Series A (StylePlus—Large Core Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Value | |||||||
COMMON STOCKS† - 17.8% | ||||||||
Technology - 4.9% | ||||||||
Apple, Inc. | 19,946 | $ | 3,482,771 | |||||
Microsoft Corp. | 9,886 | 3,047,953 | ||||||
Broadcom, Inc. | 1,077 | 678,166 | ||||||
Intel Corp. | 11,909 | 590,210 | ||||||
International Business Machines Corp. | 4,450 | 578,589 | ||||||
QUALCOMM, Inc. | 3,460 | 528,757 | ||||||
Akamai Technologies, Inc.* | 4,069 | 485,798 | ||||||
HP, Inc. | 11,876 | 431,099 | ||||||
Hewlett Packard Enterprise Co. | 24,613 | 411,283 | ||||||
NVIDIA Corp. | 1,476 | 402,741 | ||||||
Texas Instruments, Inc. | 2,185 | 400,904 | ||||||
NetApp, Inc. | 4,528 | 375,824 | ||||||
Skyworks Solutions, Inc. | 2,712 | 361,455 | ||||||
Seagate Technology Holdings plc | 3,531 | 317,437 | ||||||
Advanced Micro Devices, Inc.* | 1,583 | 173,085 | ||||||
Total Technology | 12,266,072 | |||||||
Consumer, Non-cyclical - 4.0% | ||||||||
AbbVie, Inc. | 4,351 | 705,340 | ||||||
Merck & Company, Inc. | 8,554 | 701,856 | ||||||
Bristol-Myers Squibb Co. | 8,855 | 646,681 | ||||||
Amgen, Inc. | 2,501 | 604,792 | ||||||
Vertex Pharmaceuticals, Inc.* | 2,125 | 554,561 | ||||||
Gilead Sciences, Inc. | 8,444 | 501,996 | ||||||
Hologic, Inc.* | 6,387 | 490,649 | ||||||
Avery Dennison Corp. | 2,613 | 454,584 | ||||||
Quest Diagnostics, Inc. | 3,319 | 454,239 | ||||||
Laboratory Corporation of America Holdings* | 1,708 | 450,331 | ||||||
Pfizer, Inc. | 8,643 | 447,448 | ||||||
DaVita, Inc.* | 3,918 | 443,165 | ||||||
Waters Corp.* | 1,412 | 438,271 | ||||||
Regeneron Pharmaceuticals, Inc.* | 618 | 431,623 | ||||||
PerkinElmer, Inc. | 2,453 | 427,950 | ||||||
Johnson & Johnson | 2,391 | 423,757 | ||||||
Incyte Corp.* | 4,421 | 351,116 | ||||||
HCA Healthcare, Inc. | 1,337 | 335,079 | ||||||
Philip Morris International, Inc. | 3,562 | 334,614 | ||||||
Procter & Gamble Co. | 1,397 | 213,462 | ||||||
FleetCor Technologies, Inc.* | 750 | 186,795 | ||||||
UnitedHealth Group, Inc. | 266 | 135,652 | ||||||
Coca-Cola Co. | 1,381 | 85,622 | ||||||
Total Consumer, Non-cyclical | 9,819,583 | |||||||
Communications - 2.7% | ||||||||
Alphabet, Inc. — Class C* | 606 | 1,692,552 | ||||||
Amazon.com, Inc.* | 425 | 1,385,479 | ||||||
Meta Platforms, Inc. — Class A* | 3,549 | 789,156 | ||||||
Cisco Systems, Inc. | 12,563 | 700,513 | ||||||
Juniper Networks, Inc. | 12,941 | 480,888 | ||||||
Motorola Solutions, Inc. | 1,948 | 471,806 | ||||||
VeriSign, Inc.* | 2,086 | 464,051 | ||||||
Corning, Inc. | 8,754 | 323,110 | ||||||
AT&T, Inc. | 8,142 | 192,395 | ||||||
F5, Inc.* | 848 | 177,189 | ||||||
Verizon Communications, Inc. | 1,579 | 80,434 | ||||||
Total Communications | 6,757,573 | |||||||
Financial - 2.2% | ||||||||
Prudential Financial, Inc. | 4,371 | 516,521 | ||||||
PNC Financial Services Group, Inc. | 2,741 | 505,577 | ||||||
MetLife, Inc. | 7,102 | 499,129 | ||||||
Morgan Stanley | 5,630 | 492,062 | ||||||
Raymond James Financial, Inc. | 4,369 | 480,197 | ||||||
Everest Re Group Ltd. | 1,538 | 463,522 | ||||||
Berkshire Hathaway, Inc. — Class B* | 1,175 | 414,669 | ||||||
Visa, Inc. — Class A | 1,826 | 404,952 | ||||||
Fifth Third Bancorp | 7,631 | 328,438 | ||||||
Citigroup, Inc. | 6,135 | 327,609 | ||||||
Travelers Companies, Inc. | 1,690 | 308,814 | ||||||
Capital One Financial Corp. | 1,413 | 185,513 | ||||||
Aflac, Inc. | 2,610 | 168,058 | ||||||
JPMorgan Chase & Co. | 936 | 127,596 | ||||||
Bank of America Corp. | 3,047 | 125,597 | ||||||
Mastercard, Inc. — Class A | 253 | 90,417 | ||||||
Total Financial | 5,438,671 | |||||||
Consumer, Cyclical - 1.6% | ||||||||
Tesla, Inc.* | 510 | 549,576 | ||||||
McDonald's Corp. | 2,172 | 537,092 | ||||||
AutoZone, Inc.* | 252 | 515,234 | ||||||
Yum! Brands, Inc. | 3,953 | 468,549 | ||||||
NVR, Inc.* | 91 | 406,521 | ||||||
O'Reilly Automotive, Inc.* | 575 | 393,852 | ||||||
Whirlpool Corp. | 2,129 | 367,849 | ||||||
Domino's Pizza, Inc. | 482 | 196,179 | ||||||
Home Depot, Inc. | 613 | 183,489 | ||||||
Lowe's Companies, Inc. | 762 | 154,069 | ||||||
Bath & Body Works, Inc. | 3,172 | 151,622 | ||||||
Total Consumer, Cyclical | 3,924,032 | |||||||
Industrial - 1.5% | ||||||||
3M Co. | 3,576 | 532,395 | ||||||
Keysight Technologies, Inc.* | 2,992 | 472,646 | ||||||
Dover Corp. | 2,912 | 456,893 | ||||||
Sealed Air Corp. | 6,564 | 439,526 | ||||||
Snap-on, Inc. | 2,109 | 433,357 | ||||||
Masco Corp. | 8,025 | 409,275 | ||||||
Lockheed Martin Corp. | 790 | 348,706 | ||||||
Otis Worldwide Corp. | 4,192 | 322,574 | ||||||
Northrop Grumman Corp. | 287 | 128,352 | ||||||
Huntington Ingalls Industries, Inc. | 613 | 122,257 | ||||||
Total Industrial | 3,665,981 | |||||||
Energy - 0.7% | ||||||||
Exxon Mobil Corp. | 6,460 | 533,532 | ||||||
Williams Companies, Inc. | 13,231 | 442,048 | ||||||
Kinder Morgan, Inc. | 23,329 | 441,151 | ||||||
Chevron Corp. | 1,381 | 224,868 | ||||||
Occidental Petroleum Corp. | 2,711 | 153,822 | ||||||
Total Energy | 1,795,421 | |||||||
Basic Materials - 0.2% | ||||||||
LyondellBasell Industries N.V. — Class A | 4,614 | 474,411 | ||||||
Total Common Stocks | ||||||||
(Cost $39,230,484) | 44,141,744 |
MUTUAL FUNDS† - 80.0% | ||||||||
Guggenheim Strategy Fund III1 | 2,970,327 | 73,188,846 |
Series A (StylePlus—Large Core Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Value | |||||||
MUTUAL FUNDS† - 80.0% (continued) | ||||||||
Guggenheim Variable Insurance Strategy Fund III1 | 2,714,986 | $ | 66,761,503 | |||||
Guggenheim Ultra Short Duration Fund — Institutional Class1 | 3,123,107 | 30,575,214 | ||||||
Guggenheim Strategy Fund II1 | 1,165,508 | 28,613,229 | ||||||
Total Mutual Funds | ||||||||
(Cost $202,046,604) | 199,138,792 |
MONEY MARKET FUND† - 3.6% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.12%2 | 8,976,084 | 8,976,084 | ||||||
Total Money Market Fund | ||||||||
(Cost $8,976,084) | 8,976,084 | |||||||
Total Investments - 101.4% | ||||||||
(Cost $250,253,172) | $ | 252,256,620 | ||||||
Other Assets & Liabilities, net - (1.4)% | (3,420,644 | ) | ||||||
Total Net Assets - 100.0% | $ | 248,835,976 |
Futures Contracts | ||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized Appreciation** | ||||||||||
Equity Futures Contracts Purchased† | ||||||||||||||
S&P 500 Index Mini Futures Contracts | 11 | Jun 2022 | $ | 2,490,263 | $ | 199,994 |
Total Return Swap Agreements | |||||||||||||||||||||||
Counterparty | Index | Type | Financing Rate | Payment Frequency | Maturity Date | Units | Notional Amount | Value and Unrealized Appreciation | |||||||||||||||
OTC Equity Index Swap Agreements†† | |||||||||||||||||||||||
Wells Fargo Bank, N.A. | S&P 500 Total Return Index | Pay | 0.83% (Federal Funds Rate + 0.50%) | At Maturity | 04/07/22 | 21,398 | $ | 203,844,837 | $ | 9,632,631 |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). |
† | Value determined based on Level 1 inputs — See Note 3. |
†† | Value determined based on Level 2 inputs — See Note 3. |
1 | Affiliated issuer. |
2 | Rate indicated is the 7-day yield as of March 31, 2022. |
plc — Public Limited Company |
See Sector Classification in Other Information section. |
Series A (StylePlus—Large Core Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
The following table summarizes the inputs used to value the Fund's investments at March 31, 2022 (See Note 3 in the Notes to Schedule of Investments): |
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 44,141,744 | $ | — | $ | — | $ | 44,141,744 | ||||||||
Mutual Funds | 199,138,792 | — | — | 199,138,792 | ||||||||||||
Money Market Fund | 8,976,084 | — | — | 8,976,084 | ||||||||||||
Equity Futures Contracts** | 199,994 | — | — | 199,994 | ||||||||||||
Equity Index Swap Agreements** | — | 9,632,631 | — | 9,632,631 | ||||||||||||
Total Assets | $ | 252,456,614 | $ | 9,632,631 | $ | — | $ | 262,089,245 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles' annual report on Form N-CSR dated September 30, 2021, is available publicly or upon request. This information is available from the EDGAR database on the SEC's website at https://www.sec.gov/Archives/edgar/data/1601445/000182126821000490/gugg83048-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the period ended March 31, 2022, in which the company is an affiliated issuer, were as follows: |
Security Name | Value 12/31/21 | Additions | Reductions | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 03/31/22 | Shares 03/31/22 | Investment Income | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 16,780,495 | $ | 12,058,261 | $ | – | $ | – | $ | (225,527 | ) | $ | 28,613,229 | 1,165,508 | $ | 59,384 | ||||||||||||||||
Guggenheim Strategy Fund III | 81,097,553 | 277,681 | (6,981,000 | ) | (13,914 | ) | (1,191,474 | ) | 73,188,846 | 2,970,327 | 283,330 | |||||||||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 54,253,430 | 85,674 | (23,334,987 | ) | 152,490 | (581,393 | ) | 30,575,214 | 3,123,107 | 88,365 | ||||||||||||||||||||||
Guggenheim Variable Insurance Strategy Fund III | 67,541,303 | 222,788 | – | – | (1,002,588 | ) | 66,761,503 | 2,714,986 | 227,270 | |||||||||||||||||||||||
$ | 219,672,781 | $ | 12,644,404 | $ | (30,315,987 | ) | $ | 138,576 | $ | (3,000,982 | ) | $ | 199,138,792 | $ | 658,349 |
Series B (Large Cap Value Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Value | |||||||
COMMON STOCKS† - 95.8% | ||||||||
Consumer, Non-cyclical - 21.0% | ||||||||
Tyson Foods, Inc. — Class A | 65,226 | $ | 5,846,206 | |||||
Johnson & Johnson | 32,219 | 5,710,173 | ||||||
McKesson Corp. | 14,704 | 4,501,336 | ||||||
Humana, Inc. | 9,178 | 3,993,990 | ||||||
Medtronic plc | 33,173 | 3,680,544 | ||||||
Quest Diagnostics, Inc. | 24,994 | 3,420,679 | ||||||
Bunge Ltd. | 25,800 | 2,858,898 | ||||||
Ingredion, Inc. | 31,921 | 2,781,915 | ||||||
Henry Schein, Inc.* | 29,932 | 2,609,771 | ||||||
Archer-Daniels-Midland Co. | 27,519 | 2,483,865 | ||||||
J M Smucker Co. | 17,762 | 2,405,153 | ||||||
Merck & Company, Inc. | 29,200 | 2,395,860 | ||||||
Encompass Health Corp. | 25,501 | 1,813,376 | ||||||
HCA Healthcare, Inc. | 6,743 | 1,689,931 | ||||||
Amgen, Inc. | 6,861 | 1,659,127 | ||||||
Pfizer, Inc. | 29,771 | 1,541,245 | ||||||
Bristol-Myers Squibb Co. | 16,678 | 1,217,994 | ||||||
Total Consumer, Non-cyclical | 50,610,063 | |||||||
Financial - 15.8% | ||||||||
Berkshire Hathaway, Inc. — Class B* | 18,228 | 6,432,843 | ||||||
JPMorgan Chase & Co. | 38,094 | 5,192,974 | ||||||
Bank of America Corp. | 105,080 | 4,331,397 | ||||||
Wells Fargo & Co. | 62,015 | 3,005,247 | ||||||
Allstate Corp. | 21,352 | 2,957,465 | ||||||
STAG Industrial, Inc. REIT | 57,864 | 2,392,677 | ||||||
Charles Schwab Corp. | 27,103 | 2,285,054 | ||||||
Medical Properties Trust, Inc. REIT | 87,952 | 1,859,305 | ||||||
Voya Financial, Inc. | 27,419 | 1,819,251 | ||||||
KeyCorp | 64,668 | 1,447,270 | ||||||
Zions Bancorp North America | 20,791 | 1,363,058 | ||||||
Park Hotels & Resorts, Inc. REIT | 64,125 | 1,252,361 | ||||||
American Tower Corp. — Class A REIT | 4,618 | 1,160,134 | ||||||
Mastercard, Inc. — Class A | 3,197 | 1,142,544 | ||||||
BOK Financial Corp. | 9,366 | 879,936 | ||||||
Gaming and Leisure Properties, Inc. REIT | 12,532 | 588,127 | ||||||
Total Financial | 38,109,643 | |||||||
Technology - 10.6% | ||||||||
Micron Technology, Inc. | 51,683 | 4,025,589 | ||||||
Activision Blizzard, Inc. | 35,893 | 2,875,388 | ||||||
Apple, Inc. | 16,014 | 2,796,204 | ||||||
Leidos Holdings, Inc. | 23,089 | 2,494,074 | ||||||
DXC Technology Co.* | 75,160 | 2,452,471 | ||||||
KLA Corp. | 6,419 | 2,349,739 | ||||||
Qorvo, Inc.* | 12,467 | 1,547,155 | ||||||
Amdocs Ltd. | 15,609 | 1,283,216 | ||||||
Cerner Corp. | 12,890 | 1,205,989 | ||||||
Teradyne, Inc. | 10,123 | 1,196,842 | ||||||
QUALCOMM, Inc. | 7,814 | 1,194,135 | ||||||
Skyworks Solutions, Inc. | 8,084 | 1,077,436 | ||||||
Intel Corp. | 21,442 | 1,062,665 | ||||||
Total Technology | 25,560,903 | |||||||
Energy - 10.3% | ||||||||
Chevron Corp. | 36,592 | 5,958,275 | ||||||
ConocoPhillips | 43,888 | 4,388,800 | ||||||
Marathon Oil Corp. | 106,726 | 2,679,890 | ||||||
Coterra Energy, Inc. — Class A | 91,049 | 2,455,592 | ||||||
Kinder Morgan, Inc. | 95,042 | 1,797,244 | ||||||
Equities Corp. | 52,053 | 1,791,144 | ||||||
Pioneer Natural Resources Co. | 7,109 | 1,777,463 | ||||||
Chesapeake Energy Corp. | 15,779 | 1,372,773 | ||||||
Diamondback Energy, Inc. | 9,973 | 1,367,099 | ||||||
Patterson-UTI Energy, Inc. | 73,057 | 1,130,922 | ||||||
Total Energy | 24,719,202 | |||||||
Utilities - 9.9% | ||||||||
Edison International | 55,980 | 3,924,198 | ||||||
Exelon Corp. | 76,577 | 3,647,363 | ||||||
Duke Energy Corp. | 28,440 | 3,175,610 | ||||||
Pinnacle West Capital Corp. | 34,050 | 2,659,305 | ||||||
OGE Energy Corp. | 61,949 | 2,526,280 | ||||||
NiSource, Inc. | 65,351 | 2,078,162 | ||||||
Black Hills Corp. | 26,749 | 2,060,208 | ||||||
Constellation Energy Corp. | 25,525 | 1,435,781 | ||||||
Sempra Energy | 8,419 | 1,415,402 | ||||||
PPL Corp. | 33,862 | 967,099 | ||||||
Total Utilities | 23,889,408 | |||||||
Consumer, Cyclical - 8.5% | ||||||||
Walmart, Inc. | 25,244 | 3,759,336 | ||||||
Delta Air Lines, Inc.* | 57,154 | 2,261,584 | ||||||
Southwest Airlines Co.* | 47,188 | 2,161,210 | ||||||
Whirlpool Corp. | 11,825 | 2,043,124 | ||||||
LKQ Corp. | 40,623 | 1,844,690 | ||||||
PACCAR, Inc. | 20,253 | 1,783,682 | ||||||
Lear Corp. | 12,115 | 1,727,478 | ||||||
DR Horton, Inc. | 20,604 | 1,535,204 | ||||||
Ralph Lauren Corp. — Class A | 11,569 | 1,312,388 | ||||||
PVH Corp. | 14,248 | 1,091,539 | ||||||
Home Depot, Inc. | 2,909 | 870,751 | ||||||
Total Consumer, Cyclical | 20,390,986 | |||||||
Communications - 7.5% | ||||||||
Verizon Communications, Inc. | 94,596 | 4,818,720 | ||||||
Alphabet, Inc. — Class A* | 1,325 | 3,685,289 | ||||||
Cisco Systems, Inc. | 46,985 | 2,619,884 | ||||||
Comcast Corp. — Class A | 47,311 | 2,215,101 | ||||||
T-Mobile US, Inc.* | 15,182 | 1,948,610 | ||||||
Juniper Networks, Inc. | 43,590 | 1,619,804 | ||||||
Walt Disney Co.* | 8,284 | 1,136,233 | ||||||
Total Communications | 18,043,641 | |||||||
Industrial - 6.6% | ||||||||
Johnson Controls International plc | 46,562 | 3,053,070 | ||||||
L3Harris Technologies, Inc. | 10,969 | 2,725,468 | ||||||
FedEx Corp. | 11,555 | 2,673,711 | ||||||
Knight-Swift Transportation Holdings, Inc. | 46,371 | 2,339,881 | ||||||
Curtiss-Wright Corp. | 14,040 | 2,108,246 | ||||||
Valmont Industries, Inc. | 7,628 | 1,820,041 | ||||||
Advanced Energy Industries, Inc. | 12,693 | 1,092,614 | ||||||
Total Industrial | 15,813,031 | |||||||
Basic Materials - 5.6% | ||||||||
Huntsman Corp. | 105,501 | 3,957,343 | ||||||
Westlake Corp. | 30,967 | 3,821,328 | ||||||
Reliance Steel & Aluminum Co. | 10,519 | 1,928,658 | ||||||
Nucor Corp. | 11,318 | 1,682,421 |
Series B (Large Cap Value Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Value | |||||||
COMMON STOCKS† - 95.8% (continued) | ||||||||
Basic Materials - 5.6% (continued) | ||||||||
International Flavors & Fragrances, Inc. | 6,793 | $ | 892,125 | |||||
Dow, Inc. | 9,877 | 629,362 | ||||||
DuPont de Nemours, Inc. | 8,550 | 629,109 | ||||||
Total Basic Materials | 13,540,346 | |||||||
Total Common Stocks | ||||||||
(Cost $160,417,493) | 230,677,223 |
EXCHANGE-TRADED FUNDS† - 1.0% | ||||||||
iShares Russell 1000 Value ETF | 14,571 | 2,418,494 | ||||||
Total Exchange-Traded Funds | ||||||||
(Cost $2,304,195) | 2,418,494 |
MONEY MARKET FUND† - 2.3% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.12%1 | 5,522,842 | 5,522,842 | ||||||
Total Money Market Fund | ||||||||
(Cost $5,522,842) | 5,522,842 | |||||||
Total Investments - 99.1% | ||||||||
(Cost $168,244,530) | $ | 238,618,559 | ||||||
Other Assets & Liabilities, net - 0.9% | 2,245,287 | |||||||
Total Net Assets - 100.0% | $ | 240,863,846 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 3. |
1 | Rate indicated is the 7-day yield as of March 31, 2022. |
plc — Public Limited Company |
REIT — Real Estate Investment Trust |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund's investments at March 31, 2022 (See Note 3 in the Notes to Schedule of Investments): |
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 230,677,223 | $ | — | $ | — | $ | 230,677,223 | ||||||||
Exchange-Traded Funds | 2,418,494 | — | — | 2,418,494 | ||||||||||||
Money Market Fund | 5,522,842 | — | — | 5,522,842 | ||||||||||||
Total Assets | $ | 238,618,559 | $ | — | $ | — | $ | 238,618,559 |
Series D (World Equity Income Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Value | |||||||
COMMON STOCKS† - 98.4% | ||||||||
Financial - 17.1% | ||||||||
Allstate Corp. | 8,500 | $ | 1,177,335 | |||||
Prudential Financial, Inc. | 9,900 | 1,169,883 | ||||||
AXA S.A.†† | 37,800 | 1,106,882 | ||||||
Australia & New Zealand Banking Group Ltd.†† | 50,200 | 1,028,851 | ||||||
BNP Paribas S.A.†† | 16,600 | 948,869 | ||||||
Assicurazioni Generali SpA†† | 40,500 | 926,584 | ||||||
Swiss Re AG†† | 9,400 | 894,978 | ||||||
JPMorgan Chase & Co. | 6,000 | 817,920 | ||||||
Banco Santander S.A.†† | 224,900 | 764,860 | ||||||
American Tower Corp. — Class A REIT | 2,900 | 728,538 | ||||||
National Australia Bank Ltd.†† | 30,200 | 727,204 | ||||||
Travelers Companies, Inc. | 3,900 | 712,647 | ||||||
Goldman Sachs Group, Inc. | 2,100 | 693,210 | ||||||
Swedbank AB — Class A†† | 45,800 | 684,039 | ||||||
Vornado Realty Trust REIT | 14,800 | 670,736 | ||||||
Canadian Apartment Properties REIT | 15,100 | 648,190 | ||||||
CNP Assurances†† | 25,900 | 623,704 | ||||||
Dexus REIT†† | 75,800 | 618,852 | ||||||
EXOR N.V.†† | 8,100 | 615,933 | ||||||
Phoenix Group Holdings plc†† | 76,200 | 610,305 | ||||||
Amundi S.A.††,1 | 8,800 | 601,921 | ||||||
GPT Group REIT†† | 152,200 | 587,198 | ||||||
Sumitomo Mitsui Financial Group, Inc.†† | 17,600 | 556,033 | ||||||
Truist Financial Corp. | 8,800 | 498,960 | ||||||
Credit Agricole S.A.†† | 40,000 | 478,077 | ||||||
Essex Property Trust, Inc. REIT | 1,100 | 380,028 | ||||||
Western Union Co. | 20,000 | 374,800 | ||||||
Zurich Insurance Group AG†† | 700 | 345,790 | ||||||
Societe Generale S.A.†† | 12,500 | 335,187 | ||||||
Mediobanca Banca di Credito Finanziario SpA†† | 32,500 | 328,521 | ||||||
Public Storage REIT | 800 | 312,224 | ||||||
Gjensidige Forsikring ASA†† | 12,300 | 305,085 | ||||||
KBC Group N.V.†† | 4,200 | 301,432 | ||||||
AvalonBay Communities, Inc. REIT | 1,200 | 298,044 | ||||||
Mizuho Financial Group, Inc.†† | 20,300 | 258,970 | ||||||
NN Group N.V.†† | 5,000 | 253,465 | ||||||
Wendel S.A.†† | 2,200 | 224,098 | ||||||
Total Financial | 22,609,353 | |||||||
Consumer, Non-cyclical - 16.6% | ||||||||
Johnson & Johnson | 11,100 | 1,967,253 | ||||||
AbbVie, Inc. | 10,108 | 1,638,608 | ||||||
Bristol-Myers Squibb Co. | 20,394 | 1,489,374 | ||||||
Philip Morris International, Inc. | 14,700 | 1,380,918 | ||||||
Merck & Company, Inc. | 16,000 | 1,312,800 | ||||||
Amgen, Inc. | 5,100 | 1,233,282 | ||||||
Cigna Corp. | 5,000 | 1,198,050 | ||||||
McKesson Corp. | 3,700 | 1,132,681 | ||||||
AmerisourceBergen Corp. — Class A | 7,100 | 1,098,441 | ||||||
Unilever plc†† | 23,800 | 1,080,427 | ||||||
Gilead Sciences, Inc. | 16,900 | 1,004,705 | ||||||
CVS Health Corp. | 9,100 | 921,011 | ||||||
Cardinal Health, Inc. | 16,200 | 918,540 | ||||||
Kellogg Co. | 13,890 | 895,766 | ||||||
Imperial Brands plc†† | 42,500 | 894,971 | ||||||
Japan Tobacco, Inc.†† | 51,100 | 872,786 | ||||||
Altria Group, Inc. | 14,000 | 731,500 | ||||||
Automatic Data Processing, Inc. | 2,500 | 568,850 | ||||||
Archer-Daniels-Midland Co. | 5,825 | 525,765 | ||||||
Medipal Holdings Corp.†† | 30,700 | 505,213 | ||||||
Viatris, Inc. | 24,600 | 267,648 | ||||||
Tyson Foods, Inc. — Class A | 2,700 | 242,001 | ||||||
Total Consumer, Non-cyclical | 21,880,590 | |||||||
Technology - 15.0% | ||||||||
Apple, Inc. | 22,277 | 3,889,787 | ||||||
Microsoft Corp. | 12,565 | 3,873,915 | ||||||
Intel Corp. | 28,067 | 1,391,001 | ||||||
Accenture plc — Class A | 3,994 | 1,346,897 | ||||||
Texas Instruments, Inc. | 7,100 | 1,302,708 | ||||||
International Business Machines Corp. | 8,524 | 1,108,290 | ||||||
Oracle Corp. | 13,200 | 1,092,036 | ||||||
HP, Inc. | 28,200 | 1,023,660 | ||||||
Broadridge Financial Solutions, Inc. | 6,500 | 1,012,115 | ||||||
NetApp, Inc. | 10,600 | 879,800 | ||||||
Hewlett Packard Enterprise Co. | 51,800 | 865,578 | ||||||
NVIDIA Corp. | 2,600 | 709,436 | ||||||
KLA Corp. | 1,600 | 585,696 | ||||||
Broadcom, Inc. | 700 | 440,776 | ||||||
Intuit, Inc. | 500 | 240,420 | ||||||
Total Technology | 19,762,115 | |||||||
Communications - 12.6% | ||||||||
Alphabet, Inc. — Class C* | 1,106 | 3,089,047 | ||||||
Amazon.com, Inc.* | 779 | 2,539,501 | ||||||
Verizon Communications, Inc. | 27,331 | 1,392,241 | ||||||
Comcast Corp. — Class A | 22,300 | 1,044,086 | ||||||
Motorola Solutions, Inc. | 4,300 | 1,041,460 | ||||||
Nippon Telegraph & Telephone Corp.†† | 34,800 | 1,011,217 | ||||||
Thomson Reuters Corp. | 8,300 | 901,384 | ||||||
Cisco Systems, Inc. | 15,400 | 858,704 | ||||||
Liberty Global plc — Class C* | 28,700 | 743,617 | ||||||
Omnicom Group, Inc. | 7,700 | 653,576 | ||||||
Corning, Inc. | 17,300 | 638,543 | ||||||
Sirius XM Holdings, Inc. | 89,900 | 595,138 | ||||||
HKT Trust & HKT Ltd.†† | 378,600 | 519,148 | ||||||
Liberty Media Corporation-Liberty SiriusXM — Class C* | 10,000 | 457,300 | ||||||
KDDI Corp.†† | 9,900 | 324,633 | ||||||
CDW Corp. | 1,700 | 304,113 | ||||||
Telenor ASA†† | 17,200 | 246,876 | ||||||
Meta Platforms, Inc. — Class A* | 844 | 187,672 | ||||||
Total Communications | 16,548,256 | |||||||
Consumer, Cyclical - 10.5% | ||||||||
Home Depot, Inc. | 5,000 | 1,496,650 | ||||||
McDonald's Corp. | 5,100 | 1,261,128 | ||||||
Mitsubishi Corp.†† | 29,800 | 1,118,453 | ||||||
Tesla, Inc.* | 1,034 | 1,114,238 | ||||||
PACCAR, Inc. | 11,400 | 1,003,998 | ||||||
Genuine Parts Co. | 7,400 | 932,548 | ||||||
Cummins, Inc. | 3,800 | 779,418 | ||||||
Dollar General Corp. | 3,400 | 756,942 | ||||||
Best Buy Company, Inc. | 8,100 | 736,290 | ||||||
Hasbro, Inc. | 8,700 | 712,704 |
Series D (World Equity Income Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Value | |||||||
COMMON STOCKS† - 98.4% (continued) | ||||||||
Consumer, Cyclical - 10.5% (continued) | ||||||||
Whirlpool Corp. | 3,586 | $ | 619,589 | |||||
Newell Brands, Inc. | 27,200 | 582,352 | ||||||
Lear Corp. | 4,000 | 570,360 | ||||||
Lowe's Companies, Inc. | 2,600 | 525,694 | ||||||
BorgWarner, Inc. | 12,100 | 470,690 | ||||||
Walgreens Boots Alliance, Inc. | 10,200 | 456,654 | ||||||
ITOCHU Corp.†† | 12,200 | 412,735 | ||||||
Lawson, Inc.†† | 7,800 | 298,625 | ||||||
Total Consumer, Cyclical | 13,849,068 | |||||||
Industrial - 8.4% | ||||||||
Waste Connections, Inc. | 8,300 | 1,159,510 | ||||||
Lockheed Martin Corp. | 2,522 | 1,113,211 | ||||||
Northrop Grumman Corp. | 2,319 | 1,037,103 | ||||||
Packaging Corporation of America | 6,500 | 1,014,715 | ||||||
3M Co. | 6,690 | 996,007 | ||||||
TE Connectivity Ltd. | 6,600 | 864,468 | ||||||
CK Infrastructure Holdings Ltd.†† | 113,600 | 759,438 | ||||||
Aurizon Holdings Ltd.†† | 274,900 | 755,751 | ||||||
Amcor plc | 66,700 | 755,711 | ||||||
Arrow Electronics, Inc.* | 5,400 | 640,602 | ||||||
Illinois Tool Works, Inc. | 2,900 | 607,260 | ||||||
Poste Italiane SpA††,1 | 53,200 | 603,491 | ||||||
Kyocera Corp.†† | 9,200 | 514,899 | ||||||
BAE Systems plc†† | 32,500 | 305,136 | ||||||
Total Industrial | 11,127,302 | |||||||
Utilities - 6.5% | ||||||||
Southern Co. | 17,500 | 1,268,925 | ||||||
National Grid plc†† | 64,100 | 984,932 | ||||||
SSE plc†† | 40,000 | 913,698 | ||||||
Exelon Corp. | 16,500 | 785,895 | ||||||
Hong Kong & China Gas Company Ltd.†† | 621,100 | 750,280 | ||||||
EDP - Energias de Portugal S.A.†† | 134,600 | 662,673 | ||||||
Endesa S.A.†† | 27,600 | 601,950 | ||||||
UGI Corp. | 15,900 | 575,898 | ||||||
CLP Holdings Ltd.†† | 55,100 | 536,146 | ||||||
Power Assets Holdings Ltd. | 71,500 | 465,994 | ||||||
Snam SpA†† | 79,900 | 460,877 | ||||||
Consolidated Edison, Inc. | 2,900 | 274,572 | ||||||
Chubu Electric Power Company, Inc.†† | 22,100 | 228,763 | ||||||
Total Utilities | 8,510,603 | |||||||
Basic Materials - 6.3% | ||||||||
Rio Tinto plc†† | 16,600 | 1,326,891 | ||||||
Fortescue Metals Group Ltd.†† | 81,700 | 1,256,126 | ||||||
LyondellBasell Industries N.V. — Class A | 11,400 | 1,172,148 | ||||||
Steel Dynamics, Inc. | 13,800 | 1,151,334 | ||||||
International Paper Co. | 20,400 | 941,460 | ||||||
Celanese Corp. — Class A | 6,000 | 857,220 | ||||||
Nutrien Ltd. | 7,100 | 734,081 | ||||||
Eastman Chemical Co. | 5,700 | 638,742 | ||||||
Solvay S.A.*,†† | 2,700 | 266,176 | ||||||
Total Basic Materials | 8,344,178 | |||||||
Energy - 5.4% | ||||||||
Suncor Energy, Inc. | 39,400 | 1,283,059 | ||||||
BP plc†† | 223,700 | 1,096,514 | ||||||
TC Energy Corp. | 19,000 | 1,071,915 | ||||||
Tourmaline Oil Corp. | 20,214 | 931,603 | ||||||
Eni SpA†† | 60,200 | 878,158 | ||||||
ENEOS Holdings, Inc.†† | 198,700 | 742,988 | ||||||
Valero Energy Corp. | 4,400 | 446,776 | ||||||
Phillips 66 | 4,100 | 354,199 | ||||||
Repsol S.A.†† | 24,600 | 322,331 | ||||||
Total Energy | 7,127,543 | |||||||
Total Common Stocks | ||||||||
(Cost $121,113,722) | 129,759,008 |
EXCHANGE-TRADED FUNDS† - 0.5% | ||||||||
SPDR S&P 500 ETF Trust | 795 | 359,054 | ||||||
iShares MSCI EAFE ETF | 4,746 | 349,305 | ||||||
Total Exchange-Traded Funds | ||||||||
(Cost $687,201) | 708,359 |
MONEY MARKET FUND† - 0.4% | ||||||||
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Shares, 0.16%2 | 527,109 | 527,109 | ||||||
Total Money Market Fund | ||||||||
(Cost $527,109) | 527,109 | |||||||
Total Investments - 99.3% | ||||||||
(Cost $122,328,032) | $ | 130,994,476 | ||||||
Other Assets & Liabilities, net - 0.7% | 859,545 | |||||||
Total Net Assets - 100.0% | $ | 131,854,021 |
Series D (World Equity Income Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Futures Contracts | ||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized Appreciation** | ||||||||||
Currency Futures Contracts Sold Short† | ||||||||||||||
Japanese Yen Futures Contracts | 70 | Jun 2022 | $ | 7,201,250 | $ | 178,804 | ||||||||
British Pound Futures Contracts | 88 | Jun 2022 | 7,223,150 | 20,604 | ||||||||||
$ | 14,424,400 | $ | 199,408 |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). |
† | Value determined based on Level 1 inputs, unless otherwise noted — See Note 3. |
†† | Value determined based on Level 2 inputs — See Note 3. |
1 | Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $1,205,412 (cost $1,401,294), or 0.9% of total net assets. |
2 | Rate indicated is the 7-day yield as of March 31, 2022. |
plc — Public Limited Company |
REIT — Real Estate Investment Trust |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund's investments at March 31, 2022 (See Note 3 in the Notes to Schedule of Investments): |
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 94,379,868 | $ | 35,379,140 | $ | — | $ | 129,759,008 | ||||||||
Exchange-Traded Funds | 708,359 | — | — | 708,359 | ||||||||||||
Money Market Fund | 527,109 | — | — | 527,109 | ||||||||||||
Currency Futures Contracts** | 199,408 | — | — | 199,408 | ||||||||||||
Total Assets | $ | 95,814,744 | $ | 35,379,140 | $ | — | $ | 131,193,884 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Series E (Total Return Bond Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Value | |||||||
COMMON STOCKS† - 1.4% | ||||||||
Financial - 1.4% | ||||||||
Pershing Square Tontine Holdings Ltd. — Class A*,1 | 76,590 | $ | 1,523,375 | |||||
KKR Acquisition Holdings I Corp. — Class A*,1 | 33,829 | 332,539 | ||||||
RXR Acquisition Corp. — Class A*,1 | 7,752 | 75,582 | ||||||
TPG Pace Beneficial II Corp.*,1 | 6,675 | 65,548 | ||||||
MSD Acquisition Corp. — Class A*,1 | 4,876 | 47,883 | ||||||
AfterNext HealthTech Acquisition Corp. — Class A*,1 | 4,100 | 39,688 | ||||||
Conyers Park III Acquisition Corp. — Class A*,1 | 3,800 | 37,050 | ||||||
Waverley Capital Acquisition Corp. 1 — Class A*,1 | 3,000 | 28,860 | ||||||
Colicity, Inc. — Class A*,1 | 2,716 | 26,508 | ||||||
Acropolis Infrastructure Acquisition Corp. — Class A*,1 | 2,700 | 26,217 | ||||||
Blue Whale Acquisition Corp. I — Class A*,1 | 2,200 | 21,340 | ||||||
Total Financial | 2,224,590 | |||||||
Communications - 0.0% | ||||||||
Figs, Inc. — Class A* | 1,346 | 28,966 | ||||||
Vacasa, Inc. — Class A* | 3,356 | 27,754 | ||||||
Total Communications | 56,720 | |||||||
Total Common Stocks | ||||||||
(Cost $2,246,547) | 2,281,310 |
PREFERRED STOCKS†† - 4.8% | ||||||||
Financial - 4.8% | ||||||||
Wells Fargo & Co. | ||||||||
3.90% due 12/31/70* | 450,000 | 431,348 | ||||||
4.70% | 16,000 | 352,800 | ||||||
Equitable Holdings, Inc. | ||||||||
4.95% due 12/31/70* | 550,000 | 540,375 | ||||||
4.30% | 12,000 | 238,560 | ||||||
Citigroup, Inc. | ||||||||
3.88% due 12/31/70* | 600,000 | 565,500 | ||||||
4.00% due 12/31/70* | 200,000 | 192,000 | ||||||
Bank of America Corp. | ||||||||
4.13%* | 16,000 | 340,960 | ||||||
4.38%* | 12,000 | 259,800 | ||||||
4.38%* | 100,000 | 93,980 | ||||||
Markel Corp. | ||||||||
6.00% due 12/31/70* | 660,000 | 683,100 | ||||||
First Republic Bank | ||||||||
4.25% | 24,000 | 498,240 | ||||||
4.13% | 6,000 | 123,720 | ||||||
4.50% | 2,000 | 44,160 | ||||||
Bank of New York Mellon Corp. | ||||||||
3.75% due 12/31/70* | 400,000 | 369,760 | ||||||
4.70% due 12/31/70* | 140,000 | 143,360 | ||||||
Charles Schwab Corp. | ||||||||
4.00% due 12/31/70* | 500,000 | 449,060 | ||||||
JPMorgan Chase & Co. | ||||||||
3.65% | 250,000 | 233,750 | ||||||
4.63% | 8,000 | 176,080 | ||||||
MetLife, Inc. | ||||||||
3.85% due 12/31/70* | 400,000 | 394,480 | ||||||
Public Storage | ||||||||
4.63% | 12,755 | 296,936 | ||||||
4.13% | 2,323 | 50,549 | ||||||
W R Berkley Corp. | ||||||||
4.13% due 03/30/61 | 11,288 | 250,593 | ||||||
4.25% due 09/30/60 | 1,845 | 39,225 | ||||||
Arch Capital Group Ltd. | ||||||||
4.55% | 10,000 | 211,100 | ||||||
American Financial Group, Inc. | ||||||||
4.50% due 09/15/60 | 8,968 | 204,112 | ||||||
RenaissanceRe Holdings Ltd. | ||||||||
4.20% | 8,000 | 168,880 | ||||||
Goldman Sachs Group, Inc. | ||||||||
3.80% | 150,000 | 139,031 | ||||||
CNO Financial Group, Inc. | ||||||||
5.13% due 11/25/60 | 6,000 | 133,200 | ||||||
Kuvare US Holdings, Inc. | ||||||||
7.00% due 02/17/51*,3 | 100,000 | 104,000 | ||||||
Assurant, Inc. | ||||||||
5.25% due 01/15/61 | 4,000 | 92,880 | ||||||
Selective Insurance Group, Inc. | ||||||||
4.60% | 4,000 | 83,800 | ||||||
Total Financial | 7,905,339 | |||||||
Total Preferred Stocks | ||||||||
(Cost $8,626,177) | 7,905,339 |
WARRANTS† - 0.0% | ||||||||
Pershing Square Tontine Holdings, Ltd. | ||||||||
Expiring 07/24/25*,1 | 8,510 | 7,999 | ||||||
KKR Acquisition Holdings I Corp. | ||||||||
Expiring 12/31/27*,1 | 8,457 | 5,582 | ||||||
MSD Acquisition Corp. | ||||||||
Expiring 05/13/23*,1 | 974 | 760 | ||||||
RXR Acquisition Corp. | ||||||||
Expiring 03/08/26*,1 | 1,547 | 696 | ||||||
Conyers Park III Acquisition Corp. | ||||||||
Expiring 08/12/28* | 1,266 | 647 | ||||||
Ginkgo Bioworks Holdings, Inc. | ||||||||
Expiring 12/31/27* | 684 | 602 | ||||||
AfterNext HealthTech Acquisition Corp. | ||||||||
Expiring 07/09/23* | 1,366 | 574 | ||||||
Acropolis Infrastructure Acquisition Corp. | ||||||||
Expiring 03/31/26*,1 | 900 | 428 | ||||||
Waverley Capital Acquisition Corp. | ||||||||
Expiring 04/30/27*,1 | 1,000 | 380 | ||||||
Blue Whale Acquisition Corp. | ||||||||
Expiring 07/30/26*,1 | 550 | 276 | ||||||
Colicity, Inc. | ||||||||
Expiring 12/31/27*,1 | 542 | 211 | ||||||
Total Warrants | ||||||||
(Cost $65,470) | 18,155 |
Series E (Total Return Bond Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Value | |||||||
MUTUAL FUNDS† - 4.0% | ||||||||
Guggenheim Total Return Bond Fund — R6-Class4 | 245,584 | $ | 6,515,346 | |||||
Total Mutual Funds | ||||||||
(Cost $6,540,145) | 6,515,346 |
MONEY MARKET FUND† - 1.4% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.12%5 | 1,713,989 | 1,713,989 | ||||||
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 0.15%5 | 595,083 | 595,083 | ||||||
Total Money Market Fund | ||||||||
(Cost $2,309,072) | 2,309,072 |
Face Amount~ | ||||||||
CORPORATE BONDS†† - 39.4% | ||||||||
Financial - 16.2% | ||||||||
Pershing Square Holdings Ltd. | ||||||||
3.25% due 11/15/303 | 1,000,000 | 917,580 | ||||||
3.25% due 10/01/31 | 1,000,000 | 902,000 | ||||||
Wells Fargo & Co. | ||||||||
3.07% due 04/30/412 | 1,100,000 | 988,873 | ||||||
Nationwide Mutual Insurance Co. | ||||||||
4.35% due 04/30/503 | 950,000 | 945,167 | ||||||
Bank of America Corp. | ||||||||
2.59% due 04/29/312 | 890,000 | 821,084 | ||||||
Liberty Mutual Group, Inc. | ||||||||
4.30% due 02/01/613 | 700,000 | 556,360 | ||||||
3.95% due 05/15/603 | 280,000 | 254,758 | ||||||
Reliance Standard Life Global Funding II | ||||||||
2.75% due 05/07/253 | 800,000 | 784,449 | ||||||
Reinsurance Group of America, Inc. | ||||||||
3.15% due 06/15/30 | 750,000 | 722,402 | ||||||
Wilton RE Ltd. | ||||||||
6.00% †††,2,3,6 | 700,000 | 673,960 | ||||||
Macquarie Bank Ltd. | ||||||||
3.05% due 03/03/362,3 | 450,000 | 396,318 | ||||||
3.62% due 06/03/303 | 290,000 | 273,322 | ||||||
Arch Capital Group Ltd. | ||||||||
3.64% due 06/30/50 | 700,000 | 641,229 | ||||||
American International Group, Inc. | ||||||||
4.38% due 06/30/50 | 550,000 | 602,811 | ||||||
GLP Capital Limited Partnership / GLP Financing II, Inc. | ||||||||
5.30% due 01/15/29 | 300,000 | 315,171 | ||||||
4.00% due 01/15/31 | 290,000 | 281,265 | ||||||
Citigroup, Inc. | ||||||||
2.57% due 06/03/312 | 590,000 | 540,503 | ||||||
Intercontinental Exchange, Inc. | ||||||||
2.65% due 09/15/40 | 600,000 | 511,962 | ||||||
Nippon Life Insurance Co. | ||||||||
2.75% due 01/21/512,3 | 350,000 | 314,125 | ||||||
2.90% due 09/16/512,3 | 200,000 | 181,053 | ||||||
Fidelity National Financial, Inc. | ||||||||
3.40% due 06/15/30 | 300,000 | 288,900 | ||||||
2.45% due 03/15/31 | 230,000 | 203,706 | ||||||
Deloitte LLP | ||||||||
3.56% due 05/07/30††† | 500,000 | 478,360 | ||||||
Host Hotels & Resorts, LP | ||||||||
3.50% due 09/15/30 | 435,000 | 414,755 | ||||||
2.90% due 12/15/31 | 50,000 | 44,693 | ||||||
Iron Mountain, Inc. | ||||||||
4.50% due 02/15/313 | 233,000 | 215,178 | ||||||
5.63% due 07/15/323 | 125,000 | 123,160 | ||||||
5.25% due 07/15/303 | 117,000 | 114,660 | ||||||
Maple Grove Funding Trust I | ||||||||
4.16% due 08/15/513 | 500,000 | 450,801 | ||||||
JPMorgan Chase & Co. | ||||||||
2.96% due 05/13/312 | 230,000 | 215,210 | ||||||
4.49% due 03/24/312 | 200,000 | 211,988 | ||||||
Fairfax Financial Holdings Ltd. | ||||||||
3.38% due 03/03/31 | 450,000 | 419,695 | ||||||
Global Atlantic Finance Co. | ||||||||
4.70% due 10/15/512,3 | 250,000 | 235,625 | ||||||
3.13% due 06/15/313 | 200,000 | 178,954 | ||||||
FS KKR Capital Corp. | ||||||||
2.63% due 01/15/27 | 250,000 | 228,945 | ||||||
3.25% due 07/15/27 | 200,000 | 184,615 | ||||||
Crown Castle International Corp. | ||||||||
2.90% due 04/01/41 | 250,000 | 206,940 | ||||||
3.30% due 07/01/30 | 201,000 | 192,222 | ||||||
Macquarie Group Ltd. | ||||||||
2.87% due 01/14/332,3 | 250,000 | 221,892 | ||||||
2.69% due 06/23/322,3 | 200,000 | 176,031 | ||||||
Safehold Operating Partnership, LP | ||||||||
2.85% due 01/15/32 | 271,000 | 238,763 | ||||||
2.80% due 06/15/31 | 180,000 | 158,064 | ||||||
OneAmerica Financial Partners, Inc. | ||||||||
4.25% due 10/15/503 | 410,000 | 394,686 | ||||||
Ares Finance Company II LLC | ||||||||
3.25% due 06/15/303 | 410,000 | 393,156 | ||||||
Massachusetts Mutual Life Insurance Co. | ||||||||
3.20% due 12/01/613 | 450,000 | 367,391 | ||||||
United Wholesale Mortgage LLC | ||||||||
5.50% due 04/15/293 | 300,000 | 267,306 | ||||||
5.50% due 11/15/253 | 100,000 | 97,000 | ||||||
National Australia Bank Ltd. | ||||||||
2.99% due 05/21/313 | 400,000 | 362,967 | ||||||
Standard Chartered plc | ||||||||
4.64% due 04/01/312,3 | 350,000 | 360,887 | ||||||
First American Financial Corp. | ||||||||
4.00% due 05/15/30 | 360,000 | 360,554 | ||||||
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc. | ||||||||
3.88% due 03/01/313 | 350,000 | 316,750 |
Series E (Total Return Bond Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Face Amount~ | Value | |||||||
CORPORATE BONDS†† - 39.4% (continued) | ||||||||
Financial - 16.2% (continued) | ||||||||
Brookfield Finance, Inc. | ||||||||
3.50% due 03/30/51 | 280,000 | $ | 248,984 | |||||
4.70% due 09/20/47 | 50,000 | 52,995 | ||||||
LPL Holdings, Inc. | ||||||||
4.00% due 03/15/293 | 300,000 | 284,694 | ||||||
Belrose Funding Trust | ||||||||
2.33% due 08/15/303 | 320,000 | 280,274 | ||||||
SBA Communications Corp. | ||||||||
3.13% due 02/01/29 | 250,000 | 227,405 | ||||||
3.88% due 02/15/27 | 50,000 | 48,771 | ||||||
ABN AMRO Bank N.V. | ||||||||
2.47% due 12/13/292,3 | 300,000 | 274,199 | ||||||
Jefferies Group LLC | ||||||||
2.75% due 10/15/32 | 300,000 | 268,463 | ||||||
UBS Group AG | ||||||||
2.10% due 02/11/322,3 | 300,000 | 262,301 | ||||||
KKR Group Finance Company VIII LLC | ||||||||
3.50% due 08/25/503 | 290,000 | 252,963 | ||||||
Everest Reinsurance Holdings, Inc. | ||||||||
3.50% due 10/15/50 | 280,000 | 249,660 | ||||||
Kennedy-Wilson, Inc. | ||||||||
4.75% due 03/01/29 | 150,000 | 144,620 | ||||||
4.75% due 02/01/30 | 100,000 | 95,091 | ||||||
Jefferies Finance LLC / JFIN Company-Issuer Corp. | ||||||||
5.00% due 08/15/283 | 250,000 | 239,370 | ||||||
Assured Guaranty US Holdings, Inc. | ||||||||
3.15% due 06/15/31 | 150,000 | 141,485 | ||||||
3.60% due 09/15/51 | 100,000 | 86,274 | ||||||
Stewart Information Services Corp. | ||||||||
3.60% due 11/15/31 | 250,000 | 227,529 | ||||||
Societe Generale S.A. | ||||||||
2.89% due 06/09/322,3 | 250,000 | 224,015 | ||||||
