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 (811-23645)
NEOS ETF Trust
(Exact name of registrant as specified in charter)
13 Riverside Avenue
Westport, CT 06880
(Address of principal executive offices) (Zip code)
Garrett Paolella, President
13 Riverside Avenue
Westport, CT 06880
(Name and address of agent for service)
(203) 298-7300
Registrant's telephone number, including area code
Date of fiscal year end: May 31
Date of reporting period: May 31, 2024
Item 1. Reports to Stockholders.
(a) A copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (“Act”), is filed herewith.
 | NEOS Enhanced Income 1-3 Month T-Bill ETF |  |
| CSHI (Principal U.S. Listing Exchange: NYSE Arca) | ||
| Annual Shareholder Report | May 31, 2024 |
Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| NEOS Enhanced Income 1-3 Month T-Bill ETF | $39 | 0.38% |
1 Year | Since Inception (08/30/2022) | |
NEOS Enhanced Income 1-3 Month T-Bill ETF NAV | 5.80 | 5.71 |
NEOS Enhanced Income 1-3 Month T-Bill ETF Market | 5.74 | 5.70 |
Bloomberg U.S. Aggregate Bond Index | 1.31 | 0.45 |
Bloomberg U.S. Treasury Bills: 1-3 Months | 5.51 | 4.87 |
| NEOS Enhanced Income 1-3 Month T-Bill ETF | PAGE 1 | TSR_AR_78433H501 |
Net Assets | $441,773,695 |
Number of Holdings | 23 |
Net Advisory Fee | $915,994 |
Portfolio Turnover | 0% |
30-Day SEC Yield | 5.06% |
30-Day SEC Yield Unsubsidized | 5.06% |
Distribution Yield | 5.54% |
Top 10 Issuers | (% of net assets) |
United States Treasury Bills | 99.8% |
First American Treasury Obligations Fund | 0.2% |
Northern U.S. Government Select Money Market Fund | 0.1% |
S&P 500 Index | 0.0% |
| NEOS Enhanced Income 1-3 Month T-Bill ETF | PAGE 2 | TSR_AR_78433H501 |
 | NEOS Enhanced Income Aggregate Bond ETF |  |
| BNDI (Principal U.S. Listing Exchange: NYSE Arca) | ||
| Annual Shareholder Report | May 31, 2024 |
Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| NEOS Enhanced Income Aggregate Bond ETF | $55 | 0.55% |
1 Year | Since Inception (08/30/2022) | |
NEOS Enhanced Income Aggregate Bond ETF NAV | 1.74 | 1.48 |
NEOS Enhanced Income Aggregate Bond ETF Market | 1.69 | 1.51 |
Bloomberg US Aggregate Bond Index | 1.31 | 0.45 |
| NEOS Enhanced Income Aggregate Bond ETF | PAGE 1 | TSR_AR_78433H402 |
Net Assets | $11,188,552 |
Number of Holdings | 10 |
Net Advisory Fee | $31,745 |
Portfolio Turnover | 1% |
30-Day SEC Yield | 2.88% |
30-Day SEC Yield Unsubsidized | 2.85% |
Distribution Yield | 5.06% |
Top 10 Issuers | (% of net assets) |
Vanguard Total Bond Market ETF | 49.9% |
iShares Core U.S. Aggregate Bond ETF | 49.8% |
First American Treasury Obligations Fund | 0.2% |
Northern U.S. Government Select Money Market Fund | 0.1% |
S&P 500 Index | 0.0% |
| NEOS Enhanced Income Aggregate Bond ETF | PAGE 2 | TSR_AR_78433H402 |
 | NEOS Nasdaq-100® High Income ETF |  |
| QQQI (Principal U.S. Listing Exchange: NASDAQ) | ||
| Annual Shareholder Report | May 31, 2024 |
Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| NEOS Nasdaq-100® High Income ETF | $23* | 0.68% |
Top Contributors | |
| ↑ | NVIDIA Corp |
| ↑ | Meta Platforms Inc. CL A |
| ↑ | Qualcomm Inc |
Top Detractors | |
| ↓ | Adobe Inc. |
| ↓ | Intel Corp |
| ↓ | Tesla Inc. |
| NEOS Nasdaq-100® High Income ETF | PAGE 1 | TSR_AR_78433H675 |
Since Inception (01/30/2024) | |
NEOS Nasdaq-100® High Income ETF NAV | 5.75 |
NEOS Nasdaq-100® High Income ETF Market | 5.72 |
NASDAQ Composite Index | 7.39 |
NASDAQ-100® Index | 5.68 |
Net Assets | $215,817,287 |
Number of Holdings | 104 |
Net Advisory Fee | $175,260 |
Portfolio Turnover | 3% |
30-Day SEC Yield | 0.28% |
30-Day SEC Yield Unsubsidized | 0.28% |
Distribution Yield | 14.56% |
Top 10 Issuers | (% of net assets) |
Microsoft Corp. | 8.7% |
Apple, Inc. | 8.1% |
NVIDIA Corp. | 7.6% |
Alphabet, Inc. | 5.7% |
Amazon.com, Inc. | 5.2% |
Meta Platforms, Inc. | 4.6% |
Broadcom, Inc. | 4.5% |
Costco Wholesale Corp. | 2.6% |
Tesla, Inc. | 2.5% |
Advanced Micro Devices, Inc. | 2.0% |
| NEOS Nasdaq-100® High Income ETF | PAGE 2 | TSR_AR_78433H675 |
| NEOS Nasdaq-100® High Income ETF | PAGE 3 | TSR_AR_78433H675 |
 | NEOS S&P 500 High Income ETF |  |
| SPYI (Principal U.S. Listing Exchange: Cboe BZX) | ||
| Annual Shareholder Report | May 31, 2024 |
Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| NEOS S&P 500 High Income ETF | $73 | 0.68% |
Top Contributors | |
| ↑ | NVIDIA Corp |
| ↑ | Amazon.com Inc |
| ↑ | Meta Platforms Inc. CL A |
Top Detractors | |
| ↓ | Bristol-Myers Squibb Co |
| ↓ | Nike Inc. Class B. |
| ↓ | Pfizer Inc. |
| NEOS S&P 500 High Income ETF | PAGE 1 | TSR_AR_78433H303 |
1 Year | Since Inception (08/30/2022) | |
NEOS S&P 500® High Income ETF NAV | 15.79 | 12.58 |
NEOS S&P 500® High Income ETF Market | 15.76 | 12.66 |
S&P 500® Index | 28.19 | 18.53 |
Net Assets | $1,383,897,779 |
Number of Holdings | 506 |
Net Advisory Fee | $3,831,430 |
Portfolio Turnover | 14% |
30-Day SEC Yield | 0.84% |
30-Day SEC Yield Unsubsidized | 0.84% |
Distribution Yield | 12.11% |
Top 10 Issuers | (% of net assets) |
Microsoft Corp. | 7.1% |
Apple, Inc. | 6.5% |
NVIDIA Corp. | 6.3% |
Alphabet, Inc. | 4.5% |
Amazon.com, Inc. | 3.7% |
Meta Platforms, Inc. | 2.4% |
Berkshire Hathaway, Inc. | 1.8% |
Eli Lilly & Co. | 1.5% |
JPMorgan Chase & Co. | 1.4% |
Broadcom, Inc. | 1.4% |
| NEOS S&P 500 High Income ETF | PAGE 2 | TSR_AR_78433H303 |
| NEOS S&P 500 High Income ETF | PAGE 3 | TSR_AR_78433H303 |
Item 2. Code of Ethics.
The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer. The registrant has not made any substantive amendments to its code of ethics during the period covered by this report. The registrant has not granted any waivers from any provisions of the code of ethics during the period covered by this report.
A copy of the registrant’s Code of Ethics is filed herewith.
Item 3. Audit Committee Financial Expert.
The registrant’s board of trustees has determined that there is at least one audit committee financial expert serving on its audit committee. John Jacobs is the “audit committee financial expert” and is considered to be “independent” as each term is defined in Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
The registrant has engaged its principal accountant to perform audit services, audit-related services, tax services and/or other services during the past two fiscal years. “Audit services” refer to performing an 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. “Audit-related services” refer to the assurance and related services by the principal accountant that are reasonably related to the performance of the audit. “Tax services” refer to professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. “Other services” refer to other services rendered by the registrant’s principal accountant to the Registrant other than those reported under the "audit services", "audit-related services", and "tax services”. The following table details the aggregate fees billed or expected to be billed for each of the last two fiscal years for audit fees, audit-related fees, tax fees and other fees by the principal accountant.
| FYE 5/31/24 | FYE 5/31/23 | |
| (a) Audit Fees | $42,000 | $30,000 |
| (b) Audit-Related Fees | None | None |
| (c) Tax Fees | $12,000 | $9,000 |
| (d) All Other Fees | None | None |
(e)(1) The audit committee has adopted pre-approval policies and procedures that require the audit committee to pre-approve all audit and non-audit services of the registrant, including services provided to any entity affiliated with the registrant.
(e)(2) The percentage of fees billed by Cohen & Company, Ltd applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows:
| FYE 5/31/24 | FYE 5/31/23 | |
| Audit-Related Fees | 0% | 0% |
| Tax Fees | 0% | 0% |
| All Other Fees | 0% | 0% |
(f) Not applicable
(g) The following table indicates the non-audit fees billed or expected to be billed by the registrant’s accountant for services to the registrant and to the registrant’s investment adviser (and any other controlling entity, etc.—not sub-adviser) for the last two years.
| Non-Audit Related Fees | FYE 5/31/24 | FYE 5/31/23 |
| Registrant | None | None |
| Registrant’s Investment Adviser | None | None |
(h) Because no non-audit services were rendered, the audit committee of the board of trustees did not consider whether the provision of non-audit services that were rendered to the registrant's investment adviser is compatible with maintaining the principal accountant's independence and has concluded that the provision of such non-audit services by the accountant has not compromised the accountant’s independence.
(i) Not applicable.
(j) Not applicable.
Item 5. Audit Committee of Listed Registrants.
(a) The registrant is an issuer as defined in Rule 10A-3 under the Securities Exchange Act of 1934, (the “Act”) and has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Act. The independent members of the committee are as follows: Sharon Cheever, John Jacobs, Richard Keary and Robert Sherry.
(b) Not applicable.
Item 6. Investments.
| (a) | Schedule of Investments is included within the financial statements filed under Item 7(a) of this Form. |
| (b) | Not Applicable. |
Item 7. Financial Statements and Financial Highlights for Open-End Investment Companies.
(a) The registrant’s Financial Statements are filed herewith.
