Global Macro Capital Opportunities Portfolio
July 31, 2023
Portfolio of InvestmentsΒ (Unaudited)
Common Stocks β 90.2% |
Security | Shares | Value | |
Bulgaria β 0.3% | |||
Eurohold Bulgaria AD(1) | Β | βββ979,308 | $ββββ934,119 |
Β | Β | Β | $ββββ934,119 |
China β 2.6% | |||
Alibaba Group Holding, Ltd.(1) | Β | ββββ65,100 | $ββββ831,937 |
Alibaba Health Information Technology, Ltd.(1) | Β | ββββ38,000 | βββββ27,285 |
Anhui Conch Cement Co., Ltd., Class H | Β | βββββ9,500 | βββββ28,680 |
ANTA Sports Products, Ltd. | Β | βββββ6,400 | βββββ75,846 |
Baidu, Inc., Class A(1) | Β | ββββ10,450 | ββββ204,306 |
BeiGene, Ltd.(1) | Β | βββββ3,500 | βββββ57,969 |
Bilibili, Inc., Class Z(1) | Β | βββββ1,420 | βββββ27,008 |
BYD Co., Ltd., Class A | Β | βββββββ900 | βββββ34,357 |
BYD Co., Ltd., Class H | Β | βββββ4,000 | ββββ142,472 |
China Conch Venture Holdings, Ltd. | Β | ββββ14,500 | βββββ18,159 |
China Gas Holdings, Ltd. | Β | ββββ23,000 | βββββ25,765 |
China International Capital Corp., Ltd., Class H(2) | Β | ββββ13,600 | βββββ30,099 |
China Life Insurance Co., Ltd., Class H | Β | ββββ41,000 | βββββ71,980 |
China Longyuan Power Group Corp., Ltd., Class H | Β | ββββ26,000 | βββββ25,172 |
China Mengniu Dairy Co., Ltd.(1) | Β | ββββ17,000 | βββββ64,569 |
China National Building Material Co., Ltd., Class H | Β | ββββ34,000 | βββββ21,490 |
China Overseas Land & Investment, Ltd. | Β | ββββ22,000 | βββββ52,188 |
China Pacific Insurance (Group) Co., Ltd., Class H | Β | ββββ17,200 | βββββ46,370 |
China Petroleum & Chemical Corp., Class H | Β | βββ140,000 | βββββ78,405 |
China Resources Beer Holdings Co., Ltd. | Β | ββββ10,000 | βββββ64,429 |
China Resources Gas Group, Ltd. | Β | βββββ7,800 | βββββ27,021 |
China Resources Land, Ltd. | Β | ββββ18,000 | βββββ83,992 |
China Resources Mixc Lifestyle Services, Ltd.(2) | Β | βββββ5,800 | βββββ28,070 |
China Resources Power Holdings Co., Ltd. | Β | ββββ16,000 | βββββ34,711 |
China Shenhua Energy Co., Ltd., Class H | Β | ββββ19,500 | βββββ58,449 |
China Tourism Group Duty Free Corp., Ltd., Class A | Β | βββββ1,000 | βββββ17,676 |
China Tower Corp., Ltd., Class H(2) | Β | βββ328,000 | βββββ37,077 |
China Vanke Co., Ltd., Class H | Β | ββββ15,200 | βββββ21,544 |
China Yangtze Power Co., Ltd., Class A | Β | ββββ11,000 | βββββ33,067 |
Chow Tai Fook Jewellery Group, Ltd. | Β | ββββ16,000 | βββββ27,935 |
CITIC Securities Co., Ltd., Class H | Β | ββββ16,000 | βββββ34,463 |
CITIC, Ltd. | Β | ββββ39,000 | βββββ44,024 |
Contemporary Amperex Technology Co., Ltd., Class A | Β | βββββ1,620 | βββββ54,012 |
COSCO SHIPPING Holdings Co., Ltd., Class H | Β | ββββ29,500 | βββββ31,223 |
Country Garden Holdings Co., Ltd.(1) | Β | ββββ96,000 | βββββ19,722 |
Country Garden Services Holdings Co., Ltd. | Β | ββββ15,000 | βββββ17,174 |
CSPC Pharmaceutical Group, Ltd. | Β | ββββ52,000 | βββββ43,434 |
East Buy Holding, Ltd.(1)(2) | Β | βββββ3,500 | βββββ17,115 |
ENN Energy Holdings, Ltd. | Β | βββββ4,400 | βββββ53,481 |
Foshan Haitian Flavouring & Food Co., Ltd., Class A | Β | βββββ2,760 | β ββββ17,926 |
Security | Shares | Value | |
China (continued) | |||
Fuyao Glass Industry Group Co., Ltd., Class H(2) | Β | βββββ6,000 | $βββββ26,737 |
Ganfeng Lithium Group Co., Ltd., Class H(2) | Β | βββββ6,000 | βββββ38,654 |
GCL Technology Holdings, Ltd. | Β | βββ145,000 | βββββ31,590 |
Geely Automobile Holdings, Ltd. | Β | ββββ36,000 | βββββ52,532 |
Genscript Biotech Corp.(1) | Β | ββββ10,000 | βββββ25,756 |
Great Wall Motor Co., Ltd., Class H | Β | ββββ24,000 | βββββ32,839 |
Guangdong Investment, Ltd. | Β | ββββ28,000 | βββββ24,240 |
H World Group, Ltd. ADR(1) | Β | βββββ1,200 | βββββ57,648 |
Haidilao International Holding, Ltd.(2) | Β | ββββ11,000 | βββββ31,069 |
Haier Smart Home Co., Ltd., Class H | Β | ββββ14,200 | βββββ46,697 |
Hengan International Group Co., Ltd. | Β | βββββ6,000 | βββββ24,680 |
Hygeia Healthcare Holdings Co., Ltd., Class C(2) | Β | βββββ3,400 | βββββ22,104 |
Innovent Biologics, Inc.(1)(2) | Β | βββββ7,000 | βββββ31,300 |
iQIYI, Inc. ADR(1) | Β | βββββ4,200 | βββββ26,628 |
JD Health International, Inc.(1)(2) | Β | βββββ6,700 | βββββ48,979 |
JD.com, Inc., Class A | Β | βββββ9,850 | ββββ203,930 |
Kanzhun, Ltd. ADR(1) | Β | βββββ1,400 | βββββ26,152 |
KE Holdings, Inc. ADR(1) | Β | βββββ3,700 | βββββ64,454 |
Kingdee International Software Group Co., Ltd.(1) | Β | ββββ18,000 | βββββ31,573 |
Kingsoft Corp., Ltd. | Β | βββββ8,400 | βββββ36,155 |
Kuaishou Technology Co., Ltd.(1)(2) | Β | βββββ9,400 | βββββ82,500 |
Kunlun Energy Co., Ltd. | Β | ββββ36,000 | βββββ29,459 |
Kweichow Moutai Co., Ltd., Class A | Β | βββββββ400 | ββββ105,582 |
Lenovo Group, Ltd. | Β | ββββ52,000 | βββββ59,862 |
Li Auto, Inc., Class A(1) | Β | βββββ6,200 | ββββ133,096 |
Li Ning Co., Ltd. | Β | ββββ12,000 | βββββ73,157 |
