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: 811-23002
LATTICE STRATEGIES TRUST
(Exact name of registrant as specified in charter)
690 Lee Road, Wayne, Pennsylvania 19087
(Address of Principal Executive Offices) (Zip Code)
Thomas R. Phillips, Esquire
Hartford Funds Management Company, LLC
690 Lee Road
Wayne, Pennsylvania 19087
(Name and Address of Agent for Service)
Copy to:
John V. O’Hanlon, Esq/
Dechert LLP
One International Place, 40th Floor
100 Oliver Street
Boston, MA 02110-2605
Registrant’s telephone number, including area code: (610) 386-4068
Date of fiscal year end: September 30
Date of reporting period: September 30, 2021
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
■ Hartford Longevity Economy ETF |
■ Hartford Multifactor Developed Markets (ex-US) ETF |
■ Hartford Multifactor Diversified International ETF |
■ Hartford Multifactor Emerging Markets ETF |
■ Hartford Multifactor Small Cap ETF |
■ Hartford Multifactor US Equity ETF |
President
Hartford Funds
1 S&P 500 Index is a market capitalization-weighted price index composed of 500 widely held common stocks. The index is unmanaged and not available for direct investment. Past performance is not indicative of future results. |
September 30, 2021 (Unaudited)
Inception 03/16/2021 Sub-advised by Mellon Investments Corporation | Investment objective – The Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of the Hartford Longevity Economy Index (LHLGEX) (the “Index”), which is designed to generate attractive risk-adjusted returns by investing in companies that comprise industries that reflect certain themes that are expected to benefit from the growth of the aging population and the substantial buying power it represents. |
Cumulative Total Returns | |
for the Period Ending 09/30/2021 | |
Since Inception1 | |
Hartford Longevity Economy ETF (NAV Return) | 5.58% |
Hartford Longevity Economy ETF (Market Price Return) | 5.66% |
Hartford Longevity Economy Index | 5.84% |
Russell 3000 Index (Gross) | 7.76% |
1 | Inception: 03/16/2021 |
2 |
September 30, 2021 (Unaudited)
Composition by Sector(1) | |
as of 09/30/2021 | |
Sector | Percentage of Net Assets |
Equity Securities | |
Communication Services | 13.6% |
Consumer Discretionary | 15.4 |
Consumer Staples | 3.9 |
Financials | 11.9 |
Health Care | 21.8 |
Industrials | 2.6 |
Information Technology | 28.5 |
Real Estate | 1.2 |
Utilities | 1.0 |
Total | 99.9% |
Short-Term Investments | 0.9 |
Other Assets & Liabilities | (0.8) |
Total | 100.0% |
(1) | A sector may be comprised of several industries. For Fund compliance purposes, the Fund may not use the same classification system. These sector classifications are used for financial reporting purposes. |
3 |
September 30, 2021 (Unaudited)
Inception 02/25/2015 Sub-advised by Mellon Investments Corporation | Investment objective – The Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of an index that tracks the performance of companies located in major developed markets of Europe, Canada and the Pacific Region. |
Average Annual Total Returns | |||
for the Periods Ending 09/30/2021 | |||
1 Year | 5 Years | Since Inception1 | |
Multifactor Developed Markets (ex-US) ETF (NAV Return) | 20.81% | 7.13% | 5.75% |
Multifactor Developed Markets (ex-US) ETF (Market Price Return) | 20.24% | 6.90% | 5.67% |
Hartford Risk-Optimized Multifactor Developed Markets (ex-US) Index | 20.96% | 7.25% | 5.91% |
MSCI World ex USA Index (Net) | 26.50% | 8.88% | 5.80% |
1 | Inception: 02/25/2015 |
4 |
September 30, 2021 (Unaudited)
Composition by Sector(1) | |
as of 09/30/2021 | |
Sector | Percentage of Net Assets |
Equity Securities | |
Communication Services | 7.1% |
Consumer Discretionary | 10.1 |
Consumer Staples | 11.6 |
Energy | 2.1 |
Financials | 15.6 |
Health Care | 12.8 |
Industrials | 15.1 |
Information Technology | 8.2 |
Materials | 6.2 |
Real Estate | 4.9 |
Utilities | 5.2 |
Total | 98.9% |
Short-Term Investments | 1.8 |
Other Assets & Liabilities | (0.7) |
Total | 100.0% |
(1) | A sector may be comprised of several industries. For Fund compliance purposes, the Fund may not use the same classification system. These sector classifications are used for financial reporting purposes. |
5 |
September 30, 2021 (Unaudited)
Inception 05/10/2017 Sub-advised by Mellon Investments Corporation | Investment objective – The Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of an index that tracks the performance of companies located in both developed and emerging markets. |
Average Annual Total Returns | ||
for the Periods Ending 09/30/2021 | ||
1 Year | Since Inception1 | |
Multifactor Diversified International ETF (NAV Return) | 25.06% | 5.94% |
Multifactor Diversified International ETF (Market Price Return) | 24.41% | 5.88% |
Hartford Multifactor Diversified International Index | 25.78% | 5.64% 2 |
MSCI All Country World (ACWI) ex USA Index (Net) | 23.92% | 7.73% |
1 | Inception: 05/10/2017 |
2 | The Hartford Multifactor Diversified International Index commenced operations on 06/28/2019. Reflects annualized returns starting on 06/28/2019. |
6 |
September 30, 2021 (Unaudited)
Composition by Sector(1) | |
as of 09/30/2021 | |
Sector | Percentage of Net Assets |
Equity Securities | |
Communication Services | 8.5% |
Consumer Discretionary | 11.3 |
Consumer Staples | 10.2 |
Energy | 5.6 |
Financials | 16.5 |
Health Care | 10.8 |
Industrials | 11.5 |
Information Technology | 12.0 |
Materials | 6.4 |
Real Estate | 3.7 |
Utilities | 2.8 |
Total | 99.3% |
Short-Term Investments | 1.8 |
Other Assets & Liabilities | (1.1) |
Total | 100.0% |
(1) | A sector may be comprised of several industries. For Fund compliance purposes, the Fund may not use the same classification system. These sector classifications are used for financial reporting purposes. |
7 |
September 30, 2021 (Unaudited)
Inception 02/25/2015 Sub-advised by Mellon Investments Corporation | Investment objective – The Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of an index based upon the emerging markets of the world. |
Average Annual Total Returns | |||
for the Periods Ending 09/30/2021 | |||
1 Year | 5 Years | Since Inception1 | |
Multifactor Emerging Markets ETF (NAV Return) | 29.86% | 5.44% | 2.30% |
Multifactor Emerging Markets ETF (Market Price Return) | 27.96% | 4.93% | 2.17% |
Hartford Multifactor Emerging Markets Equity Index | 30.75% | — | 5.72% 2 |
MSCI Emerging Markets Index (Net) | 18.20% | 9.23% | 6.09% |
1 | Inception: 02/25/2015 |
2 | The Hartford Multifactor Emerging Markets Equity Index commenced operations on 06/28/2019. Reflects annualized returns starting on 06/28/2019. |
8 |
September 30, 2021 (Unaudited)
Composition by Sector(1) | |
as of 09/30/2021 | |
Sector | Percentage of Net Assets |
Equity Securities | |
Communication Services | 12.1% |
Consumer Discretionary | 16.1 |
Consumer Staples | 6.0 |
Energy | 6.4 |
Financials | 19.4 |
Health Care | 4.2 |
Industrials | 2.8 |
Information Technology | 21.8 |
Materials | 5.2 |
Real Estate | 2.3 |
Utilities | 3.1 |
Total | 99.4% |
Short-Term Investments | 0.2 |
Other Assets & Liabilities | 0.4 |
Total | 100.0% |
(1) | A sector may be comprised of several industries. For Fund compliance purposes, the Fund may not use the same classification system. These sector classifications are used for financial reporting purposes. |
9 |
September 30, 2021 (Unaudited)
Inception 03/23/2015 Sub-advised by Mellon Investments Corporation | Investment objective – The Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of an index that tracks the performance of small capitalization exchange traded equity securities. |
Average Annual Total Returns | |||
for the Periods Ending 09/30/2021 | |||
1 Year | 5 Years | Since Inception1 | |
Multifactor Small Cap ETF (NAV Return) | 50.39% | 11.04% | 9.21% |
Multifactor Small Cap ETF (Market Price Return) | 50.53% | 10.90% | 9.19% |
Hartford Multifactor Small Cap Index | 50.96% | — | 17.01% 2 |
Russell 2000 Index (Gross) | 47.68% | 13.45% | 10.37% |
1 | Inception: 03/23/2015 |
2 | The Hartford Multifactor Small Cap Index commenced operations on 06/28/2019. Reflects annualized returns starting on 06/28/2019. |
10 |
September 30, 2021 (Unaudited)
Composition by Sector(1) | |
as of 09/30/2021 | |
Sector | Percentage of Net Assets |
Equity Securities | |
Communication Services | 5.7% |
Consumer Discretionary | 13.4 |
Consumer Staples | 5.8 |
Energy | 2.8 |
Financials | 18.3 |
Health Care | 19.0 |
Industrials | 13.8 |
Information Technology | 10.5 |
Materials | 3.6 |
Real Estate | 5.9 |
Utilities | 0.7 |
Total | 99.5% |
Short-Term Investments | 0.1 |
Other Assets & Liabilities | 0.4 |
Total | 100.0% |
(1) | A sector may be comprised of several industries. For Fund compliance purposes, the Fund may not use the same classification system. These sector classifications are used for financial reporting purposes. |
11 |
September 30, 2021 (Unaudited)
Inception 02/25/2015 Sub-advised by Mellon Investments Corporation | Investment objective – The Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of an index that tracks the performance of exchange traded U.S. equity securities. |
Average Annual Total Returns | |||
for the Periods Ending 09/30/2021 | |||
1 Year | 5 Years | Since Inception1 | |
Multifactor US Equity ETF (NAV Return) | 27.83% | 12.42% | 9.42% |
Multifactor US Equity ETF (Market Price Return) | 27.92% | 12.40% | 9.42% |
Hartford Multifactor Large Cap Index | 28.12% | — | 13.32% 2 |
Russell 1000 Index (Gross) | 30.96% | 17.11% | 13.62% |
1 | Inception: 02/25/2015 |
2 | The Hartford Multifactor Large Cap Index commenced operations on 06/28/2019. Reflects annualized returns starting on 06/28/2019. |
12 |
September 30, 2021 (Unaudited)
Composition by Sector(1) | |
as of 09/30/2021 | |
Sector | Percentage of Net Assets |
Equity Securities | |
Communication Services | 9.0% |
Consumer Discretionary | 10.3 |
Consumer Staples | 7.6 |
Energy | 0.6 |
Financials | 10.0 |
Health Care | 15.4 |
Industrials | 10.6 |
Information Technology | 25.6 |
Materials | 2.1 |
Real Estate | 4.1 |
Utilities | 4.3 |
Total | 99.6% |
Short-Term Investments | 0.3 |
Other Assets & Liabilities | 0.1 |
Total | 100.0% |
(1) | A sector may be comprised of several industries. For Fund compliance purposes, the Fund may not use the same classification system. These sector classifications are used for financial reporting purposes. |
13 |
Hartford Longevity Economy Index seeks to generate attractive risk-adjusted returns by investing in companies that comprise industries that reflect certain themes that are expected to benefit from the growth of the aging population and the substantial buying power it represents. |
Hartford Multifactor Diversified International Index seeks to enhance return potential available from investment in developed market (excluding the US) and emerging market companies while reducing volatility by up to fifteen-percent over a complete market cycle. |
Hartford Multifactor Emerging Markets Equity Index seeks to enhance return potential available from investment in emerging market companies while reducing volatility by up to fifteen-percent over a complete market cycle. |
Hartford Multifactor Large Cap Index seeks to enhance return potential available from investment in the initial capitalized-weighted universe while reducing volatility by up to fifteen-percent over a complete market cycle. |
Hartford Multifactor Small Cap Index seeks to enhance return potential available from investment in the initial capitalization-weighted universe while reducing volatility by up to fifteen-percent over a complete market cycle. |
Hartford Risk-Optimized Multifactor Developed Markets (ex-US) Index seeks to address risks and opportunities within developed market stocks located outside the United States by selecting equity securities exhibiting a favorable combination of factors, including value, momentum, and quality. |
MSCI ACWI (All Country World) ex USA Index (Net) (reflects reinvested dividends net of withholding taxes but reflects no deduction for fees, expenses or other taxes) is designed to capture large and mid cap representation across developed markets (excluding the United States) and emerging market countries. |
MSCI Emerging Markets Index (Net) reflects reinvested dividends net of withholding taxes but (reflects no deduction for fees, expenses or other taxes) is designed to capture large and mid cap representation across emerging market countries. |
MSCI World ex USA Index (Net) (reflects no deduction for fees, expenses or other taxes) is a free float-adjusted market capitalization index that is designed to capture large and mid cap representation across developed markets countries—excluding the United States. |
Neither MSCI nor any other party involved in or related to compiling, computing or creating the MSCI data makes any express or implied warranties or representations with respect to such data (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such data. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates or any third party involved in or related to compiling, computing or creating the data have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. No further distribution or dissemination of the MSCI data is permitted without MSCI’s express written consent. |
Russell 1000 Index (Gross) (reflects no deduction for fees, expenses or taxes) is designed to measure the performance of the 1,000 largest companies in the Russell 3000 Index. The Russell 3000 Index is designed to measure the performance of the 3,000 largest U.S. companies based on total market capitalizations. |
Russell 2000 Index (Gross) (reflects no deduction for fees, expenses or taxes) is an index comprised of 2,000 of the smallest U.S.-domiciled company common stocks based on a combination of their market capitalization and current index membership. |
Russell 3000 Index (Gross) is designed to measure the performance of the 3,000 largest U.S. companies based on total market capitalization. |
14 |
Actual Return | Hypothetical (5% return before expenses) | ||||||||||||
Beginning Account Value April 1, 2021 | Ending Account Value September 30, 2021 | Expenses paid during the period April 1, 2021 through September 30, 2021 | Beginning Account Value April 1, 2021 | Ending Account Value September 30, 2021 | Expenses paid during the period April 1, 2021 through September 30, 2021 | Annualized expense ratio | |||||||
Hartford Longevity Economy ETF | $ 1,000.00 | $ 1,066.50 | $ 2.28 | $ 1,000.00 | $ 1,022.86 | $ 2.23 | 0.44% | ||||||
Hartford Multifactor Developed Markets (ex-US) ETF | $ 1,000.00 | $ 1,037.90 | $ 1.48 | $ 1,000.00 | $ 1,023.61 | $ 1.47 | 0.29% | ||||||
Hartford Multifactor Diversified International ETF | $ 1,000.00 | $ 1,048.10 | $ 1.49 | $ 1,000.00 | $ 1,023.61 | $ 1.47 | 0.29% | ||||||
Hartford Multifactor Emerging Markets ETF | $ 1,000.00 | $ 1,036.60 | $ 2.25 | $ 1,000.00 | $ 1,022.86 | $ 2.23 | 0.44% | ||||||
Hartford Multifactor Small Cap ETF | $ 1,000.00 | $ 1,015.40 | $ 1.72 | $ 1,000.00 | $ 1,023.36 | $ 1.72 | 0.34% | ||||||
Hartford Multifactor US Equity ETF | $ 1,000.00 | $ 1,064.20 | $ 0.98 | $ 1,000.00 | $ 1,024.12 | $ 0.96 | 0.19% |
15 |
September 30, 2021
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.9% | |||
Automobiles & Components - 1.1% | |||
6,215 | Ford Motor Co.* | $ 88,004 | |
2,917 | General Motors Co.* | 153,755 | |
561 | Gentex Corp. | 18,502 | |
119 | Thor Industries, Inc. | 14,609 | |
185 | Winnebago Industries, Inc. | 13,403 | |
288,273 | |||
Banks - 4.5% | |||
2,780 | Bank of America Corp. | 118,011 | |
223 | CIT Group, Inc. | 11,585 | |
2,642 | Citigroup, Inc. | 185,415 | |
1,371 | Citizens Financial Group, Inc. | 64,410 | |
179 | Eagle Bancorp, Inc. | 10,292 | |
2,481 | Fifth Third Bancorp | 105,294 | |
131 | First Horizon National Corp. | 2,134 | |
350 | First Interstate BancSystem, Inc. Class A | 14,091 | |
1,087 | JP Morgan Chase & Co. | 177,931 | |
1,610 | KeyCorp. | 34,808 | |
84 | M&T Bank Corp. | 12,545 | |
361 | OceanFirst Financial Corp. | 7,729 | |
385 | PNC Financial Services Group, Inc. | 75,321 | |
436 | Popular, Inc. | 33,864 | |
367 | Preferred Bank | 24,472 | |
738 | Regions Financial Corp. | 15,727 | |
1,266 | Towne Bank | 39,385 | |
632 | Trustmark Corp. | 20,363 | |
1,373 | U.S. Bancorp | 81,611 | |
932 | Umpqua Holdings Corp. | 18,873 | |
1,327 | Wells Fargo & Co. | 61,586 | |
1,115,447 | |||
Capital Goods - 1.9% | |||
467 | General Dynamics Corp. | 91,546 | |
527 | Huntington Ingalls Industries, Inc. | 101,743 | |
224 | L3Harris Technologies, Inc. | 49,334 | |
345 | Lockheed Martin Corp. | 119,059 | |
335 | Northrop Grumman Corp. | 120,650 | |
482,332 | |||
Consumer Durables & Apparel - 2.6% | |||
511 | Carter's, Inc. | 49,690 | |
570 | D.R. Horton, Inc. | 47,863 | |
732 | Garmin Ltd. | 113,797 | |
1,010 | Kontoor Brands, Inc. | 50,450 | |
24 | La-Z-Boy, Inc. | 774 | |
543 | Leggett & Platt, Inc. | 24,348 | |
8 | Mohawk Industries, Inc.* | 1,419 | |
1,345 | Newell Brands, Inc. | 29,778 | |
6 | NVR, Inc.* | 28,764 | |
176 | Polaris, Inc. | 21,060 | |
635 | PulteGroup, Inc. | 29,159 | |
1,749 | Sturm Ruger & Co., Inc. | 129,041 | |
583 | Whirlpool Corp. | 118,850 | |
644,993 | |||
Consumer Services - 2.7% | |||
24 | Booking Holdings, Inc.* | 56,973 | |
124 | Boyd Gaming Corp.* | 7,844 | |
715 | Choice Hotels International, Inc. | 90,355 | |
39 | Churchill Downs, Inc. | 9,363 | |
6 | Domino's Pizza, Inc. | 2,862 | |
956 | Everi Holdings, Inc.* | 23,116 | |
146 | Graham Holdings Co. Class B | 86,017 | |
1,993 | H&R Block, Inc. | 49,825 | |
128 | Hilton Worldwide Holdings, Inc.* | 16,910 | |
286 | McDonald's Corp. | 68,958 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.9% - (continued) | |||
Consumer Services - 2.7% - (continued) | |||
186 | Monarch Casino & Resort, Inc.* | $ 12,460 | |
733 | Red Rock Resorts, Inc. Class A* | 37,544 | |
152 | Starbucks Corp. | 16,767 | |
531 | Travel + Leisure Co. | 28,955 | |
104 | Vail Resorts, Inc.* | 34,741 | |
429 | Wyndham Hotels & Resorts, Inc. | 33,115 | |
744 | Yum! Brands, Inc. | 90,999 | |
666,804 | |||
Diversified Financials - 3.8% | |||
1,489 | Ally Financial, Inc. | 76,013 | |
82 | American Express Co. | 13,737 | |
2,633 | Bank of New York Mellon Corp. | 136,495 | |
142 | Berkshire Hathaway, Inc. Class B* | 38,758 | |
9 | BlackRock, Inc. | 7,548 | |
554 | Capital One Financial Corp. | 89,731 | |
268 | Charles Schwab Corp. | 19,521 | |
118 | Discover Financial Services | 14,496 | |
197 | Goldman Sachs Group, Inc. | 74,472 | |
230 | Houlihan Lokey, Inc. | 21,183 | |
35 | Intercontinental Exchange, Inc. | 4,019 | |
170 | Janus Henderson Group plc | 7,026 | |
697 | Jefferies Financial Group, Inc. | 25,880 | |
68 | Moody's Corp. | 24,147 | |
484 | Morgan Stanley | 47,098 | |
236 | Nasdaq, Inc. | 45,553 | |
493 | Northern Trust Corp. | 53,150 | |
1,326 | Raymond James Financial, Inc. | 122,363 | |
10 | S&P Global, Inc. | 4,249 | |
125 | State Street Corp. | 10,590 | |
970 | Synchrony Financial | 47,414 | |
175 | T Rowe Price Group, Inc. | 34,423 | |
401 | Voya Financial, Inc. | 24,617 | |
942,483 | |||
Food & Staples Retailing - 0.9% | |||
43 | Costco Wholesale Corp. | 19,322 | |
2,090 | Kroger Co. | 84,499 | |
809 | Walgreens Boots Alliance, Inc. | 38,063 | |
324 | Walmart, Inc. | 45,159 | |
650 | Weis Markets, Inc. | 34,158 | |
221,201 | |||
Food, Beverage & Tobacco - 1.1% | |||
1,756 | Flowers Foods, Inc. | 41,494 | |
111 | General Mills, Inc. | 6,640 | |
391 | Hershey Co. | 66,177 | |
390 | Kellogg Co. | 24,929 | |
1,625 | Tyson Foods, Inc. Class A | 128,277 | |
267,517 | |||
Health Care Equipment & Services - 13.1% | |||
505 | Abbott Laboratories | 59,656 | |
625 | Anthem, Inc. | 233,000 | |
2,159 | Baxter International, Inc. | 173,648 | |
325 | Becton Dickinson and Co. | 79,892 | |
594 | Boston Scientific Corp.* | 25,774 | |
3,235 | Cardinal Health, Inc. | 160,003 | |
766 | Centene Corp.* | 47,730 | |
2,421 | Cerner Corp. | 170,729 | |
1,479 | Change Healthcare, Inc.* | 30,970 | |
646 | Cigna Corp. | 129,303 | |
68 | CONMED Corp. | 8,896 | |
193 | Cooper Cos., Inc. | 79,769 | |
2,422 | CVS Health Corp. | 205,531 | |
105 | Danaher Corp. | 31,966 |
16 |
September 30, 2021
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.9% - (continued) | |||
Health Care Equipment & Services - 13.1% - (continued) | |||
668 | Edwards Lifesciences Corp.* | $ 75,624 | |
532 | Encompass Health Corp. | 39,921 | |
738 | Globus Medical, Inc. Class A* | 56,546 | |
335 | HCA Healthcare, Inc. | 81,311 | |
740 | Hill-Rom Holdings, Inc. | 111,000 | |
275 | Hologic, Inc.* | 20,298 | |
571 | Humana, Inc. | 222,205 | |
82 | IDEXX Laboratories, Inc.* | 50,996 | |
461 | Laboratory Corp. of America Holdings* | 129,744 | |
395 | Magellan Health, Inc.* | 37,347 | |
801 | Medtronic plc | 100,405 | |
307 | Molina Healthcare, Inc.* | 83,292 | |
176 | National HealthCare Corp. | 12,317 | |
197 | NuVasive, Inc.* | 11,790 | |
2,267 | Premier, Inc. Class A | 87,869 | |
1,178 | Quest Diagnostics, Inc. | 171,175 | |
124 | ResMed, Inc. | 32,680 | |
349 | STERIS plc | 71,294 | |
400 | Stryker Corp. | 105,488 | |
527 | UnitedHealth Group, Inc. | 205,920 | |
174 | Universal Health Services, Inc. Class B | 24,076 | |
85 | West Pharmaceutical Services, Inc. | 36,086 | |
473 | Zimmer Biomet Holdings, Inc. | 69,228 | |
3,273,479 | |||
Household & Personal Products - 1.9% | |||
293 | Church & Dwight Co., Inc. | 24,193 | |
140 | Clorox Co. | 23,185 | |
1,321 | Colgate-Palmolive Co. | 99,841 | |
144 | Estee Lauder Cos., Inc. Class A | 43,190 | |
674 | Kimberly-Clark Corp. | 89,265 | |
315 | Nu Skin Enterprises, Inc. Class A | 12,748 | |
450 | Procter & Gamble Co. | 62,910 | |
764 | Reynolds Consumer Products, Inc. | 20,888 | |
910 | Spectrum Brands Holdings, Inc. | 87,060 | |
126 | USANA Health Sciences, Inc.* | 11,617 | |
474,897 | |||
Insurance - 3.6% | |||
2,051 | Aflac, Inc. | 106,919 | |
814 | Allstate Corp. | 103,630 | |
421 | American Financial Group, Inc. | 52,974 | |
185 | American National Group, Inc. | 34,971 | |
279 | Arch Capital Group Ltd.* | 10,652 | |
439 | Athene Holding Ltd. Class A* | 30,234 | |
445 | Cincinnati Financial Corp. | 50,828 | |
794 | Employers Holdings, Inc. | 31,355 | |
140 | Fidelity National Financial, Inc. | 6,348 | |
59 | First American Financial Corp. | 3,956 | |
108 | Hanover Insurance Group, Inc. | 13,999 | |
4 | Markel Corp.* | 4,780 | |
1,462 | Mercury General Corp. | 81,390 | |
205 | MetLife, Inc. | 12,655 | |
4,695 | Old Republic International Corp. | 108,595 | |
859 | Principal Financial Group, Inc. | 55,320 | |
1,360 | Prudential Financial, Inc. | 143,072 | |
63 | Safety Insurance Group, Inc. | 4,993 | |
203 | Travelers Cos., Inc. | 30,858 | |
308 | Unum Group | 7,718 | |
895,247 | |||
Media & Entertainment - 12.3% | |||
585 | Activision Blizzard, Inc. | 45,273 | |
89 | Alphabet, Inc. Class A* | 237,943 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.9% - (continued) | |||
Media & Entertainment - 12.3% - (continued) | |||
727 | Altice USA, Inc.* | $ 15,063 | |
1,565 | Bumble, Inc.* | 78,219 | |
3,986 | Cargurus, Inc.* | 125,200 | |
132 | Charter Communications, Inc. Class A* | 96,038 | |
3,046 | Comcast Corp. Class A | 170,363 | |
269 | DISH Network Corp. Class A* | 11,691 | |
470 | Electronic Arts, Inc. | 66,857 | |
683 | Facebook, Inc. Class A* | 231,803 | |
1,635 | Fox Corp. | 65,580 | |
1,760 | IAC/InterActiveCorp * | 229,310 | |
22 | John Wiley & Sons, Inc. Class A | 1,149 | |
48 | Liberty Broadband Corp. Class C* | 8,290 | |
811 | Liberty Media Corp-Liberty Formula One* | 41,694 | |
3,089 | Lions Gate Entertainment Corp.* | 43,833 | |
170 | Madison Square Garden Sports Corp.* | 31,611 | |
1,403 | Match Group, Inc.* | 220,257 | |
216 | Netflix, Inc.* | 131,833 | |
1,160 | News Corp. Class A | 27,295 | |
137 | Nexstar Media Group, Inc. | 20,819 | |
2,222 | Pinterest, Inc. Class A* | 113,211 | |
9,923 | QuinStreet, Inc.* | 174,248 | |
6,849 | Sirius XM Holdings, Inc.(1) | 41,779 | |
1,255 | Snap, Inc. Class A* | 92,707 | |
4,004 | TEGNA, Inc. | 78,959 | |
281 | TripAdvisor, Inc.* | 9,512 | |
2,147 | Twitter, Inc.* | 129,657 | |
647 | Walt Disney Co.* | 109,453 | |
2,678 | World Wrestling Entertainment, Inc. | 150,664 | |
5,623 | Yelp, Inc.* | 209,401 | |
581 | Zillow Group, Inc.* | 51,209 | |
353 | ZoomInfo Technologies, Inc.* | 21,600 | |
3,082,521 | |||
Pharmaceuticals, Biotechnology & Life Sciences - 8.7% | |||
1,811 | AbbVie, Inc. | 195,353 | |
675 | Agilent Technologies, Inc. | 106,333 | |
1,044 | Amgen, Inc. | 222,007 | |
10 | Bio-Rad Laboratories, Inc. Class A* | 7,460 | |
2,467 | Bristol-Myers Squibb Co. | 145,972 | |
346 | Bruker Corp. | 27,023 | |
75 | Charles River Laboratories International, Inc.* | 30,950 | |
240 | Eli Lilly & Co. | 55,452 | |
2,610 | Gilead Sciences, Inc. | 182,308 | |
151 | Incyte Corp.* | 10,386 | |
239 | IQVIA Holdings, Inc.* | 57,250 | |
386 | Jazz Pharmaceuticals plc* | 50,261 | |
1,249 | Johnson & Johnson | 201,713 | |
2,728 | Merck & Co., Inc. | 204,900 | |
53 | Mettler-Toledo International, Inc.* | 73,000 | |
74 | PerkinElmer, Inc. | 12,823 | |
3,835 | Pfizer, Inc. | 164,943 | |
1,225 | Prestige Consumer Healthcare, Inc.* | 68,735 | |
152 | Regeneron Pharmaceuticals, Inc.* | 91,987 | |
63 | Thermo Fisher Scientific, Inc. | 35,994 | |
338 | Vertex Pharmaceuticals, Inc.* | 61,310 | |
216 | Waters Corp.* | 77,177 | |
534 | Zoetis, Inc. | 103,671 | |
2,187,008 | |||
Real Estate - 1.2% | |||
2,713 | Apple Hospitality, Inc. REIT | 42,676 | |
192 | Extra Space Storage, Inc. REIT | 32,254 | |
596 | Healthpeak Properties, Inc. REIT | 19,954 | |
160 | Public Storage REIT | 47,536 |
17 |
September 30, 2021
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.9% - (continued) | |||
Real Estate - 1.2% - (continued) | |||
738 | Ventas, Inc. REIT | $ 40,745 | |
2,515 | VICI Properties, Inc. REIT | 71,451 | |
728 | Welltower, Inc. REIT | 59,987 | |
314,603 | |||
Retailing - 9.0% | |||
1,171 | Aaron's Co., Inc. | 32,249 | |
75 | Amazon.com, Inc.* | 246,378 | |
399 | BATH + BODY WORKS, Inc. | 25,149 | |
1,152 | Best Buy Co., Inc. | 121,778 | |
998 | Big Lots, Inc. | 43,273 | |
4 | Chewy, Inc. Class A* | 272 | |
411 | Dick's Sporting Goods, Inc. | 49,225 | |
432 | Dollar General Corp. | 91,644 | |
611 | Dollar Tree, Inc.* | 58,485 | |
3,537 | eBay, Inc. | 246,423 | |
199 | Etsy, Inc.* | 41,384 | |
2,201 | Groupon, Inc.* | 50,205 | |
614 | Home Depot, Inc. | 201,552 | |
917 | Lowe's Cos., Inc. | 186,023 | |
234 | Overstock.com, Inc.* | 18,233 | |
17,349 | Qurate Retail, Inc. Series A | 176,786 | |
702 | Rent-A-Center, Inc. | 39,459 | |
1,563 | Revolve Group, Inc.* | 96,547 | |
1,100 | Shutterstock, Inc. | 124,652 | |
767 | Target Corp. | 175,467 | |
585 | Tractor Supply Co. | 118,527 | |
376 | Wayfair, Inc. Class A* | 96,072 | |
2,239,783 | |||
Semiconductors & Semiconductor Equipment - 4.9% | |||
198 | Advanced Micro Devices, Inc.* | 20,374 | |
712 | Analog Devices, Inc. | 119,246 | |
231 | Broadcom, Inc. | 112,019 | |
248 | Diodes, Inc.* | 22,466 | |
4,961 | Intel Corp. | 264,322 | |
67 | Microchip Technology, Inc. | 10,284 | |
1,019 | Micron Technology, Inc.* | 72,329 | |
215 | NVIDIA Corp. | 44,539 | |
260 | NXP Semiconductors N.V. | 50,926 | |
558 | ON Semiconductor Corp.* | 25,540 | |
318 | Qorvo, Inc.* | 53,166 | |
856 | QUALCOMM, Inc. | 110,407 | |
451 | Skyworks Solutions, Inc. | 74,316 | |
187 | Synaptics, Inc.* | 33,610 | |
1,025 | Texas Instruments, Inc. | 197,015 | |
89 | Xilinx, Inc. | 13,438 | |
1,223,997 | |||
Software & Services - 15.3% | |||
1,192 | ACI Worldwide, Inc.* | 36,630 | |
212 | Adobe, Inc.* | 122,053 | |
99 | Akamai Technologies, Inc.* | 10,354 | |
53 | Aspen Technology, Inc.* | 6,508 | |
170 | Autodesk, Inc.* | 48,479 | |
382 | Automatic Data Processing, Inc. | 76,369 | |
211 | Bentley Systems, Inc. Class B | 12,795 | |
194 | Blackbaud, Inc.* | 13,648 | |
651 | Broadridge Financial Solutions, Inc. | 108,483 | |
66 | Cadence Design Systems, Inc.* | 9,995 | |
2,465 | CDK Global, Inc. | 104,886 | |
36 | Citrix Systems, Inc. | 3,865 | |
696 | CommVault Systems, Inc.* | 52,416 | |
188 | Concentrix Corp.* | 33,276 | |
3,230 | CSG Systems International, Inc. | 155,686 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.9% - (continued) | |||
Software & Services - 15.3% - (continued) | |||
2,087 | Dolby Laboratories, Inc. Class A | $ 183,656 | |
1,292 | Dropbox, Inc. Class A* | 37,752 | |
606 | Evertec, Inc. | 27,706 | |
569 | ExlService Holdings, Inc.* | 70,055 | |
200 | Fair Isaac Corp.* | 79,586 | |
429 | Fortinet, Inc.* | 125,285 | |
550 | InterDigital, Inc. | 37,301 | |
252 | Intuit, Inc. | 135,957 | |
1,343 | j2 Global, Inc.* | 183,481 | |
118 | Jack Henry & Associates, Inc. | 19,359 | |
1,497 | MAXIMUS, Inc. | 124,550 | |
1,481 | McAfee Corp. | 32,745 | |
769 | Microsoft Corp. | 216,797 | |
1,684 | NCR Corp.* | 65,272 | |
5,228 | Nortonlifelock, Inc. | 132,268 | |
2,512 | Oracle Corp. | 218,871 | |
127 | Palo Alto Networks, Inc.* | 60,833 | |
1,192 | Paychex, Inc. | 134,040 | |
4,060 | Progress Software Corp. | 199,711 | |
246 | salesforce.com, Inc.* | 66,720 | |
2,267 | SS&C Technologies Holdings, Inc. | 157,330 | |
122 | Synopsys, Inc.* | 36,528 | |
75 | TTEC Holdings, Inc. | 7,015 | |
1,875 | Verint Systems, Inc.* | 83,981 | |
430 | VeriSign, Inc.* | 88,154 | |
178 | Visa, Inc. Class A | 39,650 | |
1,438 | VMware, Inc. Class A*(1) | 213,831 | |
5,876 | Western Union Co. | 118,813 | |
7,163 | Xperi Holding Corp. | 134,951 | |
3,827,641 | |||
Technology Hardware & Equipment - 8.3% | |||
1,301 | Apple, Inc. | 184,092 | |
186 | Arrow Electronics, Inc.* | 20,886 | |
613 | Avnet, Inc. | 22,663 | |
428 | Benchmark Electronics, Inc. | 11,432 | |
444 | CDW Corp. | 80,817 | |
2,255 | Dell Technologies, Inc.* | 234,610 | |
13,822 | Hewlett Packard Enterprise Co. | 196,963 | |
7,676 | HP, Inc. | 210,015 | |
527 | Insight Enterprises, Inc.* | 47,472 | |
1,365 | Jabil, Inc. | 79,675 | |
1,471 | Methode Electronics, Inc. | 61,856 | |
2,294 | NetApp, Inc. | 205,909 | |
121 | Plexus Corp.* | 10,819 | |
1,944 | Sanmina Corp.* | 74,922 | |
2,242 | Seagate Technology Holdings plc | 185,010 | |
2,795 | Super Micro Computer, Inc.* | 102,213 | |
723 | SYNNEX Corp. | 75,264 | |