NEOS ETF Trust | ||||||
NEOS Enhanced Income 1-3 Month T-Bill ETF | | CSHI | | NYSE Arca | ||||
NEOS Enhanced Income Aggregate Bond ETF | | BNDI | | NYSE Arca | ||||
NEOS Nasdaq-100® High Income ETF | | QQQI | | NASDAQ | ||||
NEOS S&P 500® High Income ETF | | SPYI | | Cboe BZX Exchange, Inc. | ||||
Page | |||
Statements of Changes in Net Assets | |||
Financial Highlights | |||
Notional Amount | Contracts | Value | |||||||
PURCHASED OPTIONS - 0.0%(a)(b)(c) | |||||||||
Put Options - 0.0%(c) | |||||||||
S&P 500 Index | |||||||||
Expiration: 06/13/2024; Exercise Price: $4,775.00(d) | $110,299,959 | 209 | $21,423 | ||||||
Expiration: 06/13/2024; Exercise Price: $4,600.00(d) | 110,299,959 | 209 | 14,108 | ||||||
Expiration: 06/13/2024; Exercise Price: $4,550.00(d) | 110,299,959 | 209 | 13,062 | ||||||
Expiration: 06/13/2024; Exercise Price: $4,500.00(d) | 110,299,959 | 209 | 12,017 | ||||||
Total Put Options | 60,610 | ||||||||
TOTAL PURCHASED OPTIONS (Cost $118,317) | 60,610 | ||||||||
Shares | |||||||||
SHORT-TERM INVESTMENTS - 100.1% | |||||||||
Money Market Funds - 0.3% | |||||||||
First American Treasury Obligations Fund - Class X, 5.22%(d)(e) | 1,088,487 | 1,088,487 | |||||||
Northern U.S. Government Select Money Market Fund, 5.03%(d)(e) | 379,829 | 379,829 | |||||||
1,468,316 | |||||||||
U.S. Treasury Bills - 99.8% | Par | ||||||||
5.26%, 06/04/2024(f) | $34,452,000 | 34,446,985 | |||||||
5.29%, 06/06/2024(f) | 39,254,000 | 39,236,853 | |||||||
5.28%, 06/11/2024(f) | 35,504,000 | 35,462,464 | |||||||
5.29%, 06/20/2024(f) | 39,229,000 | 39,131,560 | |||||||
5.23%, 06/25/2024(f) | 34,157,000 | 34,047,136 | |||||||
5.26%, 06/27/2024(f) | 32,870,000 | 32,754,856 | |||||||
5.29%, 07/05/2024(f) | 35,893,000 | 35,724,881 | |||||||
5.30%, 07/09/2024(f) | 31,612,000 | 31,445,602 | |||||||
5.31%, 07/18/2024(f) | 31,612,000 | 31,404,434 | |||||||
5.30%, 08/01/2024(f) | 36,262,000 | 35,949,996 | |||||||
5.30%, 08/08/2024(f) | 37,085,000 | 36,728,737 | |||||||
5.29%, 08/20/2024(f) | 14,971,000 | 14,801,029 | |||||||
5.31%, 08/22/2024(f) | 39,795,000 | 39,332,494 | |||||||
440,467,027 | |||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $441,814,451) | 441,935,343 | ||||||||
TOTAL INVESTMENTS - 100.1% (Cost $441,932,768) | $441,995,953 | ||||||||
Liabilities in Excess of Other Assets - (0.1)% | (222,258) | ||||||||
TOTAL NET ASSETS - 100.0% | $441,773,695 | ||||||||
(a) | Exchange-traded. |
(b) | 100 shares per contract. |
(c) | Represents less than 0.05% of net assets. |
(d) | All or a portion of security has been pledged as collateral. The total value of assets committed as collateral as of May 31, 2024 is $1,528,926. |
(e) | The rate shown represents the 7-day effective yield as of May 31, 2024. |
(f) | The rate shown is the effective yield as of May 31, 2024. |
1 |
Notional Amount | Contracts | Value | |||||||
WRITTEN OPTIONS - 0.0%(a)(b)(c) | |||||||||
Put Options - 0.0%(b) | |||||||||
S&P 500 Index | |||||||||
Expiration: 06/13/2024; Exercise Price: $4,750.00 | $ (110,299,959) | (209) | $(20,377) | ||||||
Expiration: 06/13/2024; Exercise Price: $4,825.00 | (110,299,959) | (209) | (24,557) | ||||||
Expiration: 06/13/2024; Exercise Price: $4,875.00 | (110,299,959) | (209) | (28,738) | ||||||
Expiration: 06/13/2024; Exercise Price: $4,925.00 | (110,299,959) | (209) | (36,053) | ||||||
Total Put Options | (109,725) | ||||||||
TOTAL WRITTEN OPTIONS (Premiums received $245,135) | (109,725) | ||||||||
(a) | Exchange-traded. |
(b) | Represents less than 0.05% of net assets. |
(c) | 100 shares per contract. |
2 |
Shares | Value | ||||||||
EXCHANGE TRADED FUNDS - 99.7% | |||||||||
iShares Core U.S. Aggregate Bond ETF(a) | 57,785 | $5,577,408 | |||||||
Vanguard Total Bond Market ETF(a) | 77,913 | 5,581,688 | |||||||
TOTAL EXCHANGE TRADED FUNDS (Cost $11,314,540) | 11,159,096 | ||||||||
Notional Amount | Contracts | ||||||||
PURCHASED OPTIONS - 0.0%(b)(c)(d) | |||||||||
Put Options - 0.0%(d) | |||||||||
S&P 500 Index | |||||||||
Expiration: 06/13/2024; Exercise Price: $4,800.00(e) | 3,694,257 | 7 | 753 | ||||||
Expiration: 06/13/2024; Exercise Price: $4,700.00(e) | 3,694,257 | 7 | 577 | ||||||
Expiration: 06/13/2024; Exercise Price: $4,650.00(e) | 3,694,257 | 7 | 543 | ||||||
Total Put Options | 1,873 | ||||||||
TOTAL PURCHASED OPTIONS (Cost $3,571) | 1,873 | ||||||||
Shares | |||||||||
SHORT-TERM INVESTMENTS - 0.3% | |||||||||
Money Market Funds - 0.3% | |||||||||
First American Treasury Obligations Fund - Class X, 5.22%(e)(f) | 16,829 | 16,829 | |||||||
Northern U.S. Government Select Money Market Fund, 5.03%(e)(f) | 14,771 | 14,771 | |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $31,600) | 31,600 | ||||||||
TOTAL INVESTMENTS - 100.0% (Cost $11,349,711) | $11,192,569 | ||||||||
Liabilities in Excess of Other Assets - 0.0%(d) | (4,017) | ||||||||
TOTAL NET ASSETS - 100.0% | $11,188,552 | ||||||||
(a) | Fair value of this security exceeds 25% of the Fund’s net assets. Additional information for this security, including the financial statements, is available from the SEC’s EDGAR database at www.sec.gov. |
(b) | Exchange-traded. |
(c) | 100 shares per contract. |
(d) | Represents less than 0.05% of net assets. |
(e) | All or a portion of security has been pledged as collateral. The total value of assets committed as collateral as of May 31, 2024 is $38,182. |
(f) | The rate shown represents the 7-day effective yield as of May 31, 2024. |
3 |
Notional Amount | Contracts | Value | |||||||
WRITTEN OPTIONS - 0.0%(a)(b)(c) | |||||||||
Put Options - 0.0%(b) | |||||||||
S&P 500 Index | |||||||||
Expiration: 06/13/2024; Exercise Price: $4,900.00 | $ (3,694,257) | (7) | $ (1,068) | ||||||
Expiration: 06/13/2024; Exercise Price: $4,950.00 | (3,694,257) | (7) | (1,365) | ||||||
Expiration: 06/13/2024; Exercise Price: $4,980.00 | (3,694,257) | (7) | (1,610) | ||||||
Total Put Options | (4,043) | ||||||||
TOTAL WRITTEN OPTIONS (Premiums received $9,058) | (4,043) | ||||||||
(a) | Exchange-traded. |
(b) | Represents less than 0.05% of net assets. |
(c) | 100 shares per contract. |
4 |
Shares | Value | |||||
COMMON STOCKS - 100.8%(a) | ||||||
Automobiles - 2.5% | ||||||
Tesla, Inc.(b) | 29,960 | $5,335,277 | ||||
Beverages - 2.7% | ||||||
Coca-Cola Europacific Partners PLC | 6,848 | 504,766 | ||||
Keurig Dr. Pepper, Inc. | 21,828 | 747,609 | ||||
Monster Beverage Corp.(b) | 16,264 | 844,427 | ||||
PepsiCo, Inc. | 21,400 | 3,700,060 | ||||
5,796,862 | ||||||
Biotechnology - 4.0% | ||||||
Amgen, Inc. | 8,132 | 2,487,172 | ||||
Biogen, Inc.(b) | 2,140 | 481,371 | ||||
Gilead Sciences, Inc. | 19,688 | 1,265,348 | ||||
Moderna, Inc.(b) | 5,992 | 854,160 | ||||
Regeneron Pharmaceuticals, Inc.(b) | 1,712 | 1,678,034 | ||||
Vertex Pharmaceuticals, Inc.(b) | 3,852 | 1,753,970 | ||||
8,520,055 | ||||||
Broadline Retail - 6.2% | ||||||
Amazon.com, Inc.(b) | 63,050 | 11,124,542 | ||||
MercadoLibre, Inc.(b) | 428 | 738,548 | ||||
PDD Holdings, Inc. - ADR(b) | 10,700 | 1,602,646 | ||||
13,465,736 | ||||||
Chemicals - 1.4% | ||||||
Linde plc | 6,886 | 2,998,991 | ||||
Commercial Services & Supplies - 0.8% | ||||||
Cintas Corp. | 1,284 | 870,514 | ||||
Copart, Inc.(b) | 15,408 | 817,548 | ||||
1,688,062 | ||||||
Communications Equipment - 1.4% | ||||||
Cisco Systems, Inc. | 65,484 | 3,045,006 | ||||
Consumer Staples Distribution & Retail - 2.9% | ||||||
Costco Wholesale Corp. | 6,848 | 5,546,127 | ||||
Dollar Tree, Inc.(b) | 3,424 | 403,861 | ||||
Walgreens Boots Alliance, Inc. | 14,124 | 229,091 | ||||
6,179,079 | ||||||
Electric Utilities - 1.4% | ||||||
American Electric Power Co., Inc. | 8,132 | 733,913 | ||||
Constellation Energy Corp. | 5,136 | 1,115,796 | ||||
Exelon Corp. | 15,836 | 594,642 | ||||
Xcel Energy, Inc. | 8,560 | 474,652 | ||||
2,919,003 | ||||||
Electronic Equipment, Instruments & Components - 0.2% | ||||||
CDW Corp. | 2,140 | 478,547 | ||||
5 |
Shares | Value | |||||
COMMON STOCKS - (Continued) | ||||||
Energy Equipment & Services - 0.2% | ||||||
Baker Hughes Co. | 15,836 | $530,189 | ||||
Entertainment - 2.5% | ||||||
Electronic Arts, Inc. | 4,280 | 568,726 | ||||
Netflix, Inc.(b) | 6,420 | 4,119,200 | ||||
Take-Two Interactive Software, Inc.(b) | 2,568 | 411,805 | ||||
Warner Bros. Discovery, Inc.(b) | 39,376 | 324,458 | ||||
5,424,189 | ||||||
Financial Services - 0.5% | ||||||
PayPal Holdings, Inc.(b) | 16,692 | 1,051,429 | ||||
Food Products - 1.0% | ||||||
Kraft Heinz Co. | 19,688 | 696,364 | ||||
Mondelez International, Inc. - Class A | 21,400 | 1,466,542 | ||||
2,162,906 | ||||||
Ground Transportation - 0.8% | ||||||
CSX Corp. | 30,816 | 1,040,040 | ||||
Old Dominion Freight Line, Inc. | 3,424 | 600,056 | ||||
1,640,096 | ||||||
Health Care Equipment & Supplies - 1.9% | ||||||
Dexcom, Inc.(b) | 5,992 | 711,670 | ||||
GE HealthCare Technologies, Inc. | 7,276 | 567,528 | ||||
IDEXX Laboratories, Inc.(b) | 1,284 | 638,084 | ||||
Intuitive Surgical, Inc.(b) | 5,564 | 2,237,395 | ||||
4,154,677 | ||||||
Hotels, Restaurants & Leisure - 2.7% | ||||||
Airbnb, Inc. - Class A(b) | 6,420 | 930,451 | ||||
Booking Holdings, Inc. | 428 | 1,616,278 | ||||
DoorDash, Inc. - Class A(b) | 5,992 | 659,779 | ||||
Marriott International, Inc. - Class A | 4,708 | 1,088,348 | ||||
Starbucks Corp. | 18,404 | 1,476,369 | ||||
5,771,225 | ||||||
Industrial Conglomerates - 0.9% | ||||||
Honeywell International, Inc. | 9,958 | 2,013,408 | ||||
Interactive Media & Services - 10.3% | ||||||
Alphabet, Inc. - Class A(b) | 35,961 | 6,203,273 | ||||
Alphabet, Inc. - Class C(b) | 34,339 | 5,973,612 | ||||
Meta Platforms, Inc. - Class A | 21,415 | 9,997,164 | ||||
22,174,049 | ||||||
IT Services - 0.3% | ||||||
Cognizant Technology Solutions Corp. - Class A | 8,132 | 537,932 | ||||
MongoDB, Inc.(b) | 856 | 202,067 | ||||
739,999 | ||||||
6 |
Shares | Value | |||||
COMMON STOCKS - (Continued) | ||||||
Life Sciences Tools & Services - 0.1% | ||||||
Illumina, Inc.(b) | 2,568 | $267,791 | ||||
Machinery - 0.4% | ||||||
PACCAR, Inc. | 8,560 | 920,200 | ||||
Media - 1.8% | ||||||
Charter Communications, Inc. - Class A(b) | 2,140 | 614,437 | ||||
Comcast Corp. - Class A | 62,916 | 2,518,528 | ||||
Sirius XM Holdings, Inc. | 61,632 | 173,802 | ||||
Trade Desk, Inc. - Class A(b) | 7,276 | 675,067 | ||||
3,981,834 | ||||||
Oil, Gas & Consumable Fuels - 0.2% | ||||||
Diamondback Energy, Inc. | 2,568 | 511,700 | ||||
Pharmaceuticals - 0.3% | ||||||
AstraZeneca PLC - ADR | 8,988 | 701,244 | ||||
Professional Services - 1.3% | ||||||
Automatic Data Processing, Inc. | 6,420 | 1,572,387 | ||||
Paychex, Inc. | 5,564 | 668,570 | ||||
Verisk Analytics, Inc. | 2,140 | 540,949 | ||||
2,781,906 | ||||||
Real Estate Management & Development - 0.2% | ||||||
CoStar Group, Inc.(b) | 6,420 | 501,851 | ||||
Semiconductors & Semiconductor Equipment - 25.2%(c) | ||||||
Advanced Micro Devices, Inc.(b) | 25,359 | 4,232,417 | ||||
Analog Devices, Inc. | 7,704 | 1,806,511 | ||||
Applied Materials, Inc. | 12,903 | 2,775,177 | ||||
ASML Holding NV | 1,284 | 1,233,089 | ||||
Broadcom, Inc. | 7,289 | 9,683,801 | ||||
GLOBALFOUNDRIES, Inc.(b) | 8,988 | 440,412 | ||||
