UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-00173
DODGE & COX FUNDS
(Exact name of registrant as specified in charter)
555 California Street, 40th Floor
San Francisco, CA 94104
(Address of principal executive offices) (Zip code)
Roberta R.W. Kameda, Esq.
555 California Street, 40th Floor
San Francisco, CA 94104
(Name and address of agent for service)
Registrant’s telephone number, including area code: 415-981-1710
Date of fiscal year end: DECEMBER 31, 2023
Date of reporting period: JUNE 30, 2023
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
(a) The following are the June 30, 2023 semi-annual reports for the Dodge & Cox Funds, a Delaware statutory trust, consisting of seven series: Dodge & Cox Stock Fund, Dodge & Cox Global Stock Fund, Dodge & Cox International Stock Fund, Dodge & Cox Emerging Markets Stock Fund, Dodge & Cox Balanced Fund, Dodge & Cox Income Fund, and Dodge & Cox Global Bond Fund.
The reports of each series were transmitted to their respective shareholders on August 23, 2023.
June 30, 2023
For the Board of Trustees, | |
Dana M. Emery, Chair and President |
1 | All returns are stated in U.S. dollars, unless otherwise noted. The Funds’ total returns include the reinvestment of dividend and capital gain distributions, but have not been adjusted for any income taxes payable by shareholders on these distributions or on Fund share redemptions. Index returns include dividend and/or interest income but, unlike Fund returns, do not reflect fees or expenses. The S&P 500 Index is a market capitalization-weighted index of 500 large-capitalization stocks commonly used to represent the U.S. equity market. The Russell 1000 Value Index is a broad-based, unmanaged equity market index composed of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values. |
2 | The top-seven contributors to the S&P 500’s absolute returns in the first half of 2023 were Apple, Microsoft, NVIDIA, Amazon, Alphabet, Meta Platforms, and Tesla. |
3 | Generally, stocks that have lower valuations are considered “value” stocks, while those with higher valuations are considered “growth” stocks. |
4 | For the first half of 2023, the Russell 1000 Value Index had a total return of 5.12% compared to 29.02% for the Russell 1000 Growth Index. The Russell 1000 Growth Index is a broad-based, unmanaged equity market index composed of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values. |
5 | Price-to-earnings (forward) ratios are calculated using 12-month forward earnings estimates from third-party sources as of the reporting period. Estimates reflect a consensus of sell-side analyst estimates, which may lag as market conditions change. |
6 | Unless otherwise specified, all weightings and characteristics are as of June 30, 2023. |
7 | Return for the Stock Fund’s Class I shares. |
8 | The use of specific examples does not imply that they are more or less attractive investments than the portfolio’s other holdings. |
9 | Return on Invested Capital (ROIC) reflects the rate of return generated by a company using the funds contributed by its capital providers. This metric helps assess whether a company is creating value with its investments. |
10 | Free cash flow is the cash a company generates after paying all expenses and loans. |
1 Year | 5 Years | 10 Years | 20 Years | |
Dodge & Cox Stock Fund | ||||
Class I | 12.37% | 10.04% | 11.41% | 9.68% |
Class X(a) | 12.49 | 10.06 | 11.42 | 9.68 |
S&P 500 Index | 19.59 | 12.31 | 12.86 | 10.04 |
Russell 1000 Value Index | 11.54 | 8.11 | 9.22 | 8.50 |
Net Expense Ratio | Gross Expense Ratio | |
Dodge & Cox Stock Fund | ||
Class I | 0.51% | 0.51% |
Class X | 0.41%(b) | 0.46% |
(a) | The Class X shares inception date is May 2, 2022. The returns shown prior to that date are for the Class I shares. |
(b) | Dodge & Cox has contractually agreed to reimburse the Fund for all ordinary expenses to the extent necessary to maintain Total Annual Fund Operating Expenses of Class X at 0.41% until April 30, 2026. This agreement cannot be terminated prior to April 30, 2026 other than by resolution of the Fund’s Board of Trustees. For purposes of the foregoing, ordinary expenses shall not include nonrecurring shareholder account fees, fees and expenses associated with Fund shareholder meetings, fees on portfolio transactions such as exchange fees, dividends and interest on short positions, fees and expenses of pooled investment vehicles that are held by the Fund, interest expenses and other fees and expenses related to any borrowings, taxes, brokerage fees and commissions and other costs and expenses relating to the acquisition and disposition of Fund investments, other expenditures which are capitalized in accordance with generally accepted accounting principles, and other non-routine expenses or extraordinary expenses not incurred in the ordinary course of the Fund’s business, such as litigation expenses. The term of the agreement will automatically renew for subsequent three-year terms unless terminated with at least 30 days’ written notice by either party prior to the end of the then-current term. The agreement does not permit Dodge & Cox to recoup any fees waived or payments made to the Fund for a prior year. |
www.dodgeandcox.com/stockfund
Sector Diversification | % of Net Assets |
Financials | 23.9 |
Health Care | 20.7 |
Information Technology | 14.3 |
Communication Services | 12.2 |
Industrials | 10.9 |
Energy | 7.2 |
Consumer Discretionary | 4.1 |
Consumer Staples | 2.7 |
Materials | 1.6 |
Utilities | 0.6 |
Real Estate | 0.2 |
Net Cash & Other(a) | 1.6 |
(a) | Net Cash & Other includes cash, short-term investments, derivatives, receivables, and payables. |
Six Months Ended June 30, 2023 | Beginning Account Value 1/1/2023 | Ending Account Value 6/30/2023 | Expenses Paid During Period* | Annualized Expense Ratio |
Class I | ||||
Based on actual return | $1,000.00 | $1,071.70 | $2.62 | 0.51% |
Based on hypothetical 5% yearly return | 1,000.00 | 1,022.27 | 2.56 | 0.51 |
Class X | ||||
Based on actual return | $1,000.00 | $1,071.90 | $2.11 | 0.41% |
Based on hypothetical 5% yearly return | 1,000.00 | 1,022.76 | 2.06 | 0.41 |
* | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
Common Stocks: 98.4% | ||
Shares | Value | |
Communication Services: 12.2% | ||
Media & Entertainment: 11.1% | ||
Alphabet, Inc., Class A(a) | 9,630,900 | $1,152,818,730 |
Alphabet, Inc., Class C(a) | 24,139,260 | 2,920,126,282 |
Charter Communications, Inc., Class A(a) | 5,252,076 | 1,929,455,160 |
Comcast Corp., Class A | 46,334,794 | 1,925,210,691 |
DISH Network Corp., Class A(a) | 26,413,337 | 174,063,891 |
Fox Corp., Class A | 27,762,575 | 943,927,550 |
Fox Corp., Class B | 8,447,066 | 269,376,935 |
Meta Platforms, Inc., Class A(a) | 2,934,100 | 842,028,018 |
News Corp., Class A | 7,724,990 | 150,637,305 |
10,307,644,562 | ||
Telecommunication Services: 1.1% | ||
T-Mobile U.S., Inc.(a) | 7,272,537 | 1,010,155,389 |
11,317,799,951 | ||
Consumer Discretionary: 4.1% | ||
Automobiles & Components: 1.0% | ||
Honda Motor Co., Ltd. ADR (Japan) | 31,492,000 | 954,522,520 |
Consumer Discretionary Distribution & Retail: 1.9% | ||
Amazon.com, Inc.(a) | 11,419,500 | 1,488,646,020 |
The Gap, Inc.(b) | 26,729,900 | 238,698,007 |
1,727,344,027 | ||
Consumer Services: 1.2% | ||
Booking Holdings, Inc.(a) | 399,630 | 1,079,132,878 |
3,760,999,425 | ||
Consumer Staples: 2.7% | ||
Food, Beverage & Tobacco: 2.0% | ||
Anheuser-Busch InBev SA/NV ADR (Belgium) | 17,701,900 | 1,004,051,768 |
Molson Coors Beverage Co., Class B(b) | 12,557,825 | 826,807,198 |
1,830,858,966 | ||
Household & Personal Products: 0.7% | ||
Haleon PLC ADR (United Kingdom) | 76,682,527 | 642,599,576 |
2,473,458,542 | ||
Energy: 7.2% | ||
Baker Hughes Co., Class A | 30,137,266 | 952,638,978 |
ConocoPhillips | 9,429,658 | 977,006,865 |
Occidental Petroleum Corp.(b) | 60,276,226 | 3,544,242,089 |
Occidental Petroleum Corp., Warrant(a)(b) | 9,463,977 | 353,195,622 |
The Williams Companies, Inc. | 26,693,865 | 871,020,815 |
6,698,104,369 | ||
Financials: 23.9% | ||
Banks: 5.2% | ||
Bank of America Corp. | 28,331,000 | 812,816,390 |
Truist Financial Corp. | 17,399,277 | 528,068,057 |
Wells Fargo & Co. | 81,994,141 | 3,499,509,938 |
4,840,394,385 | ||
Financial Services: 15.4% | ||
Bank of New York Mellon Corp. | 37,133,224 | 1,653,171,132 |
Capital One Financial Corp.(b) | 23,434,513 | 2,563,032,687 |
Charles Schwab Corp. | 52,641,400 | 2,983,714,552 |
Fidelity National Information Services, Inc. | 18,070,800 | 988,472,760 |