164 | TE Connectivity Ltd. | 22,504 | |
1,829 | TTM Technologies, Inc.* | 22,991 | |
900 | Western Digital Corp.* | 50,796 | |
8,707 | Xerox Holdings Corp. | 175,620 | |
2,076,529 | |||
Telecommunication Services - 1.3% | |||
2,089 | AT&T, Inc. | 56,424 | |
3,688 | Telephone & Data Systems, Inc. | 71,916 | |
388 | T-Mobile U.S., Inc.* | 49,571 | |
2,925 | Verizon Communications, Inc. | 157,979 | |
335,890 | |||
Transportation - 0.7% | |||
376 | Landstar System, Inc. | 59,340 | |
59 | Old Dominion Freight Line, Inc. | 16,873 |
18 |
September 30, 2021
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.9% - (continued) | |||
Transportation - 0.7% - (continued) | |||
2,261 | Schneider National, Inc. Class B | $ 51,415 | |
913 | Werner Enterprises, Inc. | 40,419 | |
168,047 | |||
Utilities - 1.0% | |||
167 | Alliant Energy Corp. | 9,349 | |
171 | American Electric Power Co., Inc. | 13,882 | |
46 | Edison International | 2,552 | |
231 | Entergy Corp. | 22,941 | |
144 | Evergy, Inc. | 8,957 | |
963 | Exelon Corp. | 46,551 | |
1,642 | FirstEnergy Corp. | 58,488 | |
426 | MDU Resources Group, Inc. | 12,639 | |
413 | Otter Tail Corp. | 23,116 | |
29 | PPL Corp. | 808 | |
280 | Southern Co. | 17,351 | |
655 | UGI Corp. | 27,916 | |
244,550 | |||
Total Common Stocks (cost $25,253,706) | $ 24,973,242 | ||
SHORT-TERM INVESTMENTS - 0.9% | |||
Securities Lending Collateral - 0.9% | |||
15,205 | Fidelity Investments Money Market Funds, Government Portfolio, Institutional Class, 0.01%(2) | $ 15,205 | |
201,580 | Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 0.03%(2) | 201,580 | |
11,009 | Invesco Government & Agency Portfolio, Institutional Class, 0.03%(2) | 11,009 | |
Total Short-Term Investments (cost $227,794) | $ 227,794 | ||
Total Investments (cost $25,481,500) | 100.8% | $ 25,201,036 | |
Other Assets and Liabilities | (0.8)% | (200,093) | |
Total Net Assets | 100.0% | $ 25,000,943 |
Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
Equity industry classifications used in this report are the Global Industry Classification Standard, which was developed by and is the exclusive property and service mark of MSCI, Inc. and Standard & Poor’s. | |
For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. | |
See “Glossary” for abbreviation descriptions. |
* | Non-income producing. |
(1) | Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
(2) | Current yield as of period end. |
† | See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments. |
19 |
September 30, 2021
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Automobiles & Components | $ 288,273 | $ 288,273 | $ — | $ — | ||||
Banks | 1,115,447 | 1,115,447 | — | — | ||||
Capital Goods | 482,332 | 482,332 | — | — | ||||
Consumer Durables & Apparel | 644,993 | 644,993 | — | — | ||||
Consumer Services | 666,804 | 666,804 | — | — | ||||
Diversified Financials | 942,483 | 942,483 | — | — | ||||
Food & Staples Retailing | 221,201 | 221,201 | — | — | ||||
Food, Beverage & Tobacco | 267,517 | 267,517 | — | — | ||||
Health Care Equipment & Services | 3,273,479 | 3,273,479 | — | — | ||||
Household & Personal Products | 474,897 | 474,897 | — | — | ||||
Insurance | 895,247 | 895,247 | — | — | ||||
Media & Entertainment | 3,082,521 | 3,082,521 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 2,187,008 | 2,187,008 | — | — | ||||
Real Estate | 314,603 | 314,603 | — | — | ||||
Retailing | 2,239,783 | 2,239,783 | — | — | ||||
Semiconductors & Semiconductor Equipment | 1,223,997 | 1,223,997 | — | — | ||||
Software & Services | 3,827,641 | 3,827,641 | — | — | ||||
Technology Hardware & Equipment | 2,076,529 | 2,076,529 | — | — | ||||
Telecommunication Services | 335,890 | 335,890 | — | — | ||||
Transportation | 168,047 | 168,047 | — | — | ||||
Utilities | 244,550 | 244,550 | — | — | ||||
Short-Term Investments | 227,794 | 227,794 | — | — | ||||
Total | $ 25,201,036 | $ 25,201,036 | $ — | $ — |
(1) | For the period ended September 30, 2021, there were no transfers in and out of Level 3. |
20 |
September 30, 2021
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 98.9% | |||
Australia - 8.9% | |||
199,627 | Ansell Ltd. | $ 4,931,661 | |
9,981 | ASX Ltd. | 583,992 | |
1,487,798 | Aurizon Holdings Ltd. | 4,073,156 | |
1,484,279 | AusNet Services | 2,701,867 | |
398,231 | Australia & New Zealand Banking Group Ltd. | 8,097,693 | |
564,195 | Bendigo & Adelaide Bank Ltd. | 3,851,313 | |
265,544 | BHP Group Ltd. | 7,214,191 | |
543,020 | BlueScope Steel Ltd. | 8,041,138 | |
269,890 | Brambles Ltd. | 2,099,667 | |
768,089 | Coles Group Ltd. | 9,426,549 | |
9,667 | Commonwealth Bank of Australia | 728,532 | |
546,456 | Computershare Ltd. | 7,192,028 | |
29,951 | CSL Ltd. | 6,347,742 | |
1,226,709 | Dexus REIT | 9,570,026 | |
404,521 | Evolution Mining Ltd. | 1,019,798 | |
852,534 | Fortescue Metals Group Ltd. | 9,212,789 | |
115,202 | GPT Group REIT | 421,906 | |
1,313,269 | Harvey Norman Holdings Ltd. | 4,771,660 | |
261,558 | JB Hi-Fi Ltd. | 8,600,389 | |
926,573 | Medibank Pvt Ltd. | 2,402,824 | |
1,417,454 | Metcash Ltd. | 4,023,920 | |
287,654 | Mineral Resources Ltd. | 9,310,933 | |
2,809,331 | Mirvac Group REIT | 6,067,670 | |
5,487 | National Australia Bank Ltd. | 110,305 | |
90,245 | Premier Investments Ltd. | 1,979,123 | |
18,439 | Pro Medicus Ltd. | 727,373 | |
318,495 | Reece Ltd. | 4,401,142 | |
352,629 | Sonic Healthcare Ltd. | 10,356,982 | |
86,529 | Suncorp Group Ltd. | 785,053 | |
3,224,920 | Telstra Corp. Ltd. | 9,155,020 | |
100,055 | Washington H Soul Pattinson & Co., Ltd.(1) | 2,820,161 | |
308,308 | Wesfarmers Ltd. | 12,415,879 | |
30,291 | Westpac Banking Corp. | 568,899 | |
350,389 | Woolworths Group Ltd. | 9,959,626 | |
173,971,007 | |||
Austria - 0.3% | |||
62,442 | Andritz AG | 3,421,519 | |
34,690 | Oesterreichische Post AG | 1,471,465 | |
28,662 | Vienna Insurance Group AG Wiener Versicherung Gruppe | 827,124 | |
5,720,108 | |||
Belgium - 1.5% | |||
8,857 | Ackermans & van Haaren N.V. | 1,528,432 | |
161,286 | Ageas S.A. | 8,004,018 | |
6,740 | Cofinimmo S.A. REIT | 1,023,283 | |
67,341 | Etablissements Franz Colruyt N.V.(1) | 3,433,973 | |
22,947 | Groupe Bruxelles Lambert S.A. | 2,528,598 | |
374,427 | Proximus S.A. | 7,437,769 | |
6,012 | Sofina S.A. | 2,391,283 | |
21,362 | UCB S.A. | 2,396,525 | |
4,067 | VGP N.V. | 936,091 | |
29,679,972 | |||
Canada - 10.7% | |||
213,847 | Alimentation Couche-Tard, Inc. Class B | 8,180,152 | |
42,439 | Atco Ltd. Class I | 1,361,090 | |
325,951 | B2Gold Corp. | 1,114,077 | |
83,436 | Bank of Montreal | 8,328,123 | |
61,230 | Bank of Nova Scotia | 3,768,000 | |
171,853 | BCE, Inc. | 8,607,233 | |
138,275 | Canadian Apartment Properties REIT | 6,451,778 | |
14,239 | Canadian Imperial Bank of Commerce(1) | 1,584,796 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 98.9% - (continued) | |||
Canada - 10.7% - (continued) | |||
32,906 | Canadian Tire Corp. Ltd. Class A | $ 4,603,749 | |
52,583 | Capital Power Corp. | 1,772,759 | |
69,989 | CGI, Inc.* | 5,943,969 | |
1,239 | Constellation Software, Inc. | 2,029,403 | |
78,505 | Emera, Inc. | 3,554,522 | |
200,891 | Empire Co., Ltd. Class A | 6,121,003 | |
62,476 | Enbridge, Inc. | 2,488,486 | |
19,736 | Fairfax Financial Holdings Ltd. | 7,965,595 | |
100,157 | Finning International, Inc. | 2,470,621 | |
65,525 | Fortis, Inc. | 2,906,303 | |
57,864 | George Weston Ltd. | 6,240,186 | |
329,420 | Great-West Lifeco, Inc. | 10,021,586 | |
181,436 | Hydro One Ltd.(2) | 4,287,953 | |
94,602 | iA Financial Corp., Inc. | 5,366,144 | |
25,794 | IGM Financial, Inc. | 921,323 | |
509,079 | Kinross Gold Corp. | 2,728,536 | |
61,968 | Linamar Corp. | 3,217,141 | |
189,572 | Loblaw Cos., Ltd. | 13,006,748 | |
17,247 | Magna International, Inc. | 1,297,694 | |
185,012 | Manulife Financial Corp. | 3,560,479 | |
179,402 | Metro, Inc. | 8,764,408 | |
27,404 | Onex Corp. | 1,936,894 | |
45,112 | Open Text Corp. | 2,201,384 | |
91,860 | Parkland Corp.(1) | 2,580,651 | |
314,836 | Power Corp. of Canada | 10,375,659 | |
155,796 | Quebecor, Inc. Class B | 3,764,389 | |
106,042 | Rogers Communications, Inc. Class B | 4,951,166 | |
87,984 | Royal Bank of Canada | 8,752,910 | |
71,639 | Saputo, Inc. | 1,821,441 | |
99,011 | Shaw Communications, Inc. Class B | 2,877,677 | |
83,848 | Stantec, Inc. | 3,938,080 | |
68,316 | Sun Life Financial, Inc. | 3,515,967 | |
40,595 | TC Energy Corp. | 1,953,405 | |
189,655 | TELUS Corp. | 4,167,814 | |
50,535 | Toromont Industries Ltd. | 4,217,599 | |
101,663 | Toronto-Dominion Bank | 6,728,849 | |
150,071 | Tourmaline Oil Corp. | 5,241,853 | |
207,689,595 | |||
China - 0.5% | |||
9,885,100 | Yangzijiang Shipbuilding Holdings Ltd. | 10,048,201 | |
Denmark - 2.0% | |||
2,358 | AP Moller - Maersk A/S Class B | 6,389,213 | |
5,327 | Carlsberg A/S Class B | 871,353 | |
44,569 | Coloplast A/S Class B | 6,991,584 | |
151,786 | H. Lundbeck A/S | 4,126,972 | |
148,303 | Novo Nordisk A/S Class B | 14,363,162 | |
8,010 | SimCorp A/S | 948,551 | |
24,880 | Topdanmark A/S | 1,287,411 | |
169,724 | Tryg A/S | 3,859,468 | |
38,837,714 | |||
Finland - 1.0% | |||
15,600 | Elisa Oyj | 969,791 | |
75,105 | Fortum Oyj | 2,288,359 | |
214,790 | Kesko Oyj Class B | 7,428,097 | |
50,959 | Kone Oyj Class B | 3,589,602 | |
57,451 | Metsa Board Oyj | 538,988 | |
15,256 | Nokian Renkaat Oyj | 548,286 | |
108,915 | Orion Oyj Class B | 4,323,276 | |
19,686,399 | |||
France - 6.4% | |||
2,469 | Air Liquide S.A. | 396,539 |
21 |
September 30, 2021
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 98.9% - (continued) | |||
France - 6.4% - (continued) | |||
19,579 | Arkema S.A. | $ 2,598,129 | |
60,209 | Atos SE | 3,220,311 | |
113,806 | AXA S.A. | 3,176,702 | |
49,687 | BioMerieux | 5,675,553 | |
52,514 | BNP Paribas S.A.(1) | 3,374,139 | |
339,619 | Bollore S.A. | 1,969,975 | |
326,128 | Bouygues S.A. | 13,568,981 | |
3,073 | Capgemini SE | 641,596 | |
550,200 | Carrefour S.A. | 9,912,336 | |
36,484 | Cie de Saint-Gobain | 2,462,570 | |
53,167 | Cie Generale des Etablissements Michelin SCA | 8,182,856 | |
58,021 | Danone S.A. | 3,970,725 | |
22,670 | Dassault Aviation S.A. | 2,559,029 | |
43,598 | Eiffage S.A. | 4,430,286 | |
465,717 | Electricite de France S.A. | 5,877,798 | |
23,255 | Eurazeo SE | 2,189,800 | |
20 | Hermes International | 27,734 | |
50,806 | Ipsen S.A. | 4,861,266 | |
4,988 | L'Oreal S.A. | 2,062,894 | |
1,054,298 | Orange S.A.(1) | 11,427,009 | |
36,617 | Publicis Groupe S.A. | 2,472,395 | |
116,517 | Rubis SCA | 4,036,267 | |
140,448 | Sanofi | 13,523,115 | |
5,246 | Sartorius Stedim Biotech | 2,940,824 | |
13,412 | SEB S.A. | 1,894,794 | |
223,272 | Suez | 5,093,712 | |
2,897 | Trigano S.A. | 545,926 | |
31,483 | Verallia S.A.(2) | 1,087,319 | |
77,720 | Vivendi S.A.(1) | 982,253 | |
125,162,833 | |||
Germany - 4.8% | |||
20,519 | Allianz SE | 4,633,392 | |
393,144 | Aroundtown S.A. | 2,720,136 | |
42,825 | Aurubis AG | 3,244,942 | |
14,987 | Bayerische Motoren Werke AG | 1,437,474 | |
41,535 | Brenntag AG | 3,878,878 | |
37,200 | Covestro AG(2) | 2,558,322 | |
12,339 | Dermapharm Holding SE | 1,192,644 | |
98,953 | Deutsche Post AG | 6,247,852 | |
186,081 | Deutsche Telekom AG | 3,751,597 | |
88,469 | Deutsche Wohnen SE(1) | 5,425,948 | |
86,849 | E.ON SE | 1,063,708 | |
116,370 | Fresenius Medical Care AG & Co. KGaA | 8,208,006 | |
103,273 | Fresenius SE & Co. KGaA | 4,971,251 | |
51,317 | Fuchs Petrolub SE | 2,403,932 | |
15,996 | Gerresheimer AG | 1,572,070 | |
57,289 | Lanxess AG | 3,889,424 | |
31,979 | LEG Immobilien AG | 4,528,984 | |
64,376 | Merck KGaA | 14,000,297 | |
50,570 | Software AG | 2,363,079 | |
153,252 | TAG Immobilien AG | 4,497,121 | |
1,272,582 | Telefonica Deutschland Holding AG | 3,625,203 | |
102,028 | Uniper SE | 4,262,745 | |
5,616 | Volkswagen AG | 1,260,338 | |
26,455 | Vonovia SE | 1,591,255 | |
93,328,598 | |||
Hong Kong - 4.3% | |||
2,320,000 | BOC Hong Kong Holdings Ltd. | 7,003,526 | |
3,113,520 | Chow Tai Fook Jewellery Group Ltd. | 5,959,349 | |
984,500 | CK Asset Holdings Ltd. | 5,703,654 | |
652,500 | CK Hutchison Holdings Ltd. | 4,354,387 | |
422,480 | CLP Holdings Ltd. | 4,070,318 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 98.9% - (continued) | |||
Hong Kong - 4.3% - (continued) | |||
364,010 | Hang Seng Bank Ltd. | $ 6,247,132 | |
1,430,000 | Henderson Land Development Co., Ltd. | 5,483,291 | |
1,407,609 | HK Electric Investments & HK Electric Investments Ltd. | 1,397,727 | |
2,262,000 | HKT Trust & HKT Ltd. | 3,097,496 | |
55,000 | Hysan Development Co., Ltd. | 179,102 | |
9,626 | Jardine Matheson Holdings Ltd. | 510,563 | |
1,222,500 | Kerry Logistics Network Ltd.(1) | 2,616,283 | |
784,000 | Kerry Properties Ltd. | 2,069,611 | |
452,750 | New World Development Co., Ltd. | 1,852,375 | |
714,000 | NWS Holdings Ltd. | 661,294 | |
4,201,770 | PCCW Ltd. | 2,159,003 | |
95,000 | Power Assets Holdings Ltd. | 558,920 | |
744,000 | Sino Land Co., Ltd. | 1,001,602 | |
1,604,000 | SITC International Holdings Co., Ltd. | 5,759,000 | |
596,500 | Sun Hung Kai Properties Ltd. | 7,463,290 | |
827,800 | Swire Properties Ltd. | 2,075,707 | |
7,056,792 | WH Group Ltd.(2) | 5,031,080 | |
2,346,000 | Xinyi Glass Holdings Ltd. | 7,021,742 | |
965,111 | Yue Yuen Industrial Holdings Ltd.* | 1,951,385 | |
84,227,837 | |||
Ireland - 0.3% | |||
19,129 | Glanbia plc | 315,694 | |
9,106 | Kerry Group plc Class A | 1,224,194 | |
70,811 | Smurfit Kappa Group plc | 3,724,174 | |
5,264,062 | |||
Israel - 1.1% | |||
189,461 | Bank Leumi Le-Israel BM | 1,614,396 | |
1,821,212 | Bezeq The Israeli Telecommunication Corp. Ltd.* | 2,150,240 | |
58,343 | Check Point Software Technologies Ltd.* | 6,595,093 | |
66,079 | First International Bank of Israel Ltd. | 2,421,009 | |
644,633 | ICL Group Ltd. | 4,735,614 | |
22,873 | Strauss Group Ltd. | 669,355 | |
82,801 | Tower Semiconductor Ltd.* | 2,497,004 | |
20,682,711 | |||
Italy - 2.4% | |||
2,846,223 | A2A S.p.A. | 5,856,718 | |
4,160 | ACEA S.p.A. | 88,904 | |
282,238 | Assicurazioni Generali S.p.A. | 6,015,364 | |
42,804 | De' Longhi S.p.A. | 1,541,807 | |
8,822 | DiaSorin S.p.A. | 1,854,169 | |
174,899 | Enel S.p.A. | 1,348,152 | |
204,071 | Freni Brembo S.p.A. | 2,580,303 | |
907,326 | Hera S.p.A. | 3,718,265 | |
23,741 | Interpump Group S.p.A. | 1,540,819 | |
724,134 | Iren S.p.A. | 2,151,799 | |
486,289 | Italgas S.p.A. | 3,122,259 | |
150,233 | Prysmian S.p.A. | 5,279,092 | |
246,400 | Snam S.p.A. | 1,369,571 | |
552,964 | Telecom Italia S.p.A. | 217,507 | |
430,421 | Terna S.p.A. | 3,060,860 | |
1,297,095 | Unipol Gruppo S.p.A. | 7,597,518 | |
47,343,107 | |||
Japan - 20.6% | |||
38,205 | ABC-Mart, Inc. | 2,167,490 | |
194,200 | Air Water, Inc. | 3,120,776 | |
125,600 | Aisin Corp. | 4,581,600 | |
37,400 | Ajinomoto Co., Inc. | 1,108,173 | |
366,282 | Alfresa Holdings Corp. | 5,502,027 | |
900 | Amada Co., Ltd. | 9,389 | |
60,488 | Aozora Bank Ltd. | 1,484,890 |
22 |
September 30, 2021
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 98.9% - (continued) | |||
Japan - 20.6% - (continued) | |||
417,765 | Astellas Pharma, Inc. | $ 6,898,786 | |
125,900 | Azbil Corp. | 5,427,551 | |
145,093 | Bridgestone Corp. | 6,899,964 | |
340,600 | Brother Industries Ltd. | 7,530,900 | |
78,497 | Canon Marketing Japan, Inc. | 1,832,007 | |
393,303 | Canon, Inc. | 9,660,290 | |
57,500 | Chubu Electric Power Co., Inc. | 681,033 | |
30,600 | COMSYS Holdings Corp. | 808,778 | |
60,700 | Dai-ichi Life Holdings, Inc. | 1,345,383 | |
81,300 | Daio Paper Corp. | 1,527,996 | |
12,800 | Daito Trust Construction Co., Ltd. | 1,495,962 | |
101,400 | Daiwa House Industry Co., Ltd. | 3,398,025 | |
375,717 | Daiwa Securities Group, Inc. | 2,201,939 | |
31,700 | Ebara Corp. | 1,576,832 | |
52,900 | Ezaki Glico Co., Ltd. | 2,012,642 | |
147,420 | FUJIFILM Holdings Corp. | 12,735,661 | |
76,348 | Fujitsu Ltd. | 13,897,628 | |
386,500 | Haseko Corp. | 5,199,521 | |
115,173 | Hitachi Ltd. | 6,854,123 | |
21,700 | Hitachi Transport System Ltd. | 967,578 | |
237,800 | Honda Motor Co., Ltd. | 7,363,648 | |
6,721 | Hoya Corp. | 1,052,651 | |
64,800 | Idemitsu Kosan Co., Ltd. | 1,710,964 | |
199,100 | Iida Group Holdings Co., Ltd. | 5,141,000 | |
71,471 | ITOCHU Corp. | 2,099,130 | |
133,300 | Iwatani Corp. | 7,849,258 | |
5,600 | Izumi Co., Ltd. | 187,210 | |
237,500 | Japan Post Bank Co., Ltd. | 2,043,469 | |
210,081 | Japan Post Holdings Co., Ltd. | 1,778,557 | |
52,000 | Japan Post Insurance Co., Ltd. | 949,353 | |
120,700 | Japan Tobacco, Inc. | 2,369,106 | |
1,519,000 | JXTG Holdings, Inc. | 6,206,696 | |
412,200 | Kajima Corp. | 5,327,290 | |
56,800 | Kaneka Corp. | 2,390,105 | |
186,151 | KDDI Corp. | 6,158,040 | |
134,000 | Kewpie Corp. | 3,260,677 | |
120,000 | Kinden Corp. | 2,030,562 | |
445,548 | K's Holdings Corp. | 4,628,189 | |
74,300 | Kyowa Exeo Corp. | 1,830,614 | |
64,122 | Lawson, Inc. | 3,149,349 | |
502,500 | Marubeni Corp. | 4,202,850 | |
34,800 | Matsumotokiyoshi Holdings Co., Ltd. | 1,575,084 | |
213,750 | Medipal Holdings Corp. | 4,040,320 | |
71,416 | MEIJI Holdings Co., Ltd. | 4,614,917 | |
48,900 | Mitsubishi Corp. | 1,549,724 | |
169,600 | Mitsubishi Electric Corp. | 2,366,724 | |
8,000 | Mitsubishi Heavy Industries Ltd. | 216,823 | |
1,042,000 | Mitsubishi UFJ Financial Group, Inc. | 6,144,134 | |
166,476 | Mitsubishi UFJ Lease & Finance Co., Ltd. | 877,328 | |
40,900 | Mitsui & Co., Ltd. | 903,227 | |
186,400 | Mitsui Chemicals, Inc. | 6,289,904 | |
311,000 | Mizuho Financial Group, Inc. | 4,416,576 | |
54,500 | Morinaga Milk Industry Co., Ltd. | 3,419,225 | |
119,117 | NEC Corp. | 6,480,306 | |
124,800 | NEC Networks & System Integration Corp. | 2,362,336 | |
103,475 | Nihon Kohden Corp. | 3,524,132 | |
9,100 | Nihon Unisys Ltd. | 237,746 | |
3,500 | Nintendo Co., Ltd. | 1,703,652 | |
63,481 | Nippo Corp. | 2,284,349 | |
45,900 | Nippon Express Co., Ltd. | 3,175,873 | |
152,806 | Nippon Telegraph & Telephone Corp. | 4,225,019 | |
79,700 | Nippon Yusen KK | 6,035,985 | |
29,700 | Nomura Research Institute Ltd. | 1,102,021 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 98.9% - (continued) | |||
Japan - 20.6% - (continued) | |||
105,800 | NTT Data Corp. | $ 2,052,942 | |
144,900 | Obayashi Corp. | 1,206,472 | |
22,500 | OBIC Business Consultants Co., Ltd. | 1,149,451 | |
62,100 | Open House Co., Ltd. | 3,684,535 | |
13,500 | Oracle Corp. Japan | 1,188,169 | |
113,100 | ORIX Corp. | 2,138,839 | |
346,451 | Osaka Gas Co., Ltd. | 6,362,340 | |
12,400 | Otsuka Corp. | 637,921 | |
110,200 | Otsuka Holdings Co., Ltd. | 4,728,007 | |
1,200 | PALTAC Corp. | 54,313 | |
1,000 | Pan Pacific International Holdings Corp. | 20,775 | |
230,600 | Panasonic Corp. | 2,872,812 | |
161,666 | Resona Holdings, Inc. | 650,286 | |
211,600 | Ricoh Co., Ltd. | 2,177,162 | |
45,300 | Rinnai Corp. | 4,977,620 | |
186,100 | Sanwa Holdings Corp. | 2,428,515 | |
7,200 | Secom Co., Ltd. | 522,891 | |
367,300 | Seiko Epson Corp. | 7,436,529 | |
119,000 | Seino Holdings Co., Ltd. | 1,449,438 | |
149,065 | Sekisui Chemical Co., Ltd. | 2,574,486 | |
358,448 | Sekisui House Ltd. | 7,554,474 | |
173,389 | Seven & i Holdings Co., Ltd. | 7,902,156 | |
98,940 | Shimamura Co., Ltd. | 9,302,089 | |
369,828 | Shimizu Corp. | 2,794,219 | |
112,700 | Ship Healthcare Holdings, Inc. | 2,913,079 | |
104,500 | Softbank Corp. | 1,418,465 | |
195,293 | Subaru Corp. | 3,638,060 | |
64,017 | Sugi Holdings Co., Ltd. | 4,676,124 | |
250,700 | Sumitomo Dainippon Pharma Co., Ltd. | 4,489,344 | |
116,400 | Sumitomo Electric Industries Ltd. | 1,560,694 | |
90,829 | Sumitomo Forestry Co., Ltd. | 1,745,350 | |
50,300 | Sumitomo Heavy Industries Ltd. | 1,325,855 | |
111,200 | Sumitomo Mitsui Financial Group, Inc. | 3,930,744 | |
459,900 | Sumitomo Rubber Industries Ltd. | 5,869,573 | |
36,800 | Sundrug Co., Ltd. | 1,124,696 | |
27,607 | Suntory Beverage & Food Ltd. | 1,148,075 | |
61,382 | Suzuken Co., Ltd. | 1,804,463 | |
46,500 | Taisei Corp. | 1,500,336 | |
32,500 | Taisho Pharmaceutical Holdings Co., Ltd. | 1,902,084 | |
14,911 | Toho Gas Co., Ltd. | 651,500 | |
124,600 | Tohoku Electric Power Co., Inc. | 917,958 | |
255,696 | Tokyo Gas Co., Ltd. | 4,764,436 | |
90,200 | Toppan, Inc. | 1,538,432 | |
7,700 | Toshiba Corp. | 325,391 | |
112,800 | Tosoh Corp. | 2,056,332 | |
33,219 | Toyo Suisan Kaisha Ltd. | 1,475,242 | |
241,100 | Toyota Boshoku Corp. | 4,302,309 | |
1,602,157 | Yamada Denki Co., Ltd. | 6,748,947 | |
135,546 | Yamaha Motor Co., Ltd. | 3,790,307 | |
86,080 | Yamazaki Baking Co., Ltd. | 1,501,337 | |
248,700 | Yokohama Rubber Co., Ltd. | 4,491,423 | |
89,153 | Zensho Holdings Co., Ltd. | 2,218,138 | |
399,896,202 | |||
Luxembourg - 0.5% | |||
48,643 | Eurofins Scientific SE | 6,248,583 | |
132,379 | Grand City Properties S.A. | 3,304,681 | |
9,553,264 | |||
Netherlands - 3.8% | |||
104,260 | ASR Nederland N.V. | 4,775,286 | |
446,379 | Koninklijke Ahold Delhaize N.V. | 14,865,505 | |
20,505 | Koninklijke DSM N.V. | 4,105,278 | |
2,359,216 | Koninklijke KPN N.V. | 7,423,389 |
23 |
September 30, 2021
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 98.9% - (continued) | |||
Netherlands - 3.8% - (continued) | |||
23,989 | Koninklijke Philips N.V. | $ 1,065,931 | |
107,843 | Koninklijke Vopak N.V. | 4,249,478 | |
234,486 | NN Group N.V.(1) | 12,302,464 | |
112,157 | Randstad N.V.(1) | 7,552,091 | |
154,213 | Signify N.V.(2) | 7,711,990 | |
77,720 | Universal Music Group N.V.*(1) | 2,082,051 | |
64,084 | Wolters Kluwer N.V. | 6,801,660 | |
72,935,123 | |||
New Zealand - 0.8% | |||
633,643 | Contact Energy Ltd. | 3,693,654 | |
322,825 | Fisher & Paykel Healthcare Corp. Ltd. Class C | 7,126,429 | |
219,055 | Mercury NZ Ltd. | 982,248 | |
924,483 | Spark New Zealand Ltd. | 3,051,848 | |
14,854,179 | |||
Norway - 1.5% | |||
82,979 | Austevoll Seafood ASA | 985,757 | |
34,174 | Entra ASA(2) | 734,041 | |
54,120 | Kongsberg Gruppen ASA | 1,511,522 | |
531,801 | Norsk Hydro ASA | 3,991,592 | |
732,967 | Orkla ASA | 6,735,815 | |
29,918 | Salmar ASA | 1,993,334 | |
476,710 | Telenor ASA | 8,044,148 | |
89,102 | Yara International ASA | 4,433,027 | |
28,429,236 | |||
Portugal - 0.3% | |||
73,037 | Galp Energia SGPS S.A. | 829,533 | |
246,244 | Jeronimo Martins SGPS S.A. | 4,911,467 | |
5,741,000 | |||
Singapore - 1.8% | |||
4,712,798 | ComfortDelGro Corp. Ltd. | 5,241,842 | |
273,209 | DBS Group Holdings Ltd. | 6,101,722 | |
863,500 | Olam International Ltd. | 1,119,446 | |
932,252 | Oversea-Chinese Banking Corp. Ltd. | 7,896,949 | |
257,500 | Singapore Exchange Ltd. | 1,892,936 | |
1,650,500 | Singapore Technologies Engineering Ltd. | 4,632,001 | |
163,200 | United Overseas Bank Ltd. | 3,107,484 | |
428,700 | Venture Corp. Ltd. | 5,674,528 | |
35,666,908 | |||
Spain - 1.7% | |||
26,197 | Acciona S.A. | 4,347,697 | |
16,310 | Fluidra S.A. | 651,190 | |
284,256 | Grifols S.A. | 6,944,563 | |
23,892 | Grupo Catalana Occidente S.A. | 872,223 | |
256,273 | Iberdrola S.A. | 2,579,214 | |
1,753,647 | Mapfre S.A. | 3,831,054 | |
61,668 | Naturgy Energy Group S.A. | 1,554,475 | |
272,133 | Red Electrica Corp. S.A. | 5,459,376 | |
847,622 | Telefonica S.A. | 3,975,577 | |
33,369 | Viscofan S.A. | 2,186,958 | |
32,402,327 | |||
Sweden - 4.3% | |||
659 | Assa Abloy AB Class B | 19,261 | |
160,237 | Axfood AB | 3,840,831 | |
102,487 | Boliden AB | 3,307,072 | |
43,221 | Bure Equity AB | 1,794,339 | |
441,016 | Electrolux AB Class B(1) | 10,197,980 | |
50,190 | Essity AB Class B | 1,560,451 | |
242,917 | Getinge AB Class B | 9,712,737 | |
114,335 | ICA Gruppen AB | 5,255,054 | |
128,613 | Industrivarden AB Class C | 3,998,690 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 98.9% - (continued) | |||
Sweden - 4.3% - (continued) | |||
621,990 | Investor AB Class B | $ 13,447,164 | |
46,842 | L E Lundbergforetagen AB Class B | 2,583,965 | |
157,741 | Lundin Energy AB | 5,892,377 | |
60,622 | Samhallsbyggnadsbolaget i Norden AB | 335,936 | |
344,177 | Securitas AB Class B | 5,470,371 | |
212,195 | Skanska AB Class B | 5,353,051 | |
109,188 | Swedish Match AB | 956,770 | |
874,260 | Telefonaktiebolaget LM Ericsson Class B(1) | 9,903,260 | |
18,210 | Volvo AB Class B | 410,178 | |
84,039,487 | |||
Switzerland - 7.1% | |||
119,629 | Adecco Group AG | 6,029,861 | |
10,797 | Allreal Holding AG | 2,141,228 | |
4,862 | ALSO Holding AG | 1,407,236 | |
2,856 | Bachem Holding AG | 2,189,034 | |
25,902 | Baloise Holding AG | 3,951,176 | |
22,544 | Banque Cantonale Vaudoise | 1,718,260 | |
21,285 | BKW AG | 2,304,535 | |
6,523 | Bucher Industries AG | 3,118,677 | |
31,475 | DKSH Holding AG | 2,471,505 | |
794 | Emmi AG | 819,662 | |
48,356 | Galenica AG(2) | 3,416,048 | |
4,484 | Geberit AG | 3,311,868 | |
41,640 | Kuehne + Nagel International AG | 14,257,186 | |
108,267 | Logitech International S.A. | 9,663,194 | |
39,539 | Nestle S.A. | 4,776,808 | |
68,465 | Novartis AG | 5,638,812 | |
28,638 | PSP Swiss Property AG | 3,456,760 | |
37,811 | Roche Holding AG | 13,860,183 | |
7,575 | Schindler Holding AG | 1,960,235 | |
14,625 | SFS Group AG | 1,994,211 | |
1,301 | SGS S.A. | 3,801,818 | |
1,793 | Siegfried Holding AG | 1,603,004 | |
9,623 | Sonova Holding AG | 3,664,136 | |
16,059 | Swiss Life Holding AG | 8,151,296 | |
45,589 | Swiss Prime Site AG | 4,466,779 | |
22,968 | Swisscom AG | 13,231,498 | |
8,112 | Tecan Group AG | 4,621,888 | |
377,150 | UBS Group AG | 6,064,480 | |
12,160 | Zurich Insurance Group AG | 5,000,349 | |
139,091,727 | |||
United Kingdom - 12.3% | |||
28,491 | 3i Group plc | 492,299 | |
151,864 | Admiral Group plc | 6,364,124 | |
24,500 | Anglo American plc | 866,332 | |
154,653 | AstraZeneca plc ADR | 9,288,459 | |
649,684 | Aviva plc | 3,468,091 | |
1,243,598 | B&M European Value Retail S.A. | 9,903,215 | |
1,549,543 | BAE Systems plc | 11,808,875 | |
12,957 | Berkeley Group Holdings plc | 762,067 | |
1,904,194 | BT Group plc* | 4,102,898 | |
96,787 | Close Brothers Group plc | 2,018,878 | |
56,972 | Computacenter plc | 2,087,919 | |
675,411 | ConvaTec Group plc(2) | 1,967,092 | |
6,894 | Dechra Pharmaceuticals plc | 450,833 | |
1,442,681 | Direct Line Insurance Group plc | 5,633,413 | |
121,639 | DS Smith plc | 677,206 | |
200,183 | Electrocomponents plc | 2,909,703 | |
828,227 | Evraz plc | 6,637,904 | |
52,856 | Ferguson plc | 7,365,590 | |
118,682 | Frasers Group plc* | 1,093,770 | |
582 | Genus plc | 42,925 | |
318,126 | GlaxoSmithKline plc | 12,155,594 |
24 |
September 30, 2021
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 98.9% - (continued) | |||
United Kingdom - 12.3% - (continued) | |||
114,848 | Halma plc | $ 4,400,989 | |
182,440 | Hikma Pharmaceuticals plc | 6,026,830 | |
565,141 | Howden Joinery Group plc | 6,826,068 | |
1,804,008 | HSBC Holdings plc | 9,487,712 | |
313,191 | IG Group Holdings plc | 3,397,333 | |
139,728 | IMI plc | 3,127,478 | |
363,941 | Imperial Brands plc | 7,647,871 | |
22,918 | Intertek Group plc | 1,537,967 | |
591,503 | J Sainsbury plc | 2,276,217 | |
2,085,055 | Kingfisher plc | 9,460,309 | |
4,621,810 | Lloyds Banking Group plc | 2,902,158 | |
308,705 | Mondi plc | 7,615,157 | |
275,109 | National Grid plc | 3,281,365 | |
391,579 | Pearson plc | 3,758,202 | |
18,943 | Pennon Group plc | 289,389 | |
172,491 | Phoenix Group Holdings plc | 1,501,526 | |
123,412 | RELX plc | 3,572,664 | |
151,321 | Rio Tinto plc | 10,025,197 | |
1,491,645 | Royal Mail plc | 8,471,427 | |
524,223 | Sage Group plc | 5,015,710 | |
66,254 | Schroders plc | 3,211,543 | |
422,322 | Segro plc REIT | 6,804,784 | |
56,148 | Smith & Nephew plc | 974,351 | |
98,241 | Softcat plc | 2,683,706 | |
103,292 | Spectris plc | 5,391,289 | |
17,124 | Spirax-Sarco Engineering plc | 3,456,446 | |
84,369 | SSE plc | 1,787,153 | |
359,267 | Standard Chartered plc | 2,112,062 | |
606,727 | Tate & Lyle plc | 5,659,481 | |
314,739 | Tesco plc | 1,074,951 | |
1,469,045 | Tritax Big Box plc REIT | 4,211,154 | |
31,096 | Unilever plc | 1,679,229 | |
222,807 | Vodafone Group plc | 340,378 | |
2,223,672 | WM Morrison Supermarkets plc | 8,829,961 | |
238,935,244 | |||
Total Common Stocks (cost $1,723,413,608) | $ 1,923,186,841 | ||
SHORT-TERM INVESTMENTS - 1.8% | |||
Securities Lending Collateral - 1.8% | |||
2,373,154 | Fidelity Investments Money Market Funds, Government Portfolio, Institutional Class, 0.01%(3) | $ 2,373,154 |
Shares or Principal Amount | Market Value† | ||
SHORT-TERM INVESTMENTS - 1.8% - (continued) | |||
Securities Lending Collateral - 1.8% - (continued) | |||
31,462,657 | Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 0.03%(3) | $ 31,462,657 | |
1,718,350 | Invesco Government & Agency Portfolio, Institutional Class, 0.03%(3) | 1,718,350 | |
Total Short-Term Investments (cost $35,554,161) | $ 35,554,161 | ||
Total Investments (cost $1,758,967,769) | 100.7% | $ 1,958,741,002 | |
Other Assets and Liabilities | (0.7)% | (12,816,198) | |
Total Net Assets | 100.0% | $ 1,945,924,804 |
Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
The Fund may refer to any one or more of the industry classifications used by one or more widely recognized market indices, ratings group and/or as defined by Fund management. Industry classifications may not be identical across all security types. | |
For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. | |
See “Glossary” for abbreviation descriptions. |
* | Non-income producing. |
(1) | Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
(2) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of 1933. At September 30, 2021, the aggregate value of these securities was $26,793,845, representing 1.4% of net assets. |
(3) | Current yield as of period end. |
Futures Contracts Outstanding at September 30, 2021 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
MSCI EAFE Index Future | 126 | 12/17/2021 | $ 14,282,100 | $ (498,176) | ||||
Total futures contracts | $ (498,176) |
25 |
September 30, 2021
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Australia | $ 173,971,007 | $ 173,971,007 | $ — | $ — | ||||
Austria | 5,720,108 | 5,720,108 | — | — | ||||
Belgium | 29,679,972 | 29,679,972 | — | — | ||||
Canada | 207,689,595 | 207,689,595 | — | — | ||||
China | 10,048,201 | 10,048,201 | — | — | ||||
Denmark | 38,837,714 | 38,837,714 | — | — | ||||
Finland | 19,686,399 | 19,686,399 | — | — | ||||
France | 125,162,833 | 125,162,833 | — | — | ||||