Intel Corp. | 66,854 | 2,062,446 | ||||
KLA Corp. | 2,140 | 1,625,394 | ||||
Lam Research Corp. | 2,140 | 1,995,422 | ||||
Marvell Technology, Inc. | 14,124 | 971,872 | ||||
Microchip Technology, Inc. | 8,560 | 832,289 | ||||
Micron Technology, Inc. | 17,976 | 2,247,000 | ||||
NVIDIA Corp. | 15,026 | 16,473,455 | ||||
NXP Semiconductors NV | 3,852 | 1,048,129 | ||||
ON Semiconductor Corp.(b) | 6,848 | 500,178 | ||||
QUALCOMM, Inc. | 17,976 | 3,668,003 | ||||
Texas Instruments, Inc. | 14,210 | 2,771,092 | ||||
54,366,687 | ||||||
7 |
Shares | Value | |||||
COMMON STOCKS - (Continued) | ||||||
Software - 15.8% | ||||||
Adobe, Inc.(b) | 6,921 | $3,078,184 | ||||
ANSYS, Inc.(b) | 1,284 | 407,606 | ||||
Atlassian Corp. - Class A(b) | 2,568 | 402,817 | ||||
Autodesk, Inc.(b) | 3,424 | 690,278 | ||||
Cadence Design Systems, Inc.(b) | 4,280 | 1,225,407 | ||||
Crowdstrike Holdings, Inc. - Class A(b) | 3,424 | 1,074,006 | ||||
Datadog, Inc. - Class A(b) | 4,708 | 518,727 | ||||
Fortinet, Inc.(b) | 11,984 | 710,891 | ||||
Intuit, Inc. | 4,280 | 2,467,163 | ||||
Microsoft Corp. | 45,046 | 18,699,946 | ||||
Palo Alto Networks, Inc.(b) | 5,136 | 1,514,658 | ||||
Roper Technologies, Inc. | 1,712 | 912,085 | ||||
Synopsys, Inc.(b) | 2,140 | 1,200,112 | ||||
Workday, Inc. - Class A(b) | 3,424 | 724,005 | ||||
Zscaler, Inc.(b) | 2,140 | 363,714 | ||||
33,989,599 | ||||||
Specialty Retail - 0.7% | ||||||
O’Reilly Automotive, Inc.(b) | 856 | 824,550 | ||||
Ross Stores, Inc. | 5,564 | 777,625 | ||||
1,602,175 | ||||||
Technology Hardware, Storage & Peripherals - 8.1% | ||||||
Apple, Inc. | 91,143 | 17,522,242 | ||||
Textiles, Apparel & Luxury Goods - 0.3% | ||||||
Lululemon Athletica, Inc.(b) | 1,712 | 534,127 | ||||
Trading Companies & Distributors - 0.3% | ||||||
Fastenal Co. | 9,416 | 621,268 | ||||
Wireless Telecommunication Services - 1.5% | ||||||
T-Mobile US, Inc. | 18,404 | 3,219,964 | ||||
TOTAL COMMON STOCKS (Cost $212,517,490) | 217,611,373 | |||||
SHORT-TERM INVESTMENTS - 0.8% | ||||||
Money Market Funds - 0.8% | ||||||
First American Treasury Obligations Fund - Class X, 5.22%(d) | 1,671,393 | 1,671,393 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,671,393) | 1,671,393 | |||||
TOTAL INVESTMENTS - 101.6% (Cost $214,188,883) | $219,282,766 | |||||
Liabilities in Excess of Other Assets - (1.6)% | (3,465,479) | |||||
TOTAL NET ASSETS - 100.0% | $215,817,287 | |||||
8 |
(a) | All or a portion of security has been pledged as collateral. The total value of assets committed as collateral as of May 31, 2024 is $217,611,373. |
(b) | Non-income producing security. |
(c) | To the extent that the Fund invests more heavily in a particular industry or sector of the economy, its performance will be especially sensitive to developments that significantly affect those industries or sectors. |
(d) | The rate shown represents the 7-day effective yield as of May 31, 2024. |
9 |
Notional Amount | Contracts | Value | |||||||
WRITTEN OPTIONS - (1.3)%(a)(b) | |||||||||
Call Options - (1.3)% | |||||||||
NASDAQ-100 Index | |||||||||
Expiration: 07/19/2024; Exercise Price: $18,700.00 | $(81,561,260) | (44) | $ (1,651,100) | ||||||
Expiration: 07/19/2024; Exercise Price: $18,950.00 | (81,561,260) | (44) | (1,115,180) | ||||||
Total Call Options | (2,766,280) | ||||||||
TOTAL WRITTEN OPTIONS (Premiums received $2,723,595) | (2,766,280) | ||||||||
(a) | Exchange-traded. |
(b) | 100 shares per contract. |
10 |
Shares | Value | |||||
COMMON STOCKS - 98.3%(a) | ||||||
Aerospace & Defense - 1.4% | ||||||
Axon Enterprise, Inc.(b) | 982 | $276,600 | ||||
Boeing Co.(b) | 17,624 | 3,130,199 | ||||
General Dynamics Corp. | 6,476 | 1,941,311 | ||||
Howmet Aerospace, Inc. | 12,066 | 1,021,387 | ||||
Huntington Ingalls Industries, Inc. | 554 | 140,217 | ||||
L3Harris Technologies, Inc. | 5,960 | 1,339,987 | ||||
Lockheed Martin Corp. | 6,394 | 3,007,354 | ||||
Northrop Grumman Corp. | 3,636 | 1,639,000 | ||||
RTX Corp. | 48,203 | 5,196,765 | ||||
Textron, Inc. | 6,050 | 530,040 | ||||
TransDigm Group, Inc. | 771 | 1,035,630 | ||||
19,258,490 | ||||||
Air Freight & Logistics - 0.4% | ||||||
C.H. Robinson Worldwide, Inc. | 975 | 84,211 | ||||
Expeditors International of Washington, Inc. | 3,687 | 445,758 | ||||
FedEx Corp. | 6,520 | 1,655,819 | ||||
United Parcel Service, Inc. - Class B | 23,313 | 3,238,875 | ||||
5,424,663 | ||||||
Automobile Components - 0.1% | ||||||
Aptiv PLC(b) | 6,521 | 542,939 | ||||
BorgWarner, Inc. | 6,520 | 232,503 | ||||
775,442 | ||||||
Automobiles - 1.5% | ||||||
Ford Motor Co. | 132,812 | 1,611,010 | ||||
General Motors Co. | 45,655 | 2,054,018 | ||||
Tesla, Inc.(b) | 93,328 | 16,619,850 | ||||
20,284,878 | ||||||
Banks - 3.6% | ||||||
Bank of America Corp. | 233,519 | 9,338,425 | ||||
Citigroup, Inc. | 64,798 | 4,037,563 | ||||
Citizens Financial Group, Inc. | 14,800 | 522,292 | ||||
Comerica, Inc. | 3,498 | 179,237 | ||||
Fifth Third Bancorp | 22,754 | 851,455 | ||||
Huntington Bancshares, Inc. | 48,382 | 673,477 | ||||
JPMorgan Chase & Co. | 98,004 | 19,858,551 | ||||
KeyCorp | 31,270 | 449,350 | ||||
M&T Bank Corp. | 3,747 | 568,045 | ||||
PNC Financial Services Group, Inc. | 12,068 | 1,899,383 | ||||
Regions Financial Corp. | 31,178 | 603,294 | ||||
Truist Financial Corp. | 45,120 | 1,703,280 | ||||
US Bancorp | 50,893 | 2,063,711 | ||||
Wells Fargo & Co. | 123,603 | 7,406,292 | ||||
50,154,355 | ||||||
11 |
Shares | Value | |||||
COMMON STOCKS - (Continued) | ||||||
Beverages - 1.4% | ||||||
Brown-Forman Corp. - Class B | 3,747 | $171,837 | ||||
Coca-Cola Co. | 131,739 | 8,290,335 | ||||
Constellation Brands, Inc. - Class A | 3,746 | 937,362 | ||||
Keurig Dr. Pepper, Inc. | 31,479 | 1,078,156 | ||||
Molson Coors Beverage Co. - Class B | 3,747 | 205,373 | ||||
Monster Beverage Corp.(b) | 23,557 | 1,223,080 | ||||
PepsiCo, Inc. | 45,678 | 7,897,726 | ||||
19,803,869 | ||||||
Biotechnology - 2.0% | ||||||
AbbVie, Inc. | 59,447 | 9,585,234 | ||||
Amgen, Inc. | 17,406 | 5,323,625 | ||||
Biogen, Inc.(b) | 3,679 | 827,554 | ||||
Gilead Sciences, Inc. | 42,194 | 2,711,809 | ||||
Incyte Corp.(b) | 3,747 | 216,539 | ||||
Moderna, Inc.(b) | 9,292 | 1,324,575 | ||||
Regeneron Pharmaceuticals, Inc.(b) | 3,136 | 3,073,782 | ||||
Vertex Pharmaceuticals, Inc.(b) | 8,562 | 3,898,621 | ||||
26,961,739 | ||||||
Broadline Retail - 3.8% | ||||||
Amazon.com, Inc.(b) | 294,211 | 51,910,589 | ||||
eBay, Inc. | 17,180 | 931,500 | ||||
Etsy, Inc.(b) | 975 | 61,883 | ||||
52,903,972 | ||||||
Building Products - 0.5% | ||||||
A.O. Smith Corp. | 975 | 81,549 | ||||
Allegion PLC | 973 | 118,531 | ||||
Builders FirstSource, Inc.(b) | 3,378 | 543,149 | ||||
Carrier Global Corp. | 28,244 | 1,784,738 | ||||
Johnson Controls International PLC | 22,777 | 1,637,894 | ||||
Masco Corp. | 6,443 | 450,494 | ||||
Trane Technologies PLC | 6,487 | 2,124,233 | ||||
6,740,588 | ||||||
Capital Markets - 2.6% | ||||||
Ameriprise Financial, Inc. | 3,066 | 1,338,646 | ||||
Bank of New York Mellon Corp. | 25,637 | 1,528,222 | ||||
BlackRock, Inc. | 3,604 | 2,782,396 | ||||
Blackstone, Inc. | 23,095 | 2,782,948 | ||||
Cboe Global Markets, Inc. | 3,118 | 539,383 | ||||
Charles Schwab Corp. | 48,894 | 3,582,952 | ||||
CME Group, Inc. | 11,641 | 2,362,890 | ||||
FactSet Research Systems, Inc. | 530 | 214,258 | ||||
Franklin Resources, Inc. | 8,894 | 209,898 | ||||
Goldman Sachs Group, Inc. | 9,289 | 4,240,614 | ||||
Intercontinental Exchange, Inc. | 17,919 | 2,399,354 | ||||
12 |
Shares | Value | |||||
COMMON STOCKS - (Continued) | ||||||
Capital Markets - (Continued) | ||||||
Invesco Ltd. | 14,535 | $228,345 | ||||
MarketAxess Holdings, Inc. | 527 | 104,836 | ||||
Moody’s Corp. | 3,746 | 1,487,125 | ||||
Morgan Stanley | 42,476 | 4,155,852 | ||||
MSCI, Inc. | 973 | 481,810 | ||||
Nasdaq, Inc. | 11,362 | 670,699 | ||||
Northern Trust Corp. | 6,197 | 522,035 | ||||
Raymond James Financial, Inc. | 5,933 | 728,276 | ||||
S&P Global, Inc. | 9,299 | 3,975,415 | ||||
State Street Corp. | 9,275 | 701,097 | ||||
T. Rowe Price Group, Inc. | 6,426 | 757,176 | ||||
35,794,227 | ||||||
Chemicals - 1.4% | ||||||
Air Products and Chemicals, Inc. | 6,416 | 1,711,147 | ||||
Albemarle Corp. | 3,280 | 402,095 | ||||
Celanese Corp. | 974 | 148,087 | ||||
CF Industries Holdings, Inc. | 3,748 | 298,828 | ||||
Corteva, Inc. | 23,071 | 1,290,592 | ||||
Dow, Inc. | 23,043 | 1,327,968 | ||||
DuPont de Nemours, Inc. | 14,266 | 1,172,095 | ||||
Eastman Chemical Co. | 975 | 98,797 | ||||
Ecolab, Inc. | 6,520 | 1,513,944 | ||||
FMC Corp. | 975 | 59,426 | ||||
International Flavors & Fragrances, Inc. | 6,521 | 627,190 | ||||
Linde PLC | 15,053 | 6,555,883 | ||||
LyondellBasell Industries NV - Class A | 6,520 | 648,218 | ||||
Mosaic Co. | 9,536 | 294,948 | ||||
PPG Industries, Inc. | 6,520 | 856,793 | ||||
Sherwin-Williams Co. | 6,520 | 1,980,776 | ||||
18,986,787 | ||||||
Commercial Services & Supplies - 0.6% | ||||||
Cintas Corp. | 2,868 | 1,944,418 | ||||
Copart, Inc.(b) | 28,737 | 1,524,785 | ||||
Republic Services, Inc. | 6,157 | 1,140,215 | ||||
Rollins, Inc. | 6,520 | 297,899 | ||||
Veralto Corp. | 6,370 | 627,955 | ||||
Waste Management, Inc. | 11,724 | 2,470,598 | ||||
8,005,870 | ||||||
Communications Equipment - 0.7% | ||||||
Arista Networks, Inc.(b) | 6,520 | 1,940,678 | ||||
Cisco Systems, Inc. | 137,359 | 6,387,193 | ||||
F5, Inc.(b) | 833 | 140,752 | ||||
Juniper Networks, Inc. | 9,294 | 331,517 | ||||
Motorola Solutions, Inc. | 3,747 | 1,367,318 | ||||
10,167,458 | ||||||
13 |
Shares | Value | |||||
COMMON STOCKS - (Continued) | ||||||
Construction & Engineering - 0.1% | ||||||
Quanta Services, Inc. | 3,682 | $1,016,011 | ||||
Construction Materials - 0.1% | ||||||
Martin Marietta Materials, Inc. | 862 | 493,133 | ||||
Vulcan Materials Co. | 3,509 | 897,497 | ||||
1,390,630 | ||||||
Consumer Finance - 0.6% | ||||||
American Express Co. | 17,953 | 4,308,720 | ||||
Capital One Financial Corp. | 11,931 | 1,642,063 | ||||
Discover Financial Services | 8,461 | 1,037,826 | ||||
Synchrony Financial | 14,052 | 615,478 | ||||
7,604,087 | ||||||
Consumer Staples Distribution & Retail - 2.0% | ||||||
Costco Wholesale Corp. | 14,460 | 11,711,009 | ||||
Dollar General Corp. | 6,378 | 873,212 | ||||
Dollar Tree, Inc.(b) | 6,227 | 734,475 | ||||
Kroger Co. | 20,804 | 1,089,505 | ||||
Sysco Corp. | 16,963 | 1,235,246 | ||||
Target Corp. | 14,741 | 2,301,955 | ||||
Walgreens Boots Alliance, Inc. | 23,314 | 378,153 | ||||
Walmart, Inc. | 144,123 | 9,477,528 | ||||
27,801,083 | ||||||
Containers & Packaging - 0.2% | ||||||
Amcor PLC | 48,326 | 491,475 | ||||
Avery Dennison Corp. | 972 | 221,218 | ||||
Ball Corp. | 9,294 | 645,282 | ||||
International Paper Co. | 11,447 | 516,145 | ||||
Packaging Corp. of America | 973 | 178,536 | ||||
Westrock Co. | 6,521 | 349,787 | ||||
2,402,443 | ||||||
Distributors - 0.1% | ||||||
Genuine Parts Co. | 3,615 | 521,066 | ||||
LKQ Corp. | 6,520 | 280,556 | ||||
Pool Corp. | 537 | 195,226 | ||||
996,848 | ||||||
Diversified Telecommunication Services - 0.7% | ||||||
AT&T, Inc. | 241,595 | 4,401,861 | ||||