Assurant, Inc. | ||||||||
2.65% due 01/15/32 | 250,000 | 218,238 | ||||||
Westpac Banking Corp. | ||||||||
3.02% due 11/18/362 | 150,000 | 133,282 | ||||||
2.96% due 11/16/40 | 100,000 | 84,033 | ||||||
Trustage Financial Group, Inc. | ||||||||
4.63% due 04/15/323 | 200,000 | 200,678 | ||||||
NFP Corp. | ||||||||
6.88% due 08/15/283 | 200,000 | 191,000 | ||||||
Hunt Companies, Inc. | ||||||||
5.25% due 04/15/293 | 200,000 | 190,530 | ||||||
AmFam Holdings, Inc. | ||||||||
2.81% due 03/11/313 | 200,000 | 184,650 | ||||||
Primerica, Inc. | ||||||||
2.80% due 11/19/31 | 200,000 | 184,506 | ||||||
Americo Life, Inc. | ||||||||
3.45% due 04/15/313 | 200,000 | 180,303 | ||||||
Lincoln National Corp. | ||||||||
4.38% due 06/15/50 | 150,000 | 154,411 | ||||||
Corebridge Financial, Inc. | ||||||||
4.35% due 04/05/423 | 150,000 | 149,960 | ||||||
Kemper Corp. | ||||||||
2.40% due 09/30/30 | 170,000 | 148,170 | ||||||
Raymond James Financial, Inc. | ||||||||
3.75% due 04/01/51 | 150,000 | 146,589 | ||||||
Prudential Financial, Inc. | ||||||||
3.70% due 10/01/502 | 130,000 | 119,132 | ||||||
PartnerRe Finance B LLC | ||||||||
4.50% due 10/01/502 | 110,000 | 106,150 | ||||||
Nasdaq, Inc. | ||||||||
3.25% due 04/28/50 | 110,000 | 94,949 | ||||||
Western & Southern Life Insurance Co. | ||||||||
3.75% due 04/28/613 | 100,000 | 90,309 | ||||||
Jefferies Group LLC / Jefferies Group Capital Finance, Inc. | ||||||||
2.63% due 10/15/31 | 100,000 | 90,154 | ||||||
Penn Mutual Life Insurance Co. | ||||||||
3.80% due 04/29/613 | 100,000 | 88,829 | ||||||
Apollo Management Holdings, LP | ||||||||
2.65% due 06/05/303 | 90,000 | 83,987 | ||||||
Home Point Capital, Inc. | ||||||||
5.00% due 02/01/263 | 100,000 | 81,931 | ||||||
Brown & Brown, Inc. | ||||||||
2.38% due 03/15/31 | 90,000 | 79,067 | ||||||
American Equity Investment Life Holding Co. | ||||||||
5.00% due 06/15/27 | 69,000 | 71,989 | ||||||
CNO Financial Group, Inc. | ||||||||
5.25% due 05/30/29 | 50,000 | 52,600 | ||||||
Brookfield Finance LLC | ||||||||
3.45% due 04/15/50 | 50,000 | 43,904 | ||||||
Cushman & Wakefield US Borrower LLC | ||||||||
6.75% due 05/15/283 | 35,000 | 36,575 | ||||||
Weyerhaeuser Co. | ||||||||
4.00% due 04/15/30 | 34,000 | 35,012 | ||||||
Total Financial | 26,598,277 | |||||||
Consumer, Non-cyclical - 5.4% | ||||||||
CoStar Group, Inc. | ||||||||
2.80% due 07/15/303 | 740,000 | 676,338 | ||||||
Altria Group, Inc. | ||||||||
3.70% due 02/04/51 | 550,000 | 444,252 | ||||||
3.40% due 05/06/30 | 170,000 | 163,495 | ||||||
4.45% due 05/06/50 | 50,000 | 45,373 | ||||||
Mozart Debt Merger Sub, Inc. | ||||||||
3.88% due 04/01/293 | 550,000 | 508,750 | ||||||
BAT Capital Corp. | ||||||||
3.98% due 09/25/50 | 300,000 | 243,117 | ||||||
4.70% due 04/02/27 | 190,000 | 194,873 | ||||||
Quanta Services, Inc. | ||||||||
2.90% due 10/01/30 | 467,000 | 432,076 | ||||||
Johns Hopkins University | ||||||||
2.81% due 01/01/60 | 500,000 | 416,740 | ||||||
Children's Hospital Corp. | ||||||||
2.59% due 02/01/50 | 500,000 | 399,991 |
Series E (Total Return Bond Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Face Amount~ | Value | |||||||
CORPORATE BONDS†† - 39.4% (continued) | ||||||||
Consumer, Non-cyclical - 5.4% (continued) | ||||||||
Royalty Pharma plc | ||||||||
3.55% due 09/02/50 | 310,000 | $ | 257,511 | |||||
2.20% due 09/02/30 | 160,000 | 139,887 | ||||||
DaVita, Inc. | ||||||||
3.75% due 02/15/313 | 303,000 | 265,125 | ||||||
4.63% due 06/01/303 | 113,000 | 105,519 | ||||||
Kraft Heinz Foods Co. | ||||||||
4.38% due 06/01/46 | 180,000 | 177,775 | ||||||
4.88% due 10/01/49 | 75,000 | 79,022 | ||||||
5.50% due 06/01/50 | 50,000 | 56,776 | ||||||
5.00% due 06/04/42 | 50,000 | 53,405 | ||||||
Global Payments, Inc. | ||||||||
2.90% due 05/15/30 | 210,000 | 193,818 | ||||||
2.90% due 11/15/31 | 140,000 | 127,549 | ||||||
Smithfield Foods, Inc. | ||||||||
2.63% due 09/13/313 | 250,000 | 219,514 | ||||||
3.00% due 10/15/303 | 110,000 | 99,832 | ||||||
US Foods, Inc. | ||||||||
6.25% due 04/15/253 | 200,000 | 205,000 | ||||||
4.75% due 02/15/293 | 89,000 | 84,884 | ||||||
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc. | ||||||||
3.00% due 05/15/323 | 200,000 | 180,002 | ||||||
4.38% due 02/02/523 | 100,000 | 86,988 | ||||||
Becle, SAB de CV | ||||||||
2.50% due 10/14/313 | 250,000 | 221,775 | ||||||
Post Holdings, Inc. | ||||||||
4.50% due 09/15/313 | 250,000 | 221,498 | ||||||
California Institute of Technology | ||||||||
3.65% due 09/01/19 | 225,000 | 192,970 | ||||||
TriNet Group, Inc. | ||||||||
3.50% due 03/01/293 | 200,000 | 183,750 | ||||||
Triton Container International Ltd. | ||||||||
3.15% due 06/15/313 | 200,000 | 182,857 | ||||||
Kimberly-Clark de Mexico SAB de CV | ||||||||
2.43% due 07/01/313 | 200,000 | 181,108 | ||||||
Central Garden & Pet Co. | ||||||||
4.13% due 04/30/313 | 100,000 | 90,000 | ||||||
4.13% due 10/15/30 | 75,000 | 67,687 | ||||||
Spectrum Brands, Inc. | ||||||||
5.75% due 07/15/25 | 150,000 | 152,813 | ||||||
Hologic, Inc. | ||||||||
3.25% due 02/15/293 | 150,000 | 140,065 | ||||||
Endo Luxembourg Finance Company I SARL / Endo US, Inc. | ||||||||
6.13% due 04/01/293 | 150,000 | 136,875 | ||||||
Universal Health Services, Inc. | ||||||||
2.65% due 10/15/303 | 150,000 | 136,172 | ||||||
Transurban Finance Company Pty Ltd. | ||||||||
2.45% due 03/16/313 | 150,000 | 133,003 | ||||||
Avantor Funding, Inc. | ||||||||
4.63% due 07/15/283 | 125,000 | 123,625 | ||||||
Nielsen Finance LLC / Nielsen Finance Co. | ||||||||
4.50% due 07/15/293 | 100,000 | 99,750 | ||||||
Block, Inc. | ||||||||
2.75% due 06/01/263 | 100,000 | 94,522 | ||||||
Gartner, Inc. | ||||||||
3.75% due 10/01/303 | 100,000 | 93,875 | ||||||
Syneos Health, Inc. | ||||||||
3.63% due 01/15/293 | 100,000 | 92,375 | ||||||
Triton Container International Limited / TAL International Container Corp. | ||||||||
3.25% due 03/15/32 | 100,000 | 92,113 | ||||||
Prime Security Services Borrower LLC / Prime Finance, Inc. | ||||||||
3.38% due 08/31/273 | 100,000 | 91,489 | ||||||
Service Corporation International | ||||||||
3.38% due 08/15/30 | 100,000 | 90,088 | ||||||
GXO Logistics, Inc. | ||||||||
2.65% due 07/15/313 | 100,000 | 86,710 | ||||||
Tenet Healthcare Corp. | ||||||||
4.63% due 06/15/283 | 75,000 | 73,594 | ||||||
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc. | ||||||||
5.00% due 12/31/263 | 50,000 | 46,125 | ||||||
Total Consumer, Non-cyclical | 8,882,451 | |||||||
Industrial - 4.3% | ||||||||
Boeing Co. | ||||||||
5.15% due 05/01/30 | 970,000 | 1,034,464 | ||||||
5.81% due 05/01/50 | 490,000 | 565,821 | ||||||
5.71% due 05/01/40 | 490,000 | 547,551 | ||||||
2.20% due 02/04/26 | 200,000 | 189,083 | ||||||
Amsted Industries, Inc. | ||||||||
4.63% due 05/15/303 | 470,000 | 445,433 | ||||||
Stadco LA, LLC | ||||||||
3.75% due 05/15/56††† | 500,000 | 445,307 | ||||||
Crown Americas LLC / Crown Americas Capital Corporation VI | ||||||||
4.75% due 02/01/26 | 400,000 | 404,272 | ||||||
Cellnex Finance Company S.A. | ||||||||
3.88% due 07/07/413 | 450,000 | 365,544 | ||||||
TD SYNNEX Corp. | ||||||||
2.65% due 08/09/313 | 250,000 | 214,686 | ||||||
2.38% due 08/09/283 | 150,000 | 135,010 | ||||||
Flowserve Corp. | ||||||||
3.50% due 10/01/30 | 270,000 | 255,705 | ||||||
2.80% due 01/15/32 | 100,000 | 88,446 | ||||||
Owens Corning | ||||||||
3.88% due 06/01/30 | 320,000 | 323,140 | ||||||
Textron, Inc. | ||||||||
2.45% due 03/15/31 | 350,000 | 316,876 | ||||||
Vontier Corp. | ||||||||
2.95% due 04/01/31 | 350,000 | 310,818 | ||||||
Acuity Brands Lighting, Inc. | ||||||||
2.15% due 12/15/30 | 350,000 | 307,303 |
Series E (Total Return Bond Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Face Amount~ | Value | |||||||
CORPORATE BONDS†† - 39.4% (continued) | ||||||||
Industrial - 4.3% (continued) | ||||||||
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc. | ||||||||
4.13% due 08/15/263 | 250,000 | $ | 240,856 | |||||
Standard Industries, Inc. | ||||||||
4.38% due 07/15/303 | 125,000 | 114,495 | ||||||
3.38% due 01/15/313 | 125,000 | 109,375 | ||||||
GATX Corp. | ||||||||
4.00% due 06/30/30 | 140,000 | 141,923 | ||||||
3.50% due 03/15/28 | 50,000 | 49,715 | ||||||
Weir Group plc | ||||||||
2.20% due 05/13/263 | 200,000 | 186,785 | ||||||
Howmet Aerospace, Inc. | ||||||||
6.75% due 01/15/28 | 145,000 | 157,325 | ||||||
Berry Global, Inc. | ||||||||
1.57% due 01/15/26 | 50,000 | 46,579 | ||||||
Norfolk Southern Corp. | ||||||||
4.10% due 05/15/21 | 50,000 | 46,532 | ||||||
Graphic Packaging International LLC | ||||||||
3.50% due 03/01/293 | 11,000 | 10,120 | ||||||
Total Industrial | 7,053,164 | |||||||
Consumer, Cyclical - 3.7% | ||||||||
Marriott International, Inc. | ||||||||
4.63% due 06/15/30 | 340,000 | 352,135 | ||||||
3.50% due 10/15/32 | 330,000 | 314,117 | ||||||
5.75% due 05/01/25 | 250,000 | 265,434 | ||||||
2.85% due 04/15/31 | 170,000 | 155,158 | ||||||
2.75% due 10/15/33 | 100,000 | 88,252 | ||||||
Delta Air Lines, Inc. | ||||||||
7.00% due 05/01/253 | 1,070,000 | 1,146,093 | ||||||
Magallanes, Inc. | ||||||||
4.28% due 03/15/323 | 400,000 | 401,779 | ||||||
5.14% due 03/15/523 | 200,000 | 204,619 | ||||||
Hyatt Hotels Corp. | ||||||||
5.38% due 04/23/25 | 220,000 | 230,935 | ||||||
5.75% due 04/23/30 | 190,000 | 209,938 | ||||||
Hilton Domestic Operating Company, Inc. | ||||||||
3.75% due 05/01/293 | 400,000 | 375,466 | ||||||
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. | ||||||||
6.50% due 06/20/273 | 350,000 | 364,875 | ||||||
Choice Hotels International, Inc. | ||||||||
3.70% due 01/15/31 | 360,000 | 350,049 | ||||||
1011778 BC ULC / New Red Finance, Inc. | ||||||||
4.00% due 10/15/303 | 300,000 | 270,611 | ||||||
3.88% due 01/15/283 | 55,000 | 52,114 | ||||||
Delta Air Lines Inc. / SkyMiles IP Ltd. | ||||||||
4.50% due 10/20/253 | 300,000 | 301,743 | ||||||
PetSmart, Inc. / PetSmart Finance Corp. | ||||||||
4.75% due 02/15/283 | 250,000 | 241,601 | ||||||
Walgreens Boots Alliance, Inc. | ||||||||
4.10% due 04/15/50 | 198,000 | 192,869 | ||||||
United Airlines, Inc. | ||||||||
4.38% due 04/15/263 | 150,000 | 147,551 | ||||||
Scotts Miracle-Gro Co. | ||||||||
4.00% due 04/01/31 | 150,000 | 130,798 | ||||||
Fertitta Entertainment LLC / Fertitta Entertainment Finance Company, Inc. | ||||||||
4.63% due 01/15/293 | 100,000 | 94,750 | ||||||
British Airways Class A Pass Through Trust | ||||||||
2.90% due 03/15/353 | 99,933 | 91,819 | ||||||
Allison Transmission, Inc. | ||||||||
3.75% due 01/30/313 | 100,000 | 90,715 | ||||||
WMG Acquisition Corp. | ||||||||
3.00% due 02/15/313 | 75,000 | 67,125 | ||||||
Aramark Services, Inc. | ||||||||
5.00% due 02/01/283 | 10,000 | 9,700 | ||||||
Total Consumer, Cyclical | 6,150,246 | |||||||
Communications - 3.6% | ||||||||
Paramount Global | ||||||||
4.95% due 01/15/31 | 617,000 | 655,859 | ||||||
4.95% due 05/19/50 | 320,000 | 334,448 | ||||||
Charter Communications Operating LLC / Charter Communications Operating Capital | ||||||||
2.80% due 04/01/31 | 625,000 | 563,309 | ||||||
2.25% due 01/15/29 | 100,000 | 89,987 | ||||||
3.90% due 06/01/52 | 50,000 | 42,165 | ||||||
Level 3 Financing, Inc. | ||||||||
3.63% due 01/15/293 | 330,000 | 288,750 | ||||||
4.25% due 07/01/283 | 288,000 | 264,386 | ||||||
3.75% due 07/15/293 | 100,000 | 88,623 | ||||||
British Telecommunications plc | ||||||||
4.88% due 11/23/812,3 | 350,000 | 332,500 | ||||||
9.63% due 12/15/30 | 100,000 | 136,436 | ||||||
AT&T, Inc. | ||||||||
2.75% due 06/01/31 | 410,000 | 384,449 | ||||||
CSC Holdings LLC | ||||||||
4.13% due 12/01/303 | 200,000 | 175,373 | ||||||
3.38% due 02/15/313 | 200,000 | 168,500 | ||||||
McGraw-Hill Education, Inc. | ||||||||
5.75% due 08/01/283 | 300,000 | 286,131 | ||||||
Virgin Media Secured Finance plc | ||||||||
4.50% due 08/15/303 | 300,000 | 279,750 | ||||||
Cable One, Inc. | ||||||||
4.00% due 11/15/303 | 300,000 | 276,666 | ||||||
UPC Broadband Finco BV | ||||||||
4.88% due 07/15/313 | 250,000 | 234,717 | ||||||
Vodafone Group plc | ||||||||
4.13% due 06/04/812 | 250,000 | 226,985 | ||||||
Virgin Media Vendor Financing Notes IV DAC | ||||||||
5.00% due 07/15/283 | 200,000 | 192,000 | ||||||
Altice France S.A. | ||||||||
5.13% due 07/15/293 | 200,000 | 179,250 |
Series E (Total Return Bond Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Face Amount~ | Value | |||||||
CORPORATE BONDS†† - 39.4% (continued) | ||||||||
Communications - 3.6% (continued) | ||||||||
Sirius XM Radio, Inc. | ||||||||
4.13% due 07/01/303 | 180,000 | $ | 168,511 | |||||
Radiate Holdco LLC / Radiate Finance, Inc. | ||||||||
4.50% due 09/15/263 | 150,000 | 144,750 | ||||||
Go Daddy Operating Company LLC / GD Finance Co., Inc. | ||||||||
3.50% due 03/01/293 | 150,000 | 137,920 | ||||||
Lamar Media Corp. | ||||||||
3.63% due 01/15/31 | 100,000 | 91,813 | ||||||
Switch Ltd. | ||||||||
3.75% due 09/15/283 | 50,000 | 48,487 | ||||||
CCO Holdings LLC / CCO Holdings Capital Corp. | ||||||||
4.25% due 02/01/313 | 50,000 | 45,375 | ||||||
T-Mobile USA, Inc. | ||||||||
2.88% due 02/15/31 | 50,000 | 45,047 | ||||||
Total Communications | 5,882,187 | |||||||
Energy - 2.4% | ||||||||
Galaxy Pipeline Assets Bidco Ltd. | ||||||||
3.25% due 09/30/403 | 700,000 | 631,922 | ||||||
2.94% due 09/30/403 | 350,000 | 315,585 | ||||||
BP Capital Markets plc | ||||||||
4.88% 2,6 | 880,000 | 882,200 | ||||||
Qatar Energy | ||||||||
3.30% due 07/12/513 | 250,000 | 229,456 | ||||||
3.13% due 07/12/413 | 250,000 | 227,463 | ||||||
Sabine Pass Liquefaction LLC | ||||||||
4.50% due 05/15/30 | 400,000 | 418,307 | ||||||
Occidental Petroleum Corp. | ||||||||
4.63% due 06/15/45 | 200,000 | 194,000 | ||||||
3.00% due 02/15/27 | 70,000 | 68,425 | ||||||
ITT Holdings LLC | ||||||||
6.50% due 08/01/293 | 250,000 | 230,930 | ||||||
Magellan Midstream Partners, LP | ||||||||
3.25% due 06/01/30 | 190,000 | 184,940 | ||||||
Valero Energy Corp. | ||||||||
2.15% due 09/15/27 | 140,000 | 130,924 | ||||||
Midwest Connector Capital Company LLC | ||||||||
4.63% due 04/01/293 | 110,000 | 111,161 | ||||||
NuStar Logistics, LP | ||||||||
5.63% due 04/28/27 | 100,000 | 97,837 | ||||||
Parkland Corp. | ||||||||
4.63% due 05/01/303 | 100,000 | 93,000 | ||||||
DCP Midstream Operating, LP | ||||||||
3.25% due 02/15/32 | 100,000 | 90,000 | ||||||
Total Energy | 3,906,150 | |||||||
Technology - 1.8% | ||||||||
Broadcom, Inc. | ||||||||
4.15% due 11/15/30 | 484,000 | 490,529 | ||||||
2.45% due 02/15/313 | 300,000 | 267,623 | ||||||
3.19% due 11/15/363 | 26,000 | 22,570 | ||||||
Workday, Inc. | ||||||||
3.80% due 04/01/32 | 400,000 | 399,239 | ||||||
NetApp, Inc. | ||||||||
2.70% due 06/22/30 | 412,000 | 380,150 | ||||||
Qorvo, Inc. | ||||||||
4.38% due 10/15/29 | 170,000 | 170,057 | ||||||
3.38% due 04/01/313 | 100,000 | 90,935 | ||||||
Citrix Systems, Inc. | ||||||||
1.25% due 03/01/26 | 250,000 | 243,054 | ||||||
CDW LLC / CDW Finance Corp. | ||||||||
3.57% due 12/01/31 | 250,000 | 231,613 | ||||||
Oracle Corp. | ||||||||
3.95% due 03/25/51 | 250,000 | 218,554 | ||||||
Leidos, Inc. | ||||||||
2.30% due 02/15/31 | 250,000 | 216,713 | ||||||
Boxer Parent Company, Inc. | ||||||||
7.13% due 10/02/253 | 100,000 | 103,654 | ||||||
MSCI, Inc. | ||||||||
3.63% due 09/01/303 | 75,000 | 70,304 | ||||||
3.88% due 02/15/313 | 15,000 | 14,222 | ||||||
Twilio, Inc. | ||||||||
3.63% due 03/15/29 | 38,000 | 35,815 | ||||||
Total Technology | 2,955,032 | |||||||
Basic Materials - 1.1% | ||||||||
Newcrest Finance Pty Ltd. | ||||||||
3.25% due 05/13/303 | 460,000 | 439,903 | ||||||
4.20% due 05/13/503 | 220,000 | 213,961 | ||||||
Anglo American Capital plc | ||||||||
5.63% due 04/01/303 | 200,000 | 220,438 | ||||||
2.63% due 09/10/303 | 200,000 | 181,342 | ||||||
Alcoa Nederland Holding BV | ||||||||
5.50% due 12/15/273 | 200,000 | 207,016 | ||||||
Minerals Technologies, Inc. | ||||||||
5.00% due 07/01/283 | 190,000 | 180,975 | ||||||
INEOS Quattro Finance 2 plc | ||||||||
3.38% due 01/15/263 | 150,000 | 139,658 | ||||||
Yamana Gold, Inc. | ||||||||
2.63% due 08/15/31 | 150,000 | 134,361 | ||||||
Reliance Steel & Aluminum Co. | ||||||||
2.15% due 08/15/30 | 100,000 | 89,640 | ||||||
Valvoline, Inc. | ||||||||
4.25% due 02/15/303 | 50,000 | 45,629 | ||||||
Total Basic Materials | 1,852,923 | |||||||
Utilities - 0.9% | ||||||||
Cheniere Corpus Christi Holdings LLC | ||||||||
3.52% due 12/31/39††† | 800,000 | 733,514 | ||||||
AES Corp. | ||||||||
3.95% due 07/15/303 | 220,000 | 217,944 | ||||||
NRG Energy, Inc. | ||||||||
2.45% due 12/02/273 | 200,000 | 184,461 | ||||||
Enel Finance International N.V. | ||||||||
2.88% due 07/12/413 | 200,000 | 164,816 | ||||||
Clearway Energy Operating LLC | ||||||||
3.75% due 02/15/313 | 100,000 | 93,510 |
Series E (Total Return Bond Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Face Amount~ | Value | |||||||
CORPORATE BONDS†† - 39.4% (continued) | ||||||||
Utilities - 0.9% (continued) | ||||||||
Xcel Energy, Inc. | ||||||||
2.35% due 11/15/31 | 60,000 | $ | 54,549 | |||||
Total Utilities | 1,448,794 | |||||||
Total Corporate Bonds | ||||||||
(Cost $69,070,358) | 64,729,224 |
ASSET-BACKED SECURITIES†† - 20.5% | ||||||||
Collateralized Loan Obligations - 13.0% | ||||||||
Octagon Investment Partners 49 Ltd. | ||||||||
2021-5A, 1.79% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 01/15/33◊,3 | 1,750,000 | 1,730,806 | ||||||
BXMT Ltd. | ||||||||
2020-FL2, 1.32% (30 Day Average SOFR + 1.26%, Rate Floor: 1.15%) due 02/15/38◊ | 1,000,000 | 984,385 | ||||||
2020-FL3, 2.72% (30 Day Average SOFR + 2.66%, Rate Floor: 2.55%) due 11/15/37◊,3 | 250,000 | 246,697 | ||||||
LoanCore Issuer Ltd. | ||||||||
2019-CRE2, 1.90% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/36◊,3 | 550,000 | 548,773 | ||||||
2021-CRE6, 2.49% (1 Month USD LIBOR + 2.30%, Rate Floor: 2.30%) due 11/15/38◊,3 | 500,000 | 489,309 | ||||||
Cerberus Loan Funding XXX, LP | ||||||||
2020-3A, 2.09% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 01/15/33◊,3 | 1,000,000 | 1,004,481 | ||||||
Woodmont Trust | ||||||||
2020-7A, 2.14% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/15/32◊,3 | 1,000,000 | 1,004,162 | ||||||
ABPCI Direct Lending Fund CLO II LLC | ||||||||
2021-1A, 1.85% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/20/32◊,3 | 1,000,000 | 1,000,100 | ||||||
Palmer Square Loan Funding Ltd. | ||||||||
2022-1A, 1.74% (3 Month Term SOFR + 1.60%, Rate Floor: 1.60%) due 04/15/30◊,3 | 1,000,000 | 1,000,000 | ||||||
MidOcean Credit CLO VII | ||||||||
2020-7A, 1.69% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 07/15/29◊,3 | 1,000,000 | 991,624 | ||||||
LCCM Trust | ||||||||
2021-FL3, 1.85% (1 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 11/15/38◊,3 | 600,000 | 593,604 | ||||||
2021-FL3, 2.20% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 11/15/38◊,3 | 400,000 | 393,999 | ||||||
Golub Capital Partners CLO 36M Ltd. | ||||||||
2018-36A, 1.62% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 02/05/31◊,3 | 850,000 | 837,505 | ||||||
Dryden 37 Senior Loan Fund | ||||||||
2015-37A, due 01/15/313,7 | 1,000,000 | 820,944 | ||||||
Golub Capital Partners CLO 33M Ltd. | ||||||||
2021-33A, 2.36% (3 Month USD LIBOR + 1.86%, Rate Floor: 1.86%) due 08/25/33◊,3 | 750,000 | 749,638 | ||||||
STWD Ltd. | ||||||||
2019-FL1, 2.02% (1 Month Term SOFR + 1.71%, Rate Floor: 1.60%) due 07/15/38◊ | 750,000 | 743,060 | ||||||
Fortress Credit Opportunities XI CLO Ltd. | ||||||||
2018-11A, 1.54% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 04/15/31◊,3 | 750,000 | 738,255 | ||||||
ABPCI Direct Lending Fund CLO I LLC | ||||||||
2021-1A, 1.95% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/20/33◊,3 | 500,000 | 502,063 | ||||||
THL Credit Lake Shore MM CLO I Ltd. | ||||||||
2021-1A, 1.94% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/15/33◊,3 | 500,000 | 501,155 | ||||||
Golub Capital Partners CLO 16 Ltd. | ||||||||
2021-16A, 1.87% (3 Month USD LIBOR + 1.61%, Rate Floor: 1.61%) due 07/25/33◊,3 | 500,000 | 497,728 |
Series E (Total Return Bond Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Face Amount~ | Value | |||||||
ASSET-BACKED SECURITIES†† - 20.5% (continued) | ||||||||
Collateralized Loan Obligations - 13.0% (continued) | ||||||||
Cerberus Loan Funding XXVI, LP | ||||||||
2021-1A, 1.74% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/31◊,3 | 500,000 | $ | 497,461 | |||||
GPMT Ltd. | ||||||||
2019-FL2, 2.35% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 02/22/36◊ | 500,000 | 497,459 | ||||||
ABPCI Direct Lending Fund CLO V Ltd. | ||||||||
2021-5A, 1.75% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/20/31◊,3 | 500,000 | 496,909 | ||||||
Golub Capital Partners CLO 54M L.P | ||||||||
2021-54A, 2.97% (3 Month USD LIBOR + 2.65%, Rate Floor: 2.65%) due 08/05/33◊,3 | 500,000 | 492,279 | ||||||
Cerberus Loan Funding XXXIII, LP | ||||||||
2021-3A, 2.09% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 07/23/33◊,3 | 500,000 | 491,613 | ||||||
HERA Commercial Mortgage Ltd. | ||||||||
2021-FL1, 2.07% (1 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 02/18/38◊,3 | 500,000 | 491,465 | ||||||
CHCP Ltd. | ||||||||
2021-FL1, 2.27% (30 Day Average SOFR + 2.21%, Rate Floor: 2.10%) due 02/15/38◊ | 500,000 | 488,873 | ||||||
KREF | ||||||||
2021-FL2, 2.44% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/15/39◊,3 | 500,000 | 483,540 | ||||||
Wellfleet CLO Ltd. | ||||||||
2020-2A, 1.31% (3 Month USD LIBOR + 1.06%, Rate Floor: 0.00%) due 10/20/29◊,3 | 477,703 | 475,842 | ||||||
Cerberus Loan Funding XXXVI, LP | ||||||||
2021-6A, 1.64% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 11/22/33◊,3 | 393,567 | 391,481 | ||||||
Treman Park CLO Ltd. | ||||||||
2015-1A, due 10/20/283,7 | 500,000 | 391,097 | ||||||
ABPCI Direct Lending Fund CLO IV LLC | ||||||||
2.12% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/06/29◊,††† | 250,000 | 250,281 | ||||||
Golub Capital Partners CLO 17 Ltd. | ||||||||
2017-17A, 1.91% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/25/30◊,3 | 250,000 | 250,034 | ||||||
Diamond CLO Ltd. | ||||||||
2021-1A, 1.71% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/25/29◊,3 | 250,000 | 249,885 | ||||||
Halcyon Loan Advisors Funding Ltd. | ||||||||
2017-3A, 1.14% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 10/18/27◊,3 | 44,948 | 44,932 | ||||||
Copper River CLO Ltd. | ||||||||
2007-1A, due 01/20/217,8 | 600,000 | 120 | ||||||
Total Collateralized Loan Obligations | 21,371,559 | |||||||
Transport-Aircraft - 1.9% | ||||||||
Lunar Structured Aircraft Portfolio Notes | ||||||||
2021-1, 2.64% due 10/15/463 | 460,536 | 421,775 | ||||||
AASET Trust | ||||||||
2021-1A, 2.95% due 11/16/413 | 478,812 | 395,944 | ||||||
WAVE LLC | ||||||||
2019-1, 3.60% due 09/15/443 | 429,293 | 378,482 | ||||||
JOL Air Ltd. | ||||||||
2019-1, 3.97% due 04/15/443 | 407,700 | 371,064 | ||||||
Sapphire Aviation Finance II Ltd. | ||||||||
2020-1A, 3.23% due 03/15/403 | 400,402 | 361,100 | ||||||
Castlelake Aircraft Structured Trust | ||||||||
2021-1A, 3.47% due 01/15/463 | 371,590 | 343,852 | ||||||
Navigator Aircraft ABS Ltd. | ||||||||
2021-1, 2.77% due 11/15/463 | 244,792 | 225,426 | ||||||
Sprite Ltd. | ||||||||
2021-1, 3.75% due 11/15/463 | 242,425 | 223,336 |
Series E (Total Return Bond Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Face Amount~ | Value | |||||||
ASSET-BACKED SECURITIES†† - 20.5% (continued) | ||||||||
Transport-Aircraft - 1.9% (continued) | ||||||||
Raspro Trust | ||||||||
2005-1A, 1.18% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/24◊,3 | 219,914 | $ | 218,875 | |||||
Falcon Aerospace Ltd. | ||||||||
2017-1, 4.58% due 02/15/423 | 146,628 | 141,937 | ||||||
Total Transport-Aircraft | 3,081,791 | |||||||
Whole Business - 1.6% | ||||||||
Arbys Funding LLC | ||||||||
2020-1A, 3.24% due 07/30/503 | 985,000 | 939,554 | ||||||
Applebee's Funding LLC / IHOP Funding LLC | ||||||||
2019-1A, 4.72% due 06/05/493 | 495,000 | 493,620 | ||||||
Wingstop Funding LLC | ||||||||
2022-1A, 3.73% due 03/05/523 | 500,000 | 478,738 | ||||||
SERVPRO Master Issuer LLC | ||||||||
2021-1A, 2.39% due 04/25/513 | 496,250 | 446,234 | ||||||
ServiceMaster Funding LLC | ||||||||
2020-1, 3.34% due 01/30/513 | 247,500 | 223,800 | ||||||
Taco Bell Funding LLC | ||||||||
2016-1A, 4.97% due 05/25/463 | 95,250 | 96,853 | ||||||
Total Whole Business | 2,678,799 | |||||||
Net Lease - 1.5% | ||||||||
STORE Master Funding I-VII | ||||||||
2016-1A, 3.96% due 10/20/463 | 1,119,525 | 1,101,156 | ||||||
Capital Automotive REIT | ||||||||
2021-1A, 2.76% due 08/15/513 | 500,000 | 456,790 | ||||||
CMFT Net Lease Master Issuer LLC | ||||||||
2021-1, 3.44% due 07/20/513 | 400,000 | 365,237 | ||||||
CARS-DB4, LP | ||||||||
2020-1A, 3.81% due 02/15/503 | 249,010 | 246,612 | ||||||
CF Hippolyta LLC | ||||||||
2020-1, 2.28% due 07/15/603 | 230,126 | 217,031 | ||||||
Total Net Lease | 2,386,826 | |||||||
Collateralized Debt Obligations - 1.3% | ||||||||
Anchorage Credit Funding Ltd. | ||||||||
2021-13A, 2.88% due 07/27/393 | 1,000,000 | 980,841 | ||||||
Anchorage Credit Funding 4 Ltd. | ||||||||
2021-4A, 2.72% due 04/27/393 | 750,000 | 730,952 | ||||||
Anchorage Credit Funding 3 Ltd. | ||||||||
2021-3A, 2.87% due 01/28/393 | 500,000 | 474,610 | ||||||
Total Collateralized Debt Obligations | 2,186,403 | |||||||
Financial - 0.9% | ||||||||
Oxford Finance Funding | ||||||||
2020-1A, 3.10% due 02/15/283 | 478,293 | 478,735 | ||||||
Madison Avenue Secured Funding Trust Series | ||||||||
2021-1, 1.96% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/17/23◊,†††,3 | 450,000 | 450,000 | ||||||
KKR Core Holding Company LLC | ||||||||
4.00% due 08/12/31††† | 211,867 | 200,544 | ||||||
Nassau LLC | ||||||||
2019-1, 3.98% due 08/15/343 | 177,187 | 174,076 | ||||||
Lightning A | ||||||||
5.50% due 03/01/37††† | 88,000 | 88,000 | ||||||
Thunderbird A | ||||||||
5.50% due 03/01/37††† | 80,000 | 80,000 | ||||||
Total Financial | 1,471,355 | |||||||
Infrastructure - 0.2% | ||||||||
VB-S1 Issuer LLC - VBTEL | ||||||||
2022-1A, 4.29% due 02/15/523 | 250,000 | 243,502 | ||||||
Transport-Container - 0.1% | ||||||||
Textainer Marine Containers VII Ltd. | ||||||||
2020-1A, 2.73% due 08/21/453 | 209,276 | 202,729 | ||||||
Total Asset-Backed Securities | ||||||||
(Cost $34,391,669) | 33,622,964 |
U.S. GOVERNMENT SECURITIES†† - 12.5% | ||||||||
U.S. Treasury Notes | ||||||||
1.88% due 02/15/329 | 14,500,000 | 13,924,531 | ||||||
U.S. Treasury Bonds | ||||||||
2.00% due 08/15/5114 | 4,500,000 | 4,059,844 | ||||||
1.88% due 11/15/51 | 2,250,000 | 1,973,672 | ||||||
1.88% due 02/15/51 | 600,000 | 524,273 | ||||||
Total U.S. Government Securities | ||||||||
(Cost $21,623,793) | 20,482,320 |
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 11.3% | ||||||||
Residential Mortgage-Backed Securities - 7.2% | ||||||||
PRPM LLC | ||||||||
2022-1, 3.72% due 02/25/273,10 | 500,000 | 491,146 | ||||||
2021-5, 1.79% due 06/25/263,10 | 456,023 | 432,199 |
Series E (Total Return Bond Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Face Amount~ | Value | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 11.3% (continued) | ||||||||
Residential Mortgage-Backed Securities - 7.2% (continued) | ||||||||
Starwood Mortgage Residential Trust | ||||||||
2020-1, 2.41% (WAC) due 02/25/50◊,3 | 924,890 | $ | 904,491 | |||||
Legacy Mortgage Asset Trust | ||||||||
2021-GS5, 2.25% due 07/25/673,10 | 468,624 | 446,333 | ||||||
2021-GS3, 1.75% due 07/25/613,10 | 447,896 | 426,339 | ||||||
Ameriquest Mortgage Securities Trust | ||||||||
2006-M3, 0.62% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 10/25/36◊ | 2,148,405 | 826,689 | ||||||
JP Morgan Mortgage Acquisition Trust | ||||||||
2006-WMC4, 0.58% (1 Month USD LIBOR + 0.12%, Rate Floor: 0.12%) due 12/25/36◊ | 1,302,909 | 787,065 | ||||||
FKRT | ||||||||
2.21% due 11/30/58†††,8 | 750,000 | 722,250 | ||||||
Home Equity Loan Trust | ||||||||
2007-FRE1, 0.65% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/37◊ | 627,097 | 599,648 | ||||||
CSMC Trust | ||||||||
2020-RPL5, 3.02% (WAC) due 08/25/60◊,3 | 561,116 | 549,756 | ||||||
Towd Point Revolving Trust | ||||||||
4.83% due 09/25/648 | 500,000 | 500,414 | ||||||
First Franklin Mortgage Loan Trust 2006-FF16 | ||||||||
2006-FF16, 0.88% (1 Month USD LIBOR + 0.42%, Rate Floor: 0.42%) due 12/25/36◊ | 931,185 | 495,599 | ||||||
ZH Trust | ||||||||
2021-1, 2.25% due 02/18/273 | 500,000 | 490,919 | ||||||
BRAVO Residential Funding Trust | ||||||||
2022-R1, 3.13% due 01/29/703,10 | 496,856 | 469,846 | ||||||
LSTAR Securities Investment Ltd. | ||||||||
2021-1, 2.03% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/26◊,8 | 255,221 | 253,124 | ||||||
2021-2, 1.93% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/26◊,8 | 216,229 | 214,679 | ||||||
NovaStar Mortgage Funding Trust Series | ||||||||
2007-2, 0.66% (1 Month USD LIBOR + 0.20%, Rate Cap/Floor: 11.00%/0.20%) due 09/25/37◊ | 478,133 | 466,428 | ||||||
OSAT Trust | ||||||||
2021-RPL1, 2.12% due 05/25/653,10 | 486,559 | 465,550 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
2021-RPL9, 2.44% (WAC) due 02/25/61◊,3 | 483,751 | 459,907 | ||||||
Master Asset-Backed Securities Trust | ||||||||
2006-WMC4, 0.61% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 10/25/36◊ | 1,156,982 | 454,894 | ||||||
HarborView Mortgage Loan Trust | ||||||||
2006-14, 0.60% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 01/25/47◊ | 372,108 | 344,696 | ||||||
Wachovia Asset Securitization Issuance II LLC Trust | ||||||||
2007-HE2A, 0.59% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 07/25/37◊,3 | 337,121 | 323,882 | ||||||
American Home Mortgage Investment Trust | ||||||||
2007-1, 2.08% due 05/25/4711 | 1,897,185 | 297,654 | ||||||
Imperial Fund Mortgage Trust | ||||||||
2022-NQM2, 4.20% (WAC) due 03/25/67◊,3 | 200,000 | 197,382 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust | ||||||||
2006-AR9, 0.98% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/46◊ | 217,081 | 188,020 | ||||||
UCFC Manufactured Housing Contract | ||||||||
1997-2, 7.38% due 10/15/28 | 49,983 | 49,414 |
Series E (Total Return Bond Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Face Amount~ | Value | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 11.3% (continued) | ||||||||
Residential Mortgage-Backed Securities - 7.2% (continued) | ||||||||
Morgan Stanley Re-REMIC Trust | ||||||||
2010-R5, 2.24% due 06/26/363 | 44,451 | $ | 40,930 | |||||
Total Residential Mortgage-Backed Securities | 11,899,254 | |||||||
Commercial Mortgage Backed Securities - 1.5% | ||||||||
BX Commercial Mortgage Trust | ||||||||
2022-LP2, 2.01% (1 Month Term SOFR + 1.96%, Rate Floor: 1.96%) due 02/15/39◊,3 | 500,000 | 488,723 | ||||||
2021-VOLT, 2.40% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 09/15/36◊,3 | 350,000 | 336,711 | ||||||
GS Mortgage Securities Trust | ||||||||
2020-GC45, 0.67% (WAC) due 02/13/53◊,11 | 9,968,346 | 406,116 | ||||||
Extended Stay America Trust | ||||||||
2021-ESH, 2.65% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/15/38◊,3 | 248,471 | 244,727 | ||||||
Life Mortgage Trust | ||||||||
2021-BMR, 2.75% (1 Month USD LIBOR + 2.35%, Rate Floor: 2.35%) due 03/15/38◊,3 | 245,743 | 235,285 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
2016-NXS5, 1.43% (WAC) due 01/15/59◊,11 | 3,737,631 | 158,446 | ||||||
2015-NXS1, 2.63% due 05/15/48 | 19,865 | 19,851 | ||||||
CFCRE Commercial Mortgage Trust | ||||||||
2016-C3, 0.99% (WAC) due 01/10/48◊,11 | 5,504,127 | 174,272 | ||||||
Citigroup Commercial Mortgage Trust | ||||||||
2016-GC37, 1.69% (WAC) due 04/10/49◊,11 | 3,103,452 | 164,304 | ||||||
COMM Mortgage Trust | ||||||||
2015-CR26, 0.92% (WAC) due 10/10/48◊,11 | 6,075,069 | 157,537 | ||||||
Total Commercial Mortgage Backed Securities | 2,385,972 | |||||||
Government Agency - 1.4% | ||||||||
Fannie Mae | ||||||||
3.83% due 05/01/49 | 1,000,000 | 1,055,002 | ||||||
2.41% due 12/01/41 | 1,000,000 | 870,696 | ||||||
Fannie Mae-Aces | ||||||||
1.46% (WAC) due 03/25/35◊,11 | 3,408,880 | 400,407 | ||||||
Total Government Agency | 2,326,105 | |||||||
Military Housing - 1.2% | ||||||||
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates | ||||||||
2015-R1, 4.66% (WAC) due 11/25/55◊,†††,3 | 928,075 | 1,023,275 | ||||||
GMAC Commercial Mortgage Asset Corp. | ||||||||
2007-HCKM, 6.11% due 08/10/52†††,3 | 931,438 | 1,014,252 | ||||||
Total Military Housing | 2,037,527 | |||||||
Total Collateralized Mortgage Obligations | ||||||||
(Cost $19,478,608) | 18,648,858 |
SENIOR FLOATING RATE INTERESTS††,◊ - 5.4% | ||||||||||||
Consumer, Cyclical - 1.1% | ||||||||||||
MB2 Dental Solutions LLC | ||||||||||||
7.00% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 01/29/27††† | 382,927 | 376,762 | ||||||||||
7.16% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 01/29/27††† | 117,498 | 115,606 | ||||||||||
BGIS (BIFM CA Buyer, Inc.) | ||||||||||||
3.96% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26††† | 294,078 | 288,932 | ||||||||||
Zephyr Bidco Ltd. | ||||||||||||
5.47% (1 Month GBP SONIA + 4.75%, Rate Floor: 5.23%) due 07/23/25 | GBP | 200,000 | 256,051 | |||||||||
Mavis Tire Express Services TopCo Corp. | ||||||||||||
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 05/04/28 | 199,000 | 197,480 | ||||||||||
CNT Holdings I Corp. | ||||||||||||
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 11/08/27 | 198,000 | 196,721 | ||||||||||
Pacific Bells, LLC | ||||||||||||
5.00% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.00%) due 11/10/28††† | 148,082 | 146,416 | ||||||||||
SP PF Buyer LLC | ||||||||||||
4.96% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 12/22/25 | 148,092 | 140,502 |
Series E (Total Return Bond Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Face Amount~ | Value | |||||||
SENIOR FLOATING RATE INTERESTS††,◊ - 5.4% (continued) | ||||||||
Consumer, Cyclical - 1.1% (continued) | ||||||||
New Trojan Parent, Inc. | ||||||||
3.75% ((1 Month USD LIBOR + 3.25%) and (3 Month USD LIBOR + 3.25%), Rate Floor: 3.75%) due 01/06/28 | 99,250 | $ | 95,900 | |||||
Total Consumer, Cyclical | 1,814,370 | |||||||
Industrial - 1.0% | ||||||||
Charter Next Generation, Inc. | ||||||||
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/01/27 | 396,000 | 393,525 | ||||||
Mileage Plus Holdings LLC | ||||||||
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27 | 250,000 | 259,063 | ||||||
American Bath Group LLC | ||||||||
4.25% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 11/23/27 | 257,434 | 249,752 | ||||||
TK Elevator Midco GmbH | ||||||||
4.02% (6 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 07/30/27 | 197,512 | 195,415 | ||||||
Air Canada | ||||||||
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 08/11/28 | 150,000 | 148,437 | ||||||
Berry Global, Inc. | ||||||||
2.07% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 07/01/26 | 134,041 | 131,967 | ||||||
TransDigm, Inc. | ||||||||
2.71% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 12/09/25 | 127,714 | 125,479 | ||||||
Anchor Packaging LLC | ||||||||
4.46% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 07/20/26 | 98,481 | 96,511 | ||||||
Service Logic Acquisition, Inc. | ||||||||
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 10/29/27 | 91,751 | 90,680 | ||||||
Total Industrial | 1,690,829 | |||||||
Financial - 1.0% | ||||||||
Citadel Securities, LP | ||||||||
2.93% (1 Month USD Term SOFR + 2.50%, Rate Floor: 2.50%) due 02/02/28 | 446,625 | 443,673 | ||||||
Jane Street Group LLC | ||||||||
3.21% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/26/28 | 296,250 | 291,622 | ||||||
Higginbotham Insurance Agency, Inc. | ||||||||
6.25% (1 Month USD LIBOR + 5.50%, Rate Floor: 6.25%) due 11/25/26††† | 210,113 | 207,676 | ||||||
Trans Union LLC | ||||||||
2.75% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 12/01/28 | 173,694 | 172,174 | ||||||
HighTower Holding LLC | ||||||||
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/21/28 | 149,250 | 147,757 | ||||||
USI, Inc. | ||||||||
4.26% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 12/02/26 | 147,739 | 146,384 | ||||||
Duff & Phelps | ||||||||
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 04/09/27 | 98,496 | 97,881 | ||||||
AmWINS Group, Inc. | ||||||||
3.00% (1 Month USD LIBOR + 2.25%, Rate Floor: 3.00%) due 02/21/28 | 98,750 | 97,022 | ||||||
Total Financial | 1,604,189 | |||||||
Consumer, Non-cyclical - 0.9% | ||||||||
Del Monte Foods, Inc. | ||||||||
due 02/16/29 | 250,000 | 245,938 | ||||||
Energizer Holdings, Inc. | ||||||||
2.75% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 12/22/27 | 247,500 | 243,169 | ||||||
Quirch Foods Holdings LLC | ||||||||
5.50% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 10/27/27 | 198,992 | 197,500 | ||||||
Mission Veterinary Partners | ||||||||
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/27/28 | 149,250 | 147,384 | ||||||
Southern Veterinary Partners LLC | ||||||||
5.00% (6 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27 | 148,215 | 146,918 | ||||||
HAH Group Holding Co. LLC | ||||||||
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 10/29/27 | 148,550 | 146,322 | ||||||
Avantor Funding, Inc. | ||||||||
2.75% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 11/08/27 | 98,754 | 97,854 | ||||||
Sunshine Investments B.V. | ||||||||
3.22% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 03/28/25 | 97,980 | 97,000 |
Series E (Total Return Bond Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Face Amount~ | Value | |||||||||||
SENIOR FLOATING RATE INTERESTS††,◊ - 5.4% (continued) | ||||||||||||
Consumer, Non-cyclical - 0.9% (continued) | ||||||||||||
Elanco Animal Health, Inc. | ||||||||||||