Germany | 93,328,598 | 93,328,598 | — | — | ||||
Hong Kong | 84,227,837 | 84,227,837 | — | — | ||||
Ireland | 5,264,062 | 5,264,062 | — | — | ||||
Israel | 20,682,711 | 20,682,711 | — | — | ||||
Italy | 47,343,107 | 47,343,107 | — | — | ||||
Japan | 399,896,202 | 399,896,202 | — | — | ||||
Luxembourg | 9,553,264 | 9,553,264 | — | — | ||||
Netherlands | 72,935,123 | 72,935,123 | — | — | ||||
New Zealand | 14,854,179 | 14,854,179 | — | — | ||||
Norway | 28,429,236 | 28,429,236 | — | — | ||||
Portugal | 5,741,000 | 5,741,000 | — | — | ||||
Singapore | 35,666,908 | 35,666,908 | — | — | ||||
Spain | 32,402,327 | 32,402,327 | — | — | ||||
Sweden | 84,039,487 | 84,039,487 | — | — | ||||
Switzerland | 139,091,727 | 139,091,727 | — | — | ||||
United Kingdom | 238,935,244 | 238,935,244 | — | — | ||||
Short-Term Investments | 35,554,161 | 35,554,161 | — | — | ||||
Total | $ 1,958,741,002 | $ 1,958,741,002 | $ — | $ — | ||||
Liabilities | ||||||||
Futures Contracts(2) | $ (498,176) | $ (498,176) | $ — | $ — | ||||
Total | $ (498,176) | $ (498,176) | $ — | $ — |
(1) | For the year ended September 30, 2021, there were no transfers in and out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
26 |
September 30, 2021
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.3% | |||
Australia - 7.6% | |||
96 | AGL Energy Ltd. | $ 401 | |
916 | Ansell Ltd. | 22,629 | |
1,390 | Australia & New Zealand Banking Group Ltd. | 28,264 | |
857 | BHP Group Ltd. | 23,283 | |
1,278 | BlueScope Steel Ltd. | 18,925 | |
1,748 | Coles Group Ltd. | 21,453 | |
25 | CSL Ltd. | 5,298 | |
3,198 | Dexus REIT | 24,949 | |
3,049 | Fortescue Metals Group Ltd. | 32,949 | |
1,444 | JB Hi-Fi Ltd. | 47,481 | |
9,140 | Metcash Ltd. | 25,947 | |
981 | Mineral Resources Ltd. | 31,754 | |
7,701 | Mirvac Group REIT | 16,633 | |
1,314 | Sonic Healthcare Ltd. | 38,593 | |
8,363 | Telstra Corp. Ltd. | 23,741 | |
916 | Wesfarmers Ltd. | 36,888 | |
1,266 | Woolworths Group Ltd. | 35,985 | |
435,173 | |||
Austria - 0.3% | |||
269 | Andritz AG | 14,740 | |
124 | Oesterreichische Post AG | 5,260 | |
20,000 | |||
Belgium - 1.2% | |||
34 | Ackermans & van Haaren N.V. | 5,867 | |
653 | Ageas S.A. | 32,406 | |
390 | Etablissements Franz Colruyt N.V. | 19,888 | |
468 | Proximus S.A. | 9,296 | |
67,457 | |||
Brazil - 1.5% | |||
2,900 | JBS S.A. | 19,729 | |
2,000 | Petrobras Distribuidora S.A. | 8,622 | |
1,300 | Telefonica Brasil S.A. | 10,228 | |
2,900 | Transmissora Alianca de Energia Eletrica S.A. UNIT | 19,075 | |
2,200 | Vale S.A. ADR | 30,690 | |
88,344 | |||
Canada - 5.0% | |||
195 | Alimentation Couche-Tard, Inc. Class B | 7,459 | |
393 | Bank of Montreal | 39,227 | |
100 | Bank of Nova Scotia | 6,154 | |
3 | Canadian Imperial Bank of Commerce(1) | 334 | |
76 | Canadian Tire Corp. Ltd. Class A | 10,633 | |
1,131 | Empire Co., Ltd. Class A | 34,461 | |
23 | Fairfax Financial Holdings Ltd. | 9,283 | |
109 | George Weston Ltd. | 11,755 | |
630 | Great-West Lifeco, Inc. | 19,166 | |
78 | iA Financial Corp., Inc. | 4,424 | |
478 | Loblaw Cos., Ltd. | 32,796 | |
20 | Magna International, Inc. | 1,505 | |
524 | Manulife Financial Corp. | 10,084 | |
28 | Metro, Inc. | 1,368 | |
1,065 | Power Corp. of Canada | 35,098 | |
11 | Rogers Communications, Inc. Class B | 514 | |
357 | Royal Bank of Canada | 35,515 | |
422 | Toronto-Dominion Bank | 27,931 | |
287,707 | |||
Chile - 0.2% | |||
1,054 | CAP S.A. | 11,186 | |
China - 8.3% | |||
53,000 | Agricultural Bank of China Ltd. Class H | 18,246 | |
500 | Anhui Conch Cement Co., Ltd. Class H | 2,698 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.3% - (continued) | |||
China - 8.3% - (continued) | |||
128,000 | Bank of China Ltd. Class H | $ 45,382 | |
47,000 | Bank of Communications Co., Ltd. Class H | 27,893 | |
37,000 | China Construction Bank Corp. Class H | 26,521 | |
1,000 | China Longyuan Power Group Corp. Ltd. Class H | 2,472 | |
94,000 | China Petroleum & Chemical Corp. Class H | 46,610 | |
35,000 | China Railway Group Ltd. Class H | 17,445 | |
21,500 | China Shenhua Energy Co., Ltd. Class H | 50,321 | |
400 | China Vanke Co., Ltd. Class H | 1,094 | |
32,000 | CITIC Ltd. | 34,118 | |
2,400 | Haier Smart Home Co., Ltd. Class H | 8,463 | |
13,000 | Industrial & Commercial Bank of China Ltd. Class H | 7,231 | |
48,000 | Lenovo Group Ltd. | 51,609 | |
142,000 | PetroChina Co., Ltd. Class H | 67,309 | |
20,000 | PICC Property & Casualty Co., Ltd. Class H | 19,397 | |
500 | Ping An Insurance Group Co. of China Ltd. Class H | 3,420 | |
40,900 | Yangzijiang Shipbuilding Holdings Ltd. | 41,575 | |
471,804 | |||
Denmark - 1.4% | |||
8 | AP Moller - Maersk A/S Class B | 21,677 | |
16 | Coloplast A/S Class B | 2,510 | |
568 | Novo Nordisk A/S Class B | 55,011 | |
79,198 | |||
Finland - 0.3% | |||
425 | Fortum Oyj | 12,949 | |
9 | Kesko Oyj Class B | 312 | |
82 | Kone Oyj Class B | 5,776 | |
19,037 | |||
France - 3.7% | |||
49 | Air Liquide S.A. | 7,870 | |
316 | AXA S.A. | 8,821 | |
143 | BNP Paribas S.A. | 9,188 | |
1,470 | Carrefour S.A. | 26,483 | |
188 | Cie de Saint-Gobain | 12,689 | |
134 | Cie Generale des Etablissements Michelin SCA | 20,624 | |
88 | Danone S.A. | 6,022 | |
1 | Hermes International | 1,387 | |
12 | L'Oreal S.A. | 4,963 | |
10 | LVMH Moet Hennessy Louis Vuitton SE | 7,187 | |
3,205 | Orange S.A.(1) | 34,737 | |
531 | Sanofi | 51,128 | |
100 | Schneider Electric SE | 16,677 | |
114 | Vivendi S.A.(1) | 1,441 | |
209,217 | |||
Germany - 2.7% | |||
121 | Allianz SE | 27,323 | |
40 | Bayerische Motoren Werke AG | 3,837 | |
463 | Deutsche Post AG | 29,234 | |
769 | Deutsche Telekom AG | 15,504 | |
68 | Fresenius Medical Care AG & Co. KGaA | 4,796 | |
193 | Fresenius SE & Co. KGaA | 9,290 | |
32 | LEG Immobilien AG | 4,532 | |
244 | Merck KGaA | 53,064 | |
28 | Volkswagen AG | 6,284 | |
153,864 | |||
Hong Kong - 3.1% | |||
6,000 | BOC Hong Kong Holdings Ltd. | 18,113 | |
4,000 | China Overseas Land & Investment Ltd. | 9,115 | |
7,400 | Chow Tai Fook Jewellery Group Ltd. | 14,164 | |
5,000 | CK Asset Holdings Ltd. | 28,967 | |
2,500 | CK Hutchison Holdings Ltd. | 16,683 | |
2,000 | CLP Holdings Ltd. | 19,269 |
27 |
September 30, 2021
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.3% - (continued) | |||
Hong Kong - 3.1% - (continued) | |||
3,000 | Henderson Land Development Co., Ltd. | $ 11,503 | |
2,000 | SITC International Holdings Co., Ltd. | 7,181 | |
2,000 | Sun Hung Kai Properties Ltd. | 25,024 | |
500 | Techtronic Industries Co., Ltd. | 9,962 | |
6,500 | WH Group Ltd.(2) | 4,634 | |
2,000 | Wharf Holdings Ltd. | 6,641 | |
2,000 | Xinyi Glass Holdings Ltd. | 5,986 | |
177,242 | |||
India - 0.8% | |||
127 | Dr. Reddy's Laboratories Ltd. ADR | 8,273 | |
684 | Infosys Ltd. ADR | 15,219 | |
1,300 | Vedanta Ltd. ADR | 19,864 | |
43,356 | |||
Indonesia - 1.0% | |||
18,700 | Astra International Tbk PT | 7,186 | |
2,500 | Gudang Garam Tbk PT | 5,686 | |
58,100 | Telekomunikasi Indonesia Persero Tbk PT | 14,979 | |
16,500 | United Tractors Tbk PT | 29,974 | |
57,825 | |||
Israel - 2.7% | |||
7,207 | Bezeq The Israeli Telecommunication Corp. Ltd.* | 8,509 | |
34 | Check Point Software Technologies Ltd.* | 3,843 | |
89 | Danel Adir Yeoshua Ltd. | 17,380 | |
479 | Delek Automotive Systems Ltd. | 6,088 | |
213 | Electra Consumer Products Ltd. | 10,392 | |
57 | Fox Wizel Ltd. | 7,189 | |
862 | Harel Insurance Investments & Financial Services Ltd. | 8,919 | |
6,211 | Mivne Real Estate KD Ltd. | 21,851 | |
2,462 | Phoenix Holdings Ltd. | 28,137 | |
236 | Rami Levy Chain Stores Hashikma Marketing Ltd. | 16,957 | |
2,618 | Shufersal Ltd. | 21,261 | |
111 | Strauss Group Ltd. | 3,248 | |
153,774 | |||
Italy - 0.8% | |||
6,683 | A2A S.p.A. | 13,751 | |
453 | Assicurazioni Generali S.p.A. | 9,655 | |
1,470 | Enel S.p.A. | 11,331 | |
257 | Prysmian S.p.A. | 9,031 | |
43,768 | |||
Japan - 15.9% | |||
300 | Aisin Corp. | 10,943 | |
300 | Alfresa Holdings Corp. | 4,506 | |
1,700 | Astellas Pharma, Inc. | 28,073 | |
400 | Bridgestone Corp. | 19,022 | |
700 | Brother Industries Ltd. | 15,477 | |
1,100 | Canon, Inc. | 27,018 | |
400 | Daiwa House Industry Co., Ltd. | 13,404 | |
500 | FUJIFILM Holdings Corp. | 43,195 | |
300 | Fujitsu Ltd. | 54,609 | |
400 | Haseko Corp. | 5,381 | |
800 | Hitachi Ltd. | 47,609 | |
1,300 | Honda Motor Co., Ltd. | 40,255 | |
300 | Iida Group Holdings Co., Ltd. | 7,746 | |
600 | ITOCHU Corp. | 17,622 | |
600 | Iwatani Corp. | 35,331 | |
500 | JXTG Holdings, Inc. | 2,043 | |
200 | Kajima Corp. | 2,585 | |
1,000 | KDDI Corp. | 33,081 | |
500 | Konica Minolta, Inc. | 2,707 | |
2,200 | Marubeni Corp. | 18,401 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.3% - (continued) | |||
Japan - 15.9% - (continued) | |||
100 | MEIJI Holdings Co., Ltd. | $ 6,462 | |
500 | Mitsubishi Corp. | 15,846 | |
1,000 | Mitsubishi Electric Corp. | 13,955 | |
5,400 | Mitsubishi UFJ Financial Group, Inc. | 31,841 | |
600 | Mitsui & Co., Ltd. | 13,250 | |
200 | Mitsui Chemicals, Inc. | 6,749 | |
1,500 | Mizuho Financial Group, Inc. | 21,302 | |
200 | NEC Corp. | 10,881 | |
300 | Nihon Kohden Corp. | 10,217 | |
800 | Nippon Telegraph & Telephone Corp. | 22,120 | |
300 | Nippon Yusen KK | 22,720 | |
1,000 | Osaka Gas Co., Ltd. | 18,364 | |
300 | Otsuka Holdings Co., Ltd. | 12,871 | |
2,000 | Panasonic Corp. | 24,916 | |
1,100 | Sanwa Holdings Corp. | 14,354 | |
400 | Seiko Epson Corp. | 8,099 | |
300 | Sekisui Chemical Co., Ltd. | 5,181 | |
600 | Sekisui House Ltd. | 12,645 | |
800 | Seven & i Holdings Co., Ltd. | 36,460 | |
200 | Shimamura Co., Ltd. | 18,804 | |
1,200 | Softbank Corp. | 16,289 | |
600 | Subaru Corp. | 11,177 | |
600 | Sumitomo Mitsui Financial Group, Inc. | 21,209 | |
3,200 | Sumitomo Rubber Industries Ltd. | 40,841 | |
100 | Taisei Corp. | 3,227 | |
700 | Tokyo Gas Co., Ltd. | 13,043 | |
500 | Toyota Motor Corp. | 8,963 | |
3,600 | Yamada Denki Co., Ltd. | 15,165 | |
400 | Yamaha Motor Co., Ltd. | 11,185 | |
700 | Yokohama Rubber Co., Ltd. | 12,642 | |
909,786 | |||
Luxembourg - 0.1% | |||
26 | Eurofins Scientific SE | 3,340 | |
Malaysia - 2.1% | |||
13,000 | DiGi.Com Bhd | 13,818 | |
14,100 | Hartalega Holdings Bhd | 20,713 | |
17,000 | Kossan Rubber Industries | 9,380 | |
11,045 | Malayan Banking Bhd | 21,238 | |
1,900 | Petronas Gas Bhd | 7,634 | |
7,653 | RHB Bank Bhd | 9,981 | |
6,400 | Tenaga Nasional Bhd | 14,798 | |
35,400 | Top Glove Corp. Bhd | 24,352 | |
121,914 | |||
Mexico - 1.1% | |||
1,400 | America Movil S.A.B. de C.V. Class L, ADR | 24,738 | |
600 | Coca-Cola Femsa SAB de CV | 33,762 | |
1,600 | Grupo Bimbo S.A.B. de C.V. Series A | 4,518 | |
63,018 | |||
Netherlands - 1.4% | |||
1,718 | Koninklijke Ahold Delhaize N.V. | 57,214 | |
432 | NN Group N.V. | 22,665 | |
114 | Universal Music Group N.V.* | 3,054 | |
82,933 | |||
New Zealand - 1.2% | |||
1,039 | Fisher & Paykel Healthcare Corp. Ltd. Class C | 22,936 | |
5,126 | Goodman Property Trust REIT | 8,558 | |
10,520 | Spark New Zealand Ltd. | 34,728 | |
66,222 | |||
Norway - 2.5% | |||
141 | Atea ASA* | 2,442 |
28 |
September 30, 2021
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.3% - (continued) | |||
Norway - 2.5% - (continued) | |||
78 | Entra ASA(2) | $ 1,675 | |
4,351 | Europris ASA(2) | 28,910 | |
232 | Kongsberg Gruppen ASA | 6,480 | |
2,665 | Norsk Hydro ASA | 20,003 | |
1,428 | Orkla ASA | 13,123 | |
2,193 | Telenor ASA | 37,005 | |
928 | Veidekke ASA | 11,396 | |
452 | Yara International ASA | 22,488 | |
143,522 | |||
Philippines - 1.8% | |||
455 | Globe Telecom, Inc. | 26,617 | |
2,600 | Manila Electric Co. | 15,189 | |
22,640 | Metropolitan Bank & Trust Co. | 19,395 | |
1,260 | PLDT, Inc. | 41,498 | |
102,699 | |||
Poland - 1.7% | |||
2,324 | Polski Koncern Naftowy ORLEN S.A. | 47,998 | |
20,086 | Polskie Gornictwo Naftowe i Gazownictwo S.A. | 32,694 | |
1,668 | Powszechny Zaklad Ubezpieczen S.A. | 15,331 | |
96,023 | |||
Russia - 0.1% | |||
349 | Gazprom PJSC ADR | 3,485 | |
Singapore - 0.9% | |||
1,106 | DBS Group Holdings Ltd. | 24,701 | |
2,142 | Oversea-Chinese Banking Corp. Ltd. | 18,145 | |
500 | Venture Corp. Ltd. | 6,618 | |
49,464 | |||
South Africa - 0.1% | |||
207 | Kumba Iron Ore Ltd. | 6,824 | |
South Korea - 3.1% | |||
24 | Coway Co., Ltd. | 1,504 | |
28 | Hankook Tire & Technology Co., Ltd. | 1,023 | |
149 | Kia Motors Corp. | 10,219 | |
397 | Korea Electric Power Corp. | 7,896 | |
208 | KT&G Corp. | 14,265 | |
201 | LG Electronics, Inc. | 21,645 | |
1,983 | LG Uplus Corp. | 25,122 | |
19 | POSCO | 5,296 | |
685 | Samsung Electronics Co., Ltd. | 42,870 | |
7 | Samsung Fire & Marine Insurance Co., Ltd. | 1,389 | |
84 | SK Hynix, Inc. | 7,307 | |
146 | SK Telecom Co., Ltd. | 39,953 | |
178,489 | |||
Spain - 0.4% | |||
288 | Banco Bilbao Vizcaya Argentaria S.A. | 1,908 | |
1,038 | Iberdrola S.A. | 10,447 | |
2,587 | Telefonica S.A. | 12,134 | |
24,489 | |||
Sweden - 4.3% | |||
66 | Assa Abloy AB Class B | 1,929 | |
722 | Axfood AB | 17,306 | |
271 | Boliden AB | 8,745 | |
1,505 | Electrolux AB Class B(1) | 34,801 | |
637 | Getinge AB Class B | 25,470 | |
59 | ICA Gruppen AB | 2,712 | |
578 | Industrivarden AB Class C | 17,971 | |
2,558 | Investor AB Class B | 55,303 | |
247 | L E Lundbergforetagen AB Class B | 13,625 | |
113 | Securitas AB Class B | 1,796 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.3% - (continued) | |||
Sweden - 4.3% - (continued) | |||
731 | Skanska AB Class B | $ 18,441 | |
3,219 | Telefonaktiebolaget LM Ericsson Class B(1) | 36,463 | |
420 | Volvo AB Class B | 9,460 | |
244,022 | |||
Switzerland - 3.0% | |||
1 | Geberit AG | 739 | |
118 | Kuehne + Nagel International AG | 40,402 | |
202 | Logitech International S.A. | 18,029 | |
153 | Nestle S.A. | 18,484 | |
141 | Novartis AG | 11,613 | |
147 | Roche Holding AG | 53,885 | |
19 | Swiss Life Holding AG | 9,644 | |
1,030 | UBS Group AG | 16,562 | |
169,358 | |||
Taiwan - 6.8% | |||
35,000 | Acer, Inc. | 31,092 | |
1,000 | ASE Technology Holding, Co., Ltd. | 3,912 | |
3,000 | Asustek Computer, Inc. | 35,050 | |
16,000 | AU Optronics Corp. | 10,136 | |
12,000 | Cathay Financial Holding Co., Ltd. | 24,939 | |
41,000 | Compal Electronics, Inc. | 34,730 | |
9,000 | Fubon Financial Holding Co., Ltd. | 24,777 | |
120 | Great Wall Enterprise Co., Ltd. | 236 | |
9,800 | Hon Hai Precision Industry Co., Ltd. | 36,934 | |
44,000 | Innolux Corp. | 26,848 | |
13,000 | Lite-On Technology Corp. | 29,163 | |
2,000 | Micro-Star International Co., Ltd. | 9,296 | |
12,000 | Pegatron Corp. | 28,858 | |
16,000 | Pou Chen Corp. | 19,382 | |
1,000 | Powertech Technology, Inc. | 3,751 | |
9,000 | Quanta Computer, Inc. | 25,035 | |
2,000 | Sino-American Silicon Products, Inc. | 13,029 | |
5,000 | Synnex Technology International Corp. | 9,368 | |
3,000 | United Microelectronics Corp. | 6,892 | |
600 | Wan Hai Lines Ltd. | 4,383 | |
8,000 | Wistron Corp. | 7,897 | |
5,000 | Yuanta Financial Holding Co., Ltd. | 4,433 | |
390,141 | |||
Thailand - 2.3% | |||
3,200 | Advanced Info Service PCL NVDR | 18,537 | |
5,300 | PTT PCL NVDR | 6,109 | |
1,200 | Siam Cement PCL NVDR | 14,257 | |
32,400 | Sri Trang Agro-Industry PCL NVDR | 32,079 | |
43,000 | Sri Trang Gloves Thailand PCL(1) | 39,715 | |
8,200 | Supalai PCL | 4,847 | |
20,600 | Thai Union Group PCL | 13,212 | |
128,756 | |||
Turkey - 0.8% | |||
1,346 | BIM Birlesik Magazalar A.S. | 9,681 | |
13,100 | Eregli Demir ve Celik Fabrikalari T.A.S. | 24,551 | |
120 | Ford Otomotiv Sanayi AS | 2,257 | |
4,938 | Turkcell Iletisim Hizmetleri AS | 8,521 | |
45,010 | |||
United Kingdom - 9.1% | |||
345 | Anglo American plc | 12,199 | |
117 | Ashtead Group plc | 8,907 | |
388 | AstraZeneca plc ADR | 23,303 | |
852 | Aviva plc | 4,548 | |
3,604 | B&M European Value Retail S.A. | 28,700 | |
5,815 | BAE Systems plc | 44,315 | |
5,002 | BT Group plc* | 10,778 |
29 |
September 30, 2021
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.3% - (continued) | |||
United Kingdom - 9.1% - (continued) | |||
178 | Ferguson plc | $ 24,805 | |
1,238 | GlaxoSmithKline plc | 47,304 | |
614 | Hikma Pharmaceuticals plc | 20,283 | |
475 | Howden Joinery Group plc | 5,737 | |
6,400 | HSBC Holdings plc | 33,666 | |
1,275 | Imperial Brands plc | 26,793 | |
6,401 | Kingfisher plc | 29,043 | |
715 | Mondi plc | 17,638 | |
492 | National Grid plc | 5,868 | |
176 | RELX plc | 5,095 | |
616 | Rio Tinto plc | 40,811 | |
8,427 | Royal Mail plc | 47,859 | |
1,649 | Segro plc REIT | 26,570 | |
322 | Spectris plc | 16,807 | |
332 | SSE plc | 7,033 | |
1,317 | Tate & Lyle plc | 12,285 | |
2,702 | Tritax Big Box plc REIT | 7,746 | |
86 | Unilever plc | 4,644 | |
1,357 | WM Morrison Supermarkets plc | 5,388 | |
518,125 | |||
Total Common Stocks (cost $5,250,891) | $ 5,666,572 | ||
SHORT-TERM INVESTMENTS - 1.8% | |||
Securities Lending Collateral - 1.8% | |||
7,056 | Fidelity Investments Money Market Funds, Government Portfolio, Institutional Class, 0.01%(3) | $ 7,056 | |
93,547 | Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 0.03%(3) | 93,547 | |
5,109 | Invesco Government & Agency Portfolio, Institutional Class, 0.03%(3) | 5,109 | |
Total Short-Term Investments (cost $105,712) | $ 105,712 | ||
Total Investments (cost $5,356,603) | 101.1% | $ 5,772,284 | |
Other Assets and Liabilities | (1.1)% | (65,547) | |
Total Net Assets | 100.0% | $ 5,706,737 |
Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
The Fund may refer to any one or more of the industry classifications used by one or more widely recognized market indices, ratings group and/or as defined by Fund management. Industry classifications may not be identical across all security types. | |
For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. | |
See “Glossary” for abbreviation descriptions. |
* | Non-income producing. |
(1) | Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
(2) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of 1933. At September 30, 2021, the aggregate value of these securities was $35,219, representing 0.6% of net assets. |
(3) | Current yield as of period end. |
† | See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments. |
30 |
September 30, 2021
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Australia | $ 435,173 | $ 435,173 | $ — | $ — | ||||
Austria | 20,000 | 20,000 | — | — | ||||
Belgium | 67,457 | 67,457 | — | — | ||||
Brazil | 88,344 | 88,344 | — | — | ||||
Canada | 287,707 | 287,707 | — | — | ||||
Chile | 11,186 | 11,186 | — | — | ||||
China | 471,804 | 471,804 | — | — | ||||
Denmark | 79,198 | 79,198 | — | — | ||||
Finland | 19,037 | 19,037 | — | — | ||||
France | 209,217 | 209,217 | — | — | ||||
Germany | 153,864 | 153,864 | — | — | ||||
Hong Kong | 177,242 | 177,242 | — | — | ||||
India | 43,356 | 43,356 | — | — | ||||
Indonesia | 57,825 | 57,825 | — | — | ||||
Israel | 153,774 | 153,774 | — | — | ||||
Italy | 43,768 | 43,768 | — | — | ||||
Japan | 909,786 | 909,786 | — | — | ||||
Luxembourg | 3,340 | 3,340 | — | — | ||||
Malaysia | 121,914 | 121,914 | — | — | ||||
Mexico | 63,018 | 63,018 | — | — | ||||
Netherlands | 82,933 | 82,933 | — | — | ||||
New Zealand | 66,222 | 66,222 | — | — | ||||
Norway | 143,522 | 143,522 | — | — | ||||
Philippines | 102,699 | 102,699 | — | — | ||||
Poland | 96,023 | 96,023 | — | — | ||||
Russia | 3,485 | 3,485 | — | — | ||||
Singapore | 49,464 | 49,464 | — | — | ||||
South Africa | 6,824 | 6,824 | — | — | ||||
South Korea | 178,489 | 178,489 | — | — | ||||
Spain | 24,489 | 24,489 | — | — | ||||
Sweden | 244,022 | 244,022 | — | — | ||||
Switzerland | 169,358 | 169,358 | — | — | ||||
Taiwan | 390,141 | 390,141 | — | — | ||||
Thailand | 128,756 | 128,756 | — | — | ||||
Turkey | 45,010 | 45,010 | — | — | ||||
United Kingdom | 518,125 | 518,125 | — | — | ||||
Short-Term Investments | 105,712 | 105,712 | — | — | ||||
Total | $ 5,772,284 | $ 5,772,284 | $ — | $ — |
(1) | For the year ended September 30, 2021, there were no transfers in and out of Level 3. |
31 |
September 30, 2021
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 97.9% | |||
Brazil - 2.6% | |||
10,846 | BB Seguridade Participacoes S.A. | $ 39,710 | |
11,039 | Equatorial Energia S.A. | 51,357 | |
2,900 | JBS S.A. | 19,729 | |
11,100 | Lojas Renner S.A. | 70,117 | |
14,500 | Magazine Luiza S.A. | 38,160 | |
20,600 | Petrobras Distribuidora S.A. | 88,806 | |
8,100 | Raia Drogasil S.A. | 34,741 | |
29,445 | Telefonica Brasil S.A. | 231,663 | |
14,300 | TOTVS S.A. | 94,740 | |
26,000 | Transmissora Alianca de Energia Eletrica S.A. UNIT | 171,014 | |
19,000 | Vale S.A. ADR | 265,050 | |
1,105,087 | |||
Cayman Islands - 0.1% | |||
2,500 | Wuxi Biologics Cayman, Inc.* | 40,625 | |
Chile - 2.4% | |||
2,696,284 | Banco de Chile | 248,316 | |
1,698 | Banco de Credito e Inversiones S.A. | 61,882 | |
4,022,957 | Banco Santander Chile | 201,247 | |
6,325 | Cia Cervecerias Unidas S.A. | 56,225 | |
208,194 | Colbun S.A. | 33,682 | |
14,672 | Empresas CMPC S.A. | 27,603 | |
22,132 | Empresas COPEC S.A. | 183,389 | |
220,475 | Enel Americas S.A. | 26,043 | |
31,844 | Falabella S.A. | 111,348 | |
1,000 | Sociedad Quimica y Minera de Chile S.A. | 53,720 | |
1,003,455 | |||
China - 26.0% | |||
7,500 | AAC Technologies Holdings, Inc. | 35,792 | |
982,000 | Agricultural Bank of China Ltd. Class H | 338,070 | |
20,700 | Alibaba Group Holding Ltd.* | 378,121 | |
42,500 | Anhui Conch Cement Co., Ltd. Class H | 229,297 | |
11,000 | ANTA Sports Products Ltd. | 207,434 | |
3 | Baidu, Inc. ADR* | 461 | |
1,108,000 | Bank of China Ltd. Class H | 392,835 | |
592,000 | Bank of Communications Co., Ltd. Class H | 351,338 | |
35 | BeiGene Ltd.* | 12,705 | |
2,500 | BYD Co., Ltd. Class H | 78,038 | |
37,000 | China Conch Venture Holdings Ltd. | 171,344 | |
575,000 | China Construction Bank Corp. Class H | 412,157 | |
394,000 | China Everbright Bank Co., Ltd. Class H | 139,184 | |
40,000 | China Life Insurance Co., Ltd. Class H | 65,668 | |
18,000 | China Longyuan Power Group Corp. Ltd. Class H | 44,488 | |
24,000 | China Mengniu Dairy Co., Ltd. | 154,612 | |
38,000 | China Merchants Bank Co., Ltd. Class H | 302,891 | |
509,500 | China Minsheng Banking Corp. Ltd. Class H(1) | 204,856 | |
21,400 | China Pacific Insurance Group Co., Ltd. Class H | 63,639 | |
574,000 | China Petroleum & Chemical Corp. Class H | 284,617 | |
339,000 | China Railway Group Ltd. Class H | 168,963 | |
126,000 | China Shenhua Energy Co., Ltd. Class H | 294,903 | |
1,320,000 | China Tower Corp. Ltd. Class H | 172,956 | |
46,000 | China Vanke Co., Ltd. Class H | 125,863 | |
106,000 | Chinasoft International Ltd. | 187,364 | |
185,000 | CITIC Ltd. | 197,247 | |
3,000 | CITIC Securities Co., Ltd. Class H | 7,646 | |
53,071 | Country Garden Holdings Co., Ltd. | 54,880 | |
10,000 | Country Garden Services Holdings Co., Ltd. | 79,002 | |
116,000 | CSPC Pharmaceutical Group Ltd. | 139,176 | |
13,200 | ENN Energy Holdings Ltd. | 217,721 | |
25,600 | Fuyao Glass Industry Group Co., Ltd. Class H | 136,967 | |
3,600 | GF Securities Co., Ltd. | 6,280 | |
8,500 | Great Wall Motor Co., Ltd. Class H | 31,337 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 97.9% - (continued) | |||
China - 26.0% - (continued) | |||
31,400 | Guotai Junan Securities Co., Ltd. Class H* | $ 45,257 | |
82,600 | Haier Smart Home Co., Ltd. Class H | 291,262 | |
14,600 | Huatai Securities Co., Ltd. | 22,543 | |
528,000 | Industrial & Commercial Bank of China Ltd. Class H | 293,686 | |
5,106 | JD.com, Inc. ADR* | 368,857 | |
12,000 | Jiangxi Copper Co., Ltd. Class H | 21,673 | |
16,000 | Kingdee International Software Group Co., Ltd.* | 53,541 | |
338,000 | Lenovo Group Ltd. | 363,415 | |
20,500 | Li Ning Co., Ltd. | 237,400 | |
20,000 | Longfor Properties Co., Ltd. | 92,233 | |
7,700 | Meituan Class B* | 243,919 | |
965 | NetEase, Inc. ADR | 82,411 | |
690,000 | PetroChina Co., Ltd. Class H | 327,067 | |
158,000 | PICC Property & Casualty Co., Ltd. Class H | 153,237 | |
49,000 | Ping An Insurance Group Co. of China Ltd. Class H | 335,179 | |
298,000 | Postal Savings Bank of China Co., Ltd. Class H | 205,949 | |
64,000 | Shandong Weigao Group Medical Polymer Co., Ltd. Class H | 114,441 | |
15,500 | Shanghai Fosun Pharmaceutical Group Co., Ltd. | 79,743 | |
15,900 | Shenzhou International Group Holdings Ltd. | 338,643 | |
4,900 | Sunny Optical Technology Group Co., Ltd. | 128,910 | |
4,900 | Tencent Holdings Ltd. | 290,425 | |
1,006 | Trip.com Group Ltd. ADR* | 30,935 | |
1,019 | Vipshop Holdings Ltd. ADR* | 11,352 | |
5,000 | WuXi AppTec Co., Ltd. Class H | 116,961 | |
59,000 | Xiaomi Corp. Class B* | 161,812 | |
65,494 | Xinyi Solar Holdings Ltd. | 134,275 | |
22,000 | Yanzhou Coal Mining Co., Ltd. Class H | 41,656 | |
5,775 | Yum China Holdings, Inc. | 335,585 | |
20,000 | Zhongsheng Group Holdings Ltd. | 161,086 | |
16,000 | Zijin Mining Group Co., Ltd. Class H | 19,772 | |
8,400 | ZTE Corp. | 27,624 | |
2,615 | ZTO Express Cayman, Inc. ADR | 80,176 | |
10,898,877 | |||
Cyprus - 0.3% | |||
7,011 | Polymetal International plc | 118,922 | |
Hong Kong - 1.9% | |||
34,000 | China Gas Holdings Ltd. | 100,454 | |
66,000 | China Overseas Land & Investment Ltd. | 150,404 | |
32,000 | China Resources Gas Group Ltd. | 168,126 | |
20,000 | China Resources Land Ltd. | 84,397 | |
12,000 | Geely Automobile Holdings Ltd. | 34,452 | |
126,000 | Sino Biopharmaceutical Ltd. | 104,560 | |
49,000 | Wharf Holdings Ltd. | 162,711 | |
805,104 | |||
India - 4.8% | |||
1,715 | Axis Bank Ltd. GDR* | 87,636 | |
5,515 | Dr. Reddy's Laboratories Ltd. ADR | 359,247 | |
13,865 | ICICI Bank Ltd. ADR | 261,633 | |
17,916 | Infosys Ltd. ADR | 398,631 | |
4,426 | Reliance Industries Ltd. GDR | 301,411 | |
1,955 | State Bank of India GDR | 120,233 | |
4,900 | Vedanta Ltd. ADR | 74,872 | |
45,239 | Wipro Ltd. ADR | 399,460 | |
2,003,123 | |||
Indonesia - 3.7% | |||
614,700 | Astra International Tbk PT | 236,217 | |
121,400 | Bank Central Asia Tbk PT | 296,873 | |
52,100 | Bank Mandiri Persero Tbk PT | 22,387 | |
761,700 | Bank Rakyat Indonesia Persero Tbk PT | 204,894 | |
34,400 | Indofood CBP Sukses Makmur Tbk PT | 20,069 |
32 |
September 30, 2021
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 97.9% - (continued) | |||
Indonesia - 3.7% - (continued) | |||
22,100 | Indofood Sukses Makmur Tbk PT | $ 9,805 | |
1,525,700 | Kalbe Farma Tbk PT | 152,437 | |
544,400 | Merdeka Copper Gold Tbk PT* | 95,852 | |
1,342,200 | Sarana Menara Nusantara Tbk PT | 124,256 | |
787,800 | Telekomunikasi Indonesia Persero Tbk PT | 203,108 | |
188,700 | Unilever Indonesia Tbk PT | 52,078 | |
83,200 | United Tractors Tbk PT | 151,141 | |
1,569,117 | |||
Malaysia - 3.6% | |||
84,100 | CIMB Group Holdings Bhd | 96,022 | |
258,900 | DiGi.Com Bhd | 275,195 | |
73,400 | Hartalega Holdings Bhd | 107,825 | |
16,100 | Inari Amertron Bhd | 14,191 | |
109,724 | Malayan Banking Bhd | 210,982 | |
2,800 | Malaysian Pacific Industries Bhd | 30,364 | |
10,100 | Maxis Bhd | 11,315 | |
10,300 | MISC Bhd | 17,001 | |
3,400 | Nestle Malaysia Bhd | 108,095 | |
61,300 | Petronas Chemicals Group Bhd | 127,388 | |
5,600 | Petronas Dagangan Bhd | 25,576 | |
23,100 | Petronas Gas Bhd | 92,808 | |
36,600 | Public Bank Bhd | 35,582 | |
91,900 | Tenaga Nasional Bhd | 212,491 | |
51,800 | TIME dotCom Bhd | 56,298 | |
101,100 | Top Glove Corp. Bhd | 69,549 | |
1,490,682 | |||
Mexico - 4.1% | |||
21,900 | America Movil S.A.B. de C.V. Class L, ADR | 386,973 | |
18,500 | Arca Continental S.A.B. de C.V. | 113,173 | |
2,900 | Coca-Cola Femsa SAB de CV | 163,183 | |
3,000 | Fomento Economico Mexicano S.A.B. de C.V. ADR | 260,160 | |
10,621 | Gruma S.A.B. de C.V. Class B | 121,975 | |
59,400 | Grupo Bimbo S.A.B. de C.V. Series A | 167,723 | |
25,100 | Grupo Financiero Inbursa S.A.B. de C.V. Class O* | 23,751 | |
20,600 | Grupo Mexico S.A.B. de C.V. Series B | 82,302 | |
800 | Grupo Televisa S.A.B. | 8,784 | |
42,700 | Kimberly-Clark de Mexico S.A.B. de C.V. Class A | 70,458 | |
5,100 | Orbia Advance Corp. S.A.B. de C.V. | 13,154 | |
94,682 | Wal-Mart de Mexico S.A.B. de C.V. | 322,374 | |
1,734,010 | |||
Philippines - 2.7% | |||
7,695 | Ayala Corp. | 123,247 | |
94,600 | Ayala Land, Inc. | 62,127 | |
18,790 | Bank of the Philippine Islands | 30,003 | |
17,110 | BDO Unibank, Inc. | 37,098 | |
3,120 | Globe Telecom, Inc. | 182,515 | |
8,010 | International Container Terminal Services, Inc. | 30,620 | |
17,380 | Manila Electric Co. | 101,534 | |
41,800 | Metropolitan Bank & Trust Co. | 35,810 | |
7,025 | PLDT, Inc. | 231,366 | |
9,435 | SM Investments Corp. | 183,114 | |
209,800 | SM Prime Holdings, Inc. | 134,698 | |
1,152,132 | |||
Poland - 2.7% | |||
11,295 | Cyfrowy Polsat S.A. | 101,196 | |
245 | Dino Polska S.A.*(2) | 20,495 | |
2,885 | KGHM Polska Miedz S.A. | 114,528 | |
36 | LPP S.A. | 134,164 | |
9,109 | Orange Polska S.A.* | 18,419 | |
8,563 | Polski Koncern Naftowy ORLEN S.A. | 176,855 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 97.9% - (continued) | |||
Poland - 2.7% - (continued) | |||
87,422 | Polskie Gornictwo Naftowe i Gazownictwo S.A. | $ 142,297 | |
14,398 | Powszechna Kasa Oszczednosci Bank Polski S.A.* | 153,144 | |
31,608 | Powszechny Zaklad Ubezpieczen S.A.* | 290,511 | |
1,151,609 | |||
Russia - 2.0% | |||
36,969 | Gazprom PJSC ADR | 369,172 | |
440 | LUKOIL PJSC ADR | 42,161 | |
3,816 | MMC Norilsk Nickel PJSC ADR | 114,213 | |
15,583 | Sberbank of Russia PJSC ADR | 293,272 | |
132 | Yandex N.V. Class A* | 10,519 | |
829,337 | |||
South Africa - 2.5% | |||
26,310 | FirstRand Ltd. | 112,812 | |
1,399 | Foschini Group Ltd.* | 12,697 | |
1,750 | Kumba Iron Ore Ltd. | 57,688 | |
5,986 | Mr. Price Group Ltd. | 80,060 | |
4,732 | MTN Group Ltd.* | 44,461 | |
16,442 | MultiChoice Group Ltd. | 124,771 | |
1,115 | Naspers Ltd. Class N | 184,729 | |
3,088 | Sanlam Ltd. | 13,120 | |
4,791 | Shoprite Holdings Ltd. | 56,922 | |
22,732 | Vodacom Group Ltd. | 217,635 | |
36,739 | Woolworths Holdings Ltd. | 144,221 | |
1,049,116 | |||
South Korea - 15.0% | |||
3,739 | BNK Financial Group, Inc. | 27,916 | |
3,935 | Coway Co., Ltd. | 246,602 | |
813 | DB HiTek Co., Ltd. | 37,491 | |
374 | DB Insurance Co., Ltd. | 20,090 | |
2,659 | Fila Holdings Corp. | 95,782 | |
3,245 | GS Holdings Corp. | 122,647 | |
1,797 | Hana Financial Group, Inc. | 70,423 | |
4,173 | Hankook Tire & Technology Co., Ltd. | 152,434 | |
11,802 | Hanon Systems | 155,998 | |