Longfor Group Holdings, Ltd.(2) | Β | ββββ13,000 | βββββ35,171 |
LONGi Green Energy Technology Co., Ltd., Class A | Β | βββββ4,200 | βββββ17,600 |
Luzhou Laojiao Co., Ltd., Class A | Β | βββββββ800 | βββββ27,045 |
Meituan, Class B(1)(2) | Β | ββββ19,700 | ββββ376,075 |
NetEase, Inc. | Β | βββββ9,400 | ββββ204,735 |
New Oriental Education & Technology Group, Inc.(1) | Β | ββββ10,400 | βββββ59,244 |
NIO, Inc. ADR(1) | Β | βββββ7,200 | ββββ110,160 |
Nongfu Spring Co., Ltd., Class H(2) | Β | ββββ10,400 | βββββ60,637 |
PDD Holdings, Inc. ADR(1) | Β | βββββ2,300 | ββββ206,586 |
People's Insurance Co. Group of China, Ltd., Class H | Β | ββββ82,000 | βββββ31,569 |
PetroChina Co., Ltd., Class H | Β | βββ120,000 | βββββ87,988 |
PICC Property & Casualty Co., Ltd., Class H | Β | ββββ46,000 | βββββ53,954 |
Ping An Insurance Group Co. of China, Ltd., Class A | Β | βββββ4,900 | βββββ36,206 |
Ping An Insurance Group Co. of China, Ltd., Class H | Β | ββββ29,500 | ββββ214,959 |
Shandong Weigao Group Medical Polymer Co., Ltd., Class H | Β | ββββ20,000 | βββββ25,829 |
Shanxi Xinghuacun Fen Wine Factory Co., Ltd., Class A | Β | βββββββ700 | βββββ23,438 |
Shenzhen Mindray Bio-Medical Electronics Co., Ltd., Class A | Β | βββββββ600 | βββββ24,901 |
Shenzhou International Group Holdings, Ltd. | Β | βββββ4,800 | βββββ50,951 |
Sino Biopharmaceutical, Ltd. | Β | ββββ71,000 | β ββββ32,201 |
Β
1
Global Macro Capital Opportunities Portfolio
July 31, 2023
Portfolio of InvestmentsΒ (Unaudited)Β βΒ continued
Security | Shares | Value | |
China (continued) | |||
Sinopharm Group Co., Ltd., Class H | Β | ββββ12,000 | $βββββ37,790 |
Smoore International Holdings, Ltd.(2) | Β | ββββ18,000 | βββββ20,266 |
Sunny Optical Technology Group Co., Ltd. | Β | βββββ4,200 | βββββ41,177 |
TAL Education Group ADR(1) | Β | βββββ4,100 | βββββ33,538 |
Tencent Holdings, Ltd. | Β | ββββ27,300 | ββ1,254,739 |
Tencent Music Entertainment Group ADR(1) | Β | βββββ5,000 | βββββ34,950 |
Tingyi (Cayman Islands) Holding Corp. | Β | ββββ18,000 | βββββ27,797 |
Tongcheng Travel Holdings, Ltd.(1) | Β | ββββ12,000 | βββββ29,119 |
Trip.com Group, Ltd. ADR(1) | Β | βββββ2,800 | ββββ114,912 |
Tsingtao Brewery Co., Ltd., Class H | Β | βββββ4,000 | βββββ35,969 |
Vipshop Holdings, Ltd. ADR(1) | Β | βββββ2,900 | βββββ54,607 |
Wanhua Chemical Group Co., Ltd. | Β | βββββ1,900 | βββββ26,047 |
Want Want China Holdings, Ltd. | Β | ββββ44,000 | βββββ30,684 |
Weichai Power Co., Ltd., Class H | Β | ββββ19,000 | βββββ28,148 |
Wuliangye Yibin Co., Ltd., Class A | Β | βββββ1,500 | βββββ38,103 |
WuXi AppTec Co., Ltd., Class H(2) | Β | βββββ2,700 | βββββ25,684 |
WuXi Biologics Cayman, Inc.(1)(2) | Β | ββββ17,500 | ββββ100,989 |
Xinyi Solar Holdings, Ltd. | Β | ββββ34,000 | βββββ36,919 |
Xpeng, Inc., Class A(1) | Β | βββββ6,800 | βββββ72,535 |
Yadea Group Holdings, Ltd.(2) | Β | ββββ12,000 | βββββ27,308 |
Yankuang Energy Group Co., Ltd., Class H | Β | ββββ18,000 | βββββ27,101 |
Yum China Holdings, Inc. | Β | βββββ2,100 | ββββ128,142 |
Zai Lab, Ltd. ADR(1) | Β | βββββββ800 | βββββ24,048 |
Zhongsheng Group Holdings, Ltd. | Β | βββββ5,500 | βββββ19,324 |
Zhuzhou CRRC Times Electric Co., Ltd., Class H | Β | βββββ5,200 | βββββ20,730 |
Zijin Mining Group Co., Ltd., Class H | Β | ββββ34,000 | βββββ58,722 |
ZTO Express Cayman, Inc. ADR | Β | βββββ2,400 | βββββ66,720 |
Β | Β | Β | $ββ8,093,292 |
Cyprus β 3.4% | |||
Bank of Cyprus Holdings PLC(3) | Β | ββββ45,800 | $ββββ138,150 |
Bank of Cyprus Holdings PLC(3) | Β | β3,358,701 | β10,607,039 |
Β | Β | Β | $β10,745,189 |
Georgia β 8.4% | |||
Bank of Georgia Group PLC | Β | βββ206,490 | $ββ8,633,535 |
Georgia Capital PLC(1) | Β | βββ888,576 | β10,603,155 |
TBC Bank Group PLC | Β | βββ227,322 | ββ7,265,691 |
Β | Β | Β | $β26,502,381 |
Greece β 19.9% | |||
Alpha Services and Holdings S.A.(1) | Β | β3,867,862 | $ββ6,965,672 |
Athens Water Supply & Sewage Co. S.A. | Β | ββββ52,319 | ββββ397,921 |
Autohellas Tourist & Trading S.A. | Β | ββββ16,600 | ββββ249,230 |
Ellaktor S.A.(1) | Β | βββ112,600 | ββββ309,310 |
Eurobank Ergasias Services and Holdings S.A.(1) | Β | β4,704,250 | β β8,217,810 |
Security | Shares | Value | |
Greece (continued) | |||
GEK Terna Holding Real Estate Construction S.A.(1) | Β | ββββ74,145 | $ββ1,168,910 |
Hellenic Telecommunications Organization S.A. | Β | βββ299,952 | ββ4,733,832 |
Helleniq Energy Holdings S.A. | Β | ββββ79,533 | ββββ706,719 |
Holding Co. ADMIE IPTO S.A. | Β | βββ151,955 | ββββ399,114 |
JUMBO S.A. | Β | βββ174,729 | ββ5,213,766 |
LAMDA Development S.A.(1) | Β | ββββ90,252 | ββββ706,095 |
Motor Oil (Hellas) Corinth Refineries S.A. | Β | ββββ88,376 | ββ2,233,474 |
Mytilineos S.A. | Β | βββ166,917 | ββ6,946,378 |
National Bank of Greece S.A.(1) | Β | βββ766,615 | ββ5,279,458 |
OPAP S.A. | Β | βββ283,666 | ββ4,988,989 |
Piraeus Financial Holdings S.A.(1) | Β | β2,058,570 | ββ7,797,265 |