1.98% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/02/27 | 94,452 | $ | 92,829 | |||||||||
National Mentor Holdings, Inc. | ||||||||||||
4.64% ((1 Month USD LIBOR + 3.75%) and (3 Month USD LIBOR + 3.75%), Rate Floor: 4.50%) due 03/02/28 | 94,856 | 91,602 | ||||||||||
Total Consumer, Non-cyclical | 1,506,516 | |||||||||||
Technology - 0.8% | ||||||||||||
Datix Bidco Ltd. | ||||||||||||
4.96% (6 Month GBP LIBOR + 4.50%, Rate Floor: 4.50%) due 04/28/25††† | GBP | 300,000 | 392,368 | |||||||||
Planview Parent, Inc. | ||||||||||||
5.01% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/17/27 | 246,875 | 243,480 | ||||||||||
Peraton Corp. | ||||||||||||
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28 | 243,028 | 240,977 | ||||||||||
Nielsen Finance LLC | ||||||||||||
2.31% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 10/04/23 | 210,946 | 210,617 | ||||||||||
Apttus Corp. | ||||||||||||
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/08/28 | 99,500 | 99,085 | ||||||||||
Dun & Bradstreet | ||||||||||||
3.70% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/06/26 | 98,502 | 97,464 | ||||||||||
Total Technology | 1,283,991 | |||||||||||
Utilities - 0.2% | ||||||||||||
Hamilton Projects Acquiror LLC | ||||||||||||
5.51% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 06/17/27 | 385,113 | 377,091 | ||||||||||
Basic Materials - 0.2% | ||||||||||||
Illuminate Buyer LLC | ||||||||||||
3.96% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/30/27 | 234,976 | 226,901 | ||||||||||
GrafTech Finance, Inc. | ||||||||||||
3.50% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 02/12/25 | 71,752 | 70,765 | ||||||||||
Total Basic Materials | 297,666 | |||||||||||
Communications - 0.1% | ||||||||||||
Syndigo LLC | ||||||||||||
5.25% (6 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 12/15/27††† | 198,000 | 195,030 | ||||||||||
Authentic Brands | ||||||||||||
due 12/10/28 | 53,731 | 52,791 | ||||||||||
Total Communications | 247,821 | |||||||||||
Energy - 0.1% | ||||||||||||
ITT Holdings LLC | ||||||||||||
3.25% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 07/10/28 | 97,510 | 96,047 | ||||||||||
Total Senior Floating Rate Interests | ||||||||||||
(Cost $8,985,672) | 8,918,520 |
FEDERAL AGENCY BONDS†† - 1.6% | ||||||||
Tennessee Valley Authority | ||||||||
4.25% due 09/15/65 | 1,000,000 | 1,215,606 | ||||||
5.38% due 04/01/56 | 750,000 | 1,072,408 | ||||||
Tennessee Valley Authority Principal Strips | ||||||||
due 01/15/4812,13 | 500,000 | 207,441 | ||||||
Freddie Mac | ||||||||
due 11/15/3812 | 100,000 | 59,474 | ||||||
Total Federal Agency Bonds | ||||||||
(Cost $2,625,799) | 2,554,929 |
MUNICIPAL BONDS†† - 0.8% | ||||||||
New York - 0.3% | ||||||||
Westchester County Local Development Corp. Revenue Bonds | ||||||||
3.85% due 11/01/50 | 300,000 | 278,162 | ||||||
Port Authority of New York & New Jersey Revenue Bonds | ||||||||
3.14% due 02/15/51 | 275,000 | 247,146 | ||||||
Total New York | 525,308 | |||||||
Illinois - 0.3% | ||||||||
State of Illinois General Obligation Unlimited | ||||||||
5.65% due 12/01/38 | 377,778 | 426,771 | ||||||
Texas - 0.2% | ||||||||
City of San Antonio Texas Electric & Gas Systems Revenue Bonds | ||||||||
2.91% due 02/01/48 | 500,000 | 425,126 | ||||||
Total Municipal Bonds | ||||||||
(Cost $1,459,335) | 1,377,205 |
Series E (Total Return Bond Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Contracts/Notional Value | Value | |||||||||||
OTC OPTIONS PURCHASED†† - 0.0% | ||||||||||||
Call Options on: | ||||||||||||
Interest Rate Options | ||||||||||||
Bank of America, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40 | USD | $ | 40,900,000 | $ | 5,317 | |||||||
Morgan Stanley Capital Services LLC 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40 | USD | 16,900,000 | 2,197 | |||||||||
Goldman Sachs International 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61 | USD | 14,200,000 | 710 | |||||||||
Bank of America, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61 | USD | 4,500,000 | 225 | |||||||||
Total OTC Options Purchased | ||||||||||||
(Cost $162,795) | 8,449 | |||||||||||
Total Investments - 103.1% | ||||||||||||
(Cost $177,585,440) | $ | 169,371,691 |
LISTED OPTIONS WRITTEN† - 0.0% | ||||||||
Call Options on: | ||||||||
Equity Options | ||||||||
Figs, Inc. Expiring December 2022 with strike price of $55.00 (Notional Value $2,152) | 1 | (50 | ) | |||||
Figs, Inc. Expiring December 2022 with strike price of $50.00 (Notional Value $4,304) | 2 | (135 | ) | |||||
Total Listed Options Written | ||||||||
(Premiums received $3,216) | (185 | ) | ||||||
Other Assets & Liabilities, net - (3.1)% | (5,025,625 | ) | ||||||
Total Net Assets - 100.0% | $ | 164,345,881 |
Centrally Cleared Interest Rate Swap Agreements†† | |||||||||||||||||||||||||||||||
Counterparty | Exchange | Floating Rate Type | Floating Rate Index | Fixed Rate | Payment Frequency | Maturity Date | Notional Amount | Value | Upfront Premiums Paid | Unrealized Depreciation** | |||||||||||||||||||||
BofA Securities, Inc. | CME | Pay | Federal Funds Rate | 0.14 | % | Annually | 05/28/25 | $ | 5,000,000 | $ | (337,377 | ) | $ | 204 | $ | (337,581 | ) |
Forward Foreign Currency Exchange Contracts†† | ||||||||||||||||||||
Counterparty | Currency | Type | Quantity | Contract Amount | Settlement Date | Unrealized Depreciation | ||||||||||||||
Barclays Bank plc | GBP | Sell | 500,000 | 651,393 USD | 04/14/22 | $ | (5,391 | ) |
~ | The face amount is denominated in U.S. dollars unless otherwise indicated. |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). |
† | Value determined based on Level 1 inputs — See Note 3. |
†† | Value determined based on Level 2 inputs, unless otherwise noted — See Note 3. |
††† | Value determined based on Level 3 inputs — See Note 3. |
◊ | Variable rate security. Rate indicated is the rate effective at March 31, 2022. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
1 | Special Purpose Acquisition Company (SPAC). |
2 | Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date. |
3 | Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $70,860,151 (cost $74,436,992), or 43.1% of total net assets. |
4 | Affiliated issuer. |
5 | Rate indicated is the 7-day yield as of March 31, 2022. |
6 | Perpetual maturity. |
7 | Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates. |
8 | Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $1,690,587 (cost $1,721,439), or 1.0% of total net assets — See Note 6. |
9 | All or a portion of this security has been physically segregated or earmarked in connection with reverse repurchase agreements. At March 31, 2022, the total market value of segregated or earmarked security was $13,924,531 — See Note 2. |
10 | Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at March 31, 2022. See table below for additional step information for each security. |
11 | Security is an interest-only strip. |
12 | Zero coupon rate security. |
13 | Security is a principal-only strip. |
14 | All or a portion of this security is pledged as interest rate swap collateral at March 31, 2022. |
Series E (Total Return Bond Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
BofA — Bank of America |
CME — Chicago Mercantile Exchange |
CMS — Constant Maturity Swap |
CMT — Constant Maturity Treasury |
GBP — British Pound |
LIBOR — London Interbank Offered Rate |
plc — Public Limited Company |
REMIC — Real Estate Mortgage Investment Conduit |
REIT — Real Estate Investment Trust |
SARL — Société à Responsabilité Limitée |
SOFR — Secured Overnight Financing Rate |
SONIA — Sterling Overnight Index Average |
WAC — Weighted Average Coupon |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund's investments at March 31, 2022 (See Note 3 in the Notes to Schedule of Investments): |
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 2,281,310 | $ | — | $ | — | $ | 2,281,310 | ||||||||
Preferred Stocks | — | 7,905,339 | — | 7,905,339 | ||||||||||||
Warrants | 18,155 | — | — | 18,155 | ||||||||||||
Mutual Funds | 6,515,346 | — | — | 6,515,346 | ||||||||||||
Money Market Fund | 2,309,072 | — | — | 2,309,072 | ||||||||||||
Corporate Bonds | — | 62,398,083 | 2,331,141 | 64,729,224 | ||||||||||||
Asset-Backed Securities | — | 32,554,139 | 1,068,825 | 33,622,964 | ||||||||||||
U.S. Government Securities | — | 20,482,320 | — | 20,482,320 | ||||||||||||
Collateralized Mortgage Obligations | — | 15,889,081 | 2,759,777 | 18,648,858 | ||||||||||||
Senior Floating Rate Interests | — | 7,195,730 | 1,722,790 | 8,918,520 | ||||||||||||
Federal Agency Bonds | — | 2,554,929 | — | 2,554,929 | ||||||||||||
Municipal Bonds | — | 1,377,205 | — | 1,377,205 | ||||||||||||
Options Purchased | — | 8,449 | — | 8,449 | ||||||||||||
Total Assets | $ | 11,123,883 | $ | 150,365,275 | $ | 7,882,533 | $ | 169,371,691 |
Investments in Securities (Liabilities) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Options Written | $ | 185 | $ | — | $ | — | $ | 185 | ||||||||
Interest Rate Swap Agreements** | — | 337,581 | — | 337,581 | ||||||||||||
Forward Foreign Currency Exchange Contracts** | — | 5,391 | — | 5,391 | ||||||||||||
Unfunded Loan Commitments (Note 5) | — | — | 9,111 | 9,111 | ||||||||||||
Total Liabilities | $ | 185 | $ | 342,972 | $ | 9,111 | $ | 352,268 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of the period end, reverse repurchase agreements of $9,593,773 are categorized as Level 2 within the disclosure hierarchy — See Note 2. |
Series E (Total Return Bond Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:
Category | Ending Balance at March 31, 2022 | Valuation Technique | Unobservable Inputs | Input Range | Weighted Average* | |||||||
Assets: | ||||||||||||
Asset-Backed Securities | $ | 450,000 | Third Party Pricing | Broker Quote | — | — | ||||||
Asset-Backed Securities | 250,281 | Option adjusted spread off third party pricing | Trade Price | — | — | |||||||
Asset-Backed Securities | 200,544 | Yield Analysis | Yield | 4.8% | — | |||||||
Asset-Backed Securities | 168,000 | Third Party Pricing | Trade Price | |||||||||
Collateralized Mortgage Obligations | 2,037,527 | Option adjusted spread off prior month end broker quote | Broker Quote | — | — | |||||||
Collateralized Mortgage Obligations | 722,250 | Model Price | Market Comparable Yields | 4.7% | — | |||||||
Corporate Bonds | 1,657,181 | Option adjusted spread off prior month end broker quote | Broker Quote | — | — | |||||||
Corporate Bonds | 673,960 | Third Party Pricing | Vendor Price | — | — | |||||||
Senior Floating Rate Interests | 1,092,412 | Yield Analysis | Yield | 5.6%-7.3% | 6.6% | |||||||
Senior Floating Rate Interests | 630,378 | Third Party Pricing | Broker Quote | — | — | |||||||
Total Assets | $ | 7,882,533 | ||||||||||
Liabilities: | ||||||||||||
Unfunded Loan Commitments | $ | 9,111 | Model Price | Purchase price | — | — |
* | Inputs are weighted by the fair value of the instruments. |
Significant changes in a quote, yield or market comparable yields would generally result in significant changes in the fair value of the security.
The Fund’s fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.
Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the period ended March 31, 2022, the Fund had securities with a total value of $885,348 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of $340,971 transfer out of Level 3 into Level 2 due to the availability of current and reliable market-based data provided by a third-party pricing service which utilizes significant observable inputs.
Summary of Fair Value Level 3 Activity
Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the period ended March 31, 2022:
Assets | Liabilities | |||||||||||||||||||||||
Asset-Backed Securities | Collateralized Mortgage Obligations | Corporate Bonds | Senior Floating Rate Interests | Total Assets | Unfunded Loan Commitments | |||||||||||||||||||
Beginning Balance | $ | 357,878 | $ | 2,953,298 | $ | 2,552,806 | $ | 1,609,782 | $ | 7,473,764 | $ | (4,803 | ) | |||||||||||
Purchases/(Receipts) | 278,000 | - | - | 37,540 | 315,540 | - | ||||||||||||||||||
(Sales, maturities and paydowns)/Fundings | (8,134 | ) | (4,639 | ) | - | (2,027 | ) | (14,800 | ) | 439 | ||||||||||||||
Amortization of premiums/discounts | - | (1,438 | ) | - | 867 | (571 | ) | (1,227 | ) | |||||||||||||||
Total realized gains (losses) included in earnings | - | - | - | - | - | 292 | ||||||||||||||||||
Total change in unrealized appreciation (depreciation) included in earnings | (8,919 | ) | (187,444 | ) | (221,665 | ) | (17,749 | ) | (435,777 | ) | (3,812 | ) | ||||||||||||
Transfers into Level 3 | 450,000 | - | - | 435,348 | 885,348 | - | ||||||||||||||||||
Transfers out of Level 3 | - | - | - | (340,971 | ) | (340,971 | ) | - | ||||||||||||||||
Ending Balance | $ | 1,068,825 | $ | 2,759,777 | $ | 2,331,141 | $ | 1,722,790 | $ | 7,882,533 | $ | (9,111 | ) | |||||||||||
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at March 31, 2022 | $ | (8,919 | ) | $ | (187,444 | ) | $ | (221,665 | ) | $ | (14,676 | ) | $ | (432,704 | ) | $ | (5,165 | ) |
Series E (Total Return Bond Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Step Coupon Bonds
The following table discloses additional information related to step coupon bonds held by the Fund. Certain securities are subject to multiple rate changes prior to maturity. For those securities, a range of rates and corresponding dates have been provided. Rates for all step coupon bonds held by the Fund are scheduled to increase, none are scheduled to decrease.
Name | Coupon Rate at Next Reset Date | Next Rate Reset Date | Future Reset Rate(s) | Future Reset Date(s) | ||||||||||
BRAVO Residential Funding Trust 2022-R1, 3.13% due 01/29/70 | 6.13 | % | 01/30/25 | — | — | |||||||||
Legacy Mortgage Asset Trust 2021-GS3, 1.75% due 07/25/61 | 4.75 | % | 05/26/24 | 5.75 | % | 05/26/25 | ||||||||
Legacy Mortgage Asset Trust 2021-GS5, 2.25% due 07/25/67 | 5.25 | % | 11/26/24 | 6.25 | % | 11/26/25 | ||||||||
OSAT Trust 2021-RPL1, 2.12% due 05/25/65 | 5.12 | % | 06/26/24 | 6.12 | % | 06/26/25 | ||||||||
PRPM LLC 2021-5, 1.79% due 06/25/26 | 4.79 | % | 06/26/24 | 5.79 | % | 06/26/25 |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments, result in that company being considered an affiliated issuer, as defined in the 1940 Act.
Transactions during the period ended March 31, 2022, in which the company is an affiliated issuer, were as follows: |
Security Name | Value 12/31/21 | Additions | Reductions | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 03/31/22 | Shares 03/31/22 | Investment Income | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Total Return Bond Fund — R6-Class | $ | 6,967,697 | $ | 48,637 | $ | – | $ | – | $ | (500,988 | ) | $ | 6,515,346 | 245,584 | $ | 49,513 |
Series F (Floating Rate Strategies Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Value | |||||||
COMMON STOCKS††† - 0.0% | ||||||||
Industrial - 0.0% | ||||||||
BP Holdco LLC*,1 | 11,609 | $ | 8,184 | |||||
Vector Phoenix Holdings, LP* | 11,609 | 3,193 | ||||||
API Heat Transfer Parent LLC* | 292,731 | 29 | ||||||
Total Industrial | 11,406 | |||||||
Total Common Stocks | ||||||||
(Cost $88,565) | 11,406 |
PREFERRED STOCKS††† - 0.0% | ||||||||
Industrial - 0.0% | ||||||||
API Heat Transfer Intermediate* | 36 | – | ||||||
Total Preferred Stocks | ||||||||
(Cost $28,949) | – |
EXCHANGE-TRADED FUNDS† - 2.0% | ||||||||
SPDR Blackstone Senior Loan ETF | 20,200 | 908,192 | ||||||
Total Exchange-Traded Funds | ||||||||
(Cost $901,253) | 908,192 |
MONEY MARKET FUND† - 10.0% | ||||||||
Federated Hermes U.S. Treasury Cash Reserves Fund — Institutional Shares, 0.10%2 | 4,567,091 | 4,567,091 | ||||||
Total Money Market Fund | ||||||||
(Cost $4,567,091) | 4,567,091 |
Face Amount~ | ||||||||
SENIOR FLOATING RATE INTERESTS††,◊ - 92.7% | ||||||||
Industrial - 22.5% | ||||||||
Berry Global, Inc. | ||||||||
2.07% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 07/01/26 | 547,879 | 539,403 | ||||||
Quikrete Holdings, Inc. | ||||||||
due 06/11/28 | 500,000 | 490,280 | ||||||
Beacon Roofing Supply, Inc. | ||||||||
2.71% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/19/28 | 496,250 | 488,275 | ||||||
Genesee & Wyoming, Inc. | ||||||||
3.01% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 12/30/26 | 492,728 | 486,722 | ||||||
TricorBraun Holdings, Inc. | ||||||||
3.75% (6 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 03/03/28 | 497,806 | 484,600 | ||||||
Gardner Denver, Inc. | ||||||||
2.21% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 03/01/27 | 490,000 | 481,121 | ||||||
Reynolds Group Holdings, Inc. | ||||||||
3.71% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/05/26 | 493,927 | 480,447 | ||||||
TransDigm, Inc. | ||||||||
2.71% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/30/25 | 487,510 | 478,218 | ||||||
Brown Group Holding LLC | ||||||||
3.51% (3 Month USD LIBOR + 2.50%, Rate Floor: 3.00%) due 06/07/28 | 484,271 | 477,007 | ||||||
Arcline FM Holdings LLC | ||||||||
5.50% (6 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 06/23/28 | 482,575 | 475,539 | ||||||
Hunter Douglas, Inc. | ||||||||
4.00% (3 Month USD Term SOFR + 3.50%, Rate Floor: 4.00%) due 02/26/29 | 450,000 | 440,437 | ||||||
Park River Holdings, Inc. | ||||||||
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 12/28/27 | 448,869 | 438,370 | ||||||
Cushman & Wakefield US Borrower LLC | ||||||||
3.21% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 08/21/25 | 443,216 | 436,568 | ||||||
Filtration Group Corp. | ||||||||
3.46% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/31/25 | 432,855 | 426,046 | ||||||
LTI Holdings, Inc. | ||||||||
3.96% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 09/08/25 | 389,939 | 380,596 | ||||||
WP CPP Holdings LLC | ||||||||
4.75% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 04/30/25 | 373,444 | 352,639 | ||||||
Engineered Machinery Holdings, Inc. | ||||||||
4.76% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 05/19/28 | 350,000 | 344,652 | ||||||
Charter Next Generation, Inc. | ||||||||
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/01/27 | 282,324 | 280,560 | ||||||
BWAY Holding Co. | ||||||||
3.48% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/03/24 | 252,779 | 248,881 | ||||||
Griffon Corporation | ||||||||
3.27% (3 Month USD Term SOFR + 2.75%, Rate Floor: 3.25%) due 01/24/29 | 200,000 | 197,688 | ||||||
STS Operating, Inc. (SunSource) | ||||||||
due 12/11/24 | 200,000 | 196,850 | ||||||
DG Investment Intermediate Holdings 2, Inc. | ||||||||
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 03/31/28 | 198,507 | 196,273 |
Series F (Floating Rate Strategies Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Face Amount~ | Value | |||||||
SENIOR FLOATING RATE INTERESTS††,◊ - 92.7% (continued) | ||||||||
Industrial - 22.5% (continued) | ||||||||
American Bath Group LLC | ||||||||
4.25% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 11/23/27 | 199,021 | $ | 193,082 | |||||
Titan Acquisition Ltd. (Husky) | ||||||||
3.35% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/28/25 | 192,499 | 188,032 | ||||||
Pro Mach Group, Inc. | ||||||||
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 08/31/28 | 187,151 | 186,114 | ||||||
Mileage Plus Holdings LLC | ||||||||
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27 | 150,500 | 155,956 | ||||||
PECF USS Intermediate Holding III Corp. | ||||||||
4.76% (3 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 12/15/28 | 154,613 | 152,957 | ||||||
Berlin Packaging LLC | ||||||||
4.28% ((1 Month USD LIBOR + 3.75%) and (3 Month USD LIBOR + 3.75%), Rate Floor: 4.25%) due 03/13/28 | 149,625 | 148,054 | ||||||
Air Canada | ||||||||
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 08/11/28 | 100,000 | 98,958 | ||||||
USIC Holding, Inc. | ||||||||
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 05/12/28 | 99,500 | 98,381 | ||||||
TK Elevator Midco GmbH | ||||||||
4.02% (6 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 07/30/27 | 98,756 | 97,707 | ||||||
API Heat Transfer | ||||||||
12.00% (3 Month USD LIBOR, Rate Floor: 0.00%) (in-kind rate was 12.00%) due 01/01/24†††,3 | 201,365 | 60,409 | ||||||
12.00% (3 Month USD LIBOR, Rate Floor: 0.00%) (in-kind rate was 12.00%) due 10/02/23†††,3 | 37,003 | 27,753 | ||||||
United Airlines, Inc. | ||||||||
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 04/21/28 | 80,423 | 79,351 | ||||||
Total Industrial | 10,307,926 | |||||||
Consumer, Non-cyclical - 21.3% | ||||||||
Agiliti | ||||||||
3.00% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/04/26††† | 498,715 | 494,974 | ||||||
Medline Borrower LP | ||||||||
3.75% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 10/23/28 | 500,000 | 494,750 | ||||||
Electron BidCo, Inc. | ||||||||
3.75% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 11/01/28 | 500,000 | 493,905 | ||||||
KDC US Holdings, Inc. | ||||||||
4.21% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 12/22/25 | 498,715 | 489,987 | ||||||
Aramark Services, Inc. | ||||||||
2.21% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 03/11/25 | 500,000 | 489,500 | ||||||
Froneri US, Inc. | ||||||||
2.71% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/29/27 | 491,250 | 481,690 | ||||||
VC GB Holdings I Corp. | ||||||||
4.51% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 07/21/28 | 498,750 | 481,294 | ||||||
Bombardier Recreational Products, Inc. | ||||||||
2.46% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 05/24/27 | 480,700 | 470,966 | ||||||
Elanco Animal Health, Inc. | ||||||||
1.98% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/02/27 | 472,262 | 464,144 | ||||||
Grifols Worldwide Operations USA, Inc. | ||||||||
2.46% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.11%) due 11/15/27 | 465,476 | 457,097 | ||||||
Hostess Brands LLC | ||||||||
3.00% ((1 Month USD LIBOR + 2.25%) and (3 Month USD LIBOR + 2.25%), Rate Floor: 3.00%) due 08/04/25 | 447,704 | 441,387 | ||||||
National Mentor Holdings, Inc. | ||||||||
4.64% ((1 Month USD LIBOR + 3.75%) and (3 Month USD LIBOR + 3.75%), Rate Floor: 4.50%) due 03/02/28 | 429,626 | 414,886 | ||||||
4.76% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/02/28 | 17,906 | 17,292 | ||||||
US Foods, Inc. | ||||||||
3.00% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 09/14/26 | 439,875 | 430,378 |
Series F (Floating Rate Strategies Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Face Amount~ | Value | |||||||
SENIOR FLOATING RATE INTERESTS††,◊ - 92.7% (continued) | ||||||||
Consumer, Non-cyclical - 21.3% (continued) | ||||||||
Medical Solutions Parent Holdings, Inc. | ||||||||
4.00% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/01/28 | 420,000 | $ | 415,800 | |||||
Triton Water Holdings, Inc. | ||||||||
4.51% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 03/31/28 | 397,000 | 386,579 | ||||||
Hearthside Group Holdings LLC | ||||||||
4.14% (1 Month USD LIBOR + 3.69%, Rate Floor: 3.69%) due 05/23/25 | 381,298 | 366,702 | ||||||
Phoenix Newco, Inc. | ||||||||
4.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/15/28 | 250,000 | 247,947 | ||||||
Mission Veterinary Partners | ||||||||
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/27/28 | 248,750 | 245,641 | ||||||
Energizer Holdings, Inc. | ||||||||
2.75% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 12/22/27 | 248,248 | 243,904 | ||||||
Reynolds Consumer Products LLC | ||||||||
2.21% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 02/04/27 | 222,410 | 218,438 | ||||||
Sigma Holding BV (Flora Food) | ||||||||
3.35% (6 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 07/02/25 | 240,625 | 217,852 | ||||||
Dermatology Intermediate Holdings III, Inc. | ||||||||
due 03/23/29 | 202,205 | 199,172 | ||||||
Avantor Funding, Inc. | ||||||||
2.75% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 11/08/27 | 199,000 | 197,187 | ||||||
Osmosis Holdings Australia II Pty Ltd. | ||||||||
4.25% (1 Week USD LIBOR + 3.75%, Rate Floor: 4.25%) due 07/31/28 | 100,000 | 98,969 | ||||||
due 07/31/28 | 81,481 | 80,565 | ||||||
Aveanna Healthcare LLC | ||||||||
4.25% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 07/17/28 | 161,858 | 157,367 | ||||||
Pearl Intermediate Parent LLC | ||||||||
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 02/14/25 | 149,235 | 148,302 | ||||||
Del Monte Foods, Inc. | ||||||||
due 02/16/29 | 150,000 | 147,562 | ||||||
Kronos Acquisition Holdings, Inc. | ||||||||
4.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/26 | 148,500 | 137,982 | ||||||
Endo Luxembourg Finance Company I SARL | ||||||||
5.75% (3 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 03/27/28 | 99,000 | 92,514 | ||||||
Total Consumer, Non-cyclical | 9,724,733 | |||||||
Consumer, Cyclical - 13.8% | ||||||||
1011778 BC Unlimited Liability Co. | ||||||||
2.21% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 11/19/26 | 541,615 | 529,315 | ||||||
Prime Security Services Borrower LLC | ||||||||
3.50% (3 Month USD LIBOR + 2.75%, Rate Floor: 3.50%) due 09/23/26 | 500,000 | 495,835 | ||||||
Hilton Worldwide Finance LLC | ||||||||
2.21% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/22/26 | 500,000 | 494,315 | ||||||
Station Casinos LLC | ||||||||
2.71% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.50%) due 02/08/27 | 497,432 | 490,110 | ||||||
Wyndham Hotels & Resorts, Inc. | ||||||||
2.21% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 05/30/25 | 492,946 | 487,928 | ||||||
Go Daddy Operating Company LLC | ||||||||
2.20% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 02/15/24 | 491,387 | 487,495 | ||||||
PCI Gaming Authority, Inc. | ||||||||
2.96% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 05/29/26 | 473,016 | 468,801 | ||||||
American Tire Distributors, Inc. | ||||||||
7.00% (3 Month USD LIBOR + 6.25%, Rate Floor: 7.00%) due 10/20/28 | 450,000 | 445,311 | ||||||
Stars Group (Amaya) | ||||||||
3.26% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/21/26 | 447,750 | 443,738 | ||||||
First Brands Group LLC | ||||||||
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 03/30/27 | 446,874 | 442,406 |
Series F (Floating Rate Strategies Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Face Amount~ | Value | |||||||
SENIOR FLOATING RATE INTERESTS††,◊ - 92.7% (continued) | ||||||||
Consumer, Cyclical - 13.8% (continued) | ||||||||
PetSmart LLC | ||||||||
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/11/28 | 348,250 | $ | 346,798 | |||||
IBC Capital Ltd. | ||||||||
4.67% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/11/23 | 335,041 | 327,083 | ||||||
Scientific Games Holdings, LP | ||||||||
due 02/03/29 | 250,000 | 247,410 | ||||||
Mavis Tire Express Services TopCo Corp. | ||||||||
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 05/04/28 | 149,250 | 148,110 | ||||||
Thevelia US LLC | ||||||||
due 02/09/29 | 150,000 | 147,750 | ||||||
WIRB - Copernicus Group, Inc. | ||||||||
5.01% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 01/08/27 | 99,747 | 99,206 | ||||||
Rent-A-Center, Inc. | ||||||||
3.81% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 02/17/28 | 99,250 | 97,079 | ||||||
WW International, Inc. | ||||||||
4.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 04/13/28 | 94,500 | 85,759 | ||||||
EG Finco Ltd. | ||||||||
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 02/07/25 | 37,574 | 36,903 | ||||||
Total Consumer, Cyclical | 6,321,352 | |||||||
Communications - 10.9% | ||||||||
SBA Senior Finance II LLC | ||||||||
2.21% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 04/11/25 | 548,575 | 541,186 | ||||||
CSC Holdings LLC | ||||||||
2.65% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/17/25 | 503,039 | 493,924 | ||||||
Level 3 Financing, Inc. | ||||||||
2.21% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 03/01/27 | 500,000 | 490,155 | ||||||
SFR Group S.A. | ||||||||
3.93% (3 Month USD LIBOR + 3.69%, Rate Floor: 3.69%) due 02/02/26 | 475,159 | 463,727 | ||||||
Playtika Holding Corp. | ||||||||
3.21% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 03/13/28 | 446,617 | 439,408 | ||||||
Virgin Media Bristol LLC | ||||||||
2.90% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 01/31/28 | 415,406 | 409,760 | ||||||
Ziggo Financing Partnership | ||||||||
2.90% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 04/28/28 | 400,000 | 393,564 | ||||||
Zayo Group Holdings, Inc. | ||||||||
3.46% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/09/27 | 401,527 | 390,384 | ||||||
McGraw Hill LLC | ||||||||
5.55% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.25%) due 07/28/28 | 348,250 | 344,224 | ||||||
Xplornet Communications, Inc. | ||||||||
4.50% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 10/02/28 | 298,500 | 292,467 | ||||||
Internet Brands, Inc. | ||||||||
3.96% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 09/13/24 | 244,135 | 240,847 | ||||||
Altice US Finance I Corp. | ||||||||
2.65% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/15/26 | 194,000 | 191,090 | ||||||
Authentic Brands | ||||||||
4.00% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/27/24 | 160,683 | 159,210 | ||||||
Cengage Learning Acquisitions, Inc. | ||||||||
5.75% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 07/14/26 | 149,250 | 147,852 | ||||||
Total Communications | 4,997,798 | |||||||
Financial - 10.7% | ||||||||
HUB International Ltd. | ||||||||
3.27% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 04/25/25 | 487,374 | 481,330 | ||||||
5.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 04/25/25 | 99,748 | 99,023 | ||||||
USI, Inc. | ||||||||
4.01% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/16/24 | 497,396 | 493,655 | ||||||
Alliant Holdings Intermediate LLC | ||||||||
3.71% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 05/09/25 | 497,416 | 491,377 | ||||||
AmWINS Group, Inc. | ||||||||
3.00% (1 Month USD LIBOR + 2.25%, Rate Floor: 3.00%) due 02/21/28 | 494,498 | 485,844 | ||||||
NFP Corp. | ||||||||
3.71% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/15/27 | 484,206 | 474,827 |
Series F (Floating Rate Strategies Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Face Amount~ | Value | |||||||||||
SENIOR FLOATING RATE INTERESTS††,◊ - 92.7% (continued) | ||||||||||||
Financial - 10.7% (continued) | ||||||||||||
Trans Union LLC | ||||||||||||
2.21% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 11/13/26 | 443,022 | $ | 436,044 | |||||||||
Virtu Financial | ||||||||||||
3.50% (1 Month USD Term SOFR + 3.00%, Rate Floor: 3.50%) due 01/13/29 | 400,000 | 395,500 | ||||||||||
FleetCor Technologies Operating Company LLC | ||||||||||||
2.21% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 04/28/28 | 398,998 | 391,661 | ||||||||||
Focus Financial Partners LLC | ||||||||||||
2.46% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/03/24 | 393,862 | 388,037 | ||||||||||
Citadel Securities, LP | ||||||||||||
2.93% (1 Month USD Term SOFR + 2.50%, Rate Floor: 2.50%) due 02/02/28 | 248,125 | 246,485 | ||||||||||
Aretec Group, Inc. | ||||||||||||
4.71% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 10/01/25 | 241,875 | 239,558 | ||||||||||
Franchise Group, Inc. | ||||||||||||
5.50% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 03/10/26 | 203,861 | 203,352 | ||||||||||
Jane Street Group LLC | ||||||||||||
3.21% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/26/28 | 79,386 | 78,146 | ||||||||||
Total Financial | 4,904,839 | |||||||||||
Technology - 9.5% | ||||||||||||
Emerald TopCo, Inc. (Press Ganey) | ||||||||||||
3.80% (3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/24/26 | 505,707 | 498,359 | ||||||||||
Informatica LLC | ||||||||||||
3.25% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 10/27/28 | 500,000 | 494,250 | ||||||||||
Boxer Parent Company, Inc. | ||||||||||||
4.76% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/02/25 | 467,503 | 464,292 | ||||||||||
Athenahealth Group, Inc. | ||||||||||||
4.00% (1 Month USD Term SOFR + 3.50%, Rate Floor: 4.00%) due 02/15/29 | 427,536 | 422,299 | ||||||||||
RealPage, Inc. | ||||||||||||
3.75% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 04/24/28 | 399,000 | 393,973 | ||||||||||
WEX, Inc. | ||||||||||||
2.71% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 03/31/28 | 396,000 | 390,698 | ||||||||||
Peraton Corp. | ||||||||||||
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28 | 291,634 | 289,172 | ||||||||||
Ascend Learning LLC | ||||||||||||
4.00% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 12/11/28 | 250,000 | 246,937 | ||||||||||
Project Ruby Ultimate Parent Corp. | ||||||||||||
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/10/28 | 198,000 | 195,822 | ||||||||||
Polaris Newco LLC | ||||||||||||
4.50% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 06/02/28 | 164,007 | 162,653 | ||||||||||
Atlas CC Acquisition Corp. | ||||||||||||
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/25/28 | 148,875 | 148,084 | ||||||||||
Sabre GLBL, Inc. | ||||||||||||
4.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 12/17/27 | 148,875 | 147,014 | ||||||||||
Conair Holdings LLC | ||||||||||||
4.76% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 05/17/28 | 149,250 | 146,638 | ||||||||||
TIBCO Software, Inc. | ||||||||||||
4.21% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 06/30/26 | 135,585 | 134,738 | ||||||||||
Entegris, Inc. | ||||||||||||
due 03/02/29 | 100,000 | 99,667 | ||||||||||
CoreLogic, Inc. | ||||||||||||
4.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 06/02/28 | 99,500 | 98,195 | ||||||||||
Total Technology | 4,332,791 | |||||||||||
Basic Materials - 3.6% | ||||||||||||
Diamond BC BV | ||||||||||||
3.25% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 09/29/28 | 498,750 | 488,027 | ||||||||||
Messer Industries USA, Inc. | ||||||||||||
2.96% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 03/02/26 | 491,551 | 484,109 | ||||||||||
CTEC III GmbH | ||||||||||||
due 01/19/29 | EUR | 400,000 | 438,119 | |||||||||
INEOS Ltd. | ||||||||||||
3.25% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 01/29/26 | 148,875 | 146,046 |
Series F (Floating Rate Strategies Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Face Amount~ | Value | |||||||
SENIOR FLOATING RATE INTERESTS††,◊ - 92.7% (continued) | ||||||||
Basic Materials - 3.6% (continued) | ||||||||
W.R. Grace Holdings LLC | ||||||||
4.81% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 09/22/28 | 99,750 | $ | 98,753 | |||||
Total Basic Materials | 1,655,054 | |||||||
Energy - 0.4% | ||||||||
TransMontaigne Operating Company LP | ||||||||
4.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/17/28 | 199,500 | 198,045 | ||||||
Total Senior Floating Rate Interests | ||||||||
(Cost $43,103,756) | 42,442,538 | |||||||
Total Investments - 104.7% | ||||||||
(Cost $48,689,614) | $ | 47,929,227 | ||||||
Other Assets & Liabilities, net - (4.7)% | (2,132,124 | ) | ||||||
Total Net Assets - 100.0% | $ | 45,797,103 |
~ | The face amount is denominated in U.S. dollars unless otherwise indicated. |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 3. |
†† | Value determined based on Level 2 inputs, unless otherwise noted — See Note 3. |
††† | Value determined based on Level 3 inputs — See Note 3. |
◊ | Variable rate security. Rate indicated is the rate effective at March 31, 2022. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
1 | Affiliated issuer. |
2 | Rate indicated is the 7-day yield as of March 31, 2022. |
3 | Payment-in-kind security. |
EUR — Euro |
LIBOR — London Interbank Offered Rate |
SARL — Société à Responsabilité Limitée |
SOFR — Secured Overnight Financing Rate |
See Sector Classification in Other Information section. |
Series F (Floating Rate Strategies Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
The following table summarizes the inputs used to value the Fund's investments at March 31, 2022 (See Note 3 in the Notes to Schedule of Investments): |
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | — | $ | — | $ | 11,406 | $ | 11,406 | ||||||||
Preferred Stocks | — | — | — | * | — | |||||||||||
Exchange-Traded Funds | 908,192 | — | — | 908,192 | ||||||||||||
Money Market Fund | 4,567,091 | — | — | 4,567,091 | ||||||||||||
Senior Floating Rate Interests | — | 41,859,402 | 583,136 | 42,442,538 | ||||||||||||
Total Assets | $ | 5,475,283 | $ | 41,859,402 | $ | 594,542 | $ | 47,929,227 |
Investments in Securities (Liabilities) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Unfunded Loan Commitments (Note 5) | $ | — | $ | — | $ | 3,581 | $ | 3,581 |
* | Security has a market value of $0. |
The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:
Category | Ending Balance at March 31, 2022 | Valuation Technique | Unobservable Inputs | Input Range | Weighted Average* | |||||||
Assets: | ||||||||||||
Common Stocks | $ | 11,377 | Enterprise Value | Valuation Multiple | 3.2x - 11.8x | 5.6x | ||||||
Common Stocks | 29 | Model Price | Liquidation Value | - | - | |||||||
Senior Floating Rate Interests | 583,136 | Third Party Pricing | Broker Quote | - | - | |||||||
Total Assets | $ | 594,542 | ||||||||||
Liabilities: | ||||||||||||
Unfunded Loan Commitments | $ | 3,581 | Model Price | Purchase price | - | - |
Significant changes in a quote, liquidation value or valuation multiple would generally result in significant changes in the fair value of the security. Any remaining Level 3 securities held by the Fund and excluded from the table above, were not considered material to the Fund.
