENTS – (continued) | ||||||||
Citigroup Global Markets, Inc., 0.02%, dated 4/30/2020, due 5/1/2020, repurchase price $72,575,178, collateralized by various U.S. Treasury Securities, ranging from 0.75% – 4.38%, maturing 8/15/2040 – 2/15/2046; total market value $73,129,411 | $ | 72,575,138 | $ | 72,575,138 | ||||
Societe Generale, 0.20%, dated 4/30/2020, due 5/1/2020, repurchase price $1,000,006, collateralized by various U.S. Treasury Securities, ranging from 1.13% – 2.88%, maturing 2/28/2021 – 2/15/2046; Common Stocks; total market value $1,086,580 | 1,000,000 | 1,000,000 | ||||||
Total Repurchase Agreements (Cost $81,575,138) |
| 81,575,138 | ||||||
Total Securities Lending Reinvestments (Cost $97,082,981) |
| 97,078,268 | ||||||
Total Investments – 106.5% (Cost $1,331,541,513) |
| 1,381,756,390 | ||||||
Liabilities in excess of other assets – (6.5%) |
| (83,755,965 | ) | |||||
NET ASSETS – 100.0% |
| $ | 1,298,000,425 |
(a) | The security or a portion of this security is on loan at April 30, 2020. The total value of securities on loan at April 30, 2020 was $96,568,896, collateralized in the form of cash with a value of $97,083,592 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Investments; $5,453,895 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% – 8.75%, and maturity dates ranging from May 5, 2020 – November 15, 2049 and $157 of collateral in the form of Foreign Government Fixed Income Securities, interest rates ranging from 0.00% – 4.50%, and maturity dates ranging from July 15, 2023 – September 20, 2117; a total value of $102,537,644. |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 245 |
Table of Contents
FlexShares® Quality Dividend Index Fund (cont.)
(b) | Represents less than 0.05% of net assets. |
(c) | The security was purchased with cash collateral held from securities on loan at April 30, 2020. The total value of securities purchased was $97,078,269. |
(d) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the rate in effect as of April 30, 2020. |
(e) | Security exempt from registration under Section 4(2) of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration normally to qualified institutional buyers. |
Percentages shown are based on Net Assets.
Abbreviations
ICE – Intercontinental Exchange
LIBOR – London Interbank Offered Rate
USD – US Dollar
As of April 30, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 151,900,325 | ||
Aggregate gross unrealized depreciation | (100,314,589 | ) | ||
Net unrealized appreciation | $ | 51,585,736 | ||
Federal income tax cost | $ | 1,331,453,690 |
Futures Contracts
FlexShares® Quality Dividend Index Fund had the following open futures contracts as of April 30, 2020:
Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value and Unrealized Appreciation* | ||||||||||||||||
Long Contracts |
| |||||||||||||||||||
S&P 500 E-Mini Index | 92 | 06/19/2020 | USD | $ | 13,351,040 | $ | 1,283,036 |
* | This amount represents the cumulative appreciation/depreciation on futures contracts. Current day’s variation margin is reported within the Statement of Assets and Liabilities for futures contracts. |
Abbreviations:
USD – US Dollar
See Accompanying Notes to the Financial Statements.
246 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Schedule of Investments
FlexShares® Quality Dividend Defensive Index Fund
April 30, 2020 (Unaudited)
Investments | Shares | Value | ||||||
COMMON STOCKS – 99.0% | ||||||||
Aerospace & Defense – 1.8% | ||||||||
Lockheed Martin Corp. | 21,375 | $ | 8,316,158 | |||||
Air Freight & Logistics – 0.6% | ||||||||
CH Robinson Worldwide, Inc. | 39,600 | 2,807,640 | ||||||
Automobiles – 0.4% | ||||||||
Ford Motor Co. | 71,775 | 365,335 | ||||||
Harley-Davidson, Inc.(a) | 71,550 | 1,561,936 | ||||||
1,927,271 | ||||||||
Banks – 5.7% | ||||||||
Bank of America Corp. | 69,525 | 1,672,076 | ||||||
Citigroup, Inc. | 4,500 | 218,520 | ||||||
JPMorgan Chase & Co. | 154,350 | 14,780,556 | ||||||
Wells Fargo & Co. | 316,575 | 9,196,504 | ||||||
25,867,656 | ||||||||
Beverages – 1.7% | ||||||||
Coca-Cola Co. (The) | 159,525 | 7,320,602 | ||||||
PepsiCo, Inc. | 4,950 | 654,836 | ||||||
7,975,438 | ||||||||
Biotechnology – 2.3% | ||||||||
AbbVie, Inc. | 124,425 | 10,227,735 | ||||||
Amgen, Inc. | 450 | 107,649 | ||||||
10,335,384 | ||||||||
Building Products – 0.5% | ||||||||
Johnson Controls International plc | 77,850 | 2,266,213 | ||||||
Capital Markets – 1.6% | ||||||||
Federated Hermes, Inc., | 16,425 | 373,997 | ||||||
Intercontinental Exchange, Inc. | 10,800 | 966,060 | ||||||
MarketAxess Holdings, Inc. | 2,025 | 921,395 | ||||||
MSCI, Inc. | 6,525 | 2,133,675 | ||||||
T. Rowe Price Group, Inc. | 23,625 | 2,731,759 | ||||||
7,126,886 | ||||||||
Chemicals – 1.6% | ||||||||
CF Industries Holdings, Inc. | 60,750 | 1,670,625 |
Investments | Shares | Value | ||||||
Chemicals – (continued) | ||||||||
Dow, Inc. | 69,300 | $ | 2,542,617 | |||||
Scotts Miracle-Gro Co. (The) | 23,175 | 2,874,395 | ||||||
7,087,637 | ||||||||
Commercial Services & Supplies – 0.9% | ||||||||
Cintas Corp. | 10,350 | 2,295,940 | ||||||
KAR Auction Services, Inc.(a) | 118,800 | 1,779,624 | ||||||
4,075,564 | ||||||||
Communications Equipment – 2.9% | ||||||||
Cisco Systems, Inc. | 309,150 | 13,101,777 | ||||||
Consumer Finance – 1.2% | ||||||||
FirstCash, Inc. | 32,400 | 2,327,616 | ||||||
Santander Consumer USA Holdings, Inc.(a) | 103,275 | 1,610,057 | ||||||
Synchrony Financial | 81,225 | 1,607,443 | ||||||
5,545,116 | ||||||||
Diversified Consumer Services – 0.4% | ||||||||
H&R Block, Inc.(a) | 121,050 | 2,015,482 | ||||||
Diversified Telecommunication Services – 4.8% | ||||||||
AT&T, Inc. | 476,775 | 14,527,335 | ||||||
Cogent Communications Holdings, Inc.(a) | 7,875 | 660,161 | ||||||
Verizon Communications, Inc. | 116,325 | 6,682,871 | ||||||
21,870,367 | ||||||||
Electric Utilities – 4.2% | ||||||||
Evergy, Inc. | 40,725 | 2,379,562 | ||||||
Exelon Corp. | 81,900 | 3,036,852 | ||||||
FirstEnergy Corp. | 9,225 | 380,716 | ||||||
IDACORP, Inc. | 1,575 | 144,553 | ||||||
OGE Energy Corp. | 61,200 | 1,929,024 | ||||||
Pinnacle West Capital Corp. | 28,350 | 2,182,666 | ||||||
Portland General Electric Co.(a) | 45,000 | 2,105,550 | ||||||
PPL Corp. | 87,750 | 2,230,605 | ||||||
Southern Co. (The) | 87,975 | 4,990,822 | ||||||
19,380,350 | ||||||||
Electrical Equipment – 0.5% | ||||||||
Eaton Corp. plc | 25,200 | 2,104,200 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 247 |
Table of Contents
FlexShares® Quality Dividend Defensive Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Electronic Equipment, Instruments & Components – 0.5% | ||||||||
CDW Corp. | 22,500 | $ | 2,493,000 | |||||
Energy Equipment & Services – 0.1% | ||||||||
Helmerich & Payne, Inc. | 14,850 | 293,585 | ||||||
Entertainment – 0.8% | ||||||||
Activision Blizzard, Inc. | 60,975 | 3,885,937 | ||||||
Equity Real Estate Investment Trusts (REITs) – 4.9% | ||||||||
Apple Hospitality REIT, Inc. | 180,675 | 1,748,934 | ||||||
Brixmor Property Group, Inc. | 121,950 | 1,396,327 | ||||||
CubeSmart | 20,025 | 504,630 | ||||||
Equity Residential | 37,575 | 2,444,630 | ||||||
Gaming and Leisure Properties, Inc. | 14,400 | 406,656 | ||||||
Kimco Realty Corp. | 31,275 | 341,210 | ||||||
Life Storage, Inc. | 23,625 | 2,069,314 | ||||||
Macerich Co. (The)(a) | 22,275 | 166,394 | ||||||
National Health Investors, Inc. | 5,625 | 309,713 | ||||||
National Retail Properties, Inc. | 12,150 | 396,576 | ||||||
Omega Healthcare Investors, Inc. | 64,575 | 1,882,361 | ||||||
Public Storage | 14,400 | 2,670,480 | ||||||
Simon Property Group, Inc.(a) | 27,000 | 1,802,790 | ||||||
SITE Centers Corp.(a) | 210,600 | 1,276,236 | ||||||
Spirit Realty Capital, Inc. | 51,750 | 1,591,830 | ||||||
Weingarten Realty Investors | 89,775 | 1,633,007 | ||||||
Welltower, Inc. | 36,900 | 1,890,387 | ||||||
22,531,475 | ||||||||
Food & Staples Retailing – 0.6% | ||||||||
Sysco Corp. | 42,750 | 2,405,542 | ||||||
Walmart, Inc. | 2,925 | 355,534 | ||||||
2,761,076 | ||||||||
Food Products – 2.0% | ||||||||
General Mills, Inc. | 60,300 | 3,611,367 | ||||||
Hershey Co. (The) | 19,350 | 2,562,521 | ||||||
JM Smucker Co. (The) | 26,775 | 3,076,715 | ||||||
9,250,603 | ||||||||
Health Care Equipment & Supplies – 0.6% | ||||||||
Medtronic plc | 19,350 | 1,889,140 |
Investments | Shares | Value | ||||||
Health Care Equipment & Supplies – (continued) | ||||||||
ResMed, Inc. | 5,625 | $ | 873,675 | |||||
2,762,815 | ||||||||
Health Care Providers & Services – 3.8% | ||||||||
AmerisourceBergen Corp. | 22,050 | 1,977,003 | ||||||
UnitedHealth Group, Inc. | 52,875 | 15,464,351 | ||||||
17,441,354 | ||||||||
Hotels, Restaurants & Leisure – 1.3% | ||||||||
Las Vegas Sands Corp. | 45,450 | 2,182,509 | ||||||
Six Flags Entertainment Corp. | 13,275 | 265,633 | ||||||
Wyndham Destinations, Inc. | 27,675 | 707,650 | ||||||
Yum! Brands, Inc. | 31,050 | 2,683,651 | ||||||
5,839,443 | ||||||||
Household Durables – 0.5% | ||||||||
Newell Brands, Inc. | 33,525 | 465,327 | ||||||
PulteGroup, Inc. | 62,550 | 1,768,289 | ||||||
2,233,616 | ||||||||
Household Products – 3.5% | ||||||||
Procter & Gamble Co. (The) | 137,250 | 16,177,658 | ||||||
Insurance – 3.7% | ||||||||
Aflac, Inc. | 64,575 | 2,404,773 | ||||||
Aon plc | 19,672 | 3,396,764 | ||||||
Fidelity National Financial, Inc. | 15,525 | 419,951 | ||||||
Hanover Insurance Group, Inc. (The) | 20,475 | 2,055,281 | ||||||
Hartford Financial Services Group, Inc. (The) | 48,375 | 1,837,766 | ||||||
MetLife, Inc. | 66,825 | 2,411,046 | ||||||
Progressive Corp. (The) | 49,050 | 3,791,565 | ||||||
RenaissanceRe Holdings Ltd. | 3,375 | 492,784 | ||||||
16,809,930 | ||||||||
Internet & Direct Marketing Retail – 0.5% | ||||||||
eBay, Inc. | 58,500 | 2,330,055 | ||||||
IT Services – 4.3% | ||||||||
Amdocs Ltd. | 39,150 | 2,522,826 | ||||||
International Business Machines Corp. | 74,475 | 9,351,081 | ||||||
Mastercard, Inc., Class A | 7,200 | 1,979,784 | ||||||
Sabre Corp. | 121,050 | 880,034 | ||||||
Visa, Inc., Class A | 16,200 | 2,895,264 |
See Accompanying Notes to the Financial Statements.
248 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Quality Dividend Defensive Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
IT Services – (continued) | ||||||||
Western Union Co. (The) | 112,275 | $ | 2,141,084 | |||||
19,770,073 | ||||||||
Machinery – 0.9% | ||||||||
Cummins, Inc. | 18,225 | 2,979,787 | ||||||
Illinois Tool Works, Inc. | 6,525 | 1,060,313 | ||||||
4,040,100 | ||||||||
Media – 1.9% | ||||||||
Cable One, Inc. | 379 | 724,974 | ||||||
Comcast Corp., Class A | 136,350 | 5,130,850 | ||||||
Interpublic Group of Cos., Inc. (The) | 30,150 | 511,947 | ||||||
Omnicom Group, Inc. | 38,025 | 2,168,566 | ||||||
8,536,337 | ||||||||
Metals & Mining – 0.7% | ||||||||
Royal Gold, Inc. | 27,000 | 3,308,310 | ||||||
Multiline Retail – 1.1% | ||||||||
Macy’s, Inc.(a) | 36,900 | 216,234 | ||||||
Target Corp. | 43,200 | 4,740,768 | ||||||
4,957,002 | ||||||||
Multi-Utilities – 1.7% | ||||||||
NorthWestern Corp.(a) | 34,875 | 2,011,938 | ||||||
Public Service Enterprise Group, Inc. | 54,225 | 2,749,750 | ||||||
WEC Energy Group, Inc. | 31,725 | 2,872,699 | ||||||
7,634,387 | ||||||||
Oil, Gas & Consumable Fuels – 5.4% | ||||||||
Cabot Oil & Gas Corp. | 151,200 | 3,268,944 | ||||||
Chevron Corp. | 155,025 | 14,262,300 | ||||||
Exxon Mobil Corp. | 111,825 | 5,196,508 | ||||||
Kinder Morgan, Inc. | 91,125 | 1,387,834 | ||||||
Phillips 66 | 2,250 | 164,632 | ||||||
Plains GP Holdings LP, Class A* | 35,325 | 324,637 | ||||||
24,604,855 | ||||||||
Pharmaceuticals – 8.4% | ||||||||
Eli Lilly and Co. | 73,575 | 11,377,638 | ||||||
Johnson & Johnson | 135,225 | 20,289,159 |
Investments | Shares | Value | ||||||
Pharmaceuticals – (continued) | ||||||||
Merck & Co., Inc. | 31,500 | $ | 2,499,210 | |||||
Pfizer, Inc. | 110,025 | 4,220,559 | ||||||
38,386,566 | ||||||||
Semiconductors & Semiconductor Equipment – 4.0% | ||||||||
Broadcom, Inc. | 13,950 | 3,789,099 | ||||||
Intel Corp. | 39,825 | 2,388,703 | ||||||
NVIDIA Corp. | 675 | 197,289 | ||||||
Skyworks Solutions, Inc. | 26,100 | 2,711,268 | ||||||
Texas Instruments, Inc. | 78,525 | 9,114,397 | ||||||
18,200,756 | ||||||||
Software – 5.7% | ||||||||
CDK Global, Inc. | 36,900 | 1,449,432 | ||||||
Citrix Systems, Inc. | 15,075 | 2,186,026 | ||||||
Microsoft Corp. | 107,550 | 19,274,035 | ||||||
Oracle Corp. | 59,850 | 3,170,255 | ||||||
26,079,748 | ||||||||
Specialty Retail – 2.4% | ||||||||
Best Buy Co., Inc. | 34,200 | 2,624,166 | ||||||
Home Depot, Inc. (The) | 37,575 | 8,260,112 | ||||||
10,884,278 | ||||||||
Technology Hardware, Storage & Peripherals – 5.0% | ||||||||
Apple, Inc. | 69,300 | 20,360,341 | ||||||
Seagate Technology plc | 54,225 | 2,708,539 | ||||||
23,068,880 | ||||||||
Textiles, Apparel & Luxury Goods – 0.4% | ||||||||
Hanesbrands, Inc.(a) | 174,600 | 1,735,524 | ||||||
Tobacco – 2.1% | ||||||||
Philip Morris International, Inc. | 130,725 | 9,752,085 | ||||||
Trading Companies & Distributors – 1.0% | ||||||||
MSC Industrial Direct Co., Inc., Class A | 35,550 | 2,120,202 | ||||||
WW Grainger, Inc. | 8,775 | 2,418,215 | ||||||
4,538,417 | ||||||||
Transportation Infrastructure – 0.1% | ||||||||
Macquarie Infrastructure Corp.(a) | 13,275 | 366,257 | ||||||
Total Common Stocks (Cost $438,486,556) |
| 452,477,261 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 249 |
Table of Contents
FlexShares® Quality Dividend Defensive Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
SECURITIES LENDING REINVESTMENTS(b) – 0.9% | ||||||||
REPURCHASE AGREEMENTS – 0.9% | ||||||||
BofA Securities, Inc., 0.49%, dated 4/30/2020, due 7/31/2020, repurchase price $1,001,252, collateralized by various Common Stocks; total market value $1,078,757 | $ | 1,000,000 | $ | 1,000,000 | ||||
Citigroup Global Markets, Inc., 0.02%, dated 4/30/2020, due 5/1/2020, repurchase price $2,996,237, collateralized by various U.S. Treasury Securities, ranging from 0.75% – 4.38%, maturing 8/15/2040 – 2/15/2046; total market value $3,019,118 | 2,996,235 | 2,996,235 | ||||||
3,996,235 | ||||||||
Total Securities Lending Reinvestments (Cost $3,996,235) |
| 3,996,235 | ||||||
Total Investments – 99.9% (Cost $442,482,791) |
| 456,473,496 | ||||||
Other Assets Less Liabilities – 0.1% |
| 354,921 | ||||||
NET ASSETS – 100.0% |
| $ | 456,828,417 |
* | Non-income producing security. |
(a) | The security or a portion of this security is on loan at April 30, 2020. The total value of securities on loan at April 30, 2020 was $8,685,828, collateralized in the form of cash with a value of $3,996,235 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Investments and $5,283,731 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% – 8.75%, and maturity dates ranging from May 5, 2020 – November 15, 2049; a total value of $9,279,966. |
(b) | The security was purchased with cash collateral held from securities on loan at April 30, 2020. The total value of securities purchased was $3,996,235. |
Percentages shown are based on Net Assets.
As of April 30, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 49,484,428 | ||
Aggregate gross unrealized depreciation | (35,722,355 | ) | ||
Net unrealized appreciation | $ | 13,762,073 | ||
Federal income tax cost | $ | 443,082,156 |
Futures Contracts
FlexShares® Quality Dividend Defensive Index Fund had the following open futures contracts as of April 30, 2020:
Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value and Unrealized Appreciation* | ||||||||||||||||
Long Contracts |
| |||||||||||||||||||
S&P 500 E-Mini Index | 28 | 06/19/2020 | USD | $ | 4,063,360 | $ | 370,733 |
* | This amount represents the cumulative appreciation/depreciation on futures contracts. Current day’s variation margin is reported within the Statement of Assets and Liabilities for futures contracts. |
Abbreviations:
USD – US Dollar
See Accompanying Notes to the Financial Statements.
250 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Schedule of Investments
FlexShares® Quality Dividend Dynamic Index Fund
April 30, 2020 (Unaudited)
Investments | Shares | Value | ||||||
COMMON STOCKS – 98.7% | ||||||||
Aerospace & Defense – 1.8% | ||||||||
Lockheed Martin Corp. | 752 | $ | 292,573 | |||||
Auto Components – 0.5% | ||||||||
Gentex Corp. | 3,208 | 77,762 | ||||||
Banks – 6.7% | ||||||||
Bank of America Corp. | 3,880 | 93,314 | ||||||
Citigroup, Inc. | 6,352 | 308,453 | ||||||
Comerica, Inc. | 1,664 | 58,007 | ||||||
JPMorgan Chase & Co. | 5,416 | 518,636 | ||||||
Wells Fargo & Co. | 408 | 11,852 | ||||||
Zions Bancorp NA | 2,016 | 63,726 | ||||||
1,053,988 | ||||||||
Beverages – 0.4% | ||||||||
Coca-Cola Co. (The) | 776 | 35,611 | ||||||
PepsiCo, Inc. | 176 | 23,283 | ||||||
58,894 | ||||||||
Biotechnology – 4.9% | ||||||||
AbbVie, Inc. | 4,352 | 357,734 | ||||||
Amgen, Inc. | 1,776 | 424,855 | ||||||
782,589 | ||||||||
Building Products – 1.6% | ||||||||
Armstrong World Industries, Inc. | 952 | 73,380 | ||||||
Johnson Controls International plc | 2,712 | 78,946 | ||||||
Masco Corp. | 360 | 14,775 | ||||||
Simpson Manufacturing Co., Inc. | 1,160 | 83,636 | ||||||
250,737 | ||||||||
Capital Markets – 3.2% | ||||||||
Ameriprise Financial, Inc. | 608 | 69,884 | ||||||
Blackstone Group, Inc. (The), Class A | 240 | 12,538 | ||||||
Eaton Vance Corp. | 1,920 | 70,464 | ||||||
Evercore, Inc., Class A | 1,184 | 61,094 | ||||||
Lazard Ltd., Class A | 2,272 | 62,480 | ||||||
LPL Financial Holdings, Inc. | 1,032 | 62,147 | ||||||
Stifel Financial Corp. | 1,440 | 63,763 | ||||||
T. Rowe Price Group, Inc. | 840 | 97,129 | ||||||
499,499 |
Investments | Shares | Value | ||||||
Chemicals – 2.4% | ||||||||
Celanese Corp. | 816 | $ | 67,785 | |||||
Dow, Inc. | 2,464 | 90,404 | ||||||
Eastman Chemical Co. | 1,368 | 82,777 | ||||||
Huntsman Corp. | 832 | 13,986 | ||||||
LyondellBasell Industries NV, Class A | 384 | 22,253 | ||||||
Scotts Miracle-Gro Co. (The) | 824 | 102,201 | ||||||
379,406 | ||||||||
Communications Equipment – 4.1% | ||||||||
Cisco Systems, Inc. | 12,672 | 537,040 | ||||||
Ubiquiti, Inc.(a) | 672 | 108,884 | ||||||
645,924 | ||||||||
Consumer Finance – 1.4% | ||||||||
Discover Financial Services | 1,488 | 63,939 | ||||||
Navient Corp. | 6,976 | 53,157 | ||||||
OneMain Holdings, Inc. | 2,112 | 51,132 | ||||||
Synchrony Financial | 2,768 | 54,779 | ||||||
223,007 | ||||||||
Containers & Packaging – 0.5% | ||||||||
International Paper Co. | 2,464 | 84,392 | ||||||
Diversified Telecommunication Services – 3.5% | ||||||||
AT&T, Inc. | 16,760 | 510,677 | ||||||
Verizon Communications, Inc. | 824 | 47,339 | ||||||
558,016 | ||||||||
Electric Utilities – 0.9% | ||||||||
OGE Energy Corp. | 2,144 | 67,579 | ||||||
PPL Corp. | 3,128 | 79,514 | ||||||
147,093 | ||||||||
Electrical Equipment – 2.1% | ||||||||
Eaton Corp. plc | 1,240 | 103,540 | ||||||
Emerson Electric Co. | 1,792 | 102,198 | ||||||
Hubbell, Inc. | 168 | 20,904 | ||||||
Rockwell Automation, Inc. | 544 | 103,077 | ||||||
329,719 | ||||||||
Electronic Equipment, Instruments & Components – 0.6% | ||||||||
CDW Corp. | 800 | 88,640 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 251 |
Table of Contents
FlexShares® Quality Dividend Dynamic Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Energy Equipment & Services – 0.5% | ||||||||
Helmerich & Payne, Inc. | 2,096 | $ | 41,438 | |||||
Schlumberger Ltd. | 2,384 | 40,099 | ||||||
81,537 | ||||||||
Entertainment – 0.4% | ||||||||
Activision Blizzard, Inc. | 992 | 63,220 | ||||||
Equity Real Estate Investment Trusts (REITs) – 4.3% | ||||||||
Apple Hospitality REIT, Inc. | 6,552 | 63,423 | ||||||
Brandywine Realty Trust | 6,104 | 68,121 | ||||||
Brixmor Property Group, Inc. | 4,168 | 47,723 | ||||||
Gaming and Leisure Properties, Inc. | 528 | 14,911 | ||||||
Highwoods Properties, Inc. | 1,920 | 74,515 | ||||||
Host Hotels & Resorts, Inc. | 5,960 | 73,368 | ||||||
Lamar Advertising Co., Class A | 1,016 | 58,572 | ||||||
Macerich Co. (The)(a) | 544 | 4,064 | ||||||
Omega Healthcare Investors, Inc. | 2,312 | 67,395 | ||||||
Outfront Media, Inc. | 576 | 9,037 | ||||||
Ryman Hospitality Properties, Inc. | 632 | 22,335 | ||||||
Service Properties Trust(a) | 632 | 4,380 | ||||||
Simon Property Group, Inc. | 256 | 17,093 | ||||||
SITE Centers Corp. | 7,624 | 46,201 | ||||||
Spirit Realty Capital, Inc. | 1,768 | 54,384 | ||||||
Weingarten Realty Investors | 3,064 | 55,734 | ||||||
681,256 | ||||||||
Food & Staples Retailing – 0.1% | ||||||||
Walmart, Inc. | 112 | 13,614 | ||||||
Food Products – 0.8% | ||||||||
General Mills, Inc. | 2,144 | 128,404 | ||||||
Health Care Equipment & Supplies – 0.5% | ||||||||
Hill-Rom Holdings, Inc. | 784 | 88,192 | ||||||
Health Care Providers & Services – 1.1% | ||||||||
AmerisourceBergen Corp. | 128 | 11,476 | ||||||
Cardinal Health, Inc. | 1,760 | 87,085 | ||||||
UnitedHealth Group, Inc. | 248 | 72,533 | ||||||
171,094 | ||||||||
Hotels, Restaurants & Leisure – 0.8% | ||||||||
Las Vegas Sands Corp. | 1,576 | 75,680 |
Investments | Shares | Value | ||||||
Hotels, Restaurants & Leisure – (continued) | ||||||||
Wyndham Destinations, Inc.(a) | 2,048 | $ | 52,367 | |||||
128,047 | ||||||||
Household Durables – 0.5% | ||||||||
Whirlpool Corp. | 672 | 75,089 | ||||||
Household Products – 0.6% | ||||||||
Procter & Gamble Co. (The) | 768 | 90,524 | ||||||
Independent Power and Renewable Electricity Producers – 0.4% | ||||||||
AES Corp. (The) | 4,912 | 65,084 | ||||||
Industrial Conglomerates – 0.3% | ||||||||
Honeywell International, Inc. | 296 | 42,002 | ||||||
Insurance – 1.4% | ||||||||
MetLife, Inc. | 2,392 | 86,303 | ||||||
Primerica, Inc. | 728 | 75,647 | ||||||
Unum Group | 3,240 | 56,538 | ||||||
218,488 | ||||||||
Internet & Direct Marketing Retail – 0.6% | ||||||||
eBay, Inc. | 2,512 | 100,053 | ||||||
IT Services – 3.6% | ||||||||
International Business Machines Corp. | 2,624 | 329,469 | ||||||
Mastercard, Inc., Class A | 256 | 70,392 | ||||||
Visa, Inc., Class A | 568 | 101,513 | ||||||
Western Union Co. (The) | 3,968 | 75,670 | ||||||
577,044 | ||||||||
Machinery – 3.4% | ||||||||
Caterpillar, Inc. | 1,656 | 192,725 | ||||||
Cummins, Inc. | 656 | 107,256 | ||||||
Dover Corp. | 864 | 80,914 | ||||||
Illinois Tool Works, Inc. | 960 | 156,000 | ||||||
536,895 | ||||||||
Media – 2.6% | ||||||||
Comcast Corp., Class A | 4,568 | 171,894 | ||||||
Interpublic Group of Cos., Inc. (The) | 3,136 | 53,249 | ||||||
New York Times Co. (The), Class A(a) | 1,608 | 52,292 | ||||||
Omnicom Group, Inc. | 1,360 | 77,561 | ||||||
ViacomCBS, Inc. | 3,128 | 53,989 | ||||||
408,985 |
See Accompanying Notes to the Financial Statements.
252 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Quality Dividend Dynamic Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Metals & Mining – 1.5% | ||||||||
Nucor Corp. | 1,896 | $ | 78,096 | |||||
Reliance Steel & Aluminum Co. | 848 | 75,964 | ||||||
Steel Dynamics, Inc. | 3,384 | 82,130 | ||||||
236,190 | ||||||||
Oil, Gas & Consumable Fuels – 5.0% | ||||||||
Chevron Corp. | 5,432 | 499,744 | ||||||
Devon Energy Corp. | 3,376 | 42,099 | ||||||
Exxon Mobil Corp. | 1,472 | 68,404 | ||||||
HollyFrontier Corp. | 2,280 | 75,331 | ||||||
Plains GP Holdings LP, Class A* | 1,464 | 13,454 | ||||||
Valero Energy Corp. | 1,408 | 89,197 | ||||||
788,229 | ||||||||
Pharmaceuticals – 7.2% | ||||||||
Johnson & Johnson | 3,208 | 481,328 | ||||||
Merck & Co., Inc. | 2,808 | 222,787 | ||||||
Pfizer, Inc. | 11,296 | 433,315 | ||||||
1,137,430 | ||||||||
Professional Services – 0.5% | ||||||||
ManpowerGroup, Inc. | 992 | 73,646 | ||||||
Semiconductors & Semiconductor Equipment – 5.6% | ||||||||
Intel Corp. | 1,176 | 70,536 | ||||||
Lam Research Corp. | 432 | 110,281 | ||||||
Maxim Integrated Products, Inc. | 1,680 | 92,366 | ||||||
NVIDIA Corp. | 24 | 7,015 | ||||||
QUALCOMM, Inc. | 3,600 | 283,212 | ||||||
Texas Instruments, Inc. | 2,752 | 319,425 | ||||||
882,835 | ||||||||
Software – 5.8% | ||||||||
Citrix Systems, Inc. | 96 | 13,921 | ||||||
Intuit, Inc. | 224 | 60,438 | ||||||
Microsoft Corp. | 4,616 | 827,233 | ||||||
Oracle Corp. | 264 | 13,984 | ||||||
915,576 | ||||||||
Specialty Retail – 4.6% | ||||||||
Best Buy Co., Inc. | 1,216 | 93,304 | ||||||
Home Depot, Inc. (The) | 2,576 | 566,282 |
Investments | Shares | Value | ||||||
Specialty Retail – (continued) | ||||||||
Lowe’s Cos., Inc. | 672 | $ | 70,392 | |||||
729,978 | ||||||||
Technology Hardware, Storage & Peripherals – 8.7% | ||||||||
Apple, Inc. | 4,168 | 1,224,557 | ||||||
HP, Inc. | 896 | 13,897 | ||||||
NetApp, Inc. | 840 | 36,767 | ||||||
Seagate Technology plc | 1,904 | 95,105 | ||||||
1,370,326 | ||||||||
Textiles, Apparel & Luxury Goods – 0.4% | ||||||||
Hanesbrands, Inc.(a) | 6,304 | 62,662 | ||||||
Thrifts & Mortgage Finance – 0.1% | ||||||||
Radian Group, Inc. | 1,352 | 20,253 | ||||||
Tobacco – 2.2% | ||||||||
Philip Morris International, Inc. | 4,592 | 342,563 | ||||||
Trading Companies & Distributors – 0.5% | ||||||||
MSC Industrial Direct Co., Inc., Class A | 1,272 | 75,862 | ||||||
Transportation Infrastructure – 0.1% | ||||||||
Macquarie Infrastructure Corp. | 408 | 11,257 | ||||||
Total Common Stocks (Cost $15,627,897) | 15,588,574 | |||||||
Principal Amount | ||||||||
SECURITIES LENDING REINVESTMENTS(b) – 0.4% | ||||||||
REPURCHASE AGREEMENTS – 0.4% | ||||||||
Citigroup Global Markets, Inc., 0.02%, dated 4/30/2020, due 5/1/2020, repurchase price $57,635, collateralized by various U.S. Treasury Securities, ranging from 0.75% – 4.38%, maturing 8/15/2040 – 2/15/2046; total market value $58,075 | $ | 57,635 | 57,635 | |||||
Total Investments – 99.1% (Cost $15,685,532) |
| 15,646,209 | ||||||
Other Assets Less Liabilities – 0.9% |
| 142,593 | ||||||
NET ASSETS – 100.0% |
| $ | 15,788,802 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 253 |
Table of Contents
FlexShares® Quality Dividend Dynamic Index Fund (cont.)
* | Non-income producing security. |
(a) | The security or a portion of this security is on loan at April 30, 2020. The total value of securities on loan at April 30, 2020 was $255,856, collateralized in the form of cash with a value of $57,635 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Investments and $215,874 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% – 8.75%, and maturity dates ranging from May 5, 2020 – August 15, 2049; a total value of $273,509. |
(b) | The security was purchased with cash collateral held from securities on loan at April 30, 2020. The total value of securities purchased was $57,635. |
Percentages shown are based on Net Assets.
As of April 30, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 1,444,299 | ||
Aggregate gross unrealized depreciation | (1,457,749 | ) | ||
Net unrealized depreciation | $ | (13,450 | ) | |
Federal income tax cost | $ | 15,680,853 |
Futures Contracts
FlexShares® Quality Dividend Dynamic Index Fund had the following open futures contract as of April 30, 2020:
Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value and Unrealized Appreciation* | ||||||||||||||||
Long Contracts |
| |||||||||||||||||||
S&P 500 E-Mini Index | 1 | 06/19/2020 | USD | $ | 145,120 | $ | 21,194 |
* | This amount represents the cumulative appreciation/depreciation on futures contracts. Current day’s variation margin is reported within the Statement of Assets and Liabilities for futures contracts. |
Abbreviations:
USD – US Dollar
See Accompanying Notes to the Financial Statements.
254 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Schedule of Investments
FlexShares® International Quality Dividend Index Fund
April 30, 2020 (Unaudited)
Investments | Shares | Value | ||||||
COMMON STOCKS – 97.4% | ||||||||
Airlines – 0.9% | ||||||||
International Consolidated Airlines Group SA | 557,928 | $ | 1,561,604 | |||||
Japan Airlines Co. Ltd. | 72,900 | 1,322,542 | ||||||
Qantas Airways Ltd. | 513,459 | 1,297,584 | ||||||
4,181,730 | ||||||||
Auto Components – 1.7% | ||||||||
Bridgestone Corp. | 121,500 | 3,838,098 | ||||||
Nokian Renkaat OYJ(a) | 143,856 | 3,078,041 | ||||||
Xinyi Glass Holdings Ltd. | 972,000 | 1,129,686 | ||||||
8,045,825 | ||||||||
Automobiles – 2.2% | ||||||||
Fiat Chrysler Automobiles NV | 353,079 | 3,100,007 | ||||||
Ford Otomotiv Sanayi A/S | 328,293 | 2,973,167 | ||||||
Tofas Turk Otomobil Fabrikasi A/S | 994,840 | 3,179,730 | ||||||
Toyota Motor Corp. | 17,500 | 1,090,896 | ||||||
10,343,800 | ||||||||
Banks – 10.1% | ||||||||
ABN AMRO Bank NV, CVA(b) | 56,619 | 434,104 | ||||||
Agricultural Bank of China Ltd., Class H | 1,458,000 | 613,115 | ||||||
Australia & New Zealand Banking Group Ltd. | 170,343 | 1,884,748 | ||||||
Banco Santander Brasil SA | 316,200 | 1,577,116 | ||||||
Banco Santander Brasil SA (Preference) | 265,700 | 691,086 | ||||||
Bank of China Ltd., Class H | 4,617,000 | 1,768,817 | ||||||
Bank Polska Kasa Opieki SA | 38,151 | 478,874 | ||||||
China Construction Bank Corp., Class H | 3,402,000 | 2,773,435 | ||||||
China Minsheng Banking Corp. Ltd., Class H(a) | 1,579,500 | 1,181,719 | ||||||
Danske Bank A/S* | 173,745 | 2,061,271 | ||||||
DBS Group Holdings Ltd. | 243,000 | 3,445,535 | ||||||
DNB ASA | 244,944 | 2,976,848 | ||||||
ING Groep NV | 229,149 | 1,256,942 | ||||||
KBC Group NV | 51,516 | 2,780,648 | ||||||
National Bank of Canada | 88,938 | 3,594,787 |
Investments | Shares | Value | ||||||
Banks – (continued) | ||||||||
Royal Bank of Canada | 181,521 | $ | 11,190,931 | |||||
Skandinaviska Enskilda Banken AB, Class A | 431,568 | 3,549,858 | ||||||
Swedbank AB, Class A | 274,590 | 3,243,171 | ||||||
Westpac Banking Corp. | 127,089 | 1,354,580 | ||||||
46,857,585 | ||||||||
Beverages – 0.7% | ||||||||
Coca-Cola Amatil Ltd. | 558,642 | 3,174,649 | ||||||
Capital Markets – 0.9% | ||||||||
Macquarie Group Ltd. | 51,030 | 3,429,803 | ||||||
Moscow Exchange MICEX-RTS PJSC | 99,630 | 161,984 | ||||||
Natixis SA | 221,130 | 523,402 | ||||||
4,115,189 | ||||||||
Chemicals – 2.4% | ||||||||
Covestro AG(b) | 101,817 | 3,421,439 | ||||||
Showa Denko KK(a) | 145,800 | 3,238,182 | ||||||
Sinopec Shanghai Petrochemical Co. Ltd., Class H | 16,038,000 | 4,406,527 | ||||||
11,066,148 | ||||||||
Construction Materials – 0.1% | ||||||||
China Resources Cement Holdings Ltd. | 322,000 | 436,126 | ||||||
Diversified Financial Services – 1.2% | ||||||||
Power Finance Corp. Ltd. | 2,443,122 | 3,103,720 | ||||||
REC Ltd. | 2,126,736 | 2,706,034 | ||||||
5,809,754 | ||||||||
Diversified Telecommunication Services – 3.4% | ||||||||
BT Group plc | 826,158 | 1,209,327 | ||||||
O2 Czech Republic A/S* | 405,081 | 3,554,077 | ||||||
Proximus SADP | 111,537 | 2,378,581 | ||||||
Spark New Zealand Ltd. | 1,486,553 | 4,072,052 | ||||||
Telefonica Deutschland Holding AG | 433,998 | 1,233,554 | ||||||
Telenor ASA | 220,887 | 3,398,827 | ||||||
15,846,418 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 255 |
Table of Contents
FlexShares® International Quality Dividend Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Electric Utilities – 1.3% | ||||||||
Endesa SA | 55,890 | $ | 1,239,631 | |||||
Red Electrica Corp. SA | 63,666 | 1,119,569 | ||||||
SSE plc | 229,954 | 3,625,656 | ||||||
5,984,856 | ||||||||
Electrical Equipment – 1.2% | ||||||||
Mitsubishi Electric Corp. | 243,000 | 3,046,163 | ||||||
Signify NV(b) | 122,958 | 2,506,992 | ||||||
5,553,155 | ||||||||
Electronic Equipment, Instruments & Components – 1.1% | ||||||||
Walsin Technology Corp. | 170,000 | 1,217,695 | ||||||
Yageo Corp. | 297,000 | 3,905,201 | ||||||
5,122,896 | ||||||||
Entertainment – 1.3% | ||||||||
Nintendo Co. Ltd. | 14,400 | 6,012,625 | ||||||
Equity Real Estate Investment Trusts (REITs) – 1.3% | ||||||||
Growthpoint Properties Ltd. | 882,090 | 669,072 | ||||||
H&R REIT(a) | 52,731 | 374,332 | ||||||
Klepierre SA | 29,889 | 604,169 | ||||||
Resilient REIT Ltd. | 996,057 | 1,951,979 | ||||||
RioCan REIT(a) | 44,955 | 514,622 | ||||||
United Urban Investment Corp. | 1,701 | 1,730,666 | ||||||
5,844,840 | ||||||||
Food & Staples Retailing – 0.5% | ||||||||
Casino Guichard Perrachon SA(a) | 31,104 | 1,166,155 | ||||||
President Chain Store Corp. | 131,000 | 1,356,851 | ||||||
2,523,006 | ||||||||
Food Products – 2.9% | ||||||||
Nestle SA (Registered) | 60,021 | 6,336,984 | ||||||
Salmar ASA | 87,252 | 3,415,101 | ||||||
Uni-President Enterprises Corp. | 1,701,000 | 3,975,569 | ||||||
13,727,654 | ||||||||
Gas Utilities – 1.5% | ||||||||
Enagas SA | 167,209 | 3,899,136 | ||||||
Naturgy Energy Group SA(a) | 175,689 | 3,100,082 | ||||||
6,999,218 |
Investments | Shares | Value | ||||||
Health Care Providers & Services – 0.5% | ||||||||
Netcare Ltd. | 2,606,418 | $ | 2,199,808 | |||||
Hotels, Restaurants & Leisure – 1.8% | ||||||||
Genting Singapore Ltd. | 2,867,400 | 1,598,998 | ||||||
Sands China Ltd. | 874,800 | 3,599,698 | ||||||
Wynn Macau Ltd. | 1,944,000 | 3,410,372 | ||||||
8,609,068 | ||||||||
Household Durables – 1.6% | ||||||||
Nien Made Enterprise Co. Ltd. | 164,000 | 1,268,475 | ||||||
Persimmon plc | 111,740 | 3,107,799 | ||||||
PIK Group PJSC | 29,160 | 154,379 | ||||||
Taylor Wimpey plc | 1,544,794 | 2,865,307 | ||||||
7,395,960 | ||||||||
Independent Power and Renewable Electricity Producers – 0.5% | ||||||||
Unipro PJSC | 60,507,000 | 2,294,314 | ||||||
Industrial Conglomerates – 0.2% | ||||||||
Alfa SAB de CV, Class A(a) | 2,235,600 | 925,788 | ||||||
Insurance – 7.9% | ||||||||
Admiral Group plc | 48,254 | 1,418,159 | ||||||
AIA Group Ltd. | 48,600 | 451,059 | ||||||
Allianz SE (Registered) | 42,282 | 7,821,082 | ||||||
Aviva plc | 645,651 | 1,969,200 | ||||||
BB Seguridade Participacoes SA | 583,200 | 2,860,355 | ||||||
Direct Line Insurance Group plc | 1,016,715 | 3,494,631 | ||||||
Legal & General Group plc | 533,628 | 1,377,146 | ||||||
MS&AD Insurance Group Holdings, Inc. | 121,500 | 3,547,230 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | 1,215 | 267,222 | ||||||
Powszechny Zaklad Ubezpieczen SA | 250,776 | 1,833,669 | ||||||
Tokio Marine Holdings, Inc. | 92,600 | 4,404,204 | ||||||
UnipolSai Assicurazioni SpA(a) | 1,543,367 | 3,793,369 | ||||||
Zurich Insurance Group AG | 11,664 | 3,713,772 | ||||||
36,951,098 |
See Accompanying Notes to the Financial Statements.
256 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® International Quality Dividend Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Interactive Media & Services – 1.1% | ||||||||
Tencent Holdings Ltd. | 91,800 | $ | 4,937,935 | |||||
IT Services – 1.0% | ||||||||
Edenred | 73,369 | 2,954,877 | ||||||
Nomura Research Institute Ltd. | 66,200 | 1,630,624 | ||||||
4,585,501 | ||||||||
Machinery – 2.8% | ||||||||
Atlas Copco AB, Class A(a) | 17,982 | 624,672 | ||||||
Atlas Copco AB, Class B | 10,206 | 319,016 | ||||||
Komatsu Ltd. | 72,900 | 1,406,053 | ||||||
Kone OYJ, Class B | 81,162 | 4,917,767 | ||||||
Mitsubishi Heavy Industries Ltd. | 48,600 | 1,255,960 | ||||||
Rational AG | 486 | 234,645 | ||||||
Sinotruk Hong Kong Ltd.(a) | 2,139,000 | 4,309,813 | ||||||
13,067,926 | ||||||||
Media – 1.6% | ||||||||
Eutelsat Communications SA | 316,337 | 3,547,995 | ||||||
ITV plc | 751,842 | 725,477 | ||||||
Publicis Groupe SA | 104,004 | 3,090,530 | ||||||
7,364,002 | ||||||||
Metals & Mining – 5.8% | ||||||||
Alumina Ltd.(a) | 3,017,088 | 3,427,124 | ||||||
BHP Group plc | 37,665 | 634,812 | ||||||
Eregli Demir ve Celik Fabrikalari TAS | 2,775,060 | 3,211,995 | ||||||
Evraz plc | 833,004 | 2,786,482 | ||||||
Kumba Iron Ore Ltd. | 177,633 | 3,411,540 | ||||||
Magnitogorsk Iron & Steel Works PJSC | 3,960,900 | 2,156,437 | ||||||
Novolipetsk Steel PJSC | 1,953,720 | 3,390,732 | ||||||
Rio Tinto plc | 100,602 | 4,675,422 | ||||||
Severstal PAO | 290,628 | 3,496,241 | ||||||
27,190,785 | ||||||||
Multiline Retail – 0.4% | ||||||||
Wesfarmers Ltd. | 75,573 | 1,864,812 | ||||||
Multi-Utilities – 0.7% | ||||||||
AGL Energy Ltd.(a) | 305,937 | 3,397,036 |
Investments | Shares | Value | ||||||
Oil, Gas & Consumable Fuels – 6.5% | ||||||||
Aker BP ASA(a) | 138,024 | $ | 2,297,350 | |||||
BP plc | 1,264,572 | 4,994,158 | ||||||
Bukit Asam Tbk. PT | 23,303,700 | 2,937,441 | ||||||
Canadian Natural Resources Ltd. | 54,918 | 921,659 | ||||||
China Petroleum & Chemical Corp., Class H | 2,430,000 | 1,228,737 | ||||||
CNOOC Ltd. | 1,458,000 | 1,653,153 | ||||||
Eni SpA | 64,881 | 619,253 | ||||||
Equinor ASA | 185,166 | 2,599,142 | ||||||
Exxaro Resources Ltd.(a) | 534,127 | 3,135,542 | ||||||
Formosa Petrochemical Corp. | 253,000 | 763,173 | ||||||
Inter Pipeline Ltd.(a) | 54,432 | 456,164 | ||||||
Lundin Energy AB | 39,852 | 1,035,144 | ||||||
Royal Dutch Shell plc, Class A | 41,067 | 686,348 | ||||||
Royal Dutch Shell plc, Class B | 17,010 | 276,004 | ||||||
Tatneft PJSC | 421,848 | 3,137,530 | ||||||
Tatneft PJSC (Preference) | 359,154 | 2,496,879 | ||||||
Yanzhou Coal Mining Co. Ltd., Class H(a) | 1,458,000 | 1,105,863 | ||||||
30,343,540 | ||||||||
Paper & Forest Products – 0.8% | ||||||||
UPM-Kymmene OYJ | 136,809 | 3,785,133 | ||||||
Personal Products – 2.2% | ||||||||
L’Oreal SA(a) | 31,590 | 9,179,520 | ||||||
Pola Orbis Holdings, Inc. | 48,600 | 871,696 | ||||||
10,051,216 | ||||||||
Pharmaceuticals – 8.1% | ||||||||
Astellas Pharma, Inc. | 121,500 | 2,029,829 | ||||||
GlaxoSmithKline plc | 632,043 | 13,241,948 | ||||||
Novartis AG (Registered) | 81,162 | 6,917,460 | ||||||
Novo Nordisk A/S, Class B | 486 | 30,991 | ||||||
Orion OYJ, Class B | 99,630 | 5,061,205 | ||||||
Roche Holding AG | 29,160 | 10,134,924 | ||||||
Roche Holding AG – BR | 1,218 | 423,773 | ||||||
37,840,130 | ||||||||
Professional Services – 0.8% | ||||||||
Thomson Reuters Corp. | 54,918 | 3,877,611 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 257 |
Table of Contents
FlexShares® International Quality Dividend Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Real Estate Management & Development – 2.8% | ||||||||
Agile Group Holdings Ltd. | 934,000 | $ | 1,052,992 | |||||
China Evergrande Group(a) | 1,795,000 | 3,186,027 | ||||||
Country Garden Holdings Co. Ltd.(a) | 729,000 | 939,420 | ||||||
Daito Trust Construction Co. Ltd. | 38,400 | 3,704,082 | ||||||
Land & Houses PCL, NVDR | 11,907,000 | 2,723,282 | ||||||
Logan Property Holdings Co. Ltd. | 786,000 | 1,236,941 | ||||||
12,842,744 | ||||||||
Road & Rail – 0.8% | ||||||||
Aurizon Holdings Ltd. | 1,228,851 | 3,773,240 | ||||||
Semiconductors & Semiconductor Equipment – 3.3% | ||||||||
ASML Holding NV | 1,215 | 360,178 | ||||||
Globalwafers Co. Ltd. | 179,000 | 2,317,522 | ||||||
Nanya Technology Corp. | 470,000 | 1,027,357 | ||||||
Novatek Microelectronics Corp.* | 636,000 | 3,988,835 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 397,222 | 4,067,530 | ||||||
Tokyo Electron Ltd. | 4,600 | 986,805 | ||||||
Vanguard International Semiconductor Corp. | 1,124,000 | 2,642,127 | ||||||
15,390,354 | ||||||||
Software – 1.0% | ||||||||
SAP SE | 3,159 | 376,938 | ||||||
Trend Micro, Inc. | 79,900 | 4,087,090 | ||||||
4,464,028 | ||||||||
Specialty Retail – 0.7% | ||||||||
Hennes & Mauritz AB, Class B(a) | 230,121 | 3,208,952 | ||||||
Technology Hardware, Storage & Peripherals – 2.0% | ||||||||
Brother Industries Ltd. | 121,700 | 2,089,505 | ||||||
Canon, Inc. | 72,900 | 1,557,395 | ||||||
Chicony Electronics Co. Ltd. | 245,000 | 695,374 | ||||||
Inventec Corp. | 1,458,000 | 1,152,220 | ||||||
Lite-On Technology Corp. | 729,000 | 1,139,963 | ||||||
Samsung Electronics Co. Ltd. | 65,610 | 2,692,355 | ||||||
9,326,812 |
Investments | Shares | Value | ||||||
Textiles, Apparel & Luxury Goods – 0.4% | ||||||||
LVMH Moet Hennessy Louis Vuitton SE | 486 | $ | 187,615 | |||||
Pandora A/S(a) | 52,245 | 1,855,633 | ||||||
2,043,248 | ||||||||
Tobacco – 1.9% | ||||||||
Imperial Brands plc | 195,858 | 4,147,894 | ||||||
Japan Tobacco, Inc. | 243,000 | 4,577,767 | ||||||
8,725,661 | ||||||||
Trading Companies & Distributors – 1.3% | ||||||||
ITOCHU Corp.(a) | 194,400 | 3,863,094 | ||||||
Marubeni Corp. | 194,400 | 952,594 | ||||||
Sumitomo Corp. | 97,200 | 1,116,662 | ||||||
5,932,350 | ||||||||
Transportation Infrastructure – 1.1% | ||||||||
Aena SME SA* (b) | 24,057 | 3,043,382 | ||||||
Sydney Airport | 511,272 | 2,108,798 | ||||||
5,152,180 | ||||||||
Water Utilities – 0.8% | ||||||||
Aguas Andinas SA, Class A | 11,436,795 | 3,830,643 | ||||||
Wireless Telecommunication Services – 2.3% | ||||||||
NTT DOCOMO, Inc. | 191,600 | 5,640,406 | ||||||
Softbank Corp.(a) | 361,000 | 4,942,292 | ||||||
10,582,698 | ||||||||
Total Common Stocks (Cost $529,717,260) |
| 453,600,047 |
See Accompanying Notes to the Financial Statements.
258 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® International Quality Dividend Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
SECURITIES LENDING REINVESTMENTS(c) – 0.9% | ||||||||
REPURCHASE AGREEMENTS – 0.9% | ||||||||
Citigroup Global Markets, Inc., 0.02%, dated 4/30/2020, due 5/1/2020, repurchase price $2,249,415, collateralized by various U.S. Treasury Securities, ranging from 0.75% – 4.38%, maturing 8/15/2040 – 2/15/2046; total market value $2,266,594 | $ | 2,249,414 | $ | 2,249,414 | ||||
Societe Generale, 0.20%, dated 4/30/2020, due 5/1/2020, repurchase price $2,000,011, collateralized by various U.S. Treasury Securities, ranging from 1.13% – 2.88%, maturing 2/28/2021 – 2/15/2046; Common Stocks; total market value $2,173,161 | 2,000,000 | 2,000,000 | ||||||
4,249,414 | ||||||||
Total Securities Lending Reinvestments (Cost $4,249,414) |
| 4,249,414 | ||||||
Total Investments – 98.3% (Cost $533,966,674) |
| 457,849,461 | ||||||
Other Assets Less Liabilities – 1.7% |
| 7,730,689 | ||||||
NET ASSETS – 100.0% |
| $ | 465,580,150 |
* | Non-income producing security. |
(a) | The security or a portion of this security is on loan at April 30, 2020. The total value of securities on loan at April 30, 2020 was $42,045,598, collateralized in the form of cash with a value of $4,249,414 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Investments; $6,567,520 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% – 6.25%, and maturity dates ranging from May 15, 2020 – August 15, 2049 and $33,861,480 of collateral in the form of Foreign Government Fixed Income Securities, interest rates ranging from 0.00% – 6.50%, and maturity dates ranging from May 11, 2020 – September 20, 2117; a total value of $44,678,414. |
(b) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
(c) | The security was purchased with cash collateral held from securities on loan at April 30, 2020. The total value of securities purchased was $4,249,414. |
Percentages shown are based on Net Assets.
Abbreviations
CVA – Dutch Certification
NVDR – Non-Voting Depositary Receipt
OYJ – Public Limited Company
PJSC – Public Joint Stock Company
Preference – A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.
As of April 30, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 25,300,883 | ||
Aggregate gross unrealized depreciation | (101,761,771 | ) | ||
Net unrealized depreciation | $ | (76,460,888 | ) | |
Federal income tax cost | $ | 535,779,945 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 259 |
Table of Contents
FlexShares® International Quality Dividend Index Fund (cont.)
Futures Contracts
FlexShares® International Quality Dividend Index Fund had the following open futures contracts as of April 30, 2020:
Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value and Unrealized Appreciation* | ||||||||||||||||
Long Contracts |
| |||||||||||||||||||
EURO STOXX 50 Index | 102 | 06/19/2020 | EUR | $ | 3,225,374 | $ | 583,333 | |||||||||||||
FTSE 100 Index | 28 | 06/19/2020 | GBP | 2,078,453 | 293,264 | |||||||||||||||
Hang Seng Index | 2 | 05/28/2020 | HKD | 316,059 | 10,921 | |||||||||||||||
MSCI Emerging Markets E-Mini Index | 59 | 06/19/2020 | USD | 2,672,405 | 311,439 | |||||||||||||||
S&P/TSX 60 Index | 6 | 06/18/2020 | CAD | 767,371 | 81,513 | |||||||||||||||
SPI 200 Index | 11 | 06/18/2020 | AUD | 997,435 | 87,262 | |||||||||||||||
TOPIX Index | 15 | 06/11/2020 | JPY | 2,039,557 | 104,692 | |||||||||||||||
$ | 1,472,424 |
* | This amount represents the cumulative appreciation/depreciation on futures contracts. Current day’s variation margin is reported within the Statement of Assets and Liabilities for futures contracts. |
Forward Foreign Currency Contracts | ||||||||||||||||||||||
FlexShares® International Quality Dividend Index Fund had the following outstanding contracts as of April 30, 2020: | ||||||||||||||||||||||
Contracts to Receive | Counterparty | In Exchange For | Maturity Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
AUD | 906,155 | Morgan Stanley | USD | 556,066 | 06/17/2020 | $ | 37,278 | |||||||||||||||
CAD | 274,850 | Morgan Stanley | USD | 197,524 | 06/17/2020 | 389 | ||||||||||||||||
CHF | 193,801 | Toronto-Dominion Bank (The) | USD | 199,309 | 06/17/2020 | 1,747 | ||||||||||||||||
CZK | 10,100,239 | Morgan Stanley | USD | 395,278 | 06/17/2020 | 14,089 | ||||||||||||||||
EUR | 168,940 | Bank of New York | USD | 183,131 | 06/17/2020 | 2,080 | ||||||||||||||||
GBP | 1,267,560 | Citibank NA | USD | 1,540,479 | 06/17/2020 | 58,660 | ||||||||||||||||
GBP | 26,227 | Morgan Stanley | USD | 32,856 | 06/17/2020 | 232 | ||||||||||||||||
HKD | 408,045 | Citibank NA | USD | 52,520 | 06/17/2020 | 82 | ||||||||||||||||
JPY | 29,251,321 | Goldman Sachs & Co. | USD | 263,399 | 06/17/2020 | 10,326 | ||||||||||||||||
NOK | 3,305,492 | Goldman Sachs & Co. | USD | 300,977 | 06/17/2020 | 22,553 | ||||||||||||||||
PLN | 800,954 | Citibank NA | USD | 188,739 | 06/17/2020 | 4,619 | ||||||||||||||||
SEK | 1,759,673 | Citibank NA | USD | 174,371 | 06/17/2020 | 5,867 | ||||||||||||||||
USD | 589,825 | BNP Paribas SA | BRL* | 2,783,346 | 06/17/2020 | 77,442 | ||||||||||||||||
USD | 45,466 | Citibank NA | CHF | 43,013 | 06/17/2020 | 842 | ||||||||||||||||
USD | 333,366 | Goldman Sachs & Co. | CZK | 7,627,008 | 06/17/2020 | 24,241 | ||||||||||||||||
USD | 558,237 | Morgan Stanley | EUR | 500,000 | 06/17/2020 | 10,082 | ||||||||||||||||
USD | 442,365 | Toronto-Dominion Bank (The) | HKD | 3,430,859 | 06/17/2020 | 83 | ||||||||||||||||
USD | 97,523 | Toronto-Dominion Bank (The) | INR* | 7,340,681 | 06/17/2020 | 230 | ||||||||||||||||
USD | 1,627,733 | Morgan Stanley | JPY | 173,503,362 | 06/17/2020 | 4,141 | ||||||||||||||||
USD | 234,040 | Goldman Sachs & Co. | NOK | 2,341,532 | 06/17/2020 | 4,860 | ||||||||||||||||
USD | 635,958 | Citibank NA | TRY | 4,205,528 | 06/17/2020 | 40,770 | ||||||||||||||||
USD | 701,850 | JPMorgan Chase Bank | TRY | 4,470,515 | 06/17/2020 | 69,160 | ||||||||||||||||
USD | 171,947 | Goldman Sachs & Co. | ZAR | 3,043,773 | 06/17/2020 | 6,974 | ||||||||||||||||
Total unrealized appreciation |
| $ | 396,747 | |||||||||||||||||||
EUR | 2,126,484 | JPMorgan Chase Bank | USD | 2,374,694 | 06/17/2020 | $ | (43,408 | ) | ||||||||||||||
JPY | 200,000,000 | Citibank NA | USD | 1,921,019 | 06/17/2020 | (49,479 | ) |
See Accompanying Notes to the Financial Statements.
260 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® International Quality Dividend Index Fund (cont.)
Forward Foreign Currency Contracts (cont.)
Contracts to Receive | Counterparty | In Exchange For | Maturity Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
JPY | 17,390,186 | Toronto-Dominion Bank (The) | USD | 163,259 | 06/17/2020 | $ | (526 | ) | ||||||||||||||
KRW* | 53,370,285 | Goldman Sachs & Co. | USD | 44,982 | 06/17/2020 | (1,148 | ) | |||||||||||||||
RUB* | 38,148,601 | Goldman Sachs & Co. | USD | 520,181 | 06/17/2020 | (7,855 | ) | |||||||||||||||
SEK | 4,369,945 | Goldman Sachs & Co. | USD | 447,693 | 06/17/2020 | (93 | ) | |||||||||||||||
SGD | 17,194 | Citibank NA | USD | 12,350 | 06/17/2020 | (134 | ) | |||||||||||||||
TRY | 7,374,397 | Citibank NA | USD | 1,159,697 | 06/17/2020 | (116,035 | ) | |||||||||||||||
TWD* | 4,876,484 | Toronto-Dominion Bank (The) | USD | 164,353 | 06/17/2020 | (186 | ) | |||||||||||||||
USD | 315,935 | Toronto-Dominion Bank (The) | AUD | 540,032 | 06/17/2020 | (37,674 | ) | |||||||||||||||
USD | 582,650 | Toronto-Dominion Bank (The) | CHF | 571,596 | 06/17/2020 | (10,345 | ) | |||||||||||||||
USD | 315,428 | BNP Paribas SA | CZK | 8,127,800 | 06/17/2020 | (13,996 | ) | |||||||||||||||
USD | 257,320 | JPMorgan Chase Bank | EUR | 235,048 | 06/17/2020 | (366 | ) | |||||||||||||||
USD | 963,563 | Toronto-Dominion Bank (The) | EUR | 896,553 | 06/17/2020 | (19,337 | ) | |||||||||||||||
USD | 653,162 | Toronto-Dominion Bank (The) | GBP | 555,764 | 06/17/2020 | (47,984 | ) | |||||||||||||||
USD | 766,824 | Morgan Stanley | JPY | 82,568,589 | 06/17/2020 | (5,828 | ) | |||||||||||||||
USD | 345,765 | Toronto-Dominion Bank (The) | JPY | 38,264,620 | 06/17/2020 | (12,304 | ) | |||||||||||||||
USD | 219,395 | Toronto-Dominion Bank (The) | NOK | 2,563,208 | 06/17/2020 | (31,483 | ) | |||||||||||||||
USD | 106,063 | Morgan Stanley | NZD | 174,054 | 06/17/2020 | (1,288 | ) | |||||||||||||||
ZAR | 15,837 | Morgan Stanley | USD | 965 | 06/17/2020 | (106 | ) | |||||||||||||||
Total unrealized depreciation | $ | (399,575 | ) | |||||||||||||||||||
Net unrealized depreciation | $ | (2,828 | ) |
* | Non-deliverable forward. See Note 2 in the Notes to Financial Statements. |
Abbreviations:
AUD – Australian Dollar
BRL – Brazilian Real
CAD – Canadian Dollar
CHF – Swiss Franc
CZK – Czech Koruna
EUR – Euro
GBP – British Pound
HKD – Hong Kong Dollar
INR – Indian Rupee
JPY – Japanese Yen
KRW – Korean Won
NOK – Norwegian Krone
NZD – New Zealand Dollar
PLN – Polish Zloty
RUB – Russian Ruble
SEK – Swedish Krona
SGD – Singapore Dollar
TRY – Turkish Lira
TWD – Taiwan Dollar
USD – US Dollar
ZAR – South African Rand
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 261 |
Table of Contents
FlexShares® International Quality Dividend Index Fund (cont.)
FlexShares® International Quality Dividend Index Fund invested, as a percentage of net assets, in companies domiciled in the following countries as of April 30, 2020:
Australia | 5.5 | % | ||
Belgium | 1.1 | |||
Brazil | 1.1 | |||
Canada | 4.5 | |||
Chile | 0.8 | |||
China | 6.6 | |||
Czech Republic | 0.8 | |||
Denmark | 0.9 | |||
Finland | 3.6 | |||
France | 4.6 | |||
Germany | 2.9 | |||
Hong Kong | 1.8 | |||
India | 1.2 | |||
Indonesia | 0.6 | |||
Italy | 1.6 | |||
Japan | 14.8 | |||
Mexico | 0.2 | |||
Netherlands | 1.0 | |||
New Zealand | 0.9 | |||
Norway | 3.2 | |||
Poland | 0.5 | |||
Russia | 3.7 | |||
Singapore | 1.1 | |||
South Africa | 2.4 | |||
South Korea | 0.6 | |||
Spain | 2.7 | |||
Sweden | 2.6 | |||
Switzerland | 5.9 | |||
Taiwan | 6.3 | |||
Thailand | 0.6 | |||
Turkey | 2.0 | |||
United Kingdom | 11.3 | |||
Other1 | 2.6 | |||
100.0 | % |
1 | Includes any non-equity securities, securities lending reinvestments and net other assets (liabilities). |
See Accompanying Notes to the Financial Statements.