Public Power Corp. S.A.(1) | Β | βββ272,755 | ββ3,227,226 |
Sarantis S.A. | Β | ββββ45,317 | ββββ379,203 |
Terna Energy S.A. | Β | ββββ69,672 | ββ1,337,392 |
Titan Cement International S.A. | Β | ββββ57,221 | ββ1,203,285 |
Β | Β | Β | $β62,461,049 |
India β 5.1% | |||
Adani Green Energy, Ltd.(1) | Β | ββββ14,178 | $ββββ188,294 |
Adani Transmission, Ltd.(1) | Β | ββββ12,259 | ββββ122,222 |
Apollo Hospitals Enterprise, Ltd. | Β | βββββ4,774 | ββββ301,200 |
Asian Paints, Ltd. | Β | βββββ1,872 | βββββ76,848 |
Avenue Supermarts, Ltd.(1)(2) | Β | βββββ7,154 | ββββ326,794 |
Bajaj Finance, Ltd. | Β | ββββ11,417 | ββ1,014,093 |
Bajaj Finserv, Ltd. | Β | ββββ16,719 | ββββ324,697 |
Bharti Airtel, Ltd. | Β | ββββ95,293 | ββ1,030,977 |
Cholamandalam Investment & Finance Co., Ltd. | Β | ββββ14,109 | ββββ194,643 |
Cipla, Ltd. | Β | βββββ3,388 | βββββ48,580 |
Divi's Laboratories, Ltd. | Β | βββββ6,252 | ββββ281,575 |
Dr. Reddy's Laboratories, Ltd. | Β | βββββββ739 | βββββ50,802 |
Eicher Motors, Ltd. | Β | βββββ1,090 | βββββ44,667 |
GAIL (India), Ltd. | Β | ββββ88,026 | ββββ128,094 |
Grasim Industries, Ltd. | Β | ββββ11,746 | ββββ264,231 |
Havells India, Ltd. | Β | βββββ9,907 | ββββ160,975 |
HCL Technologies, Ltd. | Β | βββββ4,848 | βββββ65,832 |
HDFC Bank, Ltd. | Β | ββββ10,936 | ββββ219,392 |
HDFC Life Insurance Co., Ltd.(2) | Β | βββββ6,699 | βββββ52,722 |
Hindalco Industries, Ltd. | Β | ββββ57,847 | ββββ325,330 |
Hindustan Unilever, Ltd. | Β | βββββ3,395 | ββββ105,707 |
Indian Railway Catering & Tourism Corp., Ltd. | Β | βββββ9,683 | βββββ75,407 |
Info Edge India, Ltd. | Β | βββββ2,581 | ββββ143,801 |
Infosys, Ltd. | Β | ββββ11,970 | ββββ197,985 |
ITC, Ltd. | Β | ββββ14,140 | βββββ80,045 |
Jindal Steel & Power, Ltd. | Β | ββββ13,591 | ββββ110,673 |
Jio Financial Services, Ltd.(1) | Β | βββ123,358 | ββββ392,727 |
JSW Steel, Ltd. | Β | ββββ31,961 | β βββ317,297 |
Β
2
Global Macro Capital Opportunities Portfolio
July 31, 2023
Portfolio of InvestmentsΒ (Unaudited)Β βΒ continued
Security | Shares | Value | |
India (continued) | |||
Jubilant FoodWorks, Ltd. | Β | ββββ15,996 | $βββββ93,293 |
Larsen & Toubro, Ltd.(1) | Β | ββββ28,499 | ββββ930,111 |
LTIMindtree, Ltd.(2) | Β | βββββ3,328 | ββββ198,651 |
Mahindra & Mahindra, Ltd. | Β | ββββ36,818 | ββββ660,511 |
Maruti Suzuki India, Ltd. | Β | βββββββ596 | βββββ71,168 |
Mphasis, Ltd. | Β | βββββ3,178 | βββββ88,537 |
Nestle India, Ltd. | Β | βββββββ193 | βββββ52,668 |
NTPC, Ltd. | Β | ββββ22,489 | βββββ59,575 |
Petronet LNG, Ltd. | Β | ββββ28,740 | βββββ81,554 |
PI Industries, Ltd. | Β | βββββ2,863 | ββββ125,981 |
Power Grid Corp. of India, Ltd. | Β | ββββ17,659 | βββββ57,175 |
Reliance Industries, Ltd. | Β | βββ123,358 | ββ3,824,515 |
SBI Cards & Payment Services, Ltd. | Β | βββββ9,055 | βββββ94,335 |
SBI Life Insurance Co., Ltd.(2) | Β | βββββ2,822 | βββββ43,990 |
SRF, Ltd. | Β | βββββ5,781 | ββββ152,645 |
Sun Pharmaceutical Industries, Ltd. | Β | βββββ5,217 | βββββ72,536 |
Tata Consultancy Services, Ltd. | Β | βββββ3,464 | ββββ144,035 |
Tata Consumer Products, Ltd. | Β | ββββ26,081 | ββββ272,541 |
Tata Elxsi, Ltd. | Β | βββββ1,296 | ββββ112,924 |
Tata Motors, Ltd. | Β | ββββ11,778 | βββββ92,415 |
Tata Steel, Ltd. | Β | βββ327,127 | ββββ489,587 |
Tech Mahindra, Ltd. | Β | βββββ3,441 | βββββ46,887 |
Titan Co., Ltd. | Β | ββββ15,533 | ββββ569,692 |
Trent, Ltd. | Β | βββββ6,864 | ββββ147,063 |
Tube Investments of India, Ltd. | Β | βββββ4,113 | ββββ154,955 |
UltraTech Cement, Ltd. | Β | βββββ4,517 | ββββ456,561 |
UPL, Ltd.(1) | Β | ββββ18,027 | ββββ136,587 |
Varun Beverages, Ltd. | Β | ββββ17,020 | ββββ166,573 |
Wipro, Ltd. | Β | βββββ7,963 | βββββ39,275 |
Β | Β | Β | $β16,081,950 |
Indonesia β 4.9% | |||
Adaro Energy Indonesia Tbk PT | Β | β2,449,800 | $ββββ391,896 |
Astra International Tbk PT | Β | β3,027,700 | ββ1,375,921 |
Bank Central Asia Tbk PT | Β | β5,995,400 | ββ3,631,002 |
Bank Jago Tbk PT(1) | Β | βββ626,600 | ββββ121,060 |
Bank Mandiri Persero Tbk PT | Β | β4,386,800 | ββ1,667,622 |
Bank Negara Indonesia Persero Tbk PT | Β | β1,209,700 | ββββ712,154 |
Bank Rakyat Indonesia Persero Tbk PT | Β | β7,475,184 | ββ2,798,738 |
Barito Pacific Tbk PT | Β | β4,808,843 | ββββ247,104 |
Charoen Pokphand Indonesia Tbk PT(1) | Β | β1,315,900 | ββββ451,403 |
Kalbe Farma Tbk PT | Β | β3,818,800 | ββββ485,033 |
Merdeka Copper Gold Tbk PT(1) | Β | β2,079,800 | ββββ484,616 |
Sumber Alfaria Trijaya Tbk PT | Β | β2,968,200 | ββββ531,481 |
Telkom Indonesia Persero Tbk PT | Β | β6,925,700 | β β1,706,325 |
Security | Shares | Value | |
Indonesia (continued) | |||
Unilever Indonesia Tbk PT | Β | β1,221,400 | $ββββ311,780 |
United Tractors Tbk PT | Β | βββ284,400 | ββββ519,564 |
Β | Β | Β | $β15,435,699 |
Kazakhstan β 3.2% | |||
Halyk Savings Bank of Kazakhstan JSC GDR(4) | Β | βββ135,120 | $ββ1,934,918 |