303 | Hansol Chemical Co., Ltd. | 88,674 | |
1,884 | Hotel Shilla Co., Ltd. | 137,799 | |
59 | Hyosung TNC Corp. | 32,141 | |
671 | Hyundai Mobis Co., Ltd. | 143,381 | |
587 | Hyundai Motor Co. | 99,155 | |
561 | Iljin Materials Co., Ltd. | 49,277 | |
3,472 | Industrial Bank of Korea | 30,791 | |
702 | Kakao Corp. | 69,963 | |
4,248 | Kangwon Land, Inc.* | 102,792 | |
1,428 | KB Financial Group, Inc. | 66,696 | |
3,071 | Kia Motors Corp. | 210,612 | |
7,072 | Korea Electric Power Corp. | 140,664 | |
166 | Korea Zinc Co., Ltd. | 70,522 | |
3,626 | KT&G Corp. | 248,675 | |
50 | LG Chem Ltd. | 32,770 | |
10,859 | LG Display Co., Ltd.* | 173,799 | |
2,310 | LG Electronics, Inc. | 248,754 | |
69 | LG Household & Health Care Ltd. | 77,916 | |
447 | LG Innotek Co., Ltd. | 78,716 | |
18,380 | LG Uplus Corp. | 232,855 | |
536 | Mando Corp.* | 25,849 | |
764 | NAVER Corp. | 250,365 | |
315 | NCSoft Corp. | 160,427 | |
183 | Orion Corp. | 18,161 | |
1,470 | Pearl Abyss Corp.* | 99,821 | |
305 | POSCO | 85,008 | |
830 | Samsung C&T Corp. | 86,575 |
33 |
September 30, 2021
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 97.9% - (continued) | |||
South Korea - 15.0% - (continued) | |||
1,511 | Samsung Electro-Mechanics Co., Ltd. | $ 226,522 | |
6,582 | Samsung Electronics Co., Ltd. | 411,931 | |
685 | Samsung Fire & Marine Insurance Co., Ltd. | 135,959 | |
262 | Samsung SDI Co., Ltd. | 158,882 | |
2,052 | Samsung SDS Co., Ltd. | 278,164 | |
2,161 | Samsung Securities Co., Ltd. | 87,426 | |
2,705 | Shinhan Financial Group Co., Ltd. | 92,299 | |
482 | Shinsegae, Inc. | 107,269 | |
4,683 | SK Hynix, Inc. | 407,389 | |
1,173 | SK Telecom Co., Ltd.* | 320,990 | |
1,738 | Woori Financial Group, Inc. | 17,101 | |
774 | Yuhan Corp. | 40,204 | |
6,275,677 | |||
Taiwan - 17.4% | |||
9,000 | Accton Technology Corp. | 84,959 | |
189,000 | Acer, Inc. | 167,899 | |
14,000 | Advantech Co., Ltd. | 183,414 | |
31,000 | ASE Technology Holding, Co., Ltd. | 121,283 | |
24,000 | Asustek Computer, Inc. | 280,397 | |
18,000 | Catcher Technology Co., Ltd. | 108,218 | |
68,000 | Cathay Financial Holding Co., Ltd. | 141,318 | |
73,000 | Cheng Shin Rubber Industry Co., Ltd. | 93,017 | |
138,000 | China Development Financial Holding Corp. | 70,336 | |
6,000 | China Steel Corp. | 7,817 | |
62,000 | Chunghwa Telecom Co., Ltd. | 245,904 | |
344,000 | Compal Electronics, Inc. | 291,395 | |
81,000 | CTBC Financial Holding Co., Ltd. | 66,578 | |
19,000 | Delta Electronics, Inc. | 171,856 | |
16,000 | E Ink Holdings, Inc. | 42,383 | |
3,000 | Eclat Textile Co., Ltd. | 65,361 | |
5,000 | Elite Material Co., Ltd. | 39,034 | |
72,000 | Far EasTone Telecommunications Co., Ltd. | 158,935 | |
11,000 | Feng TAY Enterprise Co., Ltd. | 84,887 | |
92,000 | First Financial Holding Co., Ltd. | 74,464 | |
38,000 | Foxconn Technology Co., Ltd. | 95,885 | |
37,000 | Fubon Financial Holding Co., Ltd. | 101,861 | |
420 | Great Wall Enterprise Co., Ltd. | 828 | |
59,224 | Hon Hai Precision Industry Co., Ltd. | 223,202 | |
62,000 | Innolux Corp. | 37,831 | |
255,000 | Inventec Corp. | 236,141 | |
1,000 | Largan Precision Co., Ltd. | 78,606 | |
123,245 | Lite-On Technology Corp. | 276,478 | |
19 | Lotes Co., Ltd. | 378 | |
8,000 | MediaTek, Inc. | 259,866 | |
104,000 | Mega Financial Holding Co., Ltd. | 119,639 | |
30,000 | Micro-Star International Co., Ltd. | 139,445 | |
1,000 | momo.com, Inc. | 58,147 | |
7,000 | Nan Ya Plastics Corp. | 22,989 | |
13,000 | Novatek Microelectronics Corp. | 191,310 | |
1,000 | Parade Technologies Ltd. | 59,403 | |
81,000 | Pegatron Corp. | 194,792 | |
2,000 | Phison Electronics Corp. | 27,063 | |
92,000 | Pou Chen Corp. | 111,448 | |
32,000 | Powertech Technology, Inc. | 120,027 | |
3,000 | President Chain Store Corp. | 30,150 | |
102,000 | Quanta Computer, Inc. | 283,735 | |
6,000 | Realtek Semiconductor Corp. | 106,710 | |
10,000 | Simplo Technology Co., Ltd. | 103,552 | |
2,000 | Sino-American Silicon Products, Inc. | 13,029 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 97.9% - (continued) | |||
Taiwan - 17.4% - (continued) | |||
10,000 | SinoPac Financial Holdings Co., Ltd. | $ 4,989 | |
140,000 | Synnex Technology International Corp. | 262,307 | |
24,044 | Taishin Financial Holding Co., Ltd. | 15,620 | |
39,000 | Taiwan Cement Corp. | 71,391 | |
105,060 | Taiwan Cooperative Financial Holding Co., Ltd. | 83,338 | |
59,000 | Taiwan Mobile Co., Ltd. | 209,440 | |
3,000 | Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 334,950 | |
29,000 | Teco Electric and Machinery Co., Ltd. | 32,528 | |
16,000 | Uni-President Enterprises Corp. | 39,224 | |
69,000 | United Microelectronics Corp. | 158,504 | |
13,000 | Vanguard International Semiconductor Corp. | 70,691 | |
7,600 | Wan Hai Lines Ltd. | 55,512 | |
141,686 | Wistron Corp. | 139,853 | |
2,000 | Wiwynn Corp. | 62,454 | |
138,000 | WPG Holdings Ltd. | 240,233 | |
80,000 | Yuanta Financial Holding Co., Ltd. | 70,925 | |
13,000 | Zhen Ding Technology Holding Ltd. | 46,148 | |
7,290,077 | |||
Thailand - 3.9% | |||
58,947 | Advanced Info Service PCL NVDR | 341,469 | |
43,300 | Bangkok Chain Hospital PCL NVDR | 27,386 | |
344,800 | Bangkok Dusit Medical Services PCL NVDR | 232,346 | |
5,300 | Bumrungrad Hospital PCL | 22,165 | |
33,800 | Central Retail Corp. PCL | 33,465 | |
46,600 | Com7 PCL NVDR | 92,622 | |
68,900 | CP ALL PCL NVDR | 129,308 | |
11,000 | Hana Microelectronics PCL NVDR | 25,684 | |
379,200 | Home Product Center PCL NVDR | 152,420 | |
20,900 | Intouch Holdings PCL NVDR | 49,725 | |
4,600 | KCE Electronics PCL NVDR | 10,706 | |
110,100 | Land & Houses PCL | 25,870 | |
13,200 | PTT Exploration & Production PCL NVDR | 45,840 | |
93,900 | PTT PCL NVDR | 108,234 | |
18,300 | Siam Cement PCL NVDR | 217,426 | |
112,500 | Sri Trang Gloves Thailand PCL(1) | 103,905 | |
7,300 | Thai Union Group PCL | 4,682 | |
1,623,253 | |||
Turkey - 2.2% | |||
71,252 | Akbank T.A.S. | 42,747 | |
28,102 | BIM Birlesik Magazalar A.S. | 202,124 | |
119,988 | Eregli Demir ve Celik Fabrikalari T.A.S. | 224,870 | |
5,282 | Ford Otomotiv Sanayi AS | 99,347 | |
13,856 | Petkim Petrokimya Holding A.S.* | 10,184 | |
7,846 | Tofas Turk Otomobil Fabrikasi AS | 45,923 | |
124,696 | Turkcell Iletisim Hizmetleri AS | 215,166 | |
43,191 | Turkiye Garanti Bankasi A.S. | 44,921 | |
23,926 | Turkiye Sise ve Cam Fabrikalari A.S. | 22,056 | |
907,338 | |||
Total Common Stocks (cost $39,085,985) | $ 41,047,541 | ||
PREFERRED STOCKS - 1.5% | |||
Brazil - 1.2% | |||
37,957 | Banco Bradesco S.A. | $ 145,102 | |
5,647 | Bradespar S.A. (Preference Shares) | 54,174 | |
35,371 | Itau S.A. | 72,314 |
34 |
September 30, 2021
Shares or Principal Amount | Market Value† | ||
PREFERRED STOCKS - 1.5% - (continued) | |||
Brazil - 1.2% - (continued) | |||
37,461 | Itau Unibanco Holding S.A. | $ 198,893 | |
8,200 | Petroleo Brasileiro S.A. | 40,978 | |
511,461 | |||
Colombia - 0.3% | |||
11,929 | Bancolombia S.A. | 103,270 | |
Total Preferred Stocks (cost $551,821) | $ 614,731 | ||
Total Long-Term Investments (cost $39,637,806) | $ 41,662,272 | ||
SHORT-TERM INVESTMENTS - 0.2% | |||
Securities Lending Collateral - 0.2% | |||
6,851 | Fidelity Investments Money Market Funds, Government Portfolio, Institutional Class, 0.01%(3) | $ 6,851 | |
90,821 | Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 0.03%(3) | 90,821 | |
4,960 | Invesco Government & Agency Portfolio, Institutional Class, 0.03%(3) | 4,960 | |
Total Short-Term Investments (cost $102,632) | $ 102,632 | ||
Total Investments (cost $39,740,438) | 99.6% | $ 41,764,904 | |
Other Assets and Liabilities | 0.4% | 147,924 | |
Total Net Assets | 100.0% | $ 41,912,828 |
Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
The Fund may refer to any one or more of the industry classifications used by one or more widely recognized market indices, ratings group and/or as defined by Fund management. Industry classifications may not be identical across all security types. | |
For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. | |
See “Glossary” for abbreviation descriptions. |
* | Non-income producing. |
(1) | Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
(2) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of 1933. At September 30, 2021, the aggregate value of this security was $20,495, representing 0.0% of net assets. |
(3) | Current yield as of period end. |
Futures Contracts Outstanding at September 30, 2021 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
MSCI Emerging Markets Index Future | 4 | 12/17/2021 | $ 249,120 | $ (10,888) | ||||
Total futures contracts | $ (10,888) |
35 |
September 30, 2021
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Brazil | $ 1,105,087 | $ 1,105,087 | $ — | $ — | ||||
Cayman Islands | 40,625 | 40,625 | — | — | ||||
Chile | 1,003,455 | 1,003,455 | — | — | ||||
China | 10,898,877 | 10,898,877 | — | — | ||||
Cyprus | 118,922 | 118,922 | — | — | ||||
Hong Kong | 805,104 | 805,104 | — | — | ||||
India | 2,003,123 | 2,003,123 | — | — | ||||
Indonesia | 1,569,117 | 1,569,117 | — | — | ||||
Malaysia | 1,490,682 | 1,490,682 | — | — | ||||
Mexico | 1,734,010 | 1,734,010 | — | — | ||||
Philippines | 1,152,132 | 1,152,132 | — | — | ||||
Poland | 1,151,609 | 1,151,609 | — | — | ||||
Russia | 829,337 | 829,337 | — | — | ||||
South Africa | 1,049,116 | 1,049,116 | — | — | ||||
South Korea | 6,275,677 | 6,275,677 | — | — | ||||
Taiwan | 7,290,077 | 7,290,077 | — | — | ||||
Thailand | 1,623,253 | 1,623,253 | — | — | ||||
Turkey | 907,338 | 907,338 | — | — | ||||
Preferred Stocks | 614,731 | 614,731 | — | — | ||||
Short-Term Investments | 102,632 | 102,632 | — | — | ||||
Total | $ 41,764,904 | $ 41,764,904 | $ — | $ — | ||||
Liabilities | ||||||||
Futures Contracts(2) | $ (10,888) | $ (10,888) | $ — | $ — | ||||
Total | $ (10,888) | $ (10,888) | $ — | $ — |
(1) | For the year ended September 30, 2021, there were no transfers in and out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
36 |
September 30, 2021
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.5% | |||
Automobiles & Components - 0.2% | |||
1,252 | Standard Motor Products, Inc. | $ 54,725 | |
Banks - 10.2% | |||
961 | Ameris Bancorp | 49,857 | |
1,542 | Associated Banc-Corp. | 33,030 | |
253 | BancorpSouth Bank | 7,534 | |
936 | Bankwell Financial Group, Inc. | 27,546 | |
778 | Banner Corp. | 42,953 | |
3,661 | BCB Bancorp, Inc. | 54,036 | |
949 | Cadence Bancorp | 20,840 | |
711 | Cathay General Bancorp | 29,428 | |
874 | Central Pacific Financial Corp. | 22,444 | |
678 | Central Valley Community Bancorp | 14,577 | |
261 | City Holding Co. | 20,335 | |
2,325 | Civista Bancshares, Inc. | 54,010 | |
287 | Community Trust Bancorp, Inc. | 12,083 | |
1,879 | CVB Financial Corp. | 38,275 | |
280 | Eagle Bancorp, Inc. | 16,100 | |
102 | Farmers National Banc Corp. | 1,602 | |
2,534 | Financial Institutions, Inc. | 77,667 | |
8,844 | First BanCorp | 124,391 | |
3,178 | First Busey Corp. | 78,274 | |
878 | First Financial Corp. | 36,920 | |
1,325 | First Hawaiian, Inc. | 38,889 | |
5,340 | First Interstate BancSystem, Inc. Class A | 214,988 | |
297 | First Merchants Corp. | 12,426 | |
1,582 | FNB Corp. | 18,383 | |
3,852 | Fulton Financial Corp. | 58,859 | |
94 | Great Southern Bancorp, Inc. | 5,152 | |
3,977 | Hanmi Financial Corp. | 79,779 | |
648 | Heartland Financial USA, Inc. | 31,156 | |
853 | Heritage Financial Corp. | 21,752 | |
2,000 | Hilltop Holdings, Inc. | 65,340 | |
678 | HomeStreet, Inc. | 27,900 | |
6,991 | Hope Bancorp, Inc. | 100,950 | |
1,399 | Independent Bank Corp. | 34,261 | |
539 | Meridian Bancorp, Inc. | 11,190 | |
296 | Midland States Bancorp, Inc. | 7,320 | |
194 | National Bank Holdings Corp. | 7,853 | |
492 | NBT Bancorp, Inc. | 17,771 | |
2,780 | Northwest Bancshares, Inc. | 36,918 | |
1,423 | OceanFirst Financial Corp. | 30,466 | |
1,890 | Old National Bancorp | 32,036 | |
218 | Park National Corp. | 26,585 | |
793 | PCB Bancorp | 15,789 | |
193 | Peoples Bancorp, Inc. | 6,101 | |
843 | Preferred Bank | 56,211 | |
3,944 | Primis Financial Corp. | 57,030 | |
192 | QCR Holdings, Inc. | 9,876 | |
758 | Renasant Corp. | 27,326 | |
1,387 | Republic Bancorp, Inc. | 70,252 | |
161 | ServisFirst Bancshares, Inc. | 12,526 | |
2,902 | Shore Bancshares, Inc. | 51,452 | |
3,265 | Simmons First National Corp. Class A | 96,513 | |
3,066 | Towne Bank | 95,383 | |
581 | TriCo Bancshares | 25,215 | |
1,180 | TrustCo Bank Corp. NY | 37,725 | |
2,342 | Trustmark Corp. | 75,459 | |
3,706 | Umpqua Holdings Corp. | 75,046 | |
467 | Univest Financial Corp. | 12,791 | |
609 | Walker & Dunlop, Inc. | 69,122 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.5% - (continued) | |||
Banks - 10.2% - (continued) | |||
295 | Washington Federal, Inc. | $ 10,121 | |
166 | Washington Trust Bancorp, Inc. | 8,795 | |
2,279 | Waterstone Financial, Inc. | 46,697 | |
411 | WesBanco, Inc. | 14,007 | |
2,515,313 | |||
Capital Goods - 6.8% | |||
247 | Alamo Group, Inc. | 34,464 | |
6,459 | Alpha Pro Tech Ltd.*(1) | 43,469 | |
850 | Applied Industrial Technologies, Inc. | 76,611 | |
2,246 | Atkore International Group, Inc* | 195,222 | |
2,259 | BlueLinx Holdings, Inc.* | 110,420 | |
3,370 | Boise Cascade Co. | 181,913 | |
932 | Comfort Systems USA, Inc. | 66,470 | |
278 | Encore Wire Corp. | 26,363 | |
1,265 | Federal Signal Corp. | 48,854 | |
943 | Global Industrial Co. Common St | 35,730 | |
2,543 | GMS, Inc.* | 111,383 | |
6,016 | GrafTech International Ltd. | 62,085 | |
2,057 | Great Lakes Dredge & Dock Corp.* | 31,040 | |
278 | Greenbrier Cos., Inc. | 11,951 | |
1,165 | IES Holdings, Inc.* | 53,229 | |
248 | Kadant, Inc. | 50,617 | |
471 | McGrath Rent Corp. | 33,888 | |
1,798 | Miller Industries, Inc. | 61,204 | |
1,266 | Mueller Industries, Inc. | 52,033 | |
2,340 | MYR Group, Inc.* | 232,830 | |
569 | National Presto Industries, Inc. | 46,704 | |
689 | Primoris Services Corp. | 16,874 | |
1,396 | Sterling Construction Co., Inc.* | 31,647 | |
693 | Veritiv Corp.* | 62,065 | |
1,677,066 | |||
Commercial & Professional Services - 4.8% | |||
229 | Barrett Business Services, Inc. | 17,464 | |
2,012 | Brady Corp. Class A | 102,008 | |
4,290 | Deluxe Corp. | 153,968 | |
4,554 | Ennis, Inc. | 85,843 | |
1,549 | Healthcare Services Group, Inc. | 38,710 | |
1,837 | Herman Miller, Inc. | 69,181 | |
5,051 | HNI Corp. | 185,473 | |
1,821 | Kelly Services, Inc. Class A | 34,380 | |
2,361 | Kforce, Inc. | 140,810 | |
4,100 | Kimball International, Inc. Class B | 45,920 | |
896 | ManTech International Corp. Class A | 68,024 | |
4,606 | Resources Connection, Inc. | 72,683 | |
8,767 | Steelcase, Inc. Class A | 111,166 | |
345 | UniFirst Corp. | 73,354 | |
1,198,984 | |||
Consumer Durables & Apparel - 4.0% | |||
1,106 | Acushnet Holdings Corp. | 51,650 | |
5,110 | Ethan Allen Interiors, Inc. | 121,107 | |
483 | Green Brick Partners, Inc.* | 9,911 | |
836 | Johnson Outdoors, Inc. Class A | 88,449 | |
2,419 | Kontoor Brands, Inc. | 120,829 | |
1,290 | Lakeland Industries, Inc.* | 27,090 | |
394 | MDC Holdings, Inc. | 18,408 | |
1,905 | Nautilus, Inc.* | 17,736 | |
10,286 | Smith & Wesson Brands, Inc. | 213,537 | |
2,522 | Sturm Ruger & Co., Inc. | 186,073 | |
1,261 | Superior Group of Cos., Inc. | 29,369 |
37 |
September 30, 2021
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.5% - (continued) | |||
Consumer Durables & Apparel - 4.0% - (continued) | |||
1,078 | Tupperware Brands Corp.* | $ 22,767 | |
1,228 | Vera Bradley, Inc.* | 11,556 | |
2,094 | Vista Outdoor, Inc.* | 84,409 | |
1,002,891 | |||
Consumer Services - 1.0% | |||
2,052 | American Public Education, Inc.* | 52,552 | |
6,351 | Perdoceo Education Corp.* | 67,066 | |
3,617 | Stride, Inc.* | 129,995 | |
249,613 | |||
Diversified Financials - 2.5% | |||
240 | A-Mark Precious Metals, Inc. | 14,405 | |
1,298 | B. Riley Financial, Inc. | 76,634 | |
6,657 | Cherry Hill Mortgage Investment Corp. REIT | 59,114 | |
3,776 | Cowen, Inc. | 129,555 | |
651 | Moelis & Co. Class A | 40,277 | |
2,606 | Oppenheimer Holdings, Inc. Class A | 118,026 | |
104 | Regional Management Corp. | 6,051 | |
3,054 | Victory Capital Holdings, Inc. | 106,920 | |
2,939 | Virtu Financial, Inc. Class A | 71,800 | |
622,782 | |||
Energy - 2.8% | |||
1,218 | Bonanza Creek Energy, Inc. | 58,342 | |
914 | Centrus Energy Corp.* | 35,335 | |
6,338 | CONSOL Energy, Inc.* | 164,915 | |
53 | Dorian LPG Ltd. | 658 | |
1,265 | Equitrans Midstream Corp. | 12,827 | |
6,693 | Magnolia Oil & Gas Corp. Class A | 119,069 | |
601 | Oasis Petroleum, Inc. | 59,751 | |
1,726 | Renewable Energy Group, Inc.* | 86,645 | |
5,399 | TechnipFMC plc* | 40,655 | |
9,588 | W&T Offshore, Inc.* | 35,667 | |
2,398 | World Fuel Services Corp. | 80,621 | |
694,485 | |||
Food & Staples Retailing - 3.2% | |||
800 | Andersons, Inc. | 24,664 | |
3,271 | Ingles Markets, Inc. Class A | 215,984 | |
4,295 | SpartanNash Co. | 94,060 | |
6,223 | Sprouts Farmers Market, Inc.* | 144,187 | |
3,142 | United Natural Foods, Inc.* | 152,136 | |
3,120 | Weis Markets, Inc. | 163,956 | |
794,987 | |||
Food, Beverage & Tobacco - 1.7% | |||
330 | Coca-Cola Consolidated, Inc. | 130,079 | |
1,325 | John B Sanfilippo & Son, Inc. | 108,279 | |
1 | Mehadrin Ltd.* | 30 | |
827 | Universal Corp. | 39,969 | |
10,902 | Vector Group Ltd. | 139,001 | |
417,358 | |||
Health Care Equipment & Services - 10.9% | |||
402 | Addus HomeCare Corp.* | 32,060 | |
8,195 | Allscripts Healthcare Solutions, Inc.* | 109,567 | |
1,520 | Apollo Medical Holdings, Inc.* | 138,396 | |
14 | Atrion Corp. | 9,765 | |
114 | BioLife Solutions, Inc.* | 4,824 | |
10,840 | Castlight Health, Inc.* | 17,019 | |
7,124 | Co-Diagnostics, Inc.* | 69,317 | |
9,646 | Community Health Systems, Inc.* | 112,858 | |
3,053 | Computer Programs & Systems, Inc. | 108,259 | |
402 | Corvel Corp.* | 74,860 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.5% - (continued) | |||
Health Care Equipment & Services - 10.9% - (continued) | |||
9,378 | Cross Country Healthcare, Inc.* | $ 199,189 | |
1,580 | Fulgent Genetics, Inc.* | 142,121 | |
1,257 | Hanger, Inc.* | 27,604 | |
571 | ICU Medical, Inc.* | 133,260 | |
6,313 | InfuSystem Holdings, Inc.* | 82,258 | |
2,677 | Inovalon Holdings, Inc. Class A* | 107,856 | |
619 | Integer Holdings Corp.* | 55,301 | |
1,280 | Joint Corp.* | 125,466 | |
2,604 | LeMaitre Vascular, Inc. | 138,246 | |
394 | Magellan Health, Inc.* | 37,253 | |
11,365 | Meridian Bioscience, Inc.* | 218,663 | |
829 | Merit Medical Systems, Inc.* | 59,522 | |
881 | ModivCare, Inc.* | 160,007 | |
1,701 | National HealthCare Corp. | 119,036 | |
2,248 | NextGen Healthcare, Inc.* | 31,697 | |
1,410 | Orthofix Medical, Inc.* | 53,749 | |
6,788 | Owens & Minor, Inc. | 212,397 | |
3,527 | Patterson Cos., Inc. | 106,304 | |
1,318 | Sharps Compliance Corp.* | 10,900 | |
2,697,754 | |||
Household & Personal Products - 0.9% | |||
1,178 | Central Garden & Pet Co. Class A* | 50,654 | |
2,050 | Nu Skin Enterprises, Inc. Class A | 82,963 | |
1,090 | USANA Health Sciences, Inc.* | 100,498 | |
234,115 | |||
Insurance - 5.6% | |||
612 | American Equity Investment Life Holding Co. | 18,097 | |
1,327 | American National Group, Inc. | 250,843 | |
467 | Assured Guaranty Ltd. | 21,860 | |
7,308 | CNO Financial Group, Inc. | 172,030 | |
3,222 | Donegal Group, Inc. | 46,687 | |
3,541 | Employers Holdings, Inc. | 139,834 | |
986 | HCI Group, Inc. | 109,219 | |
1,984 | Horace Mann Educators Corp. | 78,943 | |
3,225 | Mercury General Corp. | 179,536 | |
1,252 | Safety Insurance Group, Inc. | 99,221 | |
1,965 | Stewart Information Services Corp. | 124,306 | |
13,646 | Tiptree, Inc. | 136,733 | |
1,377,309 | |||
Materials - 3.6% | |||
3,723 | Commercial Metals Co. | 113,403 | |
2,387 | Greif, Inc. Class A | 154,200 | |
300 | Hawkins, Inc. | 10,464 | |
1,602 | Kronos Worldwide, Inc. | 19,881 | |
1,595 | Myers Industries, Inc. | 31,214 | |
832 | Olympic Steel, Inc. | 20,268 | |
3,579 | Schnitzer Steel Industries, Inc. Class A | 156,796 | |
2,574 | Schweitzer-Mauduit International, Inc. | 89,215 | |
2,129 | Silgan Holdings, Inc. | 81,668 | |
347 | Stepan Co. | 39,190 | |
311 | SunCoke Energy, Inc. | 1,953 | |
2,476 | Tredegar Corp. | 30,158 | |
957 | Trinseo S.A. | 51,659 | |
219 | Tronox Holdings plc | 5,398 | |
1,449 | Worthington Industries, Inc. | 76,362 | |
881,829 | |||
Media & Entertainment - 3.4% | |||
3,281 | AMC Networks, Inc. Class A* | 152,862 | |
19,283 | Entravision Communications Corp. | 136,909 | |
775 | Gray Television, Inc. | 17,686 | |
3,428 | John Wiley & Sons, Inc. Class A | 178,976 |
38 |
September 30, 2021
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.5% - (continued) | |||
Media & Entertainment - 3.4% - (continued) | |||
2,552 | Lee Enterprises, Inc.* | $ 57,777 | |
3,330 | Meredith Corp.* | 185,481 | |
5,820 | TEGNA, Inc. | 114,770 | |
844,461 | |||
Pharmaceuticals, Biotechnology & Life Sciences - 8.1% | |||
3,799 | Amphastar Pharmaceuticals, Inc.* | 72,219 | |
8,733 | BioDelivery Sciences International, Inc.* | 31,526 | |
38,255 | Catalyst Pharmaceuticals, Inc.* | 202,751 | |
3,441 | Collegium Pharmaceutical, Inc.* | 67,925 | |
9,735 | Corcept Therapeutics, Inc.* | 191,585 | |
699 | Eagle Pharmaceuticals, Inc.* | 38,990 | |
310 | Emergent BioSolutions, Inc.* | 15,522 | |
3,337 | Harrow Health, Inc.* | 30,333 | |
4,883 | Harvard Bioscience, Inc.* | 34,083 | |
487 | Innoviva, Inc.* | 8,138 | |
3,004 | Inotiv, Inc.* | 87,837 | |
10,740 | Ironwood Pharmaceuticals, Inc.* | 140,264 | |
4,100 | MiMedx Group, Inc.* | 24,846 | |
7,153 | Organogenesis Holdings, Inc.* | 101,859 | |
33,488 | Ovid therapeutics, Inc.* | 112,520 | |
438 | Pacira BioSciences, Inc.* | 24,528 | |
7,331 | Phibro Animal Health Corp. Class A | 157,910 | |
1,961 | Prestige Consumer Healthcare, Inc.* | 110,032 | |
1,027 | Sage Therapeutics, Inc.* | 45,506 | |
13,094 | SIGA Technologies, Inc.* | 96,765 | |
6,076 | Supernus Pharmaceuticals, Inc.* | 162,047 | |
14,577 | Vanda Pharmaceuticals, Inc.* | 249,850 | |
2,007,036 | |||
Real Estate - 5.9% | |||
17,812 | Apartment Investment and Management Co. | 122,012 | |
10,726 | Bluerock Residential Growth REIT, Inc. REIT | 136,649 | |
7,314 | Brandywine Realty Trust | 98,154 | |
228 | Centerspace REIT | 21,546 | |
6,805 | City Office, Inc. REIT | 121,537 | |
5,064 | Columbia Property Trust, Inc. REIT | 96,317 | |
2,316 | CTO Realty Growth, Inc. | 124,508 | |
5,007 | Farmland Partners, Inc. REIT | 60,034 | |
911 | Forestar Group, Inc.* | 16,972 | |
19,604 | Geo Group, Inc. REIT | 146,442 | |
705 | Getty Realty Corp. REIT | 20,664 | |
2,879 | Independence Realty Trust, Inc. REIT | 58,588 | |
1,117 | Industrial Logistics Properties Trust | 28,383 | |
1,599 | iStar, Inc. REIT | 40,103 | |
499 | Kennedy-Wilson Holdings, Inc. | 10,439 | |
726 | Marcus & Millichap, Inc. REIT* | 29,490 | |
166 | NexPoint Residential Trust, Inc. REIT | 10,272 | |
3,718 | Piedmont Office Realty Trust, Inc. Class A, REIT | 64,805 | |
481 | PotlatchDeltic Corp. REIT | 24,810 | |
375 | Preferred Apartment Communities, Inc. Class A, REIT | 4,586 | |
2,274 | RMR Group, Inc. Class A | 76,065 | |
3,548 | RPT Realty REIT | 45,273 | |
4,078 | UMH Properties, Inc. | 93,386 | |
1,451,035 | |||
Retailing - 8.2% | |||
3,012 | 1-800-Flowers.com, Inc. Class A* | 91,896 | |
2,393 | Abercrombie & Fitch Co. Class A* | 90,048 | |
462 | Asbury Automotive Group, Inc.* | 90,894 | |
7,617 | Big 5 Sporting Goods Corp. | 175,496 | |
4,197 | Big Lots, Inc. | 181,982 | |
5,024 | Buckle, Inc. | 198,900 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.5% - (continued) | |||
Retailing - 8.2% - (continued) | |||
506 | Citi Trends, Inc.* | $ 36,918 | |
6,780 | Haverty Furniture Cos., Inc. | 228,554 | |
2,844 | Hibbett Sports, Inc. | 201,184 | |
1,513 | MarineMax, Inc.* | 73,411 | |
622 | Murphy USA, Inc. | 104,036 | |
3,909 | Rent-A-Center, Inc. | 219,725 | |
8,928 | Sally Beauty Holdings, Inc.* | 150,437 | |
166 | Shutterstock, Inc. | 18,811 | |
153 | Sleep Number Corp.* | 14,302 | |
4,789 | Sportsman's Warehouse Holdings, Inc.* | 84,286 | |
2,085 | Zumiez, Inc.* | 82,900 | |
2,043,780 | |||
Semiconductors & Semiconductor Equipment - 2.3% | |||
6,716 | Amkor Technology, Inc. | 167,564 | |
480 | Axcelis Technologies, Inc.* | 22,574 | |
749 | Diodes, Inc.* | 67,852 | |
2,051 | Kulicke & Soffa Industries, Inc. | 119,532 | |
7,038 | Magnachip Semiconductor Corp.* | 124,995 | |
4,466 | Photronics, Inc.* | 60,872 | |
563,389 | |||
Software & Services - 1.7% | |||
3,018 | CSG Systems International, Inc. | 145,468 | |
397 | Evertec, Inc. | 18,151 | |
473 | ExlService Holdings, Inc.* | 58,236 | |
11,720 | Information Services Group, Inc. | 84,150 | |
814 | TTEC Holdings, Inc. | 76,133 | |
1,603 | Xperi Holding Corp. | 30,200 | |
412,338 | |||
Technology Hardware & Equipment - 6.5% | |||
3,933 | Aviat Networks, Inc.* | 129,239 | |
1,088 | Avnet, Inc. | 40,223 | |
8,971 | Daktronics, Inc.* | 48,713 | |
1,261 | ePlus, Inc.* | 129,391 | |
384 | Fabrinet * | 39,364 | |
2,531 | Insight Enterprises, Inc.* | 227,993 | |
412 | Kimball Electronics, Inc.* | 10,617 | |
2,640 | Methode Electronics, Inc. | 111,012 | |
2,242 | NETGEAR, Inc.* | 71,542 | |
794 | OSI Systems, Inc.* | 75,271 | |
342 | PC Connection, Inc. | 15,058 | |
1,239 | Plexus Corp.* | 110,779 | |
3,440 | Sanmina Corp.* | 132,578 | |
3,197 | Super Micro Computer, Inc.* | 116,914 | |
3,398 | Turtle Beach Corp.* | 94,532 | |
6,423 | Vishay Intertechnology, Inc. | 129,038 | |
431 | Vishay Precision Group, Inc.* | 14,986 | |
5,659 | Xerox Holdings Corp. | 114,142 | |
1,611,392 | |||
Telecommunication Services - 2.3% | |||
5,668 | IDT Corp. Class B* | 237,772 | |
9,856 | Telephone & Data Systems, Inc. | 192,192 | |
4,711 | United States Cellular Corp.* | 150,234 | |
580,198 | |||
Transportation - 2.2% | |||
903 | ArcBest Corp. | 73,838 | |
1,534 | Hub Group, Inc. Class A* | 105,463 | |
2,216 | Marten Transport Ltd. | 34,769 | |
10 | Matson, Inc. | 807 | |
7,777 | Radiant Logistics, Inc.* | 49,695 |
39 |
September 30, 2021
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.5% - (continued) | |||
Transportation - 2.2% - (continued) | |||
962 | Ryder System, Inc. | $ 79,567 | |
3,092 | Schneider National, Inc. Class B | 70,312 | |
2,840 | Werner Enterprises, Inc. | 125,727 | |
540,178 | |||
Utilities - 0.7% | |||
602 | Avista Corp. | 23,550 | |
127 | Chesapeake Utilities Corp. | 15,246 | |
191 | MGE Energy, Inc. | 14,039 | |
244 | Northwest Natural Holding Co. | 11,222 | |
710 | Otter Tail Corp. | 39,739 | |
430 | Southwest Gas Holdings, Inc. | 28,758 | |
1,096 | Unitil Corp. | 46,887 | |
179,441 | |||
Total Common Stocks (cost $24,561,587) | $ 24,652,459 | ||
SHORT-TERM INVESTMENTS - 0.1% | |||
Securities Lending Collateral - 0.1% | |||
1,332 | Fidelity Investments Money Market Funds, Government Portfolio, Institutional Class, 0.01%(2) | $ 1,332 | |
17,654 | Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 0.03%(2) | 17,654 | |
964 | Invesco Government & Agency Portfolio, Institutional Class, 0.03%(2) | 964 | |
Total Short-Term Investments (cost $19,950) | $ 19,950 | ||
Total Investments (cost $24,581,537) | 99.6% | $ 24,672,409 | |
Other Assets and Liabilities | 0.4% | 99,344 | |
Total Net Assets | 100.0% | $ 24,771,753 |
Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
The Fund may refer to any one or more of the industry classifications used by one or more widely recognized market indices, ratings group and/or as defined by Fund management. Industry classifications may not be identical across all security types. | |
For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. | |
See “Glossary” for abbreviation descriptions. |
* | Non-income producing. |
(1) | Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
(2) | Current yield as of period end. |
Futures Contracts Outstanding at September 30, 2021 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
E-Mini Russell 2000 | 1 | 12/17/2021 | $ 110,040 | $ (1,092) | ||||
Total futures contracts | $ (1,092) |
40 |
September 30, 2021
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Automobiles & Components | $ 54,725 | $ 54,725 | $ — | $ — | ||||
Banks | 2,515,313 | 2,515,313 | — | — | ||||
Capital Goods | 1,677,066 | 1,677,066 | — | — | ||||
Commercial & Professional Services | 1,198,984 | 1,198,984 | — | — | ||||
Consumer Durables & Apparel | 1,002,891 | 1,002,891 | — | — | ||||
Consumer Services | 249,613 | 249,613 | — | — | ||||
Diversified Financials | 622,782 | 622,782 | — | — | ||||
Energy | 694,485 | 694,485 | — | — | ||||
Food & Staples Retailing | 794,987 | 794,987 | — | — | ||||
Food, Beverage & Tobacco | 417,358 | 417,358 | — | — | ||||
Health Care Equipment & Services | 2,697,754 | 2,697,754 | — | — | ||||
Household & Personal Products | 234,115 | 234,115 | — | — | ||||
Insurance | 1,377,309 | 1,377,309 | — | — | ||||
Materials | 881,829 | 881,829 | — | — | ||||
Media & Entertainment | 844,461 | 844,461 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 2,007,036 | 2,007,036 | — | — | ||||
Real Estate | 1,451,035 | 1,451,035 | — | — | ||||
Retailing | 2,043,780 | 2,043,780 | — | — | ||||
Semiconductors & Semiconductor Equipment | 563,389 | 563,389 | — | — | ||||
Software & Services | 412,338 | 412,338 | — | — | ||||
Technology Hardware & Equipment | 1,611,392 | 1,611,392 | — | — | ||||
Telecommunication Services | 580,198 | 580,198 | — | — | ||||
Transportation | 540,178 | 540,178 | — | — | ||||
Utilities | 179,441 | 179,441 | — | — | ||||
Short-Term Investments | 19,950 | 19,950 | — | — | ||||
Total | $ 24,672,409 | $ 24,672,409 | $ — | $ — | ||||
Liabilities | ||||||||
Futures Contracts(2) | $ (1,092) | $ (1,092) | $ — | $ — | ||||
Total | $ (1,092) | $ (1,092) | $ — | $ — |
(1) | For the year ended September 30, 2021, there were no transfers in and out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
41 |
September 30, 2021
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.6% | |||
Automobiles & Components - 0.2% | |||
46,211 | Ford Motor Co.* | $ 654,348 | |
4,852 | Gentex Corp. | 160,019 | |
814,367 | |||
Banks - 3.7% | |||
62,665 | Bank of America Corp. | 2,660,129 | |
1,647 | Citigroup, Inc. | 115,587 | |
302 | First Citizens BancShares, Inc. Class A | 254,637 | |
21,001 | JP Morgan Chase & Co. | 3,437,654 | |
