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, 2022
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.
a. |
■ 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 does not guarantee future results. |
2 | The Consumer Price Index is defined by the Bureau of Labor Statistics as a measure of the average change over time in the prices paid by urban consumers for a market basket of consumer goods and services. |
September 30, 2022 (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. |
Average Annual Total Returns | ||
for the Periods Ended 09/30/2022 | ||
1 Year | Since Inception1 | |
Hartford Longevity Economy ETF (NAV Return) | -17.63% | -8.66% |
Hartford Longevity Economy ETF (Market Price Return) | -17.69% | -8.66% |
Hartford Longevity Economy Index | -17.32% | -8.28% |
Russell 3000 Index (Gross) | -17.63% | -7.44% |
1 | Inception: 03/16/2021 |
2 |
September 30, 2022 (Unaudited)
Composition by Sector(1) | |
as of 09/30/2022 | |
Sector | Percentage of Net Assets |
Equity Securities | |
Communication Services | 10.3% |
Consumer Discretionary | 14.8 |
Consumer Staples | 6.1 |
Financials | 13.0 |
Health Care | 23.8 |
Industrials | 2.7 |
Information Technology | 26.6 |
Real Estate | 1.3 |
Utilities | 1.3 |
Total | 99.9% |
Short-Term Investments | 0.3 |
Other Assets & Liabilities | (0.2) |
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, 2022 (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 Ended 09/30/2022 | |||
1 Year | 5 Years | Since Inception1 | |
Multifactor Developed Markets (ex-US) ETF (NAV Return) | -23.89% | -1.90% | 1.27% |
Multifactor Developed Markets (ex-US) ETF (Market Price Return) | -23.89% | -2.10% | 1.20% |
Hartford Risk-Optimized Multifactor Developed Markets (ex-US) Index | -23.70% | -1.78% | 1.43% |
MSCI World ex USA Index (Net) | -23.91% | -0.39% | 1.30% |
1 | Inception: 02/25/2015 |
4 |
September 30, 2022 (Unaudited)
Composition by Sector(1) | |
as of 09/30/2022 | |
Sector | Percentage of Net Assets |
Equity Securities | |
Communication Services | 5.8% |
Consumer Discretionary | 8.7 |
Consumer Staples | 11.6 |
Energy | 4.0 |
Financials | 17.0 |
Health Care | 13.8 |
Industrials | 15.0 |
Information Technology | 6.3 |
Materials | 6.1 |
Real Estate | 4.7 |
Utilities | 5.6 |
Total | 98.6% |
Short-Term Investments | 3.3 |
Other Assets & Liabilities | (1.9) |
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, 2022 (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 Ended 09/30/2022 | |||
1 Year | 5 Years | Since Inception1 | |
Multifactor Diversified International ETF (NAV Return) | -20.34% | -0.80% | 0.48% |
Multifactor Diversified International ETF (Market Price Return) | -20.90% | -1.21% | 0.31% |
Hartford Multifactor Diversified International Index | -20.21% | — | -3.08% 2 |
MSCI All Country World (ACWI) ex USA Index (Net) | -25.17% | -0.81% | 0.69% |
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, 2022 (Unaudited)
Composition by Sector(1) | |
as of 09/30/2022 | |
Sector | Percentage of Net Assets |
Equity Securities | |
Communication Services | 7.7% |
Consumer Discretionary | 9.2 |
Consumer Staples | 10.3 |
Energy | 5.1 |
Financials | 17.6 |
Health Care | 11.9 |
Industrials | 10.8 |
Information Technology | 12.4 |
Materials | 6.6 |
Real Estate | 3.8 |
Utilities | 3.8 |
Total | 99.2% |
Short-Term Investments | 0.5 |
Other Assets & Liabilities | 0.3 |
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, 2022 (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 Ended 09/30/2022 | |||
1 Year | 5 Years | Since Inception1 | |
Multifactor Emerging Markets ETF (NAV Return) | -22.68% | -2.54% | -1.40% |
Multifactor Emerging Markets ETF (Market Price Return) | -22.85% | -2.90% | -1.53% |
Hartford Multifactor Emerging Markets Equity Index | -22.03% | — | -3.71% 2 |
MSCI Emerging Markets Index (Net) | -28.11% | -1.81% | 0.79% |
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, 2022 (Unaudited)
Composition by Sector(1) | |
as of 09/30/2022 | |
Sector | Percentage of Net Assets |
Equity Securities | |
Communication Services | 10.9% |
Consumer Discretionary | 12.4 |
Consumer Staples | 7.4 |
Energy | 7.2 |
Financials | 18.8 |
Health Care | 5.9 |
Industrials | 5.1 |
Information Technology | 19.4 |
Materials | 6.2 |
Real Estate | 1.9 |
Utilities | 4.0 |
Total | 99.2% |
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. |
9 |
September 30, 2022 (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 Ended 09/30/2022 | |||
1 Year | 5 Years | Since Inception1 | |
Multifactor Small Cap ETF (NAV Return) | -13.38% | 3.80% | 5.90% |
Multifactor Small Cap ETF (Market Price Return) | -13.24% | 3.73% | 5.91% |
Hartford Multifactor Small Cap Index | -13.12% | — | 6.79% 2 |
Russell 2000 Index (Gross) | -23.50% | 3.55% | 5.12% |
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, 2022 (Unaudited)
Composition by Sector(1) | |
as of 09/30/2022 | |
Sector | Percentage of Net Assets |
Equity Securities | |
Communication Services | 3.7% |
Consumer Discretionary | 14.5 |
Consumer Staples | 6.1 |
Energy | 2.8 |
Financials | 15.5 |
Health Care | 18.3 |
Industrials | 16.7 |
Information Technology | 11.5 |
Materials | 5.2 |
Real Estate | 4.9 |
Utilities | 0.5 |
Total | 99.7% |
Short-Term Investments | 1.0 |
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. |
11 |
September 30, 2022 (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 Ended 09/30/2022 | |||
1 Year | 5 Years | Since Inception1 | |
Multifactor US Equity ETF (NAV Return) | -9.89% | 6.18% | 6.66% |
Multifactor US Equity ETF (Market Price Return) | -9.82% | 6.21% | 6.67% |
Hartford Multifactor Large Cap Index | -9.75% | — | 5.67% 2 |
Russell 1000 Index (Gross) | -17.22% | 9.00% | 8.98% |
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, 2022 (Unaudited)
Composition by Sector(1) | |
as of 09/30/2022 | |
Sector | Percentage of Net Assets |
Equity Securities | |
Communication Services | 6.5% |
Consumer Discretionary | 9.9 |
Consumer Staples | 8.3 |
Energy | 2.5 |
Financials | 10.4 |
Health Care | 17.0 |
Industrials | 10.6 |
Information Technology | 24.3 |
Materials | 3.9 |
Real Estate | 1.5 |
Utilities | 4.7 |
Total | 99.6% |
Short-Term Investments | 0.2 |
Other Assets & Liabilities | 0.2 |
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 capitalization-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 US 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 securities across developed markets (excluding the US) 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 securities across emerging market countries. |
MSCI 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 securities across developed markets countries (excluding the US). |
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 US companies based on total market capitalization. |
Russell 2000 Index (Gross) (reflects no deduction for fees, expenses or taxes) is an index comprised of 2,000 of the smallest US-domiciled company common stocks based on a combination of their market capitalization and current index membership. |
Russell 3000 Index (Gross) (reflects no deduction for fees, expenses or taxes) is designed to measure the performance of the 3,000 largest US companies based on total market capitalization. |
14 |
Actual Return | Hypothetical (5% return before expenses) | ||||||||||||
Beginning Account Value April 1, 2022 | Ending Account Value September 30, 2022 | Expenses Paid During the Period April 1, 2022 through September 30, 2022 | Beginning Account Value April 1, 2022 | Ending Account Value September 30, 2022 | Expenses Paid During the Period April 1, 2022 through September 30, 2022 | Annualized expense ratio | |||||||
Hartford Longevity Economy ETF | $ 1,000.00 | $ 816.30 | $ 2.00 | $ 1,000.00 | $ 1,022.86 | $ 2.23 | 0.44% | ||||||
Hartford Multifactor Developed Markets (ex-US) ETF | $ 1,000.00 | $ 766.00 | $ 1.28 | $ 1,000.00 | $ 1,023.61 | $ 1.47 | 0.29% | ||||||
Hartford Multifactor Diversified International ETF | $ 1,000.00 | $ 769.90 | $ 1.29 | $ 1,000.00 | $ 1,023.61 | $ 1.47 | 0.29% | ||||||
Hartford Multifactor Emerging Markets ETF | $ 1,000.00 | $ 788.50 | $ 1.97 | $ 1,000.00 | $ 1,022.86 | $ 2.23 | 0.44% | ||||||
Hartford Multifactor Small Cap ETF | $ 1,000.00 | $ 846.60 | $ 1.57 | $ 1,000.00 | $ 1,023.36 | $ 1.72 | 0.34% | ||||||
Hartford Multifactor US Equity ETF | $ 1,000.00 | $ 846.50 | $ 0.88 | $ 1,000.00 | $ 1,024.12 | $ 0.96 | 0.19% |
15 |
September 30, 2022
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.9% | |||
Automobiles & Components - 1.9% | |||
7,221 | Ford Motor Co. | $ 80,875 | |
1,120 | General Motors Co. | 35,941 | |
955 | Standard Motor Products, Inc. | 31,037 | |
1,906 | Thor Industries, Inc. | 133,382 | |
2,114 | Winnebago Industries, Inc. | 112,486 | |
393,721 | |||
Banks - 4.2% | |||
1,498 | Bank of America Corp. | 45,240 | |
595 | Banner Corp. | 35,153 | |
3,080 | Citigroup, Inc. | 128,344 | |
849 | Citizens Financial Group, Inc. | 29,172 | |
2,058 | Fifth Third Bancorp | 65,774 | |
977 | FNB Corp. | 11,333 | |
831 | Heritage Financial Corp. | 21,997 | |
533 | Huntington Bancshares, Inc. | 7,025 | |
993 | International Bancshares Corp. | 42,202 | |
548 | JP Morgan Chase & Co. | 57,266 | |
752 | KeyCorp. | 12,047 | |
95 | M&T Bank Corp. | 16,750 | |
477 | NBT Bancorp, Inc. | 18,102 | |
1,714 | Northwest Bancshares, Inc. | 23,156 | |
167 | PNC Financial Services Group, Inc. | 24,953 | |
2,634 | Regions Financial Corp. | 52,864 | |
865 | S&T Bancorp, Inc. | 25,353 | |
68 | SouthState Corp. | 5,380 | |
439 | Truist Financial Corp. | 19,114 | |
493 | Trustmark Corp. | 15,101 | |
1,356 | U.S. Bancorp | 54,674 | |
2,332 | Wells Fargo & Co. | 93,793 | |
1,162 | WesBanco, Inc. | 38,776 | |
843,569 | |||
Capital Goods - 2.2% | |||
149 | 3M Co. | 16,464 | |
334 | General Dynamics Corp. | 70,865 | |
84 | Huntington Ingalls Industries, Inc. | 18,606 | |
248 | L3Harris Technologies, Inc. | 51,542 | |
287 | Lockheed Martin Corp. | 110,865 | |
256 | Moog, Inc. Class A | 18,010 | |
260 | Northrop Grumman Corp. | 122,283 | |
488 | Raytheon Technologies Corp. | 39,948 | |
448,583 | |||
Consumer Durables & Apparel - 1.8% | |||
715 | D.R. Horton, Inc. | 48,155 | |
903 | La-Z-Boy, Inc. | 20,381 | |
527 | Lennar Corp. Class A | 39,288 | |
1,932 | Levi Strauss & Co. Class A | 27,956 | |
968 | Newell Brands, Inc. | 13,446 | |
752 | Oxford Industries, Inc. | 67,515 | |
408 | Ralph Lauren Corp. Class A | 34,651 | |
2,009 | Sturm Ruger & Co., Inc. | 102,037 | |
124 | Whirlpool Corp. | 16,716 | |
370,145 | |||
Consumer Services - 2.5% | |||
16 | Booking Holdings, Inc.* | 26,291 | |
137 | Boyd Gaming Corp. | 6,528 | |
317 | Choice Hotels International, Inc. | 34,718 | |
465 | Expedia Group, Inc.* | 43,566 | |
531 | Golden Entertainment, Inc.* | 18,527 | |
40 | Graham Holdings Co. Class B | 21,519 | |
1,328 | H&R Block, Inc. | 56,493 | |
134 | Hilton Worldwide Holdings, Inc. | 16,163 | |
315 | Marriott International, Inc. Class A | 44,144 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.9% - (continued) | |||
Consumer Services - 2.5% - (continued) | |||
170 | McDonald's Corp. | $ 39,226 | |
117 | Monarch Casino & Resort, Inc.* | 6,568 | |
6,909 | Perdoceo Education Corp.* | 71,163 | |
732 | Red Rock Resorts, Inc. Class A | 25,078 | |
531 | SeaWorld Entertainment, Inc.* | 24,166 | |
453 | Travel + Leisure Co. | 15,456 | |
446 | Yum! Brands, Inc. | 47,428 | |
497,034 | |||
Diversified Financials - 3.9% | |||
118 | Ameriprise Financial, Inc. | 29,730 | |
2,112 | Bank of New York Mellon Corp. | 81,354 | |
213 | Berkshire Hathaway, Inc. Class B* | 56,875 | |
744 | Capital One Financial Corp. | 68,574 | |
764 | Charles Schwab Corp. | 54,909 | |
256 | CME Group, Inc. | 45,345 | |
404 | Discover Financial Services | 36,732 | |
292 | Goldman Sachs Group, Inc. | 85,571 | |
232 | Intercontinental Exchange, Inc. | 20,961 | |
829 | Jackson Financial, Inc. | 23,005 | |
92 | LPL Financial Holdings, Inc. | 20,100 | |
453 | Morgan Stanley | 35,791 | |
279 | Nasdaq, Inc. | 15,814 | |
315 | Northern Trust Corp. | 26,951 | |
31 | Piper Sandler Cos. | 3,247 | |
297 | Raymond James Financial, Inc. | 29,350 | |
516 | State Street Corp. | 31,378 | |
519 | StoneX Group, Inc.* | 43,046 | |
1,648 | Synchrony Financial | 46,457 | |
976 | TPG, Inc. | 27,172 | |
782,362 | |||
Food & Staples Retailing - 3.1% | |||
422 | BJ's Wholesale Club Holdings, Inc.* | 30,726 | |
191 | Costco Wholesale Corp. | 90,204 | |
1,031 | Ingles Markets, Inc. Class A | 81,666 | |
2,410 | Kroger Co. | 105,437 | |
884 | PriceSmart, Inc. | 50,910 | |
842 | SpartanNash Co. | 24,435 | |
378 | Sysco Corp. | 26,728 | |
1,866 | Walgreens Boots Alliance, Inc. | 58,592 | |
1,015 | Walmart, Inc. | 131,645 | |
425 | Weis Markets, Inc. | 30,277 | |
630,620 | |||
Food, Beverage & Tobacco - 1.2% | |||
360 | General Mills, Inc. | 27,579 | |
155 | Hershey Co. | 34,173 | |
839 | Kellogg Co. | 58,445 | |
1,903 | Tyson Foods, Inc. Class A | 125,465 | |
245,662 | |||
Health Care Equipment & Services - 12.4% | |||
1,134 | Abbott Laboratories | 109,726 | |
598 | Allscripts Healthcare Solutions, Inc.* | 9,108 | |
1,071 | AmerisourceBergen Corp. Class A | 144,938 | |
357 | AMN Healthcare Services, Inc.* | 37,828 | |
773 | Baxter International, Inc. | 41,634 | |
290 | Becton Dickinson and Co. | 64,621 | |
49 | Boston Scientific Corp.* | 1,898 | |
688 | Cardinal Health, Inc. | 45,876 | |
712 | Centene Corp.* | 55,401 | |
716 | Change Healthcare, Inc.* | 19,683 | |
523 | Cigna Corp. | 145,117 | |
1,316 | Cross Country Healthcare, Inc.* | 37,335 | |
1,369 | CVS Health Corp. | 130,561 |
16 |
September 30, 2022
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.9% - (continued) | |||
Health Care Equipment & Services - 12.4% - (continued) | |||
287 | Edwards Lifesciences Corp.* | $ 23,715 | |
366 | Elevance Health, Inc. | 166,252 | |
194 | Encompass Health Corp. | 8,775 | |
262 | HCA Healthcare, Inc. | 48,153 | |
613 | Henry Schein, Inc.* | 40,317 | |
2,676 | Hologic, Inc.* | 172,655 | |
347 | Humana, Inc. | 168,361 | |
388 | Laboratory Corp. of America Holdings | 79,466 | |
367 | McKesson Corp. | 124,732 | |
915 | Medtronic plc | 73,886 | |
1,882 | Meridian Bioscience, Inc.* | 59,339 | |
226 | Molina Healthcare, Inc.* | 74,544 | |
200 | National HealthCare Corp. | 12,668 | |
1,450 | NextGen Healthcare, Inc.* | 25,665 | |
4,708 | Patterson Cos., Inc. | 113,086 | |
698 | Premier, Inc. Class A | 23,690 | |
1,523 | Quest Diagnostics, Inc. | 186,857 | |
557 | QuidelOrtho Corp.* | 39,814 | |
200 | ResMed, Inc. | 43,660 | |
220 | STERIS plc | 36,582 | |
110 | Stryker Corp. | 22,279 | |
226 | UnitedHealth Group, Inc. | 114,139 | |
197 | Zimmer Biomet Holdings, Inc. | 20,596 | |
2,522,957 | |||
Household & Personal Products - 1.8% | |||
522 | Church & Dwight Co., Inc. | 37,292 | |
124 | Clorox Co. | 15,920 | |
1,314 | Colgate-Palmolive Co. | 92,309 | |
834 | Kimberly-Clark Corp. | 93,859 | |
156 | Medifast, Inc. | 16,904 | |
1,209 | Nu Skin Enterprises, Inc. Class A | 40,344 | |
517 | Procter & Gamble Co. | 65,271 | |
361,899 | |||
Insurance - 4.9% | |||
629 | Aflac, Inc. | 35,350 | |
705 | Allstate Corp. | 87,794 | |
2,305 | American International Group, Inc. | 109,441 | |
503 | Arch Capital Group Ltd.* | 22,907 | |
1,336 | Axis Capital Holdings Ltd. | 65,664 | |
212 | Chubb Ltd. | 38,559 | |
683 | Cincinnati Financial Corp. | 61,176 | |
36 | Markel Corp.* | 39,032 | |
2,282 | MetLife, Inc. | 138,700 | |
1,599 | Old Republic International Corp. | 33,467 | |
872 | Principal Financial Group, Inc. | 62,915 | |
1,571 | Prudential Financial, Inc. | 134,760 | |
491 | Travelers Cos., Inc. | 75,221 | |
2,319 | Unum Group | 89,977 | |
994,963 | |||
Media & Entertainment - 8.3% | |||
885 | Activision Blizzard, Inc. | 65,791 | |
2,004 | Alphabet, Inc. Class A* | 191,683 | |
4,623 | Cargurus, Inc.* | 65,508 | |
9 | Charter Communications, Inc. Class A* | 2,730 | |
2,940 | Comcast Corp. Class A | 86,230 | |
281 | Electronic Arts, Inc. | 32,515 | |
936 | Fox Corp. Class A | 28,716 | |
536 | IAC, Inc.* | 29,684 | |
151 | John Wiley & Sons, Inc. Class A | 5,672 | |
990 | Liberty Media Corp-Liberty Braves* | 27,225 | |
227 | Live Nation Entertainment, Inc.* | 17,261 | |
1,914 | Match Group, Inc.* | 91,393 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.9% - (continued) | |||
Media & Entertainment - 8.3% - (continued) | |||
1,328 | Meta Platforms, Inc. Class A* | $ 180,183 | |
1,645 | Pinterest, Inc. Class A* | 38,328 | |
458 | Scholastic Corp. | 14,088 | |
12,227 | Sirius XM Holdings, Inc.(1) | 69,816 | |
1,250 | TEGNA, Inc. | 25,850 | |
558 | TripAdvisor, Inc.* | 12,321 | |
3,685 | Twitter, Inc.* | 161,550 | |
78 | Walt Disney Co.* | 7,358 | |
1,219 | Warner Bros Discovery, Inc.* | 14,019 | |
3,060 | World Wrestling Entertainment, Inc. Class A | 214,720 | |
4,355 | XPERI Holding Corp. | 61,580 | |
4,539 | Yelp, Inc.* | 153,917 | |
1,384 | Ziff Davis, Inc.* | 94,776 | |
1,692,914 | |||
Pharmaceuticals, Biotechnology & Life Sciences - 11.4% | |||
1,142 | AbbVie, Inc. | 153,268 | |
533 | Agilent Technologies, Inc. | 64,786 | |
569 | Amgen, Inc. | 128,253 | |
965 | Avantor, Inc.* | 18,914 | |
57 | Biogen, Inc.* | 15,219 | |
90 | Bio-Techne Corp. | 25,560 | |
3,175 | Bristol-Myers Squibb Co. | 225,711 | |
219 | Danaher Corp. | 56,566 | |
407 | Eli Lilly & Co. | 131,603 | |
608 | Exelixis, Inc.* | 9,533 | |
2,522 | Gilead Sciences, Inc. | 155,582 | |
294 | Innoviva, Inc.* | 3,413 | |
162 | IQVIA Holdings, Inc.* | 29,345 | |
975 | Johnson & Johnson | 159,276 | |
2,377 | Merck & Co., Inc. | 204,707 | |
38 | Mettler-Toledo International, Inc.* | 41,197 | |
209 | Moderna, Inc.* | 24,714 | |
4,861 | Organon & Co. | 113,747 | |
309 | PerkinElmer, Inc. | 37,182 | |
4,492 | Pfizer, Inc. | 196,570 | |
251 | Regeneron Pharmaceuticals, Inc.* | 172,906 | |
579 | Royalty Pharma plc Class A | 23,264 | |
149 | Thermo Fisher Scientific, Inc. | 75,571 | |
36 | United Therapeutics Corp.* | 7,538 | |
310 | Vertex Pharmaceuticals, Inc.* | 89,757 | |
400 | Waters Corp.* | 107,812 | |
119 | West Pharmaceutical Services, Inc. | 29,284 | |
147 | Zoetis, Inc. | 21,799 | |
2,323,077 | |||
Real Estate - 1.3% | |||
2,414 | Apple Hospitality, Inc. REIT | 33,941 | |
199 | LTC Properties, Inc. REIT | 7,452 | |
672 | PotlatchDeltic Corp. REIT | 27,579 | |
782 | Ventas, Inc. REIT | 31,413 | |
1,409 | VICI Properties, Inc. REIT | 42,059 | |
651 | Welltower, Inc. REIT | 41,872 | |
2,920 | Weyerhaeuser Co., REIT | 83,395 | |
267,711 | |||
Retailing - 9.3% | |||
501 | Academy Sports & Outdoors, Inc. | 21,132 | |
1,332 | Amazon.com, Inc.* | 150,516 | |
1,602 | Best Buy Co., Inc. | 101,471 | |
804 | Buckle, Inc. | 25,455 | |
3,277 | Caleres, Inc. | 79,369 | |
1,876 | Chewy, Inc. Class A* | 57,631 | |
2,437 | Designer Brands, Inc. | 37,310 | |
54 | Dick's Sporting Goods, Inc. | 5,651 |
17 |
September 30, 2022
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.9% - (continued) | |||
Retailing - 9.3% - (continued) | |||
217 | Dillard's, Inc. Class A | $ 59,189 | |
231 | Dollar General Corp. | 55,408 | |
424 | Dollar Tree, Inc.* | 57,706 | |
1,196 | DoorDash Inc.* | 59,142 | |
3,639 | eBay, Inc. | 133,952 | |
85 | Etsy, Inc.* | 8,511 | |
487 | Home Depot, Inc. | 134,383 | |
548 | Kohl's Corp. | 13,782 | |
885 | Lowe's Cos., Inc. | 166,212 | |
5,828 | Macy's, Inc. | 91,325 | |
6,435 | Overstock.com, Inc.* | 156,692 | |
36,989 | Qurate Retail, Inc. | 74,348 | |
6,290 | Revolve Group, Inc.* | 136,430 | |
2,723 | Shutterstock, Inc. | 136,613 | |
68 | Signet Jewelers Ltd. | 3,889 | |
115 | Target Corp. | 17,065 | |
188 | Tractor Supply Co. | 34,945 | |
123 | Ulta Beauty, Inc.* | 49,346 | |
257 | Wayfair, Inc. Class A* | 8,365 | |
154 | Williams-Sonoma, Inc. | 18,149 | |
1,893,987 | |||
Semiconductors & Semiconductor Equipment - 5.4% | |||
1,448 | Alpha & Omega Semiconductor Ltd.* | 44,541 | |
231 | Analog Devices, Inc. | 32,188 | |
247 | Broadcom, Inc. | 109,670 | |
558 | Cirrus Logic, Inc.* | 38,390 | |
6,875 | Intel Corp. | 177,169 | |
684 | Microchip Technology, Inc. | 41,745 | |
2,709 | Micron Technology, Inc. | 135,721 | |
101 | Monolithic Power Systems, Inc. | 36,703 | |
329 | NXP Semiconductors N.V. | 48,531 | |
1,339 | ON Semiconductor Corp.* | 83,460 | |
1,032 | QUALCOMM, Inc. | 116,595 | |
907 | Skyworks Solutions, Inc. | 77,340 | |
645 | SMART Global Holdings, Inc.* | 10,236 | |
854 | Texas Instruments, Inc. | 132,182 | |
1,084,471 | |||
Software & Services - 12.5% | |||
12,199 | A10 Networks, Inc. | 161,881 | |
195 | ACI Worldwide, Inc.* | 4,076 | |
114 | Adobe, Inc.* | 31,373 | |
31 | ANSYS, Inc.* | 6,873 | |
26 | Autodesk, Inc.* | 4,857 | |
207 | Automatic Data Processing, Inc. | 46,821 | |
1,667 | Box, Inc. Class A* | 40,658 | |
310 | Broadridge Financial Solutions, Inc. | 44,739 | |
799 | Cadence Design Systems, Inc.* | 130,581 | |
1,053 | CommVault Systems, Inc.* | 55,851 | |
7,169 | Conduent, Inc.* | 23,945 | |
723 | Consensus Cloud Solutions, Inc.* | 34,198 | |
96 | Crowdstrike Holdings, Inc.* | 15,822 | |
1,659 | CSG Systems International, Inc. | 87,728 | |
1,354 | Dolby Laboratories, Inc. Class A | 88,213 | |
2,233 | Dropbox, Inc. Class A* | 46,268 | |
19 | ExlService Holdings, Inc.* | 2,800 | |
11 | Fair Isaac Corp.* | 4,532 | |
2,339 | Fortinet, Inc.* | 114,915 | |
2,026 | InterDigital, Inc. | 81,891 | |
100 | Intuit, Inc. | 38,732 | |
671 | Jack Henry & Associates, Inc. | 122,303 | |
33 | Mastercard, Inc. Class A | 9,383 | |
181 | MAXIMUS, Inc. | 10,475 | |
596 | Microsoft Corp. | 138,808 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.9% - (continued) | |||
Software & Services - 12.5% - (continued) | |||
4,194 | Nortonlifelock, Inc. | $ 84,467 | |
2,033 | Oracle Corp. | 124,155 | |
519 | Palo Alto Networks, Inc.* | 85,007 | |
825 | Paychex, Inc. | 92,573 | |
3,322 | Progress Software Corp. | 141,351 | |
355 | Qualys, Inc.* | 49,483 | |
211 | Roper Technologies, Inc. | 75,884 | |
107 | ServiceNow, Inc.* | 40,404 | |
49 | SPS Commerce, Inc.* | 6,087 | |