The Fund’s fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.
Series F (Floating Rate Strategies Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Summary of Fair Value Level 3 Activity
Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the period ended March 31, 2022:
Assets | Liabilities | |||||||||||||||
Senior Floating Rate Interests | Common Stocks | Total Assets | Unfunded Loans Commitments | |||||||||||||
Beginning Balance | $ | 88,644 | $ | 11,406 | $ | 100,050 | $ | (1,735 | ) | |||||||
Purchases/(Receipts) | 507,069 | - | 507,069 | 1,465 | ||||||||||||
(Sales, maturities and paydowns)/Fundings | (1,285 | ) | - | (1,285 | ) | 47 | ||||||||||
Amortization of premiums/discounts | 21 | - | 21 | 362 | ||||||||||||
Total realized gains (losses) included in earnings | - | - | - | 45 | ||||||||||||
Total change in unrealized appreciation (depreciation) included in earnings | (11,313 | ) | - | (11,313 | ) | (3,765 | ) | |||||||||
Transfers into Level 3 | - | - | - | - | ||||||||||||
Transfers out of Level 3 | - | - | - | - | ||||||||||||
Ending Balance | $ | 583,136 | $ | 11,406 | $ | 594,542 | $ | (3,581 | ) | |||||||
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at March 31, 2022 | $ | (11,313 | ) | $ | - | $ | (11,313 | ) | $ | (2,511 | ) |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments, result in that company being considered an affiliated issuer, as defined in the 1940 Act.
Transactions during the period ended March 31, 2022, in which the company is an affiliated issuer, were as follows: |
Security Name | Value 12/31/21 | Additions | Reductions | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 03/31/22 | Shares 03/31/22 | |||||||||||||||||||||
Common Stock | ||||||||||||||||||||||||||||
BP Holdco LLC* | $ | 8,184 | $ | – | $ | – | $ | – | $ | – | $ | 8,184 | 11,609 |
* | Non-income producing security. |
Series J (StylePlus—Mid Growth Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Value | |||||||
COMMON STOCKS† - 17.1% | ||||||||
Technology - 3.5% | ||||||||
Genpact Ltd. | 9,854 | $ | 428,768 | |||||
Maximus, Inc. | 5,322 | 398,884 | ||||||
Power Integrations, Inc. | 3,277 | 303,712 | ||||||
Manhattan Associates, Inc.* | 2,133 | 295,868 | ||||||
Synaptics, Inc.* | 1,439 | 287,081 | ||||||
ACI Worldwide, Inc.* | 8,660 | 272,703 | ||||||
Lumentum Holdings, Inc.* | 2,694 | 262,934 | ||||||
CDK Global, Inc. | 5,333 | 259,611 | ||||||
Fair Isaac Corp.* | 500 | 233,230 | ||||||
Semtech Corp.* | 3,357 | 232,774 | ||||||
NetApp, Inc. | 2,773 | 230,159 | ||||||
Qualys, Inc.* | 1,577 | 224,581 | ||||||
CommVault Systems, Inc.* | 3,316 | 220,017 | ||||||
Diodes, Inc.* | 2,490 | 216,605 | ||||||
Akamai Technologies, Inc.* | 1,776 | 212,037 | ||||||
Teradata Corp.* | 4,273 | 210,616 | ||||||
Cirrus Logic, Inc.* | 2,328 | 197,391 | ||||||
Lattice Semiconductor Corp.* | 3,181 | 193,882 | ||||||
Concentrix Corp. | 1,163 | 193,709 | ||||||
Envestnet, Inc.* | 2,589 | 192,725 | ||||||
ExlService Holdings, Inc.* | 1,287 | 184,388 | ||||||
HP, Inc. | 5,079 | 184,368 | ||||||
Skyworks Solutions, Inc. | 1,359 | 181,128 | ||||||
Azenta, Inc. | 2,156 | 178,689 | ||||||
Blackbaud, Inc.* | 2,884 | 172,665 | ||||||
Amkor Technology, Inc. | 6,450 | 140,094 | ||||||
Qorvo, Inc.* | 1,073 | 133,159 | ||||||
MKS Instruments, Inc. | 848 | 127,200 | ||||||
Seagate Technology Holdings plc | 908 | 81,629 | ||||||
Total Technology | 6,450,607 | |||||||
Industrial - 3.1% | ||||||||
Builders FirstSource, Inc.* | 7,697 | 496,764 | ||||||
Jabil, Inc. | 6,131 | 378,467 | ||||||
Littelfuse, Inc. | 1,394 | 347,677 | ||||||
Eagle Materials, Inc. | 2,402 | 308,321 | ||||||
UFP Industries, Inc. | 3,703 | 285,723 | ||||||
nVent Electric plc | 8,187 | 284,744 | ||||||
Trinity Industries, Inc. | 8,131 | 279,381 | ||||||
Crane Co. | 2,565 | 277,738 | ||||||
Toro Co. | 3,187 | 272,457 | ||||||
Louisiana-Pacific Corp. | 4,247 | 263,824 | ||||||
Universal Display Corp. | 1,519 | 253,597 | ||||||
Lincoln Electric Holdings, Inc. | 1,811 | 249,574 | ||||||
National Instruments Corp. | 6,100 | 247,599 | ||||||
Acuity Brands, Inc. | 1,166 | 220,724 | ||||||
Lennox International, Inc. | 836 | 215,571 | ||||||
Simpson Manufacturing Company, Inc. | 1,789 | 195,073 | ||||||
Pentair plc | 3,596 | 194,939 | ||||||
TopBuild Corp.* | 1,005 | 182,297 | ||||||
Keysight Technologies, Inc.* | 1,034 | 163,341 | ||||||
Donaldson Company, Inc. | 2,921 | 151,688 | ||||||
Sealed Air Corp. | 2,234 | 149,589 | ||||||
Carlisle Companies, Inc. | 421 | 103,532 | ||||||
II-VI, Inc.* | 1,407 | 101,993 | ||||||
Masco Corp. | 1,705 | 86,955 | ||||||
Total Industrial | 5,711,568 | |||||||
Consumer, Non-cyclical - 3.0% | ||||||||
Halozyme Therapeutics, Inc.* | 8,658 | 345,281 | ||||||
Service Corporation International | 4,966 | 326,862 | ||||||
Neurocrine Biosciences, Inc.* | 3,445 | 322,969 | ||||||
Molina Healthcare, Inc.* | 938 | 312,907 | ||||||
Hologic, Inc.* | 4,037 | 310,122 | ||||||
Syneos Health, Inc.* | 3,684 | 298,220 | ||||||
Tenet Healthcare Corp.* | 3,264 | 280,573 | ||||||
Exelixis, Inc.* | 10,453 | 236,970 | ||||||
United Therapeutics Corp.* | 1,320 | 236,821 | ||||||
Tandem Diabetes Care, Inc.* | 2,003 | 232,929 | ||||||
Globus Medical, Inc. — Class A* | 2,922 | 215,585 | ||||||
Masimo Corp.* | 1,463 | 212,925 | ||||||
Incyte Corp.* | 2,405 | 191,005 | ||||||
Regeneron Pharmaceuticals, Inc.* | 271 | 189,272 | ||||||
Bruker Corp. | 2,852 | 183,384 | ||||||
Integra LifeSciences Holdings Corp.* | 2,611 | 167,783 | ||||||
Arrowhead Pharmaceuticals, Inc.* | 3,442 | 158,298 | ||||||
PerkinElmer, Inc. | 886 | 154,572 | ||||||
Bio-Rad Laboratories, Inc. — Class A* | 243 | 136,865 | ||||||
H&R Block, Inc. | 5,184 | 134,991 | ||||||
Waters Corp.* | 411 | 127,570 | ||||||
Vertex Pharmaceuticals, Inc.* | 487 | 127,092 | ||||||
Quidel Corp.* | 1,105 | 124,268 | ||||||
Darling Ingredients, Inc.* | 1,215 | 97,662 | ||||||
Avery Dennison Corp. | 554 | 96,379 | ||||||
Quest Diagnostics, Inc. | 700 | 95,802 | ||||||
Laboratory Corporation of America Holdings* | 351 | 92,545 | ||||||
Total Consumer, Non-cyclical | 5,409,652 | |||||||
Financial - 2.7% | ||||||||
East West Bancorp, Inc. | 6,809 | 538,081 | ||||||
UMB Financial Corp. | 4,326 | 420,314 | ||||||
PacWest Bancorp | 8,255 | 356,038 | ||||||
Interactive Brokers Group, Inc. — Class A | 5,346 | 352,355 | ||||||
ServisFirst Bancshares, Inc. | 3,560 | 339,233 | ||||||
Cathay General Bancorp | 6,905 | 308,999 | ||||||
Hancock Whitney Corp. | 5,869 | 306,068 | ||||||
Bank of Hawaii Corp. | 3,586 | 300,937 | ||||||
Evercore, Inc. — Class A | 2,679 | 298,226 | ||||||
Home BancShares, Inc. | 12,155 | 274,703 | ||||||
Affiliated Managers Group, Inc. | 1,662 | 234,259 | ||||||
Camden Property Trust REIT | 1,330 | 221,046 | ||||||
Janus Henderson Group plc | 5,568 | 194,992 | ||||||
Wintrust Financial Corp. | 2,055 | 190,971 | ||||||
Synovus Financial Corp. | 3,452 | 169,148 | ||||||
Raymond James Financial, Inc. | 1,274 | 140,025 | ||||||
First American Financial Corp. | 2,108 | 136,640 | ||||||
Webster Financial Corp. | 2,008 | 112,689 | ||||||
Life Storage, Inc. REIT | 479 | 67,266 | ||||||
Rexford Industrial Realty, Inc. REIT | 891 | 66,460 | ||||||
Total Financial | 5,028,450 | |||||||
Consumer, Cyclical - 2.5% | ||||||||
Gentex Corp. | 14,274 | 416,373 |
Series J (StylePlus—Mid Growth Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Value | |||||||
COMMON STOCKS† - 17.1% | ||||||||
Consumer, Cyclical - 2.5% (continued) | ||||||||
Jack in the Box, Inc. | 3,923 | $ | 366,447 | |||||
Williams-Sonoma, Inc. | 2,330 | 337,850 | ||||||
Brunswick Corp. | 4,096 | 331,325 | ||||||
Choice Hotels International, Inc. | 1,944 | 275,582 | ||||||
Boyd Gaming Corp. | 4,017 | 264,238 | ||||||
NVR, Inc.* | 57 | 254,634 | ||||||
Tempur Sealy International, Inc. | 8,981 | 250,749 | ||||||
Dick's Sporting Goods, Inc. | 2,503 | 250,350 | ||||||
Mattel, Inc.* | 10,784 | 239,513 | ||||||
Deckers Outdoor Corp.* | 840 | 229,967 | ||||||
RH* | 598 | 195,002 | ||||||
AutoNation, Inc.* | 1,930 | 192,189 | ||||||
AutoZone, Inc.* | 81 | 165,611 | ||||||
YETI Holdings, Inc.* | 2,476 | 148,511 | ||||||
Scientific Games Corp. — Class A* | 2,496 | 146,640 | ||||||
Papa John's International, Inc. | 1,305 | 137,390 | ||||||
Wingstop, Inc. | 1,170 | 137,300 | ||||||
Crocs, Inc.* | 1,737 | 132,707 | ||||||
Yum! Brands, Inc. | 794 | 94,113 | ||||||
Victoria's Secret & Co.* | 1,719 | 88,288 | ||||||
Total Consumer, Cyclical | 4,654,779 | |||||||
Basic Materials - 1.2% | ||||||||
Steel Dynamics, Inc. | 7,207 | 601,280 | ||||||
Cleveland-Cliffs, Inc.* | 13,388 | 431,228 | ||||||
Olin Corp. | 7,083 | 370,299 | ||||||
Ingevity Corp.* | 5,362 | 343,543 | ||||||
Valvoline, Inc. | 7,139 | 225,307 | ||||||
Royal Gold, Inc. | 1,416 | 200,052 | ||||||
Total Basic Materials | 2,171,709 | |||||||
Energy - 0.6% | ||||||||
Targa Resources Corp. | 8,102 | 611,458 | ||||||
Antero Midstream Corp. | 20,068 | 218,139 | ||||||
CNX Resources Corp.* | 6,020 | 124,734 | ||||||
Murphy Oil Corp. | 2,691 | 108,690 | ||||||
PDC Energy, Inc. | 1,426 | 103,642 | ||||||
Total Energy | 1,166,663 | |||||||
Communications - 0.5% | ||||||||
Ciena Corp.* | 4,811 | 291,691 | ||||||
Motorola Solutions, Inc. | 1,165 | 282,163 | ||||||
Calix, Inc.* | 2,426 | 104,100 | ||||||
F5, Inc.* | 492 | 102,803 | ||||||
VeriSign, Inc.* | 434 | 96,548 | ||||||
Total Communications | 877,305 | |||||||
Total Common Stocks | ||||||||
(Cost $31,815,316) | 31,470,733 |
MUTUAL FUNDS† - 81.1% | ||||||||
Guggenheim Strategy Fund III1 | 2,343,248 | 57,737,625 | ||||||
Guggenheim Variable Insurance Strategy Fund III1 | 1,997,481 | 49,118,057 | ||||||
Guggenheim Strategy Fund II1 | 1,613,655 | 39,615,240 | ||||||
Guggenheim Ultra Short Duration Fund — Institutional Class1 | 274,959 | 2,691,850 | ||||||
Total Mutual Funds | ||||||||
(Cost $151,156,788) | 149,162,772 |
MONEY MARKET FUND† - 3.0% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.12%2 | 5,446,529 | 5,446,529 | ||||||
Total Money Market Fund | ||||||||
(Cost $5,446,529) | 5,446,529 | |||||||
Total Investments - 101.2% | ||||||||
(Cost $188,418,633) | $ | 186,080,034 | ||||||
Other Assets & Liabilities, net - (1.2)% | (2,168,549 | ) | ||||||
Total Net Assets - 100.0% | $ | 183,911,485 |
Series J (StylePlus—Mid Growth Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Futures Contracts | ||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized Appreciation** | ||||||||||
Equity Futures Contracts Purchased† | ||||||||||||||
S&P MidCap 400 Index Mini Futures Contracts | 9 | Jun 2022 | $ | 2,418,930 | $ | 134,291 | ||||||||
NASDAQ-100 Index Mini Futures Contracts | 2 | Jun 2022 | 594,840 | 73,109 | ||||||||||
S&P 500 Index Mini Futures Contracts | 3 | Jun 2022 | 679,163 | 54,544 | ||||||||||
$ | 3,692,933 | $ | 261,944 |
Total Return Swap Agreements | ||||||||||||||||||||||||
Counterparty | Index | Type | Financing Rate | Payment Frequency | Maturity Date | Units | Notional Amount | Value and Unrealized Depreciation | ||||||||||||||||
OTC Equity Index Swap Agreements†† | ||||||||||||||||||||||||
Wells Fargo Bank, N.A. | Russell MidCap Growth Index Total Return | Pay | 0.59% (Federal Funds Rate + 0.26%) | At Maturity | 04/07/22 | 30,767 | $ | 150,288,180 | $ | (14,870,351 | ) |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). |
† | Value determined based on Level 1 inputs — See Note 3. |
†† | Value determined based on Level 2 inputs — See Note 3. |
1 | Affiliated issuer. |
2 | Rate indicated is the 7-day yield as of March 31, 2022. |
plc — Public Limited Company |
REIT — Real Estate Investment Trust |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund's investments at March 31, 2022 (See Note 3 in the Notes to Schedule of Investments): |
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 31,470,733 | $ | — | $ | — | $ | 31,470,733 | ||||||||
Mutual Funds | 149,162,772 | — | — | 149,162,772 | ||||||||||||
Money Market Fund | 5,446,529 | — | — | 5,446,529 | ||||||||||||
Equity Futures Contracts** | 261,944 | — | — | 261,944 | ||||||||||||
Total Assets | $ | 186,341,978 | $ | — | $ | — | $ | 186,341,978 |
Investments in Securities (Liabilities) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Equity Index Swap Agreements** | $ | — | $ | 14,870,351 | $ | — | $ | 14,870,351 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles' annual report on Form N-CSR dated September 30, 2021, is available publicly or upon request. This information is available from the EDGAR database on the SEC's website at https://www.sec.gov/Archives/edgar/data/1601445/000182126821000490/gugg83048-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Series J (StylePlus—Mid Growth Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Transactions during the period ended March 31, 2022, in which the company is an affiliated issuer, were as follows: |
Security Name | Value 12/31/21 | Additions | Reductions | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 03/31/22 | Shares 03/31/22 | Investment Income | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 31,106,522 | $ | 31,625,283 | $ | (22,631,974 | ) | $ | (144,640 | ) | $ | (339,951 | ) | $ | 39,615,240 | 1,613,655 | $ | 120,389 | ||||||||||||||
Guggenheim Strategy Fund III | 58,441,099 | 208,479 | – | – | (911,953 | ) | 57,737,625 | 2,343,248 | 212,549 | |||||||||||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 18,802,104 | 11,584 | (16,074,987 | ) | (102,954 | ) | 56,103 | 2,691,850 | 274,959 | 12,516 | ||||||||||||||||||||||
Guggenheim Variable Insurance Strategy Fund III | 45,644,872 | 4,150,741 | – | – | (677,556 | ) | 49,118,057 | 1,997,481 | 153,770 | |||||||||||||||||||||||
$ | 153,994,597 | $ | 35,996,087 | $ | (38,706,961 | ) | $ | (247,594 | ) | $ | (1,873,357 | ) | $ | 149,162,772 | $ | 499,224 |
Series N (Managed Asset Allocation Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Value | |||||||
EXCHANGE-TRADED FUNDS† - 84.1% | ||||||||
Vanguard S&P 500 ETF | 22,530 | $ | 9,353,780 | |||||
Schwab U.S. Aggregate Bond ETF | 132,248 | 6,687,781 | ||||||
SPDR S&P 500 ETF Trust | 14,413 | 6,509,487 | ||||||
iShares Core S&P Mid-Cap ETF | 10,558 | 2,833,134 | ||||||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 23,033 | 2,785,611 | ||||||
iShares MSCI EAFE ETF | 36,690 | 2,700,384 | ||||||
iShares 7-10 Year Treasury Bond ETF | 18,601 | 1,999,050 | ||||||
iShares 1-3 Year Treasury Bond ETF | 21,409 | 1,784,440 | ||||||
iShares Russell 1000 Value ETF | 4,533 | 752,387 | ||||||
iShares TIPS Bond ETF | 3,987 | 496,661 | ||||||
iShares iBoxx High Yield Corporate Bond ETF | 5,736 | 472,016 | ||||||
iShares Core S&P 500 ETF | 2 | 907 | ||||||
Total Exchange-Traded Funds | ||||||||
(Cost $26,011,059) | 36,375,638 |
MUTUAL FUNDS† - 13.2% | ||||||||
Guggenheim Strategy Fund II1 | 63,901 | 1,568,774 | ||||||
Guggenheim Strategy Fund III1 | 63,233 | 1,558,061 | ||||||
Guggenheim Variable Insurance Strategy Fund III1 | 62,230 | 1,530,241 | ||||||
Guggenheim Ultra Short Duration Fund — Institutional Class1 | 105,191 | 1,029,823 | ||||||
Total Mutual Funds | ||||||||
(Cost $5,778,357) | 5,686,899 |
MONEY MARKET FUND† - 0.4% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.12%2 | 180,811 | 180,811 | ||||||
Total Money Market Fund | ||||||||
(Cost $180,811) | 180,811 |
Face Amount | ||||||||
U.S. TREASURY BILLS†† - 0.9% | ||||||||
U.S. Treasury Bills | ||||||||
0.12% due 05/05/223,4 | $ | 397,000 | 396,945 | |||||
Total U.S. Treasury Bills | ||||||||
(Cost $396,955) | 396,945 | |||||||
Total Investments - 98.6% | ||||||||
(Cost $32,367,182) | $ | 42,640,293 | ||||||
Other Assets & Liabilities, net - 1.4% | 605,108 | |||||||
Total Net Assets - 100.0% | $ | 43,245,401 |
Futures Contracts | ||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized Appreciation (Depreciation)** | ||||||||||
Equity Futures Contracts Purchased† | ||||||||||||||
MSCI EAFE Index Futures Contracts | 38 | Jun 2022 | $ | 4,074,740 | $ | 163,787 | ||||||||
Russell 2000 Index Mini Futures Contracts | 21 | Jun 2022 | 2,168,250 | 64,303 | ||||||||||
S&P MidCap 400 Index Mini Futures Contracts | 1 | Jun 2022 | 268,770 | 3,038 | ||||||||||
CAC 40 10 Euro Index Futures Contracts | 2 | Apr 2022 | 146,664 | (202 | ) | |||||||||
S&P/TSX 60 IX Index Futures Contracts | 1 | Jun 2022 | 211,264 | (530 | ) | |||||||||
$ | 6,869,688 | $ | 230,396 | |||||||||||
Currency Futures Contracts Purchased† | ||||||||||||||
British Pound Futures Contracts | 5 | Jun 2022 | $ | 410,406 | $ | 1,144 | ||||||||
Interest Rate Futures Contracts Purchased† | ||||||||||||||
U.S. Treasury 5 Year Note Futures Contracts | 1 | Jun 2022 | $ | 114,555 | $ | (1,845 | ) | |||||||
U.S. Treasury 2 Year Note Futures Contracts | 4 | Jun 2022 | 847,187 | (12,006 | ) | |||||||||
U.S. Treasury 10 Year Note Futures Contracts | 19 | Jun 2022 | 2,332,547 | (66,970 | ) | |||||||||
$ | 3,294,289 | $ | (80,821 | ) | ||||||||||
Currency Futures Contracts Sold Short† | ||||||||||||||
Euro FX Futures Contracts | 3 | Jun 2022 | $ | 416,006 | $ | 967 | ||||||||
Equity Futures Contracts Sold Short† | ||||||||||||||
S&P 500 Index Mini Futures Contracts | 1 | Jun 2022 | $ | 226,387 | $ | 2,048 | ||||||||
DAX Index Futures Contracts | 1 | Jun 2022 | 397,173 | 772 | ||||||||||
FTSE 100 Index Futures Contracts | 1 | Jun 2022 | 97,847 | (3,938 | ) | |||||||||
SPI 200 Index Futures Contracts | 1 | Jun 2022 | 139,155 | (6,145 | ) |
Series N (Managed Asset Allocation Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized (Depreciation)** | ||||||||||
Equity Futures Contracts Sold Short† (continued) | ||||||||||||||
NASDAQ-100 Index Mini Futures Contracts | 1 | Jun 2022 | $ | 297,420 | $ | (8,547 | ) | |||||||
Nikkei 225 (CME) Index Futures Contracts | 1 | Jun 2022 | 137,900 | (13,628 | ) | |||||||||
$ | 1,295,882 | $ | (29,438 | ) |
** | Includes cumulative appreciation (depreciation). |
† | Value determined based on Level 1 inputs — See Note 3. |
†† | Value determined based on Level 2 inputs — See Note 3. |
1 | Affiliated issuer. |
2 | Rate indicated is the 7-day yield as of March 31, 2022. |
3 | All or a portion of this security is pledged as futures collateral at March 31, 2022. |
4 | Rate indicated is the effective yield at the time of purchase. |
CME — Chicago Mercantile Exchange |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund's investments at March 31, 2022 (See Note 3 in the Notes to Schedule of Investments): |
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Exchange-Traded Funds | $ | 36,375,638 | $ | — | $ | — | $ | 36,375,638 | ||||||||
Mutual Funds | 5,686,899 | — | — | 5,686,899 | ||||||||||||
Money Market Fund | 180,811 | — | — | 180,811 | ||||||||||||
U.S. Treasury Bills | — | 396,945 | — | 396,945 | ||||||||||||
Equity Futures Contracts** | 233,948 | — | — | 233,948 | ||||||||||||
Currency Futures Contracts** | 2,111 | — | — | 2,111 | ||||||||||||
Total Assets | $ | 42,479,407 | $ | 396,945 | $ | — | $ | 42,876,352 |
Investments in Securities (Liabilities) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Interest Rate Futures Contracts** | $ | 80,821 | $ | — | $ | — | $ | 80,821 | ||||||||
Equity Futures Contracts** | 32,990 | — | — | 32,990 | ||||||||||||
Total Liabilities | $ | 113,811 | $ | — | $ | — | $ | 113,811 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles' annual report on Form N-CSR dated September 30, 2021, is available publicly or upon request. This information is available from the EDGAR database on the SEC's website at https://www.sec.gov/Archives/edgar/data/1601445/000182126821000490/gugg83048-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Series N (Managed Asset Allocation Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Transactions during the period ended March 31, 2022, in which the company is an affiliated issuer, were as follows: |
Security Name | Value 12/31/21 | Additions | Reductions | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 03/31/22 | Shares 03/31/22 | Investment Income | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 1,891,803 | $ | – | $ | (300,000 | ) | $ | (3,155 | ) | $ | (19,874 | ) | $ | 1,568,774 | 63,901 | $ | 5,998 | ||||||||||||||
Guggenheim Strategy Fund III | 1,784,985 | – | (200,000 | ) | (1,100 | ) | (25,824 | ) | 1,558,061 | 63,233 | 6,272 | |||||||||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 1,043,498 | – | – | – | (13,675 | ) | 1,029,823 | 105,191 | 2,608 | |||||||||||||||||||||||
Guggenheim Variable Insurance Strategy Fund III | 1,853,627 | – | (300,000 | ) | (602 | ) | (22,784 | ) | 1,530,241 | 62,230 | 5,405 | |||||||||||||||||||||
$ | 6,573,913 | $ | – | $ | (800,000 | ) | $ | (4,857 | ) | $ | (82,157 | ) | $ | 5,686,899 | $ | 20,283 |
Series O (All Cap Value Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Value | |||||||
COMMON STOCKS† - 96.9% | ||||||||
Financial - 19.5% | ||||||||
Berkshire Hathaway, Inc. — Class B* | 6,100 | $ | 2,152,751 | |||||
JPMorgan Chase & Co. | 11,885 | 1,620,163 | ||||||
Bank of America Corp. | 33,505 | 1,381,076 | ||||||
STAG Industrial, Inc. REIT | 25,988 | 1,074,604 | ||||||
First Horizon Corp. | 44,618 | 1,048,077 | ||||||
Allstate Corp. | 6,837 | 946,993 | ||||||
Alleghany Corp.* | 1,079 | 913,913 | ||||||
Wells Fargo & Co. | 17,301 | 838,407 | ||||||
Medical Properties Trust, Inc. REIT | 39,458 | 834,142 | ||||||
Voya Financial, Inc. | 11,903 | 789,764 | ||||||
BOK Financial Corp. | 7,672 | 720,784 | ||||||
KeyCorp | 30,753 | 688,252 | ||||||
Zions Bancorp North America | 9,860 | 646,422 | ||||||
Charles Schwab Corp. | 7,419 | 625,496 | ||||||
Park Hotels & Resorts, Inc. REIT | 28,247 | 551,664 | ||||||
Physicians Realty Trust REIT | 29,711 | 521,131 | ||||||
Alexandria Real Estate Equities, Inc. REIT | 2,480 | 499,100 | ||||||
Prosperity Bancshares, Inc. | 6,993 | 485,174 | ||||||
Unum Group | 14,944 | 470,885 | ||||||
VICI Properties, Inc. REIT | 13,634 | 388,023 | ||||||
American Tower Corp. — Class A REIT | 1,450 | 364,269 | ||||||
Sun Communities, Inc. REIT | 2,052 | 359,695 | ||||||
Gaming and Leisure Properties, Inc. REIT | 7,190 | 337,427 | ||||||
Axis Capital Holdings Ltd. | 5,505 | 332,887 | ||||||
Stifel Financial Corp. | 4,680 | 317,772 | ||||||
Apple Hospitality REIT, Inc. | 15,426 | 277,205 | ||||||
Virtu Financial, Inc. — Class A | 7,127 | 265,267 | ||||||
Mastercard, Inc. — Class A | 715 | 255,527 | ||||||
Old Republic International Corp. | 9,140 | 236,452 | ||||||
Heartland Financial USA, Inc. | 3,967 | 189,742 | ||||||
First Hawaiian, Inc. | 6,166 | 171,970 | ||||||
Trustmark Corp. | 5,229 | 158,909 | ||||||
Heritage Insurance Holdings, Inc. | 14,156 | 101,074 | ||||||
Total Financial | 20,565,017 | |||||||
Consumer, Non-cyclical - 17.2% | ||||||||
Tyson Foods, Inc. — Class A | 22,928 | 2,055,037 | ||||||
Johnson & Johnson | 10,119 | 1,793,390 | ||||||
Bunge Ltd. | 15,296 | 1,694,950 | ||||||
Ingredion, Inc. | 14,206 | 1,238,053 | ||||||
Henry Schein, Inc.* | 13,673 | 1,192,149 | ||||||
Quest Diagnostics, Inc. | 8,541 | 1,168,921 | ||||||
J M Smucker Co. | 8,301 | 1,124,038 | ||||||
Medtronic plc | 9,686 | 1,074,662 | ||||||
McKesson Corp. | 3,206 | 981,453 | ||||||
Merck & Company, Inc. | 9,829 | 806,470 | ||||||
Humana, Inc. | 1,823 | 793,315 | ||||||
Archer-Daniels-Midland Co. | 7,833 | 707,007 | ||||||
Encompass Health Corp. | 8,850 | 629,324 | ||||||
HCA Healthcare, Inc. | 1,707 | 427,808 | ||||||
Pfizer, Inc. | 7,912 | 409,604 | ||||||
Amgen, Inc. | 1,636 | 395,618 | ||||||
Bristol-Myers Squibb Co. | 5,239 | 382,604 | ||||||
Central Garden & Pet Co. — Class A* | 7,922 | 323,059 | ||||||
US Foods Holding Corp.* | 8,453 | 318,086 | ||||||
Integer Holdings Corp.* | 3,227 | 259,999 | ||||||
Pacira BioSciences, Inc.* | 2,997 | 228,731 | ||||||
Emergent BioSolutions, Inc.* | 2,156 | 88,525 | ||||||
Total Consumer, Non-cyclical | 18,092,803 | |||||||
Energy - 10.6% | ||||||||
Chevron Corp. | 16,722 | 2,722,843 | ||||||
Pioneer Natural Resources Co. | 8,092 | 2,023,243 | ||||||
ConocoPhillips | 13,850 | 1,385,000 | ||||||
Equities Corp. | 29,794 | 1,025,212 | ||||||
Chesapeake Energy Corp. | 10,123 | 880,701 | ||||||
Marathon Oil Corp. | 33,914 | 851,581 | ||||||
Coterra Energy, Inc. — Class A | 29,092 | 784,611 | ||||||
Patterson-UTI Energy, Inc. | 42,715 | 661,228 | ||||||
Kinder Morgan, Inc. | 28,094 | 531,257 | ||||||
Diamondback Energy, Inc. | 2,614 | 358,327 | ||||||
Total Energy | 11,224,003 | |||||||
Industrial - 10.0% | ||||||||
Johnson Controls International plc | 19,318 | 1,266,681 | ||||||
Knight-Swift Transportation Holdings, Inc. | 21,358 | 1,077,725 | ||||||
Valmont Industries, Inc. | 3,681 | 878,287 | ||||||
FedEx Corp. | 3,213 | 743,456 | ||||||
L3Harris Technologies, Inc. | 2,536 | 630,120 | ||||||
Kirby Corp.* | 6,945 | 501,359 | ||||||
Advanced Energy Industries, Inc. | 5,649 | 486,266 | ||||||
Littelfuse, Inc. | 1,841 | 459,164 | ||||||
Graphic Packaging Holding Co. | 20,768 | 416,190 | ||||||
Colfax Corp.* | 10,141 | 403,510 | ||||||
Packaging Corporation of America | 2,216 | 345,940 | ||||||
Terex Corp. | 8,905 | 317,552 | ||||||
Arcosa, Inc. | 5,466 | 312,928 | ||||||
Curtiss-Wright Corp. | 2,055 | 308,579 | ||||||
Daseke, Inc.* | 27,626 | 278,194 | ||||||
GATX Corp. | 2,150 | $ | 265,159 | |||||
Zurn Water Solutions Corp. | 7,322 | 259,199 | ||||||
Altra Industrial Motion Corp. | 5,805 | 225,989 | ||||||
PGT Innovations, Inc.* | 12,485 | 224,481 | ||||||
Energizer Holdings, Inc. | 7,171 | 220,580 | ||||||
Stoneridge, Inc.* | 9,825 | 203,967 | ||||||
EnerSys | 2,114 | 157,641 | ||||||
Plexus Corp.* | 1,806 | 147,749 | ||||||
Park Aerospace Corp. | 10,979 | 143,276 | ||||||
Kennametal, Inc. | 4,942 | 141,391 | ||||||
ChargePoint Holdings, Inc.* | 6,531 | 129,836 | ||||||
Smith-Midland Corp.* | 1,059 | 18,797 | ||||||
Total Industrial | 10,564,016 | |||||||
Consumer, Cyclical - 9.6% | ||||||||
Walmart, Inc. | 8,159 | 1,215,038 | ||||||
Whirlpool Corp. | 5,238 | 905,022 | ||||||
DR Horton, Inc. | 10,096 | 752,253 | ||||||
Delta Air Lines, Inc.* | 17,521 | 693,306 | ||||||
Southwest Airlines Co.* | 14,749 | 675,504 | ||||||
Ralph Lauren Corp. — Class A | 5,600 | 635,264 | ||||||
LKQ Corp. | 13,820 | 627,566 | ||||||
PACCAR, Inc. | 5,968 | 525,602 | ||||||
Lear Corp. | 3,640 | 519,028 | ||||||
H&E Equipment Services, Inc. | 11,692 | 508,836 |
Series O (All Cap Value Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Value | |||||||
COMMON STOCKS† - 96.9% (continued) | ||||||||
Consumer, Cyclical - 9.6% (continued) | ||||||||
PVH Corp. | 6,578 | $ | 503,940 | |||||
Avient Corp. | 8,639 | 414,672 | ||||||
MSC Industrial Direct Company, Inc. — Class A | 4,351 | 370,749 | ||||||
Alaska Air Group, Inc.* | 5,933 | 344,173 | ||||||
Methode Electronics, Inc. | 7,815 | 337,999 | ||||||
Home Depot, Inc. | 900 | 269,397 | ||||||
Marriott Vacations Worldwide Corp. | 1,054 | 166,216 | ||||||
Leggett & Platt, Inc. | 4,193 | 145,916 | ||||||
Newell Brands, Inc. | 6,712 | 143,704 | ||||||
Dana, Inc. | 7,474 | 131,318 | ||||||
Lakeland Industries, Inc.* | 6,577 | 126,213 | ||||||
La-Z-Boy, Inc. | 2,400 | 63,288 | ||||||
Total Consumer, Cyclical | 10,075,004 | |||||||
Technology - 9.1% | ||||||||
Micron Technology, Inc. | 16,919 | 1,317,821 | ||||||
Leidos Holdings, Inc. | 10,336 | 1,116,494 | ||||||
DXC Technology Co.* | 31,741 | 1,035,709 | ||||||
Activision Blizzard, Inc. | 10,921 | 874,881 | ||||||
Apple, Inc. | 4,767 | 832,366 | ||||||
Evolent Health, Inc. — Class A* | 22,593 | 729,754 | ||||||
KLA Corp. | 1,826 | 668,425 | ||||||
Teradyne, Inc. | 4,416 | 522,104 | ||||||
Qorvo, Inc.* | 3,457 | 429,014 | ||||||
QUALCOMM, Inc. | 2,738 | 418,421 | ||||||
Amdocs Ltd. | 4,891 | 402,089 | ||||||
Science Applications International Corp. | 4,099 | 377,805 | ||||||
Skyworks Solutions, Inc. | 2,295 | 305,877 | ||||||
Intel Corp. | 5,621 | 278,577 | ||||||
Cerner Corp. | 2,940 | 275,067 | ||||||
Total Technology | 9,584,404 | |||||||
Utilities - 8.5% | ||||||||
Edison International | 18,247 | 1,279,115 | ||||||
Black Hills Corp. | 15,762 | 1,213,989 | ||||||
Pinnacle West Capital Corp. | 14,820 | 1,157,442 | ||||||
Exelon Corp. | 23,741 | 1,130,784 | ||||||
OGE Energy Corp. | 27,147 | 1,107,055 | ||||||
Duke Energy Corp. | 9,889 | 1,104,206 | ||||||
NiSource, Inc. | 18,936 | 602,165 | ||||||
Constellation Energy Corp. | 7,913 | 445,106 | ||||||
Sempra Energy | 2,572 | 432,405 | ||||||
PPL Corp. | 9,865 | 281,744 | ||||||
Spire, Inc. | 3,327 | 238,745 | ||||||
Total Utilities | 8,992,756 | |||||||
Basic Materials - 6.2% | ||||||||
Huntsman Corp. | 45,965 | 1,724,147 | ||||||
Westlake Corp. | 13,907 | 1,716,124 | ||||||
Reliance Steel & Aluminum Co. | 5,239 | 960,571 | ||||||
Nucor Corp. | 5,050 | 750,683 | ||||||
Ashland Global Holdings, Inc. | 2,721 | 267,774 | ||||||
Element Solutions, Inc. | 11,935 | 261,376 | ||||||
International Flavors & Fragrances, Inc. | 1,983 | 260,427 | ||||||
Commercial Metals Co. | 5,375 | 223,707 | ||||||
Dow, Inc. | 3,272 | 208,492 | ||||||
DuPont de Nemours, Inc. | 2,496 | 183,656 | ||||||
Total Basic Materials | 6,556,957 | |||||||
Communications - 6.2% | ||||||||
Verizon Communications, Inc. | 27,789 | 1,415,572 | ||||||
Alphabet, Inc. — Class A* | 482 | 1,340,611 | ||||||
Cisco Systems, Inc. | 14,121 | 787,387 | ||||||
Comcast Corp. — Class A | 15,643 | 732,405 | ||||||
T-Mobile US, Inc.* | 4,919 | 631,354 | ||||||
Juniper Networks, Inc. | 13,304 | 494,376 | ||||||
Infinera Corp.* | 52,464 | 454,863 | ||||||
TEGNA, Inc. | 18,288 | 409,651 | ||||||
Ciena Corp.* | 4,620 | 280,110 | ||||||
Total Communications | 6,546,329 | |||||||
Total Common Stocks | ||||||||
(Cost $73,507,503) | 102,201,289 |
RIGHTS† - 0.0% | ||||||||
Basic Materials - 0.0% | ||||||||
Pan American Silver Corp.* | 40,146 | 33,723 | ||||||
Total Rights | ||||||||
(Cost $–) | 33,723 |
MONEY MARKET FUND† - 2.3% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.12%1 | 2,392,399 | 2,392,399 | ||||||
Total Money Market Fund | ||||||||
(Cost $2,392,399) | 2,392,399 | |||||||
Total Investments - 99.2% | ||||||||
(Cost $75,899,902) | $ | 104,627,411 | ||||||
Other Assets & Liabilities, net - 0.8% | 857,099 | |||||||
Total Net Assets - 100.0% | $ | 105,484,510 |
Series O (All Cap Value Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 3. |
1 | Rate indicated is the 7-day yield as of March 31, 2022. |
plc — Public Limited Company |
REIT — Real Estate Investment Trust |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund's investments at March 31, 2022 (See Note 3 in the Notes to Schedule of Investments): |
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 102,201,289 | $ | — | $ | — | $ | 102,201,289 | ||||||||
Rights | 33,723 | — | — | 33,723 | ||||||||||||
Money Market Fund | 2,392,399 | — | — | 2,392,399 | ||||||||||||
Total Assets | $ | 104,627,411 | $ | — | $ | — | $ | 104,627,411 |
Series P (High Yield Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Value | |||||||
COMMON STOCKS† - 1.6% | ||||||||
Financial - 0.7% | ||||||||
KKR Acquisition Holdings I Corp. — Class A*,1 | 16,531 | $ | 162,530 | |||||
TPG Pace Beneficial II Corp.*,1 | 5,510 | 54,108 | ||||||
Acropolis Infrastructure Acquisition Corp. — Class A*,1 | 4,900 | 47,579 | ||||||
Jefferies Financial Group, Inc. | 247 | 8,114 | ||||||
RXR Acquisition Corp. — Class A*,1 | 207 | 2,018 | ||||||
Colicity, Inc. — Class A*,1 | 163 | 1,591 | ||||||
MSD Acquisition Corp. — Class A*,1 | 84 | 825 | ||||||
Total Financial | 276,765 | |||||||
Utilities - 0.5% | ||||||||
TexGen Power LLC*,††† | 7,929 | 184,349 | ||||||
Communications - 0.3% | ||||||||
Vacasa, Inc. — Class A* | 14,083 | 116,466 | ||||||
Consumer, Non-cyclical - 0.1% | ||||||||
Cengage Learning Holdings II, Inc.*,†† | 2,107 | 36,346 | ||||||
Spectrum Brands Holdings, Inc. | 6 | 532 | ||||||
Crimson Wine Group Ltd.* | 24 | 194 | ||||||
MEDIQ, Inc.*,††† | 92 | – | ||||||
Total Consumer, Non-cyclical | 37,072 | |||||||
Energy - 0.0% | ||||||||
Legacy Reserves, Inc.*,††† | 1,969 | 12,798 | ||||||
Permian Production Partners LLC††† | 9,124 | 6,606 | ||||||
Bruin E&P Partnership Units††† | 6,071 | 316 | ||||||
Total Energy | 19,720 | |||||||
Industrial - 0.0% | ||||||||
BP Holdco LLC*,†††,2 | 523 | 369 | ||||||
Vector Phoenix Holdings, LP*,††† | 523 | 144 | ||||||
Total Industrial | 513 | |||||||
Consumer, Cyclical - 0.0% | ||||||||
Chorus Aviation, Inc.* | 3 | 10 | ||||||
Total Common Stocks | ||||||||
(Cost $610,820) | 634,895 |
PREFERRED STOCKS†† - 1.9% | ||||||||
Financial - 1.9% | ||||||||
Wells Fargo & Co. | ||||||||
4.38% | 9,000 | 188,550 | ||||||
American Equity Investment Life Holding Co. | ||||||||
5.95% | 6,000 | 153,300 | ||||||
Charles Schwab Corp. | ||||||||
4.00% | 150,000 | 134,718 | ||||||
Arch Capital Group Ltd. | ||||||||
4.55% | 6,000 | 126,660 | ||||||
First Republic Bank | ||||||||
4.13% | 5,850 | 120,627 | ||||||
Total Financial | 723,855 | |||||||
Industrial - 0.0% | ||||||||
U.S. Shipping Corp.*,††† | 24,529 | 2 | ||||||
Total Preferred Stocks | ||||||||
(Cost $1,446,250) | 723,857 |
WARRANTS† - 0.0% | ||||||||
KKR Acquisition Holdings I Corp. - Class A | ||||||||
Expiring 12/31/27*,1 | 4,132 | 2,727 | ||||||
Acropolis Infrastructure Acquisition Corp. | ||||||||
Expiring 03/31/26*,1 | 1,632 | 776 | ||||||
RXR Acquisition Corp. | ||||||||
Expiring 03/08/26*,1 | 38 | 17 | ||||||
MSD Acquisition Corp. | ||||||||
Expiring 05/13/23*,1 | 16 | 12 | ||||||
Colicity, Inc. - Class A | ||||||||
Expiring 12/31/27*,1 | 30 | 12 | ||||||
Total Warrants | ||||||||
(Cost $5,740) | 3,544 |
MONEY MARKET FUND† - 5.2% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.12%3 | 2,000,922 | 2,000,922 | ||||||
Total Money Market Fund | ||||||||
(Cost $2,000,922) | 2,000,922 |
Face Amount~ | ||||||||
CORPORATE BONDS†† - 77.5% | ||||||||
Communications - 15.1% | ||||||||
Altice France S.A. | ||||||||
5.50% due 10/15/294 | 325,000 | 291,616 | ||||||
8.13% due 02/01/274 | 200,000 | 206,226 | ||||||
5.13% due 07/15/294 | 175,000 | 156,844 | ||||||
CCO Holdings LLC / CCO Holdings Capital Corp. | ||||||||
4.50% due 05/01/32 | 275,000 | 251,542 | ||||||
4.50% due 06/01/334 | 250,000 | 224,375 | ||||||
4.25% due 01/15/344 | 100,000 | 86,849 | ||||||
CSC Holdings LLC | ||||||||
4.13% due 12/01/304 | 225,000 | 197,295 | ||||||
4.63% due 12/01/304 | 200,000 | 167,258 | ||||||
6.50% due 02/01/294 | 150,000 | 151,191 | ||||||
3.38% due 02/15/314 | 50,000 | 42,125 | ||||||
Level 3 Financing, Inc. | ||||||||
4.25% due 07/01/284 | 300,000 | 275,402 | ||||||
3.63% due 01/15/294 | 300,000 | 262,500 | ||||||
McGraw-Hill Education, Inc. | ||||||||
5.75% due 08/01/284 | 375,000 | 357,664 | ||||||
8.00% due 08/01/294 | 175,000 | 165,393 | ||||||
VZ Secured Financing BV | ||||||||
5.00% due 01/15/324 | 375,000 | 350,625 | ||||||
UPC Broadband Finco BV | ||||||||
4.88% due 07/15/314 | 325,000 | 305,133 | ||||||
Cengage Learning, Inc. | ||||||||
9.50% due 06/15/244 | 290,000 | 289,275 | ||||||
LCPR Senior Secured Financing DAC | ||||||||
6.75% due 10/15/274 | 270,000 | 277,371 | ||||||
Virgin Media Finance plc | ||||||||
5.00% due 07/15/304 | 275,000 | 259,736 | ||||||
Match Group Holdings II LLC | ||||||||
3.63% due 10/01/314 | 150,000 | 134,165 | ||||||
4.63% due 06/01/284 | 100,000 | 96,875 | ||||||
Houghton Mifflin Harcourt Publishers, Inc. | ||||||||
9.00% due 02/15/254 | 200,000 | 209,000 | ||||||
Sirius XM Radio, Inc. | ||||||||
3.88% due 09/01/314 | 125,000 | 113,750 | ||||||
4.13% due 07/01/304 | 100,000 | 93,617 |
Series P (High Yield Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Face Amount~ | Value | |||||||||||
CORPORATE BONDS†† - 77.5% (continued) | ||||||||||||
Communications - 15.1% (continued) | ||||||||||||
Telenet Finance Luxembourg Notes SARL | ||||||||||||
5.50% due 03/01/28 | 200,000 | $ | 193,000 | |||||||||
AMC Networks, Inc. | ||||||||||||
4.25% due 02/15/29 | 200,000 | 186,639 | ||||||||||
Virgin Media Secured Finance plc | ||||||||||||
4.50% due 08/15/304 | 200,000 | 186,500 | ||||||||||
Vmed O2 UK Financing I plc | ||||||||||||
4.25% due 01/31/314 | 200,000 | 182,924 | ||||||||||
Go Daddy Operating Company LLC / GD Finance Co., Inc. | ||||||||||||
3.50% due 03/01/294 | 75,000 | 68,960 | ||||||||||
TripAdvisor, Inc. | ||||||||||||
7.00% due 07/15/254 | 50,000 | 51,648 | ||||||||||
Total Communications | 5,835,498 | |||||||||||
Consumer, Non-cyclical - 14.7% | ||||||||||||
Nielsen Finance LLC / Nielsen Finance Co. | ||||||||||||
5.88% due 10/01/304 | 275,000 | 275,687 | ||||||||||
4.75% due 07/15/314 | 250,000 | 249,687 | ||||||||||
FAGE International S.A. / FAGE USA Dairy Industry, Inc. | ||||||||||||
5.63% due 08/15/264 | 385,000 | 379,225 | ||||||||||
US Foods, Inc. | ||||||||||||
6.25% due 04/15/254 | 275,000 | 281,875 | ||||||||||
4.63% due 06/01/304 | 100,000 | 92,512 | ||||||||||
Cheplapharm Arzneimittel GmbH | ||||||||||||
5.50% due 01/15/284 | 375,000 | 362,809 | ||||||||||
Rent-A-Center, Inc. | ||||||||||||