262 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Schedule of Investments
FlexShares® International Quality Dividend Defensive Index Fund
April 30, 2020 (Unaudited)
Investments | Shares | Value | ||||||
COMMON STOCKS – 97.6% | ||||||||
Airlines – 0.8% | ||||||||
Deutsche Lufthansa AG (Registered)* | 10,506 | $ | 93,876 | |||||
International Consolidated Airlines Group SA | 16,218 | 45,393 | ||||||
Japan Airlines Co. Ltd. | 18,600 | 337,439 | ||||||
476,708 | ||||||||
Auto Components – 1.5% | ||||||||
Bridgestone Corp. | 15,700 | 495,952 | ||||||
Nokian Renkaat OYJ(a) | 20,468 | 437,947 | ||||||
933,899 | ||||||||
Automobiles – 1.2% | ||||||||
Subaru Corp. | 8,000 | 162,715 | ||||||
Tofas Turk Otomobil Fabrikasi A/S | 132,124 | 422,298 | ||||||
Toyota Motor Corp. | 2,700 | 168,310 | ||||||
753,323 | ||||||||
Banks – 11.2% | ||||||||
ABN AMRO Bank NV, CVA(b) | 6,188 | 47,444 | ||||||
Australia & New Zealand Banking Group Ltd. | 23,154 | 256,186 | ||||||
Bank Leumi Le-Israel BM | 83,776 | 455,942 | ||||||
Bank of China Ltd., Class H | 646,000 | 247,489 | ||||||
Bank of Communications Co. Ltd., Class H | 170,000 | 107,890 | ||||||
China Minsheng Banking Corp. Ltd., Class H(a) | 221,000 | 165,343 | ||||||
Commonwealth Bank of Australia | 5,576 | 228,857 | ||||||
Danske Bank A/S* | 14,246 | 169,011 | ||||||
DNB ASA | 23,528 | 285,940 | ||||||
Grupo Financiero Banorte SAB de CV, Class O(a) | 102,000 | 282,353 | ||||||
Hang Seng Bank Ltd.(a) | 30,600 | 538,791 | ||||||
KBC Group NV | 8,398 | 453,294 | ||||||
Malayan Banking Bhd. | 51,000 | 89,784 | ||||||
National Bank of Canada | 9,656 | 390,286 | ||||||
Royal Bank of Canada | 23,052 | 1,421,176 | ||||||
Sberbank of Russia PJSC | 188,360 | 502,429 | ||||||
Skandinaviska Enskilda Banken AB, Class A | 58,344 | 479,908 |
Investments | Shares | Value | ||||||
Banks – (continued) | ||||||||
Swedbank AB, Class A | 37,128 | $ | 438,517 | |||||
Toronto-Dominion Bank (The) | 986 | 41,287 | ||||||
Westpac Banking Corp. | 29,852 | 318,178 | ||||||
6,920,105 | ||||||||
Beverages – 0.7% | ||||||||
Coca-Cola Amatil Ltd. | 75,786 | 430,676 | ||||||
Capital Markets – 0.5% | ||||||||
Natixis SA | 23,834 | 56,414 | ||||||
Singapore Exchange Ltd. | 40,800 | 279,690 | ||||||
336,104 | ||||||||
Chemicals – 0.9% | ||||||||
Sinopec Shanghai Petrochemical Co. Ltd., Class H | 2,108,000 | 579,184 | ||||||
Construction & Engineering – 0.4% | ||||||||
ACS Actividades de Construccion y Servicios SA(a) | 5,644 | 140,761 | ||||||
CIMIC Group Ltd. | 7,446 | 120,118 | ||||||
260,879 | ||||||||
Construction Materials – 0.3% | ||||||||
Ssangyong Cement Industrial Co. Ltd. | 38,862 | 163,300 | ||||||
Diversified Financial Services – 1.4% | ||||||||
Banca Mediolanum SpA | 16,762 | 102,262 | ||||||
Power Finance Corp. Ltd. | 321,878 | 408,911 | ||||||
REC Ltd. | 287,844 | 366,249 | ||||||
877,422 | ||||||||
Diversified Telecommunication Services – 3.9% | ||||||||
BCE, Inc. | 3,672 | 148,815 | ||||||
BT Group plc | 107,712 | 157,669 | ||||||
HKT Trust & HKT Ltd. | 102,000 | 163,940 | ||||||
Nippon Telegraph & Telephone Corp. | 8,200 | 187,334 | ||||||
O2 Czech Republic A/S* | 57,766 | 506,824 | ||||||
Proximus SADP | 5,304 | 113,110 | ||||||
Spark New Zealand Ltd. | 202,538 | 554,804 | ||||||
Telefonica Deutschland Holding AG | 58,446 | 166,121 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 263 |
Table of Contents
FlexShares® International Quality Dividend Defensive Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Diversified Telecommunication Services – (continued) | ||||||||
Telenor ASA | 28,390 | $ | 436,842 | |||||
2,435,459 | ||||||||
Electric Utilities – 2.9% | ||||||||
Emera, Inc.(a) | 374 | 14,920 | ||||||
Endesa SA | 7,004 | 155,348 | ||||||
Enel SpA | 72,454 | 494,882 | ||||||
Fortis, Inc. | 3,479 | 135,107 | ||||||
Red Electrica Corp. SA | 29,716 | 522,557 | ||||||
SSE plc | 30,498 | 480,858 | ||||||
1,803,672 | ||||||||
Electrical Equipment – 0.1% | ||||||||
Signify NV(b) | 2,176 | 44,366 | ||||||
Electronic Equipment, Instruments & Components – 1.3% | ||||||||
Walsin Technology Corp. | 20,000 | 143,258 | ||||||
WPG Holdings Ltd. | 136,000 | 178,138 | ||||||
Yageo Corp. | 38,000 | 499,656 | ||||||
821,052 | ||||||||
Equity Real Estate Investment Trusts (REITs) – 2.6% | ||||||||
Covivio(a) | 1,122 | 70,233 | ||||||
Growthpoint Properties Ltd. | 67,184 | 50,960 | ||||||
H&R REIT(a) | 8,942 | 63,478 | ||||||
Hui Xian REIT | 306,000 | 98,498 | ||||||
Klepierre SA | 4,522 | 91,407 | ||||||
Link REIT | 45,000 | 404,006 | ||||||
Resilient REIT Ltd. | 135,286 | 265,121 | ||||||
RioCan REIT(a) | 7,786 | 89,130 | ||||||
Scentre Group | 84,796 | 129,352 | ||||||
United Urban Investment Corp. | 238 | 242,151 | ||||||
Vicinity Centres | 111,656 | 108,921 | ||||||
1,613,257 | ||||||||
Food & Staples Retailing – 0.6% | ||||||||
Casino Guichard Perrachon SA(a) | 4,114 | 154,243 | ||||||
Wm Morrison Supermarkets plc | 80,410 | 185,608 | ||||||
339,851 | ||||||||
Food Products – 4.1% | ||||||||
Nestle SA (Registered) | 17,578 | 1,855,876 | ||||||
Salmar ASA | 11,832 | 463,112 |
Investments | Shares | Value | ||||||
Food Products – (continued) | ||||||||
Uni-President Enterprises Corp. | 83,000 | $ | 193,987 | |||||
2,512,975 | ||||||||
Gas Utilities – 1.7% | ||||||||
Enagas SA | 22,440 | 523,277 | ||||||
Naturgy Energy Group SA(a) | 22,202 | 391,760 | ||||||
Snam SpA | 37,264 | 166,853 | ||||||
1,081,890 | ||||||||
Health Care Providers & Services – 0.2% | ||||||||
Netcare Ltd. | 158,882 | 134,096 | ||||||
Hotels, Restaurants & Leisure – 1.7% | ||||||||
Crown Resorts Ltd. | 18,836 | 121,963 | ||||||
OPAP SA | 44,710 | 401,561 | ||||||
Sands China Ltd. | 122,400 | 503,661 | ||||||
1,027,185 | ||||||||
Household Durables – 1.6% | ||||||||
Coway Co. Ltd. | 3,400 | 171,333 | ||||||
Persimmon plc | 15,062 | 418,916 | ||||||
Taylor Wimpey plc | 207,196 | 384,310 | ||||||
974,559 | ||||||||
Industrial Conglomerates – 1.4% | ||||||||
Alfa SAB de CV, Class A(a) | 853,400 | 353,403 | ||||||
Siemens AG (Registered) | 5,780 | 536,095 | ||||||
889,498 | ||||||||
Insurance – 7.3% | ||||||||
Admiral Group plc | 7,922 | 232,823 | ||||||
AIA Group Ltd. | 6,800 | 63,111 | ||||||
Allianz SE (Registered) | 1,326 | 245,276 | ||||||
Assicurazioni Generali SpA | 14,348 | 204,535 | ||||||
Aviva plc | 54,196 | 165,295 | ||||||
BB Seguridade Participacoes SA | 78,200 | 383,539 | ||||||
Direct Line Insurance Group plc | 126,174 | 433,683 | ||||||
Legal & General Group plc | 69,360 | 178,999 | ||||||
MS&AD Insurance Group Holdings, Inc. | 18,000 | 525,515 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | 2,516 | 553,360 | ||||||
Powszechny Zaklad Ubezpieczen SA | 56,576 | 413,682 |
See Accompanying Notes to the Financial Statements.
264 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® International Quality Dividend Defensive Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Insurance – (continued) | ||||||||
Sampo OYJ, Class A | 4,420 | $ | 146,399 | |||||
SCOR SE | 1,190 | 33,497 | ||||||
Tokio Marine Holdings, Inc. | 6,800 | 323,419 | ||||||
UnipolSai Assicurazioni SpA(a) | 70,754 | 173,903 | ||||||
Zurich Insurance Group AG | 1,496 | 476,321 | ||||||
4,553,357 | ||||||||
Interactive Media & Services – 1.1% | ||||||||
Tencent Holdings Ltd. | 12,200 | 656,240 | ||||||
IT Services – 1.4% | ||||||||
Edenred | 782 | 31,495 | ||||||
Itochu Techno-Solutions Corp. | 13,600 | 419,694 | ||||||
Otsuka Corp. | 9,000 | 407,771 | ||||||
858,960 | ||||||||
Machinery – 1.9% | ||||||||
Kone OYJ, Class B | 10,438 | 632,459 | ||||||
Sinotruk Hong Kong Ltd. | 153,000 | 308,276 | ||||||
Zoomlion Heavy Industry Science and Technology Co. Ltd., Class H(a) | 326,400 | 262,725 | ||||||
1,203,460 | ||||||||
Media – 1.4% | ||||||||
Eutelsat Communications SA | 42,194 | 473,243 | ||||||
Publicis Groupe SA | 13,022 | 386,955 | ||||||
860,198 | ||||||||
Metals & Mining – 6.0% | ||||||||
Alumina Ltd. | 404,294 | 459,239 | ||||||
Assore Ltd. | 9,928 | 170,849 | ||||||
Eregli Demir ve Celik Fabrikalari TAS | 375,632 | 434,775 | ||||||
Evraz plc | 112,778 | 377,254 | ||||||
Kumba Iron Ore Ltd. | 24,038 | 461,663 | ||||||
Magnitogorsk Iron & Steel Works PJSC | 789,484 | 429,820 | ||||||
Novolipetsk Steel PJSC | 270,308 | 469,127 | ||||||
Rio Tinto plc | 15,266 | 709,479 | ||||||
Severstal PAO | 15,606 | 187,739 | ||||||
Severstal PAO, GDR(b) | 238 | 2,842 | ||||||
3,702,787 |
Investments | Shares | Value | ||||||
Multiline Retail – 0.7% | ||||||||
Marks & Spencer Group plc | 74,698 | $ | 86,777 | |||||
Wesfarmers Ltd. | 13,430 | 331,394 | ||||||
418,171 | ||||||||
Multi-Utilities – 0.2% | ||||||||
Centrica plc | 182,036 | 91,615 | ||||||
Oil, Gas & Consumable Fuels – 7.3% | ||||||||
Aker BP ASA | 68 | 1,132 | ||||||
BP plc | 170,136 | 671,916 | ||||||
Bukit Asam Tbk. PT | 2,978,400 | 375,429 | ||||||
China Petroleum & Chemical Corp., Class H | 340,000 | 171,922 | ||||||
China Shenhua Energy Co. Ltd., Class H | 306,000 | 547,080 | ||||||
Eni SpA | 4,726 | 45,107 | ||||||
Equinor ASA | 32,912 | 461,980 | ||||||
Exxaro Resources Ltd.(a) | 69,156 | 405,974 | ||||||
Inter Pipeline Ltd.(a) | 9,180 | 76,932 | ||||||
Neste OYJ | 15,538 | 550,217 | ||||||
Royal Dutch Shell plc, Class A | 24,140 | 403,449 | ||||||
Royal Dutch Shell plc, Class B | 1,768 | 28,688 | ||||||
Tatneft PJSC | 55,012 | 409,156 | ||||||
Tatneft PJSC (Preference) | 48,620 | 338,012 | ||||||
Yanzhou Coal Mining Co. Ltd., Class H(a) | 44,000 | 33,373 | ||||||
4,520,367 | ||||||||
Personal Products – 1.2% | ||||||||
L’Oreal SA | 2,618 | 760,747 | ||||||
Pharmaceuticals – 8.3% | ||||||||
Astellas Pharma, Inc. | 40,800 | 681,622 | ||||||
GlaxoSmithKline plc | 84,728 | 1,775,138 | ||||||
H Lundbeck A/S | 3,536 | 128,810 | ||||||
Novartis AG (Registered) | 7,616 | 649,114 | ||||||
Novo Nordisk A/S, Class B | 340 | 21,681 | ||||||
Orion OYJ, Class B | 12,410 | 630,428 | ||||||
Roche Holding AG | 3,706 | 1,288,067 | ||||||
5,174,860 | ||||||||
Professional Services – 0.6% | ||||||||
Thomson Reuters Corp. | 5,100 | 360,097 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 265 |
Table of Contents
FlexShares® International Quality Dividend Defensive Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Real Estate Management & Development – 1.6% | ||||||||
Agile Group Holdings Ltd. | 136,000 | $ | 153,327 | |||||
Daito Trust Construction Co. Ltd. | 4,800 | 463,010 | ||||||
Land & Houses PCL, NVDR | 1,594,600 | 364,705 | ||||||
981,042 | ||||||||
Road & Rail – 0.8% | ||||||||
Aurizon Holdings Ltd. | 166,022 | 509,778 | ||||||
Semiconductors & Semiconductor Equipment – 1.9% | ||||||||
ASML Holding NV | 170 | 50,396 | ||||||
Nanya Technology Corp. | 68,000 | 148,639 | ||||||
Novatek Microelectronics Corp.* | 80,000 | 501,740 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 49,000 | 501,757 | ||||||
1,202,532 | ||||||||
Software – 1.0% | ||||||||
SAP SE | 680 | 81,139 | ||||||
Trend Micro, Inc. | 10,900 | 557,563 | ||||||
638,702 | ||||||||
Specialty Retail – 1.1% | ||||||||
Hennes & Mauritz AB, Class B(a) | 29,172 | 406,793 | ||||||
Petrobras Distribuidora SA* | 74,800 | 269,862 | ||||||
676,655 | ||||||||
Technology Hardware, Storage & Peripherals – 2.6% | ||||||||
Asustek Computer, Inc. | 21,000 | 143,006 | ||||||
Canon, Inc. | 10,200 | 217,907 | ||||||
Compal Electronics, Inc.* | 204,000 | 131,031 | ||||||
Inventec Corp. | 204,000 | 161,216 | ||||||
Lite-On Technology Corp. | 374,000 | 584,837 | ||||||
Samsung Electronics Co. Ltd. | 8,432 | 346,013 | ||||||
1,584,010 | ||||||||
Textiles, Apparel & Luxury Goods – 1.0% | ||||||||
Formosa Taffeta Co. Ltd. | 102,000 | 116,796 | ||||||
LVMH Moet Hennessy Louis Vuitton SE(a) | 170 | 65,626 | ||||||
Pandora A/S(a) | 11,492 | 408,172 | ||||||
590,594 |
Investments | Shares | Value | ||||||
Tobacco – 1.8% | ||||||||
Imperial Brands plc | 24,956 | $ | 528,520 | |||||
Japan Tobacco, Inc. | 31,600 | 595,298 | ||||||
1,123,818 | ||||||||
Trading Companies & Distributors – 1.5% | ||||||||
ITOCHU Corp.(a) | 28,700 | 570,323 | ||||||
Mitsubishi Corp. | 10,200 | 219,385 | ||||||
Sumitomo Corp. | 13,600 | 156,241 | ||||||
945,949 | ||||||||
Transportation Infrastructure – 1.3% | ||||||||
ALEATICA SAB de CV(a) | 98,600 | 77,501 | ||||||
Atlantia SpA | 2,890 | 47,022 | ||||||
China Merchants Port Holdings Co. Ltd. | 102,000 | 131,573 | ||||||
Jiangsu Expressway Co. Ltd., Class H | 78,000 | 93,069 | ||||||
Sydney Airport | 106,318 | 438,520 | ||||||
787,685 | ||||||||
Water Utilities – 0.8% | ||||||||
Aguas Andinas SA, Class A | 1,489,404 | 498,861 | ||||||
Wireless Telecommunication Services – 3.8% | ||||||||
China Mobile Ltd. | 11,500 | 92,640 | ||||||
KDDI Corp. | 29,700 | 863,490 | ||||||
NTT DOCOMO, Inc. | 24,400 | 718,298 | ||||||
PLDT, Inc. | 2,210 | 56,949 | ||||||
Softbank Corp.(a) | 47,600 | 651,670 | ||||||
2,383,047 | ||||||||
Total Common Stocks (Cost $68,675,745) |
| 60,492,992 |
See Accompanying Notes to the Financial Statements.
266 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® International Quality Dividend Defensive Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
SECURITIES LENDING REINVESTMENTS(c) – 1.5% | ||||||||
REPURCHASE AGREEMENTS – 1.5% | ||||||||
Citigroup Global Markets, Inc., 0.02%, dated 4/30/2020, due 5/1/2020, repurchase price $757,495, collateralized by various U.S. Treasury Securities, ranging from 0.75% – 4.38%, maturing 8/15/2040 – 2/15/2046; total market value $763,280 | $ | 757,495 | $ | 757,495 | ||||
NBC Global Finance Ltd., 0.21%, dated 4/30/2020, due 5/1/2020, repurchase price $200,001, collateralized by various U.S. Treasury Securities, 2.88%, maturing 8/15/2028; Common Stocks; total market value $219,774 | 200,000 | 200,000 | ||||||
957,495 | ||||||||
Total Securities Lending Reinvestments (Cost $957,495) |
| 957,495 | ||||||
Total Investments – 99.1% (Cost $69,633,240) |
| 61,450,487 | ||||||
Other Assets Less Liabilities – 0.9% |
| 551,074 | ||||||
NET ASSETS – 100.0% | $ | 62,001,561 |
* | Non-income producing security. |
(a) | The security or a portion of this security is on loan at April 30, 2020. The total value of securities on loan at April 30, 2020 was $4,648,657, collateralized in the form of cash with a value of $957,495 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Investments; $776,181 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% – 6.25%, and maturity dates ranging from May 15, 2020 – February 15, 2049 and $3,255,527 of collateral in the form of Foreign Government Fixed Income Securities, interest rates ranging from 0.00% – 6.50%, and maturity dates ranging from May 11, 2020 – September 20, 2117; a total value of $4,989,203. |
(b) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
(c) | The security was purchased with cash collateral held from securities on loan at April 30, 2020. The total value of securities purchased was $957,495. |
Percentages shown are based on Net Assets.
Abbreviations
CVA – Dutch Certification
GDR – Global Depositary Receipt
NVDR – Non-Voting Depositary Receipt
OYJ – Public Limited Company
PJSC – Public Joint Stock Company
Preference – A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.
As of April 30, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 3,612,246 | ||
Aggregate gross unrealized depreciation | (12,037,486 | ) | ||
Net unrealized depreciation | $ | (8,425,240 | ) | |
Federal income tax cost | $ | 70,034,667 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 267 |
Table of Contents
FlexShares® International Quality Dividend Defensive Index Fund (cont.)
Futures Contracts
FlexShares® International Quality Dividend Defensive Index Fund had the following open futures contracts as of April 30, 2020:
Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value and Unrealized | ||||||||||||||||
Long Contracts |
| |||||||||||||||||||
MSCI EAFE E-Mini Index | 14 | 06/19/2020 | USD | $ | 1,146,810 | $ | 129,599 | |||||||||||||
MSCI Emerging Markets E-Mini Index | 8 | 06/19/2020 | USD | 362,360 | 29,513 | |||||||||||||||
$ | 159,112 |
* | This amount represents the cumulative appreciation/depreciation on futures contracts. Current day’s variation margin is reported within the Statement of Assets and Liabilities for futures contracts. |
Forward Foreign Currency Contracts | ||||||||||||||||||||||
FlexShares® International Quality Dividend Defensive Index Fund had the following outstanding contracts as of April 30, 2020: | ||||||||||||||||||||||
Contracts to Receive | Counterparty | In Exchange For | Maturity Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
USD | 21,191 | BNP Paribas SA | BRL* | 100,000 | 06/17/2020 | $ | 2,782 | |||||||||||||||
Total unrealized appreciation | $ | 2,782 | ||||||||||||||||||||
NOK | 59,477 | Goldman Sachs & Co. | USD | 5,945 | 06/17/2020 | $ | (124 | ) | ||||||||||||||
USD | 66,161 | Morgan Stanley | AUD | 105,364 | 06/17/2020 | (2,830 | ) | |||||||||||||||
Total unrealized depreciation | $ | (2,954 | ) | |||||||||||||||||||
Net unrealized depreciation | $ | (172 | ) |
* | Non-deliverable forward. See Note 2 in the Notes to Financial Statements. |
Abbreviations:
AUD – Australian Dollar
BRL – Brazilian Real
NOK – Norwegian Krone
USD – US Dollar
See Accompanying Notes to the Financial Statements.
268 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® International Quality Dividend Defensive Index Fund (cont.)
FlexShares® International Quality Dividend Defensive Index Fund invested, as a percentage of net assets, in companies domiciled in the following countries as of April 30, 2020:
Australia | 5.6 | % | ||
Belgium | 0.9 | |||
Brazil | 1.1 | |||
Canada | 4.4 | |||
Chile | 0.8 | |||
China | 5.9 | |||
Czech Republic | 0.8 | |||
Denmark | 1.2 | |||
Finland | 3.9 | |||
France | 3.4 | |||
Germany | 2.7 | |||
Greece | 0.6 | |||
Hong Kong | 2.7 | |||
India | 1.2 | |||
Indonesia | 0.6 | |||
Israel | 0.7 | |||
Italy | 2.0 | |||
Japan | 14.5 | |||
Malaysia | 0.1 | |||
Mexico | 1.1 | |||
Netherlands | 0.2 | |||
New Zealand | 0.9 | |||
Norway | 2.7 | |||
Philippines | 0.1 | |||
Poland | 0.7 | |||
Russia | 3.8 | |||
Singapore | 0.5 | |||
South Africa | 2.4 | |||
South Korea | 1.1 | |||
Spain | 2.8 | |||
Sweden | 2.1 | |||
Switzerland | 6.9 | |||
Taiwan | 5.3 | |||
Thailand | 0.6 | |||
Turkey | 1.4 | |||
United Kingdom | 11.9 | |||
Other1 | 2.4 | |||
100.0 | % |
1 | Includes any non-equity securities, securities lending reinvestments and net other assets (liabilities). |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 269 |
Table of Contents
Schedule of Investments
FlexShares® International Quality Dividend Dynamic Index Fund
April 30, 2020 (Unaudited)
Investments | Shares | Value | ||||||
COMMON ST OCKS – 98.0% | ||||||||
Airlines – 0.4% | ||||||||
International Consolidated Airlines Group SA | 26,900 | $ | 75,291 | |||||
Auto Components – 2.4% | ||||||||
Fuyao Glass Industry Group Co. Ltd., Class H(a) | 60,000 | 132,347 | ||||||
Koito Manufacturing Co. Ltd. | 4,700 | 179,764 | ||||||
Nokian Renkaat OYJ(b) | 6,880 | 147,209 | ||||||
Xinyi Glass Holdings Ltd. | 40,000 | 46,489 | ||||||
505,809 | ||||||||
Automobiles – 2.1% | ||||||||
Fiat Chrysler Automobiles NV | 15,790 | 138,635 | ||||||
Geely Automobile Holdings Ltd. | 50,000 | 78,170 | ||||||
Peugeot SA | 5,540 | 79,338 | ||||||
Tofas Turk Otomobil Fabrikasi A/S | 44,800 | 143,191 | ||||||
439,334 | ||||||||
Banks – 11.0% | ||||||||
Agricultural Bank of China Ltd., Class H | 140,000 | 58,873 | ||||||
China Construction Bank Corp., Class H | 280,000 | 228,266 | ||||||
China Merchants Bank Co. Ltd., Class H | 40,000 | 191,684 | ||||||
Danske Bank A/S* | 4,470 | 53,031 | ||||||
DBS Group Holdings Ltd. | 12,000 | 170,150 | ||||||
DNB ASA | 11,220 | 136,359 | ||||||
Erste Group Bank AG | 5,370 | 116,606 | ||||||
Hang Seng Bank Ltd.(b) | 10,000 | 176,076 | ||||||
ING Groep NV | 9,130 | 50,080 | ||||||
KBC Group NV | 2,880 | 155,452 | ||||||
National Bank of Canada | 2,010 | 81,242 | ||||||
Royal Bank of Canada | 8,380 | 516,634 | ||||||
Skandinaviska Enskilda Banken AB, Class A | 20,670 | 170,021 | ||||||
Standard Bank Group Ltd.(b) | 14,800 | 82,305 | ||||||
Swedbank AB, Class A | 8,070 | 95,314 | ||||||
VTB Bank PJSC | 96,824,899 | 45,696 | ||||||
2,327,789 |
Investments | Shares | Value | ||||||
Beverages – 0.5% | ||||||||
Ambev SA* | 52,000 | $ | 108,932 | |||||
Building Products – 0.1% | ||||||||
Daikin Industries Ltd. | 200 | 26,194 | ||||||
Capital Markets – 1.4% | ||||||||
Macquarie Group Ltd. | 2,360 | 158,619 | ||||||
St James’s Place plc | 13,140 | 141,112 | ||||||
299,731 | ||||||||
Chemicals – 2.5% | ||||||||
Covestro AG(a) | 4,680 | 157,266 | ||||||
Showa Denko KK(b) | 8,000 | 177,678 | ||||||
Sinopec Shanghai Petrochemical Co. Ltd., Class H | 720,000 | 197,824 | ||||||
532,768 | ||||||||
Construction & Engineering – 0.2% | ||||||||
ACS Actividades de Construccion y Servicios SA(b) | 1,520 | 37,909 | ||||||
Construction Materials – 0.8% | ||||||||
China Resources Cement Holdings Ltd. | 120,000 | 162,531 | ||||||
Diversified Financial Services – 0.6% | ||||||||
EXOR NV | 2,470 | 134,972 | ||||||
Diversified Telecommunication Services – 1.9% | ||||||||
O2 Czech Republic A/S* | 19,320 | 169,509 | ||||||
Telefonica Deutschland Holding AG | 9,090 | 25,836 | ||||||
Telefonica SA | 13,920 | 63,731 | ||||||
Telenor ASA | 9,320 | 143,408 | ||||||
402,484 | ||||||||
Electric Utilities – 0.6% | ||||||||
Federal Grid Co. Unified Energy System PJSC | 54,924,781 | 136,323 | ||||||
Electrical Equipment – 2.2% | ||||||||
Fuji Electric Co. Ltd. | 6,000 | 145,546 | ||||||
Mitsubishi Electric Corp. | 16,000 | 200,570 | ||||||
Signify NV(a) | 6,050 | 123,354 | ||||||
469,470 |
See Accompanying Notes to the Financial Statements.
270 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® International Quality Dividend Dynamic Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON ST OCKS – (continued) | ||||||||
Electronic Equipment, Instruments & Components – 2.0% | ||||||||
Omron Corp. | 3,300 | $ | 196,269 | |||||
Walsin Technology Corp. | 7,000 | 50,140 | ||||||
Yageo Corp. | 13,000 | 170,935 | ||||||
417,344 | ||||||||
Entertainment – 1.2% | ||||||||
Nintendo Co. Ltd. | 600 | 250,526 | ||||||
Equity Real Estate Investment Trusts (REITs) – 0.3% | ||||||||
Resilient REIT Ltd. | 26,580 | 52,089 | ||||||
RioCan REIT(b) | 630 | 7,212 | ||||||
59,301 | ||||||||
Food Products – 2.8% | ||||||||
Danone SA | 290 | 20,094 | ||||||
Nestle SA (Registered) | 3,010 | 317,794 | ||||||
Salmar ASA | 1,930 | 75,542 | ||||||
Want Want China Holdings Ltd.(b) | 240,000 | 172,128 | ||||||
585,558 | ||||||||
Gas Utilities – 1.4% | ||||||||
Enagas SA | 7,320 | 170,695 | ||||||
Naturgy Energy Group SA(b) | 7,660 | 135,163 | ||||||
305,858 | ||||||||
Health Care Equipment & Supplies – 1.0% | ||||||||
Hoya Corp. | 2,400 | 221,428 | ||||||
Hotels, Restaurants & Leisure – 3.0% | ||||||||
Accor SA(b) | 4,770 | 132,286 | ||||||
Genting Singapore Ltd. | 310,000 | 172,871 | ||||||
Sands China Ltd. | 40,000 | 164,595 | ||||||
Wynn Macau Ltd. | 88,000 | 154,379 | ||||||
624,131 | ||||||||
Household Durables – 0.7% | ||||||||
Persimmon plc | 5,020 | 139,620 | ||||||
Insurance – 7.4% | ||||||||
Allianz SE (Registered) | 2,130 | 393,995 | ||||||
Aviva plc | 36,520 | 111,384 | ||||||
BB Seguridade Participacoes SA | 9,000 | 44,141 | ||||||
Direct Line Insurance Group plc | 45,250 | 155,532 |
Investments | Shares | Value | ||||||
Insurance – (continued) | ||||||||
Legal & General Group plc | 20,810 | $ | 53,705 | |||||
Old Mutual Ltd. | 96,420 | 70,458 | ||||||
Ping An Insurance Group Co. of China Ltd., Class H(b) | 10,000 | 102,808 | ||||||
Poste Italiane SpA(a) | 3,830 | 32,520 | ||||||
Powszechny Zaklad Ubezpieczen SA | 19,010 | 139,001 | ||||||
Prudential plc | 8,360 | 118,999 | ||||||
Tokio Marine Holdings, Inc. | 4,000 | 190,246 | ||||||
Zurich Insurance Group AG | 470 | 149,646 | ||||||
1,562,435 | ||||||||
Interactive Media & Services – 0.8% | ||||||||
Tencent Holdings Ltd. | 3,000 | 161,371 | ||||||
IT Services – 0.9% | ||||||||
Nomura Research Institute Ltd. | 8,000 | 197,054 | ||||||
Machinery – 4.3% | ||||||||
Atlas Copco AB, Class A(b) | 7,130 | 247,687 | ||||||
Atlas Copco AB, Class B | 4,590 | 143,473 | ||||||
MINEBEA MITSUMI, Inc. | 10,000 | 165,895 | ||||||
NSK Ltd. | 7,000 | 48,964 | ||||||
Sandvik AB* | 2,530 | 39,191 | ||||||
Sinotruk Hong Kong Ltd. | 95,000 | 191,413 | ||||||
SKF AB, Class B | 3,790 | 60,359 | ||||||
Weichai Power Co. Ltd., Class H(b) | 10,000 | 17,492 | ||||||
914,474 | ||||||||
Media – 1.9% | ||||||||
Eutelsat Communications SA | 14,130 | 158,480 | ||||||
ITV plc | 112,970 | 109,009 | ||||||
Publicis Groupe SA | 4,600 | 136,691 | ||||||
404,180 | ||||||||
Metals & Mining – 5.5% | ||||||||
Alumina Ltd.(b) | 136,470 | 155,017 | ||||||
BHP Group plc | 3,520 | 59,327 | ||||||
Eregli Demir ve Celik Fabrikalari TAS | 130,530 | 151,082 | ||||||
Evraz plc | 39,710 | 132,834 | ||||||
Kumba Iron Ore Ltd. | 8,150 | 156,525 | ||||||
Novolipetsk Steel PJSC | 89,603 | 155,508 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 271 |
Table of Contents
FlexShares® International Quality Dividend Dynamic Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON ST OCKS – (continued) | ||||||||
Metals & Mining – (continued) | ||||||||
Rio Tinto plc | 4,430 | $ | 205,882 | |||||
Severstal PAO | 12,110 | 145,683 | ||||||
1,161,858 | ||||||||
Multi-Utilities – 0.8% | ||||||||
AGL Energy Ltd.(b) | 14,360 | 159,449 | ||||||
Oil, Gas & Consumable Fuels – 6.8% | ||||||||
Aker BP ASA | 7,100 | 118,176 | ||||||
BP plc | 580 | 2,291 | ||||||
Bukit Asam Tbk. PT | 1,110,000 | 139,916 | ||||||
Canadian Natural Resources Ltd.(b) | 8,080 | 135,602 | ||||||
China Petroleum & Chemical Corp., Class H | 100,000 | 50,565 | ||||||
China Shenhua Energy Co. Ltd., Class H | 75,000 | 134,088 | ||||||
CNOOC Ltd. | 150,000 | 170,078 | ||||||
Equinor ASA | 12,090 | 169,705 | ||||||
Exxaro Resources Ltd. | 4,150 | 24,362 | ||||||
OMV AG | 3,320 | 108,728 | ||||||
Suncor Energy, Inc. | 4,460 | 79,699 | ||||||
Tatneft PJSC | 17,710 | 131,720 | ||||||
Tatneft PJSC (Preference) | 17,580 | 122,218 | ||||||
Yanzhou Coal Mining Co. Ltd., Class H | 60,000 | 45,509 | ||||||
1,432,657 | ||||||||
Paper & Forest Products – 0.4% | ||||||||
UPM-Kymmene OYJ | 3,140 | 86,875 | ||||||
Personal Products – 2.0% | ||||||||
L’Oreal SA | 1,460 | 424,251 | ||||||
Pharmaceuticals – 7.8% | ||||||||
Astellas Pharma, Inc. | 13,700 | 228,878 | ||||||
GlaxoSmithKline plc | 28,950 | 606,532 | ||||||
Novartis AG (Registered) | 3,380 | 288,078 | ||||||
Orion OYJ, Class B | 4,470 | 227,076 | ||||||
Roche Holding AG | 620 | 215,489 | ||||||
Roche Holding AG – BR | 260 | 90,461 | ||||||
1,656,514 |
Investments | Shares | Value | ||||||
Professional Services – 1.0% | ||||||||
Recruit Holdings Co. Ltd. | 7,000 | $ | 208,295 | |||||
Real Estate Management & Development – 4.3% | ||||||||
Agile Group Holdings Ltd. | 40,000 | 45,096 | ||||||
China Evergrande Group(b) | 80,000 | 141,996 | ||||||
China Resources Land Ltd. | 40,000 | 164,079 | ||||||
CK Asset Holdings Ltd. | 32,500 | 205,421 | ||||||
Country Garden Holdings Co. Ltd.(b) | 140,173 | 180,633 | ||||||
Daito Trust Construction Co. Ltd. | 1,000 | 96,460 | ||||||
Daiwa House Industry Co. Ltd. | 1,000 | 25,787 | ||||||
Logan Property Holdings Co. Ltd. | 36,000 | 56,654 | ||||||
916,126 | ||||||||
Semiconductors & Semiconductor Equipment – 6.5% | ||||||||
ASML Holding NV | 2,190 | 649,210 | ||||||
Globalwafers Co. Ltd. | 13,000 | 168,312 | ||||||
Nanya Technology Corp. | 20,000 | 43,717 | ||||||
Novatek Microelectronics Corp.* | 17,000 | 106,620 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 10,000 | 102,399 | ||||||
Tokyo Electron Ltd. | 500 | 107,261 | ||||||
Vanguard International Semiconductor Corp. | 80,000 | 188,052 | ||||||
1,365,571 | ||||||||
Software – 1.0% | ||||||||
Trend Micro, Inc. | 4,000 | 204,610 | ||||||
Specialty Retail – 0.9% | ||||||||
Hennes & Mauritz AB, Class B(b) | 10,320 | 143,909 | ||||||
USS Co. Ltd. | 3,000 | 47,973 | ||||||
191,882 | ||||||||
Technology Hardware, Storage & Peripherals – 1.9% | ||||||||
Brother Industries Ltd. | 10,000 | 171,693 | ||||||
Lite-On Technology Corp. | 30,000 | 46,912 | ||||||
Logitech International SA (Registered) | 150 | 7,228 | ||||||
Samsung Electronics Co. Ltd. | 2,310 | 94,793 | ||||||
Samsung Electronics Co. Ltd. (Preference) | 2,140 | 74,205 | ||||||
394,831 |
See Accompanying Notes to the Financial Statements.
272 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® International Quality Dividend Dynamic Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON ST OCKS – (continued) | ||||||||
Tobacco – 2.9% | ||||||||
Imperial Brands plc | 9,140 | $ | 193,568 | |||||
Japan Tobacco, Inc. | 11,000 | 207,224 | ||||||
Swedish Match AB | 3,300 | 204,611 | ||||||
605,403 | ||||||||
Trading Companies & Distributors – 1.0% | ||||||||
Ashtead Group plc | 6,050 | 165,978 | ||||||
Toyota Tsusho Corp. | 2,000 | 48,403 | ||||||
214,381 | ||||||||
Transportation Infrastructure – 0.3% | ||||||||
Aena SME SA* (a) | 450 | 56,928 | ||||||
Wireless Telecommunication Services – 0.5% | ||||||||
Mobile TeleSystems PJSC | 1,700 | 7,347 | ||||||
MTN Group Ltd.(b) | 34,790 | 92,085 | ||||||
99,432 | ||||||||
Total Common Stocks (Cost $24,168,263) |
| 20,681,880 |
Principal Amount | ||||||||
SECURITIES LENDING REINVESTMENTS(c) – 1.2% | ||||||||
REPURCHASE AGREEMENTS – 1.2% | ||||||||
Citigroup Global Markets, Inc., 0.02%, dated 4/30/2020, due 5/1/2020, repurchase price $263,417, collateralized by various U.S. Treasury Securities, ranging from 0.75% – 4.38%, maturing 8/15/2040 – 2/15/2046; total market value $265,428 | $ | 263,417 | 263,417 | |||||
Total Investments – 99.2% (Cost $24,431,680) |
| 20,945,297 | ||||||
Other Assets Less Liabilities – 0.8% |
| 164,864 | ||||||
NET ASSETS – 100.0% |
| $ | 21,110,161 |
* | Non-income producing security. |
(a) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
(b) | The security or a portion of this security is on loan at April 30, 2020. The total value of securities on loan at April 30, 2020 was $2,129,395, collateralized in the form of cash with a value of $263,417 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Investments; $472,827 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% – 6.25%, and maturity dates ranging from May 15, 2020 – August 15, 2049 and $1,548,406 of collateral in the form of Foreign Government Fixed Income Securities, interest rates ranging from 0.00% – 6.25%, and maturity dates ranging from May 11, 2020 – September 20, 2117; a total value of $2,284,650. |
(c) | The security was purchased with cash collateral held from securities on loan at April 30, 2020. The total value of securities purchased was $263,417. |
Percentages shown are based on Net Assets.
Abbreviations
OYJ – Public Limited Company
PJSC – Public Joint Stock Company
Preference – A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.
As of April 30, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 1,114,808 | ||
Aggregate gross unrealized depreciation | (4,703,742 | ) | ||
Net unrealized depreciation | $ | (3,588,934 | ) | |
Federal income tax cost | $ | 24,553,277 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 273 |
Table of Contents
FlexShares®International Quality Dividend Dynamic Index Fund (cont.)
Futures Contracts
FlexShares® International Quality Dividend Dynamic Index Fund had the following open futures contracts as of April 30, 2020:
Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value and Unrealized Appreciation* | ||||||||||||||||
Long Contracts |
| |||||||||||||||||||
MSCI EAFE E-Mini Index | 4 | 06/19/2020 | USD | $ | 327,660 | $ | 10,852 | |||||||||||||
MSCI Emerging Markets E-Mini Index | 3 | 06/19/2020 | USD | 135,885 | 8,194 | |||||||||||||||
$ | 19,046 |
* | This amount represents the cumulative appreciation/depreciation on futures contracts. Current day’s variation margin is reported within the Statement of Assets and Liabilities for futures contracts. |
Abbreviations:
USD – US Dollar
FlexShares® International Quality Dividend Dynamic Index Fund invested, as a percentage of net assets, in companies domiciled in the following countries as of April 30, 2020:
Australia | 2.2 | % | ||
Austria | 1.1 | |||
Belgium | 0.7 | |||
Brazil | 0.7 | |||
Canada | 3.9 | |||
China | 12.7 | |||
Czech Republic | 0.8 | |||
Denmark | 0.3 | |||
Finland | 2.2 | |||
France | 4.5 | |||
Germany | 2.7 | |||
Hong Kong | 3.5 | |||
Indonesia | 0.7 | |||
Italy | 1.4 | |||
Japan | 15.9 | |||
Netherlands | 3.9 | |||
Norway | 3.0 | |||
Poland | 0.7 | |||
Russia | 3.5 | |||
Singapore | 1.6 | |||
South Africa | 2.3 | |||
South Korea | 0.8 | |||
Spain | 2.2 | |||
Sweden | 5.2 | |||
Switzerland | 5.1 | |||
Taiwan | 4.2 | |||
Turkey | 1.4 | |||
United Kingdom | 10.8 | |||
Other1 | 2.0 | |||
100.0 | % |
1 | Includes any non-equity securities, securities lending reinvestments and net other assets (liabilities). |
See Accompanying Notes to the Financial Statements.
274 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Schedule of Investments
FlexShares® iBoxx 3-Year Target Duration TIPS Index Fund
April 30, 2020 (Unaudited)
Investments | Principal Amount | Value | ||||||
U.S. TREASURY OBLIGATIONS – 99.8% | ||||||||
U.S. Treasury Inflation Linked Bonds | ||||||||
2.38%, 1/15/2025 | $ | 35,412,718 | $ | 39,883,436 | ||||
2.00%, 1/15/2026 | 24,117,752 | 27,349,826 | ||||||
2.38%, 1/15/2027 | 19,696,012 | 23,360,738 | ||||||
U.S. Treasury Inflation Linked Notes | ||||||||
0.63%, 7/15/2021(a) | 37,863,283 | 37,810,394 | ||||||
0.13%, 1/15/2022 | 43,458,773 | 43,071,384 | ||||||
0.13%, 4/15/2022 | 43,716,426 | 43,347,930 | ||||||
0.13%, 7/15/2022 | 42,576,330 | 42,540,255 | ||||||
0.13%, 1/15/2023 | 42,395,324 | 42,388,576 | ||||||
0.63%, 4/15/2023(a) | 45,514,824 | 46,219,555 | ||||||
0.38%, 7/15/2023 | 42,683,520 | 43,347,068 | ||||||
0.63%, 1/15/2024(a) | 96,855,460 | 99,470,854 | ||||||
0.50%, 4/15/2024 | 70,251,897 | 72,068,098 | ||||||
0.13%, 7/15/2024 | 105,047,324 | 106,798,804 | ||||||
0.13%, 10/15/2024(a) | 97,244,748 | 99,504,668 | ||||||
0.25%, 1/15/2025 | 52,187,910 | 53,548,085 | ||||||
0.38%, 7/15/2025 | 41,467,142 | 43,126,582 | ||||||
0.63%, 1/15/2026 | 42,631,926 | 44,993,610 | ||||||
0.13%, 7/15/2026 | 36,654,009 | 37,906,587 | ||||||
0.38%, 1/15/2027 | 38,085,492 | 40,007,892 | ||||||
0.38%, 7/15/2027 | 37,011,800 | 39,260,322 | ||||||
0.13%, 1/15/2030 | 74,275,403 | 78,605,240 | ||||||
Total U.S. Treasury Obligations (Cost $1,083,523,849) |
| 1,104,609,904 | ||||||
Total Investments – 99.8% (Cost $1,083,523,849) |
| 1,104,609,904 | ||||||
Other Assets Less Liabilities – 0.2% |
| 2,431,467 | ||||||
NET ASSETS – 100.0% |
| $ | 1,107,041,371 |
(a) | The security or a portion of this security is on loan at April 30, 2020. The total value of securities on loan at April 30, 2020 was $86,730,113, collateralized by $40,025,683 in U.S. Government Treasury Securities, interest rates ranging from 0.00% – 4.38%, and maturity dates ranging from May 12, 2020 – November 15, 2045 and $49,849,176 in Foreign Government Fixed Income Securities, interest rates ranging from 0.00% – 5.75%, and maturity dates ranging from July 9, 2020 – January 22, 2060; a total value of $89,874,859. |
Percentages shown are based on Net Assets.
As of April 30, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 21,447,683 | ||
Aggregate gross unrealized depreciation | (650,770 | ) | ||
Net unrealized appreciation | $ | 20,796,913 | ||
Federal income tax cost | $ | 1,083,812,991 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 275 |
Table of Contents
Schedule of Investments
FlexShares® iBoxx 5-Year Target Duration TIPS Index Fund
April 30, 2020 (Unaudited)
Investments | Principal Amount | Value | ||||||
U.S. TREASURY OBLIGATIONS – 99.3% | ||||||||
U.S. Treasury Inflation Linked Bonds | ||||||||
2.38%, 1/15/2025(a) | $ | 16,769,750 | $ | 18,886,867 | ||||
2.00%, 1/15/2026 | 12,021,731 | 13,632,791 | ||||||
2.38%, 1/15/2027 | 11,852,240 | 14,057,520 | ||||||
1.75%, 1/15/2028 | 9,359,481 | 10,909,457 | ||||||
3.63%, 4/15/2028 | 10,051,852 | 13,229,892 | ||||||
2.50%, 1/15/2029 | 8,488,098 | 10,658,586 | ||||||
3.88%, 4/15/2029 | 11,777,872 | 16,245,536 | ||||||
3.38%, 4/15/2032 | 3,045,841 | 4,428,955 | ||||||
2.13%, 2/15/2040 | 9,095,756 | 13,267,768 | ||||||
U.S. Treasury Inflation Linked Notes | ||||||||
0.63%, 1/15/2024(a) | 24,718,014 | 25,385,477 | ||||||
0.50%, 4/15/2024 | 18,297,596 | 18,770,638 | ||||||
0.13%, 7/15/2024 | 24,680,810 | 25,092,319 | ||||||
0.13%, 10/15/2024(a) | 20,956,268 | 21,443,282 | ||||||
0.25%, 1/15/2025 | 24,728,234 | 25,372,727 | ||||||
0.38%, 7/15/2025 | 24,749,388 | 25,739,814 | ||||||
0.63%, 1/15/2026 | 25,529,077 | 26,943,313 | ||||||
0.13%, 7/15/2026(a) | 22,198,527 | 22,957,118 | ||||||
0.38%, 1/15/2027 | 28,501,205 | 29,939,830 | ||||||
0.38%, 7/15/2027 | 26,971,027 | 28,609,557 | ||||||
0.50%, 1/15/2028 | 28,063,212 | 29,992,304 | ||||||
0.75%, 7/15/2028 | 22,135,570 | 24,309,642 | ||||||
0.88%, 1/15/2029 | 21,780,020 | 24,255,663 | ||||||
0.25%, 7/15/2029 | 23,997,674 | 25,623,918 | ||||||
0.13%, 1/15/2030 | 41,126,705 | 43,524,161 | ||||||
Total U.S. Treasury Obligations (cost $490,779,259) |
| 513,277,135 | ||||||
Total Investments – 99.3% (Cost $490,779,259) |
| 513,277,135 | ||||||
Other Assets Less Liabilities – 0.7% |
| 3,489,406 | ||||||
NET ASSETS – 100.0% |
| $ | 516,766,541 |
(a) | The security or a portion of this security is on loan at April 30, 2020. The total value of securities on loan at April 30, 2020 was $68,484,229, collateralized by $21,730,470 in U.S. Government Treasury Securities, interest rates ranging from 0.00% – 4.38%, and maturity dates ranging from May 12, 2020 – November 15, 2045 and $49,640,250 in Foreign Government Fixed Income Securities, interest rates ranging from 0.00% – 6.00%, and maturity dates ranging from May 6, 2020 – September 20, 2117; a total value of $71,370,720. |
Percentages shown are based on Net Assets.
As of April 30, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 22,223,553 | ||
Aggregate gross unrealized depreciation | — | |||
Net unrealized appreciation | $ | 22,223,553 | ||
Federal income tax cost | $ | 491,053,582 |
See Accompanying Notes to the Financial Statements.
276 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Schedule of Investments
FlexShares® Disciplined Duration MBS Index Fund
April 30, 2020 (Unaudited)
Investments | Principal Amount | Value | ||||||
MORTGAGE-BACKED SECURITIES – 98.8% | ||||||||
FHLMC |
| |||||||
2.50%, 4/1/2022 | $ | 107,355 | $ | 112,383 | ||||
4.00%, 7/1/2024 | 136,997 | 144,939 | ||||||
4.00%, 9/1/2024 | 91,767 | 97,024 | ||||||
4.00%, 6/1/2025 | 60,285 | 63,795 | ||||||
3.50%, 10/1/2025 | 92,938 | 98,261 | ||||||
4.00%, 10/1/2025 | 47,449 | 50,229 | ||||||
3.50%, 11/1/2025 | 101,992 | 107,830 | ||||||
3.50%, 2/1/2026 | 60,119 | 63,607 | ||||||
4.00%, 3/1/2026 | 109,175 | 115,620 | ||||||
4.00%, 4/1/2026 | 79,363 | 84,220 | ||||||
4.00%, 5/1/2026 | 187,478 | 198,803 | ||||||
3.50%, 6/1/2026 | 93,722 | 99,164 | ||||||
3.00%, 9/1/2026 | 188,675 | 199,521 | ||||||
3.50%, 9/1/2026 | 169,164 | 178,859 | ||||||
3.00%, 10/1/2026 | 66,181 | 70,365 | ||||||
3.50%, 10/1/2026 | 78,270 | 82,817 | ||||||
3.00%, 12/1/2026 | 107,727 | 114,542 | ||||||
3.00%, 3/1/2027 | 129,420 | 137,473 | ||||||
2.50%, 4/1/2027 | 157,140 | 164,683 | ||||||
4.00%, 5/1/2027 | 56,477 | 59,773 | ||||||
3.00%, 6/1/2027 | 204,114 | 215,929 | ||||||
3.50%, 8/1/2027 | 66,515 | 70,409 | ||||||
2.50%, 11/1/2027 | 33,430 | 35,248 | ||||||
3.00%, 11/1/2027 | 77,232 | 82,105 | ||||||
2.50%, 2/1/2028 | 36,636 | 38,734 | ||||||
2.50%, 4/1/2028 | 21,059 | 22,056 | ||||||
3.00%, 4/1/2028 | 305,536 | 325,445 | ||||||
3.50%, 5/1/2028 | 179,562 | 191,621 | ||||||
2.50%, 8/1/2028 | 55,546 | 58,182 | ||||||
2.50%, 11/1/2028 | 15,617 | 16,372 | ||||||
3.00%, 11/1/2028 | 89,467 | 94,653 | ||||||
4.00%, 11/1/2028 | 243,128 | 258,092 | ||||||
3.00%, 1/1/2029 | 146,362 | 154,852 | ||||||
2.00%, 10/1/2031 | 63,486 | 65,623 | ||||||
5.50%, 10/1/2032 | 89,939 | 101,160 | ||||||
3.00%, 4/1/2033 | 240,532 | 257,321 | ||||||
6.00%, 4/1/2034 | 50,185 | 57,976 | ||||||
5.00%, 5/1/2034 | 86,774 | 99,107 | ||||||
3.00%, 5/1/2035 | 43,195 | 46,085 | ||||||
5.50%, 5/1/2035 | 112,827 | 129,202 | ||||||
6.00%, 5/1/2035 | 108,074 | 124,523 | ||||||
5.50%, 6/1/2035 | 46,881 | 53,558 | ||||||
5.00%, 7/1/2035 | 246,870 | 282,220 |
Investments | Principal Amount | Value | ||||||
5.50%, 10/1/2035 | $ | 29,170 | $ | 33,355 | ||||
3.00%, 11/1/2035 | 52,363 | 55,627 | ||||||
5.00%, 11/1/2035 | 276,060 | 315,810 | ||||||
6.00%, 12/1/2035 | 103,302 | 119,430 | ||||||
6.00%, 3/1/2036 | 337,880 | 390,792 | ||||||
5.50%, 12/1/2036 | 146,052 | 166,642 | ||||||
6.00%, 1/1/2037 | 112,485 | 129,951 | ||||||
5.50%, 2/1/2037 | 118,497 | 135,602 | ||||||
6.00%, 4/1/2037 | 54,752 | 63,348 | ||||||
6.00%, 5/1/2037 | 96,303 | 111,252 | ||||||
5.50%, 7/1/2037 | 88,526 | 101,307 | ||||||
5.50%, 9/1/2037 | 42,320 | 48,427 | ||||||
5.50%, 11/1/2037 | 39,461 | 45,166 | ||||||
5.50%, 1/1/2038 | 21,947 | 25,106 | ||||||
5.00%, 2/1/2038 | 56,083 | 64,092 | ||||||
5.50%, 4/1/2038 | 32,438 | 37,100 | ||||||
5.50%, 6/1/2038 | 35,819 | 40,970 | ||||||
5.00%, 7/1/2038 | 58,747 | 67,073 | ||||||
5.50%, 7/1/2038 | 4,656 | 5,327 | ||||||
5.50%, 8/1/2038 | 51,130 | 58,419 | ||||||
5.00%, 10/1/2038 | 42,586 | 48,624 | ||||||
5.50%, 12/1/2038 | 16,598 | 18,989 | ||||||
5.50%, 1/1/2039 | 45,456 | 52,002 | ||||||
5.00%, 2/1/2039 | 229,646 | 262,446 | ||||||
5.00%, 5/1/2039 | 105,704 | 120,665 | ||||||
5.00%, 8/1/2039 | 7,227 | 8,100 | ||||||
5.00%, 9/1/2039 | 9,561 | 10,919 | ||||||
5.00%, 1/1/2040 | 30,138 | 34,482 | ||||||
5.50%, 1/1/2040 | 84,084 | 96,219 | ||||||
5.00%, 3/1/2040 | 91,231 | 104,138 | ||||||
5.00%, 4/1/2040 | 38,673 | 44,262 | ||||||
6.00%, 4/1/2040 | 69,894 | 80,358 | ||||||
5.00%, 5/1/2040 | 33,205 | 38,024 | ||||||
6.00%, 5/1/2040 | 171,137 | 197,158 | ||||||
5.50%, 6/1/2040 | 52,691 | 60,045 | ||||||
5.00%, 7/1/2040 | 189,012 | 216,291 | ||||||
6.00%, 7/1/2040 | 271,035 | 313,112 | ||||||
4.50%, 12/1/2040 | 76,648 | 85,381 | ||||||
4.00%, 1/1/2041 | 24,836 | 27,271 | ||||||
5.50%, 4/1/2041 | 22,823 | 25,712 | ||||||
5.50%, 6/1/2041 | 386,843 | 442,639 | ||||||
3.50%, 11/1/2041 | 179,121 | 193,248 | ||||||
5.00%, 2/1/2042 | 68,376 | 78,164 | ||||||
4.00%, 5/1/2044 | 221,239 | 250,726 | ||||||
5.00%, 8/1/2044 | 69,082 | 78,871 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 277 |
Table of Contents
FlexShares® Disciplined Duration MBS Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
MORTGAGE-BACKED SECURITIES – (continued) | ||||||||
4.50%, 9/1/2044 | $ | 60,203 | $ | 66,682 | ||||
4.00%, 2/1/2045 | 155,683 | 174,799 | ||||||
4.50%, 5/1/2046 | 78,067 | 85,358 | ||||||
3.50%, 8/1/2046 | 34,612 | 37,127 | ||||||
3.50%, 1/1/2047 | 38,295 | 40,846 | ||||||
4.50%, 3/1/2047 | 92,613 | 101,442 | ||||||
FHLMC UMBS |
| |||||||
4.00%, 5/1/2027 | 100,623 | 106,423 | ||||||
2.50%, 11/1/2027 | 131,159 | 138,155 | ||||||
2.50%, 6/1/2028 | 398,430 | 419,664 | ||||||
2.50%, 1/1/2029 | 125,459 | 132,609 | ||||||
2.00%, 11/1/2031 | 112,360 | 116,117 | ||||||
2.00%, 2/1/2032 | 119,002 | 122,981 | ||||||
4.50%, 10/1/2039 | 18,587 | 20,655 | ||||||
4.50%, 12/1/2039 | 157,240 | 175,496 | ||||||
4.00%, 2/1/2040 | 12,828 | 14,031 | ||||||
4.50%, 4/1/2040 | 69,447 | 77,352 | ||||||
3.50%, 12/1/2040 | 132,523 | 143,056 | ||||||
4.50%, 3/1/2041 | 128,719 | 142,984 | ||||||
4.00%, 4/1/2041 | 35,352 | 39,610 | ||||||
4.50%, 5/1/2041 | 24,602 | 27,523 | ||||||
4.50%, 8/1/2041 | 34,704 | 38,558 | ||||||
4.00%, 1/1/2042 | 108,641 | 121,795 | ||||||
3.00%, 3/1/2042 | 237,923 | 253,650 | ||||||
3.50%, 1/1/2043 | 65,837 | 72,988 | ||||||
3.00%, 3/1/2043 | 31,225 | 33,406 | ||||||
3.00%, 4/1/2043 | 439,746 | 470,828 | ||||||
2.50%, 6/1/2043 | 764,292 | 801,766 | ||||||
3.00%, 6/1/2043 | 180,939 | 194,317 | ||||||
4.50%, 3/1/2044 | 130,462 | 144,842 | ||||||
4.00%, 6/1/2044 | 12,976 | 14,198 | ||||||
4.50%, 7/1/2044 | 55,660 | 61,869 | ||||||
4.00%, 8/1/2044 | 38,576 | 42,158 | ||||||
4.50%, 12/1/2044 | 31,094 | 34,323 | ||||||
4.00%, 2/1/2045 | 31,137 | 34,948 | ||||||
3.00%, 7/1/2045 | 29,673 | 31,589 | ||||||
4.50%, 9/1/2045 | 45,759 | 49,851 | ||||||
4.00%, 10/1/2045 | 135,410 | 147,225 | ||||||
4.00%, 12/1/2045 | 42,893 | 47,529 | ||||||
4.50%, 12/1/2045 | 51,427 | 57,141 | ||||||
4.00%, 1/1/2046 | 80,646 | 88,709 | ||||||
4.00%, 4/1/2046 | 67,272 | 72,989 | ||||||
4.50%, 4/1/2046 | 65,875 | 73,163 | ||||||
3.50%, 5/1/2046 | 43,385 | 46,482 | ||||||
4.00%, 5/1/2046 | 29,092 | 31,547 |
Investments | Principal Amount | Value | ||||||
3.50%, 11/1/2046 | $ | 43,810 | $ | 48,130 | ||||
2.50%, 12/1/2046 | 275,998 | 289,539 | ||||||
3.50%, 2/1/2047 | 572,330 | 610,420 | ||||||
3.00%, 9/1/2047 | 232,684 | 247,288 | ||||||
2.50%, 10/1/2049 | 252,188 | 263,089 | ||||||
2.50%, 11/1/2049 | 172,078 | 179,515 | ||||||
FNMA UMBS |
| |||||||
4.50%, 11/1/2020 | 235 | 248 | ||||||
4.00%, 5/1/2024 | 76,121 | 80,541 | ||||||
4.00%, 4/1/2025 | 169,981 | 179,898 | ||||||
4.00%, 9/1/2025 | 68,410 | 72,425 | ||||||
3.00%, 11/1/2025 | 127,773 | 135,067 | ||||||
3.00%, 12/1/2025 | 105,446 | 111,469 | ||||||
3.50%, 12/1/2025 | 96,440 | 102,008 | ||||||
3.00%, 1/1/2026 | 134,375 | 142,649 | ||||||
3.50%, 2/1/2026 | 176,985 | 187,255 | ||||||
4.00%, 3/1/2026 | 238,585 | 252,901 | ||||||
4.00%, 4/1/2026 | 60,561 | 64,121 | ||||||
4.00%, 5/1/2026 | 125,188 | 132,834 | ||||||
3.00%, 8/1/2026 | 184,643 | 195,073 | ||||||
2.50%, 11/1/2026 | 43,683 | 45,736 | ||||||
3.00%, 11/1/2026 | 276,480 | 293,506 | ||||||
3.00%, 12/1/2026 | 31,521 | 33,335 | ||||||
2.50%, 1/1/2027 | 138,123 | 145,768 | ||||||
3.00%, 1/1/2027 | 123,188 | 130,559 | ||||||
3.50%, 1/1/2027 | 420,814 | 444,773 | ||||||
4.00%, 5/1/2027 | 71,984 | 76,204 | ||||||
2.50%, 6/1/2027 | 16,343 | 17,195 | ||||||
3.50%, 6/1/2027 | 25,151 | 26,604 | ||||||
2.50%, 10/1/2027 | 172,665 | 180,963 | ||||||
2.50%, 12/1/2027 | 87,985 | 92,729 | ||||||
2.50%, 1/1/2028 | 96,867 | 102,037 | ||||||
3.50%, 1/1/2028 | 591,779 | 628,548 | ||||||
3.00%, 3/1/2028 | 31,729 | 33,688 | ||||||
3.00%, 6/1/2028 | 154,452 | 163,656 | ||||||
2.50%, 7/1/2028 | 101,421 | 107,184 | ||||||
3.00%, 7/1/2028 | 31,170 | 33,127 | ||||||
2.50%, 8/1/2028 | 23,534 | 24,876 | ||||||
2.50%, 9/1/2028 | 72,606 | 76,426 | ||||||
3.00%, 11/1/2028 | 30,376 | 32,284 | ||||||
4.00%, 7/1/2029 | 117,834 | 124,921 | ||||||
3.50%, 10/1/2030 | 101,298 | 107,134 | ||||||
3.50%, 11/1/2030 | 24,915 | 26,349 | ||||||
2.00%, 9/1/2031 | 60,861 | 62,899 | ||||||
2.00%, 11/1/2031 | 132,495 | 136,935 | ||||||
2.00%, 2/1/2032 | 104,737 | 108,246 | ||||||
3.00%, 4/1/2032 | 123,136 | 129,995 |
See Accompanying Notes to the Financial Statements.