3,186 | M&T Bank Corp. | 475,797 | |
66,581 | People's United Financial, Inc. | 1,163,170 | |
6,354 | PNC Financial Services Group, Inc. | 1,243,097 | |
1,739 | Popular, Inc. | 135,068 | |
12,361 | South State Corp. | 922,996 | |
6,986 | U.S. Bancorp | 415,248 | |
12,978 | UMB Financial Corp. | 1,255,102 | |
2,637 | United Bankshares, Inc. | 95,934 | |
12,659 | Valley National Bancorp | 168,491 | |
20,927 | Wells Fargo & Co. | 971,222 | |
17,396 | Zions Bancorp NA | 1,076,639 | |
14,390,771 | |||
Capital Goods - 5.9% | |||
6,625 | 3M Co. | 1,162,157 | |
19,280 | A.O. Smith Corp. | 1,177,430 | |
1,407 | Acuity Brands, Inc. | 243,932 | |
3,609 | Allegion plc | 477,038 | |
2,965 | BWX Technologies, Inc. | 159,695 | |
2,290 | Carlisle Cos., Inc. | 455,229 | |
10,139 | Carrier Global Corp. | 524,795 | |
2,392 | Cummins, Inc. | 537,148 | |
17,009 | Fastenal Co. | 877,834 | |
958 | Generac Holdings, Inc.* | 391,506 | |
4,547 | General Dynamics Corp. | 891,348 | |
4,337 | Graco, Inc. | 303,460 | |
7,130 | Huntington Ingalls Industries, Inc. | 1,376,518 | |
646 | Illinois Tool Works, Inc. | 133,483 | |
11,548 | Johnson Controls International plc | 786,188 | |
4,901 | L3Harris Technologies, Inc. | 1,079,396 | |
2,534 | Lennox International, Inc. | 745,427 | |
5,311 | Lockheed Martin Corp. | 1,832,826 | |
3,448 | Masco Corp. | 191,536 | |
11,940 | MSC Industrial Direct Co., Inc. Class A | 957,469 | |
6,863 | Northrop Grumman Corp. | 2,471,709 | |
3,175 | Otis Worldwide Corp. | 261,239 | |
2,666 | Quanta Services, Inc. | 303,444 | |
4,151 | Snap-on, Inc. | 867,351 | |
8,107 | Toro Co. | 789,703 | |
2,410 | Trane Technologies plc | 416,087 | |
8,749 | UFP Industries, Inc. | 594,757 | |
778 | Valmont Industries, Inc. | 182,923 | |
6,486 | Watsco, Inc. | 1,716,325 | |
2,652 | WW Grainger, Inc. | 1,042,395 | |
22,950,348 | |||
Commercial & Professional Services - 2.2% | |||
9,359 | Booz Allen Hamilton Holding Corp. | 742,637 | |
1,715 | Equifax, Inc. | 434,615 | |
11,043 | FTI Consulting, Inc.* | 1,487,492 | |
8,616 | Jacobs Engineering Group, Inc. | 1,141,878 | |
6,109 | ManpowerGroup, Inc. | 661,483 | |
11,100 | Republic Services, Inc. | 1,332,666 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.6% - (continued) | |||
Commercial & Professional Services - 2.2% - (continued) | |||
5,273 | Robert Half International, Inc. | $ 529,040 | |
4,109 | Waste Connections, Inc. | 517,446 | |
11,613 | Waste Management, Inc. | 1,734,518 | |
8,581,775 | |||
Consumer Durables & Apparel - 1.5% | |||
5,955 | Carter's, Inc. | 579,064 | |
8,665 | Garmin Ltd. | 1,347,061 | |
16,339 | Newell Brands, Inc. | 361,746 | |
18,569 | NIKE, Inc. Class B | 2,696,776 | |
4,027 | Whirlpool Corp. | 820,944 | |
5,805,591 | |||
Consumer Services - 1.4% | |||
4,934 | Domino's Pizza, Inc. | 2,353,320 | |
54,818 | H&R Block, Inc. | 1,370,450 | |
3,381 | McDonald's Corp. | 815,193 | |
1,341 | Service Corp. International/US | 80,809 | |
694 | Starbucks Corp. | 76,555 | |
5,799 | Yum! Brands, Inc. | 709,276 | |
5,405,603 | |||
Diversified Financials - 2.7% | |||
21,676 | Bank of New York Mellon Corp. | 1,123,684 | |
12,643 | Berkshire Hathaway, Inc. Class B* | 3,450,780 | |
5,343 | Cboe Global Markets, Inc. | 661,784 | |
10,478 | Charles Schwab Corp. | 763,217 | |
13,360 | Franklin Resources, Inc. | 397,059 | |
13,296 | Houlihan Lokey, Inc. | 1,224,562 | |
19,060 | Invesco Ltd. | 459,537 | |
3,963 | Janus Henderson Group plc | 163,791 | |
9,624 | Jefferies Financial Group, Inc. | 357,339 | |
552 | Nasdaq, Inc. | 106,547 | |
11,071 | Raymond James Financial, Inc. | 1,021,632 | |
31,301 | SLM Corp. | 550,898 | |
10,280,830 | |||
Energy - 0.6% | |||
36,063 | Cabot Oil & Gas Corp. | 784,731 | |
2 | DTE Midstream LLC* | 92 | |
25,101 | Exxon Mobil Corp. | 1,476,441 | |
2,261,264 | |||
Food & Staples Retailing - 2.1% | |||
9,960 | BJ's Wholesale Club Holdings, Inc.* | 547,003 | |
1,487 | Casey's General Stores, Inc. | 280,225 | |
2,039 | Costco Wholesale Corp. | 916,225 | |
71,225 | Kroger Co. | 2,879,627 | |
24,040 | Walmart, Inc. | 3,350,695 | |
7,973,775 | |||
Food, Beverage & Tobacco - 4.2% | |||
9,915 | Altria Group, Inc. | 451,331 | |
15,902 | Archer-Daniels-Midland Co. | 954,279 | |
16,273 | Bunge Ltd. | 1,323,320 | |
5,815 | Campbell Soup Co. | 243,125 | |
32,084 | Coca-Cola Co. | 1,683,447 | |
2,960 | Conagra Brands, Inc. | 100,255 | |
69,018 | Flowers Foods, Inc. | 1,630,895 | |
18,881 | General Mills, Inc. | 1,129,461 | |
6,747 | Hershey Co. | 1,141,930 | |
5,284 | Hormel Foods Corp. | 216,644 | |
13,052 | JM Smucker Co. | 1,566,632 | |
22,691 | Kellogg Co. | 1,450,409 |
42 |
September 30, 2021
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.6% - (continued) | |||
Food, Beverage & Tobacco - 4.2% - (continued) | |||
18,195 | PepsiCo., Inc. | $ 2,736,710 | |
9,996 | Philip Morris International, Inc. | 947,521 | |
7,906 | Tyson Foods, Inc. Class A | 624,100 | |
16,200,059 | |||
Health Care Equipment & Services - 7.6% | |||
25,357 | Abbott Laboratories | 2,995,422 | |
1,230 | AmerisourceBergen Corp. | 146,923 | |
15,343 | AMN Healthcare Services, Inc.* | 1,760,609 | |
4,895 | Anthem, Inc. | 1,824,856 | |
16,889 | Baxter International, Inc. | 1,358,382 | |
2,160 | Becton Dickinson and Co. | 530,971 | |
33,111 | Cardinal Health, Inc. | 1,637,670 | |
4,767 | Centene Corp.* | 297,032 | |
15,819 | Cerner Corp. | 1,115,556 | |
2,979 | Cigna Corp. | 596,277 | |
1,626 | Cooper Cos., Inc. | 672,042 | |
33,487 | CVS Health Corp. | 2,841,707 | |
2,140 | Danaher Corp. | 651,502 | |
1,545 | Globus Medical, Inc. Class A* | 118,378 | |
2,515 | Henry Schein, Inc.* | 191,542 | |
8,056 | Hill-Rom Holdings, Inc. | 1,208,400 | |
3,685 | Humana, Inc. | 1,434,018 | |
1,376 | IDEXX Laboratories, Inc.* | 855,734 | |
1,408 | Laboratory Corp. of America Holdings* | 396,268 | |
976 | Molina Healthcare, Inc.* | 264,799 | |
38,625 | Premier, Inc. Class A | 1,497,105 | |
10,500 | Quest Diagnostics, Inc. | 1,525,755 | |
371 | Quidel Corp.* | 52,367 | |
3,973 | ResMed, Inc. | 1,047,084 | |
597 | STERIS plc | 121,955 | |
8,937 | UnitedHealth Group, Inc. | 3,492,043 | |
2,088 | West Pharmaceutical Services, Inc. | 886,440 | |
29,520,837 | |||
Household & Personal Products - 1.3% | |||
5,163 | Clorox Co. | 855,044 | |
7,744 | Colgate-Palmolive Co. | 585,292 | |
5,842 | Kimberly-Clark Corp. | 773,714 | |
20,436 | Procter & Gamble Co. | 2,856,953 | |
5,071,003 | |||
Insurance - 3.6% | |||
13,240 | Aflac, Inc. | 690,200 | |
16,127 | Allstate Corp. | 2,053,128 | |
2,339 | American Financial Group, Inc. | 294,316 | |
830 | Arthur J Gallagher & Co. | 123,380 | |
739 | Assurant, Inc. | 116,577 | |
1,374 | Chubb Ltd. | 238,362 | |
14,438 | Cincinnati Financial Corp. | 1,649,108 | |
3,002 | Everest Re Group Ltd. | 752,842 | |
4,187 | Fidelity National Financial, Inc. | 189,839 | |
7,467 | Hanover Insurance Group, Inc. | 967,873 | |
7,408 | Kemper Corp. | 494,780 | |
240 | Markel Corp.* | 286,831 | |
80,932 | Old Republic International Corp. | 1,871,957 | |
7,531 | Principal Financial Group, Inc. | 484,996 | |
10,657 | Progressive Corp. | 963,286 | |
10,308 | Prudential Financial, Inc. | 1,084,402 | |
10,889 | Selective Insurance Group, Inc. | 822,446 | |
4,263 | Travelers Cos., Inc. | 648,019 | |
13,732,342 | |||
Materials - 2.1% | |||
6,380 | Amcor plc | 73,944 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.6% - (continued) | |||
Materials - 2.1% - (continued) | |||
2,699 | AptarGroup, Inc. | $ 322,126 | |
6,905 | Avery Dennison Corp. | 1,430,785 | |
15,063 | International Paper Co. | 842,323 | |
3,390 | Louisiana-Pacific Corp. | 208,044 | |
16,152 | Newmont Corp. | 877,054 | |
10,212 | Nucor Corp. | 1,005,780 | |
1,114 | Packaging Corp. of America | 153,108 | |
1,250 | PPG Industries, Inc. | 178,762 | |
8,833 | Reliance Steel & Aluminum Co. | 1,257,996 | |
2,008 | RPM International, Inc. | 155,921 | |
5,454 | Sealed Air Corp. | 298,825 | |
1,324 | Sherwin-Williams Co. | 370,363 | |
9,642 | Sonoco Products Co. | 574,470 | |
4,741 | Steel Dynamics, Inc. | 277,254 | |
8,026,755 | |||
Media & Entertainment - 6.1% | |||
15,809 | Activision Blizzard, Inc. | 1,223,458 | |
1,352 | Alphabet, Inc. Class A* | 3,614,599 | |
1,067 | Charter Communications, Inc. Class A* | 776,307 | |
57,665 | Comcast Corp. Class A | 3,225,203 | |
1,379 | Electronic Arts, Inc. | 196,163 | |
9,566 | Facebook, Inc. Class A* | 3,246,605 | |
56,087 | Fox Corp. | 2,249,650 | |
11,154 | IAC/InterActiveCorp * | 1,453,255 | |
19,327 | Interpublic Group of Cos., Inc. | 708,721 | |
1,878 | Netflix, Inc.* | 1,146,218 | |
65,803 | News Corp. Class A | 1,548,345 | |
34,757 | Omnicom Group, Inc. | 2,518,492 | |
3,004 | Take-Two Interactive Software, Inc.* | 462,826 | |
6,865 | Walt Disney Co.* | 1,161,352 | |
23,531,194 | |||
Pharmaceuticals, Biotechnology & Life Sciences - 7.8% | |||
24,106 | AbbVie, Inc. | 2,600,314 | |
3,128 | Agilent Technologies, Inc. | 492,754 | |
8,498 | Amgen, Inc. | 1,807,100 | |
1,004 | Biogen, Inc.* | 284,122 | |
311 | Bio-Rad Laboratories, Inc. Class A* | 231,990 | |
1,647 | Bio-Techne Corp. | 798,087 | |
15,600 | Bristol-Myers Squibb Co. | 923,052 | |
17,651 | Eli Lilly & Co. | 4,078,264 | |
23,787 | Gilead Sciences, Inc. | 1,661,522 | |
11,600 | Jazz Pharmaceuticals plc* | 1,510,436 | |
24,383 | Johnson & Johnson | 3,937,854 | |
25,463 | Merck & Co., Inc. | 1,912,526 | |
288 | Mettler-Toledo International, Inc.* | 396,680 | |
1,353 | PerkinElmer, Inc. | 234,461 | |
67,285 | Pfizer, Inc. | 2,893,928 | |
1,516 | Regeneron Pharmaceuticals, Inc.* | 917,453 | |
5,018 | Thermo Fisher Scientific, Inc. | 2,866,934 | |
5,592 | United Therapeutics Corp.* | 1,032,171 | |
3,550 | Waters Corp.* | 1,268,415 | |
1,585 | Zoetis, Inc. | 307,712 | |
30,155,775 | |||
Real Estate - 4.1% | |||
2,454 | Alexandria Real Estate Equities, Inc. REIT | 468,886 | |
18,190 | American Homes 4 Rent Class A, REIT | 693,403 | |
1,406 | American Tower Corp. REIT | 373,166 | |
6,174 | Americold Realty Trust REIT | 179,355 | |
2,232 | AvalonBay Communities, Inc. | 494,700 | |
1,232 | Camden Property Trust REIT | 181,683 | |
4,811 | Crown Castle International Corp. REIT | 833,843 | |
27,435 | CubeSmart REIT | 1,329,226 |
43 |
September 30, 2021
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.6% - (continued) | |||
Real Estate - 4.1% - (continued) | |||
4,403 | Digital Realty Trust, Inc. REIT | $ 636,013 | |
8,292 | Duke Realty Corp. REIT | 396,938 | |
402 | Equinix, Inc. REIT | 317,632 | |
10,496 | Equity Residential REIT | 849,336 | |
398 | Essex Property Trust, Inc. REIT | 127,257 | |
12,083 | Extra Space Storage, Inc. REIT | 2,029,823 | |
23,988 | Iron Mountain, Inc. REIT | 1,042,279 | |
11,793 | Kilroy Realty Corp. REIT | 780,815 | |
11,211 | Life Storage, Inc. REIT | 1,286,350 | |
3,317 | Mid-America Apartment Communities, Inc. REIT | 619,450 | |
11,738 | National Storage Affiliates Trust | 619,649 | |
8,305 | Public Storage REIT | 2,467,415 | |
15,727,219 | |||
Retailing - 7.2% | |||
6,526 | Advance Auto Parts, Inc. | 1,363,216 | |
677 | Amazon.com, Inc.* | 2,223,972 | |
3,706 | AutoNation, Inc.* | 451,243 | |
1,137 | AutoZone, Inc.* | 1,930,615 | |
10,635 | Best Buy Co., Inc. | 1,124,226 | |
4,581 | Dick's Sporting Goods, Inc. | 548,666 | |
10,673 | Dollar General Corp. | 2,264,170 | |
7,150 | Dollar Tree, Inc.* | 684,398 | |
28,159 | eBay, Inc. | 1,961,837 | |
10,343 | Foot Locker, Inc. | 472,261 | |
13,251 | Genuine Parts Co. | 1,606,419 | |
10,357 | Home Depot, Inc. | 3,399,789 | |
2,261 | Lowe's Cos., Inc. | 458,666 | |
2,870 | O'Reilly Automotive, Inc.* | 1,753,742 | |
4,388 | Pool Corp. | 1,906,191 | |
13,943 | Target Corp. | 3,189,740 | |
10,988 | Tractor Supply Co. | 2,226,279 | |
623 | Williams-Sonoma, Inc. | 110,477 | |
27,675,907 | |||
Semiconductors & Semiconductor Equipment - 3.4% | |||
758 | Analog Devices, Inc. | 126,950 | |
6,557 | Applied Materials, Inc. | 844,083 | |
4,257 | Broadcom, Inc. | 2,064,347 | |
1,983 | Entegris, Inc. | 249,660 | |
70,282 | Intel Corp. | 3,744,625 | |
1,990 | KLA Corp. | 665,675 | |
535 | Lam Research Corp. | 304,495 | |
7,510 | NVIDIA Corp. | 1,555,772 | |
917 | Qorvo, Inc.* | 153,313 | |
3,393 | QUALCOMM, Inc. | 437,629 | |
1,125 | Skyworks Solutions, Inc. | 185,377 | |
832 | Synaptics, Inc.* | 149,535 | |
2,057 | Teradyne, Inc. | 224,563 | |
10,677 | Texas Instruments, Inc. | 2,052,226 | |
1,789 | Xilinx, Inc. | 270,121 | |
13,028,371 | |||
Software & Services - 14.3% | |||
12,079 | Accenture plc Class A | 3,864,314 | |
5,101 | Adobe, Inc.* | 2,936,748 | |
11,841 | Akamai Technologies, Inc.* | 1,238,450 | |
2,090 | Aspen Technology, Inc.* | 256,652 | |
7,490 | Automatic Data Processing, Inc. | 1,497,401 | |
11,468 | Broadridge Financial Solutions, Inc. | 1,911,027 | |
961 | Cadence Design Systems, Inc.* | 145,534 | |
14,477 | Citrix Systems, Inc. | 1,554,395 | |
13,279 | Cloudflare, Inc.* | 1,495,879 | |
2,661 | Cognizant Technology Solutions Corp. Class A | 197,473 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.6% - (continued) | |||
Software & Services - 14.3% - (continued) | |||
18,130 | Dolby Laboratories, Inc. Class A | $ 1,595,440 | |
22,478 | Dropbox, Inc. Class A* | 656,807 | |
1,622 | EPAM Systems, Inc.* | 925,318 | |
3,226 | Fortinet, Inc.* | 942,121 | |
2,675 | Gartner, Inc.* | 812,879 | |
16,540 | International Business Machines Corp. | 2,297,902 | |
2,939 | Intuit, Inc. | 1,585,620 | |
16,571 | j2 Global, Inc.* | 2,263,930 | |
9,749 | Jack Henry & Associates, Inc. | 1,599,421 | |
4,744 | Mastercard, Inc. Class A | 1,649,394 | |
31,739 | MAXIMUS, Inc. | 2,640,685 | |
13,842 | Microsoft Corp. | 3,902,337 | |
62,927 | Nortonlifelock, Inc. | 1,592,053 | |
39,067 | Oracle Corp. | 3,403,908 | |
17,302 | Paychex, Inc. | 1,945,610 | |
9,010 | PayPal Holdings, Inc.* | 2,344,492 | |
5,144 | salesforce.com, Inc.* | 1,395,156 | |
624 | Synopsys, Inc.* | 186,832 | |
13,526 | Teradata Corp.* | 775,716 | |
811 | Tyler Technologies, Inc.* | 371,965 | |
5,274 | VeriSign, Inc.* | 1,081,223 | |
10,846 | Visa, Inc. Class A | 2,415,946 | |
9,369 | VMware, Inc. Class A*(1) | 1,393,170 | |
101,726 | Western Union Co. | 2,056,900 | |
1,692 | Zoom Video Communications, Inc. Class A* | 442,458 | |
55,375,156 | |||
Technology Hardware & Equipment - 7.9% | |||
4,011 | Amphenol Corp. Class A | 293,725 | |
21,402 | Apple, Inc. | 3,028,383 | |
4,922 | Arrow Electronics, Inc.* | 552,691 | |
8,768 | CDW Corp. | 1,595,951 | |
75,078 | Cisco Systems, Inc. | 4,086,496 | |
28,474 | Corning, Inc. | 1,039,016 | |
22,609 | Dell Technologies, Inc.* | 2,352,240 | |
78,562 | Hewlett Packard Enterprise Co. | 1,119,508 | |
121,386 | HP, Inc. | 3,321,121 | |
16,403 | Jabil, Inc. | 957,443 | |
36,457 | Juniper Networks, Inc. | 1,003,297 | |
7,852 | Keysight Technologies, Inc.* | 1,290,005 | |
10,500 | Motorola Solutions, Inc. | 2,439,360 | |
22,401 | NetApp, Inc. | 2,010,714 | |
37,528 | Seagate Technology Holdings plc | 3,096,811 | |
13,576 | SYNNEX Corp. | 1,413,262 | |
1,630 | Zebra Technologies Corp. Class A* | 840,135 | |
30,440,158 | |||
Telecommunication Services - 2.9% | |||
124,563 | AT&T, Inc. | 3,364,447 | |
64,078 | Lumen Technologies, Inc. | 793,926 | |
12,303 | T-Mobile U.S., Inc.* | 1,571,831 | |
102,172 | Verizon Communications, Inc. | 5,518,310 | |
11,248,514 | |||
Transportation - 2.5% | |||
2,430 | AMERCO | 1,569,853 | |
17,269 | CH Robinson Worldwide, Inc. | 1,502,403 | |
16,807 | Expeditors International of Washington, Inc. | 2,002,218 | |
2,198 | FedEx Corp. | 481,999 | |
2,719 | J.B. Hunt Transport Services, Inc. | 454,671 | |
3,338 | Knight-Swift Transportation Holdings, Inc. | 170,739 |
44 |
September 30, 2021
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.6% - (continued) | |||
Transportation - 2.5% - (continued) | |||
8,542 | Landstar System, Inc. | $ 1,348,099 | |
12,279 | United Parcel Service, Inc. Class B | 2,236,006 | |
9,765,988 | |||
Utilities - 4.3% | |||
15,352 | Alliant Energy Corp. | 859,405 | |
11,868 | Ameren Corp. | 961,308 | |
10,817 | American Electric Power Co., Inc. | 878,124 | |
4,631 | Atmos Energy Corp. | 408,454 | |
13,246 | CMS Energy Corp. | 791,184 | |
16,358 | Consolidated Edison, Inc. | 1,187,427 | |
10,482 | Dominion Energy, Inc. | 765,396 | |
1,250 | DTE Energy Co. | 139,638 | |
6,497 | Duke Energy Corp. | 634,042 | |
1,371 | Entergy Corp. | 136,154 | |
5,831 | Evergy, Inc. | 362,688 | |
10,311 | Exelon Corp. | 498,434 | |
37,376 | FirstEnergy Corp. | 1,331,333 | |
39,539 | Hawaiian Electric Industries, Inc. | 1,614,377 | |
5,243 | IDACORP, Inc. | 542,021 | |
4,353 | MDU Resources Group, Inc. | 129,154 | |
30,709 | National Fuel Gas Co. | 1,612,837 | |
2,218 | OGE Energy Corp. | 73,105 | |
13,627 | Portland General Electric Co. | 640,333 | |
2,077 | Public Service Enterprise Group, Inc. | 126,489 | |
9,518 | Southern Co. | 589,830 | |
16,835 | UGI Corp. | 717,508 | |
8,382 | WEC Energy Group, Inc. | 739,292 | |
11,424 | Xcel Energy, Inc. | 714,000 | |
16,452,533 | |||
Total Common Stocks (cost $351,987,130) | $ 384,416,135 |
Shares or Principal Amount | Market Value† | ||
SHORT-TERM INVESTMENTS - 0.3% | |||
Securities Lending Collateral - 0.3% | |||
71,206 | Fidelity Investments Money Market Funds, Government Portfolio, Institutional Class, 0.01%(2) | $ 71,206 | |
944,025 | Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 0.03%(2) | 944,025 | |
51,558 | Invesco Government & Agency Portfolio, Institutional Class, 0.03%(2) | 51,558 | |
Total Short-Term Investments (cost $1,066,789) | $ 1,066,789 | ||
Total Investments (cost $353,053,919) | 99.9% | $ 385,482,924 | |
Other Assets and Liabilities | 0.1% | 477,266 | |
Total Net Assets | 100.0% | $ 385,960,190 |
Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
Equity industry classifications used in this report are the Global Industry Classification Standard, which was developed by and is the exclusive property and service mark of MSCI, Inc. and Standard & Poor’s. | |
For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. | |
See “Glossary” for abbreviation descriptions. |
* | Non-income producing. |
(1) | Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
(2) | Current yield as of period end. |
Futures Contracts Outstanding at September 30, 2021 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
S&P 500 (E-Mini) Future | 7 | 12/17/2021 | $ 1,504,213 | $ (52,157) | ||||
Total futures contracts | $ (52,157) |
45 |
September 30, 2021
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Automobiles & Components | $ 814,367 | $ 814,367 | $ — | $ — | ||||
Banks | 14,390,771 | 14,390,771 | — | — | ||||
Capital Goods | 22,950,348 | 22,950,348 | — | — | ||||
Commercial & Professional Services | 8,581,775 | 8,581,775 | — | — | ||||
Consumer Durables & Apparel | 5,805,591 | 5,805,591 | — | — | ||||
Consumer Services | 5,405,603 | 5,405,603 | — | — | ||||
Diversified Financials | 10,280,830 | 10,280,830 | — | — | ||||
Energy | 2,261,264 | 2,261,264 | — | — | ||||
Food & Staples Retailing | 7,973,775 | 7,973,775 | — | — | ||||
Food, Beverage & Tobacco | 16,200,059 | 16,200,059 | — | — | ||||
Health Care Equipment & Services | 29,520,837 | 29,520,837 | — | — | ||||
Household & Personal Products | 5,071,003 | 5,071,003 | — | — | ||||
Insurance | 13,732,342 | 13,732,342 | — | — | ||||
Materials | 8,026,755 | 8,026,755 | — | — | ||||
Media & Entertainment | 23,531,194 | 23,531,194 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 30,155,775 | 30,155,775 | — | — | ||||
Real Estate | 15,727,219 | 15,727,219 | — | — | ||||
Retailing | 27,675,907 | 27,675,907 | — | — | ||||
Semiconductors & Semiconductor Equipment | 13,028,371 | 13,028,371 | — | — | ||||
Software & Services | 55,375,156 | 55,375,156 | — | — | ||||
Technology Hardware & Equipment | 30,440,158 | 30,440,158 | — | — | ||||
Telecommunication Services | 11,248,514 | 11,248,514 | — | — | ||||
Transportation | 9,765,988 | 9,765,988 | — | — | ||||
Utilities | 16,452,533 | 16,452,533 | — | — | ||||
Short-Term Investments | 1,066,789 | 1,066,789 | — | — | ||||
Total | $ 385,482,924 | $ 385,482,924 | $ — | $ — | ||||
Liabilities | ||||||||
Futures Contracts(2) | $ (52,157) | $ (52,157) | $ — | $ — | ||||
Total | $ (52,157) | $ (52,157) | $ — | $ — |
(1) | For the year ended September 30, 2021, there were no transfers in and out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
46 |
Counterparty Abbreviations: | |
BNP | BNP Paribas Securities Services |
CITI | Citigroup Global Markets, Inc. |
HSBC | HSBC Bank USA |
MSC | Morgan Stanley |
UBS | UBS AG |
WEST | Westpac International |
Index Abbreviations: | |
ASX | Australian Securities Exchange |
CBOE | Chicago Board Options Exchange |
EAFE | Europe, Australasia and Far East |
S&P | Standard & Poor's |
Other Abbreviations: | |
ADR | American Depositary Receipt |
Bhd | Berhad |
GDR | Global Depositary Receipt |
MSCI | Morgan Stanley Capital International |
NVDR | Non-Voting Depositary Receipt |
PJSC | Private Joint Stock Company |
PT | Perseroan Terbatas |
REIT | Real Estate Investment Trust |
Tbk | Terbuka |
47 |
September 30, 2021
Hartford Longevity Economy ETF | Hartford Multifactor Developed Markets (ex-US) ETF | Hartford Multifactor Diversified International ETF | Hartford Multifactor Emerging Markets ETF | Hartford Multifactor Small Cap ETF | Hartford Multifactor US Equity ETF | ||||||
Assets: | |||||||||||
Investments in securities, at market value(1) | $ 25,201,036 | $ 1,958,741,002 | $ 5,772,284 | $ 41,764,904 | $ 24,672,409 | $ 385,482,924 | |||||
Cash | 4,550 | 830,716 | 2,808 | 50,224 | 65,887 | 1,002,388 | |||||
Cash collateral due from broker on futures contracts | — | 579,000 | — | 29,000 | 41,000 | 94,000 | |||||
Cash collateral held for securities on loan | 11,989 | 1,871,271 | 5,564 | 5,402 | 1,050 | 56,147 | |||||
Foreign currency | — | 7,872,280 | 10,002 | 40,088 | 2 | — | |||||
Receivables: | |||||||||||
Investment securities sold | — | 1,096,169 | — | — | — | — | |||||
Dividends and interest | 31,988 | 7,683,924 | 33,932 | 137,601 | 17,531 | 527,028 | |||||
Securities lending income | 510 | 349,363 | 351 | 324 | 201 | 2,634 | |||||
Variation margin on futures contracts | — | 179,756 | — | 1,961 | — | — | |||||
Tax reclaims | — | 4,627,128 | 6,396 | 6,905 | 2,754 | — | |||||
Total assets | 25,250,073 | 1,983,830,609 | 5,831,337 | 42,036,409 | 24,800,834 | 387,165,121 | |||||
Liabilities: | |||||||||||
Obligation to return securities lending collateral | 239,783 | 37,425,432 | 111,276 | 108,034 | 21,000 | 1,122,936 | |||||
Payables: | |||||||||||
Investment securities purchased | — | — | 11,924 | — | — | — | |||||
Investment management fees | 9,347 | 480,373 | 1,400 | 15,547 | 7,052 | 63,810 | |||||
Variation margin on futures contracts | — | — | — | — | 1,029 | 18,185 | |||||
Total liabilities | 249,130 | 37,905,805 | 124,600 | 123,581 | 29,081 | 1,204,931 | |||||
Net assets | $ 25,000,943 | $ 1,945,924,804 | $ 5,706,737 | $ 41,912,828 | $ 24,771,753 | $ 385,960,190 | |||||
Summary of Net Assets: | |||||||||||
Paid-in-capital | $ 25,737,526 | $ 2,006,347,451 | $ 5,628,835 | $ 52,684,319 | $ 27,945,271 | $ 385,566,630 | |||||
Distributable earnings (loss) | (736,583) | (60,422,647) | 77,902 | (10,771,491) | (3,173,518) | 393,560 | |||||
Net assets | 25,000,943 | 1,945,924,804 | 5,706,737 | 41,912,828 | 24,771,753 | 385,960,190 | |||||
Net asset value per share | 26.32 | 30.26 | 28.53 | 24.65 | 38.11 | 39.89 | |||||
Shares issued and outstanding | 950,000 | 64,300,000 | 200,000 | 1,700,000 | 650,000 | 9,675,000 | |||||
Cost of investments | $ 25,481,500 | $ 1,758,967,769 | $ 5,356,603 | $ 39,740,438 | $ 24,581,537 | $ 353,053,919 | |||||
Cost of foreign currency | $ — | $ 7,976,056 | $ 10,034 | $ 40,292 | $ 2 | $ — | |||||
(1) Includes Investment in securities on loan, at market value | $ 232,140 | $ 43,472,480 | $ 105,154 | $ 240,384 | $ 20,190 | $ 1,085,361 |
48 |
For the Year Ended September 30, 2021
Hartford Longevity Economy ETF(1) | Hartford Multifactor Developed Markets (ex-US) ETF | Hartford Multifactor Diversified International ETF | Hartford Multifactor Emerging Markets ETF | Hartford Multifactor Small Cap ETF | Hartford Multifactor US Equity ETF | ||||||
Investment Income: | |||||||||||
Dividends | $ 136,347 | $ 78,934,856 | $ 268,267 | $ 1,648,399 | $ 253,657 | $ 5,676,612 | |||||
Interest | 15 | 484 | 3 | 60 | 96 | 839 | |||||
Securities lending | 770 | 755,803 | 1,625 | 2,057 | 2,999 | 11,847 | |||||
Less: Foreign tax withheld | (45) | (6,311,495) | (27,517) | (215,419) | (179) | (80) | |||||
Total investment income, net | 137,087 | 73,379,648 | 242,378 | 1,435,097 | 256,573 | 5,689,218 | |||||
Expenses: | |||||||||||
Investment management fees | 35,977 | 5,813,533 | 16,032 | 189,362 | 47,966 | 638,095 | |||||
Total expenses | 35,977 | 5,813,533 | 16,032 | 189,362 | 47,966 | 638,095 | |||||
Net Investment Income (Loss) | 101,110 | 67,566,115 | 226,346 | 1,245,735 | 208,607 | 5,051,123 | |||||
Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions on: | |||||||||||
Investments | 215,074 (2) | 131,076,388 (2) | 512,217 | 7,830,035 (2) | 2,146,243 (2) | 45,824,241 (2) | |||||
Futures contracts | — | 2,978,740 | — | 35,234 | 40,309 | 327,068 | |||||
Other foreign currency transactions | — | 128,802 | (1,838) | (6,599) | — | — | |||||
Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions | 215,074 | 134,183,930 | 510,379 | 7,858,670 | 2,186,552 | 46,151,309 | |||||
Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions of: | |||||||||||
Investments | (280,464) | 179,175,870 | 440,824 | 2,524,192 | 706,981 | 21,993,228 | |||||
Futures contracts | — | (152,408) | — | (5,620) | 292 | (48,412) | |||||
Translation of other assets and liabilities in foreign currencies | — | (228,325) | (247) | (360) | (38) | — | |||||
Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions | (280,464) | 178,795,137 | 440,577 | 2,518,212 | 707,235 | 21,944,816 | |||||
Net Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions | (65,390) | 312,979,067 | 950,956 | 10,376,882 | 2,893,787 | 68,096,125 | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ 35,720 | $ 380,545,182 | $ 1,177,302 | $ 11,622,617 | $ 3,102,394 | $ 73,147,248 |
(1) | Commenced operations on March 16, 2021. |
(2) | Includes realized gains/(losses) as a result of in-kind redemptions (See Note 12 in Notes to Financial Statements). |
49 |
For the Year Ended September 30, 2021
Hartford Longevity Economy ETF(1) | Hartford Multifactor Developed Markets (ex-US) ETF | ||||
For the Period Ended September 30, 2021 | For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | |||
Operations: | |||||
Net investment income (loss) | $ 101,110 | $ 67,566,115 | $ 60,351,769 | ||
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | 215,074 | 134,183,930 | (197,721,076) | ||
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | (280,464) | 178,795,137 | (32,293,474) | ||
Net Increase (Decrease) in Net Assets Resulting from Operations | 35,720 | 380,545,182 | (169,662,781) | ||
Distributions to Shareholders | (73,437) | (66,581,005) | (66,697,468) | ||
Fund Share Transactions: | |||||
Sold | 29,116,378 | 39,421,674 | 475,004,269 | ||
Redeemed | (4,077,718) | (408,608,631) | (573,184,590) | ||
Net increase (decrease) from capital share transactions | 25,038,660 | (369,186,957) | (98,180,321) | ||
Net Increase (Decrease) in Net Assets | 25,000,943 | (55,222,780) | (334,540,570) | ||
Net Assets: | |||||
Beginning of period | — | 2,001,147,584 | 2,335,688,154 | ||
End of period | $ 25,000,943 | $ 1,945,924,804 | $ 2,001,147,584 |
(1) | Commenced operations on March 16, 2021. |
50 |
For the Year Ended September 30, 2021
Hartford Multifactor Diversified International ETF | Hartford Multifactor Emerging Markets ETF | ||||||
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | ||||
Operations: | |||||||
Net investment income (loss) | $ 226,346 | $ 151,165 | $ 1,245,735 | $ 1,536,632 | |||
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | 510,379 | (281,036) | 7,858,670 | (8,583,548) | |||
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | 440,577 | (349,146) | 2,518,212 | (1,062,247) | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,177,302 | (479,017) | 11,622,617 | (8,109,163) | |||
Distributions to Shareholders | (198,992) | (163,843) | (1,364,480) | (2,328,245) | |||
Fund Share Transactions: | |||||||
Sold | — | 2,754,532 | — | 3,623,318 | |||
Redeemed | — | (2,751,610) | (11,443,163) | (18,945,241) | |||
Other Capital | — | — | 11,522 | 22,366 | |||
Net increase (decrease) from capital share transactions | — | 2,922 | (11,431,641) | (15,299,557) | |||
Net Increase (Decrease) in Net Assets | 978,310 | (639,938) | (1,173,504) | (25,736,965) | |||
Net Assets: | |||||||
Beginning of period | 4,728,427 | 5,368,365 | 43,086,332 | 68,823,297 | |||
End of period | $ 5,706,737 | $ 4,728,427 | $ 41,912,828 | $ 43,086,332 |
51 |
For the Year Ended September 30, 2021
Hartford Multifactor Small Cap ETF | Hartford Multifactor US Equity ETF | ||||||
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | ||||
Operations: | |||||||
Net investment income (loss) | $ 208,607 | $ 199,353 | $ 5,051,123 | $ 6,630,038 | |||
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | 2,186,552 | (861,728) | 46,151,309 | (11,372,316) | |||
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | 707,235 | (390,314) | 21,944,816 | (2,631,141) | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | 3,102,394 | (1,052,689) | 73,147,248 | (7,373,419) | |||
Distributions to Shareholders | (202,752) | (463,148) | (5,642,254) | (6,397,955) | |||
Fund Share Transactions: | |||||||
Sold | 21,056,818 | 3,000,116 | 245,723,876 | 70,914,373 | |||
Redeemed | (6,907,604) | (10,895,246) | (172,629,516) | (119,273,432) | |||
Other Capital | — | 936 | — | — | |||
Net increase (decrease) from capital share transactions | 14,149,214 | (7,894,194) | 73,094,360 | (48,359,059) | |||
Net Increase (Decrease) in Net Assets | 17,048,856 | (9,410,031) | 140,599,354 | (62,130,433) | |||
Net Assets: | |||||||
Beginning of period | 7,722,897 | 17,132,928 | 245,360,836 | 307,491,269 | |||
End of period | $ 24,771,753 | $ 7,722,897 | $ 385,960,190 | $ 245,360,836 |
52 |
—Selected Per-Share Data(1)— | —Ratios and Supplemental Data — | ||||||||||||||||||||||||||