367 | Synopsys, Inc.* | 112,122 | |
2,424 | Teradata Corp.* | 75,289 | |
366 | Verint Systems, Inc.* | 12,290 | |
120 | Visa, Inc. Class A | 21,318 | |
1,208 | VMware, Inc. Class A | 128,604 | |
8,613 | Western Union Co. | 116,276 | |
395 | Zoom Video Communications, Inc. Class A* | 29,068 | |
2,542,101 | |||
Technology Hardware & Equipment - 8.7% | |||
1,154 | Apple, Inc. | 159,483 | |
143 | Arrow Electronics, Inc.* | 13,183 | |
2,998 | Avid Technology, Inc.* | 69,733 | |
2,972 | Avnet, Inc. | 107,349 | |
72 | CDW Corp. | 11,238 | |
4,943 | Dell Technologies, Inc. Class C | 168,902 | |
1,308 | ePlus, Inc.* | 54,334 | |
13,831 | Hewlett Packard Enterprise Co. | 165,695 | |
6,607 | HP, Inc. | 164,646 | |
315 | Jabil, Inc. | 18,179 | |
2,540 | NetApp, Inc. | 157,099 | |
4,250 | Pure Storage, Inc. Class A* | 116,323 | |
658 | Sanmina Corp.* | 30,321 | |
1,072 | ScanSource, Inc.* | 28,312 | |
2,805 | Seagate Technology Holdings plc | 149,310 | |
2,684 | Super Micro Computer, Inc.* | 147,808 | |
96 | TE Connectivity Ltd. | 10,595 | |
4,404 | Western Digital Corp.* | 143,350 | |
3,005 | Xerox Holdings Corp. | 39,305 | |
1,755,165 | |||
Telecommunication Services - 1.3% | |||
8,156 | AT&T, Inc. | 125,113 | |
1,677 | Lumen Technologies, Inc. | 12,209 | |
911 | Telephone & Data Systems, Inc. | 12,663 | |
2,853 | Verizon Communications, Inc. | 108,328 | |
258,313 | |||
Transportation - 0.5% | |||
753 | Ryder System, Inc. | 56,844 | |
2,571 | Schneider National, Inc. Class B | 52,191 | |
109,035 | |||
Utilities - 1.3% | |||
252 | American Electric Power Co., Inc. | 21,785 | |
243 | CenterPoint Energy, Inc. | 6,848 | |
162 | Consolidated Edison, Inc. | 13,893 | |
79 | Duke Energy Corp. | 7,349 | |
410 | Edison International | 23,198 | |
167 | Entergy Corp. | 16,805 | |
227 | Evergy, Inc. | 13,484 | |
1,556 | Exelon Corp. | 58,288 |
18 |
September 30, 2022
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.9% - (continued) | |||
Utilities - 1.3% - (continued) | |||
282 | FirstEnergy Corp. | $ 10,434 | |
2,590 | NRG Energy, Inc. | 99,119 | |
271,203 | |||
Total Common Stocks (cost $23,577,998) | $ 20,289,492 | ||
SHORT-TERM INVESTMENTS - 0.3% | |||
Securities Lending Collateral - 0.3% | |||
10,655 | Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 2.91%(2) | $ 10,655 | |
35,515 | HSBC US Government Money Market Fund, 2.91%(2) | 35,515 | |
10,655 | Invesco Government & Agency Portfolio, Institutional Class, 2.95%(2) | 10,655 | |
10,655 | Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 2.81%(2) | 10,655 | |
Total Short-Term Investments (cost $67,480) | $ 67,480 | ||
Total Investments (cost $23,645,478) | 100.2% | $ 20,356,972 | |
Other Assets and Liabilities | (0.2)% | (49,950) | |
Total Net Assets | 100.0% | $ 20,307,022 |
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. |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Automobiles & Components | $ 393,721 | $ 393,721 | $ — | $ — | ||||
Banks | 843,569 | 843,569 | — | — | ||||
Capital Goods | 448,583 | 448,583 | — | — | ||||
Consumer Durables & Apparel | 370,145 | 370,145 | — | — | ||||
Consumer Services | 497,034 | 497,034 | — | — | ||||
Diversified Financials | 782,362 | 782,362 | — | — | ||||
Food & Staples Retailing | 630,620 | 630,620 | — | — | ||||
Food, Beverage & Tobacco | 245,662 | 245,662 | — | — | ||||
Health Care Equipment & Services | 2,522,957 | 2,522,957 | — | — | ||||
Household & Personal Products | 361,899 | 361,899 | — | — | ||||
Insurance | 994,963 | 994,963 | — | — | ||||
Media & Entertainment | 1,692,914 | 1,692,914 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 2,323,077 | 2,323,077 | — | — | ||||
Real Estate | 267,711 | 267,711 | — | — | ||||
Retailing | 1,893,987 | 1,893,987 | — | — | ||||
Semiconductors & Semiconductor Equipment | 1,084,471 | 1,084,471 | — | — | ||||
Software & Services | 2,542,101 | 2,542,101 | — | — | ||||
Technology Hardware & Equipment | 1,755,165 | 1,755,165 | — | — | ||||
Telecommunication Services | 258,313 | 258,313 | — | — | ||||
Transportation | 109,035 | 109,035 | — | — | ||||
Utilities | 271,203 | 271,203 | — | — | ||||
Short-Term Investments | 67,480 | 67,480 | — | — | ||||
Total | $ 20,356,972 | $ 20,356,972 | $ — | $ — |
(1) | For the year ended September 30, 2022, there were no transfers in and out of Level 3. |
19 |
September 30, 2022
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 98.5% | |||
Australia - 9.7% | |||
1,290,361 | AGL Energy Ltd. | $ 5,674,721 | |
179,943 | Ampol Ltd. | 3,326,212 | |
169,000 | Ansell Ltd. | 2,737,109 | |
8,795 | ASX Ltd. | 405,784 | |
1,643,249 | Aurizon Holdings Ltd. | 3,645,018 | |
253,769 | Australia & New Zealand Banking Group Ltd. | 3,720,065 | |
602,748 | Bendigo & Adelaide Bank Ltd. | 3,018,912 | |
196,118 | BHP Group Ltd. | 4,857,143 | |
432,969 | BlueScope Steel Ltd. | 4,228,553 | |
296,642 | Brambles Ltd. | 2,176,183 | |
4,721 | Cochlear Ltd. | 590,500 | |
780,443 | Coles Group Ltd. | 8,244,341 | |
226,475 | Computershare Ltd. | 3,605,355 | |
15,432 | CSL Ltd. | 2,827,969 | |
1,053,727 | Dexus REIT | 5,230,252 | |
899,711 | Endeavour Group Ltd. | 4,049,284 | |
744,192 | Fortescue Metals Group Ltd. | 8,048,003 | |
1,647,683 | GPT Group REIT | 4,057,417 | |
971,821 | Harvey Norman Holdings Ltd.(1) | 2,524,322 | |
747,904 | Incitec Pivot Ltd. | 1,687,836 | |
192,373 | JB Hi-Fi Ltd.(1) | 4,695,129 | |
685,088 | Medibank Pvt Ltd. | 1,528,456 | |
1,073,534 | Metcash Ltd. | 2,671,185 | |
29,215 | Mineral Resources Ltd. | 1,235,034 | |
2,090,773 | Mirvac Group REIT | 2,614,590 | |
72,757 | Premier Investments Ltd. | 1,054,869 | |
63,893 | Ramsay Health Care Ltd. | 2,353,062 | |
367,649 | Sonic Healthcare Ltd. | 7,228,498 | |
778,970 | South32 Ltd. | 1,818,045 | |
1,100,860 | Stockland REIT | 2,314,499 | |
2,263,150 | Telstra Corp. Ltd. | 5,602,105 | |
853,374 | Viva Energy Group Ltd.(2) | 1,432,046 | |
164,748 | Wesfarmers Ltd. | 4,525,104 | |
26,529 | Woodside Energy Group Ltd. | 540,019 | |
296,291 | Woolworths Group Ltd. | 6,467,485 | |
120,735,105 | |||
Austria - 0.2% | |||
48,003 | Andritz AG | 2,052,220 | |
8,518 | Vienna Insurance Group AG Wiener Versicherung Gruppe | 174,403 | |
2,226,623 | |||
Belgium - 1.0% | |||
8,459 | Ackermans & van Haaren N.V. | 1,078,120 | |
43,035 | Ageas S.A. | 1,578,441 | |
5,832 | Cofinimmo S.A. REIT | 484,489 | |
124,598 | Etablissements Franz Colruyt N.V. | 2,746,404 | |
327,073 | Proximus S.A. | 3,394,818 | |
44,948 | UCB S.A. | 3,131,648 | |
2,075 | VGP N.V. | 199,009 | |
12,612,929 | |||
Canada - 10.4% | |||
114,662 | Alimentation Couche-Tard, Inc. | 4,640,554 | |
43,880 | Atco Ltd. Class I | 1,355,632 | |
404,195 | B2Gold Corp. | 1,306,085 | |
71,194 | Bank of Montreal | 6,273,031 | |
54,222 | Bank of Nova Scotia(1) | 2,592,617 | |
97,975 | BCE, Inc.(1) | 4,129,917 | |
97,440 | Canadian Apartment Properties REIT | 2,985,498 | |
25,266 | Canadian Imperial Bank of Commerce | 1,111,737 | |
25,793 | Canadian Tire Corp. Ltd. Class A | 2,760,351 | |
26,321 | CGI, Inc.* | 1,992,010 | |
117,529 | Choice Properties Real Estate Investment Trust | 1,076,882 | |
997 | Constellation Software, Inc. | 1,394,654 | |
32,506 | Dollarama, Inc. | 1,876,006 | |
64,551 | Emera, Inc. | 2,625,636 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 98.5% - (continued) | |||
Canada - 10.4% - (continued) | |||
120,020 | Empire Co., Ltd. Class A | $ 3,001,264 | |
52,417 | Enbridge, Inc. | 1,953,931 | |
13,903 | Fairfax Financial Holdings Ltd. | 6,383,511 | |
40,298 | Finning International, Inc. | 712,081 | |
54,264 | Fortis, Inc. | 2,072,541 | |
46,925 | George Weston Ltd. | 4,939,240 | |
37,021 | Granite Real Estate Investment Trust | 1,796,288 | |
285,335 | Great-West Lifeco, Inc. | 6,192,416 | |
160,180 | Hydro One Ltd.(2) | 3,937,907 | |
52,388 | iA Financial Corp., Inc. | 2,676,114 | |
25,872 | IGM Financial, Inc. | 648,095 | |
15,126 | Intact Financial Corp. | 2,152,019 | |
111,867 | Loblaw Cos., Ltd. | 8,905,071 | |
216,671 | Manulife Financial Corp. | 3,418,673 | |
128,314 | Metro, Inc. | 6,459,357 | |
7,138 | Nutrien Ltd. | 598,448 | |
43,886 | Open Text Corp. | 1,166,099 | |
284,070 | Power Corp. of Canada | 6,435,791 | |
145,168 | Quebecor, Inc. Class B | 2,690,898 | |
28,179 | Rogers Communications, Inc. Class B | 1,091,230 | |
45,685 | Royal Bank of Canada | 4,135,107 | |
25,178 | Saputo, Inc. | 603,407 | |
59,757 | Stantec, Inc. | 2,634,605 | |
62,650 | Sun Life Financial, Inc. | 2,504,541 | |
94,212 | TELUS Corp. | 1,880,743 | |
13,103 | Thomson Reuters Corp. | 1,352,211 | |
26,126 | TMX Group Ltd. | 2,415,902 | |
38,938 | Toromont Industries Ltd. | 2,724,994 | |
58,589 | Toronto-Dominion Bank | 3,612,430 | |
37,243 | Tourmaline Oil Corp. | 1,945,835 | |
36,497 | West Fraser Timber Co., Ltd. | 2,654,303 | |
129,815,662 | |||
China - 0.5% | |||
8,415,200 | Yangzijiang Shipbuilding Holdings Ltd. | 6,040,599 | |
Denmark - 2.0% | |||
3,842 | AP Moller - Maersk A/S Class B | 7,018,450 | |
1,170 | Carlsberg A/S Class B | 137,781 | |
39,995 | Coloplast A/S Class B | 4,088,080 | |
93,666 | Novo Nordisk A/S Class B | 9,396,342 | |
20,780 | Novozymes A/S Class B | 1,049,144 | |
7,862 | SimCorp A/S | 445,312 | |
16,674 | Topdanmark A/S | 780,766 | |
101,355 | Tryg A/S | 2,095,232 | |
25,011,107 | |||
Finland - 1.4% | |||
33,801 | Elisa Oyj | 1,534,794 | |
117,233 | Kesko Oyj Class B | 2,198,751 | |
105,043 | Kojamo Oyj | 1,350,118 | |
88,043 | Kone Oyj Class B | 3,416,414 | |
99,221 | Metsa Board Oyj Class B | 726,097 | |
90,817 | Nordea Bank Abp | 782,921 | |
96,542 | Orion Oyj Class B | 4,074,392 | |
43,663 | Sampo Oyj Class A | 1,871,810 | |
78,375 | TietoEVRY Oyj(1) | 1,785,904 | |
17,741,201 | |||
France - 6.5% | |||
9,337 | Air Liquide S.A. | 1,075,320 | |
18,203 | Amundi S.A.(2) | 766,087 | |
17,389 | Arkema S.A. | 1,278,998 | |
115,509 | AXA S.A. | 2,543,234 | |
37,236 | BioMerieux | 2,969,329 | |
46,169 | BNP Paribas S.A. | 1,972,230 | |
331,475 | Bouygues S.A. | 8,718,984 | |
1,431 | Capgemini SE | 232,011 | |
526,442 | Carrefour S.A.(1) | 7,331,084 |
20 |
September 30, 2022
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 98.5% - (continued) | |||
France - 6.5% - (continued) | |||
39,678 | Cie de Saint-Gobain | $ 1,440,154 | |
199,661 | Cie Generale des Etablissements Michelin SCA | 4,529,068 | |
90,913 | Danone S.A. | 4,325,785 | |
22,733 | Dassault Aviation S.A. | 2,605,634 | |
44,037 | Eiffage S.A. | 3,559,982 | |
102,929 | Electricite de France S.A. | 1,198,921 | |
391,974 | Engie S.A. | 4,547,295 | |
25,383 | Eurazeo SE | 1,339,058 | |
23,484 | Gaztransport Et Technigaz S.A. | 2,606,591 | |
33,882 | Ipsen S.A. | 3,149,968 | |
4,604 | L'Oreal S.A. | 1,489,529 | |
611,270 | Orange S.A. | 5,537,984 | |
121,495 | Sanofi | 9,331,367 | |
33,744 | SEB S.A. | 2,138,807 | |
4,363 | Somfy S.A. | 406,478 | |
83,238 | TotalEnergies SE(1) | 3,936,541 | |
35,834 | Verallia S.A.(2) | 811,622 | |
120,846 | Vivendi S.A. | 943,779 | |
80,785,840 | |||
Germany - 3.6% | |||
8,047 | Allianz SE | 1,275,508 | |
33,789 | Aurubis AG | 1,786,813 | |
98,649 | Bayer AG | 4,582,255 | |
19,312 | Bayerische Motoren Werke AG | 1,324,141 | |
29,959 | Brenntag SE | 1,830,811 | |
58,245 | Covestro AG(2) | 1,685,544 | |
79,136 | Deutsche Post AG | 2,412,208 | |
391,394 | E.ON SE | 3,027,556 | |
187,125 | Fresenius Medical Care AG & Co. KGaA | 5,321,691 | |
108,921 | Fresenius SE & Co. KGaA | 2,342,162 | |
97,294 | K&S AG | 1,849,092 | |
29,517 | LEG Immobilien SE | 1,774,305 | |
57,257 | Merck KGaA | 9,356,113 | |
11,998 | Rheinmetall AG | 1,859,457 | |
3,785 | SAP SE | 311,915 | |
39,016 | Siemens Healthineers AG(2) | 1,692,471 | |
1,210,105 | Telefonica Deutschland Holding AG | 2,457,498 | |
18,894 | Vonovia SE | 411,096 | |
45,300,636 | |||
Hong Kong - 4.3% | |||
530,600 | Bank of East Asia Ltd. | 581,302 | |
1,937,000 | BOC Hong Kong Holdings Ltd. | 6,452,636 | |
1,299,320 | Chow Tai Fook Jewellery Group Ltd. | 2,446,394 | |
640,500 | CK Asset Holdings Ltd. | 3,851,208 | |
709,500 | CK Hutchison Holdings Ltd. | 3,922,636 | |
350,980 | CLP Holdings Ltd. | 2,653,622 | |
235,110 | Hang Seng Bank Ltd. | 3,570,123 | |
784,000 | Henderson Land Development Co., Ltd. | 2,197,225 | |
1,050,609 | HK Electric Investments & HK Electric Investments Ltd. | 736,105 | |
1,796,000 | HKT Trust & HKT Ltd. | 2,104,893 | |
40,326 | Jardine Matheson Holdings Ltd. | 2,042,109 | |
252,000 | Kerry Logistics Network Ltd. | 405,131 | |
437,000 | Kerry Properties Ltd. | 829,476 | |
266,600 | Link REIT | 1,864,526 | |
512,000 | NWS Holdings Ltd. | 463,089 | |
2,367,770 | PCCW Ltd. | 1,070,789 | |
246,000 | Power Assets Holdings Ltd. | 1,234,716 | |
1,120,000 | Sino Land Co., Ltd. | 1,480,987 | |
1,592,000 | SITC International Holdings Co., Ltd. | 2,944,731 | |
513,500 | Sun Hung Kai Properties Ltd. | 5,681,279 | |
343,600 | Swire Properties Ltd. | 739,734 | |
6,156,792 | WH Group Ltd.(2) | 3,882,358 | |
2,063,000 | Xinyi Glass Holdings Ltd. | 3,001,243 | |
54,156,312 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 98.5% - (continued) | |||
Ireland - 0.4% | |||
43,526 | DCC plc | $ 2,278,294 | |
32,256 | Glanbia plc | 372,243 | |
7,320 | Kerry Group plc Class A | 653,998 | |
49,703 | Smurfit Kappa Group plc | 1,428,123 | |
4,732,658 | |||
Israel - 2.5% | |||
498,620 | Bank Hapoalim BM | 4,240,383 | |
635,941 | Bank Leumi Le-Israel BM | 5,474,344 | |
1,408,763 | Bezeq The Israeli Telecommunication Corp. Ltd. | 2,313,317 | |
10,319 | Check Point Software Technologies Ltd.* | 1,155,934 | |
3,373 | Elbit Systems Ltd. | 641,971 | |
41,223 | First International Bank of Israel Ltd. | 1,680,419 | |
436,773 | ICL Group Ltd. | 3,536,375 | |
92,958 | Mizrahi Tefahot Bank Ltd. | 3,279,749 | |
22,360 | Strauss Group Ltd. | 532,873 | |
58,284 | Tower Semiconductor Ltd.* | 2,552,859 | |
217,458 | ZIM Integrated Shipping Services Ltd.(1) | 5,110,263 | |
30,518,487 | |||
Italy - 2.7% | |||
2,317,565 | A2A S.p.A. | 2,269,948 | |
253,466 | Assicurazioni Generali S.p.A. | 3,481,277 | |
128,152 | Brembo S.p.A. | 1,066,497 | |
49,194 | De' Longhi S.p.A. | 726,267 | |
6,476 | DiaSorin S.p.A. | 728,315 | |
523,990 | Eni S.p.A. | 5,600,394 | |
732,734 | Hera S.p.A. | 1,569,160 | |
493,906 | Italgas S.p.A. | 2,310,891 | |
374,805 | Pirelli & C. S.p.A.(2) | 1,233,717 | |
117,802 | Prysmian S.p.A. | 3,418,287 | |
79,407 | Recordati Industria Chimica e Farmaceutica S.p.A. | 2,931,944 | |
290,452 | Snam S.p.A. | 1,179,708 | |
399,212 | Terna - Rete Elettrica Nazionale | 2,444,300 | |
1,039,917 | Unipol Gruppo S.p.A. | 4,068,905 | |
33,029,610 | |||
Japan - 19.0% | |||
51,505 | ABC-Mart, Inc. | 2,216,838 | |
55,000 | AGC, Inc. | 1,706,104 | |
132,700 | Air Water, Inc. | 1,565,868 | |
98,600 | Aisin Corp. | 2,527,244 | |
42,900 | Ajinomoto Co., Inc. | 1,174,271 | |
151,982 | Alfresa Holdings Corp. | 1,774,497 | |
34,600 | Amada Co., Ltd. | 234,499 | |
74,088 | Aozora Bank Ltd. | 1,321,602 | |
367,865 | Astellas Pharma, Inc. | 4,871,997 | |
41,400 | Azbil Corp. | 1,078,296 | |
9,900 | BIPROGY, Inc. | 214,764 | |
135,393 | Bridgestone Corp. | 4,367,335 | |
183,100 | Brother Industries Ltd. | 3,151,073 | |
55,097 | Canon Marketing Japan, Inc. | 1,218,076 | |
360,803 | Canon, Inc. | 7,906,782 | |
17,400 | COMSYS Holdings Corp. | 295,960 | |
104,600 | Dai Nippon Printing Co., Ltd. | 2,095,685 | |
54,200 | Dai-ichi Life Holdings, Inc. | 858,243 | |
36,700 | Daiwa House Industry Co., Ltd. | 746,322 | |
190,217 | Daiwa Securities Group, Inc. | 744,336 | |
1,690,800 | ENEOS Holdings, Inc. | 5,432,941 | |
86,320 | FUJIFILM Holdings Corp. | 3,941,337 | |
38,448 | Fujitsu Ltd. | 4,192,903 | |
230,400 | Haseko Corp. | 2,500,663 | |
29,673 | Hitachi Ltd. | 1,253,382 | |
23,800 | Hitachi Transport System Ltd. | 1,423,939 | |
114,900 | Honda Motor Co., Ltd. | 2,490,181 | |
327,500 | Idemitsu Kosan Co., Ltd. | 7,093,250 | |
222,200 | Iida Group Holdings Co., Ltd. | 3,013,428 | |
56,471 | ITOCHU Corp. | 1,365,885 |
21 |
September 30, 2022
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 98.5% - (continued) | |||
Japan - 19.0% - (continued) | |||
86,500 | Itochu Techno-Solutions Corp. | $ 2,025,873 | |
44,100 | Iwatani Corp. | 1,660,472 | |
592,200 | Japan Post Bank Co., Ltd. | 4,128,155 | |
225,681 | Japan Post Holdings Co., Ltd. | 1,493,210 | |
72,500 | Japan Post Insurance Co., Ltd. | 1,014,785 | |
116,700 | Japan Tobacco, Inc. | 1,914,027 | |
286,900 | Kajima Corp. | 2,721,432 | |
95,351 | KDDI Corp. | 2,795,083 | |
110,400 | Kewpie Corp. | 1,815,275 | |
86,600 | Kinden Corp. | 914,193 | |
185,400 | Kuraray Co., Ltd. | 1,294,963 | |
17,300 | Kyocera Corp. | 872,500 | |
96,922 | Lawson, Inc. | 3,173,928 | |
337,700 | Marubeni Corp. | 2,958,331 | |
8,000 | MatsukiyoCocokara & Co. | 344,330 | |
20,600 | McDonald's Holdings Co. Japan Ltd. | 717,289 | |
284,450 | Medipal Holdings Corp. | 3,621,827 | |
58,716 | MEIJI Holdings Co., Ltd. | 2,608,338 | |
75,000 | Mitsubishi Corp. | 2,056,030 | |
175,800 | Mitsubishi Electric Corp. | 1,584,380 | |
107,876 | Mitsubishi HC Capital, Inc. | 463,566 | |
238,300 | Mitsubishi UFJ Financial Group, Inc. | 1,072,593 | |
55,500 | Mitsui & Co., Ltd. | 1,184,424 | |
114,800 | Mitsui Chemicals, Inc. | 2,235,802 | |
258,600 | Mizuho Financial Group, Inc. | 2,791,547 | |
68,700 | MS&AD Insurance Group Holdings, Inc. | 1,820,672 | |
164,517 | NEC Corp. | 5,256,770 | |
154,800 | NGK Spark Plug Co., Ltd. | 2,739,974 | |
409,500 | Nikon Corp. | 3,867,398 | |
38,400 | Nippon Express Holdings, Inc. | 1,952,565 | |
114,106 | Nippon Telegraph & Telephone Corp. | 3,079,195 | |
169,800 | Nippon Yusen KK | 2,894,032 | |
78,200 | NTT Data Corp. | 1,008,126 | |
10,300 | Obayashi Corp. | 66,036 | |
15,400 | OBIC Business Consultants Co., Ltd. | 476,645 | |
94,800 | Ono Pharmaceutical Co., Ltd. | 2,214,369 | |
22,700 | Oracle Corp. | 1,207,572 | |
344,251 | Osaka Gas Co., Ltd. | 5,199,024 | |
9,200 | Otsuka Corp. | 287,609 | |
119,100 | Otsuka Holdings Co., Ltd. | 3,771,836 | |
1,200 | Panasonic Holdings Corp. | 8,411 | |
459,066 | Resona Holdings, Inc. | 1,674,578 | |
98,100 | Ricoh Co., Ltd. | 715,697 | |
32,200 | Rinnai Corp. | 2,311,361 | |
6,500 | Rohto Pharmaceutical Co., Ltd. | 208,142 | |
375,900 | Santen Pharmaceutical Co., Ltd. | 2,532,056 | |
129,500 | Sanwa Holdings Corp. | 1,112,978 | |
10,500 | Secom Co., Ltd. | 600,352 | |
100,000 | Sega Sammy Holdings, Inc. | 1,360,323 | |
394,500 | Seiko Epson Corp. | 5,369,201 | |
101,365 | Sekisui Chemical Co., Ltd. | 1,238,131 | |
269,648 | Sekisui House Ltd. | 4,472,865 | |
16,089 | Seven & i Holdings Co., Ltd. | 645,361 | |
50,440 | Shimamura Co., Ltd. | 4,261,848 | |
202,100 | Softbank Corp. | 2,019,674 | |
18,000 | Sohgo Security Services Co., Ltd. | 452,658 | |
186,693 | Subaru Corp. | 2,795,010 | |
44,717 | Sugi Holdings Co., Ltd. | 1,794,920 | |
77,000 | Sumitomo Corp. | 958,876 | |
234,000 | Sumitomo Dainippon Pharma Co., Ltd. | 1,666,752 | |
86,900 | Sumitomo Electric Industries Ltd. | 878,936 | |
87,529 | Sumitomo Forestry Co., Ltd. | 1,333,389 | |
41,700 | Sumitomo Heavy Industries Ltd. | 770,072 | |
87,100 | Sumitomo Mitsui Financial Group, Inc. | 2,421,434 | |
9,300 | Sumitomo Mitsui Trust Holdings, Inc. | 263,365 | |
309,500 | Sumitomo Rubber Industries Ltd. | 2,461,118 | |
58,900 | Sundrug Co., Ltd. | 1,430,333 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 98.5% - (continued) | |||
Japan - 19.0% - (continued) | |||
24,607 | Suntory Beverage & Food Ltd. | $ 872,112 | |
62,882 | Suzuken Co., Ltd. | 1,435,801 | |
48,900 | Taisei Corp. | 1,358,099 | |
66,600 | Taisho Pharmaceutical Holdings Co., Ltd. | 2,438,633 | |
15,700 | TIS, Inc. | 415,969 | |
12,900 | Tokio Marine Holdings, Inc. | 228,599 | |
244,896 | Tokyo Gas Co., Ltd. | 4,146,880 | |
227,700 | Toppan, Inc. | 3,388,482 | |
12,800 | Toshiba Corp. | 455,245 | |
101,000 | Tosoh Corp. | 1,123,424 | |
51,019 | Toyo Suisan Kaisha Ltd. | 2,100,751 | |
145,800 | Toyota Boshoku Corp. | 1,784,916 | |
1,830,957 | Yamada Holdings Co., Ltd. | 6,021,179 | |
84,746 | Yamaha Motor Co., Ltd. | 1,584,907 | |
212,480 | Yamazaki Baking Co., Ltd. | 2,441,219 | |
166,600 | Yokohama Rubber Co., Ltd. | 2,550,593 | |
82,553 | Zensho Holdings Co., Ltd. | 2,044,647 | |
236,231,174 | |||
Luxembourg - 0.3% | |||
56,823 | Eurofins Scientific SE | 3,402,345 | |
9,325 | Shurgard Self Storage S.A. | 380,026 | |
3,782,371 | |||
Netherlands - 4.2% | |||
401,851 | Aegon N.V. | 1,614,847 | |
105,340 | ASR Nederland N.V. | 4,083,478 | |
33,697 | JDE Peet's N.V. | 988,357 | |
360,833 | Koninklijke Ahold Delhaize N.V. | 9,238,460 | |
2,120,513 | Koninklijke KPN N.V. | 5,758,442 | |
22,958 | Koninklijke Philips N.V. | 359,853 | |
134,955 | Koninklijke Vopak N.V. | 2,472,301 | |
210,712 | NN Group N.V.(1) | 8,250,765 | |
137,477 | OCI N.V. | 5,058,555 | |
51,489 | QIAGEN N.V.* | 2,125,466 | |
119,176 | Randstad N.V.(1) | 5,204,748 | |
68,770 | Signify N.V.(2) | 1,794,077 | |
55,677 | Wolters Kluwer N.V. | 5,450,032 | |
52,399,381 | |||
New Zealand - 0.5% | |||
264,439 | Contact Energy Ltd. | 1,118,857 | |
223,055 | Fisher & Paykel Healthcare Corp. Ltd. Class C | 2,334,164 | |
339,390 | Fletcher Building Ltd. | 925,214 | |
698,718 | Spark New Zealand Ltd. | 1,994,629 | |
6,372,864 | |||
Norway - 1.6% | |||
49,065 | Austevoll Seafood ASA | 332,060 | |
202,168 | Equinor ASA | 6,643,544 | |
27,219 | Kongsberg Gruppen ASA | 829,265 | |
238,280 | Norsk Hydro ASA | 1,286,599 | |
398,641 | Orkla ASA | 2,897,279 | |
25,739 | Salmar ASA | 867,316 | |
447,379 | Telenor ASA | 4,091,472 | |
77,896 | Yara International ASA | 2,739,915 | |
19,687,450 | |||
Portugal - 0.4% | |||
112,962 | Galp Energia SGPS S.A. | 1,087,155 | |
231,778 | Jeronimo Martins SGPS S.A. | 4,325,517 | |
5,412,672 | |||
Singapore - 1.9% | |||
141,809 | DBS Group Holdings Ltd. | 3,299,883 | |
1,228,000 | Frasers Logistics & Commercial Trust REIT | 1,052,645 | |
201,900 | Keppel Corp. Ltd. | 977,911 | |
699,400 | Olam Group Ltd. | 638,521 | |