278 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Disciplined Duration MBS Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
MORTGAGE-BACKED SECURITIES – (continued) | ||||||||
6.00%, 12/1/2032 | $ | 20,064 | $ | 23,097 | ||||
3.00%, 5/1/2033 | 224,006 | 238,947 | ||||||
3.00%, 7/1/2033 | 27,783 | 29,718 | ||||||
3.00%, 10/1/2033 | 44,866 | 47,992 | ||||||
6.00%, 3/1/2034 | 402,879 | 464,842 | ||||||
6.00%, 8/1/2034 | 70,914 | 81,722 | ||||||
6.50%, 9/1/2034 | 172,305 | 202,427 | ||||||
5.00%, 12/1/2034 | 36,426 | 41,646 | ||||||
5.00%, 1/1/2035 | 46,541 | 53,200 | ||||||
5.00%, 3/1/2035 | 220,547 | 252,109 | ||||||
5.00%, 6/1/2035 | 123,198 | 140,842 | ||||||
5.00%, 7/1/2035 | 175,330 | 200,423 | ||||||
5.00%, 8/1/2035 | 44,457 | 50,858 | ||||||
5.00%, 11/1/2035 | 57,282 | 65,468 | ||||||
6.00%, 11/1/2035 | 33,925 | 39,215 | ||||||
5.00%, 12/1/2035 | 96,802 | 110,691 | ||||||
5.00%, 2/1/2036 | 152,841 | 174,772 | ||||||
5.00%, 4/1/2036 | 32,504 | 37,163 | ||||||
5.50%, 12/1/2036 | 98,362 | 112,250 | ||||||
6.50%, 12/1/2036 | 88,760 | 100,178 | ||||||
5.50%, 1/1/2037 | 28,230 | 32,266 | ||||||
5.50%, 2/1/2037 | 8,423 | 9,393 | ||||||
5.50%, 4/1/2037 | 96,687 | 110,625 | ||||||
5.50%, 8/1/2037 | 32,595 | 37,309 | ||||||
6.00%, 8/1/2037 | 13,517 | 15,615 | ||||||
6.00%, 9/1/2037 | 41,393 | 47,777 | ||||||
5.00%, 2/1/2038 | 62,873 | 71,830 | ||||||
5.00%, 3/1/2038 | 94,881 | 107,749 | ||||||
5.50%, 3/1/2038 | 21,796 | 24,687 | ||||||
5.00%, 5/1/2038 | 80,982 | 92,613 | ||||||
5.50%, 6/1/2038 | 62,948 | 71,989 | ||||||
5.50%, 9/1/2038 | 28,334 | 32,316 | ||||||
6.00%, 9/1/2038 | 50,527 | 58,358 | ||||||
5.50%, 11/1/2038 | 106,318 | 121,331 | ||||||
5.00%, 1/1/2039 | 10,208 | 11,632 | ||||||
5.50%, 3/1/2039 | 97,775 | 111,860 | ||||||
4.50%, 4/1/2039 | 90,177 | 100,143 | ||||||
5.50%, 8/1/2039 | 84,734 | 96,976 | ||||||
4.50%, 9/1/2039 | 143,835 | 162,259 | ||||||
4.50%, 10/1/2039 | 170,538 | 192,383 | ||||||
5.50%, 11/1/2039 | 65,069 | 74,413 | ||||||
4.50%, 1/1/2040 | 30,249 | 34,265 | ||||||
5.50%, 1/1/2040 | 24,115 | 27,054 | ||||||
4.50%, 3/1/2040 | 23,489 | 26,494 | ||||||
4.50%, 4/1/2040 | 16,650 | 18,510 |
Investments | Principal Amount | Value | ||||||
5.50%, 4/1/2040 | $ | 125,037 | $ | 144,558 | ||||
6.00%, 6/1/2040 | 202,452 | 233,509 | ||||||
4.50%, 8/1/2040 | 65,810 | 74,345 | ||||||
4.00%, 9/1/2040 | 37,701 | 41,314 | ||||||
4.00%, 11/1/2040 | 31,986 | 35,046 | ||||||
3.50%, 1/1/2041 | 90,452 | 98,257 | ||||||
3.50%, 2/1/2041 | 62,303 | 67,311 | ||||||
4.00%, 2/1/2041 | 44,194 | 48,415 | ||||||
4.50%, 4/1/2041 | 30,604 | 34,030 | ||||||
5.50%, 4/1/2041 | 9,427 | 10,380 | ||||||
4.50%, 5/1/2041 | 43,005 | 47,834 | ||||||
4.50%, 6/1/2041 | 28,369 | 31,590 | ||||||
6.00%, 7/1/2041 | 609,069 | 703,664 | ||||||
4.50%, 8/1/2041 | 35,252 | 39,095 | ||||||
5.00%, 8/1/2041 | 79,398 | 90,694 | ||||||
5.50%, 8/1/2041 | 70,785 | 79,481 | ||||||
4.00%, 9/1/2041 | 55,201 | 60,666 | ||||||
5.50%, 9/1/2041 | 138,861 | 158,847 | ||||||
3.50%, 10/1/2041 | 221,808 | 244,255 | ||||||
4.00%, 12/1/2041 | 43,055 | 47,362 | ||||||
4.00%, 1/1/2042 | 69,473 | 76,101 | ||||||
4.50%, 1/1/2042 | 40,025 | 44,495 | ||||||
6.00%, 1/1/2042 | 126,252 | 147,089 | ||||||
3.00%, 4/1/2042 | 120,840 | 129,134 | ||||||
3.50%, 5/1/2042 | 66,640 | 72,000 | ||||||
3.50%, 6/1/2042 | 61,719 | 66,869 | ||||||
4.00%, 7/1/2042 | 178,863 | 202,192 | ||||||
3.00%, 10/1/2042 | 275,326 | 295,962 | ||||||
2.50%, 1/1/2043 | 20,518 | 21,524 | ||||||
3.00%, 1/1/2043 | 327,563 | 350,417 | ||||||
3.50%, 1/1/2043 | 83,943 | 90,693 | ||||||
4.00%, 1/1/2043 | 150,783 | 166,927 | ||||||
2.50%, 2/1/2043 | 112,447 | 117,960 | ||||||
3.00%, 2/1/2043 | 337,976 | 363,029 | ||||||
3.00%, 3/1/2043 | 228,773 | 244,706 | ||||||
3.50%, 3/1/2043 | 156,619 | 172,421 | ||||||
3.50%, 4/1/2043 | 295,349 | 325,240 | ||||||
2.50%, 5/1/2043 | 24,511 | 25,713 | ||||||
3.00%, 5/1/2043 | 11,405 | 12,233 | ||||||
3.50%, 5/1/2043 | 23,786 | 25,923 | ||||||
2.50%, 6/1/2043 | 10,744 | 11,254 | ||||||
3.00%, 6/1/2043 | 47,287 | 50,589 | ||||||
3.00%, 7/1/2043 | 157,225 | 168,175 | ||||||
3.50%, 7/1/2043 | 43,681 | 47,203 | ||||||
3.50%, 8/1/2043 | 130,024 | 140,888 | ||||||
4.00%, 8/1/2043 | 81,305 | 89,324 | ||||||
4.00%, 9/1/2043 | 205,131 | 227,401 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 279 |
Table of Contents
FlexShares® Disciplined Duration MBS Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
MORTGAGE-BACKED SECURITIES – (continued) | ||||||||
4.50%, 9/1/2043 | $ | 52,618 | $ | 59,002 | ||||
4.00%, 10/1/2043 | 55,601 | 61,169 | ||||||
4.00%, 11/1/2043 | 539,830 | 604,698 | ||||||
4.50%, 11/1/2043 | 116,914 | 130,735 | ||||||
5.00%, 11/1/2043 | 33,212 | 37,945 | ||||||
4.50%, 12/1/2043 | 85,995 | 95,664 | ||||||
4.00%, 1/1/2044 | 102,144 | 112,734 | ||||||
5.00%, 1/1/2044 | 206,626 | 235,232 | ||||||
3.50%, 2/1/2044 | 40,005 | 44,028 | ||||||
5.00%, 3/1/2044 | 39,073 | 44,558 | ||||||
4.50%, 4/1/2044 | 94,554 | 106,903 | ||||||
5.00%, 5/1/2044 | 28,410 | 31,524 | ||||||
5.50%, 5/1/2044 | 1,221,164 | 1,396,957 | ||||||
5.00%, 6/1/2044 | 29,230 | 32,485 | ||||||
3.50%, 7/1/2044 | 122,148 | 135,529 | ||||||
3.00%, 10/1/2044 | 288,604 | 308,583 | ||||||
4.00%, 10/1/2044 | 32,655 | 36,336 | ||||||
4.50%, 10/1/2044 | 25,479 | 28,098 | ||||||
3.00%, 12/1/2044 | 63,076 | 67,812 | ||||||
4.50%, 12/1/2044 | 26,152 | 29,229 | ||||||
3.00%, 2/1/2045 | 47,399 | 50,447 | ||||||
4.00%, 2/1/2045 | 65,556 | 71,381 | ||||||
4.50%, 2/1/2045 | 285,803 | 317,688 | ||||||
3.00%, 4/1/2045 | 46,256 | 49,218 | ||||||
4.00%, 4/1/2045 | 46,165 | 51,176 | ||||||
3.00%, 7/1/2045 | 302,595 | 321,910 | ||||||
4.00%, 11/1/2045 | 114,568 | 127,008 | ||||||
4.50%, 11/1/2045 | 65,375 | 73,877 | ||||||
4.00%, 12/1/2045 | 295,624 | 331,390 | ||||||
3.50%, 2/1/2046 | 74,721 | 81,404 | ||||||
4.00%, 3/1/2046 | 48,176 | 52,407 | ||||||
4.50%, 3/1/2046 | 298,915 | 333,043 | ||||||
4.00%, 4/1/2046 | 25,371 | 27,908 | ||||||
3.50%, 5/1/2046 | 44,841 | 48,111 | ||||||
4.00%, 5/1/2046 | 46,163 | 50,032 | ||||||
2.50%, 6/1/2046 | 144,654 | 151,746 | ||||||
3.50%, 6/1/2046 | 380,087 | 415,159 | ||||||
4.50%, 7/1/2046 | 57,165 | 62,205 | ||||||
3.50%, 8/1/2046 | 143,923 | 158,422 | ||||||
4.50%, 8/1/2046 | 39,573 | 44,022 | ||||||
2.50%, 9/1/2046 | 339,210 | 355,852 | ||||||
2.50%, 10/1/2046 | 24,373 | 25,569 | ||||||
4.00%, 12/1/2046 | 82,388 | 89,498 | ||||||
4.50%, 1/1/2047 | 90,141 | 98,410 | ||||||
4.00%, 2/1/2047 | 189,234 | 205,518 | ||||||
4.50%, 2/1/2047 | 82,564 | 91,697 |
Investments | Principal Amount | Value | ||||||
2.50%, 3/1/2047 | $ | 276,495 | $ | 290,060 | ||||
4.50%, 3/1/2047 | 332,505 | 378,540 | ||||||
4.50%, 5/1/2047 | 194,934 | 213,209 | ||||||
4.50%, 7/1/2047 | 150,300 | 166,640 | ||||||
4.00%, 7/1/2048 | 291,294 | 322,585 | ||||||
5.50%, 1/1/2049 | 121,378 | 133,526 | ||||||
6.00%, 2/1/2049 | 171,149 | 197,750 | ||||||
2.50%, 7/1/2049 | 365,559 | 381,340 | ||||||
FNMA/FHLMC UMBS, 30 Year, Single Family |
| |||||||
TBA 2.50%, 5/25/2050 | 1,400,000 | 1,458,352 | ||||||
TBA 3.00%, 5/25/2050 | 875,000 | 923,774 | ||||||
TBA 3.50%, 5/25/2050 | 300,000 | 317,019 | ||||||
GNMA |
| |||||||
3.00%, 2/20/2027 | 204,119 | 215,455 | ||||||
2.50%, 4/20/2027 | 93,120 | 96,691 | ||||||
3.00%, 5/20/2027 | 174,872 | 184,401 | ||||||
2.50%, 11/20/2027 | 103,927 | 108,732 | ||||||
2.50%, 1/20/2028 | 52,425 | 54,853 | ||||||
3.00%, 1/20/2028 | 112,936 | 118,389 | ||||||
3.00%, 3/20/2028 | 104,460 | 110,278 | ||||||
3.00%, 7/20/2028 | 168,759 | 178,172 | ||||||
2.50%, 8/20/2028 | 164,042 | 172,071 | ||||||
2.50%, 12/20/2028 | 24,004 | 25,178 | ||||||
2.50%, 3/20/2031 | 67,454 | 70,592 | ||||||
2.50%, 10/20/2031 | 80,101 | 83,833 | ||||||
6.00%, 3/15/2033 | 86,379 | 98,822 | ||||||
5.50%, 6/15/2033 | 69,567 | 78,584 | ||||||
5.50%, 8/20/2033 | 56,155 | 63,655 | ||||||
6.00%, 10/20/2033 | 100,250 | 114,778 | ||||||
5.50%, 11/20/2033 | 52,252 | 59,254 | ||||||
6.00%, 12/15/2033 | 166,655 | 193,539 | ||||||
5.50%, 3/20/2034 | 61,715 | 69,986 | ||||||
5.00%, 5/15/2034 | 32,450 | 36,399 | ||||||
5.50%, 7/20/2034 | 40,635 | 46,077 | ||||||
5.50%, 9/20/2034 | 17,581 | 19,946 | ||||||
6.00%, 2/15/2035 | 37,316 | 42,685 | ||||||
5.50%, 3/15/2035 | 140,683 | 158,939 | ||||||
5.50%, 3/20/2036 | 127,257 | 143,557 | ||||||
5.50%, 5/15/2036 | 175,414 | 198,257 | ||||||
5.50%, 9/20/2038 | 81,443 | 91,734 | ||||||
5.00%, 10/15/2038 | 25,223 | 28,403 | ||||||
6.00%, 12/20/2038 | 178,335 | 204,203 | ||||||
5.50%, 2/15/2039 | 69,219 | 78,097 | ||||||
5.50%, 2/20/2039 | 99,463 | 112,056 | ||||||
4.50%, 5/15/2039 | 104,330 | 115,982 | ||||||
5.50%, 5/15/2039 | 48,456 | 54,702 | ||||||
4.50%, 6/15/2039 | 12,259 | 13,552 |
See Accompanying Notes to the Financial Statements.
280 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Disciplined Duration MBS Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
MORTGAGE-BACKED SECURITIES – (continued) | ||||||||
5.00%, 9/15/2039 | $ | 80,330 | $ | 90,439 | ||||
5.50%, 9/15/2039 | 20,515 | 23,191 | ||||||
4.00%, 9/20/2039 | 34,919 | 38,698 | ||||||
5.00%, 10/15/2039 | 241,416 | 276,069 | ||||||
4.50%, 12/15/2039 | 164,566 | 181,806 | ||||||
5.50%, 12/15/2039 | 57,142 | 64,563 | ||||||
5.00%, 1/20/2040 | 160,007 | 179,640 | ||||||
5.50%, 3/15/2040 | 38,187 | 43,140 | ||||||
4.50%, 4/15/2040 | 73,339 | 81,078 | ||||||
5.00%, 4/15/2040 | 93,565 | 106,957 | ||||||
4.50%, 6/15/2040 | 31,812 | 34,882 | ||||||
5.00%, 6/15/2040 | 41,715 | 46,906 | ||||||
4.50%, 7/15/2040 | 90,755 | 100,163 | ||||||
4.00%, 8/15/2040 | 17,479 | 18,937 | ||||||
5.50%, 8/15/2040 | 17,371 | 19,639 | ||||||
4.00%, 10/15/2040 | 10,938 | 11,842 | ||||||
3.50%, 11/15/2040 | 36,695 | 39,446 | ||||||
5.50%, 1/20/2041 | 33,805 | 38,184 | ||||||
5.50%, 2/15/2041 | 35,714 | 40,374 | ||||||
4.00%, 3/15/2041 | 4,862 | 5,271 | ||||||
3.50%, 3/20/2041 | 92,907 | 100,713 | ||||||
4.50%, 6/15/2041 | 140,465 | 155,691 | ||||||
3.50%, 7/20/2041 | 41,188 | 44,971 | ||||||
4.00%, 8/15/2041 | 89,045 | 96,555 | ||||||
5.00%, 8/15/2041 | 229,724 | 258,021 | ||||||
3.50%, 9/15/2041 | 96,612 | 103,850 | ||||||
3.50%, 11/20/2041 | 101,968 | 111,794 | ||||||
3.50%, 1/15/2042 | 23,122 | 24,849 | ||||||
3.00%, 2/20/2042 | 173,098 | 185,466 | ||||||
5.50%, 2/20/2042 | 27,526 | 31,001 | ||||||
4.50%, 3/15/2042 | 121,442 | 133,901 | ||||||
3.50%, 3/20/2042 | 36,735 | 40,275 | ||||||
5.00%, 3/20/2042 | 59,946 | 67,291 | ||||||
3.50%, 4/20/2042 | 124,681 | 136,696 | ||||||
3.00%, 5/15/2042 | 71,534 | 76,515 | ||||||
3.00%, 5/20/2042 | 174,655 | 187,135 | ||||||
3.50%, 5/20/2042 | 26,381 | 28,923 | ||||||
3.50%, 6/15/2042 | 67,368 | 72,366 | ||||||
3.00%, 6/20/2042 | 47,550 | 50,944 | ||||||
5.00%, 7/20/2042 | 7,686 | 8,624 | ||||||
3.50%, 8/20/2042 | 41,263 | 45,240 | ||||||
3.00%, 9/15/2042 | 33,260 | 35,584 | ||||||
3.00%, 9/20/2042 | 60,526 | 64,858 | ||||||
3.00%, 10/20/2042 | 59,124 | 63,353 | ||||||
3.50%, 10/20/2042 | 83,028 | 89,114 | ||||||
3.00%, 11/20/2042 | 203,068 | 217,586 |
Investments | Principal Amount | Value | ||||||
3.00%, 12/20/2042 | $ | 132,337 | $ | 141,963 | ||||
3.50%, 12/20/2042 | 14,936 | 16,075 | ||||||
3.50%, 1/15/2043 | 78,195 | 84,593 | ||||||
3.00%, 2/20/2043 | 127,158 | 137,708 | ||||||
2.50%, 3/20/2043 | 82,597 | 87,879 | ||||||
3.00%, 3/20/2043 | 91,507 | 98,290 | ||||||
3.50%, 3/20/2043 | 31,633 | 34,257 | ||||||
3.00%, 4/15/2043 | 71,652 | 77,082 | ||||||
3.50%, 4/15/2043 | 75,274 | 80,367 | ||||||
3.00%, 4/20/2043 | 281,711 | 301,887 | ||||||
3.50%, 4/20/2043 | 97,717 | 105,892 | ||||||
3.00%, 5/15/2043 | 89,211 | 96,523 | ||||||
2.50%, 5/20/2043 | 121,504 | 129,266 | ||||||
3.50%, 6/15/2043 | 63,062 | 68,202 | ||||||
3.00%, 8/20/2043 | 39,634 | 42,461 | ||||||
3.50%, 8/20/2043 | 51,899 | 56,652 | ||||||
3.00%, 9/20/2043 | 113,691 | 121,805 | ||||||
3.00%, 10/20/2043 | 106,438 | 114,040 | ||||||
3.50%, 10/20/2043 | 62,670 | 68,306 | ||||||
5.00%, 12/20/2043 | 42,658 | 47,787 | ||||||
5.00%, 1/20/2044 | 5,663 | 6,332 | ||||||
3.50%, 3/20/2044 | 137,204 | 148,280 | ||||||
5.50%, 3/20/2044 | 132,578 | 149,645 | ||||||
3.00%, 4/20/2044 | 28,075 | 30,087 | ||||||
4.00%, 7/15/2044 | 39,570 | 43,214 | ||||||
3.50%, 8/20/2044 | 86,787 | 93,523 | ||||||
4.00%, 9/15/2044 | 11,003 | 11,715 | ||||||
3.50%, 9/20/2044 | 68,942 | 74,295 | ||||||
3.50%, 10/15/2044 | 64,239 | 68,976 | ||||||
3.50%, 10/20/2044 | 14,477 | 15,654 | ||||||
2.50%, 11/20/2044 | 95,222 | 101,309 | ||||||
4.00%, 12/15/2044 | 33,095 | 35,783 | ||||||
3.00%, 12/20/2044 | 45,699 | 48,943 | ||||||
3.50%, 12/20/2044 | 44,238 | 47,667 | ||||||
3.50%, 1/15/2045 | 86,360 | 92,434 | ||||||
3.00%, 1/20/2045 | 91,237 | 97,711 | ||||||
3.50%, 2/20/2045 | 58,879 | 63,435 | ||||||
3.00%, 3/20/2045 | 70,120 | 75,082 | ||||||
3.50%, 4/20/2045 | 26,024 | 28,182 | ||||||
3.50%, 5/15/2045 | 66,246 | 70,938 | ||||||
3.50%, 5/20/2045 | 130,353 | 140,403 | ||||||
5.00%, 6/20/2045 | 335,534 | 373,667 | ||||||
3.00%, 7/15/2045 | 185,884 | 198,112 | ||||||
4.00%, 8/15/2045 | 40,007 | 44,270 | ||||||
3.00%, 8/20/2045 | 255,084 | 272,896 | ||||||
3.00%, 12/20/2045 | 109,825 | 117,415 | ||||||
3.50%, 12/20/2045 | 118,390 | 127,590 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 281 |
Table of Contents
FlexShares® Disciplined Duration MBS Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
MORTGAGE-BACKED SECURITIES – (continued) | ||||||||
3.00%, 2/20/2046 | $ | 158,061 | $ | 168,998 | ||||
3.50%, 2/20/2046 | 219,086 | 237,728 | ||||||
4.00%, 3/15/2046 | 63,472 | 68,873 | ||||||
4.00%, 3/20/2046 | 169,840 | 183,892 | ||||||
3.50%, 4/20/2046 | 103,279 | 111,421 | ||||||
4.00%, 5/20/2046 | 75,036 | 81,174 | ||||||
5.00%, 5/20/2046 | 298,270 | 333,601 | ||||||
4.00%, 6/15/2046 | 322,066 | 352,641 | ||||||
4.00%, 7/15/2046 | 94,244 | 102,793 | ||||||
3.00%, 9/20/2046 | 61,157 | 65,430 | ||||||
3.50%, 10/20/2046 | 160,444 | 173,209 | ||||||
3.00%, 12/20/2046 | 31,711 | 33,926 | ||||||
4.00%, 3/15/2047 | 181,849 | 196,326 | ||||||
4.50%, 4/15/2047 | 57,801 | 64,547 | ||||||
5.00%, 2/20/2048 | 45,415 | 49,822 | ||||||
5.00%, 4/20/2048 | 104,570 | 114,923 | ||||||
5.50%, 11/20/2048 | 102,370 | 110,947 | ||||||
3.50%, 9/20/2049 | 168,544 | 179,017 | ||||||
Total Mortgage-Backed Securities (Cost $56,415,594) |
| 58,388,841 | ||||||
Total Investments – 98.8% (Cost $56,415,594) |
| 58,388,841 | ||||||
Other Assets Less Liabilities – 1.2% |
| 690,029 | ||||||
NET ASSETS – 100.0% | $ | 59,078,870 |
Percentages shown are based on Net Assets.
Abbreviations
FHLMC – Federal Home Loan Mortgage Corp.
FNMA – Federal National Mortgage Association
GNMA – Government National Mortgage Association
TBA – To Be Announced; Security is subject to delayed delivery.
UMBS – Uniform Mortgage-Backed Securities
As of April 30, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 1,977,390 | ||
Aggregate gross unrealized depreciation | (4,717 | ) | ||
Net unrealized appreciation | $ | 1,972,673 | ||
Federal income tax cost | $ | 56,416,168 |
See Accompanying Notes to the Financial Statements.
282 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Schedule of Investments
FlexShares® Credit-Scored US Corporate Bond Index Fund
April 30, 2020 (Unaudited)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – 99.0% | ||||||||
Aerospace & Defense – 1.7% | ||||||||
Embraer Netherlands Finance BV |
| |||||||
5.05%, 6/15/2025 | $ | 300,000 | $ | 253,500 | ||||
General Dynamics Corp. |
| |||||||
3.00%, 5/11/2021 | 300,000 | 306,191 | ||||||
3.75%, 5/15/2028 | 100,000 | 113,731 | ||||||
L3Harris Technologies, Inc. |
| |||||||
3.85%, 12/15/2026(a) | 250,000 | 273,579 | ||||||
Lockheed Martin Corp. |
| |||||||
3.55%, 1/15/2026 | 420,000 | 472,545 | ||||||
Northrop Grumman Corp. |
| |||||||
2.93%, 1/15/2025 | 400,000 | 425,711 | ||||||
Raytheon Technologies Corp. |
| |||||||
4.13%, 11/16/2028 | 100,000 | 116,271 | ||||||
Rockwell Collins, Inc. |
| |||||||
3.50%, 3/15/2027 | 200,000 | 214,159 | ||||||
2,175,687 | ||||||||
Air Freight & Logistics – 0.2% | ||||||||
United Parcel Service, Inc. |
| |||||||
2.45%, 10/1/2022 | 80,000 | 83,168 | ||||||
3.40%, 3/15/2029 | 200,000 | 222,307 | ||||||
305,475 | ||||||||
Airlines – 0.1% | ||||||||
Southwest Airlines Co. |
| |||||||
3.00%, 11/15/2026 | 100,000 | 91,680 | ||||||
Auto Components – 0.3% | ||||||||
Lear Corp. |
| |||||||
3.80%, 9/15/2027 | 200,000 | 186,061 | ||||||
Magna International, Inc. |
| |||||||
3.63%, 6/15/2024 | 200,000 | 208,920 | ||||||
394,981 | ||||||||
Automobiles – 0.4% | ||||||||
General Motors Co. |
| |||||||
4.88%, 10/2/2023 | 500,000 | 493,531 | ||||||
Banks – 24.6% | ||||||||
Australia & New Zealand Banking Group Ltd. |
| |||||||
2.63%, 11/9/2022 | 250,000 | 258,822 |
Investments | Principal Amount | Value | ||||||
Banks – (continued) | ||||||||
Banco Santander SA | ||||||||
3.13%, 2/23/2023 | $ | 400,000 | $ | 406,103 | ||||
3.31%, 6/27/2029 | 200,000 | 209,010 | ||||||
Bank of America Corp. | ||||||||
3.00%, 12/20/2023(b) | 500,000 | 517,314 | ||||||
4.00%, 1/22/2025 | 255,000 | 275,919 | ||||||
3.50%, 4/19/2026 | 200,000 | 217,864 | ||||||
3.82%, 1/20/2028(b) | 500,000 | 547,748 | ||||||
3.71%, 4/24/2028(b) | 5,000 | 5,465 | ||||||
4.27%, 7/23/2029(b) | 550,000 | 626,393 | ||||||
3.97%, 2/7/2030(b) | 300,000 | 337,825 | ||||||
Bank of Montreal | ||||||||
4.34%, 10/5/2028(b) | 300,000 | 315,097 | ||||||
Bank of Nova Scotia (The) | ||||||||
3.40%, 2/11/2024 | 250,000 | 266,401 | ||||||
4.50%, 12/16/2025 | 100,000 | 109,182 | ||||||
Barclays plc | ||||||||
4.61%, 2/15/2023(b) | 250,000 | 259,937 | ||||||
3.65%, 3/16/2025 | 200,000 | 208,772 | ||||||
4.84%, 5/9/2028 | 100,000 | 105,405 | ||||||
5.09%, 6/20/2030(b) | 250,000 | 271,628 | ||||||
BBVA USA | ||||||||
2.88%, 6/29/2022 | 300,000 | 301,833 | ||||||
Canadian Imperial Bank of Commerce |
| |||||||
2.25%, 1/28/2025 | 300,000 | 303,221 | ||||||
Capital One Bank USA NA | ||||||||
3.38%, 2/15/2023 | 750,000 | 762,556 | ||||||
Citigroup, Inc. | ||||||||
2.90%, 12/8/2021 | 750,000 | 765,497 | ||||||
4.50%, 1/14/2022 | 150,000 | 157,405 | ||||||
4.05%, 7/30/2022 | 100,000 | 105,041 | ||||||
3.35%, 4/24/2025(b) | 500,000 | 526,150 | ||||||
3.30%, 4/27/2025 | 200,000 | 212,021 | ||||||
4.40%, 6/10/2025 | 325,000 | 353,496 | ||||||
3.40%, 5/1/2026 | 200,000 | 212,833 | ||||||
3.20%, 10/21/2026 | 250,000 | 263,795 | ||||||
4.45%, 9/29/2027 | 200,000 | 219,436 | ||||||
3.67%, 7/24/2028(b) | 155,000 | 165,570 | ||||||
Citizens Bank NA | ||||||||
3.70%, 3/29/2023 | 300,000 | 314,642 | ||||||
Citizens Financial Group, Inc. | ||||||||
4.30%, 12/3/2025 | 60,000 | 64,533 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 283 |
Table of Contents
FlexShares® Credit-Scored US Corporate Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Banks – (continued) | ||||||||
Credit Suisse Group Funding Guernsey Ltd. | ||||||||
3.80%, 9/15/2022 | $ | 250,000 | $ | 260,062 | ||||
3.75%, 3/26/2025 | 650,000 | 689,869 | ||||||
Discover Bank | ||||||||
3.35%, 2/6/2023 | 300,000 | 304,651 | ||||||
4.20%, 8/8/2023 | 400,000 | 417,697 | ||||||
Fifth Third Bank NA | ||||||||
3.85%, 3/15/2026 | 400,000 | 430,722 | ||||||
HSBC Holdings plc | ||||||||
4.00%, 3/30/2022 | 510,000 | 533,061 | ||||||
4.25%, 8/18/2025 | 300,000 | 320,249 | ||||||
3.90%, 5/25/2026 | 200,000 | 217,835 | ||||||
4.29%, 9/12/2026(b) | 250,000 | 274,394 | ||||||
4.04%, 3/13/2028(b) | 500,000 | 540,927 | ||||||
3.97%, 5/22/2030(b) | 300,000 | 329,124 | ||||||
Huntington Bancshares, Inc. | ||||||||
4.00%, 5/15/2025 | 200,000 | 217,841 | ||||||
ING Groep NV | ||||||||
3.55%, 4/9/2024 | 200,000 | 210,572 | ||||||
4.55%, 10/2/2028 | 350,000 | 399,315 | ||||||
JPMorgan Chase & Co. | ||||||||
3.38%, 5/1/2023 | 520,000 | 545,135 | ||||||
3.56%, 4/23/2024(b) | 300,000 | 317,333 | ||||||
3.90%, 7/15/2025 | 250,000 | 275,575 | ||||||
2.95%, 10/1/2026 | 450,000 | 472,716 | ||||||
4.13%, 12/15/2026 | 125,000 | 138,369 | ||||||
3.78%, 2/1/2028(b) | 425,000 | 465,302 | ||||||
4.20%, 7/23/2029(b) | 350,000 | 396,509 | ||||||
KeyCorp | ||||||||
4.10%, 4/30/2028 | 200,000 | 218,507 | ||||||
Lloyds Banking Group plc | ||||||||
4.05%, 8/16/2023 | 300,000 | 317,668 | ||||||
2.91%, 11/7/2023(b) | 300,000 | 305,330 | ||||||
4.38%, 3/22/2028 | 200,000 | 223,092 | ||||||
3.57%, 11/7/2028(b) | 200,000 | 210,384 | ||||||
Mitsubishi UFJ Financial Group, Inc. | ||||||||
2.67%, 7/25/2022 | 850,000 | 867,565 | ||||||
3.85%, 3/1/2026 | 200,000 | 220,472 | ||||||
3.68%, 2/22/2027 | 350,000 | 379,638 | ||||||
3.29%, 7/25/2027 | 750,000 | 799,294 | ||||||
3.74%, 3/7/2029 | 200,000 | 221,243 |
Investments | Principal Amount | Value | ||||||
Banks – (continued) | ||||||||
Mizuho Financial Group, Inc. | ||||||||
2.95%, 2/28/2022 | $ | 400,000 | $ | 409,145 | ||||
3.55%, 3/5/2023 | 250,000 | 261,706 | ||||||
4.02%, 3/5/2028 | 500,000 | 555,965 | ||||||
National Australia Bank Ltd. | ||||||||
2.80%, 1/10/2022 | 250,000 | 257,797 | ||||||
3.63%, 6/20/2023 | 250,000 | 267,446 | ||||||
PNC Bank NA | ||||||||
3.50%, 6/8/2023 | 250,000 | 266,727 | ||||||
PNC Financial Services Group, Inc. (The) | ||||||||
3.30%, 3/8/2022 | 380,000 | 395,423 | ||||||
3.90%, 4/29/2024 | 50,000 | 54,457 | ||||||
3.15%, 5/19/2027 | 80,000 | 87,281 | ||||||
Royal Bank of Canada | ||||||||
2.75%, 2/1/2022 | 100,000 | 102,975 | ||||||
4.65%, 1/27/2026 | 250,000 | 284,130 | ||||||
Santander Holdings USA, Inc. | ||||||||
4.50%, 7/17/2025 | 200,000 | 206,230 | ||||||
Santander UK Group Holdings plc | ||||||||
3.82%, 11/3/2028(b) | 200,000 | 211,953 | ||||||
Sumitomo Mitsui Financial Group, Inc. | ||||||||
2.78%, 7/12/2022 | 400,000 | 409,373 | ||||||
3.10%, 1/17/2023 | 450,000 | 466,899 | ||||||
2.70%, 7/16/2024 | 500,000 | 515,173 | ||||||
3.78%, 3/9/2026 | 250,000 | 274,843 | ||||||
2.63%, 7/14/2026 | 600,000 | 620,894 | ||||||
3.36%, 7/12/2027 | 350,000 | 372,343 | ||||||
Toronto-Dominion Bank (The) |
| |||||||
3.25%, 3/11/2024 | 250,000 | 265,892 | ||||||
Truist Bank |
| |||||||
3.30%, 5/15/2026 | 200,000 | 213,228 | ||||||
Truist Financial Corp. |
| |||||||
2.85%, 10/26/2024 | 150,000 | 158,326 | ||||||
US Bancorp |
| |||||||
3.95%, 11/17/2025 | 200,000 | 224,688 | ||||||
3.00%, 7/30/2029 | 200,000 | 210,293 | ||||||
Wells Fargo & Co. |
| |||||||
3.50%, 3/8/2022 | 400,000 | 414,837 | ||||||
2.63%, 7/22/2022 | 300,000 | 307,543 | ||||||
3.07%, 1/24/2023 | 250,000 | 256,330 | ||||||
4.48%, 1/16/2024 | 225,000 | 242,786 |
See Accompanying Notes to the Financial Statements.
284 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Credit-Scored US Corporate Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Banks – (continued) | ||||||||
3.55%, 9/29/2025 | $ | 450,000 | $ | 486,737 | ||||
3.58%, 5/22/2028(b) | 250,000 | 269,066 | ||||||
Westpac Banking Corp. |
| |||||||
2.75%, 1/11/2023 | 400,000 | 416,775 | ||||||
3.40%, 1/25/2028 | 400,000 | 438,237 | ||||||
31,112,863 | ||||||||
Beverages – 0.6% | ||||||||
Anheuser-Busch InBev Finance, Inc. |
| |||||||
3.30%, 2/1/2023 | 180,000 | 190,201 | ||||||
Diageo Capital plc |
| |||||||
2.38%, 10/24/2029 | 200,000 | 206,747 | ||||||
PepsiCo, Inc. |
| |||||||
2.38%, 10/6/2026 | 300,000 | 321,472 | ||||||
718,420 | ||||||||
Biotechnology – 2.2% | ||||||||
AbbVie, Inc. |
| |||||||
2.90%, 11/6/2022 | 250,000 | 260,233 | ||||||
3.20%, 11/6/2022 | 240,000 | 251,297 | ||||||
2.60%, 11/21/2024(a) | 1,000,000 | 1,042,263 | ||||||
3.20%, 5/14/2026 | 100,000 | 107,098 | ||||||
4.25%, 11/14/2028 | 400,000 | 461,492 | ||||||
Amgen, Inc. |
| |||||||
3.63%, 5/22/2024 | 100,000 | 108,986 | ||||||
2.45%, 2/21/2030 | 200,000 | 207,262 | ||||||
Biogen, Inc. |
| |||||||
4.05%, 9/15/2025 | 300,000 | 333,807 | ||||||
2,772,438 | ||||||||
Building Products – 0.6% | ||||||||
Carrier Global Corp. |
| |||||||
2.24%, 2/15/2025(a) | 400,000 | 398,229 | ||||||
Johnson Controls International plc |
| |||||||
3.62%, 7/2/2024(c) | 200,000 | 210,177 | ||||||
Masco Corp. |
| |||||||
4.45%, 4/1/2025 | 200,000 | 211,041 | ||||||
819,447 | ||||||||
Capital Markets – 6.2% | ||||||||
Bank of New York Mellon Corp. (The) |
| |||||||
Series 0012, 3.65%, 2/4/2024 | 300,000 | 328,348 |
Investments | Principal Amount | Value | ||||||
Capital Markets – (continued) | ||||||||
BlackRock, Inc. |
| |||||||
3.20%, 3/15/2027 | $ | 200,000 | $ | 224,633 | ||||
Brookfield Finance, Inc. |
| |||||||
4.85%, 3/29/2029 | 200,000 | 220,025 | ||||||
Charles Schwab Corp. (The) |
| |||||||
3.20%, 1/25/2028 | 100,000 | 106,543 | ||||||
4.00%, 2/1/2029 | 400,000 | 451,511 | ||||||
Deutsche Bank AG |
| |||||||
4.25%, 10/14/2021 | 500,000 | 503,580 | ||||||
3.70%, 5/30/2024 | 295,000 | 288,236 | ||||||
E*TRADE Financial Corp. |
| |||||||
2.95%, 8/24/2022 | 200,000 | 204,394 | ||||||
Goldman Sachs Group, Inc. (The) |
| |||||||
3.00%, 4/26/2022 | 400,000 | 405,357 | ||||||
3.63%, 1/22/2023 | 500,000 | 524,984 | ||||||
3.50%, 1/23/2025 | 465,000 | 492,499 | ||||||
3.27%, 9/29/2025(b) | 500,000 | 523,380 | ||||||
3.69%, 6/5/2028(b) | 250,000 | 267,234 | ||||||
Morgan Stanley |
| |||||||
2.63%, 11/17/2021 | 400,000 | 406,638 | ||||||
3.75%, 2/25/2023 | 350,000 | 370,766 | ||||||
3.88%, 1/27/2026 | 200,000 | 220,322 | ||||||
4.35%, 9/8/2026 | 650,000 | 717,518 | ||||||
4.43%, 1/23/2030(b) | 625,000 | 724,213 | ||||||
S&P Global, Inc. |
| |||||||
4.40%, 2/15/2026 | 200,000 | 231,035 | ||||||
State Street Corp. |
| |||||||
3.10%, 5/15/2023 | 200,000 | 209,457 | ||||||
3.55%, 8/18/2025 | 100,000 | 109,983 | ||||||
TD Ameritrade Holding Corp. |
| |||||||
3.75%, 4/1/2024 | 300,000 | 322,131 | ||||||
7,852,787 | ||||||||
Chemicals – 1.0% | ||||||||
Celanese US Holdings LLC |
| |||||||
3.50%, 5/8/2024 | 200,000 | 200,484 | ||||||
Ecolab, Inc. |
| |||||||
2.70%, 11/1/2026 | 200,000 | 213,532 | ||||||
LYB International Finance II BV |
| |||||||
3.50%, 3/2/2027 | 200,000 | 205,877 | ||||||
Praxair, Inc. |
| |||||||
3.20%, 1/30/2026 | 200,000 | 218,253 | ||||||
RPM International, Inc. |
| |||||||
3.75%, 3/15/2027 | 100,000 | 102,864 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 285 |
Table of Contents
FlexShares® Credit-Scored US Corporate Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Chemicals – (continued) | ||||||||
Sherwin-Williams Co. (The) |
| |||||||
2.75%, 6/1/2022 | $ | 56,000 | $ | 56,602 | ||||
3.45%, 6/1/2027 | 200,000 | 215,361 | ||||||
2.95%, 8/15/2029 | 100,000 | 104,226 | ||||||
1,317,199 | ||||||||
Commercial Services & Supplies – 0.4% | ||||||||
Cintas Corp. No. 2 |
| |||||||
3.25%, 6/1/2022 | 250,000 | 257,118 | ||||||
Republic Services, Inc. |
| |||||||
3.95%, 5/15/2028 | 100,000 | 114,262 | ||||||
Waste Management, Inc. |
| |||||||
3.45%, 6/15/2029 | 150,000 | 170,754 | ||||||
542,134 | ||||||||
Communications Equipment – 0.5% | ||||||||
Cisco Systems, Inc. |
| |||||||
2.95%, 2/28/2026 | 100,000 | 110,269 | ||||||
Motorola Solutions, Inc. |
| |||||||
3.75%, 5/15/2022 | 57,000 | 59,028 | ||||||
3.50%, 3/1/2023 | 300,000 | 308,587 | ||||||
4.60%, 2/23/2028 | 100,000 | 111,123 | ||||||
589,007 | ||||||||
Construction Materials – 0.2% | ||||||||
Vulcan Materials Co. |
| |||||||
4.50%, 4/1/2025 | 200,000 | 212,274 | ||||||
Consumer Finance – 4.9% | ||||||||
AerCap Ireland Capital DAC |
| |||||||
3.95%, 2/1/2022 | 200,000 | 187,357 | ||||||
3.50%, 5/26/2022 | 200,000 | 186,183 | ||||||
3.88%, 1/23/2028 | 200,000 | 168,572 | ||||||
Ally Financial, Inc. |
| |||||||
3.88%, 5/21/2024 | 500,000 | 493,850 | ||||||
American Express Co. |
| |||||||
2.50%, 8/1/2022 | 200,000 | 204,482 | ||||||
3.00%, 10/30/2024 | 450,000 | 473,901 | ||||||
American Honda Finance Corp. |
| |||||||
3.63%, 10/10/2023 | 250,000 | 262,804 | ||||||
2.30%, 9/9/2026 | 200,000 | 197,001 | ||||||
Capital One Financial Corp. |
| |||||||
3.50%, 6/15/2023 | 700,000 | 723,280 |
Investments | Principal Amount | Value | ||||||
Consumer Finance – (continued) | ||||||||
3.20%, 2/5/2025 | $ | 750,000 | $ | 766,163 | ||||
3.75%, 7/28/2026 | 300,000 | 297,546 | ||||||
Discover Financial Services |
| |||||||
4.10%, 2/9/2027 | 400,000 | 401,247 | ||||||
General Motors Financial Co., Inc. |
| |||||||
4.35%, 1/17/2027 | 400,000 | 365,728 | ||||||
Synchrony Financial |
| |||||||
4.25%, 8/15/2024 | 350,000 | 341,286 | ||||||
5.15%, 3/19/2029 | 200,000 | 198,406 | ||||||
Toyota Motor Credit Corp. |
| |||||||
2.60%, 1/11/2022 | 250,000 | 255,680 | ||||||
2.90%, 4/17/2024 | 300,000 | 316,141 | ||||||
3.20%, 1/11/2027 | 300,000 | 321,395 | ||||||
6,161,022 | ||||||||
Diversified Financial Services – 1.2% | ||||||||
Berkshire Hathaway, Inc. |
| |||||||
3.13%, 3/15/2026 | 130,000 | 143,108 | ||||||
Shell International Finance BV |
| |||||||
3.25%, 5/11/2025 | 200,000 | 214,393 | ||||||
2.88%, 5/10/2026 | 675,000 | 716,577 | ||||||
Synchrony Bank |
| |||||||
3.00%, 6/15/2022 | 250,000 | 245,611 | ||||||
Voya Financial, Inc. |
| |||||||
5.65%, 5/15/2053(b) | 200,000 | 196,349 | ||||||
1,516,038 | ||||||||
Diversified Telecommunication Services – 0.9% | ||||||||
AT&T, Inc. |
| |||||||
3.40%, 5/15/2025 | 350,000 | 371,234 | ||||||
Verizon Communications, Inc. |
| |||||||
2.63%, 8/15/2026 | 80,000 | 85,034 | ||||||
4.13%, 3/16/2027 | 600,000 | 697,711 | ||||||
1,153,979 | ||||||||
Electric Utilities – 2.8% | ||||||||
Avangrid, Inc. |
| |||||||
3.20%, 4/15/2025 | 250,000 | 264,317 | ||||||
Duke Energy Corp. |
| |||||||
3.75%, 4/15/2024 | 250,000 | 272,401 | ||||||
Edison International |
| |||||||
5.75%, 6/15/2027 | 200,000 | 227,645 | ||||||
Eversource Energy |
| |||||||
Series K, 2.75%, 3/15/2022 | 150,000 | 154,121 | ||||||
Series M, 3.30%, 1/15/2028 | 100,000 | 108,923 |
See Accompanying Notes to the Financial Statements.
286 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Credit-Scored US Corporate Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Electric Utilities – (continued) | ||||||||
FirstEnergy Corp. |
| |||||||
Series B, 3.90%, 7/15/2027 | $ | 200,000 | $ | 220,563 | ||||
Fortis, Inc. |
| |||||||
3.06%, 10/4/2026 | 200,000 | 203,519 | ||||||
ITC Holdings Corp. |
| |||||||
2.70%, 11/15/2022 | 200,000 | 205,047 | ||||||
MidAmerican Energy Co. |
| |||||||
3.65%, 4/15/2029 | 100,000 | 116,474 | ||||||
NextEra Energy Capital Holdings, Inc. |
| |||||||
2.40%, 9/1/2021 | 200,000 | 203,447 | ||||||
2.80%, 1/15/2023 | 250,000 | 259,984 | ||||||
3.55%, 5/1/2027 | 250,000 | 275,608 | ||||||
3.50%, 4/1/2029 | 300,000 | 335,476 | ||||||
Southern Co. (The) |
| |||||||
3.25%, 7/1/2026 | 175,000 | 187,059 | ||||||
Southwestern Electric Power Co. |
| |||||||
Series M, 4.10%, 9/15/2028 | 200,000 | 224,269 | ||||||
Virginia Electric & Power Co. |
| |||||||
Series A, 3.15%, 1/15/2026 | 50,000 | 54,660 | ||||||
Series A, 3.50%, 3/15/2027 | 100,000 | 111,748 | ||||||
Xcel Energy, Inc. |
| |||||||
4.00%, 6/15/2028 | 100,000 | 113,155 | ||||||
3,538,416 | ||||||||
Electrical Equipment – 0.4% | ||||||||
ABB Finance USA, Inc. |
| |||||||
3.38%, 4/3/2023 | 250,000 | 261,203 | ||||||
Eaton Corp. |
| |||||||
2.75%, 11/2/2022 | 250,000 | 258,914 | ||||||
520,117 | ||||||||
Electronic Equipment, Instruments & Components – 0.5% | ||||||||
Allegion US Holding Co., Inc. |
| |||||||
3.20%, 10/1/2024 | 200,000 | 201,015 | ||||||
Keysight Technologies, Inc. |
| |||||||
4.60%, 4/6/2027 | 200,000 | 224,214 | ||||||
Tyco Electronics Group SA |
| |||||||
3.70%, 2/15/2026 | 200,000 | 214,677 | ||||||
639,906 | ||||||||
Energy Equipment & Services – 0.2% | ||||||||
Helmerich & Payne, Inc. |
| |||||||
4.65%, 3/15/2025 | 200,000 | 203,516 |
Investments | Principal Amount | Value | ||||||
Entertainment – 0.5% | ||||||||
Activision Blizzard, Inc. |
| |||||||
3.40%, 9/15/2026 | $ | 300,000 | $ | 335,022 | ||||
Walt Disney Co. (The) |
| |||||||
1.75%, 8/30/2024 | 300,000 | 304,620 | ||||||
639,642 | ||||||||
Equity Real Estate Investment Trusts (REITs) – 5.4% | ||||||||
Alexandria Real Estate Equities, Inc. |
| |||||||
3.45%, 4/30/2025 | 200,000 | 213,616 | ||||||
American Tower Corp. |
| |||||||
3.50%, 1/31/2023 | 250,000 | 264,477 | ||||||
AvalonBay Communities, Inc. |
| |||||||
3.45%, 6/1/2025 | 200,000 | 213,698 | ||||||
Boston Properties LP |
| |||||||
3.65%, 2/1/2026 | 255,000 | 267,421 | ||||||
4.50%, 12/1/2028 | 100,000 | 112,925 | ||||||
Brandywine Operating Partnership LP |
| |||||||
4.10%, 10/1/2024 | 250,000 | 255,417 | ||||||
Brixmor Operating Partnership LP |
| |||||||
4.13%, 5/15/2029 | 300,000 | 302,190 | ||||||
CubeSmart LP |
| |||||||
4.00%, 11/15/2025 | 250,000 | 261,027 | ||||||
Digital Realty Trust LP |
| |||||||
3.95%, 7/1/2022 | 74,000 | 76,281 | ||||||
4.45%, 7/15/2028 | 100,000 | 113,503 | ||||||
Duke Realty LP |
| |||||||
3.25%, 6/30/2026 | 250,000 | 262,433 | ||||||
EPR Properties |
| |||||||
4.95%, 4/15/2028 | 200,000 | 170,759 | ||||||
Equinix, Inc. |
| |||||||
5.38%, 5/15/2027 | 250,000 | 268,212 | ||||||
ERP Operating LP |
| |||||||
4.63%, 12/15/2021 | 200,000 | 206,880 | ||||||
Essex Portfolio LP |
| |||||||
3.88%, 5/1/2024 | 200,000 | 209,895 | ||||||
GLP Capital LP |
| |||||||
5.38%, 4/15/2026 | 300,000 | 300,270 | ||||||
Healthpeak Properties, Inc. |
| |||||||
4.25%, 11/15/2023 | 165,000 | 171,741 | ||||||
Host Hotels & Resorts LP |
| |||||||
Series E, 4.00%, 6/15/2025 | 250,000 | 241,919 | ||||||
Kilroy Realty LP |
| |||||||
4.38%, 10/1/2025 | 200,000 | 205,589 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 287 |
Table of Contents
FlexShares® Credit-Scored US Corporate Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Equity Real Estate Investment Trusts (REITs) – (continued) | ||||||||
National Retail Properties, Inc. |
| |||||||
3.90%, 6/15/2024 | $ | 250,000 | $ | 255,325 | ||||
Omega Healthcare Investors, Inc. |
| |||||||
4.38%, 8/1/2023 | 250,000 | 248,057 | ||||||
Public Storage |
| |||||||
3.09%, 9/15/2027 | 200,000 | 210,328 | ||||||
Service Properties Trust |
| |||||||
4.35%, 10/1/2024 | 250,000 | 212,036 | ||||||
Simon Property Group LP |
| |||||||
3.38%, 10/1/2024 | 600,000 | 597,998 | ||||||
UDR, Inc. |
| |||||||
3.50%, 7/1/2027 | 200,000 | 206,669 | ||||||
Ventas Realty LP |
| |||||||
3.50%, 2/1/2025 | 50,000 | 49,507 | ||||||
4.00%, 3/1/2028 | 150,000 | 149,768 | ||||||
Welltower, Inc. |
| |||||||
3.75%, 3/15/2023 | 30,000 | 30,623 | ||||||
4.25%, 4/1/2026 | 550,000 | 574,757 | ||||||
WP Carey, Inc. |
| |||||||
4.00%, 2/1/2025 | 150,000 | 151,560 | ||||||
6,804,881 | ||||||||
Food & Staples Retailing – 0.4% | ||||||||
Costco Wholesale Corp. |
| |||||||
3.00%, 5/18/2027 | 75,000 | 83,115 | ||||||
Sysco Corp. |
| |||||||
3.75%, 10/1/2025 | 200,000 | 207,374 | ||||||
Walmart, Inc. |
| |||||||
3.70%, 6/26/2028 | 150,000 | 174,041 | ||||||
464,530 | ||||||||
Food Products – 1.3% | ||||||||
General Mills, Inc. |
| |||||||
4.00%, 4/17/2025 | 250,000 | 275,683 | ||||||
4.20%, 4/17/2028 | 200,000 | 231,566 | ||||||
Mondelez International, Inc. |
| |||||||
4.00%, 2/1/2024 | 300,000 | 321,624 | ||||||
Unilever Capital Corp. |
| |||||||
2.60%, 5/5/2024 | 500,000 | 526,883 | ||||||
2.90%, 5/5/2027 | 200,000 | 217,560 | ||||||
3.50%, 3/22/2028 | 100,000 | 113,425 | ||||||
1,686,741 |
Investments | Principal Amount | Value | ||||||
Gas Utilities – 0.1% | ||||||||
National Fuel Gas Co. |
| |||||||
5.20%, 7/15/2025 | $ | 200,000 | $ | 198,662 | ||||
Health Care Equipment & Supplies – 1.2% | ||||||||
Baxter International, Inc. |
| |||||||
2.60%, 8/15/2026 | 200,000 | 213,219 | ||||||
Becton Dickinson and Co. |
| |||||||
3.73%, 12/15/2024 | 100,000 | 108,143 | ||||||
3.70%, 6/6/2027 | 200,000 | 218,361 | ||||||
Boston Scientific Corp. |
| |||||||
3.75%, 3/1/2026 | 250,000 | 272,968 | ||||||
DH Europe Finance II Sarl |
| |||||||
2.20%, 11/15/2024 | 250,000 | 257,129 | ||||||
Medtronic, Inc. |
| |||||||
3.50%, 3/15/2025 | 156,000 | 174,366 | ||||||
Stryker Corp. |
| |||||||
3.50%, 3/15/2026 | 200,000 | 221,680 | ||||||
1,465,866 | ||||||||
Health Care Providers & Services – 0.9% | ||||||||
AmerisourceBergen Corp. |
| |||||||
3.40%, 5/15/2024 | 250,000 | 264,951 | ||||||
CVS Health Corp. |
| |||||||
4.30%, 3/25/2028 | 350,000 | 397,543 | ||||||
HCA, Inc. |
| |||||||
5.25%, 6/15/2026 | 250,000 | 279,288 | ||||||
UnitedHealth Group, Inc. |
| |||||||
3.75%, 7/15/2025 | 75,000 | 84,111 | ||||||
3.88%, 12/15/2028 | 55,000 | 63,708 | ||||||
1,089,601 | ||||||||
Hotels, Restaurants & Leisure – 1.8% | ||||||||
Las Vegas Sands Corp. |
| |||||||
3.20%, 8/8/2024 | 400,000 | 388,989 | ||||||
3.50%, 8/18/2026 | 200,000 | 190,689 | ||||||
Marriott International, Inc. |
| |||||||
2.30%, 1/15/2022 | 80,000 | 77,539 | ||||||
3.60%, 4/15/2024 | 150,000 | 143,179 | ||||||
McDonald’s Corp. |
| |||||||
3.80%, 4/1/2028 | 150,000 | 168,869 | ||||||
Sands China Ltd. |
| |||||||
4.60%, 8/8/2023 | 500,000 | 516,325 | ||||||
5.13%, 8/8/2025 | 400,000 | 420,508 |
See Accompanying Notes to the Financial Statements.
288 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Credit-Scored US Corporate Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Hotels, Restaurants & Leisure – (continued) | ||||||||
Starbucks Corp. |
| |||||||
3.10%, 3/1/2023 | $ | 100,000 | $ | 104,490 | ||||
3.50%, 3/1/2028 | 200,000 | 214,744 | ||||||
2,225,332 | ||||||||
Household Durables – 0.2% | ||||||||
DR Horton, Inc. |
| |||||||
4.38%, 9/15/2022 | 200,000 | 205,785 | ||||||
Household Products – 0.9% | ||||||||
Church & Dwight Co., Inc. |
| |||||||
2.88%, 10/1/2022 | 250,000 | 256,152 | ||||||
Clorox Co. (The) |
| |||||||
3.10%, 10/1/2027 | 200,000 | 216,108 | ||||||
Colgate-Palmolive Co. |
| |||||||
3.25%, 3/15/2024 | 250,000 | 271,528 | ||||||
Kimberly-Clark Corp. |
| |||||||
2.75%, 2/15/2026 | 200,000 | 214,211 | ||||||
Procter & Gamble Co. (The) |
| |||||||
3.10%, 8/15/2023 | 150,000 | 162,959 | ||||||
1,120,958 | ||||||||
Industrial Conglomerates – 1.3% | ||||||||
3M Co. |
| |||||||
3.38%, 3/1/2029 | 200,000 | 222,780 | ||||||
Carlisle Cos., Inc. |
| |||||||
3.75%, 12/1/2027 | 200,000 | 204,621 | ||||||
Honeywell International, Inc. |
| |||||||
1.85%, 11/1/2021 | 80,000 | 81,351 | ||||||
2.50%, 11/1/2026 | 300,000 | 320,752 | ||||||
2.70%, 8/15/2029 | 100,000 | 108,575 | ||||||
Ingersoll-Rand Luxembourg Finance SA |
| |||||||
3.50%, 3/21/2026 | 200,000 | 212,018 | ||||||
Roper Technologies, Inc. |
| |||||||
3.65%, 9/15/2023 | 300,000 | 316,687 | ||||||
3.80%, 12/15/2026 | 200,000 | 216,145 | ||||||
1,682,929 | ||||||||
Insurance – 3.0% | ||||||||
Aflac, Inc. |
| |||||||
2.88%, 10/15/2026 | 100,000 | 101,157 | ||||||
Allied World Assurance Co. Holdings Ltd. |
| |||||||
4.35%, 10/29/2025 | 200,000 | 204,678 |
Investments | Principal Amount | Value | ||||||
Insurance – (continued) | ||||||||
Allstate Corp. (The) |
| |||||||
Series B, 5.75%, 8/15/2053(b) | $ | 200,000 | $ | 204,258 | ||||
American International Group, Inc. |
| |||||||
3.90%, 4/1/2026 | 100,000 | 108,456 | ||||||
4.25%, 3/15/2029 | 150,000 | 164,592 | ||||||
Aon plc |
| |||||||
3.88%, 12/15/2025 | 400,000 | 434,854 | ||||||
Brown & Brown, Inc. |
| |||||||
4.20%, 9/15/2024 | 200,000 | 210,965 | ||||||
Chubb INA Holdings, Inc. |
| |||||||
3.15%, 3/15/2025 | 270,000 | 292,945 | ||||||
Manulife Financial Corp. |
| |||||||
4.15%, 3/4/2026 | 200,000 | 221,349 | ||||||
Markel Corp. |
| |||||||
3.63%, 3/30/2023 | 200,000 | 209,504 | ||||||
Marsh & McLennan Cos., Inc. |
| |||||||
3.50%, 3/10/2025 | 75,000 | 81,272 | ||||||
4.38%, 3/15/2029 | 200,000 | 233,490 | ||||||
MetLife, Inc. |
| |||||||
3.05%, 12/15/2022(c) | 250,000 | 261,695 | ||||||
Old Republic International Corp. |
| |||||||
4.88%, 10/1/2024 | 200,000 | 215,744 | ||||||
Progressive Corp. (The) |
| |||||||
2.45%, 1/15/2027 | 200,000 | 207,416 | ||||||
Prudential Financial, Inc. |
| |||||||
2.10%, 3/10/2030 | 300,000 | 299,257 | ||||||
5.20%, 3/15/2044(b) | 10,000 | 9,870 | ||||||
RenaissanceRe Finance, Inc. |
| |||||||
3.45%, 7/1/2027 | 100,000 | 101,869 | ||||||
Trinity Acquisition plc |
| |||||||
4.40%, 3/15/2026 | 200,000 | 222,206 | ||||||
3,785,577 | ||||||||
Interactive Media & Services – 0.2% | ||||||||
Weibo Corp. |
| |||||||
3.50%, 7/5/2024 | 200,000 | 203,768 | ||||||
Internet & Direct Marketing Retail – 1.4% | ||||||||
Alibaba Group Holding Ltd. |
| |||||||
3.60%, 11/28/2024 | 300,000 | 324,395 | ||||||
Amazon.com, Inc. |
| |||||||
3.15%, 8/22/2027 | 300,000 | 337,655 | ||||||
Booking Holdings, Inc. |
| |||||||
3.60%, 6/1/2026 | 500,000 | 523,455 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 289 |
Table of Contents
FlexShares® Credit-Scored US Corporate Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Internet & Direct Marketing Retail – (continued) | ||||||||
eBay, Inc. |
| |||||||
2.60%, 7/15/2022 | $ | 200,000 | $ | 205,235 | ||||
3.45%, 8/1/2024 | 120,000 | 128,504 | ||||||
3.60%, 6/5/2027 | 200,000 | 217,580 | ||||||
1,736,824 | ||||||||
IT Services – 2.5% | ||||||||
Broadridge Financial Solutions, Inc. |
| |||||||
3.40%, 6/27/2026 | 200,000 | 210,502 | ||||||
Fidelity National Information Services, Inc. |
| |||||||
3.00%, 8/15/2026 | 100,000 | 106,373 | ||||||
Fiserv, Inc. |
| |||||||
3.20%, 7/1/2026 | 500,000 | 536,422 | ||||||
International Business Machines Corp. |
| |||||||
3.50%, 5/15/2029 | 100,000 | 113,138 | ||||||
Mastercard, Inc. |
| |||||||
2.95%, 11/21/2026 | 300,000 | 329,606 | ||||||
2.95%, 6/1/2029 | 150,000 | 164,958 | ||||||
PayPal Holdings, Inc. |
| |||||||
2.20%, 9/26/2022 | 530,000 | 540,061 | ||||||
2.85%, 10/1/2029 | 100,000 | 106,757 | ||||||
Visa, Inc. |
| |||||||
2.80%, 12/14/2022 | 500,000 | 527,062 | ||||||
3.15%, 12/14/2025 | 450,000 | 497,650 | ||||||
3,132,529 | ||||||||
Leisure Products – 0.1% | ||||||||
Hasbro, Inc. |
| |||||||
3.55%, 11/19/2026 | 200,000 | 196,174 | ||||||
Life Sciences Tools & Services – 0.4% | ||||||||
Thermo Fisher Scientific, Inc. |
| |||||||
2.95%, 9/19/2026 | 450,000 | 487,319 | ||||||
Machinery – 0.6% | ||||||||
Fortive Corp. |
| |||||||
2.35%, 6/15/2021 | 200,000 | 200,975 | ||||||
Illinois Tool Works, Inc. |
| |||||||
2.65%, 11/15/2026 | 200,000 | 217,880 | ||||||
Otis Worldwide Corp. |
| |||||||
2.06%, 4/5/2025(a) | 300,000 | 306,495 | ||||||
725,350 |
Investments | Principal Amount | Value | ||||||
Media – 0.8% | ||||||||
Comcast Corp. |
| |||||||
4.15%, 10/15/2028 | $ | 600,000 | $ | 703,609 | ||||
Omnicom Group, Inc. |
| |||||||
3.63%, 5/1/2022 | 200,000 | 209,815 | ||||||
3.60%, 4/15/2026 | 100,000 | 106,828 | ||||||
1,020,252 | ||||||||
Metals & Mining – 1.0% | ||||||||
BHP Billiton Finance USA Ltd. |
| |||||||
3.85%, 9/30/2023 | 300,000 | 326,565 | ||||||
Rio Tinto Finance USA Ltd. |
| |||||||
3.75%, 6/15/2025 | 300,000 | 326,340 | ||||||
Steel Dynamics, Inc. |
| |||||||
2.80%, 12/15/2024 | 300,000 | 293,950 | ||||||
Vale Overseas Ltd. |
| |||||||
6.25%, 8/10/2026 | 300,000 | 330,195 | ||||||
1,277,050 | ||||||||
Multiline Retail – 0.8% | ||||||||
Dollar General Corp. |
| |||||||
3.88%, 4/15/2027 | 400,000 | 440,116 | ||||||
Dollar Tree, Inc. |
| |||||||
3.70%, 5/15/2023 | 300,000 | 314,953 | ||||||
Target Corp. |
| |||||||
3.38%, 4/15/2029 | 200,000 | 226,350 | ||||||
981,419 | ||||||||
Multi-Utilities – 0.8% | ||||||||
Ameren Corp. |
| |||||||
2.50%, 9/15/2024 | 200,000 | 207,411 | ||||||
Berkshire Hathaway Energy Co. |
| |||||||
3.25%, 4/15/2028 | 100,000 | 110,010 | ||||||
DTE Energy Co. |
| |||||||
Series C, 3.40%, 6/15/2029 | 110,000 | 114,378 | ||||||
Public Service Enterprise Group, Inc. |
| |||||||
2.65%, 11/15/2022 | 200,000 | 205,860 | ||||||
2.88%, 6/15/2024 | 200,000 | 209,126 | ||||||
Sempra Energy |
| |||||||
3.55%, 6/15/2024 | 200,000 | 211,250 | ||||||
1,058,035 | ||||||||
Oil, Gas & Consumable Fuels – 7.8% | ||||||||
BP Capital Markets America, Inc. |
| |||||||
3.22%, 4/14/2024 | 300,000 | 316,316 |
See Accompanying Notes to the Financial Statements.