Fiserv, Inc.(a) | 23,275,600 | 2,936,216,940 |
Goldman Sachs Group, Inc. | 3,971,900 | 1,281,096,626 |
Shares | Value | |
State Street Corp. | 15,653,400 | $1,145,515,812 |
UBS Group AG, NY Shs (Switzerland) | 35,809,300 | 725,854,511 |
14,277,075,020 | ||
Insurance: 3.3% | ||
Aegon NV, NY Shs (Netherlands) | 98,613,939 | 499,972,671 |
Brighthouse Financial, Inc.(a)(b) | 6,654,363 | 315,084,088 |
Lincoln National Corp. | 2,761,526 | 71,136,910 |
MetLife, Inc. | 37,860,242 | 2,140,239,480 |
3,026,433,149 | ||
22,143,902,554 | ||
Health Care: 20.7% | ||
Health Care Equipment & Services: 6.5% | ||
CVS Health Corp. | 10,869,800 | 751,429,274 |
GE HealthCare Technologies, Inc. | 10,649,566 | 865,170,742 |
Medtronic PLC | 5,052,300 | 445,107,630 |
The Cigna Group | 8,107,486 | 2,274,960,572 |
UnitedHealth Group, Inc. | 2,252,060 | 1,082,430,118 |
Zimmer Biomet Holdings, Inc. | 3,813,200 | 555,201,920 |
5,974,300,256 | ||
Pharmaceuticals, Biotechnology & Life Sciences: 14.2% | ||
Alnylam Pharmaceuticals, Inc.(a) | 2,385,200 | 453,044,888 |
BioMarin Pharmaceutical, Inc.(a) | 8,867,025 | 768,593,727 |
Bristol-Myers Squibb Co. | 11,295,039 | 722,317,744 |
Elanco Animal Health, Inc.(a)(b) | 55,100,300 | 554,309,018 |
Gilead Sciences, Inc. | 24,243,812 | 1,868,470,591 |
GSK PLC ADR (United Kingdom) | 49,780,637 | 1,774,181,903 |
Incyte Corp.(a)(b) | 12,046,000 | 749,863,500 |
Novartis AG ADR (Switzerland) | 11,821,508 | 1,192,908,372 |
Regeneron Pharmaceuticals, Inc.(a) | 1,548,085 | 1,112,360,996 |
Roche Holding AG ADR (Switzerland) | 22,139,499 | 845,728,862 |
Sanofi ADR (France) | 58,306,824 | 3,142,737,813 |
13,184,517,414 | ||
19,158,817,670 | ||
Industrials: 10.9% | ||
Capital Goods: 7.7% | ||
Carrier Global Corp. | 10,636,879 | 528,759,255 |
General Electric Co. | 16,627,100 | 1,826,486,935 |
Johnson Controls International PLC | 31,392,717 | 2,139,099,736 |
Otis Worldwide Corp. | 4,055,450 | 360,975,605 |
Raytheon Technologies Corp. | 22,783,400 | 2,231,861,864 |
7,087,183,395 | ||
Transportation: 3.2% | ||
FedEx Corp. | 9,641,077 | 2,390,022,988 |
Norfolk Southern Corp. | 2,537,255 | 575,347,944 |
2,965,370,932 | ||
10,052,554,327 | ||
Information Technology: 14.3% | ||
Semiconductors & Semiconductor Equipment: 1.4% | ||
Microchip Technology, Inc. | 14,741,166 | 1,320,661,062 |
Software & Services: 6.2% | ||
Cognizant Technology Solutions Corp., Class A | 14,360,977 | 937,484,579 |
Microsoft Corp. | 7,179,500 | 2,444,906,930 |
VMware, Inc., Class A(a) | 16,300,283 | 2,342,187,664 |
5,724,579,173 | ||
Technology, Hardware & Equipment: 6.7% | ||
Cisco Systems, Inc. | 29,180,387 | 1,509,793,223 |
Coherent Corp.(a)(b) | 11,333,100 | 577,761,438 |
Common Stocks (continued) | ||
Shares | Value | |
Dell Technologies, Inc., Class C | 11,594,688 | $627,388,568 |
Hewlett Packard Enterprise Co. | 41,632,249 | 699,421,783 |
HP, Inc. | 27,880,682 | 856,215,744 |
Juniper Networks, Inc.(b) | 26,579,065 | 832,722,107 |
TE Connectivity, Ltd. | 8,140,475 | 1,140,968,976 |
6,244,271,839 | ||
13,289,512,074 | ||
Materials: 1.6% | ||
Celanese Corp. | 4,420,998 | 511,951,568 |
LyondellBasell Industries NV, Class A | 10,446,163 | 959,271,148 |
1,471,222,716 | ||
Real Estate: 0.2% | ||
Equity Real Estate Investment Trusts (Reits): 0.2% | ||
Gaming and Leisure Properties, Inc. REIT | 4,442,300 | 215,273,858 |
Utilities: 0.6% | ||
Dominion Energy, Inc. | 10,294,800 | 533,167,692 |
Total Common Stocks (Cost $62,740,198,847) | $91,114,813,178 |
Short-Term Investments: 1.4% | ||
Par Value/ Shares | Value | |
Repurchase Agreements: 1.0% | ||
Fixed Income Clearing Corporation(c) 5.04%, dated 6/30/23, due 7/3/23, maturity value $630,264,600 | $630,000,000 | $630,000,000 |
Fixed Income Clearing Corporation(c) 2.45%, dated 6/30/23, due 7/3/23, maturity value $261,523,383 | 261,470,000 | 261,470,000 |
891,470,000 |
Par Value/ Shares | Value | |
Money Market Fund: 0.4% | ||
State Street Institutional U.S. Government Money Market Fund - Premier Class | 368,560,568 | $368,560,568 |
Total Short-Term Investments (Cost $1,260,030,568) | $1,260,030,568 | |
Total Investments In Securities (Cost $64,000,229,415) | 99.8 % | $92,374,843,746 |
Other Assets Less Liabilities | 0.2 % | 227,390,185 |
Net Assets | 100.0 % | $92,602,233,931 |
(a) | Non-income producing |
(b) | See below regarding holdings of 5% voting securities |
(c) | Repurchase agreement is collateralized by U.S. Treasury Notes 1.125%-4.50%, 8/15/39-5/15/40. U.S. Treasury Inflation Indexed Notes 0.125%-2.125%, 10/15/25- 2/15/40. Total collateral value is $909,299,535. |
The Fund usually classifies a company or issuer based on its country of risk, but may designate a different country in certain circumstances. | |
ADR: American Depositary Receipt |
NY Shs: New York Registry Shares |
Description | Number of Contracts | Expiration Date | Notional Amount | Value / Unrealized Appreciation/ (Depreciation) |
E-Mini S&P 500 Index— Long Position | 5,025 | 9/15/23 | $1,127,672,813 | $31,468,470 |
Value at Beginning of Period | Additions | Reductions | Realized Gain (Loss) | Net Change in Unrealized Appreciation/ Depreciation | Value at End of Period | Dividend Income (net of foreign taxes, if any) | |
Common Stocks 11.4% | |||||||
Consumer Discretionary 0.3% | |||||||
Qurate Retail, Inc., Series A | $54,134,800 | $— | $(79,882,530) | $(246,514,218) | $272,261,948 | $—(a) | $— |
The Gap, Inc. | 300,407,832 | 938,840 | — | — | (62,648,665) | 238,698,007 | 7,989,570 |
238,698,007 | |||||||
Consumer Staples 0.9% | |||||||
Molson Coors Beverage Co., Class B | 937,428,296 | 45,622,870 | (425,035,812) | 14,760,461 | 254,031,383 | 826,807,198 | 15,202,206 |
Value at Beginning of Period | Additions | Reductions | Realized Gain (Loss) | Net Change in Unrealized Appreciation/ Depreciation | Value at End of Period | Dividend Income (net of foreign taxes, if any) | |
Energy 4.2% | |||||||
Occidental Petroleum Corp. | $3,814,279,201 | $12,333,615 | $(28,788,480) | $24,014,262 | $(277,596,509) | $3,544,242,089 | $21,799,341 |
Occidental Petroleum Corp., Warrant(b) | 388,512,434 | 1,489,261 | — | — | (36,806,073) | 353,195,622 | — |
3,897,437,711 | |||||||
Financials 3.1% | |||||||
Brighthouse Financial, Inc.(b) | 339,815,663 | 1,189,056 | — | — | (25,920,631) | 315,084,088 | — |
Capital One Financial Corp. | 2,188,456,232 | 9,333,936 | (21,020,914) | 16,401,640 | 369,861,793 | 2,563,032,687 | 28,250,296 |
2,878,116,775 | |||||||
Health Care 1.4% | |||||||
Elanco Animal Health, Inc.(b) | 670,918,326 | 2,042,890 | — | — | (118,652,198) | 554,309,018 | — |
Incyte Corp.(b) | 964,024,736 | 2,763,151 | — | — | (216,924,387) | 749,863,500 | — |
1,304,172,518 | |||||||
Information Technology 1.5% | |||||||
Coherent Corp.(b) | 396,514,170 | 1,997,268 | — | — | 179,250,000 | 577,761,438 | — |
Juniper Networks, Inc. | 846,430,717 | 3,084,650 | — | — | (16,793,260) | 832,722,107 | 11,652,989 |
Micro Focus International PLC ADR | 143,767,217 | — | (146,398,863) | (507,330,776) | 509,962,422 | —(a) | — |
1,410,483,545 | |||||||
$(698,668,631) | $830,025,823 | $10,555,715,754 | $84,894,402 |
(a) | Company was not an affiliate at period end |
(b) | Non-income producing |
Statement of Assets and Liabilities (unaudited)
June 30, 2023 | |
Assets: | |
Investments in securities, at value | |
Unaffiliated issuers (cost $55,100,650,110) | $81,819,127,992 |
Affiliated issuers (cost $8,899,579,305) | 10,555,715,754 |
92,374,843,746 | |
Deposits with broker for futures contracts | 56,280,000 |
Receivable for variation margin for futures contracts | 9,655,119 |
Receivable for investments sold | 434,796,004 |
Receivable for Fund shares sold | 876,174,723 |
Dividends and interest receivable | 107,271,992 |
Expense reimbursement receivable | 1,210,333 |
Prepaid expenses and other assets | 268,571 |
93,860,500,488 | |
Liabilities: | |
Payable for investments purchased | 45,004,532 |
Payable for Fund shares redeemed | 1,175,604,083 |
Management fees payable | 35,963,905 |
Accrued expenses | 1,694,037 |
1,258,266,557 | |
Net Assets | $92,602,233,931 |
Net Assets Consist of: | |
Paid in capital | $63,802,491,816 |
Distributable earnings | 28,799,742,115 |
$92,602,233,931 | |
Class I | |
Total net assets | $61,645,035,301 |
Shares outstanding (par value $0.01 each, unlimited shares authorized) | 271,050,209 |
Net asset value per share | $227.43 |
Class X | |
Total net assets | $30,957,198,630 |
Shares outstanding (par value $0.01 each, unlimited shares authorized) | 136,112,434 |
Net asset value per share | $227.44 |
Statement of Operations (unaudited)