Net Asset Value at Beginning of Period | Net Investment Income (Loss) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Other Capital | Dividends from Net Investment Income | Total Dividends and Distributions | Net Asset Value at End of Period | Total Return(2) | Net Assets at End of Period (000s) | Ratio of Expenses to Average Net Assets Before Adjust- ments(3) | Ratio of Expenses to Average Net Assets After Adjust- ments | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover(4) | ||||||||||||||
Hartford Longevity Economy ETF(5) | |||||||||||||||||||||||||||
For the Period Ended September 30, 2021 | |||||||||||||||||||||||||||
$ 25.00 | $ 0.18 | $ 1.22 | $ 1.40 | $ — | $ (0.08) | $ (0.08) | $ 26.32 | 5.58% (6) | $ 25,001 | 0.44% (7) | 0.44% (7) | 1.23% (7) | 70% (8) | ||||||||||||||
Hartford Multifactor Developed Markets (ex-US) ETF | |||||||||||||||||||||||||||
For the Year Ended September 30, 2021 | |||||||||||||||||||||||||||
$ 25.89 | $ 0.99 | $ 4.37 | $ 5.36 | $ — | $ (0.99) | $ (0.99) | $ 30.26 | 20.81% | $ 1,945,925 | 0.29% | 0.29% | 3.37% | 44% | ||||||||||||||
For the Year Ended September 30, 2020 | |||||||||||||||||||||||||||
$ 27.76 | $ 0.68 | $ (1.79) | $ (1.11) | $ — | $ (0.76) | $ (0.76) | $ 25.89 | (4.04)% | $ 2,001,148 | 0.29% | 0.29% | 2.60% | 57% | ||||||||||||||
For the Year Ended September 30, 2019 | |||||||||||||||||||||||||||
$ 28.97 | $ 0.98 | $ (1.51) | $ (0.53) | $ — | $ (0.68) | $ (0.68) | $ 27.76 | (1.78)% | $ 2,335,688 | 0.29% | 0.29% | 3.56% | 63% | ||||||||||||||
For the Year Ended September 30, 2018 | |||||||||||||||||||||||||||
$ 28.24 | $ 0.91 | $ 0.45(9) | $ 1.36 | $ 0.00 (10) | $ (0.63) | $ (0.63) | $ 28.97 | 4.85% | $ 811,066 | 0.31% | 0.31% | 3.17% | 47% | ||||||||||||||
For the Year Ended September 30, 2017 | |||||||||||||||||||||||||||
$ 24.60 | $ 0.82 | $ 3.55 | $ 4.37 | $ — | $ (0.73) | $ (0.73) | $ 28.24 | 18.18% | $ 131,327 | 0.42% | 0.40% | 3.13% | 46% | ||||||||||||||
Hartford Multifactor Diversified International ETF | |||||||||||||||||||||||||||
For the Year Ended September 30, 2021 | |||||||||||||||||||||||||||
$ 23.64 | $ 1.13 | $ 4.75 | $ 5.88 | $ — | $ (0.99) | $ (0.99) | $ 28.53 | 25.06% | $ 5,707 | 0.29% | 0.29% | 4.09% | 89% | ||||||||||||||
For the Year Ended September 30, 2020 | |||||||||||||||||||||||||||
$ 26.84 | $ 0.75 | $ (3.13) | $ (2.38) | $ — | $ (0.82) | $ (0.82) | $ 23.64 | (9.03)% | $ 4,728 | 0.29% | 0.29% | 3.06% | 156% | ||||||||||||||
For the Year Ended September 30, 2019 | |||||||||||||||||||||||||||
$ 27.35 | $ 0.69 | $ (0.51) | $ 0.18 | $ — | $ (0.69) | $ (0.69) | $ 26.84 | 0.81% | $ 5,368 | 0.29% | 0.29% | 2.64% | 38% | ||||||||||||||
For the Year Ended September 30, 2018 | |||||||||||||||||||||||||||
$ 26.58 | $ 0.65 | $ 0.71 | $ 1.36 | $ — | $ (0.59) | $ (0.59) | $ 27.35 | 5.16% | $ 5,470 | 0.33% | 0.33% | 2.37% | 35% | ||||||||||||||
For the Period Ended September 30, 2017(11) | |||||||||||||||||||||||||||
$ 25.02 | $ 0.30 | $ 1.40 | $ 1.70 | $ — | $ (0.14) | $ (0.14) | $ 26.58 | 6.84% (6) | $ 5,317 | 0.39% (7) | 0.39% (7) | 3.01% (7) | 48% | ||||||||||||||
Hartford Multifactor Emerging Markets ETF | |||||||||||||||||||||||||||
For the Year Ended September 30, 2021 | |||||||||||||||||||||||||||
$ 19.58 | $ 0.69 | $ 5.10 | $ 5.79 | $ 0.01 | $ (0.73) | $ (0.73) | $ 24.65 | 29.81% | $ 41,913 | 0.44% | 0.44% | 2.89% | 96% | ||||||||||||||
For the Year Ended September 30, 2020 | |||||||||||||||||||||||||||
$ 22.20 | $ 0.58 | $ (2.37) | $ (1.79) | $ 0.01 | $ (0.84) | $ (0.84) | $ 19.58 | (8.34)% | $ 43,086 | 0.44% | 0.44% | 2.80% | 77% | ||||||||||||||
For the Year Ended September 30, 2019 | |||||||||||||||||||||||||||
$ 23.24 | $ 0.66 | $ (1.12) | $ (0.46) | $ 0.03 | $ (0.61) | $ (0.61) | $ 22.20 | (1.90)% | $ 68,823 | 0.49% | 0.49% | 2.89% | 78% | ||||||||||||||
For the Year Ended September 30, 2018 | |||||||||||||||||||||||||||
$ 24.34 | $ 0.60 | $ (1.24) | $ (0.64) | $ 0.01 | $ (0.47) | $ (0.47) | $ 23.24 | (2.64)% | $ 65,080 | 0.52% | 0.52% | 2.42% | 25% | ||||||||||||||
For the Year Ended September 30, 2017 | |||||||||||||||||||||||||||
$ 21.62 | $ 0.49 | $ 2.63 | $ 3.12 | $ — | $ (0.40) | $ (0.40) | $ 24.34 | 14.63% | $ 46,239 | 0.62% | 0.60% | 2.17% | 30% | ||||||||||||||
Hartford Multifactor Small Cap ETF | |||||||||||||||||||||||||||
For the Year Ended September 30, 2021 | |||||||||||||||||||||||||||
$ 25.74 | $ 0.54 | $ 12.37 | $ 12.91 | $ — | $ (0.54) | $ (0.54) | $ 38.11 | 50.39% | $ 24,772 | 0.34% | 0.34% | 1.48% | 73% | ||||||||||||||
For the Year Ended September 30, 2020 | |||||||||||||||||||||||||||
$ 28.55 | $ 0.41 | $ (2.34) | $ (1.93) | $ 0.00 (10) | $ (0.88) | $ (0.88) | $ 25.74 | (7.05)% | $ 7,723 | 0.35% | 0.35% | 1.52% | 158% |
53 |
—Selected Per-Share Data(1)— | —Ratios and Supplemental Data — | ||||||||||||||||||||||||||
Net Asset Value at Beginning of Period | Net Investment Income (Loss) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Other Capital | Dividends from Net Investment Income | Total Dividends and Distributions | Net Asset Value at End of Period | Total Return(2) | Net Assets at End of Period (000s) | Ratio of Expenses to Average Net Assets Before Adjust- ments(3) | Ratio of Expenses to Average Net Assets After Adjust- ments | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover(4) | ||||||||||||||
Hartford Multifactor Small Cap ETF – (continued) | |||||||||||||||||||||||||||
For the Year Ended September 30, 2019 | |||||||||||||||||||||||||||
$ 31.78 | $ 0.81 | $ (3.23) | $ (2.42) | $ 0.00 (10) | $ (0.81) | $ (0.81) | $ 28.55 | (7.46)% | $ 17,133 | 0.39% | 0.39% | 2.80% | 50% | ||||||||||||||
For the Year Ended September 30, 2018 | |||||||||||||||||||||||||||
$ 30.25 | $ 0.72 | $ 1.54 | $ 2.26 | $ 0.00 (10) | $ (0.73) | $ (0.73) | $ 31.78 | 7.52% | $ 22,243 | 0.44% | 0.44% | 2.26% | 41% | ||||||||||||||
For the Year Ended September 30, 2017 | |||||||||||||||||||||||||||
$ 25.46 | $ 0.57 | $ 4.79 | $ 5.36 | $ — | $ (0.57) | $ (0.57) | $ 30.25 | 21.37% | $ 18,148 | 0.60% | 0.56% | 2.08% | 48% | ||||||||||||||
Hartford Multifactor US Equity ETF | |||||||||||||||||||||||||||
For the Year Ended September 30, 2021 | |||||||||||||||||||||||||||
$ 31.76 | $ 0.57 | $ 8.22 | $ 8.79 | $ — | $ (0.66) | $ (0.66) | $ 39.89 | 27.83% | $ 385,960 | 0.19% | 0.19% | 1.50% | 76% | ||||||||||||||
For the Year Ended September 30, 2020 | |||||||||||||||||||||||||||
$ 32.20 | $ 0.70 | $ (0.45) | $ 0.25 | $ — | $ (0.69) | $ (0.69) | $ 31.76 | 0.92% | $ 245,361 | 0.19% | 0.19% | 2.25% | 71% | ||||||||||||||
For the Year Ended September 30, 2019 | |||||||||||||||||||||||||||
$ 33.01 | $ 0.73 | $ (0.89)(9) | $ (0.16) | $ — | $ (0.65) | $ (0.65) | $ 32.20 | (0.31)% | $ 307,491 | 0.19% | 0.19% | 2.35% | 81% | ||||||||||||||
For the Year Ended September 30, 2018 | |||||||||||||||||||||||||||
$ 28.77 | $ 0.57 | $ 4.15 | $ 4.72 | $ — | $ (0.48) | $ (0.48) | $ 33.01 | 16.47% | $ 173,304 | 0.21% | 0.21% | 1.80% | 36% | ||||||||||||||
For the Year Ended September 30, 2017 | |||||||||||||||||||||||||||
$ 24.44 | $ 0.51 | $ 4.30 | $ 4.81 | $ — | $ (0.48) | $ (0.48) | $ 28.77 | 19.84% | $ 34,524 | 0.34% | 0.31% | 1.92% | 36% |
FINANCIAL HIGHLIGHTS FOOTNOTES | |
(1) | Information presented relates to a share outstanding throughout the indicated period. Net investment income (loss) per share amounts are calculated based on average shares outstanding unless otherwise noted. |
(2) | Total return is calculated assuming a hypothetical purchase of beneficial shares on the opening of the first day at the net asset value and a sale on the closing of the last day at the net asset value of each period reported. Dividends and distributions, if any, are assumed for purposes of this calculation, to be reinvested at net asset value at the end of the distribution day. |
(3) | Adjustments include waivers and reimbursements, if applicable. Ratios do not include fees paid indirectly (see Expenses in the accompanying Notes to Financial Statements). |
(4) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(5) | Commenced operations on March 16, 2021. |
(6) | Not annualized. |
(7) | Annualized. |
(8) | Reflects the Fund's portfolio turnover for the period March 16, 2021 through September 30, 2021. |
(9) | Per share amount was not in accord with the net realized and unrealized gain (loss) for the period because of the timing of transactions in shares of the Fund and the amount and timing of per-share net realized and unrealized gain (loss) on such shares. |
(10) | Per share amount is less than $0.005. |
(11) | Commenced operations on May 10, 2017. |
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September 30, 2021
1. | Organization: |
Lattice Strategies Trust (the "Trust") is an open-end registered management investment company comprised of six series as of September 30, 2021. Financial statements for the series of the Trust listed below (each, a “Fund” and collectively, the “Funds”) are included in this report. | |
Lattice Strategies Trust: |
Hartford Longevity Economy ETF (the "Longevity Economy ETF") |
Hartford Multifactor Developed Markets (ex-US) ETF (the "Multifactor Developed Markets (ex-US) ETF") |
Hartford Multifactor Diversified International ETF (the "Multifactor Diversified International ETF") |
Hartford Multifactor Emerging Markets ETF (the "Multifactor Emerging Markets ETF") |
Hartford Multifactor Small Cap ETF (the "Multifactor Small Cap ETF") |
Hartford Multifactor US Equity ETF (the "Multifactor US Equity ETF") |
2. | Significant Accounting Policies: |
The following is a summary of significant accounting policies of each Fund used in the preparation of its financial statements, which are in accordance with United States Generally Accepted Accounting Principles (“U.S. GAAP”). The preparation of financial statements in accordance with U.S. GAAP may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. |
a) | Determination of Net Asset Value – The net asset value ("NAV") of each Fund's shares is determined as of the close of regular trading on the New York Stock Exchange (the “Exchange”) (normally 4:00 p.m. Eastern Time) (the “NYSE Close”) on each day that is open (“Valuation Date”). If the Exchange is closed due to weather or other extraordinary circumstances on a day it would typically be open for business, each Fund may treat such day as a typical business day and accept creation and redemption orders and calculate each Fund’s NAV in accordance with applicable law. The NAV for the shares of each Fund is determined by dividing the value of the Fund’s net assets attributable to the shares by the number of shares outstanding. Information that becomes known to the Funds after the NAV has been calculated on a particular day will not generally be used to retroactively adjust the NAV determined earlier that day. |
b) | Investment Valuation and Fair Value Measurements – For purposes of calculating the NAV per share of each Fund, portfolio securities and other assets held in a Fund’s portfolio for which market prices are readily available are valued at market value. Market value is generally determined on the basis of official close price or last reported trade price. If no trades were reported, market value is based on prices obtained from a quotation reporting system, established market makers (including evaluated prices), or independent pricing services. Pricing vendors may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data, credit quality information, general market conditions, news, and other factors and assumptions. |
If market prices are not readily available or are deemed unreliable, a Fund will use the fair value of the security or other instrument as determined in good faith under policies and procedures established by and under the supervision of the Board of Trustees (the "Board") of the Trust (“Valuation Procedures”). Market prices are considered not readily available where there is an absence of current or reliable market-based data (e.g., trade information or broker quotes), including where events occur after the close of the relevant market, but prior |
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September 30, 2021
to the NYSE Close, that materially affect the values of a Fund’s portfolio holdings or assets. In addition, market prices are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities or other instruments trade do not open for trading for the entire day and no other market prices are available. Fair value pricing is subjective in nature and the use of fair value pricing by a Fund may cause the NAV of its shares to differ significantly from the NAV that would have been calculated using market prices at the close of the exchange on which a portfolio holding is primarily traded. There can be no assurance that a Fund could obtain the fair value assigned to an investment if the Fund were to sell the investment at approximately the time at which the Fund determines its NAV. | |
Securities and other instruments that are primarily traded on foreign markets may trade on days that are not business days of the Funds. The value of the foreign securities or other instruments in which a Fund invests may change on days when a shareholder will not be able to purchase, sell or redeem shares of the Fund. | |
Fixed income investments (other than short-term obligations) and non-exchange traded derivatives held by a Fund are normally valued at prices supplied by independent pricing services in accordance with the Valuation Procedures. Short-term investments maturing in 60 days or less are generally valued at amortized cost which approximates fair value. | |
Exchange-traded derivatives, such as options, futures and options on futures, are valued at the last sale price determined by the exchange where such instruments principally trade as of the close of such exchange. If a last sale price is not available, the value will be the mean of the most recently quoted bid and ask prices as of the close of the relevant exchange. If a mean of the bid and ask prices cannot be calculated for the day, the value will be the most recently quoted bid price as of the close of the relevant exchange. Over-the-counter derivatives and other instruments that do not trade on an exchange are normally valued based on prices supplied by independent pricing services in accordance with the Valuation Procedures. | |
Investments valued in currencies other than U.S. dollars are converted to U.S. dollars using the prevailing spot currency exchange rates obtained from independent pricing services for calculation of the NAV. As a result, the NAV of a Fund’s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities or other instruments traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the Exchange is closed and the market value may change on days when an investor is not able to purchase, redeem or sell shares of a Fund. | |
Foreign currency contracts represent agreements to exchange currencies on specific future dates at predetermined rates. Foreign currency contracts are valued using foreign currency exchange rates and forward rates as provided by an independent pricing service on the Valuation Date. | |
Investments in open-end mutual funds, if any, are valued at the respective NAV of each open-end mutual fund on the Valuation Date. Shares of investment companies listed and traded on an exchange are valued in the same manner as any exchange-listed equity security. Such open-end mutual funds and listed investment companies may use fair value pricing as disclosed in their prospectuses. | |
Financial instruments for which prices are not available from an independent pricing service may be valued using market quotations obtained from one or more dealers that make markets in the respective financial instrument in accordance with the Valuation Procedures. | |
U.S. GAAP defines fair value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants. The U.S. GAAP fair value measurement standards require disclosure of a fair value hierarchy for each major category of assets and liabilities. Various inputs are used in determining the fair value of each Fund’s investments. These inputs are summarized into three broad hierarchy levels. This hierarchy is based on whether the valuation inputs are observable or unobservable. These levels are: |
• | Level 1 – Quoted prices in active markets for identical investments. Level 1 may include exchange-traded instruments, such as domestic equities, some foreign equities, options, futures, mutual funds, exchange-traded funds, rights and warrants. |
• | Level 2 – Observable inputs other than Level 1 prices, such as quoted prices for similar investments; quoted prices in markets that are not active; or other inputs that are observable or can be corroborated by observable market data. Level 2 may include debt investments that are traded less frequently than exchange traded instruments and which are valued using independent pricing services; senior floating rate interests, which are valued using an aggregate of dealer bids; short-term investments, which are valued at amortized cost; and swaps, which are valued based upon the terms of each swap contract. |
• | Level 3 – Significant unobservable inputs that are supported by limited or no market activity. Level 3 may include financial instruments whose values are determined using indicative market quotes or require significant management judgment or estimation. These unobservable valuation inputs may include estimates for current yields, maturity/duration, prepayment speed, and indicative market quotes for comparable investments along with other assumptions relating to credit quality, collateral value, complexity of the investment structure, general market conditions and liquidity. This category may include investments where trading has been halted or there are certain restrictions on trading. While these investments are priced using unobservable inputs, the valuation of these investments reflects the best available data and management believes the prices are a reasonable representation of exit price. |
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September 30, 2021
c) | Investment Transactions and Investment Income – Investment transactions are recorded as of the trade date (the date the order to buy or sell is executed) for financial reporting purposes. Investments purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after the trade date. Realized gains and losses are determined on the basis of identified cost. |
Dividend income from domestic securities is accrued on the ex-dividend date. In general, dividend income from foreign securities is recorded on the ex-date; however, dividend notifications in certain foreign jurisdictions may not be available in a timely manner and as a result, a Fund will record the dividend as soon as the relevant details (i.e., rate per share, payment date, shareholders of record, etc.) are publicly available. | |
Please refer to Note 8 for Securities Lending information. | |
d) | Taxes – A Fund may be subject to taxes imposed on realized gains on securities of certain foreign countries in which such Fund invests. A Fund may also be subject to taxes withheld on foreign dividends and interest from securities in which a Fund invests. The amount of any foreign taxes withheld and foreign tax expense is included on the accompanying Statements of Operations as a reduction to net investment income or net realized or unrealized gain on investments in these securities, if applicable. |
e) | Foreign Currency Transactions – Assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars at the exchange rates in effect on the Valuation Date. Purchases and sales of investments, income and expenses are translated into U.S. dollars at the exchange rates on the dates of such transactions. |
A Fund does not isolate that portion of portfolio investment valuation resulting from fluctuations in the foreign currency exchange rates from the fluctuations arising from changes in the market prices of investments held. Exchange rate fluctuations are included with the net realized and unrealized gain or loss on investments in the accompanying financial statements. | |
Net realized foreign exchange gains or losses arise from sales of foreign currencies and the difference between asset and liability amounts initially stated in foreign currencies and the U.S. dollar value of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of other assets and liabilities at the end of the reporting period, resulting from changes in the exchange rates. |
f) | Dividend Distributions to Shareholders – Dividends are declared pursuant to a policy adopted by the Board. Dividends and/or distributions to shareholders are recorded on ex-date. The policy of Multifactor Developed Markets (ex-US) ETF, Multifactor Diversified International ETF and Multifactor Emerging Markets ETF is to pay dividends from net investment income and realized gains, if any, semi-annually. The policy of Longevity Economy ETF, Multifactor US Equity ETF and Multifactor Small Cap ETF is to pay dividends from net investment income and realized gains, if any, quarterly. The policy of Multifactor Small Cap ETF until June 1, 2020 was to pay dividends from net investment income, if any, semi-annually. Amounts may vary significantly from period to period and realized gains, if any, are paid at least once a year. Dividends may be declared and paid more frequently or at any other times to comply with the distribution requirements of the Internal Revenue Code. |
Income dividends and capital gains distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP with respect to character and timing. (See Federal Income Taxes: Distributions and Components of Distributable Earnings and classification of Capital Accounts notes). |
3. | Securities and Other Investments: |
Restricted Securities – Each Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities, if applicable, is included at the end of each Fund’s Schedule of Investments. |
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September 30, 2021
4. | Financial Derivative Instruments: |
The following disclosures contain information on how and why a Fund may use derivative instruments, the credit-risk-related contingent features in certain derivative instruments, and how derivative instruments affect a Fund’s financial position and results of operations. The location and fair value amounts of these instruments on the Statements of Assets and Liabilities and the realized gains and losses and changes in unrealized gains and losses on the Statements of Operations, each categorized by type of derivative contract, are included in the following Additional Derivative Instrument Information footnote. The derivative instruments outstanding as of period-end are disclosed in the notes to the Schedules of Investments, if applicable. The amounts of realized gains and losses and changes in unrealized gains and losses on derivative instruments during the period are disclosed in the Statements of Operations. |
a) | Futures Contracts – A Fund may enter into futures contracts. A futures contract is an agreement between two parties to buy or sell an asset at a set price on a future date. A Fund may use futures contracts to manage risk or obtain exposure to the investment markets, commodities, or movements in interest rates and currency values. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in market value of the investments held by a Fund and the prices of futures contracts and the possibility of an illiquid market. Upon entering into a futures contract, a Fund is required to deposit with a futures commission merchant (“FCM”) an amount of cash or U.S. Government or Agency Obligations in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and an appropriate amount equal to the change in value (“variation margin”) is paid or received by a Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statements of Assets and Liabilities. |
During the year ended September 30, 2021, each of Multifactor Developed Markets (ex-US) ETF, Multifactor Emerging Markets ETF, Multifactor Small Cap ETF and Multifactor US Equity ETF had used Futures Contracts. |
b) | Additional Derivative Instrument Information: |
Multifactor Developed Markets (ex-US) ETF | |
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of September 30, 2021: | |||||||||||
Risk Exposure Category | |||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Total | ||||||
Liabilities: | |||||||||||
Unrealized depreciation on futures contracts(1) | $ — | $ — | $ — | $ 498,176 | $ — | $ 498,176 | |||||
Total | $ — | $ — | $ — | $ 498,176 | $ — | $ 498,176 |
(1) | Amount represents the cumulative depreciation on futures contracts as disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, is reported within the Statement of Assets and Liabilities. |
The Effect of Derivative Instruments on the Statement of Operations for the year ended September 30, 2021: | |||||||||||
Risk Exposure Category | |||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Total | ||||||
Realized Gain (Loss) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net realized gain (loss) on futures contracts | $ — | $ — | $ — | $ 2,978,740 | $ — | $ 2,978,740 | |||||
Total | $ — | $ — | $ — | $ 2,978,740 | $ — | $ 2,978,740 | |||||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | $ — | $ — | $ — | $ (152,408) | $ — | $ (152,408) | |||||
Total | $ — | $ — | $ — | $ (152,408) | $ — | $ (152,408) |
Derivative Description | Average Notional Par, Contracts or Face Amount | |
Futures Contracts Number of Long Contracts | 92 |
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September 30, 2021
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of September 30, 2021: | |||||||||||
Risk Exposure Category | |||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Total | ||||||
Liabilities: | |||||||||||
Unrealized depreciation on futures contracts(1) | $ — | $ — | $ — | $ 10,888 | $ — | $ 10,888 | |||||
Total | $ — | $ — | $ — | $ 10,888 | $ — | $ 10,888 |
(1) | Amount represents the cumulative depreciation on futures contracts as disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, is reported within the Statement of Assets and Liabilities. |
The Effect of Derivative Instruments on the Statement of Operations for the year ended September 30, 2021: | |||||||||||
Risk Exposure Category | |||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Total | ||||||
Realized Gain (Loss) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net realized gain (loss) on futures contracts | $ — | $ — | $ — | $ 35,234 | $ — | $ 35,234 | |||||
Total | $ — | $ — | $ — | $ 35,234 | $ — | $ 35,234 | |||||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | $ — | $ — | $ — | $ (5,620) | $ — | $ (5,620) | |||||
Total | $ — | $ — | $ — | $ (5,620) | $ — | $ (5,620) |
Derivative Description | Average Notional Par, Contracts or Face Amount | |
Futures Contracts Number of Long Contracts | 3 |
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of September 30, 2021: | |||||||||||
Risk Exposure Category | |||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Total | ||||||
Liabilities: | |||||||||||
Unrealized depreciation on futures contracts(1) | $ — | $ — | $ — | $ 1,092 | $ — | $ 1,092 | |||||
Total | $ — | $ — | $ — | $ 1,092 | $ — | $ 1,092 |
(1) | Amount represents the cumulative depreciation on futures contracts as disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, is reported within the Statement of Assets and Liabilities. |
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September 30, 2021
The Effect of Derivative Instruments on the Statement of Operations for the year ended September 30, 2021: | |||||||||||
Risk Exposure Category | |||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Total | ||||||
Realized Gain (Loss) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net realized gain (loss) on futures contracts | $ — | $ — | $ — | $ 40,309 | $ — | $ 40,309 | |||||
Total | $ — | $ — | $ — | $ 40,309 | $ — | $ 40,309 | |||||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | $ — | $ — | $ — | $ 292 | $ — | $ 292 | |||||
Total | $ — | $ — | $ — | $ 292 | $ — | $ 292 |
Derivative Description | Average Notional Par, Contracts or Face Amount | |
Futures Contracts Number of Long Contracts | 1 |
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of September 30, 2021: | |||||||||||
Risk Exposure Category | |||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Total | ||||||
Liabilities: | |||||||||||
Unrealized depreciation on futures contracts(1) | $ — | $ — | $ — | $ 52,157 | $ — | $ 52,157 | |||||
Total | $ — | $ — | $ — | $ 52,157 | $ — | $ 52,157 |
(1) | Amount represents the cumulative depreciation on futures contracts as disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, is reported within the Statement of Assets and Liabilities. |
The Effect of Derivative Instruments on the Statement of Operations for the year ended September 30, 2021: | |||||||||||
Risk Exposure Category | |||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Total | ||||||
Realized Gain (Loss) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net realized gain (loss) on futures contracts | $ — | $ — | $ — | $ 327,068 | $ — | $ 327,068 | |||||
Total | $ — | $ — | $ — | $ 327,068 | $ — | $ 327,068 | |||||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | $ — | $ — | $ — | $ (48,412) | $ — | $ (48,412) | |||||
Total | $ — | $ — | $ — | $ (48,412) | $ — | $ (48,412) |
Derivative Description | Average Notional Par, Contracts or Face Amount | |
Futures Contracts Number of Long Contracts | 6 |
c) | Balance Sheet Offsetting Information – Set forth below are tables which disclose both gross information and net information about instruments and transactions eligible for offset in the financial statements, and instruments and transactions that are subject to a master |