592,952 | Oversea-Chinese Banking Corp. Ltd. | 4,888,579 | |
1,367,900 | Singapore Technologies Engineering Ltd. | 3,412,839 |
22 |
September 30, 2022
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 98.5% - (continued) | |||
Singapore - 1.9% - (continued) | |||
2,171,500 | Suntec Real Estate Investment Trust REIT | $ 2,315,419 | |
228,400 | United Overseas Bank Ltd. | 4,164,014 | |
146,200 | UOL Group Ltd. | 677,560 | |
240,000 | Venture Corp. Ltd. | 2,748,066 | |
24,175,437 | |||
South Africa - 0.2% | |||
417,246 | Mediclinic International plc | 2,296,253 | |
Spain - 1.9% | |||
22,218 | Acciona S.A.(1) | 3,930,914 | |
60,233 | Enagas S.A. | 934,675 | |
236,043 | Grifols S.A.*(1) | 2,053,869 | |
194,736 | Iberdrola S.A. | 1,827,988 | |
49,093 | Laboratorios Farmaceuticos Rovi S.A. | 2,125,752 | |
1,389,194 | Mapfre S.A. | 2,163,868 | |
51,286 | Naturgy Energy Group S.A. | 1,192,250 | |
241,115 | Red Electrica Corp. S.A. | 3,710,832 | |
228,394 | Repsol S.A. | 2,641,323 | |
984,980 | Telefonica S.A. | 3,257,622 | |
23,839,093 | |||
Sweden - 4.1% | |||
12,522 | Assa Abloy AB Class B | 236,618 | |
100,222 | Axfood AB | 2,302,013 | |
98,820 | BillerudKorsnas AB | 1,170,079 | |
89,762 | Boliden AB | 2,803,066 | |
385,370 | Electrolux AB Class B(1) | 4,035,837 | |
112,150 | Essity AB Class B | 2,231,378 | |
225,877 | Getinge AB Class B | 3,901,836 | |
225,766 | Investor AB Class B | 3,327,849 | |
39,094 | L E Lundbergforetagen AB Class B | 1,424,610 | |
30,974 | Saab AB | 970,179 | |
693,101 | Securitas AB Class B(1) | 4,846,554 | |
137,609 | Skandinaviska Enskilda Banken AB Class A | 1,324,320 | |
135,416 | Skanska AB Class B | 1,702,233 | |
1,034,298 | SSAB AB | 4,458,735 | |
249,020 | Swedish Match AB | 2,468,322 | |
164,407 | Swedish Orphan Biovitrum AB* | 3,194,066 | |
79,781 | Tele2 AB | 690,153 | |
1,047,553 | Telefonaktiebolaget LM Ericsson Class B | 6,181,955 | |
1,385,802 | Telia Co. AB | 3,999,751 | |
23,227 | Volvo AB Class B | 330,861 | |
51,600,415 | |||
Switzerland - 7.5% | |||
106,769 | Adecco Group AG | 2,973,369 | |
7,912 | Allreal Holding AG | 1,109,328 | |
31,593 | Baloise Holding AG | 4,066,887 | |
14,309 | Banque Cantonale Vaudoise | 1,362,208 | |
500 | Barry Callebaut AG | 949,454 | |
11,967 | BKW AG | 1,435,918 | |
4,185 | Bucher Industries AG | 1,323,213 | |
24,515 | DKSH Holding AG | 1,788,343 | |
1,096 | Emmi AG | 856,311 | |
32,750 | Galenica AG(2) | 2,387,414 | |
4,620 | Geberit AG | 2,006,655 | |
199,335 | Glencore plc | 1,063,968 | |
26,196 | Helvetia Holding AG | 2,472,551 | |
39,623 | Kuehne + Nagel International AG | 8,131,924 | |
86,051 | Logitech International S.A.(1) | 4,017,316 | |
37,203 | Nestle S.A. | 4,047,444 | |
122,580 | Novartis AG | 9,406,622 | |
31,793 | PSP Swiss Property AG | 3,197,873 | |
31,013 | Roche Holding AG | 10,191,674 | |
9,550 | Schindler Holding AG | 1,455,423 | |
8,986 | SFS Group AG | 777,858 | |
1,064 | SGS S.A. | 2,297,181 | |
8,831 | Sonova Holding AG | 1,973,909 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 98.5% - (continued) | |||
Switzerland - 7.5% - (continued) | |||
5,331 | Swatch Group AG | $ 1,215,961 | |
6,141 | Swiss Life Holding AG | 2,735,919 | |
47,888 | Swiss Prime Site AG | 3,843,690 | |
10,234 | Swiss Re AG | 760,700 | |
19,134 | Swisscom AG | 9,010,525 | |
193,101 | UBS Group AG | 2,839,865 | |
9,591 | Zurich Insurance Group AG | 3,849,068 | |
93,548,571 | |||
United Kingdom - 11.7% | |||
188,778 | 3i Group plc | 2,303,309 | |
97,266 | Admiral Group plc | 2,078,725 | |
29,065 | Anglo American plc | 887,540 | |
96,795 | AstraZeneca plc ADR | 5,308,238 | |
129,998 | Aviva plc | 563,343 | |
994,896 | B&M European Value Retail S.A. | 3,399,552 | |
1,122,741 | BAE Systems plc | 9,898,683 | |
26,628 | British American Tobacco plc | 959,071 | |
50,010 | British Land Co. plc REIT | 195,782 | |
1,223,799 | BT Group plc | 1,657,794 | |
54,071 | Bunzl plc | 1,665,920 | |
49,949 | Computacenter plc | 1,077,803 | |
730,738 | ConvaTec Group plc(2) | 1,677,125 | |
10,360 | Dechra Pharmaceuticals plc | 303,231 | |
2,153,913 | Direct Line Insurance Group plc | 4,460,184 | |
86,494 | DS Smith plc | 248,045 | |
22,259 | Ferguson plc | 2,336,679 | |
309,300 | GSK plc | 9,102,699 | |
26,619 | Halma plc | 607,667 | |
309,682 | Hikma Pharmaceuticals plc | 4,713,590 | |
420,022 | Howden Joinery Group plc | 2,368,733 | |
1,510,989 | HSBC Holdings plc | 7,882,025 | |
254,574 | IG Group Holdings plc | 2,169,720 | |
323,982 | Imperial Brands plc | 6,708,810 | |
101,684 | Inchcape plc | 774,704 | |
37,905 | Intertek Group plc | 1,568,555 | |
2,227,737 | J Sainsbury plc | 4,334,530 | |
1,928,781 | Kingfisher plc | 4,745,426 | |
88,053 | Land Securities Group plc REIT | 512,896 | |
4,225,346 | Lloyds Banking Group plc | 1,952,263 | |
1,571,582 | Man Group plc | 3,931,512 | |
72,533 | Mondi plc | 1,128,702 | |
242,011 | National Grid plc | 2,515,159 | |
881,153 | NatWest Group plc | 2,222,021 | |
21,824 | Reckitt Benckiser Group plc | 1,455,880 | |
103,454 | RELX plc | 2,542,994 | |
107,671 | Rio Tinto plc | 5,884,653 | |
1,840,092 | Royal Mail plc | 3,788,776 | |
28,242 | RS GROUP plc | 305,492 | |
750,717 | Sage Group plc | 5,842,710 | |
366,658 | Schroders plc | 1,593,405 | |
439,875 | Segro plc REIT | 3,697,473 | |
67,148 | Shell plc | 1,683,915 | |
89,423 | Smith & Nephew plc | 1,048,639 | |
77,540 | Softcat plc | 1,030,039 | |
126,777 | Spectris plc | 3,872,017 | |
2,405 | Spirax-Sarco Engineering plc | 279,209 | |
262,329 | SSE plc | 4,473,096 | |
652,093 | Standard Chartered plc | 4,125,913 | |
1,782,476 | Tesco plc | 4,114,859 | |
1,395,147 | Tritax Big Box plc REIT | 2,114,952 | |
30,063 | Unilever plc | 1,331,969 | |
286,707 | Vodafone Group plc | 323,635 | |
145,769,662 | |||
Total Common Stocks (cost $1,467,579,141) | $ 1,227,822,112 |
23 |
September 30, 2022
Shares or Principal Amount | Market Value† | ||
PREFERRED STOCKS - 0.1% | |||
Germany - 0.1% | |||
41,198 | Fuchs Petrolub SE (Preference Shares) | $ 1,049,350 | |
Total Preferred Stocks (cost $1,936,114) | $ 1,049,350 | ||
Total Long-Term Investments (cost $1,469,515,255) | $ 1,228,871,462 | ||
SHORT-TERM INVESTMENTS - 3.3% | |||
Securities Lending Collateral - 3.3% | |||
6,519,758 | Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 2.91%(3) | $ 6,519,758 | |
21,732,524 | HSBC US Government Money Market Fund, 2.91%(3) | 21,732,524 | |
6,519,757 | Invesco Government & Agency Portfolio, Institutional Class, 2.95%(3) | 6,519,757 | |
6,519,757 | Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 2.81%(3) | 6,519,757 | |
Total Short-Term Investments (cost $41,291,796) | $ 41,291,796 | ||
Total Investments (cost $1,510,807,051) | 101.9% | $ 1,270,163,258 | |
Other Assets and Liabilities | (1.9)% | (23,901,653) | |
Total Net Assets | 100.0% | $ 1,246,261,605 |
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, 2022, the aggregate value of these securities was $21,300,368, representing 1.7% of net assets. |
(3) | Current yield as of period end. |
Futures Contracts Outstanding at September 30, 2022 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
MSCI EAFE Index Future | 155 | 12/16/2022 | $ 12,869,650 | $ (1,255,938) | ||||
Total futures contracts | $ (1,255,938) |
24 |
September 30, 2022
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Australia | $ 120,735,105 | $ 120,735,105 | $ — | $ — | ||||
Austria | 2,226,623 | 2,226,623 | — | — | ||||
Belgium | 12,612,929 | 12,612,929 | — | — | ||||
Canada | 129,815,662 | 129,815,662 | — | — | ||||
China | 6,040,599 | 6,040,599 | — | — | ||||
Denmark | 25,011,107 | 25,011,107 | — | — | ||||
Finland | 17,741,201 | 17,741,201 | — | — | ||||
France | 80,785,840 | 80,785,840 | — | — | ||||
Germany | 45,300,636 | 45,300,636 | — | — | ||||
Hong Kong | 54,156,312 | 54,156,312 | — | — | ||||
Ireland | 4,732,658 | 4,732,658 | — | — | ||||
Israel | 30,518,487 | 30,518,487 | — | — | ||||
Italy | 33,029,610 | 33,029,610 | — | — | ||||
Japan | 236,231,174 | 236,231,174 | — | — | ||||
Luxembourg | 3,782,371 | 3,782,371 | — | — | ||||
Netherlands | 52,399,381 | 52,399,381 | — | — | ||||
New Zealand | 6,372,864 | 6,372,864 | — | — | ||||
Norway | 19,687,450 | 19,687,450 | — | — | ||||
Portugal | 5,412,672 | 5,412,672 | — | — | ||||
Singapore | 24,175,437 | 24,175,437 | — | — | ||||
South Africa | 2,296,253 | 2,296,253 | — | — | ||||
Spain | 23,839,093 | 23,839,093 | — | — | ||||
Sweden | 51,600,415 | 51,600,415 | — | — | ||||
Switzerland | 93,548,571 | 93,548,571 | — | — | ||||
United Kingdom | 145,769,662 | 145,769,662 | — | — | ||||
Preferred Stocks | 1,049,350 | 1,049,350 | — | — | ||||
Short-Term Investments | 41,291,796 | 41,291,796 | — | — | ||||
Total | $ 1,270,163,258 | $ 1,270,163,258 | $ — | $ — | ||||
Liabilities | ||||||||
Futures Contracts(2) | $ (1,255,938) | $ (1,255,938) | $ — | $ — | ||||
Total | $ (1,255,938) | $ (1,255,938) | $ — | $ — |
(1) | For the year ended September 30, 2022, 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. |
25 |
September 30, 2022
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 98.6% | |||
Australia - 8.3% | |||
28,639 | AGL Energy Ltd. | $ 125,948 | |
2,697 | Aurizon Holdings Ltd. | 5,982 | |
3,838 | Australia & New Zealand Banking Group Ltd. | 56,262 | |
3,845 | Bendigo & Adelaide Bank Ltd. | 19,258 | |
4,891 | BHP Group Ltd. | 121,133 | |
3,486 | BlueScope Steel Ltd. | 34,046 | |
1,416 | Brambles Ltd. | 10,388 | |
9,976 | Coles Group Ltd. | 105,383 | |
862 | Computershare Ltd. | 13,722 | |
20,213 | Dexus REIT | 100,329 | |
7,342 | Endeavour Group Ltd. | 33,044 | |
7,827 | Fortescue Metals Group Ltd. | 84,644 | |
22,227 | GPT Group REIT | 54,734 | |
5,329 | JB Hi-Fi Ltd.(1) | 130,062 | |
32,125 | Metcash Ltd. | 79,934 | |
37 | Ramsay Health Care Ltd. | 1,363 | |
6,137 | Sonic Healthcare Ltd. | 120,662 | |
12,566 | South32 Ltd. | 29,328 | |
9,834 | Stockland REIT | 20,675 | |
10,493 | Telstra Corp. Ltd. | 25,974 | |
1,464 | Wesfarmers Ltd. | 40,211 | |
2,178 | Woolworths Group Ltd. | 47,542 | |
1,260,624 | |||
Belgium - 0.0% | |||
77 | UCB S.A. | 5,365 | |
Brazil - 1.9% | |||
24,529 | JBS S.A. | 113,919 | |
5,952 | Telefonica Brasil S.A. | 44,556 | |
3,267 | TIM S.A. | 7,296 | |
2,062 | Transmissora Alianca de Energia Eletrica S.A. | 14,849 | |
7,890 | Vale S.A. ADR | 105,095 | |
285,715 | |||
Canada - 5.6% | |||
487 | Alimentation Couche-Tard, Inc. | 19,710 | |
1,242 | Bank of Montreal | 109,435 | |
402 | Bank of Nova Scotia | 19,222 | |
153 | Canadian Tire Corp. Ltd. Class A | 16,374 | |
311 | Dollarama, Inc. | 17,949 | |
3,866 | Empire Co., Ltd. Class A | 96,675 | |
202 | Fairfax Financial Holdings Ltd. | 92,747 | |
742 | George Weston Ltd. | 78,102 | |
1,119 | Great-West Lifeco, Inc. | 24,285 | |
1,839 | Loblaw Cos., Ltd. | 146,392 | |
3,190 | Manulife Financial Corp. | 50,332 | |
63 | Metro, Inc. | 3,171 | |
3,275 | Power Corp. of Canada | 74,197 | |
491 | Royal Bank of Canada | 44,442 | |
85 | Sun Life Financial, Inc. | 3,398 | |
600 | Toronto-Dominion Bank | 36,994 | |
270 | West Fraser Timber Co., Ltd. | 19,636 | |
853,061 | |||
China - 10.8% | |||
363,000 | Agricultural Bank of China Ltd. Class H | 108,670 | |
16,500 | Anhui Conch Cement Co., Ltd. Class H | 52,338 | |
440,000 | Bank of China Ltd. Class H | 144,053 | |
154,000 | Bank of Communications Co., Ltd. Class H | 81,219 | |
124,000 | China CITIC Bank Corp. Ltd. Class H | 49,285 | |
224,000 | China Construction Bank Corp. Class H | 129,551 | |
4,000 | China National Building Material Co., Ltd. Class H | 3,062 | |
212,000 | China Petroleum & Chemical Corp. Class H | 91,013 | |
115,000 | China Railway Group Ltd. Class H | 56,402 | |
34,000 | China Shenhua Energy Co., Ltd. Class H | 101,568 | |
412,000 | China Tower Corp. Ltd. Class H(2) | 44,087 | |
4,800 | China Vanke Co., Ltd. Class H | 8,744 | |
79,000 | CITIC Ltd. | 74,472 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 98.6% - (continued) | |||
China - 10.8% - (continued) | |||
57,500 | COSCO Shipping Holdings Co., Ltd. Class H | $ 67,463 | |
7,200 | Haier Smart Home Co., Ltd. Class H | 22,059 | |
283,000 | Industrial & Commercial Bank of China Ltd. Class H | 132,669 | |
130,000 | Lenovo Group Ltd. | 90,422 | |
204,000 | People's Insurance Co., Group of China Ltd. Class H | 59,252 | |
220,000 | PetroChina Co., Ltd. Class H | 90,243 | |
72,000 | PICC Property & Casualty Co., Ltd. Class H | 74,661 | |
113,000 | Postal Savings Bank of China Co., Ltd. Class H(2) | 66,649 | |
120,100 | Yangzijiang Shipbuilding Holdings Ltd. | 86,210 | |
1,634,092 | |||
Denmark - 1.7% | |||
55 | AP Moller - Maersk A/S Class B | 100,472 | |
1,512 | Novo Nordisk A/S Class B | 151,680 | |
252,152 | |||
Finland - 0.6% | |||
420 | Kone Oyj Class B | 16,298 | |
1,782 | Nordea Bank Abp | 15,362 | |
434 | Orion Oyj Class B | 18,316 | |
849 | Sampo Oyj Class A | 36,396 | |
86,372 | |||
France - 4.0% | |||
261 | Air Liquide S.A. | 30,059 | |
1,191 | AXA S.A. | 26,223 | |
1,024 | BNP Paribas S.A. | 43,743 | |
183 | Cie de Saint-Gobain | 6,642 | |
2,064 | Cie Generale des Etablissements Michelin SCA | 46,819 | |
948 | Danone S.A. | 45,107 | |
5,305 | Engie S.A. | 61,544 | |
41 | L'Oreal S.A. | 13,265 | |
39 | LVMH Moet Hennessy Louis Vuitton SE | 23,321 | |
7,942 | Orange S.A. | 71,953 | |
1,999 | Sanofi | 153,532 | |
198 | Schneider Electric SE | 22,683 | |
1,173 | TotalEnergies SE | 55,474 | |
600,365 | |||
Germany - 2.9% | |||
268 | Allianz SE | 42,480 | |
306 | BASF SE | 11,871 | |
2,064 | Bayer AG | 95,873 | |
636 | Bayerische Motoren Werke AG | 43,608 | |
224 | Covestro AG(2) | 6,482 | |
951 | Deutsche Post AG | 28,988 | |
1,644 | Deutsche Telekom AG | 28,172 | |
3,439 | E.ON SE | 26,602 | |
699 | Fresenius Medical Care AG & Co. KGaA | 19,879 | |
212 | Fresenius SE & Co. KGaA | 4,559 | |
98 | LEG Immobilien SE | 5,891 | |
716 | Merck KGaA | 116,998 | |
68 | RWE AG | 2,517 | |
433,920 | |||
Hong Kong - 2.8% | |||
8,000 | BOC Hong Kong Holdings Ltd. | 26,650 | |
34,500 | China Overseas Land & Investment Ltd. | 89,877 | |
6,000 | China Resources Land Ltd. | 23,618 | |
4,000 | CK Asset Holdings Ltd. | 24,051 | |
12,000 | CK Hutchison Holdings Ltd. | 66,345 | |
2,500 | Orient Overseas International Ltd. | 43,791 | |
64,000 | Sino Land Co., Ltd. | 84,628 | |
4,500 | Sun Hung Kai Properties Ltd. | 49,787 | |
24,500 | WH Group Ltd.(2) | 15,449 | |
424,196 |
26 |
September 30, 2022
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 98.6% - (continued) | |||
India - 0.6% | |||
877 | Dr. Reddy's Laboratories Ltd. ADR | $ 45,902 | |
2,457 | Infosys Ltd. ADR | 41,696 | |
87,598 | |||
Indonesia - 1.9% | |||
187,700 | Astra International Tbk PT | 81,662 | |
162,600 | Bukit Asam Tbk PT | 44,528 | |
14,300 | Indo Tambangraya Megah Tbk PT | 38,902 | |
77,900 | Indofood Sukses Makmur Tbk PT | 30,822 | |
127,200 | Telkom Indonesia Persero Tbk PT | 37,256 | |
28,400 | United Tractors Tbk PT | 61,220 | |
294,390 | |||
Israel - 2.5% | |||
4,003 | Bank Hapoalim BM | 34,042 | |
6,874 | Bank Leumi Le-Israel BM | 59,173 | |
15,238 | Bezeq The Israeli Telecommunication Corp. Ltd. | 25,022 | |
921 | FIBI Holdings Ltd. | 41,687 | |
828 | First International Bank of Israel Ltd. | 33,753 | |
512 | Harel Insurance Investments & Financial Services Ltd. | 4,534 | |
4,733 | ICL Group Ltd. | 38,321 | |
3,595 | Phoenix Holdings Ltd. | 34,332 | |
593 | Rami Levy Chain Stores Hashikma Marketing Ltd. | 42,695 | |
2,823 | ZIM Integrated Shipping Services Ltd.(1) | 66,341 | |
379,900 | |||
Italy - 0.5% | |||
987 | Assicurazioni Generali S.p.A. | 13,556 | |
4,552 | Eni S.p.A. | 48,652 | |
4,507 | Intesa Sanpaolo S.p.A. | 7,518 | |
69,726 | |||
Japan - 15.1% | |||
500 | AGC, Inc. | 15,510 | |
700 | Aisin Corp. | 17,942 | |
8,800 | Alfresa Holdings Corp. | 102,746 | |
5,500 | Astellas Pharma, Inc. | 72,842 | |
2,200 | Bridgestone Corp. | 70,965 | |
3,400 | Brother Industries Ltd. | 58,513 | |
5,600 | Canon, Inc. | 122,721 | |
200 | Daiwa House Industry Co., Ltd. | 4,067 | |
1,400 | ENEOS Holdings, Inc. | 4,498 | |
400 | FUJIFILM Holdings Corp. | 18,264 | |
700 | Fujitsu Ltd. | 76,338 | |
1,300 | Haseko Corp. | 14,110 | |
900 | Hitachi Ltd. | 38,016 | |
3,600 | Honda Motor Co., Ltd. | 78,021 | |
1,200 | Idemitsu Kosan Co., Ltd. | 25,991 | |
2,900 | Iida Group Holdings Co., Ltd. | 39,329 | |
500 | Isuzu Motors Ltd. | 5,517 | |
1,600 | ITOCHU Corp. | 38,700 | |
2,900 | KDDI Corp. | 85,009 | |
4,200 | Marubeni Corp. | 36,793 | |
2,300 | Medipal Holdings Corp. | 29,285 | |
300 | MEIJI Holdings Co., Ltd. | 13,327 | |
1,900 | Mitsubishi Corp. | 52,086 | |
3,800 | Mitsubishi Electric Corp. | 34,247 | |
1,300 | Mitsubishi UFJ Financial Group, Inc. | 5,851 | |
2,200 | Mitsui & Co., Ltd. | 46,950 | |
200 | Mitsui OSK Lines Ltd. | 3,595 | |
5,000 | Mizuho Financial Group, Inc. | 53,974 | |
2,600 | NEC Corp. | 83,077 | |
1,900 | NGK Spark Plug Co., Ltd. | 33,630 | |
2,300 | Nihon Kohden Corp. | 48,941 | |
5,400 | Nikon Corp. | 50,999 | |
2,700 | Nippon Telegraph & Telephone Corp. | 72,861 | |
3,000 | Nippon Yusen KK | 51,131 | |
4,600 | Osaka Gas Co., Ltd. | 69,471 | |
1,100 | Otsuka Holdings Co., Ltd. | 34,836 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 98.6% - (continued) | |||
Japan - 15.1% - (continued) | |||
1,700 | Panasonic Holdings Corp. | $ 11,915 | |
4,800 | Seiko Epson Corp. | 65,329 | |
2,100 | Sekisui House Ltd. | 34,834 | |
400 | Seven & i Holdings Co., Ltd. | 16,045 | |
1,200 | Shimamura Co., Ltd. | 101,392 | |
6,000 | Softbank Corp. | 59,961 | |
2,000 | Subaru Corp. | 29,942 | |
100 | Sumitomo Corp. | 1,245 | |
700 | Sumitomo Electric Industries Ltd. | 7,080 | |
800 | Sumitomo Forestry Co., Ltd. | 12,187 | |
2,500 | Sumitomo Mitsui Financial Group, Inc. | 69,502 | |
1,000 | Suzuken Co., Ltd. | 22,833 | |
100 | Takeda Pharmaceutical Co., Ltd. | 2,602 | |
2,100 | Tokio Marine Holdings, Inc. | 37,214 | |
3,300 | Tokyo Gas Co., Ltd. | 55,880 | |
1,900 | Toppan, Inc. | 28,275 | |
1,700 | Toyota Motor Corp. | 22,033 | |
19,900 | Yamada Holdings Co., Ltd. | 65,442 | |
1,700 | Yamaha Motor Co., Ltd. | 31,793 | |
2,285,657 | |||
Luxembourg - 0.0% | |||
117 | Eurofins Scientific SE | 7,006 | |
Malaysia - 2.5% | |||
8,100 | DiGi.Com Bhd | 5,904 | |
133,800 | Hartalega Holdings Bhd | 47,899 | |
400 | Kuala Lumpur Kepong Bhd | 1,786 | |
32,525 | Malayan Banking Bhd | 60,182 | |
31,400 | Petronas Chemicals Group Bhd | 56,814 | |
7,700 | Petronas Gas Bhd | 27,399 | |
50,591 | RHB Bank Bhd | 60,661 | |
168,500 | Sime Darby Bhd | 77,764 | |
19,600 | Tenaga Nasional Bhd | 34,026 | |
372,435 | |||
Mexico - 0.9% | |||
3,273 | America Movil S.A.B. de C.V. Class L ADR | 53,906 | |
1,351 | Coca-Cola Femsa S.A.B. de C.V. ADR | 78,885 | |
132,791 | |||
Netherlands - 2.0% | |||
5,967 | Koninklijke Ahold Delhaize N.V. | 152,774 | |
2,196 | NN Group N.V.(1) | 85,988 | |
5,605 | Stellantis N.V. | 67,385 | |
306,147 | |||
New Zealand - 1.0% | |||
3,410 | Fisher & Paykel Healthcare Corp. Ltd. Class C | 35,684 | |
2,108 | Fletcher Building Ltd. | 5,747 | |
17,641 | Goodman Property Trust REIT | 19,957 | |
31,403 | Spark New Zealand Ltd. | 89,646 | |
151,034 | |||
Norway - 2.3% | |||
703 | Atea ASA | 6,270 | |
1,834 | Elkem ASA(2) | 5,921 | |
2,369 | Equinor ASA | 77,849 | |
9,755 | Europris ASA(2) | 48,743 | |
2,961 | Golden Ocean Group Ltd. | 22,119 | |
856 | Kongsberg Gruppen ASA | 26,079 | |
1,344 | Norsk Hydro ASA | 7,257 | |
4,462 | Orkla ASA | 32,429 | |
6,756 | Telenor ASA | 61,786 | |
3,580 | Veidekke ASA | 26,742 | |
970 | Yara International ASA | 34,119 | |
349,314 | |||
Philippines - 1.4% | |||
1,330 | Globe Telecom, Inc. | 46,054 |
27 |
September 30, 2022
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 98.6% - (continued) | |||
Philippines - 1.4% - (continued) | |||
2,940 | International Container Terminal Services, Inc. | $ 7,853 | |
9,770 | Manila Electric Co. | 43,830 | |
4,335 | PLDT, Inc. | 111,508 | |
209,245 | |||
Poland - 0.8% | |||
3,077 | Asseco Poland S.A. | 43,081 | |
3,999 | Polski Koncern Naftowy ORLEN S.A. | 43,350 | |
8,297 | Powszechny Zaklad Ubezpieczen S.A. | 38,906 | |
125,337 | |||
Portugal - 0.1% | |||
738 | Jeronimo Martins SGPS S.A. | 13,773 | |
Russia - 0.0% | |||
698 | Gazprom PJSC*(3) | — | |
Singapore - 0.2% | |||
506 | DBS Group Holdings Ltd. | 11,774 | |
142 | Oversea-Chinese Banking Corp. Ltd. | 1,171 | |
500 | United Overseas Bank Ltd. | 9,116 | |
1,400 | Venture Corp. Ltd. | 16,030 | |
38,091 | |||
South Korea - 3.8% | |||
475 | Cheil Worldwide, Inc. | 7,537 | |
161 | Coway Co., Ltd. | 6,065 | |
1,311 | GS Holdings Corp. | 38,211 | |
695 | HMM Co., Ltd. | 8,987 | |
1,555 | Hyundai Marine & Fire Insurance Co., Ltd. | 31,846 | |
1,648 | Kia Corp. | 82,820 | |
1,122 | KT&G Corp. | 67,914 | |
4,871 | LG Display Co., Ltd. | 40,856 | |
112 | LG Electronics, Inc. | 6,153 | |
209 | LG Innotek Co., Ltd. | 39,954 | |
10,975 | LG Uplus Corp. | 82,464 | |
77 | POSCO Holdings, Inc. | 11,356 | |
28 | Samsung Electro-Mechanics Co., Ltd. | 2,192 | |
2,445 | Samsung Electronics Co., Ltd. | 90,745 | |
20 | Samsung Fire & Marine Insurance Co., Ltd. | 2,572 | |
925 | SK Hynix, Inc. | 53,727 | |
573,399 | |||
Spain - 0.4% | |||
1,304 | Banco Bilbao Vizcaya Argentaria S.A. | 5,902 | |
2,221 | Iberdrola S.A. | 20,849 | |
12,302 | Telefonica S.A. | 40,686 | |
67,437 | |||
Sweden - 3.1% | |||
537 | Assa Abloy AB Class B | 10,147 | |
3,487 | Axfood AB | 80,094 | |
971 | Boliden AB | 30,322 | |
3,972 | Electrolux AB Class B(1) | 41,597 | |
357 | Getinge AB Class B | 6,167 | |
2,447 | Investor AB Class B | 36,070 | |
539 | Securitas AB Class B | 3,769 | |
12,221 | SSAB AB | 52,683 | |
509 | Swedish Match AB | 5,045 | |
358 | Tele2 AB | 3,097 | |
20,358 | Telefonaktiebolaget LM Ericsson Class B | 120,139 | |
20,267 | Telia Co. AB | 58,495 | |
1,641 | Volvo AB Class B | 23,376 | |
471,001 | |||
Switzerland - 3.8% | |||
3,583 | Glencore plc | 19,125 | |
469 | Kuehne + Nagel International AG | 96,254 | |
832 | Nestle S.A. | 90,516 | |
1,982 | Novartis AG | 152,096 | |