Six Months Ended June 30, 2023 | |
Investment Income: | |
Dividends (net of foreign taxes of $38,629,077) | |
Unaffiliated issuers | $881,273,155 |
Affiliated issuers | 84,894,402 |
Interest | 27,256,964 |
993,424,521 | |
Expenses: | |
Investment advisory fees | 178,761,257 |
Administrative services fees | |
Class I | 32,152,084 |
Class X | 6,269,115 |
Custody and fund accounting fees | 459,089 |
Professional services | 235,241 |
Shareholder reports | 980,573 |
Registration fees | 246,043 |
Trustees fees | 207,143 |
Miscellaneous | 2,609,084 |
Total expenses | 221,919,629 |
Expenses reimbursed by investment manager | (6,344,344 ) |
Net expenses | 215,575,285 |
Net Investment Income | 777,849,236 |
Realized and Unrealized Gain (Loss): | |
Net realized gain (loss) | |
Investments in securities of unaffiliated issuers (Note 6) | 779,923,451 |
Investments in securities of affiliated issuers (Note 6) | (698,668,631 ) |
Futures contracts | 62,687,838 |
Foreign currency transactions | (1,763,316 ) |
Net change in unrealized appreciation/depreciation | |
Investments in securities of unaffiliated issuers | 4,408,945,460 |
Investments in securities of affiliated issuers | 830,025,823 |
Futures contracts | 63,964,932 |
Foreign currency translation | 1,794,714 |
Net realized and unrealized gain | 5,446,910,271 |
Net Change in Net Assets From Operations | $6,224,759,507 |
Statement of Changes in Net Assets (unaudited)
Six Months Ended | Year Ended | |
June 30, 2023 | December 31, 2022 | |
Operations: | ||
Net investment income | $777,849,236 | $1,305,816,851 |
Net realized gain (loss) | 142,179,342 | 5,192,094,507 |
Net change in unrealized appreciation/depreciation | 5,304,730,929 | (13,538,964,415 ) |
6,224,759,507 | (7,041,053,057 ) | |
Distributions to Shareholders: | ||
Class I | (1,010,127,666 ) | (3,908,853,956 ) |
Class X | (424,932,925 ) | (789,701,508 ) |
Total distributions | (1,435,060,591 ) | (4,698,555,464 ) |
Fund Share Transactions: | ||
Class I | ||
Proceeds from sales of shares | 3,748,568,831 | 14,288,694,841 |
Reinvestment of distributions | 941,432,551 | 3,667,538,974 |
Cost of shares redeemed | (13,780,235,759 ) | (35,854,507,024 ) |
Class X | ||
Proceeds from sales of shares | 9,901,025,056 | 21,276,134,334 |
Reinvestment of distributions | 421,751,108 | 785,303,785 |
Cost of shares redeemed | (1,804,769,206 ) | (734,081,290 ) |
Net change from Fund share transactions | (572,227,419 ) | 3,429,083,620 |
Total change in net assets | 4,217,471,497 | (8,310,524,901 ) |
Net Assets: | ||
Beginning of period | 88,384,762,433 | 96,695,287,334 |
End of period | $92,602,233,931 | $88,384,762,433 |
Share Information: | ||
Class I | ||
Shares sold | 16,960,552 | 61,752,594 |
Distributions reinvested | 4,394,376 | 16,709,537 |
Shares redeemed | (62,691,357 ) | (160,324,126 ) |
Net change in shares outstanding | (41,336,429 ) | (81,861,995 ) |
Class X | ||
Shares sold | 45,041,107 | 96,960,799 |
Distributions reinvested | 1,961,161 | 3,721,347 |
Shares redeemed | (8,226,230 ) | (3,345,750 ) |
Net change in shares outstanding | 38,776,038 | 97,336,396 |
Classification | LEVEL 1 (Quoted Prices) | LEVEL 2 (Other Significant Observable Inputs) |
Securities | ||
Common Stocks | ||
Communication Services | $11,317,799,951 | $— |
Consumer Discretionary | 3,760,999,425 | — |
Consumer Staples | 2,473,458,542 | — |
Energy | 6,698,104,369 | — |
Financials | 22,143,902,554 | — |
Health Care | 19,158,817,670 | — |
Classification | LEVEL 1 (Quoted Prices) | LEVEL 2 (Other Significant Observable Inputs) |
Industrials | $10,052,554,327 | $— |
Information Technology | 13,289,512,074 | — |
Materials | 1,471,222,716 | — |
Real Estate | 215,273,858 | — |
Utilities | 533,167,692 | — |
Short-Term Investments | ||
Repurchase Agreements | — | 891,470,000 |
Money Market Fund | 368,560,568 | — |
Total Securities | $91,483,373,746 | $891,470,000 |
Other Investments | ||
Futures Contracts | ||
Appreciation | $31,468,470 | $— |
Equity Derivatives | |
Assets | |
Futures contracts(a) | $31,468,470 |
(a) | Includes cumulative appreciation (depreciation). Only the current day’s variation margin is reported in the Statement of Assets and Liabilities. |
Equity Derivatives | |
Net realized gain (loss) | |
Futures contracts | $62,687,838 |
Net change in unrealized appreciation/depreciation | |
Futures contracts | $63,964,932 |
Derivative | % of Net Assets | |
Futures contracts | USD notional value | 0-2 % |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | |
Class I | ||
Ordinary income | $538,869,476 | $1,118,257,355 |
Long-term capital gain | $471,258,190 | $2,790,596,601 |
Class X | ||
Ordinary income | $248,201,408 | $119,970,142 |
Long-term capital gain | $176,731,517 | $669,731,366 |
Undistributed ordinary income | $29,923,458 |
Undistributed long-term capital gain | 647,777,589 |
Net unrealized appreciation | 23,332,342,152 |
Total distributable earnings | $24,010,043,199 |
Tax cost | $63,849,082,740 |
Unrealized appreciation | 31,365,537,362 |
Unrealized depreciation | (2,808,307,886 ) |
Net unrealized appreciation | 28,557,229,476 |
Selected data and ratios (for a share outstanding throughout each period) | Six Months Ended June 30, | Year Ended December 31, | ||||
2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
Class I | ||||||
Net asset value, beginning of period | $215.71 | $245.26 | $192.56 | $193.76 | $172.81 | $203.61 |
Income from investment operations: | ||||||
Net investment income | 2.01 | 3.24 | 2.90 | 3.41 (a) | 3.65 | 2.90 |
Net realized and unrealized gain (loss) | 13.20 | (20.99 ) | 57.69 | 8.60 | 37.98 | (16.96 ) |
Total from investment operations | 15.21 | (17.75 ) | 60.59 | 12.01 | 41.63 | (14.06 ) |
Distributions to shareholders from: | ||||||
Net investment income | (1.90 ) | (3.08 ) | (3.07 ) | (3.36 ) | (3.65 ) | (2.90 ) |
Net realized gain | (1.59 ) | (8.72 ) | (4.82 ) | (9.85 ) | (17.03 ) | (13.84 ) |
Total distributions | (3.49 ) | (11.80 ) | (7.89 ) | (13.21 ) | (20.68 ) | (16.74 ) |
Net asset value, end of period | $227.43 | $215.71 | $245.26 | $192.56 | $193.76 | $172.81 |
Total return | 7.17 % | (7.22 )% | 31.68 % | 7.16 % | 24.80 % | (7.08 )% |
Ratios/supplemental data: | ||||||
Net assets, end of period (millions) | $61,645 | $67,386 | $96,695 | $70,674 | $74,585 | $63,005 |
Ratio of expenses to average net assets | 0.51 %(b) | 0.51 % | 0.52 % | 0.52 % | 0.52 % | 0.52 % |
Ratio of net investment income to average net assets | 1.70 %(b) | 1.43 % | 1.25 % | 1.98 %(a) | 1.93 % | 1.41 % |
Portfolio turnover rate | 4 % | 16 % | 10 % | 21 % | 17 % | 20 % |
Class X(c) | ||||||
Net asset value, beginning of period | $215.73 | $227.09 | ||||
Income from investment operations: | ||||||
Net investment income | 1.12 | 2.15 | ||||
Net realized and unrealized gain (loss) | 13.41 | (3.81 ) | ||||
Total from investment operations | 14.53 | (1.66 ) | ||||
Distributions to shareholders from: | ||||||
Net investment income | (1.23 ) | (2.45 ) | ||||
Net realized gain | (1.59 ) | (7.25 ) | ||||
Total distributions | (2.82 ) | (9.70 ) | ||||
Net asset value, end of period | $227.44 | $215.73 | ||||
Total return | 7.19 % | (0.61 )% | ||||
Ratios/supplemental data: | ||||||
Net assets, end of period (millions) | $30,957 | $20,998 | ||||
Ratio of expenses to average net assets | 0.41 %(b) | 0.41 %(b) | ||||
Ratio of expenses to average net assets, before reimbursement by investment manager | 0.46 %(b) | 0.46 %(b) | ||||
Ratio of net investment income to average net assets | 1.83 %(b) | 1.45 %(b) | ||||
Portfolio turnover rate | 4 % | 16 % |
(a) | Net investment income per share includes significant amounts received for EU reclaims related to prior years, which amounted to approximately $0.20 per share. Excluding such amounts, the ratio of net investment income to average net assets would have been 1.87%. |
(b) | Annualized |
(c) | For 2022, the period covers 5/2/2022 (commencement of operations) to 12/31/2022 |
(unaudited)
information, please visit the Funds’ website.
Kansas City, Missouri 64121-9502
(800) 621-3979
555 California Street, 40th Floor
San Francisco, California 94104
(415) 981-1710
3 Canal Plaza, Suite 100
Portland, Maine 04101
This report reflects our views, opinions, and portfolio holdings as of June 30, 2023, the end of the reporting period. Any such views are subject to change at any time based upon market or other conditions and Dodge & Cox disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Dodge & Cox Fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Dodge & Cox Fund.