Kaspi.kz JSC GDR(4) | Β | ββββ86,690 | ββ7,949,473 |
Β | Β | Β | $ββ9,884,391 |
Malaysia β 5.2% | |||
AMMB Holdings Bhd | Β | βββ364,600 | $ββββ312,213 |
Axiata Group Bhd | Β | βββ540,500 | ββββ320,112 |
CelcomDigi Bhd | Β | βββ580,700 | ββββ569,266 |
CIMB Group Holdings Bhd | Β | β1,212,600 | ββ1,493,741 |
Dialog Group Bhd | Β | βββ701,100 | ββββ357,884 |
Genting Bhd | Β | βββ398,900 | ββββ381,391 |
Genting Malaysia Bhd | Β | βββ567,100 | ββββ327,117 |
Hong Leong Bank Bhd | Β | βββ119,800 | ββββ520,484 |
IHH Healthcare Bhd | Β | βββ332,700 | ββββ439,410 |
Inari Amertron Bhd | Β | βββ542,000 | ββββ363,104 |
IOI Corp. Bhd | Β | βββ473,300 | ββββ437,893 |
Kuala Lumpur Kepong Bhd | Β | ββββ81,800 | ββββ423,090 |
Malayan Banking Bhd | Β | βββ840,800 | ββ1,682,203 |
Maxis Bhd | Β | βββ449,600 | ββββ402,888 |
MISC Bhd | Β | βββ255,700 | ββββ407,678 |
Nestle Malaysia Bhd | Β | ββββ13,700 | ββββ406,986 |
Petronas Chemicals Group Bhd | Β | βββ424,200 | ββββ654,374 |
Petronas Dagangan Bhd | Β | ββββ59,700 | ββββ304,066 |
Petronas Gas Bhd | Β | βββ145,700 | ββββ552,009 |
PPB Group Bhd | Β | βββ120,300 | ββββ445,354 |
Press Metal Aluminium Holdings Bhd | Β | βββ660,800 | ββββ738,916 |
Public Bank Bhd | Β | β2,524,300 | ββ2,334,999 |
QL Resources Bhd | Β | βββ221,000 | ββββ268,703 |
RHB Bank Bhd | Β | βββ286,600 | ββββ361,826 |
Sime Darby Bhd | Β | βββ542,000 | ββββ262,298 |
Sime Darby Plantation Bhd | Β | βββ394,600 | ββββ398,885 |
Tenaga Nasional Bhd | Β | βββ467,600 | ββββ995,742 |
Β | Β | Β | $β16,162,632 |
Nigeria β 0.0%(5) | |||
Airtel Africa PLC(2) | Β | ββββ40,000 | $βββββ59,811 |
Β | Β | Β | $βββββ59,811 |
Philippines β 2.9% | |||
Aboitiz Equity Ventures, Inc. | Β | βββ345,400 | $ββββ338,077 |
Ayala Corp. | Β | ββββ62,300 | β βββ698,280 |
Β
3
Global Macro Capital Opportunities Portfolio
July 31, 2023
Portfolio of InvestmentsΒ (Unaudited)Β βΒ continued
Security | Shares | Value | |
Philippines (continued) | |||
Ayala Land, Inc. | Β | β1,379,700 | $ββββ688,960 |
Bank of the Philippine Islands | Β | βββ416,200 | ββββ867,840 |
BDO Unibank, Inc. | Β | βββ477,200 | ββ1,261,979 |
International Container Terminal Services, Inc. | Β | βββ210,600 | ββββ832,292 |
JG Summit Holdings, Inc. | Β | βββ542,300 | ββββ425,502 |
Jollibee Foods Corp. | Β | ββββ92,300 | ββββ428,708 |
Manila Electric Co. | Β | ββββ58,200 | ββββ377,493 |
Metropolitan Bank & Trust Co. | Β | βββ380,300 | ββββ415,726 |
PLDT, Inc. | Β | ββββ15,700 | ββββ374,647 |
SM Investments Corp. | Β | ββββ50,100 | ββββ832,451 |
SM Prime Holdings, Inc. | Β | β2,083,000 | ββ1,267,401 |
Universal Robina Corp. | Β | βββ175,000 | ββββ391,356 |
Β | Β | Β | $ββ9,200,712 |
Romania β 2.8% | |||
MED Life S.A.(1) | Β | βββ153,000 | $ββββ654,425 |
OMV Petrom S.A. | Β | 13,700,000 | ββ1,648,527 |
Societatea De Producere A Energiei Electrice in Hidrocentrale Hidroelectrica S.A.(1) | Β | βββ115,385 | ββ2,885,011 |
Societatea Energetica Electrica S.A. | Β | βββ298,000 | ββββ611,121 |
Societatea Nationala de Gaze Naturale ROMGAZ S.A. | Β | βββ182,000 | ββ1,646,359 |
Teraplast S.A.(1) | Β | β3,005,000 | ββββ335,983 |
Transelectrica S.A. | Β | ββββ76,000 | ββββ460,883 |
Transgaz S.A. Medias | Β | βββ161,600 | ββββ659,184 |
Β | Β | Β | $ββ8,901,493 |
Saudi Arabia β 4.2% | |||
Advanced Petrochemical Co. | Β | ββββ48,600 | $ββββ589,966 |
Al Hammadi Holding | Β | ββββ35,300 | ββββ553,069 |
Almarai Co. JSC | Β | ββββ17,800 | ββββ326,877 |
Arabian Contracting Services Co. | Β | ββββ15,600 | ββββ822,623 |
Arabian Internet & Communications Services Co. | Β | βββββ7,100 | ββββ690,201 |
Ataa Educational Co. | Β | ββββ29,094 | ββββ585,200 |
Dallah Healthcare Co. | Β | ββββ11,603 | ββββ545,549 |
Dr Sulaiman Al Habib Medical Services Group Co. | Β | βββββ5,100 | ββββ392,888 |
Etihad Etisalat Co. | Β | ββββ65,000 | ββββ811,637 |
Jarir Marketing Co. | Β | βββ121,000 | ββββ499,995 |
National Co. for Learning & Education | Β | ββββ17,800 | ββββ488,063 |
SABIC Agri-Nutrients Co. | Β | ββββ11,200 | ββββ430,465 |
Saudi Arabian Mining Co.(1) | Β | ββββ57,900 | ββββ685,555 |
Saudi Arabian Oil Co.(2) | Β | βββ116,710 | ββ1,008,582 |
Saudi Basic Industries Corp. | Β | ββββ40,600 | ββββ927,890 |
Saudi Electricity Co. | Β | ββββ49,600 | ββββ296,721 |
Saudi Industrial Investment Group | Β | ββββ93,300 | ββββ621,605 |
Saudi Telecom Co. | Β | ββββ68,400 | ββββ773,444 |
Savola Group (The) | Β | ββββ80,200 | β βββ903,999 |
Security | Shares | Value | |
Saudi Arabia (continued) | |||
Theeb Rent A Car Co. | Β | ββββ25,800 | $ββββ584,079 |
United International Transportation Co. | Β | ββββ33,200 | ββββ611,803 |
Β | Β | Β | $β13,150,211 |
Serbia β 0.3% | |||
Metalac AD(1) | Β | ββββ67,357 | $ββββ980,030 |
Β | Β | Β | $ββββ980,030 |
Slovenia β 2.6% | |||
Nova Ljubljanska Banka dd(2) | Β | ββββ72,121 | $ββ6,471,896 |