509 | Roche Holding AG | 167,271 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 98.6% - (continued) | |||
Switzerland - 3.8% - (continued) | |||
2,889 | UBS Group AG | $ 42,487 | |
21 | Zurich Insurance Group AG | 8,428 | |
576,177 | |||
Taiwan - 6.2% | |||
116,000 | Acer, Inc. | 80,015 | |
10,000 | ASE Technology Holding Co., Ltd. | 25,229 | |
18,000 | Asustek Computer, Inc. | 132,666 | |
53,000 | AU Optronics Corp. | 24,539 | |
8,000 | Catcher Technology Co., Ltd. | 43,466 | |
16,000 | Cathay Financial Holding Co., Ltd. | 20,133 | |
118,000 | Compal Electronics, Inc. | 80,651 | |
2,200 | Evergreen Marine Corp. Taiwan Ltd. | 10,117 | |
20,800 | Hon Hai Precision Industry Co., Ltd. | 66,824 | |
26,000 | Innolux Corp. | 8,558 | |
9,000 | Inventec Corp. | 6,492 | |
39,000 | Lite-On Technology Corp. | 78,371 | |
33,000 | Macronix International Co., Ltd. | 32,377 | |
15,000 | Micro-Star International Co., Ltd. | 50,789 | |
5,000 | Novatek Microelectronics Corp. | 34,489 | |
31,000 | Pegatron Corp. | 57,120 | |
18,000 | Pou Chen Corp. | 16,158 | |
15,000 | Powertech Technology, Inc. | 36,426 | |
1,000 | President Chain Store Corp. | 8,898 | |
6,000 | Quanta Computer, Inc. | 14,552 | |
44,000 | Synnex Technology International Corp. | 73,174 | |
6,000 | WPG Holdings Ltd. | 8,778 | |
2,000 | Yang Ming Marine Transport Corp. | 3,874 | |
8,000 | Zhen Ding Technology Holding Ltd. | 26,710 | |
940,406 | |||
Thailand - 2.4% | |||
13,002 | Advanced Info Service PCL NVDR | 67,216 | |
78,500 | AP Thailand PCL | 19,771 | |
17,800 | Bangchak Corp. PCL NVDR | 13,921 | |
291,500 | Bangkok Chain Hospital PCL NVDR | 137,558 | |
30,300 | Bangkok Dusit Medical Services PCL NVDR | 23,697 | |
67,700 | Krung Thai Bank PCL NVDR | 29,973 | |
37,200 | PTT PCL NVDR | 33,531 | |
3,900 | Siam Cement PCL NVDR | 33,706 | |
22,300 | Supalai PCL NVDR | 11,174 | |
370,547 | |||
Turkey - 1.7% | |||
13,596 | Aksa Akrilik Kimya Sanayii AS | 42,207 | |
5,041 | BIM Birlesik Magazalar AS | 31,461 | |
33,949 | Eregli Demir ve Celik Fabrikalari T.A.S. | 53,070 | |
40,633 | Haci Omer Sabanci Holding AS | 56,505 | |
17,932 | Turkiye Is Bankasi A/S Class C | 7,274 | |
49,905 | Turkiye Sise ve Cam Fabrikalari AS | 68,430 | |
258,947 | |||
United Kingdom - 6.8% | |||
1,490 | 3i Group plc | 18,180 | |
1,149 | Anglo American plc | 35,086 | |
1,159 | AstraZeneca plc ADR | 63,560 | |
5,205 | B&M European Value Retail S.A. | 17,785 | |
18,467 | BAE Systems plc | 162,815 | |
59 | Ferguson plc | 6,194 | |
5,093 | GSK plc | 149,887 | |
23,600 | HSBC Holdings plc | 124,014 | |
3,858 | Imperial Brands plc | 79,889 | |
23,816 | Kingfisher plc | 58,595 | |
5,654 | Man Group plc | 14,144 | |
5,805 | NatWest Group plc | 14,639 | |
1,919 | Rio Tinto plc | 104,881 | |
732 | Sage Group plc | 5,697 | |
5,606 | Segro plc REIT | 47,122 | |
2,665 | SSE plc | 45,442 |
28 |
September 30, 2022
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 98.6% - (continued) | |||
United Kingdom - 6.8% - (continued) | |||
5,458 | Standard Chartered plc | $ 34,534 | |
13,158 | Tesco plc | 30,375 | |
7,512 | Tritax Big Box plc REIT | 11,388 | |
6,495 | Vodafone Group plc | 7,332 | |
1,031,559 | |||
Total Common Stocks (cost $17,470,998) | $ 14,947,779 | ||
PREFERRED STOCKS - 0.6% | |||
Brazil - 0.6% | |||
41,866 | Cia Paranaense de Energia (Preference Shares) | $ 50,931 | |
1,235 | Gerdau S.A. (Preference Shares) | 5,580 | |
4,814 | Petroleo Brasileiro S.A. (Preference Shares) | 26,523 | |
83,034 | |||
Total Preferred Stocks (cost $94,398) | $ 83,034 | ||
RIGHTS - 0.0% | |||
Philippines - 0.0% | |||
100 | Globe Telecom, Inc.* | $ 597 | |
Total Rights (cost $—) | $ 597 | ||
Total Long-Term Investments (cost $17,565,396) | $ 15,031,410 | ||
SHORT-TERM INVESTMENTS - 0.5% | |||
Securities Lending Collateral - 0.5% | |||
12,200 | Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 2.91%(4) | $ 12,200 | |
40,666 | HSBC US Government Money Market Fund, 2.91%(4) | 40,666 | |
12,200 | Invesco Government & Agency Portfolio, Institutional Class, 2.95%(4) | 12,200 | |
12,200 | Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 2.81%(4) | 12,200 | |
Total Short-Term Investments (cost $77,266) | $ 77,266 | ||
Total Investments (cost $17,642,662) | 99.7% | $ 15,108,676 | |
Other Assets and Liabilities | 0.3% | 52,236 | |
Total Net Assets | 100.0% | $ 15,160,912 |
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, 2022, the aggregate value of these securities was $187,331, representing 1.2% of net assets. |
(3) | Investment valued using significant unobservable inputs. |
(4) | Current yield as of period end. |
Futures Contracts Outstanding at September 30, 2022 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
MSCI EAFE Index Future | 1 | 12/16/2022 | $ 83,030 | $ (11,292) | ||||
Total futures contracts | $ (11,292) |
29 |
September 30, 2022
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Australia | $ 1,260,624 | $ 1,260,624 | $ — | $ — | ||||
Belgium | 5,365 | 5,365 | — | — | ||||
Brazil | 285,715 | 285,715 | — | — | ||||
Canada | 853,061 | 853,061 | — | — | ||||
China | 1,634,092 | 1,634,092 | — | — | ||||
Denmark | 252,152 | 252,152 | — | — | ||||
Finland | 86,372 | 86,372 | — | — | ||||
France | 600,365 | 600,365 | — | — | ||||
Germany | 433,920 | 433,920 | — | — | ||||
Hong Kong | 424,196 | 424,196 | — | — | ||||
India | 87,598 | 87,598 | — | — | ||||
Indonesia | 294,390 | 294,390 | — | — | ||||
Israel | 379,900 | 379,900 | — | — | ||||
Italy | 69,726 | 69,726 | — | — | ||||
Japan | 2,285,657 | 2,285,657 | — | — | ||||
Luxembourg | 7,006 | 7,006 | — | — | ||||
Malaysia | 372,435 | 372,435 | — | — | ||||
Mexico | 132,791 | 132,791 | — | — | ||||
Netherlands | 306,147 | 306,147 | — | — | ||||
New Zealand | 151,034 | 151,034 | — | — | ||||
Norway | 349,314 | 349,314 | — | — | ||||
Philippines | 209,245 | 209,245 | — | — | ||||
Poland | 125,337 | 125,337 | — | — | ||||
Portugal | 13,773 | 13,773 | — | — | ||||
Russia | — | — | — | — | ||||
Singapore | 38,091 | 38,091 | — | — | ||||
South Korea | 573,399 | 573,399 | — | — | ||||
Spain | 67,437 | 67,437 | — | — | ||||
Sweden | 471,001 | 471,001 | — | — | ||||
Switzerland | 576,177 | 576,177 | — | — | ||||
Taiwan | 940,406 | 907,309 | 33,097 | — | ||||
Thailand | 370,547 | 370,547 | — | — | ||||
Turkey | 258,947 | 258,947 | — | — | ||||
United Kingdom | 1,031,559 | 1,031,559 | — | — | ||||
Preferred Stocks | 83,034 | 83,034 | — | — | ||||
Rights | 597 | — | 597 | — | ||||
Short-Term Investments | 77,266 | 77,266 | — | — | ||||
Total | $ 15,108,676 | $ 15,074,982 | $ 33,694 | $ — | ||||
Liabilities | ||||||||
Futures Contracts(2) | $ (11,292) | $ (11,292) | $ — | $ — | ||||
Total | $ (11,292) | $ (11,292) | $ — | $ — |
(1) | For the year ended September 30, 2022, investments valued at $3,485 were transferred into Level 3 due to the unavailability of active market pricing. There were no transfers out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
30 |
September 30, 2022
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 96.6% | |||
Brazil - 3.4% | |||
3,213 | Banco do Brasil S.A. | $ 22,882 | |
7,721 | Equatorial Energia S.A. | 38,399 | |
1,370 | Hypera S.A. | 11,208 | |
34,438 | JBS S.A. | 159,938 | |
23,122 | Telefonica Brasil S.A. | 173,088 | |
53,005 | TIM S.A. | 118,380 | |
11,646 | Transmissora Alianca de Energia Eletrica S.A. | 83,865 | |
19,483 | Vale S.A. ADR | 259,514 | |
867,274 | |||
Chile - 0.4% | |||
161,724 | Banco de Chile | 14,379 | |
3,658 | Empresas COPEC S.A. | 23,680 | |
576 | Sociedad Quimica y Minera de Chile S.A. ADR | 52,272 | |
90,331 | |||
China - 20.8% | |||
738,000 | Agricultural Bank of China Ltd. Class H | 220,933 | |
14,000 | Alibaba Group Holding Ltd.* | 139,021 | |
44,500 | Anhui Conch Cement Co., Ltd. Class H | 141,155 | |
2,400 | ANTA Sports Products Ltd. | 25,437 | |
754,000 | Bank of China Ltd. Class H | 246,854 | |
343,000 | Bank of Communications Co., Ltd. Class H | 180,897 | |
2,500 | BYD Co., Ltd. Class H | 61,912 | |
362,000 | China CITIC Bank Corp. Ltd. Class H | 143,880 | |
441,000 | China Construction Bank Corp. Class H | 255,053 | |
239,000 | China Everbright Bank Co., Ltd. Class H | 65,764 | |
19,000 | China Life Insurance Co., Ltd. Class H | 24,349 | |
34,000 | China Longyuan Power Group Corp. Ltd. Class H | 42,663 | |
6,000 | China Mengniu Dairy Co., Ltd.* | 23,809 | |
32,000 | China Merchants Bank Co., Ltd. Class H | 148,792 | |
330,000 | China Minsheng Banking Corp. Ltd. Class H | 94,587 | |
44,000 | China National Building Material Co., Ltd. Class H | 33,687 | |
15,600 | China Pacific Insurance Group Co., Ltd. Class H | 28,736 | |
394,000 | China Petroleum & Chemical Corp. Class H | 169,146 | |
255,000 | China Railway Group Ltd. Class H | 125,065 | |
67,000 | China Shenhua Energy Co., Ltd. Class H | 200,149 | |
1,552,000 | China Tower Corp. Ltd. Class H(1) | 166,076 | |
37,500 | China Vanke Co., Ltd. Class H | 68,313 | |
143,000 | CITIC Ltd. | 134,804 | |
96,500 | COSCO Shipping Holdings Co., Ltd. Class H | 113,220 | |
138,000 | CSPC Pharmaceutical Group Ltd. | 136,771 | |
4,300 | ENN Energy Holdings Ltd. | 57,517 | |
68,000 | Guangzhou Automobile Group Co., Ltd. Class H | 48,510 | |
23,000 | Guotai Junan Securities Co., Ltd. Class H(1) | 24,436 | |
51,000 | Haier Smart Home Co., Ltd. Class H | 156,250 | |
11,000 | Huatai Securities Co., Ltd. Class H(1) | 12,107 | |
532,000 | Industrial & Commercial Bank of China Ltd. Class H | 249,399 | |
5,956 | JD.com, Inc. Class A | 150,685 | |
258,000 | Lenovo Group Ltd. | 179,452 | |
2,000 | Li Ning Co., Ltd. | 15,312 | |
8,500 | Longfor Group Holdings Ltd.(1) | 24,418 | |
2,100 | Meituan Class B*(1) | 44,301 | |
2,380 | NetEase, Inc. | 35,928 | |
16,100 | New China Life Insurance Co., Ltd. Class H | 30,724 | |
25,200 | New Oriental Education & Technology Group, Inc.* | 63,884 | |
3,200 | Nongfu Spring Co., Ltd. Class H(1) | 18,568 | |
453,000 | People's Insurance Co., Group of China Ltd. Class H* | 131,574 | |
406,000 | PetroChina Co., Ltd. Class H | 166,540 | |
140,000 | PICC Property & Casualty Co., Ltd. Class H | 145,174 | |
31,500 | Ping An Insurance Group Co. of China Ltd. Class H | 157,301 | |
308,000 | Postal Savings Bank of China Co., Ltd. Class H(1) | 181,663 | |
3,600 | Tencent Holdings Ltd. | 122,172 | |
131,000 | Want Want China Holdings Ltd. | 85,610 | |
15,200 | Xiaomi Corp. Class B*(1) | 17,350 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 96.6% - (continued) | |||
China - 20.8% - (continued) | |||
4,000 | Yanzhou Coal Mining Co., Ltd. Class H | $ 14,548 | |
3,479 | Yum China Holdings, Inc. | 164,661 | |
900 | Zhuzhou CRRC Times Electric Co., Ltd. Class H | 3,783 | |
888 | ZTO Express Cayman, Inc. | 21,301 | |
5,314,241 | |||
Hong Kong - 2.3% | |||
66,000 | China Overseas Land & Investment Ltd. | 171,939 | |
23,700 | China Resources Gas Group Ltd. | 75,328 | |
26,000 | China Resources Land Ltd. | 102,345 | |
4,500 | Orient Overseas International Ltd. | 78,823 | |
265,000 | Sino Biopharmaceutical Ltd. | 124,568 | |
8,000 | Wharf Holdings Ltd. | 25,631 | |
578,634 | |||
India - 16.1% | |||
1,125 | ACC Ltd. | 33,406 | |
582 | Apollo Hospitals Enterprise Ltd. | 31,360 | |
2,863 | Asian Paints Ltd. | 117,631 | |
11,201 | Aurobindo Pharma Ltd. | 70,303 | |
313 | Axis Bank Ltd. GDR | 14,085 | |
1,698 | Bajaj Auto Ltd. | 73,633 | |
893 | Balkrishna Industries Ltd. | 20,677 | |
2,826 | Bharat Electronics Ltd. | 3,507 | |
15,357 | Bharti Airtel Ltd. | 151,000 | |
14,318 | Bharti Infratel Ltd. | 34,752 | |
11,252 | Cipla Ltd. | 154,213 | |
70,596 | Coal India Ltd. | 184,189 | |
808 | Divi's Laboratories Ltd. | 36,801 | |
3,011 | Dr. Reddy's Laboratories Ltd. ADR | 157,596 | |
666 | Eicher Motors Ltd. | 30,058 | |
11,693 | Embassy Office Parks REIT | 49,709 | |
117,640 | GAIL India Ltd. | 125,881 | |
13,493 | HCL Technologies Ltd. | 154,640 | |
4,269 | Hero MotoCorp Ltd. | 133,772 | |
4,056 | Hindustan Unilever Ltd. | 134,439 | |
1,623 | Housing Development Finance Corp. Ltd. | 45,642 | |
2,246 | ICICI Bank Ltd. ADR | 47,099 | |
144,283 | Indian Oil Corp. Ltd. | 118,741 | |
12,334 | Infosys Ltd. ADR | 209,308 | |
13,134 | ITC Ltd. | 53,633 | |
3,921 | JSW Steel Ltd. | 30,444 | |
4,976 | Larsen & Toubro Ltd. | 113,018 | |
5,207 | Mahindra & Mahindra Ltd. | 81,173 | |
1,735 | Maruti Suzuki India Ltd. | 188,280 | |
325 | Mindtree Ltd. | 12,621 | |
2,345 | Mphasis Ltd. | 60,178 | |
86 | MRF Ltd. | 86,321 | |
48,759 | NTPC Ltd. | 95,688 | |
58,485 | Oil & Natural Gas Corp. Ltd. | 91,159 | |
116 | Page Industries Ltd. | 72,246 | |
25,017 | Petronet LNG Ltd. | 61,473 | |
173 | Pidilite Industries Ltd. | 5,721 | |
46,689 | Power Grid Corp. of India Ltd. | 121,786 | |
1,172 | Reliance Industries Ltd. GDR(1) | 68,562 | |
10,684 | Sun Pharmaceutical Industries Ltd. | 124,588 | |
6,354 | Tata Consultancy Services Ltd. | 234,673 | |
85,162 | Tata Steel Ltd. | 103,951 | |
8,165 | Tech Mahindra Ltd. | 101,230 | |
1,254 | Titan Co., Ltd. | 40,185 | |
2,441 | Torrent Pharmaceuticals Ltd. | 46,804 | |
633 | Tube Investments of India Ltd. | 21,354 | |
4,682 | TVS Motor Co., Ltd. | 59,409 |
31 |
September 30, 2022
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 96.6% - (continued) | |||
India - 16.1% - (continued) | |||
12,993 | Vedanta Ltd. | $ 43,131 | |
15,928 | Wipro Ltd. ADR | 75,021 | |
4,125,091 | |||
Indonesia - 4.4% | |||
72,000 | Adaro Energy Indonesia Tbk PT | 18,724 | |
461,300 | Astra International Tbk PT | 200,697 | |
189,400 | Bank Central Asia Tbk PT | 106,345 | |
42,800 | Bank Mandiri Persero Tbk PT | 26,491 | |
357,700 | Bank Rakyat Indonesia Persero Tbk PT | 105,472 | |
247,900 | Bukit Asam Tbk PT | 67,887 | |
17,000 | Indo Tambangraya Megah Tbk PT | 46,247 | |
38,900 | Indofood CBP Sukses Makmur Tbk PT | 22,097 | |
290,200 | Indofood Sukses Makmur Tbk PT | 114,822 | |
1,139,800 | Kalbe Farma Tbk PT | 136,978 | |
103,800 | Sumber Alfaria Trijaya Tbk PT | 16,292 | |
481,600 | Telkom Indonesia Persero Tbk PT | 141,056 | |
104,600 | Unilever Indonesia Tbk PT | 33,178 | |
43,400 | United Tractors Tbk PT | 93,555 | |
1,129,841 | |||
Malaysia - 3.7% | |||
71,046 | CIMB Group Holdings Bhd | 78,600 | |
98,300 | DiGi.Com Bhd | 71,653 | |
201,300 | Hartalega Holdings Bhd | 72,063 | |
16,200 | Hong Leong Bank Bhd | 71,620 | |
7,800 | IHH Healthcare Bhd | 9,925 | |
1,800 | Kuala Lumpur Kepong Bhd | 8,035 | |
82,044 | Malayan Banking Bhd | 151,809 | |
7,800 | MISC Bhd | 11,371 | |
83,000 | Petronas Chemicals Group Bhd | 150,177 | |
15,100 | Petronas Gas Bhd | 53,731 | |
30,000 | Public Bank Bhd | 27,367 | |
46,200 | RHB Bank Bhd | 55,396 | |
131,800 | Sime Darby Bhd | 60,826 | |
67,800 | Tenaga Nasional Bhd | 117,703 | |
940,276 | |||
Mexico - 3.7% | |||
16,086 | America Movil S.A.B. de C.V. Class L ADR | 264,936 | |
11,141 | Arca Continental S.A.B. de C.V. | 80,346 | |
2,667 | Coca-Cola Femsa S.A.B. de C.V. ADR | 155,726 | |
306 | Fomento Economico Mexicano S.A.B. de C.V. ADR | 19,202 | |
3,644 | Gruma S.A.B. de C.V. Class B | 34,756 | |
28,695 | Grupo Bimbo S.A.B. de C.V. Class A | 100,994 | |
9,600 | Grupo Financiero Banorte S.A.B. de C.V. Class O | 61,594 | |
7,991 | Grupo Mexico S.A.B. de C.V. Series B | 27,032 | |
21,558 | Kimberly-Clark de Mexico S.A.B. de C.V. Class A | 28,690 | |
50,354 | Wal-Mart de Mexico S.A.B. de C.V. | 177,125 | |
950,401 | |||
Philippines - 2.5% | |||
23,115 | ACEN Corp. | 2,208 | |
55,530 | BDO Unibank, Inc. | 105,614 | |
3,190 | Globe Telecom, Inc. | 110,460 | |
39,380 | International Container Terminal Services, Inc. | 105,192 | |
13,460 | Manila Electric Co. | 60,383 | |
6,855 | PLDT, Inc. | 176,330 | |
5,735 | SM Investments Corp. | 70,923 | |
31,900 | SM Prime Holdings, Inc. | 16,379 | |
647,489 | |||
Poland - 2.4% | |||
5,523 | Asseco Poland S.A. | 77,326 | |
7,959 | Cyfrowy Polsat S.A. | 25,864 | |
1,168 | Dino Polska S.A.*(1) | 71,419 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 96.6% - (continued) | |||
Poland - 2.4% - (continued) | |||
48,370 | Orange Polska S.A. | $ 50,750 | |
17,281 | Polski Koncern Naftowy ORLEN S.A. | 187,330 | |
2,336 | Powszechna Kasa Oszczednosci Bank Polski S.A. | 10,330 | |
38,212 | Powszechny Zaklad Ubezpieczen S.A. | 179,184 | |
602,203 | |||
Russia - 0.0% | |||
70,980 | Gazprom PJSC*(2) | — | |
3,097 | Gazprom PJSC ADR*(2) | — | |
310 | Lukoil PJSC(2) | — | |
87 | Lukoil PJSC ADR(2) | — | |
387 | MMC Norilsk Nickel PJSC*(2) | — | |
7 | MMC Norilsk Nickel PJSC ADR(2) | — | |
64,472 | Sberbank of Russia PJSC*(2) | — | |
172 | Yandex N.V. Class A*(2) | — | |
— | |||
South Africa - 2.7% | |||
24,055 | FirstRand Ltd. | 81,297 | |
9,418 | Investec plc | 38,174 | |
163 | Kumba Iron Ore Ltd. | 3,517 | |
2,347 | Mr. Price Group Ltd. | 22,564 | |
9,115 | MTN Group Ltd. | 60,799 | |
4,792 | MultiChoice Group Ltd. | 30,833 | |
900 | Naspers Ltd. Class N | 113,338 | |
1,259 | Remgro Ltd. | 9,299 | |
4,078 | Shoprite Holdings Ltd. | 49,236 | |
13,091 | Standard Bank Group Ltd. | 104,888 | |
16,587 | Vodacom Group Ltd. | 112,669 | |
18,693 | Woolworths Holdings Ltd. | 63,518 | |
690,132 | |||
South Korea - 11.4% | |||
6,554 | Cheil Worldwide, Inc. | 103,988 | |
3,242 | Coway Co., Ltd. | 122,139 | |
595 | DB HiTek Co., Ltd. | 15,533 | |
875 | DB Insurance Co., Ltd. | 33,760 | |
237 | E-Mart, Inc. | 13,898 | |
2,727 | GS Holdings Corp. | 79,483 | |
1,433 | Hana Financial Group, Inc. | 35,507 | |
2,208 | Hankook Tire & Technology Co., Ltd. | 54,401 | |
26 | Hanmi Pharm Co., Ltd. | 4,162 | |
2,900 | Hanon Systems | 16,864 | |
3,151 | HMM Co., Ltd. | 40,745 | |
313 | Hotel Shilla Co., Ltd. | 15,730 | |
105 | Hyundai Glovis Co., Ltd. | 11,926 | |
4,207 | Hyundai Marine & Fire Insurance Co., Ltd. | 86,157 | |
543 | Hyundai Mobis Co., Ltd. | 72,491 | |
1,135 | Hyundai Motor Co. | 140,021 | |
3,507 | Kia Corp. | 176,245 | |
49 | Korea Zinc Co., Ltd. | 20,378 | |
201 | Krafton, Inc.* | 29,503 | |
2,833 | KT&G Corp. | 171,481 | |
396 | Kumho Petrochemical Co., Ltd. | 31,969 | |
500 | LG Corp. | 25,861 | |
12,122 | LG Display Co., Ltd. | 101,673 | |
1,718 | LG Electronics, Inc. | 94,384 | |
596 | LG Innotek Co., Ltd. | 113,934 | |
23,718 | LG Uplus Corp. | 178,212 | |
360 | NAVER Corp. | 48,689 | |
58 | NCSoft Corp. | 14,027 | |
305 | Orion Corp. | 21,958 | |
340 | POSCO Holdings, Inc. | 50,143 | |
687 | Samsung C&T Corp. | 49,699 | |
1,185 | Samsung Electro-Mechanics Co., Ltd. | 92,766 |
32 |
September 30, 2022
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 96.6% - (continued) | |||
South Korea - 11.4% - (continued) | |||
6,218 | Samsung Electronics Co., Ltd. | $ 230,779 | |
617 | Samsung Fire & Marine Insurance Co., Ltd. | 79,351 | |
1,443 | Samsung SDS Co., Ltd. | 115,989 | |
833 | Shinhan Financial Group Co., Ltd. | 19,505 | |
589 | Shinsegae, Inc. | 95,100 | |
3,781 | SK Hynix, Inc. | 219,613 | |
135 | SK, Inc. | 18,117 | |
5,736 | Woori Financial Group, Inc. | 42,899 | |
694 | Yuhan Corp. | 26,340 | |
2,915,420 | |||
Taiwan - 15.8% | |||
189,000 | Acer, Inc. | 130,369 | |
3,000 | Advantech Co., Ltd. | 27,733 | |
38,000 | ASE Technology Holding Co., Ltd. | 95,871 | |
31,000 | Asustek Computer, Inc. | 228,480 | |
112,000 | AU Optronics Corp.* | 51,857 | |
21,000 | Catcher Technology Co., Ltd.* | 114,098 | |
59,000 | Cathay Financial Holding Co., Ltd. | 74,240 | |
31,000 | Cheng Shin Rubber Industry Co., Ltd. | 34,858 | |
120,000 | China Development Financial Holding Corp. | 45,356 | |
20,000 | China Steel Corp. | 16,819 | |
40,000 | Chunghwa Telecom Co., Ltd. | 143,627 | |
262,000 | Compal Electronics, Inc. | 179,073 | |
75,000 | CTBC Financial Holding Co., Ltd. | 46,891 | |
5,000 | Delta Electronics, Inc. | 39,844 | |
6,000 | Evergreen Marine Corp. Taiwan Ltd.* | 27,591 | |
53,000 | Far EasTone Telecommunications Co., Ltd. | 120,861 | |
10,860 | First Financial Holding Co., Ltd. | 8,894 | |
5,000 | Formosa Chemicals & Fibre Corp. | 10,882 | |
17,000 | Formosa Plastics Corp. | 46,370 | |
33,600 | Fubon Financial Holding Co., Ltd. | 52,809 | |
46,224 | Hon Hai Precision Industry Co., Ltd. | 148,504 | |
99,000 | Innolux Corp.* | 32,585 | |
174,000 | Inventec Corp. | 125,503 | |
1,000 | Largan Precision Co., Ltd. | 52,758 | |
87,245 | Lite-On Technology Corp. | 175,320 | |
1,000 | Lotes Co., Ltd. | 24,064 | |
100,000 | Macronix International Co., Ltd. | 98,113 | |
3,000 | MediaTek, Inc. | 52,065 | |
20,800 | Mega Financial Holding Co., Ltd. | 20,408 | |
34,000 | Micro-Star International Co., Ltd. | 115,122 | |
23,000 | Nan Ya Plastics Corp. | 48,465 | |
31,000 | Nanya Technology Corp. | 47,795 | |
13,000 | Novatek Microelectronics Corp. | 89,672 | |
63,000 | Pegatron Corp. | 116,082 | |
83,000 | Pou Chen Corp. | 74,506 | |
30,000 | Powerchip Semiconductor Manufacturing Corp. | 26,930 | |
43,000 | Powertech Technology, Inc. | 104,422 | |
10,000 | President Chain Store Corp. | 88,979 | |
50,000 | Quanta Computer, Inc. | 121,264 | |
6,000 | Realtek Semiconductor Corp. | 51,025 | |
62,940 | SinoPac Financial Holdings Co., Ltd. | 34,296 | |
103,000 | Synnex Technology International Corp. | 171,294 | |
31,611 | Taiwan Cooperative Financial Holding Co., Ltd. | 26,136 | |
37,000 | Taiwan Mobile Co., Ltd. | 111,411 | |
1,798 | Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 123,271 | |
27,000 | Uni-President Enterprises Corp. | 57,233 | |
43,000 | United Microelectronics Corp.* | 48,419 | |
7,000 | Vanguard International Semiconductor Corp. | 14,331 | |
34,000 | Winbond Electronics Corp. | 21,150 | |
112,686 | Wistron Corp. | 94,233 | |
75,000 | WPG Holdings Ltd. | 109,728 | |
6,000 | Yang Ming Marine Transport Corp. | 11,622 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 96.6% - (continued) | |||
Taiwan - 15.8% - (continued) | |||
33,580 | Yuanta Financial Holding Co., Ltd. | $ 20,677 | |
26,000 | Zhen Ding Technology Holding Ltd. | 86,806 | |
4,040,712 | |||
Thailand - 4.4% | |||
46,726 | Advanced Info Service PCL NVDR | 241,558 | |
358,200 | Bangkok Chain Hospital PCL NVDR | 169,034 | |