June 30, 2023
For the Board of Trustees, | |
Dana M. Emery, Chair and President |
1 | All returns are stated in U.S. dollars, unless otherwise noted. The Funds’ total returns include the reinvestment of dividend and capital gain distributions, but have not been adjusted for any income taxes payable by shareholders on these distributions or on Fund share redemptions. Index returns include dividend and/or interest income but, unlike Fund returns, do not reflect fees or expenses. The MSCI ACWI (All Country World Index) is a broad-based, unmanaged equity market index aggregated from developed market and emerging market country indicies. |
2 | Generally, stocks that have lower valuations are considered “value” stocks, while those with higher valuations are considered “growth” stocks. |
3 | For the six months ended June 30, 2023, the MSCI ACWI Value Index had a total return of 4.25% and the MSCI ACWI Growth Index had a total return of 24.25%. |
4 | Alphabet, Amazon, Apple, Meta Platforms, Microsoft, NVIDIA, and Tesla had a combined average weight of 13.9% in the MSCI ACWI Index during the first half of 2023. |
5 | The MSCI ACWI Value Index captures large- and mid-cap securities exhibiting overall value style characteristics across developed market and emerging market countries. The value investment style characteristics for index construction are defined using three variables: book value to price, 12-month forward earnings to price and dividend yield. |
6 | Price-to-earnings (forward) ratios are calculated using 12-month forward earnings estimates from third-party sources as of the reporting period. Estimates reflect a consensus of sell-side analyst estimates, which may lag as market conditions change. |
7 | The MSCI ACWI Growth Index captures large- and mid-cap securities exhibiting overall growth style characteristics across developed market and emerging market countries. The growth investment style characteristics for index construction are defined using five variables: long-term forward EPS growth rate, short-term forward EPS growth rate, current internal growth rate, long-term historical EPS growth trend, and long-term historical sales per share growth trend. |
8 | The MSCI EAFE (Europe, Australasia, Far East) Index is a broad-based, unmanaged equity market index aggregated from developed market country indices, excluding the United States and Canada. The S&P 500 Index is a market capitalization- weighted index of 500 large-capitalization stocks commonly used to represent the U.S. equity market. |
9 | Return for the Global Stock Fund’s Class I shares. |
10 | The use of specific examples does not imply that they are more or less attractive investments than the portfolio’s other holdings. |
11 | The MSCI China Index captures large- and mid-cap representation across China A shares, H shares, B shares, Red chips, P chips, and foreign listings (e.g., ADRs). |
12 | The CSI Overseas China Internet Index is designed to measure the performance of the investable universe of publicly traded China-based companies whose primary business or businesses are in the Internet and Internet-related sectors. |
13 | China Internet comprises Alibaba, Baidu, JD.com, and Prosus. |
14 | Return on Invested Capital (ROIC) reflects the rate of return generated by a company using the funds contributed by its capital providers. This metric helps assess whether a company is creating value with its investments. |
15 | Free cash flow is the cash a company generates after paying all expenses and loans. |
1 Year | 3 Years | 5 Years | 10 Years | |
Dodge & Cox Global Stock Fund | ||||
Class I | 13.22% | 17.25% | 8.42% | 9.23% |
Class X(a) | 13.28 | 17.30 | 8.45 | 9.24 |
MSCI ACWI Index | 16.53 | 10.99 | 8.10 | 8.75 |
Net Expense Ratio | Gross Expense Ratio | |
Dodge & Cox Global Stock Fund | ||
Class I | 0.62% | 0.62% |
Class X | 0.52%(b) | 0.57% |
(a) | The Class X shares inception date is May 2, 2022. The returns shown prior to that date are for the Class I shares. |
(b) | Dodge & Cox has contractually agreed to reimburse the Fund for all ordinary expenses to the extent necessary to maintain Total Annual Fund Operating Expenses of the Fund’s Class X at 0.52% until April 30, 2026. This agreement cannot be terminated prior to April 30, 2026 other than by resolution of the Fund’s Board of Trustees. For purposes of the foregoing, ordinary expenses shall not include nonrecurring shareholder account fees, fees and expenses associated with Fund shareholder meetings, fees on portfolio transactions such as exchange fees, dividends and interest on short positions, fees and expenses of pooled investment vehicles that are held by the Fund, interest expenses and other fees and expenses related to any borrowings, taxes, brokerage fees and commissions and other costs and expenses relating to the acquisition and disposition of Fund investments, other expenditures which are capitalized in accordance with generally accepted accounting principles, and other non-routine expenses or extraordinary expenses not incurred in the ordinary course of the Fund’s business, such as litigation expenses. The term of the agreement will automatically renew for subsequent three- year terms unless terminated with at least 30 days’ written notice by either party prior to the end of the then-current term. The agreement does not permit Dodge & Cox to recoup any fees waived or payments made to the Fund for a prior year. |
www.dodgeandcox.com/globalstockfund
Sector Diversification(a) | % of Net Assets |
Financials | 28.9 |
Health Care | 17.4 |
Communication Services | 11.2 |
Information Technology | 8.1 |
Consumer Discretionary | 8.1 |
Industrials | 7.8 |
Energy | 7.2 |
Materials | 6.8 |
Consumer Staples | 2.7 |
Real Estate | 0.2 |
Net Cash & Other(b) | 1.6 |
Region Diversification(a) | % of Net Assets |
United States | 49.7 |
Developed Europe (excluding United Kingdom) | 19.4 |
Emerging Markets | 11.7 |
United Kingdom | 9.2 |
Other Developed | 5.2 |
Japan | 3.2 |
(a) | Excludes derivatives. |
(b) | Net Cash & Other includes cash, short-term investments, derivatives, receivables, and payables. |
Six Months Ended June 30, 2023 | Beginning Account Value 1/1/2023 | Ending Account Value 6/30/2023 | Expenses Paid During Period* | Annualized Expense Ratio |
Class I | ||||
Based on actual return | $1,000.00 | $1,109.40 | $3.24 | 0.62% |
Based on hypothetical 5% yearly return | 1,000.00 | 1,021.72 | 3.11 | 0.62 |
Class X | ||||
Based on actual return | $1,000.00 | $1,110.20 | $2.72 | 0.52% |
Based on hypothetical 5% yearly return | 1,000.00 | 1,022.22 | 2.61 | 0.52 |
* | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
Common Stocks: 96.2% | ||
Shares | Value | |
Communication Services: 11.2% | ||
Media & Entertainment: 10.3% | ||
Alphabet, Inc., Class C(a) (United States) | 3,131,480 | $378,815,136 |
Baidu, Inc. ADR(a) (China) | 371,900 | 50,916,829 |
Charter Communications, Inc., Class A(a) (United States) | 644,997 | 236,952,548 |
Comcast Corp., Class A (United States) | 6,129,900 | 254,697,345 |
DISH Network Corp., Class A(a) (United States) | 1,642,900 | 10,826,711 |
Fox Corp., Class A (United States) | 929,900 | 31,616,600 |
Grupo Televisa SAB ADR (Mexico) | 9,665,600 | 49,584,528 |
Meta Platforms, Inc., Class A(a) (United States) | 266,600 | 76,508,868 |
1,089,918,565 | ||
Telecommunication Services: 0.9% | ||
T-Mobile U.S., Inc.(a) (United States) | 732,900 | 101,799,810 |
1,191,718,375 | ||
Consumer Discretionary: 8.1% | ||
Automobiles & Components: 0.5% | ||
Stellantis NV (Netherlands) | 3,286,823 | 57,708,110 |
Consumer Discretionary Distribution & Retail: 5.3% | ||
Alibaba Group Holding, Ltd. ADR(a) (China) | 1,855,200 | 154,630,920 |
Amazon.com, Inc.(a) (United States) | 1,154,500 | 150,500,620 |
JD.com, Inc. ADR (China) | 1,925,746 | 65,725,711 |
Prosus NV, Class N (China) | 2,537,446 | 185,818,325 |
556,675,576 | ||
Consumer Durables & Apparel: 0.5% | ||
adidas AG (Germany) | 273,000 | 52,960,252 |
Consumer Services: 1.8% | ||
Booking Holdings, Inc.(a) (United States) | 35,300 | 95,321,649 |
Entain PLC (United Kingdom) | 5,851,600 | 94,529,036 |
189,850,685 | ||
857,194,623 | ||
Consumer Staples: 2.7% | ||
Consumer Staples Distribution & Retail: 0.0% | ||
Magnit PJSC(b) (Russia) | 610,500 | 68 |
Food, Beverage & Tobacco: 1.7% | ||
Anheuser-Busch InBev SA/NV (Belgium) | 3,015,500 | 170,547,374 |
Molson Coors Beverage Co., Class B (United States) | 176,600 | 11,627,344 |
182,174,718 | ||
Household & Personal Products: 1.0% | ||
Haleon PLC (United Kingdom) | 25,709,900 | 105,219,637 |
287,394,423 | ||
Energy: 7.2% | ||
Occidental Petroleum Corp. (United States) | 4,541,463 | 267,038,024 |
Occidental Petroleum Corp., Warrant(a) (United States) | 939,445 | 35,060,087 |
Ovintiv, Inc. (United States) | 5,942,038 | 226,213,387 |
Suncor Energy, Inc. (Canada) | 7,934,100 | 232,627,812 |
760,939,310 |
Shares | Value | |
Financials: 27.6% | ||
Banks: 13.7% | ||
Axis Bank, Ltd. (India) | 16,230,300 | $195,093,009 |
Banco Santander SA (Spain) | 68,813,894 | 254,178,786 |
Barclays PLC (United Kingdom) | 85,950,600 | 167,425,318 |
BNP Paribas SA (France) | 3,469,100 | 218,498,085 |
Credicorp, Ltd. (Peru) | 618,900 | 91,374,396 |
ICICI Bank, Ltd. (India) | 7,058,936 | 80,367,474 |
Standard Chartered PLC (United Kingdom) | 24,419,477 | 211,816,871 |
Truist Financial Corp. (United States) | 2,375,000 | 72,081,250 |
Wells Fargo & Co. (United States) | 3,787,673 | 161,657,884 |
1,452,493,073 | ||
Financial Services: 11.0% | ||
Bank of New York Mellon Corp. (United States) | 3,368,100 | 149,947,812 |
Capital One Financial Corp. (United States) | 1,102,597 | 120,591,034 |
Charles Schwab Corp. (United States) | 3,258,100 | 184,669,108 |
Fidelity National Information Services, Inc. (United States) | 1,787,100 | 97,754,370 |
Fiserv, Inc.(a) (United States) | 1,436,900 | 181,264,935 |
Jackson Financial, Inc., Class A (United States) | 2,411,382 | 73,812,403 |
UBS Group AG (Switzerland) | 11,053,100 | 223,457,733 |
XP, Inc., Class A(a) (Brazil) | 5,525,567 | 129,629,802 |
1,161,127,197 | ||
Insurance: 2.9% | ||
Aegon NV (Netherlands) | 10,342,692 | 52,253,944 |
Aviva PLC (United Kingdom) | 19,684,043 | 98,794,946 |
MetLife, Inc. (United States) | 1,403,400 | 79,334,202 |