Verizon Communications, Inc. | 142,691 | 5,871,735 | ||||
10,273,596 | ||||||
Electric Utilities - 1.7% | ||||||
Alliant Energy Corp. | 6,520 | 335,715 | ||||
American Electric Power Co., Inc. | 17,281 | 1,559,610 | ||||
Constellation Energy Corp. | 9,294 | 2,019,121 | ||||
14 |
Shares | Value | |||||
COMMON STOCKS - (Continued) | ||||||
Electric Utilities - (Continued) | ||||||
Duke Energy Corp. | 25,674 | $2,659,056 | ||||
Edison International | 11,977 | 920,432 | ||||
Entergy Corp. | 6,267 | 704,975 | ||||
Evergy, Inc. | 6,520 | 356,383 | ||||
Eversource Energy | 11,504 | 681,382 | ||||
Exelon Corp. | 33,758 | 1,267,613 | ||||
FirstEnergy Corp. | 17,139 | 690,016 | ||||
NextEra Energy, Inc. | 68,390 | 5,472,568 | ||||
NRG Energy, Inc. | 6,461 | 523,341 | ||||
PG&E Corp. | 71,238 | 1,320,753 | ||||
Pinnacle West Capital Corp. | 974 | 76,810 | ||||
PPL Corp. | 23,565 | 691,161 | ||||
Southern Co. | 36,754 | 2,945,466 | ||||
Xcel Energy, Inc. | 17,615 | 976,752 | ||||
23,201,154 | ||||||
Electrical Equipment - 0.7% | ||||||
AMETEK, Inc. | 6,520 | 1,105,662 | ||||
Eaton Corp. PLC | 12,067 | 4,016,501 | ||||
Emerson Electric Co. | 17,887 | 2,006,206 | ||||
GE Vernova, Inc.(b) | 8,849 | 1,556,539 | ||||
Generac Holdings, Inc.(b) | 858 | 126,306 | ||||
Hubbell, Inc. | 745 | 289,723 | ||||
Rockwell Automation, Inc. | 3,255 | 838,260 | ||||
9,939,197 | ||||||
Electronic Equipment, Instruments & Components - 0.6% | ||||||
Amphenol Corp. - Class A | 19,921 | 2,636,943 | ||||
CDW Corp. | 3,530 | 789,379 | ||||
Corning, Inc. | 25,600 | 953,856 | ||||
Jabil, Inc. | 3,433 | 408,184 | ||||
Keysight Technologies, Inc.(b) | 3,747 | 518,884 | ||||
TE Connectivity Ltd. | 9,295 | 1,391,461 | ||||
Teledyne Technologies, Inc.(b) | 656 | 260,399 | ||||
Trimble, Inc.(b) | 8,435 | 469,661 | ||||
Zebra Technologies Corp. - Class A(b) | 712 | 222,386 | ||||
7,651,153 | ||||||
Energy Equipment & Services - 0.3% | ||||||
Baker Hughes Co. | 33,960 | 1,136,981 | ||||
Halliburton Co. | 28,708 | 1,053,583 | ||||
Schlumberger NV | 48,110 | 2,207,768 | ||||
4,398,332 | ||||||
Entertainment - 1.3% | ||||||
Electronic Arts, Inc. | 6,521 | 866,510 | ||||
Live Nation Entertainment, Inc.(b) | 3,625 | 339,807 | ||||
Netflix, Inc.(b) | 14,390 | 9,232,912 | ||||
15 |
Shares | Value | |||||
COMMON STOCKS - (Continued) | ||||||
Entertainment - (Continued) | ||||||
Take-Two Interactive Software, Inc.(b) | 3,746 | $600,709 | ||||
Walt Disney Co. | 61,866 | 6,428,496 | ||||
Warner Bros. Discovery, Inc.(b) | 73,970 | 609,513 | ||||
18,077,947 | ||||||
Financial Services - 4.4% | ||||||
Berkshire Hathaway, Inc. - Class B(b) | 61,832 | 25,623,181 | ||||
Corpay, Inc.(b) | 972 | 260,175 | ||||
Fidelity National Information Services, Inc. | 19,835 | 1,505,080 | ||||
Fiserv, Inc.(b) | 19,953 | 2,988,161 | ||||
Global Payments, Inc. | 8,595 | 875,401 | ||||
Jack Henry & Associates, Inc. | 972 | 160,069 | ||||
Mastercard, Inc. - Class A | 28,094 | 12,559,985 | ||||
PayPal Holdings, Inc.(b) | 36,521 | 2,300,458 | ||||
Visa, Inc. - Class A | 53,662 | 14,620,748 | ||||
60,893,258 | ||||||
Food Products - 0.7% | ||||||
Archer-Daniels-Midland Co. | 17,375 | 1,084,895 | ||||
Bunge Global SA | 3,689 | 396,900 | ||||
Campbell Soup Co. | 3,748 | 166,336 | ||||
Conagra Brands, Inc. | 14,841 | 443,449 | ||||
General Mills, Inc. | 19,675 | 1,352,656 | ||||
Hershey Co. | 3,745 | 740,873 | ||||
Hormel Foods Corp. | 9,002 | 278,882 | ||||
J.M. Smucker Co. | 974 | 108,737 | ||||
Kellogg Co. | 6,520 | 393,417 | ||||
Kraft Heinz Co. | 26,017 | 920,221 | ||||
Lamb Weston Holdings, Inc. | 3,675 | 324,466 | ||||
McCormick & Co., Inc. | 6,520 | 470,874 | ||||
Mondelez International, Inc. - Class A | 45,430 | 3,113,318 | ||||
Tyson Foods, Inc. - Class A | 8,950 | 512,388 | ||||
10,307,412 | ||||||
Gas Utilities - 0.0%(c) | ||||||
Atmos Energy Corp. | 3,738 | 433,309 | ||||
Ground Transportation - 1.0% | ||||||
CSX Corp. | 65,682 | 2,216,768 | ||||
JB Hunt Transport Services, Inc. | 973 | 156,410 | ||||
Norfolk Southern Corp. | 6,473 | 1,455,130 | ||||
Old Dominion Freight Line, Inc. | 5,818 | 1,019,605 | ||||
Uber Technologies, Inc.(b) | 68,458 | 4,419,648 | ||||
Union Pacific Corp. | 20,127 | 4,685,968 | ||||
13,953,529 | ||||||
16 |
Shares | Value | |||||
COMMON STOCKS - (Continued) | ||||||
Health Care Equipment & Supplies - 2.4% | ||||||
Abbott Laboratories | 57,319 | $5,857,429 | ||||
Align Technology, Inc.(b) | 972 | 250,008 | ||||
Baxter International, Inc. | 17,013 | 579,973 | ||||
Becton Dickinson and Co. | 9,017 | 2,091,673 | ||||
Boston Scientific Corp.(b) | 48,578 | 3,671,039 | ||||
Cooper Cos., Inc. | 3,925 | 370,167 | ||||
Dexcom, Inc.(b) | 11,988 | 1,423,815 | ||||
Edwards Lifesciences Corp.(b) | 20,032 | 1,740,580 | ||||
GE HealthCare Technologies, Inc. | 12,066 | 941,148 | ||||
Hologic, Inc.(b) | 6,520 | 481,046 | ||||
IDEXX Laboratories, Inc.(b) | 1,161 | 576,959 | ||||
Insulet Corp.(b) | 972 | 172,229 | ||||
Intuitive Surgical, Inc.(b) | 11,538 | 4,639,661 | ||||
Medtronic PLC | 45,076 | 3,667,834 | ||||
ResMed, Inc. | 3,711 | 765,691 | ||||
Solventum Corp.(b) | 4,033 | 239,318 | ||||
STERIS PLC | 3,041 | 677,778 | ||||
Stryker Corp. | 11,328 | 3,863,867 | ||||
Teleflex, Inc. | 654 | 136,732 | ||||
Zimmer Biomet Holdings, Inc. | 6,226 | 716,924 | ||||
32,863,871 | ||||||
Health Care Providers & Services - 2.4% | ||||||
Cardinal Health, Inc. | 6,520 | 647,240 | ||||
Cencora, Inc. | 3,746 | 848,731 | ||||
Centene Corp.(b) | 17,373 | 1,243,733 | ||||
Cigna Corp. | 9,054 | 3,120,190 | ||||
CVS Health Corp. | 42,756 | 2,548,258 | ||||
DaVita, Inc.(b) | 4 | 588 | ||||
Elevance Health, Inc. | 6,520 | 3,510,890 | ||||
HCA Healthcare, Inc. | 6,077 | 2,064,661 | ||||
Henry Schein, Inc.(b) | 975 | 67,607 | ||||
Humana, Inc. | 3,366 | 1,205,432 | ||||
Labcorp Holdings, Inc. | 973 | 189,647 | ||||
McKesson Corp. | 3,514 | 2,001,539 | ||||
Molina Healthcare, Inc.(b) | 809 | 254,495 | ||||
Quest Diagnostics, Inc. | 974 | 138,279 | ||||
UnitedHealth Group, Inc. | 31,079 | 15,395,604 | ||||
Universal Health Services, Inc. - Class B | 847 | 160,761 | ||||
33,397,655 | ||||||
Hotels, Restaurants & Leisure - 1.6% | ||||||
Airbnb, Inc. - Class A(b) | 14,347 | 2,079,311 | ||||
Booking Holdings, Inc. | 488 | 1,842,859 | ||||
Caesars Entertainment, Inc.(b) | 6,305 | 224,206 | ||||
Carnival Corp.(b) | 33,920 | 511,513 | ||||
17 |
Shares | Value | |||||
COMMON STOCKS - (Continued) | ||||||
Hotels, Restaurants & Leisure - (Continued) | ||||||
Chipotle Mexican Grill, Inc.(b) | 384 | $1,201,736 | ||||
Darden Restaurants, Inc. | 3,333 | 501,250 | ||||
Domino’s Pizza, Inc. | 487 | 247,678 | ||||
Expedia Group, Inc.(b) | 3,514 | 396,590 | ||||
Hilton Worldwide Holdings, Inc. | 8,543 | 1,713,726 | ||||
Las Vegas Sands Corp. | 9,295 | 418,554 | ||||
Marriott International, Inc. - Class A | 6,757 | 1,562,016 | ||||
McDonald’s Corp. | 23,348 | 6,044,564 | ||||
MGM Resorts International(b) | 8,767 | 352,170 | ||||
Norwegian Cruise Line Holdings Ltd.(b) | 14,229 | 236,201 | ||||
Royal Caribbean Cruises Ltd.(b) | 6,520 | 962,874 | ||||
Starbucks Corp. | 37,419 | 3,001,752 | ||||
Wynn Resorts Ltd. | 974 | 92,413 | ||||
Yum! Brands, Inc. | 8,879 | 1,220,241 | ||||
22,609,654 | ||||||
Household Durables - 0.3% | ||||||
D.R. Horton, Inc. | 9,168 | 1,355,031 | ||||
Garmin Ltd. | 3,746 | 613,782 | ||||
Lennar Corp. - Class A | 6,520 | 1,045,482 | ||||
Mohawk Industries, Inc.(b) | 4 | 488 | ||||
NVR, Inc.(b) | 41 | 314,910 | ||||
PulteGroup, Inc. | 6,320 | 741,462 | ||||
4,071,155 | ||||||
Household Products - 1.3% | ||||||
Church & Dwight Co., Inc. | 6,520 | 697,705 | ||||
Clorox Co. | 3,384 | 445,199 | ||||
Colgate-Palmolive Co. | 26,393 | 2,453,493 | ||||
Kimberly-Clark Corp. | 9,295 | 1,239,024 | ||||
Procter & Gamble Co. | 79,271 | 13,043,250 | ||||
17,878,671 | ||||||
Independent Power and Renewable Electricity Producers - 0.0%(c) | ||||||
AES Corp. | 22,603 | 487,999 | ||||
Industrial Conglomerates - 0.9% | ||||||
3M Co. | 17,615 | 1,763,966 | ||||
General Electric Co. | 36,657 | 6,053,537 | ||||
Honeywell International, Inc. | 20,804 | 4,206,361 | ||||
12,023,864 | ||||||
Insurance - 2.1% | ||||||
Aflac, Inc. | 17,355 | 1,559,694 | ||||
Allstate Corp. | 6,520 | 1,092,230 | ||||
American International Group, Inc. | 23,021 | 1,814,515 | ||||
Aon PLC - Class A | 6,112 | 1,721,384 | ||||
Arch Capital Group Ltd.(b) | 11,831 | 1,214,215 | ||||
18 |
Shares | Value | |||||
COMMON STOCKS - (Continued) | ||||||
Insurance - (Continued) | ||||||
Arthur J Gallagher & Co. | 6,323 | $1,601,806 | ||||
Assurant, Inc. | 731 | 126,807 | ||||
Brown & Brown, Inc. | 6,520 | 583,605 | ||||
Chubb Ltd. | 12,068 | 3,268,256 | ||||
Cincinnati Financial Corp. | 3,746 | 440,455 | ||||
Everest Group Ltd. | 605 | 236,513 | ||||
Globe Life, Inc. | 973 | 80,525 | ||||
Hartford Financial Services Group, Inc. | 9,170 | 948,636 | ||||
Loews Corp. | 3,748 | 287,846 | ||||
Marsh & McLennan Cos., Inc. | 15,156 | 3,146,082 | ||||
MetLife, Inc. | 20,262 | 1,466,361 | ||||
Principal Financial Group, Inc. | 6,380 | 523,415 | ||||
Progressive Corp. | 19,744 | 4,169,538 | ||||
Prudential Financial, Inc. | 11,657 | 1,402,920 | ||||
Travelers Cos., Inc. | 6,500 | 1,402,050 | ||||
W.R. Berkley Corp. | 6,152 | 498,497 | ||||
Willis Towers Watson PLC | 3,096 | 790,378 | ||||
28,375,728 | ||||||
Interactive Media & Services - 6.9% | ||||||
Alphabet, Inc. - Class A(b) | 191,836 | 33,091,710 | ||||
Alphabet, Inc. - Class C(b) | 161,625 | 28,116,285 | ||||
Match Group, Inc.(b) | 8,741 | 267,737 | ||||
Meta Platforms, Inc. - Class A | 71,423 | 33,342,399 | ||||
94,818,131 | ||||||
IT Services - 0.9% | ||||||
Accenture PLC - Class A | 20,369 | 5,749,965 | ||||
Akamai Technologies, Inc.(b) | 3,746 | 345,531 | ||||
Cognizant Technology Solutions Corp. - Class A | 16,921 | 1,119,324 | ||||
EPAM Systems, Inc.(b) | 805 | 143,234 | ||||
Gartner, Inc.(b) | 972 | 407,919 | ||||
International Business Machines Corp. | 30,922 | 5,159,336 | ||||
VeriSign, Inc.(b) | 973 | 169,613 | ||||
13,094,922 | ||||||
Leisure Products - 0.0%(b) | ||||||
Hasbro, Inc. | 3,478 | 207,915 | ||||
Life Sciences Tools & Services - 1.2% | ||||||
Agilent Technologies, Inc. | 9,046 | 1,179,689 | ||||
Bio-Rad Laboratories, Inc. - Class A(b) | 291 | 83,476 | ||||
Bio-Techne Corp. | 3,746 | 289,154 | ||||
Charles River Laboratories International, Inc.(b) | 713 | 148,618 | ||||
Danaher Corp. | 20,786 | 5,337,845 | ||||
Illumina, Inc.(b) | 3,746 | 390,633 | ||||
IQVIA Holdings, Inc.(b) | 5,860 | 1,283,867 | ||||
19 |
Shares | Value | |||||
COMMON STOCKS - (Continued) | ||||||
Life Sciences Tools & Services - (Continued) | ||||||
Mettler-Toledo International, Inc.(b) | 303 | $425,439 | ||||
Revvity, Inc. | 975 | 106,529 | ||||
Thermo Fisher Scientific, Inc. | 12,026 | 6,830,527 | ||||
Waters Corp.(b) | 826 | 255,151 | ||||
West Pharmaceutical Services, Inc. | 972 | 322,131 | ||||
16,653,059 | ||||||
Machinery - 1.6% | ||||||
Caterpillar, Inc. | 17,052 | 5,772,443 | ||||
Cummins, Inc. | 3,634 | 1,023,807 | ||||
Deere & Co. | 8,705 | 3,262,286 | ||||