242,200 | Bangkok Dusit Medical Services PCL NVDR | 189,419 | |
7,600 | Bumrungrad Hospital PCL NVDR | 45,737 | |
15,600 | Com7 PCL NVDR | 11,994 | |
33,500 | CP ALL PCL NVDR | 49,957 | |
64,600 | Home Product Center PCL NVDR | 23,120 | |
75,000 | Krung Thai Bank PCL NVDR | 33,205 | |
16,200 | PTT Exploration & Production PCL NVDR | 68,932 | |
85,900 | PTT Oil & Retail Business PCL NVDR NVDR | 58,641 | |
94,700 | PTT PCL NVDR | 85,360 | |
16,200 | Siam Cement PCL NVDR | 140,011 | |
8,900 | Supalai PCL NVDR | 4,459 | |
1,121,427 | |||
Turkey - 2.6% | |||
22,157 | Aksa Akrilik Kimya Sanayii AS | 68,783 | |
26,929 | BIM Birlesik Magazalar AS | 168,066 | |
89,266 | Eregli Demir ve Celik Fabrikalari T.A.S. | 139,543 | |
33,790 | Haci Omer Sabanci Holding AS | 46,989 | |
16,871 | KOC Holding AS | 41,316 | |
4,376 | Turk Hava Yollari AO* | 16,665 | |
27,368 | Turkcell Iletisim Hizmetleri AS | 29,260 | |
9,394 | Turkiye Is Bankasi A/S Class C | 3,811 | |
113,580 | Turkiye Sise ve Cam Fabrikalari AS | 155,741 | |
670,174 | |||
Total Common Stocks (cost $29,140,013) | $ 24,683,646 | ||
PREFERRED STOCKS - 2.6% | |||
Brazil - 2.3% | |||
24,358 | Banco Bradesco S.A. (Preference Shares) | $ 89,347 | |
12,930 | Cia Energetica de Minas Gerais (Preference Shares) | 25,722 | |
88,449 | Cia Paranaense de Energia (Preference Shares) | 107,600 | |
17,058 | Gerdau S.A. (Preference Shares) | 77,077 | |
24,110 | Itau Unibanco Holding S.A. (Preference Shares) | 125,078 | |
14,509 | Itausa S.A. (Preference Shares) | 26,100 | |
25,193 | Petroleo Brasileiro S.A. (Preference Shares) | 138,800 | |
589,724 | |||
Colombia - 0.3% | |||
13,470 | Bancolombia S.A. (Preference Shares) | 82,157 | |
Total Preferred Stocks (cost $692,817) | $ 671,881 | ||
RIGHTS - 0.0% | |||
Philippines - 0.0% | |||
383 | Globe Telecom, Inc.* | $ 2,287 | |
Total Rights (cost $—) | $ 2,287 | ||
Total Long-Term Investments (cost $29,832,830) | $ 25,357,814 | ||
Total Investments (cost $29,832,830) | 99.2% | $ 25,357,814 | |
Other Assets and Liabilities | 0.8% | 197,217 | |
Total Net Assets | 100.0% | $ 25,555,031 |
33 |
September 30, 2022
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) | 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, 2022, the aggregate value of these securities was $628,900, representing 2.5% of net assets. |
(2) | Investment valued using significant unobservable inputs. |
Futures Contracts Outstanding at September 30, 2022 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
MSCI Emerging Markets Index Future | 3 | 12/16/2022 | $ 130,725 | $ (17,571) | ||||
Total futures contracts | $ (17,571) |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Brazil | $ 867,274 | $ 867,274 | $ — | $ — | ||||
Chile | 90,331 | 90,331 | — | — | ||||
China | 5,314,241 | 5,314,241 | — | — | ||||
Hong Kong | 578,634 | 578,634 | — | — | ||||
India | 4,125,091 | 4,125,091 | — | — | ||||
Indonesia | 1,129,841 | 1,129,841 | — | — | ||||
Malaysia | 940,276 | 940,276 | — | — | ||||
Mexico | 950,401 | 950,401 | — | — | ||||
Philippines | 647,489 | 647,489 | — | — | ||||
Poland | 602,203 | 602,203 | — | — | ||||
Russia | — | — | — | — | ||||
South Africa | 690,132 | 690,132 | — | — | ||||
South Korea | 2,915,420 | 2,915,420 | — | — | ||||
Taiwan | 4,040,712 | 3,956,270 | 84,442 | — | ||||
Thailand | 1,121,427 | 1,121,427 | — | — | ||||
Turkey | 670,174 | 670,174 | — | — | ||||
Preferred Stocks | 671,881 | 671,881 | — | — | ||||
Rights | 2,287 | — | 2,287 | — | ||||
Total | $ 25,357,814 | $ 25,271,085 | $ 86,729 | $ — | ||||
Liabilities | ||||||||
Futures Contracts(2) | $ (17,571) | $ (17,571) | $ — | $ — | ||||
Total | $ (17,571) | $ (17,571) | $ — | $ — |
(1) | For the year ended September 30, 2022, investments valued at $829,337 were transferred into Level 3 due to the unavailability of active market pricing. There were no transfers out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
34 |
September 30, 2022
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.7% | |||
Automobiles & Components - 0.6% | |||
269 | LCI Industries | $ 27,293 | |
4,304 | Standard Motor Products, Inc. | 139,880 | |
53 | Winnebago Industries, Inc. | 2,820 | |
169,993 | |||
Banks - 9.7% | |||
1,397 | Ameris Bancorp | 62,460 | |
2,201 | Associated Banc-Corp. | 44,196 | |
1,789 | Bankwell Financial Group, Inc. | 52,078 | |
1,505 | Banner Corp. | 88,915 | |
4,879 | BCB Bancorp, Inc. | 82,114 | |
838 | Cathay General Bancorp | 32,229 | |
948 | Central Pacific Financial Corp. | 19,614 | |
341 | City Holding Co. | 30,243 | |
434 | Community Trust Bancorp, Inc. | 17,599 | |
447 | Eagle Bancorp, Inc. | 20,035 | |
122 | Enterprise Financial Services Corp. | 5,373 | |
477 | Farmers National Banc Corp. | 6,244 | |
2,304 | Financial Institutions, Inc. | 55,457 | |
11,976 | First BanCorp | 166,145 | |
3,990 | First Busey Corp. | 87,700 | |
1,928 | First Financial Corp. | 87,126 | |
1,590 | First Hawaiian, Inc. | 39,162 | |
332 | First Merchants Corp. | 12,842 | |
5,492 | Fulton Financial Corp. | 86,774 | |
166 | Great Southern Bancorp, Inc. | 9,474 | |
5,130 | Hanmi Financial Corp. | 121,478 | |
757 | Heartland Financial USA, Inc. | 32,823 | |
2,587 | Heritage Financial Corp. | 68,478 | |
2,710 | Hilltop Holdings, Inc. | 67,343 | |
677 | HomeStreet, Inc. | 19,504 | |
9,152 | Hope Bancorp, Inc. | 115,681 | |
1,727 | Independent Bank Corp. | 32,986 | |
2,307 | International Bancshares Corp. | 98,047 | |
471 | Midland States Bancorp, Inc. | 11,101 | |
147 | National Bank Holdings Corp. Class A | 5,437 | |
1,543 | NBT Bancorp, Inc. | 58,557 | |
220 | Northrim BanCorp, Inc. | 9,143 | |
4,642 | Northwest Bancshares, Inc. | 62,713 | |
2,396 | OceanFirst Financial Corp. | 44,661 | |
302 | Park National Corp. | 37,593 | |
2,581 | PCB Bancorp | 46,639 | |
1,243 | Preferred Bank | 81,081 | |
139 | QCR Holdings, Inc. | 7,081 | |
852 | Renasant Corp. | 26,651 | |
1,643 | Republic Bancorp, Inc. Class A | 62,927 | |
3,055 | S&T Bancorp, Inc. | 89,542 | |
605 | Simmons First National Corp. Class A | 13,183 | |
4,272 | Towne Bank | 114,618 | |
811 | TriCo Bancshares | 36,211 | |
1,458 | TrustCo Bank Corp. NY | 45,810 | |
3,385 | Trustmark Corp. | 103,683 | |
3,168 | Univest Financial Corp. | 74,385 | |
272 | Washington Federal, Inc. | 8,155 | |
218 | Washington Trust Bancorp, Inc. | 10,133 | |
3,769 | Waterstone Financial, Inc. | 60,907 | |
2,619 | WesBanco, Inc. | 87,396 | |
2,659,727 | |||
Capital Goods - 6.8% | |||
78 | Alamo Group, Inc. | 9,537 | |
1,981 | Argan, Inc. | 63,729 | |
3,037 | BlueLinx Holdings, Inc.* | 188,598 | |
4,431 | Boise Cascade Co. | 263,467 | |
2,243 | Encore Wire Corp. | 259,156 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.7% - (continued) | |||
Capital Goods - 6.8% - (continued) | |||
162 | Federal Signal Corp. | $ 6,046 | |
1,524 | Global Industrial Co. | 40,889 | |
3,136 | GMS, Inc.* | 125,471 | |
9,734 | GrafTech International Ltd. | 41,954 | |
19,255 | Hudson Technologies, Inc.* | 141,524 | |
1,807 | Insteel Industries, Inc. | 47,940 | |
167 | Kadant, Inc. | 27,857 | |
626 | McGrath Rent Corp. | 52,496 | |
4,232 | Mueller Industries, Inc. | 251,550 | |
1,121 | MYR Group, Inc.* | 94,982 | |
3,765 | Quanex Building Products Corp. | 68,373 | |
1,832 | Rush Enterprises, Inc. Class A | 80,352 | |
1,078 | Veritiv Corp.* | 105,396 | |
1,869,317 | |||
Commercial & Professional Services - 4.6% | |||
716 | Barrett Business Services, Inc. | 55,848 | |
2,992 | Brady Corp. Class A | 124,856 | |
1,503 | Deluxe Corp. | 25,025 | |
5,475 | Ennis, Inc. | 110,212 | |
1,954 | Healthcare Services Group, Inc. | 23,624 | |
4,113 | Heidrick & Struggles International, Inc. | 106,897 | |
6,724 | HNI Corp. | 178,253 | |
6,747 | Kelly Services, Inc. Class A | 91,692 | |
3,082 | Kforce, Inc. | 180,759 | |
4,615 | RCM Technologies, Inc.* | 77,024 | |
11,376 | Resources Connection, Inc. | 205,564 | |
1,117 | TrueBlue, Inc.* | 21,313 | |
305 | UniFirst Corp. | 51,310 | |
1,252,377 | |||
Consumer Durables & Apparel - 5.1% | |||
1,321 | Acushnet Holdings Corp. | 57,450 | |
5,885 | Bassett Furniture Industries, Inc. | 92,277 | |
540 | Carter's, Inc. | 35,386 | |
481 | Century Communities, Inc. | 20,577 | |
7,223 | Ethan Allen Interiors, Inc. | 152,694 | |
495 | Green Brick Partners, Inc.* | 10,583 | |
1,037 | Johnson Outdoors, Inc. Class A | 53,209 | |
3,154 | Kontoor Brands, Inc. | 106,006 | |
292 | La-Z-Boy, Inc. | 6,590 | |
7,124 | Levi Strauss & Co. Class A | 103,084 | |
605 | MDC Holdings, Inc. | 16,589 | |
7,125 | Movado Group, Inc. | 200,783 | |
1,434 | Oxford Industries, Inc. | 128,745 | |
13,915 | Smith & Wesson Brands, Inc. | 144,299 | |
3,841 | Sturm Ruger & Co., Inc. | 195,084 | |
2,647 | Vista Outdoor, Inc.* | 64,375 | |
1,387,731 | |||
Consumer Services - 0.9% | |||
17 | Graham Holdings Co. Class B | 9,146 | |
11,408 | Perdoceo Education Corp.* | 117,502 | |
2,837 | Stride, Inc.* | 119,239 | |
245,887 | |||
Diversified Financials - 1.4% | |||
1,720 | A-Mark Precious Metals, Inc. | 48,831 | |
6,553 | Bridge Investment Group Holdings, Inc. | 95,019 | |
8,730 | Cherry Hill Mortgage Investment Corp. REIT(1) | 42,864 | |
1,211 | Cowen, Inc. Class A | 46,793 | |
3,504 | Oppenheimer Holdings, Inc. Class A | 108,554 | |
2,739 | Virtu Financial, Inc. Class A | 56,889 | |
398,950 |
35 |
September 30, 2022
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.7% - (continued) | |||
Energy - 4.4% | |||
1,369 | Alpha Metallurgical Resources, Inc. | $ 187,334 | |
2,064 | Arch Resources, Inc. | 244,790 | |
711 | Civitas Resources, Inc. | 40,804 | |
1,273 | CONSOL Energy, Inc. | 81,879 | |
972 | CVR Energy, Inc. | 28,169 | |
345 | Dorian LPG Ltd. | 4,682 | |
2,124 | NACCO Industries, Inc. | 99,892 | |
661 | Peabody Energy Corp.* | 16,406 | |
9,360 | Ramaco Resources, Inc. | 86,112 | |
4,896 | Sitio Royalties Corp. | 108,251 | |
34,255 | VAALCO Energy, Inc.(1) | 149,352 | |
5,458 | Warrior Met Coal, Inc. | 155,225 | |
1,202,896 | |||
Food & Staples Retailing - 3.9% | |||
1,202 | Andersons, Inc. | 37,298 | |
3,300 | Ingles Markets, Inc. Class A | 261,393 | |
6,415 | SpartanNash Co. | 186,163 | |
6,327 | Sprouts Farmers Market, Inc.* | 175,574 | |
4,384 | United Natural Foods, Inc.* | 150,678 | |
3,698 | Weis Markets, Inc. | 263,446 | |
1,074,552 | |||
Food, Beverage & Tobacco - 1.7% | |||
312 | Cal-Maine Foods, Inc. | 17,344 | |
418 | Coca-Cola Consolidated, Inc. | 172,103 | |
1,073 | John B Sanfilippo & Son, Inc. | 81,258 | |
1,223 | Universal Corp. | 56,307 | |
14,555 | Vector Group Ltd. | 128,230 | |
455,242 | |||
Health Care Equipment & Services - 8.8% | |||
489 | AdaptHealth Corp. Class A* | 9,183 | |
456 | Addus HomeCare Corp.* | 43,430 | |
8,977 | Allscripts Healthcare Solutions, Inc.* | 136,720 | |
96 | Atrion Corp. | 54,240 | |
39,608 | Co-Diagnostics, Inc.*(1) | 127,142 | |
3,986 | Computer Programs & Systems, Inc.* | 111,130 | |
780 | Corvel Corp.* | 107,975 | |
11,954 | Cross Country Healthcare, Inc.* | 339,135 | |
2,501 | Fulgent Genetics, Inc.* | 95,338 | |
365 | Haemonetics Corp.* | 27,021 | |
1,109 | InfuSystem Holdings, Inc.* | 7,752 | |
480 | Integer Holdings Corp.* | 29,870 | |
764 | iRadimed Corp. | 22,966 | |
3,062 | LeMaitre Vascular, Inc. | 155,182 | |
8,959 | Meridian Bioscience, Inc.* | 282,477 | |
898 | Merit Medical Systems, Inc.* | 50,746 | |
1,721 | National HealthCare Corp. | 109,008 | |
2,556 | NextGen Healthcare, Inc.* | 45,241 | |
606 | Orthofix Medical, Inc.* | 11,581 | |
6,141 | Owens & Minor, Inc. | 147,998 | |
11,414 | Patterson Cos., Inc. | 274,164 | |
1,412 | Select Medical Holdings Corp. | 31,205 | |
5,501 | Sensus Healthcare, Inc.* | 68,928 | |
671 | Utah Medical Products, Inc. | 57,243 | |
2,372 | Varex Imaging Corp.* | 50,144 | |
3,344 | Zynex, Inc.(1) | 30,330 | |
2,426,149 | |||
Household & Personal Products - 0.5% | |||
623 | Central Garden & Pet Co. Class A* | 21,282 | |
2,237 | Nu Skin Enterprises, Inc. Class A | 74,649 | |
668 | USANA Health Sciences, Inc.* | 37,441 | |
133,372 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.7% - (continued) | |||
Insurance - 4.4% | |||
2,895 | American Equity Investment Life Holding Co. | $ 107,955 | |
445 | Assured Guaranty Ltd. | 21,560 | |
8,452 | CNO Financial Group, Inc. | 151,882 | |
5,136 | Donegal Group, Inc. Class A | 69,285 | |
4,456 | Employers Holdings, Inc. | 153,687 | |
25,488 | Genworth Financial, Inc. Class A* | 89,208 | |
2,783 | Horace Mann Educators Corp. | 98,212 | |
349 | National Western Life Group, Inc. Class A | 59,609 | |
4,203 | ProAssurance Corp. | 82,001 | |
1,694 | Safety Insurance Group, Inc. | 138,163 | |
2,615 | Stewart Information Services Corp. | 114,119 | |
3,956 | United Fire Group, Inc. | 113,656 | |
857 | Universal Insurance Holdings, Inc. | 8,441 | |
1,207,778 | |||
Materials - 3.6% | |||
2,897 | AdvanSix, Inc. | 92,994 | |
3,431 | Greif, Inc. Class A | 204,385 | |
388 | Hawkins, Inc. | 15,128 | |
1,807 | Kronos Worldwide, Inc. | 16,877 | |
3,547 | Mercer International, Inc. | 43,628 | |
1,342 | Myers Industries, Inc. | 22,103 | |
3,643 | Olympic Steel, Inc. | 83,097 | |
5,650 | Ryerson Holding Corp. | 145,431 | |
4,686 | Schnitzer Steel Industries, Inc. Class A | 133,363 | |
328 | Stepan Co. | 30,724 | |
1,386 | SunCoke Energy, Inc. | 8,053 | |
4,505 | TimkenSteel Corp.* | 67,530 | |
3,071 | Tredegar Corp. | 28,990 | |
1,506 | Trinseo plc | 27,590 | |
328 | Tronox Holdings plc Class A | 4,018 | |
1,530 | Worthington Industries, Inc. | 58,354 | |
982,265 | |||
Media & Entertainment - 2.3% | |||
1,025 | AMC Networks, Inc. Class A* | 20,807 | |
21,435 | Entravision Communications Corp. Class A | 85,097 | |
4,976 | John Wiley & Sons, Inc. Class A | 186,899 | |
1,728 | Scholastic Corp. | 53,153 | |
5,914 | Sciplay Corp.* | 69,549 | |
841 | Sinclair Broadcast Group, Inc. | 15,214 | |
3,722 | Thryv Holdings, Inc.* | 84,973 | |
1,400 | World Wrestling Entertainment, Inc. Class A | 98,238 | |
2,293 | XPERI Holding Corp. | 32,423 | |
646,353 | |||
Pharmaceuticals, Biotechnology & Life Sciences - 9.5% | |||
5,295 | Amphastar Pharmaceuticals, Inc.* | 148,790 | |
37,779 | Assertio Holdings, Inc.* | 85,758 | |
21,110 | Catalyst Pharmaceuticals, Inc.* | 270,841 | |
2,968 | Collegium Pharmaceutical, Inc.* | 47,547 | |
9,765 | Corcept Therapeutics, Inc.* | 250,375 | |
5,239 | Eagle Pharmaceuticals, Inc.* | 138,414 | |
1,060 | Emergent BioSolutions, Inc.* | 22,249 | |
2,365 | Harmony Biosciences Holdings, Inc.* | 104,746 | |
11,475 | Innoviva, Inc.* | 133,225 | |
14,400 | Ironwood Pharmaceuticals, Inc. Class A* | 149,184 | |
2,091 | iTeos Therapeutics, Inc.* | 39,834 | |
2,136 | Maravai LifeSciences Holdings, Inc. Class A* | 54,532 | |
11,021 | Organogenesis Holdings, Inc. Class A* | 35,708 | |
639 | Pacira BioSciences, Inc.* | 33,988 | |
6,781 | Phibro Animal Health Corp. Class A | 90,120 | |
2,638 | Prestige Consumer Healthcare, Inc.* | 131,452 | |
20,908 | SIGA Technologies, Inc. | 215,352 | |
7,194 | Supernus Pharmaceuticals, Inc.* | 243,517 |
36 |
September 30, 2022
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.7% - (continued) | |||
Pharmaceuticals, Biotechnology & Life Sciences - 9.5% - (continued) | |||
7,407 | uniQure N.V.* | $ 138,955 | |
14,254 | Vanda Pharmaceuticals, Inc.* | 140,830 | |
6,855 | Vir Biotechnology, Inc.* | 132,164 | |
2,607,581 | |||
Real Estate - 4.9% | |||
2,908 | Armada Hoffler Properties, Inc. REIT | 30,185 | |
3,748 | Brandywine Realty Trust | 25,299 | |
3,188 | BRT Apartments Corp. | 64,748 | |
269 | Centerspace REIT | 18,109 | |
16,309 | City Office, Inc. REIT | 162,601 | |
582 | Corporate Office Properties Trust REIT | 13,520 | |
5,887 | CTO Realty Growth, Inc. | 110,322 | |
830 | Forestar Group, Inc.* | 9,288 | |
56,771 | Franklin Street Properties Corp. | 149,308 | |
848 | Getty Realty Corp. REIT | 22,803 | |
1,542 | Industrial Logistics Properties Trust | 8,481 | |
874 | iStar, Inc. REIT | 8,093 | |
6,986 | Kennedy-Wilson Holdings, Inc. | 108,003 | |
1,000 | LTC Properties, Inc. REIT | 37,450 | |
3,899 | LXP Industrial Trust REIT | 35,715 | |
2,170 | Marcus & Millichap, Inc. REIT | 71,133 | |
2,909 | Newmark Group, Inc. Class A | 23,446 | |
136 | NexPoint Residential Trust, Inc. REIT | 6,285 | |
4,922 | Piedmont Office Realty Trust, Inc. Class A, REIT | 51,976 | |
3,363 | PotlatchDeltic Corp. REIT | 138,017 | |
4,536 | RMR Group, Inc. Class A | 107,458 | |
4,074 | RPT Realty REIT | 30,799 | |
5,205 | UMH Properties, Inc. | 84,061 | |
713 | Universal Health Realty Income Trust | 30,809 | |
1,347,909 | |||
Retailing - 7.8% | |||
6,291 | Aaron's Co., Inc. | 61,148 | |
3,541 | Abercrombie & Fitch Co. Class A* | 55,063 | |
3,446 | Academy Sports & Outdoors, Inc. | 145,352 | |
316 | Asbury Automotive Group, Inc.* | 47,748 | |
10,454 | Big 5 Sporting Goods Corp.(1) | 112,276 | |
6,912 | Buckle, Inc. | 218,834 | |
1,795 | Build-A-Bear Workshop, Inc. | 23,927 | |
6,314 | Caleres, Inc. | 152,925 | |
1,167 | Camping World Holdings, Inc. Class A | 29,548 | |
7,757 | Cato Corp. Class A | 74,002 | |
3,264 | Designer Brands, Inc. | 49,972 | |
751 | Dillard's, Inc. Class A(1) | 204,843 | |
158 | Foot Locker, Inc. | 4,919 | |
656 | Group 1 Automotive, Inc. | 93,723 | |
10,042 | Haverty Furniture Cos., Inc. | 250,046 | |
2,794 | Hibbett, Inc. | 139,169 | |
2,371 | MarineMax, Inc.* | 70,632 | |
1,291 | Nordstrom, Inc. | 21,598 | |
1,095 | Penske Automotive Group, Inc. | 107,781 | |
6,786 | Rent-A-Center, Inc. | 118,823 | |
4,205 | Sally Beauty Holdings, Inc.* | 52,983 | |
1,105 | Shoe Carnival, Inc. | 23,691 | |
102 | Shutterstock, Inc. | 5,117 | |
458 | Signet Jewelers Ltd. | 26,193 | |
4,617 | Sportsman's Warehouse Holdings, Inc.* | 38,321 | |
302 | Zumiez, Inc.* | 6,502 | |
2,135,136 | |||
Semiconductors & Semiconductor Equipment - 2.5% | |||
780 | Alpha & Omega Semiconductor Ltd.* | 23,993 | |
9,980 | Amkor Technology, Inc. | 170,159 | |
543 | Axcelis Technologies, Inc.* | 32,884 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.7% - (continued) | |||
Semiconductors & Semiconductor Equipment - 2.5% - (continued) | |||
324 | Cohu, Inc.* | $ 8,352 | |
5,387 | Kulicke & Soffa Industries, Inc. | 207,561 | |
10,233 | Magnachip Semiconductor Corp.* | 104,786 | |
8,758 | Photronics, Inc.* | 128,042 | |
675,777 | |||
Software & Services - 2.5% | |||
9,265 | A10 Networks, Inc. | 122,947 | |
6,440 | Conduent, Inc.* | 21,510 | |
3,633 | CSG Systems International, Inc. | 192,113 | |
650 | Evertec, Inc. | 20,377 | |
6,043 | Hackett Group, Inc. | 107,082 | |
20,923 | Information Services Group, Inc. | 99,593 | |
1,261 | Progress Software Corp. | 53,656 | |
5,822 | Rimini Street, Inc.* | 27,130 | |
915 | TTEC Holdings, Inc. | 40,544 | |
684,952 | |||
Technology Hardware & Equipment - 6.6% | |||
2,633 | Aviat Networks, Inc.* | 72,091 | |
2,234 | Bel Fuse, Inc. | 56,408 | |
318 | Belden, Inc. | 19,086 | |
2,054 | Benchmark Electronics, Inc. | 50,898 | |
4,231 | ePlus, Inc.* | 175,756 | |
4,128 | Garrett Motion, Inc.* | 23,323 | |
1,866 | Insight Enterprises, Inc.* | 153,777 | |
692 | Kimball Electronics, Inc.* | 11,868 | |
3,637 | Methode Electronics, Inc. | 135,115 | |
1,168 | OSI Systems, Inc.* | 84,166 | |
1,267 | PC Connection, Inc. | 57,129 | |
951 | Plexus Corp.* | 83,270 | |
6,150 | Richardson Electronics Ltd. | 92,865 | |
4,748 | Sanmina Corp.* | 218,788 | |
4,953 | ScanSource, Inc.* | 130,809 | |
3,657 | Super Micro Computer, Inc.* | 201,391 | |
13,638 | Vishay Intertechnology, Inc. | 242,620 | |
384 | Vishay Precision Group, Inc.* | 11,363 | |
1,820,723 | |||
Telecommunication Services - 1.4% | |||
4,016 | EchoStar Corp. Class A* | 66,144 | |
681 | IDT Corp. Class B* | 16,909 | |
16,116 | Telephone & Data Systems, Inc. | 224,012 | |
2,788 | United States Cellular Corp.* | 72,572 | |
379,637 | |||
Transportation - 5.3% | |||
1,508 | ArcBest Corp. | 109,677 | |
323 | Atlas Air Worldwide Holdings, Inc.* | 30,869 | |
2,828 | Covenant Logistics Group, Inc. | 81,164 | |
4,374 | Eagle Bulk Shipping, Inc. | 188,869 | |
12,662 | Genco Shipping & Trading Ltd. | 158,655 | |
1,990 | Hub Group, Inc. Class A* | 137,270 | |
2,970 | Marten Transport Ltd. | 56,905 | |
2,198 | Matson, Inc. | 135,221 | |
26,441 | Pangaea Logistics Solutions Ltd. | 122,157 | |
11,333 | Schneider National, Inc. Class B | 230,060 | |
2,251 | Universal Logistics Holdings, Inc. | 71,402 | |
3,660 | Werner Enterprises, Inc. | 137,616 | |
1,459,865 | |||
Utilities - 0.5% | |||
618 | Avista Corp. | 22,897 | |
235 | Northwest Natural Holding Co. | 10,194 |
37 |
September 30, 2022
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.7% - (continued) | |||
Utilities - 0.5% - (continued) | |||
958 | Otter Tail Corp. | $ 58,936 | |
1,013 | Unitil Corp. | 47,054 | |
139,081 | |||
Total Common Stocks (cost $32,228,767) | $ 27,363,250 | ||
SHORT-TERM INVESTMENTS - 1.0% | |||
Securities Lending Collateral - 1.0% | |||
42,647 | Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 2.91%(2) | $ 42,647 | |
142,154 | HSBC US Government Money Market Fund, 2.91%(2) | 142,154 | |
42,646 | Invesco Government & Agency Portfolio, Institutional Class, 2.95%(2) | 42,646 | |
42,646 | Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 2.81%(2) | 42,646 | |
Total Short-Term Investments (cost $270,093) | $ 270,093 | ||
Total Investments (cost $32,498,860) | 100.7% | $ 27,633,343 | |
Other Assets and Liabilities | (0.7)% | (179,711) | |
Total Net Assets | 100.0% | $ 27,453,632 |
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, 2022 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
E-Mini Russell 2000 | 1 | 12/16/2022 | $ 83,490 | $ (8,805) | ||||
Total futures contracts | $ (8,805) |
38 |
September 30, 2022
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Automobiles & Components | $ 169,993 | $ 169,993 | $ — | $ — | ||||
Banks | 2,659,727 | 2,659,727 | — | — | ||||
Capital Goods | 1,869,317 | 1,869,317 | — | — | ||||
Commercial & Professional Services | 1,252,377 | 1,252,377 | — | — | ||||
Consumer Durables & Apparel | 1,387,731 | 1,387,731 | — | — | ||||