Prudential PLC (Hong Kong) | 5,278,600 | 74,311,827 |
304,694,919 | ||
2,918,315,189 | ||
Health Care: 17.4% | ||
Health Care Equipment & Services: 4.3% | ||
CVS Health Corp. (United States) | 740,600 | 51,197,678 |
Fresenius Medical Care AG & Co. KGaA (Germany) | 2,844,500 | 135,858,551 |
GE HealthCare Technologies, Inc. (United States) | 1,179,100 | 95,790,084 |
The Cigna Group (United States) | 382,638 | 107,368,223 |
UnitedHealth Group, Inc. (United States) | 142,100 | 68,298,944 |
458,513,480 | ||
Pharmaceuticals, Biotechnology & Life Sciences: 13.1% | ||
Alnylam Pharmaceuticals, Inc.(a) (United States) | 306,141 | 58,148,422 |
Bayer AG (Germany) | 1,691,020 | 93,498,392 |
BioMarin Pharmaceutical, Inc.(a) (United States) | 900,900 | 78,090,012 |
Elanco Animal Health, Inc.(a) (United States) | 3,725,000 | 37,473,500 |
GSK PLC (United Kingdom) | 16,955,320 | 299,053,703 |
Incyte Corp.(a) (United States) | 1,424,500 | 88,675,125 |
Novartis AG (Switzerland) | 1,014,300 | 101,990,950 |
Regeneron Pharmaceuticals, Inc.(a) (United States) | 144,152 | 103,578,978 |
Common Stocks (continued) | ||
Shares | Value | |
Roche Holding AG (Switzerland) | 479,400 | $146,490,028 |
Sanofi (France) | 3,484,257 | 373,358,603 |
1,380,357,713 | ||
1,838,871,193 | ||
Industrials: 7.8% | ||
Capital Goods: 5.1% | ||
General Electric Co. (United States) | 665,900 | 73,149,115 |
Johnson Controls International PLC (United States) | 2,042,103 | 139,148,898 |
Mitsubishi Electric Corp. (Japan) | 13,506,600 | 189,735,460 |
Raytheon Technologies Corp. (United States) | 1,430,000 | 140,082,800 |
542,116,273 | ||
Transportation: 2.7% | ||
FedEx Corp. (United States) | 757,100 | 187,685,090 |
Norfolk Southern Corp. (United States) | 421,400 | 95,556,664 |
283,241,754 | ||
825,358,027 | ||
Information Technology: 7.2% | ||
Semiconductors & Semiconductor Equipment: 0.7% | ||
Microchip Technology, Inc. (United States) | 868,000 | 77,764,120 |
Software & Services: 4.8% | ||
Cognizant Technology Solutions Corp., Class A (United States) | 447,300 | 29,199,744 |
Microsoft Corp. (United States) | 622,100 | 211,849,934 |
VMware, Inc., Class A(a) (United States) | 1,846,829 | 265,370,859 |
506,420,537 | ||
Technology, Hardware & Equipment: 1.7% | ||
Cisco Systems, Inc. (United States) | 404,600 | 20,934,004 |
Coherent Corp.(a) (United States) | 1,786,719 | 91,086,935 |
TE Connectivity, Ltd. (United States) | 473,115 | 66,311,798 |
178,332,737 | ||
762,517,394 | ||
Materials: 6.8% | ||
Akzo Nobel NV (Netherlands) | 1,549,200 | 126,313,231 |
Celanese Corp. (United States) | 582,200 | 67,418,760 |
Glencore PLC (Australia) | 15,316,600 | 86,464,458 |
Holcim, Ltd. (Switzerland) | 663,662 | 44,637,118 |
LyondellBasell Industries NV, Class A (United States) | 1,194,000 | 109,645,020 |
Mitsubishi Chemical Group Corp. (Japan) | 22,100,500 | 132,209,374 |
Nutrien, Ltd. (Canada) | 1,252,300 | 73,948,315 |
Teck Resources, Ltd., Class B (Canada) | 1,918,600 | 80,773,060 |
721,409,336 | ||
Real Estate: 0.2% | ||
Real Estate Management & Development: 0.2% | ||
Daito Trust Construction Co., Ltd. (Japan) | 182,100 | 18,406,241 |
Total Common Stocks (Cost $8,074,036,073) | $10,182,124,111 |
Preferred Stocks: 2.2% | ||
Shares | Value | |
Financials: 1.3% | ||
Banks: 1.3% | ||
Itau Unibanco Holding SA, Pfd (Brazil) | 22,937,193 | $136,141,979 |
Information Technology: 0.9% | ||
Technology, Hardware & Equipment: 0.9% | ||
Samsung Electronics Co., Ltd., Pfd (South Korea) | 2,195,330 | 99,132,649 |
Total Preferred Stocks (Cost $129,809,853) | $235,274,628 |
Short-Term Investments: 1.6% | ||
Par Value/ Shares | Value | |
Repurchase Agreements: 1.2% | ||
Fixed Income Clearing Corporation(c) 5.04%, dated 6/30/23, due 7/3/23, maturity value $71,029,820 | $71,000,000 | $71,000,000 |
Fixed Income Clearing Corporation(c) 2.45%, dated 6/30/23, due 7/3/23, maturity value $51,157,443 | 51,147,000 | 51,147,000 |
122,147,000 | ||
Money Market Fund: 0.4% | ||
State Street Institutional U.S. Government Money Market Fund - Premier Class | 41,924,358 | 41,924,358 |
Total Short-Term Investments (Cost $164,071,358) | $164,071,358 | |
Total Investments In Securities (Cost $8,367,917,284) | 100.0 % | $10,581,470,097 |
Other Assets Less Liabilities | 0.0 % | 3,628,293 |
Net Assets | 100.0 % | $10,585,098,390 |
(a) | Non-income producing |
(b) | Valued using significant unobservable inputs. |
(c) | Repurchase agreement is collateralized by U.S. Treasury Notes 1.875%-4.25%, 10/15/25-2/15/41. Total collateral value is $124,589,981. |
The Fund usually classifies a company or issuer based on its country of risk, but may designate a different country in certain circumstances. | |
ADR: American Depositary Receipt |
Description | Number of Contracts | Expiration Date | Notional Amount | Value / Unrealized Appreciation/ (Depreciation) |
Euro Stoxx 50 Index— Long Position | 1,471 | 9/15/23 | $71,060,243 | $95,782 |
Yen Denominated Nikkei 225 Index— Long Position | 400 | 9/7/23 | 46,342,562 | (455,726 ) |
$(359,944 ) |
Counterparty | Settle Date | Currency Purchased | Currency Sold | Unrealized Appreciation (Depreciation) | ||
CNH: Chinese Yuan Renminbi | ||||||
Bank of America | 7/5/23 | CNH | 49,275,797 | USD | 6,788,169 | $(10,019 ) |
Bank of America | 7/5/23 | USD | 10,180,861 | CNH | 73,910,000 | 14,144 |
Bank of America | 7/5/23 | CNH | 49,275,797 | USD | 6,786,192 | (8,042 ) |
Bank of America | 7/5/23 | CNH | 49,268,406 | USD | 6,787,404 | (10,270 ) |
HSBC | 7/5/23 | USD | 10,186,053 | CNH | 73,910,000 | 19,336 |
Bank of America | 7/12/23 | CNH | 84,724,000 | USD | 12,006,859 | (346,363 ) |
Bank of America | 7/12/23 | CNH | 41,587,500 | USD | 5,862,927 | (139,273 ) |
Bank of America | 7/12/23 | CNH | 41,587,500 | USD | 5,870,210 | (146,555 ) |
Bank of America | 7/12/23 | CNH | 73,910,000 | USD | 10,186,685 | (14,510 ) |
Goldman Sachs | 7/12/23 | USD | 40,045,172 | CNH | 267,661,930 | 3,207,075 |
HSBC | 7/12/23 | USD | 40,015,238 | CNH | 267,661,930 | 3,177,141 |
HSBC | 7/12/23 | CNH | 73,910,000 | USD | 10,191,952 | (19,778 ) |
Goldman Sachs | 7/19/23 | USD | 8,451,428 | CNH | 56,775,000 | 633,315 |
HSBC | 7/19/23 | USD | 18,456,501 | CNH | 124,000,000 | 1,381,274 |
JPMorgan | 7/19/23 | USD | 8,463,148 | CNH | 56,775,028 | 645,031 |
Bank of America | 8/16/23 | USD | 11,805,876 | CNH | 79,245,764 | 869,340 |
JPMorgan | 8/16/23 | USD | 11,803,415 | CNH | 79,245,765 | 866,878 |
JPMorgan | 8/16/23 | USD | 11,635,736 | CNH | 78,062,991 | 862,432 |
Bank of America | 9/13/23 | USD | 15,370,093 | CNH | 107,875,000 | 447,925 |
Goldman Sachs | 9/13/23 | USD | 15,379,962 | CNH | 107,875,054 | 457,786 |
HSBC | 9/13/23 | USD | 15,365,699 | CNH | 107,874,892 | 443,546 |
JPMorgan | 9/13/23 | USD | 15,386,543 | CNH | 107,875,054 | 464,367 |
Bank of America | 10/18/23 | USD | 7,111,836 | CNH | 48,580,950 | 371,823 |
Goldman Sachs | 10/18/23 | USD | 7,211,884 | CNH | 49,317,025 | 369,750 |
Goldman Sachs | 10/18/23 | USD | 1,051,914 | CNH | 7,104,208 | 66,292 |
HSBC | 10/18/23 | USD | 7,215,577 | CNH | 49,317,025 | 373,443 |
HSBC | 10/18/23 | USD | 1,051,666 | CNH | 7,104,216 | 66,043 |
HSBC | 10/18/23 | USD | 1,051,919 | CNH | 7,105,920 | 66,059 |
HSBC | 10/18/23 | USD | 1,051,698 | CNH | 7,104,220 | 66,074 |
JPMorgan | 10/18/23 | USD | 1,052,150 | CNH | 7,104,220 | 66,526 |
JPMorgan | 10/18/23 | USD | 1,052,476 | CNH | 7,104,216 | 66,853 |
Bank of America | 11/8/23 | USD | 7,010,565 | CNH | 48,358,992 | 288,966 |
Bank of America | 11/8/23 | USD | 6,988,610 | CNH | 48,118,400 | 300,452 |
Bank of America | 11/8/23 | USD | 6,907,654 | CNH | 47,637,216 | 286,378 |
HSBC | 11/8/23 | USD | 8,257,686 | CNH | 57,642,780 | 245,699 |
HSBC | 11/8/23 | USD | 8,218,605 | CNH | 57,356,000 | 246,478 |
JPMorgan | 11/8/23 | USD | 8,212,486 | CNH | 57,356,000 | 240,359 |
JPMorgan | 11/8/23 | USD | 8,133,622 | CNH | 56,782,440 | 241,216 |
Standard Chartered | 11/8/23 | USD | 7,017,591 | CNH | 48,358,992 | 295,992 |
Standard Chartered | 11/8/23 | USD | 6,983,711 | CNH | 48,118,400 | 295,553 |
Standard Chartered | 11/8/23 | USD | 8,256,752 | CNH | 57,642,780 | 244,764 |
HSBC | 12/6/23 | USD | 8,534,377 | CNH | 56,774,943 | 623,550 |
HSBC | 12/6/23 | USD | 8,543,637 | CNH | 56,775,029 | 632,798 |
Bank of America | 1/10/24 | USD | 7,161,379 | CNH | 48,029,937 | 448,377 |
HSBC | 1/10/24 | USD | 7,165,858 | CNH | 48,018,412 | 454,466 |
HSBC | 1/10/24 | USD | 7,179,609 | CNH | 48,020,814 | 467,882 |
JPMorgan | 1/10/24 | USD | 7,165,569 | CNH | 48,013,611 | 454,849 |
JPMorgan | 1/10/24 | USD | 7,176,390 | CNH | 48,020,814 | 464,663 |
JPMorgan | 1/10/24 | USD | 7,165,965 | CNH | 48,018,412 | 454,573 |
Bank of America | 2/7/24 | USD | 2,151,890 | CNH | 14,298,235 | 148,549 |
Goldman Sachs | 2/7/24 | USD | 2,151,894 | CNH | 14,298,258 | 148,549 |
HSBC | 2/7/24 | USD | 2,151,990 | CNH | 14,298,250 | 148,646 |
JPMorgan | 2/7/24 | USD | 2,151,894 | CNH | 14,298,257 | 148,549 |
Counterparty | Settle Date | Currency Purchased | Currency Sold | Unrealized Appreciation (Depreciation) | ||
HSBC | 6/5/24 | USD | 10,353,889 | CNH | 72,500,000 | $97,004 |
HSBC | 6/5/24 | USD | 10,358,327 | CNH | 72,500,000 | 101,442 |
Unrealized gain on currency forward contracts | 22,482,207 | |||||
Unrealized loss on currency forward contracts | (694,810 ) | |||||
Net unrealized gain on currency forward contracts | $21,787,397 |
Statement of Assets and Liabilities (unaudited)
June 30, 2023 | |
Assets: | |
Investments in securities, at value (cost $8,367,917,284) | $10,581,470,097 |
Unrealized appreciation on currency forward contracts | 22,482,207 |
Cash | 100 |
Cash denominated in foreign currency (cost $1,678,677) | 1,677,999 |
Deposits with broker for futures contracts | 7,150,223 |
Receivable for variation margin for futures contracts | 1,050,939 |
Receivable for investments sold | 4,549,255 |
Receivable for Fund shares sold | 5,952,591 |
Dividends and interest receivable | 16,564,504 |
Expense reimbursement receivable | 19,814 |
Prepaid expenses and other assets | 40,916 |
10,640,958,645 | |
Liabilities: | |
Unrealized depreciation on currency forward contracts | 694,810 |
Cash received as collateral for currency forward contracts | 20,840,000 |
Payable for investments purchased | 7,369,001 |
Payable for Fund shares redeemed | 3,697,202 |
Deferred foreign capital gains tax | 17,975,310 |