290 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Credit-Scored US Corporate Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Oil, Gas & Consumable Fuels – (continued) | ||||||||
Canadian Natural Resources Ltd. |
| |||||||
3.85%, 6/1/2027 | $ | 400,000 | $ | 368,529 | ||||
Concho Resources, Inc. |
| |||||||
4.38%, 1/15/2025 | 300,000 | 298,042 | ||||||
ConocoPhillips Co. |
| |||||||
4.95%, 3/15/2026 | 300,000 | 344,827 | ||||||
Enbridge, Inc. |
| |||||||
3.70%, 7/15/2027 | 200,000 | 202,390 | ||||||
3.13%, 11/15/2029 | 450,000 | 433,332 | ||||||
Energy Transfer Operating LP |
| |||||||
5.88%, 1/15/2024 | 500,000 | 521,673 | ||||||
5.50%, 6/1/2027 | 200,000 | 203,736 | ||||||
Enterprise Products Operating LLC |
| |||||||
3.35%, 3/15/2023 | 430,000 | 446,125 | ||||||
3.75%, 2/15/2025 | 200,000 | 213,124 | ||||||
4.15%, 10/16/2028 | 250,000 | 271,000 | ||||||
EOG Resources, Inc. |
| |||||||
4.15%, 1/15/2026 | 300,000 | 331,493 | ||||||
Exxon Mobil Corp. |
| |||||||
2.40%, 3/6/2022 | 300,000 | 307,479 | ||||||
2.73%, 3/1/2023 | 160,000 | 166,513 | ||||||
2.99%, 3/19/2025 | 1,000,000 | 1,069,127 | ||||||
3.04%, 3/1/2026 | 200,000 | 214,683 | ||||||
HollyFrontier Corp. |
| |||||||
5.88%, 4/1/2026 | 200,000 | 204,885 | ||||||
MPLX LP |
| |||||||
4.00%, 2/15/2025 | 100,000 | 95,203 | ||||||
4.13%, 3/1/2027 | 350,000 | 339,056 | ||||||
ONEOK Partners LP |
| |||||||
4.90%, 3/15/2025 | 400,000 | 398,893 | ||||||
Phillips 66 |
| |||||||
3.85%, 4/9/2025 | 250,000 | 262,116 | ||||||
Phillips 66 Partners LP |
| |||||||
3.55%, 10/1/2026 | 200,000 | 199,786 | ||||||
Plains All American Pipeline LP |
| |||||||
4.65%, 10/15/2025 | 150,000 | 141,526 | ||||||
Sabine Pass Liquefaction LLC |
| |||||||
5.63%, 3/1/2025 | 400,000 | 419,787 | ||||||
Spectra Energy Partners LP |
| |||||||
4.75%, 3/15/2024 | 400,000 | 427,531 | ||||||
Total Capital International SA |
| |||||||
3.75%, 4/10/2024 | 180,000 | 193,776 | ||||||
3.46%, 2/19/2029 | 200,000 | 216,115 |
Investments | Principal Amount | Value | ||||||
Oil, Gas & Consumable Fuels – (continued) | ||||||||
TransCanada PipeLines Ltd. |
| |||||||
2.50%, 8/1/2022 | $ | 350,000 | $ | 353,695 | ||||
4.25%, 5/15/2028 | 200,000 | 215,807 | ||||||
Valero Energy Corp. |
| |||||||
3.65%, 3/15/2025 | 200,000 | 206,173 | ||||||
3.40%, 9/15/2026 | 250,000 | 249,430 | ||||||
Valero Energy Partners LP |
| |||||||
4.50%, 3/15/2028 | 200,000 | 207,864 | ||||||
9,840,032 | ||||||||
Paper & Forest Products – 0.2% | ||||||||
Suzano Austria GmbH |
| |||||||
6.00%, 1/15/2029 | 200,000 | 201,860 | ||||||
Pharmaceuticals – 3.2% | ||||||||
Allergan Funding SCS |
| |||||||
3.80%, 3/15/2025 | 200,000 | 213,811 | ||||||
AstraZeneca plc |
| |||||||
3.38%, 11/16/2025 | 300,000 | 332,633 | ||||||
Bristol-Myers Squibb Co. |
| |||||||
3.63%, 5/15/2024(a) | 300,000 | 330,481 | ||||||
3.90%, 2/20/2028(a) | 200,000 | 233,517 | ||||||
Eli Lilly and Co. |
| |||||||
2.35%, 5/15/2022 | 250,000 | 258,321 | ||||||
GlaxoSmithKline Capital, Inc. |
| |||||||
3.38%, 5/15/2023 | 200,000 | 214,058 | ||||||
3.88%, 5/15/2028 | 200,000 | 233,057 | ||||||
Johnson & Johnson |
| |||||||
2.45%, 3/1/2026 | 500,000 | 540,322 | ||||||
Merck & Co., Inc. |
| |||||||
2.75%, 2/10/2025 | 365,000 | 396,212 | ||||||
Novartis Capital Corp. |
| |||||||
3.40%, 5/6/2024 | 200,000 | 219,088 | ||||||
3.00%, 11/20/2025 | 700,000 | 768,048 | ||||||
Zoetis, Inc. |
| |||||||
3.25%, 2/1/2023 | 150,000 | 156,628 | ||||||
3.00%, 9/12/2027 | 100,000 | 108,532 | ||||||
4,004,708 | ||||||||
Road & Rail – 0.7% | ||||||||
Burlington Northern Santa Fe LLC |
| |||||||
3.05%, 3/15/2022 | 200,000 | 206,825 | ||||||
CSX Corp. |
| |||||||
3.25%, 6/1/2027 | 100,000 | 108,272 | ||||||
4.25%, 3/15/2029 | 200,000 | 233,699 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 291 |
Table of Contents
FlexShares® Credit-Scored US Corporate Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Road & Rail – 0.7% | ||||||||
Union Pacific Corp. |
| |||||||
4.16%, 7/15/2022 | $ | 100,000 | $ | 106,155 | ||||
3.95%, 9/10/2028 | 250,000 | 286,207 | ||||||
941,158 | ||||||||
Semiconductors & Semiconductor Equipment – 1.5% | ||||||||
Broadcom Corp. |
| |||||||
3.88%, 1/15/2027 | 300,000 | 313,278 | ||||||
Intel Corp. |
| |||||||
2.70%, 12/15/2022 | 200,000 | 210,499 | ||||||
2.60%, 5/19/2026 | 150,000 | 161,341 | ||||||
Lam Research Corp. |
| |||||||
3.75%, 3/15/2026 | 200,000 | 224,360 | ||||||
Micron Technology, Inc. |
| |||||||
4.19%, 2/15/2027 | 400,000 | 427,464 | ||||||
NVIDIA Corp. |
| |||||||
3.20%, 9/16/2026 | 300,000 | 332,404 | ||||||
QUALCOMM, Inc. |
| |||||||
3.25%, 5/20/2027 | 200,000 | 218,806 | ||||||
1,888,152 | ||||||||
Software – 1.9% | ||||||||
Adobe, Inc. |
| |||||||
3.25%, 2/1/2025 | 250,000 | 275,143 | ||||||
Citrix Systems, Inc. |
| |||||||
4.50%, 12/1/2027 | 200,000 | 222,906 | ||||||
Microsoft Corp. |
| |||||||
1.55%, 8/8/2021 | 500,000 | 506,389 | ||||||
2.38%, 2/12/2022 | 400,000 | 412,791 | ||||||
2.70%, 2/12/2025 | 140,000 | 151,742 | ||||||
3.13%, 11/3/2025 | 150,000 | 167,430 | ||||||
2.40%, 8/8/2026 | 100,000 | 108,143 | ||||||
Oracle Corp. |
| |||||||
2.65%, 7/15/2026 | 300,000 | 319,986 | ||||||
3.25%, 11/15/2027 | 200,000 | 220,662 | ||||||
2,385,192 | ||||||||
Specialty Retail – 1.8% | ||||||||
AutoZone, Inc. |
| |||||||
3.25%, 4/15/2025 | 300,000 | 317,546 | ||||||
Home Depot, Inc. (The) |
| |||||||
2.63%, 6/1/2022 | 400,000 | 415,884 | ||||||
3.00%, 4/1/2026 | 330,000 | 361,973 |
Investments | Principal Amount | Value | ||||||
Specialty Retail – (continued) | ||||||||
Lowe’s Cos., Inc. |
| |||||||
3.38%, 9/15/2025 | $ | 100,000 | $ | 108,859 | ||||
3.10%, 5/3/2027 | 300,000 | 318,529 | ||||||
O’Reilly Automotive, Inc. |
| |||||||
3.55%, 3/15/2026 | 300,000 | 313,767 | ||||||
TJX Cos., Inc. (The) |
| |||||||
3.50%, 4/15/2025 | 250,000 | 269,796 | ||||||
3.88%, 4/15/2030 | 200,000 | 223,911 | ||||||
2,330,265 | ||||||||
Technology Hardware, Storage & Peripherals – 2.4% | ||||||||
Apple, Inc. |
| |||||||
2.40%, 5/3/2023 | 700,000 | 734,632 | ||||||
3.00%, 2/9/2024 | 690,000 | 742,161 | ||||||
3.20%, 5/11/2027 | 450,000 | 502,403 | ||||||
2.90%, 9/12/2027 | 500,000 | 546,902 | ||||||
Seagate HDD Cayman |
| |||||||
4.88%, 6/1/2027 | 500,000 | 522,757 | ||||||
3,048,855 | ||||||||
Textiles, Apparel & Luxury Goods – 0.2% | ||||||||
NIKE, Inc. |
| |||||||
2.38%, 11/1/2026 | 300,000 | 321,760 | ||||||
Tobacco – 3.0% | ||||||||
Altria Group, Inc. |
| |||||||
3.49%, 2/14/2022 | 200,000 | 206,914 | ||||||
2.85%, 8/9/2022 | 160,000 | 164,714 | ||||||
4.00%, 1/31/2024 | 100,000 | 107,893 | ||||||
2.63%, 9/16/2026 | 160,000 | 162,570 | ||||||
4.80%, 2/14/2029 | 300,000 | 336,384 | ||||||
BAT Capital Corp. |
| |||||||
2.76%, 8/15/2022 | 800,000 | 811,334 | ||||||
3.56%, 8/15/2027 | 200,000 | 205,841 | ||||||
3.46%, 9/6/2029 | 600,000 | 615,568 | ||||||
Philip Morris International, Inc. |
| |||||||
2.75%, 2/25/2026 | 700,000 | 746,993 | ||||||
Reynolds American, Inc. | ||||||||
4.00%, 6/12/2022 | 450,000 | 468,461 | ||||||
3,826,672 | ||||||||
Trading Companies & Distributors – 0.5% | ||||||||
Air Lease Corp. | ||||||||
3.00%, 9/15/2023 | 405,000 | 372,486 |
See Accompanying Notes to the Financial Statements.
292 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Credit-Scored US Corporate Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Trading Companies & Distributors – (continued) | ||||||||
Aircastle Ltd. | ||||||||
4.40%, 9/25/2023 | $ | 250,000 | $ | 219,770 | ||||
592,256 | ||||||||
Wireless Telecommunication Services – 0.3% | ||||||||
T-Mobile USA, Inc. | ||||||||
3.75%, 4/15/2027(a) | 350,000 | 377,660 | ||||||
Total Corporate Bonds (Cost $121,730,872) |
| 125,078,711 | ||||||
Total Investments – 99.0% (Cost $121,730,872) |
| 125,078,711 | ||||||
Other Assets Less Liabilities – 1.0% |
| 1,235,502 | ||||||
NET ASSETS – 100.0% | $ | 126,314,213 |
(a) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined by valuations supplied by a pricing service or brokers, or, if not available, in accordance with procedures established by the Board of Trustees. |
(b) | Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate shown is the rate in effect as of period end. |
(c) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future at a contingent upon predetermined trigger. The interest rate shown was the current rate as of April 30, 2020. |
Percentages shown are based on Net Assets.
As of April 30, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 3,763,875 | ||
Aggregate gross unrealized depreciation | (519,265 | ) | ||
Net unrealized appreciation | $ | 3,244,610 | ||
Federal income tax cost | $ | 121,834,101 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 293 |
Table of Contents
Schedule of Investments
FlexShares® Credit-Scored US Long Corporate Bond Index Fund
April 30, 2020 (Unaudited)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – 98.8% | ||||||||
Aerospace & Defense – 1.1% | ||||||||
L3Harris Technologies, Inc. | ||||||||
5.05%, 4/27/2045 | $ | 20,000 | $ | 25,138 | ||||
Lockheed Martin Corp. | ||||||||
4.09%, 9/15/2052 | 125,000 | 161,675 | ||||||
Northrop Grumman Corp. | ||||||||
4.75%, 6/1/2043 | 135,000 | 175,495 | ||||||
362,308 | ||||||||
Air Freight & Logistics – 0.5% | ||||||||
FedEx Corp. | ||||||||
4.75%, 11/15/2045 | 105,000 | 114,297 | ||||||
United Parcel Service, Inc. | ||||||||
3.75%, 11/15/2047 | 40,000 | 47,066 | ||||||
161,363 | ||||||||
Auto Components – 0.1% | ||||||||
BorgWarner, Inc. | ||||||||
4.38%, 3/15/2045 | 50,000 | 47,742 | ||||||
Automobiles – 0.5% | ||||||||
General Motors Co. | ||||||||
6.60%, 4/1/2036 | 100,000 | 91,993 | ||||||
5.95%, 4/1/2049 | 100,000 | 85,389 | ||||||
177,382 | ||||||||
Banks – 8.6% | ||||||||
Bank of America Corp. | ||||||||
4.24%, 4/24/2038(a) | 230,000 | 269,257 | ||||||
5.00%, 1/21/2044 | 140,000 | 183,597 | ||||||
Citigroup, Inc. | ||||||||
8.13%, 7/15/2039 | 22,000 | 36,385 | ||||||
5.88%, 1/30/2042 | 35,000 | 48,806 | ||||||
4.75%, 5/18/2046 | 185,000 | 225,795 | ||||||
4.28%, 4/24/2048(a) | 60,000 | 69,920 | ||||||
4.65%, 7/23/2048 | 195,000 | 240,429 | ||||||
Fifth Third Bancorp | ||||||||
8.25%, 3/1/2038 | 25,000 | 37,275 | ||||||
HSBC Holdings plc | ||||||||
6.50%, 5/2/2036 | 350,000 | 474,299 | ||||||
6.10%, 1/14/2042 | 105,000 | 149,155 |
Investments | Principal Amount | Value | ||||||
Banks – (continued) | ||||||||
JPMorgan Chase & Co. | ||||||||
6.40%, 5/15/2038 | $ | 100,000 | $ | 147,884 | ||||
4.26%, 2/22/2048(a) | 90,000 | 110,548 | ||||||
3.90%, 1/23/2049(a) | 105,000 | 122,936 | ||||||
Lloyds Banking Group plc | ||||||||
4.34%, 1/9/2048 | 200,000 | 219,804 | ||||||
Wachovia Corp. | ||||||||
5.50%, 8/1/2035 | 200,000 | 250,786 | ||||||
Wells Fargo & Co. | ||||||||
5.38%, 11/2/2043 | 165,000 | 210,356 | ||||||
2,797,232 | ||||||||
Beverages – 1.9% | ||||||||
Anheuser-Busch Cos. LLC | ||||||||
4.70%, 2/1/2036 | 280,000 | 314,286 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
5.45%, 1/23/2039 | 100,000 | 120,776 | ||||||
Molson Coors Beverage Co. | ||||||||
5.00%, 5/1/2042 | 50,000 | 54,572 | ||||||
PepsiCo, Inc. | ||||||||
3.45%, 10/6/2046 | 115,000 | 132,449 | ||||||
622,083 | ||||||||
Biotechnology – 3.5% | ||||||||
AbbVie, Inc. | ||||||||
4.40%, 11/6/2042 | 145,000 | 169,744 | ||||||
4.70%, 5/14/2045 | 130,000 | 154,864 | ||||||
4.45%, 5/14/2046 | 300,000 | 351,013 | ||||||
Amgen, Inc. | ||||||||
5.15%, 11/15/2041 | 55,000 | 74,114 | ||||||
4.40%, 5/1/2045 | 130,000 | 159,957 | ||||||
4.66%, 6/15/2051 | 125,000 | 164,147 | ||||||
Biogen, Inc. | ||||||||
5.20%, 9/15/2045 | 50,000 | 65,552 | ||||||
1,139,391 | ||||||||
Building Products – 0.6% | ||||||||
Johnson Controls International plc | ||||||||
6.00%, 1/15/2036 | 150,000 | 185,937 |
See Accompanying Notes to the Financial Statements.
294 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Credit-Scored US Long Corporate Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Capital Markets – 4.1% | ||||||||
Goldman Sachs Group, Inc. (The) |
| |||||||
6.75%, 10/1/2037 | $ | 165,000 | $ | 225,858 | ||||
4.02%, 10/31/2038(a) | 130,000 | 143,159 | ||||||
5.15%, 5/22/2045 | 170,000 | 207,341 | ||||||
4.75%, 10/21/2045 | 85,000 | 103,543 | ||||||
Moody’s Corp. | ||||||||
5.25%, 7/15/2044 | 100,000 | 135,776 | ||||||
Morgan Stanley | ||||||||
6.38%, 7/24/2042 | 75,000 | 116,070 | ||||||
4.30%, 1/27/2045 | 185,000 | 223,975 | ||||||
Raymond James Financial, Inc. | ||||||||
4.95%, 7/15/2046 | 45,000 | 53,418 | ||||||
S&P Global, Inc. | ||||||||
4.50%, 5/15/2048 | 100,000 | 132,219 | ||||||
1,341,359 | ||||||||
Chemicals – 1.4% | ||||||||
Ecolab, Inc. | ||||||||
5.50%, 12/8/2041 | 100,000 | 129,526 | ||||||
LYB International Finance BV | ||||||||
4.88%, 3/15/2044 | 85,000 | 94,057 | ||||||
LyondellBasell Industries NV | ||||||||
4.63%, 2/26/2055 | 100,000 | 105,700 | ||||||
Praxair, Inc. | ||||||||
3.55%, 11/7/2042 | 10,000 | 11,317 | ||||||
Sherwin-Williams Co. (The) | ||||||||
4.50%, 6/1/2047 | 95,000 | 115,323 | ||||||
455,923 | ||||||||
Communications Equipment – 0.4% | ||||||||
Cisco Systems, Inc. | ||||||||
5.90%, 2/15/2039 | 85,000 | 126,623 | ||||||
Containers & Packaging – 0.1% | ||||||||
Sonoco Products Co. | ||||||||
5.75%, 11/1/2040 | 20,000 | 23,776 | ||||||
Diversified Financial Services – 0.5% | ||||||||
Shell International Finance BV | ||||||||
3.13%, 11/7/2049 | 150,000 | 153,940 | ||||||
Diversified Telecommunication Services – 5.8% | ||||||||
AT&T, Inc. | ||||||||
4.50%, 5/15/2035 | 270,000 | 303,256 |
Investments | Principal Amount | Value | ||||||
Diversified Telecommunication Services – (continued) | ||||||||
4.30%, 12/15/2042 | $ | 170,000 | $ | 185,523 | ||||
4.35%, 6/15/2045 | 300,000 | 330,142 | ||||||
Deutsche Telekom International Finance BV | ||||||||
8.75%, 6/15/2030(b) | 110,000 | 162,915 | ||||||
Verizon Communications, Inc. | ||||||||
4.27%, 1/15/2036 | 759,000 | 913,128 | ||||||
1,894,964 | ||||||||
Electric Utilities – 5.6% | ||||||||
Duke Energy Corp. | ||||||||
3.75%, 9/1/2046 | 150,000 | 170,803 | ||||||
Exelon Corp. | ||||||||
4.45%, 4/15/2046 | 165,000 | 197,860 | ||||||
Florida Power & Light Co. | ||||||||
4.13%, 2/1/2042 | 225,000 | 283,987 | ||||||
MidAmerican Energy Co. | ||||||||
4.25%, 7/15/2049 | 200,000 | 268,289 | ||||||
Public Service Electric & Gas Co. | ||||||||
3.80%, 3/1/2046 | 115,000 | 141,418 | ||||||
Southern California Edison Co. | ||||||||
4.50%, 9/1/2040 | 100,000 | 120,693 | ||||||
Southern Co. (The) | ||||||||
4.40%, 7/1/2046 | 150,000 | 181,217 | ||||||
Virginia Electric & Power Co. | ||||||||
8.88%, 11/15/2038 | 200,000 | 342,475 | ||||||
4.60%, 12/1/2048 | 100,000 | 133,737 | ||||||
1,840,479 | ||||||||
Electrical Equipment – 0.0%(c) | ||||||||
Eaton Corp. | ||||||||
4.15%, 11/2/2042 | 15,000 | 17,488 | ||||||
Electronic Equipment, Instruments & Components – 0.6% | ||||||||
Corning, Inc. | ||||||||
4.75%, 3/15/2042 | 45,000 | 52,795 | ||||||
4.38%, 11/15/2057 | 125,000 | 136,488 | ||||||
189,283 | ||||||||
Energy Equipment & Services – 0.5% | ||||||||
Halliburton Co. | ||||||||
4.85%, 11/15/2035 | 185,000 | 162,478 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 295 |
Table of Contents
FlexShares® Credit-Scored US Long Corporate Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Equity Real Estate Investment Trusts (REITs) – 0.2% | ||||||||
ERP Operating LP | ||||||||
4.50%, 7/1/2044 | $ | 20,000 | $ | 24,592 | ||||
Federal Realty Investment Trust | ||||||||
4.50%, 12/1/2044 | 25,000 | 27,774 | ||||||
52,366 | ||||||||
Food & Staples Retailing – 1.7% | ||||||||
Kroger Co. (The) | ||||||||
4.45%, 2/1/2047 | 45,000 | 53,268 | ||||||
Sysco Corp. | ||||||||
4.85%, 10/1/2045 | 35,000 | 35,554 | ||||||
4.45%, 3/15/2048 | 100,000 | 99,424 | ||||||
Walgreens Boots Alliance, Inc. | ||||||||
4.80%, 11/18/2044 | 150,000 | 160,707 | ||||||
Walmart, Inc. | ||||||||
4.05%, 6/29/2048 | 155,000 | 203,382 | ||||||
552,335 | ||||||||
Food Products – 0.2% | ||||||||
Kellogg Co. | ||||||||
Series B, 7.45%, 4/1/2031 | 45,000 | 60,355 | ||||||
Gas Utilities – 0.9% | ||||||||
Atmos Energy Corp. | ||||||||
5.50%, 6/15/2041 | 100,000 | 140,882 | ||||||
4.13%, 10/15/2044 | 15,000 | 18,695 | ||||||
Dominion Energy Gas Holdings LLC | ||||||||
Series C, 3.90%, 11/15/2049 | 100,000 | 99,156 | ||||||
Southern California Gas Co. | ||||||||
Series VV, 4.30%, 1/15/2049 | 20,000 | 24,991 | ||||||
283,724 | ||||||||
Health Care Equipment & Supplies – 1.5% | ||||||||
Abbott Laboratories | ||||||||
4.90%, 11/30/2046 | 85,000 | 120,102 | ||||||
Becton Dickinson and Co. | ||||||||
4.67%, 6/6/2047 | 100,000 | 125,695 | ||||||
DH Europe Finance II Sarl | ||||||||
3.40%, 11/15/2049 | 50,000 | 56,175 | ||||||
Koninklijke Philips NV | ||||||||
5.00%, 3/15/2042 | 135,000 | 168,937 |
Investments | Principal Amount | Value | ||||||
Health Care Equipment & Supplies – (continued) | ||||||||
Stryker Corp. | ||||||||
4.63%, 3/15/2046 | $ | 25,000 | $ | 31,678 | ||||
502,587 | ||||||||
Health Care Providers & Services – 0.4% | ||||||||
HCA, Inc. | ||||||||
5.13%, 6/15/2039 | 100,000 | 117,214 | ||||||
Humana, Inc. | ||||||||
4.95%, 10/1/2044 | 15,000 | 18,777 | ||||||
135,991 | ||||||||
Hotels, Restaurants & Leisure – 2.3% | ||||||||
McDonald’s Corp. | ||||||||
6.30%, 3/1/2038 | 75,000 | 105,788 | ||||||
4.88%, 12/9/2045 | 130,000 | 163,129 | ||||||
4.45%, 3/1/2047 | 200,000 | 246,342 | ||||||
Starbucks Corp. | ||||||||
3.75%, 12/1/2047 | 65,000 | 69,283 | ||||||
4.45%, 8/15/2049 | 150,000 | 180,064 | ||||||
764,606 | ||||||||
Industrial Conglomerates – 1.2% | ||||||||
3M Co. | ||||||||
4.00%, 9/14/2048 | 100,000 | 124,969 | ||||||
Honeywell International, Inc. | ||||||||
5.70%, 3/15/2036 | 100,000 | 136,343 | ||||||
Ingersoll-Rand Global Holding Co. Ltd. | ||||||||
5.75%, 6/15/2043 | 20,000 | 25,658 | ||||||
Ingersoll-Rand Luxembourg Finance SA | ||||||||
4.50%, 3/21/2049 | 100,000 | 117,866 | ||||||
404,836 | ||||||||
Insurance – 5.6% | ||||||||
Aflac, Inc. | ||||||||
6.45%, 8/15/2040 | 50,000 | 67,338 | ||||||
4.75%, 1/15/2049 | 45,000 | 57,815 | ||||||
Allstate Corp. (The) | ||||||||
6.50%, 5/15/2057(a) | 15,000 | 17,156 | ||||||
American International Group, Inc. | ||||||||
3.88%, 1/15/2035 | 110,000 | 117,770 | ||||||
Aon plc | ||||||||
4.60%, 6/14/2044 | 55,000 | 66,247 |
See Accompanying Notes to the Financial Statements.
296 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Credit-Scored US Long Corporate Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Insurance – (continued) | ||||||||
Berkshire Hathaway Finance Corp. | ||||||||
5.75%, 1/15/2040 | $ | 65,000 | $ | 95,219 | ||||
4.25%, 1/15/2049 | 300,000 | 381,528 | ||||||
Brighthouse Financial, Inc. | ||||||||
4.70%, 6/22/2047 | 50,000 | 43,367 | ||||||
Chubb Corp. (The) | ||||||||
6.00%, 5/11/2037 | 30,000 | 43,720 | ||||||
Manulife Financial Corp. | ||||||||
5.38%, 3/4/2046 | 30,000 | 38,717 | ||||||
Markel Corp. | ||||||||
5.00%, 4/5/2046 | 150,000 | 169,255 | ||||||
Marsh & McLennan Cos., Inc. | ||||||||
4.35%, 1/30/2047 | 20,000 | 24,847 | ||||||
4.90%, 3/15/2049 | 65,000 | 88,890 | ||||||
MetLife, Inc. | ||||||||
5.70%, 6/15/2035 | 100,000 | 135,313 | ||||||
6.40%, 12/15/2036 | 60,000 | 67,320 | ||||||
4.88%, 11/13/2043 | 50,000 | 64,820 | ||||||
Principal Financial Group, Inc. | ||||||||
6.05%, 10/15/2036 | 25,000 | 32,411 | ||||||
Progressive Corp. (The) | ||||||||
4.13%, 4/15/2047 | 100,000 | 127,460 | ||||||
Prudential Financial, Inc. | ||||||||
3.94%, 12/7/2049 | 45,000 | 49,168 | ||||||
Travelers Cos., Inc. (The) | ||||||||
4.10%, 3/4/2049 | 120,000 | 152,737 | ||||||
1,841,098 | ||||||||
Internet & Direct Marketing Retail – 1.6% | ||||||||
Alibaba Group Holding Ltd. | ||||||||
4.00%, 12/6/2037 | 170,000 | 195,141 | ||||||
4.40%, 12/6/2057 | 50,000 | 64,494 | ||||||
Amazon.com, Inc. | ||||||||
4.25%, 8/22/2057 | 165,000 | 226,506 | ||||||
eBay, Inc. | ||||||||
4.00%, 7/15/2042 | 35,000 | 35,266 | ||||||
521,407 | ||||||||
IT Services – 2.8% | ||||||||
International Business Machines Corp. | ||||||||
4.25%, 5/15/2049 | 185,000 | 228,179 |
Investments | Principal Amount | Value | ||||||
IT Services – (continued) | ||||||||
Mastercard, Inc. | ||||||||
3.65%, 6/1/2049 | $ | 200,000 | $ | 241,152 | ||||
Visa, Inc. | ||||||||
4.30%, 12/14/2045 | 70,000 | 92,996 | ||||||
3.65%, 9/15/2047 | 300,000 | 367,220 | ||||||
929,547 | ||||||||
Life Sciences Tools & Services – 0.2% | ||||||||
Thermo Fisher Scientific, Inc. | ||||||||
4.10%, 8/15/2047 | 40,000 | 50,198 | ||||||
Machinery – 0.4% | ||||||||
Cummins, Inc. | ||||||||
4.88%, 10/1/2043 | 50,000 | 66,426 | ||||||
Fortive Corp. | ||||||||
4.30%, 6/15/2046 | 25,000 | 27,040 | ||||||
Illinois Tool Works, Inc. | ||||||||
3.90%, 9/1/2042 | 25,000 | 29,890 | ||||||
123,356 | ||||||||
Media – 2.9% | ||||||||
Charter Communications Operating LLC | ||||||||
5.38%, 4/1/2038 | 400,000 | 473,175 | ||||||
Comcast Corp. | ||||||||
4.70%, 10/15/2048 | 105,000 | 138,173 | ||||||
Time Warner Cable LLC | ||||||||
4.50%, 9/15/2042 | 200,000 | 212,092 | ||||||
ViacomCBS, Inc. | ||||||||
5.85%, 9/1/2043 | 100,000 | 114,151 | ||||||
937,591 | ||||||||
Metals & Mining – 3.5% | ||||||||
Barrick PD Australia Finance Pty. Ltd. | ||||||||
5.95%, 10/15/2039 | 250,000 | 339,718 | ||||||
BHP Billiton Finance USA Ltd. | ||||||||
5.00%, 9/30/2043 | 145,000 | 199,589 | ||||||
Newmont Corp. | ||||||||
5.88%, 4/1/2035 | 50,000 | 71,505 | ||||||
Nucor Corp. | ||||||||
4.40%, 5/1/2048 | 65,000 | 76,870 | ||||||
Rio Tinto Finance USA Ltd. | ||||||||
5.20%, 11/2/2040 | 65,000 | 88,220 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 297 |
Table of Contents
FlexShares® Credit-Scored US Long Corporate Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Metals & Mining – (continued) | ||||||||
Vale Overseas Ltd. | ||||||||
6.88%, 11/21/2036 | $ | 100,000 | $ | 117,111 | ||||
6.88%, 11/10/2039 | 200,000 | 237,080 | ||||||
1,130,093 | ||||||||
Multi-Utilities – 1.9% | ||||||||
Berkshire Hathaway Energy Co. | ||||||||
4.45%, 1/15/2049 | 100,000 | 132,310 | ||||||
Consolidated Edison Co. of New York, Inc. | ||||||||
Series A, 4.13%, 5/15/2049 | 100,000 | 121,980 | ||||||
4.50%, 5/15/2058 | 130,000 | 162,141 | ||||||
Sempra Energy | ||||||||
3.80%, 2/1/2038 | 100,000 | 106,647 | ||||||
Southern Co. Gas Capital Corp. |
| |||||||
3.95%, 10/1/2046 | 84,000 | 88,892 | ||||||
611,970 | ||||||||
Oil, Gas & Consumable Fuels – 13.0% | ||||||||
Canadian Natural Resources Ltd. | ||||||||
6.25%, 3/15/2038 | 45,000 | 44,290 | ||||||
ConocoPhillips | ||||||||
5.90%, 10/15/2032 | 270,000 | 358,757 | ||||||
Devon Energy Corp. | ||||||||
5.60%, 7/15/2041 | 110,000 | 89,672 | ||||||
Enbridge Energy Partners LP | ||||||||
5.50%, 9/15/2040 | 100,000 | 105,302 | ||||||
Enbridge, Inc. | ||||||||
5.50%, 12/1/2046 | 125,000 | 140,981 | ||||||
Energy Transfer Operating LP | ||||||||
6.50%, 2/1/2042 | 200,000 | 202,388 | ||||||
6.25%, 4/15/2049 | 200,000 | 193,541 | ||||||
Enterprise Products Operating LLC | ||||||||
5.95%, 2/1/2041 | 105,000 | 118,352 | ||||||
4.45%, 2/15/2043 | 150,000 | 152,622 | ||||||
4.85%, 3/15/2044 | 230,000 | 248,985 | ||||||
4.25%, 2/15/2048 | 85,000 | 85,563 | ||||||
Exxon Mobil Corp. | ||||||||
4.11%, 3/1/2046 | 85,000 | 101,541 | ||||||
4.33%, 3/19/2050 | 100,000 | 122,945 | ||||||
Kinder Morgan, Inc. | ||||||||
5.55%, 6/1/2045 | 225,000 | 259,153 |
Investments | Principal Amount | Value | ||||||
Oil, Gas & Consumable Fuels – (continued) | ||||||||
Magellan Midstream Partners LP | ||||||||
5.15%, 10/15/2043 | $ | 15,000 | $ | 15,505 | ||||
4.20%, 10/3/2047 | 70,000 | 65,228 | ||||||
4.85%, 2/1/2049 | 100,000 | 105,997 | ||||||
Marathon Petroleum Corp. | ||||||||
6.50%, 3/1/2041 | 100,000 | 105,235 | ||||||
MPLX LP | ||||||||
5.50%, 2/15/2049 | 200,000 | 199,161 | ||||||
ONEOK Partners LP | ||||||||
6.13%, 2/1/2041 | 100,000 | 91,573 | ||||||
ONEOK, Inc. | ||||||||
5.20%, 7/15/2048 | 100,000 | 88,552 | ||||||
Phillips 66 | ||||||||
5.88%, 5/1/2042 | 90,000 | 114,556 | ||||||
4.88%, 11/15/2044 | 150,000 | 169,051 | ||||||
Phillips 66 Partners LP | ||||||||
4.90%, 10/1/2046 | 25,000 | 24,648 | ||||||
Plains All American Pipeline LP | ||||||||
5.15%, 6/1/2042 | 85,000 | 72,531 | ||||||
Suncor Energy, Inc. | ||||||||
5.95%, 5/15/2035 | 150,000 | 159,223 | ||||||
4.00%, 11/15/2047 | 115,000 | 109,168 | ||||||
TransCanada PipeLines Ltd. | ||||||||
4.63%, 3/1/2034 | 40,000 | 42,569 | ||||||
6.20%, 10/15/2037 | 225,000 | 278,322 | ||||||
7.63%, 1/15/2039 | 150,000 | 212,563 | ||||||
Valero Energy Corp. | ||||||||
6.63%, 6/15/2037 | 100,000 | 119,662 | ||||||
4.90%, 3/15/2045 | 50,000 | 53,782 | ||||||
4,251,418 | ||||||||
Personal Products – 0.3% | ||||||||
Estee Lauder Cos., Inc. (The) | ||||||||
3.70%, 8/15/2042 | 100,000 | 102,729 | ||||||
Pharmaceuticals – 2.5% | ||||||||
Eli Lilly and Co. | ||||||||
3.95%, 3/15/2049 | 50,000 | 63,810 | ||||||
4.15%, 3/15/2059 | 45,000 | 61,810 | ||||||
GlaxoSmithKline Capital, Inc. | ||||||||
6.38%, 5/15/2038 | 45,000 | 70,450 | ||||||
Johnson & Johnson | ||||||||
5.85%, 7/15/2038 | 150,000 | 224,718 | ||||||
3.70%, 3/1/2046 | 105,000 | 132,975 |
See Accompanying Notes to the Financial Statements.
298 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Credit-Scored US Long Corporate Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Pharmaceuticals – (continued) | ||||||||
Merck & Co., Inc. | ||||||||
3.70%, 2/10/2045 | $ | 145,000 | $ | 175,846 | ||||
Novartis Capital Corp. | ||||||||
4.40%, 5/6/2044 | 20,000 | 26,882 | ||||||
Zoetis, Inc. | ||||||||
4.70%, 2/1/2043 | 35,000 | 45,302 | ||||||
801,793 | ||||||||
Road & Rail – 1.9% | ||||||||
Burlington Northern Santa Fe LLC | ||||||||
5.15%, 9/1/2043 | 54,000 | 72,487 | ||||||
CSX Corp. | ||||||||
4.10%, 3/15/2044 | 150,000 | 174,427 | ||||||
Union Pacific Corp. | ||||||||
4.10%, 9/15/2067 | 325,000 | 372,763 | ||||||
619,677 | ||||||||
Semiconductors & Semiconductor Equipment – 1.7% | ||||||||
Intel Corp. | ||||||||
3.73%, 12/8/2047 | 85,000 | �� | 102,555 | |||||
3.10%, 2/15/2060 | 200,000 | 215,937 | ||||||
NVIDIA Corp. | ||||||||
3.50%, 4/1/2050 | 100,000 | 115,852 | ||||||
QUALCOMM, Inc. | ||||||||
4.80%, 5/20/2045 | 90,000 | 115,385 | ||||||
549,729 | ||||||||
Software – 4.2% | ||||||||
Microsoft Corp. | ||||||||
3.50%, 2/12/2035 | 160,000 | 191,094 | ||||||
3.70%, 8/8/2046 | 100,000 | 123,409 | ||||||
3.95%, 8/8/2056 | 325,000 | 429,131 | ||||||
Oracle Corp. | ||||||||
6.13%, 7/8/2039 | 105,000 | 155,426 | ||||||
5.38%, 7/15/2040 | 200,000 | 273,412 | ||||||
4.38%, 5/15/2055 | 165,000 | 209,574 | ||||||
1,382,046 | ||||||||
Specialty Retail – 2.6% | ||||||||
Home Depot, Inc. (The) | ||||||||
5.88%, 12/16/2036 | 300,000 | 428,659 | ||||||
5.95%, 4/1/2041 | 150,000 | 223,174 |
Investments | Principal Amount | Value | ||||||
Specialty Retail – (continued) | ||||||||
Lowe’s Cos., Inc. | ||||||||
4.38%, 9/15/2045 | $ | 175,000 | $ | 204,800 | ||||
856,633 | ||||||||
Technology Hardware, Storage & Peripherals – 2.8% | ||||||||
Apple, Inc. | ||||||||
3.85%, 5/4/2043 | 100,000 | 121,086 | ||||||
4.38%, 5/13/2045 | 200,000 | 261,783 | ||||||
4.65%, 2/23/2046 | 190,000 | 258,430 | ||||||
Hewlett Packard Enterprise Co. | ||||||||
6.35%, 10/15/2045(b) | 200,000 | 240,199 | ||||||
HP, Inc. | ||||||||
6.00%, 9/15/2041 | 35,000 | 38,820 | ||||||
920,318 | ||||||||
Textiles, Apparel & Luxury Goods – 0.1% | ||||||||
NIKE, Inc. | ||||||||
3.63%, 5/1/2043 | 45,000 | 49,978 | ||||||
Tobacco – 5.4% | ||||||||
Altria Group, Inc. | ||||||||
5.80%, 2/14/2039 | 200,000 | 239,481 | ||||||
4.25%, 8/9/2042 | 240,000 | 238,470 | ||||||
5.38%, 1/31/2044 | 125,000 | 143,342 | ||||||
BAT Capital Corp. | ||||||||
4.39%, 8/15/2037 | 250,000 | 256,995 | ||||||
4.54%, 8/15/2047 | 200,000 | 210,246 | ||||||
Philip Morris International, Inc. | ||||||||
4.13%, 3/4/2043 | 230,000 | 260,010 | ||||||
4.25%, 11/10/2044 | 250,000 | 291,229 | ||||||
Reynolds American, Inc. | ||||||||
5.85%, 8/15/2045 | 100,000 | 115,981 | ||||||
1,755,754 | ||||||||
Trading Companies & Distributors – 0.4% | ||||||||
WW Grainger, Inc. | ||||||||
4.60%, 6/15/2045 | 100,000 | 123,602 | ||||||
Water Utilities – 0.3% | ||||||||
American Water Capital Corp. | ||||||||
4.20%, 9/1/2048 | 70,000 | 88,722 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 299 |
Table of Contents
FlexShares® Credit-Scored US Long Corporate Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Wireless Telecommunication Services – 0.5% | ||||||||
America Movil SAB de CV | ||||||||
6.13%, 3/30/2040 | $ | 130,000 | $ | 177,436 | ||||
Total Corporate Bonds (Cost $30,671,919) |
| 32,281,646 | ||||||
Total Investments – 98.8% (Cost $30,671,919) |
| 32,281,646 | ||||||
Other Assets Less Liabilities – 1.2% |
| 390,909 | ||||||
NET ASSETS – 100.0% |
| $ | 32,672,555 |
(a) | Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate shown is the rate in effect as of period end. |
(b) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future at a contingent upon predetermined trigger. The interest rate shown was the current rate as of April 30, 2020. |
(c) | Represents less than 0.05% of net assets. |
Percentages shown are based on Net Assets.
As of April 30, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 1,929,333 | ||
Aggregate gross unrealized depreciation | (321,340 | ) | ||
Net unrealized appreciation | $ | 1,607,993 | ||
Federal income tax cost | $ | 30,673,653 |
See Accompanying Notes to the Financial Statements.
300 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Schedule of Investments
FlexShares® High Yield Value-Scored Bond Index Fund
April 30, 2020 (Unaudited)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – 97.2% | ||||||||
Aerospace & Defense – 2.0% | ||||||||
Howmet Aerospace, Inc. |
| |||||||
6.75%, 1/15/2028 | $ | 150,000 | $ | 145,757 | ||||
Kratos Defense & Security Solutions, Inc. | ||||||||
6.50%, 11/30/2025(a) | 100,000 | 98,270 | ||||||
Signature Aviation US Holdings, Inc. | ||||||||
5.38%, 5/1/2026(a) | 200,000 | 185,660 | ||||||
TransDigm UK Holdings plc | ||||||||
6.88%, 5/15/2026 | 605,000 | 521,570 | ||||||
TransDigm, Inc. | ||||||||
6.38%, 6/15/2026 | 990,000 | 851,796 | ||||||
7.50%, 3/15/2027 | 200,000 | 182,990 | ||||||
5.50%, 11/15/2027(a) | 995,000 | 845,402 | ||||||
Triumph Group, Inc. | ||||||||
5.25%, 6/1/2022 | 230,000 | 179,297 | ||||||
3,010,742 | ||||||||
Air Freight & Logistics – 0.2% | ||||||||
Cargo Aircraft Management, Inc. | ||||||||
4.75%, 2/1/2028(a) | 100,000 | 94,000 | ||||||
XPO Logistics, Inc. | ||||||||
6.75%, 8/15/2024(a) | 210,000 | 217,308 | ||||||
311,308 | ||||||||
Auto Components – 2.0% | ||||||||
Allison Transmission, Inc. | ||||||||
4.75%, 10/1/2027(a) | 100,000 | 93,710 | ||||||
Dana Financing Luxembourg Sarl |
| |||||||
6.50%, 6/1/2026(a) | 280,000 | 255,430 | ||||||
Delphi Technologies plc | ||||||||
5.00%, 10/1/2025(a) | 400,000 | 376,500 | ||||||
Goodyear Tire & Rubber Co. (The) | ||||||||
5.00%, 5/31/2026 | 250,000 | 218,663 | ||||||
Icahn Enterprises LP | ||||||||
6.25%, 5/15/2026 | 560,000 | 552,899 | ||||||
JB Poindexter & Co., Inc. | ||||||||
7.13%, 4/15/2026(a) | 30,000 | 29,313 |
Investments | Principal Amount | Value | ||||||
Auto Components – (continued) | ||||||||
Panther BF Aggregator 2 LP | ||||||||
6.25%, 5/15/2026(a) | $ | 400,000 | $ | 404,480 | ||||
8.50%, 5/15/2027(a) | 1,160,000 | 988,494 | ||||||
2,919,489 | ||||||||
Automobiles – 1.2% | ||||||||
Fiat Chrysler Automobiles NV | ||||||||
5.25%, 4/15/2023 | 200,000 | 199,500 | ||||||
Ford Motor Co. | ||||||||
4.35%, 12/8/2026 | 145,000 | 116,000 | ||||||
6.63%, 10/1/2028 | 365,000 | 305,687 | ||||||
7.45%, 7/16/2031 | 1,050,000 | 884,625 | ||||||
4.75%, 1/15/2043 | 200,000 | 129,000 | ||||||
Mclaren Finance plc | ||||||||
5.75%, 8/1/2022(a) | 200,000 | 141,860 | ||||||
1,776,672 | ||||||||
Banks – 0.2% | ||||||||
Societe Generale SA | ||||||||
8.00%, 9/29/2025(a) (b) (c) | 345,000 | 350,415 | ||||||
Beverages – 0.1% | ||||||||
Cott Holdings, Inc. | ||||||||
5.50%, 4/1/2025(a) | 100,000 | 101,020 | ||||||
Building Products – 0.4% | ||||||||
Masonite International Corp. | ||||||||
5.75%, 9/15/2026(a) | 100,000 | 97,710 | ||||||
Patrick Industries, Inc. | ||||||||
7.50%, 10/15/2027(a) | 200,000 | 189,420 | ||||||
PGT Innovations, Inc. | ||||||||
6.75%, 8/1/2026(a) | 130,000 | 129,259 | ||||||
Standard Industries, Inc. | ||||||||
5.38%, 11/15/2024(a) | 75,000 | 75,656 | ||||||
4.75%, 1/15/2028(a) | 130,000 | 127,920 | ||||||
619,965 | ||||||||
Capital Markets – 0.9% | ||||||||
Advisor Group Holdings, Inc. | ||||||||
10.75%, 8/1/2027(a) | 435,000 | 332,949 | ||||||
Compass Group Diversified Holdings LLC |
| |||||||
8.00%, 5/1/2026(a) | 100,000 | 105,210 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 301 |
Table of Contents
FlexShares® High Yield Value-Scored Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Capital Markets – (continued) | ||||||||
Deutsche Bank AG | ||||||||
4.30%, 5/24/2028(c) | $ | 300,000 | $ | 270,484 | ||||
4.88%, 12/1/2032(c) | 200,000 | 179,583 | ||||||
Donnelley Financial Solutions, Inc. | ||||||||
8.25%, 10/15/2024 | 180,000 | 168,714 | ||||||
FS Energy & Power Fund | ||||||||
7.50%, 8/15/2023(a) | 150,000 | 97,905 | ||||||
LPL Holdings, Inc. | ||||||||
5.75%, 9/15/2025(a) | 130,000 | 128,863 | ||||||
1,283,708 | ||||||||
Chemicals – 3.1% | ||||||||
CF Industries, Inc. | ||||||||
5.15%, 3/15/2034 | 130,000 | 135,805 | ||||||
4.95%, 6/1/2043 | 50,000 | 51,418 | ||||||
Chemours Co. (The) | ||||||||
6.63%, 5/15/2023 | 210,000 | 197,442 | ||||||
7.00%, 5/15/2025 | 600,000 | 566,940 | ||||||
5.38%, 5/15/2027 | 205,000 | 171,441 | ||||||
Cornerstone Chemical Co. | ||||||||
6.75%, 8/15/2024(a) | 250,000 | 204,325 | ||||||
Foxtrot Escrow Issuer LLC | ||||||||
12.25%, 11/15/2026(a) | 510,000 | 423,147 | ||||||
FXI Holdings, Inc. | ||||||||
7.88%, 11/1/2024(a) | 310,000 | 228,238 | ||||||
Gates Global LLC |
| |||||||
6.25%, 1/15/2026(a) | 325,000 | 297,281 | ||||||
GCP Applied Technologies, Inc. |
| |||||||
5.50%, 4/15/2026(a) | 100,000 | 96,960 | ||||||
Hexion, Inc. | ||||||||
7.88%, 7/15/2027(a) | 250,000 | 230,325 | ||||||
Kraton Polymers LLC | ||||||||
7.00%, 4/15/2025(a) | 75,000 | 72,525 | ||||||
Neon Holdings, Inc. | ||||||||
10.13%, 4/1/2026(a) | 200,000 | 181,190 | ||||||
NOVA Chemicals Corp. | ||||||||
5.25%, 8/1/2023(a) | 150,000 | 142,312 | ||||||
5.25%, 6/1/2027(a) | 100,000 | 80,465 | ||||||
Olin Corp. | ||||||||
5.63%, 8/1/2029 | 100,000 | 90,840 |
Investments | Principal Amount | Value | ||||||
Chemicals – (continued) | ||||||||
Rain CII Carbon LLC | ||||||||
7.25%, 4/1/2025(a) | $ | 300,000 | $ | 258,675 | ||||
Scotts Miracle-Gro Co. (The) | ||||||||
4.50%, 10/15/2029 | 100,000 | 98,130 | ||||||
Starfruit Finco BV | ||||||||
8.00%, 10/1/2026(a) | 450,000 | 423,675 | ||||||
TPC Group, Inc. | ||||||||
10.50%, 8/1/2024(a) | 550,000 | 452,485 | ||||||
Trinseo Materials Operating SCA | ||||||||
5.38%, 9/1/2025(a) | 285,000 | 241,894 | ||||||
4,645,513 | ||||||||
Commercial Services & Supplies – 5.2% | ||||||||
Allied Universal Holdco LLC | ||||||||
6.63%, 7/15/2026(a) | 375,000 | 387,300 | ||||||
9.75%, 7/15/2027(a) | 805,000 | 817,719 | ||||||
Aptim Corp. | ||||||||
7.75%, 6/15/2025(a) | 200,000 | 69,460 | ||||||
APX Group, Inc. | ||||||||
7.88%, 12/1/2022 | 106,000 | 101,936 | ||||||
7.63%, 9/1/2023 | 150,000 | 118,095 | ||||||
8.50%, 11/1/2024(a) | 425,000 | 394,102 | ||||||
6.75%, 2/15/2027(a) | 140,000 | 119,658 | ||||||
Aramark Services, Inc. | ||||||||
5.00%, 4/1/2025(a) | 100,000 | 98,125 | ||||||
4.75%, 6/1/2026 | 350,000 | 336,280 | ||||||
Cimpress plc | ||||||||
7.00%, 6/15/2026(a) | 150,000 | 109,980 | ||||||
Covanta Holding Corp. | ||||||||
5.88%, 7/1/2025 | 110,000 | 107,228 | ||||||
6.00%, 1/1/2027 | 100,000 | 96,710 | ||||||
Garda World Security Corp. | ||||||||
8.75%, 5/15/2025(a) | 260,000 | 259,025 | ||||||
9.50%, 11/1/2027(a) | 345,000 | 346,604 | ||||||
GFL Environmental, Inc. | ||||||||
8.50%, 5/1/2027(a) | 210,000 | 230,126 | ||||||
IAA, Inc. | ||||||||
5.50%, 6/15/2027(a) | 100,000 | 100,245 | ||||||
Intrado Corp. | ||||||||
8.50%, 10/15/2025(a) | 730,000 | 514,760 | ||||||
KAR Auction Services, Inc. | ||||||||
5.13%, 6/1/2025(a) | 180,000 | 154,242 | ||||||
Nielsen Co. Luxembourg SARL (The) |
| |||||||
5.00%, 2/1/2025(a) | 500,000 | 485,625 |
See Accompanying Notes to the Financial Statements.
302 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® High Yield Value-Scored Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Commercial Services & Supplies – (continued) | ||||||||
Nielsen Finance LLC | ||||||||
5.00%, 4/15/2022(a) | $ | 467,000 | $ | 462,125 | ||||
Pitney Bowes, Inc. | ||||||||
5.70%, 4/1/2023(d) | 150,000 | 123,533 | ||||||
4.63%, 3/15/2024 | 12,000 | 9,086 | ||||||
Prime Security Services Borrower LLC | ||||||||
5.25%, 4/15/2024(a) | 500,000 | 492,445 | ||||||
6.25%, 1/15/2028(a) | 835,000 | 746,114 | ||||||
Ritchie Bros Auctioneers, Inc. | ||||||||
5.38%, 1/15/2025(a) | 100,000 | 101,520 | ||||||
Stericycle, Inc. | ||||||||
5.38%, 7/15/2024(a) | 100,000 | 100,912 | ||||||
TMS International Holding Corp. | ||||||||
7.25%, 8/15/2025(a) | 100,000 | 75,355 | ||||||
Vericast Corp. | ||||||||
9.25%, 3/1/2021(a) | 244,000 | 247,138 | ||||||
8.38%, 8/15/2022(a) | 100,000 | 72,295 | ||||||
12.50%, 5/1/2024(a) | 312,372 | 321,743 | ||||||
Waste Pro USA, Inc. | ||||||||
5.50%, 2/15/2026(a) | 150,000 | 149,370 | ||||||
7,748,856 | ||||||||
Communications Equipment – 1.0% | ||||||||
CommScope, Inc. | ||||||||
5.50%, 6/15/2024(a) | 670,000 | 597,137 | ||||||
6.00%, 3/1/2026(a) | 365,000 | 367,628 | ||||||
Telefonaktiebolaget LM Ericsson |
| |||||||
4.13%, 5/15/2022 | 250,000 | 260,625 | ||||||
ViaSat, Inc. | ||||||||
5.63%, 4/15/2027(a) | 300,000 | 296,895 | ||||||
1,522,285 | ||||||||
Construction & Engineering – 0.5% | ||||||||
AECOM | ||||||||
5.13%, 3/15/2027 | 200,000 | 204,220 | ||||||
Brand Industrial Services, Inc. | ||||||||
8.50%, 7/15/2025(a) | 610,000 | 455,213 | ||||||
New Enterprise Stone & Lime Co., Inc. | ||||||||
10.13%, 4/1/2022(a) | 142,000 | 141,936 | ||||||
801,369 |
Investments | Principal Amount | Value | ||||||
Consumer Finance – 1.3% | ||||||||
Credit Acceptance Corp. | ||||||||
6.63%, 3/15/2026 | $ | 200,000 | $ | 181,000 | ||||
Enova International, Inc. | ||||||||
8.50%, 9/1/2024(a) | 130,000 | 114,049 | ||||||
Ford Motor Credit Co. LLC | ||||||||
5.88%, 8/2/2021 | 235,000 | 233,825 | ||||||
4.54%, 8/1/2026 | 200,000 | 172,750 | ||||||
5.11%, 5/3/2029 | 200,000 | 170,720 | ||||||
goeasy Ltd. | ||||||||
5.38%, 12/1/2024(a) | 200,000 | 178,540 | ||||||
Navient Corp. | ||||||||
5.50%, 1/25/2023 | 165,000 | 154,069 | ||||||
7.25%, 9/25/2023 | 200,000 | 192,750 | ||||||
6.13%, 3/25/2024 | 200,000 | 185,250 | ||||||
6.75%, 6/15/2026 | 200,000 | 181,430 | ||||||
Springleaf Finance Corp. | ||||||||
6.63%, 1/15/2028 | 150,000 | 133,072 | ||||||
TMX Finance LLC | ||||||||
11.13%, 4/1/2023(a) | 130,000 | 98,774 | ||||||
1,996,229 | ||||||||
Containers & Packaging – 2.2% | ||||||||
Berry Global, Inc. | ||||||||
5.63%, 7/15/2027(a) | 155,000 | 160,239 | ||||||
Crown Cork & Seal Co., Inc. | ||||||||
7.38%, 12/15/2026 | 120,000 | 132,252 | ||||||
Flex Acquisition Co., Inc. | ||||||||
6.88%, 1/15/2025(a) | 80,000 | 77,976 | ||||||
7.88%, 7/15/2026(a) | 750,000 | 724,350 | ||||||
Greif, Inc. | ||||||||
6.50%, 3/1/2027(a) | 100,000 | 100,465 | ||||||
Intertape Polymer Group, Inc. | ||||||||
7.00%, 10/15/2026(a) | 50,000 | 51,046 | ||||||
LABL Escrow Issuer LLC | ||||||||
6.75%, 7/15/2026(a) | 240,000 | 249,120 | ||||||
Mauser Packaging Solutions Holding Co. | ||||||||
5.50%, 4/15/2024(a) | 350,000 | 324,957 | ||||||
7.25%, 4/15/2025(a) | 550,000 | 433,813 | ||||||
Plastipak Holdings, Inc. | ||||||||
6.25%, 10/15/2025(a) | 270,000 | 242,743 | ||||||
Sealed Air Corp. | ||||||||
5.25%, 4/1/2023(a) | 50,000 | 51,885 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 303 |
Table of Contents
FlexShares® High Yield Value-Scored Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Containers & Packaging – (continued) | ||||||||
Trident TPI Holdings, Inc. | ||||||||
9.25%, 8/1/2024(a) | $ | 200,000 | $ | 176,460 | ||||
6.63%, 11/1/2025(a) | 100,000 | 79,520 | ||||||
Trivium Packaging Finance BV | ||||||||
8.50%, 8/15/2027(a) (d) | 400,000 | 419,860 | ||||||
3,224,686 | ||||||||
Distributors – 1.1% | ||||||||
American Builders & Contractors Supply Co., Inc. | ||||||||
5.88%, 5/15/2026(a) | 150,000 | 149,197 | ||||||
Core & Main LP | ||||||||
6.13%, 8/15/2025(a) | 180,000 | 173,925 | ||||||
Performance Food Group, Inc. | ||||||||
5.50%, 6/1/2024(a) | 50,000 | 49,115 | ||||||
5.50%, 10/15/2027(a) | 350,000 | 334,712 | ||||||
Resideo Funding, Inc. | ||||||||
6.13%, 11/1/2026(a) | 150,000 | 132,195 | ||||||
Wolverine Escrow LLC | ||||||||
9.00%, 11/15/2026(a) | 750,000 | 523,425 | ||||||
13.13%, 11/15/2027(a) | 500,000 | 298,125 | ||||||
1,660,694 | ||||||||
Diversified Consumer Services – 0.8% | ||||||||
Carriage Services, Inc. | ||||||||
6.63%, 6/1/2026(a) | 100,000 | 99,320 | ||||||
Graham Holdings Co. | ||||||||
5.75%, 6/1/2026(a) | 140,000 | 142,394 | ||||||
Midas Intermediate Holdco II LLC | ||||||||
7.88%, 10/1/2022(a) | 30,000 | 21,061 | ||||||
Service Corp. International | ||||||||
5.13%, 6/1/2029 | 200,000 | 208,930 | ||||||
ServiceMaster Co. LLC (The) | ||||||||
5.13%, 11/15/2024(a) | 200,000 | 205,080 | ||||||
Sotheby’s | ||||||||
7.38%, 10/15/2027(a) | 490,000 | 414,800 | ||||||
WW International, Inc. | ||||||||
8.63%, 12/1/2025(a) | 150,000 | 150,210 | ||||||
1,241,795 |
Investments | Principal Amount | Value | ||||||
Diversified Financial Services – 1.7% | ||||||||
ACE Cash Express, Inc. | ||||||||
12.00%, 12/15/2022(a) | $ | 170,000 | $ | 133,663 | ||||
CNG Holdings, Inc. | ||||||||
12.50%, 6/15/2024(a) | 111,000 | 95,715 | ||||||
Fairstone Financial, Inc. | ||||||||
7.88%, 7/15/2024(a) | 100,000 | 95,730 | ||||||
Jefferies Finance LLC | ||||||||
7.25%, 8/15/2024(a) | 110,000 | 97,053 | ||||||
6.25%, 6/3/2026(a) | 200,000 | 182,500 | ||||||
MPH Acquisition Holdings LLC | ||||||||
7.13%, 6/1/2024(a) | 925,000 | 830,160 | ||||||
Refinitiv US Holdings, Inc. | ||||||||
8.25%, 11/15/2026(a) | 670,000 | 728,625 | ||||||
Verscend Escrow Corp. | ||||||||
9.75%, 8/15/2026(a) | 415,000 | 435,252 | ||||||
2,598,698 | ||||||||
Diversified Telecommunication Services – 4.8% | ||||||||
CCO Holdings LLC | ||||||||
5.75%, 2/15/2026(a) | 605,000 | 633,526 | ||||||
5.13%, 5/1/2027(a) | 610,000 | 636,230 | ||||||
5.00%, 2/1/2028(a) | 760,000 | 783,816 | ||||||
5.38%, 6/1/2029(a) | 450,000 | 476,847 | ||||||
4.75%, 3/1/2030(a) | 370,000 | 378,084 | ||||||
4.50%, 8/15/2030(a) | 325,000 | 330,688 | ||||||
CenturyLink, Inc. | ||||||||
Series Y, 7.50%, 4/1/2024 | 450,000 | 490,590 | ||||||
Series G, | 550,000 | 573,155 | ||||||
DKT Finance ApS | ||||||||
9.38%, 6/17/2023(a) | 200,000 | 201,100 | ||||||
Koninklijke KPN NV | ||||||||
7.00%, 3/28/2073(a)(c) | 100,000 | 103,675 | ||||||
Sprint Capital Corp. | ||||||||
6.88%, 11/15/2028 | 570,000 | 689,130 | ||||||
8.75%, 3/15/2032 | 350,000 | 493,378 | ||||||
Telecom Italia Capital SA | ||||||||
6.38%, 11/15/2033 | 405,000 | 438,311 | ||||||
7.20%, 7/18/2036 | 100,000 | 112,880 | ||||||
Telesat Canada | ||||||||
6.50%, 10/15/2027(a) | 275,000 | 259,971 | ||||||
Virgin Media Secured Finance plc | ||||||||
5.50%, 8/15/2026(a) | 200,000 | 207,590 | ||||||
5.50%, 5/15/2029(a) | 200,000 | 208,570 |
See Accompanying Notes to the Financial Statements.
304 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® High Yield Value-Scored Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Diversified Telecommunication Services – (continued) | ||||||||
Zayo Group Holdings, Inc. | ||||||||
6.13%, 3/1/2028(a) | $ | 200,000 | $ | 189,444 | ||||
7,206,985 | ||||||||
Electric Utilities – 0.8% | ||||||||
Emera, Inc. | ||||||||
Series 16-A, | 130,000 | 137,638 | ||||||
NRG Energy, Inc. | ||||||||
6.63%, 1/15/2027 | 310,000 | 332,366 | ||||||
Terraform Global Operating LLC | ||||||||
6.13%, 3/1/2026(a) | 75,000 | 74,783 | ||||||
Vistra Operations Co. LLC | ||||||||
5.50%, 9/1/2026(a) | 300,000 | 310,590 | ||||||
5.63%, 2/15/2027(a) | 310,000 | 327,716 | ||||||
1,183,093 | ||||||||
Electrical Equipment – 0.1% | ||||||||
Sensata Technologies BV | ||||||||
4.88%, 10/15/2023(a) | 100,000 | 101,125 | ||||||
Electronic Equipment, Instruments & Components – 0.2% | ||||||||
Anixter, Inc. | ||||||||
5.50%, 3/1/2023 | 100,000 | 101,730 | ||||||
MTS Systems Corp. | ||||||||
5.75%, 8/15/2027(a) | 200,000 | 186,920 | ||||||
288,650 | ||||||||
Energy Equipment & Services – 0.7% | ||||||||
CSI Compressco LP | ||||||||
7.25%, 8/15/2022 | 100,000 | 32,750 | ||||||
Diamond Offshore Drilling, Inc. | ||||||||
3.45%, 11/1/2023(e) | 90,000 | 10,350 | ||||||
7.88%, 8/15/2025(e) | 310,000 | 34,487 | ||||||
Exterran Energy Solutions LP | ||||||||
8.13%, 5/1/2025 | 150,000 | 90,750 | ||||||
KCA Deutag UK Finance plc | ||||||||
9.63%, 4/1/2023(a)(e) | 610,000 | 196,451 | ||||||
Nabors Industries Ltd. | ||||||||
7.25%, 1/15/2026(a) | 225,000 | 86,906 | ||||||
Nine Energy Service, Inc. | ||||||||
8.75%, 11/1/2023(a) | 200,000 | 39,880 |
Investments | Principal Amount | Value | ||||||
Energy Equipment & Services – (continued) | ||||||||
Precision Drilling Corp. | ||||||||
7.75%, 12/15/2023 | $ | 100,000 | $ | 44,730 | ||||
Transocean, Inc. | ||||||||
7.25%, 11/1/2025(a) | 205,000 | 80,975 | ||||||
7.50%, 1/15/2026(a) | 350,000 | 136,500 | ||||||
USA Compression Partners LP | ||||||||
6.88%, 4/1/2026 | 330,000 | 267,201 | ||||||
Vantage Drilling International | ||||||||
9.25%, 11/15/2023(a) | 100,000 | 53,230 | ||||||
1,074,210 | ||||||||
Entertainment – 1.3% | ||||||||
Allen Media LLC | ||||||||
10.50%, 2/15/2028(a) | 150,000 | 112,080 | ||||||
Live Nation Entertainment, Inc. | ||||||||
4.88%, 11/1/2024(a) | 145,000 | 129,503 | ||||||
5.63%, 3/15/2026(a) | 300,000 | 266,130 | ||||||
4.75%, 10/15/2027(a) | 235,000 | 199,668 | ||||||
Netflix, Inc. | ||||||||
5.88%, 11/15/2028 | 740,000 | 840,270 | ||||||
4.88%, 6/15/2030(a) | 295,000 | 314,337 | ||||||
1,861,988 | ||||||||
Equity Real Estate Investment Trusts (REITs) – 2.5% | ||||||||
Brookfield Property REIT, Inc. | ||||||||
5.75%, 5/15/2026(a) | 350,000 | 281,645 | ||||||
CoreCivic, Inc. | ||||||||
4.63%, 5/1/2023 | 100,000 | 95,125 | ||||||
ESH Hospitality, Inc. | ||||||||
5.25%, 5/1/2025(a) | 260,000 | 245,752 | ||||||
4.63%, 10/1/2027(a) | 100,000 | 90,750 | ||||||
GEO Group, Inc. (The) | ||||||||
5.88%, 10/15/2024 | 417,000 | 332,474 | ||||||
HAT Holdings I LLC | ||||||||
5.25%, 7/15/2024(a) | 100,000 | 99,760 | ||||||
Iron Mountain, Inc. | ||||||||
5.75%, 8/15/2024 | 110,000 | 108,762 | ||||||
5.25%, 3/15/2028(a) | 300,000 | 294,645 | ||||||
4.88%, 9/15/2029(a) | 255,000 | 245,642 | ||||||
Mack-Cali Realty LP | ||||||||
3.15%, 5/15/2023 | 100,000 | 82,363 | ||||||
MPT Operating Partnership LP | ||||||||
5.25%, 8/1/2026 | 100,000 | 101,580 | ||||||
4.63%, 8/1/2029 | 100,000 | 99,908 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 305 |
Table of Contents
FlexShares® High Yield Value-Scored Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Equity Real Estate Investment Trusts (REITs) – (continued) | ||||||||
Ryman Hospitality Properties, Inc. |
| |||||||
4.75%, 10/15/2027(a) | $ | 100,000 | $ | 87,715 | ||||
SBA Communications Corp. | ||||||||
4.00%, 10/1/2022 | 125,000 | 126,444 | ||||||
Uniti Group LP | ||||||||
6.00%, 4/15/2023(a) | 185,000 | 172,799 | ||||||
8.25%, 10/15/2023 | 595,000 | 497,390 | ||||||
7.13%, 12/15/2024(a) | 300,000 | 232,875 | ||||||
7.88%, 2/15/2025(a) | 100,000 | 96,625 | ||||||
VICI Properties LP | ||||||||
4.25%, 12/1/2026(a) | 295,000 | 277,061 | ||||||
Washington Prime Group LP | ||||||||
6.45%, 8/15/2024(d) | 350,000 | 196,508 | ||||||
3,765,823 | ||||||||
Food & Staples Retailing – 0.7% | ||||||||
Albertsons Cos., Inc. | ||||||||
4.63%, 1/15/2027(a) | 65,000 | 65,952 | ||||||
5.88%, 2/15/2028(a) | 265,000 | 278,078 | ||||||
Fresh Market, Inc. (The) | ||||||||
9.75%, 5/1/2023(a) | 380,000 | 239,400 | ||||||
Ingles Markets, Inc. | ||||||||
5.75%, 6/15/2023 | 126,000 | 126,787 | ||||||
KeHE Distributors LLC | ||||||||
8.63%, 10/15/2026(a) | 100,000 | 106,220 | ||||||
US Foods, Inc. | ||||||||
5.88%, 6/15/2024(a) | 100,000 | 95,752 | ||||||
6.25%, 4/15/2025(a) | 100,000 | 102,375 | ||||||
1,014,564 | ||||||||
Food Products – 2.9% | ||||||||
Chobani LLC | ||||||||
7.50%, 4/15/2025(a) | 180,000 | 180,103 | ||||||
Cooke Omega Investments, Inc. | ||||||||
8.50%, 12/15/2022(a) | 100,000 | 100,705 | ||||||
Darling Ingredients, Inc. | ||||||||
5.25%, 4/15/2027(a) | 150,000 | 152,182 | ||||||
Dole Food Co., Inc. | ||||||||
7.25%, 6/15/2025(a) | 165,000 | 156,305 | ||||||
Kraft Heinz Foods Co. | ||||||||
5.00%, 7/15/2035 | 170,000 | 182,983 | ||||||
6.88%, 1/26/2039 | 150,000 | 180,169 |
Investments | Principal Amount | Value | ||||||
Food Products – (continued) | ||||||||
7.13%, 8/1/2039(a) | $ | 160,000 | $ | 192,885 | ||||
6.50%, 2/9/2040 | 70,000 | 82,021 | ||||||
5.00%, 6/4/2042 | 300,000 | 305,978 | ||||||
5.20%, 7/15/2045 | 300,000 | 309,077 | ||||||
4.38%, 6/1/2046 | 340,000 | 325,326 | ||||||
4.88%, 10/1/2049(a) | 160,000 | 160,027 | ||||||
Lamb Weston Holdings, Inc. | ||||||||
4.88%, 11/1/2026(a) | 400,000 | 403,860 | ||||||
Pilgrim’s Pride Corp. | ||||||||
5.75%, 3/15/2025(a) | 215,000 | 218,296 | ||||||
Post Holdings, Inc. | ||||||||
5.63%, 1/15/2028(a) | 355,000 | 362,863 | ||||||
5.50%, 12/15/2029(a) | 455,000 | 459,391 | ||||||
Sigma Holdco BV | ||||||||
7.88%, 5/15/2026(a) | 310,000 | 294,391 | ||||||
Simmons Foods, Inc. | ||||||||
5.75%, 11/1/2024(a) | 260,000 | 243,152 | ||||||
4,309,714 | ||||||||
Gas Utilities – 0.2% | ||||||||
Suburban Propane Partners LP | ||||||||
5.50%, 6/1/2024 | 110,000 | 107,250 | ||||||
5.88%, 3/1/2027 | 150,000 | 144,083 | ||||||
251,333 | ||||||||
Health Care Equipment & Supplies – 0.3% | ||||||||
Hologic, Inc. | ||||||||
4.63%, 2/1/2028(a) | 200,000 | 204,420 | ||||||
Immucor, Inc. | ||||||||
11.13%, 2/15/2022(a) | 30,000 | 27,212 | ||||||
Ortho-Clinical Diagnostics, Inc. | ||||||||
6.63%, 5/15/2022(a) | 85,000 | 77,881 | ||||||
Teleflex, Inc. | ||||||||
4.88%, 6/1/2026 | 150,000 | 153,315 | ||||||
462,828 | ||||||||
Health Care Providers & Services – 5.2% | ||||||||
Acadia Healthcare Co., Inc. | ||||||||
6.50%, 3/1/2024 | 150,000 | 145,095 | ||||||
AHP Health Partners, Inc. | ||||||||
9.75%, 7/15/2026(a) | 330,000 | 329,043 | ||||||
Air Methods Corp. | ||||||||
8.00%, 5/15/2025(a) | 175,000 | 105,402 |
See Accompanying Notes to the Financial Statements.