Nova Ljubljanska Banka dd GDR(4) | Β | ββββ60,052 | ββ1,047,686 |
Petrol DD Ljubljana | Β | ββββ18,600 | ββββ503,245 |
Β | Β | Β | $ββ8,022,827 |
South Korea β 8.6% | |||
AMOREPACIFIC Corp. | Β | βββββ1,140 | $ββββ100,692 |
Celltrion Healthcare Co., Ltd. | Β | βββββ3,063 | ββββ158,240 |
Celltrion, Inc. | Β | βββββ3,011 | ββββ346,407 |
CJ CheilJedang Corp. | Β | βββββββ339 | βββββ74,417 |
Cosmo AM&T Co., Ltd.(1) | Β | βββββββ900 | ββββ128,332 |
Coway Co., Ltd. | Β | βββββ2,186 | βββββ70,250 |
DB Insurance Co., Ltd. | Β | βββββ2,200 | ββββ130,087 |
Doosan Enerbility Co., Ltd.(1) | Β | ββββ13,566 | ββββ186,207 |
Ecopro BM Co., Ltd. | Β | βββββ1,708 | ββββ561,811 |
Hana Financial Group, Inc. | Β | ββββ11,300 | ββββ348,215 |
Hanwha Aerospace Co., Ltd. | Β | βββββ1,500 | ββββ143,910 |
Hanwha Galleria Corp.(1) | Β | βββββ4,611 | ββββββ4,766 |
Hanwha Solutions Corp.(1) | Β | βββββ4,088 | ββββ121,329 |
HD Korea Shipbuilding & Offshore Engineering Co., Ltd.(1) | Β | βββββ1,746 | ββββ169,008 |
HLB, Inc.(1) | Β | βββββ4,241 | ββββ109,366 |
HMM Co., Ltd. | Β | βββββ9,451 | ββββ129,724 |
HYBE Co., Ltd.(1) | Β | βββββββ432 | βββββ88,965 |
Hyundai Engineering & Construction Co., Ltd. | Β | βββββ3,379 | βββββ99,171 |
Hyundai Glovis Co., Ltd. | Β | βββββββ762 | ββββ104,194 |
Hyundai Mobis Co., Ltd. | Β | βββββ1,909 | ββββ348,805 |
Hyundai Motor Co. | Β | βββββ5,167 | ββββ794,444 |
Hyundai Steel Co. | Β | βββββ2,500 | βββββ70,873 |
Kakao Corp. | Β | βββββ9,381 | ββββ377,650 |
KB Financial Group, Inc. | Β | ββββ13,300 | ββββ532,684 |
Kia Corp. | Β | βββββ7,832 | ββββ508,291 |
Korea Aerospace Industries, Ltd. | Β | βββββ2,870 | ββββ110,806 |
Korea Electric Power Corp.(1) | Β | βββββ9,138 | ββββ137,689 |
Korea Investment Holdings Co., Ltd. | Β | βββββ1,239 | βββββ47,477 |
Korea Zinc Co., Ltd. | Β | βββββββ330 | ββββ127,836 |
Korean Air Lines Co., Ltd. | Β | βββββ6,673 | ββββ128,804 |
Krafton, Inc.(1) | Β | βββββββ869 | β βββ117,140 |
Β
4
Global Macro Capital Opportunities Portfolio
July 31, 2023
Portfolio of InvestmentsΒ (Unaudited)Β βΒ continued
Security | Shares | Value | |
South Korea (continued) | |||
KT&G Corp. | Β | βββββ3,555 | $ββββ230,036 |
L&F Co., Ltd. | Β | βββββββ839 | ββββ169,567 |
LG Chem, Ltd. | Β | βββββ1,724 | ββββ877,009 |
LG Corp. | Β | βββββ3,183 | ββββ208,373 |
LG Display Co., Ltd.(1) | Β | βββββ9,346 | βββββ98,817 |
LG Electronics, Inc. | Β | βββββ3,428 | ββββ291,796 |
LG Energy Solution, Ltd.(1) | Β | βββββ1,183 | ββββ519,729 |
LG H&H Co., Ltd. | Β | βββββββ316 | ββββ106,025 |
LG Innotek Co., Ltd. | Β | βββββββ522 | ββββ108,239 |
Lotte Chemical Corp. | Β | βββββββ607 | βββββ71,723 |
Meritz Financial Group, Inc.(1) | Β | βββββ4,100 | ββββ158,302 |
Naver Corp. | Β | βββββ4,805 | ββββ856,094 |
NCSoft Corp. | Β | βββββββ575 | ββββ124,744 |
Pearl Abyss Corp.(1) | Β | βββββββ890 | βββββ39,123 |
POSCO Chemical Co., Ltd. | Β | βββββ1,169 | ββββ483,629 |
POSCO Holdings, Inc. | Β | βββββ3,243 | ββ1,634,087 |
Posco International Corp. | Β | βββββ2,400 | ββββ169,831 |
Samsung Biologics Co., Ltd.(1)(2) | Β | βββββββ533 | ββββ320,049 |
Samsung C&T Corp. | Β | βββββ2,715 | ββββ219,971 |
Samsung Electro-Mechanics Co., Ltd. | Β | βββββ1,863 | ββββ212,529 |
Samsung Electronics Co., Ltd. | Β | βββ158,075 | ββ8,655,022 |
Samsung Engineering Co., Ltd.(1) | Β | βββββ6,765 | ββββ196,233 |
Samsung Fire & Marine Insurance Co., Ltd. | Β | βββββ1,075 | ββββ205,483 |
Samsung Heavy Industries Co., Ltd.(1) | Β | ββββ25,662 | ββββ181,883 |
Samsung Life Insurance Co., Ltd. | Β | βββββ3,000 | ββββ164,125 |
Samsung SDI Co., Ltd. | Β | βββββ1,843 | ββββ962,054 |
Samsung SDS Co., Ltd. | Β | βββββ1,303 | ββββ131,177 |
Shinhan Financial Group Co., Ltd. | Β | ββββ15,400 | ββββ423,859 |
SK Bioscience Co., Ltd.(1) | Β | βββββββ942 | βββββ54,245 |
SK Hynix, Inc. | Β | ββββ17,686 | ββ1,712,800 |
SK Innovation Co., Ltd.(1) | Β | βββββ1,849 | ββββ313,626 |
SK Square Co., Ltd.(1) | Β | βββββ3,831 | ββββ133,379 |
SK, Inc. | Β | βββββ1,234 | ββββ147,912 |
S-Oil Corp. | Β | βββββ1,757 | ββββ103,284 |
Woori Financial Group, Inc. | Β | ββββ20,300 | ββββ185,525 |
Yuhan Corp. | Β | βββββ2,468 | ββββ141,209 |
Β | Β | Β | $β26,989,079 |
Sri Lanka β 1.0% | |||
Browns Investments PLC(1) | Β | β8,004,000 | $ββββ166,866 |
Commercial Bank of Ceylon PLC | Β | βββ839,281 | ββββ244,426 |
Dialog Axiata PLC(1) | Β | β4,551,400 | ββββ155,902 |
Expolanka Holdings PLC | Β | βββ767,600 | ββββ359,718 |
Hatton National Bank PLC | Β | βββ627,000 | ββββ375,080 |
John Keells Holdings PLC | Β | β2,048,500 | β β1,075,062 |
Security | Shares | Value | |
Sri Lanka (continued) | |||
LOLC Holdings PLC(1) | Β | βββ172,600 | $ββββ267,096 |
Sampath Bank PLC | Β | β1,967,000 | ββββ459,401 |
Β | Β | Β | $ββ3,103,551 |
Taiwan β 3.1% | |||
Taiwan Semiconductor Manufacturing Co., Ltd. | Β | βββ533,000 | $ββ9,624,700 |
Β | Β | Β | $ββ9,624,700 |