Management fees payable | 5,076,976 |
Accrued expenses | 206,956 |
55,860,255 | |
Net Assets | $10,585,098,390 |
Net Assets Consist of: | |
Paid in capital | $8,392,702,654 |
Distributable earnings | 2,192,395,736 |
$10,585,098,390 | |
Class I | |
Total net assets | $10,068,284,696 |
Shares outstanding (par value $0.01 each, unlimited shares authorized) | 719,891,764 |
Net asset value per share | $13.99 |
Class X | |
Total net assets | $516,813,694 |
Shares outstanding (par value $0.01 each, unlimited shares authorized) | 36,927,985 |
Net asset value per share | $14.00 |
Statement of Operations (unaudited)
Six Months Ended June 30, 2023 | |
Investment Income: | |
Dividends (net of foreign taxes of $8,457,194) | $151,584,721 |
Interest | 2,907,916 |
154,492,637 | |
Expenses: | |
Investment advisory fees | 26,001,984 |
Administrative services fees | |
Class I | 4,977,436 |
Class X | 111,480 |
Custody and fund accounting fees | 304,599 |
Professional services | 188,458 |
Shareholder reports | 62,435 |
Registration fees | 43,696 |
Trustees fees | 207,143 |
Miscellaneous | 114,139 |
Total expenses | 32,011,370 |
Expenses reimbursed by investment manager | (106,352 ) |
Net expenses | 31,905,018 |
Net Investment Income | 122,587,619 |
Realized and Unrealized Gain (Loss): | |
Net realized gain (loss) | |
Investments in securities (net of foreign capital gains tax of $122,129) | (48,335,972 ) |
Futures contracts | 17,960,379 |
Currency forward contracts | 17,989,698 |
Foreign currency transactions | (562,950 ) |
Net change in unrealized appreciation/depreciation | |
Investments in securities (net of change in deferred foreign capital gains tax of $1,686,476) | 947,631,749 |
Futures contracts | 1,563,635 |
Currency forward contracts | 6,846,429 |
Foreign currency translation | 716,003 |
Net realized and unrealized gain | 943,808,971 |
Net Change in Net Assets From Operations | $1,066,396,590 |
Statement of Changes in Net Assets (unaudited)
Six Months Ended | Year Ended | |
June 30, 2023 | December 31, 2022 | |
Operations: | ||
Net investment income | $122,587,619 | $176,511,339 |
Net realized gain (loss) | (12,948,845 ) | 386,689,894 |
Net change in unrealized appreciation/depreciation | 956,757,816 | (1,197,930,015 ) |
1,066,396,590 | (634,728,782 ) | |
Distributions to Shareholders: | ||
Class I | — | (710,941,433 ) |
Class X | — | (24,083,544 ) |
Total distributions | — | (735,024,977 ) |
Fund Share Transactions: | ||
Class I | ||
Proceeds from sales of shares | 673,307,023 | 2,117,052,228 |
Reinvestment of distributions | — | 682,234,755 |
Cost of shares redeemed | (1,305,696,596 ) | (2,254,559,437 ) |
Class X | ||
Proceeds from sales of shares | 114,540,406 | 411,553,420 |
Reinvestment of distributions | — | 24,083,544 |
Cost of shares redeemed | (34,126,839 ) | (26,455,394 ) |
Net change from Fund share transactions | (551,976,006 ) | 953,909,116 |
Total change in net assets | 514,420,584 | (415,844,643 ) |
Net Assets: | ||
Beginning of period | 10,070,677,806 | 10,486,522,449 |
End of period | $10,585,098,390 | $10,070,677,806 |
Share Information: | ||
Class I | ||
Shares sold | 49,583,955 | 154,630,291 |
Distributions reinvested | — | 55,107,806 |
Shares redeemed | (97,310,112 ) | (168,363,196 ) |
Net change in shares outstanding | (47,726,157 ) | 41,374,901 |
Class X | ||
Shares sold | 8,567,144 | 30,974,138 |
Distributions reinvested | — | 1,943,789 |
Shares redeemed | (2,544,183 ) | (2,012,903 ) |
Net change in shares outstanding | 6,022,961 | 30,905,024 |
Classification | LEVEL 1 (Quoted Prices) | LEVEL 2 (Other Significant Observable Inputs) | LEVEL 3 (Signficant Unobservable Inputs) |
Securities | |||
Common Stocks | |||
Communication Services | $1,191,718,375 | $— | $— |
Classification | LEVEL 1 (Quoted Prices) | LEVEL 2 (Other Significant Observable Inputs) | LEVEL 3 (Signficant Unobservable Inputs) |
Consumer Discretionary | $857,194,623 | $— | $— |
Consumer Staples | 287,394,355 | — | 68 |
Energy | 760,939,310 | — | — |
Financials | 2,918,315,189 | — | — |
Health Care | 1,838,871,193 | — | — |
Industrials | 825,358,027 | — | — |
Information Technology | 762,517,394 | — | — |
Materials | 721,409,336 | — | — |
Real Estate | 18,406,241 | — | — |
Preferred Stocks | |||
Financials | 136,141,979 | — | — |
Information Technology | 99,132,649 | — | — |
Short-Term Investments | |||
Repurchase Agreements | — | 122,147,000 | — |
Money Market Fund | 41,924,358 | — | — |
Total Securities | $10,459,323,029 | $122,147,000 | $68 |
Other Investments | |||
Futures Contracts | |||
Appreciation | $95,782 | $— | $— |
Depreciation | (455,726 ) | — | — |
Currency Forward Contracts | |||
Appreciation | — | 22,482,207 | — |
Depreciation | — | (694,810 ) | — |
Equity Derivatives | Foreign Exchange Derivatives | Total Value | |
Assets | |||
Unrealized appreciation on currency forward contracts | $— | $22,482,207 | $22,482,207 |
Futures contracts(a) | 95,782 | — | 95,782 |
$95,782 | $22,482,207 | $22,577,989 | |
Liabilities | |||
Unrealized depreciation on currency forward contracts | $— | $694,810 | $694,810 |
Futures contracts(a) | 455,726 | — | 455,726 |
$455,726 | $694,810 | $1,150,536 |
(a) | Includes cumulative appreciation (depreciation). Only the current day’s variation margin is reported in the Consolidated Statement of Assets and Liabilities. |
Equity Derivatives | Foreign Exchange Derivatives | Total | |
Net realized gain (loss) | |||
Futures contracts | $17,960,379 | $— | 17,960,379 |
Currency forward contracts | — | 17,989,698 | 17,989,698 |
$17,960,379 | $17,989,698 | $35,950,077 | |
Net change in unrealized appreciation/depreciation | |||
Futures contracts | $1,563,635 | $— | 1,563,635 |
Currency forward contracts | — | 6,846,429 | 6,846,429 |
$1,563,635 | $6,846,429 | $8,410,064 |
Derivative | % of Net Assets | |
Futures contracts | USD notional value | 0-2 % |
Currency forward contracts | USD total value | 3-7 % |
Counterparty | Gross Amount of Recognized Assets | Gross Amount of Recognized Liabilities | Cash Collateral Pledged / (Received)(a) | Net Amount(b) |
Bank of America | $3,175,954 | $(675,032 ) | $(2,360,000 ) | $140,922 |
Goldman Sachs | 4,882,767 | — | (4,610,000 ) | 272,767 |
HSBC | 8,610,881 | (19,778 ) | (8,430,000 ) | 161,103 |
JPMorgan | 4,976,296 | — | (4,890,000 ) | 86,296 |
Standard Chartered | 836,309 | — | (550,000 ) | 286,309 |
$22,482,207 | $(694,810 ) | $(20,840,000 ) | $947,397 |
(a) | Cash collateral pledged/(received) in excess of derivative assets/liabilities is not presented in this table. The total cash collateral is presented on the Fund's Consolidated Statement of Assets and Liabilities. |
(b) | Represents the net amount receivable from (payable to) the counterparty in the event of a default. |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | |
Class I | ||
Ordinary income | $— | $155,314,159 |
Long-term capital gain | $— | $555,627,274 |
Class X | ||
Ordinary income | $— | $5,433,482 |
Long-term capital gain | $— | $18,650,062 |
Deferred loss1 | $(75,108,735 ) |
Net unrealized appreciation | 1,201,107,881 |
Total distributable earnings | $1,125,999,146 |
1 | Represents capital loss incurred between November 1, 2022 and December 31, 2022. As permitted by tax regulation, the Fund has elected to treat this loss as arising in 2023. |
Tax cost | $8,404,967,206 |
Unrealized appreciation | 2,715,485,797 |
Unrealized depreciation | (517,555,453 ) |
Net unrealized appreciation | 2,197,930,344 |
Selected data and ratios (for a share outstanding throughout each period) | Six Months Ended June 30, | Year Ended December 31, | ||||
2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
Class I | ||||||
Net asset value, beginning of period | $12.61 | $14.44 | $13.30 | $12.71 | $11.03 | $13.86 |
Income from investment operations: | ||||||
Net investment income | 0.15 | 0.24 | 0.23 | 0.17 (a) | 0.27 | 0.21 |
Net realized and unrealized gain (loss) | 1.23 | (1.10 ) | 2.46 | 0.59 | 2.35 | (1.96 ) |
Total from investment operations | 1.38 | (0.86 ) | 2.69 | 0.76 | 2.62 | (1.75 ) |
Distributions to shareholders from: | ||||||
Net investment income | — | (0.21 ) | (0.27 ) | (0.17 ) | (0.34 ) | (0.25 ) |
Net realized gain | — | (0.76 ) | (1.28 ) | — | (0.60 ) | (0.83 ) |
Total distributions | — | (0.97 ) | (1.55 ) | (0.17 ) | (0.94 ) | (1.08 ) |
Net asset value, end of period | $13.99 | $12.61 | $14.44 | $13.30 | $12.71 | $11.03 |
Total return | 10.94 % | (5.80 )% | 20.75 % | 6.02 % | 23.85 % | (12.65 )% |
Ratios/supplemental data: | ||||||
Net assets, end of period (millions) | $10,068 | $9,681 | $10,487 | $10,384 | $10,296 | $8,614 |
Ratio of expenses to average net assets | 0.62 %(b) | 0.62 % | 0.62 % | 0.62 % | 0.62 % | 0.62 % |
Ratio of net investment income to average net assets | 2.35 %(b) | 1.72 % | 1.34 % | 1.57 %(a) | 2.13 % | 1.52 % |
Portfolio turnover rate | 10 % | 25 % | 24 % | 34 % | 22 % | 31 % |
Class X(c) | ||||||
Net asset value, beginning of period | $12.61 | $13.83 | ||||
Income from investment operations: | ||||||
Net investment income | 0.16 | 0.08 | ||||
Net realized and unrealized gain (loss) | 1.23 | (0.32 ) | ||||
Total from investment operations | 1.39 | (0.24 ) | ||||
Distributions to shareholders from: | ||||||
Net investment income | — | (0.22 ) | ||||
Net realized gain | — | (0.76 ) | ||||
Total distributions | — | (0.98 ) | ||||
Net asset value, end of period | $14.00 | $12.61 | ||||
Total return | 11.02 % | (1.58 )% | ||||
Ratios/supplemental data: | ||||||
Net assets, end of period (millions) | $517 | $390 | ||||
Ratio of expenses to average net assets | 0.52 %(b) | 0.52 %(b) | ||||
Ratio of expenses to average net assets, before reimbursement by investment manager | 0.57 %(b) | 0.57 %(b) | ||||
Ratio of net investment income to average net assets | 2.53 %(b) | 1.02 %(b) | ||||
Portfolio turnover rate | 10 % | 25 % |
(a) | Net investment income per share includes significant amounts received for EU reclaims related to prior years, which amounted to approximately $0.01 per share. Excluding such amounts, the ratio of net investment income to average net assets would have been 1.47%. |
(b) | Annualized |
(c) | For 2022, the period covers 5/2/2022 (commencement of operations) to 12/31/2022 |
(unaudited)
information, please visit the Funds’ website.