306 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® High Yield Value-Scored Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Health Care Providers & Services – (continued) | ||||||||
Centene Corp. | ||||||||
5.25%, 4/1/2025(a) | $ | 200,000 | $ | 209,500 | ||||
5.38%, 6/1/2026(a) | 350,000 | 372,190 | ||||||
5.38%, 8/15/2026(a) | 250,000 | 268,625 | ||||||
4.25%, 12/15/2027(a) | 500,000 | 525,450 | ||||||
4.63%, 12/15/2029(a) | 300,000 | 329,895 | ||||||
Community Health Systems, Inc. | ||||||||
6.63%, 2/15/2025(a) | 125,000 | 115,469 | ||||||
DaVita, Inc. | ||||||||
5.00%, 5/1/2025 | 600,000 | 610,125 | ||||||
Encompass Health Corp. | ||||||||
4.50%, 2/1/2028 | 200,000 | 200,930 | ||||||
Hadrian Merger Sub, Inc. | ||||||||
8.50%, 5/1/2026(a) | 100,000 | 86,960 | ||||||
HCA, Inc. | ||||||||
5.88%, 5/1/2023 | 100,000 | 107,770 | ||||||
7.69%, 6/15/2025 | 150,000 | 172,095 | ||||||
7.50%, 11/6/2033 | 200,000 | 228,920 | ||||||
MEDNAX, Inc. | ||||||||
6.25%, 1/15/2027(a) | 450,000 | 410,283 | ||||||
Molina Healthcare, Inc. | ||||||||
5.38%, 11/15/2022(d) | 150,000 | 155,730 | ||||||
One Call Corp. | ||||||||
10.00%, 10/1/2024(a) | 110,000 | 95,838 | ||||||
Radiology Partners, Inc. | ||||||||
9.25%, 2/1/2028(a) | 430,000 | 412,263 | ||||||
RegionalCare Hospital Partners Holdings, Inc. | ||||||||
9.75%, 12/1/2026(a) | 425,000 | 457,427 | ||||||
Select Medical Corp. | ||||||||
6.25%, 8/15/2026(a) | 100,000 | 96,770 | ||||||
Surgery Center Holdings, Inc. | ||||||||
10.00%, 4/15/2027(a) | 400,000 | 372,840 | ||||||
Team Health Holdings, Inc. | ||||||||
6.38%, 2/1/2025(a) | 440,000 | 245,124 | ||||||
Tenet Healthcare Corp. | ||||||||
6.75%, 6/15/2023 | 450,000 | 451,890 | ||||||
5.13%, 5/1/2025 | 200,000 | 188,250 | ||||||
6.25%, 2/1/2027(a) | 350,000 | 345,713 | ||||||
US Renal Care, Inc. | ||||||||
10.63%, 7/15/2027(a) | 300,000 | 299,130 |
Investments | Principal Amount | Value | ||||||
Health Care Providers & Services – (continued) | ||||||||
Vizient, Inc. | ||||||||
6.25%, 5/15/2027(a) | $ | 60,000 | $ | 63,468 | ||||
West Street Merger Sub, Inc. | ||||||||
6.38%, 9/1/2025(a) | 410,000 | 386,937 | ||||||
7,789,132 | ||||||||
Health Care Technology – 0.4% | ||||||||
IQVIA, Inc. | ||||||||
5.00%, 10/15/2026(a) | 500,000 | 517,900 | ||||||
Hotels, Restaurants & Leisure – 4.5% | ||||||||
1011778 BC ULC | ||||||||
5.00%, 10/15/2025(a) | 610,000 | 616,222 | ||||||
24 Hour Fitness Worldwide, Inc. | ||||||||
8.00%, 6/1/2022(a) | 180,000 | 8,100 | ||||||
Arrow Bidco LLC | ||||||||
9.50%, 3/15/2024(a) | 190,000 | 105,887 | ||||||
Boyd Gaming Corp. | ||||||||
6.38%, 4/1/2026 | 448,000 | 405,597 | ||||||
6.00%, 8/15/2026 | 165,000 | 150,496 | ||||||
Carlson Travel, Inc. | ||||||||
6.75%, 12/15/2023(a) | 300,000 | 197,709 | ||||||
Cedar Fair LP | ||||||||
5.38%, 4/15/2027 | 200,000 | 179,160 | ||||||
Churchill Downs, Inc. | ||||||||
5.50%, 4/1/2027(a) | 100,000 | 96,683 | ||||||
Cirsa Finance International SARL | ||||||||
7.88%, 12/20/2023(a) | 110,000 | 90,266 | ||||||
Downstream Development Authority of the Quapaw Tribe of Oklahoma | ||||||||
10.50%, 2/15/2023(a) | 75,000 | 45,547 | ||||||
Enterprise Development Authority (The) | ||||||||
12.00%, 7/15/2024(a) | 130,000 | 118,274 | ||||||
Golden Nugget, Inc. | ||||||||
6.75%, 10/15/2024(a) | 830,000 | 652,588 | ||||||
8.75%, 10/1/2025(a) | 100,000 | 57,625 | ||||||
Hilton Domestic Operating Co., Inc. | ||||||||
4.25%, 9/1/2024 | 50,000 | 48,865 | ||||||
5.13%, 5/1/2026 | 350,000 | 348,040 | ||||||
4.88%, 1/15/2030 | 250,000 | 240,200 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 307 |
Table of Contents
FlexShares® High Yield Value-Scored Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Hotels, Restaurants & Leisure – (continued) | ||||||||
Hilton Worldwide Finance LLC | ||||||||
4.88%, 4/1/2027 | $ | 150,000 | $ | 146,137 | ||||
International Game Technology plc | ||||||||
6.25%, 1/15/2027(a) | 472,000 | 461,068 | ||||||
IRB Holding Corp. | ||||||||
6.75%, 2/15/2026(a) | 180,000 | 150,678 | ||||||
Jacobs Entertainment, Inc. | ||||||||
7.88%, 2/1/2024(a) | 100,000 | 76,480 | ||||||
KFC Holding Co. | ||||||||
4.75%, 6/1/2027(a) | 400,000 | 415,196 | ||||||
Merlin Entertainments Ltd. |
| |||||||
5.75%, 6/15/2026(a) | 200,000 | 190,420 | ||||||
Mohegan Gaming & Entertainment | ||||||||
7.88%, 10/15/2024(a) | 285,000 | 163,818 | ||||||
Royal Caribbean Cruises Ltd. | ||||||||
5.25%, 11/15/2022 | 380,000 | 276,486 | ||||||
7.50%, 10/15/2027 | 165,000 | 129,475 | ||||||
Sabre GLBL, Inc. | ||||||||
5.25%, 11/15/2023(a) | 250,000 | 232,813 | ||||||
Six Flags Entertainment Corp. | ||||||||
5.50%, 4/15/2027(a) | 100,000 | 87,035 | ||||||
Sugarhouse HSP Gaming Prop Mezz LP | ||||||||
5.88%, 5/15/2025(a) | 100,000 | 85,825 | ||||||
Twin River Worldwide Holdings, Inc. | ||||||||
6.75%, 6/1/2027(a) | 250,000 | 200,525 | ||||||
Viking Cruises Ltd. | ||||||||
5.88%, 9/15/2027(a) | 485,000 | 328,418 | ||||||
Wyndham Destinations, Inc. | ||||||||
5.75%, 4/1/2027(d) | 200,000 | 176,420 | ||||||
Wynn Las Vegas LLC | ||||||||
5.50%, 3/1/2025(a) | 80,000 | 71,696 | ||||||
Yum! Brands, Inc. | ||||||||
4.75%, 1/15/2030(a) | 150,000 | 153,698 | ||||||
6,707,447 | ||||||||
Household Durables – 1.3% | ||||||||
American Greetings Corp. | ||||||||
8.75%, 4/15/2025(a) | 210,000 | 175,833 | ||||||
Ashton Woods USA LLC | ||||||||
6.75%, 8/1/2025(a) | 150,000 | 127,845 |
Investments | Principal Amount | Value | ||||||
Household Durables – (continued) | ||||||||
Brookfield Residential Properties, Inc. | ||||||||
6.38%, 5/15/2025(a) | $ | 110,000 | $ | 110,253 | ||||
6.25%, 9/15/2027(a) | 250,000 | 229,912 | ||||||
Century Communities, Inc. | ||||||||
6.75%, 6/1/2027 | 200,000 | 173,160 | ||||||
KB Home | ||||||||
6.88%, 6/15/2027 | 100,000 | 105,710 | ||||||
LGI Homes, Inc. | ||||||||
6.88%, 7/15/2026(a) | 100,000 | 93,835 | ||||||
Newell Brands, Inc. | ||||||||
5.63%, 4/1/2036(d) | 254,000 | 267,335 | ||||||
PulteGroup, Inc. | ||||||||
6.38%, 5/15/2033 | 150,000 | 160,230 | ||||||
Taylor Morrison Communities, Inc. |
| |||||||
6.63%, 7/15/2027(a) | 150,000 | 136,778 | ||||||
5.75%, 1/15/2028(a) | 100,000 | 91,210 | ||||||
Tempur Sealy International, Inc. | ||||||||
5.50%, 6/15/2026 | 175,000 | 167,596 | ||||||
TopBuild Corp. | ||||||||
5.63%, 5/1/2026(a) | 100,000 | 98,710 | ||||||
1,938,407 | ||||||||
Household Products – 0.4% | ||||||||
Energizer Holdings, Inc. | ||||||||
7.75%, 1/15/2027(a) | 150,000 | 159,923 | ||||||
Kronos Acquisition Holdings, Inc. |
| |||||||
9.00%, 8/15/2023(a) | 550,000 | 480,909 | ||||||
640,832 | ||||||||
Independent Power and Renewable Electricity Producers – 0.5% | ||||||||
Talen Energy Supply LLC | ||||||||
6.50%, 6/1/2025 | 200,000 | 139,460 | ||||||
10.50%, 1/15/2026(a) | 440,000 | 365,583 | ||||||
6.63%, 1/15/2028(a) | 300,000 | 284,370 | ||||||
789,413 | ||||||||
Insurance – 2.3% | ||||||||
Acrisure LLC | ||||||||
7.00%, 11/15/2025(a) | 815,000 | 726,369 | ||||||
10.13%, 8/1/2026(a) | 240,000 | 240,228 | ||||||
Alliant Holdings Intermediate LLC |
| |||||||
6.75%, 10/15/2027(a) | 250,000 | 250,563 |
See Accompanying Notes to the Financial Statements.
308 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® High Yield Value-Scored Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Insurance – (continued) | ||||||||
AmWINS Group, Inc. | ||||||||
7.75%, 7/1/2026(a) | $ | 75,000 | $ | 77,783 | ||||
Ardonagh Midco 3 plc | ||||||||
8.63%, 7/15/2023(a) | 560,000 | 530,600 | ||||||
AssuredPartners, Inc. | ||||||||
7.00%, 8/15/2025(a) | 280,000 | 259,350 | ||||||
Fidelity & Guaranty Life Holdings, Inc. | ||||||||
5.50%, 5/1/2025(a) | 30,000 | 31,875 | ||||||
Genworth Holdings, Inc. (ICE LIBOR USD 3 Month + 2.00%), 3.69%, 11/15/2036(f) | 240,000 | 92,064 | ||||||
GTCR AP Finance, Inc. | ||||||||
8.00%, 5/15/2027(a) | 275,000 | 259,077 | ||||||
HUB International Ltd. | ||||||||
7.00%, 5/1/2026(a) | 480,000 | 476,520 | ||||||
NFP Corp. | ||||||||
6.88%, 7/15/2025(a) | 430,000 | 413,337 | ||||||
USI, Inc. | ||||||||
6.88%, 5/1/2025(a) | 130,000 | 131,137 | ||||||
3,488,903 | ||||||||
Interactive Media & Services – 0.7% | ||||||||
Match Group, Inc. | ||||||||
5.63%, 2/15/2029(a) | 275,000 | 290,015 | ||||||
Rackspace Hosting, Inc. | ||||||||
8.63%, 11/15/2024(a) | 780,000 | 773,269 | ||||||
1,063,284 | ||||||||
Internet & Direct Marketing Retail – 0.5% | ||||||||
Go Daddy Operating Co. LLC | ||||||||
5.25%, 12/1/2027(a) | 200,000 | 206,430 | ||||||
Photo Holdings Merger Sub, Inc. |
| |||||||
8.50%, 10/1/2026(a) | 485,000 | 422,217 | ||||||
QVC, Inc. | ||||||||
5.45%, 8/15/2034 | 100,000 | 78,490 | ||||||
707,137 | ||||||||
IT Services – 1.1% | ||||||||
Banff Merger Sub, Inc. | ||||||||
9.75%, 9/1/2026(a) | 940,000 | 849,572 |
Investments | Principal Amount | Value | ||||||
IT Services – (continued) | ||||||||
Booz Allen Hamilton, Inc. | ||||||||
5.13%, 5/1/2025(a) | $ | 100,000 | $ | 99,730 | ||||
EIG Investors Corp. | ||||||||
10.88%, 2/1/2024 | 100,000 | 86,730 | ||||||
Presidio Holdings, Inc. | ||||||||
8.25%, 2/1/2028(a) | 325,000 | 322,741 | ||||||
VeriSign, Inc. | ||||||||
4.75%, 7/15/2027 | 300,000 | 320,958 | ||||||
1,679,731 | ||||||||
Leisure Products – 0.1% | ||||||||
Vista Outdoor, Inc. | ||||||||
5.88%, 10/1/2023 | 75,000 | 71,610 | ||||||
Life Sciences Tools & Services – 0.1% | ||||||||
Charles River Laboratories International, Inc. | ||||||||
5.50%, 4/1/2026(a) | 100,000 | 104,820 | ||||||
Machinery – 2.1% | ||||||||
Apex Tool Group LLC | ||||||||
9.00%, 2/15/2023(a) | 180,000 | 112,014 | ||||||
BCD Acquisition, Inc. | ||||||||
9.63%, 9/15/2023(a) | 250,000 | 208,750 | ||||||
Cleaver-Brooks, Inc. | ||||||||
7.88%, 3/1/2023(a) | 100,000 | 82,980 | ||||||
Colfax Corp. | ||||||||
6.38%, 2/15/2026(a) | 100,000 | 103,435 | ||||||
EnPro Industries, Inc. | ||||||||
5.75%, 10/15/2026 | 100,000 | 98,210 | ||||||
Granite US Holdings Corp. | ||||||||
11.00%, 10/1/2027(a) | 150,000 | 128,565 | ||||||
Grinding Media, Inc. | ||||||||
7.38%, 12/15/2023(a) | 300,000 | 297,945 | ||||||
Husky III Holding Ltd. | ||||||||
13.00%, 2/15/2025(a) (g) | 120,000 | 109,950 | ||||||
JPW Industries Holding Corp. | ||||||||
9.00%, 10/1/2024(a) | 100,000 | 73,855 | ||||||
Manitowoc Co., Inc. (The) | ||||||||
9.00%, 4/1/2026(a) | 100,000 | 90,095 | ||||||
Maxim Crane Works Holdings Capital LLC | ||||||||
10.13%, 8/1/2024(a) | 310,000 | 293,942 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 309 |
Table of Contents
FlexShares® High Yield Value-Scored Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Machinery – (continued) | ||||||||
Mueller Water Products, Inc. | ||||||||
5.50%, 6/15/2026(a) | $ | 100,000 | $ | 103,040 | ||||
Navistar International Corp. | ||||||||
6.63%, 11/1/2025(a) | 400,000 | 345,160 | ||||||
RBS Global, Inc. | ||||||||
4.88%, 12/15/2025(a) | 100,000 | 98,125 | ||||||
SPX FLOW, Inc. | ||||||||
5.88%, 8/15/2026(a) | 100,000 | 101,710 | ||||||
Stevens Holding Co., Inc. | ||||||||
6.13%, 10/1/2026(a) | 100,000 | 100,930 | ||||||
Terex Corp. | ||||||||
5.63%, 2/1/2025(a) | 200,000 | 182,050 | ||||||
Titan Acquisition Ltd. | ||||||||
7.75%, 4/15/2026(a) | 430,000 | 403,469 | ||||||
Wabash National Corp. | ||||||||
5.50%, 10/1/2025(a) | 100,000 | 82,730 | ||||||
Werner FinCo. LP | ||||||||
8.75%, 7/15/2025(a) | 150,000 | 131,595 | ||||||
3,148,550 | ||||||||
Marine – 0.2% | ||||||||
Stena AB | ||||||||
7.00%, 2/1/2024(a) | 310,000 | 271,963 | ||||||
Media – 9.7% | ||||||||
AMC Networks, Inc. | ||||||||
5.00%, 4/1/2024 | 250,000 | 243,625 | ||||||
4.75%, 8/1/2025 | 350,000 | 321,492 | ||||||
Cinemark USA, Inc. | ||||||||
5.13%, 12/15/2022 | 220,000 | 189,387 | ||||||
4.88%, 6/1/2023 | 450,000 | 380,812 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
9.25%, 2/15/2024(a) | 85,000 | 71,205 | ||||||
CSC Holdings LLC | ||||||||
7.50%, 4/1/2028(a) | 400,000 | 441,895 | ||||||
5.75%, 1/15/2030(a) | 450,000 | 469,277 | ||||||
Cumulus Media New Holdings, Inc. | ||||||||
6.75%, 7/1/2026(a) | 100,000 | 81,920 | ||||||
Diamond Sports Group LLC | ||||||||
5.38%, 8/15/2026(a) | 1,498,000 | 1,145,521 | ||||||
6.63%, 8/15/2027(a) | 600,000 | 331,290 |
Investments | Principal Amount | Value | ||||||
Media – (continued) | ||||||||
DISH DBS Corp. | ||||||||
5.88%, 7/15/2022 | $ | 250,000 | $ | 251,763 | ||||
5.00%, 3/15/2023 | 875,000 | 836,719 | ||||||
5.88%, 11/15/2024 | 530,000 | 512,531 | ||||||
7.75%, 7/1/2026 | 1,325,000 | 1,311,286 | ||||||
EW Scripps Co. (The) | ||||||||
5.13%, 5/15/2025(a) | 100,000 | 85,480 | ||||||
GCI LLC | ||||||||
6.63%, 6/15/2024(a) | 100,000 | 104,230 | ||||||
Getty Images, Inc. | ||||||||
9.75%, 3/1/2027(a) | 150,000 | 112,065 | ||||||
Gray Television, Inc. | ||||||||
7.00%, 5/15/2027(a) | 245,000 | 247,364 | ||||||
iHeartCommunications, Inc. | ||||||||
6.38%, 5/1/2026 | 100,000 | 94,970 | ||||||
8.38%, 5/1/2027 | 1,100,000 | 910,635 | ||||||
5.25%, 8/15/2027(a) | 265,000 | 241,720 | ||||||
McGraw-Hill Global Education Holdings LLC | ||||||||
7.88%, 5/15/2024(a) | 235,000 | 152,115 | ||||||
Meredith Corp. | ||||||||
6.88%, 2/1/2026 | 772,000 | 666,082 | ||||||
Midcontinent Communications | ||||||||
5.38%, 8/15/2027(a) | 200,000 | 203,580 | ||||||
National CineMedia LLC | ||||||||
5.88%, 4/15/2028(a) | 300,000 | 215,130 | ||||||
Outfront Media Capital LLC | ||||||||
4.63%, 3/15/2030(a) | 290,000 | 266,698 | ||||||
Quebecor Media, Inc. | ||||||||
5.75%, 1/15/2023 | 400,000 | 423,652 | ||||||
Radiate Holdco LLC | ||||||||
6.63%, 2/15/2025(a) | 240,000 | 239,352 | ||||||
Sirius XM Radio, Inc. | ||||||||
5.38%, 4/15/2025(a) | 825,000 | 854,906 | ||||||
5.38%, 7/15/2026(a) | 200,000 | 208,760 | ||||||
5.00%, 8/1/2027(a) | 100,000 | 102,934 | ||||||
TEGNA, Inc. | ||||||||
5.00%, 9/15/2029(a) | 150,000 | 133,646 | ||||||
Terrier Media Buyer, Inc. | ||||||||
8.88%, 12/15/2027(a) | 820,000 | 681,625 | ||||||
Univision Communications, Inc. | ||||||||
5.13%, 5/15/2023(a) | 285,000 | 272,531 | ||||||
5.13%, 2/15/2025(a) | 540,000 | 477,225 |
See Accompanying Notes to the Financial Statements.
310 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® High Yield Value-Scored Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Media – (continued) | ||||||||
UPC Holding BV | ||||||||
5.50%, 1/15/2028(a) | $ | 310,000 | $ | 301,770 | ||||
Urban One, Inc. | ||||||||
7.38%, 4/15/2022(a) | 35,000 | 29,909 | ||||||
Videotron Ltd. |
| |||||||
5.00%, 7/15/2022 | 100,000 | 103,375 | ||||||
5.38%, 6/15/2024(a) | 200,000 | 213,254 | ||||||
WMG Acquisition Corp. | ||||||||
4.88%, 11/1/2024(a) | 200,000 | 201,460 | ||||||
Ziggo Bond Co. BV | ||||||||
6.00%, 1/15/2027(a) | 215,000 | 217,322 | ||||||
Ziggo BV | ||||||||
5.50%, 1/15/2027(a) | 20,000 | 20,437 | ||||||
14,370,950 | ||||||||
Metals & Mining – 1.9% | ||||||||
Alcoa Nederland Holding BV | ||||||||
7.00%, 9/30/2026(a) | 200,000 | 198,930 | ||||||
Allegheny Technologies, Inc. | ||||||||
7.88%, 8/15/2023(d) | 150,000 | 138,313 | ||||||
Arconic Corp. | ||||||||
6.13%, 2/15/2028(a) | 100,000 | 94,375 | ||||||
Baffinland Iron Mines Corp. | ||||||||
8.75%, 7/15/2026(a) | 300,000 | 265,395 | ||||||
Cleveland-Cliffs, Inc. | ||||||||
5.88%, 6/1/2027 | 645,000 | 406,124 | ||||||
Commercial Metals Co. | ||||||||
5.75%, 4/15/2026 | 230,000 | 229,069 | ||||||
Compass Minerals International, Inc. | ||||||||
6.75%, 12/1/2027(a) | 140,000 | 139,251 | ||||||
FMG Resources August 2006 Pty. Ltd. | ||||||||
4.50%, 9/15/2027(a) | 305,000 | 299,403 | ||||||
Freeport-McMoRan, Inc. | ||||||||
5.40%, 11/14/2034 | 100,000 | 94,330 | ||||||
Hudbay Minerals, Inc. | ||||||||
7.25%, 1/15/2023(a) | 100,000 | 91,770 | ||||||
Infrabuild Australia Pty. Ltd. | ||||||||
12.00%, 10/1/2024(a) | 200,000 | 171,460 | ||||||
JW Aluminum Continuous Cast Co. |
| |||||||
10.25%, 6/1/2026(a) | 150,000 | 152,940 |
Investments | Principal Amount | Value | ||||||
Metals & Mining – (continued) | ||||||||
Mineral Resources Ltd. | ||||||||
8.13%, 5/1/2027(a) | $ | 300,000 | $ | 310,365 | ||||
Northwest Acquisitions ULC | ||||||||
7.13%, 11/1/2022(a) | 255,000 | 26,456 | ||||||
Warrior Met Coal, Inc. | ||||||||
8.00%, 11/1/2024(a) | 210,000 | 197,201 | ||||||
2,815,382 | ||||||||
Mortgage Real Estate Investment Trusts (REITs) – 0.2% | ||||||||
Starwood Property Trust, Inc. | ||||||||
5.00%, 12/15/2021 | 128,000 | 120,403 | ||||||
4.75%, 3/15/2025 | 200,000 | 170,460 | ||||||
290,863 | ||||||||
Oil, Gas & Consumable Fuels – 9.2% | ||||||||
Alliance Resource Operating Partners LP | ||||||||
7.50%, 5/1/2025(a) | 245,000 | 160,475 | ||||||
Antero Midstream Partners LP | ||||||||
5.38%, 9/15/2024 | 400,000 | 314,500 | ||||||
Antero Resources Corp. | ||||||||
5.13%, 12/1/2022 | 300,000 | 210,585 | ||||||
5.63%, 6/1/2023 | 350,000 | 207,882 | ||||||
Ascent Resources Utica Holdings LLC | ||||||||
10.00%, 4/1/2022(a) | 250,000 | 206,563 | ||||||
7.00%, 11/1/2026(a) | 260,000 | 147,446 | ||||||
Berry Petroleum Co. LLC | ||||||||
7.00%, 2/15/2026(a) | 140,000 | 66,094 | ||||||
Blue Racer Midstream LLC | ||||||||
6.13%, 11/15/2022(a) | 200,000 | 170,890 | ||||||
Bruin E&P Partners LLC | ||||||||
8.88%, 8/1/2023(a) | 200,000 | 8,000 | ||||||
Callon Petroleum Co. | ||||||||
6.25%, 4/15/2023 | 100,000 | 21,375 | ||||||
Calumet Specialty Products Partners LP | ||||||||
7.63%, 1/15/2022 | 30,000 | 25,513 | ||||||
7.75%, 4/15/2023 | 150,000 | 118,905 | ||||||
11.00%, 4/15/2025(a) | 150,000 | 117,188 | ||||||
Cheniere Energy Partners LP | ||||||||
5.25%, 10/1/2025 | 350,000 | 336,280 | ||||||
5.63%, 10/1/2026 | 260,000 | 249,678 | ||||||
Chesapeake Energy Corp. | ||||||||
7.00%, 10/1/2024 | 695,000 | 20,850 | ||||||
11.50%, 1/1/2025(a) | 846,000 | 33,840 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 311 |
Table of Contents
FlexShares® High Yield Value-Scored Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Oil, Gas & Consumable Fuels – (continued) | ||||||||
Citgo Holding, Inc. | ||||||||
9.25%, 8/1/2024(a) | $ | 490,000 | $ | 444,062 | ||||
CNX Resources Corp. | ||||||||
5.88%, 4/15/2022 | 150,000 | 148,500 | ||||||
7.25%, 3/14/2027(a) | 365,000 | 328,974 | ||||||
Comstock Resources, Inc. | ||||||||
7.50%, 5/15/2025(a) | 280,000 | 236,600 | ||||||
9.75%, 8/15/2026 | 450,000 | 391,932 | ||||||
CONSOL Energy, Inc. | ||||||||
11.00%, 11/15/2025(a) | 125,000 | 54,663 | ||||||
Crestwood Midstream Partners LP |
| |||||||
6.25%, 4/1/2023(d) | 150,000 | 110,280 | ||||||
5.75%, 4/1/2025 | 100,000 | 72,625 | ||||||
CVR Energy, Inc. | ||||||||
5.75%, 2/15/2028(a) | 150,000 | 127,764 | ||||||
DCP Midstream LP | ||||||||
Series A, | 250,000 | 96,811 | ||||||
Delek Logistics Partners LP | ||||||||
6.75%, 5/15/2025 | 100,000 | 96,480 | ||||||
Denbury Resources, Inc. | ||||||||
9.00%, 5/15/2021(a) | 150,000 | 27,847 | ||||||
7.75%, 2/15/2024(a) | 350,000 | 65,555 | ||||||
Energy Transfer Operating LP | ||||||||
Series A, | 310,000 | 217,541 | ||||||
Energy Ventures Gom LLC | ||||||||
11.00%, 2/15/2023(a) | 100,000 | 57,230 | ||||||
EnLink Midstream LLC | ||||||||
5.38%, 6/1/2029 | 50,000 | 31,290 | ||||||
EnLink Midstream Partners LP | ||||||||
Series C, | 50,000 | 14,250 | ||||||
5.45%, 6/1/2047 | 50,000 | 20,638 | ||||||
Enviva Partners LP | ||||||||
6.50%, 1/15/2026(a) | 220,000 | 231,825 | ||||||
EQT Corp. | ||||||||
7.00%, 2/1/2030(d) | 120,000 | 114,150 | ||||||
Extraction Oil & Gas, Inc. |
| |||||||
7.38%, 5/15/2024(a) | 200,000 | 32,892 | ||||||
Genesis Energy LP | ||||||||
6.00%, 5/15/2023 | 100,000 | 89,010 | ||||||
6.50%, 10/1/2025 | 350,000 | 296,188 | ||||||
6.25%, 5/15/2026 | 250,000 | 210,525 |
Investments | Principal Amount | Value | ||||||
Oil, Gas & Consumable Fuels – (continued) | ||||||||
Global Partners LP | ||||||||
7.00%, 6/15/2023 | $ | 100,000 | $ | 87,730 | ||||
Gran Tierra Energy International Holdings Ltd. | ||||||||
6.25%, 2/15/2025(a) | 200,000 | 44,882 | ||||||
Gulfport Energy Corp. | ||||||||
6.00%, 10/15/2024 | 100,000 | 50,375 | ||||||
6.38%, 1/15/2026 | 960,000 | 443,616 | ||||||
Hilcorp Energy I LP | ||||||||
5.00%, 12/1/2024(a) | 300,000 | 171,690 | ||||||
6.25%, 11/1/2028(a) | 60,000 | 31,476 | ||||||
Indigo Natural Resources LLC | ||||||||
6.88%, 2/15/2026(a) | 110,000 | 102,993 | ||||||
Ithaca Energy North Sea plc | ||||||||
9.38%, 7/15/2024(a) | 200,000 | 121,250 | ||||||
Jonah Energy LLC | ||||||||
7.25%, 10/15/2025(a) | 110,000 | 2,475 | ||||||
Laredo Petroleum, Inc. | ||||||||
9.50%, 1/15/2025 | 195,000 | 83,489 | ||||||
Magnolia Oil & Gas Operating LLC | ||||||||
6.00%, 8/1/2026(a) | 200,000 | 166,000 | ||||||
MEG Energy Corp. | ||||||||
7.00%, 3/31/2024(a) | 222,000 | 158,774 | ||||||
Montage Resources Corp. | ||||||||
8.88%, 7/15/2023 | 210,000 | 172,526 | ||||||
Moss Creek Resources Holdings, Inc. | ||||||||
10.50%, 5/15/2027(a) | 300,000 | 114,630 | ||||||
Murphy Oil Corp. | ||||||||
6.88%, 8/15/2024 | 128,000 | 91,546 | ||||||
5.75%, 8/15/2025 | 180,000 | 125,136 | ||||||
5.88%, 12/1/2027 | 360,000 | 245,466 | ||||||
Natural Resource Partners LP | ||||||||
9.13%, 6/30/2025(a) | 150,000 | 127,095 | ||||||
Neptune Energy Bondco plc | ||||||||
6.63%, 5/15/2025(a) | 200,000 | 134,250 | ||||||
NGL Energy Partners LP | ||||||||
7.50%, 11/1/2023 | 225,000 | 153,844 | ||||||
6.13%, 3/1/2025 | 200,000 | 131,460 | ||||||
7.50%, 4/15/2026 | 300,000 | 196,785 | ||||||
Oasis Petroleum, Inc. | ||||||||
6.88%, 3/15/2022 | 250,000 | 38,438 | ||||||
6.25%, 5/1/2026(a) | 100,000 | 13,630 |
See Accompanying Notes to the Financial Statements.
312 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® High Yield Value-Scored Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Oil, Gas & Consumable Fuels – (continued) | ||||||||
Occidental Petroleum Corp. | ||||||||
2.60%, 8/13/2021 | $ | 495,000 | $ | 465,300 | ||||
3.13%, 2/15/2022 | 175,000 | 160,160 | ||||||
2.60%, 4/15/2022 | 250,000 | 221,250 | ||||||
2.70%, 8/15/2022 | 65,000 | 56,875 | ||||||
2.70%, 2/15/2023 | 265,000 | 228,960 | ||||||
6.95%, 7/1/2024 | 120,000 | 103,752 | ||||||
3.45%, 7/15/2024 | 35,000 | 24,675 | ||||||
2.90%, 8/15/2024 | 155,000 | 117,025 | ||||||
5.55%, 3/15/2026 | 250,000 | 194,650 | ||||||
Par Petroleum LLC | ||||||||
7.75%, 12/15/2025(a) | 100,000 | 71,230 | ||||||
Parkland Fuel Corp. | ||||||||
6.00%, 4/1/2026(a) | 100,000 | 96,715 | ||||||
5.88%, 7/15/2027(a) | 200,000 | 192,930 | ||||||
PBF Holding Co. LLC | ||||||||
6.00%, 2/15/2028(a) | 150,000 | 107,722 | ||||||
PBF Logistics LP | ||||||||
6.88%, 5/15/2023 | 100,000 | 77,620 | ||||||
Peabody Energy Corp. | ||||||||
6.00%, 3/31/2022(a) | 190,000 | 141,787 | ||||||
6.38%, 3/31/2025(a) | 125,000 | 74,769 | ||||||
Plains All American Pipeline LP | ||||||||
Series B, | 200,000 | 134,415 | ||||||
Range Resources Corp. | ||||||||
5.00%, 3/15/2023 | 260,000 | 230,425 | ||||||
4.88%, 5/15/2025 | 200,000 | 156,250 | ||||||
Rockpoint Gas Storage Canada Ltd. | ||||||||
7.00%, 3/31/2023(a) | 100,000 | 77,730 | ||||||
Ruby Pipeline LLC | ||||||||
6.50%, 4/1/2022(a) (d) | 136,364 | 126,870 | ||||||
SM Energy Co. | ||||||||
6.75%, 9/15/2026 | 200,000 | 55,920 | ||||||
Southwestern Energy Co. | ||||||||
6.20%, 1/23/2025(d) | 420,000 | 374,304 | ||||||
7.75%, 10/1/2027 | 175,000 | 153,387 | ||||||
Summit Midstream Holdings LLC | ||||||||
5.50%, 8/15/2022 | 100,000 | 24,705 | ||||||
5.75%, 4/15/2025 | 300,000 | 62,250 |
Investments | Principal Amount | Value | ||||||
Oil, Gas & Consumable Fuels – (continued) | ||||||||
Sunoco LP | ||||||||
4.88%, 1/15/2023 | $ | 200,000 | $ | 195,460 | ||||
6.00%, 4/15/2027 | 200,000 | 196,160 | ||||||
Tallgrass Energy Partners LP | ||||||||
5.50%, 9/15/2024(a) | 250,000 | 191,563 | ||||||
TerraForm Power Operating LLC | ||||||||
4.75%, 1/15/2030(a) | 200,000 | 205,920 | ||||||
Vine Oil & Gas LP | ||||||||
9.75%, 4/15/2023(a) | 150,000 | 76,500 | ||||||
W&T Offshore, Inc. | ||||||||
9.75%, 11/1/2023(a) | 200,000 | 67,250 | ||||||
Whiting Petroleum Corp. | ||||||||
5.75%, 3/15/2021(e) | 200,000 | 21,130 | ||||||
6.25%, 4/1/2023(e) | 200,000 | 20,750 | ||||||
6.63%, 1/15/2026(e) | 450,000 | 47,835 | ||||||
13,697,496 | ||||||||
Paper & Forest Products – 0.4% | ||||||||
Boise Cascade Co. | ||||||||
5.63%, 9/1/2024(a) | 100,000 | 100,230 | ||||||
Louisiana-Pacific Corp. | ||||||||
4.88%, 9/15/2024 | 100,000 | 97,270 | ||||||
Mercer International, Inc. | ||||||||
7.38%, 1/15/2025 | 100,000 | 96,520 | ||||||
Norbord, Inc. | ||||||||
5.75%, 7/15/2027(a) | 200,000 | 183,420 | ||||||
Schweitzer-Mauduit International, Inc. | ||||||||
6.88%, 10/1/2026(a) | 100,000 | 99,730 | ||||||
577,170 | ||||||||
Personal Products – 0.3% | ||||||||
Avon Products, Inc. | ||||||||
7.00%, 3/15/2023(d) | 210,000 | 201,235 | ||||||
Revlon Consumer Products Corp. | ||||||||
5.75%, 2/15/2021(d) | 210,000 | 95,686 | ||||||
Walnut Bidco plc | ||||||||
9.13%, 8/1/2024(a) | 200,000 | 170,948 | ||||||
467,869 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 313 |
Table of Contents
FlexShares® High Yield Value-Scored Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Pharmaceuticals – 2.7% | ||||||||
Bausch Health Americas, Inc. | ||||||||
9.25%, 4/1/2026(a) | $ | 700,000 | $ | 777,000 | ||||
8.50%, 1/31/2027(a) | 850,000 | 940,993 | ||||||
Bausch Health Cos., Inc. | ||||||||
6.13%, 4/15/2025(a) | 715,000 | 727,655 | ||||||
7.00%, 1/15/2028(a) | 170,000 | 177,166 | ||||||
7.25%, 5/30/2029(a) | 290,000 | 310,816 | ||||||
5.25%, 1/30/2030(a) | 220,000 | 218,902 | ||||||
Catalent Pharma Solutions, Inc. | ||||||||
4.88%, 1/15/2026(a) | 100,000 | 103,210 | ||||||
Elanco Animal Health, Inc. | ||||||||
5.65%, 8/28/2028(d) | 100,000 | 111,250 | ||||||
Endo Finance LLC | ||||||||
5.38%, 1/15/2023(a) (d) | 440,000 | 333,212 | ||||||
HLF Financing Sarl LLC | ||||||||
7.25%, 8/15/2026(a) | 245,000 | 239,475 | ||||||
3,939,679 | ||||||||
Professional Services – 0.5% | ||||||||
AMN Healthcare, Inc. | ||||||||
4.63%, 10/1/2027(a) | 110,000 | 107,481 | ||||||
ASGN, Inc. | ||||||||
4.63%, 5/15/2028(a) | 100,000 | 92,685 | ||||||
Dun & Bradstreet Corp. (The) | ||||||||
10.25%, 2/15/2027(a) | 425,000 | 467,351 | ||||||
667,517 | ||||||||
Real Estate Management & Development – 0.6% | ||||||||
Greystar Real Estate Partners LLC | ||||||||
5.75%, 12/1/2025(a) | 100,000 | 92,625 | ||||||
Howard Hughes Corp. (The) | ||||||||
5.38%, 3/15/2025(a) | 200,000 | 195,118 | ||||||
Hunt Cos., Inc. | ||||||||
6.25%, 2/15/2026(a) | 330,000 | 282,414 | ||||||
Realogy Group LLC | ||||||||
4.88%, 6/1/2023(a) | 260,000 | 199,324 | ||||||
WeWork Cos., Inc. | ||||||||
7.88%, 5/1/2025(a) | 400,000 | 164,500 | ||||||
933,981 |
Investments | Principal Amount | Value | ||||||
Road & Rail – 1.8% | ||||||||
Algeco Global Finance plc | ||||||||
8.00%, 2/15/2023(a) | $ | 310,000 | $ | 273,187 | ||||
Capitol Investment Merger Sub 2 LLC | ||||||||
10.00%, 8/1/2024(a) | 285,000 | 267,130 | ||||||
Kenan Advantage Group, Inc. (The) | ||||||||
7.88%, 7/31/2023(a) | 160,000 | 135,018 | ||||||
Uber Technologies, Inc. | ||||||||
8.00%, 11/1/2026(a) | 1,150,000 | 1,185,432 | ||||||
7.50%, 9/15/2027(a) | 760,000 | 780,064 | ||||||
2,640,831 | ||||||||
Semiconductors & Semiconductor Equipment – 0.3% | ||||||||
Amkor Technology, Inc. | ||||||||
6.63%, 9/15/2027(a) | 150,000 | 154,823 | ||||||
Entegris, Inc. | ||||||||
4.63%, 2/10/2026(a) | 100,000 | 100,710 | ||||||
Qorvo, Inc. | ||||||||
5.50%, 7/15/2026 | 200,000 | 210,940 | ||||||
466,473 | ||||||||
Software – 2.7% | ||||||||
ACI Worldwide, Inc. | ||||||||
5.75%, 8/15/2026(a) | 200,000 | 200,420 | ||||||
Ascend Learning LLC | ||||||||
6.88%, 8/1/2025(a) | 200,000 | 199,460 | ||||||
Blackboard, Inc. | ||||||||
10.38%, 11/15/2024(a) | 150,000 | 141,937 | ||||||
Castle US Holding Corp. | ||||||||
9.50%, 2/15/2028(a) | 100,000 | 94,470 | ||||||
CDK Global, Inc. | ||||||||
5.88%, 6/15/2026 | 150,000 | 157,823 | ||||||
4.88%, 6/1/2027 | 150,000 | 150,495 | ||||||
Change Healthcare Holdings LLC | ||||||||
5.75%, 3/1/2025(a) | 280,000 | 275,498 | ||||||
Granite Merger Sub 2, Inc. | ||||||||
11.00%, 7/15/2027(a) | 175,000 | 170,992 | ||||||
j2 Cloud Services LLC | ||||||||
6.00%, 7/15/2025(a) | 80,000 | 81,216 | ||||||
NortonLifeLock, Inc. | ||||||||
5.00%, 4/15/2025(a) | 450,000 | 455,063 |
See Accompanying Notes to the Financial Statements.
314 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® High Yield Value-Scored Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Software – (continued) | ||||||||
Nuance Communications, Inc. | ||||||||
5.63%, 12/15/2026 | $ | 200,000 | $ | 210,800 | ||||
Open Text Corp. | ||||||||
5.88%, 6/1/2026(a) | 500,000 | 527,325 | ||||||
Solera LLC | ||||||||
10.50%, 3/1/2024(a) | 342,000 | 342,068 | ||||||
SS&C Technologies, Inc. | ||||||||
5.50%, 9/30/2027(a) | 500,000 | 514,850 | ||||||
Veritas US, Inc. | ||||||||
10.50%, 2/1/2024(a) | 540,000 | 485,892 | ||||||
4,008,309 | ||||||||
Specialty Retail – 3.3% | ||||||||
AAG FH LP | ||||||||
9.75%, 7/15/2024(a) | 100,000 | 87,750 | ||||||
Bed Bath & Beyond, Inc. | ||||||||
5.17%, 8/1/2044 | 50,000 | 21,875 | ||||||
eG Global Finance plc | ||||||||
6.75%, 2/7/2025(a) | 500,000 | 457,600 | ||||||
8.50%, 10/30/2025(a) | 200,000 | 196,040 | ||||||
Guitar Center, Inc. | ||||||||
9.50%, 10/15/2021(a) | 310,000 | 215,651 | ||||||
J. Crew Brand LLC | ||||||||
13.00%, 9/15/2021(a) | 30,000 | 27,225 | ||||||
L Brands, Inc. | ||||||||
5.63%, 10/15/2023 | 165,000 | 135,333 | ||||||
5.25%, 2/1/2028 | 285,000 | 205,813 | ||||||
7.50%, 6/15/2029 | 17,000 | 12,641 | ||||||
6.88%, 11/1/2035 | 100,000 | 74,085 | ||||||
Michaels Stores, Inc. | ||||||||
8.00%, 7/15/2027(a) | 185,000 | 128,510 | ||||||
Murphy Oil USA, Inc. |
| |||||||
5.63%, 5/1/2027 | 50,000 | 51,833 | ||||||
Party City Holdings, Inc. | ||||||||
6.13%, 8/15/2023(a) | 300,000 | 29,250 | ||||||
6.63%, 8/1/2026(a) | 200,000 | 20,750 | ||||||
Penske Automotive Group, Inc. | ||||||||
5.50%, 5/15/2026 | 110,000 | 101,161 | ||||||
PetSmart, Inc. | ||||||||
7.13%, 3/15/2023(a) | 200,000 | 192,750 | ||||||
5.88%, 6/1/2025(a) | 34,000 | 34,468 | ||||||
8.88%, 6/1/2025(a) | 1,200,000 | 1,171,500 |
Investments | Principal Amount | Value | ||||||
Specialty Retail – (continued) | ||||||||
Sally Holdings LLC | ||||||||
5.63%, 12/1/2025 | $ | 300,000 | $ | 247,440 | ||||
Sonic Automotive, Inc. | ||||||||
6.13%, 3/15/2027 | 150,000 | 130,065 | ||||||
SRS Distribution, Inc. | ||||||||
8.25%, 7/1/2026(a) | 150,000 | 138,810 | ||||||
Staples, Inc. | ||||||||
7.50%, 4/15/2026(a) | 1,215,000 | 965,561 | ||||||
10.75%, 4/15/2027(a) | 500,000 | 287,325 | ||||||
4,933,436 | ||||||||
Technology Hardware, Storage & Peripherals – 0.3% | ||||||||
NCR Corp. | ||||||||
6.13%, 9/1/2029(a) | 255,000 | 254,273 | ||||||
Western Digital Corp. | ||||||||
4.75%, 2/15/2026 | 130,000 | 133,209 | ||||||
Xerox Corp. | ||||||||
4.12%, 3/15/2023(d) | 125,000 | 125,150 | ||||||
512,632 | ||||||||
Textiles, Apparel & Luxury Goods – 0.2% | ||||||||
Eagle Intermediate Global Holding BV | ||||||||
7.50%, 5/1/2025(a) | 400,000 | 224,000 | ||||||
William Carter Co. (The) | ||||||||
5.63%, 3/15/2027(a) | 100,000 | 101,956 | ||||||
325,956 | ||||||||
Thrifts & Mortgage Finance – 0.2% | ||||||||
Ladder Capital Finance Holdings LLLP | ||||||||
REIT, | 115,000 | 95,594 | ||||||
REIT, 4.25%, 2/1/2027(a) | 100,000 | 70,125 | ||||||
Provident Funding Associates LP | ||||||||
6.38%, 6/15/2025(a) | 180,000 | 153,864 | ||||||
319,583 | ||||||||
Tobacco – 0.6% | ||||||||
Vector Group Ltd. | ||||||||
6.13%, 2/1/2025(a) | 525,000 | 512,531 | ||||||
10.50%, 11/1/2026(a) | 340,000 | 314,381 | ||||||
826,912 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 315 |
Table of Contents
FlexShares® High Yield Value-Scored Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Trading Companies & Distributors – 0.7% | ||||||||
Ahern Rentals, Inc. | ||||||||
7.38%, 5/15/2023(a) | $ | 335,000 | $ | 160,029 | ||||
Fortress Transportation & Infrastructure Investors LLC | ||||||||
6.50%, 10/1/2025(a) | 300,000 | 248,190 | ||||||
HD Supply, Inc. | ||||||||
5.38%, 10/15/2026(a) | 100,000 | 102,570 | ||||||
United Rentals North America, Inc. | ||||||||
6.50%, 12/15/2026 | 500,000 | 519,825 | ||||||
1,030,614 | ||||||||
Wireless Telecommunication Services – 3.8% | ||||||||
C&W Senior Financing DAC | ||||||||
7.50%, 10/15/2026(a) | 100,000 | 100,602 | ||||||
6.88%, 9/15/2027(a) | 400,000 | 397,320 | ||||||
Connect Finco SARL | ||||||||
6.75%, 10/1/2026(a) | 1,200,000 | 1,140,780 | ||||||
Hughes Satellite Systems Corp. | ||||||||
6.63%, 8/1/2026 | 255,000 | 273,641 | ||||||
Sprint Corp. | ||||||||
7.25%, 9/15/2021 | 350,000 | 368,655 | ||||||
7.88%, 9/15/2023 | 700,000 | 790,335 | ||||||
7.13%, 6/15/2024 | 250,000 | 281,930 | ||||||
7.63%, 2/15/2025 | 300,000 | 346,125 | ||||||
T-Mobile USA, Inc. | ||||||||
4.50%, 2/1/2026 | 555,000 | 574,397 | ||||||
4.75%, 2/1/2028 | 1,025,000 | 1,081,037 | ||||||
Vodafone Group plc | ||||||||
7.00%, 4/4/2079(c) | 200,000 | 229,477 | ||||||
5,584,299 | ||||||||
Total Corporate Bonds (Cost $162,956,643) |
| 144,662,838 | ||||||
Total Investments – 97.2% (Cost $162,956,643) |
| 144,662,838 | ||||||
Other Assets Less Liabilities – 2.8% |
| 4,108,708 | ||||||
NET ASSETS – 100.0% |
| $ | 148,771,546 |
(a) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined by valuations supplied by a pricing service or brokers, or, if not available, in accordance with procedures established by the Board of Trustees. |
(b) | Perpetual security. The rate reflected was the rate in effect on April 30, 2020. The maturity date reflects the next call date. |
(c) | Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate shown is the rate in effect as of period end. |
(d) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future at a contingent upon predetermined trigger. The interest rate shown was the current rate as of April 30, 2020. |
(e) | Issuer has defaulted on terms of debt obligation. Income is not being accrued. |
(f) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the rate in effect as of April 30, 2020. |
(g) | Payment in-kind security. |
Percentages shown are based on Net Assets.
Abbreviations
ICE – Intercontinental Exchange
LIBOR – London Interbank Offered Rate
SCA – Limited partnership with share capital
USD – US Dollar
As of April 30, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 961,802 | ||
Aggregate gross unrealized depreciation | (19,263,330 | ) | ||
Net unrealized depreciation | $ | (18,301,528 | ) | |
Federal income tax cost | $ | 162,964,366 |
See Accompanying Notes to the Financial Statements.
316 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Schedule of Investments
FlexShares® Ready Access Variable Income Fund
April 30, 2020 (Unaudited)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – 81.9% | ||||||||
Aerospace & Defense – 1.6% | ||||||||
Boeing Co. (The) | ||||||||
2.30%, 8/1/2021 | $ | 580,000 | $ | 570,523 | ||||
8.75%, 8/15/2021 | 827,000 | 852,244 | ||||||
General Dynamics Corp. | ||||||||
(ICE LIBOR | 700,000 | 699,961 | ||||||
2.88%, 5/11/2020 | 800,000 | 800,365 | ||||||
Northrop Grumman Corp. | ||||||||
2.08%, 10/15/2020 | 1,000,000 | 1,005,434 | ||||||
3.50%, 3/15/2021 | 204,000 | 207,901 | ||||||
Precision Castparts Corp. | ||||||||
2.25%, 6/15/2020 | 1,000,000 | 1,000,480 | ||||||
5,136,908 | ||||||||
Agricultural Products – 0.7% | ||||||||
Cargill, Inc. | ||||||||
1.38%, 7/23/2023(b) | 2,100,000 | 2,111,604 | ||||||
Air Freight & Logistics – 0.3% | ||||||||
FedEx Corp. | ||||||||
2.63%, 8/1/2022 | 1,000,000 | 1,023,595 | ||||||
Airlines – 0.8% | ||||||||
Southwest Airlines Co. | ||||||||
2.65%, 11/5/2020 | 2,560,000 | 2,552,279 | ||||||
Apparel, Accessories & Luxury Goods – 0.4% | ||||||||
VF Corp. | ||||||||
2.05%, 4/23/2022 | 1,200,000 | 1,213,034 | ||||||
Asset Management & Custody Banks – 1.1% | ||||||||
Ameriprise Financial, Inc. | ||||||||
3.00%, 3/22/2022 | 900,000 | 929,959 | ||||||
Bank of New York Mellon (The) | ||||||||
(ICE LIBOR USD | 2,700,000 | 2,685,478 | ||||||
3,615,437 | ||||||||
Automobile Manufacturers – 2.9% | ||||||||
BMW US Capital LLC | ||||||||
3.80%, 4/6/2023(b) | 1,500,000 | 1,564,430 |
Investments | Principal Amount | Value | ||||||
Automobile Manufacturers – (continued) | ||||||||
Daimler Finance North America LLC | ||||||||
(ICE LIBOR USD | $ | 92,000 | $ | 91,997 | ||||
(ICE LIBOR USD | 1,650,000 | 1,611,411 | ||||||
Hyundai Capital America | ||||||||
2.85%, 11/1/2022(b) | 670,000 | 654,439 | ||||||
Nissan Motor Acceptance Corp. | ||||||||
(ICE LIBOR USD | 250,000 | 244,536 | ||||||
(ICE LIBOR USD | 762,000 | 701,603 | ||||||
Toyota Motor Corp. | ||||||||
2.16%, 7/2/2022 | 1,000,000 | 1,016,166 | ||||||
Volkswagen Group of America Finance LLC | ||||||||
(ICE LIBOR USD | 3,500,000 | 3,466,516 | ||||||
9,351,098 | ||||||||
Automotive Retail – 0.9% | ||||||||
AutoZone, Inc. | ||||||||
4.00%, 11/15/2020 | 900,000 | 907,878 | ||||||
3.70%, 4/15/2022 | 2,000,000 | 2,064,398 | ||||||
2,972,276 | ||||||||
Biotechnology – 0.4% | ||||||||
AbbVie, Inc. | ||||||||
2.50%, 5/14/2020 | 1,150,000 | 1,150,432 | ||||||
Broadcasting – 0.3% | ||||||||
Fox Corp. | ||||||||
3.67%, 1/25/2022 | 800,000 | 829,587 | ||||||
Cable & Satellite – 1.1% | ||||||||
Comcast Corp. | ||||||||
(ICE LIBOR USD | 3,395,000 | 3,397,138 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 317 |
Table of Contents
FlexShares® Ready Access Variable Income Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Communications Equipment – 0.3% | ||||||||
Cisco Systems, Inc. | ||||||||
2.20%, 2/28/2021 | $ | 950,000 | $ | 962,191 | ||||
Consumer Finance – 7.5% | ||||||||
AerCap Ireland Capital DAC | ||||||||
5.00%, 10/1/2021 | 1,000,000 | 956,856 | ||||||
4.45%, 12/16/2021 | 1,000,000 | 933,003 | ||||||
American Express Co. | ||||||||
3.00%, 2/22/2021 | 520,000 | 525,844 | ||||||
(ICE LIBOR USD | 612,000 | 609,041 | ||||||
American Express Credit Corp. | ||||||||
Series F, (ICE LIBOR | 1,750,000 | 1,750,590 | ||||||
American Honda Finance Corp. | ||||||||
3.00%, 6/16/2020 | 250,000 | 250,129 | ||||||
(ICE LIBOR USD | 1,200,000 | 1,188,927 | ||||||
1.70%, 9/9/2021 | 500,000 | 499,010 | ||||||
(ICE LIBOR USD | 2,500,000 | 2,394,088 | ||||||
Capital One Financial Corp. | ||||||||
2.50%, 5/12/2020 | 725,000 | 725,172 | ||||||
(ICE LIBOR USD | 235,000 | 231,060 | ||||||
Caterpillar Financial Services Corp. | ||||||||
1.85%, 9/4/2020 | 600,000 | 601,842 | ||||||
(ICE LIBOR USD | 160,000 | 159,459 | ||||||
Series I, (ICE LIBOR | 1,000,000 | 993,763 | ||||||
(ICE LIBOR USD | 2,091,000 | 2,068,109 | ||||||
General Motors Financial Co., Inc. | ||||||||
2.45%, 11/6/2020 | 751,000 | 743,256 |
Investments | Principal Amount | Value | ||||||
Consumer Finance – (continued) | ||||||||
John Deere Capital Corp. | ||||||||
(ICE LIBOR USD | $ | 596,000 | $ | 595,704 | ||||
(ICE LIBOR USD | 690,000 | 687,959 | ||||||
(ICE LIBOR USD | 1,554,000 | 1,538,149 | ||||||
PACCAR Financial Corp. | ||||||||
2.00%, 9/26/2022 | 200,000 | 203,051 | ||||||
2.65%, 4/6/2023 | 1,000,000 | 1,037,382 | ||||||
Toyota Motor Credit Corp. | ||||||||
(ICE LIBOR USD | 4,000,000 | 3,948,042 | ||||||
(ICE LIBOR USD | 1,200,000 | 1,185,939 | ||||||
23,826,375 | ||||||||
Data Processing & Outsourced Services – 0.9% | ||||||||
Fiserv, Inc. | ||||||||
2.70%, 6/1/2020 | 2,050,000 | 2,050,696 | ||||||
PayPal Holdings, Inc. | ||||||||
2.20%, 9/26/2022 | 900,000 | 917,085 | ||||||
2,967,781 | ||||||||
Diversified Banks – 21.0% | ||||||||
Australia & New Zealand Banking Group Ltd. | ||||||||
(ICE LIBOR USD | 1,000,000 | 995,428 | ||||||
2.05%, 11/21/2022 | 1,900,000 | 1,937,423 | ||||||
Bank of America Corp. | ||||||||
(ICE LIBOR USD | 1,742,000 | 1,709,417 | ||||||
Bank of Montreal | ||||||||
Series D, 3.10%, 4/13/2021 | 1,650,000 | 1,684,790 | ||||||
2.90%, 3/26/2022 | 1,500,000 | 1,545,319 | ||||||
Bank of Nova Scotia (The) | ||||||||
2.15%, 7/14/2020 | 734,000 | 736,293 |
See Accompanying Notes to the Financial Statements.
318 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Ready Access Variable Income Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Diversified Banks – (continued) | ||||||||
(ICE LIBOR USD | $ | 670,000 | $ | 667,754 | ||||
(ICE LIBOR USD | 1,000,000 | 996,579 | ||||||
1.63%, 5/1/2023 | 2,000,000 | 2,000,824 | ||||||
Banque Federative du Credit Mutuel SA | ||||||||
2.13%, 11/21/2022(b) | 1,400,000 | 1,413,480 | ||||||
Barclays Bank plc | ||||||||
(ICE LIBOR USD | 144,000 | 143,781 | ||||||
BNP Paribas SA | ||||||||
2.38%, 5/21/2020 | 1,110,000 | 1,110,725 | ||||||
5.00%, 1/15/2021 | 35,000 | 35,994 | ||||||
2.95%, 5/23/2022(b) | 1,300,000 | 1,323,127 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
(SOFR + 0.80%), 1.06%, 3/17/2023(a) | 2,400,000 | 2,314,876 | ||||||
Citibank NA | ||||||||
(ICE LIBOR USD | 900,000 | 894,980 | ||||||
3.16%, 2/19/2022(c) | 2,000,000 | 2,025,710 | ||||||
Citigroup, Inc. | ||||||||
2.65%, 10/26/2020 | 560,000 | 563,962 | ||||||
2.70%, 3/30/2021 | 500,000 | 506,955 | ||||||
Cooperatieve Rabobank UA | ||||||||
2.50%, 1/19/2021 | 1,130,000 | 1,143,224 | ||||||
(ICE LIBOR USD | 1,020,000 | 1,020,227 | ||||||
DBS Group Holdings Ltd. | ||||||||
(ICE LIBOR USD | 100,000 | 99,998 | ||||||
2.85%, 4/16/2022(b) | 1,200,000 | 1,225,434 | ||||||
HSBC Holdings plc | ||||||||
(ICE LIBOR USD | 1,605,000 | 1,604,902 |
Investments | Principal Amount | Value | ||||||
Diversified Banks – (continued) | ||||||||
(ICE LIBOR USD | $ | 2,000,000 | $ | 1,985,464 | ||||
JPMorgan Chase & Co. | ||||||||
(ICE LIBOR USD | 504,000 | 503,941 | ||||||
2.40%, 6/7/2021 | 1,055,000 | 1,067,501 | ||||||
Lloyds Bank plc | ||||||||
(ICE LIBOR USD | 1,038,000 | 1,030,750 | ||||||
Mitsubishi UFJ Financial Group, Inc. | ||||||||
(ICE LIBOR USD | 695,000 | 691,665 | ||||||
3.22%, 3/7/2022 | 1,200,000 | 1,233,181 | ||||||
2.62%, 7/18/2022 | 1,600,000 | 1,634,147 | ||||||
National Australia Bank Ltd. | ||||||||
(ICE LIBOR USD | 2,000,000 | 1,995,499 | ||||||
(ICE LIBOR USD | 1,000,000 | 983,796 | ||||||
Royal Bank of Canada | ||||||||
(ICE LIBOR USD | 1,000,000 | 999,087 | ||||||
(ICE LIBOR USD | 1,813,000 | 1,802,851 | ||||||
(ICE LIBOR USD | 1,000,000 | 976,316 | ||||||
Santander UK plc | ||||||||
(ICE LIBOR USD | 672,000 | 668,880 | ||||||
Skandinaviska Enskilda Banken AB | ||||||||
2.63%, 3/15/2021 | 850,000 | 862,786 | ||||||
(ICE LIBOR USD | 1,110,000 | 1,106,112 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 319 |
Table of Contents
FlexShares® Ready Access Variable Income Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Diversified Banks – (continued) | ||||||||
2.20%, 12/12/2022(b) | $ | 600,000 | $ | 611,634 | ||||
Sumitomo Mitsui Financial Group, Inc. | ||||||||
2.06%, 7/14/2021 | 941,000 | 948,008 | ||||||
Svenska Handelsbanken AB |
| |||||||
2.45%, 3/30/2021 | 300,000 | 304,082 | ||||||
(ICE LIBOR USD | 2,500,000 | 2,491,776 | ||||||
3.35%, 5/24/2021 | 1,705,000 | 1,749,534 | ||||||
Toronto-Dominion Bank (The) | ||||||||
(ICE LIBOR USD | 251,000 | 250,654 | ||||||
(ICE LIBOR USD | 1,125,000 | 1,120,262 | ||||||
(ICE LIBOR USD | 1,000,000 | 995,182 | ||||||
(ICE LIBOR USD | 2,300,000 | 2,274,886 | ||||||
US Bank NA | ||||||||
(ICE LIBOR USD | 2,500,000 | 2,496,375 | ||||||
(ICE LIBOR USD | 2,000,000 | 1,979,101 | ||||||
Wells Fargo Bank NA | ||||||||
(ICE LIBOR USD | 900,000 | 895,145 | ||||||
(ICE LIBOR USD | 2,400,000 | 2,388,662 | ||||||
Westpac Banking Corp. | ||||||||
2.30%, 5/26/2020 | 1,104,000 | 1,104,974 | ||||||
2.65%, 1/25/2021 | 105,000 | 106,205 | ||||||
(ICE LIBOR USD | 1,100,000 | 1,084,923 | ||||||
2.00%, 1/13/2023 | 510,000 | 521,670 | ||||||
66,566,251 |
Investments | Principal Amount | Value | ||||||
Diversified Capital Markets – 2.3% | ||||||||
Credit Suisse AG | ||||||||
2.10%, 11/12/2021 | $ | 700,000 | $ | 707,882 | ||||
(SOFR + 0.45%), 0.46%, 2/4/2022(a) | 4,000,000 | 3,890,737 | ||||||
Macquarie Bank Ltd. | ||||||||
2.10%, 10/17/2022(b) | 700,000 | 707,437 | ||||||
UBS Group AG | ||||||||
(ICE LIBOR USD | 2,000,000 | 2,008,880 | ||||||
7,314,936 | ||||||||
Electric Utilities – 1.7% | ||||||||
Duke Energy Corp. | ||||||||
(ICE LIBOR USD | 1,000,000 | 996,983 | ||||||
3.55%, 9/15/2021 | 150,000 | 153,845 | ||||||
2.40%, 8/15/2022 | 250,000 | 256,720 | ||||||
Duke Energy Florida LLC | ||||||||
Series A, (ICE LIBOR USD | 600,000 | 594,030 | ||||||
Florida Power & Light Co. | ||||||||
(ICE LIBOR USD | 1,000,000 | 991,375 | ||||||
NextEra Energy Capital Holdings, Inc. | ||||||||
2.40%, 9/1/2021 | 900,000 | 915,510 | ||||||
2.90%, 4/1/2022 | 1,352,000 | 1,397,586 | ||||||
5,306,049 | ||||||||
Environmental & Facilities Services – 1.6% | ||||||||
Republic Services, Inc. | ||||||||
5.25%, 11/15/2021 | 3,000,000 | 3,184,851 | ||||||
Waste Management, Inc. | ||||||||
4.75%, 6/30/2020 | 2,000,000 | 2,011,522 | ||||||
5,196,373 | ||||||||
Financial Exchanges & Data – 0.5% | ||||||||
Moody’s Corp. | ||||||||
2.75%, 12/15/2021 | 1,500,000 | 1,529,721 |
See Accompanying Notes to the Financial Statements.