6.38% due 02/15/294,5 | 375,000 | 343,125 | ||||||||||
CPI CG, Inc. | ||||||||||||
8.63% due 03/15/264 | 351,000 | 341,621 | ||||||||||
Bausch Health Companies, Inc. | ||||||||||||
4.88% due 06/01/284 | 325,000 | 311,187 | ||||||||||
Sabre GLBL, Inc. | ||||||||||||
7.38% due 09/01/254 | 175,000 | 182,740 | ||||||||||
9.25% due 04/15/254 | 100,000 | 110,864 | ||||||||||
Prime Security Services Borrower LLC / Prime Finance, Inc. | ||||||||||||
3.38% due 08/31/274 | 275,000 | 251,595 | ||||||||||
BCP V Modular Services Finance II plc | ||||||||||||
4.75% due 10/30/284 | EUR | 225,000 | 238,257 | |||||||||
Par Pharmaceutical, Inc. | ||||||||||||
7.50% due 04/01/274 | 225,000 | 209,959 | ||||||||||
ADT Security Corp. | ||||||||||||
4.13% due 08/01/294 | 225,000 | 208,969 | ||||||||||
Sotheby's/Bidfair Holdings, Inc. | ||||||||||||
5.88% due 06/01/294 | 200,000 | 193,500 | ||||||||||
KeHE Distributors LLC / KeHE Finance Corp. | ||||||||||||
8.63% due 10/15/264 | 179,000 | 189,740 | ||||||||||
Post Holdings, Inc. | ||||||||||||
4.50% due 09/15/314 | 175,000 | 155,048 | ||||||||||
5.63% due 01/15/284 | 25,000 | 24,539 | ||||||||||
Sotheby's | ||||||||||||
7.38% due 10/15/274 | 175,000 | 179,216 | ||||||||||
WW International, Inc. | ||||||||||||
4.50% due 04/15/294 | 200,000 | 161,946 | ||||||||||
Castor S.p.A. | ||||||||||||
5.25% (3 Month EURIBOR + 5.25%, Rate Floor: 5.25%) due 02/15/29◊,4 | EUR | 125,000 | 137,559 | |||||||||
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc. | ||||||||||||
7.00% due 12/31/274 | 107,000 | 90,415 | ||||||||||
5.00% due 12/31/264 | 50,000 | 46,125 | ||||||||||
Nathan's Famous, Inc. | ||||||||||||
6.63% due 11/01/254 | 127,000 | 126,365 | ||||||||||
Endo Luxembourg Finance Company I SARL / Endo US, Inc. | ||||||||||||
6.13% due 04/01/294 | 125,000 | 114,062 | ||||||||||
Legends Hospitality Holding Company LLC / Legends Hospitality Co-Issuer, Inc. | ||||||||||||
5.00% due 02/01/264 | 100,000 | 96,000 | ||||||||||
Molina Healthcare, Inc. | ||||||||||||
3.88% due 05/15/324 | 100,000 | 95,095 | ||||||||||
Mozart Debt Merger Sub, Inc. | ||||||||||||
5.25% due 10/01/294 | 100,000 | 92,967 | ||||||||||
Lamb Weston Holdings, Inc. | ||||||||||||
4.13% due 01/31/304 | 75,000 | 70,038 | ||||||||||
Central Garden & Pet Co. | ||||||||||||
4.13% due 04/30/314 | 75,000 | 67,500 | ||||||||||
Total Consumer, Non-cyclical | 5,680,227 | |||||||||||
Financial - 12.4% | ||||||||||||
NFP Corp. | ||||||||||||
6.88% due 08/15/284 | 625,000 | 596,875 | ||||||||||
Iron Mountain, Inc. | ||||||||||||
5.63% due 07/15/324 | 275,000 | 270,952 | ||||||||||
4.88% due 09/15/294 | 120,000 | 114,224 | ||||||||||
5.25% due 07/15/304 | 75,000 | 73,500 | ||||||||||
Hunt Companies, Inc. | ||||||||||||
5.25% due 04/15/294 | 450,000 | 428,693 | ||||||||||
United Wholesale Mortgage LLC | ||||||||||||
5.50% due 04/15/294 | 225,000 | 200,480 | ||||||||||
5.75% due 06/15/274 | 200,000 | 185,591 | ||||||||||
OneMain Finance Corp. | ||||||||||||
3.88% due 09/15/28 | 175,000 | 158,155 | ||||||||||
4.00% due 09/15/30 | 75,000 | 66,188 | ||||||||||
8.88% due 06/01/25 | 50,000 | 52,677 | ||||||||||
6.63% due 01/15/28 | 50,000 | 52,375 | ||||||||||
HUB International Ltd. | ||||||||||||
5.63% due 12/01/294 | 200,000 | 191,000 | ||||||||||
7.00% due 05/01/264 | 100,000 | 101,156 | ||||||||||
Jefferies Finance LLC / JFIN Company-Issuer Corp. | ||||||||||||
5.00% due 08/15/284 | 275,000 | 263,307 | ||||||||||
Cushman & Wakefield US Borrower LLC | ||||||||||||
6.75% due 05/15/284 | 200,000 | 209,000 | ||||||||||
Iron Mountain Information Management Services, Inc. | ||||||||||||
5.00% due 07/15/324 | 200,000 | 187,500 |
Series P (High Yield Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Face Amount~ | Value | |||||||
CORPORATE BONDS†† - 77.5% (continued) | ||||||||
Financial - 12.4% (continued) | ||||||||
USI, Inc. | ||||||||
6.88% due 05/01/254 | 175,000 | $ | 175,579 | |||||
Starwood Property Trust, Inc. | ||||||||
4.38% due 01/15/274 | 150,000 | 145,500 | ||||||
3.75% due 12/31/244 | 25,000 | 24,250 | ||||||
Assurant, Inc. | ||||||||
7.00% due 03/27/486 | 150,000 | 158,250 | ||||||
Wilton Re Finance LLC | ||||||||
5.88% due 03/30/334,6 | 150,000 | 151,352 | ||||||
Kennedy-Wilson, Inc. | ||||||||
5.00% due 03/01/31 | 150,000 | 144,000 | ||||||
Home Point Capital, Inc. | ||||||||
5.00% due 02/01/264 | 175,000 | 143,379 | ||||||
SLM Corp. | ||||||||
3.13% due 11/02/26 | 150,000 | 139,125 | ||||||
Jane Street Group / JSG Finance, Inc. | ||||||||
4.50% due 11/15/294 | 140,000 | 132,665 | ||||||
Greystar Real Estate Partners LLC | ||||||||
5.75% due 12/01/254 | 125,000 | 125,937 | ||||||
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc. | ||||||||
3.88% due 03/01/314 | 125,000 | 113,125 | ||||||
LPL Holdings, Inc. | ||||||||
4.38% due 05/15/314 | 100,000 | 96,694 | ||||||
Liberty Mutual Group, Inc. | ||||||||
4.30% due 02/01/614 | 100,000 | 79,480 | ||||||
Total Financial | 4,781,009 | |||||||
Industrial - 9.2% | ||||||||
New Enterprise Stone & Lime Company, Inc. | ||||||||
9.75% due 07/15/284 | 350,000 | 353,063 | ||||||
5.25% due 07/15/284 | 150,000 | 144,207 | ||||||
Cleaver-Brooks, Inc. | ||||||||
7.88% due 03/01/234 | 450,000 | 428,760 | ||||||
GrafTech Finance, Inc. | ||||||||
4.63% due 12/15/284 | 430,000 | 399,866 | ||||||
Artera Services LLC | ||||||||
9.03% due 12/04/254 | 400,000 | 399,706 | ||||||
Brundage-Bone Concrete Pumping Holdings, Inc. | ||||||||
6.00% due 02/01/264 | 275,000 | 264,751 | ||||||
TransDigm, Inc. | ||||||||
6.25% due 03/15/264 | 125,000 | 128,330 | ||||||
8.00% due 12/15/254 | 100,000 | 104,578 | ||||||
Standard Industries, Inc. | ||||||||
4.38% due 07/15/304 | 150,000 | 137,393 | ||||||
5.00% due 02/15/274 | 50,000 | 49,564 | ||||||
Howmet Aerospace, Inc. | ||||||||
5.95% due 02/01/37 | 175,000 | 186,531 | ||||||
Masonite International Corp. | ||||||||
5.38% due 02/01/284 | 175,000 | 176,312 | ||||||
EnerSys | ||||||||
4.38% due 12/15/274 | 175,000 | 167,562 | ||||||
Mauser Packaging Solutions Holding Co. | ||||||||
5.50% due 04/15/244 | 125,000 | 124,503 | ||||||
Great Lakes Dredge & Dock Corp. | ||||||||
5.25% due 06/01/294 | 125,000 | 119,375 | ||||||
Amsted Industries, Inc. | ||||||||
4.63% due 05/15/304 | 125,000 | 118,466 | ||||||
Ball Corp. | ||||||||
3.13% due 09/15/31 | 125,000 | 111,713 | ||||||
Arcosa, Inc. | ||||||||
4.38% due 04/15/294 | 75,000 | 71,156 | ||||||
Hillenbrand, Inc. | ||||||||
3.75% due 03/01/31 | 50,000 | 45,750 | ||||||
MIWD Holdco II LLC / MIWD Finance Corp. | ||||||||
5.50% due 02/01/304 | 25,000 | 23,344 | ||||||
Total Industrial | 3,554,930 | |||||||
Energy - 7.6% | ||||||||
Parkland Corp. | ||||||||
4.63% due 05/01/304 | 250,000 | 232,500 | ||||||
4.50% due 10/01/294 | 225,000 | 208,608 | ||||||
NuStar Logistics, LP | ||||||||
5.63% due 04/28/27 | 200,000 | 195,675 | ||||||
6.38% due 10/01/30 | 100,000 | 101,354 | ||||||
6.00% due 06/01/26 | 75,000 | 75,843 | ||||||
CVR Energy, Inc. | ||||||||
5.75% due 02/15/284,5 | 325,000 | 308,233 | ||||||
5.25% due 02/15/254 | 25,000 | 24,264 | ||||||
ITT Holdings LLC | ||||||||
6.50% due 08/01/294 | 325,000 | 300,209 | ||||||
Global Partners Limited Partnership / GLP Finance Corp. | ||||||||
7.00% due 08/01/27 | 225,000 | 225,000 | ||||||
6.88% due 01/15/29 | 50,000 | 49,414 | ||||||
Rattler Midstream, LP | ||||||||
5.63% due 07/15/254 | 250,000 | 253,750 | ||||||
Exterran Energy Solutions Limited Partnership / EES Finance Corp. | ||||||||
8.13% due 05/01/25 | 227,000 | 228,901 | ||||||
Occidental Petroleum Corp. | ||||||||
4.63% due 06/15/45 | 125,000 | 121,250 | ||||||
4.10% due 02/15/47 | 50,000 | 46,250 | ||||||
Southwestern Energy Co. | ||||||||
5.38% due 02/01/29 | 150,000 | 151,875 | ||||||
Crestwood Midstream Partners Limited Partnership / Crestwood Midstream Finance Corp. | ||||||||
5.63% due 05/01/274 | 150,000 | 148,626 | ||||||
TransMontaigne Partners Limited Partnership / TLP Finance Corp. | ||||||||
6.13% due 02/15/26 | 150,000 | 148,229 | ||||||
PDC Energy, Inc. | ||||||||
6.13% due 09/15/24 | 126,000 | 127,542 |
Series P (High Yield Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Face Amount~ | Value | |||||||||||
CORPORATE BONDS†† - 77.5% (continued) | ||||||||||||
Energy - 7.6% (continued) | ||||||||||||
Basic Energy Services, Inc. | ||||||||||||
due 10/15/237,8 | 175,000 | $ | 3,500 | |||||||||
Total Energy | 2,951,023 | |||||||||||
Consumer, Cyclical - 7.2% | ||||||||||||
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp. | ||||||||||||
5.88% due 03/01/27 | 275,000 | 278,781 | ||||||||||
5.00% due 06/01/314 | 150,000 | 140,625 | ||||||||||
1011778 BC ULC / New Red Finance, Inc. | ||||||||||||
3.88% due 01/15/284 | 150,000 | 142,130 | ||||||||||
3.50% due 02/15/294 | 125,000 | 115,431 | ||||||||||
JB Poindexter & Company, Inc. | ||||||||||||
7.13% due 04/15/264 | 200,000 | 203,250 | ||||||||||
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd. | ||||||||||||
5.75% due 01/20/264 | 190,000 | 190,108 | ||||||||||
Allison Transmission, Inc. | ||||||||||||
3.75% due 01/30/314 | 200,000 | 181,430 | ||||||||||
CD&R Smokey Buyer, Inc. | ||||||||||||
6.75% due 07/15/254 | 175,000 | 179,813 | ||||||||||
Clarios Global, LP | ||||||||||||
6.75% due 05/15/254 | 151,000 | 156,365 | ||||||||||
Wolverine World Wide, Inc. | ||||||||||||
4.00% due 08/15/294 | 175,000 | 155,313 | ||||||||||
Yum! Brands, Inc. | ||||||||||||
5.38% due 04/01/32 | 150,000 | 150,339 | ||||||||||
Fertitta Entertainment LLC / Fertitta Entertainment Finance Company, Inc. | ||||||||||||
4.63% due 01/15/294 | 150,000 | 142,125 | ||||||||||
Boyd Gaming Corp. | ||||||||||||
8.63% due 06/01/254 | 124,000 | 130,245 | ||||||||||
Station Casinos LLC | ||||||||||||
4.63% due 12/01/314 | 125,000 | 114,337 | ||||||||||
Wabash National Corp. | ||||||||||||
4.50% due 10/15/284 | 125,000 | 112,500 | ||||||||||
Scientific Games Holdings Limited Partnership/Scientific Games US FinCo, Inc. | ||||||||||||
6.63% due 03/01/304 | 100,000 | 98,578 | ||||||||||
Tempur Sealy International, Inc. | ||||||||||||
3.88% due 10/15/314 | 100,000 | 85,750 | ||||||||||
Six Flags Theme Parks, Inc. | ||||||||||||
7.00% due 07/01/254 | 75,000 | 78,281 | ||||||||||
Asbury Automotive Group, Inc. | ||||||||||||
5.00% due 02/15/324 | 75,000 | 69,716 | ||||||||||
Superior Plus, LP | ||||||||||||
4.25% due 05/18/284 | CAD | 75,000 | 56,559 | |||||||||
Ritchie Bros Holdings Ltd. | ||||||||||||
4.95% due 12/15/294 | CAD | 25,000 | 19,503 | |||||||||
Total Consumer, Cyclical | 2,801,179 | |||||||||||
Basic Materials - 6.9% | ||||||||||||
Carpenter Technology Corp. | ||||||||||||
6.38% due 07/15/28 | 400,000 | 401,620 | ||||||||||
7.63% due 03/15/30 | 125,000 | 127,989 | ||||||||||
Ingevity Corp. | ||||||||||||
3.88% due 11/01/284 | 200,000 | 180,766 | ||||||||||
4.50% due 02/01/264 | 100,000 | 96,500 | ||||||||||
Minerals Technologies, Inc. | ||||||||||||
5.00% due 07/01/284 | 275,000 | 261,937 | ||||||||||
SCIL IV LLC / SCIL USA Holdings LLC | ||||||||||||
5.38% due 11/01/264 | 225,000 | 207,000 | ||||||||||
EverArc Escrow SARL | ||||||||||||
5.00% due 10/30/294 | 225,000 | 205,594 | ||||||||||
Arconic Corp. | ||||||||||||
6.00% due 05/15/254 | 200,000 | 204,600 | ||||||||||
Kaiser Aluminum Corp. | ||||||||||||
4.63% due 03/01/284 | 110,000 | 103,330 | ||||||||||
4.50% due 06/01/314 | 75,000 | 67,619 | ||||||||||
Clearwater Paper Corp. | ||||||||||||
4.75% due 08/15/284 | 175,000 | 162,531 | ||||||||||
Diamond BC BV | ||||||||||||
4.63% due 10/01/294 | 150,000 | 134,625 | ||||||||||
Valvoline, Inc. | ||||||||||||
3.63% due 06/15/314 | 125,000 | 107,985 | ||||||||||
4.25% due 02/15/304 | 25,000 | 22,815 | ||||||||||
Compass Minerals International, Inc. | ||||||||||||
6.75% due 12/01/274 | 125,000 | 126,575 | ||||||||||
WR Grace Holdings LLC | ||||||||||||
4.88% due 06/15/274 | 125,000 | 122,306 | ||||||||||
Illuminate Buyer LLC / Illuminate Holdings IV, Inc. | ||||||||||||
9.00% due 07/01/284 | 100,000 | 101,250 | ||||||||||
Mirabela Nickel Ltd. | ||||||||||||
due 06/24/197,8 | 390,085 | 19,504 | ||||||||||
Total Basic Materials | 2,654,546 | |||||||||||
Technology - 2.6% | ||||||||||||
Minerva Merger Sub, Inc. | ||||||||||||
6.50% due 02/15/304 | 400,000 | 388,050 | ||||||||||
NCR Corp. | ||||||||||||
6.13% due 09/01/294 | 200,000 | 200,500 | ||||||||||
Open Text Holdings, Inc. | ||||||||||||
4.13% due 12/01/314 | 125,000 | 117,031 | ||||||||||
Boxer Parent Company, Inc. | ||||||||||||
7.13% due 10/02/254 | 100,000 | 103,654 | ||||||||||
MSCI, Inc. | ||||||||||||
3.88% due 02/15/314 | 100,000 | 94,815 | ||||||||||
CDK Global, Inc. | ||||||||||||
5.25% due 05/15/294 | 50,000 | 50,290 | ||||||||||
PTC, Inc. | ||||||||||||
4.00% due 02/15/284 | 50,000 | 48,714 | ||||||||||
Total Technology | 1,003,054 | |||||||||||
Utilities - 1.8% | ||||||||||||
Terraform Global Operating LLC | ||||||||||||
6.13% due 03/01/264 | 695,000 | 694,513 | ||||||||||
Total Corporate Bonds | ||||||||||||
(Cost $31,947,359) | 29,955,979 |
Series P (High Yield Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Face Amount~ | Value | |||||||
SENIOR FLOATING RATE INTERESTS††,◊ - 14.4% | ||||||||
Consumer, Cyclical - 3.8% | ||||||||
PetSmart LLC | ||||||||
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/11/28 | 298,500 | $ | 297,255 | |||||
American Tire Distributors, Inc. | ||||||||
7.00% (3 Month USD LIBOR + 6.25%, Rate Floor: 7.00%) due 10/20/28 | 175,000 | 173,177 | ||||||
Blue Nile, Inc. | ||||||||
8.00% (3 Month USD LIBOR + 7.00%, Rate Floor: 8.00%) due 02/17/23 | 174,375 | 170,234 | ||||||
ScribeAmerica Intermediate Holdco LLC (Healthchannels) | ||||||||
4.96% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/03/25 | 187,182 | 169,712 | ||||||
First Brands Group LLC | ||||||||
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 03/30/27 | 114,212 | 113,070 | ||||||
Apro LLC | ||||||||
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 11/16/26 | 99,000 | 98,257 | ||||||
Holding SOCOTEC | ||||||||
5.26% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 06/30/28 | 75,000 | 74,438 | ||||||
Mavis Tire Express Services TopCo Corp. | ||||||||
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 05/04/28 | 74,625 | 74,055 | ||||||
CCRR Parent, Inc. | ||||||||
4.76% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/06/28 | 74,438 | 73,972 | ||||||
FR Refuel LLC | ||||||||
5.50% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 11/08/28††† | 66,084 | 64,763 | ||||||
Fertitta Entertainment LLC | ||||||||
4.50% (1 Month USD Term SOFR + 4.00%, Rate Floor: 4.50%) due 01/27/29 | 62,500 | 62,109 | ||||||
Sotheby's | ||||||||
5.00% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.00%) due 01/15/27 | 52,012 | 51,947 | ||||||
Rent-A-Center, Inc. | ||||||||
3.81% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 02/17/28 | 49,625 | 48,540 | ||||||
Total Consumer, Cyclical | 1,471,529 | |||||||
Consumer, Non-cyclical - 2.9% | ||||||||
HAH Group Holding Co. LLC | ||||||||
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 10/29/27 | 148,550 | 146,322 | ||||||
SCP Eye Care Services LLC | ||||||||
6.00% (3 Month USD LIBOR + 4.50%, Rate Floor: 6.00%) due 03/16/28 | 126,882 | 124,662 | ||||||
Del Monte Foods, Inc. | ||||||||
due 02/16/29 | 100,000 | 98,375 | ||||||
Quirch Foods Holdings LLC | ||||||||
5.50% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 10/27/27 | 98,750 | 98,009 | ||||||
Women's Care Holdings, Inc. | ||||||||
5.25% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 01/17/28 | 99,250 | 97,761 | ||||||
Blue Ribbon LLC | ||||||||
6.75% (3 Month USD LIBOR + 6.00%, Rate Floor: 6.75%) due 05/08/28 | 97,500 | 95,452 | ||||||
Gibson Brands, Inc. | ||||||||
5.75% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 08/11/28††† | 97,256 | 95,311 | ||||||
Kronos Acquisition Holdings, Inc. | ||||||||
4.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/26 | 74,250 | 68,991 | ||||||
7.00% (3 Month USD Term SOFR + 6.00%, Rate Floor: 7.00%) due 12/22/26 | 25,000 | 24,761 | ||||||
National Mentor Holdings, Inc. | ||||||||
4.64% ((1 Month USD LIBOR + 3.75%) and (3 Month USD LIBOR + 3.75%), Rate Floor: 4.50%) due 03/02/28 | 94,856 | 91,602 | ||||||
Balrog Acquisition, Inc. | ||||||||
4.51% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 09/05/28 | 74,813 | 73,363 | ||||||
Confluent Health LLC | ||||||||
4.50% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 11/30/28 | 61,726 | 60,954 |
Series P (High Yield Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Face Amount~ | Value | |||||||||||
SENIOR FLOATING RATE INTERESTS††,◊ - 14.4% (continued) | ||||||||||||
Consumer, Non-cyclical - 2.9% (continued) | ||||||||||||
Osmosis Holdings Australia II Pty Ltd. | ||||||||||||
due 07/31/28 | 61,111 | $ | 60,424 | |||||||||
Total Consumer, Non-cyclical | 1,135,987 | |||||||||||
Industrial - 2.5% | ||||||||||||
Arcline FM Holdings LLC | ||||||||||||
5.50% (6 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 06/23/28 | 174,125 | 171,586 | ||||||||||
Dispatch Terra Acquisition LLC | ||||||||||||
5.26% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 03/27/28 | 148,999 | 145,647 | ||||||||||
Pelican Products, Inc. | ||||||||||||
5.26% (3 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 12/29/28 | 125,000 | 122,344 | ||||||||||
YAK MAT (YAK ACCESS LLC) | ||||||||||||
10.95% (3 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26 | 150,000 | 95,876 | ||||||||||
Aegion Corp. | ||||||||||||
5.50% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 05/17/28††† | 74,625 | 74,065 | ||||||||||
Michael Baker International LLC | ||||||||||||
5.75% (3 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 12/01/28 | 74,813 | 73,690 | ||||||||||
Pro Mach Group, Inc. | ||||||||||||
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 08/31/28 | 70,182 | 69,793 | ||||||||||
Air Canada | ||||||||||||
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 08/11/28 | 50,000 | 49,479 | ||||||||||
PECF USS Intermediate Holding III Corp. | ||||||||||||
4.76% (3 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 12/15/28 | 49,875 | 49,341 | ||||||||||
LTI Holdings, Inc. | ||||||||||||
5.21% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 07/24/26 | 49,875 | 49,252 | ||||||||||
United Airlines, Inc. | ||||||||||||
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 04/21/28 | 49,500 | 48,840 | ||||||||||
Total Industrial | 949,913 | |||||||||||
Technology - 2.4% | ||||||||||||
Datix Bidco Ltd. | ||||||||||||
4.96% (6 Month GBP LIBOR + 4.50%, Rate Floor: 4.50%) due 04/28/25††† | GBP | 150,000 | 196,184 | |||||||||
8.21% (6 Month GBP LIBOR + 7.75%, Rate Floor: 7.75%) due 04/27/26††† | GBP | 75,000 | 97,994 | |||||||||
Peraton Corp. | ||||||||||||
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28 | 243,272 | 241,219 | ||||||||||
Polaris Newco LLC | ||||||||||||
4.50% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 06/02/28 | 142,139 | 140,966 | ||||||||||
Apttus Corp. | ||||||||||||
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/08/28 | 74,625 | 74,314 | ||||||||||
Atlas CC Acquisition Corp. | ||||||||||||
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/25/28 | 74,438 | 74,042 | ||||||||||
Taxware Holdings (Sovos Compliance LLC) | ||||||||||||
5.00% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.00%) due 08/11/28 | 63,796 | 63,597 | ||||||||||
Planview Parent, Inc. | ||||||||||||
5.01% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/17/27 | 49,375 | 48,696 | ||||||||||
Total Technology | 937,012 | |||||||||||
Communications - 1.5% | ||||||||||||
McGraw Hill LLC | ||||||||||||
5.55% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.25%) due 07/28/28 | 199,125 | 196,823 | ||||||||||
Xplornet Communications, Inc. | ||||||||||||
4.50% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 10/02/28 | 124,375 | 121,861 | ||||||||||
Playtika Holding Corp. | ||||||||||||
3.21% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 03/13/28 | 99,000 | 97,402 | ||||||||||
Titan AcquisitionCo New Zealand Ltd. (Trade Me) | ||||||||||||
5.01% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 10/18/28 | 75,000 | 74,250 | ||||||||||
Cengage Learning Acquisitions, Inc. | ||||||||||||
5.75% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 07/14/26 | 74,625 | 73,926 | ||||||||||
Total Communications | 564,262 | |||||||||||
Financial - 0.6% | ||||||||||||
Franchise Group, Inc. | ||||||||||||
5.50% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 03/10/26 | 101,931 | 101,676 | ||||||||||
Claros Mortgage Trust, Inc. | ||||||||||||
5.00% (1 Month USD Term SOFR + 4.50%, Rate Floor: 5.00%) due 08/09/26††† | 92,000 | 91,540 |
Series P (High Yield Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Face Amount~ | Value | |||||||
SENIOR FLOATING RATE INTERESTS††,◊ - 14.4% (continued) | ||||||||
Financial - 0.6% (continued) | ||||||||
Eisner Advisory Group | ||||||||
6.00% (1 Month USD LIBOR + 5.25%, Rate Floor: 6.00%) due 07/28/28 | 49,750 | $ | 49,315 | |||||
Total Financial | 242,531 | |||||||
Basic Materials - 0.4% | ||||||||
NIC Acquisition Corp. | ||||||||
4.76% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/29/27 | 99,249 | 96,271 | ||||||
Ascend Performance Materials Operations LLC | ||||||||
due 08/27/26 | 50,000 | 49,771 | ||||||
Total Basic Materials | 146,042 | |||||||
Energy - 0.3% | ||||||||
TransMontaigne Operating Company LP | ||||||||
4.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/17/28 | 74,813 | 74,267 | ||||||
Permian Production Partners LLC | ||||||||
9.00% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) (in-kind rate was 2.00%) due 11/24/25†††,9 | 23,130 | 22,783 | ||||||
Total Energy | 97,050 | |||||||
Total Senior Floating Rate Interests | ||||||||
(Cost $5,637,604) | 5,544,326 | |||||||
Total Investments - 100.6% | ||||||||
(Cost $41,648,695) | $ | 38,863,523 | ||||||
Other Assets & Liabilities, net - (0.6)% | (235,021 | ) | ||||||
Total Net Assets - 100.0% | $ | 38,628,502 |
Forward Foreign Currency Exchange Contracts†† | ||||||||||||||||||||
Counterparty | Currency | Type | Quantity | Contract Amount | Settlement Date | Unrealized Depreciation | ||||||||||||||
Barclays Bank plc | CAD | Sell | 98,000 | 76,909 USD | 04/14/22 | $ | (1,499 | ) | ||||||||||||
Barclays Bank plc | GBP | Sell | 229,000 | 298,338 USD | 04/14/22 | (2,469 | ) | |||||||||||||
Bank of America, N.A. | EUR | Sell | 337,000 | 368,043 USD | 04/14/22 | (4,980 | ) | |||||||||||||
$ | (8,948 | ) |
~ | The face amount is denominated in U.S. dollars unless otherwise indicated. |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs, unless otherwise noted — See Note 3. |
†† | Value determined based on Level 2 inputs, unless otherwise noted — See Note 3. |
††† | Value determined based on Level 3 inputs — See Note 3. |
◊ | Variable rate security. Rate indicated is the rate effective at March 31, 2022. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
1 | Special Purpose Acquisition Company (SPAC). |
2 | Affiliated issuer. |
3 | Rate indicated is the 7-day yield as of March 31, 2022. |
4 | Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $25,756,968 (cost $27,139,838), or 66.7% of total net assets. |
5 | All or a portion of this security has been physically segregated or earmarked in connection with reverse repurchase agreements. At March 31, 2022, the total market value of segregated or earmarked security was $651,358 . — See Note 2. |
6 | Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date. |
7 | Security is in default of interest and/or principal obligations. |
8 | Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $23,004 (cost $528,103), or 0.1% of total net assets — See Note 6. |
9 | Payment-in-kind security. |
CAD — Canadian Dollar |
EUR — Euro |
EURIBOR — European Interbank Offered Rate |
GBP — British Pound |
LIBOR — London Interbank Offered Rate |
Series P (High Yield Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
plc — Public Limited Company |
SARL — Société à Responsabilité Limitée |
SOFR — Secured Overnight Financing Rate |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund's investments at March 31, 2022 (See Note 3 in the Notes to Schedule of Investments): |
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 393,967 | $ | 36,346 | $ | 204,582 | $ | 634,895 | ||||||||
Preferred Stocks | — | 723,855 | 2 | 723,857 | ||||||||||||
Warrants | 3,544 | — | — | 3,544 | ||||||||||||
Money Market Fund | 2,000,922 | — | — | 2,000,922 | ||||||||||||
Corporate Bonds | — | 29,955,979 | — | 29,955,979 | ||||||||||||
Senior Floating Rate Interests | — | 4,901,686 | 642,640 | 5,544,326 | ||||||||||||
Total Assets | $ | 2,398,433 | $ | 35,617,866 | $ | 847,224 | $ | 38,863,523 |
Investments in Securities (Liabilities) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Forward Foreign Currency Exchange Contracts** | $ | — | $ | 8,948 | $ | — | $ | 8,948 | ||||||||
Unfunded Loan Commitments (Note 5) | — | — | 1,571 | 1,571 | ||||||||||||
Total Liabilities | $ | — | $ | 8,948 | $ | 1,571 | $ | 10,519 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of the period end, reverse repurchase agreements of $377,191 are categorized as Level 2 within the disclosure hierarchy — See Note 2. |
The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:
Category | Ending Balance at March 31, 2022 | Valuation Technique | Unobservable Inputs | Input Range | Weighted Average* | |||||||
Assets: | ||||||||||||
Common Stocks | $ | 184,349 | Third Party Pricing | Broker Quote | — | — | ||||||
Common Stocks | 19,917 | Enterprise Value | Valuation Multiple | 3.2x-11.8x | 5.0x | |||||||
Common Stocks | 316 | Model Price | Liquidation Value | — | — | |||||||
Preferred Stocks | 2 | Model Price | Purchase Price | — | — | |||||||
Senior Floating Rate Interests | 348,462 | Third Party Pricing | Broker Quote | — | — | |||||||
Senior Floating Rate Interests | 294,178 | Yield Analysis | Yield | 5.6%-8.9% | 6.7% | |||||||
Total Assets | $ | 847,224 | ||||||||||
Liabilities: | ||||||||||||
Unfunded Loan Commitments | $ | 1,571 | Model Price | Purchase price | — | — |
* | Inputs are weighted by the fair value of the instruments. |
Series P (High Yield Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Significant changes in a quote, yield, liquidation value or valuation multiples would generally result in significant changes in the fair value of the security. Any remaining Level 3 securities held by the Fund and excluded from the table above, were not considered material to the Fund.
The Fund’s fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.
Transfer between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the period ended March 31, 2022, the Fund had securities with a total value of $260,916 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of $270,266 transfer out of Level 3 into Level 2 due to the availability of current and reliable market-based data provided by a third-party pricing service which utilizes significant observable inputs.
Summary of Fair Value Level 3 Activity
Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the period ended March 31, 2022:
Assets | Liabilities | |||||||||||||||||||
Senior Floating Rate Interests | Common Stocks | Preferred Stocks | Total Assets | Unfunded Loan Commitments | ||||||||||||||||
Beginning Balance | $ | 673,373 | $ | 209,563 | $ | 2 | $ | 882,938 | $ | (169 | ) | |||||||||
Purchases/(Receipts) | 111 | - | - | 111 | (104 | ) | ||||||||||||||
(Sales, maturities and paydowns)/Fundings | (11,645 | ) | - | - | (11,645 | ) | 18 | |||||||||||||
Amortization of premiums/discounts | 2,883 | - | - | 2,883 | - | |||||||||||||||
Total realized gains (losses) included in earnings | - | - | - | - | 22 | |||||||||||||||
Total change in unrealized appreciation (depreciation) included in earnings | (12,732 | ) | (4,981 | ) | - | (17,713 | ) | (1,338 | ) | |||||||||||
Transfers into Level 3 | 260,916 | - | - | 260,916 | - | |||||||||||||||
Transfers out of Level 3 | (270,266 | ) | - | - | (270,266 | ) | - | |||||||||||||
Ending Balance | $ | 642,640 | $ | 204,582 | $ | 2 | $ | 847,224 | $ | (1,571 | ) | |||||||||
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at March 31, 2022 | $ | (12,165 | ) | $ | (4,981 | ) | $ | - | $ | (17,146 | ) | $ | (1,334 | ) |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments, result in that company being considered an affiliated issuer, as defined in the 1940 Act.
Transactions during the period ended March 31, 2022, in which the company is an affiliated issuer, were as follows: |
Security Name | Value 12/31/21 | Additions | Reductions | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 03/31/22 | Shares 03/31/22 | |||||||||||||||||||||
Common Stock | ||||||||||||||||||||||||||||
BP Holdco LLC* | $ | 368 | $ | – | $ | – | $ | – | $ | 1 | $ | 369 | 523 |
* | Non-income producing security. |
Series Q (Small Cap Value Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Value | |||||||
COMMON STOCKS† - 93.4% | ||||||||
Financial - 26.8% | ||||||||
LXP Industrial Trust REIT | 75,011 | $ | 1,177,673 | |||||
First Horizon Corp. | 47,707 | 1,120,637 | ||||||
Prosperity Bancshares, Inc. | 14,976 | 1,039,035 | ||||||
Physicians Realty Trust REIT | 58,390 | 1,024,161 | ||||||
Unum Group | 31,630 | 996,661 | ||||||
CNO Financial Group, Inc. | 38,808 | 973,693 | ||||||
Cathay General Bancorp | 21,370 | 956,307 | ||||||
Hanmi Financial Corp. | 35,569 | 875,353 | ||||||
Investors Bancorp, Inc. | 48,389 | 722,448 | ||||||
BOK Financial Corp. | 7,564 | 710,638 | ||||||
STAG Industrial, Inc. REIT | 17,048 | 704,935 | ||||||
Axis Capital Holdings Ltd. | 11,496 | 695,163 | ||||||
Stifel Financial Corp. | 10,167 | 690,339 | ||||||
Hancock Whitney Corp. | 13,170 | 686,816 | ||||||
Simmons First National Corp. — Class A | 23,197 | 608,225 | ||||||
Apple Hospitality REIT, Inc. | 30,185 | 542,424 | ||||||
MGIC Investment Corp. | 39,769 | 538,870 | ||||||
Flagstar Bancorp, Inc. | 12,439 | 527,414 | ||||||
Independent Bank Group, Inc. | 6,785 | 482,821 | ||||||
Zions Bancorp North America | 7,193 | 471,573 | ||||||
Virtu Financial, Inc. — Class A | 12,488 | 464,804 | ||||||
Old Republic International Corp. | 17,213 | 445,300 | ||||||
Kennedy-Wilson Holdings, Inc. | 17,252 | 420,776 | ||||||
Sunstone Hotel Investors, Inc. REIT* | 35,434 | 417,412 | ||||||
Piedmont Office Realty Trust, Inc. — Class A REIT | 22,755 | 391,841 | ||||||
Park Hotels & Resorts, Inc. REIT | 19,249 | 375,933 | ||||||
Heartland Financial USA, Inc. | 7,689 | 367,765 | ||||||
First Hawaiian, Inc. | 12,966 | 361,622 | ||||||
Trustmark Corp. | 10,996 | 334,168 | ||||||
RMR Group, Inc. — Class A | 7,220 | 224,542 | ||||||
Heritage Insurance Holdings, Inc. | 29,534 | 210,873 | ||||||
Total Financial | 19,560,222 | |||||||
Industrial - 21.9% | ||||||||
GATX Corp. | 8,802 | 1,085,551 | ||||||
MDU Resources Group, Inc. | 38,023 | 1,013,313 | ||||||
Kirby Corp.* | 13,407 | 967,851 | ||||||
Littelfuse, Inc. | 3,479 | 867,697 | ||||||
Colfax Corp.* | 21,321 | 848,363 | ||||||
Graphic Packaging Holding Co. | 39,961 | 800,818 | ||||||
Knight-Swift Transportation Holdings, Inc. | 15,260 | 770,020 | ||||||
Valmont Industries, Inc. | 3,161 | 754,215 | ||||||
Sanmina Corp.* | 18,569 | 750,559 | ||||||
Terex Corp. | 18,854 | 672,334 | ||||||
Arcosa, Inc. | 11,584 | 663,184 | ||||||
Curtiss-Wright Corp. | 4,017 | 603,193 | ||||||
Daseke, Inc.* | 58,964 | 593,767 | ||||||
Zurn Water Solutions Corp. | 15,500 | 548,700 | ||||||
Altra Industrial Motion Corp. | 12,814 | 498,849 | ||||||
Energizer Holdings, Inc. | 16,081 | 494,652 | ||||||
PGT Innovations, Inc.* | 25,188 | 452,880 | ||||||
Stoneridge, Inc.* | 20,250 | 420,390 | ||||||
Moog, Inc. — Class A | 4,732 | 415,469 | ||||||
Owens Corning | 4,194 | 383,751 | ||||||
Park Aerospace Corp. | 27,305 | 356,330 | ||||||
Advanced Energy Industries, Inc. | 3,990 | 343,459 | ||||||
EnerSys | 4,571 | 340,859 | ||||||
Belden, Inc. | 5,787 | 320,600 | ||||||
Kennametal, Inc. | 11,020 | 315,282 | ||||||
Plexus Corp.* | 3,817 | 312,269 | ||||||
ChargePoint Holdings, Inc.* | 13,978 | 277,883 | ||||||
Smith-Midland Corp.* | 9,338 | 165,750 | ||||||
Total Industrial | 16,037,988 | |||||||
Consumer, Cyclical - 12.2% | ||||||||
H&E Equipment Services, Inc. | 24,579 | 1,069,678 | ||||||
Avient Corp. | 18,079 | 867,792 | ||||||
Methode Electronics, Inc. | 19,751 | 854,231 | ||||||
MSC Industrial Direct Company, Inc. — Class A | 8,379 | 713,975 | ||||||
Alaska Air Group, Inc.* | 12,258 | 711,087 | ||||||
Tenneco, Inc. — Class A* | 36,566 | 669,889 | ||||||
Whirlpool Corp. | 3,814 | 658,983 | ||||||
Hawaiian Holdings, Inc.* | 31,086 | 612,394 | ||||||
Meritage Homes Corp.* | 5,862 | 464,446 | ||||||
Lakeland Industries, Inc.* | 21,184 | 406,521 | ||||||
Rush Enterprises, Inc. — Class A | 6,988 | 355,759 | ||||||
Marriott Vacations Worldwide Corp. | 2,255 | 355,613 | ||||||
Macy's, Inc. | 13,170 | 320,821 | ||||||
Leggett & Platt, Inc. | 8,870 | 308,676 | ||||||
Newell Brands, Inc. | 13,715 | 293,638 | ||||||
Dana, Inc. | 15,507 | 272,458 | ||||||
Total Consumer, Cyclical | 8,935,961 | |||||||
Energy - 8.5% | ||||||||
Pioneer Natural Resources Co. | 11,717 | 2,929,602 | ||||||
Equities Corp. | 27,869 | 958,972 | ||||||
CNX Resources Corp.* | 40,226 | 833,483 | ||||||
Chesapeake Energy Corp. | 9,469 | 823,803 | ||||||
Patterson-UTI Energy, Inc. | 44,494 | 688,767 | ||||||
Total Energy | 6,234,627 | |||||||
Consumer, Non-cyclical - 6.2% | ||||||||
Encompass Health Corp. | 14,281 | 1,015,522 | ||||||
Ingredion, Inc. | 9,108 | 793,762 | ||||||
Central Garden & Pet Co. — Class A* | 16,553 | 675,031 | ||||||
US Foods Holding Corp.* | 16,542 | 622,476 | ||||||
Integer Holdings Corp.* | 6,366 | 512,909 | ||||||
Pacira BioSciences, Inc.* | 6,247 | 476,771 | ||||||
Perdoceo Education Corp.* | 20,801 | 238,795 | ||||||
Emergent BioSolutions, Inc.* | 4,706 | 193,228 | ||||||
Total Consumer, Non-cyclical | 4,528,494 | |||||||
Utilities - 4.8% | ||||||||
Black Hills Corp. | 17,277 | 1,330,674 | ||||||
OGE Energy Corp. | 19,004 | 774,983 | ||||||
Spire, Inc. | 7,249 | 520,188 | ||||||
ALLETE, Inc. | 6,868 | 460,019 | ||||||
Avista Corp. | 9,559 | 431,589 | ||||||
Total Utilities | 3,517,453 | |||||||
Basic Materials - 4.7% | ||||||||
Huntsman Corp. | 32,095 | 1,203,883 | ||||||
Reliance Steel & Aluminum Co. | 3,874 | 710,298 | ||||||
Ashland Global Holdings, Inc. | 6,259 | 615,948 | ||||||
Element Solutions, Inc. | 24,781 | 542,704 |
Series Q (Small Cap Value Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Value | |||||||
COMMON STOCKS† - 93.4% (continued) | ||||||||
Basic Materials - 4.7% (continued) | ||||||||
Commercial Metals Co. | 8,977 | $ | 373,623 | |||||
Total Basic Materials | 3,446,456 | |||||||
Technology - 4.4% | ||||||||
Science Applications International Corp. | 9,254 | 852,941 | ||||||
DXC Technology Co.* | 24,545 | 800,904 | ||||||
Amkor Technology, Inc. | 24,185 | 525,298 | ||||||
Evolent Health, Inc. — Class A* | 15,878 | 512,860 | ||||||
Conduent, Inc.* | 95,977 | 495,241 | ||||||
Total Technology | 3,187,244 | |||||||
Communications - 3.9% | ||||||||
Infinera Corp.* | 87,174 | 755,799 | ||||||
TEGNA, Inc. | 32,594 | 730,105 | ||||||
Ciena Corp.* | 10,256 | 621,821 | ||||||
Gray Television, Inc. | 25,944 | 572,584 | ||||||
Audacy, Inc.* | 57,603 | 166,473 | ||||||
Total Communications | 2,846,782 | |||||||
Total Common Stocks | ||||||||
(Cost $56,491,471) | 68,295,227 |
CONVERTIBLE PREFERRED STOCKS††† - 0.0% | ||||||||
Industrial - 0.0% | ||||||||
Thermoenergy Corp.*,1 | 116,667 | 1 | ||||||
Total Convertible Preferred Stocks | ||||||||
(Cost $111,410) | 1 |
RIGHTS† - 0.1% | ||||||||
Basic Materials - 0.1% | ||||||||
Pan American Silver Corp. * | 81,258 | 68,257 | ||||||
Total Rights | ||||||||
(Cost $–) | 68,257 |
EXCHANGE-TRADED FUNDS† - 2.5% | ||||||||
iShares Russell 2000 Value ETF | 11,483 | 1,853,356 | ||||||
Total Exchange-Traded Funds | ||||||||
(Cost $1,301,506) | 1,853,356 |
MONEY MARKET FUND† - 4.0% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.12%2 | 2,917,595 | 2,917,595 | ||||||
Total Money Market Fund | ||||||||
(Cost $2,917,595) | 2,917,595 | |||||||
Total Investments - 100.0% | ||||||||
(Cost $60,821,982) | $ | 73,134,436 | ||||||
Other Assets & Liabilities, net - 0.0% | (10,148 | ) | ||||||
Total Net Assets - 100.0% | $ | 73,124,288 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 3. |
††† | Value determined based on Level 3 inputs — See Note 3. |
1 | PIPE (Private Investment in Public Equity) - Stock issued by a company in the secondary market as a means of raising capital more quickly and less expensively than through registration of a secondary public offering. |
2 | Rate indicated is the 7-day yield as of March 31, 2022. |
REIT — Real Estate Investment Trust
See Sector Classification in Other Information section.