Consumer Services | 245,887 | 245,887 | — | — | ||||
Diversified Financials | 398,950 | 398,950 | — | — | ||||
Energy | 1,202,896 | 1,202,896 | — | — | ||||
Food & Staples Retailing | 1,074,552 | 1,074,552 | — | — | ||||
Food, Beverage & Tobacco | 455,242 | 455,242 | — | — | ||||
Health Care Equipment & Services | 2,426,149 | 2,426,149 | — | — | ||||
Household & Personal Products | 133,372 | 133,372 | — | — | ||||
Insurance | 1,207,778 | 1,207,778 | — | — | ||||
Materials | 982,265 | 982,265 | — | — | ||||
Media & Entertainment | 646,353 | 646,353 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 2,607,581 | 2,607,581 | — | — | ||||
Real Estate | 1,347,909 | 1,347,909 | — | — | ||||
Retailing | 2,135,136 | 2,135,136 | — | — | ||||
Semiconductors & Semiconductor Equipment | 675,777 | 675,777 | — | — | ||||
Software & Services | 684,952 | 684,952 | — | — | ||||
Technology Hardware & Equipment | 1,820,723 | 1,820,723 | — | — | ||||
Telecommunication Services | 379,637 | 379,637 | — | — | ||||
Transportation | 1,459,865 | 1,459,865 | — | — | ||||
Utilities | 139,081 | 139,081 | — | — | ||||
Short-Term Investments | 270,093 | 270,093 | — | — | ||||
Total | $ 27,633,343 | $ 27,633,343 | $ — | $ — | ||||
Liabilities | ||||||||
Futures Contracts(2) | $ (8,805) | $ (8,805) | $ — | $ — | ||||
Total | $ (8,805) | $ (8,805) | $ — | $ — |
(1) | For the year ended September 30, 2022, 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. |
39 |
September 30, 2022
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.6% | |||
Automobiles & Components - 0.1% | |||
63 | Ford Motor Co. | $ 706 | |
17,107 | Gentex Corp. | 407,831 | |
408,537 | |||
Banks - 2.2% | |||
65,095 | Bank of America Corp. | 1,965,869 | |
9,482 | Citigroup, Inc. | 395,115 | |
23,120 | CVB Financial Corp. | 585,398 | |
9,756 | First Interstate BancSystem, Inc. Class A | 393,654 | |
21,717 | JP Morgan Chase & Co. | 2,269,426 | |
770 | M&T Bank Corp. | 135,766 | |
5,024 | New York Community Bancorp, Inc. | 42,855 | |
1,350 | PNC Financial Services Group, Inc. | 201,717 | |
2,453 | Prosperity Bancshares, Inc. | 163,566 | |
6,966 | SouthState Corp. | 551,150 | |
940 | U.S. Bancorp | 37,901 | |
216 | UMB Financial Corp. | 18,207 | |
153 | Umpqua Holdings Corp. | 2,615 | |
4,637 | United Bankshares, Inc. | 165,773 | |
9,062 | Wells Fargo & Co. | 364,474 | |
2,934 | Zions Bancorp NA | 149,223 | |
7,442,709 | |||
Capital Goods - 5.1% | |||
8,466 | 3M Co. | 935,493 | |
2,532 | A.O. Smith Corp. | 123,004 | |
11,363 | BWX Technologies, Inc. | 572,354 | |
1,392 | Carlisle Cos., Inc. | 390,331 | |
1,576 | Carrier Global Corp. | 56,043 | |
272 | Caterpillar, Inc. | 44,630 | |
4,201 | Cummins, Inc. | 854,945 | |
24,543 | Fastenal Co. | 1,129,960 | |
3,592 | General Dynamics Corp. | 762,115 | |
45 | Graco, Inc. | 2,698 | |
2,644 | Huntington Ingalls Industries, Inc. | 585,646 | |
1,624 | Illinois Tool Works, Inc. | 293,376 | |
81 | Johnson Controls International plc | 3,987 | |
4,511 | L3Harris Technologies, Inc. | 937,521 | |
18 | Lennox International, Inc. | 4,008 | |
1,861 | Lincoln Electric Holdings, Inc. | 233,965 | |
4,424 | Lockheed Martin Corp. | 1,708,947 | |
6,955 | Masco Corp. | 324,729 | |
15,336 | MSC Industrial Direct Co., Inc. Class A | 1,116,614 | |
4,625 | Northrop Grumman Corp. | 2,175,230 | |
7,745 | Otis Worldwide Corp. | 494,131 | |
8,241 | PACCAR, Inc. | 689,689 | |
548 | Simpson Manufacturing Co., Inc. | 42,963 | |
2,735 | Snap-on, Inc. | 550,692 | |
36 | Toro Co. | 3,113 | |
9,617 | UFP Industries, Inc. | 693,963 | |
4,467 | Watsco, Inc. | 1,150,074 | |
748 | Watts Water Technologies, Inc. Class A | 94,046 | |
2,249 | WW Grainger, Inc. | 1,100,188 | |
17,074,455 | |||
Commercial & Professional Services - 2.5% | |||
12,566 | Booz Allen Hamilton Holding Corp. Class A | 1,160,470 | |
859 | CACI International, Inc. Class A* | 224,251 | |
9 | Equifax, Inc. | 1,543 | |
8,033 | FTI Consulting, Inc.* | 1,331,148 | |
4,658 | Jacobs Solutions, Inc. | 505,346 | |
3,551 | Leidos Holdings, Inc. | 310,606 | |
11,976 | ManpowerGroup, Inc. | 774,727 | |
6,681 | Republic Services, Inc. Class A | 908,883 | |
4,307 | Robert Half International, Inc. | 329,486 | |
22,638 | Rollins, Inc. | 785,086 | |
1,020 | Science Applications International Corp. | 90,199 | |
1,819 | Verisk Analytics, Inc. Class A | 310,194 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.6% - (continued) | |||
Commercial & Professional Services - 2.5% - (continued) | |||
3,923 | Waste Connections, Inc. | $ 530,115 | |
7,303 | Waste Management, Inc. | 1,170,014 | |
8,432,068 | |||
Consumer Durables & Apparel - 1.1% | |||
2,597 | D.R. Horton, Inc. | 174,908 | |
5,323 | Garmin Ltd. | 427,490 | |
45,222 | Mattel, Inc.* | 856,505 | |
18,635 | Newell Brands, Inc. | 258,840 | |
2,118 | NIKE, Inc. Class B | 176,048 | |
11,701 | Ralph Lauren Corp. Class A | 993,766 | |
6,361 | VF Corp. | 190,258 | |
3,974 | Whirlpool Corp. | 535,735 | |
3,613,550 | |||
Consumer Services - 2.0% | |||
2,928 | Domino's Pizza, Inc. | 908,266 | |
42,185 | H&R Block, Inc. | 1,794,550 | |
12,610 | McDonald's Corp. | 2,909,631 | |
81 | Papa John's International, Inc. | 5,671 | |
5,899 | Service Corp. International | 340,608 | |
54 | Starbucks Corp. | 4,550 | |
7,783 | Yum! Brands, Inc. | 827,644 | |
6,790,920 | |||
Diversified Financials - 1.4% | |||
9,049 | Bank of New York Mellon Corp. | 348,568 | |
12,019 | Berkshire Hathaway, Inc. Class B* | 3,209,313 | |
54 | Cboe Global Markets, Inc. | 6,338 | |
351 | CME Group, Inc. | 62,173 | |
225 | Franklin Resources, Inc. | 4,842 | |
6,830 | Houlihan Lokey, Inc. Class A | 514,845 | |
90 | Interactive Brokers Group, Inc. Class A | 5,752 | |
54 | Intercontinental Exchange, Inc. | 4,879 | |
207 | Jefferies Financial Group, Inc. | 6,107 | |
27 | Nasdaq, Inc. | 1,530 | |
144 | Raymond James Financial, Inc. | 14,230 | |
8,556 | Voya Financial, Inc. | 517,638 | |
4,696,215 | |||
Energy - 2.5% | |||
19,537 | Chevron Corp. | 2,806,881 | |
3,290 | ConocoPhillips | 336,699 | |
55,375 | Coterra Energy, Inc. | 1,446,395 | |
1,977 | EOG Resources, Inc. | 220,890 | |
35,619 | Exxon Mobil Corp. | 3,109,895 | |
1,387 | Pioneer Natural Resources Co. | 300,327 | |
704 | Valero Energy Corp. | 75,222 | |
8,296,309 | |||
Food & Staples Retailing - 2.9% | |||
7,616 | BJ's Wholesale Club Holdings, Inc.* | 554,521 | |
1,685 | Casey's General Stores, Inc. | 341,246 | |
5,250 | Costco Wholesale Corp. | 2,479,417 | |
50,266 | Kroger Co. | 2,199,138 | |
25,750 | Walgreens Boots Alliance, Inc. | 808,550 | |
24,277 | Walmart, Inc. | 3,148,727 | |
9,531,599 | |||
Food, Beverage & Tobacco - 3.8% | |||
1,485 | Altria Group, Inc. | 59,964 | |
2,477 | Archer-Daniels-Midland Co. | 199,275 | |
153 | Bunge Ltd. | 12,633 | |
15,691 | Campbell Soup Co. | 739,360 | |
36,957 | Coca-Cola Co. | 2,070,331 | |
12,113 | Conagra Brands, Inc. | 395,247 | |
38,401 | Flowers Foods, Inc. | 948,121 | |
14,273 | General Mills, Inc. | 1,093,455 | |
3,008 | Hershey Co. | 663,174 | |
9,618 | Hormel Foods Corp. | 437,042 |
40 |
September 30, 2022
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.6% - (continued) | |||
Food, Beverage & Tobacco - 3.8% - (continued) | |||
2,111 | JM Smucker Co. | $ 290,072 | |
22,950 | Kellogg Co. | 1,598,697 | |
17,544 | PepsiCo., Inc. | 2,864,233 | |
8,179 | Philip Morris International, Inc. | 678,939 | |
11,262 | Tyson Foods, Inc. Class A | 742,504 | |
12,793,047 | |||
Health Care Equipment & Services - 5.7% | |||
9,412 | Abbott Laboratories | 910,705 | |
12,056 | AmerisourceBergen Corp. Class A | 1,631,539 | |
13,446 | AMN Healthcare Services, Inc.* | 1,424,738 | |
3,347 | Baxter International, Inc. | 180,269 | |
2,663 | Becton Dickinson and Co. | 593,396 | |
1,599 | Cardinal Health, Inc. | 106,621 | |
675 | Centene Corp.* | 52,522 | |
928 | Chemed Corp. | 405,128 | |
2,665 | Cigna Corp. | 739,458 | |
18 | Cooper Cos., Inc. | 4,750 | |
15,192 | CVS Health Corp. | 1,448,861 | |
2,238 | Elevance Health, Inc. | 1,016,589 | |
18 | Embecta Corp. | 518 | |
8,189 | Henry Schein, Inc.* | 538,591 | |
9,781 | Hologic, Inc.* | 631,070 | |
2,147 | Humana, Inc. | 1,041,703 | |
759 | Laboratory Corp. of America Holdings | 155,451 | |
9 | Masimo Corp.* | 1,270 | |
3,369 | McKesson Corp. | 1,145,022 | |
284 | Molina Healthcare, Inc.* | 93,675 | |
29,129 | Premier, Inc. Class A | 988,638 | |
14,402 | Quest Diagnostics, Inc. | 1,766,981 | |
14,129 | QuidelOrtho Corp.* | 1,009,941 | |
1,120 | ResMed, Inc. | 244,496 | |
5,762 | UnitedHealth Group, Inc. | 2,910,041 | |
19,041,973 | |||
Household & Personal Products - 1.6% | |||
773 | Avery Dennison Corp. | 125,767 | |
5,006 | Church & Dwight Co., Inc. | 357,629 | |
5,103 | Clorox Co. | 655,174 | |
11,121 | Colgate-Palmolive Co. | 781,250 | |
8,121 | Kimberly-Clark Corp. | 913,937 | |
20,302 | Procter & Gamble Co. | 2,563,128 | |
5,396,885 | |||
Insurance - 6.8% | |||
6,157 | Aflac, Inc. | 346,023 | |
811 | Alleghany Corp.* | 680,729 | |
14,460 | Allstate Corp. | 1,800,704 | |
13,675 | American International Group, Inc. | 649,289 | |
13,719 | Arch Capital Group Ltd.* | 624,763 | |
533 | Arthur J Gallagher & Co. | 91,260 | |
3,482 | Assurant, Inc. | 505,830 | |
36,223 | Axis Capital Holdings Ltd. | 1,780,360 | |
6,080 | Chubb Ltd. | 1,105,830 | |
16,736 | Cincinnati Financial Corp. | 1,499,044 | |
1,621 | Erie Indemnity Co. Class A | 360,364 | |
5,468 | Everest Re Group Ltd. | 1,435,022 | |
3,226 | Fidelity National Financial, Inc. | 116,781 | |
1,377 | First American Financial Corp. | 63,480 | |
7,362 | Hanover Insurance Group, Inc. | 943,367 | |
9,948 | Loews Corp. | 495,808 | |
800 | Markel Corp.* | 867,376 | |
2,042 | Marsh & McLennan Cos., Inc. | 304,850 | |
22,469 | MetLife, Inc. | 1,365,666 | |
56,611 | Old Republic International Corp. | 1,184,868 | |
6,033 | Principal Financial Group, Inc. | 435,281 | |
8,118 | Progressive Corp. | 943,393 | |
12,365 | Prudential Financial, Inc. | 1,060,670 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.6% - (continued) | |||
Insurance - 6.8% - (continued) | |||
341 | RLI Corp. | $ 34,912 | |
8,869 | Selective Insurance Group, Inc. | 721,937 | |
9,634 | Travelers Cos., Inc. | 1,475,929 | |
19,176 | Unum Group | 744,029 | |
3,291 | Willis Towers Watson plc | 661,294 | |
8,495 | WR Berkley Corp. | 548,607 | |
22,847,466 | |||
Materials - 3.9% | |||
780 | Air Products and Chemicals, Inc. | 181,529 | |
70,697 | Amcor plc | 758,579 | |
1,608 | AptarGroup, Inc. | 152,808 | |
18 | Balchem Corp. | 2,188 | |
63 | Ball Corp. | 3,044 | |
9,183 | CF Industries Holdings, Inc. | 883,864 | |
16,725 | Commercial Metals Co. | 593,403 | |
16,222 | Dow, Inc. | 712,632 | |
1,831 | Graphic Packaging Holding Co. | 36,144 | |
30,591 | Huntsman Corp. | 750,703 | |
18,834 | International Paper Co. | 597,038 | |
99 | Louisiana-Pacific Corp. | 5,068 | |
10,927 | LyondellBasell Industries N.V. Class A | 822,585 | |
34,553 | Newmont Corp. | 1,452,263 | |
10,884 | Nucor Corp. | 1,164,479 | |
9,354 | Packaging Corp. of America | 1,050,361 | |
9,131 | Reliance Steel & Aluminum Co. | 1,592,538 | |
3,328 | RPM International, Inc. | 277,256 | |
335 | Sherwin-Williams Co. | 68,591 | |
14,199 | Silgan Holdings, Inc. | 596,926 | |
19,132 | Steel Dynamics, Inc. | 1,357,415 | |
13,059,414 | |||
Media & Entertainment - 3.9% | |||
20,721 | Activision Blizzard, Inc. | 1,540,399 | |
26,132 | Alphabet, Inc. Class A* | 2,499,526 | |
554 | Charter Communications, Inc. Class A* | 168,056 | |
25,394 | Comcast Corp. Class A | 744,806 | |
9,514 | Electronic Arts, Inc. | 1,100,865 | |
15,607 | Fox Corp. Class A | 478,823 | |
288 | IAC, Inc.* | 15,949 | |
126 | Interpublic Group of Cos., Inc. | 3,226 | |
19,464 | Liberty Global plc Class C* | 321,156 | |
13,625 | Meta Platforms, Inc. Class A* | 1,848,640 | |
27 | Netflix, Inc.* | 6,357 | |
189 | New York Times Co. Class A | 5,434 | |
540 | News Corp. Class A | 8,159 | |
10,356 | Omnicom Group, Inc. | 653,360 | |
148,434 | Sirius XM Holdings, Inc.(1) | 847,558 | |
3,624 | Take-Two Interactive Software, Inc.* | 395,016 | |
76,027 | TEGNA, Inc. | 1,572,238 | |
8,246 | Walt Disney Co.* | 777,845 | |
12,987,413 | |||
Pharmaceuticals, Biotechnology & Life Sciences - 11.3% | |||
27,417 | AbbVie, Inc. | 3,679,636 | |
7,216 | Amgen, Inc. | 1,626,486 | |
31,549 | Bristol-Myers Squibb Co. | 2,242,818 | |
1,654 | Corteva, Inc. | 94,526 | |
7,235 | Danaher Corp. | 1,868,728 | |
11,975 | Eli Lilly & Co. | 3,872,116 | |
20,353 | Exelixis, Inc.* | 319,135 | |
37,663 | Gilead Sciences, Inc. | 2,323,431 | |
7,512 | Incyte Corp.* | 500,600 | |
24,989 | Johnson & Johnson | 4,082,203 | |
50,277 | Merck & Co., Inc. | 4,329,855 | |
9 | Mettler-Toledo International, Inc.* | 9,757 | |
1,475 | Moderna, Inc.* | 174,419 | |
66,505 | Organon & Co. | 1,556,217 |
41 |
September 30, 2022
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.6% - (continued) | |||
Pharmaceuticals, Biotechnology & Life Sciences - 11.3% - (continued) | |||
36 | PerkinElmer, Inc. | $ 4,332 | |
92,185 | Pfizer, Inc. | 4,034,016 | |
3,377 | Regeneron Pharmaceuticals, Inc.* | 2,326,314 | |
2,604 | Seagen, Inc.* | 356,305 | |
4,202 | Thermo Fisher Scientific, Inc. | 2,131,212 | |
3,224 | United Therapeutics Corp.* | 675,041 | |
4,064 | Vertex Pharmaceuticals, Inc.* | 1,176,691 | |
949 | Waters Corp.* | 255,784 | |
54 | West Pharmaceutical Services, Inc. | 13,288 | |
72 | Zoetis, Inc. | 10,677 | |
37,663,587 | |||
Real Estate - 1.5% | |||
3,428 | Agree Realty Corp. REIT | 231,664 | |
117 | Alexandria Real Estate Equities, Inc. REIT | 16,402 | |
36 | American Homes 4 Rent Class A, REIT | 1,181 | |
1,406 | American Tower Corp. REIT | 301,868 | |
8,688 | Americold Realty Trust, Inc. REIT | 213,725 | |
27 | AvalonBay Communities, Inc. REIT | 4,973 | |
7,063 | Broadstone Net Lease, Inc. | 109,688 | |
18 | Camden Property Trust REIT | 2,150 | |
2,166 | Crown Castle, Inc. REIT | 313,095 | |
288 | CubeSmart REIT | 11,537 | |
8,724 | Digital Realty Trust, Inc. REIT | 865,246 | |
468 | Duke Realty Corp. REIT | 22,558 | |
494 | Equinix, Inc. REIT | 281,007 | |
992 | Equity Residential REIT | 66,682 | |
2,875 | Extra Space Storage, Inc. REIT | 496,541 | |
7,063 | Iron Mountain, Inc. REIT | 310,560 | |
72 | Kilroy Realty Corp. REIT | 3,032 | |
144 | Life Storage, Inc. REIT | 15,950 | |
1,890 | LXP Industrial Trust REIT | 17,312 | |
54 | Mid-America Apartment Communities, Inc. REIT | 8,374 | |
72 | National Storage Affiliates Trust REIT | 2,994 | |
36 | Prologis, Inc. REIT | 3,658 | |
2,835 | Public Storage REIT | 830,116 | |
2,343 | Realty Income Corp. REIT | 136,363 | |
45 | Rexford Industrial Realty, Inc. REIT | 2,340 | |
388 | SBA Communications Corp. REIT | 110,444 | |
126 | STAG Industrial, Inc. REIT | 3,582 | |
27 | Terreno Realty Corp. REIT | 1,431 | |
2,842 | Weyerhaeuser Co., REIT | 81,168 | |
8,482 | WP Carey, Inc. REIT | 592,044 | |
5,057,685 | |||
Retailing - 6.7% | |||
1,305 | Advance Auto Parts, Inc. | 204,024 | |
17,590 | Amazon.com, Inc.* | 1,987,670 | |
5,491 | AutoNation, Inc.* | 559,368 | |
765 | AutoZone, Inc.* | 1,638,576 | |
22,366 | Best Buy Co., Inc. | 1,416,662 | |
54 | Dick's Sporting Goods, Inc. | 5,651 | |
9,236 | Dollar General Corp. | 2,215,347 | |
10,426 | Dollar Tree, Inc.* | 1,418,979 | |
504 | eBay, Inc. | 18,552 | |
126 | Foot Locker, Inc. | 3,922 | |
9,143 | Genuine Parts Co. | 1,365,233 | |
11,036 | Home Depot, Inc. | 3,045,274 | |
375 | Lithia Motors, Inc. Class A | 80,456 | |
4,284 | LKQ Corp. | 201,991 | |
3,616 | Lowe's Cos., Inc. | 679,121 | |
8,631 | Murphy USA, Inc. | 2,372,748 | |
2,037 | O'Reilly Automotive, Inc.* | 1,432,724 | |
471 | Pool Corp. | 149,877 | |
8,739 | Target Corp. | 1,296,780 | |
6,277 | TJX Cos., Inc. | 389,927 | |
8,343 | Tractor Supply Co. | 1,550,797 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.6% - (continued) | |||
Retailing - 6.7% - (continued) | |||
485 | Ulta Beauty, Inc.* | $ 194,577 | |
9 | Williams-Sonoma, Inc. | 1,061 | |
22,229,317 | |||
Semiconductors & Semiconductor Equipment - 3.8% | |||
117 | Advanced Micro Devices, Inc.* | 7,413 | |
783 | Analog Devices, Inc. | 109,103 | |
1,620 | Applied Materials, Inc. | 132,727 | |
6,188 | Broadcom, Inc. | 2,747,534 | |
7,236 | Cirrus Logic, Inc.* | 497,837 | |
27 | Diodes, Inc.* | 1,752 | |
36 | Entegris, Inc. | 2,989 | |
66,461 | Intel Corp. | 1,712,700 | |
2,460 | KLA Corp. | 744,470 | |
347 | Lam Research Corp. | 127,002 | |
11,896 | Micron Technology, Inc. | 595,990 | |
953 | Monolithic Power Systems, Inc. | 346,320 | |
10,362 | NVIDIA Corp. | 1,257,843 | |
7,127 | Power Integrations, Inc. | 458,409 | |
9,781 | QUALCOMM, Inc. | 1,105,057 | |
4,842 | Skyworks Solutions, Inc. | 412,877 | |
8,525 | Teradyne, Inc. | 640,654 | |
10,735 | Texas Instruments, Inc. | 1,661,563 | |
12,562,240 | |||
Software & Services - 12.1% | |||
12,275 | Accenture plc Class A | 3,158,357 | |
7,368 | Adobe, Inc.* | 2,027,674 | |
15,725 | Akamai Technologies, Inc.* | 1,263,032 | |
9 | ANSYS, Inc.* | 1,995 | |
27 | Aspen Technology, Inc.* | 6,431 | |
4,185 | Automatic Data Processing, Inc. | 946,605 | |
1,952 | Black Knight, Inc.* | 126,353 | |
11,246 | Box, Inc. Class A* | 274,290 | |
8,633 | Broadridge Financial Solutions, Inc. | 1,245,915 | |
5,177 | Cadence Design Systems, Inc.* | 846,077 | |
405 | Citrix Systems, Inc. | 42,120 | |
27,543 | Cognizant Technology Solutions Corp. Class A | 1,582,070 | |
6,197 | Concentrix Corp. | 691,771 | |
12,319 | Dolby Laboratories, Inc. Class A | 802,583 | |
49,844 | Dropbox, Inc. Class A* | 1,032,768 | |
27 | EPAM Systems, Inc.* | 9,779 | |
1,905 | ExlService Holdings, Inc.* | 280,721 | |
429 | Fiserv, Inc.* | 40,142 | |
8,373 | Fortinet, Inc.* | 411,365 | |
1,385 | Gartner, Inc.* | 383,216 | |
18,032 | International Business Machines Corp. | 2,142,382 | |
510 | Intuit, Inc. | 197,533 | |
12,474 | Jack Henry & Associates, Inc. | 2,273,636 | |
7,418 | Mastercard, Inc. Class A | 2,109,234 | |
21,625 | MAXIMUS, Inc. | 1,251,439 | |
14,459 | Microsoft Corp. | 3,367,501 | |
64,042 | Nortonlifelock, Inc. | 1,289,806 | |
22,183 | Oracle Corp. | 1,354,716 | |
1,150 | Palo Alto Networks, Inc.* | 188,358 | |
12,408 | Paychex, Inc. | 1,392,302 | |
5,442 | Qualys, Inc.* | 758,560 | |
1,419 | Roper Technologies, Inc. | 510,329 | |
234 | Salesforce, Inc.* | 33,659 | |
290 | ServiceNow, Inc.* | 109,507 | |
2,328 | Synopsys, Inc.* | 711,227 | |
4,761 | Teradata Corp.* | 147,877 | |
27 | Tyler Technologies, Inc.* | 9,382 | |
6,286 | VeriSign, Inc.* | 1,091,878 | |
14,096 | Visa, Inc. Class A | 2,504,154 | |
7,565 | VMware, Inc. Class A | 805,370 |
42 |
September 30, 2022
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.6% - (continued) | |||
Software & Services - 12.1% - (continued) | |||
179,210 | Western Union Co. | $ 2,419,335 | |
7,554 | Zoom Video Communications, Inc. Class A* | 555,899 | |
40,397,348 | |||
Technology Hardware & Equipment - 8.7% | |||
26,707 | Allison Transmission Holdings, Inc. | 901,628 | |
8,846 | Amphenol Corp. Class A | 592,328 | |
22,438 | Apple, Inc. | 3,100,932 | |
719 | Arista Networks, Inc.* | 81,168 | |
10,355 | Arrow Electronics, Inc.* | 954,627 | |
48,872 | Avnet, Inc. | 1,765,257 | |
4,755 | CDW Corp. | 742,160 | |
4,735 | Ciena Corp.* | 191,436 | |
45,598 | Cisco Systems, Inc. | 1,823,920 | |
39,008 | Corning, Inc. | 1,132,012 | |
54,913 | Dell Technologies, Inc. Class C | 1,876,377 | |
36 | F5, Inc.* | 5,210 | |
117 | Fabrinet * | 11,168 | |
178,363 | Hewlett Packard Enterprise Co. | 2,136,789 | |
106,922 | HP, Inc. | 2,664,496 | |
11,262 | Jabil, Inc. | 649,930 | |
45,081 | Juniper Networks, Inc. | 1,177,516 | |
7,623 | Keysight Technologies, Inc.* | 1,199,555 | |
1,327 | Littelfuse, Inc. | 263,662 | |
6,718 | Motorola Solutions, Inc. | 1,504,631 | |
23,636 | NetApp, Inc. | 1,461,887 | |
663 | Rogers Corp.* | 160,366 | |
33,396 | Seagate Technology Holdings plc | 1,777,669 | |
33,643 | Switch, Inc. Class A | 1,133,433 | |
3,869 | TE Connectivity Ltd. | 426,983 | |
58,547 | Vontier Corp. | 978,320 | |
6,756 | Western Digital Corp.* | 219,908 | |
27 | Zebra Technologies Corp. Class A* | 7,074 | |
28,940,442 | |||
Telecommunication Services - 2.6% | |||
143,882 | AT&T, Inc. | 2,207,150 | |
108,873 | Lumen Technologies, Inc. | 792,595 | |
7,132 | T-Mobile U.S., Inc.* | 956,901 | |
122,757 | Verizon Communications, Inc. | 4,661,083 | |
8,617,729 | |||
Transportation - 2.7% | |||
45 | AMERCO | 22,915 | |
16,918 | CH Robinson Worldwide, Inc. | 1,629,373 | |
15,106 | Expeditors International of Washington, Inc. | 1,334,011 | |
3,274 | FedEx Corp. | 486,091 | |
4,068 | J.B. Hunt Transport Services, Inc. | 636,316 | |
11,980 | Knight-Swift Transportation Holdings, Inc. | 586,181 | |
12,075 | Landstar System, Inc. | 1,743,268 | |
45 | Old Dominion Freight Line, Inc. | 11,195 | |
13,584 | Ryder System, Inc. | 1,025,456 | |
8,914 | United Parcel Service, Inc. Class B | 1,439,967 | |
8,914,773 | |||
Utilities - 4.7% | |||
9,520 | Alliant Energy Corp. | 504,465 | |
8,540 | Ameren Corp. | 687,897 | |
10,067 | American Electric Power Co., Inc. | 870,292 | |
524 | American Water Works Co., Inc. | 68,204 | |
6,076 | Atmos Energy Corp. | 618,841 | |
15,805 | CMS Energy Corp. | 920,483 | |
14,837 | Consolidated Edison, Inc. | 1,272,421 | |
8,810 | Dominion Energy, Inc. | 608,859 | |
1,431 | DTE Energy Co. | 164,636 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.6% - (continued) | |||
Utilities - 4.7% - (continued) | |||
6,987 | Duke Energy Corp. | $ 649,931 | |
8,030 | Edison International | 454,337 | |
2,933 | Entergy Corp. | 295,148 | |
6,727 | Evergy, Inc. | 399,584 | |
5,184 | Eversource Energy | 404,145 | |
18,344 | Exelon Corp. | 687,166 | |
11,130 | FirstEnergy Corp. | 411,810 | |
15,813 | Hawaiian Electric Industries, Inc. | 548,079 | |
1,973 | IDACORP, Inc. | 195,347 | |
10,600 | National Fuel Gas Co. | 652,430 | |
8,992 | NiSource, Inc. | 226,508 | |
30,929 | NRG Energy, Inc. | 1,183,653 | |
10,496 | OGE Energy Corp. | 382,684 | |