320 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Ready Access Variable Income Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Food Retail – 0.6% | ||||||||
Kroger Co. (The) | ||||||||
3.30%, 1/15/2021 | $ | 1,340,000 | $ | 1,356,569 | ||||
2.60%, 2/1/2021 | 500,000 | 504,268 | ||||||
1,860,837 | ||||||||
Gas Utilities – 0.2% | ||||||||
Dominion Energy Gas Holdings LLC | ||||||||
2.80%, 11/15/2020 | 550,000 | 552,810 | ||||||
Health Care Distributors – 0.2% | ||||||||
McKesson Corp. | ||||||||
3.65%, 11/30/2020 | 762,000 | 771,885 | ||||||
Health Care Equipment – 0.6% | ||||||||
DH Europe Finance II Sarl | ||||||||
2.05%, 11/15/2022 | 2,000,000 | 2,032,635 | ||||||
Health Care Services – 0.4% | ||||||||
CVS Health Corp. | ||||||||
3.35%, 3/9/2021 | 662,000 | 672,958 | ||||||
2.75%, 12/1/2022 | 610,000 | 631,823 | ||||||
1,304,781 | ||||||||
Home Improvement Retail – 0.2% | ||||||||
Home Depot, Inc. (The) | ||||||||
(ICE LIBOR USD | 512,000 | 512,000 | ||||||
(ICE LIBOR USD | 210,000 | 207,358 | ||||||
719,358 | ||||||||
Homebuilding – 0.1% | ||||||||
DR Horton, Inc. | ||||||||
2.55%, 12/1/2020 | 428,000 | 426,685 | ||||||
Household Appliances – 0.3% | ||||||||
Whirlpool Corp. | ||||||||
4.85%, 6/15/2021 | 914,000 | 939,726 | ||||||
Household Products – 0.6% | ||||||||
Kimberly-Clark Corp. | ||||||||
2.15%, 8/15/2020 | 2,000,000 | 2,008,064 |
Investments | Principal Amount | Value | ||||||
Hypermarkets & Super Centers – 0.5% | ||||||||
Walmart, Inc. | ||||||||
3.63%, 7/8/2020 | $ | 1,648,000 | $ | 1,657,052 | ||||
Industrial Conglomerates – 0.8% | ||||||||
General Electric Co. | ||||||||
5.55%, 5/4/2020 | 1,000,000 | 1,000,000 | ||||||
Roper Technologies, Inc. | ||||||||
3.00%, 12/15/2020 | 1,403,000 | 1,414,416 | ||||||
2,414,416 | ||||||||
Industrial Machinery – 0.2% | ||||||||
Otis Worldwide Corp. | ||||||||
(ICE LIBOR USD | 800,000 | 778,933 | ||||||
Insurance Brokers – 0.3% | ||||||||
Aon Corp. | ||||||||
2.20%, 11/15/2022 | 780,000 | 795,372 | ||||||
Integrated Oil & Gas – 2.0% | ||||||||
BP Capital Markets America, Inc. | ||||||||
4.50%, 10/1/2020 | 166,000 | 167,963 | ||||||
2.94%, 4/6/2023 | 300,000 | 309,793 | ||||||
BP Capital Markets plc | ||||||||
(ICE LIBOR USD | 1,606,000 | 1,593,545 | ||||||
Exxon Mobil Corp. | ||||||||
1.57%, 4/15/2023 | 3,000,000 | 3,040,534 | ||||||
Total Capital International SA | ||||||||
2.22%, 7/12/2021 | 1,200,000 | 1,211,414 | ||||||
6,323,249 | ||||||||
Integrated Telecommunication Services – 2.6% | ||||||||
AT&T, Inc. | ||||||||
2.45%, 6/30/2020 | 985,000 | 986,021 | ||||||
(ICE LIBOR USD | 2,386,000 | 2,383,185 | ||||||
Verizon Communications, Inc. | ||||||||
(ICE LIBOR USD | 3,414,000 | 3,416,538 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 321 |
Table of Contents
FlexShares® Ready Access Variable Income Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Integrated Telecommunication Services – (continued) | ||||||||
4.60%, 4/1/2021 | $ | 775,000 | $ | 800,760 | ||||
(ICE LIBOR USD | 620,000 | 620,959 | ||||||
8,207,463 | ||||||||
Internet & Direct Marketing Retail – 0.3% | ||||||||
eBay, Inc. |
| |||||||
2.88%, 8/1/2021 | 1,050,000 | 1,070,013 | ||||||
Investment Banking & Brokerage – 1.8% | ||||||||
Charles Schwab Corp. (The) | ||||||||
4.45%, 7/22/2020 | 1,500,000 | 1,510,920 | ||||||
(ICE LIBOR USD | 515,000 | 510,872 | ||||||
3.25%, 5/21/2021 | 590,000 | 601,979 | ||||||
Goldman Sachs Bank USA | ||||||||
3.20%, 6/5/2020 | 108,000 | 108,206 | ||||||
Goldman Sachs Group, Inc. (The) | ||||||||
2.63%, 4/25/2021 | 180,000 | 182,134 | ||||||
Morgan Stanley | ||||||||
(ICE LIBOR USD | 1,500,000 | 1,505,337 | ||||||
5.50%, 7/28/2021 | 100,000 | 104,945 | ||||||
(SOFR + 0.70%), 0.71%, 1/20/2023(a) | 1,200,000 | 1,159,493 | ||||||
5,683,886 | ||||||||
IT Consulting & Other Services – 0.0%(d) | ||||||||
IBM Credit LLC | ||||||||
(ICE LIBOR USD | 110,000 | 110,104 | ||||||
Life & Health Insurance – 1.5% | ||||||||
Jackson National Life Global Funding | ||||||||
(ICE LIBOR USD | 1,145,000 | 1,141,607 | ||||||
(ICE LIBOR USD | 500,000 | 494,454 |
Investments | Principal Amount | Value | ||||||
Life & Health Insurance – (continued) | ||||||||
Prudential Financial, Inc. | ||||||||
4.50%, 11/15/2020 | $ | 3,000,000 | $ | 3,055,243 | ||||
4,691,304 | ||||||||
Managed Health Care – 2.2% | ||||||||
Cigna Corp. | ||||||||
3.20%, 9/17/2020 | 1,380,000 | 1,389,384 | ||||||
(ICE LIBOR USD | 1,000,000 | 983,383 | ||||||
UnitedHealth Group, Inc. | ||||||||
(ICE LIBOR USD | 3,000,000 | 2,993,342 | ||||||
2.88%, 12/15/2021 | 1,020,000 | 1,051,058 | ||||||
2.38%, 10/15/2022 | 500,000 | 517,858 | ||||||
6,935,025 | ||||||||
Movies & Entertainment – 0.4% | ||||||||
TWDC Enterprises 18 Corp. | ||||||||
1.80%, 6/5/2020 | 1,000,000 | 1,000,894 | ||||||
Walt Disney Co. (The) | ||||||||
(ICE LIBOR USD | 300,000 | 298,425 | ||||||
1,299,319 | ||||||||
Multi-line Insurance – 0.5% | ||||||||
New York Life Global Funding | ||||||||
(ICE LIBOR USD | 1,600,000 | 1,578,476 | ||||||
Multi-Sector Holdings – 0.4% | ||||||||
BNG Bank NV | ||||||||
0.75%, 4/17/2023(b) | 1,200,000 | 1,207,056 | ||||||
Multi-Utilities – 0.1% | ||||||||
DTE Energy Co. | ||||||||
Series B, 3.30%, 6/15/2022 | 175,000 | 180,407 | ||||||
Oil & Gas Equipment & Services – 0.0%(d) | ||||||||
Schlumberger Finance Canada Ltd. | ||||||||
2.20%, 11/20/2020(b) | 25,000 | 24,923 |
See Accompanying Notes to the Financial Statements.
322 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Ready Access Variable Income Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Oil & Gas Exploration & Production – 0.2% | ||||||||
Apache Corp. | ||||||||
3.63%, 2/1/2021 | $ | 790,000 | $ | 764,194 | ||||
Oil & Gas Refining & Marketing – 0.2% | ||||||||
Phillips 66 | ||||||||
3.70%, 4/6/2023 | 600,000 | 623,615 | ||||||
Oil & Gas Storage & Transportation – 0.2% | ||||||||
Energy Transfer Operating LP | ||||||||
4.65%, 6/1/2021 | 440,000 | 439,893 | ||||||
MPLX LP | ||||||||
(ICE LIBOR USD | 100,000 | 94,103 | ||||||
533,996 | ||||||||
Other Diversified Financial Services – 0.5% | ||||||||
GE Capital International Funding Co. Unlimited Co. | ||||||||
2.34%, 11/15/2020 | 1,000,000 | 1,002,165 | ||||||
Kreditanstalt fuer Wiederaufbau | ||||||||
2.38%, 3/24/2021 | 535,211 | 545,002 | ||||||
1,547,167 | ||||||||
Packaged Foods & Meats – 1.7% | ||||||||
Mondelez International Holdings Netherlands BV | ||||||||
2.13%, 9/19/2022(b) | 1,360,000 | 1,383,006 | ||||||
Tyson Foods, Inc. | ||||||||
(ICE LIBOR USD | 1,717,000 | 1,717,604 | ||||||
2.25%, 8/23/2021 | 1,710,000 | 1,733,570 | ||||||
Unilever Capital Corp. | ||||||||
2.10%, 7/30/2020 | 420,000 | 421,116 | ||||||
5,255,296 | ||||||||
Paper Products – 0.3% | ||||||||
Georgia-Pacific LLC | ||||||||
5.40%, 11/1/2020(b) | 1,000,000 | 1,021,170 | ||||||
Pharmaceuticals – 0.8% | ||||||||
GlaxoSmithKline Capital plc | ||||||||
(ICE LIBOR USD | 1,420,000 | 1,417,418 |
Investments | Principal Amount | Value | ||||||
Pharmaceuticals – (continued) | ||||||||
3.13%, 5/14/2021 | $ | 500,000 | $ | 511,913 | ||||
Pfizer, Inc. | ||||||||
1.95%, 6/3/2021 | 550,000 | 558,309 | ||||||
2,487,640 | ||||||||
Property & Casualty Insurance – 0.4% | ||||||||
Allstate Corp. (The) | ||||||||
(ICE LIBOR USD | 1,290,000 | 1,282,737 | ||||||
Regional Banks – 7.0% | ||||||||
ABN AMRO Bank NV | ||||||||
(ICE LIBOR USD | 1,100,000 | 1,095,470 | ||||||
Bank of America NA | ||||||||
(ICE LIBOR USD | 4,000,000 | 3,968,567 | ||||||
Capital One Bank USA NA | ||||||||
2.01%, 1/27/2023(c) | 3,150,000 | 3,119,306 | ||||||
Capital One NA | ||||||||
2.15%, 9/6/2022 | 500,000 | 498,789 | ||||||
Citizens Bank NA | ||||||||
(ICE LIBOR USD | 2,000,000 | 1,972,782 | ||||||
Discover Bank | ||||||||
3.10%, 6/4/2020 | 2,500,000 | 2,500,442 | ||||||
Fifth Third Bancorp | ||||||||
2.88%, 7/27/2020 | 1,000,000 | 1,002,470 | ||||||
Fifth Third Bank NA | ||||||||
(ICE LIBOR USD | 1,500,000 | 1,495,366 | ||||||
2.25%, 6/14/2021 | 460,000 | 465,436 | ||||||
PNC Bank NA | ||||||||
(ICE LIBOR USD | 900,000 | 900,051 | ||||||
Truist Bank | ||||||||
(ICE LIBOR USD | 3,000,000 | 2,973,132 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES SEMIANNUAL REPORT | 323 |
Table of Contents
FlexShares® Ready Access Variable Income Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Regional Banks – (continued) | ||||||||
Truist Financial Corp. | ||||||||
3.05%, 6/20/2022 | $ | 2,268,000 | $ | 2,344,684 | ||||
22,336,495 | ||||||||
Residential REITs – 0.3% | ||||||||
American Campus Communities Operating Partnership LP | ||||||||
REIT, 3.75%, 4/15/2023 | 985,000 | 998,963 | ||||||
Restaurants – 0.6% | ||||||||
McDonald’s Corp. | ||||||||
2.75%, 12/9/2020 | 137,000 | 138,430 | ||||||
(ICE LIBOR USD | 1,625,000 | 1,607,384 | ||||||
1,745,814 | ||||||||
Semiconductors – 1.0% | ||||||||
Intel Corp. | ||||||||
2.45%, 7/29/2020 | 3,000,000 | 3,013,189 | ||||||
Specialized REITs – 0.3% | ||||||||
American Tower Corp. | ||||||||
REIT, 3.30%, 2/15/2021 | 1,000,000 | 1,011,790 | ||||||
Specialty Chemicals – 1.1% | ||||||||
Albemarle Corp. | ||||||||
(ICE LIBOR USD | 1,030,000 | 994,293 | ||||||
DuPont de Nemours, Inc. | ||||||||
(ICE LIBOR USD | 2,072,000 | 2,065,621 | ||||||
3.77%, 11/15/2020 | 200,000 | 202,043 | ||||||
International Flavors & Fragrances, Inc. | ||||||||
3.40%, 9/25/2020 | 170,000 | 170,304 | ||||||
3,432,261 | ||||||||
Systems Software – 1.0% | ||||||||
Microsoft Corp. | ||||||||
1.55%, 8/8/2021 | 3,000,000 | 3,038,333 |
Investments | Principal Amount | Value | ||||||
Technology Hardware, Storage & Peripherals – 2.0% | ||||||||
Apple, Inc. | ||||||||
(ICE LIBOR USD | $ | 332,000 | $ | 332,571 | ||||
Dell International LLC | ||||||||
4.42%, 6/15/2021(b) | 1,650,000 | 1,677,216 | ||||||
Hewlett Packard Enterprise Co. | ||||||||
3.60%, 10/15/2020(e) | 2,440,000 | 2,455,566 | ||||||
(ICE LIBOR USD | 1,370,000 | 1,357,231 | ||||||
3.50%, 10/5/2021 | 400,000 | 409,914 | ||||||
6,232,498 | ||||||||
Trading Companies & Distributors – 0.4% | ||||||||
Air Lease Corp. | ||||||||
(ICE LIBOR USD | 500,000 | 463,797 | ||||||
3.75%, 2/1/2022 | 1,000,000 | 933,478 | ||||||
1,397,275 | ||||||||
Trucking – 0.8% | ||||||||
Penske Truck Leasing Co. LP | ||||||||
3.65%, 7/29/2021(b) | 1,200,000 | 1,216,084 | ||||||
Ryder System, Inc. | ||||||||
2.88%, 6/1/2022 | 1,200,000 | 1,199,082 | ||||||
2,415,166 | ||||||||
Total Corporate Bonds (Cost $260,108,978) |
| 259,734,443 | ||||||
ASSET-BACKED SECURITIES – 7.2% | ||||||||
BA Credit Card Trust | ||||||||
Series 2019-A1, Class A1, 1.74%, 1/15/2025 | 880,000 | 899,528 | ||||||
Barclays Dryrock Issuance Trust | ||||||||
Series 2019-1, Class A, 1.96%, 5/15/2025 | 700,000 | 704,918 | ||||||
Capital One Multi-Asset Execution Trust | ||||||||
Series 2019-A2, Class A2, 1.72%, 8/15/2024 | 900,000 | 919,357 | ||||||
CarMax Auto Owner Trust | ||||||||
Series 2019-1, Class A2A, 3.02%, 7/15/2022 | 207,215 | 208,187 |
See Accompanying Notes to the Financial Statements.
324 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
FlexShares® Ready Access Variable Income Fund (cont.)
Investments | Principal Amount | Value | ||||||
ASSET-BACKED SECURITIES – (continued) | ||||||||
Chase Issuance Trust | ||||||||
Series 2020-A1, Class A1, 1.53%, 1/15/2025 | $ | 2,300,000 | $ | 2,346,558 | ||||
Dell Equipment Finance Trust | ||||||||
Series 2019-1, Class A2, 2.78%, 8/23/2021(b) | 645,000 | 648,629 | ||||||
Discover Card Execution Note Trust | ||||||||
Series 2019-A3, Class A, 1.89%, 10/15/2024 | 2,800,000 | 2,871,971 | ||||||
Drive Auto Receivables Trust | ||||||||
Series 2019-4, Class A2A, 2.32%, 6/15/2022 | 555,061 | 556,241 | ||||||
Series 2019-3, Class A2A, 2.63%, 9/15/2022 | 561,697 | 562,680 | ||||||
Series 2020-1, Class A2, 1.99%, 12/15/2022 | 500,000 | 500,865 | ||||||
Enterprise Fleet Financing LLC | ||||||||
Series 2019-2, Class A2, 2.29%, 2/20/2025(b) | 1,200,000 | 1,201,463 | ||||||
Ford Credit Floorplan Master Owner Trust A | ||||||||
Series 2019-1, Class A, 2.84%, 3/15/2024 | 500,000 | 496,585 | ||||||
GM Financial Automobile Leasing Trust | ||||||||
Series 2019-3, Class A2A, 2.09%, 10/20/2021 | 609,135 | 610,087 | ||||||
Series 2020-1, Class A3, 1.67%, 12/20/2022 | 550,000 | 549,535 | ||||||
GM Financial Consumer Automobile Receivables Trust | ||||||||
Series 2020-2, Class A2A, 1.50%, 3/16/2023 | 200,000 | 200,699 | ||||||
Hyundai Auto Receivables Trust | ||||||||
Series 2017-A, Class A3, 1.76%, 8/16/2021 | 186,253 | 186,755 | ||||||
Nissan Auto Lease Trust | ||||||||
Series 2019-B, Class A2A, 2.27%, 1/15/2021 | 1,729,325 | 1,736,473 | ||||||
Nissan Auto Receivables Owner Trust | ||||||||
Series 2019-A, Class A2A, 2.82%, 1/18/2022 | 1,183,108 | 1,189,349 |
Investments | Principal Amount | Value | ||||||
ASSET-BACKED SECURITIES – (continued) | ||||||||
Santander Drive Auto Receivables Trust | ||||||||
Series 2019-3, Class A2A, 2.28%, 2/15/2022 | $ | 933,580 | $ | 934,550 | ||||
Synchrony Card Funding LLC | ||||||||
Series 2019-A1, Class A, 2.95%, 3/15/2025 | 2,000,000 | 2,019,333 | ||||||
Verizon Owner Trust | ||||||||
Series 2020-A, Class A1A, 1.85%, 7/22/2024 | 1,500,000 | 1,518,157 | ||||||
World Financial Network Credit Card Master Trust | ||||||||
Series 2019-B, Class A, 2.49%, 4/15/2026 | 1,000,000 | 972,582 | ||||||
Series 2019-C, Class A, 2.21%, 7/15/2026 | 1,000,000 | 955,555 | ||||||
Total Asset-Backed Securities (Cost $22,636,989) |
| 22,790,057 | ||||||
U.S. TREASURY OBLIGATIONS – 5.5% | ||||||||
U.S. Treasury Notes | ||||||||
(US Treasury | 2,000,000 | 2,004,175 | ||||||
(US Treasury | 6,000,000 | 6,022,116 | ||||||
(US Treasury | 8,500,000 | 8,511,345 | ||||||
1.38%, 1/31/2022 | 1,000,000 | 1,020,566 | ||||||
Total U.S. Treasury Obligations (Cost $17,507,969) |
| 17,558,202 | ||||||
FOREIGN GOVERNMENT SECURITIES – 1.4% | ||||||||
Japan Bank for International Cooperation | ||||||||
1.75%, 1/23/2023 | 800,000 | 820,361 |
See Accompanying Notes to the Financial Statements.
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FlexShares® Ready Access Variable Income Fund (cont.)
Investments | Principal Amount | Value | ||||||
FOREIGN GOVERNMENT SECURITIES – (continued) | ||||||||
Svensk Exportkredit AB | ||||||||
(ICE LIBOR USD | $ | 3,000,000 | $ | 2,999,084 | ||||
0.75%, 4/6/2023 | 700,000 | 702,915 | ||||||
Total Foreign Government Securities (Cost $4,495,566) |
| 4,522,360 | ||||||
SUPRANATIONAL – 0.9% | ||||||||
European Investment Bank | ||||||||
(SOFR + 0.28%), 1.52%, 3/5/2024(a) (b) (Cost $2,900,000) | 2,900,000 | 2,898,875 | ||||||
U.S. GOVERNMENT AGENCY SECURITIES – 0.6% | ||||||||
FFCB | ||||||||
0.25%, 5/6/2022(f) (Cost $1,997,460) | 2,000,000 | 1,997,460 | ||||||
MUNICIPAL BONDS – 0.3% | ||||||||
University of Missouri, System Facilities Revenue Bonds | ||||||||
Series 2020-A, 1.47%, 11/1/2023 (Cost $1,000,000) | 1,000,000 | 1,003,110 | ||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 0.1% | ||||||||
Holmes Master Issuer plc | ||||||||
Series 2018-1A, Class A2, 1.58%, 10/15/2054(b) (g) (Cost $148,571) | 148,571 | 148,283 | ||||||
SHORT-TERM INVESTMENTS – 1.9% | ||||||||
COMMERCIAL PAPER – 1.9% | ||||||||
Boeing Co. (The) | ||||||||
2.30%, 10/29/2020(h) (i) | 2,000,000 | 1,969,697 | ||||||
Peoples Gas Light & Coke Co. (The) | ||||||||
0.20%, 5/1/2020(i) | 3,000,000 | 2,999,975 |
Investments | Principal Amount | Value | ||||||
COMMERCIAL PAPER – (continued) | ||||||||
Schlumberger Holdings Corp. | ||||||||
4.01%, 5/11/2020(h) (i) | $ | 1,000,000 | $ | 999,280 | ||||
Total Commercial Paper (Cost $5,976,264) |
| 5,968,952 | ||||||
Total Investments – 99.8% (Cost $316,771,797) |
| 316,621,742 | ||||||
Other Assets Less Liabilities – 0.2% |
| 722,294 | ||||||
NET ASSETS – 100.0% |
| $ | 317,344,036 |
(a) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the rate in effect as of April 30, 2020. |
(b) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined by valuations supplied by a pricing service or brokers, or, if not available, in accordance with procedures established by the Board of Trustees. |
(c) | Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate shown is the rate in effect as of period end. |
(d) | Represents less than 0.05% of net assets. |
(e) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future at a contingent upon predetermined trigger. The interest rate shown was the current rate as of April 30, 2020. |
(f) | Security fair valued as of April 30, 2020 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at April 30, 2020 amounted to $1,997,460, which represents approximately 0.63% of net assets of the Fund. |
(g) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of April 30, 2020. |
(h) | Security exempt from registration under Section 4(2) of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration normally to qualified institutional buyers. |
(i) | The rate shown was the current yield as of April 30, 2020. |
Percentages shown are based on Net Assets.
See Accompanying Notes to the Financial Statements.
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FlexShares® Ready Access Variable Income Fund (cont.)
Abbreviations
ICE – Intercontinental Exchange
LIBOR – London Interbank Offered Rate
SOFR – Secured Overnight Financing Rate
USD – US Dollar
As of April 30, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 1,559,838 | ||
Aggregate gross unrealized depreciation | (1,718,916 | ) | ||
Net unrealized depreciation | $ | (159,078 | ) | |
Federal income tax cost | $ | 316,780,820 |
FlexShares® Ready Access Variable Income Fund invested, as a percentage of net assets, in companies domiciled in the following countries as of April 30, 2020:
Australia | 3.0 | % | ||
Canada | 5.8 | |||
France | 1.6 | |||
Germany | 2.3 | |||
Ireland | 0.6 | |||
Japan | 2.0 | |||
Netherlands | 1.4 | |||
Singapore | 0.4 | |||
Supranational | 0.9 | |||
Sweden | 3.4 | |||
Switzerland | 2.1 | |||
United Kingdom | 3.0 | |||
United States | 73.3 | |||
Other1 | 0.2 | |||
100.0 | % |
1 | Includes any non-fixed-income securities and net other assets (liabilities). |
See Accompanying Notes to the Financial Statements.
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Schedule of Investments
FlexShares® Core Select Bond Fund
April 30, 2020 (Unaudited)
Investments | Shares | Value | ||||||
EXCHANGE TRADED FUNDS – 98.8% | ||||||||
FlexShares® Credit-Scored US Corporate Bond Index Fund(a) | 160,521 | $ | 8,465,685 | |||||
FlexShares® Credit-Scored US Long Corporate Bond Index Fund(a) | 44,656 | 2,636,893 | ||||||
FlexShares® Disciplined Duration MBS Index Fund(a) | 203,134 | 4,896,545 | ||||||
iShares 20+ Year Treasury Bond ETF | 13,756 | 2,293,675 | ||||||
iShares 3-7 Year Treasury Bond ETF | 26,671 | 3,556,311 | ||||||
iShares 7-10 Year Treasury Bond ETF | 9,489 | 1,154,527 | ||||||
iShares Long-Term Corporate Bond ETF | 12,290 | 823,553 | ||||||
iShares MBS ETF | 47,816 | 5,312,358 | ||||||
iShares Short-Term Corporate Bond ETF | 66,602 | 3,574,529 | ||||||
Total Exchange Traded Funds (Cost $31,079,364) |
| 32,714,076 | ||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS – 0.5% | ||||||||
U.S. TREASURY OBLIGATIONS – 0.5% | ||||||||
U.S. Treasury Bills | ||||||||
0.03%, 9/17/2020(b) (Cost $149,983) | $ | 150,000 | 149,941 | |||||
Total Investments – 99.3% (Cost $31,229,347) |
| 32,864,017 | ||||||
Other Assets Less Liabilities – 0.7% |
| 230,899 | ||||||
NET ASSETS – 100.0% |
| $ | 33,094,916 |
(a) | Investment in affiliated Fund. Northern Trust Investments, Inc. is the Investment Adviser to both the Fund and the affiliated Funds. |
(b) | The rate shown was the current yield as of April 30, 2020. |
Percentages shown are based on Net Assets.
As of April 30, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 1,568,357 | ||
Aggregate gross unrealized depreciation | (44 | ) | ||
Net unrealized appreciation | $ | 1,568,313 | ||
Federal income tax cost | $ | 31,295,704 |
See Accompanying Notes to the Financial Statements.
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FlexShares® Core Select Bond Fund (cont.)
For the period ended April 30, 2020, the FlexShares® Core Select Bond Fund was invested in securities of affiliated FlexShares® Funds. The Schedules of Investments of the affiliated FlexShares® Funds are located elsewhere in this Report.
Investment in a company which was affiliated for the period ended April 30, 2020, was as follows:
Security | Value October 31, 2019 | Purchases at Cost | Sales Proceeds | Shares April 30, 2020 | Value April 30, 2020 | Change in Unrealized Appreciation (Depreciation) | Dividend Income | Realized Gain/(Loss) | ||||||||||||||||||||||||
FlexShares® Credit-Scored US Corporate Bond Index Fund | $ | 7,339,064 | $ | 2,610,378 | $ | 1,506,377 | 160,521 | $ | 8,465,685 | $ | 55,656 | $ | 110,830 | $ | (33,036 | ) | ||||||||||||||||
FlexShares® Credit-Scored US Long Corporate Bond Index Fund | 1,318,985 | 1,276,641 | 52,453 | 44,656 | 2,636,893 | 93,764 | 23,637 | (44 | ) | |||||||||||||||||||||||
FlexShares® Disciplined Duration MBS Index Fund | — | 4,852,233 | 42,747 | 203,134 | 4,896,545 | 87,181 | 32,141 | (122 | ) | |||||||||||||||||||||||
FlexShares® iBoxx 5-Year Target Duration TIPS Index Fund | 785,291 | 1,318,402 | 2,092,583 | — | — | 3,389 | 3,440 | (14,499 | ) | |||||||||||||||||||||||
FlexShares® Ready Access Variable Income Fund | — | 1,291,357 | 1,294,880 | — | — | — | 988 | 3,523 | ||||||||||||||||||||||||
$ | 9,443,340 | $ | 11,349,011 | $ | 4,989,040 | 408,311 | $ | 15,999,123 | $ | 239,990 | $ | 171,036 | $ | (44,178 | ) |
See Accompanying Notes to the Financial Statements.
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Table of Contents
Notes to the Financial Statements April 30, 2020 (Unaudited)
1. Organization
FlexShares® Trust (the “Trust”), a Maryland statutory trust, was formed on May 13, 2010, originally named NT ETF Trust and renamed FlexShares® Trust as of April 12, 2011. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940 (the “1940 Act”), as amended. The Trust consists of twenty-nine operational exchange-traded funds as of April 30, 2020 (each a “Fund” and collectively, the “Funds”). The FlexShares® US Quality Low Volatility Index Fund, FlexShares® Developed Markets ex-US Quality Low Volatility Index Fund, FlexShares® Emerging Markets Quality Low Volatility Index Fund, FlexShares® Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund, FlexShares® Currency Hedged Morningstar EM Factor Tilt Index Fund, FlexShares® Morningstar Global Upstream Natural Resources Index Fund, FlexShares® STOXX® Global Broad Infrastructure Index Fund, FlexShares® Global Quality Real Estate Index Fund, FlexShares® Real Assets Allocation Index Fund, FlexShares® iBoxx 3-Year Target Duration TIPS Index Fund, FlexShares® iBoxx 5-Year Target Duration TIPS Index Fund, FlexShares® Credit-Scored US Corporate Bond Index Fund, FlexShares® Credit-Scored US Long Corporate Bond Index Fund, and the FlexShares® Ready Access Variable Income Fund are non-diversified series of the Trust, pursuant to the 1940 Act. The FlexShares® Morningstar US Market Factor Tilt Index Fund, FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund, FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund, FlexShares® US Quality Large Cap Index Fund, FlexShares® STOXX® US ESG Impact Index Fund, FlexShares® STOXX® Global ESG Impact Index Fund, FlexShares® Quality Dividend Index Fund, FlexShares® Quality Dividend Defensive Index Fund, FlexShares® Quality Dividend Dynamic Index Fund, FlexShares® International Quality Dividend Index Fund, FlexShares® International Quality Dividend Defensive Index Fund, FlexShares® International Quality Dividend Dynamic Index Fund, FlexShares® Disciplined Duration MBS Index Fund, FlexShares® High Yield Value-Scored Bond Index Fund and the FlexShares® Core Select Bond Fund are diversified series of the Trust, pursuant to the 1940 Act.
Each Fund, except the FlexShares Ready Access Variable Income Fund and the FlexShares Core Select Bond Fund,
seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of a specified benchmark index (each an “Underlying Index”). The FlexShares US Quality Low Volatility Index Fund, FlexShares Developed Markets ex-US Quality Low Volatility Index Fund, FlexShares Emerging Markets Quality Low Volatility Index Fund, FlexShares US Quality Large Cap Index Fund, FlexShares Global Quality Real Estate Index Fund, FlexShares Real Assets Allocation Index Fund, FlexShares Quality Dividend Index Fund, FlexShares Quality Dividend Defensive Index Fund, FlexShares Quality Dividend Dynamic Index Fund, FlexShares International Quality Dividend Index Fund, FlexShares International Quality Dividend Defensive Index Fund, FlexShares International Quality Dividend Dynamic Index Fund, FlexShares Credit-Scored US Corporate Bond Index Fund, FlexShares Credit-Scored US Long Corporate Bond Index Fund and the FlexShares High Yield Value-Scored Bond Index Fund seek to track Underlying Indexes developed by Northern Trust Investments, Inc. (“NTI” or “Investment Adviser”), an indirect subsidiary of Northern Trust Corporation. The FlexShares Morningstar US Market Factor Tilt Index Fund, FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund, FlexShares Morningstar Emerging Markets Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund and FlexShares Morningstar Global Upstream Natural Resources Index Fund seek to track Underlying Indexes sponsored by Morningstar, Inc. The FlexShares STOXX® US ESG Impact Index Fund, FlexShares STOXX® Global ESG Impact Index Fund, and FlexShares STOXX® Global Broad Infrastructure Index Fund seek to track Underlying Indexes sponsored by STOXX. The FlexShares iBoxx 3-Year Target Duration TIPS Index Fund and FlexShares iBoxx 5-Year Target Duration TIPS Index Fund seek to track Underlying Indexes sponsored by Markit Indexes Limited. The FlexShares Disciplined Duration MBS Index Fund seeks to track an Underlying Index sponsored by ICE Data Indexes, LLC.
Each of the FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund and FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund currently
330 | FLEXSHARES SEMIANNUAL REPORT |
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Notes to the Financial Statements (cont.)
seeks its investment objective by investing a substantial amount of its assets in the shares of another FlexShares ETF. Each of these Funds may also invest directly in the securities included in its Underlying Index. The FlexShares Real Assets Allocation Index Fund is a fund of funds that seeks its investment objective by investing primarily in the shares of other FlexShares ETFs that are eligible for inclusion in its Underlying Index, rather than in securities of individual companies. The FlexShares Core Select Bond Fund seeks to achieve its investment objective by investing, under normal circumstances in U.S. dollar-denominated investment-grade fixed-income securities either directly or indirectly through FlexShares ETFs, unaffiliated ETFs and other registered investment companies. The investment performance of each of the FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund, FlexShares Real Assets Allocation Index Fund and FlexShares Core Select Bond Fund is directly related to the performance of the underlying fund(s) in which it invests (“Underlying Fund”).
The FlexShares Ready Access Variable Income Fund and the FlexShares Core Select Bond Fund are actively managed and do not seek to replicate the performance of a specified index. The FlexShares Ready Access Variable Income Fund seeks maximum current income consistent with the preservation of capital and liquidity. The FlexShares Core Select Bond Fund seeks total return and preservation of capital. Each Fund, except the FlexShares Ready Access Variable Income Fund and the FlexShares Core Select Bond Fund, is referred to herein as an “Index Fund.” Each Fund is managed by the Investment Adviser.
2. Significant Accounting Policies
The Trust, which is an investment company, follows accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, “Financial Services-Investment Companies.” The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). The preparation of financial statements in conformity with U.S. GAAP requires
management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
Investment Valuation
Each Fund’s Net Asset Value (“NAV”) is determined daily as of the close of regular trading on the New York Stock Exchange (“NYSE”), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading, based on prices at the time of closing provided that any U.S. fixed-income assets may be valued as of the announced closing time for trading in fixed-income instruments on any day that the Securities Industry and Financial Markets Association announces an early closing time. The NAV of a Fund is calculated by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding.
The investments of the Funds are valued at fair value pursuant to the pricing policy and procedures approved by the Trust’s Board of Trustees (“Board”). The Funds’ investments are valued using market quotations when available. When market quotations are not readily available, are deemed unreliable, or do not reflect material events occurring between the close of local markets and the time of valuation, the Funds value securities at fair value as determined in good faith in accordance with the Funds’ fair value pricing procedures as approved by the Board. Such circumstances include periods when trading in a security is suspended, the exchange or market on which a security trades closes early, the trading volume in a security is limited, corporate actions and announcements take place, or regulatory news affecting an issuer is released, such as government approvals. Additionally, the Trust, in its discretion, may make adjustments to the prices of securities held by a Fund if an event occurs after the publication of market values normally used by a Fund but before the time as of which the Fund calculates its NAV, depending on the nature and significance of the event, consistent with applicable regulatory guidance and the Trust’s fair value procedures. Other events that can trigger fair valuing of foreign securities include, for example, significant fluctuations in general market indicators, government actions, or natural disasters.
FLEXSHARES SEMIANNUAL REPORT | 331 |
Table of Contents
Notes to the Financial Statements (cont.)
The use of fair valuation involves the risk that the values used by the Funds to price their investments may be higher or lower than the values used by other investment companies and investors to price the same investments. Fair value pricing involves subjective judgments and it is possible that a fair value determination for a portfolio security may be materially different than the value that could be realized upon the sale of such security. In addition, fair value pricing could result in a difference between the prices used to calculate a Fund’s NAV and the prices used by an Index Fund’s Underlying Index. This difference may adversely affect an Index Fund’s ability to track its Underlying Index. Portfolio securities of certain Funds are listed on foreign exchanges and their value may change on days when shareholders will not be able to purchase or sell Fund shares.
Security prices are generally provided by independent pricing services. Portfolio securities listed or traded on domestic securities exchanges or the NASDAQ/NMS, including dollar-denominated foreign securities or American Depositary Receipts (“ADRs”), are valued at the closing price, or last sale price, reported on the exchange or system where the security is principally traded. The closing price for securities traded on the NASDAQ/NMS is the Nasdaq Official Closing Price (“NOCP”). If there have been no sales for that day on the exchange or system where the security is principally traded, then the value is determined with reference to the last sale price, or the NOCP, if applicable, on any other exchange or system. If there have been no sales of the security for that day on any exchange or system, the security is valued at fair value pursuant to the Trust’s fair value procedures.
Securities that are traded regularly in the over-the-counter market (other than the NASDAQ/NMS), including securities listed on exchanges but primarily traded over-the-counter, are valued on the basis of bid quotes or the mean between the bid and asked quotes based upon quotes furnished by one or more broker-dealers or market makers for those securities. Securities that may be traded over-the-counter include equity securities, fixed-income securities, non-exchange-listed foreign securities, and certain derivative instruments. Fixed-income securities may be valued using prices provided directly from one or more broker-dealers, market makers, or independent third-party pricing services
which may use matrix pricing and valuation models, as well as recent market transactions for the same or similar assets, to derive values when such prices are believed to reflect fair market values of such securities. Such prices may be determined by taking into account securities prices, yields, maturities, call features, ratings, prepayment speeds, credit risks, cash flows, institutional size trading in similar groups of securities and developments related to specific securities. Fixed-income securities maturing within a relatively short period, less than 60 days, are valued at amortized cost when it approximates fair value.
Foreign equity securities are generally priced at the closing price or last sales price reported on the foreign exchange on which they are principally traded. If there have been no sales for that day on the primary exchange, then the value is determined with reference to the last sale price on any other exchange. If there have been no sales of the security for that day on any exchange, the security will be valued at fair value pursuant to the Trust’s fair value procedures. Spot and forward foreign currency exchange contracts generally are valued using an independent pricing service. The value of assets denominated in foreign currencies is converted into U.S. dollars using exchange rates deemed appropriate by NTI as Investment Adviser. Any use of a different rate from the rates used by the index provider may adversely affect the Fund’s ability to track its Underlying Index. The index provider determines the composition and relative weightings of the securities in the Underlying Index and publishes information regarding the market value of the Underlying Index.
Exchange-traded financial futures and options thereon are valued at the settlement price as established by the exchange on which they are traded. Over-the-counter options are valued at broker-provided bid prices, as are swaps. The foregoing prices may be obtained from one or more independent pricing services or, as needed or applicable, independent broker-dealers. If there was no sale on that day, and for other non-exchange traded derivatives, the contract is valued at fair value pursuant to the Trust’s fair value procedures.
Each Fund relies on various sources to calculate its NAV. The ability of the Funds’ administrator to calculate the NAV per share of the Funds is subject to operational risks associated
332 | FLEXSHARES SEMIANNUAL REPORT |
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Notes to the Financial Statements (cont.)
with processing or human errors, systems or technology failures, and errors caused by third party service providers, data sources, or trading counterparties. Such failures may result in delays in the calculation of the Funds’ NAVs and/or the inability to calculate NAV over extended time periods. The Funds may be unable to recover any losses associated with such failures, and it may be necessary for alternative procedures to be followed to price portfolio securities when determining the Funds’ NAVs.
Various inputs are used in determining the value of each Fund’s investments. These inputs are summarized in three levels listed below:
• | Level 1—Quoted prices in active markets for identical assets on the measurement date. |
• | Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
• | Level 3—Significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For example, short-term debt securities may be valued at amortized cost, as long as amortized cost approximates the current fair value of a security, but since the valuation is not obtained from a quoted price in an active market, such securities are reflected as Level 2.
The following is a summary of the valuations as of April 30, 2020 for each Fund based upon the three levels defined above. Please refer to the Schedules of Investments to view equity and debt securities segregated by industry type, where applicable.
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant | Total | |||||||||||||
FlexShares US Quality Low Volatility Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks* | $ | 43,049,516 | $ | — | $ | — | $ | 43,049,516 | ||||||||
Short-Term Investments | — | 39,993 | — | 39,993 | ||||||||||||
Total Investments | $ | 43,049,516 | $ | 39,993 | $ | — | $ | 43,089,509 | ||||||||
Other Financial Instruments |
| |||||||||||||||
Assets | ||||||||||||||||
Futures Contracts | $ | 6,118 | $ | — | $ | — | $ | 6,118 | ||||||||
Total Other Financial Instruments | $ | 6,118 | $ | — | $ | — | $ | 6,118 | ||||||||
FLEXSHARES SEMIANNUAL REPORT | 333 |
Table of Contents
Notes to the Financial Statements (cont.)
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares Developed Markets ex-US Quality Low Volatility Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks | ||||||||||||||||
Metals & Mining | $ | 1,625,677 | $ | 137,933 | $ | — | $ | 1,763,610 | ||||||||
Other* | 38,994,190 | — | — | 38,994,190 | ||||||||||||
Total Investments | $ | 40,619,867 | $ | 137,933 | $ | — | $ | 40,757,800 | ||||||||
Other Financial Instruments |
| |||||||||||||||
Assets | ||||||||||||||||
Futures Contracts | $ | 57,745 | $ | — | $ | — | $ | 57,745 | ||||||||
Forward Foreign Currency Contracts | — | 390 | — | 390 | ||||||||||||
Liabilities | ||||||||||||||||
Forward Foreign Currency Contracts | — | (10,163 | ) | — | (10,163 | ) | ||||||||||
Total Other Financial Instruments | $ | 57,745 | $ | (9,773 | ) | $ | — | $ | 47,972 | |||||||
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant | Total | |||||||||||||
FlexShares Emerging Markets Quality Low Volatility Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks | ||||||||||||||||
Independent Power and Renewable Electricity Producers | $ | 27,926 | $ | 5,304 | $ | — | $ | 33,230 | ||||||||
Multiline Retail | 37,679 | 2,798 | — | 40,477 | ||||||||||||
Other* | 6,286,332 | — | — | 6,286,332 | ||||||||||||
Corporate Bonds* | — | 1 | — | 1 | ||||||||||||
Total Investments | $ | 6,351,937 | $ | 8,103 | $ | — | $ | 6,360,040 | ||||||||
Other Financial Instruments |
| |||||||||||||||
Liabilities | ||||||||||||||||
Futures Contracts | $ | (5,048 | ) | $ | — | $ | — | $ | (5,048 | ) | ||||||
Total Other Financial Instruments | $ | (5,048 | ) | $ | — | $ | — | $ | (5,048 | ) | ||||||
334 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Notes to the Financial Statements (cont.)
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares Morningstar US Market Factor Tilt Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks* | $ | 1,213,775,281 | $ | — | $ | — | $ | 1,213,775,281 | ||||||||
Rights | — | — | 27,946 | 27,946 | ||||||||||||
Securities Lending Reinvestments | ||||||||||||||||
Certificates of Deposit | — | 15,004,958 | — | 15,004,958 | ||||||||||||
Commercial Paper | — | 8,496,950 | — | 8,496,950 | ||||||||||||
Repurchase Agreements | — | 186,328,873 | — | 186,328,873 | ||||||||||||
Total Investments | $ | 1,213,775,281 | $ | 209,830,781 | $ | 27,946 | $ | 1,423,634,008 | ||||||||
Other Financial Instruments |
| |||||||||||||||
Assets | ||||||||||||||||
Futures Contracts | $ | 1,246,207 | $ | — | $ | — | $ | 1,246,207 | ||||||||
Total Other Financial Instruments | $ | 1,246,207 | $ | — | $ | — | $ | 1,246,207 | ||||||||
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Closed End Funds | $ | 16,074 | $ | — | $ | — | $ | 16,074 | ||||||||
Common Stocks | ||||||||||||||||
Construction & Engineering | 15,236,114 | — | 626 | 15,236,740 | ||||||||||||
Health Care Providers & Services | 2,986,125 | 131 | — | 2,986,256 | ||||||||||||
Metals & Mining | 25,584,938 | 249,740 | — | 25,834,678 | ||||||||||||
Transportation Infrastructure | 1,900,415 | 104,509 | — | 2,004,924 | ||||||||||||
Other* | 517,109,858 | — | — | 517,109,858 | ||||||||||||
Rights | 20,083 | 6,740 | — | 26,823 | ||||||||||||
Securities Lending Reinvestments | ||||||||||||||||
Repurchase Agreements | — | 9,907,178 | — | 9,907,178 | ||||||||||||
Total Investments | $ | 562,853,607 | $ | 10,268,298 | $ | 626 | $ | 573,122,531 | ||||||||
Other Financial Instruments |
| |||||||||||||||
Assets | ||||||||||||||||
Futures Contracts | $ | 1,239,464 | $ | — | $ | — | $ | 1,239,464 | ||||||||
Forward Foreign Currency Contracts | — | 154,707 | — | 154,707 | ||||||||||||
Liabilities | ||||||||||||||||
Forward Foreign Currency Contracts | — | (178,243 | ) | — | (178,243 | ) | ||||||||||
Total Other Financial Instruments | $ | 1,239,464 | $ | (23,536 | ) | $ | — | $ | 1,215,928 | |||||||
FLEXSHARES SEMIANNUAL REPORT | 335 |
Table of Contents
Notes to the Financial Statements (cont.)
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares Morningstar Emerging Markets Factor Tilt Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks | ||||||||||||||||
Electronic Equipment, Instruments & Components | $ | 8,835,690 | $ | 4,164 | $ | 2,469 | $ | 8,842,323 | ||||||||
Entertainment | 2,053,266 | — | 10,866 | 2,064,132 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) | 1,549,463 | 40,549 | — | 1,590,012 | ||||||||||||
Food & Staples Retailing | 2,055,089 | 622 | — | 2,055,711 | ||||||||||||
Hotels, Restaurants & Leisure | 1,349,561 | 1,275 | 16,926 | 1,367,762 | ||||||||||||
Media | 480,365 | 75,164 | — | 555,529 | ||||||||||||
Oil, Gas & Consumable Fuels | 13,735,864 | 1,225 | — | 13,737,089 | ||||||||||||
Real Estate Management & Development | 14,137,582 | — | 6,074 | 14,143,656 | ||||||||||||
Textiles, Apparel & Luxury Goods | 2,687,374 | — | 1,859 | 2,689,233 | ||||||||||||
Transportation Infrastructure | 2,984,511 | 103,894 | — | 3,088,405 | ||||||||||||
Other* | 179,269,723 | — | — | 179,269,723 | ||||||||||||
Corporate Bonds* | — | 8,987 | — | 8,987 | ||||||||||||
Rights | — | 3,218 | — | 3,218 | ||||||||||||
Warrants | 522 | — | — | 522 | ||||||||||||
Securities Lending Reinvestments | ||||||||||||||||
Repurchase Agreements | — | 2,542,959 | — | 2,542,959 | ||||||||||||
Total Investments | $ | 229,139,010 | $ | 2,782,057 | $ | 38,194 | $ | 231,959,261 | ||||||||
Other Financial Instruments |
| |||||||||||||||
Assets | ||||||||||||||||
Futures Contracts | $ | 454,932 | $ | — | $ | — | $ | 454,932 | ||||||||
Forward Foreign Currency Contracts | — | 52,610 | — | 52,610 | ||||||||||||
Liabilities | ||||||||||||||||
Forward Foreign Currency Contracts | — | (2,836 | ) | — | (2,836 | ) | ||||||||||
Total Other Financial Instruments | $ | 454,932 | $ | 49,774 | $ | — | $ | 504,706 | ||||||||
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Exchange Traded Funds | $ | 5,935,971 | $ | — | $ | — | $ | 5,935,971 | ||||||||
Total Investments | $ | 5,935,971 | $ | — | $ | — | $ | 5,935,971 | ||||||||
Other Financial Instruments |
| |||||||||||||||
Liabilities | ||||||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | (43,814 | ) | $ | — | $ | (43,814 | ) | ||||||
Total Other Financial Instruments | $ | — | $ | (43,814 | ) | $ | — | $ | (43,814 | ) | ||||||
336 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Notes to the Financial Statements (cont.)
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Exchange Traded Funds | $ | 2,969,454 | $ | — | $ | — | $ | 2,969,454 | ||||||||
Total Investments | $ | 2,969,454 | $ | — | $ | — | $ | 2,969,454 | ||||||||
Other Financial Instruments |
| |||||||||||||||
Assets | ||||||||||||||||
Futures Contracts | $ | 7,443 | $ | — | $ | — | $ | 7,443 | ||||||||
Forward Foreign Currency Contracts | — | 4,674 | — | 4,674 | ||||||||||||
Liabilities | ||||||||||||||||
Forward Foreign Currency Contracts | — | (14,505 | ) | — | (14,505 | ) | ||||||||||
Total Other Financial Instruments | $ | 7,443 | $ | (9,831 | ) | $ | — | $ | (2,388 | ) | ||||||
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares US Quality Large Cap Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks* | $ | 57,616,205 | $ | — | $ | — | $ | 57,616,205 | ||||||||
Securities Lending Reinvestments | ||||||||||||||||
Repurchase Agreements | — | 331,984 | — | 331,984 | ||||||||||||
Total Investments | $ | 57,616,205 | $ | 331,984 | $ | — | $ | 57,948,189 | ||||||||
Other Financial Instruments |
| |||||||||||||||
Assets | ||||||||||||||||
Futures Contracts | $ | 12,899 | $ | — | $ | — | $ | 12,899 | ||||||||
Total Other Financial Instruments | $ | 12,899 | $ | — | $ | — | $ | 12,899 | ||||||||
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares STOXX® US ESG Impact Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks* | $ | 66,018,962 | $ | — | $ | — | $ | 66,018,962 | ||||||||
Securities Lending Reinvestments | ||||||||||||||||
Repurchase Agreements | — | 87,992 | — | 87,992 | ||||||||||||
Total Investments | $ | 66,018,962 | $ | 87,992 | $ | — | $ | 66,106,954 | ||||||||
Other Financial Instruments |
| |||||||||||||||
Assets | ||||||||||||||||
Futures Contracts | $ | 55,240 | $ | — | $ | — | $ | 55,240 | ||||||||
Total Other Financial Instruments | $ | 55,240 | $ | — | $ | — | $ | 55,240 |
FLEXSHARES SEMIANNUAL REPORT | 337 |
Table of Contents
Notes to the Financial Statements (cont.)
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares STOXX® Global ESG Impact Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks | ||||||||||||||||
Metals & Mining | $ | 1,100,647 | $ | 67,488 | $ | — | $ | 1,168,135 | ||||||||
Other* | 87,933,872 | — | — | 87,933,872 | ||||||||||||
Securities Lending Reinvestments | ||||||||||||||||
Repurchase Agreements | — | 221,348 | — | 221,348 | ||||||||||||
Total Investments | $ | 89,034,519 | $ | 288,836 | $ | — | $ | 89,323,355 | ||||||||
Other Financial Instruments |
| |||||||||||||||
Assets | ||||||||||||||||
Futures Contracts | $ | 106,320 | $ | — | $ | — | $ | 106,320 | ||||||||
Total Other Financial Instruments | $ | 106,320 | $ | — | $ | — | $ | 106,320 | ||||||||
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares Morningstar Global Upstream Natural Resources Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks | ||||||||||||||||
Metals & Mining | $ | 952,038,675 | $ | 24,832,457 | $ | — | $ | 976,871,132 | ||||||||
Other* | 2,113,830,498 | — | — | 2,113,830,498 | ||||||||||||
Securities Lending Reinvestments | ||||||||||||||||
Certificates of Deposit | — | 12,007,996 | — | 12,007,996 | ||||||||||||
Commercial Paper | — | 9,997,967 | — | 9,997,967 | ||||||||||||
Repurchase Agreements | — | 177,825,276 | — | 177,825,276 | ||||||||||||
Total Investments | $ | 3,065,869,173 | $ | 224,663,696 | $ | — | $ | 3,290,532,869 | ||||||||
Other Financial Instruments |
| |||||||||||||||
Assets | ||||||||||||||||
Futures Contracts | $ | 4,823,310 | $ | — | $ | — | $ | 4,823,310 | ||||||||
Forward Foreign Currency Contracts | — | 659,662 | — | 659,662 | ||||||||||||
Liabilities | ||||||||||||||||
Forward Foreign Currency Contracts | — | (513,187 | ) | — | (513,187 | ) | ||||||||||
Total Other Financial Instruments | $ | 4,823,310 | $ | 146,475 | $ | — | $ | 4,969,785 | ||||||||
338 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Notes to the Financial Statements (cont.)
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares STOXX® Global Broad Infrastructure Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks | ||||||||||||||||
Transportation Infrastructure | $ | 111,165,104 | $ | 2,336,306 | $ | — | $ | 113,501,410 | ||||||||
Other* | 1,363,935,960 | — | — | 1,363,935,960 | ||||||||||||
Securities Lending Reinvestments | ||||||||||||||||
Repurchase Agreements | — | 29,255,192 | — | 29,255,192 | ||||||||||||
Total Investments | $ | 1,475,101,064 | $ | 31,591,498 | $ | — | $ | 1,506,692,562 | ||||||||
Other Financial Instruments |
| |||||||||||||||
Assets | ||||||||||||||||
Futures Contracts | $ | 1,177,346 | $ | — | $ | — | $ | 1,177,346 | ||||||||
Forward Foreign Currency Contracts | — | 205,692 | — | 205,692 | ||||||||||||
Liabilities | ||||||||||||||||
Forward Foreign Currency Contracts | — | (153,950 | ) | — | (153,950 | ) | ||||||||||
Total Other Financial Instruments | $ | 1,177,346 | $ | 51,742 | $ | — | $ | 1,229,088 | ||||||||
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares Global Quality Real Estate Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks* | $ | 324,936,269 | $ | — | $ | — | $ | 324,936,269 | ||||||||
Securities Lending Reinvestments | ||||||||||||||||
Repurchase Agreements | — | 7,382,372 | — | 7,382,372 | ||||||||||||
Total Investments | $ | 324,936,269 | $ | 7,382,372 | $ | — | $ | 332,318,641 | ||||||||
Other Financial Instruments |
| |||||||||||||||
Assets | ||||||||||||||||
Futures Contracts | $ | 393,119 | $ | — | $ | — | $ | 393,119 | ||||||||
Forward Foreign Currency Contracts | — | 31,334 | — | 31,334 | ||||||||||||
Liabilities | ||||||||||||||||
Forward Foreign Currency Contracts | — | (32,213 | ) | — | (32,213 | ) | ||||||||||
Total Other Financial Instruments | $ | 393,119 | $ | (879 | ) | $ | — | $ | 392,240 | |||||||
FLEXSHARES SEMIANNUAL REPORT | 339 |
Table of Contents
Notes to the Financial Statements (cont.)
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares Real Assets Allocation Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Exchange Traded Funds | $ | 8,722,594 | $ | — | $ | — | $ | 8,722,594 | ||||||||
Total Investments | $ | 8,722,594 | $ | — | $ | — | $ | 8,722,594 | ||||||||
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares Quality Dividend Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks* | $ | 1,284,678,122 | $ | — | $ | — | $ | 1,284,678,122 | ||||||||
Securities Lending Reinvestments | ||||||||||||||||
Certificates of Deposit | — | 7,005,163 | — | 7,005,163 | ||||||||||||
Commercial Paper | — | 8,497,967 | — | 8,497,967 | ||||||||||||
Repurchase Agreements | — | 81,575,138 | — | 81,575,138 | ||||||||||||
Total Investments | $ | 1,284,678,122 | $ | 97,078,268 | $ | — | $ | 1,381,756,390 | ||||||||
Other Financial Instruments |
| |||||||||||||||
Assets | ||||||||||||||||
Futures Contracts | $ | 1,283,036 | $ | — | $ | — | $ | 1,283,036 | ||||||||
Total Other Financial Instruments | $ | 1,283,036 | $ | — | $ | — | $ | 1,283,036 | ||||||||
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares Quality Dividend Defensive Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks* | $ | 452,477,261 | $ | — | $ | — | $ | 452,477,261 | ||||||||
Securities Lending Reinvestments | ||||||||||||||||
Repurchase Agreements | — | 3,996,235 | — | 3,996,235 | ||||||||||||
Total Investments | $ | 452,477,261 | $ | 3,996,235 | $ | — | $ | 456,473,496 | ||||||||
Other Financial Instruments |
| |||||||||||||||
Assets | ||||||||||||||||
Futures Contracts | $ | 370,733 | $ | — | $ | — | $ | 370,733 | ||||||||
Total Other Financial Instruments | $ | 370,733 | $ | — | $ | — | $ | 370,733 | ||||||||
340 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Notes to the Financial Statements (cont.)
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares Quality Dividend Dynamic Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks* | $ | 15,588,574 | $ | — | $ | — | $ | 15,588,574 | ||||||||
Securities Lending Reinvestments | ||||||||||||||||
Repurchase Agreements | — | 57,635 | — | 57,635 | ||||||||||||
Total Investments | $ | 15,588,574 | $ | 57,635 | $ | — | $ | 15,646,209 | ||||||||
Other Financial Instruments |
| |||||||||||||||
Assets | ||||||||||||||||
Futures Contracts | $ | 21,194 | $ | — | $ | — | $ | 21,194 | ||||||||
Total Other Financial Instruments | $ | 21,194 | $ | — | $ | — | $ | 21,194 | ||||||||
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares International Quality Dividend Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks* | $ | 453,600,047 | $ | — | $ | — | $ | 453,600,047 | ||||||||
Securities Lending Reinvestments | ||||||||||||||||
Repurchase Agreements | — | 4,249,414 | — | 4,249,414 | ||||||||||||
Total Investments | $ | 453,600,047 | $ | 4,249,414 | $ | — | $ | 457,849,461 | ||||||||
Other Financial Instruments |
| |||||||||||||||
Assets | ||||||||||||||||
Futures Contracts | $ | 1,472,424 | $ | — | $ | — | $ | 1,472,424 | ||||||||
Forward Foreign Currency Contracts | — | 396,747 | — | 396,747 | ||||||||||||
Liabilities | ||||||||||||||||
Forward Foreign Currency Contracts | — | (399,575 | ) | — | (399,575 | ) | ||||||||||
Total Other Financial Instruments | $ | 1,472,424 | $ | (2,828 | ) | $ | — | $ | 1,469,596 | |||||||
FLEXSHARES SEMIANNUAL REPORT | 341 |
Table of Contents
Notes to the Financial Statements (cont.)
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares International Quality Dividend Defensive Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks* | $ | 60,492,992 | $ | — | $ | — | $ | 60,492,992 | ||||||||
Securities Lending Reinvestments | ||||||||||||||||
Repurchase Agreements | — | 957,495 | — | 957,495 | ||||||||||||
Total Investments | $ | 60,492,992 | $ | 957,495 | $ | — | $ | 61,450,487 | ||||||||
Other Financial Instruments |
| |||||||||||||||
Assets | ||||||||||||||||
Futures Contracts | $ | 159,112 | $ | — | $ | — | $ | 159,112 | ||||||||
Forward Foreign Currency Contracts | — | 2,782 | — | 2,782 | ||||||||||||
Liabilities | ||||||||||||||||
Forward Foreign Currency Contracts | — | (2,954 | ) | — | (2,954 | ) | ||||||||||
Total Other Financial Instruments | $ | 159,112 | $ | (172 | ) | $ | — | $ | 158,940 | |||||||
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares International Quality Dividend Dynamic Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks* | $ | 20,681,880 | $ | — | $ | — | $ | 20,681,880 | ||||||||
Securities Lending Reinvestments | ||||||||||||||||
Repurchase Agreements | — | 263,417 | — | 263,417 | ||||||||||||
Total Investments | $ | 20,681,880 | $ | 263,417 | $ | — | $ | 20,945,297 | ||||||||
Other Financial Instruments |
| |||||||||||||||
Assets | ||||||||||||||||
Futures Contracts | $ | 19,046 | $ | — | $ | — | $ | 19,046 | ||||||||
Total Other Financial Instruments | $ | 19,046 | $ | — | $ | — | $ | 19,046 | ||||||||
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares iBoxx 3-Year Target Duration TIPS Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
U.S. Treasury Obligations | $ | — | $ | 1,104,609,904 | $ | — | $ | 1,104,609,904 | ||||||||
Total Investments | $ | — | $ | 1,104,609,904 | $ | — | $ | 1,104,609,904 | ||||||||
342 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Notes to the Financial Statements (cont.)
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares iBoxx 5-Year Target Duration TIPS Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
U.S. Treasury Obligations | $ | — | $ | 513,277,135 | $ | — | $ | 513,277,135 | ||||||||
Total Investments | $ | — | $ | 513,277,135 | $ | — | $ | 513,277,135 | ||||||||
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares Disciplined Duration MBS Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Mortgage-Backed Securities | $ | — | $ | 58,388,841 | $ | — | $ | 58,388,841 | ||||||||
Total Investments | $ | — | $ | 58,388,841 | $ | — | $ | 58,388,841 | ||||||||
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares Credit-Scored US Corporate Bond Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Corporate Bonds* | $ | — | $ | 125,078,711 | $ | — | $ | 125,078,711 | ||||||||
Total Investments | $ | — | $ | 125,078,711 | $ | — | $ | 125,078,711 | ||||||||
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares Credit-Scored US Long Corporate Bond Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Corporate Bonds* | $ | — | $ | 32,281,646 | $ | — | $ | 32,281,646 | ||||||||
Total Investments | $ | — | $ | 32,281,646 | $ | — | $ | 32,281,646 | ||||||||
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares High Yield Value-Scored Bond Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Corporate Bonds* | $ | — | $ | 144,662,838 | $ | — | $ | 144,662,838 | ||||||||
Total Investments | $ | — | $ | 144,662,838 | $ | — | $ | 144,662,838 |
FLEXSHARES SEMIANNUAL REPORT | 343 |
Table of Contents
Notes to the Financial Statements (cont.)
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares Ready Access Variable Income Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Asset-Backed Securities | $ | — | $ | 22,790,057 | $ | — | $ | 22,790,057 | ||||||||
Collateralized Mortgage Obligations | — | 148,283 | — | 148,283 | ||||||||||||
Corporate Bonds* | — | 259,734,443 | — | 259,734,443 | ||||||||||||
Municipal Bonds | — | 1,003,110 | — | 1,003,110 | ||||||||||||
Supranational | — | 2,898,875 | — | 2,898,875 | ||||||||||||
U.S. Government Agency Securities | — | 1,997,460 | — | 1,997,460 | ||||||||||||
Foreign Government Securities | — | 4,522,360 | — | 4,522,360 | ||||||||||||
U.S. Treasury Obligations | — | 17,558,202 | — | 17,558,202 | ||||||||||||
Short-Term Investments | — | 5,968,952 | — | 5,968,952 | ||||||||||||
Total Investments | $ | — | $ | 316,621,742 | $ | — | $ | 316,621,742 | ||||||||
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares Core Select Bond Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Exchange Traded Funds | $ | 32,714,076 | $ | — | $ | — | $ | 32,714,076 | ||||||||
Short-Term Investments | — | 149,941 | — | 149,941 | ||||||||||||
Total Investments | $ | 32,714,076 | $ | 149,941 | $ | — | $ | 32,864,017 |
* | See Schedules of Investments for segregation by industry type. |
Foreign Securities
The FlexShares Developed Markets ex-US Quality Low Volatility Index Fund, FlexShares Emerging Markets Quality Low Volatility Index Fund, FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund, FlexShares Morningstar Emerging Markets Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund (through its investment in its Underlying Fund), FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund (through its investment in its Underlying Fund), FlexShares STOXX® Global ESG Impact Index Fund, FlexShares Morningstar Global Upstream Natural Resources Index Fund, FlexShares STOXX® Global Broad Infrastructure Index Fund, FlexShares Global Quality Real Estate Index Fund, FlexShares Real Assets Allocation Index Fund (through its investment in its Underlying Funds), FlexShares International Quality Dividend Index Fund, FlexShares International Quality Dividend
Defensive Index Fund, and the FlexShares International Quality Dividend Dynamic Index Fund invest in publicly-traded equity securities of issuers in countries other than the United States of America (“U.S.”). Such investments include direct investments in non-U.S. dollar denominated securities traded outside the U.S. The Funds’ investments in foreign securities also may be in the form of ADRs and Global Depositary Receipts (“GDRs”) (collectively, “Depositary Receipts”) based on securities in their Underlying Indexes. ADRs are receipts that are traded in the United States evidencing ownership of the underlying foreign securities and are denominated in U.S. dollars. GDRs are receipts issued by a non-U.S. financial institution evidencing ownership of underlying foreign or U.S. securities and usually are denominated in foreign currencies. GDRs may not be denominated in the same currency as the securities they represent. Generally, GDRs are designed for use in foreign securities markets.
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In addition to investment risks associated with the underlying issuer, ADRs and GDRs expose a Fund to risk associated with non-uniform terms that apply to ADR and GDR programs, credit exposure to the depository bank and to the sponsors and other parties with whom the depository bank establishes the programs, currency and liquidity risk. ADRs and GDRs are generally subject to the same risks as the foreign securities that they evidence or into which they may be converted.
To the extent a Fund invests in ADRs, such ADRs will be listed on a national securities exchange. To the extent a Fund invests in GDRs, such GDRs will be listed on a foreign exchange. A Fund will not invest in any unlisted Depositary Receipt, any Depositary Receipt that NTI deems to be illiquid or any Depositary Receipt for which market quotations are not readily available. Generally, all Depositary Receipts must be sponsored.
The FlexShares Credit-Scored US Corporate Bond Index Fund, FlexShares Credit-Scored US Long Corporate Bond Index Fund and the FlexShares High Yield Value-Scored Bond Index Fund may invest in U.S. dollar denominated bonds of non-U.S. corporations to the extent such bonds are included in each Fund’s Underlying Index. The FlexShares Core Select Bond Fund may invest in U.S. dollar denominated bonds of non-U.S. corporations, either directly or indirectly through Underlying Funds, to achieve its investment objective.
The FlexShares Ready Access Variable Income Fund may invest, without limitation, in fixed-income securities and instruments of foreign issuers in developed and emerging markets, including debt securities of foreign governments.
Investing in foreign securities, including Depositary Receipts, may result in a Fund experiencing more rapid and extreme changes in value than a fund that invests exclusively in U.S. securities, due to less liquid markets, and adverse economic, political, diplomatic, financial, and regulatory factors. Foreign governments also may impose taxes and limits on investment and repatriation. Any of these events could cause the value of a Fund’s foreign investment to decline. To the extent that a Fund’s assets are significantly invested in a single country or geographic region, a Fund will be subject to the risks associated with that particular country or region.