Dover Corp. | 3,610 | 663,590 | ||||
Fortive Corp. | 11,529 | 858,219 | ||||
IDEX Corp. | 972 | 202,798 | ||||
Illinois Tool Works, Inc. | 8,791 | 2,134,015 | ||||
Ingersoll Rand, Inc. | 12,068 | 1,122,927 | ||||
Nordson Corp. | 756 | 177,448 | ||||
Otis Worldwide Corp. | 12,068 | 1,197,146 | ||||
PACCAR, Inc. | 17,237 | 1,852,978 | ||||
Parker-Hannifin Corp. | 3,449 | 1,833,213 | ||||
Pentair PLC | 3,746 | 304,849 | ||||
Snap-on, Inc. | 736 | 200,825 | ||||
Stanley Black & Decker, Inc. | 3,746 | 326,539 | ||||
Westinghouse Air Brake Technologies Corp. | 3,747 | 634,105 | ||||
Xylem, Inc. | 6,672 | 940,885 | ||||
22,508,073 | ||||||
Media - 0.6% | ||||||
Charter Communications, Inc. - Class A(b) | 3,064 | 879,736 | ||||
Comcast Corp. - Class A | 135,528 | 5,425,186 | ||||
Fox Corp. - Class A | 6,764 | 232,885 | ||||
Fox Corp. - Class B | 3,497 | 111,694 | ||||
Interpublic Group of Cos., Inc. | 11,970 | 375,499 | ||||
News Corp. - Class A | 11,923 | 324,186 | ||||
News Corp. - Class B | 975 | 27,183 | ||||
Omnicom Group, Inc. | 3,748 | 348,414 | ||||
Paramount Global - Class B | 15,063 | 179,400 | ||||
7,904,183 | ||||||
Metals & Mining - 0.4% | ||||||
Freeport-McMoRan, Inc. | 48,151 | 2,539,002 | ||||
Newmont Corp. | 37,616 | 1,577,615 | ||||
Nucor Corp. | 6,740 | 1,138,049 | ||||
Steel Dynamics, Inc. | 3,753 | 502,414 | ||||
5,757,080 | ||||||
20 |
Shares | Value | |||||
COMMON STOCKS - (Continued) | ||||||
Multi-Utilities - 0.6% | ||||||
Ameren Corp. | 6,521 | $478,446 | ||||
CenterPoint Energy, Inc. | 20,388 | 622,038 | ||||
CMS Energy Corp. | 9,043 | 569,076 | ||||
Consolidated Edison, Inc. | 11,448 | 1,082,408 | ||||
Dominion Energy, Inc. | 28,282 | 1,524,965 | ||||
DTE Energy Co. | 6,200 | 722,486 | ||||
NiSource, Inc. | 12,068 | 350,696 | ||||
Public Service Enterprise Group, Inc. | 16,880 | 1,278,829 | ||||
Sempra | 20,386 | 1,570,334 | ||||
WEC Energy Group, Inc. | 9,294 | 753,093 | ||||
8,952,371 | ||||||
Oil, Gas & Consumable Fuels - 3.8% | ||||||
APA Corp. | 9,265 | 282,860 | ||||
Chevron Corp. | 59,373 | 9,636,238 | ||||
ConocoPhillips | 39,838 | 4,640,330 | ||||
Coterra Energy, Inc. | 25,391 | 724,151 | ||||
Devon Energy Corp. | 20,552 | 1,008,692 | ||||
Diamondback Energy, Inc. | 3,747 | 746,627 | ||||
EOG Resources, Inc. | 19,796 | 2,465,592 | ||||
EQT Corp. | 12,065 | 495,751 | ||||
Exxon Mobil Corp. | 151,115 | 17,719,745 | ||||
Hess Corp. | 8,851 | 1,363,939 | ||||
Kinder Morgan, Inc. | 65,128 | 1,269,345 | ||||
Marathon Oil Corp. | 19,771 | 572,568 | ||||
Marathon Petroleum Corp. | 11,926 | 2,106,251 | ||||
Occidental Petroleum Corp. | 20,821 | 1,301,313 | ||||
ONEOK, Inc. | 19,756 | 1,600,236 | ||||
Phillips 66 | 14,416 | 2,048,658 | ||||
Targa Resources Corp. | 6,430 | 760,219 | ||||
Valero Energy Corp. | 11,376 | 1,787,625 | ||||
Williams Cos., Inc. | 40,224 | 1,669,698 | ||||
52,199,838 | ||||||
Passenger Airlines - 0.2% | ||||||
American Airlines Group, Inc.(b) | 20,682 | 237,843 | ||||
Delta Air Lines, Inc. | 20,554 | 1,048,665 | ||||
Southwest Airlines Co. | 19,883 | 533,660 | ||||
United Airlines Holdings, Inc.(b) | 9,534 | 505,206 | ||||
2,325,374 | ||||||
Personal Care Products - 0.1% | ||||||
Kenvue, Inc. | 57,161 | 1,103,207 | ||||
The Estee Lauder Companies, Inc. - Class A | 6,520 | 804,307 | ||||
1,907,514 | ||||||
21 |
Shares | Value | |||||
COMMON STOCKS - (Continued) | ||||||
Pharmaceuticals - 4.0% | ||||||
Bristol-Myers Squibb Co. | 68,153 | $2,800,407 | ||||
Catalent, Inc.(b) | 3,747 | 201,551 | ||||
Eli Lilly & Co. | 26,063 | 21,380,521 | ||||
Johnson & Johnson | 81,571 | 11,964,019 | ||||
Merck & Co., Inc. | 84,987 | 10,669,268 | ||||
Pfizer, Inc. | 191,380 | 5,484,951 | ||||
Viatris, Inc. | 39,918 | 423,131 | ||||
Zoetis, Inc. | 14,717 | 2,495,414 | ||||
55,419,262 | ||||||
Professional Services - 0.6% | ||||||
Automatic Data Processing, Inc. | 12,361 | 3,027,456 | ||||
Broadridge Financial Solutions, Inc. | 3,300 | 662,541 | ||||
Dayforce, Inc.(b) | 3,746 | 185,277 | ||||
Equifax, Inc. | 3,376 | 781,173 | ||||
Jacobs Solutions, Inc. | 3,416 | 475,986 | ||||
Leidos Holdings, Inc. | 3,579 | 526,292 | ||||
Paychex, Inc. | 9,295 | 1,116,887 | ||||
Paycom Software, Inc. | 682 | 99,108 | ||||
Robert Half International, Inc. | 974 | 62,560 | ||||
Verisk Analytics, Inc. | 3,678 | 929,725 | ||||
7,867,005 | ||||||
Real Estate Management & Development - 0.1% | ||||||
CBRE Group, Inc. - Class A(b) | 9,204 | 810,596 | ||||
CoStar Group, Inc.(b) | 12,068 | 943,356 | ||||
1,753,952 | ||||||
Semiconductors & Semiconductor Equipment - 11.6% | ||||||
Advanced Micro Devices, Inc.(b) | 53,710 | 8,964,199 | ||||
Analog Devices, Inc. | 16,868 | 3,955,377 | ||||
Applied Materials, Inc. | 28,238 | 6,073,429 | ||||
Broadcom, Inc. | 14,407 | 19,140,420 | ||||
Enphase Energy, Inc.(b) | 3,558 | 455,068 | ||||
First Solar, Inc.(b) | 3,150 | 856,044 | ||||
Intel Corp. | 143,334 | 4,421,854 | ||||
KLA Corp. | 3,552 | 2,697,851 | ||||
Lam Research Corp. | 3,490 | 3,254,216 | ||||
Microchip Technology, Inc. | 17,469 | 1,698,511 | ||||
Micron Technology, Inc. | 36,807 | 4,600,875 | ||||
Monolithic Power Systems, Inc. | 665 | 489,194 | ||||
NVIDIA Corp. | 79,263 | 86,898,405 | ||||
NXP Semiconductors NV | 8,552 | 2,326,999 | ||||
ON Semiconductor Corp.(b) | 14,273 | 1,042,500 | ||||
Qorvo, Inc.(b) | 974 | 95,832 | ||||
QUALCOMM, Inc. | 37,050 | 7,560,052 | ||||
Skyworks Solutions, Inc. | 3,746 | 347,104 | ||||
22 |
Shares | Value | |||||
COMMON STOCKS - (Continued) | ||||||
Semiconductors & Semiconductor Equipment - (Continued) | ||||||
Teradyne, Inc. | 3,746 | $527,961 | ||||
Texas Instruments, Inc. | 29,223 | 5,698,777 | ||||
161,104,668 | ||||||
Software - 10.3% | ||||||
Adobe, Inc.(b) | 14,629 | 6,506,394 | ||||
ANSYS, Inc.(b) | 2,866 | 909,812 | ||||
Autodesk, Inc.(b) | 6,297 | 1,269,475 | ||||
Cadence Design Systems, Inc.(b) | 8,771 | 2,511,225 | ||||
Fair Isaac Corp.(b) | 344 | 443,736 | ||||
Fortinet, Inc.(b) | 20,465 | 1,213,984 | ||||
Gen Digital, Inc. | 17,805 | 442,098 | ||||
Intuit, Inc. | 8,894 | 5,126,857 | ||||
Microsoft Corp. | 236,857 | 98,326,446 | ||||
Oracle Corp. | 53,608 | 6,282,321 | ||||
Palo Alto Networks, Inc.(b) | 9,327 | 2,750,626 | ||||
PTC, Inc.(b) | 3,315 | 584,236 | ||||
Roper Technologies, Inc. | 3,145 | 1,675,530 | ||||
Salesforce, Inc. | 31,800 | 7,455,192 | ||||
ServiceNow, Inc.(b) | 6,175 | 4,056,543 | ||||
Synopsys, Inc.(b) | 3,746 | 2,100,757 | ||||
Tyler Technologies, Inc.(b) | 586 | 281,491 | ||||
141,936,723 | ||||||
Specialty Retail - 1.7% | ||||||
AutoZone, Inc.(b) | 245 | 678,635 | ||||
Bath & Body Works, Inc. | 6,472 | 336,156 | ||||
Best Buy Co., Inc. | 3,748 | 317,905 | ||||
CarMax, Inc.(b) | 3,747 | 263,264 | ||||
Home Depot, Inc. | 33,798 | 11,317,936 | ||||
Lowe’s Cos., Inc. | 17,993 | 3,981,671 | ||||
O’Reilly Automotive, Inc.(b) | 826 | 795,653 | ||||
Ross Stores, Inc. | 9,295 | 1,299,069 | ||||
TJX Companies, Inc. | 37,508 | 3,867,075 | ||||
Tractor Supply Co. | 3,156 | 900,375 | ||||
Ulta Beauty, Inc.(b) | 686 | 271,032 | ||||
24,028,771 | ||||||
Technology Hardware, Storage & Peripherals - 6.8% | ||||||
Apple, Inc. | 467,251 | 89,829,005 | ||||
Hewlett Packard Enterprise Co. | 42,690 | 753,478 | ||||
HP, Inc. | 28,682 | 1,046,893 | ||||
NetApp, Inc. | 6,227 | 749,918 | ||||
Seagate Technology Holdings PLC | 3,748 | 349,464 | ||||
Super Micro Computer, Inc.(b) | 991 | 777,449 | ||||
Western Digital Corp.(b) | 9,482 | 713,900 | ||||
94,220,107 | ||||||
23 |
Shares | Value | |||||
COMMON STOCKS - (Continued) | ||||||
Textiles, Apparel & Luxury Goods - 0.4% | ||||||
Deckers Outdoor Corp.(b) | 504 | $551,336 | ||||
Lululemon Athletica, Inc.(b) | 3,260 | 1,017,087 | ||||
NIKE, Inc. - Class B | 40,128 | 3,814,166 | ||||
Ralph Lauren Corp. | 3 | 561 | ||||
Tapestry, Inc. | 6,508 | 283,033 | ||||
5,666,183 | ||||||
Tobacco - 0.6% | ||||||
Altria Group, Inc. | 59,460 | 2,750,025 | ||||
Philip Morris International, Inc. | 51,465 | 5,217,522 | ||||
7,967,547 | ||||||
Trading Companies & Distributors - 0.2% | ||||||
Fastenal Co. | 17,920 | 1,182,361 | ||||
United Rentals, Inc. | 946 | 633,262 | ||||
W.W. Grainger, Inc. | 615 | 566,698 | ||||
2,382,321 | ||||||
Water Utilities - 0.0%(c) | ||||||
American Water Works Co., Inc. | 3,747 | 489,995 | ||||
Wireless Telecommunication Services - 0.2% | ||||||
T-Mobile US, Inc. | 17,028 | 2,979,219 | ||||
TOTAL COMMON STOCKS (Cost $1,232,261,124) | 1,359,455,137 | |||||
REAL ESTATE INVESTMENT TRUSTS - 1.9%(a) | ||||||
Alexandria Real Estate Equities, Inc. | 3,746 | 445,774 | ||||
American Tower Corp. | 14,777 | 2,892,450 | ||||
AvalonBay Communities, Inc. | 3,633 | 700,007 | ||||
Boston Properties, Inc. | 3,666 | 222,416 | ||||
Camden Property Trust | 974 | 99,981 | ||||
Crown Castle, Inc. | 14,326 | 1,468,415 | ||||
Digital Realty Trust, Inc. | 9,181 | 1,334,367 | ||||
Equinix, Inc. | 2,958 | 2,256,895 | ||||
Equity Residential | 11,442 | 744,073 | ||||
Essex Property Trust, Inc. | 894 | 232,252 | ||||
Extra Space Storage, Inc. | 6,261 | 906,405 | ||||
Federal Realty Investment Trust | 972 | 98,124 | ||||
Healthpeak Properties, Inc. | 17,568 | 349,603 | ||||
Host Hotels & Resorts, Inc. | 23,050 | 413,517 | ||||
Invitation Homes, Inc. | 17,941 | 624,167 | ||||
Iron Mountain, Inc. | 9,027 | 728,389 | ||||
Kimco Realty Corp. | 20,244 | 391,924 | ||||
Mid-America Apartment Communities, Inc. | 3,282 | 438,836 | ||||
Prologis, Inc. | 31,078 | 3,433,808 | ||||
Public Storage | 3,746 | 1,025,767 | ||||
Realty Income Corp. | 20,388 | 1,081,787 | ||||
24 |
Shares | Value | |||||
REAL ESTATE INVESTMENT TRUSTS - (Continued) | ||||||
Regency Centers Corp. | 3,746 | $230,005 | ||||
SBA Communications Corp. | 3,155 | 620,525 | ||||
Simon Property Group, Inc. | 9,294 | 1,406,275 | ||||
UDR, Inc. | 9,181 | 354,570 | ||||
Ventas, Inc. | 12,068 | 606,538 | ||||
VICI Properties, Inc. | 34,252 | 983,375 | ||||
Welltower, Inc. | 17,660 | 1,830,812 | ||||
Weyerhaeuser Co. | 23,395 | 702,552 | ||||
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $26,373,384) | 26,623,609 | |||||
CONTINGENT VALUE RIGHTS - 0.0%(c) | ||||||
Abiomed, Inc.(b)(d) | 2 | 0 | ||||
TOTAL CONTINGENT VALUE RIGHTS (Cost $0) | 0 | |||||
SHORT-TERM INVESTMENTS - 1.1% | ||||||
Money Market Funds - 1.1% | ||||||
First American Treasury Obligations Fund - Class X, 5.22%(e) | 15,840,504 | 15,840,504 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $15,840,504) | 15,840,504 | |||||
TOTAL INVESTMENTS - 101.3% (Cost $1,274,475,012) | $1,401,919,250 | |||||
Liabilities in Excess of Other Assets - (1.3)% | (18,021,471) | |||||
TOTAL NET ASSETS - 100.0% | $1,383,897,779 | |||||
(a) | All or a portion of security has been pledged as collateral. The total value of assets committed as collateral as of May 31, 2024 is $1,386,078,746. |
(b) | Non-income producing security. |
(c) | Represents less than 0.05% of net assets. |
(d) | Fair value determined using significant unobservable inputs in accordance with procedures established by and under the supervision of the Adviser, acting as Valuation Designee. These securities represented $0 or 0.0% of net assets as of May 31, 2024. |