The following table summarizes the inputs used to value the Fund's investments at March 31, 2022 (See Note 3 in the Notes to Schedule of Investments): | ||||||||||||||||
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 68,295,227 | $ | — | $ | — | $ | 68,295,227 | ||||||||
Convertible Preferred Stocks | — | — | 1 | 1 | ||||||||||||
Rights | 68,257 | — | — | 68,257 | ||||||||||||
Exchange-Traded Funds | 1,853,356 | — | — | 1,853,356 | ||||||||||||
Money Market Fund | 2,917,595 | — | — | 2,917,595 | ||||||||||||
Total Assets | $ | 73,134,435 | $ | — | $ | 1 | $ | 73,134,436 |
Series V (SMid Cap Value Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Value | |||||||
COMMON STOCKS† - 98.3% | ||||||||
Financial - 25.1% | ||||||||
Alleghany Corp.* | 5,855 | $ | 4,959,185 | |||||
First Horizon Corp. | 202,420 | 4,754,846 | ||||||
Physicians Realty Trust REIT | 164,446 | 2,884,383 | ||||||
Alexandria Real Estate Equities, Inc. REIT | 14,205 | 2,858,756 | ||||||
Prosperity Bancshares, Inc. | 37,832 | 2,624,784 | ||||||
Unum Group | 80,052 | 2,522,439 | ||||||
BOK Financial Corp. | 21,837 | 2,051,586 | ||||||
VICI Properties, Inc. REIT | 70,712 | 2,012,463 | ||||||
STAG Industrial, Inc. REIT | 47,835 | 1,977,977 | ||||||
Sun Communities, Inc. REIT | 10,576 | 1,853,867 | ||||||
Axis Capital Holdings Ltd. | 29,809 | 1,802,550 | ||||||
Stifel Financial Corp. | 26,146 | 1,775,313 | ||||||
KeyCorp | 72,582 | 1,624,385 | ||||||
Apple Hospitality, Inc. REIT | 82,613 | 1,484,556 | ||||||
Voya Financial, Inc. | 21,525 | 1,428,184 | ||||||
Virtu Financial, Inc. — Class A | 36,940 | 1,374,907 | ||||||
Zions Bancorp North America | 18,375 | 1,204,665 | ||||||
Old Republic International Corp. | 46,321 | 1,198,324 | ||||||
Medical Properties Trust, Inc. REIT | 53,620 | 1,133,527 | ||||||
Heartland Financial USA, Inc. | 21,485 | 1,027,628 | ||||||
Park Hotels & Resorts, Inc. REIT | 50,975 | 995,542 | ||||||
Gaming and Leisure Properties, Inc. REIT | 19,571 | 918,467 | ||||||
First Hawaiian, Inc. | 32,761 | 913,704 | ||||||
Trustmark Corp. | 27,785 | 844,386 | ||||||
Heritage Insurance Holdings, Inc. | 74,765 | 533,822 | ||||||
Total Financial | 46,760,246 | |||||||
Industrial - 20.0% | ||||||||
Kirby Corp.* | 38,649 | 2,790,071 | ||||||
Littelfuse, Inc. | 10,214 | 2,547,474 | ||||||
Graphic Packaging Holding Co. | 119,885 | 2,402,495 | ||||||
Johnson Controls International plc | 32,961 | 2,161,253 | ||||||
Knight-Swift Transportation Holdings, Inc. | 42,599 | 2,149,545 | ||||||
Colfax Corp.* | 53,282 | 2,120,091 | ||||||
Valmont Industries, Inc. | 7,997 | 1,908,084 | ||||||
Packaging Corporation of America | 11,916 | 1,860,207 | ||||||
Terex Corp. | 47,683 | 1,700,376 | ||||||
Arcosa, Inc. | 28,950 | 1,657,387 | ||||||
Curtiss-Wright Corp. | 10,964 | 1,646,354 | ||||||
Zurn Water Solutions Corp. | 42,569 | 1,506,943 | ||||||
Daseke, Inc.* | 147,451 | 1,484,832 | ||||||
GATX Corp. | 11,670 | 1,439,261 | ||||||
Altra Industrial Motion Corp. | 32,424 | 1,262,266 | ||||||
Energizer Holdings, Inc. | 40,672 | 1,251,071 | ||||||
PGT Innovations, Inc.* | 68,573 | 1,232,943 | ||||||
Stoneridge, Inc.* | 51,265 | 1,064,261 | ||||||
Advanced Energy Industries, Inc. | 10,258 | 883,009 | ||||||
EnerSys | 11,333 | 845,102 | ||||||
Kennametal, Inc. | 28,392 | 812,295 | ||||||
Park Aerospace Corp. | 61,229 | 799,039 | ||||||
Plexus Corp.* | 9,638 | 788,485 | ||||||
ChargePoint Holdings, Inc.* | 35,037 | 696,535 | ||||||
Smith-Midland Corp.* | 4,695 | 83,336 | ||||||
Total Industrial | 37,092,715 | |||||||
Consumer, Cyclical - 12.1% | ||||||||
H&E Equipment Services, Inc. | 61,426 | 2,673,259 | ||||||
Avient Corp. | 46,496 | 2,231,808 | ||||||
LKQ Corp. | 48,239 | 2,190,533 | ||||||
MSC Industrial Direct Company, Inc. — Class A | 22,407 | 1,909,300 | ||||||
Methode Electronics, Inc. | 43,794 | 1,894,090 | ||||||
Alaska Air Group, Inc.* | 32,117 | 1,863,107 | ||||||
Whirlpool Corp. | 9,535 | 1,647,457 | ||||||
Ralph Lauren Corp. — Class A | 13,536 | 1,535,524 | ||||||
DR Horton, Inc. | 19,918 | 1,484,090 | ||||||
PVH Corp. | 11,908 | 912,272 | ||||||
Marriott Vacations Worldwide Corp. | 5,658 | 892,267 | ||||||
Leggett & Platt, Inc. | 22,402 | 779,590 | ||||||
Newell Brands, Inc. | 35,094 | 751,363 | ||||||
Lakeland Industries, Inc.* | 35,963 | 690,130 | ||||||
Dana, Inc. | 38,966 | 684,633 | ||||||
La-Z-Boy, Inc. | 13,202 | 348,137 | ||||||
Total Consumer, Cyclical | 22,487,560 | |||||||
Consumer, Non-cyclical - 12.0% | ||||||||
Bunge Ltd. | 40,835 | 4,524,926 | ||||||
Ingredion, Inc. | 25,798 | 2,248,296 | ||||||
Encompass Health Corp. | 31,114 | 2,212,517 | ||||||
Henry Schein, Inc.* | 25,168 | 2,194,398 | ||||||
J M Smucker Co. | 15,120 | 2,047,399 | ||||||
Central Garden & Pet Co. — Class A* | 43,114 | 1,758,189 | ||||||
Tyson Foods, Inc. — Class A | 18,994 | 1,702,432 | ||||||
US Foods Holding Corp.* | 45,191 | 1,700,538 | ||||||
Integer Holdings Corp.* | 17,381 | 1,400,387 | ||||||
Pacira BioSciences, Inc.* | 15,959 | 1,217,991 | ||||||
Quest Diagnostics, Inc. | 6,475 | 886,168 | ||||||
Emergent BioSolutions, Inc.* | 11,690 | 479,991 | ||||||
Total Consumer, Non-cyclical | 22,373,232 | |||||||
Energy - 7.5% | ||||||||
Pioneer Natural Resources Co. | 30,929 | 7,733,178 | ||||||
Equities Corp. | 70,073 | 2,411,212 | ||||||
Chesapeake Energy Corp. | 23,809 | 2,071,383 | ||||||
Patterson-UTI Energy, Inc. | 112,085 | 1,735,075 | ||||||
HydroGen Corp.*,†††,1 | 672,346 | 1 | ||||||
Total Energy | 13,950,849 | |||||||
Basic Materials - 7.2% | ||||||||
Huntsman Corp. | 80,652 | 3,025,257 | ||||||
Westlake Corp. | 23,085 | 2,848,689 | ||||||
Reliance Steel & Aluminum Co. | 9,765 | 1,790,413 | ||||||
Ashland Global Holdings, Inc. | 17,628 | 1,734,771 | ||||||
Element Solutions, Inc. | 67,298 | 1,473,826 | ||||||
Nucor Corp. | 9,527 | 1,416,188 | ||||||
Commercial Metals Co. | 27,772 | 1,155,871 | ||||||
Total Basic Materials | 13,445,015 | |||||||
Technology - 6.4% | ||||||||
Evolent Health, Inc. — Class A* | 129,629 | 4,187,017 | ||||||
Science Applications International Corp. | 23,262 | 2,144,058 | ||||||
Leidos Holdings, Inc. | 19,309 | 2,085,758 | ||||||
DXC Technology Co.* | 61,893 | 2,019,569 | ||||||
Teradyne, Inc. | 7,769 | 918,529 |
Series V (SMid Cap Value Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Value | |||||||
COMMON STOCKS† - 98.3% (continued) | ||||||||
Technology - 6.4% (continued) | ||||||||
Qorvo, Inc.* | 4,639 | $ | 575,700 | |||||
Total Technology | 11,930,631 | |||||||
Utilities - 4.6% | ||||||||
Black Hills Corp. | 43,060 | 3,316,481 | ||||||
Pinnacle West Capital Corp. | 26,160 | 2,043,096 | ||||||
OGE Energy Corp. | 48,097 | 1,961,396 | ||||||
Spire, Inc. | 17,968 | 1,289,384 | ||||||
Total Utilities | 8,610,357 | |||||||
Communications - 3.4% | ||||||||
Infinera Corp.* | 285,587 | 2,476,039 | ||||||
TEGNA, Inc. | 104,531 | 2,341,494 | ||||||
Ciena Corp.* | 25,828 | 1,565,952 | ||||||
Total Communications | 6,383,485 | |||||||
Total Common Stocks | ||||||||
(Cost $146,609,707) | 183,034,090 |
CONVERTIBLE PREFERRED STOCKS††† - 0.0% | ||||||||
Industrial - 0.0% | ||||||||
Thermoenergy Corp.*,2 | 308,333 | 1 | ||||||
Total Convertible Preferred Stocks | ||||||||
(Cost $294,438) | 1 |
RIGHTS† - 0.1% | ||||||||
Basic Materials - 0.1% | ||||||||
Pan American Silver Corp.* | 220,317 | 185,066 | ||||||
Total Rights | ||||||||
(Cost $–) | 185,066 |
MONEY MARKET FUND† - 1.2% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.12%3 | 2,140,149 | 2,140,149 | ||||||
Total Money Market Fund | ||||||||
(Cost $2,140,149) | 2,140,149 | |||||||
Total Investments - 99.6% | ||||||||
(Cost $149,044,294) | $ | 185,359,306 | ||||||
Other Assets & Liabilities, net - 0.4% | 729,942 | |||||||
Total Net Assets - 100.0% | $ | 186,089,248 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs, unless otherwise noted— See Note 3. |
††† | Value determined based on Level 3 inputs — See Note 3. |
1 | Affiliated issuer. |
2 | PIPE (Private Investment in Public Equity) - Stock issued by a company in the secondary market as a means of raising capital more quickly and less expensively than through registration of a secondary public offering. |
3 | Rate indicated is the 7-day yield as of March 31, 2022. |
plc — Public Limited Company
REIT — Real Estate Investment Trust
See Sector Classification in Other Information section.
The following table summarizes the inputs used to value the Fund's investments at March 31, 2022 (See Note 3 in the Notes to Schedule of Investments):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 183,034,089 | $ | — | $ | 1 | $ | 183,034,090 | ||||||||
Convertible Preferred Stocks | — | — | 1 | 1 | ||||||||||||
Rights | 185,066 | — | — | 185,066 | ||||||||||||
Money Market Fund | 2,140,149 | — | — | 2,140,149 | ||||||||||||
Total Assets | $ | 185,359,304 | $ | — | $ | 2 | $ | 185,359,306 |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments, result in that company being considered an affiliated issuer, as defined in the 1940 Act.
Series V (SMid Cap Value Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Transactions during the period ended March 31, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | Value 12/31/21 | Additions | Reductions | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 03/31/22 | Shares 03/31/22 | |||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||
HydroGen Corp. * | $ | 1 | $ | – | $ | – | $ | – | $ | – | $ | 1 | 672,346 |
* | Non-income producing security. |
Series X (StylePlus—Small Growth Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Value | |||||||
COMMON STOCKS† - 20.9% | ||||||||
Financial - 4.1% | ||||||||
United Community Banks, Inc. | 2,661 | $ | 92,603 | |||||
First BanCorp | 6,957 | 91,276 | ||||||
Preferred Bank/Los Angeles CA | 1,046 | 77,498 | ||||||
Banner Corp. | 1,289 | 75,445 | ||||||
Central Pacific Financial Corp. | 2,537 | 70,782 | ||||||
National Bank Holdings Corp. — Class A | 1,678 | 67,590 | ||||||
HomeStreet, Inc. | 1,414 | 66,995 | ||||||
Hilltop Holdings, Inc. | 2,118 | 62,269 | ||||||
Meta Financial Group, Inc. | 1,109 | 60,906 | ||||||
Piper Sandler Cos. | 458 | 60,112 | ||||||
Dime Community Bancshares, Inc. | 1,704 | 58,907 | ||||||
Virtus Investment Partners, Inc. | 239 | 57,358 | ||||||
ServisFirst Bancshares, Inc. | 592 | 56,412 | ||||||
Walker & Dunlop, Inc. | 435 | 56,298 | ||||||
Veritex Holdings, Inc. | 1,247 | 47,598 | ||||||
Hanmi Financial Corp. | 1,913 | 47,079 | ||||||
Enova International, Inc.* | 1,078 | 40,932 | ||||||
Stewart Information Services Corp. | 615 | 37,275 | ||||||
Independence Realty Trust, Inc. REIT | 1,406 | 37,175 | ||||||
Southside Bancshares, Inc. | 781 | 31,888 | ||||||
Triumph Bancorp, Inc.* | 327 | 30,745 | ||||||
Customers Bancorp, Inc.* | 474 | 24,714 | ||||||
Independent Bank Corp. | 268 | 21,893 | ||||||
Interactive Brokers Group, Inc. — Class A | 327 | 21,552 | ||||||
Innovative Industrial Properties, Inc. REIT | 85 | 17,459 | ||||||
Total Financial | 1,312,761 | |||||||
Industrial - 4.0% | ||||||||
UFP Industries, Inc. | 1,204 | 92,901 | ||||||
Mueller Industries, Inc. | 1,662 | 90,031 | ||||||
Chart Industries, Inc.* | 501 | 86,057 | ||||||
OSI Systems, Inc.* | 917 | 78,055 | ||||||
Knowles Corp.* | 3,608 | 77,680 | ||||||
Tennant Co. | 956 | 75,333 | ||||||
Comfort Systems USA, Inc. | 794 | 70,674 | ||||||
Advanced Energy Industries, Inc. | 820 | 70,586 | ||||||
Hillenbrand, Inc. | 1,473 | 65,062 | ||||||
Fabrinet* | 609 | 64,024 | ||||||
Encore Wire Corp. | 504 | 57,491 | ||||||
Sturm Ruger & Company, Inc. | 808 | 56,253 | ||||||
Matson, Inc. | 456 | 55,003 | ||||||
Albany International Corp. — Class A | 577 | 48,652 | ||||||
Badger Meter, Inc. | 427 | 42,576 | ||||||
Trinity Industries, Inc. | 1,222 | 41,988 | ||||||
Insteel Industries, Inc. | 1,134 | 41,947 | ||||||
Materion Corp. | 474 | 40,641 | ||||||
Dorian LPG Ltd. | 2,268 | 32,863 | ||||||
Eagle Materials, Inc. | 224 | 28,753 | ||||||
Boise Cascade Co. | 369 | 25,634 | ||||||
Exponent, Inc. | 207 | 22,366 | ||||||
Total Industrial | 1,264,570 | |||||||
Technology - 3.8% | ||||||||
Rambus, Inc.* | 2,901 | 92,513 | ||||||
Diodes, Inc.* | 986 | 85,772 | ||||||
CSG Systems International, Inc. | 1,329 | 84,484 | ||||||
ExlService Holdings, Inc.* | 572 | 81,950 | ||||||
Progress Software Corp. | 1,636 | 77,039 | ||||||
Xperi Holding Corp. | 4,397 | 76,156 | ||||||
SPS Commerce, Inc.* | 569 | 74,653 | ||||||
Onto Innovation, Inc.* | 842 | 73,161 | ||||||
MaxLinear, Inc. — Class A* | 1,194 | 69,670 | ||||||
Kulicke & Soffa Industries, Inc. | 1,157 | 64,815 | ||||||
Digi International, Inc.* | 2,667 | 57,394 | ||||||
Axcelis Technologies, Inc.* | 737 | 55,666 | ||||||
Veeco Instruments, Inc.* | 1,753 | 47,664 | ||||||
TTEC Holdings, Inc. | 576 | 47,532 | ||||||
Ultra Clean Holdings, Inc.* | 1,081 | 45,824 | ||||||
Maximus, Inc. | 602 | 45,120 | ||||||
3D Systems Corp.* | 2,501 | 41,717 | ||||||
CEVA, Inc.* | 962 | 39,105 | ||||||
Cohu, Inc.* | 1,165 | 34,484 | ||||||
Apollo Medical Holdings, Inc.* | 647 | 31,360 | ||||||
Total Technology | 1,226,079 | |||||||
Consumer, Non-cyclical - 3.7% | ||||||||
Alarm.com Holdings, Inc.* | 1,225 | 81,413 | ||||||
AMN Healthcare Services, Inc.* | 695 | 72,509 | ||||||
Omnicell, Inc.* | 535 | 69,277 | ||||||
Prestige Consumer Healthcare, Inc.* | 1,219 | 64,534 | ||||||
CONMED Corp. | 428 | 63,580 | ||||||
EVERTEC, Inc. | 1,534 | 62,787 | ||||||
Innoviva, Inc.* | 2,952 | 57,121 | ||||||
Pacira BioSciences, Inc.* | 720 | 54,951 | ||||||
Amphastar Pharmaceuticals, Inc.* | 1,469 | 52,737 | ||||||
Tivity Health, Inc.* | 1,533 | 49,316 | ||||||
Supernus Pharmaceuticals, Inc.* | 1,482 | 47,898 | ||||||
Coherus Biosciences, Inc.* | 3,679 | 47,496 | ||||||
Cytokinetics, Inc.* | 1,288 | 47,411 | ||||||
Ligand Pharmaceuticals, Inc. — Class B* | 396 | 44,546 | ||||||
LeMaitre Vascular, Inc. | 954 | 44,332 | ||||||
Corcept Therapeutics, Inc.* | 1,779 | 40,063 | ||||||
Eagle Pharmaceuticals, Inc.* | 809 | 40,038 | ||||||
Surmodics, Inc.* | 879 | 39,845 | ||||||
Halozyme Therapeutics, Inc.* | 972 | 38,764 | ||||||
Varex Imaging Corp.* | 1,718 | 36,576 | ||||||
Fulgent Genetics, Inc.* | 475 | 29,645 | ||||||
Vanda Pharmaceuticals, Inc.* | 2,617 | 29,598 | ||||||
uniQure N.V.* | 1,604 | 28,984 | ||||||
iTeos Therapeutics, Inc.* | 788 | 25,358 | ||||||
CorVel Corp.* | 136 | 22,908 | ||||||
Total Consumer, Non-cyclical | 1,191,687 | |||||||
Consumer, Cyclical - 2.4% | ||||||||
Boot Barn Holdings, Inc.* | 619 | 58,675 | ||||||
Methode Electronics, Inc. | 1,265 | 54,711 | ||||||
Vista Outdoor, Inc.* | 1,348 | 48,110 | ||||||
Gentherm, Inc.* | 583 | 42,583 | ||||||
Dine Brands Global, Inc. | 540 | 42,093 | ||||||
Shoe Carnival, Inc. | 1,414 | 41,232 | ||||||
LGI Homes, Inc.* | 421 | 41,123 | ||||||
Installed Building Products, Inc. | 457 | 38,612 | ||||||
Jack in the Box, Inc. | 406 | 37,924 |
Series X (StylePlus—Small Growth Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Value | |||||||
COMMON STOCKS† - 20.9% (continued) | ||||||||
Consumer, Cyclical - 2.4% (continued) | ||||||||
MarineMax, Inc.* | 908 | $ | 36,556 | |||||
Patrick Industries, Inc. | 606 | 36,542 | ||||||
Cavco Industries, Inc.* | 151 | 36,368 | ||||||
Oxford Industries, Inc. | 381 | 34,481 | ||||||
Sleep Number Corp.* | 665 | 33,722 | ||||||
Buckle, Inc. | 1,004 | 33,172 | ||||||
Movado Group, Inc. | 806 | 31,474 | ||||||
Winnebago Industries, Inc. | 581 | 31,392 | ||||||
Kontoor Brands, Inc. | 740 | 30,599 | ||||||
Asbury Automotive Group, Inc.* | 143 | 22,909 | ||||||
Hibbett, Inc. | 458 | 20,308 | ||||||
Total Consumer, Cyclical | 752,586 | |||||||
Energy - 1.3% | ||||||||
Matador Resources Co. | 1,382 | 73,218 | ||||||
SM Energy Co. | 1,677 | 65,319 | ||||||
Civitas Resources, Inc. | 957 | 57,143 | ||||||
Southwestern Energy Co.* | 7,738 | 55,481 | ||||||
Range Resources Corp.* | 1,647 | 50,036 | ||||||
PDC Energy, Inc. | 541 | 39,320 | ||||||
Callon Petroleum Co.* | 650 | 38,402 | ||||||
Antero Midstream Corp. | 1,918 | 20,849 | ||||||
Total Energy | 399,768 | |||||||
Communications - 1.0% | ||||||||
Viavi Solutions, Inc.* | 3,896 | 62,648 | ||||||
Perficient, Inc.* | 533 | 58,678 | ||||||
InterDigital, Inc. | 798 | 50,912 | ||||||
Extreme Networks, Inc.* | 3,909 | 47,729 | ||||||
Shutterstock, Inc. | 462 | 43,003 | ||||||
Harmonic, Inc.* | 3,250 | 30,192 | ||||||
HealthStream, Inc.* | 1,053 | 20,976 | ||||||
Total Communications | 314,138 | |||||||
Basic Materials - 0.6% | ||||||||
Livent Corp.* | 2,438 | 63,559 | ||||||
Ingevity Corp.* | 810 | 51,897 | ||||||
AdvanSix, Inc. | 851 | 43,478 | ||||||
Valvoline, Inc. | 629 | 19,851 | ||||||
Balchem Corp. | 115 | 15,720 | ||||||
Total Basic Materials | 194,505 | |||||||
Total Common Stocks | ||||||||
(Cost $6,421,318) | 6,656,094 |
MUTUAL FUNDS† - 77.1% | ||||||||
Guggenheim Variable Insurance Strategy Fund III1 | 390,803 | 9,609,844 | ||||||
Guggenheim Strategy Fund III1 | 370,219 | 9,122,206 | ||||||
Guggenheim Strategy Fund II1 | 224,584 | 5,513,543 | ||||||
Guggenheim Ultra Short Duration Fund — Institutional Class1 | 29,322 | 287,061 | ||||||
Total Mutual Funds | ||||||||
(Cost $24,856,127) | 24,532,654 |
MONEY MARKET FUND† - 2.8% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.12%2 | 875,989 | 875,989 | ||||||
Total Money Market Fund | ||||||||
(Cost $875,989) | 875,989 | |||||||
Total Investments - 100.8% | ||||||||
(Cost $32,153,434) | $ | 32,064,737 | ||||||
Other Assets & Liabilities, net - (0.8)% | (263,851 | ) | ||||||
Total Net Assets - 100.0% | $ | 31,800,886 |
Futures Contracts | ||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized Appreciation** | ||||||||||
Equity Futures Contracts Purchased† | ||||||||||||||
Russell 2000 Index Mini Futures Contracts | 3 | Jun 2022 | $ | 309,750 | $ | 19,151 | ||||||||
S&P MidCap 400 Index Mini Futures Contracts | 1 | Jun 2022 | 268,770 | 14,922 | ||||||||||
$ | 578,520 | $ | 34,073 |
Total Return Swap Agreements | ||||||||||||||||||||||||
Counterparty | Index | Type | Financing Rate | Payment Frequency | Maturity Date | Units | Notional Amount | Value and Unrealized Depreciation | ||||||||||||||||
OTC Equity Index Swap Agreements†† | ||||||||||||||||||||||||
Wells Fargo Bank, N.A. | Russell 2000 Growth Index | Pay | 0.54% (Federal Funds Rate + 0.21%) | At Maturity | 04/07/22 | 18,977 | $ | 24,682,511 | $ | (3,702,299 | ) |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). |
† | Value determined based on Level 1 inputs — See Note 3. |
†† | Value determined based on Level 2 inputs — See Note 3. |
1 | Affiliated issuer. |
2 | Rate indicated is the 7-day yield as of March 31, 2022. |
Series X (StylePlus—Small Growth Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
REIT — Real Estate Investment Trust
See Sector Classification in Other Information section.
The following table summarizes the inputs used to value the Fund's investments at March 31, 2022 (See Note 3 in the Notes to Schedule of Investments):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 6,656,094 | $ | — | $ | — | $ | 6,656,094 | ||||||||
Mutual Funds | 24,532,654 | — | — | 24,532,654 | ||||||||||||
Money Market Fund | 875,989 | — | — | 875,989 | ||||||||||||
Equity Futures Contracts** | 34,073 | — | — | 34,073 | ||||||||||||
Total Assets | $ | 32,098,810 | $ | — | $ | — | $ | 32,098,810 |
Investments in Securities (Liabilities) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Equity Index Swap Agreements** | $ | — | $ | 3,702,299 | $ | — | $ | 3,702,299 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles' annual report on Form N-CSR dated September 30, 2021, is available publicly or upon request. This information is available from the EDGAR database on the SEC's website at https://www.sec.gov/Archives/edgar/data/1601445/000182126821000490/gugg83048-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the period ended March 31, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | Value 12/31/21 | Additions | Reductions | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 03/31/22 | Shares 03/31/22 | Investment Income | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 6,675,169 | $ | 2,733,762 | $ | (3,822,927 | ) | $ | (15,979 | ) | $ | (56,482 | ) | $ | 5,513,543 | 224,584 | $ | 19,238 | ||||||||||||||
Guggenheim Strategy Fund III | 9,233,350 | 32,938 | – | – | (144,082 | ) | 9,122,206 | 370,219 | 33,582 | |||||||||||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 3,333,685 | 1,882 | (3,041,984 | ) | (19,829 | ) | 13,307 | 287,061 | 29,322 | 2,047 | ||||||||||||||||||||||
Guggenheim Variable Insurance Strategy Fund III | 8,963,296 | 779,600 | – | – | (133,052 | ) | 9,609,844 | 390,803 | 30,194 | |||||||||||||||||||||||
$ | 28,205,500 | $ | 3,548,182 | $ | (6,864,911 | ) | $ | (35,808 | ) | $ | (320,309 | ) | $ | 24,532,654 | $ | 85,061 |
Series Y (StylePlus—Large Growth Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Value | |||||||
COMMON STOCKS† - 18.8% | ||||||||
Technology - 7.8% | ||||||||
Apple, Inc. | 8,122 | $ | 1,418,183 | |||||
Microsoft Corp. | 3,532 | 1,088,951 | ||||||
NVIDIA Corp. | 939 | 256,215 | ||||||
QUALCOMM, Inc. | 1,119 | 171,006 | ||||||
Broadcom, Inc. | 244 | 153,642 | ||||||
KLA Corp. | 305 | 111,648 | ||||||
Akamai Technologies, Inc.* | 864 | 103,153 | ||||||
NXP Semiconductor N.V. | 533 | 98,648 | ||||||
HP, Inc. | 2,541 | 92,238 | ||||||
Qorvo, Inc.* | 728 | 90,345 | ||||||
Advanced Micro Devices, Inc.* | 757 | 82,770 | ||||||
NetApp, Inc. | 991 | 82,253 | ||||||
Skyworks Solutions, Inc. | 578 | 77,036 | ||||||
Seagate Technology Holdings plc | 778 | 69,942 | ||||||
Oracle Corp. | 721 | 59,648 | ||||||
Adobe, Inc.* | 100 | 45,562 | ||||||
Intuit, Inc. | 39 | 18,753 | ||||||
Total Technology | 4,019,993 | |||||||
Communications - 4.1% | ||||||||
Alphabet, Inc. — Class C* | 275 | 768,072 | ||||||
Amazon.com, Inc.* | 203 | 661,770 | ||||||
Meta Platforms, Inc. — Class A* | 1,375 | 305,745 | ||||||
Cisco Systems, Inc. | 2,581 | 143,916 | ||||||
Motorola Solutions, Inc. | 424 | 102,693 | ||||||
F5, Inc.* | 473 | 98,834 | ||||||
Netflix, Inc.* | 100 | 37,459 | ||||||
Total Communications | 2,118,489 | |||||||
Consumer, Non-cyclical - 3.0% | ||||||||
AbbVie, Inc. | 965 | 156,436 | ||||||
Pfizer, Inc. | 2,430 | 125,801 | ||||||
Amgen, Inc. | 510 | 123,328 | ||||||
Vertex Pharmaceuticals, Inc.* | 467 | 121,873 | ||||||
Gartner, Inc.* | 371 | 110,358 | ||||||
Regeneron Pharmaceuticals, Inc.* | 158 | 110,350 | ||||||
Incyte Corp.* | 1,370 | 108,805 | ||||||
Hologic, Inc.* | 1,397 | 107,318 | ||||||
PerkinElmer, Inc. | 579 | 101,012 | ||||||
Laboratory Corporation of America Holdings* | 367 | 96,763 | ||||||
Quest Diagnostics, Inc. | 707 | 96,760 | ||||||
Moderna, Inc.* | 514 | 88,542 | ||||||
HCA Healthcare, Inc. | 346 | 86,715 | ||||||
Eli Lilly & Co. | 107 | 30,642 | ||||||
S&P Global, Inc. | 72 | 29,533 | ||||||
Thermo Fisher Scientific, Inc. | 49 | 28,942 | ||||||
UnitedHealth Group, Inc. | 56 | 28,558 | ||||||
Total Consumer, Non-cyclical | 1,551,736 | |||||||
Consumer, Cyclical - 1.5% | ||||||||
Tesla, Inc.* | 313 | 337,289 | ||||||
AutoZone, Inc.* | 59 | 120,630 | ||||||
LKQ Corp. | 2,022 | 91,819 | ||||||
NVR, Inc.* | 19 | 84,878 | ||||||
Bath & Body Works, Inc. | 1,324 | 63,287 | ||||||
Home Depot, Inc. | 172 | 51,485 | ||||||
Lowe's Companies, Inc. | 122 | 24,667 | ||||||
Total Consumer, Cyclical | 774,055 | |||||||
Financial - 0.9% | ||||||||
Morgan Stanley | 1,196 | 104,530 | ||||||
Raymond James Financial, Inc. | 943 | 103,645 | ||||||
Capital One Financial Corp. | 638 | 83,763 | ||||||
Synchrony Financial | 2,060 | 71,709 | ||||||
JPMorgan Chase & Co. | 222 | 30,263 | ||||||
Visa, Inc. — Class A | 133 | 29,495 | ||||||
Bank of America Corp. | 652 | 26,876 | ||||||
Total Financial | 450,281 | |||||||
Industrial - 0.7% | ||||||||
Keysight Technologies, Inc.* | 663 | 104,734 | ||||||
Sealed Air Corp. | 1,408 | 94,280 | ||||||
Masco Corp. | 1,715 | 87,465 | ||||||
Otis Worldwide Corp. | 900 | 69,255 | ||||||
Total Industrial | 355,734 | |||||||
Basic Materials - 0.4% | ||||||||
Nucor Corp. | 745 | 110,744 | ||||||
CF Industries Holdings, Inc. | 1,055 | 108,729 | ||||||
Total Basic Materials | 219,473 | |||||||
Energy - 0.4% | ||||||||
Occidental Petroleum Corp. | 1,727 | 97,990 | ||||||
APA Corp. | 2,028 | 83,817 | ||||||
Total Energy | 181,807 | |||||||
Total Common Stocks | ||||||||
(Cost $7,955,137) | 9,671,568 |
MUTUAL FUNDS† - 79.0% | ||||||||
Guggenheim Strategy Fund III1 | 619,453 | 15,263,331 | ||||||
Guggenheim Variable Insurance Strategy Fund III1 | 518,059 | 12,739,076 | ||||||
Guggenheim Strategy Fund II1 | 362,759 | 8,905,736 | ||||||
Guggenheim Ultra Short Duration Fund — Institutional Class1 | 380,388 | 3,724,001 | ||||||
Total Mutual Funds | ||||||||
(Cost $41,204,610) | 40,632,144 |
MONEY MARKET FUND† - 3.6% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.12%2 | 1,863,556 | 1,863,556 | ||||||
Total Money Market Fund | ||||||||
(Cost $1,863,556) | 1,863,556 | |||||||
Total Investments - 101.4% | ||||||||
(Cost $51,023,303) | $ | 52,167,268 | ||||||
Other Assets & Liabilities, net - (1.4)% | (715,305 | ) | ||||||
Total Net Assets - 100.0% | $ | 51,451,963 |
Series Y (StylePlus—Large Growth Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Futures Contracts | ||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized Appreciation** | ||||||||||
Equity Futures Contracts Purchased† | ||||||||||||||
NASDAQ-100 Index Mini Futures Contracts | 1 | Jun 2022 | $ | 297,420 | $ | 36,554 | ||||||||
S&P 500 Index Mini Futures Contracts | 1 | Jun 2022 | 226,388 | 18,182 | ||||||||||
$ | 523,808 | $ | 54,736 |
Total Return Swap Agreements | ||||||||||||||||||||||
Counterparty | Index | Type | Financing Rate | Payment Frequency | Maturity Date | Units | Notional Amount | Value and Unrealized Appreciation | ||||||||||||||
OTC Equity Index Swap Agreements†† | ||||||||||||||||||||||
Wells Fargo Bank, N.A. | Russell 1000 Growth Index | Pay | 0.82% (Federal Funds Rate + 0.49%) | At Maturity | 04/07/22 | 14,779 | $ | 41,254,707 | $ | 420,758 |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). |
† | Value determined based on Level 1 inputs — See Note 3. |
†† | Value determined based on Level 2 inputs — See Note 3. |
1 | Affiliated issuer. |
2 | Rate indicated is the 7-day yield as of March 31, 2022. |
plc — Public Limited Company
See Sector Classification in Other Information section.