1,245 | Pinnacle West Capital Corp. | 80,315 | |
8,116 | Portland General Electric Co. | 352,721 | |
45 | PPL Corp. | 1,141 | |
6,995 | Southern Co. | 475,660 | |
1,279 | Southwest Gas Holdings, Inc. | 89,210 | |
8,580 | Spire, Inc. | 534,791 | |
8,817 | UGI Corp. | 285,054 | |
9,172 | WEC Energy Group, Inc. | 820,252 | |
11,100 | Xcel Energy, Inc. | 710,400 | |
15,556,464 | |||
Total Common Stocks (cost $364,078,454) | $ 332,352,145 | ||
SHORT-TERM INVESTMENTS - 0.2% | |||
Securities Lending Collateral - 0.2% | |||
130,455 | Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 2.91%(2) | $ 130,455 | |
434,848 | HSBC US Government Money Market Fund, 2.91%(2) | 434,848 | |
130,454 | Invesco Government & Agency Portfolio, Institutional Class, 2.95%(2) | 130,454 | |
130,454 | Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 2.81%(2) | 130,454 | |
Total Short-Term Investments (cost $826,211) | $ 826,211 | ||
Total Investments (cost $364,904,665) | 99.8% | $ 333,178,356 | |
Other Assets and Liabilities | 0.2% | 563,015 | |
Total Net Assets | 100.0% | $ 333,741,371 |
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. |
43 |
September 30, 2022
Futures Contracts Outstanding at September 30, 2022 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
S&P 500 (E-Mini) Future | 3 | 12/16/2022 | $ 540,225 | $ (72,723) | ||||
Total futures contracts | $ (72,723) |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Automobiles & Components | $ 408,537 | $ 408,537 | $ — | $ — | ||||
Banks | 7,442,709 | 7,442,709 | — | — | ||||
Capital Goods | 17,074,455 | 17,074,455 | — | — | ||||
Commercial & Professional Services | 8,432,068 | 8,432,068 | — | — | ||||
Consumer Durables & Apparel | 3,613,550 | 3,613,550 | — | — | ||||
Consumer Services | 6,790,920 | 6,790,920 | — | — | ||||
Diversified Financials | 4,696,215 | 4,696,215 | — | — | ||||
Energy | 8,296,309 | 8,296,309 | — | — | ||||
Food & Staples Retailing | 9,531,599 | 9,531,599 | — | — | ||||
Food, Beverage & Tobacco | 12,793,047 | 12,793,047 | — | — | ||||
Health Care Equipment & Services | 19,041,973 | 19,041,973 | — | — | ||||
Household & Personal Products | 5,396,885 | 5,396,885 | — | — | ||||
Insurance | 22,847,466 | 22,847,466 | — | — | ||||
Materials | 13,059,414 | 13,059,414 | — | — | ||||
Media & Entertainment | 12,987,413 | 12,987,413 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 37,663,587 | 37,663,587 | — | — | ||||
Real Estate | 5,057,685 | 5,057,685 | — | — | ||||
Retailing | 22,229,317 | 22,229,317 | — | — | ||||
Semiconductors & Semiconductor Equipment | 12,562,240 | 12,562,240 | — | — | ||||
Software & Services | 40,397,348 | 40,355,228 | 42,120 | — | ||||
Technology Hardware & Equipment | 28,940,442 | 28,940,442 | — | — | ||||
Telecommunication Services | 8,617,729 | 8,617,729 | — | — | ||||
Transportation | 8,914,773 | 8,914,773 | — | — | ||||
Utilities | 15,556,464 | 15,556,464 | — | — | ||||
Short-Term Investments | 826,211 | 826,211 | — | — | ||||
Total | $ 333,178,356 | $ 333,136,236 | $ 42,120 | $ — | ||||
Liabilities | ||||||||
Futures Contracts(2) | $ (72,723) | $ (72,723) | $ — | $ — | ||||
Total | $ (72,723) | $ (72,723) | $ — | $ — |
(1) | For the year ended September 30, 2022, 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. |
44 |
Index Abbreviations: | |
EAFE | Europe, Australasia and Far East |
S&P | Standard & Poor's |
Other Abbreviations: | |
ADR | American Depositary Receipt |
Bhd | Berhad |
GDR | Global Depositary Receipt |
KGaA | Kommanditgesellschaft Auf Aktien |
NVDR | Non-Voting Depositary Receipt |
PJSC | Private Joint Stock Company |
PT | Perseroan Terbatas |
REIT | Real Estate Investment Trust |
Tbk | Terbuka |
45 |
September 30, 2022
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) | $ 20,356,972 | $ 1,270,163,258 | $ 15,108,676 | $ 25,357,814 | $ 27,633,343 | $ 333,178,356 | |||||
Cash | 753 | 3,369,922 | 24,181 | 26,976 | 33,677 | 298,699 | |||||
Cash collateral due from broker on futures contracts | — | 731,000 | 6,000 | 13,000 | 41,000 | 80,000 | |||||
Cash collateral held for securities on loan | 3,551 | 2,173,252 | 4,066 | — | 14,216 | 43,485 | |||||
Foreign currency | — | 4,067,402 | 16,523 | 24,129 | 103 | — | |||||
Receivables: | |||||||||||
Investment securities sold | 108,887 | — | — | 520 | — | 2,804,002 | |||||
Dividends and interest | 20,751 | 5,047,844 | 81,051 | 147,598 | 22,283 | 387,608 | |||||
Securities lending income | 420 | 26,611 | 50 | — | 457 | 3,849 | |||||
Tax reclaims | — | 4,527,130 | 5,938 | 6,846 | 1,650 | — | |||||
Total assets | 20,491,334 | 1,290,106,419 | 15,246,485 | 25,576,883 | 27,746,729 | 336,795,999 | |||||
Liabilities: | |||||||||||
Obligation to return securities lending collateral | 71,031 | 43,465,048 | 81,332 | — | 284,309 | 869,696 | |||||
Payables: | |||||||||||
Investment securities purchased | 105,389 | — | — | 7,622 | — | 2,119,727 | |||||
Investment management fees | 7,892 | 322,452 | 3,871 | 13,690 | 8,198 | 57,307 | |||||
Variation margin on futures contracts | — | 57,314 | 370 | 540 | 590 | 7,898 | |||||
Total liabilities | 184,312 | 43,844,814 | 85,573 | 21,852 | 293,097 | 3,054,628 | |||||
Net assets | $ 20,307,022 | $ 1,246,261,605 | $ 15,160,912 | $ 25,555,031 | $ 27,453,632 | $ 333,741,371 | |||||
Summary of Net Assets: | |||||||||||
Paid-in-capital | $ 25,737,526 | $ 1,829,945,810 | $ 18,724,206 | $ 47,782,587 | $ 37,566,753 | $ 408,779,063 | |||||
Distributable earnings (loss) | (5,430,504) | (583,684,205) | (3,563,294) | (22,227,556) | (10,113,121) | (75,037,692) | |||||
Net assets | 20,307,022 | 1,246,261,605 | 15,160,912 | 25,555,031 | 27,453,632 | 333,741,371 | |||||
Net asset value per share | 21.38 | 21.86 | 21.66 | 18.25 | 32.30 | 35.32 | |||||
Shares issued and outstanding | 950,000 | 57,000,000 | 700,000 | 1,400,000 | 850,000 | 9,450,000 | |||||
Cost of investments | $ 23,645,478 | $ 1,510,807,051 | $ 17,642,662 | $ 29,832,830 | $ 32,498,860 | $ 364,904,665 | |||||
Cost of foreign currency | $ — | $ 4,126,503 | $ 16,653 | $ 24,098 | $ 102 | $ — | |||||
(1) Includes Investment in securities on loan, at market value | $ 68,720 | $ 35,499,359 | $ 79,356 | $ — | $ 279,502 | $ 839,079 |
46 |
For the Year Ended September 30, 2022
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 | ||||||
Investment Income: | |||||||||||
Dividends | $ 442,179 | $ 74,170,550 | $ 612,274 | $ 2,094,061 | $ 705,285 | $ 7,388,594 | |||||
Non-cash dividends | — | 809,407 | 23,715 | 160,290 | — | — | |||||
Interest | 281 | — | 123 | 1,269 | 677 | 10,563 | |||||
Securities lending | 3,353 | 608,436 | 2,478 | 4,704 | 3,157 | 10,492 | |||||
Less: Foreign tax withheld | (194) | (7,184,823) | (66,146) | (241,172) | (470) | (696) | |||||
Total investment income, net | 445,619 | 68,403,570 | 572,444 | 2,019,152 | 708,649 | 7,408,953 | |||||
Expenses: | |||||||||||
Investment management fees | 106,848 | 4,830,962 | 26,015 | 178,150 | 95,890 | 704,553 | |||||
Total expenses | 106,848 | 4,830,962 | 26,015 | 178,150 | 95,890 | 704,553 | |||||
Net Investment Income (Loss) | 338,771 | 63,572,608 | 546,429 | 1,841,002 | 612,759 | 6,704,400 | |||||
Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions on: | |||||||||||
Investments | (1,692,777) | (17,938,760) (1) | (861,855) | (4,680,787) (1) | (444,459) (1) | 19,970,015 (1) | |||||
Futures contracts | — | (2,621,132) | 1,301 | (77,316) | (27,858) | (145,844) | |||||
Other foreign currency transactions | — | (1,590,475) | (8,332) | (99,448) | 18 | — | |||||
Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions | (1,692,777) | (22,150,367) | (868,886) | (4,857,551) | (472,299) | 19,824,171 | |||||
Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions of: | |||||||||||
Investments | (3,008,042) | (440,417,026) | (2,949,667) | (6,499,482) | (4,956,389) | (64,155,314) | |||||
Futures contracts | — | (757,762) | (11,292) | (6,683) | (7,713) | (20,566) | |||||
Translation of other assets and liabilities in foreign currencies | — | (374,738) | (1,201) | (2,154) | (246) | — | |||||
Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions | (3,008,042) | (441,549,526) | (2,962,160) | (6,508,319) | (4,964,348) | (64,175,880) | |||||
Net Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions | (4,700,819) | (463,699,893) | (3,831,046) | (11,365,870) | (5,436,647) | (44,351,709) | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ (4,362,048) | $ (400,127,285) | $ (3,284,617) | $ (9,524,868) | $ (4,823,888) | $ (37,647,309) |
(1) | Includes realized gains/(losses) as a result of in-kind redemptions (See Note 11 in the accompanying Notes to Financial Statements). |
47 |
Hartford Longevity Economy ETF | Hartford Multifactor Developed Markets (ex-US) ETF | ||||||
For the Year Ended September 30, 2022 | For the Period Ended September 30, 2021(1) | For the Year Ended September 30, 2022 | For the Year Ended September 30, 2021 | ||||
Operations: | |||||||
Net investment income (loss) | $ 338,771 | $ 101,110 | $ 63,572,608 | $ 67,566,115 | |||
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | (1,692,777) | 215,074 | (22,150,367) | 134,183,930 | |||
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | (3,008,042) | (280,464) | (441,549,526) | 178,795,137 | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | (4,362,048) | 35,720 | (400,127,285) | 380,545,182 | |||
Distributions to Shareholders | (331,873) | (73,437) | (85,500,016) | (66,581,005) | |||
Fund Share Transactions: | |||||||
Sold | — | 29,116,378 | 40,163,437 | 39,421,674 | |||
Redeemed | — | (4,077,718) | (254,199,335) | (408,608,631) | |||
Net increase (decrease) from capital share transactions | — | 25,038,660 | (214,035,898) | (369,186,957) | |||
Net Increase (Decrease) in Net Assets | (4,693,921) | 25,000,943 | (699,663,199) | (55,222,780) | |||
Net Assets: | |||||||
Beginning of period | 25,000,943 | — | 1,945,924,804 | 2,001,147,584 | |||
End of period | $ 20,307,022 | $ 25,000,943 | $ 1,246,261,605 | $ 1,945,924,804 |
(1) | Commenced operations on March 16, 2021. |
48 |
Hartford Multifactor Diversified International ETF | Hartford Multifactor Emerging Markets ETF | ||||||
For the Year Ended September 30, 2022 | For the Year Ended September 30, 2021 | For the Year Ended September 30, 2022 | For the Year Ended September 30, 2021 | ||||
Operations: | |||||||
Net investment income (loss) | $ 546,429 | $ 226,346 | $ 1,841,002 | $ 1,245,735 | |||
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | (868,886) | 510,379 | (4,857,551) | 7,858,670 | |||
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | (2,962,160) | 440,577 | (6,508,319) | 2,518,212 | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | (3,284,617) | 1,177,302 | (9,524,868) | 11,622,617 | |||
Distributions to Shareholders | (356,579) | (198,992) | (1,765,068) | (1,364,480) | |||
Fund Share Transactions: | |||||||
Sold | 13,090,156 | — | 10,426,231 | — | |||
Redeemed | — | — | (15,554,279) | (11,443,163) | |||
Other Capital | 5,215 | — | 60,187 | 11,522 | |||
Net increase (decrease) from capital share transactions | 13,095,371 | — | (5,067,861) | (11,431,641) | |||
Net Increase (Decrease) in Net Assets | 9,454,175 | 978,310 | (16,357,797) | (1,173,504) | |||
Net Assets: | |||||||
Beginning of period | 5,706,737 | 4,728,427 | 41,912,828 | 43,086,332 | |||
End of period | $ 15,160,912 | $ 5,706,737 | $ 25,555,031 | $ 41,912,828 |
49 |
Hartford Multifactor Small Cap ETF | Hartford Multifactor US Equity ETF | ||||||
For the Year Ended September 30, 2022 | For the Year Ended September 30, 2021 | For the Year Ended September 30, 2022 | For the Year Ended September 30, 2021 | ||||
Operations: | |||||||
Net investment income (loss) | $ 612,759 | $ 208,607 | $ 6,704,400 | $ 5,051,123 | |||
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | (472,299) | 2,186,552 | 19,824,171 | 46,151,309 | |||
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | (4,964,348) | 707,235 | (64,175,880) | 21,944,816 | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | (4,823,888) | 3,102,394 | (37,647,309) | 73,147,248 | |||
Distributions to Shareholders | (599,785) | (202,752) | (6,307,270) | (5,642,254) | |||
Fund Share Transactions: | |||||||
Sold | 17,906,046 | 21,056,818 | 168,676,690 | 245,723,876 | |||
Redeemed | (9,800,494) | (6,907,604) | (176,940,930) | (172,629,516) | |||
Net increase (decrease) from capital share transactions | 8,105,552 | 14,149,214 | (8,264,240) | 73,094,360 | |||
Net Increase (Decrease) in Net Assets | 2,681,879 | 17,048,856 | (52,218,819) | 140,599,354 | |||
Net Assets: | |||||||
Beginning of period | 24,771,753 | 7,722,897 | 385,960,190 | 245,360,836 | |||
End of period | $ 27,453,632 | $ 24,771,753 | $ 333,741,371 | $ 385,960,190 |
50 |
—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 | |||||||||||||||||||||||||||
For the Year Ended September 30, 2022 | |||||||||||||||||||||||||||
$ 26.32 | $ 0.36 | $ (4.95) | $ (4.59) | $ — | $ (0.35) | $ (0.35) | $ 21.38 | (17.63)% | $ 20,307 | 0.44% | 0.44% | 1.40% | 63% | ||||||||||||||
For the Period Ended September 30, 2021(5) | |||||||||||||||||||||||||||
$ 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, 2022 | |||||||||||||||||||||||||||
$ 30.26 | $ 1.07 | $ (8.03) | $ (6.96) | $ — | $ (1.44) | $ (1.44) | $ 21.86 | (23.89)% | $ 1,246,262 | 0.29% | 0.29% | 3.82% | 33% | ||||||||||||||
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% | ||||||||||||||
Hartford Multifactor Diversified International ETF | |||||||||||||||||||||||||||
For the Year Ended September 30, 2022 | |||||||||||||||||||||||||||
$ 28.53 | $ 1.56 | $ (7.11) | $ (5.55) | $ 0.01 | $ (1.33) | $ (1.33) | $ 21.66 | (20.34)% | $ 15,161 | 0.29% | 0.29% | 6.09% | 65% | ||||||||||||||
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% | ||||||||||||||
Hartford Multifactor Emerging Markets ETF | |||||||||||||||||||||||||||
For the Year Ended September 30, 2022 | |||||||||||||||||||||||||||
$ 24.65 | $ 1.02 | $ (6.43) | $ (5.41) | $ 0.03 | $ (1.02) | $ (1.02) | $ 18.25 | (22.60)% | $ 25,555 | 0.44% | 0.44% | 4.55% | 70% | ||||||||||||||
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% | ||||||||||||||
Hartford Multifactor Small Cap ETF | |||||||||||||||||||||||||||
For the Year Ended September 30, 2022 | |||||||||||||||||||||||||||
$ 38.11 | $ 0.82 | $ (5.81) | $ (4.99) | $ — | $ (0.82) | $ (0.82) | $ 32.30 | (13.38)% | $ 27,454 | 0.34% | 0.34% | 2.17% | 52% |
51 |
—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, 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% | ||||||||||||||
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% | ||||||||||||||
Hartford Multifactor US Equity ETF | |||||||||||||||||||||||||||
For the Year Ended September 30, 2022 | |||||||||||||||||||||||||||
$ 39.89 | $ 0.73 | $ (4.60) | $ (3.87) | $ — | $ (0.70) | $ (0.70) | $ 35.32 | (9.89)% | $ 333,741 | 0.19% | 0.19% | 1.81% | 47% | ||||||||||||||
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% |
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. |
52 |
September 30, 2022
1. | Organization: |
Lattice Strategies Trust (the "Trust") is an open-end registered management investment company comprised of six operational series as of September 30, 2022. 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 the Exchange 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 from Authorized Participants 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. |
53 |
September 30, 2022
With respect to a Fund's investments that do not have readily available market prices, the Company's Board of Trustees (the "Board") has designated Hartford Funds Management Company, LLC (the "Investment Manager") as its valuation designee to perform fair valuations pursuant to Rule 2a-5 under the 1940 Act (the "Valuation Designee"). | |
If market prices are not readily available or deemed unreliable, the Valuation Designee 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 the Trust ("Valuation Procedures"). | |
The Valuation Designee has delegated the day-to-day responsibility for implementing the Valuation Procedures to the Valuation Designee. The Valuation Committee will consider all available relevant factors in determining an investment’s fair value. The Valuation Committee reports fair value matters to the Audit Committee of the Board. | |
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 ("Exchange Close"). 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 Exchange Close. 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. | |
Shares of investment companies listed and traded on an exchange are valued in the same manner as any exchange-listed equity security. Investments in investment companies that are not listed or traded on an exchange ("Non-Traded Funds"), if any, are valued at the respective NAV of each Non-Traded Fund on the Valuation Date. Such Non-Traded 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 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 |
54 |
September 30, 2022
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. |
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 (loss) 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. 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, 2022
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, 2022, each of Multifactor Developed Markets (ex-US) ETF, Multifactor Diversified International 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, 2022: | |||||||||||
Risk Exposure Category | |||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Total | ||||||
Liabilities: | |||||||||||
Unrealized depreciation on futures contracts(1) | $ — | $ — | $ — | $ 1,255,938 | $ — | $ 1,255,938 | |||||
Total | $ — | $ — | $ — | $ 1,255,938 | $ — | $ 1,255,938 |
(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, 2022: | |||||||||||
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 | $ — | $ — | $ — | $ (2,621,132) | $ — | $ (2,621,132) | |||||
Total | $ — | $ — | $ — | $ (2,621,132) | $ — | $ (2,621,132) | |||||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | $ — | $ — | $ — | $ (757,762) | $ — | $ (757,762) | |||||
Total | $ — | $ — | $ — | $ (757,762) | $ — | $ (757,762) |
Derivative Description | Average Notional Par, Contracts or Face Amount | |
Futures Contracts Number of Long Contracts | 96 |
56 |
September 30, 2022
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of September 30, 2022: | |||||||||||
Risk Exposure Category | |||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Total | ||||||
Liabilities: | |||||||||||
Unrealized depreciation on futures contracts(1) | $ — | $ — | $ — | $ 11,292 | $ — | $ 11,292 | |||||
Total | $ — | $ — | $ — | $ 11,292 | $ — | $ 11,292 |
(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, 2022: | |||||||||||
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 | $ — | $ — | $ — | $ 1,301 | $ — | $ 1,301 | |||||
Total | $ — | $ — | $ — | $ 1,301 | $ — | $ 1,301 | |||||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | $ — | $ — | $ — | $ (11,292) | $ — | $ (11,292) | |||||
Total | $ — | $ — | $ — | $ (11,292) | $ — | $ (11,292) |
Derivative Description | Average Notional Par, Contracts or Face Amount | |
Futures Contracts Number of Long Contracts | — * |
* | Rounds to less than 1 contract. |
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of September 30, 2022: | |||||||||||
Risk Exposure Category | |||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Total | ||||||
Liabilities: | |||||||||||
Unrealized depreciation on futures contracts(1) | $ — | $ — | $ — | $ 17,571 | $ — | $ 17,571 | |||||
Total | $ — | $ — | $ — | $ 17,571 | $ — | $ 17,571 |
(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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The Effect of Derivative Instruments on the Statement of Operations for the year ended September 30, 2022: | |||||||||||
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 | $ — | $ — | $ — | $ (77,316) | $ — | $ (77,316) | |||||
Total | $ — | $ — | $ — | $ (77,316) | $ — | $ (77,316) | |||||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | $ — | $ — | $ — | $ (6,683) | $ — | $ (6,683) | |||||
Total | $ — | $ — | $ — | $ (6,683) | $ — | $ (6,683) |
Derivative Description | Average Notional Par, Contracts or Face Amount | |
Futures Contracts Number of Long Contracts | 5 |
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of September 30, 2022: | |||||||||||
Risk Exposure Category | |||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Total | ||||||
Liabilities: | |||||||||||
Unrealized depreciation on futures contracts(1) | $ — | $ — | $ — | $ 8,805 | $ — | $ 8,805 | |||||
Total | $ — | $ — | $ — | $ 8,805 | $ — | $ 8,805 |
(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, 2022: | |||||||||||
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 | $ — | $ — | $ — | $ (27,858) | $ — | $ (27,858) | |||||
Total | $ — | $ — | $ — | $ (27,858) | $ — | $ (27,858) | |||||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | $ — | $ — | $ — | $ (7,713) | $ — | $ (7,713) | |||||
Total | $ — | $ — | $ — | $ (7,713) | $ — | $ (7,713) |
Derivative Description | Average Notional Par, Contracts or Face Amount | |
Futures Contracts Number of Long Contracts | 1 |
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The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of September 30, 2022: | |||||||||||
Risk Exposure Category | |||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Total | ||||||
Liabilities: | |||||||||||
Unrealized depreciation on futures contracts(1) | $ — | $ — | $ — | $ 72,723 | $ — | $ 72,723 | |||||
Total | $ — | $ — | $ — | $ 72,723 | $ — | $ 72,723 |
(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, 2022: | |||||||||||
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 | $ — | $ — | $ — | $ (145,844) | $ — | $ (145,844) | |||||
Total | $ — | $ — | $ — | $ (145,844) | $ — | $ (145,844) | |||||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | $ — | $ — | $ — | $ (20,566) | $ — | $ (20,566) | |||||