The FlexShares Emerging Markets Quality Low Volatility Fund, FlexShares Morningstar Emerging Markets Factor Tilt Index Fund and the FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund (through its investment in its Underlying Fund) will invest primarily in emerging market countries. In addition, the FlexShares Morningstar Global Upstream Natural Resources Index Fund, FlexShares STOXX® Global Broad Infrastructure Index Fund, FlexShares Global Quality Real Estate Index Fund, FlexShares Real Assets Allocation Index Fund (through its investment in its Underlying Funds), FlexShares International Quality Dividend Index Fund, FlexShares International Quality Dividend Defensive Index Fund, and the FlexShares International Quality Dividend Dynamic Index Fund may invest its assets in emerging market countries. The FlexShares Ready Access Variable Income Fund may invest up to 20% of its total assets in fixed-income securities and instruments of issuers in emerging markets. The markets of emerging market countries are less developed and less liquid, subject to greater price volatility and generally subject to increased economic, political, regulatory and other uncertainties than more developed foreign markets. The risks of foreign investment are increased when the issuer is located in a country with an emerging economy or securities market.
Inflation-Indexed Securities
The FlexShares iBoxx 3-Year Target Duration TIPS Index Fund and the FlexShares iBoxx 5-Year Target Duration TIPS Index Fund invest primarily in U.S. Treasury Inflation-Protected Securities (“TIPS”). The FlexShares Ready Access Variable Income Fund and the FlexShares Core Select Bond Fund (directly or through its Underlying Funds) may invest in inflation-indexed securities.
TIPS issued by the U.S. Treasury have varying maturities and pay interest on a semiannual basis equal to a fixed percentage of the inflation-adjusted principal amount. If the periodic adjustment rate measuring inflation falls, the principal value of TIPS will be adjusted downward, and consequently the interest payable on these securities (calculated with respect to a smaller principal amount) will be reduced. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of TIPS, even during a period of deflation.
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The value of TIPS is expected to change in response to changes in real interest rates. Real interest rates in turn are tied to the relationship between nominal interest rates and the rate of inflation. Therefore, if the rate of inflation rises at a faster rate than nominal interest rates, real interest rates might decline, leading to an increase in value of TIPS. In contrast, if nominal interest rates increase at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of TIPS. Any increase in the principal amount of TIPS will be considered taxable ordinary income, even though investors do not receive their principal until maturity.
While these securities are expected to be protected from long-term inflationary trends, short-term increases in inflation may lead to a decline in value. If interest rates rise due to reasons other than inflation, investors in these securities may not be protected to the extent that the increase is not reflected in the TIPS’ inflation measure.
The periodic adjustment of TIPS is tied to the Consumer Price Index for Urban Consumers (“CPI-U”), which is calculated monthly by the U.S. Bureau of Labor Statistics. The CPI-U is a measurement of changes in the cost of living, made up of components such as housing, food, transportation and energy. There can be no assurance that the CPI-U will accurately measure the real rate of inflation in the prices of goods and services.
Mortgage-Backed Pass-Through Securities
The FlexShares Disciplined Duration MBS Index Fund invests primarily in U.S. agency mortgage-backed pass-through securities (“MBS”), a category of pass-through securities backed by pools of mortgages and issued by one of the following U.S. government agencies: the Federal National Mortgage Association (FNMA or Fannie Mae), the Federal Home Loan Mortgage Corporation (FHLMC or Freddie Mac) or the Government National Mortgage Association (GNMA or Ginnie Mae) (each a “US Agency”). Under normal circumstances, the Fund will invest at least 80% of its total assets in the securities of its Underlying Index and in “to-be announced transactions” (“TBA transactions”) that represent securities in its Underlying Index. In a TBA transaction, the buyer and seller agree upon general trade
parameters such as agency, coupon rate, settlement date, par amount and price. The actual pools delivered generally are determined two days prior to settlement.
Pending settlement of such TBA contracts, the FlexShares Disciplined Duration MBS Index Fund will invest in liquid, short-term instruments. The FlexShares Core Select Bond Fund may also invest either directly or through its Underlying Funds in MBS, including TBA transactions.
Mortgage Dollar Rolls
The FlexShares Disciplined Duration MBS Index Fund and the FlexShares Core Select Bond Fund (directly or through its Underlying Funds) may enter into mortgage dollar roll transactions. A mortgage dollar roll involves the sale by the Fund of securities for delivery in the future (generally within 30 days). The Fund simultaneously contracts with the same counterparty to repurchase substantially similar (same type, coupon and maturity) but not identical securities on a specified future date. During the roll period, the Fund will not be entitled to accrue interest and receive principal payments on the securities sold. However, the Fund benefits to the extent of any difference between (a) the price received for the securities sold and (b) the lower forward price for the future purchase and/or fee income plus the interest earned on the cash proceeds of the securities sold. Successful use of mortgage dollar rolls depends upon the Investment Adviser’s ability to predict correctly interest rates and mortgage prepayments. The use of this technique may diminish the investment performance of the Fund compared with what such performance would have been without the use of mortgage dollar rolls.
For financial reporting and tax purposes, a Fund treats mortgage dollar rolls as two separate transactions: one involving the purchase of a security and a separate transaction involving a sale. The Fund currently does not intend to enter into mortgage dollar rolls that are accounted for as financing and does not treat them as borrowings.
Repurchase Agreements
To the extent consistent with its investment policies, each Fund may enter into repurchase agreements under which it purchases securities (collateral) for cash from a seller and
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agrees to resell those securities to the same seller within a specified time at a specified price. During the term of a repurchase agreement, the market value of the underlying collateral, including accrued interest, is required to equal or exceed the market value of the repurchase agreement. The underlying collateral for tri-party repurchase agreements is held in accounts at JP Morgan Chase, the Fund’s custodian, and is not reflected in the assets of the Funds, at the Bank of New York or JPMorgan Chase which, in turn, holds securities through the book-entry system at the Federal Reserve Bank of New York. The Fund is subject to credit risk on repurchase agreements to the extent that the counterparty fails to perform under the agreement and the value of the collateral received falls below the agreed repurchase price.
The Northern Trust Company, the parent of NTI, currently is a party to various Master Repurchase Agreements with a number of different counterparties, and acts as agent on behalf of various disclosed principals, including the Funds and various other accounts managed by NTI, in entering into repurchase agreements under the Master Repurchase Agreements. NTI administers and manages these repurchase agreements in accordance with and as part of its duties under its investment advisory agreement with the Funds and does not collect any additional fees from the Funds for such services. As of April 30, 2020, none of the Funds presented in these financial statements had repurchase agreements outstanding except as discussed below.
As of April 30, 2020, the FlexShares Morningstar US Market Factor Tilt Index Fund, FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund, FlexShares Morningstar Emerging Markets Factor Tilt Index Fund, FlexShares US Quality Large Cap Index Fund, FlexShares STOXX® US ESG Impact Index Fund, FlexShares STOXX® Global ESG Impact Index Fund, FlexShares Morningstar Global Upstream Natural Resources Index Fund, FlexShares STOXX® Global Broad Infrastructure Index Fund, FlexShares Global Quality Real Estate Index Fund, FlexShares Quality Dividend Index Fund, FlexShares Quality Dividend Defensive Index Fund, FlexShares Quality Dividend Dynamic Index Fund, FlexShares International Quality Dividend Index Fund, FlexShares International Quality Dividend Defensive Index Fund, and the FlexShares
International Quality Dividend Dynamic Index Fund invested cash collateral for loans of portfolio securities in repurchase agreements, as reflected in the respective Schedule of Investments under the caption “Securities Lending Reinvestments.”
Securities Lending
Each Fund may lend securities to banks, brokers and dealers or other qualified institutions. In exchange, the Fund is required to receive minimum initial collateral value as follows:
Type of Loan | Minimum Initial Collateral Requirement | |||
U.S. dollar denominated securities secured by U.S. dollar denominated government securities or cash collateral | 102 | % | ||
U.S. dollar denominated securities secured by non-U.S. dollar denominated government securities or cash collateral | 105 | % | ||
Non-U.S. dollar denominated securities secured by government securities or cash collateral in the same denomination as the lent securities | 102 | % | ||
Non-U.S. dollar denominated securities secured by government securities or cash collateral in the different denomination from the lent securities | 105 | % | ||
U.S. dollar and Non-U.S. dollar denominated securities secured by equity securities collateral | 105 | % |
The collateral is maintained thereafter, at a value equal to at least 100% of the value of the securities loaned. The collateral amount is valued at the beginning of each business day and is compared to the market value of the loaned securities from the prior business day to determine if additional collateral is required. If additional collateral is required, a request is sent to the borrower.
Securities lending may represent no more than one-third of the value of a Fund’s total assets (including the loan collateral). JPMorgan Chase Bank, N.A. (the “Securities Lending Agent”) serves as the securities lending agent for the securities lending program of a Fund.
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Collateral for loans of portfolio securities made by a Fund may consist of cash, cash equivalents, securities issued or guaranteed by the U.S. government or foreign governments or its agencies (or any combination thereof). Any cash collateral received by the Fund in connection with these loans may be invested in a variety of short-term investments, either directly or indirectly through money market portfolios. The market value of securities on loan and the value of investments made with cash collateral received are disclosed in the Schedule of Investments. Securities lending income includes income from the securities lending program recorded when earned from the Securities Lending Agent and any fees charged to borrowers less expenses associated with the loan. The net amount is reflected in the Statement of Operations under “Securities lending income (net of fees).” The market value of the loaned securities is determined at the close of each business day of the Fund and any additional required collateral is delivered to the Fund, or excess collateral returned by the Fund, on the next business day.
When a Fund lends its securities, it will continue to receive payments equal to the dividends and interest paid on the securities loaned and simultaneously may earn interest on the investment of the cash collateral.
A Fund will have the right to terminate a loan at any time and recall the loaned securities within the normal and customary settlement time for securities transactions. A Fund does not have the right to vote securities on loan, but can terminate the loan and regain the right to vote if a material event affecting the securities occurred. A borrower might become insolvent or refuse to honor its obligation to return the securities. In the event of a default by a borrower with respect to any loan, the Securities Lending Agent will exercise any and all remedies provided under the applicable borrower agreement. These remedies include purchasing replacement securities for the Fund by applying the collateral held from the defaulting borrower against the purchase cost of the replacement securities. If the proceeds from the collateral are less than the purchase cost of the replacement securities, the Securities Lending Agent is responsible for such shortfall, subject to certain limitations that are set forth in detail in the Securities Lending Agency Agreement. In this event, a Fund could experience delays in
recovering its securities and possibly may incur a capital loss. Each Fund will be responsible for any loss that might result from its investment of the cash collateral it receives from a borrower.
In accordance with guidance presented in FASB Accounting Standard Update (“ASU”) 2014-11, Transfers and Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures, liabilities under the outstanding securities lending transactions as of April 30, 2020, which were comprised of cash, were as follows:
Fund | ||||
FlexShares Morningstar US Market Factor Tilt Index Fund | $ | 209,882,134 | ||
FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund | 9,907,178 | |||
FlexShares Morningstar Emerging Markets Factor Tilt Index Fund | 2,542,959 | |||
FlexShares US Quality Large Cap Index Fund | 331,984 | |||
FlexShares STOXX® US ESG Impact Index Fund | 87,992 | |||
FlexShares STOXX® Global ESG Impact Index Fund | 221,348 | |||
FlexShares Morningstar Global Upstream Natural Resources Index Fund | 199,849,647 | |||
FlexShares STOXX® Global Broad Infrastructure Index Fund | 29,255,192 | |||
FlexShares Global Quality Real Estate Index Fund | 7,382,372 | |||
FlexShares Quality Dividend Index Fund | 97,083,592 | |||
FlexShares Quality Dividend Defensive Index Fund | 3,996,235 | |||
FlexShares Quality Dividend Dynamic Index Fund | 57,635 | |||
FlexShares International Quality Dividend Index Fund | 4,249,414 | |||
FlexShares International Quality Dividend Defensive Index Fund | 957,495 | |||
FlexShares International Quality Dividend Dynamic Index Fund | 263,417 |
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At April 30, 2020, the Securities Lending Agency Agreement does not permit the Funds to enforce a netting arrangement.
Regulations that began to take effect in 2019 will require certain bank-regulated counterparties and certain of their affiliates to include in certain financial contracts, including many securities lending agreements, terms that delay or restrict the rights of counterparties, such as a Fund, to terminate such agreements, foreclose upon collateral, exercise other default rights or restrict transfers of credit support in the event that the counterparty and/or its affiliates are subject to certain types of resolution or insolvency proceedings. It is possible that these new requirements, as well as potential additional government regulation and other developments in the market, could adversely affect a Fund’s ability to terminate existing securities lending agreements or to realize amounts to be received under such agreements.
Derivative Contracts
Futures Contracts
All of the Index Funds may invest in futures contracts to help track the price and yield performance of their Underlying Indexes. At the time a Fund enters into a futures contract, it is generally required to make a margin deposit with the custodian of a specified amount of liquid assets. Subsequent payments to be made or received by the Funds equal to the change in contract value are recorded as variation margin payable or receivable and offset in unrealized gains or losses. Futures are marked to market each day with the change in value reflected in the unrealized gains or losses. A Fund recognizes a realized gain or loss when a contract is closed or expires. The Statements of Operations reflect unrealized gains or losses on open futures contracts, as “Net change in unrealized appreciation (depreciation) on futures contracts”, and any realized gains (losses) on closed futures contracts as “Net realized gain (loss) on futures contracts”.
The FlexShares Core Select Bond Fund may take long or short positions in futures to manage the Fund’s exposure to interest rate risk. When applicable, the Fund seeks to mitigate the potential impact of interest rates on the performance of bonds by entering into short positions in U.S. Treasury futures or transactions in interest rate swaps. The Fund’s short positions in U.S. Treasury futures and interest
rate swaps are not intended to mitigate credit spread risk or other factors influencing the price of bonds, which may have a greater impact than interest rates. In addition, when interest rates fall, long-only bond investments will perform better than the Fund’s investments. As of April 30, 2020, the FlexShares Core Select Bond Fund did not hold swaps.
As of April 30, 2020, the FlexShares US Quality Low Volatility Index Fund, FlexShares Developed Markets ex-US Quality Low Volatility Index Fund, FlexShares Emerging Markets Quality Low Volatility Index Fund, FlexShares Morningstar US Market Factor Tilt Index Fund, FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund, FlexShares Morningstar Emerging Markets Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund, FlexShares US Quality Large Cap Index Fund, FlexShares STOXX® US ESG Impact Index Fund, FlexShares STOXX® Global ESG Impact Index Fund, FlexShares Morningstar Global Upstream Natural Resources Index Fund, FlexShares STOXX® Global Broad Infrastructure Index Fund, FlexShares Global Quality Real Estate Index Fund, FlexShares Quality Dividend Index Fund, FlexShares Quality Dividend Defensive Index Fund, FlexShares Quality Dividend Dynamic Index Fund, FlexShares International Quality Dividend Index Fund, FlexShares International Quality Dividend Defensive Index Fund, and the FlexShares International Quality Dividend Dynamic Index Fund had open futures contracts.
The use of futures contracts involves, to varying degrees, elements of market and counterparty risk, which may exceed the amounts recognized in the Statements of Assets and Liabilities. Futures contracts present the following risks: imperfect correlation between the change in market value of a Fund’s securities and the price of futures contracts; the possible inability to close a futures contract when desired; losses due to unanticipated market movements, which potentially are unlimited; and the possible inability of NTI to correctly predict the direction of securities prices, interest rates, currency exchange rates and other economic factors. Futures markets are highly volatile and the use of futures may increase the volatility of a Fund’s NAV. As a result of the low margin deposits normally required in futures trading, a relatively small price movement in a futures contract may result in substantial losses to a Fund. Futures contracts
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may be illiquid, and exchanges may limit fluctuations in futures contract prices during a single day. Foreign exchanges or boards of trade generally do not offer the same protection as U.S. exchanges.
Foreign Currency Translations
Values of investments denominated in foreign currencies are converted into U.S. dollars using the prevailing market rates on the date of valuation as quoted by one or more banks or dealers that make a two-way market in such currencies (or a data service provider based on quotations received from such banks or dealers). Any use of a rate different from the rates used by an Index Fund’s index provider may affect a Fund’s ability to track its Underlying Index. The cost of purchases and proceeds from sales of investments, interest and dividend income are translated into U.S. dollars using the spot market rate of exchange prevailing on the respective dates of such transactions. “Net realized gain (loss) on foreign currency transactions” on the Statements of Operations include the effect of changes in exchange rates between trade date and settlement date on investment security transactions, foreign currency transactions and interest and dividends received, and the portion of foreign currency gains and losses related to fluctuation in exchange rates between the initial purchase trade date and subsequent sale trade date is included in “Net realized gain (loss) on investment in securities” on the Statements of Operations. Unrealized gains and losses on assets and liabilities, other than investments in securities, which result from changes in foreign currency exchange rates have been included in “Net change in unrealized appreciation (depreciation) on translation of other assets and liabilities denominated in foreign currencies” on the Statements of Operations.
Forward Foreign Currency Exchange Contracts
The FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund and FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund intend to use forward foreign currency contracts to hedge the currency exposure resulting from investments in foreign securities, to facilitate local settlements or to protect against currency exposure in connection with their distributions to shareholders. The FlexShares Developed Markets ex-US Quality Low Volatility Index Fund, FlexShares Emerging Markets Quality Low Volatility Index Fund, FlexShares Morningstar
Developed Markets ex-US Factor Tilt Index Fund, FlexShares Morningstar Emerging Markets Factor Tilt Index Fund, FlexShares STOXX® Global ESG Impact Index Fund, FlexShares Morningstar Global Upstream Natural Resources Index Fund, FlexShares STOXX® Global Broad Infrastructure Index Fund, FlexShares Global Quality Real Estate Index Fund, FlexShares Real Assets Allocation Index Fund, FlexShares International Quality Dividend Index Fund, FlexShares International Quality Dividend Defensive Index Fund, FlexShares International Quality Dividend Dynamic Index Fund, and the FlexShares Ready Access Variable Income Fund may enter into forward foreign currency exchange contracts to facilitate local settlements or to protect against currency exposure in connection with its distributions to shareholders. The Index Funds, however, do not expect to engage in currency transactions for speculative purposes (e.g., for potential income or capital gain). The FlexShares Ready Access Variable Income Fund also may engage in forward foreign currency transactions for hedging purposes in order to protect against uncertainty in the level of future foreign currency exchange rates. The Fund, however, does not expect to engage in currency transactions for speculative purposes. All forward foreign currency exchange contracts held are “marked-to-market” daily at the applicable exchange rates and any resulting unrealized gains or losses are recorded. The Funds record realized gains or losses at the time the forward foreign currency exchange contract is offset by entering into a closing transaction or extinguished by delivery of the currency. The difference between the future foreign currency exchange rates at the date of entry into the contract and the rates at the reporting date are included in “Net change in unrealized appreciation (depreciation) on forward foreign currency contracts” in the Statements of Operations. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. Dollars without the delivery of foreign currency.
There are several risks associated with these contracts. One risk is the potential inability of counterparties to meet the terms of their contracts, and unanticipated movements in the value of a foreign currency relative to the U.S. dollar. The contractual amounts of forward foreign currency exchange contracts do not necessarily represent the amounts
potentially subject to risk. The measurement of the risks
associated with these instruments is meaningful only when all related and offsetting transactions are considered. The Statements of Operations reflect (i) realized gains or losses,
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if any, in “Net realized gain (loss) from settlement of forward foreign currency contracts” and (ii) unrealized gains or losses in “Net change in unrealized appreciation (depreciation) on forward foreign currency contracts”. Forward foreign currency exchange contracts are privately negotiated transactions and can have substantial price volatility. As a result, they offer less protection against default by the other party than is available for instruments traded on an exchange. The institutions that deal in forward foreign currency exchange contracts are not required to continue to make markets in the currencies they trade, and these markets can experience periods of illiquidity.
As of April 30, 2020, the FlexShares Developed Markets ex-US Quality Low Volatility Index Fund, FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund, FlexShares Morningstar Emerging Markets Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund, FlexShares Morningstar Global Upstream Natural Resources Index Fund, FlexShares STOXX® Global Broad Infrastructure Index Fund, FlexShares Global Quality Real Estate Index Fund, FlexShares International Quality Dividend Index Fund, and the FlexShares International Quality Dividend Defensive Index Fund had open forward foreign currency contracts.
Offsetting of Financial Assets and Derivative Assets
The Funds’ accounting policy with respect to balance sheet offsetting is that, absent an event of default by the counterparty
or a termination of the agreement, the International Swaps and Derivatives Association (ISDA) Master Agreement or similar agreement does not result in an offset of reported amounts of financial assets and financial liabilities in the Statements of Assets and Liabilities across transactions between the Fund and the applicable counterparty. In the event of a default, the agreement provides the right for the non-defaulting party to liquidate the collateral and calculate the net exposure to the defaulting party or request additional collateral. The Funds’ right to setoff may be restricted or prohibited by the bankruptcy or insolvency laws of the particular jurisdiction to which a specific master netting agreement counterparty is subject.
For financial reporting purposes, the Trust can offset financial assets and financial liabilities of the FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund, FlexShares Morningstar Emerging Markets Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund, FlexShares Morningstar Global Upstream Natural Resources Index Fund, FlexShares STOXX® Global Broad Infrastructure Index Fund, FlexShares Global Quality Real Estate Index Fund, FlexShares International Quality Dividend Index Fund, and the FlexShares International Quality Dividend Defensive Index Fund that are subject to master netting arrangements or similar agreements in the Statements of Assets and Liabilities. The following table presents the gross and net amounts of these assets and liabilities:
Gross Amounts Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||||
Gross Amounts of Assets presented in Statements of Assets and Liabilities | Financial Instruments | Cash Collateral Received | Net Amount | |||||||||||||||
FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund | Foreign Currency Contracts — Citibank NA | $ | 34,395 | $ | (3,018 | ) | $ | — | $ | 31,377 | ||||||||
Foreign Currency Contracts — Goldman Sachs & Co. | 3,456 | (3,456 | ) | — | — | |||||||||||||
Foreign Currency Contracts — JPMorgan Chase Bank | 38,416 | (38,416 | ) | — | — | |||||||||||||
Foreign Currency Contracts — Morgan Stanley | 49,128 | (49,128 | ) | — | — | |||||||||||||
Foreign Currency Contracts — Toronto-Dominion Bank (The) | 29,312 | (29,312 | ) | — | — | |||||||||||||
Total | $ | 154,707 | $ | (123,330 | ) | $ | — | $ | 31,377 |
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Gross Amounts Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||||
Gross Amounts of Assets presented in Statements of Assets and Liabilities | Financial Instruments | Cash Collateral Received | Net Amount | |||||||||||||||
FlexShares Morningstar Emerging Markets Factor Tilt Index Fund | Foreign Currency Contracts — BNP Paribas SA | $ | 34,885 | $ | — | $ | — | $ | 34,885 | |||||||||
Foreign Currency Contracts — Citibank NA | 406 | (406 | ) | — | — | |||||||||||||
Foreign Currency Contracts — Goldman Sachs & Co. | 17,021 | — | — | 17,021 | ||||||||||||||
Foreign Currency Contracts — Toronto-Dominion Bank (The) | 298 | — | — | 298 | ||||||||||||||
Total | $ | 52,610 | $ | (406 | ) | $ | — | $ | 52,204 | |||||||||
FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund | Foreign Currency Contracts — Goldman Sachs & Co. | $ | 3,775 | $ | (1,445 | ) | $ | — | $ | 2,330 | ||||||||
Foreign Currency Contracts — JPMorgan Chase Bank | 899 | (899 | ) | — | — | |||||||||||||
Total | $ | 4,674 | $ | (2,344 | ) | $ | — | $ | 2,330 | |||||||||
FlexShares Morningstar Global Upstream Natural Resources Index Fund | Foreign Currency Contracts — BNP Paribas SA | $ | 287,435 | $ | — | $ | — | $ | 287,435 | |||||||||
Foreign Currency Contracts — Citibank NA | 18,822 | (3,357 | ) | — | 15,465 | |||||||||||||
Foreign Currency Contracts — Goldman Sachs & Co. | 13,243 | (13,243 | ) | — | — | |||||||||||||
Foreign Currency Contracts — JPMorgan Chase Bank | 9,597 | (9,597 | ) | — | — | |||||||||||||
Foreign Currency Contracts — Morgan Stanley | 87,797 | (87,797 | ) | — | — | |||||||||||||
Foreign Currency Contracts — Toronto-Dominion Bank (The) | 242,768 | (90,877 | ) | — | 151,891 | |||||||||||||
Total | $ | 659,662 | $ | (204,871 | ) | $ | — | $ | 454,791 | |||||||||
FlexShares STOXX® Global Broad Infrastructure Index Fund | Foreign Currency Contracts — BNP Paribas SA | $ | 5,662 | $ | (5,662 | ) | $ | — | $ | — | ||||||||
Foreign Currency Contracts — Citibank NA | 402 | (402 | ) | — | — | |||||||||||||
Foreign Currency Contracts — Morgan Stanley | 2,491 | (2,491 | ) | — | — | |||||||||||||
Foreign Currency Contracts — Toronto-Dominion Bank (The) | 192,386 | — | — | 192,386 | ||||||||||||||
Foreign Currency Contracts — JPMorgan Chase Bank | 4,751 | (64 | ) | — | 4,687 | |||||||||||||
Total | $ | 205,692 | $ | (8,619 | ) | $ | — | $ | 197,073 | |||||||||
FlexShares Global Quality Real Estate Index Fund | Foreign Currency Contracts — Citibank NA | $ | 9,669 | $ | (9,669 | ) | $ | — | $ | — | ||||||||
Foreign Currency Contracts — Goldman Sachs & Co. | 44 | — | — | 44 | ||||||||||||||
Foreign Currency Contracts — Morgan Stanley | 15,780 | (5,985 | ) | — | 9,795 | |||||||||||||
Foreign Currency Contracts — JPMorgan Chase Bank | 5,841 | (388 | ) | — | 5,453 | |||||||||||||
Total | $ | 31,334 | $ | (16,042 | ) | $ | — | $ | 15,292 | |||||||||
FlexShares International Quality Dividend Index Fund | ||||||||||||||||||
Foreign Currency Contracts — BNP Paribas SA | $ | 77,442 | $ | (13,996 | ) | $ | — | $ | 63,446 | |||||||||
Foreign Currency Contracts — Citibank NA | 110,840 | (110,840 | ) | — | — | |||||||||||||
Foreign Currency Contracts — Goldman Sachs & Co. | 68,954 | (9,096 | ) | — | 59,858 | |||||||||||||
Foreign Currency Contracts — JPMorgan Chase Bank | 69,160 | (43,774 | ) | — | 25,386 | |||||||||||||
Foreign Currency Contracts — Morgan Stanley | 66,211 | (7,222 | ) | — | 58,989 | |||||||||||||
Foreign Currency Contracts — Toronto-Dominion Bank (The) | 2,060 | (2,060 | ) | — | — | |||||||||||||
Foreign Currency Contracts — Bank of New York | 2,080 | — | — | 2,080 | ||||||||||||||
Total | $ | 396,747 | $ | (186,988 | ) | $ | — | $ | 209,759 |
352 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Notes to the Financial Statements (cont.)
Gross Amounts Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||||
Gross Amounts of Assets presented in Statements of Assets and Liabilities | Financial Instruments | Cash Collateral Received | Net Amount | |||||||||||||||
FlexShares International Quality Dividend Defensive Index Fund | Foreign Currency Contracts — BNP Paribas SA | $ | 2,782 | $ | — | $ | — | $ | 2,782 | |||||||||
Total | $ | 2,782 | $ | — | $ | — | $ | 2,782 | ||||||||||
Gross Amounts Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||||
Gross Amounts of Liabilities presented in Statements of Assets and Liabilities | Financial Instruments | Cash Collateral Pledged | Net Amount | |||||||||||||||
FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund | Foreign Currency Contracts — Citibank NA | $ | (3,018 | ) | $ | 3,018 | $ | — | $ | — | ||||||||
Foreign Currency Contracts — Bank of New York | (8,377 | ) | — | — | (8,377 | ) | ||||||||||||
Foreign Currency Contracts — Goldman Sachs & Co. | (8,486 | ) | 3,456 | — | (5,030 | ) | ||||||||||||
Foreign Currency Contracts — JPMorgan Chase Bank | (67,006 | ) | 38,416 | — | (28,590 | ) | ||||||||||||
Foreign Currency Contracts — Morgan Stanley | (56,516 | ) | 49,128 | — | (7,388 | ) | ||||||||||||
Foreign Currency Contracts — Toronto-Dominion Bank (The) | (34,821 | ) | 29,312 | — | (5,509 | ) | ||||||||||||
Foreign Currency Contracts — BNP Paribas SA | (19 | ) | — | — | (19 | ) | ||||||||||||
Total | $ | (178,243 | ) | $ | 123,330 | $ | — | $ | (54,913 | ) | ||||||||
FlexShares Morningstar Emerging Markets Factor Tilt Index Fund | Foreign Currency Contracts — Citibank NA | $ | (2,316 | ) | $ | 406 | $ | — | $ | (1,910 | ) | |||||||
Foreign Currency Contracts — Morgan Stanley | (520 | ) | — | — | (520 | ) | ||||||||||||
Total | $ | (2,836 | ) | $ | 406 | $ | — | $ | (2,430 | ) | ||||||||
FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index | Foreign Currency Contracts — Morgan Stanley | $ | (43,814 | ) | $ | — | $ | — | $ | (43,814 | ) | |||||||
Total | $ | (43,814 | ) | $ | — | $ | — | $ | (43,814 | ) | ||||||||
FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund | Foreign Currency Contracts — BNP Paribas SA | $ | (295 | ) | $ | — | $ | — | $ | (295 | ) | |||||||
Foreign Currency Contracts — Citibank NA | (4,054 | ) | — | — | (4,054 | ) | ||||||||||||
Foreign Currency Contracts — Goldman Sachs & Co. | (1,445 | ) | 1,445 | — | — | |||||||||||||
Foreign Currency Contracts — JPMorgan Chase Bank | (8,711 | ) | 899 | — | (7,812 | ) | ||||||||||||
Total | $ | (14,505 | ) | $ | 2,344 | $ | — | $ | (12,161 | ) | ||||||||
FlexShares Morningstar Global Upstream Natural Resources Index Fund | Foreign Currency Contracts — Citibank NA | $ | (3,357 | ) | $ | 3,357 | $ | — | $ | — | ||||||||
Foreign Currency Contracts — Goldman Sachs & Co. | (132,832 | ) | 13,243 | — | (119,589 | ) | ||||||||||||
Foreign Currency Contracts — JPMorgan Chase Bank | (65,824 | ) | 9,597 | — | (56,227 | ) | ||||||||||||
Foreign Currency Contracts — Morgan Stanley | (178,517 | ) | 87,797 | — | (90,720 | ) | ||||||||||||
Foreign Currency Contracts — Toronto-Dominion Bank (The) | (90,877 | ) | 90,877 | — | — | |||||||||||||
Foreign Currency Contracts — Bank of New York | (2,076 | ) | — | — | (2,076 | ) | ||||||||||||
Foreign Currency Contracts — Bank of Montreal | (39,704 | ) | — | — | (39,704 | ) | ||||||||||||
Total | $ | (513,187 | ) | $ | 204,871 | $ | — | $ | (308,316 | ) |
FLEXSHARES SEMIANNUAL REPORT | 353 |
Table of Contents
Notes to the Financial Statements (cont.)
Gross Amounts Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||||
Gross Amounts of Liabilities presented in Statements of Assets and Liabilities | Financial Instruments | Cash Collateral Pledged | Net Amount | |||||||||||||||
FlexShares STOXX® Global Broad Infrastructure Index Fund | Foreign Currency Contracts — Citibank NA | $ | (13,244 | ) | $ | 402 | $ | — | $ | (12,842 | ) | |||||||
Foreign Currency Contracts — Goldman Sachs & Co. | (22,416 | ) | — | — | (22,416 | ) | ||||||||||||
Foreign Currency Contracts — Morgan Stanley | (67,668 | ) | 2,491 | — | (65,177 | ) | ||||||||||||
Foreign Currency Contracts — BNP Paribas SA | (29,103 | ) | 5,662 | — | (23,441 | ) | ||||||||||||
Foreign Currency Contracts — Bank of New York | (21,455 | ) | — | — | (21,455 | ) | ||||||||||||
Foreign Currency Contracts — JPMorgan Chase Bank | (64 | ) | 64 | — | — | |||||||||||||
Total | $ | (153,950 | ) | $ | 8,619 | $ | — | $ | (145,331 | ) | ||||||||
FlexShares Global Quality Real Estate Index Fund | Foreign Currency Contracts — Citibank NA | $ | (18,988 | ) | $ | 9,669 | $ | — | $ | (9,319 | ) | |||||||
Foreign Currency Contracts — BNP Paribas SA | (6,852 | ) | — | — | (6,852 | ) | ||||||||||||
Foreign Currency Contracts — JPMorgan Chase Bank | (388 | ) | 388 | — | — | |||||||||||||
Foreign Currency Contracts — Morgan Stanley | (5,985 | ) | 5,985 | — | — | |||||||||||||
Total | $ | (32,213 | ) | $ | 16,042 | $ | — | $ | (16,171 | ) | ||||||||
FlexShares International Quality Dividend Index Fund | Foreign Currency Contracts — BNP Paribas SA | $ | (13,996 | ) | $ | 13,996 | $ | — | $ | — | ||||||||
Foreign Currency Contracts — Citibank NA | (165,648 | ) | 110,840 | — | (54,808 | ) | ||||||||||||
Foreign Currency Contracts — Goldman Sachs & Co. | (9,096 | ) | 9,096 | — | — | |||||||||||||
Foreign Currency Contracts — JPMorgan Chase Bank | (43,774 | ) | 43,774 | — | — | |||||||||||||
Foreign Currency Contracts — Morgan Stanley | (7,222 | ) | 7,222 | — | — | |||||||||||||
Foreign Currency Contracts — Toronto-Dominion Bank (The) | (159,839 | ) | 2,060 | — | (157,779 | ) | ||||||||||||
Total | $ | (399,575 | ) | $ | 186,988 | $ | — | $ | (212,587 | ) | ||||||||
FlexShares International Quality Dividend Defensive Index Fund | Foreign Currency Contracts — Goldman Sachs & Co. | $ | (124 | ) | $ | — | $ | — | $ | (124 | ) | |||||||
Foreign Currency Contracts — Morgan Stanley | (2,830 | ) | — | — | (2,830 | ) | ||||||||||||
Total | $ | (2,954 | ) | $ | — | $ | — | $ | (2,954 | ) |
The following tables indicate the location of derivative-related items on the Statements of Assets and Liabilities as well as the effect of derivative instruments on the Statements of Operations during the reporting period.
Fair Value of Derivative Instruments as of April 30, 2020
Derivatives by risk type | Statements of Assets and Liabilities Location | Fund | Value | |||||
Equity Index Futures Contracts | Assets — Unrealized appreciation on futures contracts* | FlexShares Morningstar US Market Factor Tilt Index Fund | $ | 1,246,207 | ||||
Equity Index Futures Contracts | Assets — Unrealized appreciation on futures contracts* | FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund | 1,239,464 | |||||
Foreign Currency Contracts | Assets — Unrealized appreciation on forward foreign currency contracts | FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund | 154,707 |
354 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Notes to the Financial Statements (cont.)
Derivatives by risk type | Statements of Assets and Liabilities Location | Fund | Value | |||||
Foreign Currency Contracts | Liabilities — Unrealized depreciation on forward foreign currency contracts | FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund | $ | (178,243 | ) | |||
Equity Index Futures Contracts | Assets — Unrealized appreciation on futures contracts* | FlexShares Morningstar Emerging Markets Factor Tilt Index Fund | 454,932 | |||||
Foreign Currency Contracts | Assets — Unrealized appreciation on forward foreign currency contracts | FlexShares Morningstar Emerging Markets Factor Tilt Index Fund | 52,610 | |||||
Foreign Currency Contracts | Liabilities — Unrealized depreciation on forward foreign currency contracts | FlexShares Morningstar Emerging Markets Factor Tilt Index Fund | (2,836 | ) | ||||
Foreign Currency Contracts | Liabilities — Unrealized depreciation on forward foreign currency contracts | FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund | (43,814 | ) | ||||
Equity Index Futures Contracts | Assets — Unrealized appreciation on futures contracts* | FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund | 7,443 | |||||
Foreign Currency Contracts | Assets — Unrealized appreciation on forward foreign currency contracts | FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund | 4,674 | |||||
Foreign Currency Contracts | Liabilities — Unrealized depreciation on forward foreign currency contracts | FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund | (14,505 | ) | ||||
Equity Index Futures Contracts | Assets — Unrealized appreciation on futures contracts* | FlexShares US Quality Large Cap Index Fund | 12,899 | |||||
Equity Index Futures Contracts | Assets — Unrealized appreciation on futures contracts* | FlexShares STOXX® US ESG Impact Index Fund | 55,240 | |||||
Equity Index Futures Contracts | Assets — Unrealized appreciation on futures contracts* | FlexShares STOXX® Global ESG Impact Index Fund | 106,320 | |||||
Equity Index Futures Contracts | Assets — Unrealized appreciation on futures contracts* | FlexShares Morningstar Global Upstream Natural Resources Index Fund | 4,823,310 | |||||
Foreign Currency Contracts | Assets — Unrealized appreciation on forward foreign currency contracts | FlexShares Morningstar Global Upstream Natural Resources Index Fund | 659,662 | |||||
Foreign Currency Contracts | Liabilities — Unrealized depreciation on forward foreign currency contracts | FlexShares Morningstar Global Upstream Natural Resources Index Fund | (513,187 | ) | ||||
Equity Index Futures Contracts | Assets — Unrealized appreciation on futures contracts* | FlexShares STOXX® Global Broad Infrastructure Index Fund | 1,177,346 | |||||
Foreign Currency Contracts | Assets — Unrealized appreciation on forward foreign currency contracts | FlexShares STOXX® Global Broad Infrastructure Index Fund | 205,692 | |||||
Foreign Currency Contracts | Liabilities — Unrealized depreciation on forward foreign currency contracts | FlexShares STOXX® Global Broad Infrastructure Index Fund | (153,950 | ) | ||||
Equity Index Futures Contracts | Assets — Unrealized appreciation on futures contracts* | FlexShares Global Quality Real Estate Index Fund | 393,119 | |||||
Foreign Currency Contracts | Assets — Unrealized appreciation on forward foreign currency contracts | FlexShares Global Quality Real Estate Index Fund | 31,334 | |||||
Foreign Currency Contracts | Liabilities — Unrealized depreciation on forward foreign currency contracts | FlexShares Global Quality Real Estate Index Fund | (32,213 | ) |
FLEXSHARES SEMIANNUAL REPORT | 355 |
Table of Contents
Notes to the Financial Statements (cont.)
Derivatives by risk type | Statements of Assets and Liabilities Location | Fund | Value | |||||
Equity Index Futures Contracts | Assets — Unrealized appreciation on futures contracts* | FlexShares Quality Dividend Index Fund | $ | 1,283,036 | ||||
Equity Index Futures Contracts | Assets — Unrealized appreciation on futures contracts* | FlexShares Quality Dividend Defensive Index Fund | 370,733 | |||||
Equity Index Futures Contracts | Assets — Unrealized appreciation on futures contracts* | FlexShares Quality Dividend Dynamic Index Fund | 21,194 | |||||
Equity Index Futures Contracts | Assets — Unrealized appreciation on futures contracts* | FlexShares International Quality Dividend Index Fund | 1,472,424 | |||||
Foreign Currency Contracts | Assets — Unrealized appreciation on forward foreign currency contracts | FlexShares International Quality Dividend Index Fund | 396,747 | |||||
Foreign Currency Contracts | Liabilities — Unrealized depreciation on forward foreign currency contracts | FlexShares International Quality Dividend Index Fund | (399,575 | ) | ||||
Equity Index Futures Contracts | Assets — Unrealized appreciation on futures contracts* | FlexShares International Quality Dividend Defensive Index Fund | 159,112 | |||||
Foreign Currency Contracts | Assets — Unrealized appreciation on forward foreign currency contracts | FlexShares International Quality Dividend Defensive Index Fund | 2,782 | |||||
Foreign Currency Contracts | Liabilities — Unrealized depreciation on forward foreign currency contracts | FlexShares International Quality Dividend Defensive Index Fund | (2,954 | ) | ||||
Equity Index Futures Contracts | Assets — Unrealized appreciation on futures contracts* | FlexShares International Quality Dividend Dynamic Index Fund | 19,046 | |||||
Equity Index Futures Contracts | Assets — Unrealized appreciation on futures contracts* | FlexShares US Quality Low Volatility Index Fund | 6,118 | |||||
Equity Index Futures Contracts | Assets — Unrealized appreciation on futures contracts* | FlexShares Developed Markets ex-US Quality Low Volatility Index Fund | 57,745 | |||||
Foreign Currency Contracts | Assets — Unrealized appreciation on forward foreign currency contracts | FlexShares Developed Markets ex-US Quality Low Volatility Index Fund | 390 | |||||
Foreign Currency Contracts | Liabilities — Unrealized depreciation on forward foreign currency contracts | FlexShares Developed Markets ex-US Quality Low Volatility Index Fund | (10,163 | ) | ||||
Equity Index Futures Contracts | Liabilities — Unrealized depreciation on futures contracts* | FlexShares Emerging Markets Quality Low Volatility Index Fund | (5,048 | ) |
* | Includes cumulative appreciation/depreciation on futures contracts as reported in the Schedule of Investments. Current day’s variation margin is reported within the Statement of Assets and Liabilities for futures contracts. |
356 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Notes to the Financial Statements (cont.)
The Effect of Derivative Instruments on the Statements of Operations for the Period Ended April 30, 2020
Derivatives by risk type | Location of Gain or (Loss) on Derivatives on the Statements of Operations | Fund | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) on Derivatives | ||||||||
Equity Index Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares Morningstar US Market Factor Tilt Index Fund | $ | (3,094,766 | ) | $ | 1,033,351 | |||||
Equity Index Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund | (1,097,236 | ) | 911,077 | |||||||
Foreign Currency Contracts | Net realized gain (loss) on Foreign currency transactions, Net change in unrealized appreciation (depreciation) on Forward foreign currency contracts | FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund | (157,509 | ) | (91,850 | ) | ||||||
Equity Index Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares Morningstar Emerging Markets Factor Tilt Index Fund | (255,614 | ) | 404,182 | |||||||
Foreign Currency Contracts | Net realized gain (loss) on Foreign currency transactions, Net change in unrealized appreciation (depreciation) on Forward foreign currency contracts | FlexShares Morningstar Emerging Markets Factor Tilt Index Fund | 17,344 | 91,474 | ||||||||
Foreign Currency Contracts | Net realized gain (loss) on Foreign currency transactions, Net change in unrealized appreciation (depreciation) on Forward foreign currency contracts | FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund | 249,671 | (28,899 | ) | |||||||
Equity Index Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund | (8,404 | ) | 6,500 |
FLEXSHARES SEMIANNUAL REPORT | 357 |
Table of Contents
Notes to the Financial Statements (cont.)
Derivatives by risk type | Location of Gain or (Loss) on Derivatives on the Statements of Operations | Fund | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) on Derivatives | ||||||||
Foreign Currency Contracts | Net realized gain (loss) on Foreign currency transactions, Net change in unrealized appreciation (depreciation) on Forward foreign currency contracts | FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund | $ | 196,722 | $ | 11,275 | ||||||
Equity Index Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares US Quality Large Cap Index Fund | (52,124 | ) | 10,119 | |||||||
Equity Index Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares STOXX® US ESG Impact Index Fund | (136,960 | ) | 45,502 | |||||||
Equity Index Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares STOXX® Global ESG Impact Index Fund | (264,974 | ) | 78,088 | |||||||
Equity Index Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares Morningstar Global Upstream Natural Resources Index Fund | (6,308,146 | ) | 4,808,662 | |||||||
Foreign Currency Contracts | Net realized gain (loss) on Foreign currency transactions, Net change in unrealized appreciation (depreciation) on Forward foreign currency contracts | FlexShares Morningstar Global Upstream Natural Resources Index Fund | (287,306 | ) | 151,692 | |||||||
Equity Index Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares STOXX® Global Broad Infrastructure Index Fund | (3,439,461 | ) | 898,029 | |||||||
Foreign Currency Contracts | Net realized gain (loss) on Foreign currency transactions, Net change in unrealized appreciation (depreciation) on Forward foreign currency contracts | FlexShares STOXX® Global Broad Infrastructure Index Fund | 77,484 | 40,219 |
358 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Notes to the Financial Statements (cont.)
Derivatives by risk type | Location of Gain or (Loss) on Derivatives on the Statements of Operations | Fund | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) on Derivatives | ||||||||
Equity Index Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares Global Quality Real Estate Index Fund | $ | (943,856 | ) | $ | 337,351 | |||||
Foreign Currency Contracts | Net realized gain (loss) on Foreign currency transactions, Net change in unrealized appreciation (depreciation) on Forward foreign currency contracts | FlexShares Global Quality Real Estate Index Fund | 52,527 | (165 | ) | |||||||
Equity Index Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares Quality Dividend Index Fund | (3,523,687 | ) | 960,444 | |||||||
Equity Index Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares Quality Dividend Defensive Index Fund | (931,553 | ) | 259,676 | |||||||
Equity Index Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares Quality Dividend Dynamic Index Fund | (91,853 | ) | 11,815 | |||||||
Equity Index Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares International Quality Dividend Index Fund | (3,879,690 | ) | 1,121,842 | |||||||
Foreign Currency Contracts | Net realized gain (loss) on Foreign currency transactions, Net change in unrealized appreciation (depreciation) on Forward foreign currency contracts | FlexShares International Quality Dividend Index Fund | (238,534 | ) | 69,757 | |||||||
Equity Index Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares International Quality Dividend Defensive Index Fund | (338,014 | ) | 133,739 |
FLEXSHARES SEMIANNUAL REPORT | 359 |
Table of Contents
Notes to the Financial Statements (cont.)
Derivatives by risk type | Location of Gain or (Loss) on Derivatives on the Statements of Operations | Fund | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) on Derivatives | ||||||||
Foreign Currency Contracts | Net realized gain (loss) on Foreign currency transactions, Net change in unrealized appreciation (depreciation) on Forward foreign currency contracts | FlexShares International Quality Dividend Defensive Index Fund | $ | 13,258 | $ | 764 | ||||||
Equity Index Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares International Quality Dividend Dynamic Index Fund | (33,806 | ) | 5,666 | |||||||
Interest Rate Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares Core Select Bond Fund | 128,418 | (3,412 | ) | |||||||
Equity Index Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares US Quality Low Volatility Index Fund | (5,752 | ) | 6,118 | |||||||
Equity Index Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares Developed Markets ex-US Quality Low Volatility Index Fund | (140,838 | ) | 54,812 | |||||||
Foreign Currency Contracts | Net realized gain (loss) on Foreign currency transactions, Net change in unrealized appreciation (depreciation) on Forward foreign currency contracts | FlexShares Developed Markets ex-US Quality Low Volatility Index Fund | (494 | ) | (9,773 | ) | ||||||
Equity Index Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares Emerging Markets Quality Low Volatility Index Fund | (18,757 | ) | (5,048 | ) |
360 | FLEXSHARES SEMIANNUAL REPORT |
Table of Contents
Notes to the Financial Statements (cont.)
At April 30, 2020, the volume of derivative activities, which represents activities throughout the period, was as follows:
Foreign Exchange Contracts | Equity Contracts | Interest Rate future | ||||||||||||||||||||||||||||||||||||||
Fund | Number of Trades | Average Notional Amount | Number of Trades Long | Average Notional Balance Long | Number of Trades Short | Average Notional Balance Short | Number of Trades Long | Average Notional Balance Long | Number of Trades Short | Average Notional Balance Short | ||||||||||||||||||||||||||||||
FlexShares US Quality Low Volatility Index Fund | — | $ | — | 3 | $ | 144,387 | — | $ | — | — | $ | — | — | $ | — | |||||||||||||||||||||||||
FlexShares Developed Markets Ex-US Quality Low Volatility Index Fund | — | 17 | 116,894 | — | — | — | — | — | — | |||||||||||||||||||||||||||||||
FlexShares Emerging Markets Quality Low Volatility Index Fund | — | — | 6 | 91,897 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
FlexShares Morningstar US Market Factor Tilt Index Fund | — | — | 112 | 486,714 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund | 127 | 532,692 | 130 | 400,971 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
FlexShares Morningstar Emerging Markets Factor Tilt Index Fund | 60 | 284,953 | 42 | 303,033 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund | 169 | 567,223 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund | 319 | 247,287 | 3 | 47,875 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
FlexShares US Quality Large Cap Index Fund | — | — | 7 | 278,680 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
FlexShares STOXX® US ESG Impact Index Fund | — | — | 15 | 179,754 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
FlexShares STOXX® Global ESG Impact Index Fund | — | — | 43 | 111,096 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
FlexShares Morningstar Global Upstream Natural Resources Index Fund | 207 | 793,623 | 188 | 678,726 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
FlexShares STOXX® Global Broad Infrastructure Index Fund | 63 | 405,942 | 150 | 367,036 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
FlexShares Global Quality Real Estate Index Fund | 68 | 337,632 | 112 | 234,576 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
FlexShares Quality Dividend Index Fund | — | — | 54 | 1,520,869 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
FlexShares Quality Dividend Defensive Index Fund | — | — | 45 | 558,268 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
FlexShares Quality Dividend Dynamic Index Fund | — | — | 10 | 182,593 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
FlexShares International Quality Dividend Index Fund | 157 | 449,416 | 156 | 444,756 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
FlexShares International Quality Dividend Defensive Index Fund | 16 | 30,198 | 46 | 120,110 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
FlexShares International Quality Dividend Dynamic Index Fund | — | — | 31 | 92,747 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
FlexShares Core Select Bond Fund | — | — | — | — | 12 | 1,250,578 | — | — |
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Notes to the Financial Statements (cont.)
Taxes and Distributions
Each Fund has qualified and intends to continue to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, which includes distributing substantially all of its net investment income and net capital gains to shareholders. Accordingly, no provision for federal and state income taxes is required in the financial statements.
As of April 30, 2020, management of the Funds has reviewed all open tax years and major jurisdictions and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next 12 months. On an ongoing basis management will monitor the tax positions taken to determine if adjustment to conclusions are necessary based on factors including but not limited to further implementation on guidance expected from FASB and on-going analysis of tax law, regulation, and interpretations thereof.
3. Investment Transactions and Related Income and Expense
Throughout the reporting period, investment transactions are accounted for no later than one business day following the trade date. For financial reporting purposes, investment transactions are accounted for on the trade date on the last business day of the reporting period.
Interest income is recognized on an accrual basis. Bond discount is accreted and premium is amortized using the effective yield method. Dividend income is recorded on the ex-dividend date, or as soon as information is available. Gains or losses realized on sales of securities are determined using the specific identification method by comparing the identified cost of the security lot sold with the net sales proceeds.
Each Fund except the FlexShares iBoxx 3-Year Target Duration TIPs Index Fund, FlexShares iBoxx 5-Year Target Duration TIPs Index Fund and the FlexShares High Yield Value-Scored Bond Index Fund may hold the securities of real estate investment trusts (“REITs”). Distributions from
such investments may be comprised of return of capital, capital gains and income. The actual character of amounts received during the year is not known until after the REIT’s fiscal year end. The Fund records the character of distributions received from REITs during the year based on estimates available. The characterization of distributions received by the Fund may be subsequently revised based on information received from the REITs after their tax reporting periods concluded.
All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign markets in which a Fund invests. These foreign taxes, if any, are paid by the Funds and disclosed in the Statements of Operations. Foreign taxes payable, if any, are reflected in the Funds’ Statements of Assets and Liabilities.
Expenses directly attributable to a Fund are charged to that Fund, while expenses which are attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or another reasonable basis.
4. Investment Advisory Fees
NTI serves as the Investment Adviser of the Funds pursuant to the Investment Advisory Agreement. The Investment Adviser is responsible for making investment decisions for the Funds and for placing purchase and sale orders for portfolio securities, subject to the general supervision of the Board.
As compensation for its advisory services and assumption of certain Fund expenses, NTI is entitled to a unitary management fee (“Management Fee”), computed daily and payable monthly, at the annual rates set forth in the table below (expressed as a percentage of each Fund’s respective average daily net assets).
From the Management Fee, NTI pays most of the expenses of the Fund, including the cost of transfer agency, custody, fund administration, legal, audit and other services (“Covered Expenses”). Covered Expenses do not include the following fees under the Investment Advisory Agreement: interest expenses, brokerage commissions and other trading expenses, fees and expenses of the independent trustees and their independent legal counsel, taxes and other extraordinary costs such as litigation and other expenses not incurred in the ordinary course of business.
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Notes to the Financial Statements (cont.)
The Management Fee rate payable by each Fund is set forth in the following table:
Fund | Unitary Management Fee | |||
FlexShares US Quality Low Volatility Index Fund | 0.22 | % | ||
FlexShares Developed Markets ex-US Quality Low Volatility Index Fund | 0.32 | % | ||
FlexShares Emerging Markets Quality Low Volatility Index Fund | 0.40 | % | ||
FlexShares Morningstar US Market Factor Tilt Index Fund | 0.25 | % | ||
FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund | 0.39 | % | ||
FlexShares Morningstar Emerging Markets Factor Tilt Index Fund | 0.59 | % | ||
FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund | 0.44 | % | ||
FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund | 0.64 | % | ||
FlexShares US Quality Large Cap Index Fund | 0.32 | % | ||
FlexShares STOXX® US ESG Impact Index Fund | 0.32 | % | ||
FlexShares STOXX® Global ESG Impact Index Fund | 0.42 | % | ||
FlexShares Morningstar Global Upstream Natural Resources Index Fund | 0.46 | % | ||
FlexShares STOXX® Global Broad Infrastructure Index Fund | 0.47 | % | ||
FlexShares Global Quality Real Estate Index Fund | 0.45 | % | ||
FlexShares Real Assets Allocation Index Fund | 0.57 | % | ||
FlexShares Quality Dividend Index Fund | 0.37 | % | ||
FlexShares Quality Dividend Defensive Index Fund | 0.37 | % | ||
FlexShares Quality Dividend Dynamic Index Fund | 0.37 | % |
Fund | Unitary Management Fee | |||
FlexShares International Quality Dividend Index Fund | 0.47 | % | ||
FlexShares International Quality Dividend Defensive Index Fund | 0.47 | % | ||
FlexShares International Quality Dividend Dynamic Index Fund | 0.47 | % | ||
FlexShares iBoxx 3-Year Target Duration TIPS Index Fund | 0.18 | % | ||
FlexShares iBoxx 5-Year Target Duration TIPS Index Fund | 0.18 | % | ||
FlexShares Disciplined Duration MBS Index Fund | 0.20 | % | ||
FlexShares Credit-Scored US Corporate Bond Index Fund | 0.22 | % | ||
FlexShares Credit-Scored US Long Corporate Bond Index Fund | 0.22 | % | ||
FlexShares High Yield Value-Scored Bond Index Fund | 0.37 | % | ||
FlexShares Ready Access Variable Income Fund | 0.25 | % | ||
FlexShares Core Select Bond Fund | 0.35 | % |
Effective March 1, 2020, the Investment Adviser has contractually agreed until March 1, 2021 to reimburse a portion of the operating expenses of each Fund (other than Acquired Fund Fees and Expenses) so that “Total Annual Fund Operating Expenses After Expense Reimbursement” do not exceed the Fund’s Management Fee plus (+) .0049%. In the case of the FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund and FlexShares Real Assets Allocation Index Fund, the Investment Adviser has contractually agreed until March 1, 2021 to waive Management Fees or reimburse certain expenses in an amount equal to the acquired fund fees and expenses (“AFFE”) attributable to each Fund’s investments in their respective Underlying Fund(s). In the case of the FlexShares Core Select Bond Fund, the Investment Adviser has contractually agreed until March 1, 2021 to waive Management Fees or reimburse certain expenses in an amount equal to the sum of (a) any AFFE incurred by the Fund that are attributable to the
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Notes to the Financial Statements (cont.)
Fund’s investment in Underlying Funds managed by NTI or an investment adviser controlling, controlled by, or under common control with NTI (“Affiliated Funds”); and (b) 0.05% or such lesser amount in AFFE incurred by the Fund that are attributable to the Fund’s investment in Underlying Funds that are not Affiliated Funds. AFFE are expenses incurred indirectly by the Fund through its ownership of shares in other investment companies. Because AFFE are not direct expenses of the Fund, they are not reflected on the Fund’s financial statements. After these dates, the Investment Adviser and a Fund may mutually agree to extend the contractual arrangements. The Board may terminate the contractual arrangements at any time if it determines that it is in the best interest of a Fund and its shareholders. These expenses and the reimbursements are shown as Investment advisory fees reimbursed on the Statements of Operations.
In addition, effective October 29, 2018, NTI contractually agreed to reimburse the Funds for certain other fees and expenses that are not Covered Expenses. These fees and expenses and the reimbursements are shown as Other expenses and Other expenses reimbursed, respectively, in the Statements of Operations.
The Investment Adviser may voluntarily waive or reimburse additional management fees. Amounts waived or reimbursed by the Investment Adviser may not be recouped by the Investment Adviser. As of the period ended April 30, 2020, no Management Fees had been voluntarily waived.
5. Administration Fees
JPMorgan Chase Bank, N.A. (“the Administrator”) serves as administrator of the Funds. The Administrator provides certain administrative services to the Funds. For these services, the Administrator is entitled to certain fees and reasonable out-of-pocket expenses. These fees and expenses are Covered Expenses as defined above.
6. Custodian Fees
JPMorgan Chase Bank, N.A. (the “Custodian”) acts as custodian for the Funds in accordance with a Global Custody Agreement. The Custodian holds cash, securities and other assets of the Funds as required by the 1940 Act. As compensation for the services rendered under the agreement, the
Custodian is entitled to fees and reasonable out-of-pocket expenses. These fees and expenses are Covered Expenses as defined above.
7. Trustees Fees
The Trust compensates each Trustee who is not an officer, director or employee of Northern Trust Corporation, or its subsidiaries, for his or her services as a Trustee of the Trust and as a member of Board committees.
From March 1, 2019, or, with respect to the FlexShares US Quality Low Volatility Index Fund, FlexShares Developed Markets ex-US Quality Low Volatility Index Fund, and FlexShares Emerging Markets Quality Low Volatility Index Fund (collectively, the “New Funds”), from June 25, 2019, NTI had contractually agreed to reimburse each Fund its proportionate share of the expenses relating to the administration of the deferred compensation plan (“DC Plan”) for the Trust’s independent trustees allocated to such Fund. These reimbursement arrangements terminated March 1, 2020.
The Trust has adopted a DC Plan for its Trustees who are not officers of Northern Trust or NTI. Under the DC Plan, Independent Trustees may elect to defer all or a portion of their compensation. The amount deferred is adjusted periodically based upon the performance of the investment options selected by the Trustees. The investment options currently under the DC Plan are the FlexShares Morningstar US Market Factor Tilt Index Fund, FlexShares Morningstar Emerging Markets Factor Tilt Index Fund, FlexShares Morningstar Global Upstream Natural Resources Index Fund, FlexShares Global Quality Real Estate Index Fund, FlexShares Quality Dividend Index Fund, FlexShares iBoxx 5-Year Target Duration TIPS Index Fund, and the FlexShares Ready Access Variable Income Fund. Expenses related to the DC Plan are stated on the Statements of Operations.
8. Distribution and Service Plan
Foreside Fund Services, LLC (the “Distributor”) serves as the Funds’ distributor and distributes Creation Units (as defined in Note 9) for each Fund on an agency basis. The Distributor does not receive a fee from the Funds for its distribution services. However, it receives compensation from NTI for its services as distributor pursuant to a separate letter agreement between it and NTI.
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Notes to the Financial Statements (cont.)
The Trust has adopted a Distribution and Service Plan (“the Plan”) pursuant to Rule 12b-1 under the 1940 Act. Payments to financial intermediaries under the Plan are tied directly to their own out-of-pocket expenses. The Plan has not been implemented with respect to the Funds. The Plan may not be implemented without further Board approval. The maximum distribution fee is 0.25% of each Fund’s respective average daily net assets under the Plan. The Funds did not pay any 12b-1 fees during the fiscal year.
9. Issuance and Redemption of Fund Shares
Each Fund only issues and redeems shares to Authorized Participants in exchange for the deposit or delivery of a basket of assets (securities and/or cash), in large blocks known as Creation Units, each of which is comprised of a specified number of shares.
Retail investors may only purchase and sell fund shares on a national securities exchange through a broker-dealer and such transactions may be subject to customary commission rates imposed by the broker-dealer.
Authorized Participants may pay transaction fees to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units. The transaction fees are paid directly to the Fund and used to offset Fund custody fees. Certain fees or costs associated with Creation Unit purchases may be paid by NTI in certain circumstances. In addition, the Trust may from time to time waive the standard transaction fee. The net custody fees charged to the Fund are paid for by the Investment Adviser through the Fund’s Unitary Fee. Transaction fees remaining in the Funds were as follows:
Fund | As of April 30, 2020 | As of October 31, 2019 | ||||||
FlexShares US Quality Low Volatility Index Fund* | $ | 2,800 | $ | 350 | ||||
FlexShares Developed Markets ex-US Quality Low Volatility Index Fund* | 9,000 | — | ||||||
FlexShares Emerging Markets Quality Low Volatility Index Fund* | 4,000 | — | ||||||
FlexShares Morningstar US Market Factor Tilt Index Fund | 19,500 | 7,500 |
Fund | As of April 30, 2020 | As of October 31, 2019 | ||||||
FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund | $ | 160,000 | $ | 40,000 | ||||
FlexShares Morningstar Emerging Markets Factor Tilt Index Fund | 200,000 | 150,000 | ||||||
FlexShares US Quality Large Cap Index Fund | 4,000 | 2,500 | ||||||
FlexShares STOXX® US ESG Impact Index Fund | 1,400 | 1,750 | ||||||
FlexShares STOXX® Global ESG Impact Index Fund | 7,500 | 7,500 | ||||||
FlexShares Morningstar Global Upstream Natural Resources Index Fund | 109,500 | 19,500 | ||||||
FlexShares STOXX® Global Broad Infrastructure Index Fund | 28,000 | 24,000 | ||||||
FlexShares Global Quality Real Estate Index Fund | 14,000 | 6,000 | ||||||
FlexShares Quality Dividend Index Fund | 26,250 | 8,250 | ||||||
FlexShares Quality Dividend Defensive Index Fund | 17,250 | 9,750 | ||||||
FlexShares Quality Dividend Dynamic Index Fund | 6,000 | 1,500 | ||||||
FlexShares International Quality Dividend Index Fund | 75,000 | 30,000 | ||||||
FlexShares International Quality Dividend Defensive Index Fund | 10,000 | 10,000 | ||||||
FlexShares International Quality Dividend Dynamic Index Fund | 20,000 | 5,000 | ||||||
FlexShares Disciplined Duration MBS Index Fund | 3,200 | 800 | ||||||
FlexShares Credit-Scored US Corporate Bond Index Fund | 500 | 500 | ||||||
FlexShares Credit-Scored US Long Corporate Bond Index Fund | 500 | 500 | ||||||
FlexShares High Yield Value-Scored Bond Index Fund | 2,000 | 3,000 | ||||||
FlexShares Ready Access Variable Income Fund | 2,275 | 1,225 |
* | Commencement of operations on July 15, 2019 |
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Notes to the Financial Statements (cont.)
The FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund, FlexShares Real Assets Allocation Index Fund, FlexShares iBoxx 3-Year Target Duration TIPS Index Fund, FlexShares iBoxx 5-Year Target Duration TIPS Index Fund and the FlexShares Core Select Bond Fund do not charge standard creation unit transaction fees.
10. Investment Transactions
For the period ended April 30, 2020, the FlexShares iBoxx 3-Year Target Duration TIPS Index, FlexShares iBoxx 5-Year Target Duration TIPS Index and FlexShares Disciplined Duration MBS Index Funds invested solely in U.S. Government securities. The cost of securities purchased by each Fund and proceeds from sales of securities, excluding short-term securities, derivatives and in-kind transactions for the period ended April 30, 2020, were as follows:
Fund | Purchases | Sales | ||||||
FlexShares US Quality Low Volatility Index Fund | $ | 4,535,950 | $ | 4,538,647 | ||||
FlexShares Developed Markets ex-US Quality Low Volatility Index Fund | 7,970,038 | 5,411,579 | ||||||
FlexShares Emerging Markets Quality Low Volatility Index Fund | 4,640,314 | 3,051,434 | ||||||
FlexShares Morningstar US Market Factor Tilt Index Fund | 187,929,193 | 189,332,756 | ||||||
FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund | 84,300,141 | 136,617,193 | ||||||
FlexShares Morningstar Emerging Markets Factor Tilt Index Fund | 55,105,561 | 160,257,613 | ||||||
FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund | 651,654 | 354,631 | ||||||
FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund | 140,253 | 13,788 | ||||||
FlexShares US Quality Large Cap Index Fund | 7,703,656 | 7,943,958 | ||||||
FlexShares STOXX® US ESG Impact Index Fund | 20,685,195 | 20,396,852 | ||||||
FlexShares STOXX® Global ESG Impact Index Fund | 25,053,006 | 25,024,807 |
Fund | Purchases | Sales | ||||||
FlexShares Morningstar Global Upstream Natural Resources Index Fund | $ | 600,718,542 | $ | 798,322,194 | ||||
FlexShares STOXX® Global Broad Infrastructure Index Fund | 163,218,569 | 150,568,197 | ||||||
FlexShares Global Quality Real Estate Index Fund | 110,010,696 | 110,618,214 | ||||||
FlexShares Real Assets Allocation Index Fund | 278,218 | 279,775 | ||||||
FlexShares Quality Dividend Index Fund | 620,947,028 | 624,778,389 | ||||||
FlexShares Quality Dividend Defensive Index Fund | 197,691,975 | 196,894,759 | ||||||
FlexShares Quality Dividend Dynamic Index Fund | 16,427,667 | 16,623,615 | ||||||
FlexShares International Quality Dividend Index Fund | 224,680,093 | 275,940,923 | ||||||
FlexShares International Quality Dividend Defensive Index Fund | 25,063,090 | 26,832,365 | ||||||
FlexShares International Quality Dividend Dynamic Index Fund | 17,245,722 | 22,998,907 | ||||||
FlexShares iBoxx 3-Year Target Duration TIPS Index Fund | 430,415,953 | 437,103,487 | ||||||
FlexShares iBoxx 5-Year Target Duration TIPS Index Fund | 168,504,013 | 173,039,339 | ||||||
FlexShares Disciplined Duration MBS Index Fund | 48,309,165 | 26,295,828 | ||||||
FlexShares Credit-Scored US Corporate Bond Index Fund | 82,772,743 | 54,463,502 | ||||||
FlexShares Credit-Scored US Long Corporate Bond Index Fund† | 25,463,388 | 10,895,602 | ||||||
FlexShares High Yield Value-Scored Bond Index Fund | 102,734,945 | 37,041,877 | ||||||
FlexShares Ready Access Variable Income Fund†† | 146,381,751 | 96,360,389 | ||||||
FlexShares Core Select Bond Fund | 19,721,695 | 19,484,980 |
† | Include $107,938 in purchases and $115,051 in sales in U.S. Government Securities. |
†† | Include $33,548,682 in purchases and $21,056,326 in sales in U.S. Government Securities. |
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Notes to the Financial Statements (cont.)