The following table summarizes the inputs used to value the Fund's investments at March 31, 2022 (See Note 3 in the Notes to Schedule of Investments):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 9,671,568 | $ | — | $ | — | $ | 9,671,568 | ||||||||
Mutual Funds | 40,632,144 | — | — | 40,632,144 | ||||||||||||
Money Market Fund | 1,863,556 | — | — | 1,863,556 | ||||||||||||
Equity Futures Contracts** | 54,736 | — | — | 54,736 | ||||||||||||
Equity Index Swap Agreements** | — | 420,758 | — | 420,758 | ||||||||||||
Total Assets | $ | 52,222,004 | $ | 420,758 | $ | — | $ | 52,642,762 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles' annual report on Form N-CSR dated September 30, 2021, is available publicly or upon request. This information is available from the EDGAR database on the SEC's website at https://www.sec.gov/Archives/edgar/data/1601445/000182126821000490/gugg83048-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Series Y (StylePlus—Large Growth Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Transactions during the period ended March 31, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | Value 12/31/21 | Additions | Reductions | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 03/31/22 | Shares 03/31/22 | Investment Income | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 8,709,839 | $ | 4,810,918 | $ | (4,504,946 | ) | $ | (19,513 | ) | $ | (90,562 | ) | $ | 8,905,736 | 362,759 | $ | 28,534 | ||||||||||||||
Guggenheim Strategy Fund III | 14,184,016 | 1,300,651 | – | – | (221,336 | ) | 15,263,331 | 619,453 | 51,640 | |||||||||||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 9,222,929 | 11,668 | (5,456,983 | ) | (31,221 | ) | (22,392 | ) | 3,724,001 | 380,388 | 12,125 | |||||||||||||||||||||
Guggenheim Variable Insurance Strategy Fund III | 12,887,874 | 42,511 | – | – | (191,309 | ) | 12,739,076 | 518,059 | 43,366 | |||||||||||||||||||||||
$ | 45,004,658 | $ | 6,165,748 | $ | (9,961,929 | ) | $ | (50,734 | ) | $ | (525,599 | ) | $ | 40,632,144 | $ | 135,665 |
Series Z (Alpha Opportunity Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Value | |||||||
COMMON STOCKS† - 100.1% | ||||||||
Financial - 23.9% | ||||||||
Safety Insurance Group, Inc. | 517 | $ | 46,969 | |||||
Arch Capital Group Ltd.* | 926 | 44,837 | ||||||
Mercury General Corp.1 | 800 | 44,000 | ||||||
National Bank Holdings Corp. — Class A | 1,006 | 40,522 | ||||||
Enstar Group Ltd.*,1 | 155 | 40,478 | ||||||
Old Republic International Corp.1 | 1,391 | 35,985 | ||||||
Travelers Companies, Inc. | 193 | 35,267 | ||||||
Stewart Information Services Corp. | 551 | 33,396 | ||||||
Preferred Bank/Los Angeles CA | 450 | 33,341 | ||||||
Radian Group, Inc. | 1,421 | 31,560 | ||||||
AMERISAFE, Inc. | 615 | 30,547 | ||||||
Fulton Financial Corp. | 1,814 | 30,149 | ||||||
United Bankshares, Inc. | 855 | 29,822 | ||||||
MGIC Investment Corp. | 2,133 | 28,902 | ||||||
Evercore, Inc. — Class A1 | 240 | 26,717 | ||||||
PS Business Parks, Inc. REIT | 155 | 26,052 | ||||||
BankUnited, Inc. | 591 | 25,980 | ||||||
Everest Re Group Ltd. | 86 | 25,919 | ||||||
Fidelity National Financial, Inc. | 522 | 25,495 | ||||||
HomeStreet, Inc. | 517 | 24,495 | ||||||
Interactive Brokers Group, Inc. — Class A | 367 | 24,189 | ||||||
Piper Sandler Cos.1 | 180 | 23,625 | ||||||
Markel Corp.* | 16 | 23,604 | ||||||
Raymond James Financial, Inc.1 | 212 | 23,246 | ||||||
Essent Group Ltd. | 557 | 22,954 | ||||||
Equity Commonwealth REIT*,1 | 788 | 22,230 | ||||||
Hilltop Holdings, Inc. | 740 | 21,756 | ||||||
OneMain Holdings, Inc. | 443 | 21,002 | ||||||
Meta Financial Group, Inc. | 356 | 19,552 | ||||||
Janus Henderson Group plc | 484 | 16,950 | ||||||
First American Financial Corp. | 252 | 16,335 | ||||||
Western Union Co. | 853 | 15,985 | ||||||
PotlatchDeltic Corp. REIT1 | 268 | 14,132 | ||||||
Easterly Government Properties, Inc. REIT | 653 | 13,804 | ||||||
Citigroup, Inc. | 250 | 13,350 | ||||||
WP Carey, Inc. REIT | 113 | 9,135 | ||||||
Total Financial | 962,282 | |||||||
Consumer, Non-cyclical - 19.5% | ||||||||
Bristol-Myers Squibb Co.1 | 627 | 45,790 | ||||||
Johnson & Johnson1 | 257 | 45,548 | ||||||
John B Sanfilippo & Son, Inc.1 | 508 | 42,388 | ||||||
Gilead Sciences, Inc.1 | 702 | 41,734 | ||||||
Amgen, Inc.1 | 156 | 37,724 | ||||||
AbbVie, Inc.1 | 230 | 37,285 | ||||||
Hologic, Inc.*,1 | 477 | 36,643 | ||||||
Innoviva, Inc.*,1 | 1,690 | 32,702 | ||||||
Perdoceo Education Corp.* | 2,829 | 32,477 | ||||||
Regeneron Pharmaceuticals, Inc.*,1 | 45 | 31,429 | ||||||
Amphastar Pharmaceuticals, Inc.* | 834 | 29,941 | ||||||
Incyte Corp.*,1 | 332 | 26,367 | ||||||
Eagle Pharmaceuticals, Inc.* | 530 | 26,230 | ||||||
Bio-Rad Laboratories, Inc. — Class A* | 44 | 24,782 | ||||||
Vertex Pharmaceuticals, Inc.*,1 | 88 | 22,965 | ||||||
USANA Health Sciences, Inc.* | 288 | 22,882 | ||||||
Prestige Consumer Healthcare, Inc.*,1 | 385 | 20,382 | ||||||
Quest Diagnostics, Inc.1 | 144 | 19,708 | ||||||
EVERTEC, Inc. | 479 | 19,605 | ||||||
Abbott Laboratories | 159 | 18,819 | ||||||
Molson Coors Beverage Co. — Class B | 340 | 18,149 | ||||||
Merck & Company, Inc.1 | 219 | 17,969 | ||||||
Vanda Pharmaceuticals, Inc.* | 1,478 | 16,716 | ||||||
Royalty Pharma plc — Class A | 421 | 16,402 | ||||||
Waters Corp.* | 50 | 15,520 | ||||||
United Therapeutics Corp.*,1 | 82 | 14,712 | ||||||
Pfizer, Inc.1 | 264 | 13,667 | ||||||
Exelixis, Inc.* | 598 | 13,557 | ||||||
Laboratory Corporation of America Holdings* | 51 | 13,446 | ||||||
Halozyme Therapeutics, Inc.* | 276 | 11,007 | ||||||
Corteva, Inc. | 178 | 10,231 | ||||||
Premier, Inc. — Class A | 236 | 8,399 | ||||||
Total Consumer, Non-cyclical | 785,176 | |||||||
Industrial - 14.6% | ||||||||
Vishay Intertechnology, Inc.1 | 2,266 | 44,413 | ||||||
3M Co.1 | 292 | 43,473 | ||||||
Knowles Corp.* | 2,007 | 43,211 | ||||||
Garmin Ltd. | 352 | 41,751 | ||||||
Mueller Industries, Inc.1 | 752 | 40,736 | ||||||
Snap-on, Inc.1 | 175 | 35,959 | ||||||
Sanmina Corp.*,1 | 871 | 35,206 | ||||||
Sturm Ruger & Company, Inc. | 505 | 35,158 | ||||||
Packaging Corporation of America | 200 | 31,222 | ||||||
TTM Technologies, Inc.* | 2,079 | 30,811 | ||||||
Hillenbrand, Inc.1 | 553 | 24,426 | ||||||
OSI Systems, Inc.* | 262 | 22,301 | ||||||
Crane Co.1 | 202 | 21,873 | ||||||
Eagle Materials, Inc. | 152 | 19,511 | ||||||
Encore Wire Corp.1 | 156 | 17,795 | ||||||
Louisiana-Pacific Corp.1 | 217 | 13,480 | ||||||
Owens Corning1 | 145 | 13,267 | ||||||
Vontier Corp. | 507 | 12,873 | ||||||
Albany International Corp. — Class A | 151 | 12,732 | ||||||
Dorian LPG Ltd. | 816 | 11,824 | ||||||
UFP Industries, Inc. | 135 | 10,417 | ||||||
Insteel Industries, Inc. | 268 | 9,913 | ||||||
Keysight Technologies, Inc.* | 55 | 8,688 | ||||||
Arrow Electronics, Inc.* | 71 | 8,423 | ||||||
Total Industrial | 589,463 | |||||||
Consumer, Cyclical - 11.5% | ||||||||
AutoZone, Inc.*,1 | 22 | 44,981 | ||||||
Gentex Corp.1 | 1,475 | 43,026 | ||||||
Whirlpool Corp.1 | 207 | 35,765 | ||||||
NVR, Inc.* | 7 | 31,271 | ||||||
Cummins, Inc.1 | 142 | 29,126 | ||||||
Allison Transmission Holdings, Inc.1 | 705 | 27,678 | ||||||
Dolby Laboratories, Inc. — Class A1 | 331 | 25,891 | ||||||
Ethan Allen Interiors, Inc. | 814 | 21,221 |
Series Z (Alpha Opportunity Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Value | |||||||
COMMON STOCKS† - 100.1% (continued) | ||||||||
Consumer, Cyclical - 11.5% (continued) | ||||||||
Acushnet Holdings Corp.1 | 480 | $ | 19,325 | |||||
Columbia Sportswear Co. | 185 | 16,748 | ||||||
Tri Pointe Homes, Inc.*,1 | 811 | 16,285 | ||||||
Brunswick Corp.1 | 190 | 15,369 | ||||||
Methode Electronics, Inc. | 322 | 13,926 | ||||||
LKQ Corp.1 | 285 | 12,942 | ||||||
PulteGroup, Inc.1 | 287 | 12,025 | ||||||
AutoNation, Inc.*,1 | 118 | 11,750 | ||||||
Tapestry, Inc. | 311 | 11,554 | ||||||
Jack in the Box, Inc.1 | 121 | 11,303 | ||||||
Zumiez, Inc.* | 277 | 10,584 | ||||||
Toll Brothers, Inc. | 222 | 10,438 | ||||||
Autoliv, Inc. | 136 | 10,396 | ||||||
Shoe Carnival, Inc. | 299 | 8,719 | ||||||
MarineMax, Inc.* | 208 | 8,374 | ||||||
Haverty Furniture Companies, Inc. | 298 | 8,171 | ||||||
Buckle, Inc. | 201 | 6,641 | ||||||
Total Consumer, Cyclical | 463,509 | |||||||
Utilities - 10.5% | ||||||||
MGE Energy, Inc.1 | 587 | 46,837 | ||||||
CMS Energy Corp. | 664 | 46,440 | ||||||
National Fuel Gas Co.1 | 662 | 45,479 | ||||||
Duke Energy Corp.1 | 385 | 42,989 | ||||||
IDACORP, Inc.1 | 369 | 42,568 | ||||||
Portland General Electric Co.1 | 751 | 41,418 | ||||||
Chesapeake Utilities Corp.1 | 284 | 39,124 | ||||||
Otter Tail Corp. | 383 | 23,937 | ||||||
PPL Corp.1 | 833 | 23,790 | ||||||
Southern Co.1 | 307 | 22,261 | ||||||
American States Water Co.1 | 204 | 18,160 | ||||||
WEC Energy Group, Inc. | 170 | 16,968 | ||||||
California Water Service Group | 201 | 11,915 | ||||||
Total Utilities | 421,886 | |||||||
Communications - 8.1% | ||||||||
Verizon Communications, Inc.1 | 793 | 40,395 | ||||||
Comcast Corp. — Class A | 837 | 39,188 | ||||||
Meta Platforms, Inc. — Class A* | 171 | 38,024 | ||||||
Cisco Systems, Inc.1 | 420 | 23,419 | ||||||
Yelp, Inc. — Class A* | 686 | 23,399 | ||||||
Viavi Solutions, Inc.*,1 | 1,399 | 22,496 | ||||||
Nexstar Media Group, Inc. — Class A | 107 | 20,167 | ||||||
Interpublic Group of Companies, Inc. | 561 | 19,887 | ||||||
Alphabet, Inc. — Class C* | 7 | 19,551 | ||||||
Shenandoah Telecommunications Co. | 745 | 17,567 | ||||||
Omnicom Group, Inc.1 | 204 | 17,316 | ||||||
InterDigital, Inc.1 | 252 | 16,078 | ||||||
Juniper Networks, Inc.1 | 316 | 11,743 | ||||||
F5, Inc.* | 43 | 8,985 | ||||||
NETGEAR, Inc.* | 321 | 7,922 | ||||||
Total Communications | 326,137 | |||||||
Technology - 6.3% | ||||||||
CSG Systems International, Inc.1 | 693 | 44,054 | ||||||
Rambus, Inc.*,1 | 945 | 30,136 | ||||||
NetApp, Inc.1 | 251 | 20,833 | ||||||
Xperi Holding Corp. | 992 | 17,181 | ||||||
Intel Corp. | 333 | 16,503 | ||||||
Progress Software Corp. | 332 | 15,634 | ||||||
Akamai Technologies, Inc.* | 112 | 13,372 | ||||||
ExlService Holdings, Inc.* | 90 | 12,894 | ||||||
Lumentum Holdings, Inc.* | 123 | 12,005 | ||||||
Ziff Davis, Inc.* | 117 | 11,323 | ||||||
Dropbox, Inc. — Class A* | 391 | 9,091 | ||||||
NetScout Systems, Inc.* | 282 | 9,047 | ||||||
Genpact Ltd. | 203 | 8,832 | ||||||
CommVault Systems, Inc.*,1 | 133 | 8,825 | ||||||
SS&C Technologies Holdings, Inc. | 113 | 8,477 | ||||||
Skyworks Solutions, Inc. | 63 | 8,397 | ||||||
Qorvo, Inc.* | 65 | 8,067 | ||||||
Total Technology | 254,671 | |||||||
Basic Materials - 4.7% | ||||||||
Dow, Inc.1 | 547 | 34,855 | ||||||
LyondellBasell Industries N.V. — Class A | 332 | 34,136 | ||||||
Westlake Corp.1 | 249 | 30,727 | ||||||
International Paper Co.1 | 628 | 28,982 | ||||||
Minerals Technologies, Inc. | 284 | 18,786 | ||||||
AdvanSix, Inc. | 320 | 16,349 | ||||||
Reliance Steel & Aluminum Co. | 87 | 15,952 | ||||||
NewMarket Corp. | 34 | 11,029 | ||||||
Total Basic Materials | 190,816 | |||||||
Energy - 1.0% | ||||||||
Kinder Morgan, Inc. | 1,259 | 23,808 | ||||||
Exxon Mobil Corp. | 178 | 14,701 | ||||||
Total Energy | 38,509 | |||||||
Total Common Stocks | ||||||||
(Cost $3,996,025) | 4,032,449 |
MONEY MARKET FUND† - 1.8% | ||||||||
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Shares, 0.16%2 | 72,577 | 72,577 | ||||||
Total Money Market Fund | ||||||||
(Cost $72,577) | 72,577 | |||||||
Total Investments - 101.9% | ||||||||
(Cost $4,068,602) | $ | 4,105,026 | ||||||
Other Assets & Liabilities, net - (1.9)% | (78,447 | ) | ||||||
Total Net Assets - 100.0% | $ | 4,026,579 |
Series Z (Alpha Opportunity Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Custom Basket Swap Agreements | ||||||||||||||||||||
Counterparty | Reference Obligation | Type | Financing Rate | Payment Frequency | Maturity Date | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |||||||||||||
OTC Custom Basket Swap Agreements†† | ||||||||||||||||||||
Morgan Stanley Capital Services LLC | MS Equity Custom Basket | Pay | 0.73% (Federal Funds Rate + 0.40%) | At Maturity | 02/01/24 | $ | 859,265 | $ | 16,263 | |||||||||||
Goldman Sachs International | GS Equity Custom Basket | Pay | 0.78% (Federal Funds Rate + 0.45%) | At Maturity | 05/06/24 | 859,268 | 15,930 | |||||||||||||
$ | 1,718,533 | $ | 32,193 | |||||||||||||||||
OTC Custom Basket Swap Agreements Sold Short†† | ||||||||||||||||||||
Morgan Stanley Capital Services LLC | MS Equity Custom Basket | Receive | 0.03% (Federal Funds Rate - 0.30%) | At Maturity | 02/01/24 | $ | 1,766,790 | $ | (59,307 | ) | ||||||||||
Goldman Sachs International | GS Equity Custom Basket | Receive | 0.13% (Federal Funds Rate - 0.20%) | At Maturity | 05/06/24 | 1,745,655 | (59,445 | ) | ||||||||||||
$ | 3,512,445 | $ | (118,752 | ) |
Series Z (Alpha Opportunity Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
MS EQUITY LONG CUSTOM BASKET | ||||||||||||
Shares | Percentage Notional Amount | Value and Unrealized Appreciation (Depreciation) | ||||||||||
Consumer, Non-cyclical | ||||||||||||
Amphastar Pharmaceuticals, Inc. | 178 | 0.72 | % | $ | 2,840 | |||||||
AbbVie, Inc. | 49 | 0.92 | % | 2,144 | ||||||||
Innoviva, Inc. | 362 | 0.82 | % | 2,133 | ||||||||
Molson Coors Beverage Co. — Class B | 132 | 0.82 | % | 1,316 | ||||||||
Bristol-Myers Squibb Co. | 134 | 1.14 | % | 1,273 | ||||||||
Vertex Pharmaceuticals, Inc. | 18 | 0.55 | % | 1,273 | ||||||||
Regeneron Pharmaceuticals, Inc. | 9 | 0.73 | % | 1,245 | ||||||||
Johnson & Johnson | 55 | 1.13 | % | 859 | ||||||||
Eagle Pharmaceuticals, Inc. | 113 | 0.65 | % | 701 | ||||||||
Amgen, Inc. | 33 | 0.93 | % | 561 | ||||||||
Hologic, Inc. | 102 | 0.91 | % | 551 | ||||||||
Merck & Company, Inc. | 47 | 0.45 | % | 471 | ||||||||
Exelixis, Inc. | 128 | 0.34 | % | 435 | ||||||||
Corteva, Inc. | 38 | 0.25 | % | 320 | ||||||||
Perdoceo Education Corp. | 606 | 0.81 | % | 302 | ||||||||
Incyte Corp. | 71 | 0.66 | % | 300 | ||||||||
Quest Diagnostics, Inc. | 30 | 0.48 | % | 199 | ||||||||
Prestige Consumer Healthcare, Inc. | 82 | 0.51 | % | 190 | ||||||||
United Therapeutics Corp. | 17 | 0.35 | % | 168 | ||||||||
Halozyme Therapeutics, Inc. | 59 | 0.27 | % | 115 | ||||||||
Royalty Pharma plc — Class A | 90 | 0.41 | % | 23 | ||||||||
Premier, Inc. — Class A | 50 | 0.21 | % | (89 | ) | |||||||
Waters Corp. | 10 | 0.36 | % | (96 | ) | |||||||
Abbott Laboratories | 34 | 0.47 | % | (104 | ) | |||||||
Laboratory Corporation of America Holdings | 10 | 0.31 | % | (206 | ) | |||||||
John B Sanfilippo & Son, Inc. | 108 | 1.05 | % | (299 | ) | |||||||
Pfizer, Inc. | 56 | 0.34 | % | (350 | ) | |||||||
EVERTEC, Inc. | 102 | 0.49 | % | (510 | ) | |||||||
USANA Health Sciences, Inc. | 61 | 0.56 | % | (1,162 | ) | |||||||
Gilead Sciences, Inc. | 150 | 1.04 | % | (1,250 | ) | |||||||
Bio-Rad Laboratories, Inc. — Class A | 9 | 0.59 | % | (1,293 | ) | |||||||
Vanda Pharmaceuticals, Inc. | 316 | 0.42 | % | (1,700 | ) | |||||||
Total Consumer, Non-cyclical | 10,360 | |||||||||||
Consumer, Cyclical | ||||||||||||
AutoZone, Inc. | 5 | 1.19 | % | 1,954 | ||||||||
Ethan Allen Interiors, Inc. | 174 | 0.53 | % | 360 | ||||||||
AutoNation, Inc. | 25 | 0.29 | % | 276 | ||||||||
Allison Transmission Holdings, Inc. | 151 | 0.69 | % | 156 | ||||||||
Methode Electronics, Inc. | 69 | 0.35 | % | 57 | ||||||||
Tapestry, Inc. | 66 | 0.29 | % | (2 | ) | |||||||
Columbia Sportswear Co. | 46 | 0.48 | % | (4 | ) | |||||||
Zumiez, Inc. | 59 | 0.26 | % | (140 | ) | |||||||
Autoliv, Inc. | 29 | 0.26 | % | (299 | ) | |||||||
MarineMax, Inc. | 44 | 0.21 | % | (378 | ) | |||||||
Haverty Furniture Companies, Inc. | 63 | 0.20 | % | (398 | ) | |||||||
Jack in the Box, Inc. | 26 | 0.28 | % | (400 | ) | |||||||
Tri Pointe Homes, Inc. | 173 | 0.40 | % | (493 | ) | |||||||
Shoe Carnival, Inc. | 64 | 0.22 | % | (534 | ) | |||||||
Buckle, Inc. | 81 | 0.31 | % | (538 | ) | |||||||
Brunswick Corp. | 40 | 0.38 | % | (610 | ) | |||||||
LKQ Corp. | 61 | 0.32 | % | (655 | ) | |||||||
PulteGroup, Inc. | 61 | 0.30 | % | (692 | ) | |||||||
Cummins, Inc. | 30 | 0.72 | % | (727 | ) | |||||||
NVR, Inc. | 2 | 1.04 | % | (910 | ) | |||||||
Toll Brothers, Inc. | 47 | 0.26 | % | (959 | ) | |||||||
Acushnet Holdings Corp. | 102 | 0.48 | % | (993 | ) | |||||||
Gentex Corp. | 316 | 1.07 | % | (1,107 | ) | |||||||
Dolby Laboratories, Inc. — Class A | 70 | 0.64 | % | (1,197 | ) | |||||||
Whirlpool Corp. | 44 | 0.88 | % | (2,039 | ) | |||||||
Total Consumer, Cyclical | (10,272 | ) | ||||||||||
Basic Materials | ||||||||||||
Westlake Corp. | 53 | 0.74 | % | 1,638 | ||||||||
LyondellBasell Industries N.V. — Class A | 71 | 0.85 | % | 868 | ||||||||
Dow, Inc. | 117 | 0.87 | % | 861 | ||||||||
AdvanSix, Inc. | 68 | 0.40 | % | 495 | ||||||||
NewMarket Corp. | 7 | 0.26 | % | 83 | ||||||||
Reliance Steel & Aluminum Co. | 18 | 0.38 | % | (68 | ) | |||||||
Minerals Technologies, Inc. | 60 | 0.46 | % | (211 | ) | |||||||
International Paper Co. | 134 | 0.72 | % | (233 | ) | |||||||
Total Basic Materials | 3,433 | |||||||||||
Technology | ||||||||||||
CSG Systems International, Inc. | 148 | 1.09 | % | 2,735 | ||||||||
Rambus, Inc. | 202 | 0.75 | % | 2,104 | ||||||||
ExlService Holdings, Inc. | 19 | 0.32 | % | 726 | ||||||||
Lumentum Holdings, Inc. | 26 | 0.30 | % | 415 | ||||||||
NetApp, Inc. | 53 | 0.51 | % | 356 | ||||||||
Akamai Technologies, Inc. | 24 | 0.33 | % | 161 | ||||||||
Dropbox, Inc. — Class A | 83 | 0.22 | % | 118 | ||||||||
Genpact Ltd. | 43 | 0.22 | % | 72 | ||||||||
NetScout Systems, Inc. | 60 | 0.22 | % | 38 | ||||||||
Progress Software Corp. | 71 | 0.39 | % | 32 | ||||||||
SS&C Technologies Holdings, Inc. | 24 | 0.21 | % | (19 | ) | |||||||
Skyworks Solutions, Inc. | 13 | 0.20 | % | (24 | ) | |||||||
Ziff Davis, Inc. | 25 | 0.28 | % | (41 | ) | |||||||
Intel Corp. | 71 | 0.41 | % | (74 | ) | |||||||
Qorvo, Inc. | 14 | 0.20 | % | (109 | ) | |||||||
CommVault Systems, Inc. | 28 | 0.22 | % | (340 | ) | |||||||
Xperi Holding Corp. | 212 | 0.43 | % | (613 | ) | |||||||
Total Technology | 5,537 | |||||||||||
Industrial | ||||||||||||
Mueller Industries, Inc. | 161 | 1.01 | % | 1,557 |
Series Z (Alpha Opportunity Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Percentage Notional Amount | Value and Unrealized Appreciation (Depreciation) | ||||||||||
Packaging Corporation of America | 43 | 0.78 | % | $ | 1,002 | |||||||
Knowles Corp. | 430 | 1.08 | % | 996 | ||||||||
Crane Co. | 43 | 0.54 | % | 583 | ||||||||
Encore Wire Corp. | 33 | 0.44 | % | 494 | ||||||||
TTM Technologies, Inc. | 445 | 0.77 | % | 412 | ||||||||
Dorian LPG Ltd. | 174 | 0.29 | % | 319 | ||||||||
Albany International Corp. — Class A | 32 | 0.31 | % | 222 | ||||||||
Sanmina Corp. | 186 | 0.87 | % | 177 | ||||||||
Owens Corning | 31 | 0.33 | % | 166 | ||||||||
Keysight Technologies, Inc. | 11 | 0.20 | % | 71 | ||||||||
Louisiana-Pacific Corp. | 46 | 0.33 | % | (12 | ) | |||||||
Insteel Industries, Inc. | 57 | 0.25 | % | (119 | ) | |||||||
Arrow Electronics, Inc. | 15 | 0.21 | % | (145 | ) | |||||||
Hillenbrand, Inc. | 118 | 0.61 | % | (153 | ) | |||||||
Sturm Ruger & Company, Inc. | 108 | 0.88 | % | (301 | ) | |||||||
UFP Industries, Inc. | 28 | 0.25 | % | (301 | ) | |||||||
Eagle Materials, Inc. | 32 | 0.48 | % | (574 | ) | |||||||
OSI Systems, Inc. | 56 | 0.55 | % | (629 | ) | |||||||
Snap-on, Inc. | 37 | 0.88 | % | (672 | ) | |||||||
Vontier Corp. | 108 | 0.32 | % | (829 | ) | |||||||
Vishay Intertechnology, Inc. | 485 | 1.11 | % | (997 | ) | |||||||
3M Co. | 62 | 1.07 | % | (1,320 | ) | |||||||
Garmin Ltd. | 75 | 1.04 | % | (1,324 | ) | |||||||
Total Industrial | (1,377 | ) | ||||||||||
Communications | ||||||||||||
Cisco Systems, Inc. | 90 | 0.58 | % | 1,075 | ||||||||
Juniper Networks, Inc. | 67 | 0.29 | % | 864 | ||||||||
Omnicom Group, Inc. | 43 | 0.42 | % | 501 | ||||||||
F5, Inc. | 9 | 0.22 | % | 141 | ||||||||
Interpublic Group of Companies, Inc. | 120 | 0.50 | % | 129 | ||||||||
Nexstar Media Group, Inc. — Class A | 23 | 0.50 | % | 129 | ||||||||
Alphabet, Inc. — Class C | 1 | 0.33 | % | (24 | ) | |||||||
Viavi Solutions, Inc. | 299 | 0.56 | % | (57 | ) | |||||||
Comcast Corp. — Class A | 179 | 0.98 | % | (78 | ) | |||||||
Shenandoah Telecommunications Co. | 159 | 0.44 | % | (125 | ) | |||||||
Meta Platforms, Inc. — Class A | 42 | 1.09 | % | (127 | ) | |||||||
NETGEAR, Inc. | 68 | 0.20 | % | (241 | ) | |||||||
InterDigital, Inc. | 54 | 0.40 | % | (278 | ) | |||||||
Yelp, Inc. — Class A | 147 | 0.58 | % | (288 | ) | |||||||
Verizon Communications, Inc. | 169 | 1.00 | % | (479 | ) | |||||||
Total Communications | 1,142 | |||||||||||
Financial | ||||||||||||
Arch Capital Group Ltd. | 198 | 1.12 | % | 1,567 | ||||||||
Safety Insurance Group, Inc. | 110 | 1.16 | % | 1,292 | ||||||||
Enstar Group Ltd. | 33 | 1.00 | % | 1,065 | ||||||||
Raymond James Financial, Inc. | 45 | 0.58 | % | 995 | ||||||||
Markel Corp. | 3 | 0.52 | % | 749 | ||||||||
Preferred Bank/Los Angeles CA | 96 | 0.83 | % | 582 | ||||||||
Everest Re Group Ltd. | 18 | 0.63 | % | 581 | ||||||||
Travelers Companies, Inc. | 41 | 0.87 | % | 411 | ||||||||
Equity Commonwealth | 168 | 0.55 | % | 362 | ||||||||
BankUnited, Inc. | 126 | 0.64 | % | 324 | ||||||||
Old Republic International Corp. | 298 | 0.90 | % | 237 | ||||||||
PS Business Parks, Inc. | 33 | 0.65 | % | 223 | ||||||||
Western Union Co. | 182 | 0.40 | % | 154 | ||||||||
WP Carey, Inc. | 24 | 0.23 | % | 88 | ||||||||
Easterly Government Properties, Inc. | 140 | 0.34 | % | 59 | ||||||||
United Bankshares, Inc. | 183 | 0.74 | % | 20 | ||||||||
Radian Group, Inc. | 304 | 0.79 | % | (26 | ) | |||||||
Stewart Information Services Corp. | 118 | 0.83 | % | (64 | ) | |||||||
Fulton Financial Corp. | 388 | 0.75 | % | (102 | ) | |||||||
First American Financial Corp. | 54 | 0.41 | % | (186 | ) | |||||||
Janus Henderson Group plc | 103 | 0.42 | % | (198 | ) | |||||||
Interactive Brokers Group, Inc. — Class A | 78 | 0.60 | % | (203 | ) | |||||||
HomeStreet, Inc. | 110 | 0.61 | % | (215 | ) | |||||||
Fidelity National Financial, Inc. | 111 | 0.63 | % | (244 | ) | |||||||
Citigroup, Inc. | 53 | 0.33 | % | (315 | ) | |||||||
PotlatchDeltic Corp. | 57 | 0.35 | % | (339 | ) | |||||||
Essent Group Ltd. | 119 | 0.57 | % | (470 | ) | |||||||
OneMain Holdings, Inc. | 94 | 0.52 | % | (476 | ) | |||||||
Piper Sandler Cos. | 38 | 0.58 | % | (481 | ) | |||||||
MGIC Investment Corp. | 457 | 0.72 | % | (486 | ) | |||||||
Mercury General Corp. | 171 | 1.09 | % | (569 | ) | |||||||
Meta Financial Group, Inc. | 76 | 0.49 | % | (643 | ) | |||||||
National Bank Holdings Corp. — Class A | 215 | 1.01 | % | (655 | ) | |||||||
AMERISAFE, Inc. | 131 | 0.76 | % | (849 | ) | |||||||
Hilltop Holdings, Inc. | 158 | 0.54 | % | (1,163 | ) | |||||||
Evercore, Inc. — Class A | 51 | 0.66 | % | (1,343 | ) | |||||||
Total Financial | (318 | ) | ||||||||||
Utilities | ||||||||||||
National Fuel Gas Co. | 141 | 1.13 | % | 2,292 | ||||||||
IDACORP, Inc. | 73 | 0.98 | % | 1,259 | ||||||||
Chesapeake Utilities Corp. | 60 | 0.96 | % | 1,044 | ||||||||
Portland General Electric Co. | 150 | 0.96 | % | 781 | ||||||||
Southern Co. | 65 | 0.55 | % | 772 | ||||||||
Duke Energy Corp. | 77 | 1.00 | % | 610 | ||||||||
CMS Energy Corp. | 142 | 1.16 | % | 445 | ||||||||
MGE Energy, Inc. | 125 | 1.16 | % | 419 | ||||||||
WEC Energy Group, Inc. | 36 | 0.42 | % | 204 | ||||||||
California Water Service Group | 43 | 0.30 | % | 57 | ||||||||
Otter Tail Corp. | 82 | 0.60 | % | (25 | ) | |||||||
PPL Corp. | 178 | 0.59 | % | (198 | ) | |||||||
Total Utilities | 7,660 |
Series Z (Alpha Opportunity Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Percentage Notional Amount | Value and Unrealized Appreciation (Depreciation) | ||||||||||
Energy | ||||||||||||
Kinder Morgan, Inc. | 269 | 0.59 | % | $ | 93 | |||||||
Exxon Mobil Corp. | 38 | 0.37 | % | 5 | ||||||||
Total Energy | 98 | |||||||||||
Total MS Equity Long Custom Basket | $ | 16,263 |
MS EQUITY SHORT CUSTOM BASKET | ||||||||||||
Consumer, Non-cyclical | ||||||||||||
Guardant Health, Inc. | 157 | (0 ..59 | )% | $ | 8,352 | |||||||
CoStar Group, Inc. | 278 | (1 ..05 | )% | 5,489 | ||||||||
Viad Corp. | 393 | (0 ..79 | )% | 3,429 | ||||||||
Equifax, Inc. | 76 | (1 ..02 | )% | 2,288 | ||||||||
Driven Brands Holdings, Inc. | 798 | (1 ..19 | )% | 1,902 | ||||||||
TransUnion | 134 | (0 ..78 | )% | 1,266 | ||||||||
ASGN, Inc. | 121 | (0 ..80 | )% | 1,018 | ||||||||
Dun & Bradstreet Holdings, Inc. | 572 | (0 ..57 | )% | 982 | ||||||||
Natera, Inc. | 52 | (0 ..12 | )% | 863 | ||||||||
Cooper Companies, Inc. | 15 | (0 ..35 | )% | 165 | ||||||||
Verisk Analytics, Inc. — Class A | 98 | (1 ..19 | )% | (16 | ) | |||||||
Intellia Therapeutics, Inc. | 35 | (0 ..14 | )% | (28 | ) | |||||||
Booz Allen Hamilton Holding Corp. | 127 | (0 ..63 | )% | (218 | ) | |||||||
UnitedHealth Group, Inc. | 17 | (0 ..49 | )% | (427 | ) | |||||||
Cintas Corp. | 80 | (1 ..93 | )% | (559 | ) | |||||||
Rollins, Inc. | 471 | (0 ..93 | )% | (956 | ) | |||||||
Sysco Corp. | 186 | (0 ..86 | )% | (1,191 | ) | |||||||
Bunge Ltd. | 136 | (0 ..85 | )% | (1,554 | ) | |||||||
Quanta Services, Inc. | 82 | (0 ..61 | )% | (1,870 | ) | |||||||
Total Consumer, Non-cyclical | 18,935 | |||||||||||
Communications | ||||||||||||
Lyft, Inc. — Class A | 387 | (0 ..84 | )% | 1,579 | ||||||||
Okta, Inc. | 19 | (0 ..16 | )% | 862 | ||||||||
Airbnb, Inc. — Class A | 21 | (0 ..20 | )% | 439 | ||||||||
Trade Desk, Inc. — Class A | 62 | (0 ..24 | )% | (146 | ) | |||||||
Palo Alto Networks, Inc. | 6 | (0 ..21 | )% | (290 | ) | |||||||
DoorDash, Inc. — Class A | 58 | (0 ..38 | )% | (1,096 | ) | |||||||
Total Communications | 1,348 | |||||||||||
Consumer, Cyclical | ||||||||||||
United Airlines Holdings, Inc. | 386 | (1 ..01 | )% | 3,985 | ||||||||
Delta Air Lines, Inc. | 455 | (1 ..02 | )% | 2,908 | ||||||||
MillerKnoll, Inc. | 760 | (1 ..49 | )% | 2,025 | ||||||||
IAA, Inc. | 193 | (0 ..42 | )% | 2,008 | ||||||||
Freshpet, Inc. | 64 | (0 ..37 | )% | 1,841 | ||||||||
MGM Resorts International | 184 | (0 ..44 | )% | 282 | ||||||||
American Airlines Group, Inc. | 1,268 | (1 ..31 | )% | 40 | ||||||||
Copart, Inc. | 208 | (1 ..48 | )% | 22 | ||||||||
Southwest Airlines Co. | 249 | (0 ..65 | )% | (65 | ) | |||||||
JetBlue Airways Corp. | 451 | (0 ..38 | )% | (181 | ) | |||||||
Royal Caribbean Cruises Ltd. | 76 | (0.36 | )% | (314 | ) | |||||||
Hilton Worldwide Holdings, Inc. | 54 | (0.46 | )% | (374 | ) | |||||||
Carnival Corp. | 281 | (0.32 | )% | (540 | ) | |||||||
Lululemon Athletica, Inc. | 20 | (0.41 | )% | (1,040 | ) | |||||||
Total Consumer, Cyclical | 10,597 | |||||||||||
Financial | ||||||||||||
Western Alliance Bancorporation | 197 | (0.92 | )% | 3,907 | ||||||||
Americold Realty Trust | 381 | (0.60 | )% | 3,223 | ||||||||
SVB Financial Group | 21 | (0.66 | )% | 2,462 | ||||||||
Sun Communities, Inc. | 129 | (1.28 | )% | 1,924 | ||||||||
Equinix, Inc. | 30 | (1.26 | )% | 1,403 | ||||||||
Bank of New York Mellon Corp. | 122 | (0.34 | )% | 1,352 | ||||||||
Invitation Homes, Inc. | 561 | (1.28 | )% | 1,136 | ||||||||
Equitable Holdings, Inc. | 787 | (1.38 | )% | 695 | ||||||||
Regions Financial Corp. | 360 | (0.45 | )% | 512 | ||||||||
Signature Bank | 44 | (0.73 | )% | 260 | ||||||||
RLJ Lodging Trust | 1,819 | (1.45 | )% | 254 | ||||||||
Northern Trust Corp. | 163 | (1.07 | )% | 187 | ||||||||
First Republic Bank | 57 | (0.52 | )% | 145 | ||||||||
Safehold, Inc. | 142 | (0.45 | )% | 119 | ||||||||
UDR, Inc. | 170 | (0.55 | )% | 41 | ||||||||
Sunstone Hotel Investors, Inc. | 1,396 | (0.93 | )% | (67 | ) | |||||||
Bank of America Corp. | 193 | (0.45 | )% | (81 | ) | |||||||
Park Hotels & Resorts, Inc. | 1,206 | (1.33 | )% | (98 | ) | |||||||
Wells Fargo & Co. | 273 | (0.75 | )% | (127 | ) | |||||||
Zions Bancorp North America | 294 | (1.09 | )% | (136 | ) | |||||||
Digital Realty Trust, Inc. | 57 | (0.46 | )% | (151 | ) | |||||||
CBRE Group, Inc. — Class A | 115 | (0.60 | )% | (169 | ) | |||||||
Goldman Sachs Group, Inc. | 64 | (1.20 | )% | (170 | ) | |||||||
State Street Corp. | 289 | (1.43 | )% | (296 | ) | |||||||
Crown Castle International Corp. | 106 | (1.11 | )% | (335 | ) | |||||||
Lincoln National Corp. | 109 | (0.40 | )% | (368 | ) | |||||||
KKR & Company, Inc. — Class A | 207 | (0.69 | )% | (528 | ) | |||||||
Apple Hospitality REIT, Inc. | 349 | (0.35 | )% | (692 | ) | |||||||
Ryman Hospitality Properties, Inc. | 200 | (1.05 | )% | (864 | ) | |||||||
SBA Communications Corp. | 46 | (0.90 | )% | (983 | ) | |||||||
Xenia Hotels & Resorts, Inc. | 586 | (0.64 | )% | (1,112 | ) | |||||||
Apartment Income REIT Corp. | 589 | (1.78 | )% | (1,349 | ) | |||||||
Ventas, Inc. | 296 | (1.03 | )% | (1,776 | ) | |||||||
Comerica, Inc. | 257 | (1.32 | )% | (1,839 | ) | |||||||
Welltower, Inc. | 243 | (1.32 | )% | (2,233 | ) |
Series Z (Alpha Opportunity Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Percentage Notional Amount | Value and Unrealized Appreciation (Depreciation) | ||||||||||
Kennedy-Wilson Holdings, Inc. | 1,307 | (1.80 | )% | $ | (2,328 | ) | ||||||
Pebblebrook Hotel Trust | 840 | (1.16 | )% | (2,373 | ) | |||||||
Iron Mountain, Inc. | 419 | (1.31 | )% | (3,151 | ) | |||||||
Outfront Media, Inc. | 825 | (1.33 | )% | (3,355 | ) | |||||||
Host Hotels & Resorts, Inc. | 1,511 | (1.66 | )% | (4,074 | ) | |||||||
Howard Hughes Corp. | 258 | (1.51 | )% | (4,778 | ) | |||||||
Total Financial | �� | (15,813 | ) | |||||||||
Utilities | ||||||||||||
Entergy Corp. | 171 | (1.13 | )% | (931 | ) | |||||||
Black Hills Corp. | 433 | (1.89 | )% | (3,739 | ) | |||||||
ONE Gas, Inc. | 361 | (1.80 | )% | (3,919 | ) | |||||||
CenterPoint Energy, Inc. | 1,095 | (1.90 | )% | (4,544 | ) | |||||||
Atmos Energy Corp. | 273 | (1.85 | )% | (4,931 | ) | |||||||
Edison International | 475 | (1.88 | )% | (5,603 | ) | |||||||
Total Utilities | (23,667 | ) | ||||||||||
Technology | ||||||||||||
Ceridian HCM Holding, Inc. | 157 | (0.67 | )% | 3,141 | ||||||||
Atlassian Corporation plc — Class A | 15 | (0.25 | )% | 93 | ||||||||
Datadog, Inc. — Class A | 43 | (0.37 | )% | (261 | ) | |||||||
Bill.com Holdings, Inc. | 29 | (0.37 | )% | (374 | ) | |||||||
Zscaler, Inc. | 29 | (0.40 | )% | (546 | ) | |||||||
Cloudflare, Inc. — Class A | 55 | (0.37 | )% | (603 | ) | |||||||
Leidos Holdings, Inc. | 80 | (0.49 | )% | (1,374 | ) | |||||||
MongoDB, Inc. | 18 | (0.45 | )% | (1,429 | ) | |||||||
Crowdstrike Holdings, Inc. — Class A | 32 | (0.41 | )% | (1,500 | ) | |||||||
KBR, Inc. | 469 | (1.45 | )% | (5,438 | ) | |||||||
Total Technology | (8,291 | ) | ||||||||||
Industrial | ||||||||||||
Stericycle, Inc. | 370 | (1.23 | )% | 5,647 | ||||||||
Boeing Co. | 125 | (1.35 | )% | 3,899 | ||||||||
MSA Safety, Inc. | 75 | (0.56 | )% | 548 | ||||||||
Jacobs Engineering Group, Inc. | 210 | (1.64 | )% | 459 | ||||||||
J.B. Hunt Transport Services, Inc. | 54 | (0.61 | )% | 153 | ||||||||
CH Robinson Worldwide, Inc. | 115 | (0.70 | )% | (95 | ) | |||||||
TransDigm Group, Inc. | 16 | (0.59 | )% | (202 | ) | |||||||
General Electric Co. | 117 | (0.61 | )% | (270 | ) | |||||||
Republic Services, Inc. — Class A | 92 | (0.69 | )% | (1,467 | ) | |||||||
Waste Management, Inc. | 89 | (0.80 | )% | (1,814 | ) | |||||||
Howmet Aerospace, Inc. | 449 | (0.91 | )% | (1,888 | ) | |||||||
Tetra Tech, Inc. | 113 | (1.05 | )% | (6,363 | ) | |||||||
Casella Waste Systems, Inc. — Class A | 295 | (1.46 | )% | (8,851 | ) | |||||||
Total Industrial | (10,244 | ) | ||||||||||
Energy | ||||||||||||
NOV, Inc. | 683 | (0.76 | )% | (3,304 | ) | |||||||
Range Resources Corp. | 323 | (0.56 | )% | (4,227 | ) | |||||||
Patterson-UTI Energy, Inc. | 1,403 | (1.23 | )% | (10,735 | ) | |||||||
Halliburton Co. | 929 | (1.99 | )% | (13,906 | ) | |||||||
Total Energy | (32,172 | ) | ||||||||||
Total MS Equity Short Custom Basket | $ | (59,307 | ) |
Series Z (Alpha Opportunity Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
GS EQUITY LONG CUSTOM BASKET | ||||||||||||
Shares | Percentage Notional Amount | Value and Unrealized Appreciation (Depreciation) | ||||||||||
Consumer, Non-cyclical | ||||||||||||
Amphastar Pharmaceuticals, Inc. | 178 | 0.74 | % | $ | 2,837 | |||||||
AbbVie, Inc. | 49 | 0.92 | % | 2,145 | ||||||||
Innoviva, Inc. | 362 | 0.82 | % | 2,136 | ||||||||
Molson Coors Beverage Co. — Class B | 132 | 0.82 | % | 1,321 | ||||||||
Bristol-Myers Squibb Co. | 134 | 1.14 | % | 1,274 | ||||||||
Vertex Pharmaceuticals, Inc. | 18 | 0.55 | % | 1,264 | ||||||||
Regeneron Pharmaceuticals, Inc. | 9 | 0.73 | % | 1,241 | ||||||||
Johnson & Johnson | 55 | 1.13 | % | 882 | ||||||||
Eagle Pharmaceuticals, Inc. | 113 | 0.65 | % | 674 | ||||||||
Hologic, Inc. | 102 | 0.91 | % | 557 | ||||||||
Amgen, Inc. | 33 | 0.93 | % | 557 | ||||||||
Merck & Company, Inc. | 47 | 0.45 | % | 470 | ||||||||
Exelixis, Inc. | 128 | 0.34 | % | 437 | ||||||||
Corteva, Inc. | 38 | 0.25 | % | 321 | ||||||||
Perdoceo Education Corp. | 606 | 0.81 | % | 299 | ||||||||
Incyte Corp. | 71 | 0.66 | % | 280 | ||||||||
Quest Diagnostics, Inc. | 30 | 0.48 | % | 194 | ||||||||
Prestige Consumer Healthcare, Inc. | 82 | 0.51 | % | 193 | ||||||||
United Therapeutics Corp. | 17 | 0.35 | % | 172 | ||||||||
Halozyme Therapeutics, Inc. | 59 | 0.27 | % | 116 | ||||||||
Royalty Pharma plc — Class A | 90 | 0.41 | % | 27 | ||||||||
Premier, Inc. — Class A | 50 | 0.21 | % | (90 | ) | |||||||
Waters Corp. | 10 | 0.36 | % | (95 | ) | |||||||
Abbott Laboratories | 34 | 0.47 | % | (109 | ) | |||||||
Laboratory Corporation of America Holdings | 10 | 0.31 | % | (204 | ) | |||||||
John B Sanfilippo & Son, Inc. | 108 | 1.05 | % | (279 | ) | |||||||
Pfizer, Inc. | 56 | 0.34 | % | (351 | ) | |||||||
EVERTEC, Inc. | 102 | 0.49 | % | (517 | ) | |||||||
USANA Health Sciences, Inc. | 61 | 0.56 | % | (1,162 | ) | |||||||
Gilead Sciences, Inc. | 150 | 1.04 | % | (1,243 | ) | |||||||
Bio-Rad Laboratories, Inc. — Class A | 9 | 0.59 | % | (1,297 | ) | |||||||
Vanda Pharmaceuticals, Inc. | 316 | 0.42 | % | (1,707 | ) | |||||||
Total Consumer, Non-cyclical | 10,343 | |||||||||||
Consumer, Cyclical | ||||||||||||
AutoZone, Inc. | 5 | 1.19 | % | 1,964 | ||||||||
Ethan Allen Interiors, Inc. | 174 | 0.53 | % | 354 | ||||||||
AutoNation, Inc. | 25 | 0.29 | % | 272 | ||||||||
Allison Transmission Holdings, Inc. | 151 | 0.69 | % | 136 | ||||||||
Methode Electronics, Inc. | 69 | 0.35 | % | 57 | ||||||||
Tapestry, Inc. | 66 | 0.29 | % | (16 | ) | |||||||
Columbia Sportswear Co. | 46 | 0.48 | % | (22 | ) | |||||||
Zumiez, Inc. | 59 | 0.26 | % | (169 | ) | |||||||
Autoliv, Inc. | 29 | 0.26 | % | (302 | ) | |||||||
MarineMax, Inc. | 44 | 0.21 | % | (379 | ) | |||||||
Jack in the Box, Inc. | 26 | 0.28 | % | (386 | ) | |||||||
Haverty Furniture Companies, Inc. | 63 | 0.20 | % | (400 | ) | |||||||
Tri Pointe Homes, Inc. | 173 | 0.40 | % | (493 | ) | |||||||
Shoe Carnival, Inc. | 64 | 0.22 | % | (527 | ) | |||||||
Buckle, Inc. | 81 | 0.31 | % | (545 | ) | |||||||
Brunswick Corp. | 40 | 0.38 | % | (603 | ) | |||||||
LKQ Corp. | 61 | 0.32 | % | (667 | ) | |||||||
PulteGroup, Inc. | 61 | 0.30 | % | (701 | ) | |||||||
Cummins, Inc. | 30 | 0.72 | % | (730 | ) | |||||||
Toll Brothers, Inc. | 47 | 0.26 | % | (956 | ) | |||||||
NVR, Inc. | 2 | 1.04 | % | (965 | ) | |||||||
Acushnet Holdings Corp. | 102 | 0.48 | % | (991 | ) | |||||||
Gentex Corp. | 316 | 1.07 | % | (1,107 | ) | |||||||
Dolby Laboratories, Inc. — Class A | 70 | 0.64 | % | (1,197 | ) | |||||||
Whirlpool Corp. | 44 | 0.88 | % | (2,042 | ) | |||||||
Total Consumer, Cyclical | (10,415 | ) | ||||||||||
Basic Materials | ||||||||||||
Westlake Corp. | 53 | 0.76 | % | 1,620 | ||||||||
LyondellBasell Industries N.V. — Class A | 71 | 0.85 | % | 868 | ||||||||
Dow, Inc. | 117 | 0.87 | % | 866 | ||||||||
AdvanSix, Inc. | 68 | 0.40 | % | 493 | ||||||||
NewMarket Corp. | 7 | 0.26 | % | 85 | ||||||||
Reliance Steel & Aluminum Co. | 18 | 0.38 | % | (78 | ) | |||||||
Minerals Technologies, Inc. | 60 | 0.46 | % | (215 | ) | |||||||
International Paper Co. | 134 | 0.72 | % | (234 | ) | |||||||
Total Basic Materials | 3,405 | |||||||||||
Technology | ||||||||||||
CSG Systems International, Inc. | 148 | 1.09 | % | 2,720 | ||||||||
Rambus, Inc. | 202 | 0.75 | % | 2,100 | ||||||||
ExlService Holdings, Inc. | 19 | 0.32 | % | 723 | ||||||||
Lumentum Holdings, Inc. | 26 | 0.30 | % | 413 | ||||||||
NetApp, Inc. | 53 | 0.51 | % | 351 | ||||||||
Akamai Technologies, Inc. | 24 | 0.33 | % | 160 | ||||||||
Dropbox, Inc. — Class A | 83 | 0.22 | % | 114 | ||||||||
Genpact Ltd. | 43 | 0.22 | % | 71 | ||||||||
Progress Software Corp. | 71 | 0.39 | % | 34 | ||||||||
NetScout Systems, Inc. | 60 | 0.22 | % | 31 | ||||||||
SS&C Technologies Holdings, Inc. | 24 | 0.21 | % | (19 | ) | |||||||
Skyworks Solutions, Inc. | 13 | 0.20 | % | (31 | ) | |||||||
Ziff Davis, Inc. | 25 | 0.28 | % | (46 | ) | |||||||
Intel Corp. | 71 | 0.41 | % | (70 | ) | |||||||
Qorvo, Inc. | 14 | 0.20 | % | (107 | ) | |||||||
CommVault Systems, Inc. | 28 | 0.22 | % | (344 | ) | |||||||
Xperi Holding Corp. | 212 | 0.43 | % | (629 | ) | |||||||
Total Technology | 5,471 | |||||||||||
Industrial | ||||||||||||
Mueller Industries, Inc. | 161 | 0.97 | % | 1,572 | ||||||||
Knowles Corp. | 430 | 1.08 | % | 1,020 | ||||||||
Packaging Corporation of America | 43 | 0.78 | % | 995 | ||||||||
Crane Co. | 43 | 0.54 | % | 587 | ||||||||
Encore Wire Corp. | 33 | 0.44 | % | 548 | ||||||||
TTM Technologies, Inc. | 445 | 0.77 | % | 401 | ||||||||
Dorian LPG Ltd. | 174 | 0.29 | % | 316 | ||||||||
Albany International Corp. — Class A | 32 | 0.31 | % | 222 | ||||||||
Sanmina Corp. | 186 | 0.87 | % | 191 |
Series Z (Alpha Opportunity Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Percentage Notional Amount | Value and Unrealized Appreciation (Depreciation) | ||||||||||
Owens Corning | 31 | 0.33 | % | $ | 166 | |||||||
Keysight Technologies, Inc. | 11 | 0.20 | % | 67 | ||||||||
Louisiana-Pacific Corp. | 46 | 0.33 | % | (16 | ) | |||||||
Insteel Industries, Inc. | 57 | 0.25 | % | (74 | ) | |||||||
Hillenbrand, Inc. | 118 | 0.61 | % | (133 | ) | |||||||
Arrow Electronics, Inc. | 15 | 0.21 | % | (144 | ) | |||||||
Sturm Ruger & Company, Inc. | 108 | 0.88 | % | (345 | ) | |||||||
UFP Industries, Inc. | 28 | 0.25 | % | (355 | ) | |||||||
Eagle Materials, Inc. | 32 | 0.48 | % | (580 | ) | |||||||
OSI Systems, Inc. | 56 | 0.55 | % | (630 | ) | |||||||
Snap-on, Inc. | 37 | 0.88 | % | (691 | ) | |||||||
Vontier Corp. | 108 | 0.32 | % | (823 | ) | |||||||
Vishay Intertechnology, Inc. | 485 | 1.11 | % | (1,006 | ) | |||||||
3M Co. | 62 | 1.07 | % | (1,309 | ) | |||||||
Garmin Ltd. | 75 | 1.04 | % | (1,324 | ) | |||||||
Total Industrial | (1,345 | ) | ||||||||||
Communications | ||||||||||||
Cisco Systems, Inc. | 90 | 0.58 | % | 1,076 | ||||||||
Juniper Networks, Inc. | 67 | 0.29 | % | 868 | ||||||||
Omnicom Group, Inc. | 43 | 0.42 | % | 503 | ||||||||
F5, Inc. | 9 | 0.22 | % | 140 | ||||||||
Nexstar Media Group, Inc. — Class A | 23 | 0.50 | % | 125 | ||||||||
Interpublic Group of Companies, Inc. | 120 | 0.50 | % | 124 | ||||||||
Alphabet, Inc. — Class C | 1 | 0.33 | % | (25 | ) | |||||||
Viavi Solutions, Inc. | 299 | 0.56 | % | (60 | ) | |||||||
Comcast Corp. — Class A | 179 | 0.98 | % | (89 | ) | |||||||
Meta Platforms, Inc. — Class A | 42 | 1.09 | % | (125 | ) | |||||||
Shenandoah Telecommunications Co. | 159 | 0.44 | % | (137 | ) | |||||||
NETGEAR, Inc. | 68 | 0.20 | % | (249 | ) | |||||||
InterDigital, Inc. | 54 | 0.40 | % | (281 | ) | |||||||
Yelp, Inc. — Class A | 147 | 0.58 | % | (295 | ) | |||||||
Verizon Communications, Inc. | 169 | 1.00 | % | (478 | ) | |||||||
Total Communications | 1,097 | |||||||||||
Financial | ||||||||||||
Arch Capital Group Ltd. | 198 | 1.12 | % | 1,559 | ||||||||
Safety Insurance Group, Inc. | 110 | 1.16 | % | 1,288 | ||||||||
Enstar Group Ltd. | 33 | 1.00 | % | 1,213 | ||||||||
Raymond James Financial, Inc. | 45 | 0.58 | % | 991 | ||||||||
Markel Corp. | 3 | 0.52 | % | 744 | ||||||||
Preferred Bank/Los Angeles CA | 96 | 0.83 | % | 589 | ||||||||
Everest Re Group Ltd. | 18 | 0.63 | % | 578 | ||||||||
Travelers Companies, Inc. | 41 | 0.87 | % | 414 | ||||||||
Equity Commonwealth | 168 | 0.55 | % | 360 | ||||||||
BankUnited, Inc. | 126 | 0.64 | % | 291 | ||||||||
Old Republic International Corp. | 298 | 0.90 | % | 237 | ||||||||
PS Business Parks, Inc. | 33 | 0.65 | % | 227 | ||||||||
Western Union Co. | 182 | 0.40 | % | 156 | ||||||||
WP Carey, Inc. | 24 | 0.23 | % | 81 | ||||||||
Easterly Government Properties, Inc. | 140 | 0.34 | % | 50 | ||||||||
United Bankshares, Inc. | 183 | 0.74 | % | 11 | ||||||||
Douglas Elliman, Inc. | 1 | 0.00 | % | 1 | ||||||||
Radian Group, Inc. | 304 | 0.79 | % | (38 | ) | |||||||
Stewart Information Services Corp. | 118 | 0.83 | % | (63 | ) | |||||||
Fulton Financial Corp. | 388 | 0.75 | % | (117 | ) | |||||||
First American Financial Corp. | 54 | 0.41 | % | (189 | ) | |||||||