Kansas City, Missouri 64121-9502
(800) 621-3979
555 California Street, 40th Floor
San Francisco, California 94104
(415) 981-1710
3 Canal Plaza, Suite 100
Portland, Maine 04101
This report reflects our views, opinions, and portfolio holdings as of June 30, 2023, the end of the reporting period. Any such views are subject to change at any time based upon market or other conditions and Dodge & Cox disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Dodge & Cox Fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Dodge & Cox Fund.
June 30, 2023
For the Board of Trustees, | |
Dana M. Emery, Chair and President |
1 | All returns are stated in U.S. dollars, unless otherwise noted. The Funds’ total returns include the reinvestment of dividend and capital gain distributions, but have not been adjusted for any income taxes payable by shareholders on these distributions or on Fund share redemptions. Index returns include dividend and/or interest income but, unlike Fund returns, do not reflect fees or expenses. The MSCI EAFE (Europe, Australasia, Far East) Index is a broad-based, unmanaged equity market index aggregated from developed market country indices, excluding the United States and Canada. It covers approximately 85%of the free float-adjusted market capitalization in each country. |
2 | During the first half of 2023, the MSCI EAFE Index and the MSCI Emerging Markets Index had total returns of 11.67% and 4.89%, respectively. The MSCI Emerging Markets Index captures large- and mid-cap representation across emerging market countries. |
3 | Generally, stocks that have lower valuations are considered “value” stocks, while those with higher valuations are considered “growth” stocks. |
4 | For the six months ended June 30, 2023, the MSCI EAFE Value Index had a total return of 9.28% and the MSCI EAFE Growth Index had a total return of 14.18%. |
5 | Unless otherwise specified, all weightings and characteristics are as of June 30, 2023. Standard deviation measures the volatility of the Fund’s returns. Higher standard deviation represents higher volatility. |
6 | The MSCI EAFE Value Index captures large- and mid-cap securities exhibiting overall value style characteristics across developed market countries around the world, excluding the United States and Canada. The value investment style characteristics for index construction are defined using three variables: book value to price, 12-month forward earnings to price, and dividend yield. |
7 | Price-to-earnings (forward) ratios are calculated using 12-month forward earnings estimates from third-party sources as of the reporting period. Estimates reflect a consensus of sell-side analyst estimates, which may lag as market conditions change. |
8 | The MSCI EAFE Growth Index captures large- and mid-cap securities exhibiting overall growth style characteristics across developed market countries around the world, excluding the United States and Canada. The growth investment style characteristics for index construction are defined using five variables: long-term forward EPS growth rate, short-term forward EPS growth rate, current internal growth rate, long-term historical EPS growth trend, and long-term historical sales per share growth trend. |
9 | The S&P 500 Index is a market capitalization-weighted index of 500 large- capitalization stocks commonly used to represent the U.S. equity market. |
10 | China Internet comprises Alibaba, Baidu, JD.com, and Prosus. |
11 | The use of specific examples does not imply that they are more or less attractive investments than the portfolio’s other holdings. |
12 | Free cash flow is the cash a company generates after paying all expenses and loans. |
13 | The MSCI China Index captures large- and mid-cap representation across China A shares, H shares, B shares, Red chips, P chips, and foreign listings (e.g., ADRs). |
14 | The CSI Overseas China Internet Index is designed to measure the performance of the investable universe of publicly traded China-based companies whose primary business or businesses are in the Internet and Internet-related sectors. |
1 Year | 5 Years | 10 Years | 20 Years | |
Dodge & Cox International Stock Fund | ||||
Class I | 14.71% | 4.87% | 5.33% | 8.29% |
Class X(a) | 14.83 | 4.90 | 5.34 | 8.29 |
MSCI EAFE Index | 18.77 | 4.39 | 5.41 | 6.53 |
Net Expense Ratio | Gross Expense Ratio | |
Dodge & Cox International Stock Fund | ||
Class I | 0.62% | 0.62% |
Class X | 0.52%(b) | 0.57% |
(a) | The Class X shares inception date is May 2, 2022. The returns shown prior to that date are for the Class I shares. |
(b) | Dodge & Cox has contractually agreed to reimburse the Fund for all ordinary expenses to the extent necessary to maintain Total Annual Fund Operating Expenses of the Fund’s Class X shares at 0.52% until April 30, 2026. This agreement cannot be terminated prior to April 30, 2026 other than by resolution of the Fund’s Board of Trustees. For purposes of the foregoing, ordinary expenses shall not include nonrecurring shareholder account fees, fees and expenses associated with Fund shareholder meetings, fees on portfolio transactions such as exchange fees, dividends and interest on short positions, fees and expenses of pooled investment vehicles that are held by the Fund, interest expenses and other fees and expenses related to any borrowings, taxes, brokerage fees and commissions and other costs and expenses relating to the acquisition and disposition of Fund investments, other expenditures which are capitalized in accordance with generally accepted accounting principles, and other non-routine expenses or extraordinary expenses not incurred in the ordinary course of the Fund’s business, such as litigation expenses. The term of the agreement will automatically renew for subsequent three- year terms unless terminated with at least 30 days’ written notice by either party prior to the end of the then-current term. The agreement does not permit Dodge & Cox to recoup any fees waived or payments made to the Fund for a prior year. |
www.dodgeandcox.com/internationalstockfund
Sector Diversification(a) | % of Net Assets |
Financials | 26.9 |
Health Care | 15.3 |
Consumer Discretionary | 11.0 |
Materials | 10.7 |
Energy | 7.5 |
Industrials | 6.8 |
Consumer Staples | 6.1 |
Information Technology | 6.1 |
Communication Services | 3.2 |
Real Estate | 1.8 |
Utilities | 0.6 |
Net Cash & Other(b) | 4.0 |
Region Diversification(a) | % of Net Assets |
Developed Europe (excluding United Kingdom) | 36.1 |
Emerging Markets | 19.8 |
Other Developed | 15.7 |
United Kingdom | 13.3 |
Japan | 11.1 |
(a) | Excludes derivatives. |
(b) | Net Cash & Other includes cash, short-term investments, derivatives, receivables, and payables. |
Six Months Ended June 30, 2023 | Beginning Account Value 1/1/2023 | Ending Account Value 6/30/2023 | Expenses Paid During Period* | Annualized Expense Ratio |
Class I | ||||
Based on actual return | $1,000.00 | $1,107.20 | $3.24 | 0.62% |
Based on hypothetical 5% yearly return | 1,000.00 | 1,021.72 | 3.11 | 0.62 |
Class X | ||||
Based on actual return | $1,000.00 | $1,107.80 | $2.72 | 0.52% |
Based on hypothetical 5% yearly return | 1,000.00 | 1,022.22 | 2.61 | 0.52 |
* | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
Common Stocks: 92.0% | ||
Shares | Value | |
Communication Services: 3.2% | ||
Media & Entertainment: 2.3% | ||
Baidu, Inc. ADR(a) (China) | 2,348,785 | $321,572,154 |
Grupo Televisa SAB ADR (Mexico) | 46,380,780 | 237,933,402 |
NetEase, Inc. ADR (China) | 4,737,826 | 458,100,396 |
1,017,605,952 | ||
Telecommunication Services: 0.9% | ||
Deutsche Telekom AG (Germany) | 2,981,600 | 64,992,374 |
Liberty Global PLC, Class A(a) (United Kingdom) | 4,612,561 | 77,767,779 |
Liberty Global PLC, Class C(a) (United Kingdom) | 8,459,768 | 150,330,077 |
Millicom International Cellular SA SDR(a) (Guatemala) | 8,247,010 | 126,052,432 |
419,142,662 | ||
1,436,748,614 | ||
Consumer Discretionary: 11.0% | ||
Automobiles & Components: 2.7% | ||