(e) | The rate shown represents the 7-day effective yield as of May 31, 2024. |
25 |
Notional Amount | Contracts | Value | |||||||
WRITTEN OPTIONS - (1.1)% (a)(b) | |||||||||
Call Options - (1.1)% | |||||||||
S&P 500 Index | |||||||||
Expiration: 07/19/2024; Exercise Price: $5,320.00 | $(593,719,875) | (1,125) | $(9,253,125) | ||||||
Expiration: 07/19/2024; Exercise Price: $5,370.00 | (593,719,875) | (1,125) | (6,350,625) | ||||||
Total Call Options | (15,603,750) | ||||||||
TOTAL WRITTEN OPTIONS (Premiums received $14,400,742) | (15,603,750) | ||||||||
(a) | Exchange-traded. |
(b) | 100 shares per contract. |
26 |
NEOS Enhanced Income 1-3 Month T-Bill ETF | NEOS Enhanced Income Aggregate Bond ETF | NEOS Nasdaq-100® High Income ETF | NEOS S&P 500® High Income ETF | |||||||||
ASSETS: | ||||||||||||
Investments, at value | $441,995,953 | $11,192,569 | $219,282,766 | $1,401,919,250 | ||||||||
Dividends and interest receivable | 28,499 | 241 | 125,394 | 1,654,606 | ||||||||
Receivable for investments sold | — | — | 3,666,308 | 20,073,788 | ||||||||
Receivable for fund shares sold | — | — | 10,081,880 | 4,949,630 | ||||||||
Deposit at broker for option contracts | — | 4,709 | — | — | ||||||||
Other assets | — | — | — | 3 | ||||||||
Total assets | 442,024,452 | 11,197,519 | 233,156,348 | 1,428,597,277 | ||||||||
LIABILITIES: | ||||||||||||
Written option contracts, at value | 109,725 | 4,043 | 2,766,280 | 15,603,750 | ||||||||
Payable to adviser | 141,032 | 4,924 | 96,582 | 734,459 | ||||||||
Payable for investments purchased | — | — | 14,476,199 | 28,361,289 | ||||||||
Total liabilities | 250,757 | 8,967 | 17,339,061 | 44,699,498 | ||||||||
NET ASSETS | $441,773,695 | $11,188,552 | $215,817,287 | $1,383,897,779 | ||||||||
Net Assets Consists of: | ||||||||||||
Paid-in capital | $441,652,803 | $11,346,378 | $211,287,214 | $1,312,552,099 | ||||||||
Total distributable earnings/(accumulated losses) | 120,892 | (157,826) | 4,530,073 | 71,345,680 | ||||||||
Total net assets | $441,773,695 | $11,188,552 | $215,817,287 | $1,383,897,779 | ||||||||
Net assets | $441,773,695 | $11,188,552 | $215,817,287 | $1,383,897,779 | ||||||||
Shares issued and outstanding(a) | 8,870,000 | 240,000 | 4,280,000 | 27,960,000 | ||||||||
Net asset value per share | $49.81 | $46.62 | $50.42 | $49.50 | ||||||||
COST: | ||||||||||||
Investments, at cost | $441,932,768 | $11,349,711 | $214,188,883 | $1,274,475,012 | ||||||||
PROCEEDS: | ||||||||||||
Written options premium | $245,135 | $9,058 | $2,723,595 | $14,400,742 | ||||||||
(a) | Unlimited shares authorized without par value. |
27 |
NEOS Enhanced Income 1-3 Month T-Bill ETF | NEOS Enhanced Income Aggregate Bond ETF | NEOS Nasdaq-100® High Income ETF(a) | NEOS S&P 500® High Income ETF | |||||||||
INVESTMENT INCOME: | ||||||||||||
Dividend income | $— | $185,831 | $227,839 | $8,584,194 | ||||||||
Less: Dividend withholding taxes | — | — | (349) | (1,718) | ||||||||
Interest income | 12,946,933 | 1,994 | 25,834 | 370,061 | ||||||||
Total investment income | 12,946,933 | 187,825 | 253,324 | 8,952,537 | ||||||||
EXPENSES: | ||||||||||||
Investment advisory fee | 915,994 | 33,466 | 175,260 | 3,831,430 | ||||||||
Total expenses | 915,994 | 33,466 | 175,260 | 3,831,430 | ||||||||
Expense waiver by Adviser | — | (1,721) | — | — | ||||||||
Net expenses | 915,994 | 31,745 | 175,260 | 3,831,430 | ||||||||
NET INVESTMENT INCOME | 12,030,939 | 156,080 | 78,064 | 5,121,107 | ||||||||
REALIZED AND UNREALIZED GAIN/(LOSS) | ||||||||||||
Net realized gain/(loss) from: | ||||||||||||
Investments | (2,094,707) | (62,094) | (69,815) | (4,068,221) | ||||||||
In-kind redemptions | (242) | — | — | 3,122,739 | ||||||||
Written option contracts expired or closed | 3,556,051 | 103,092 | (451,310) | (46,414,338) | ||||||||
Net realized gain/(loss) | 1,461,102 | 40,998 | (521,125) | (47,359,820) | ||||||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||||||
Investments | 88,127 | (128,929) | 5,093,883 | 126,898,467 | ||||||||
Written option contracts | 104,594 | 4,027 | (42,685) | (1,209,356) | ||||||||
Net change in unrealized appreciation/(depreciation) | 192,721 | (124,902) | 5,051,198 | 125,689,111 | ||||||||
Net realized and unrealized gain/(loss) | 1,653,823 | (83,904) | 4,530,073 | 78,329,291 | ||||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $13,684,762 | $72,176 | $4,608,137 | $83,450,398 | ||||||||
(a) | The Fund commenced investment operations on January 30, 2024. |
28 |
NEOS Enhanced Income 1-3 Month T-Bill ETF | NEOS Enhanced Income Aggregate Bond ETF | |||||||||||
Year ended May 31, 2024 | Period ended May 31, 2023(a) | Year ended May 31, 2024 | Period ended May 31, 2023(a) | |||||||||
OPERATIONS: | ||||||||||||
Net investment income | $12,030,939 | $644,812 | $156,080 | $16,864 | ||||||||
Net realized gain | 1,461,102 | 290,414 | 40,998 | 16,541 | ||||||||
Net change in unrealized appreciation/(depreciation) | 192,721 | 5,874 | (124,902) | (27,225) | ||||||||
Net increase in net assets from operations | 13,684,762 | 941,100 | 72,176 | 6,180 | ||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||
Distributions to shareholders | (13,553,733) | (951,625) | (202,156) | (34,026) | ||||||||
Return of capital | (1,282,823) | (29,184) | (112,364) | (9,004) | ||||||||
Total distributions to shareholders | (14,836,556) | (980,809) | (314,520) | (43,030) | ||||||||
CAPITAL TRANSACTIONS: | ||||||||||||
Subscriptions | 413,865,914 | 101,652,426 | 9,497,973 | 1,969,773 | ||||||||
Redemptions | (71,049,803) | (1,503,339) | — | — | ||||||||
Net increase in net assets from capital transactions | 342,816,111 | 100,149,087 | 9,497,973 | 1,969,773 | ||||||||
NET INCREASE IN NET ASSETS | 341,664,317 | 100,109,378 | 9,255,629 | 1,932,923 | ||||||||
NET ASSETS: | ||||||||||||
Beginning of the year | 100,109,378 | — | 1,932,923 | — | ||||||||
End of the year | $441,773,695 | $100,109,378 | $11,188,552 | $1,932,923 | ||||||||
SHARES TRANSACTIONS | ||||||||||||
Subscriptions | 8,290,000 | 2,030,000 | 200,000 | 40,000 | ||||||||
Redemptions | (1,420,000) | (30,000) | — | — | ||||||||
Total increase in shares outstanding | 6,870,000 | 2,000,000 | 200,000 | 40,000 | ||||||||
(a) | Inception date of the Fund was August 30, 2022. |
29 |
NEOS Nasdaq-100® High Income ETF | NEOS S&P 500® High Income ETF | ||||||||
Period ended May 31, 2024(a) | Year ended May 31, 2024 | Period ended May 31, 2023(b) | |||||||
OPERATIONS: | |||||||||
Net investment income | $78,064 | $5,121,107 | $45,704 | ||||||
Net realized gain/(loss) | (521,125) | (47,359,820) | 70,319 | ||||||
Net change in unrealized appreciation | 5,051,198 | 125,689,111 | 552,119 | ||||||
Net increase in net assets from operations | 4,608,137 | 83,450,398 | 668,142 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||
Distributions to shareholders | (78,064) | (9,548,376) | (188,945) | ||||||
Return of capital | (4,355,312) | (62,890,517) | (246,419) | ||||||
Total distributions to shareholders | (4,433,376) | (72,438,893) | (435,364) | ||||||
CAPITAL TRANSACTIONS: | |||||||||
Subscriptions | 215,642,525 | 1,362,850,824 | 26,285,280 | ||||||
Redemptions | — | (15,527,100) | (955,508) | ||||||
ETF transaction fees (See Note 7) | 1 | — | — | ||||||
Net increase in net assets from capital transactions | 215,642,526 | 1,347,323,724 | 25,329,772 | ||||||
NET INCREASE IN NET ASSETS | 215,817,287 | 1,358,335,229 | 25,562,550 | ||||||
NET ASSETS: | |||||||||
Beginning of the year | — | 25,562,550 | — | ||||||
End of the year | $215,817,287 | $1,383,897,779 | $25,562,550 | ||||||
SHARES TRANSACTIONS | |||||||||
Subscriptions | 4,280,000 | 27,750,000 | 550,000 | ||||||
Redemptions | — | (320,000) | (20,000) | ||||||
Total increase in shares outstanding | 4,280,000 | 27,430,000 | 530,000 | ||||||
(a) | Inception date of the Fund was January 30, 2024. |
(b) | Inception date of the Fund was August 30, 2022. |
30 |
Year ended May 31, 2024 | Period ended May 31, 2023(a) | |||||
PER SHARE DATA: | ||||||
Net asset value, beginning of period | $50.05 | $50.00 | ||||
INVESTMENTS OPERATIONS: | ||||||
Net investment income(b) | 2.49 | 1.73 | ||||
Net realized and unrealized gain on investments | 0.34 | 0.32 | ||||
Total from investment operations | 2.83 | 2.05 | ||||
LESS DISTRIBUTIONS FROM: | ||||||
From net investment income | (2.61) | (1.31) | ||||
From net realized gains | (0.20) | (0.63) | ||||
Return of capital | (0.26) | (0.06) | ||||
Total distributions | (3.07) | (2.00) | ||||
Net asset value, end of period | $49.81 | $50.05 | ||||
Total Return(c) | 5.80% | 4.18% | ||||
SUPPLEMENTAL DATA AND RATIOS: | ||||||
Net assets, end of period (in thousands) | $441,774 | $100,109 | ||||
Ratio of expenses to average net assets(d) | 0.38% | 0.38% | ||||
Ratio of net investment income to average net assets(d) | 4.99% | 4.58% | ||||
Portfolio turnover rate(c)(e) | 0% | 0% | ||||
(a) | Inception date of the Fund was August 30, 2022. |
(b) | Net investment income per share has been calculated based on average shares outstanding during the year or period. |
(c) | Not annualized for periods less than one year. |
(d) | Annualized for periods less than one year. |
(e) | Portfolio turnover rate excludes in-kind transactions and short-term options. |
31 |
Year ended May 31, 2024 | Period ended May 31, 2023(a) | |||||
PER SHARE DATA: | ||||||
Net asset value, beginning of period | $48.32 | $49.77 | ||||
INVESTMENTS OPERATIONS: | ||||||
Net investment income(b) | 1.27 | 0.78 | ||||
Net realized and unrealized loss on investments | (0.47) | (0.40) | ||||
Total from investment operations | 0.80 | 0.38 | ||||
LESS DISTRIBUTIONS FROM: | ||||||
From net investment income | (1.46) | (0.72) | ||||
From net realized gains | (0.24) | (0.73) | ||||
Return of capital | (0.80) | (0.38) | ||||
Total distributions | (2.50) | (1.83) | ||||
Net asset value, end of period | $46.62 | $48.32 | ||||
Total Return(c) | 1.74% | 0.85% | ||||
SUPPLEMENTAL DATA AND RATIOS: | ||||||
Net assets, end of period (in thousands) | $11,189 | $1,933 | ||||
Ratio of expenses to average net assets: | ||||||
Before expense waivers(d) | 0.58% | 0.58% | ||||
After expense waivers(d) | 0.55% | 0.55% | ||||
Ratio of net investment income to average net assets(d) | 2.71% | 2.14% | ||||
Portfolio turnover rate(c)(e) | 1% | 0% |
(a) | Inception date of the Fund was August 30, 2022. |
(b) | Net investment income per share has been calculated based on average shares outstanding during the year or period. |
(c) | Not annualized for periods less than one year. |
(d) | Annualized for periods less than one year. |
(e) | Portfolio turnover rate exclude in-kind transactions and short-term options. |
32 |
Period ended May 31, 2024(a) | |||
PER SHARE DATA: | |||
Net asset value, beginning of period | $50.00 | ||
INVESTMENTS OPERATIONS: | |||
Net investment income(b) | 0.05 | ||
Net realized and unrealized gain on investments | 2.77 | ||
Total from investment operations | 2.82 | ||
LESS DISTRIBUTIONS FROM: | |||
From net investment income | (0.04) | ||