Total | $ — | $ — | $ — | $ (20,566) | $ — | $ (20,566) |
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 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, 2022: | |
Multifactor Developed Markets (ex-US) ETF | ||||
Derivative Financial Instruments: | Assets | Liabilities | ||
Futures contracts | $ — | $ (1,255,938) | ||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | — | (1,255,938) | ||
Derivatives not subject to a MNA | — | 1,255,938 | ||
Total gross amount of assets and liabilities subject to MNA or similar agreements | $ — | $ — |
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Multifactor Diversified International ETF | ||||
Derivative Financial Instruments: | Assets | Liabilities | ||
Futures contracts | $ — | $ (11,292) | ||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | — | (11,292) | ||
Derivatives not subject to a MNA | — | 11,292 | ||
Total gross amount of assets and liabilities subject to MNA or similar agreements | $ — | $ — |
Multifactor Emerging Markets ETF | ||||
Derivative Financial Instruments: | Assets | Liabilities | ||
Futures contracts | $ — | $ (17,571) | ||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | — | (17,571) | ||
Derivatives not subject to a MNA | — | 17,571 | ||
Total gross amount of assets and liabilities subject to MNA or similar agreements | $ — | $ — |
Multifactor Small Cap ETF | ||||
Derivative Financial Instruments: | Assets | Liabilities | ||
Futures contracts | $ — | $ (8,805) | ||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | — | (8,805) | ||
Derivatives not subject to a MNA | — | 8,805 | ||
Total gross amount of assets and liabilities subject to MNA or similar agreements | $ — | $ — |
Multifactor US Equity ETF | ||||
Derivative Financial Instruments: | Assets | Liabilities | ||
Futures contracts | $ — | $ (72,723) | ||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | — | (72,723) | ||
Derivatives not subject to a MNA | — | 72,723 | ||
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 its 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 which 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 which 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. | |
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, continues to negatively affect the worldwide economy, as a result of ongoing supply chain disruptions and labor shortages, and impact 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 |
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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 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. | |
Recent events, including the invasion of Ukraine by Russia, have interjected uncertainty into the global financial markets. One or more of the Funds hold positions in securities or other instruments that are economically tied to Russia. Investments in Russia are subject to political, economic, legal, market and currency risks, as well as the risks related to the economic sanctions on Russia imposed by the United States and/or other countries. Such sanctions, which affect companies in many sectors, including energy, financial services and defense, among others, could adversely affect the global energy and financial markets and, thus, could affect the value of a Fund’s investments, even beyond any direct exposure the Fund may have to Russian issuers or the adjoining geographic regions. In addition, certain transactions have or may be prohibited and/or existing investments have or may become illiquid (e.g., because transacting in certain existing investments is prohibited), which could cause a Fund to sell other portfolio holdings at a disadvantageous time or price in order to meet redemptions. |
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, 2022. 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 years ended September 30, 2022 and September 30, 2021 are as follows (as adjusted for dividends payable, if applicable): |
For the Year Ended September 30, 2022 | For the Year Ended September 30, 2021 | |||
Fund | Ordinary Income | Ordinary Income | ||
Longevity Economy ETF(1) | $ 331,873 | $ 73,437 | ||
Multifactor Developed Markets (ex-US) ETF | 85,500,016 | 66,581,005 | ||
Multifactor Diversified International ETF | 356,579 | 198,992 | ||
Multifactor Emerging Markets ETF | 1,765,068 | 1,364,480 | ||
Multifactor Small Cap ETF | 599,785 | 202,752 | ||
Multifactor US Equity ETF | 6,307,270 | 5,642,254 |
(1) | Distributions 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(1) | Total Accumulated Earnings (Deficit) | ||||
Longevity Economy ETF | $ 32,835 | $ (2,136,048) | $ (3,327,291) | $ (5,430,504) | ||||
Multifactor Developed Markets (ex-US) ETF | 6,531,979 | (346,681,994) | (243,534,190) | (583,684,205) | ||||
Multifactor Diversified International ETF | 330,818 | (1,329,395) | (2,564,717) | (3,563,294) | ||||
Multifactor Emerging Markets ETF | 759,069 | (17,693,417) | (5,293,208) | (22,227,556) | ||||
Multifactor Small Cap ETF | 21,452 | (5,268,620) | (4,865,953) | (10,113,121) | ||||
Multifactor US Equity ETF | 425,160 | (43,392,950) | (32,069,902) | (75,037,692) |
(1) | Differences between book-basis and tax basis unrealized appreciation (depreciation) may be attributable to the losses deferred due to wash sale adjustments, foreign currency gains and losses, adjustments related to PFICs, REITS, certain derivatives. |
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 and adjustments to prior year accumulated balances. 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, 2022, the Funds recorded reclassifications to increase (decrease) the accounts listed below: |
Fund | Paid-in-Capital | Distributable Earnings (Loss) | ||
Multifactor Developed Markets (ex-US) ETF | $ 37,634,257 | $ (37,634,257) | ||
Multifactor Emerging Markets ETF | 166,129 | (166,129) | ||
Multifactor Small Cap ETF | 1,515,930 | (1,515,930) | ||
Multifactor US Equity ETF | 31,476,673 | (31,476,673) |
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. |
At September 30, 2022 (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 | $ 1,330,369 | $ 805,679 | ||
Multifactor Developed Markets (ex-US) ETF | 241,007,929 | 105,674,065 | ||
Multifactor Diversified International ETF | 1,053,432 | 275,963 | ||
Multifactor Emerging Markets ETF | 9,667,803 | 8,025,614 | ||
Multifactor Small Cap ETF* | 3,274,222 | 1,994,398 | ||
Multifactor US Equity ETF | 29,212,470 | 14,180,480 |
* | Future utilization of losses are subject to limitation under current tax laws. |
f) | Tax Basis of Investments – The aggregate cost of investments for federal income tax purposes at September 30, 2022 is different from book purposes primarily due to wash sale loss deferrals, Passive Foreign Investment Companies ("PFICs") 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 sale loss |
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deferrals, REIT adjustments and mark-to-market adjustments on PFICs and futures. Both the cost and unrealized appreciation and depreciation for federal income tax purposes are disclosed below: | |
Fund | Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
Longevity Economy ETF | $ 23,684,263 | $ 572,833 | $ (3,900,124) | $ (3,327,291) | ||||
Multifactor Developed Markets (ex-US) ETF | 1,513,233,692 | 56,953,039 | (300,023,473) | (243,070,434) | ||||
Multifactor Diversified International ETF | 17,672,082 | 80,727 | (2,644,133) | (2,563,406) | ||||
Multifactor Emerging Markets ETF | 30,647,491 | 1,054,901 | (6,344,578) | (5,289,677) | ||||
Multifactor Small Cap ETF | 32,499,114 | 830,914 | (5,696,685) | (4,865,771) | ||||
Multifactor US Equity ETF | 365,248,258 | 9,682,826 | (41,752,728) | (32,069,902) |
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, 2022, 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, 2022, 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, 2022; 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. |
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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 ended September 30, 2022, a portion of the Trust's Chief Compliance Officer’s ("CCO") compensation was paid by HFMC. As part of the Funds' Investment Advisory Agreement, HFMC also pays any CCO compensation on behalf of the Funds. |
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. A Fund may lend portfolio securities, provided that the borrower provides collateral that is maintained in an amount at least equal to the current market value of the securities loaned. Cash collateral is invested for the benefit of a 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. The contractual maturities of the securities lending transactions are considered overnight and continuous. | |
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; (vi) the risk that any efforts to restrict or recall the securities for purposes of voting may not be effective; and (vii) operational risks (i.e., the risk of losses resulting from problems in the settlement and accounting process especially so in certain international markets). These events could also trigger adverse tax consequences for the Fund. | |
A Fund retains loan fees and the interest on cash collateral investments but is 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 applicable Fund). Upon termination of a loan, a Fund is 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. A Fund also receives 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 for each Fund that lends its portfolio securities the market value of the securities on loan and the cash and non-cash collateral posted by the borrower as of September 30, 2022. | |
Fund | Investment Securities on Loan, at market value, Presented on the Statements of Assets and Liabilities | Cash Collateral(1) | Non-Cash Collateral(1) | |||
Longevity Economy ETF | $ 68,720 | $ 71,031 | $ — | |||
Multifactor Developed Markets (ex-US) ETF | 35,499,359 | 43,465,048 | 2,951,230 | |||
Multifactor Diversified International ETF | 79,356 | 81,332 | 38,382 | |||
Multifactor Emerging Markets ETF | — | — | — | |||
Multifactor Small Cap ETF | 279,502 | 284,309 | — | |||
Multifactor US Equity ETF | 839,079 | 869,696 | — |
(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 due to timing. Pursuant to the lending agreement, the borrower will provide collateral in an amount at least equal to the current market value of securities loaned. |
9. | 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 or an affiliate, and not the Funds, compensates State Street pursuant to the Funds' unitary management fee structure. |
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10. | Affiliate Holdings: |
As of September 30, 2022, affiliates of The Hartford had ownership of shares in certain Funds as follows: | |
Fund | Percentage of Fund | |
Longevity Economy ETF | 99% | |
Multifactor Diversified International ETF | 11% | |
Multifactor Small Cap ETF | 44% |
Fund | Percentage of Fund | |
Multifactor Developed Markets (ex-US) ETF | 4% | |
Multifactor Emerging Markets ETF | 11% | |
Multifactor US Equity ETF | 20% |
11. | Investment Transactions: |
For the year ended September 30, 2022, 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 | $ 15,206,190 | $ 15,160,144 | $ 15,206,190 | $ 15,160,144 | ||||
Multifactor Developed Markets (ex-US) ETF | 543,155,406 | 559,404,343 | 543,155,406 | 559,404,343 | ||||
Multifactor Diversified International ETF | 9,068,565 | 5,800,434 | 9,068,565 | 5,800,434 | ||||
Multifactor Emerging Markets ETF | 27,819,391 | 28,368,102 | 27,819,391 | 28,368,102 | ||||
Multifactor Small Cap ETF | 14,621,548 | 14,547,285 | 14,621,548 | 14,547,285 | ||||
Multifactor US Equity ETF | 171,438,797 | 170,530,829 | 171,438,797 | 170,530,829 |
Fund | Cost of Purchases | Sales Proceeds | Realized Gain/(Loss) | |||
Multifactor Developed Markets (ex-US) ETF | $ 37,125,283 | $ 247,340,341 | $ 39,685,615 | |||
Multifactor Diversified International ETF | 9,910,962 | — | — | |||
Multifactor Emerging Markets ETF | 3,029,033 | 7,617,529 | 232,128 | |||
Multifactor Small Cap ETF | 17,906,316 | 9,796,323 | 1,512,354 | |||
Multifactor US Equity ETF | 168,850,232 | 177,155,004 | 31,860,758 |
12. | 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. |
65 |
September 30, 2022
Shares of Longevity Economy ETF, Multifactor Developed Markets (ex-US) ETF, Multifactor Emerging Markets ETF, Multifactor Small Cap ETF and 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 year or period ended September 30, 2022 and September 30, 2021: | |
For the Year Ended September 30, 2022 | For the Year or Period Ended September 30, 2021 | ||||||
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 | 1,550,000 | $ 40,163,437 | 1,400,000 | $ 39,421,674 | |||
Shares Redeemed | (8,850,000) | (254,199,335) | (14,400,000) | (408,608,631) | |||
Total Net Increase (Decrease) | (7,300,000) | (214,035,898) | (13,000,000) | (369,186,957) | |||
Multifactor Diversified International ETF | |||||||
Shares Sold | 500,000 | $ 13,090,156 | — | $ — | |||
Shares Redeemed | — | — | — | — | |||
Other Capital | — | 5,215 | — | — | |||
Total Net Increase (Decrease) | 500,000 | 13,095,371 | — | — | |||
Multifactor Emerging Markets ETF | |||||||
Shares Sold | 500,000 | $ 10,426,231 | — | $ — | |||
Shares Redeemed | (800,000) | (15,554,279) | (500,000) | (11,443,163) | |||
Other Capital | — | 60,187 | — | 11,522 | |||
Total Net Increase (Decrease) | (300,000) | (5,067,861) | (500,000) | (11,431,641) | |||
Multifactor Small Cap ETF | |||||||
Shares Sold | 450,000 | $ 17,906,046 | 550,000 | $ 21,056,818 | |||
Shares Redeemed | (250,000) | (9,800,494) | (200,000) | (6,907,604) | |||
Total Net Increase (Decrease) | 200,000 | 8,105,552 | 350,000 | 14,149,214 | |||
Multifactor US Equity ETF | |||||||
Shares Sold | 4,125,000 | $ 168,676,690 | 6,450,000 | $ 245,723,876 | |||
Shares Redeemed | (4,350,000) | (176,940,930) | (4,500,000) | (172,629,516) | |||
Total Net Increase (Decrease) | (225,000) | (8,264,240) | 1,950,000 | 73,094,360 |
(1) | Commenced operations on March 16, 2021. |
13. | 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. |
66 |
September 30, 2022
14. | 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. |
15. | 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, 2022 | For the years ended September 30, 2022 and 2021 | For the years ended September 30, 2022, 2021, and 2020 |
Hartford Longevity Economy ETF | For the year ended September 30, 2022 | For the year ended September 30, 2022 and the period March 16, 2021 (commencement of operations) to September 30, 2021 | For the year ended September 30, 2022 and 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 HELD 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. | 80 | Ms. Ackermann served as a Director of Dynegy, Inc. from October 2012 until its acquisition by Vistra Energy Corporation ("Vistra") 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. | 80 | 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. | |||||
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). | 80 | Mr. Cephas currently serves as 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 (1958) | Trustee and Chair of the Board | Trustee since 2017; Chair of the Board since 2021 | From 2002 until 2012, Ms. Detrick was a Senior Partner, Leader of the Financial Services Practice, and a Senior Advisor at Bain & Company ("Bain"). Before joining Bain, she served in various senior management roles for other financial services firms and was a consultant at McKinsey and Company. | 80 | Ms. Detrick currently serves as a Director of Charles River Associates (May 2020 to present); currently serves as a Director of Capital One Financial Corporation (since November 2021); and currently serves as a Director of Altus Power, Inc (since December 2021). | |||||
JOHN J. GAUTHIER (1961) | Trustee | Since 2022 | Mr. Gauthier currently is the Principal Owner of JJG Advisory, LLC, an investment consulting firm, and Co-Founder and Principal Owner of Talcott Capital Partners (a placement agent for investment managers serving insurance companies). From 2008 to 2018, Mr. Gauthier served as a Senior Vice President (2008-2010), Executive Vice President (2010-2012), and President (2012-2018) of Allied World Financial Services (a global provider of property, casualty and specialty insurance and reinsurance solutions). | 80 | Mr. Gauthier serves as a Director of Reinsurance Group of America, Inc. (from 2018 to present) and chairs the Investment Committee and is a member of the Audit and Risk Committees. |
70 |
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 HELD 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). | 80 | 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). | 80 | None | |||||
DAVID SUNG (1953) | Trustee | Since 2016 | Mr. Sung was a Partner at Ernst & Young LLP from October 1995 to July 2014. | 80 | 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(4) (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. | 80 | None | |||||
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 | |||||
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, Chief Compliance Officer and AML Compliance Officer | Vice President and Chief Compliance Officer since 2016; AML Compliance Officer since August 1, 2022 | 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 |
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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 HELD BY TRUSTEE | |||||
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 2021 | Mr. Naab serves as Vice President and Assistant Treasurer of HFMC (since June 2021). 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 is Deputy General Counsel for HFMG (since April 2022) and currently 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 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 a Senior Vice President (since June 2021) and Assistant Secretary (since June 2017) for HFMG. Mr. Phillips also serves as Vice President of HFMC (since June 2021). 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 |
(1) | The address for each officer and Trustee is c/o Hartford Funds 690 Lee Road, Wayne, Pennsylvania 19087. |
(2) | Term of Office: Each Trustee holds an indefinite term until his or her retirement, resignation, removal, or death. Trustees generally must retire no later than December 31 of the year in which the Trustee turns 75 years of age. 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) | “Interested person,” as defined in the 1940 Act, of the Trust because of the person’s affiliation with, or equity ownership of, HFMC, HFD or affiliated companies. |
72 |
73 |
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
74 |
75 |
76 |
77 |
• | The Board considered that the Fund’s performance was in line with its custom proprietary benchmark index for the 1-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 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 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 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 1st quintile of its Peer Group. |
• | The Board considered that the Fund’s performance exceeded its tracking difference threshold for the 1- and 3-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 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- and 3-year periods and was in line with its custom proprietary benchmark index for the 5-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 changes to the Fund’s portfolio management team. |
• | The Board noted that the Fund’s contractual management fee was in the 2nd quintile of its Peer Group, while its actual management fee was in the 3rd quintile of its Peer Group and its total expenses were in the 1st quintile of its Peer Group. |
• | 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 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 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 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. |
78 |
79 |
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, 2022; $99,840 for the fiscal year ended September 30, 2021. | |
(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, 2022; $0 for the fiscal year ended September 30, 2021. | |
(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:
$77,099 for the fiscal year ended September 30, 2022; $94,960 for the fiscal year ended September 30, 2021. Tax-related services are principally in connection with, but not limited to, general tax 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:
$344 for the fiscal year ended September 30, 2022; $464 for the fiscal year ended September 30, 2021. These fees were principally in connection with, but not limited to, general audit related products and services and an accounting research tool subscription. | |
(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, 2022, 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: | ||
The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant: $77,443 for the fiscal year ended September 30, 2022; $95,424 for the fiscal year ended September 30, 2021.
The aggregate non-audit fees billed by the registrant’s accountant for services 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 was $120,925 for the fiscal year ended September 30, 2022 and $325,000 for the fiscal year ended September 30, 2021. | ||
(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, 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.
(a)(1) |
(a)(2) |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) |
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, 2022 | 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, 2022 | By: | /s/ James E. Davey | ||
James E. Davey | ||||
President and | ||||
Chief Executive Officer | ||||
Date: December 2, 2022 | By: | /s/ David A. Naab | ||
David A. Naab | ||||
Treasurer (Principal Financial Officer and Principal Accounting Officer) |