11. In-Kind Transactions
During the period ended April 30, 2020, certain Funds received securities in exchange for subscriptions of shares (subscriptions-in-kind). For the period ended April 30, 2020, the fair value of the securities received for subscriptions for each Fund was as follows:
Fund | Fair Value | |||
FlexShares US Quality Low Volatility Index Fund | $ | 43,446,027 | ||
FlexShares Developed Markets ex-US Quality Low Volatility Index Fund | 36,651,038 | |||
FlexShares Emerging Markets Quality Low Volatility Index Fund | 1,121,719 | |||
FlexShares Morningstar US Market Factor Tilt Index Fund | 27,812,324 | |||
FlexShares US Quality Large Cap Index Fund | 15,819,277 | |||
FlexShares STOXX® US ESG Impact Index Fund | 14,430,266 | |||
FlexShares STOXX® Global ESG Impact Index Fund | 4,407,723 | |||
FlexShares Morningstar Global Upstream Natural Resources Index Fund | 7,243,101 | |||
FlexShares STOXX® Global Broad Infrastructure Index Fund | 337,837,164 | |||
FlexShares Global Quality Real Estate Index Fund | 76,762,517 | |||
FlexShares Quality Dividend Index Fund | 135,405,785 | |||
FlexShares Quality Dividend Defensive Index Fund | 118,491,221 | |||
FlexShares International Quality Dividend Index Fund | 7,054,352 | |||
FlexShares International Quality Dividend Defensive Index Fund | 2,698,972 | |||
FlexShares International Quality Dividend Dynamic Index Fund | 5,479,430 | |||
FlexShares iBoxx 3-Year Target Duration TIPS Index Fund | 13,581,669 | |||
FlexShares iBoxx 5-Year Target Duration TIPS Index Fund | 14,028,455 | |||
FlexShares Core Select Bond Fund | 5,744,706 |
During the period ended April 30, 2020, certain Funds delivered securities in exchange for redemption of shares (redemptions-in-kind). For financial reporting purposes, the Funds recorded net realized gains and losses in connection with each transaction. For the period ended April 30, 2020, the fair value and realized gain (losses) of the securities transferred for redemptions for each Fund were as follows:
Fund | Fair Value | Net Realized Gains (Losses) | ||||||
FlexShares US Quality Low Volatility Index Fund | $ | 3,697,294 | $ | 179,563 | ||||
FlexShares Emerging Markets Quality Low Volatility Index Fund | 568,395 | 45,457 | ||||||
FlexShares Morningstar US Market Factor Tilt Index Fund | 90,042,282 | 43,383,592 | ||||||
FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund | 146,909,483 | (11,652,859 | ) | |||||
FlexShares Morningstar Emerging Markets Factor Tilt Index Fund | 21,452,081 | (1,447,728 | ) | |||||
FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund | 1,073,217 | (238,044 | ) | |||||
FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund | 2,046,228 | 6,143 | ||||||
FlexShares US Quality Large Cap Index Fund | 6,766,975 | 815,827 | ||||||
FlexShares STOXX® US ESG Impact Index Fund | 1,466,972 | 301,364 | ||||||
FlexShares Morningstar Global Upstream Natural Resources Index Fund | 1,300,422,567 | 121,475,469 | ||||||
FlexShares STOXX® Global Broad Infrastructure Index Fund | 108,745,358 | 13,934,341 | ||||||
FlexShares Global Quality Real Estate Index Fund | 27,589,246 | 38,132 |
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Notes to the Financial Statements (cont.)
Fund | Fair Value | Net Realized Gains (Losses) | ||||||
FlexShares Real Assets Allocation Index Fund | $ | 785,505 | $ | 97,431 | ||||
FlexShares Quality Dividend Index Fund | 313,585,269 | 45,078,785 | ||||||
FlexShares Quality Dividend Defensive Index Fund | 55,279,275 | 13,079,213 | ||||||
FlexShares Quality Dividend Dynamic Index Fund | 30,133,848 | 2,588,455 | ||||||
FlexShares International Quality Dividend Index Fund | 152,098,213 | 1,039,857 | ||||||
FlexShares International Quality Dividend Defensive Index Fund | 6,127,498 | 283,501 | ||||||
FlexShares International Quality Dividend Dynamic Index Fund | 20,398,435 | 543,677 | ||||||
FlexShares iBoxx 3-Year Target Duration TIPS Index Fund | 100,579,928 | 1,099,577 | ||||||
FlexShares iBoxx 5-Year Target Duration TIPS Index Fund | 71,282,766 | 2,055,324 |
12. Guarantees and Indemnifications
In the normal course of business each Fund enters into contracts with third-party service providers that contain a variety of representations and warranties and that provide general indemnifications. Additionally, under the Funds’ organizational documents, the officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. The Funds’ maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Funds.
13. New Accounting Pronouncements
On March 30, 2017, the FASB issued Accounting Standards Update (ASU) 2017-08 “Premium Amortization on Purchased Callable Debt Securities”, which amends the amortization period for certain purchased callable debt securities held at premium, shortening such period to the earliest call
date. The new guidance requires an entity to amortize the premium on a callable debt security within its scope to the earliest call date, unless the guidance for considering estimated prepayments as described above is applied. If the call option is not exercised at the earliest call date, the yield is reset to the effective yield using the payment terms of the security. If the security has more than one call date and the premium was amortized to a call price greater than the next call price, any excess of the amortized cost basis over the amount repayable at the next call date will be amortized to that date. If there are no other call dates, any excess of the amortized cost basis over the par amount will be amortized to maturity. The ASU 2017-08 is effective for public business entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. The Funds have adopted the ASU. The adoption of the ASU did not have a material impact on the Funds’ financial statements.
14. LIBOR Transition
Certain of the Funds’ investments, payment obligations and financing terms may be based on floating rates, such as London Interbank Offered Rate (“LIBOR”), Euro Interbank Offered Rate and other similar types of reference rates (each, a “Reference Rate”). On July 27, 2017, the Chief Executive of the UK Financial Conduct Authority (FCA), which regulates LIBOR, announced that the FCA will no longer persuade nor compel banks to submit rates for the calculation of LIBOR and certain other Reference Rates after 2021. Such announcement indicates that the continuation of LIBOR and other Reference Rates on the current basis cannot and will not be guaranteed after 2021. The transition away from Reference Rates may lead to increased volatility and illiquidity in markets that are tied to such Reference Rates and reduced values of Reference Rate-related investments. This announcement and any additional regulatory or market changes may have an adverse impact on a Fund’s investments, performance or financial condition. Until then, the Funds may continue to invest in instruments that reference such rates or otherwise use such Reference Rates due to favorable liquidity or pricing.
15. Legal Proceedings
On or about February 14, 2020, Marc S. Kirschner (“Litigation Trustee”), as Trustee for NWHI Litigation Trust
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Notes to the Financial Statements (cont.)
(“Litigation Trust”) and Wilmington Savings Fund Society, FSB, as indenture Trustee (“Indenture Trustee”) for several series of notes issued by Nine West Holdings, Inc., filed separate complaints (docket nos. 20-cv-01129 and 20-cv-01136, respectively ) in the United States District Court for the Northern District of Illinois against a group of defendants that includes FlexShares Morningstar US Market Factor Tilt Index Fund (the “Fund”) that had invested in The Jones Group Inc. (“Jones Group”). The claims in both complaints stem from a series of merger transactions (“Transactions”) entered into by Jones Group and others in 2014 that allegedly rendered Jones Group insolvent. The Fund allegedly received $224,910 as a result of the Transactions. The Litigation Trustee and Indenture Trustee seek to clawback these proceeds for the benefit of the Litigation Trust and the noteholders, respectively, on the basis that the Transactions were fraudulent conveyances. The Fund intends to vigorously defend itself against these actions.
16. Coronavirus (COVID-19) Pandemic
A recent outbreak of respiratory disease caused by a novel coronavirus was first detected in December 2019 and has spread internationally. The outbreak and efforts to contain its spread have resulted in closing borders and quarantines, restricting international and domestic travel, enhanced health screenings, cancellations, disrupted supply chains and customer activity, responses by businesses (including changes to operations and reducing staff), and have produced general concern and uncertainty. The impact of the coronavirus pandemic, and other epidemics and pandemics that may arise in the future could adversely affect national and global economies, individual companies and the market in general in a manner and for a period of time that cannot be foreseen at the present time and may adversely affect the value, volatility and liquidity of securities held by a Fund. In addition, during periods of market disruption or other abnormal market conditions, the Funds’ exposure to the risks described in their respective prospectuses and statements of additional information will likely increase. In the event of a pandemic or an outbreak, there can be no assurance that the Funds and their service providers will be able to maintain normal business operations for an extended period of time or will not lose the services of key personnel
on a temporary or long-term basis due to illness or other reasons, and could otherwise disrupt the ability of the Fund’s service providers to perform essential services. Certain economic and market conditions arising out of a pandemic or outbreak could result in a Fund’s inability to achieve its investment objectives, cause the postponement of reconstitution or rebalance dates for benchmark or underlying indices, adversely affect the prices and liquidity of the securities and other instruments in which a Fund invests, negatively impact a Fund’s performance, and cause losses on your investment in a Fund. Management is monitoring the development of the pandemic, which was ongoing as of the date of the financial statements, and is evaluating its impact on the financial position and operating results of the Funds.
17. Subsequent Events
Management has evaluated subsequent events for the Funds through the date the financial statements were issued, and has concluded that there are no recognized or non-recognized subsequent events relevant for financial statement disclosure.
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As a shareholder, you incur two types of costs: (1) Transaction costs for purchasing and selling shares and (2) ongoing costs, including advisory and other Fund expenses. The expense examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds.
Actual Expenses
The actual expense examples are based on an investment of $1,000 invested at the beginning of a six month period and held through the period ended April 30, 2020.
The first line under each Fund in the following tables provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The hypothetical expense examples are based on an investment of $1,000 invested at the beginning of a six month period and held through the period ended April 30, 2020.
The second line under each Fund in the following table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as brokerage commissions on purchases or sales of Fund shares. Therefore, the second line for each Fund in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
Beginning Account Value 11/1/19 | Ending Account Value 04/30/20 | Expenses Paid During the Period* | Annualized Expense Ratio During Period | |||||||||||||
FlexShares® US Quality Low Volatility Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 940.70 | $ | 1.06 | 0.22 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.77 | $ | 1.11 | 0.22 | % | ||||||||
FlexShares® Developed Markets ex-US Quality Low Volatility Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 909.80 | $ | 1.52 | 0.32 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.27 | $ | 1.61 | 0.32 | % | ||||||||
FlexShares® Emerging Markets Quality Low Volatility Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 885.30 | $ | 1.87 | 0.40 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.87 | $ | 2.01 | 0.40 | % |
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Fund Expenses (cont.)
Beginning Account Value 11/1/19 | Ending Account Value 04/30/20 | Expenses Paid During the Period* | Annualized Expense Ratio During Period | |||||||||||||
FlexShares® Morningstar US Market Factor Tilt Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 898.20 | $ | 1.18 | 0.25 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.62 | $ | 1.26 | 0.25 | % | ||||||||
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 822.20 | $ | 1.77 | 0.39 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.92 | $ | 1.96 | 0.39 | % | ||||||||
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 850.20 | $ | 2.71 | 0.59 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,021.93 | $ | 2.97 | 0.59 | % | ||||||||
FlexShares® Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund(a) |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 855.00 | $ | 0.23 | 0.05 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,024.61 | $ | 0.25 | 0.05 | % | ||||||||
FlexShares® Currency Hedged Morningstar EM Factor Tilt Index Fund(a) |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 895.70 | $ | 0.28 | 0.06 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,024.57 | $ | 0.30 | 0.06 | % | ||||||||
FlexShares® US Quality Large Cap Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 942.10 | $ | 1.55 | 0.32 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.27 | $ | 1.61 | 0.32 | % | ||||||||
FlexShares® STOXX® US ESG Impact Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 982.00 | $ | 1.58 | 0.32 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.27 | $ | 1.61 | 0.32 | % | ||||||||
FlexShares® STOXX® Global ESG Impact Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 946.30 | $ | 2.03 | 0.42 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.77 | $ | 2.11 | 0.42 | % | ||||||||
FlexShares® Morningstar Global Upstream Natural Resources Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 845.50 | $ | 2.11 | 0.46 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.58 | $ | 2.31 | 0.46 | % | ||||||||
FlexShares® STOXX® Global Broad Infrastructure Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 884.50 | $ | 2.20 | 0.47 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.53 | $ | 2.36 | 0.47 | % | ||||||||
FlexShares® Global Quality Real Estate Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 787.00 | $ | 2.00 | 0.45 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.63 | $ | 2.26 | 0.45 | % |
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Fund Expenses (cont.)
Beginning Account Value 11/1/19 | Ending Account Value 04/30/20 | Expenses Paid During the Period* | Annualized Expense Ratio During Period | |||||||||||||
FlexShares® Real Assets Allocation Index Fund(a) |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 837.20 | $ | 0.50 | 0.11 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,024.32 | $ | 0.55 | 0.11 | % | ||||||||
FlexShares® Quality Dividend Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 890.00 | $ | 1.74 | 0.37 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.02 | $ | 1.86 | 0.37 | % | ||||||||
FlexShares® Quality Dividend Defensive Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 898.20 | $ | 1.75 | 0.37 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.02 | $ | 1.86 | 0.37 | % | ||||||||
FlexShares® Quality Dividend Dynamic Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 892.00 | $ | 1.74 | 0.37 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.02 | $ | 1.86 | 0.37 | % | ||||||||
FlexShares® International Quality Dividend Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 846.50 | $ | 2.16 | 0.47 | % | ||||||||
Hypothetical | �� | $ | 1,000.00 | $ | 1,022.53 | $ | 2.36 | 0.47 | % | |||||||
FlexShares® International Quality Dividend Defensive Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 849.20 | $ | 2.16 | 0.47 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.53 | $ | 2.36 | 0.47 | % | ||||||||
FlexShares® International Quality Dividend Dynamic Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 858.50 | $ | 2.17 | 0.47 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.53 | $ | 2.36 | 0.47 | % | ||||||||
FlexShares® iBoxx 3-Year Target Duration TIPS Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,020.90 | $ | 0.90 | 0.18 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.97 | $ | 0.91 | 0.18 | % | ||||||||
FlexShares® iBoxx 5-Year Target Duration TIPS Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,040.70 | $ | 0.91 | 0.18 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.97 | $ | 0.91 | 0.18 | % | ||||||||
FlexShares® Disciplined Duration MBS Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,039.00 | $ | 1.01 | 0.20 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.87 | $ | 1.01 | 0.20 | % | ||||||||
FlexShares® Credit-Scored US Corporate Bond Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,020.30 | $ | 1.11 | 0.22 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.77 | $ | 1.11 | 0.22 | % |
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Fund Expenses (cont.)
Beginning Account Value 11/1/19 | Ending Account Value 04/30/20 | Expenses Paid During the Period* | Annualized Expense Ratio During Period | |||||||||||||
FlexShares® Credit-Scored US Long Corporate Bond Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,045.40 | $ | 1.12 | 0.22 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.77 | $ | 1.11 | 0.22 | % | ||||||||
FlexShares® High Yield Value-Scored Bond Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 916.90 | $ | 1.76 | 0.37 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.02 | $ | 1.86 | 0.37 | % | ||||||||
FlexShares® Ready Access Variable Income Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,006.20 | $ | 1.25 | 0.25 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.62 | $ | 1.26 | 0.25 | % | ||||||||
FlexShares® Core Select Bond Fund(a) |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,044.90 | $ | 1.07 | 0.21 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.82 | $ | 1.06 | 0.21 | % |
* | Expenses are equal to the average account value over the period multiplied by the Fund’s annualized expense ratio, multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year (to reflect the one half year period). |
(a) | Annualized expense ratio and expenses paid during the period do not include fees and expenses of the Underlying Fund(s) in which the Fund invests. |
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Liquidity Risk Management Program (Unaudited)
FlexShares Trust (the “Trust”), on behalf of each of its series (each, a “Fund” and, collectively, the “Funds”), has adopted and implemented a liquidity risk management program (the “Program”) as required by rule 22e-4 under the Investment Company Act of 1940, as amended (the “Rule”). The Program seeks to assess, manage and review each Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that a Fund could not meet requests to redeem shares issued by the Fund without significant dilution of remaining investors’ interests in the Fund.
The Trust’s Board of Trustees (the “Board”) has appointed Northern Trust Investments, Inc. (“NTI”), the investment adviser to the Funds, as the program administrator for the Program. NTI has delegated oversight of the Program to the Northern Trust Asset Management Credit & Liquidity Risk Committee (the “Committee”).
At a meeting of the Board held on December 13, 2019, the Board received and reviewed the annual written report of the Committee, on behalf of NTI (the “Report”), concerning the operation of the Program for the period from December 2018 to December 2019 (the “Reporting Period”). The Report addressed the operation of the Program and assessed its adequacy and effectiveness of implementation.
The Report summarized the operation of the Program and the information and factors considered by the Committee in reviewing the adequacy and effectiveness of the Program’s implementation with respect to each Fund during the Reporting Period. Such information and factors included, among other things: (i) the liquidity risk framework used to assess, manage, and periodically review each Fund’s Liquidity Risk and the results of this assessment; (ii) the methodology and inputs used to classify the liquidity of each Fund’s portfolio investments and the Committee’s assessment that each Fund’s strategy is appropriate for an exchange-traded fund structured as an open-end fund; (iii) that each Fund held primarily highly liquid assets (investments that the Fund anticipates can be converted to cash within 3 business days or less in current market conditions without significantly changing their market value) during the Reporting Period; (iv) that none of the Funds required the establishment of a highly liquid investment minimum (as defined in the Rule) during the Reporting Period and the methodology for that determination; and (v) confirmation that none of the Funds during the Reporting Period had breached the 15% maximum threshold on illiquid investments (i.e., any investment that the Fund reasonably expects cannot be sold or disposed of in current market conditions in seven days or less without the sale or disposition significantly changing the market value of the investment) and the procedures for monitoring compliance with the limit. The Report also summarized the changes made to the Program over the course of the year.
The Committee concluded, and reported to the Board, that the Program was being effectively implemented and that the Program was reasonably designed to assess and manage each Fund’s Liquidity Risk during the Reporting Period.
There can be no assurance that the Program will achieve its objectives in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to Liquidity Risk and other risks to which an investment in the Fund may be subject.
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Supplemental Information (Unaudited)
Principal Risks
As with any investment, you could lose all or part of your investment in a Fund, and the Fund’s performance could trail that of other investments. In addition to the discussion of the risks of certain of the Funds’ investments included in Note 2, some of the principal risks of investment in the Funds are summarized below. A more complete description of principal risks is included in each Fund’s Prospectus.
The following risks apply to all of the Funds:
Cyber Security and Operational Risk
Cyber security and operational risk is the risk that the Fund and its service providers may experience disruptions that arise from breaches in cyber security, human error, processing and communications errors, counterparty or third-party errors, technology or systems failures, any of which may have an adverse impact on the Fund. Failures or breaches of the electronic systems of the Fund, the Investment Adviser, distributor, and other service providers, market makers, Authorized Participants or the issuers of securities in which the Fund invests have the ability to cause disruptions and negatively impact the Fund’s business operations, potentially resulting in financial losses to the Fund and its shareholders.
Derivatives Risk
Changes in the value of a derivative instrument may not correlate perfectly with the underlying asset, rate or index, and the Funds could lose more than the principal amount invested.
Market Trading Risk
Each Fund’s shares are listed on a securities exchange, which presents risks including the potential lack of an active market for Fund shares, losses from trading in secondary markets, and disruption in the creation/redemption process of the Funds. Any of these factors may lead to the Funds’ shares trading at a premium or discount to NAV.
Valuation Risk
The sale price the Funds could receive for a security may differ from the Funds’ valuation of the security, particularly for securities that trade in low volume or volatile markets, or that are valued using a fair value methodology.
Authorized Participant Concentration Risk
Only an Authorized Participant may engage in creation or redemption transactions directly with the Funds. The Funds have a limited number of institutions that act as Authorized Participants. To the extent that these institutions exit the business or are unable to proceed with creation and/or redemption orders with respect to the Funds and no other Authorized Participant is able to step forward to create or redeem Creation Units, Fund shares may trade at a discount to NAV and possibly face trading halts and/or delisting. This risk may be heightened for a Fund if it invests in non-U.S. securities or other securities or instruments that are less widely traded. Such securities or instruments often involve greater settlement and operational issues and capital costs for Authorized Participants.
Market Risk
Market risk is the risk that general market conditions, such as real or perceived adverse economic or political conditions, inflation, changes in interest rates, lack of liquidity in the bond markets, volatility in the equities market or adverse investor sentiment could cause the value of your investment in a Fund to decline. Market disruptions caused by local or regional
FLEXSHARES SEMIANNUAL REPORT | 375 |
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Supplemental Information (cont.)
events such as war, acts of terrorism, the spread of infectious illness (including epidemics and pandemics) or other public health issues, recessions or other events or adverse investor sentiment could have a significant impact on the Fund and its investments and could result in the Fund’s shares trading at increased premiums or discounts to the Fund’s net asset value. A recent outbreak of COVID-19, a respiratory disease caused by a novel coronavirus, has negatively affected the worldwide economy, the financial health of individual companies and the market in significant and unforeseen ways. The future impact of COVID-19 is currently unknown. The effects to public health, business and market conditions resulting from the COVID-19 pandemic may have a significant negative impact on the performance of the Fund’s investments. Market risk also includes the risk that a particular style of investing, such as growth or value, may underperform the market generally. The value of the securities in which a Fund invests may go up or down in response to the prospects of individual issuers and/or general economic conditions. Securities markets may experience great short-term volatility and may fall sharply at times. Different markets may behave differently from each other and a foreign market may move in the opposite direction from the U.S. market. Price changes may be temporary or last for extended periods. You could lose money over short periods due to fluctuation in a Fund’s NAV in response to market movements, and over longer periods during market downturns.
The following risk applies only to the Index Funds:
Tracking Error Risk
Tracking error risk is the risk that an Index Fund’s performance may vary substantially from the performance of the Underlying Index it tracks as a result of imperfect correlation between a Fund’s securities and those of the Underlying Index. Imperfect correlation may result from share purchases and redemptions, expenses, changes in the Underlying Indexes, asset valuations, foreign currency valuations, market impact, corporate actions (such as mergers and spinoffs), legal restrictions (such as tax-related diversification requirements that apply to the Funds but not to the Underlying Index) and timing variances, among other factors.
Calculation Methodology Risk
Each of the Index Funds is subject to Calculation Methodology Risk. This is the risk that the Underlying Index’s calculation methodology or sources of information may not provide an accurate assessment of included issuers or correct valuation of securities, nor is the availability or timeliness of the production of the Index guaranteed.
The following risks apply to each Fund, as disclosed:
Concentration Risk
Each of the Funds, except the FlexShares iBoxx 3-Year Target Duration TIPS Index Fund and FlexShares iBoxx 5-Year Target Duration TIPS Index Fund, is subject to Concentration Risk. To the extent that the investments of these Funds are concentrated in the securities of issuers in a particular region, country, market, industry, sector or asset class, the Funds may be subject to increased price volatility and may be more susceptible to adverse economic, market, political or regulatory occurrences affecting that region, country, market, industry, sector or asset class.
Interest Rate/Maturity Risk
The FlexShares iBoxx 3-Year Target Duration TIPS Index Fund, FlexShares iBoxx 5-Year Target Duration TIPS Index Fund, FlexShares Disciplined Duration MBS Index Fund, FlexShares Credit-Scored US Corporate Bond Index Fund, FlexShares Credit-Scored US Long Corporate Bond Index Fund, FlexShares High Yield Value-Scored Bond Index Fund, FlexShares Ready Access Variable Income Fund, and FlexShares Core Select Bond Fund are subject to the risk that the value of the Funds’ fixed-income assets will decline because of rising interest rates. The magnitude of this decline will often be greater for longer-term fixed
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Supplemental Information (cont.)
income securities than shorter-term fixed-income securities. Duration is a measure used to determine the sensitivity of a security’s price to changes in interest rates. The longer a security’s duration, the more sensitive it will be to changes in interest rates.
MLP Risk
The FlexShares STOXX® Global Broad Infrastructure Index Fund and FlexShares Real Assets Allocation Index Fund (including through its investment in its Underlying Fund(s)) may invest in Master Limited Partnerships (“MLPs”). The FlexShares STOXX® Global Broad Infrastructure Index Fund may not invest more than 25% of its net assets in MLPs. MLP Risk is the risk that accompanies an investment in MLP units. Investing in MLPs involves certain risks related to investing in the underlying assets of the MLPs and risks associated with pooled investment vehicles. MLPs that concentrate in a particular industry or a particular geographic region are subject to risks associated with such industry or region. MLPs may also be sensitive to changes in interest rates and, during periods of interest rate volatility, may not provide attractive returns. The benefit derived from the Fund’s investment in MLPs is largely dependent on the MLPs being treated as partnerships for federal income tax purposes. If any of the MLPs owned by the Fund were treated as corporations for U.S. federal income tax purposes, the after-tax return to the Fund with respect to its investment in such MLPs would be materially reduced, which could cause a decline in the value of the Fund’s shares. The Fund must include its allocable share of the MLP’s taxable income in its taxable income, whether or not it receives a distribution of cash from the MLP. In such case, the Fund may have to liquidate securities to make required distributions to the Fund’s shareholders.
Non-diversification Risk
The FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund, FlexShares Morningstar Global Upstream Natural Resources Index Fund, FlexShares STOXX® Global Broad Infrastructure Index Fund, FlexShares Global Quality Real Estate Index Fund, FlexShares Real Assets Allocation Index Fund, FlexShares iBoxx 3-Year Target Duration TIPS Index Fund, FlexShares iBoxx 5-Year Target Duration TIPS Index Fund, FlexShares Credit-Scored US Corporate Bond Index Fund, FlexShares Credit-Scored US Long Corporate Bond Index Fund, FlexShares Ready Access Variable Income Fund, FlexShares US Quality Low Volatility Index Fund, FlexShares Developed Markets ex-US Quality Low Volatility Index Fund, and FlexShares Emerging Markets Quality Low Volatility Index Fund are non-diversified series of the Trust, pursuant to the 1940 Act. The performance of these Funds may depend on the performance of a small number of issuers because the Funds may invest a large percentage of its assets in securities issued by or representing a small number of issuers.
Large Cap Risk
The FlexShares US Quality Large Cap Index Fund, FlexShares STOXX® US ESG Impact Index Fund, FlexShares STOXX® Global ESG Impact Index Fund, FlexShares Quality Dividend Index Fund, FlexShares Quality Dividend Defensive Index Fund, FlexShares Quality Dividend Dynamic Index Fund, FlexShares International Quality Dividend Index Fund, FlexShares International Quality Dividend Defensive Index Fund, FlexShares International Quality Dividend Dynamic Index Fund, FlexShares US Quality Low Volatility Index Fund, FlexShares Developed Markets ex-US Quality Low Volatility Index Fund, and FlexShares Emerging Markets Quality Low Volatility Index Fund are subject to the risk that returns on investments in stocks of large U.S. companies could trail the returns on investments in stocks of smaller and mid-sized companies.
Mid Cap Stock Risk
The FlexShares STOXX® US ESG Impact Index Fund, FlexShares STOXX® Global ESG Impact Index Fund. FlexShares US Quality Low Volatility Index Fund, FlexShares Developed Markets ex-US Quality Low Volatility Index Fund, and FlexShares Emerging
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Supplemental Information (cont.)
Markets Quality Low Volatility Index Fund may invest in stocks of mid-sized companies which may be subject to more abrupt or erratic market movements than stocks of larger, more established companies. Mid-sized companies may have limited product lines or financial resources, and may be dependent upon a particular niche of the market.
Mid and Small Cap Stock Risk
The FlexShares Morningstar US Market Factor Tilt Index Fund, FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund, FlexShares Morningstar Emerging Markets Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund (including through its investment in its Underlying Fund), FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund (including through its investment in its Underlying Fund), FlexShares Morningstar Global Upstream Natural Resources Index Fund, FlexShares STOXX® Global Broad Infrastructure Index Fund, FlexShares Global Quality Real Estate Index Fund, FlexShares Real Assets Allocation Index Fund (including through its investment in its Underlying Fund(s)), FlexShares International Quality Dividend Index Fund, FlexShares International Quality Dividend Defensive Index Fund, and FlexShares International Quality Dividend Dynamic Index Fund may invest in stocks of smaller companies which may be more volatile than stocks of larger, more established companies. Small companies may have limited product lines or financial resources, or may be dependent upon a small or inexperienced management group, and their securities may trade less frequently and in lower volume than the securities of larger companies, which could lead to higher transaction costs. Generally the smaller the company size, the greater the risk.
Value Investing Risk
The FlexShares Morningstar US Market Factor Tilt Index Fund, FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund, FlexShares Morningstar Emerging Markets Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund, FlexShares US Quality Large Cap Index Fund, FlexShares Global Quality Real Estate Index Fund, and FlexShares Real Assets Allocation Index Fund’s (including through its investment in its Underlying Fund(s)) investment in companies whose securities are believed to be undervalued, relative to their underlying profitability, may not appreciate in value as anticipated.
ESG Investment Risk
The FlexShares STOXX® US ESG Impact Index Fund and FlexShares STOXX® Global ESG Impact Index Fund are subject to the risk that because the methodology of the Underlying Index selects and assigns weights to securities of issuers for nonfinancial reasons, the Fund may underperform the broader equity market or other funds that do not utilize ESG criteria when selecting investments.
High Portfolio Turnover Risk
The FlexShares STOXX® US ESG Impact Index Fund, FlexShares Ready Access Variable Income Fund, FlexShares Core Select Bond Fund, FlexShares iBoxx 3-Year Target Duration TIPS Index Fund, FlexShares Disciplined Duration MBS Index Fund, FlexShares Credit-Scored US Long Corporate Bond Index Fund, and FlexShares High Yield Value-Scored Bond Index Fund are subject to the risk that active and frequent trading of the Fund’s portfolio securities may result in increased transaction costs to the Fund, including brokerage commissions, dealer mark-ups and other transaction costs, which could reduce the Fund’s return.
Global Natural Resources Industry Risk
The FlexShares Morningstar Global Upstream Natural Resources Index Fund (which is also an Underlying Fund of FlexShares Real Assets Allocation Index Fund) is subject to the risks associated with investment in the global natural resources sector in addition to the general risk of the stock market. The natural resources sector can significantly be affected by events relating to U.S. and
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foreign political and economic developments and environmental and other government regulations, as well as other factors including, but not limited to: commodity price volatility, technological developments and natural or man-made disasters. Declines in the demand for, or prices of, natural resources generally would be expected to contribute to declines in the value of the Fund’s equity securities. Such declines may occur quickly and without warning and may negatively impact the value of the Fund and your investment.
Hedging Risk
The FlexShares Core Select Bond Fund is subject to the risk that the Fund’s short positions in U.S. Treasury futures and transactions in interest rate swaps will not completely eliminate interest rate risk of long positions in bonds. In certain falling interest rate environments, the Fund’s hedging strategy could result in disproportionately larger losses in the short U.S. Treasury futures and interest rate swaps positions as compared to gains in the long bond positions attributable to interest rate changes.
Corporate Bond Risk
The FlexShares Credit-Scored US Corporate Bond Index Fund and FlexShares Credit-Scored US Long Corporate Bond Index Fund invest primarily in bonds issued by corporations. Corporate debt securities are subject to the risk of the issuer’s inability to meet principal and interest payments on the obligation and may also be subject to price volatility due to such factors as interest rate sensitivity, market perception of the creditworthiness of the issuer and general market liquidity. When interest rates rise, the value of corporate debt can be expected to decline. Debt securities with longer maturities tend to be more sensitive to interest rate movements than those with shorter maturities.
Interest Rate Risk
The FlexShares STOXX® Global Broad Infrastructure Index Fund and FlexShares Global Quality Real Estate Index Fund (which is also an Underlying Fund of FlexShares Real Assets Allocation Index Fund) are subject to the risk that rising interest rates may adversely affect the Fund. Increases in interest rates typically lower the present value of a REIT’s future earnings stream, and may make financing property purchases and improvements more costly. Because the market price of REIT stocks may change based upon investors’ collective perceptions of future earnings, the value of the Fund may decline when investors anticipate or experience rising interest rates.
China Investment Risk
The FlexShares Emerging Markets Quality Low Volatility Index Fund, FlexShares Morningstar Emerging Markets Factor Tilt Index Fund, and FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund expects to have significant investment in securities of Chinese issuers. Investment exposure to China subjects a Fund to risks specific to China. China may be subject to considerable degrees of economic, political and social instability. China is a developing market and demonstrates significantly higher volatility from time to time in comparison to developed markets. Over the past 25 years, the Chinese government has undertaken reform of economic and market practices and expansion of the sphere for private ownership of property in China. However, Chinese markets generally continue to experience inefficiency, volatility and pricing anomalies resulting from governmental influence, a lack of publicly available information and/or political and social instability. Internal social unrest or confrontations with other neighboring countries, including military conflicts in response to such events, may also disrupt economic development in China and result in a greater risk of currency fluctuations, currency convertibility, interest rate fluctuations and higher rates of inflation. Export growth continues to be a major driver of China’s rapid economic growth. Reduction in spending on Chinese products and services, institution of tariffs or other trade barriers, or a downturn in any of the economies of China’s key trading partners may have an adverse impact on the Chinese economy.
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Currency Risk
The FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund, FlexShares Morningstar Emerging Markets Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund, FlexShares STOXX® Global ESG Impact Index Fund, FlexShares Morningstar Global Upstream Natural Resources Index Fund, FlexShares STOXX ® Global Broad Infrastructure Index Fund, FlexShares Global Quality Real Estate Index Fund, FlexShares Real Assets Allocation Index Fund, FlexShares International Quality Dividend Index Fund, the FlexShares International Quality Dividend Defensive Index Fund, FlexShares International Quality Dividend Dynamic Index Fund, FlexShares Ready Access Variable Income Fund, FlexShares Developed Markets ex-US Quality Low Volatility Index Fund and FlexShares Emerging Markets Quality Low Volatility Index Fund may invest in securities denominated in foreign currencies. While each Fund’s investments may be denominated in foreign currencies, the portfolio securities and other assets held by each Fund are valued in U.S. dollars. Price fluctuations may occur in the dollar value of foreign securities because of changing currency exchange rates. Currency exchange rates may fluctuate significantly over short periods of time causing a Fund’s NAV to fluctuate as well. Currency exchange rates can be affected unpredictably by the intervention or the failure to intervene by U.S. or foreign governments or central banks, or by currency controls or political developments in the U.S. or abroad. To the extent that a Fund’s total assets, adjusted to reflect the Fund’s net position after giving effect to currency transactions, are denominated in the currencies of foreign countries, that Fund will be more susceptible to the risk of adverse economic and political developments within those countries.
Foreign Securities Risk
The FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund, FlexShares Morningstar Emerging Markets Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund, FlexShares STOXX® Global ESG Impact Index Fund, FlexShares Morningstar Global Upstream Natural Resources Index Fund, FlexShares STOXX® Global Broad Infrastructure Index Fund, FlexShares Global Quality Real Estate Index Fund, FlexShares Real Assets Allocation Index Fund, FlexShares International Quality Dividend Index Fund, FlexShares International Quality Dividend Defensive Index Fund, FlexShares International Quality Dividend Dynamic Index Fund, FlexShares Developed Markets ex-US Quality Low Volatility Index Fund, FlexShares Emerging Markets Quality Low Volatility Index Fund, and FlexShares Ready Access Variable Income Fund will invest in foreign securities. Foreign securities include direct investments in non-U.S. dollar-denominated securities traded primarily outside of the United States and dollar-denominated securities of foreign issuers. Foreign securities also include indirect investments such as American Depositary Receipts (“ADRs”) and Global Depositary Receipts (“GDRs”). ADRs are U.S. dollar-denominated receipts representing shares of foreign-based corporations. ADRs are receipts that are traded in the U.S., and entitle the holder to all dividend and capital gain distributions that are paid out on the underlying foreign shares. GDRs are receipts that often trade on foreign exchanges. They represent ownership in an underlying foreign or U.S. security and generally are denominated in a foreign currency.
Emerging Markets Risk
The FlexShares Morningstar Emerging Markets Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund, FlexShares Real Assets Allocation Index Fund, FlexShares International Quality Dividend Index Fund, FlexShares International Quality Dividend Defensive Index Fund, FlexShares International Quality Dividend Dynamic Index Fund, FlexShares Emerging Markets Quality Low Volatility Index Fund, FlexShares Morningstar Global Upstream Natural Resources Index Fund, FlexShares STOXX® Global Broad Infrastructure Index Fund, FlexShares Global Quality Real Estate Index Fund, and FlexShares Ready Access Variable Income Fund invest in emerging market countries. The risks of foreign investment are increased when the issuer is located in a country with an emerging economy or securities market. Political and economic structures in many of these
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countries may be undergoing significant evolution and rapid development, and these countries may lack the social, political and economic stability characteristics of developed countries. The securities laws of emerging market countries may be relatively new and unsettled and, consequently, there is a risk of rapid and unpredictable change in laws regarding foreign investment, securities regulation, title to securities and shareholder rights. Global factors and foreign actions may inhibit the flow of foreign capital on which a country is dependent to sustain its growth. In general, securities markets of emerging countries are less liquid, are especially subject to greater price volatility, have smaller market capitalizations, and have problems with securities registration and custody. These securities markets also have less government regulation and are not subject to as extensive and frequent accounting, financial and other reporting requirements as the securities markets of more developed countries. In addition, because the securities settlement procedures are less developed in these countries, a Fund may be required to deliver securities before receiving payment and also may be unable to complete transactions during market disruptions. As a result of these and other risks, investments in these countries generally present a greater risk of loss to a Fund.
Japan Investment Risk
The FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund, and FlexShares Developed Markets ex-US Quality Low Volatility Index Fund expects to have significant investment in securities of Japanese issuers. The Japanese economy may be subject to considerable degrees of economic, political and social instability, which could negatively impact Japanese issuers. In recent times, Japan’s economic growth rate has remained low, and it may remain low in the future. In addition, Japan is subject to the risk of natural disasters, such as earthquakes, volcanic eruptions, typhoons and tsunamis, which could negatively affect a Fund. The growth of Japan’s economy has historically lagged that of its Asian neighbors and other major developed economies. The Japanese economy is heavily dependent on international trade and has been adversely affected by trade tariffs, other protectionist measures, competition from emerging economies and the economic conditions of its trading partners. Japan’s relations with its neighbors, particularly China, North Korea, South Korea and Russia, have at times been strained due to territorial disputes, historical animosities and defense concerns. Most recently, the Japanese government has shown concern over the increased nuclear and military activity by North Korea. Strained relations may cause uncertainty in the Japanese markets and adversely affect the overall Japanese economy in times of crisis. China has become an important trading partner with Japan, yet the countries’ political relationship has become strained. Should political tension increase, it could adversely affect the economy, especially the export sector, and destabilize the region as a whole.
U.S. Issuer Risk
The FlexShares Morningstar US Market Factor Tilt Index Fund, FlexShares US Quality Large Cap Index Fund, FlexShares STOXX US ESG Impact Index Fund, FlexShares STOXX Global ESG Impact Index Fund, FlexShares Morningstar Global Upstream Natural Resources Index Fund, FlexShares STOXX Global Broad Infrastructure Index Fund, FlexShares Global Quality Real Estate Index Fund, FlexShares Real Assets Allocation Index Fund, FlexShares Quality Dividend Index Fund, FlexShares Quality Dividend Defensive Index Fund, FlexShares Quality Dividend Dynamic Index Fund, FlexShares Disciplined Duration MBS Index Fund, FlexShares Credit-Scored U.S. Corporate Bond Index Fund, FlexShares Credit-Scored US Long Corporate Bond Index Fund, FlexShares High Yield Value-Scored Bond Index Fund, FlexShares US Quality Low Volatility Index Fund, FlexShares Ready Access Variable Income Fund, and FlexShares Core Select Bond Fund has significant exposure to U.S. issuers. Decreasing imports or exports, changes in trade regulations and/or an economic recession in the United States may have a material adverse effect on the U.S. economy. The financial crisis that began in 2007 caused a significant decline in the value and liquidity of issuers in the United States. Policy and legislative changes in the United States are changing many aspects of financial and other regulation and may have a significant effect on the U.S. markets generally, as well as the value of certain securities. In addition, a continued rise in the U.S. public debt level or U.S. austerity measures may adversely affect U.S. economic growth and the securities to which the Funds have exposure.
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The following risks apply to the FlexShares Quality Dividend Index Fund, FlexShares Quality Dividend Defensive Index Fund, FlexShares Quality Dividend Dynamic Index Fund, FlexShares International Quality Dividend Index Fund, FlexShares International Quality Dividend Defensive Index Fund, and FlexShares International Quality Dividend Dynamic Index Fund:
Dividend Risk
The Fund is subject to the risk that an issuer of stock held by a Fund may choose not to declare a dividend or the dividend rate might not remain at current levels. Dividend paying stocks might not experience the same level of earnings growth or capital appreciation as non-dividend paying stocks. A Fund’s performance during a broad market advance could suffer because dividend paying stocks may not experience the same capital appreciation as non-dividend paying stocks.
Volatility Risk
The Fund is subject to the risk that the actual level of volatility experienced by a Fund may be greater or lower than the targeted overall volatility of the Fund’s Underlying Index. Although a Fund’s Underlying Index is designed to have a targeted overall volatility, there is no guarantee that it will have the targeted overall volatility. A Fund will continue to seek to track the Underlying Index even if the Underlying Index does not have the targeted overall volatility. There is also the risk that a Fund may experience volatility greater or lower than that of the Underlying Index as a result of tracking error. A portfolio of securities with greater volatility is generally considered to have a higher risk profile than a portfolio with lower volatility.
The following risk applies to the FlexShares Global Quality Real Estate Index Fund (which is also an Underlying Fund of the FlexShares Real Assets Allocation Index Fund):
Real Estate Securities Risk
The Fund is subject to the risks associated with investment in the real estate sector in addition to the general risk of the stock market. Investing in securities of real estate companies will make the Fund more susceptible to risks associated with the ownership of real estate and with the real estate industry in general, as well as risks that relate specifically to the way in which real estate companies are organized and operated. Real estate companies may have lower trading volumes and may be subject to more abrupt or erratic price movements than the overall securities markets. The value of real estate securities may underperform other sectors of the economy or broader equity markets. To the extent that the Fund concentrates its investments in the real estate sector, it may be subject to greater risk of loss than if it were diversified across different industry sectors.
The following risk applies to the FlexShares Global Quality Real Estate Index Fund (which is also an Underlying Fund of FlexShares Real Assets Allocation Index Fund) and FlexShares STOXX® Global Broad Infrastructure Index Fund:
Real Estate Investment Trust (REIT) Risk
The Fund is subject to the risk that the Fund’s investments will be affected by factors affecting REITs and the real estate sector generally. Investing in REITs involves certain unique risks in addition to those risks associated with investing in the real estate industry in general. REITs whose underlying properties are concentrated in a particular industry or geographic region are also subject to risks affecting such industries and regions. By investing in REITs through the Fund, a shareholder will bear expenses of the REITs in addition to expenses of the Fund.
The following risk applies to the FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund, FlexShares Real Assets Allocation Index Fund, and FlexShares Core Select Bond Fund:
Fund of Funds Risk (or Underlying Funds Risk)
The Fund is subject to the risk that the Fund’s investment performance largely depends on the investment performance of the Underlying Fund(s) in which it primarily invests. The Fund’s NAV will change with changes in the value of the Underlying Fund(s) and other securities in which the Fund invests based on their market valuations.
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An investment in the Fund will entail more costs and expenses than direct investments in the Underlying Fund(s). The Fund will indirectly pay a proportional share of the expenses of the Underlying Fund(s) in which it invests (including operating expenses and management fees), in addition to the fees and expenses it pays directly. As the Fund’s allocation to an Underlying Fund changes from time to time, or to the extent that the expense ratio of an Underlying Fund changes, the weighted average operating expenses borne by the Fund may increase or decrease.
The following risk applies to the FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund and the FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund:
Currency Hedging Risk
The Fund is subject to the risk that the Fund’s hedging transactions will not be effective. The Fund enters into foreign currency forward contracts designed to offset the Fund’s currency exposure of non-U.S. dollar denominated securities included in the Underlying Index against the U.S. dollar. These contracts may not be successful. To the extent the Fund’s foreign currency contracts are not successful, the U.S. dollar value of your investment in the Fund may go down. Because the Fund’s currency hedge is reset on a monthly basis, currency risk can develop or increase intra-month. Furthermore, while the Fund is designed to hedge against currency fluctuations, it is possible that a degree of currency exposure may remain even at the time a hedging transaction is implemented. Currency exchange rates can be very volatile and can change quickly and unpredictably. Therefore, the value of an investment in the Fund may also go up or down quickly and unpredictably and investors may lose money. In addition, a Fund’s currency hedging activities may involve frequent trading of currency instruments, which may increase transaction costs and cause the Fund’s return to deviate from the Underlying Index.
In seeking to track the performance of the Underlying Index, the Fund will attempt to hedge the currency exposure of non-U.S. dollar denominated securities held in its portfolio by investing in foreign currency forward contracts, which may include non-deliverable foreign currency forward contracts (“NDFs”). NDFs on currencies are often less liquid than deliverable forward currency contracts. A lack of liquidity in NDFs of the hedged currency could result in the Fund being unable to structure its hedging transactions as intended. In addition, NTI may seek to limit the size of the Fund in order to attempt to reduce a situation where the Fund is unable to obtain sufficient liquidity in an underlying currency to implement its investment objective.
The following risks apply to the FlexShares Disciplined Duration MBS Index Fund, FlexShares Credit-Scored US Corporate Bond Index Fund, FlexShares Credit-Scored US Long Corporate Bond Index Fund, FlexShares High Yield Value-Scored Bond Index Fund, FlexShares Ready Access Variable Income Fund, and FlexShares Core Select Bond Fund:
Credit (or Default) Risk
The Fund is subject to the risk that the inability or unwillingness of an issuer or guarantor of a fixed-income security, or a counterparty to a TBA, repurchase or other transaction, to meet its payment or other financial obligations will adversely affect the value of the Fund’s investments and its returns. Changes in an issuer’s credit rating or the market’s perception of an issuer’s creditworthiness may also adversely affect the value of the Fund’ investment in that issuer. The degree of credit risk depends on the issuer’s or counterparty’s financial condition and on the terms of the securities.
Debt Extension Risk
The Fund is subject to the risk that an issuer will exercise its right to pay principal on an obligation held by the Fund (such as a mortgage-backed security) later than expected. This may happen during a period of rising interest rates. Under these circumstances, the value of the obligation will decrease and the Fund will suffer from the inability to invest in higher yielding securities.
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Liquidity Risk
The Fund is subject to the risk that certain portfolio securities may be less liquid than others, which may make them difficult or impossible to sell at the time and the price that the Fund would like, adversely affecting the value of the Fund’s investments and its returns.
Prepayment (or Call) Risk
The Fund is subject to the risk that prepayment of the underlying mortgages or other collateral of some fixed-income securities may result in a decreased rate of return and a decline in value of those securities.
U.S. Government Securities Risk
The FlexShares Disciplined Duration MBS Index Fund, FlexShares Ready Access Variable Income Fund and the FlexShares Core Select Bond Fund are subject to the risk that the U.S. government will not provide financial support to its agencies, instrumentalities or sponsored enterprises if it is not obligated to do so by law. Many U.S. government securities that may be purchased by the Fund are not backed by the full faith and credit of the United States. It is possible that the issuers of such securities will not have the funds to meet their payment obligations in the future.
Mortgage-Related and Other Asset-Backed Risks
The FlexShares Ready Access Variable Income Fund and the FlexShares Core Select Bond Fund is subject to the risks of investing in mortgage-related and other asset-backed securities, including Interest Rate/Maturity Risk, Debt Extension Risk and Prepayment (or Call) Risk.
The following risk applies to the FlexShares Disciplined Duration MBS Index Fund:
Mortgage Backed Pass-Through Securities Risk
The Fund is subject to the risk of investing in mortgage-backed securities issued by a U.S. Agency. These securities may not be backed by the full faith and credit of the U.S. government. Mortgage-backed securities are subject to Credit (or Default) Risk, Interest Rate/ Maturity Risk, Debt Extension Risk and Prepayment (or Call) Risk. Because of these risks, mortgage-backed securities react differently to changes in interest rates than other bonds. Small movements in interest rates (both increases and decreases) may quickly and significantly reduce the value of certain mortgage-backed securities.
The following risk applies to the FlexShares US Quality Low Volatility Index Fund, FlexShares Developed Markets ex-US Quality Low Volatility Index Fund, and FlexShares Emerging Markets Quality Low Volatility Index Fund:
New Fund Risk
New Fund Risk is the risk that the Fund will not grow to or maintain an economically viable size, in which case it may experience greater tracking error to its Underlying Index than it otherwise would at higher asset levels, or it could ultimately liquidate without shareholder approval. The timing of such liquidation may not be favorable and could have negative tax consequences for shareholders. From time to time, an Authorized Participant, a third-party investor, the Investment Adviser or an affiliate of the Investment Adviser, may invest in the Fund and hold its investment for a specific period of time in order to facilitate commencement of the Fund’s operations or for the Fund to achieve size or scale. There can be no assurance that any such entity would not redeem its investment or that the size of the Fund would be maintained at such levels, which could negatively impact the Fund. The Fund’s distributor does not maintain a secondary market in the shares.
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The following risks apply to the FlexShares High Yield Value-Scored Bond Index Fund:
Distressed Securities Risk
Distressed securities risk is the substantial risk of investing in distressed securities that is in addition to the risks of investing in non-investment grade securities generally. NTI defines securities issued by companies whose financial condition is troubled or uncertain and that may be involved in bankruptcy proceedings, reorganizations or financial restructurings as “distressed securities.” Distressed securities are speculative and involve a substantial risk that principal will not be paid. In addition, the Fund will generally not receive interest payments on the distressed securities and may incur costs to protect its investment. These securities may present a substantial risk of default. The Fund may incur additional expenses to the extent it is required to seek recovery upon a default in the payment of principal of or interest on its portfolio holdings. In any reorganization or liquidation proceeding relating to a portfolio company, the Fund may lose its entire investment or may be required to accept cash or securities with a value less than its original investment. Distressed securities and any securities received in an exchange for such securities may be subject to restrictions on resale.
High Yield Securities Risk
High yield securities risk is the risk that the Fund will be subject to greater credit risk, price volatility and risk of loss than if it invested primarily in investment grade securities, which can adversely impact the Fund’s return and net asset value. High yield securities are considered highly speculative and are subject to increased risk of an issuer’s inability to make principal and interest payments. The Fund’s Underlying Index is designed to be comprised of securities with the potential for higher yields as compared to the overall high yield corporate bond market. As such, the Fund is expected to exhibit greater sensitivity to market fluctuations.
Substantial Volatility Risk
Substantial volatility risk is the risk that the value of the securities in the Fund’s portfolio may fluctuate, sometimes rapidly and unpredictably at a greater level than the overall market. There is a risk that the Fund could have substantial volatility.
Value Score Risk
Value score risk is the risk that the Fund’s investment in companies whose securities are believed to be undervalued will not appreciate in value as anticipated. Although the Underlying Index is designed to measure a portfolio of bonds of companies with the potential for higher yields and less risk of insolvency relative to the Parent Index, there is no assurance that the Underlying Index or Fund will be comprised of such securities. Accordingly, the Fund may be subject to greater credit risk, price volatility and risk of loss relative to the Parent Index.
The following risk applies to the FlexShares Morningstar US Market Factor Tilt Index Fund, FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund, FlexShares Morningstar Emerging Markets Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund, FlexShares International Quality Dividend Index Fund, FlexShares International Quality Dividend Defensive Index Fund, FlexShares International Quality Dividend Dynamic Index Fund, FlexShares Credit-Scored US Corporate Bond Index Fund, FlexShares Credit-Scored US Long Corporate Bond Index Fund, FlexShares Ready Access Variable Income Fund, FlexShares Core Select Bond Fund, FlexShares US Quality Low Volatility Index Fund, FlexShares Developed Markets ex-US Quality Low Volatility Index Fund, and FlexShares Emerging Markets Quality Low Volatility Index Fund:
Financial Sector Risk
The Fund is subject to the risk that the Fund will be impacted by events affecting the U.S. and/or non-U.S. financial sectors if it invests a relatively large percentage of its assets in those sectors, adversely affecting the Fund’s performance. The U.S. and
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non-U.S. financial sectors can be significantly affected by changes in interest rates, government regulation, the rate of corporate and consumer debt defaulted, price competitions and the availability and cost of capital funds. In 2008 and 2009, the U.S. financial sector was significantly impacted by bankruptcies and consolidations of major financial firms. Events affecting the U.S. and non-U.S. financial sectors have had, and may continue to have, a significant negative impact on the valuations and stock prices of companies in this sector and have increased the volatility of investments in those sectors.
The following risk applies to the FlexShares US Quality Low Volatility Index Fund, FlexShares Morningstar US Market Factor Tilt Index Fund, FlexShares US Quality Large Cap Index Fund, FlexShares STOXX US ESG Impact Index Fund, FlexShares STOXX Global ESG Impact Index Fund, FlexShares Quality Dividend Index Fund, FlexShares Quality Dividend Defensive Index Fund, and FlexShares Quality Dividend Dynamic Index Fund:
Information Technology Sector Risk
The Fund is subject to the risk that the Fund will be impacted by events affecting the U.S. information technology sector if it invests a relatively large percentage of its assets in that sector, adversely affecting the Fund’s price.
The following risk applies to the FlexShares US Quality Low Volatility Index Fund, FlexShares Developed Markets ex-US Quality Low Volatility Index Fund, FlexShares Emerging Markets Quality Low Volatility Index Fund, FlexShares Morningstar US Market Factor Tilt Index Fund, FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund, FlexShares Morningstar Emerging Markets Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund, FlexShares US Quality Large Cap Index Fund, FlexShares STOXX US ESG Impact Index Fund, FlexShares STOXX Global ESG Impact Index Fund, FlexShares Morningstar Global Upstream Natural Resources Index Fund, FlexShares STOXX Global Broad Infrastructure Index Fund, FlexShares Global Quality Real Estate Index Fund, FlexShares Real Assets Allocation Index Fund, FlexShares Quality Dividend Index Fund, FlexShares Quality Dividend Defensive Index Fund, FlexShares Quality Dividend Dynamic Index Fund, FlexShares International Quality Dividend Index Fund, FlexShares International Quality Dividend Defensive Index Fund, and FlexShares International Quality Dividend Dynamic Index Fund:
Equity Securities Risk
Each Fund invests in equity securities, primarily in the form of common stocks. Each of these Funds may also invest in preferred stocks and REITs. Preferred stocks are securities that represent an ownership interest providing the holder with claims on the issuer’s earnings and assets before common stock owners but after bond owners. REITs are pooled investment vehicles that invest primarily in real estate or real estate related loans.
Equity securities are subject to changes in value that may be attributable to market perception of a particular issuer, general stock market fluctuations that affect all issuers, or as a result of such factors as a company’s business performance, investor perceptions, stock market trends and general economic conditions. The equity securities owned by a Fund may be more volatile and underperform other asset classes and the general securities markets.
The following risks apply to the FlexShares US Quality Low Volatility Index Fund, FlexShares Developed Markets ex-US Quality Low Volatility Index Fund, and FlexShares Emerging Markets Quality Low Volatility Index Fund:
Large Shareholder Risk
Certain shareholders, including other funds advised by the Investment Adviser, may from time to time own a substantial amount of the Fund’s shares. In addition, a third party investor, the Investment Adviser or an affiliate of the Investment Adviser, an authorized participant, a lead market maker, or another entity may invest in the Fund and hold its investment for
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a limited period of time solely to facilitate commencement of the Fund or to facilitate the Fund’s achieving a specified size or scale. There can be no assurance that any large shareholder would not redeem its investment, that the size of the Fund would be maintained at such levels or that the Fund would continue to meet applicable listing requirements. Redemptions by large shareholders could have a significant negative impact on the Fund. In addition, transactions by large shareholders may account for a large percentage of the trading volume on Fund’s listing exchange and may, therefore, have a material upward or downward effect on the market price of the shares.
To the extent a significant percentage of the shares of a Fund are owned or controlled by a small number of account shareholders (or a single account shareholder), including funds or accounts over which the Investment Adviser or an affiliate of the Investment Adviser has investment discretion, the Fund is subject to the risk that those shareholders may purchase or redeem Fund shares in significant amounts rapidly or unexpectedly, including as a result of an asset allocation decision made by the Investment Adviser or an affiliate of the Investment Adviser and may adversely affect a Fund’s performance if the Investment Adviser is forced to sell portfolio securities or invest cash when the Investment Adviser would not otherwise choose to do so. Redemptions of a large number of shares may affect the liquidity of a Fund’s portfolio, increase the Fund’s transaction costs, and accelerate the realization of taxable income and/or gains.
Low Volatility Risk
Although the Underlying Index is designed to have overall volatility that is lower than that of the Parent Index, there is no guarantee it will be successful. Securities or other assets in the Fund’s portfolio may be subject to price volatility and the prices may not be any less volatile than the market as a whole and could be more volatile. Events or financial circumstances affecting individual securities or sectors may increase the volatility of a Fund. The price of a security may fluctuate due to factors affecting markets generally or particular industries. The market prices of the securities or other assets in a Fund’s portfolio may fluctuate, sometimes rapidly and unpredictably. The Fund will continue to seek to track the Underlying Index even if the Underlying Index does not have lower overall volatility than the Parent Index. There is also the risk that a Fund may experience volatility greater than that of its Parent Index as a result of tracking error. A portfolio of securities with greater volatility is generally considered to have a higher risk profile than a portfolio with lower volatility.
Passive Investment Risk
The FlexShares US Quality Low Volatility Index Fund, FlexShares Developed Markets ex-US Quality Low Volatility Index Fund, FlexShares Emerging Markets Quality Low Volatility Index Fund, FlexShares Morningstar US Market Factor Tilt Index Fund, FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund, FlexShares Morningstar Emerging Markets Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund, FlexShares US Quality Large Cap Index Fund, FlexShares STOXX US ESG Impact Index Fund, FlexShares STOXX Global ESG Impact Index Fund, FlexShares Morningstar Global Upstream Natural Resources Index Fund, FlexShares STOXX Global Broad Infrastructure Index Fund, FlexShares Global Quality Real Estate Index Fund, FlexShares Real Assets Allocation Index Fund, FlexShares Quality Dividend Index Fund, FlexShares Quality Dividend Defensive Index Fund, FlexShares Quality Dividend Dynamic Index Fund, FlexShares International Quality Dividend Index Fund, FlexShares International Quality Dividend Defensive Index Fund, FlexShares International Quality Dividend Dynamic Index Fund, FlexShares iBoxx 3-Year Target Duration TIPS Index Fund, FlexShares iBoxx 5-Year Target Duration TIPS Index Fund, FlexShares Disciplined Duration MBS Index Fund, FlexShares Credit-Scored U.S. Corporate Bond Index Fund, FlexShares Credit-Scored US Long Corporate Bond Index Fund, and FlexShares High Yield Value-Scored Bond Index Fund are not actively managed. Each Fund may be affected by a general decline in the market segments relating to its Underlying Index. Each Fund invests in securities included in, or representative of, its Underlying Index regardless of their investment merit. NTI does not attempt to take defensive positions in any market conditions, including declining markets.
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Supplemental Information (cont.)
Premium/Discount Information
Information about the differences between the daily market prices on secondary markets for shares of the Funds and the Funds’ net asset values for various time periods, as applicable, is available by visiting the Funds’ website at www.flexshares.com.
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For More Information (Unaudited)
Portfolio Holdings
FlexShares® Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT and, for periods prior to July 31, 2019, on Form N-Q. The Funds’ Forms N-Q and Forms N-PORT are available on the SEC’s Web site at www.sec.gov.
Proxy Voting
FlexShares® Trust Proxy Voting Policies and Procedures are available upon request and without charge by calling 1-855-FLEXETF (1-855-353-9383) or by visiting the Funds’ Web site www.flexshares.com or the SEC’s Web site at sec.gov. Each Fund’s portfolio securities voting record for the 12-month period ended June 30 is available upon request and without charge by calling 1-855-FLEXETF (1-855-353-9383) or by visiting the SEC’s website at www.sec.gov.
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FlexShares® Trust
50 S. LaSalle Street
Chicago, IL 60603
800.595.9111
www.flexshares.com
FlexShares® is a registered trademark of NTI. Morningstar® is a registered trademark of Morningstar, Inc. (“Morningstar”). Morningstar® US Market Factor Tilt IndexSM, Morningstar® Developed Markets ex-US Factor Tilt IndexSM, Morningstar® Emerging Markets Factor Tilt IndexSM, Morningstar® Developed Markets ex-US Factor Tilt Hedged IndexSM, Morningstar® Emerging Markets Factor Tilt Hedged IndexSM and Morningstar® Global Upstream Natural Resources IndexSM are service marks of Morningstar, Inc. STOXX and its licensors (the “Licensors”) have no relationship to FlexShares® Trust other than the licensing of the STOXX® USA ESG Impact Index, STOXX® Global ESG Impact Index and STOXX® Global Broad Infrastructure Index and the related trademarks for use in connection with the FlexShares® STOXX® US ESG Impact Index Fund, FlexShares® STOXX® Global ESG Impact Index Fund and FlexShares® STOXX® Global Broad Infrastructure Index Fund, respectively. The iBoxx 3-Year Target Duration TIPS Index and iBoxx 5-Year Target Duration TIPS Index are each the property of Markit North America, Inc. (“Markit”) and have been licensed for use in connection the FlexShares iBoxx 3-Year Target Duration TIPS Index Fund and the FlexShares iBoxx 5-Year Target Duration TIPS Index Fund, respectively. Northern Trust Quality Low Volatility IndexSM, Northern Trust Developed Markets ex-US Quality Low Volatility IndexSM, Northern Trust Emerging Markets Quality Low Volatility IndexSM, Northern Trust Quality Large Cap IndexSM, Northern Trust Quality Dividend IndexSM, Northern Trust Quality Dividend Dynamic IndexSM, Northern Trust Quality Dividend Defensive IndexSM, Northern Trust International Quality Dividend IndexSM, Northern Trust Quality Dividend Dynamic IndexSM, Northern Trust International Quality Dividend Defensive IndexSM, Northern Trust Global Quality Real Estate IndexSM, Northern Trust US Corporate Bond Quality Value IndexSM, Northern Trust US Long Corporate Bond Quality Value IndexSM, Northern Trust Real Assets Allocation IndexSM, Northern Trust High Yield US Corporate Bond IndexSM, and Northern Trust High Yield Value-Scored US Corporate Bond IndexSM are service marks of NTI and have been licensed for use by FlexShares Trust. The ICE® BofAML® Constrained Duration US Mortgage Backed Securities IndexSM are trademarks of ICE Data Indices, LLC or its affiliates (“ICE”) and have been licensed for use by NTI.
FS00238-0620
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Item 2. Code of Ethics.
Not applicable for this reporting period.
Item 3. Audit Committee Financial Expert.
Not applicable for this reporting period.
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Item 4. Principal Accountant Fees and Services.
Not applicable for this reporting period.
Item 5. Audit Committee of Listed Registrants.
Not applicable for this reporting period.
Item 6. Investments.
(a) | Schedule I – Investments in Securities of Unaffiliated Issuers. |
The complete schedule of investments is included in the report to shareholders in Item 1 of this Form N-CSR.
(b) | Securities Divested of in accordance with Section 13(c) of the Investment Company Act of 1940. |
Not Applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not Applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not Applicable.
Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not Applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.
Item 11. Controls and Procedures.
(a) | The Registrant’s principal executive officer and principal financial officer, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 as of a date within 90 days of the filing date of this report. |
(b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a - 3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not Applicable.
Item 13. Exhibits.
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(a)(1) | Not applicable for this reporting period. |
(a)(2) |
(a)(3) | Not Applicable. |
(a)(4) | Not Applicable. |
(b) |
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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.
FlexShares Trust
By:
/s/ Peter K. Ewing
Peter K. Ewing
President and Principal Executive Officer
July 6, 2020
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By:
/s/ Peter K. Ewing
Peter K. Ewing
President and Principal Executive Officer
July 6, 2020
By:
/s/ Randal Rein
Randal Rein
Treasurer and Principal Financial Officer
July 6, 2020