Janus Henderson Group plc | 103 | 0.42 | % | (197 | ) | |||||||
Interactive Brokers Group, Inc. — Class A | 78 | 0.60 | % | (205 | ) | |||||||
HomeStreet, Inc. | 110 | 0.61 | % | (210 | ) | |||||||
Fidelity National Financial, Inc. | 111 | 0.63 | % | (260 | ) | |||||||
Citigroup, Inc. | 53 | 0.33 | % | (312 | ) | |||||||
PotlatchDeltic Corp. | 57 | 0.35 | % | (380 | ) | |||||||
Essent Group Ltd. | 119 | 0.57 | % | (474 | ) | |||||||
OneMain Holdings, Inc. | 94 | 0.52 | % | (474 | ) | |||||||
Piper Sandler Cos. | 38 | 0.58 | % | (478 | ) | |||||||
MGIC Investment Corp. | 457 | 0.72 | % | (500 | ) | |||||||
Mercury General Corp. | 171 | 1.09 | % | (592 | ) | |||||||
National Bank Holdings Corp. — Class A | 215 | 1.01 | % | (637 | ) | |||||||
Meta Financial Group, Inc. | 76 | 0.49 | % | (652 | ) | |||||||
AMERISAFE, Inc. | 131 | 0.76 | % | (843 | ) | |||||||
Hilltop Holdings, Inc. | 158 | 0.54 | % | (1,165 | ) | |||||||
Evercore, Inc. — Class A | 51 | 0.66 | % | (1,353 | ) | |||||||
Total Financial | (349 | ) | ||||||||||
Utilities | ||||||||||||
National Fuel Gas Co. | 141 | 1.13 | % | 2,284 | ||||||||
IDACORP, Inc. | 73 | 0.98 | % | 1,270 | ||||||||
Chesapeake Utilities Corp. | 60 | 0.96 | % | 1,034 | ||||||||
Portland General Electric Co. | 150 | 0.96 | % | 786 | ||||||||
Southern Co. | 65 | 0.55 | % | 778 | ||||||||
Duke Energy Corp. | 77 | 1.00 | % | 577 | ||||||||
CMS Energy Corp. | 142 | 1.16 | % | 437 | ||||||||
MGE Energy, Inc. | 125 | 1.16 | % | 418 | ||||||||
WEC Energy Group, Inc. | 36 | 0.42 | % | 201 | ||||||||
California Water Service Group | 43 | 0.30 | % | 64 | ||||||||
Otter Tail Corp. | 82 | 0.60 | % | (29 | ) | |||||||
PPL Corp. | 178 | 0.59 | % | (190 | ) | |||||||
Total Utilities | 7,630 | |||||||||||
Energy | ||||||||||||
Kinder Morgan, Inc. | 269 | 0.59 | % | 92 | ||||||||
Exxon Mobil Corp. | 38 | 0.37 | % | 1 | ||||||||
Total Energy | 93 | |||||||||||
Total GS Equity Long Custom Basket | $ | 15,930 |
GS EQUITY SHORT CUSTOM BASKET | ||||||||||||
Shares | Percentage Notional Amount | Value and Unrealized Appreciation | ||||||||||
Consumer, Non-cyclical | ||||||||||||
Guardant Health, Inc. | 157 | (0.60 | )% | $ | 8,360 | |||||||
CoStar Group, Inc. | 278 | (1.06 | )% | 5,466 | ||||||||
Viad Corp. | 393 | (0.80 | )% | 3,398 | ||||||||
Equifax, Inc. | 76 | (1.03 | )% | 2,267 | ||||||||
Driven Brands Holdings, Inc. | 798 | (1.20 | )% | 1,922 | ||||||||
TransUnion | 134 | (0.79 | )% | 1,256 |
Series Z (Alpha Opportunity Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Percentage Notional Amount | Value and Unrealized Appreciation (Depreciation) | ||||||||||
ASGN, Inc. | 121 | (0.81 | )% | $ | 1,006 | |||||||
Dun & Bradstreet Holdings, Inc. | 572 | (0.57 | )% | 978 | ||||||||
Natera, Inc. | 52 | (0.12 | )% | 866 | ||||||||
Cooper Companies, Inc. | 15 | (0.36 | )% | 169 | ||||||||
Verisk Analytics, Inc. — Class A | 98 | (1.20 | )% | (11 | ) | |||||||
Intellia Therapeutics, Inc. | 35 | (0.15 | )% | (25 | ) | |||||||
Booz Allen Hamilton Holding Corp. | 127 | (0.64 | )% | (212 | ) | |||||||
UnitedHealth Group, Inc. | 17 | (0.50 | )% | (432 | ) | |||||||
Cintas Corp. | 80 | (1.95 | )% | (580 | ) | |||||||
Rollins, Inc. | 471 | (0.95 | )% | (967 | ) | |||||||
Sysco Corp. | 186 | (0.87 | )% | (1,146 | ) | |||||||
Bunge Ltd. | 136 | (0.86 | )% | (1,538 | ) | |||||||
Quanta Services, Inc. | 82 | (0.62 | )% | (1,862 | ) | |||||||
Total Consumer, Non-cyclical | 18,915 | |||||||||||
Communications | ||||||||||||
Lyft, Inc. — Class A | 387 | (0.85 | )% | 1,536 | ||||||||
Okta, Inc. | 19 | (0.16 | )% | 867 | ||||||||
Airbnb, Inc. — Class A | 21 | (0.21 | )% | 452 | ||||||||
Trade Desk, Inc. — Class A | 62 | (0.25 | )% | (142 | ) | |||||||
Palo Alto Networks, Inc. | 6 | (0.21 | )% | (288 | ) | |||||||
DoorDash, Inc. — Class A | 58 | (0.39 | )% | (1,079 | ) | |||||||
Total Communications | 1,346 | |||||||||||
Consumer, Cyclical | ||||||||||||
United Airlines Holdings, Inc. | 386 | (1.03 | )% | 3,993 | ||||||||
Delta Air Lines, Inc. | 455 | (1.03 | )% | 2,910 | ||||||||
MillerKnoll, Inc. | 760 | (1.50 | )% | 2,025 | ||||||||
IAA, Inc. | 193 | (0.42 | )% | 1,992 | ||||||||
Freshpet, Inc. | 64 | (0.38 | )% | 1,848 | ||||||||
MGM Resorts International | 184 | (0.44 | )% | 277 | ||||||||
American Airlines Group, Inc. | 1,268 | (1.33 | )% | 22 | ||||||||
Copart, Inc. | 208 | (1.50 | )% | 11 | ||||||||
Southwest Airlines Co. | 249 | (0.65 | )% | (68 | ) | |||||||
JetBlue Airways Corp. | 451 | (0.39 | )% | (189 | ) | |||||||
Royal Caribbean Cruises Ltd. | 76 | (0.36 | )% | (314 | ) | |||||||
Hilton Worldwide Holdings, Inc. | 54 | (0.47 | )% | (374 | ) | |||||||
Carnival Corp. | 280 | (0.32 | )% | (542 | ) | |||||||
Lululemon Athletica, Inc. | 20 | (0.42 | )% | (1,037 | ) | |||||||
Total Consumer, Cyclical | 10,554 | |||||||||||
Financial | ||||||||||||
Western Alliance Bancorporation | 197 | (0.94 | )% | 3,915 | ||||||||
Americold Realty Trust | 381 | (0.61 | )% | 3,200 | ||||||||
SVB Financial Group | 21 | (0.67 | )% | 2,486 | ||||||||
Sun Communities, Inc. | 129 | (1.30 | )% | 1,909 | ||||||||
Equinix, Inc. | 30 | (1.27 | )% | 1,368 | ||||||||
Bank of New York Mellon Corp. | 122 | (0.35 | )% | 1,338 | ||||||||
Invitation Homes, Inc. | 561 | (1.29 | )% | 1,133 | ||||||||
Equitable Holdings, Inc. | 787 | (1.39 | )% | 656 | ||||||||
Regions Financial Corp. | 360 | (0.46 | )% | 541 | ||||||||
Signature Bank | 44 | (0.74 | )% | 256 | ||||||||
RLJ Lodging Trust | 1,819 | (1.47 | )% | 172 | ||||||||
Safehold, Inc. | 142 | (0.45 | )% | 161 | ||||||||
First Republic Bank | 57 | (0.53 | )% | 160 | ||||||||
Northern Trust Corp. | 163 | (1.09 | )% | 70 | ||||||||
UDR, Inc. | 170 | (0.56 | )% | 27 | ||||||||
Zions Bancorp North America | 294 | (1.10 | )% | (13 | ) | |||||||
Park Hotels & Resorts, Inc. | 1,206 | (1.35 | )% | (71 | ) | |||||||
Bank of America Corp. | 193 | (0.46 | )% | (74 | ) | |||||||
Sunstone Hotel Investors, Inc. | 1,396 | (0.94 | )% | (113 | ) | |||||||
Wells Fargo & Co. | 273 | (0.76 | )% | (137 | ) | |||||||
CBRE Group, Inc. — Class A | 115 | (0.60 | )% | (142 | ) | |||||||
Digital Realty Trust, Inc. | 57 | (0.46 | )% | (148 | ) | |||||||
State Street Corp. | 289 | (1.44 | )% | (286 | ) | |||||||
Crown Castle International Corp. | 106 | (1.12 | )% | (353 | ) | |||||||
Lincoln National Corp. | 109 | (0.41 | )% | (358 | ) | |||||||
KKR & Company, Inc. — Class A | 207 | (0.69 | )% | (491 | ) | |||||||
Apple Hospitality REIT, Inc. | 349 | (0.36 | )% | (699 | ) | |||||||
Ryman Hospitality Properties, Inc. | 200 | (1.06 | )% | (872 | ) | |||||||
Xenia Hotels & Resorts, Inc. | 586 | (0.65 | )% | (952 | ) | |||||||
SBA Communications Corp. | 46 | (0.91 | )% | (1,015 | ) | |||||||
Apartment Income REIT Corp. | 589 | (1.80 | )% | (1,444 | ) | |||||||
Comerica, Inc. | 257 | (1.33 | )% | (1,745 | ) | |||||||
Ventas, Inc. | 296 | (1.05 | )% | (1,765 | ) | |||||||
Welltower, Inc. | 243 | (1.34 | )% | (2,231 | ) | |||||||
Kennedy-Wilson Holdings, Inc. | 1,307 | (1.83 | )% | (2,345 | ) | |||||||
Pebblebrook Hotel Trust | 840 | (1.18 | )% | (2,402 | ) | |||||||
Iron Mountain, Inc. | 419 | (1.33 | )% | (3,181 | ) | |||||||
Outfront Media, Inc. | 825 | (1.34 | )% | (3,354 | ) | |||||||
Host Hotels & Resorts, Inc. | 1,511 | (1.68 | )% | (4,088 | ) | |||||||
Howard Hughes Corp. | 258 | (1.53 | )% | (4,743 | ) | |||||||
Total Financial | (15,630 | ) | ||||||||||
Utilities | ||||||||||||
Entergy Corp. | 171 | (1.14 | )% | (901 | ) | |||||||
Black Hills Corp. | 433 | (1.91 | )% | (3,801 | ) | |||||||
ONE Gas, Inc. | 361 | (1.82 | )% | (3,928 | ) | |||||||
CenterPoint Energy, Inc. | 1,095 | (1.92 | )% | (4,565 | ) | |||||||
Atmos Energy Corp. | 273 | (1.87 | )% | (4,951 | ) | |||||||
Edison International | 475 | (1.91 | )% | (5,649 | ) | |||||||
Total Utilities | (23,795 | ) | ||||||||||
Technology | ||||||||||||
Ceridian HCM Holding, Inc. | 157 | (0.61 | )% | 3,157 | ||||||||
Atlassian Corporation plc — Class A | 15 | (0.25 | )% | 62 | ||||||||
Datadog, Inc. — Class A | 43 | (0.37 | )% | (258 | ) | |||||||
Bill.com Holdings, Inc. | 29 | (0.38 | )% | (424 | ) | |||||||
Zscaler, Inc. | 29 | (0.40 | )% | (537 | ) | |||||||
Cloudflare, Inc. — Class A | 55 | (0.38 | )% | (599 | ) | |||||||
Leidos Holdings, Inc. | 80 | (0.50 | )% | (1,374 | ) | |||||||
MongoDB, Inc. | 18 | (0.46 | )% | (1,424 | ) | |||||||
Crowdstrike Holdings, Inc. — Class A | 32 | (0.42 | )% | (1,500 | ) | |||||||
KBR, Inc. | 469 | (1.47 | )% | (5,424 | ) | |||||||
Total Technology | (8,321 | ) |
Series Z (Alpha Opportunity Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Percentage Notional Amount | Value and Unrealized Appreciation (Depreciation) | ||||||||||
Industrial | ||||||||||||
Stericycle, Inc. | 370 | (1.25 | )% | $ | 5,641 | |||||||
Boeing Co. | 125 | (1.37 | )% | 3,882 | ||||||||
MSA Safety, Inc. | 75 | (0.57 | )% | 521 | ||||||||
Jacobs Engineering Group, Inc. | 210 | (1.66 | )% | 461 | ||||||||
J.B. Hunt Transport Services, Inc. | 54 | (0.62 | )% | 150 | ||||||||
CH Robinson Worldwide, Inc. | 115 | (0.71 | )% | (136 | ) | |||||||
TransDigm Group, Inc. | 16 | (0.60 | )% | (204 | ) | |||||||
General Electric Co. | 117 | (0.61 | )% | (259 | ) | |||||||
Republic Services, Inc. — Class A | 92 | (0.70 | )% | (1,479 | ) | |||||||
Waste Management, Inc. | 89 | (0.81 | )% | (1,813 | ) | |||||||
Howmet Aerospace, Inc. | 449 | (0.92 | )% | (1,915 | ) | |||||||
Tetra Tech, Inc. | 113 | (1.07 | )% | (6,380 | ) | |||||||
Casella Waste Systems, Inc. — Class A | 295 | (1.48 | )% | (8,861 | ) | |||||||
Total Industrial | (10,392 | ) | ||||||||||
Energy | ||||||||||||
NOV, Inc. | 683 | (0.77 | )% | (3,330 | ) | |||||||
Range Resources Corp. | 323 | (0.56 | )% | (4,200 | ) | |||||||
Patterson-UTI Energy, Inc. | 1,403 | (1.24 | )% | (10,729 | ) | |||||||
Halliburton Co. | 929 | (2.02 | )% | (13,863 | ) | |||||||
Total Energy | (32,122 | ) | ||||||||||
Total GS Equity Short Custom Basket | $ | (59,445 | ) |
* | Non-income producing security. | |
† | Value determined based on Level 1 inputs — See Note 3. | |
†† | Value determined based on Level 2 inputs — See Note 3. | |
1 | All or a portion of this security is pledged as custom basket swap collateral at March 31, 2022. | |
2 | Rate indicated is the 7-day yield as of March 31, 2022. |
GS — Goldman Sachs International
MS — Morgan Stanley Capital Services LLC
plc — Public Limited Company
REIT — Real Estate Investment Trust
See Sector Classification in Other Information section.
Series Z (Alpha Opportunity Series) | |
SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
The following table summarizes the inputs used to value the Fund's investments at March 31, 2022 (See Note 3 in the Notes to Schedule of Investments):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 4,032,449 | $ | — | $ | — | $ | 4,032,449 | ||||||||
Money Market Fund | 72,577 | — | — | 72,577 | ||||||||||||
Equity Custom Basket Swap Agreements** | — | 32,193 | — | 32,193 | ||||||||||||
Total Assets | $ | 4,105,026 | $ | 32,193 | $ | — | $ | 4,137,219 |
Investments in Securities (Liabilities) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Equity Custom Basket Swap Agreements** | $ | — | $ | 118,752 | $ | — | $ | 118,752 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) | |
Note 1 – Organization and Significant Accounting Policies
Organization
Guggenheim Variable Funds Trust (the "Trust"), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 ("1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund (each, a "Fund"). The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each Fundseparately. At March 31, 2022, the Trust consisted of fourteen funds. The Trust offers shares of the funds to insurance companies for their variable annunity and variable life insurance contracts.
This report covers the following funds (collectively, the “Funds”):
Fund | Investment Company Type |
Series A (StylePlus—Large Core Series) | Diversified |
Series B (Large Cap Value Series) | Diversified |
Series D (World Equity Income Series) | Diversified |
Series E (Total Return Bond Series) | Diversified |
Series F (Floating Rate Strategies Series) | Diversified |
Series J (StylePlus—Mid Growth Series) | Diversified |
Series N (Managed Asset Allocation Series) | Diversified |
Series O (All Cap Value Series) | Diversified |
Series P (High Yield Series) | Diversified |
Series Q (Small Cap Value Series) | Diversified |
Series V (SMid Cap Value Series) | Diversified |
Series X (StylePlus—Small Growth Series) | Diversified |
Series Y (StylePlus—Large Growth Series) | Diversified |
Series Z (Alpha Opportunity Series) | Diversified |
For information on the Funds' policy regarding valuation of investments and other significant accounting policies, please refer to the Funds' most recent semi-annual or annual shareholder report.
Significant Accounting Policies
The Funds operate as investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.
(a) Valuation of Investments
The Board of Trustees of the Funds (the “Board”) has adopted policies and procedures for the valuation of the Funds’ investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Funds' securities and/or other assets.
Valuations of the Funds’ securities and other assets are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Funds’ officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
Equity securities listed or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ Official Closing Price, which may not necessarily represent the last sale price. If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid price.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) | |
Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange ("NYSE"). The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. Investments in foreign securities may involve risks not present in domestic investments. The Valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Procedures, the Valuation Committee and Guggenheim Investments (“GI”) are authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.
Open-end investment companies are valued at their net asset value as of the close of business, on the valuation date. Exchange-traded funds and closed-end investment companies are valued at the last quoted sale price.
U.S. Government securities are valued by independent pricing services, the last traded fill price, or at the reported bid price at the close of business.
Debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition are valued at amortized cost, provided such amount approximates market value.
CLOs, CDOs, MBS, ABS, and other structured finance securities are generally valued using a pricing service.
Typically, loans are valued using information provided by an independent third party pricing service that uses broker quotes, among other inputs. If the pricing service cannot or does not provide a valuation for a particular loan, or such valuation is deemed unreliable, such investment is valued based on a quote from a broker-dealer or is fair valued by the Valuation Committee. Funds that invest in loans or asset-backed securities as part of their investment strategies may have a significant amount of these instruments that are fair valued.
Exchange-traded options are valued at the mean of the bid and ask prices on the principal exchange on which they are traded. Over-the-counter (“OTC”) options are valued using a price provided by a pricing service.
The value of futures contracts is accounted for using the unrealized appreciation or depreciation on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the official settlement price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.
The value of interest rate swap agreements entered into by a fund is accounted for using the unrealized appreciation or depreciation on the agreements that is determined using the previous day’s Chicago Mercantile Exchange close price, adjusted for the current day's spreads.
The value of credit default swap agreements entered into by a Fund is accounted for using the unrealized appreciation or depreciation on the agreements that is determined by marking the agreements to the last quoted value of the index that the swap pertains to at the close of the NYSE. The swap’s market value is then adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreements.
The values of other swap agreements entered into by a fund are accounted for using the unrealized appreciation or depreciation on the agreements that are determined by marking the agreements to the last quoted value of the index or other underlying position that the swaps pertain to at the close of the NYSE.
Forward foreign currency exchange contracts are valued daily based on the applicable exchange rate of the underlying currency.
Investments for which market quotations are not readily available are fair-valued as determined in good faith by GI, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value". Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis. In connection with futures contracts and other derivative investments, such factors may include obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) | |
The Funds may acquire an interest in a special purpose acquisition company (“SPAC”) in an initial public offering or a secondary market transaction. SPAC investments carry many of the same risks as investments in initial public offering securities, such as erratic price movements, greater risk of loss, lack of information about the issuer, limited operating and little public or no trading history, and higher transaction costs. An investment in a SPAC is typically subject to a higher risk of dilution by additional later offerings of interests in the SPAC or by other investors exercising existing rights to purchase shares of the SPAC and interests in SPACs may be illiquid and/or be subject to restrictions on resale. A SPAC is a publicly traded company that raises investment capital for the purpose of acquiring the equity securities of one or more existing companies (or interests therein) via merger, combination, acquisition or other similar transactions. Unless and until an acquisition is completed, a SPAC generally invests its assets (less a portion retained to cover expenses) in U.S. government securities, money market securities and cash and does not typically pay dividends in respect of its common stock. SPAC investments are also subject to the risk that a significant portion of the funds raised by the SPAC may be expended during the search for a target acquisition or merger and that the SPAC may have limited time in which to conduct due diligence on potential business combination targets. Because SPACs are in essence blank check companies without operating history or ongoing business other than seeking acquisitions, the value of their securities is particularly dependent on the ability of the entity’s management to identify and complete a profitable acquisition. Among other conflicts of interest, the economic interests of the management, directors, officers and related parties of a SPAC can differ from the economic interests of public shareholders, which may lead to conflicts as they evaluate, negotiate and recommend business combination transactions to shareholders. This risk may become more acute as the deadline for the completion of a business combination nears. There is no guarantee that the SPACs in which the Funds invest will complete an acquisition or that any acquisitions that are completed will be profitable.
Note 2 – Financial Instruments and Derivatives
As part of their investment strategy, the Funds may utilize short sales and a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Schedule of Investments.
Short Sales
A short sale is a transaction in which a Fund sells a security it does not own. If the security sold short decreases in price between the time the Fund sells the security and closes its short position, the Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, the Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.
Derivatives
Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.
The Funds may utilize derivatives for the following purposes:
Duration: the use of an instrument to manage the interest rate risk of a portfolio.
Hedge: an investment made in order to reduce the risk of adverse price movements in a security, by taking an offsetting position to protect against broad market moves.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) | |
Income: the use of any instrument that distributes cash flows typically based upon some rate of interest.
Index Exposure: the use of an instrument to obtain exposure to a listed or other type of index.
Leverage: gaining total exposure to equities or other assets on the long and short sides at greater than 100% of invested capital.
Speculation: the use of an instrument to express macro-economic and other investment views.
For any Fund whose investment strategy consistently involves applying leverage, the value of the Fund’s shares will tend to increase or decrease more than the value of any increase or decrease in the underlying index or other asset. In addition, because an investment in derivative instruments generally requires a small investment relative to the amount of investment exposure assumed, an opportunity for increased net income is created; but, at the same time, leverage risk will increase. The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile and riskier than if they had not been leveraged.
Options Purchased and Written
A call option on a security gives the purchaser of the option the right to buy, and the writer of a call option the obligation to sell, the underlying security. The purchaser of a put option has the right to sell, and the writer of the put option the obligation to buy, the underlying security at any time during the option period. The risk associated with purchasing options is limited to the premium originally paid.
The risk in writing a call option is that a Fund may incur a loss if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that a Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there may be an imperfect correlation between the movement in prices of options and the underlying securities where a Fund may not be able to enter into a closing transaction because of an illiquid secondary market; or, for OTC options, a Fund may be at risk because of the counterparty’s inability to perform.
Futures Contracts
A futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instruments at a set price for delivery at a future date. There are significant risks associated with a Fund's use of futures contracts, including (i) there may be an imperfect or no correlation between the changes in market value of the underlying asset and the prices of futures contracts; (ii) there may not be a liquid secondary market for a futures contract; (iii) trading restrictions or limitations may be imposed by an exchange; and (iv) government regulations may restrict trading in futures contracts. When investing in futures, there is minimal counterparty credit risk to a Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Securities held as collateral are noted on the Schedules of Investments.
Swap Agreements
A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. When utilizing OTC swaps, a fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing and are executed on a multi-lateral or other trade facility platform, such as a registered exchange. There is limited counterparty credit risk with respect to centrally-cleared swaps as the transaction is facilitated through a central clearinghouse, much like exchange-traded futures contracts. For a fund utilizing centrally-cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. There is no guarantee that a fund or an underlying fund could eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.
Total return and custom basket swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as index or custom basket basket) or a fixed or variable interest rate. Total return and custom basket swaps will usually be computed based on the current index value as of the close of regular trading on the NYSE or other exchange, with the swap value being adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreement. When utilizing a total return index or custom basket swap a fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying index declines in value.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) | |
Interest rate swaps involve the exchange by the Funds with another party for their respective commitment to pay or receive a fixed or variable interest rate on a notional amount of principal. Interest rate swaps are generally centrally-cleared, but central clearing does not make interest rate swap transactions risk free.
Credit default swaps are instruments which allow for the full or partial transfer of third party credit risk, with respect to a particular entity or entities, from one counterparty to the other. A fund enters into credit default swaps as a “seller” or “buyer” of protection primarily to gain or reduce exposure to the investment grade and/or high yield bond market. A seller of credit default swaps is selling credit protection or assuming credit risk with respect to the underlying entity or entities. The buyer in a credit default swap is obligated to pay the seller a periodic stream of payments over the term of the contract provided that no event of default on an underlying reference obligation has occurred. If a credit event occurs, as defined under the terms of the swap agreement, the seller will either (i) pay to the buyer of protection an amount equal tothe notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.The notional amount reflects the maximum potential amount the seller of credit protection could be required to pay to the buyer if a credit event occurs. The seller of protection receives periodic premium payments from the buyer and may also receive or pay an upfront premium adjustment to the stated periodic payments. In the event a credit event occurs on a credit default swap referencing an index, a factor adjustment will take place and the buyer of protection will receive a payment reflecting the par less the default recovery rate of the default recovery of the defaulted index component based on its weighting in the index. If no default occurs, the counterparty will pay the stream of payments and have no further obligations to the fund selling the credit protection. For a fund utilizing centrally cleared credit default swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. For OTC credit default swaps, a fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty, or in the case of a credit default swap in which a fund is selling credit protection, the default of a third party issuer.
The quoted market prices and resulting market values for credit default swap agreements on securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
Forward Foreign Currency Exchange Contracts
A forward foreign currency exchange contract is an agreement between two parties to exchange two designated currencies at a specific time in the future. Certain types of contracts may be cash settled, in an amount equal to the change in exchange rates during the term of the contract. The contracts can be used to hedge or manage exposure to foreign currency risks with portfolio investments or to gain exposure to foreign currencies.
The market value of a forward foreign currency exchange contract changes with fluctuations in foreign currency exchange rates. Furthermore, the Funds may be exposed to risk if the counterparties cannot meet the contract terms or if the currency value changes unfavorably as compared to the U.S. dollar.
In conjunction with the use of short sales or derivative instruments, the Funds are required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Funds use margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Funds as collateral.
The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counterparty credit risk.
Foreign Investments
There are several risks associated with exposure to foreign currencies, foreign issuers and emerging markets.A fund’s indirect and direct exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or in the case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates and the imposition of currency controls or other political developments in the U.S. or abroad. In addition, the Funds may incur transaction costs in connection with conversions between various currencies. The Funds may, but is not obligated to, engage in currency hedging transactions, which generally involve buying currency forward, options or futures contracts. However, not all currency risks may be effectively hedged, and in some cases the costs of hedging techniques may outweigh expected benefits. In such instances, the value of securities denominated in foreign currencies can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) | |
The Funds may invest in securities of foreign companies directly, or in financial instruments, such as ADRs and exchange-traded funds, which are indirectly linked to the performance of foreign issuers. Foreign markets can be more volatile than the U.S. market due to increased risks of adverse issuer, political, regulatory, market, or economic developments and can perform differently from the U.S. market. Investing in securities of foreign companies directly, or in financial instruments that are indirectly linked to the performance of foreign issuers, may involve risks not typically associated with investing in U.S. issuers. The value of securities denominated in foreign currencies, and of dividends from such securities, can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar. Foreign securities markets generally have less trading volume and less liquidity than U.S. markets, and prices in some foreign markets may fluctuate more than those of securities traded on U.S. markets. Many foreign countries lack accounting and disclosure standards comparable to those that apply to U.S. companies, and it may be more difficult to obtain reliable information regarding a foreign issuer’s financial condition and operations. Transaction costs and costs associated with custody services are generally higher for foreign securities than they are for U.S. securities. Some foreign governments levy withholding taxes against dividend and interest income. Although in some countries portions of these taxes are recoverable, the non-recovered portion will reduce the income received by the Funds.
Reverse Repurchase Agreements
Each of the Funds may enter into reverse repurchase agreements. Under a reverse repurchase agreement, a Fund sells securities and agrees to repurchase them at a particular price at a future date. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, such buyer or its trustee or receiver may receive an extension of time to determine whether to enforce the Fund’s obligation to repurchase the securities, and the Fund’s use of the proceeds of the reverse repurchase agreement may effectively be restricted pending such decision.
Note 3 – Fair Value Measurement
In accordance with U.S. GAAP, fair value is defined as the price that the Funds would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
Level 1 — quoted prices in active markets for identical assets or liabilities.
Level 2 — significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.).
Level 3 — significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions.
The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
Independent pricing services are used to value a majority of the Funds’ investments. When values are not available from a pricing service, they will be determined using a variety of sources and techniques, including: market prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information and analysis. A significant portion of the Funds’ assets and liabilities are categorized as Level 2, as indicated in this report.
Quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may also be used to value the Funds' assets and liabilities, i.e. prices provided by a broker-dealer or other market participant who has not committed to trade at that price. Although quotes are typically received from established market participants, the Funds may not have the transparency to view the underlying inputs which support the market quotations. Significant changes in a quote would generally result in significant changes in the fair value of the security.
Certain fixed income securities are valued by obtaining a monthly quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates. Certain loans and other securities are valued using a single daily broker quote or a price from a third party vendor based on a single daily or monthly broker quote.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) | |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.
Note 4 – Federal Income Tax Information
The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Funds from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax or federal excise tax is required.
Tax positions taken or expected to be taken in the course of preparing the Funds' tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds' tax positions taken, or to be taken, on U.S. federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Funds' financial statements. The Funds' U.S. federal income tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.
At March 31, 2022, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:
Fund | Tax Cost | Tax Unrealized Appreciation | Tax Unrealized Depreciation | Net Tax Unrealized Appreciation (Depreciation) | ||||||||||||
Series A (StylePlus—Large Core Series) | $ | 250,469,193 | $ | 15,895,374 | $ | (4,275,322 | ) | $ | 11,620,052 | |||||||
Series B (Large Cap Value Series) | 168,250,283 | 72,148,308 | (1,780,032 | ) | 70,368,276 | |||||||||||
Series D (World Equity Income Series) | 122,628,751 | 15,136,443 | (6,571,310 | ) | 8,565,133 | |||||||||||
Series E (Total Return Bond Series) | 177,582,224 | 1,086,124 | (9,639,814 | ) | (8,553,690 | ) | ||||||||||
Series F (Floating Rate Strategies Series) | 48,747,314 | 32,206 | (850,293 | ) | (818,087 | ) | ||||||||||
Series J (StylePlus—Mid Growth Series) | 188,728,337 | 1,781,886 | (19,038,596 | ) | (17,256,710 | ) | ||||||||||
Series N (Managed Asset Allocation Series) | 32,374,520 | 11,329,198 | (941,177 | ) | 10,388,021 | |||||||||||
Series O (All Cap Value Series) | 75,909,705 | 30,251,816 | (1,534,110 | ) | 28,717,706 | |||||||||||
Series P (High Yield Series) | 41,648,695 | 241,556 | (3,035,676 | ) | (2,794,120 | ) | ||||||||||
Series Q (Small Cap Value Series) | 60,848,761 | 16,166,733 | (3,881,058 | ) | 12,285,675 | |||||||||||
Series V (SMid Cap Value Series) | 149,090,299 | 43,914,221 | (7,645,214 | ) | 36,269,007 | |||||||||||
Series X (StylePlus—Small Growth Series) | 32,204,410 | 602,859 | (4,410,758 | ) | (3,807,899 | ) | ||||||||||
Series Y (StylePlus—Large Growth Series) | 51,095,111 | 2,477,919 | (930,268 | ) | 1,547,651 | |||||||||||
Series Z (Alpha Opportunity Series) | 4,084,563 | 254,222 | (320,318 | ) | (66,096 | ) |
Note 5 – Unfunded Loan Commitments
Pursuant to the terms of certain loan agreements, certain Funds held unfunded loan commitments as of March 31, 2022. The Funds are obligated to fund these loan commitments at the borrower’s discretion.
The unfunded loan commitments as of March 31, 2022, were as follows:
Fund | Borrower | Maturity Date | Face Amount | Value | ||||||||
Series E (Total Return Bond Series) | ||||||||||||
Authentic Brands | 12/10/28 | $ | 396,269 | $ | 6,934 | |||||||
Higginbotham Insurance Agency, Inc. | 11/25/26 | 82,456 | 957 | |||||||||
KKR Core Holding Company LLC | 07/15/31 | 330,000 | – | |||||||||
Lightning A | 03/01/37 | 312,000 | – | |||||||||
MB2 Dental Solutions LLC | 01/29/27 | 69,184 | 1,114 | |||||||||
Pacific Bells, LLC | 11/10/28 | 1,546 | 17 | |||||||||
Service Logic Acquisition, Inc. | 10/29/27 | 7,612 | 89 | |||||||||
Thunderbird A | 03/01/37 | 320,000 | – | |||||||||
$ | 1,519,067 | $ | 9,111 | |||||||||
Series F (Floating Rate Strategies Series) | ||||||||||||
Athenahealth Group, Inc. | 02/15/29 | 72,464 | 888 | |||||||||
Aveanna Healthcare LLC | 07/17/28 | 37,736 | 1,047 | |||||||||
Dermatology Intermediate Holdings III, Inc. | 03/23/29 | 37,795 | 567 | |||||||||
Medical Solutions Parent Holdings, Inc. | 11/01/28 | 80,000 | 800 | |||||||||
Osmosis Holdings Australia II Pty Ltd. | 07/31/28 | 18,519 | 208 | |||||||||
Pro Mach Group, Inc. | 08/31/28 | 12,849 | 71 | |||||||||
$ | 259,363 | $ | 3,581 | |||||||||
Series P (High Yield Series) | ||||||||||||
Boyd Corp. | 07/24/26 | 50,000 | 625 | |||||||||
Confluent Health LLC | 11/30/28 | 13,274 | 166 | |||||||||
FR Refuel LLC | 11/08/28 | 8,750 | 175 | |||||||||
Osmosis Holdings Australia II Pty Ltd. | 07/31/28 | 13,889 | 156 | |||||||||
Pro Mach Group, Inc. | 08/31/28 | 4,818 | 27 | |||||||||
SCP Eye Care Services LLC | 03/16/28 | 22,159 | 388 | |||||||||
Taxware Holdings (Sovos Compliance LLC) | 08/11/28 | 11,045 | 34 | |||||||||
$ | 123,935 | $ | 1,571 |
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) | |
Note 6– Restricted Securities
The securities below are considered illiquid and restricted under guidelines established by the Board:
Fund | Restricted Securities | Acquisition Date | Cost | Value | ||||||||
Series E (Total Return Bond Series) | ||||||||||||
Copper River CLO Ltd. | ||||||||||||
2007-1A, due 01/20/211 | 05/09/14 | $ | – | $ | 120 | |||||||
FKRT | ||||||||||||
2.21% due 11/30/58 | 09/24/21 | 749,995 | 722,250 | |||||||||
LSTAR Securities Investment Ltd. | ||||||||||||
2021-1, 2.03% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/262 | 02/04/21 | 255,222 | 253,124 | |||||||||
LSTAR Securities Investment Ltd. | ||||||||||||
2021-2, 1.93% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/262 | 03/17/21 | 216,229 | 214,679 | |||||||||
Towd Point Revolving Trust | ||||||||||||
4.83% due 09/25/64 | 03/17/22 | 499,993 | 500,414 | |||||||||
$ | 1,721,439 | $ | 1,690,587 | |||||||||
Series P (High Yield Series) | ||||||||||||
Basic Energy Services, Inc. | ||||||||||||
due 10/15/233 | 09/25/18 | 174,194 | 3,500 | |||||||||
Mirabela Nickel Ltd. | ||||||||||||
due 06/24/193 | 12/31/13 | 353,909 | 19,504 | |||||||||
$ | 528,103 | $ | 23,004 |
1 | Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates. |
2 | Variable rate security. Rate indicated is the rate effective at March 31, 2022. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
3 | Security is in default of interest and/or principal obligations. |
Note 7 – COVID-19 and Other Market Risks
The outbreak of COVID-19 and the recovery response has caused and continues to cause at times reduced consumer demand and economic output, supply chain disruptions, and market closures, travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators have responded in recent years to this situation with significant fiscal and monetary policy changes. These included providing direct capital infusions into companies, introducing new monetary programs, and lowering interest rates. In some cases, these responses resulted in high inflation, low interest rates, and negative interest rates. Recently, the United States and other governments have also made investments and engaged in infrastructure modernization projects that have also increased public debt and spending. These actions, including their reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Funds’ investments and the performance of the Funds. These actions also contribute to a risk that asset prices have a high degree of correlation across markets and asset classes. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Funds will depend on future developments, which are highly uncertain and difficult to predict.
The value of, or income generated by, the investments held by a Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss. These movements may result from factors affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates, changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political, social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Changing economic, political, geopolitical, social, or, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by a Fund in a different country or geographic region and economies, markets and issuers generally because of the increasingly interconnected global economies and financial markets.
OTHER INFORMATION (Unaudited) | |
Sector Classification
Information in the “Schedule of Investments” is categorized by sectors using sector-level classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.