United Arab Emirates β 4.5% | |||
Abu Dhabi Commercial Bank PJSC | Β | βββ358,690 | $ββββ857,601 |
Abu Dhabi Islamic Bank PJSC | Β | βββ168,170 | ββββ514,730 |
Abu Dhabi National Oil Co. for Distribution PJSC | Β | βββ470,000 | ββββ498,945 |
Al Ansari Financial Services PJSC(1) | Β | β1,805,311 | ββββ585,073 |
Al Yah Satellite Communications Co. PJSC (Yahsat) | Β | β2,178,438 | ββ1,577,669 |
Aldar Properties PJSC | Β | βββ522,500 | ββββ735,313 |
Americana Restaurants International PLC | Β | βββ494,400 | ββββ505,547 |
Aramex PJSC | Β | βββ442,000 | ββββ360,802 |
Dubai Electricity & Water Authority PJSC | Β | β1,686,287 | ββ1,230,365 |
Dubai Islamic Bank PJSC | Β | βββ285,567 | ββββ447,212 |
Emaar Properties PJSC | Β | βββ675,300 | ββ1,242,584 |
Emirates Telecommunications Group Co. PJSC | Β | βββ353,100 | ββ2,153,177 |
First Abu Dhabi Bank PJSC | Β | βββ448,554 | ββ1,787,677 |
Multiply Group PJSC(1) | Β | βββ345,100 | ββββ303,449 |
National Central Cooling Co. PJSC | Β | βββ689,840 | ββββ647,642 |
Q Holding PJSC(1) | Β | βββ227,300 | ββββ154,161 |
Ras Al Khaimah Ceramics | Β | βββ650,700 | ββββ476,544 |
Β | Β | Β | $β14,078,491 |
Vietnam β 7.2% | |||
Digiworld Corp.(1) | Β | β1,064,800 | $ββ2,435,516 |
Duc Giang Chemicals JSC | Β | βββ712,600 | ββ2,169,802 |
FPT Corp. | Β | β1,438,970 | ββ5,564,038 |
FPT Digital Retail JSC | Β | βββ663,860 | ββ2,143,189 |
Gemadept Corp. | Β | βββ745,200 | ββ1,847,940 |
Mobile World Investment Corp. | Β | β1,041,098 | ββ2,525,402 |
Novaland Investment Group Corp.(1) | Β | βββββ7,524 | ββββββ5,986 |
Phat Dat Real Estate Development Corp.(1) | Β | βββββ3,271 | ββββββ2,995 |
Phu Nhuan Jewelry JSC | Β | β1,185,066 | ββ4,155,183 |
Refrigeration Electrical Engineering Corp. | Β | βββ629,803 | ββ1,782,900 |
Β | Β | Β | $β22,632,951 |
Total Common Stocks (identified cost $222,863,911) | Β | Β | $283,044,558 |
Β Β Β Β
Β
5
Global Macro Capital Opportunities Portfolio
July 31, 2023
Portfolio of InvestmentsΒ (Unaudited)Β βΒ continued
Loan Participation Notes β 3.4% |
Security | Principal Amount (000's omitted) | Value | |
Uzbekistan β 3.4% | |||
Daryo Finance BV (borrower - Uzbek Industrial and Construction Bank ATB), 18.75%, 6/15/25(4)(6)(7) | UZS | 48,512,190 | $ββ4,199,474 |
Europe Asia Investment Finance BV (borrower - Joint Stock Commercial Bank "Asaka"), 18.70%, 7/21/26(4)(6)(7) | UZS | 81,043,560 | ββ6,652,964 |
Total Loan Participation Notes (identified cost $10,733,926) | Β | Β | $β10,852,438 |
Β Β Β Β
Preferred Stocks β 0.5% |
Security | Shares | Value | |
South Korea β 0.5% | |||
Hanwha Galleria Co., Ltd.(1) | Β | ββββββββ45 | $ββββββββ160 |
Hanwha Solutions Corp.(1) | Β | ββββββββ40 | ββββββββ877 |
Hyundai Motor Co., Ltd. | Β | βββββ1,499 | ββββ127,500 |
LG Chem, Ltd. | Β | βββββββ400 | ββββ123,274 |
Samsung Electronics Co., Ltd. | Β | ββββ27,339 | ββ1,231,369 |
Total Preferred Stocks (identified cost $1,250,254) | Β | Β | $ββ1,483,180 |
Β Β Β Β
Sovereign Government Bonds β 0.1% |
Security | Principal Amount (000's omitted) | Value | |
Greece β 0.1% | |||
Hellenic Republic Government Bond, 0.00%, GDP-Linked, 10/15/42 | EUR | ββββ79,360 | $ββββ337,683 |
Total Sovereign Government Bonds (identified cost $308,455) | Β | Β | $ββββ337,683 |
Β Β Β Β
Short-Term Investments β 2.7% |
Affiliated Fund β 2.2% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.19%(8) | Β | β6,997,593 | $ββ6,997,593 |
Total Affiliated Fund (identified cost $6,997,593) | Β | Β | $ββ6,997,593 |
Β Β Β Β
U.S. Treasury Obligations β 0.5% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bill, 0.00%, 10/12/23(9) | $ | βββββ1,500 | $ββ1,484,198 |
Total U.S. Treasury Obligations (identified cost $1,484,490) | Β | Β | $ββ1,484,198 |
Total Short-Term Investments (identified cost $8,482,083) | Β | Β | $ββ8,481,791 |
Β | Β | Β | |
Total Purchased Options β 0.1% (identified cost $150,553) | Β | Β | $ββββ255,713 |
Total Investments β 97.0% (identified cost $243,789,182) | Β | Β | $304,455,363 |
Total Written Options β (0.0)%(5) (premiums received $54,678) | Β | Β | $ββββ(35,593) |
Other Assets, Less Liabilities β 3.0% | Β | Β | $ββ9,433,394 |
Net Assets β 100.0% | Β | Β | $313,853,164 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
(1) | Non-income producing security. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At July 31, 2023, the aggregate value of these securities is $9,522,329 or 3.0% of the Portfolio's net assets. |
(3) | Securities are traded on separate exchanges for the same entity. |
(4) | Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At July 31, 2023, the aggregate value of these securities is $21,784,515 or 6.9% of the Portfolio's net assets. |
(5) | Amount is less than 0.05% or (0.05)%, as applicable. |
(6) | For fair value measurement disclosure purposes, security is categorized as Level 3. |