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netting arrangement, as well as amounts related to margin, reflected as financial collateral (including cash collateral), held at clearing brokers, counterparties and a Fund's custodian. The master netting arrangements allow the clearing brokers to net any collateral held in or on behalf of a Fund, or liabilities or payment obligations of the clearing brokers to a Fund, against any liabilities or payment obligations of a Fund to the clearing brokers. A Fund is required to deposit financial collateral (including cash collateral) at the Fund's custodian on behalf of clearing brokers and counterparties to continually meet the original and maintenance requirements established by the clearing brokers and counterparties. Such requirements are specific to the respective clearing broker or counterparty. Certain master netting arrangements may not be enforceable in a bankruptcy. | |
The following tables present a Fund's derivative assets and liabilities, presented on a gross basis as no amounts are netted within the Statements of Assets and Liabilities, by counterparty net of amounts available for offset under a master netting agreement or similar agreement ("MNA") and net of the related collateral received/pledged by a Fund as of September 30, 2021: | |
Multifactor Developed Markets (ex-US) ETF | ||||
Derivative Financial Instruments: | Assets | Liabilities | ||
Futures contracts | $ — | $ (498,176) | ||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | — | (498,176) | ||
Derivatives not subject to a MNA | — | 498,176 | ||
Total gross amount of assets and liabilities subject to MNA or similar agreements | $ — | $ — |
Multifactor Emerging Markets ETF | ||||
Derivative Financial Instruments: | Assets | Liabilities | ||
Futures contracts | $ — | $ (10,888) | ||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | — | (10,888) | ||
Derivatives not subject to a MNA | — | 10,888 | ||
Total gross amount of assets and liabilities subject to MNA or similar agreements | $ — | $ — |
Multifactor Small Cap ETF | ||||
Derivative Financial Instruments: | Assets | Liabilities | ||
Futures contracts | $ — | $ (1,092) | ||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | — | (1,092) | ||
Derivatives not subject to a MNA | — | 1,092 | ||
Total gross amount of assets and liabilities subject to MNA or similar agreements | $ — | $ — |
Multifactor US Equity ETF | ||||
Derivative Financial Instruments: | Assets | Liabilities | ||
Futures contracts | $ — | $ (52,157) | ||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | — | (52,157) | ||
Derivatives not subject to a MNA | — | 52,157 | ||
Total gross amount of assets and liabilities subject to MNA or similar agreements | $ — | $ — |
5. | Principal Risks: |
A Fund’s investments expose it to various types of risks associated with financial instruments and the markets. A Fund may be exposed to the risks described below. Each Fund's prospectus provides details of that Fund's principal risks. | |
The market values of equity securities, such as common stocks and preferred stocks, or equity related derivative investments, such as futures and options, may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment generally. The market value of equity securities may also decline due to factors that affect a particular industry or industries, such as labor shortages or increased production costs and competitive conditions within an industry. Equity securities and equity related investments generally have greater market price volatility than fixed income securities. The extent of each Fund’s exposure to market risk is the market value of the investments held as shown in the Fund’s Schedule of Investments. |
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A widespread health crisis, such as a global pandemic, could cause substantial market volatility, exchange trading suspensions or restrictions and closures of securities exchanges and businesses, impact the ability to complete redemptions, and adversely impact Fund performance. The current ongoing 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 the ongoing COVID-19 pandemic remains unclear. The effects to public health, business and market conditions resulting from COVID-19 pandemic may have a significant negative impact on the performance of a Fund’s investments, including exacerbating other pre-existing political, social and economic risks. | |
Investing in the securities of non-U.S. issuers, whether directly or indirectly, involves certain considerations and risks not typically associated with securities of U.S. issuers. Such risks include, but are not limited to: generally less liquid and less efficient securities markets; generally greater price volatility; exchange rate fluctuations; imposition of restrictions on the expatriation of funds or other protectionist measures; less publicly available information about issuers; the imposition of withholding or other taxes; higher transaction and custody costs; settlement delays and risk of loss attendant in settlement procedures; difficulties in enforcing contractual obligations; less regulation of securities markets; different accounting, disclosure and reporting requirements; more substantial governmental involvement in the economy; higher inflation rates; and greater social, economic and political uncertainties. Non-U.S. issuers may also be affected by political, social, economic or diplomatic developments in a foreign country or region or the U.S. (including the imposition of sanctions, tariffs, or other governmental restrictions). These risks are heightened for investments in issuers from countries with less developed markets. | |
A Fund’s focus on securities of issuers that reflect a specific theme or focus on a specific sector or industry may affect the Fund’s exposure to certain industries or types of investments. The Fund’s relative investment performance may also be affected depending on whether such themes, sectors, industries or investments are in or out of favor with the market. Certain investments may be dependent on U.S. and foreign government policies, including tax incentives and subsidies and developments affecting companies focused on longevity and aging solutions generally. In addition, under certain market conditions, a Fund may underperform funds that invest in a broader array of investments | |
Securities lending involves the risk that a Fund may lose money because the borrower of the loaned securities fails to return the securities in a timely manner or at all. A Fund could also lose money in the event of a decline in the value of the collateral provided for the loaned securities or a decline in the value of any investments made with cash collateral. These events could also trigger adverse tax consequences for a Fund that lends its holdings. |
6. | Federal Income Taxes: |
a) | Each Fund intends to continue to qualify as a Regulated Investment Company ("RIC") under Subchapter M of the Internal Revenue Code (“IRC”) by distributing substantially all of its taxable net investment income and net realized capital gains to its shareholders each year. Each Fund has distributed substantially all of its income and capital gains in prior years, if applicable, and intends to distribute substantially all of its income and capital gains during the calendar year ending December 31, 2021. Accordingly, no provision for federal income or excise taxes has been made in the accompanying financial statements. Distributions from short-term capital gains are treated as ordinary income distributions for federal income tax purposes. |
b) | Net Investment Income (Loss), Net Realized Gains (Losses) and Distributions – Net investment income (loss) and net realized gains (losses) may differ for financial statement and tax purposes primarily because of losses deferred due to wash sale adjustments, foreign currency gains and losses, adjustments related to Passive Foreign Investment Companies ("PFICs"), Real Estate Investment Trusts ("REITs"), RICs, certain derivatives and partnerships. The character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. Also, due to the timing of dividend distributions, the fiscal year in which amounts are distributed may differ from the year that the income or realized gains (losses) were recorded by each Fund. |
c) | Distributions and Components of Distributable Earnings – The tax character of distributions paid by each Fund for the year ended September 30, 2021 and September 30, 2020 are as follows (as adjusted for dividends payable, if applicable): |
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | |||
Fund | Ordinary Income | Ordinary Income | ||
Longevity Economy ETF(1) | $ 73,437 | $ — | ||
Multifactor Developed Markets (ex-US) ETF | 66,581,005 | 66,697,468 | ||
Multifactor Diversified International ETF | 198,992 | 163,843 | ||
Multifactor Emerging Markets ETF | 1,364,480 | 2,328,245 | ||
Multifactor Small Cap ETF | 202,752 | 463,148 | ||
Multifactor US Equity ETF | 5,642,254 | 6,397,955 |
(1) | For the period March 16, 2021 (commencement of operations) through September 30, 2021. |
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Fund | Undistributed Ordinary Income | Accumulated Capital and Other Losses | Unrealized Appreciation (Depreciation) on Investments | Total Accumulated Earnings (Deficit) | ||||
Longevity Economy ETF | $ 27,673 | $ (411,394) | $ (352,862) | $ (736,583) | ||||
Multifactor Developed Markets (ex-US) ETF | 36,268,369 | (283,952,554) | 187,261,538 | (60,422,647) | ||||
Multifactor Diversified International ETF | 165,245 | (477,047) | 389,704 | 77,902 | ||||
Multifactor Emerging Markets ETF | 803,804 | (13,380,541) | 1,805,246 | (10,771,491) | ||||
Multifactor Small Cap ETF | 13,118 | (3,274,560) | 87,924 | (3,173,518) | ||||
Multifactor US Equity ETF | 55,600 | (31,023,209) | 31,361,169 | 393,560 |
d) | Reclassification of Capital Accounts – The Funds may record reclassifications in their capital accounts. These reclassifications have no impact on the total net assets of the Funds. The reclassifications are a result of permanent differences between U.S. GAAP and tax accounting for such items as redemption in-kind transactions. Adjustments are made to reflect the impact these items have on current and future distributions to shareholders. Therefore, the source of the Funds’ distributions may be shown in the accompanying Statements of Changes in Net Assets as from distributable earnings or from capital depending on the type of book and tax differences that exist. For the year or period ended September 30, 2021, the Funds recorded reclassifications to increase (decrease) the accounts listed below: |
Fund | Paid-in-Capital | Distributable Earnings (Loss) | ||
Longevity Economy ETF(1) | $ 698,866 | $ (698,866) | ||
Multifactor Developed Markets (ex-US) ETF | 64,651,461 | (64,651,461) | ||
Multifactor Emerging Markets ETF | 1,142,127 | (1,142,127) | ||
Multifactor Small Cap ETF | 1,720,670 | (1,720,670) | ||
Multifactor US Equity ETF | 46,681,028 | (46,681,028) |
(1) | For the period March 16, 2021 (commencement of operations) through September 30, 2021. |
e) | Capital Loss Carryforward – Under the Regulated Investment Company Modernization Act of 2010, funds are permitted to carry forward capital losses for an unlimited period of time. |
At September 30, 2021 (tax year end), each Fund's capital loss carryforwards for U.S. federal income tax purposes were as follows: | |
Fund | Short-Term Capital Loss Carryforward with No Expiration | Long-Term Capital Loss Carryforward with No Expiration | ||
Longevity Economy ETF | $ 411,394 | $ — | ||
Multifactor Developed Markets (ex-US) ETF | 202,716,410 | 81,236,144 | ||
Multifactor Diversified International ETF | 419,538 | 57,509 | ||
Multifactor Emerging Markets ETF | 7,037,836 | 6,342,705 | ||
Multifactor Small Cap ETF | 2,226,711 (1) | 1,047,849 (1) | ||
Multifactor US Equity ETF | 23,354,516 | 7,668,693 |
(1) | Future utilization of losses are subject to limitation under the current tax laws. |
f) | Tax Basis of Investments – The aggregate cost of investments for federal income tax purposes at September 30, 2021 is different from book purposes primary due to wash sale loss deferrals, passive foreign investment company (PFIC) mark-to-market adjustments and non-taxable distributions from underlying investments. The net unrealized appreciation/(depreciation) on investments for tax purposes, which consists of gross unrealized appreciation and depreciation was also different from book purposes primarily due to wash sales loss deferrals, REIT adjustments and mark-to-market adjustments on PFICs and futures. Both the cost and unrealized appreciation and depreciation for federal |
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income tax purposes are disclosed below: | |
Fund | Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
Longevity Economy ETF | $ 25,553,898 | $ 603,939 | $ (956,801) | $ (352,862) | ||||
Multifactor Developed Markets (ex-US) ETF | 1,771,390,446 | 250,612,516 | (63,261,960) | 187,350,556 | ||||
Multifactor Diversified International ETF | 5,382,470 | 581,819 | (192,005) | 389,814 | ||||
Multifactor Emerging Markets ETF | 39,958,281 | 4,154,246 | (2,347,623) | 1,806,623 | ||||
Multifactor Small Cap ETF | 24,584,549 | 1,506,606 | (1,418,746) | 87,860 | ||||
Multifactor US Equity ETF | 354,121,756 | 37,850,627 | (6,489,459) | 31,361,168 |
g) | Accounting for Uncertainty in Income Taxes – Pursuant to provisions set forth by U.S. GAAP, Hartford Funds Management Company, LLC ("HFMC") reviews each Fund’s tax positions for all open tax years. As of September 30, 2021, HFMC had reviewed the open tax years and concluded that there was no reason to record a liability for net unrecognized tax obligations relating to uncertain income tax positions. Each Fund files U.S. tax returns. Although the statute of limitations for examining a Fund’s U.S. tax returns remains open for three years, no examination is currently in progress. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statements of Operations. During the year or period ended September 30, 2021, the Funds did not incur any interest or penalties. HFMC is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax obligations will significantly change in the next twelve months. |
7. | Expenses: |
a) | Investment Advisory Agreement – Lattice Strategies LLC (the “Adviser” or “Lattice”) serves as each Fund’s investment adviser pursuant to an Investment Advisory Agreement with the Trust. Lattice is a wholly owned subsidiary of HFMC, which is an indirect subsidiary of The Hartford Financial Services Group, Inc. (“The Hartford”). Lattice has overall investment supervisory responsibility for each Fund. In addition, Lattice provides administrative personnel, services, equipment, facilities and office space for proper operation of each Fund. Lattice has contracted with Mellon Investments Corporation (“Mellon”) under a sub-advisory agreement pursuant to which Mellon performs the daily investment of the assets of each Fund in accordance with each Fund’s investment objective and policies. Each Fund pays a fee to Lattice, a portion of which may be used to compensate Mellon. |
Under the Investment Advisory Agreement, the Adviser agrees to pay all expenses of the Trust, except for (i) interest and taxes; (ii) brokerage expenses and other expenses (such as stamp taxes) connected with the execution of portfolio transactions or in connection with creation and redemption transactions; (iii) legal fees or expenses in connection with any arbitration, litigation or pending or threatened arbitration or litigation, including any settlements in connection therewith; (iv) extraordinary expenses; (v) distribution fees and expenses paid by the Trust under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act; (vi) acquired fund fees and expenses; and (vii) the advisory fee payable to the Adviser under the Investment Advisory Agreement. The payment or assumption by the Adviser of any expense of the Trust that the Adviser is not required by the Investment Advisory Agreement to pay or assume shall not obligate the Adviser to pay or assume the same or any similar expense of the Trust on any subsequent occasion. | |
The schedule below reflects the rates of compensation paid to Lattice for investment advisory services rendered as of September 30, 2021; the rates are accrued daily and paid monthly based on each Fund’s average daily net assets, at the following annual rates: | |
Fund | Management Fee Rates | |
Longevity Economy ETF | 0.44% | |
Multifactor Developed Markets (ex-US) ETF | 0.29% | |
Multifactor Diversified International ETF | 0.29% | |
Multifactor Emerging Markets ETF | 0.44% | |
Multifactor Small Cap ETF | 0.34% | |
Multifactor US Equity ETF | 0.19% |
b) | Distribution Plans - Each Fund has adopted a Rule 12b-1 Distribution and Service Plan in accordance with Rule 12b-1 under the 1940 Act pursuant to which payments of up to 0.25% of each Fund’s average daily net assets may be made for the sale and distribution of its shares. The Board has determined that the Funds may not make payments under the Rule 12b-1 Distribution and Service Plan until authorized to do so by affirmative action of the Board. No Rule 12b-1 fees are currently paid by the Funds and there are no plans to impose these fees. |
c) | Other Related Party Transactions – Certain officers of the Trust are trustees and/or officers of HFMC and/or The Hartford or its subsidiaries. For the year or period ended September 30, 2021, a portion of the Trust's Chief Compliance Officer’s ("CCO") compensation was paid by HFMC. As part of the Funds' Investment Management Agreement, HFMC also pays any CCO compensation on behalf of the Funds. |
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8. | Securities Lending: |
The Trust has entered into a securities lending agency agreement (“lending agreement”) with Citibank, N.A. (“Citibank”). A Fund may lend portfolio securities to certain borrowers in U.S. and non-U.S. markets in an amount not to exceed one-third (33 1/3%) of the value of its total assets. If a Fund security is on loan, under the lending agreement, the borrower is required to deposit cash or liquid securities as collateral at least equal to 100% of the market value of the loaned securities; and cash collateral is invested for the benefit of the Fund by the Fund’s lending agent pursuant to collateral investment guidelines. The collateral is marked to market daily, in an amount at least equal to the current market value of the securities loaned. | |
A Fund is subject to certain risks while its securities are on loan, including the following: (i) the risk that the borrower defaults on the loan and the collateral is inadequate to cover the Fund’s loss; (ii) the risk that the earnings on the collateral invested are not sufficient to pay fees incurred in connection with the loan; (iii) the Fund could lose money in the event of a decline in the value of the collateral provided for loaned securities or a decline in the value of any investments made with cash collateral; (iv) the risk that the borrower may use the loaned securities to cover a short sale, which may in turn place downward pressure on the market prices of the loaned securities; (v) the risk that return of loaned securities could be delayed and interfere with portfolio management decisions; and (vi) the risk that any efforts to restrict or recall the securities for purposes of voting may not be effective. These events could also trigger adverse tax consequences for the Fund. | |
The Funds retain loan fees and the interest on cash collateral investments but are required to pay the borrower a rebate for the use of cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. | |
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Investment Income from securities lending. The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Investment Income from dividends or interest, respectively, on the Statements of Operations. | |
The following table presents the market value of each Funds' securities on loan, net of amounts available for offset under the master netting arrangements and any related collateral received by the Fund as of September 30, 2021. | |
Fund | Investment Securities on Loan, at market value, Presented on the Statement of Assets and Liabilities(1) | Collateral Posted by Borrower(2) | Net Amount(3) | |||
Longevity Economy ETF | $ 232,140 | $ (232,140) | $ — | |||
Multifactor Developed Markets (ex-US) ETF | 43,472,480 | (43,472,480) | — | |||
Multifactor Diversified International ETF | 105,154 | (105,154) | — | |||
Multifactor Emerging Markets ETF | 240,384 | (240,384) | — | |||
Multifactor Small Cap ETF | 20,190 | (20,190) | — | |||
Multifactor US Equity ETF | 1,085,361 | (1,085,361) | — |
(1) | It is each Fund’s policy to obtain additional collateral from, or return excess collateral to, the borrower by the end of the next business day following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than that required under the lending contract. |
(2) | Collateral received in excess of the market value of securities on loan is not presented in this table. |
(3) | Net amount represents the net amount receivable due from the counterparty in the event of default. |
Fund | Cash Collateral | Non-Cash Collateral | ||
Longevity Economy ETF | $ 239,783 | $ — | ||
Multifactor Developed Markets (ex-US) ETF | 37,425,432 | 8,732,366 | ||
Multifactor Diversified International ETF | 111,276 | 2,293 | ||
Multifactor Emerging Markets ETF | 108,034 | 144,390 | ||
Multifactor Small Cap ETF | 21,000 | — | ||
Multifactor US Equity ETF | 1,122,936 | — |
9. | Secured Borrowings: |
The following tables reflect a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of September 30, 2021. |
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Certain Transfers Accounted For As Secured Borrowings | |
Remaining Contractual Maturity of the Agreements | |
Overnight and Continuous | < 30 days | Between 30 & 90 days | > 90 days | Total | |||||
Longevity Economy ETF | |||||||||
Securities Lending Transactions(1) | |||||||||
Common Stocks | $ 239,783 | $ — | $ — | $ — | $ 239,783 | ||||
Total Borrowings | $ 239,783 | $ — | $ — | $ — | $ 239,783 | ||||
Gross amount of recognized liabilities for securities lending transactions | $ 239,783 | ||||||||
Multifactor Developed Markets (ex-US) ETF | |||||||||
Securities Lending Transactions(1) | |||||||||
Common Stocks | $ 37,425,432 | $ — | $ — | $ — | $ 37,425,432 | ||||
Total Borrowings | $ 37,425,432 | $ — | $ — | $ — | $ 37,425,432 | ||||
Gross amount of recognized liabilities for securities lending transactions | $ 37,425,432 | ||||||||
Multifactor Diversified International ETF | |||||||||
Securities Lending Transactions(1) | |||||||||
Common Stocks | $ 111,276 | $ — | $ — | $ — | $ 111,276 | ||||
Total Borrowings | $ 111,276 | $ — | $ — | $ — | $ 111,276 | ||||
Gross amount of recognized liabilities for securities lending transactions | $ 111,276 | ||||||||
Multifactor Emerging Markets ETF | |||||||||
Securities Lending Transactions(1) | |||||||||
Common Stocks | $ 108,034 | $ — | $ — | $ — | $ 108,034 | ||||
Total Borrowings | $ 108,034 | $ — | $ — | $ — | $ 108,034 | ||||
Gross amount of recognized liabilities for securities lending transactions | $ 108,034 | ||||||||
Multifactor Small Cap ETF | |||||||||
Securities Lending Transactions(1) | |||||||||
Common Stocks | $ 21,000 | $ — | $ — | $ — | $ 21,000 | ||||
Total Borrowings | $ 21,000 | $ — | $ — | $ — | $ 21,000 | ||||
Gross amount of recognized liabilities for securities lending transactions | $ 21,000 | ||||||||
Multifactor US Equity ETF | |||||||||
Securities Lending Transactions(1) | |||||||||
Common Stocks | $ 1,122,936 | $ — | $ — | $ — | $ 1,122,936 | ||||
Total Borrowings | $ 1,122,936 | $ — | $ — | $ — | $ 1,122,936 | ||||
Gross amount of recognized liabilities for securities lending transactions | $ 1,122,936 |
(1) | Amount represents the payable for cash collateral received on securities on loan. This will generally be in the “Overnight and Continuous” column as the securities are typically callable on demand. |
10. | Custodian and Transfer Agent: |
State Street Bank and Trust Company ("State Street") serves as Custodian for the Funds pursuant to a custodian agreement ("Custodian Agreement") dated December 31, 2014, as amended from time to time. As Custodian, State Street holds each Fund’s assets, calculates the net asset value of the shares and calculates net income and realized capital gains or losses. State Street serves as Transfer Agent of each Fund pursuant to a transfer agency and service agreement ("Transfer Agency and Service Agreement") dated February 13, 2018, as amended from time to time. As Transfer Agent, State Street maintains the records of each Authorized Participant’s ownership of each Fund and processes the purchases and redemptions of Creation Units. | |
For the services provided under the Custodian Agreement and Transfer Agency and Service Agreement, Lattice, and not the Funds, compensates State Street pursuant to the Funds' unitary management fee structure. |
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11. | Affiliate Holdings: |
As of September 30, 2021, affiliates of The Hartford had ownership of shares in each Fund as follows: | |
Fund | Percentage of Fund | |
Longevity Economy ETF | 99% | |
Multifactor Diversified International ETF | 40% | |
Multifactor Small Cap ETF | 58% |
Fund | Percentage of Fund | |
Multifactor Developed Markets (ex-US) ETF | 5% | |
Multifactor Emerging Markets ETF | 12% | |
Multifactor US Equity ETF | 26% |
12. | Investment Transactions: |
For the year or period ended September 30, 2021, the cost of purchases and proceeds from sales of investment securities (excluding short-term investments) were as follows: | |
Fund | Cost of Purchases Excluding U.S. Government Obligations | Sales Proceeds Excluding U.S. Government Obligations | Total Cost of Purchases | Total Sales Proceeds | ||||
Longevity Economy ETF | $ 13,247,050 | $ 10,965,236 | $ 13,247,050 | $ 10,965,236 | ||||
Multifactor Developed Markets (ex-US) ETF | 867,083,886 | 875,483,435 | 867,083,886 | 875,483,435 | ||||
Multifactor Diversified International ETF | 4,851,749 | 4,843,674 | 4,851,749 | 4,843,674 | ||||
Multifactor Emerging Markets ETF | 40,372,336 | 45,423,315 | 40,372,336 | 45,423,315 | ||||
Multifactor Small Cap ETF | 10,318,705 | 10,254,668 | 10,318,705 | 10,254,668 | ||||
Multifactor US Equity ETF | 249,394,065 | 249,840,182 | 249,394,065 | 249,840,182 |
Fund | Cost of Purchases | Sales Proceeds | Realized Gain/(Loss) | |||
Longevity Economy ETF | $ 26,824,462 | $ 4,075,056 | $ 698,883 | |||
Multifactor Developed Markets (ex-US) ETF | 37,055,113 | 397,305,956 | 66,692,405 | |||
Multifactor Emerging Markets ETF | — | 6,483,905 | 1,205,138 | |||
Multifactor Small Cap ETF | 21,052,551 | 6,905,576 | 1,717,294 | |||
Multifactor US Equity ETF | 243,692,502 | 170,678,013 | 46,849,737 |
13. | Share Transactions: |
Each Fund will issue and redeem shares at NAV only with certain Authorized Participants in large increments known as ‘‘Creation Units.” Purchases of Creation Units are made by tendering a basket of designated securities and/or cash to a Fund and redemption proceeds are paid with a basket of securities and/or cash from the Fund with a balancing cash component to equate the market value of the basket securities delivered or redeemed to the NAV per Creation Unit on the transaction date. Cash may be substituted in an amount equivalent to the value of securities included in the relevant baskets for any reason at the Trust’s sole discretion. Each Fund’s shares are available in smaller increments to individual investors in the secondary market at market prices and may be subject to commissions. Authorized Participants may be required to pay a transaction fee when purchasing and redeeming Creation Units of the Fund. The transaction fee is used to defray the costs associated with the issuance and redemption of Creation Units, and is recorded as Other Capital on the Statements of Changes in Net Assets. | |
Purchase or redemption of Creation Units is only available to an Authorized Participant. An Authorized Participant is either (1) a ‘‘Participating Party,’’ (i.e., a broker-dealer or other participant in the clearing process of the Continuous Net Settlement System of the NSCC) (‘‘Clearing Process’’), or (2) a participant of DTC (‘‘DTC Participant’’), and, in each case, must have executed an agreement (‘‘Participation Agreement’’) with the Distributor with respect to creations and redemptions of Creation Units. |
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Shares of Longevity Economy ETF, Multifactor Developed Markets (ex-US) ETF, Multifactor Emerging Markets ETF, Multifactor Small Cap ETFand Multifactor US Equity ETF are listed on the NYSE Arca and shares of Multifactor Diversified International ETF are listed on the Cboe BZX. Shares of each Fund are publicly traded. Retail investors may purchase or sell shares in the secondary market (not from the Fund) through a broker or dealer. Investors purchasing or selling shares in the secondary market may pay a commission, market premium or discount or other transaction charge, to a broker or dealer, as well as some or all of the spread between the bid and the offered price for each purchase or sale transaction. Unless imposed by a broker or dealer, there is no minimum dollar amount upon purchase and no minimum number of shares that must be purchased in the secondary market. Because transactions in the secondary market occur at market prices, an investor may pay more than NAV upon purchase of shares and may receive less than a Fund’s NAV upon sale of shares. | |
Because each Fund is structured as an ETF, individual shares may only be purchased and sold on a listing exchange through a broker-dealer. The price of shares is based on market price, and because ETF shares trade at market prices rather than at NAV, shares may trade at a price greater than NAV (a premium) or less than NAV (a discount). The Funds generally will issue or redeem Creation Units in return for a designated basket of securities and/or cash that the Fund specifies each business day. The Funds do not impose any restrictions on the frequency of purchases and redemptions; however, the Funds reserve the right to reject or limit purchases at any time. | |