Return of capital | (2.36) | ||
Total distributions | (2.40) | ||
ETF transaction fees per share | 0.00(c) | ||
Net asset value, end of period | $50.42 | ||
Total Return(d) | 5.78% | ||
SUPPLEMENTAL DATA AND RATIOS: | |||
Net assets, end of period (in thousands) | $215,817 | ||
Ratio of expenses to average net assets(e) | 0.68% | ||
Ratio of net investment income to average net assets(e) | 0.30% | ||
Portfolio turnover rate(d)(f) | 3% |
(a) | Inception date of the Fund was January 30, 2024. |
(b) | Net investment income per share has been calculated based on average shares outstanding during the period. |
(c) | Amount represents less than $0.005 per share. |
(d) | Not annualized for periods less than one year. |
(e) | Annualized for periods less than one year. |
(f) | Portfolio turnover rate exclude in-kind transactions and short-term options. |
33 |
Year ended May 31, 2024 | Period ended May 31, 2023(a) | |||||
PER SHARE DATA: | ||||||
Net asset value, beginning of period | $48.23 | $49.67 | ||||
INVESTMENTS OPERATIONS: | ||||||
Net investment income(b) | 0.44 | 0.49 | ||||
Net realized and unrealized gain on investments | 6.71 | 2.34 | ||||
Total from investment operations | 7.15 | 2.83 | ||||
LESS DISTRIBUTIONS FROM: | ||||||
From net investment income | (0.79) | (0.44) | ||||
From net realized gains | (0.32) | (1.40) | ||||
Return of capital | (4.77) | (2.43) | ||||
Total distributions | (5.88) | (4.27) | ||||
Net asset value, end of period | $49.50 | $48.23 | ||||
Total Return(c) | 15.79% | 6.31% | ||||
SUPPLEMENTAL DATA AND RATIOS: | ||||||
Net assets, end of period (in thousands) | $1,383,898 | $25,563 | ||||
Ratio of expenses to average net assets(d) | 0.68% | 0.68% | ||||
Ratio of net investment income to average net assets(d) | 0.91% | 1.37% | ||||
Portfolio turnover rate(c)(e) | 14% | 21% |
(a) | Inception date of the Fund was August 30, 2022. |
(b) | Net investment income per share has been calculated based on average shares outstanding during the year or period. |
(c) | Not annualized for periods less than one year. |
(d) | Annualized for periods less than one year. |
(e) | Portfolio turnover rate exclude in-kind transactions and short-term options. |
34 |
| A. | Investment Valuation. The net asset value (“NAV”) of each Fund’s shares is calculated each business day as of the close of regular trading on the New York Stock Exchange (“NYSE”), generally 4:00 p.m., Eastern Time. NAV per share is computed by dividing the net assets of each Fund by each Fund’s number of shares outstanding. |
35 |
Level 1 | Level 2 | Level 3 | Total | |||||||||
Assets: | ||||||||||||
Purchased Options* | $ — | $60,610 | $ — | $60,610 | ||||||||
Money Market Funds | 1,468,316 | — | — | 1,468,316 | ||||||||
U.S. Treasury Bills | — | 440,467,027 | — | 440,467,027 | ||||||||
Total Assets | $1,468,316 | $440,527,637 | $— | $441,995,953 | ||||||||
Liabilities: | ||||||||||||
Written Options* | — | (109,725) | — | (109,725) | ||||||||
Total Liabilities | $— | $(109,725) | $— | $(109,725) |
Level 1 | Level 2 | Level 3 | Total | |||||||||
Assets: | ||||||||||||
Exchange Traded Funds | $11,159,096 | $ — | $ — | $11,159,096 | ||||||||
Purchased Options* | — | 1,873 | — | 1,873 | ||||||||
Money Market Funds | 31,600 | — | — | 31,600 | ||||||||
Total Assets | $11,190,696 | $1,873 | $— | $11,192,569 | ||||||||
Liabilities: | ||||||||||||
Written Options* | — | (4,043) | — | (4,043) | ||||||||
Total Liabilities | $ — | $(4,043) | $ — | $(4,043) |
36 |
Level 1 | Level 2 | Level 3 | Total | |||||||||
Assets: | ||||||||||||
Common Stocks** | $217,611,373 | $ — | $ — | $ 217,611,373 | ||||||||
Money Market Funds | 1,671,393 | — | — | 1,671,393 | ||||||||
Total Assets | $219,282,766 | $— | — | $219,282,766 | ||||||||
Liabilities: | ||||||||||||
Written Options* | — | (2,766,280) | — | (2,766,280) | ||||||||
Total Liabilities | $— | $(2,766,280) | $ — | $(2,766,280) | ||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||
Assets: | ||||||||||||
Common Stocks** | $1,359,455,137 | $ — | $ — | $1,359,455,137 | ||||||||
Real Estate Investment Trusts | 26,623,609 | — | — | 26,623,609 | ||||||||
Contingent Value Rights | — | — | 0*** | 0*** | ||||||||
Money Market Funds | 15,840,504 | — | — | 15,840,504 | ||||||||
Total Assets | $1,401,919,250 | $— | $0*** | $1,401,919,250 | ||||||||
Liabilities: | ||||||||||||
Written Options* | — | (15,603,750) | — | (15,603,750) | ||||||||
Total Liabilities | $— | $(15,603,750) | $— | $(15,603,750) | ||||||||
| * | The tables above are based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to a Fund’s NAV than the uncertainties surrounding inputs for a non-derivative security with the same market value. |
| ** | See Schedule of Investments for segregation by industry. |
| *** | Represents amount less than $0.50. |
Description | Fair Value as of May 31, 2024 | Valuation Technique | Unobservable Input | Input Values | ||||||||
Contingent Value Rights* | $ 0** | Projected Final Distribution | Discount of Projected Distribution | $ 35.00 | ||||||||
| * | This Level 3 security was received through a corporate action. The security is being kept open due to the potential of an additional distribution. Based on the evaluation of the likelihood of an additional distribution, the security is being priced at zero. |
| ** | Represents amount less than $0.50. |
| B. | Written Option Contracts. The Funds are subject to equity price risk in the normal course of pursuing their investment objectives. The Funds write (sell) put or call options for hedging purposes, volatility management purposes, or otherwise to gain, or reduce, long or short exposure to one or more asset classes or issuers. When the Funds write (sell) an option, an amount equal to the premium received by the Fund is included in the Statement of Assets and Liabilities as an asset and an equivalent liability. The amount of the liability is |
37 |
| C. | Purchased Option Contracts. The Funds are subject to equity price risk in the normal course of pursuing their investment objectives. The Funds will purchase call or put options. When the Funds purchase an option contract, an amount equal to the premiums paid is included in the value of investments on the Statement of Assets and Liabilities and is subsequently priced daily to reflect the value of the purchased option contract. Refer to Note 2 (A). for a pricing description. Refer to Note 2 (H). for further derivative disclosures and Note 2 (D). for further counterparty risk disclosure. When option contracts expire or are closed, realized gains or losses are recognized without regard to any unrealized appreciation or depreciation on the underlying securities that may be held by the Funds. If the Funds exercise a call option, the cost of the security acquired is increased by the premium paid for the call. If the Funds exercise a put option, the premium paid for the put option increases the cost of the underlying security and a gain or loss is realized from the sale of the underlying security. |
| D. | Counterparty Risk. The Funds help manage counterparty credit risk by entering into agreements only with counterparties the Adviser believes have the financial resources to honor its obligations. The Adviser considers the credit worthiness of each counterparty to a contract in evaluating potential credit risk. Written options contracts sold on an exchange do not expose the Funds to counterparty risk; the exchange’s clearinghouse guarantees the options against counterparty non-performance. Over-the-counter options counterparty risk includes the risk of loss of the full amount of any net unrealized appreciation. |
| E. | Use of Estimates. The preparation of the financial statements in conformity with GAAP requires 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 statement. Actual results could differ from those estimates. |
| F. | Federal Income Taxes. Each Fund intends to qualify as a regulated investment company (“RIC”) under Subchapter M of the Internal Revenue Code of 1986, as amended. If so qualified, the Funds will not be subject to federal income tax to the extent each Fund distributes substantially all its taxable net investment income and net capital gains to its shareholders. Therefore, no provision for federal income tax should be required. Management of the Funds is required to determine whether a tax position taken by the Funds is more likely than not to be sustained upon examination by the applicable taxing authority. Based on its analysis, Management has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements as of May 31, 2024. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statements of Operations. Management of the Funds are required to determine whether a tax position taken by the Funds is more likely than not to be sustained upon examination by the applicable taxing authority. Based on its analysis, Management has concluded that the Funds do not have any unrecognized tax benefits or uncertain tax positions that would require a provision for income tax. Accordingly, the Funds did not incur any interest or penalties for the period ended May 31, 2024. |
38 |
| G. | Distributions to Shareholders. Each Fund expects to declare and distribute all of its net investment income, if any, to shareholders as dividends monthly. The Funds will distribute net realized capital gains, if any, at least annually. The Funds may distribute such income dividends and capital gains more frequently, if necessary, to reduce or eliminate federal excise or income taxes on the Funds. |
| H. | Derivatives. The Funds may utilize derivative instruments such as options and other instruments with similar characteristics to the extent that they are consistent with the Funds’ respective investment objectives and limitations. The use of these instruments may involve additional investment risks, including the possibility of illiquid markets or imperfect correlation between the value of the instruments and the underlying securities. Derivatives also may create leverage which will amplify the effect of their performance on the Funds and may produce significant losses. |
Average Quantity | Average Notional Value | |||||
NEOS 1-3 Year T-Bill ETF | ||||||
Purchased Options | 526 | $254,110,111 | ||||
Written Options | 526 | $254,110,111 | ||||
NEOS Aggregate Bond ETF | ||||||
Purchased Options | 12 | $6,029,221 | ||||
Written Options | 12 | $6,029,221 | ||||
NEOS Nasdaq-100® ETF | ||||||
Written Options | 31 | $56,930,494 | ||||
NEOS S&P 500® ETF | ||||||
Written Options | 1,063 | $522,215,131 | ||||
Statements of Assets and Liabilities Location | Fair Value | ||||||||
Assets | Liabilities | ||||||||
NEOS 1-3 Year T-Bill ETF | |||||||||
Purchased Options: | |||||||||
Equity | Investments, at value | $60,610 | $— | ||||||
Written Options: | |||||||||
Equity | Written option contracts, at value | — | 109,725 | ||||||
Total Derivatives not accounted for as hedging instruments | $60,610 | $109,725 | |||||||
39 |
Statements of Assets and Liabilities Location | Fair Value | ||||||||
Assets | Liabilities | ||||||||