(7) | Limited recourse note whose payments by the issuer are limited to amounts received by the issuer from the borrower pursuant to a loan agreement with the borrower. |
(8) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of July 31, 2023. |
(9) | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts. |
Β
6
Global Macro Capital Opportunities Portfolio
July 31, 2023
Portfolio of InvestmentsΒ (Unaudited)Β βΒ continued
Sector Classification of Portfolio | ||
Sector | Percentage of Net Assets | Value |
Financials | 39.3% | $123,470,144 |
Information Technology | 10.6 | 33,200,312 |
Consumer Discretionary | 10.1 | 31,541,320 |
Industrials | 8.4 | 26,477,639 |
Communication Services | 6.1 | 19,174,077 |
Utilities | 4.8 | 15,023,789 |
Materials | 4.7 | 14,745,902 |
Energy | 4.3 | 13,391,993 |
Consumer Staples | 2.5 | 7,976,763 |
Health Care | 1.7 | 5,406,588 |
Real Estate | 1.6 | 4,971,649 |
Government | 0.1 | 337,683 |
Short-Term Investments | 2.7 | 8,481,791 |
Total | 96.9% | $304,199,650 |
Purchased Currency Options (OTC) β 0.1%β | |||||||
Description | Counterparty | Notional Amount | Exercise Price | Expiration Date | Value | ||
Call USD vs. Put CNH | Barclays Bank PLC | USD | 7,800,000 | CNH | 7.00 | 1/18/24 | $139,480 |
Call USD vs. Put CNH | Goldman Sachs International | USD | 6,500,000 | CNH | 7.00 | 1/18/24 | 116,233 |
Total | Β | Β | Β | Β | Β | Β | $255,713 |
Written Currency Options (OTC) β (0.0)%(1)β | |||||||
Description | Counterparty | Notional Amount | Exercise Price | Expiration Date | Value | ||
Call USD vs. Put CNH | Barclays Bank PLC | USD | 7,800,000 | CNH | 7.50 | 1/18/24 | $(19,414) |
Call USD vs. Put CNH | Goldman Sachs International | USD | 6,500,000 | CNH | 7.50 | 1/18/24 | (16,179) |
Total | Β | Β | Β | Β | Β | Β | $(35,593) |
(1) | Amount is less than (0.05)%. |
Forward Foreign Currency Exchange Contracts (Centrally Cleared)β | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
EUR | ββββ19,062,883 | USD | 20,898,000 | 9/20/23 | $111,572 |
EUR | βββββ1,296,988 | USD | β1,421,845 | 9/20/23 | ββ7,591 |
EUR | βββββββ231,219 | USD | βββ253,477 | 9/20/23 | ββ1,353 |
KRW | 13,200,000,000 | USD | 10,408,042 | 9/20/23 | (48,954) |
7
Global Macro Capital Opportunities Portfolio
July 31, 2023
Portfolio of InvestmentsΒ (Unaudited)Β βΒ continued
Forward Foreign Currency Exchange Contracts (Centrally Cleared)β(continued) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
USD | βββββ1,699,213 | EUR | β1,550,000 | 9/20/23 | $β(9,072) |
USD | βββββ2,317,221 | EUR | β2,113,739 | 9/20/23 | (12,371) |
USD | βββββ2,607,277 | EUR | β2,378,324 | 9/20/23 | (13,920) |
USD | βββββ3,923,485 | EUR | β3,578,952 | 9/20/23 | (20,947) |
USD | βββββ4,547,403 | EUR | β4,148,082 | 9/20/23 | (24,278) |
USD | βββββ7,500,492 | EUR | β6,841,851 | 9/20/23 | (40,044) |
Β | Β | Β | Β | Β | $(49,070) |
Forward Foreign Currency Exchange Contracts (OTC)β | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 23,639,464 | CNH | 168,000,000 | BNP Paribas | 11/24/23 | $βββββ | $(109,964) |
USD | 22,319,552 | CNH | 155,348,700 | HSBC Bank USA, N.A. | 11/24/23 | 358,582 | ββββββ |
Β | Β | Β | Β | Β | Β | $358,582 | $(109,964) |
Futures Contractsβ | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Equity Futures | Β | Β | Β | Β | Β |
FTSE China A50 Index | 558 | Long | 8/30/23 | $β7,453,437 | $ββ231,181 |
Hang Seng China Enterprises Index | 529 | Long | 8/30/23 | 23,781,069 | 1,871,916 |
Hang Seng Index | 77 | Long | 8/30/23 | 10,023,244 | ββ574,922 |
MSCI Emerging Markets Index | 240 | Long | 9/15/23 | 12,651,600 | ββ131,866 |
Β | Β | Β | Β | Β | $2,809,885 |
Total Return Swaps (OTC)β | ||||||
Counterparty | Notional Amount (000's omitted) | Portfolio Receives | Portfolio Pays | Termination Date | Value/Unrealized Appreciation (Depreciation) | |
Citibank, N.A. | KRW | 14,441 | Positive Return on KOSPI 200 Index Futures 9/2023 (pays upon termination) | Negative Return on KOSPI 200 Index Futures 9/2023 (pays upon termination) | 9/14/23 | $44,601 |
Β | Β | Β | Β | Β | Β | $44,601 |
8
Global Macro Capital Opportunities Portfolio
July 31, 2023
Portfolio of InvestmentsΒ (Unaudited)Β βΒ continued
Abbreviations: | |
ADR | ββAmerican Depositary Receipt |
FTSE | ββFinancial Times Stock Exchange |
GDP | ββGross Domestic Product |
GDR | ββGlobal Depositary Receipt |
OTC | ββOver-the-counter |
Currency Abbreviations: | |
CNH | ββYuan Renminbi Offshore |
EUR | ββEuro |
KRW | ββSouth Korean Won |
USD | ββUnited States Dollar |
UZS | ββUzbekistani Som |
Β
In the normal course of pursuing its investment objective, the Portfolio is subject to the following risks:
Equity Price Risk: TheΒ Portfolio enters into equity futures contracts and total return swaps to enhance total return, to manage certain investment risks and/or as a substitute for the purchase of securities.