The following information is for the years or periods ended September 30, 2021 and September 30, 2020: | |
For the Year or Period Ended September 30, 2021 | For the Year Ended September 30, 2020 | ||||||
Shares | Amount | Shares | Amount | ||||
Longevity Economy ETF(1) | |||||||
Shares Sold | 1,100,001 | $ 29,116,378 | |||||
Shares Redeemed | (150,001) | (4,077,718) | |||||
Total Net Increase (Decrease) | 950,000 | 25,038,660 | |||||
Multifactor Developed Markets (ex-US) ETF | |||||||
Shares Sold | 1,400,000 | $ 39,421,674 | 16,650,000 | $ 475,004,269 | |||
Shares Redeemed | (14,400,000) | (408,608,631) | (23,500,000) | (573,184,590) | |||
Total Net Increase (Decrease) | (13,000,000) | (369,186,957) | (6,850,000) | (98,180,321) | |||
Multifactor Diversified International ETF | |||||||
Shares Sold | — | $ — | 100,000 | $ 2,754,532 | |||
Shares Redeemed | — | — | (100,000) | (2,751,610) | |||
Total Net Increase (Decrease) | — | — | — | 2,922 | |||
Multifactor Emerging Markets ETF | |||||||
Shares Sold | — | $ — | 200,000 | $ 3,623,318 | |||
Shares Redeemed | (500,000) | (11,443,163) | (1,100,000) | (18,945,241) | |||
Other Capital | — | 11,522 | — | 22,366 | |||
Total Net Increase (Decrease) | (500,000) | (11,431,641) | (900,000) | (15,299,557) | |||
Multifactor Small Cap ETF | |||||||
Shares Sold | 550,000 | $ 21,056,818 | 100,000 | $ 3,000,116 | |||
Shares Redeemed | (200,000) | (6,907,604) | (400,000) | (10,895,246) | |||
Other Capital | — | — | — | 936 | |||
Total Net Increase (Decrease) | 350,000 | 14,149,214 | (300,000) | (7,894,194) | |||
Multifactor US Equity ETF | |||||||
Shares Sold | 6,450,000 | $ 245,723,876 | 2,250,000 | $ 70,914,373 | |||
Shares Redeemed | (4,500,000) | (172,629,516) | (4,075,000) | (119,273,432) | |||
Total Net Increase (Decrease) | 1,950,000 | 73,094,360 | (1,825,000) | (48,359,059) |
(1) | Commenced operations on March 16, 2021. |
14. | Indemnifications: |
Under the Trust’s organizational documents, the Trust shall indemnify its officers and trustees to the full extent required or permitted under the applicable laws of the State of Delaware and federal securities laws. In addition, the Trust, on behalf of the Funds, may enter into contracts that contain a variety of indemnifications. The Trust’s maximum exposure under these arrangements is unknown. However, as of the date of these financial statements, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote. |
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September 30, 2021
15. | Recent Accounting Pronouncement: |
In March 2020, FASB issued Accounting Standards Update (“ASU”) No. 2020-04, Reference Rate Reform (Topic 848); Facilitation of the Effects of Reference Rate Reform on Financial Reporting, which provides optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform. The guidance is applicable to contracts referencing LIBOR or another reference rate that is expected to be discontinued due to reference rate reform. The ASU is effective as of March 12, 2020 and generally can be applied through December 31, 2022. Management is evaluating the underlying securities referencing LIBOR or another reference rate that is expected to be discontinued over the period of time the ASU is effective. |
16. | Change in Independent Registered Public Accounting Firm: |
On November 6, 2019, the Trust, on behalf of each of Developed Markets (ex – US) ETF, Diversified International ETF, Emerging Markets ETF, Small Cap ETF and US Equity ETF, dismissed Ernst & Young LLP (“EY”) as the Funds’ independent registered public accounting firm effective upon the issuance of EY’s report on the Funds’ financial statements as of and for the fiscal year ended September 30, 2019. EY’s report on the Funds’ financial statements for the fiscal periods ended September 30, 2018 and September 30, 2019 contained no adverse opinion or disclaimer of opinion nor was EY’s report qualified or modified as to uncertainty, audit scope or accounting principles. During the Funds’ fiscal periods ended on September 30, 2018 and September 30, 2019 and through November 26, 2019 (the “Covered Period”), (i) there were no disagreements with EY on any matter of accounting principles or practices, financial statement disclosure or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of EY, would have caused it to make reference to the subject matter of the disagreements in connection with its reports on the Funds’ financial statements for the Covered Period, and (ii) there were no “reportable events” of the kind described in Item 304(a)(1)(v) of Regulation S-K under the Securities Exchange Act of 1934, as amended. | |
On November 6, 2019, the Audit Committee of the Trust’s Board of Trustees participated in and approved the decision to engage PricewaterhouseCoopers LLP (“PwC”) as the independent registered public accounting firm for each of Developed Markets (ex – US) ETF, Diversified International ETF, Emerging Markets ETF, Small Cap ETF and US Equity ETF for the fiscal year ended September 30, 2020. The selection of PwC does not reflect any disagreements with or dissatisfaction by the Trust or the Board with the performance of the Funds’ prior independent registered public accounting firm, EY. During the Covered Period, neither the Funds, nor anyone on their behalf, consulted with PwC on items which: (i) concerned the application of accounting principles to a specified transaction, either completed or proposed, or the type of audit opinion that might be rendered on the Funds’ financial statements; or (ii) concerned the subject of a disagreement (as defined in paragraph (a)(1)(iv) of Item 304 of Regulation S-K) or reportable events (as described in paragraph (a)(1)(v) of Item 304 of Regulation S-K). |
17. | Subsequent Events: |
Management has evaluated all subsequent transactions and events through the date on which these financial statements were issued and has determined that no additional items require disclosure in these financial statements. |
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Fund | Statement of operations | Statement of changes in net assets | Financial highlights |
Hartford Multifactor Developed Markets (ex-US) ETF Hartford Multifactor Diversified International Equity ETF Hartford Multifactor Emerging Markets ETF Hartford Multifactor Small Cap ETF Hartford Multifactor US Equity ETF | For the year ended September 30, 2021 | For the years ended September 30, 2021 and 2020 | For the years ended September 30, 2021 and 2020 |
Hartford Longevity Economy ETF | For the period March 16, 2021 (commencement of operations) to September 30, 2021 | For the period March 16, 2021 (commencement of operations) to September 30, 2021 | For the period March 16, 2021 (commencement of operations) to September 30, 2021 |
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• | the operation of the LRM Program (and related policies and procedures utilized in connection with management of the Funds’ liquidity risk); |
• | an assessment of the adequacy and effectiveness of the LRM Program’s (and related policies and procedures’) implementation; |
• | the operation, and assessment of the adequacy and effectiveness, of each Fund’s HLIM; |
• | whether the third-party liquidity vendor’s (“LRM Program Vendor”) processes for determining preliminary liquidity classifications, including the particular methodologies or factors used and metrics analyzed by the LRM Program Vendor, are sufficient under the Liquidity Rule and appropriate in light of each Fund’s specific circumstances; and |
• | any material changes to the LRM Program. |
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NAME, YEAR OF BIRTH AND ADDRESS(1) | POSITION HELD WITH THE TRUST | TERM OF OFFICE(2) AND LENGTH OF TIME SERVED | PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS | NUMBER OF PORTFOLIOS IN FUND COMPLEX(3) OVERSEEN BY TRUSTEE | OTHER DIRECTORSHIPS FOR PUBLIC COMPANIES AND OTHER REGISTERED INVESTMENT COMPANIES BY TRUSTEE | |||||
NON-INTERESTED TRUSTEES | ||||||||||
HILARY E. ACKERMANN (1956) | Trustee | Since 2017 | Ms. Ackermann served as Chief Risk Officer at Goldman Sachs Bank USA from October 2008 to November 2011. | 76 | Ms. Ackermann served as a Director of Dynegy, Inc. from October 2012 until its acquisition in by Vistra Energy Corporation in 2018, and since that time she has served as a Director of Vistra. Ms. Ackermann serves as a Director of Credit Suisse Holdings (USA), Inc. from January 2017 to present. | |||||
ROBIN C. BEERY (1967) | Trustee | Since 2016 | Ms. Beery has served as a consultant to ArrowMark Partners (an alternative asset manager) since March of 2015 and since November 2018 has been employed by ArrowMark Partners as a Senior Advisor. Previously, she was Executive Vice President, Head of Distribution, for Janus Capital Group, and Chief Executive Officer and President of the Janus Mutual Funds (a global asset manager) from September 2009 to August 2014. | 76 | Ms. Beery serves as an independent Director of UMB Financial Corporation (January 2015 to present), has chaired the Compensation Committee since April 2017, and serves on the Audit Committee and the Risk Committee. | |||||
LYNN S. BIRDSONG† (1946) | Trustee | Trustee since 2017; Chair of the Board 2019-2021 | From January 1981 through December 2013, Mr. Birdsong was a partner in Birdsong Company, an advertising specialty firm. From 1979 to 2002, Mr. Birdsong was a Managing Director of Zurich Scudder Investments, an investment management firm. | 76 | None | |||||
DERRICK D. CEPHAS (1952) | Trustee | Since 2020 | Mr. Cephas currently serves as Of Counsel to Squire Patton Boggs LLP, an international law firm with 45 offices in 20 countries. Until his retirement in October 2020, Mr. Cephas was a Partner of Weil, Gotshal & Manges LLP, an international law firm headquartered in New York, where he served as the Head of the Financial Institutions Practice (April 2011 to October 2020). | 76 | Mr. Cephas currently serves a Director of Signature Bank, a New York-based commercial bank, and is a member of the Credit Committee, Examining Committee and Risk Committee. Mr. Cephas currently serves as a Director of Claros Mortgage Trust, Inc., a real estate investment trust. | |||||
CHRISTINE R. DETRICK(4) (1958) | Trustee and Chair of the Board | Since 2017; Chair of the Board since 2021 | Ms. Detrick served as a Senior Partner/Advisor at Bain & Company (a management consulting firm) from September 2002 to December 2012. | 76 | Ms. Detrick serves as a Director and Chair of the Nominating and Governance Committee of Reinsurance Group of America (from January 2014 to present). She also serves as a Director of Charles River Associates (May 2020 to present) and serves as a Director of Capital One Financial Corporation (since November 2021). |
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NAME, YEAR OF BIRTH AND ADDRESS(1) | POSITION HELD WITH THE TRUST | TERM OF OFFICE(2) AND LENGTH OF TIME SERVED | PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS | NUMBER OF PORTFOLIOS IN FUND COMPLEX(3) OVERSEEN BY TRUSTEE | OTHER DIRECTORSHIPS FOR PUBLIC COMPANIES AND OTHER REGISTERED INVESTMENT COMPANIES BY TRUSTEE | |||||
ANDREW A. JOHNSON (1962) | Trustee | Since 2020 | Mr. Johnson currently serves as a Diversity and Inclusion Advisor at Neuberger Berman, a private, global investment management firm. Prior to his current role, Mr. Johnson served as Chief Investment Officer and Head of Global Investment Grade Fixed Income at Neuberger Berman (January 2009 to December 2018). | 76 | Mr. Johnson currently serves as a Director of AGNC Investment Corp., a real estate investment trust. | |||||
PAUL L. ROSENBERG (1953) | Trustee | Since 2020 | Mr. Rosenberg is a Partner of The Bridgespan Group, a global nonprofit consulting firm that is a social impact advisor to nonprofits, non-governmental organizations, philanthropists and institutional investors (October 2007 to present). | 76 | None | |||||
LEMMA W. SENBET† (1946) | Trustee | Since 2017 | Dr. Senbet currently serves as the William E. Mayer Chair Professor of Finance in the Robert H. Smith School of Business at the University of Maryland, where he was chair of the Finance Department from 1998 to 2006. In June 2013, he began a sabbatical from the University to serve as Executive Director of the African Economic Research Consortium which focuses on economic policy research and training, which he completed in 2018. | 76 | None | |||||
DAVID SUNG (1953) | Trustee | Since 2016 | Mr. Sung was a Partner at Ernst & Young LLP from October 1995 to July 2014. | 76 | Mr. Sung serves as a Trustee of Ironwood Institutional Multi-Strategy Fund, LLC and Ironwood Multi-Strategy Fund, LLC (October 2015 to present). | |||||
OFFICERS AND INTERESTED TRUSTEE | ||||||||||
JAMES E. DAVEY(5) (1964) | Trustee, President and Chief Executive Officer | Trustee since 2017; President and Chief Executive Officer since 2017 | Mr. Davey serves as Executive Vice President of The Hartford Financial Services Group, Inc. Mr. Davey has served in various positions within The Hartford and its subsidiaries and joined The Hartford in 2002. Additionally, Mr. Davey serves as Director, Chairman, President, and Senior Managing Director for Hartford Funds Management Group, Inc. ("HFMG"). Mr. Davey also serves as President, Manager, Chairman of the Board, and Senior Managing Director for Hartford Funds Management Company, LLC (“HFMC”); Manager, Chairman of the Board, and President of Lattice Strategies LLC (“Lattice”); Chairman of the Board, Manager, and Senior Managing Director of Hartford Funds Distributors, LLC (“HFD”); and Chairman of the Board, President and Senior Managing Director of Hartford Administrative Services Company (“HASCO”), each of which is an affiliate of HFMG. | 76 | None | |||||
ANDREW S. DECKER (1963) | AML Compliance Officer | Since 2016 | Mr. Decker serves as Chief Compliance Officer and AML Compliance Officer of HASCO (since April 2015) and Vice President of HASCO (since April 2018). Mr. Decker serves as AML Officer of HFD (since May 2015). Mr. Decker also serves as Vice President of HFMG (since April 2018). Prior to joining The Hartford, Mr. Decker served as Vice President and AML Officer at Janney Montgomery Scott (a broker dealer) from April 2011 to January 2015. | N/A | N/A | |||||
AMY N. FURLONG (1979) | Vice President | Since 2018 | Ms. Furlong serves as Vice President and Assistant Treasurer of HFMC (since September 2019). From 2018 through March 15, 2021, Ms. Furlong served as the Treasurer of the Trust. Ms. Furlong has served in various positions within The Hartford and its subsidiaries in connection with the operation of the Hartford Funds. Ms. Furlong joined The Hartford in 2004. | N/A | N/A |
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NAME, YEAR OF BIRTH AND ADDRESS(1) | POSITION HELD WITH THE TRUST | TERM OF OFFICE(2) AND LENGTH OF TIME SERVED | PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS | NUMBER OF PORTFOLIOS IN FUND COMPLEX(3) OVERSEEN BY TRUSTEE | OTHER DIRECTORSHIPS FOR PUBLIC COMPANIES AND OTHER REGISTERED INVESTMENT COMPANIES BY TRUSTEE | |||||
WALTER F. GARGER (1965) | Vice President and Chief Legal Officer | Since 2016 | Mr. Garger serves as Secretary, Managing Director and General Counsel of HFMG, HFMC, HFD, and HASCO (since 2013). Mr. Garger also serves as Secretary and General Counsel of Lattice (since July 2016). Mr. Garger has served in various positions within The Hartford and its subsidiaries in connection with the operation of the Hartford Funds. Mr. Garger joined The Hartford in 1995. | N/A | N/A | |||||
THEODORE J. LUCAS (1966) | Vice President | Since 2017 | Mr. Lucas serves as Executive Vice President of HFMG (since July 2016) and as Executive Vice President of Lattice (since June 2017). Previously, Mr. Lucas served as Managing Partner of Lattice (2003 to 2016). | N/A | N/A | |||||
JOSEPH G. MELCHER (1973) | Vice President and Chief Compliance Officer | Since 2016 | Mr. Melcher serves as Executive Vice President of HFMG and HASCO (since December 2013). Mr. Melcher also serves as Executive Vice President (since December 2013) and Chief Compliance Officer (since December 2012) of HFMC, serves as Executive Vice President and Chief Compliance Officer of Lattice (since July 2016), serves as Executive Vice President of HFD (since December 2013), and has served as President and Chief Executive Officer of HFD (from April 2018 to June 2019). | N/A | N/A | |||||
VERNON J. MEYER (1964) | Vice President | Since 2016 | Mr. Meyer serves as Managing Director and Chief Investment Officer of HFMC and Managing Director of HFMG (since 2013). Mr. Meyer also serves as Senior Vice President-Investments of Lattice (since March 2019). Mr. Meyer has served in various positions within The Hartford and its subsidiaries in connection with the operation of the Hartford Funds. Mr. Meyer joined The Hartford in 2004. | N/A | N/A | |||||
DAVID A. NAAB (1985) | Vice President and Treasurer | Since March 15, 2021 | Mr. Naab serves as Vice President and Treasurer of the Trust. Prior to joining HFMC in 2021, Mr. Naab served in various positions as an associate, senior associate, manager, senior manager, and director within the investment management, financial services, and asset & wealth management practice groups of PricewaterhouseCoopers, LLP from 2007 to 2020. | N/A | N/A | |||||
ALICE A. PELLEGRINO (1960) | Vice President and Assistant Secretary | Since 2016 | Ms. Pellegrino serves as Vice President of HFMG (since December 2013). Ms. Pellegrino also serves as Vice President and Assistant Secretary of Lattice (since June 2017). Ms. Pellegrino is a Senior Counsel and has served in various positions within The Hartford and its subsidiaries in connection with the operation of the Hartford Funds. Ms. Pellegrino joined The Hartford in 2007. | N/A | N/A | |||||
THOMAS R. PHILLIPS (1960) | Vice President and Secretary | Since 2017 | Mr. Phillips is Deputy General Counsel for HFMG and currently serves as Vice President (since February 2017) and Assistant Secretary (since June 2017) for HFMG. Prior to joining HFMG in 2017, Mr. Phillips was a Director and Chief Legal Officer of Saturna Capital Corporation from 2014–2016. Prior to that, Mr. Phillips was a Partner and Deputy General Counsel of Lord, Abbett & Co. LLC. | N/A | N/A |
† | Effective as of December 31, 2021, Messrs. Birdsong and Senbet will retire as Trustees. As a result, Mr. Birdsong retired as Chair of the Board effective November 4, 2021. |
(1) | The address for each officer and Trustee is c/o Hartford Funds 690 Lee Road, Wayne, Pennsylvania 19087. |
(2) | Each Trustee holds an indefinite term until the Trustee's retirement, which must be no later than December 31 of the year in which the Trustee turns 75 years of age, or the Trustee's resignation, removal, or death prior to the Trustee's retirement. Each officer shall serve until his or her successor is elected and qualifies. |
(3) | The portfolios of the “Fund Complex” are operational series of The Hartford Mutual Funds, Inc., The Hartford Mutual Funds II, Inc., Hartford Series Fund, Inc., Hartford HLS Series Fund II, Inc., Lattice Strategies Trust, and Hartford Funds Exchange-Traded Trust. |
(4) | Effective November 4, 2021, Ms. Detrick was elected as Chair of the Board of Trustees. |
(5) | “Interested person,” as defined in the 1940 Act, of the Trust because of the person’s affiliation with, or equity ownership of HFMC or affiliated companies. |
74 |
75 |
76 |
77 |
78 |
79 |
• | The Board considered that the Fund’s performance was in line with its custom proprietary benchmark index for the 1-, 3-, and 5-year periods, noting that the Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of its custom proprietary Benchmark index. The Board noted recent and upcoming changes to the Fund’s portfolio management team. |
• | The Board noted that the Fund's contractual management fee was in the 1st quintile of its Peer Group, while its actual management fee and total expenses were in the 2nd quintile of its Peer Group. |
• | The Board considered that the Fund’s performance exceeded its tracking difference threshold for the 1-year period and was in line with its custom proprietary benchmark index for the 3-year period, noting that the Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of its custom proprietary benchmark index. The Board noted recent and upcoming changes to the Fund’s portfolio management team. |
• | The Board noted that the Fund’s contractual management fee, actual management fee, and total expenses were in the 2nd quintile of its Peer Group. |
• | The Board noted that the Fund’s performance exceeded its tracking difference threshold for the 1-year period and was in line with its custom proprietary benchmark index for the 3- and 5-year periods, noting that the Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of its custom proprietary benchmark index. The Board noted recent and upcoming changes to the Fund’s portfolio management team. |
• | The Board noted that the Fund’s contractual management fee and actual management fee were in the 2nd quintile of its Peer Group, while its total expenses were in the 1st quintile of its Peer Group. |
• | The Board considered that the Fund’s performance exceeded its tracking difference threshold for the 1-year period and was in line with its custom proprietary benchmark index for the 3- and 5-year periods, noting that the Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of its custom proprietary benchmark index. The Board noted recent and upcoming changes to the Fund’s portfolio management team. |
• | The Board noted that the Fund’s contractual management fee and total expenses were in the 2nd quintile of its Peer Group, while its actual management fee was in the 3rd quintile of its Peer Group. |
• | The Board considered that the Fund’s performance exceeded its tracking difference threshold for the 1-year period and was in line with its custom proprietary benchmark index for the 3- and 5-year periods, noting that the Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of its custom proprietary benchmark index. The Board noted recent and upcoming changes to the Fund’s portfolio management team. |
• | The Board noted that the Fund’s contractual management fee was in the 1st quintile of its Peer Group, while its actual management fee and total expenses were in the 2nd quintile of its Peer Group. |
80 |
a) | management; |
b) | use; and |
c) | protection; |
a) | service your Transactions with us; and |
b) | support our business functions. |
a) | You; |
b) | your Transactions with us; and |
c) | third parties such as a consumer-reporting agency. |
a) | your name; |
b) | your address; |
c) | your income; |
d) | your payment; or |
e) | your credit history; |
a) | our insurance companies; |
b) | our employee agents; |
c) | our brokerage firms; and |
d) | our administrators. |
a) | market our products; or |
b) | market our services; |
a) | independent agents; |
b) | brokerage firms; |
c) | insurance companies; |
d) | administrators; and |
e) | service providers; |
a) | taking surveys; |
b) | marketing our products or services; or |
c) | offering financial products or services under a joint agreement |
a) | cookies; |
b) | pixel tagging; or |
c) | other technologies; |
a) | “opt-out;” or |
b) | “opt-in;” |
a) | your authorization; or |
b) | as otherwise allowed or required by law. |
a) | underwriting policies; |
b) | paying claims; |
c) | developing new products; or |
d) | advising customers of our products and services. |
a) | the confidentiality; and |
b) | the integrity of; |
a) | secured files; |
b) | user authentication; |
c) | encryption; |
d) | firewall technology; and |
e) | the use of detection software. |
a) | identify information to be protected; |
b) | provide an adequate level of protection for that data; and |
c) | grant access to protected data only to those people who must use |
a) | credit history; |
b) | income; |
c) | financial benefits; or |
d) | policy or claim information. |
a) | your medical records; or |
b) | information about your illness, disability or injury. |
a) | Personal Financial Information; and |
b) | Personal Health Information. |
a) | your Application; |
b) | your request for us to pay a claim; and |
c) | your request for us to take an action on your account. |
a) | asking about; |
b) | applying for; or |
c) | obtaining; |
(b) | Not applicable. |
Item 2. Code of Ethics.
The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. A copy of the code of ethics is filed herewith.
Item 3. Audit Committee Financial Expert.
The Board of Trustees of the registrant (the “Board”) has designated David Sung as an Audit Committee Financial Expert. Mr. Sung is considered by the Board to be an independent trustee.
Item 4. Principal Accountant Fees and Services.
(a) | Audit Fees: The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years were: |
$99,840 for the fiscal year ended September 30, 2021; $80,000 for the fiscal year ended September 30, 2020.
(b) | Audit Related Fees: The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were: |
$0 for the fiscal year ended September 30, 2021; $0 for the fiscal year ended September 30, 2020.
(c) | Tax Fees: The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning were: |
$94,960 for the fiscal year ended September 30, 2021; $88,562 for the fiscal year ended September 30, 2020. Tax-related services are principally in connection with, but not limited to, general tax compliance services, and excise tax review.
(d) | All Other Fees: The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item were: |
$464 for the fiscal year ended September 30, 2021; $0 for the fiscal year ended September 30, 2020.
(e) | Pre-Approval Policies and Procedures |
(1) The Pre-Approval Policies and Procedures (the “Policy”) adopted by the Audit Committee of the Registrant (also, the “Fund”) sets forth the procedures pursuant to which services performed by the independent registered public accounting firm for the Registrant may be pre-approved. The following summarizes the pre-approval requirements under the Policy.
a. | The Audit Committee must pre-approve all audit services and non-audit services that the independent registered public accounting firm provides to the Fund. |
b. | The Audit Committee must pre-approve any engagement of the independent registered public accounting firm to provide non-audit services to any Service Affiliate (which is defined to include any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Fund) during the period of the independent registered public accounting firm’s engagement to provide audit services to the Fund, if the non-audit services to the Service Affiliate directly impact the Fund’s operations and financial reporting. |
c. | The Audit Committee, from time to time, may designate one or more of its members who are Independent Trustees (each a “Designated Member”) to consider, on the Audit Committee’s behalf, any non-audit services, whether to the Fund or to any Service Affiliate, that have not been pre-approved by the Audit Committee. The Designated Member also shall review, on the Audit Committee’s behalf, any proposed material change in the nature or extent of any non-audit services previously approved. In considering any requested non-audit services or proposed material change in such services, the Designated Member shall not authorize services which would exceed $50,000 in fees for such services. |
d. | The independent registered public accounting firm may not provide specified prohibited non-audit services set forth in the Policy to the Fund, the Fund’s investment adviser, the Service Affiliates or any other member of the investment company complex. |
(2) One hundred percent of the services described in items 4(b) through 4(d) were approved in accordance with the Audit Committee’s Pre-Approval Policy. As a result, none of such services was approved pursuant to paragraph (c) (7) (i) (c) of Rule 2-01 of Regulation S-X.
(f) | None of the hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the year ended September 30, 2021, were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees. |
(g) | The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant were: |
Non-Audit fees: $95,424 for the fiscal year ended September 30, 2021; $88,562 for the fiscal year ended September 30, 2020.
(h) | The registrant’s audit committee of the board of trustees has considered whether the provision of non-audit services that were rendered to the Registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. |
Item 5. Audit Committee of Listed Registrants.
(a) | The Registrant has an audit committee that was established by the Board of Trustees of the Registrant in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended. The members of the Registrant’s Audit Committee are Hilary E. Ackermann, Lynn S. Birdsong, Derrick D. Cephas, Paul L. Rosenberg and David Sung. |
(b) | Not applicable. |
Item 6. Investments.
(a) | The Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the annual report filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, 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, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are generally effective to provide reasonable assurance, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(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 (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 13. Exhibits.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
LATTICE STRATEGIES TRUST | ||||||
Date: December 2, 2021 | By: | /s/ James E. Davey | ||||
James E. Davey | ||||||
President and | ||||||
Chief Executive Officer |
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.
Date: December 2, 2021 | By: | /s/ James E. Davey | ||||
James E. Davey | ||||||
President and | ||||||
Chief Executive Officer | ||||||
Date: December 2, 2021 | By: | /s/ David A. Naab | ||||
David A. Naab | ||||||
Treasurer | ||||||
(Principal Financial Officer and Principal Accounting Officer) |