NEOS Aggregate Bond ETF | |||||||||
Purchased Options: | |||||||||
Equity | Investments, at value | $1,873 | $— | ||||||
Written Options: | |||||||||
Equity | Written option contracts, at value | — | 4,043 | ||||||
Total Derivatives not accounted for as hedging instruments | $1,873 | $4,043 | |||||||
NEOS NASDAQ-100® ETF | |||||||||
Written Options: | |||||||||
Equity | Written option contracts, at value | $— | $2,766,280 | ||||||
Total Derivatives not accounted for as hedging instruments | $— | $2,766,280 | |||||||
NEOS S&P 500® ETF | |||||||||
Written Options: | |||||||||
Equity | Written option contracts, at value | $— | $15,603,750 | ||||||
Total Derivatives not accounted for as hedging instruments | $— | $15,603,750 | |||||||
Net Realized Gain (Loss) on Derivatives | |||||||||
Purchased Options* | Written Options | Total | |||||||
NEOS 1-3 Year T-Bill ETF | |||||||||
Derivatives Not Accounted for as Hedging Instruments | |||||||||
Equity Contracts | $ (2,092,936) | $3,556,051 | $1,463,115 | ||||||
Total | $ (2,092,936) | $3,556,051 | $1,463,115 | ||||||
NEOS Aggregate Bond ETF | |||||||||
Derivatives Not Accounted for as Hedging Instruments | |||||||||
Equity Contracts | $(59,610) | $103,092 | $43,482 | ||||||
Total | $(59,610) | $103,092 | $43,482 | ||||||
NEOS NASDAQ-100® ETF | |||||||||
Derivatives Not Accounted for as Hedging Instruments | |||||||||
Equity Contracts | $(451,310) | $(451,310) | |||||||
Total | $(451,310) | $(451,310) | |||||||
NEOS S&P 500® ETF | |||||||||
Derivatives Not Accounted for as Hedging Instruments | |||||||||
Equity Contracts | $(46,414,338) | $(46,414,338) | |||||||
Total | $(46,414,338) | $(46,414,338) | |||||||
40 |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives | |||||||||
Purchased Options* | Written Options | Total | |||||||
NEOS 1-3 Year T-Bill ETF | |||||||||
Derivatives Not Accounted for as Hedging Instruments | |||||||||
Equity Contracts | $ (43,143) | $104,594 | $61,451 | ||||||
Total | $ (43,143) | $104,594 | $61,451 | ||||||
NEOS Aggregate Bond ETF | |||||||||
Derivatives Not Accounted for as Hedging Instruments | |||||||||
Equity Contracts | $(1,331) | $4,027 | $2,696 | ||||||
Total | $(1,331) | $4,027 | $2,696 | ||||||
NEOS NASDAQ-100® ETF | |||||||||
Derivatives Not Accounted for as Hedging Instruments | |||||||||
Equity Contracts | $(42,685) | $(42,685) | |||||||
Total | $(42,685) | $(42,685) | |||||||
NEOS S&P 500® ETF | |||||||||
Derivatives Not Accounted for as Hedging Instruments | |||||||||
Equity Contracts | $(1,209,356) | $(1,209,356) | |||||||
Total | $(1,209,356) | $(1,209,356) | |||||||
| * | The amounts disclosed are included in the realized gain (loss) on investments. |
| ** | The amounts disclosed are included in the change in unrealized appreciation (depreciation) on investments. |
| I. | Reclassification of Capital Accounts. GAAP requires that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. These reclassifications have no effect on net assets of NAV per share and are primarily due to differing book and tax treatments for in-kind redemptions. For the period ended May 31, 2024, the following adjustments were made: |
Distributable Earnings (Accumulated Loss) | Paid-in Capital | |||||
NEOS 1-3 Year T-Bill ETF | $242 | $(242) | ||||
NEOS Aggregate Bond ETF | — | — | ||||
NEOS Nasdaq-100® ETF | — | — | ||||
NEOS S&P 500® ETF | (3,035,539) | 3,035,539 |
41 |
Expires May 31, 2026 | Expires May 31, 2027 | Total Eligible for Recoupment | |||||||
NEOS Aggregate Bond ETF | $ 234 | $ 1,721 | $ 1,955 | ||||||
42 |
Purchases | Sales | |||||
NEOS 1-3 Year T-Bill ETF | $— | $— | ||||
NEOS Aggregate Bond ETF | 2,362,604 | 70,877 | ||||
NEOS Nasdaq-100® ETF | 6,048,919 | 1,886,161 | ||||
NEOS S&P 500® ETF | 80,227,029 | 83,278,027 |
Purchases In-Kind | Sales In-Kind | |||||
NEOS 1-3 Year T-Bill ETF | $— | $— | ||||
NEOS Aggregate Bond ETF | 7,081,461 | — | ||||
NEOS Nasdaq-100® ETF | 208,424,547 | — | ||||
NEOS S&P 500® ETF | 1,251,089,085 | 12,542,735 |
Period ended May 31, 2024 | |||||||||
Ordinary Income | Long-Term Capital Gains | Return of Capital | |||||||
NEOS 1-3 Year T-Bill ETF | $ 12,638,994 | $914,739 | $1,282,823 | ||||||
NEOS Aggregate Bond ETF | 174,451 | 27,705 | 112,364 | ||||||
NEOS Nasdaq-100® ETF | 78,064 | — | 4,355,312 | ||||||
NEOS S&P 500® ETF | 6,874,469 | 2,673,907 | 62,890,517 | ||||||
43 |
Period ended May 31, 2023 | |||||||||
Ordinary Income | Long-Term Capital Gains | Return of Capital | |||||||
NEOS 1-3 Year T-Bill ETF | $767,388 | $184,237 | $29,184 | ||||||
NEOS Aggregate Bond ETF | 23,595 | 10,431 | 9,004 | ||||||
NEOS S&P 500® ETF | 105,622 | 83,323 | 246,419 | ||||||
NEOS 1-3 Year T-Bill ETF | NEOS Aggregate Bond ETF | NEOS Nasdaq-100® ETF | NEOS S&P 500® ETF | |||||||||
Federal income tax cost of investments | $ 441,875,062 | $ 11,350,395 | $ 214,259,263 | $1,278,967,535 | ||||||||
Aggregate gross unrealized appreciation | 120,891 | — | 10,432,841 | 158,176,076 | ||||||||
Aggregate gross unrealized (depreciation) | — | (157,826) | (5,409,338) | (35,224,361) | ||||||||
Net unrealized appreciation (depreciation) | 120,891 | (157,826) | 5,023,503 | 122,951,715 | ||||||||
Undistributed Ordinary Income | — | — | — | — | ||||||||
Undistributed Long Term Capital Gains | — | — | — | — | ||||||||
Distributable Earnings | — | — | — | — | ||||||||
Accumulated capital and other gain/(loss) | 1 | — | (493,430) | (51,606,035) | ||||||||
Total distributable earnings (accumulated loss) | 120,892 | (157,826) | 4,530,073 | 71,345,680 | ||||||||
44 |
45 |
Fund Name | Statements of Operations | Statements of Changes in Net Assets | Financial Highlights | ||||||
NEOS Enhanced Income 1-3 Month T-Bill ETF (formerly NEOS Enhanced Income Credit Alternative ETF), NEOS Enhanced Income Aggregate Bond ETF, and NEOS S&P 500® High Income ETF | For the year ended May 31, 2024 | For the year ended May 31, 2024 and for the period from August 30, 2022 (commencement of operations) to May 31, 2023 | |||||||
NEOS Nasdaq-100® High Income ETF | For the period from January 30, 2024 (commencement of operations) to May 31, 2024 | ||||||||
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NEOS Enhanced Income 1-3 Year T-Bill ETF | 0.00% | |||
NEOS Enhanced Income Aggregate Bond ETF | 0.00% | |||
NEOS Nasdaq-100® High Income ETF | 0.00% | |||
NEOS S&P 500® High Income ETF | 100.00% |
NEOS Enhanced Income 1-3 Year T-Bill ETF | 0.00% | |||
NEOS Enhanced Income Aggregate Bond ETF | 0.00% | |||
NEOS Nasdaq-100® High Income ETF | 0.00% | |||
NEOS S&P 500® High Income ETF | 100.00% |
NEOS Enhanced Income 1-3 Year T-Bill ETF | 4.81% | |||
NEOS Enhanced Income Aggregate Bond ETF | 11.00% | |||
NEOS Nasdaq-100® High Income ETF | 0.00% | |||
NEOS S&P 500® High Income ETF | 25.51% |
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| (1) | The date of the meeting and whether it was an annual or special meeting. |
| (2) | If the meeting involved the election of directors, the name of each director elected at the meeting and the name of each other director whose term of office as a director continued after the meeting. |
| (3) | A brief description of each matter voted upon at the meeting and the number of votes cast for, against or withheld, as well as the number of abstentions and broker non-votes as to each such matter, including a separate tabulation with respect to each matter or nominee for office. |
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| (1) | All directors and all members of any advisory board for regular compensation; |
| (2) | Each director and each member of an advisory board for special compensation; |
| (3) | All officers; and |
| (4) | Each person of whom any officer or director of the Fund is an affiliated person |
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| (1) | Factors relating to both the board’s selection of the investment adviser and approval of the advisory fee and any other amounts to be paid by the Fund under the contract. These factors would include, but not be limited to, a discussion of the nature, extent, and quality of the services to be provided by the investment adviser; the investment performance of the Fund and the investment adviser; the costs of the services to be provided and profits to be realized by the investment adviser and its affiliates from the relationship with the Fund; the extent to which economies of scale would be realized as the Fund grows; and whether fee levels reflect these economies of scale for the benefit of Fund investors. Also indicate in the discussion whether the board relied upon comparisons of the services to be rendered and the amounts to be paid under the contract with those under other investment advisory contracts, such as contracts of the same and other investment advisers with other registered investment companies or other types of clients (e.g., pension funds and other institutional investors). If the board relied upon such comparisons, describe the comparisons and how they assisted the board in concluding that the contract should be approved; and |
| (2) | If applicable, any benefits derived or to be derived by the investment adviser from the relationship with the Fund such as soft dollar arrangements by which brokers provide research to the Fund or its investment adviser in return for allocating Fund brokerage. |
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(b) Financial Highlights are included within the financial statements filed under Item 7(a) of this Form.
Item 8. Changes in and Disagreements with Accountants for Open-End Investment Companies.
See Item 7(a).
Item 9. Proxy Disclosure for Open-End Investment Companies.
See Item 7(a).
Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Investment Companies.
See Item 7(a).
Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.
See Item 7(a).
Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 13. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 14. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to open-end investment companies.
Item 15. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees.
Item 16. Controls and Procedures.
(a) The Registrant’s Principal Executive Officer and Principal Financial Officer have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider.
(b) There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
Item 17. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 18. Recovery of Erroneously Awarded Compensation.
(a) Not Applicable.
(b) Not Applicable.
Item 19. Exhibits.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith.
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.
| NEOS ETF Trust |
| By: | /s/ Garrett Paolella | ||
| Garrett Paolella | |||
| President/Principal Executive Officer |
| Date: | August 8, 2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By: | /s/ Garrett Paolella | ||
| Garrett Paolella | |||
| President/Principal Executive Officer |
| Date: | August 8, 2024 |
| By: | /s/ Josh Hunter | ||
| Josh Hunter | |||
| Treasurer/Principal Financial Officer |
| Date: | August 8, 2024 |