Foreign Exchange Risk: The Portfolio engages in forward foreign currency exchange contracts and currency options to enhance total return, to seek to hedge against fluctuations in currency exchange rates and/or as a substitute for the purchase or sale of securities or currencies.
At July 31, 2023, the Portfolio had sufficient cash and/or securities to cover commitments under open derivative contracts.
Affiliated Investments
At July 31, 2023, the value of the Portfolio's investment in funds that may be deemed to be affiliated was $6,997,593, which represents 2.2% of the Portfolio's net assets.Β Transactions in such investments by the Portfolio for the fiscal year to date ended July 31, 2023 were as follows:
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss)β | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Shares, end of period |
Short-Term Investmentsβ | ||||||||
Liquidity Fund, Institutional Class(1) | $2,240,401 | $134,394,076 | $(129,636,884) | $ββ | $ββ | $6,997,593 | $253,898 | 6,997,593 |
(1) | Represents investment in Morgan Stanley Institutional Liquidity Funds - Government Portfolio. |
Fair Value Measurements
Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
β’ | Level 1 β quoted prices in active markets for identical investments |
β’ | Level 2 β other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
β’ | Level 3 β significant unobservable inputs (including a fund's own assumptions in determining the fair value of investments) |
In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
At July 31, 2023, the hierarchy of inputs used in valuing the Portfolioβs investments and open derivative instruments, which are carried at value, were as follows:
Asset Descriptionβ | Level 1 | Level 2 | Level 3 | Total |
Common Stocks: | Β | Β | Β | Β |
Asia/Pacific | $10,832,936 | $126,376,021 | $ββββββββ | $137,208,957 |
Emerging Europe | β2,885,011 | 115,662,077 | ββββββββ | 118,547,088 |
Middle East/Africa | ββββββββ | β27,288,513 | ββββββββ | β27,288,513 |
Total Common Stocks | $13,717,947 | $269,326,611* | $ββββββββ | $283,044,558 |
9
Global Macro Capital Opportunities Portfolio
July 31, 2023
Portfolio of InvestmentsΒ (Unaudited)Β βΒ continued
Asset Descriptionβ(continued) | Level 1 | Level 2 | Level 3 | Total |
Loan Participation Notes | $ββββββββ | $βββββββββ | $10,852,438 | $β10,852,438 |
Preferred Stocks | ββββββββ | ββ1,483,180 | ββββββββ | ββ1,483,180 |
Sovereign Government Bonds | ββββββββ | ββββ337,683 | ββββββββ | ββββ337,683 |
Short-Term Investments: | Β | Β | Β | Β |
Affiliated Fund | β6,997,593 | βββββββββ | ββββββββ | ββ6,997,593 |
U.S. Treasury Obligations | ββββββββ | ββ1,484,198 | ββββββββ | ββ1,484,198 |
Purchased Currency Options | ββββββββ | ββββ255,713 | ββββββββ | ββββ255,713 |
Total Investments | $20,715,540 | $272,887,385 | $10,852,438 | $304,455,363 |
Forward Foreign Currency Exchange Contracts | $ββββββββ | $ββββ479,098 | $ββββββββ | $ββββ479,098 |
Futures Contracts | βββ131,866 | ββ2,678,019 | ββββββββ | ββ2,809,885 |
Swap Contracts | ββββββββ | βββββ44,601 | ββββββββ | βββββ44,601 |
Total | $20,847,406 | $276,089,103 | $10,852,438 | $307,788,947 |
Liability Descriptionβ | Β | Β | Β | Β |
Written Currency Options | $ββββββββ | $ββββ(35,593) | $ββββββββ | $ββββ(35,593) |
Forward Foreign Currency Exchange Contracts | ββββββββ | βββ(279,550) | ββββββββ | βββ(279,550) |
Total | $ββββββββ | $βββ(315,143) | $ββββββββ | $βββ(315,143) |
* | Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the close of trading in their applicable foreign markets. |
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
Β | Loan Participation Notesβ |
Balance as of October 31, 2022 | ββββββ$ββ |
Realized gains (losses) | ββββββββ |
Change in net unrealized appreciation (depreciation) | βββ118,512 |
Cost of purchases | 10,718,814 |
Proceeds from sales, including return of capital | ββββββββ |
Accrued discount (premium) | ββββ15,112 |
Transfers to Level 3 | ββββββββ |
Transfers from Level 3 | ββββββββ |
Balance as of July 31, 2023 | $10,852,438 |
Change in net unrealized appreciation (depreciation) on investments still held as of July 31, 2023 | $βββ118,512 |
10
Global Macro Capital Opportunities Portfolio
July 31, 2023
Portfolio of InvestmentsΒ (Unaudited)Β βΒ continued
The following is a summary of quantitative information about significant unobservable valuation inputs for Level 3 investments held as of July 31, 2023:
Type of Investment | Fair Value as of July 31, 2023 | Valuation Technique | Unobservable Input | Range of Unobservable Input | Impact to Valuation from an Increase to Input* |
Loan Participation Notes | $10,852,438 | Matrix Pricing | Adjusted Credit Spread to the Central Bank of Uzbekistan Quoted Policy Rate | 4.92% - 8.32%** | Decrease |
* | Represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. |
** | The weighted average of the unobservable input is 7.05% based on relative principal amounts. |
For information on the Portfolioβs policy regarding the valuation of investments and other significant accounting policies, please refer to the Portfolioβs most recent financial statements included in its semiannual or annual report to shareholders.
11