Honda Motor Co., Ltd. (Japan) | 23,402,855 | 704,056,229 |
Stellantis NV (Netherlands) | 30,000,000 | 526,722,405 |
1,230,778,634 | ||
Consumer Discretionary Distribution & Retail: 5.5% | ||
Alibaba Group Holding, Ltd. ADR(a) (China) | 9,540,000 | 795,159,000 |
JD.com, Inc. ADR (China) | 12,073,248 | 412,059,954 |
Prosus NV, Class N (China) | 17,337,101 | 1,269,603,794 |
2,476,822,748 | ||
Consumer Durables & Apparel: 0.5% | ||
adidas AG (Germany) | 1,200,700 | 232,928,112 |
Consumer Services: 2.3% | ||
Booking Holdings, Inc.(a) (United States) | 174,500 | 471,207,585 |
Entain PLC (United Kingdom) | 28,586,660 | 461,800,091 |
Flutter Entertainment PLC(a) (Ireland) | 604,478 | 121,532,516 |
1,054,540,192 | ||
4,995,069,686 | ||
Consumer Staples: 6.1% | ||
Consumer Staples Distribution & Retail: 0.9% | ||
Magnit PJSC(b) (Russia) | 3,293,785 | 368 |
Seven & i Holdings Co., Ltd. (Japan) | 9,107,900 | 391,659,583 |
391,659,951 | ||
Food, Beverage & Tobacco: 3.3% | ||
Anheuser-Busch InBev SA/NV (Belgium) | 11,725,900 | 663,180,715 |
Imperial Brands PLC (United Kingdom) | 38,224,397 | 843,954,094 |
1,507,134,809 | ||
Household & Personal Products: 1.9% | ||
Beiersdorf AG (Germany) | 2,805,200 | 371,150,518 |
Haleon PLC (United Kingdom) | 126,801,104 | 518,942,748 |
890,093,266 | ||
2,788,888,026 | ||
Energy: 7.5% | ||
Equinor ASA (Norway) | 13,819,538 | 401,829,564 |
Ovintiv, Inc.(c) (United States) | 15,511,124 | 590,508,491 |
Suncor Energy, Inc. (Canada) | 29,228,854 | 856,989,999 |
Shares | Value | |
TC Energy Corp. (Canada) | 11,385,400 | $460,084,014 |
TotalEnergies SE (France) | 19,464,870 | 1,116,165,826 |
3,425,577,894 | ||
Financials: 24.6% | ||
Banks: 16.9% | ||
Axis Bank, Ltd. (India) | 97,674,150 | 1,174,072,185 |
Banco Santander SA (Spain) | 394,321,616 | 1,456,510,942 |
Barclays PLC (United Kingdom) | 502,325,608 | 978,492,584 |
BNP Paribas SA (France) | 22,721,892 | 1,431,117,549 |
Credicorp, Ltd. (Peru) | 3,228,248 | 476,618,535 |
ICICI Bank, Ltd. (India) | 77,121,980 | 878,050,000 |
Mitsubishi UFJ Financial Group, Inc. (Japan) | 53,295,100 | 393,355,844 |
Standard Chartered PLC (United Kingdom) | 105,026,614 | 911,010,860 |
7,699,228,499 | ||
Financial Services: 4.6% | ||
UBS Group AG (Switzerland) | 80,221,742 | 1,621,822,715 |
XP, Inc., Class A(a) (Brazil) | 20,221,102 | 474,387,053 |
2,096,209,768 | ||
Insurance: 3.1% | ||
Aegon NV (Netherlands) | 52,466,275 | 265,073,136 |
Aviva PLC (United Kingdom) | 99,490,252 | 499,345,285 |
Prudential PLC (Hong Kong) | 43,830,847 | 617,048,139 |
1,381,466,560 | ||
11,176,904,827 | ||
Health Care: 15.3% | ||
Health Care Equipment & Services: 1.9% | ||
Fresenius Medical Care AG & Co. KGaA (Germany) | 11,957,262 | 571,100,822 |
Olympus Corp. (Japan) | 19,797,900 | 310,905,031 |
882,005,853 | ||
Pharmaceuticals, Biotechnology & Life Sciences: 13.4% | ||
Bayer AG (Germany) | 11,930,510 | 659,651,276 |
Euroapi SASU(a) (France) | 728,248 | 8,340,004 |
GSK PLC (United Kingdom) | 68,472,120 | 1,207,694,167 |
Novartis AG (Switzerland) | 14,908,470 | 1,499,092,006 |
Roche Holding AG (Switzerland) | 3,372,500 | 1,030,533,210 |
Sanofi (France) | 15,600,422 | 1,671,676,848 |
6,076,987,511 | ||
6,958,993,364 | ||
Industrials: 6.8% | ||
Capital Goods: 6.8% | ||
Johnson Controls International PLC (United States) | 14,299,501 | 974,367,998 |
Mitsubishi Electric Corp. (Japan) | 80,302,800 | 1,128,062,480 |
Nidec Corp. (Japan) | 3,792,600 | 206,195,273 |
Schneider Electric SA (France) | 2,269,046 | 412,152,259 |
Smiths Group PLC(c) (United Kingdom) | 18,150,616 | 378,962,877 |
3,099,740,887 | ||
Information Technology: 4.4% | ||
Semiconductors & Semiconductor Equipment: 0.7% | ||
Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan) | 17,267,000 | 319,343,447 |
Technology, Hardware & Equipment: 3.7% | ||
Brother Industries, Ltd. (Japan) | 9,270,900 | 134,892,093 |
Kyocera Corp. (Japan) | 6,683,400 | 360,860,525 |
Murata Manufacturing Co., Ltd. (Japan) | 7,397,000 | 422,202,377 |
Common Stocks (continued) | ||
Shares | Value | |
Samsung Electronics Co., Ltd. (South Korea) | 4,419,500 | $242,164,383 |
TE Connectivity, Ltd. (United States) | 3,871,985 | 542,697,418 |
1,702,816,796 | ||
2,022,160,243 | ||
Materials: 10.7% | ||
Akzo Nobel NV(c) (Netherlands) | 11,504,360 | 938,002,121 |
Glencore PLC (Australia) | 111,555,361 | 629,746,406 |
Holcim, Ltd. (Switzerland) | 16,240,941 | 1,092,346,403 |
Linde PLC (United States) | 1,277,735 | 486,919,254 |
Mitsubishi Chemical Group Corp.(c) (Japan) | 108,521,900 | 649,198,545 |
Nutrien, Ltd. (Canada) | 7,822,959 | 461,945,729 |
Teck Resources, Ltd., Class B (Canada) | 14,160,640 | 596,162,944 |
4,854,321,402 | ||
Real Estate: 1.8% | ||
Real Estate Management & Development: 1.8% | ||
CK Asset Holdings, Ltd. (Hong Kong) | 59,144,600 | 327,574,737 |
Daito Trust Construction Co., Ltd. (Japan) | 3,268,500 | 330,372,311 |
Hang Lung Group, Ltd.(c) (Hong Kong) | 93,433,300 | 141,652,323 |
799,599,371 | ||
Utilities: 0.6% | ||
Engie SA (France) | 16,455,113 | 273,431,302 |
Total Common Stocks (Cost $35,816,419,744) | $41,831,435,616 |
Preferred Stocks: 4.0% | ||
Shares | Value | |
Financials: 2.3% | ||
Banks: 2.3% | ||
Itau Unibanco Holding SA, Pfd (Brazil) | 176,002,651 | $1,044,650,462 |
Information Technology: 1.7% | ||
Technology, Hardware & Equipment: 1.7% | ||
Samsung Electronics Co., Ltd., Pfd (South Korea) | 16,709,500 | 754,536,675 |
Total Preferred Stocks (Cost $1,047,190,374) | $1,799,187,137 |
Short-Term Investments: 3.6% | ||
Par Value/ Shares | Value | |
Repurchase Agreements: 3.2% | ||
Barclays Plc(d) 5.05%, dated 6/30/23, due 7/3/23, maturity value $125,052,604 | $125,000,000 | $125,000,000 |
Fixed Income Clearing Corporation(d) 5.04%, dated 6/30/23, due 7/3/23, maturity value $630,264,600 | 630,000,000 | 630,000,000 |
Fixed Income Clearing Corporation(d) 2.45%, dated 6/30/23, due 7/3/23, maturity value $273,481,824 | 273,426,000 | 273,426,000 |
Par Value/ Shares | Value | |
Nomura Holdings Inc.(d) 5.04%, dated 6/30/23, due 7/3/23, maturity value $150,063,000 | $150,000,000 | $150,000,000 |
Royal Bank of Canada(d) 5.05%, dated 6/30/23, due 7/3/23, maturity value $150,063,125 | 150,000,000 | 150,000,000 |
Standard Chartered(d) 5.05%, dated 6/30/23, due 7/3/23, maturity value $150,063,125 | 150,000,000 | 150,000,000 |
1,478,426,000 | ||
Money Market Fund: 0.4% | ||
State Street Institutional U.S. Government Money Market Fund - Premier Class | 180,016,522 | 180,016,522 |
Total Short-Term Investments (Cost $1,658,442,522) | $1,658,442,522 | |
Total Investments In Securities (Cost $38,522,052,640) | 99.6 % | $45,289,065,275 |
Other Assets Less Liabilities | 0.4 % | 170,514,163 |
Net Assets | 100.0 % | $45,459,579,438 |
(a) | Non-income producing |
(b) | Valued using significant unobservable inputs. |
(c) | See below regarding holdings of 5% voting securities |
(d) | Repurchase agreements are collateralized by: Barclays: U.S. Treasury Note 3.50%, 1/31/28. Total collateral value is $127,553,666. Fixed Income Clearing Corporation: U.S. Treasury Notes 1.125%-4.25%, 10/15/25- 2/15/41. U.S. Treasury Inflation Indexed Notes 0.125%, 10/15/25. Total collateral value is $921,494,643. Nomura: U.S. Treasury Notes 0.375%-3.625%, 4/15/24-8/15/30. Total collateral value is $153,064,263. Royal Bank of Canada: U.S. Treasury Notes 1.25%-2.25%, 8/15/27-11/15/31. Total collateral value is $153,064,407. Standard Chartered: U.S. Treasury Notes 0.25%-3.75%, 8/31/25-5/31/30. U.S. Treasury Inflation Indexed Notes 0.125%-0.75%, 7/15/28-7/15/31. Total collateral value is $153,064,451. |
The Fund usually classifies a company or issuer based on its country of risk, but may designate a different country in certain circumstances. | |
ADR: American Depositary Receipt |
SDR: Swedish Depository Receipt |
Description | Number of Contracts | Expiration Date | Notional Amount | Value / Unrealized Appreciation/ (Depreciation) |
Euro Stoxx 50 Index— Long Position | 20,928 | 9/15/23 | $1,010,978,087 | $12,944,303 |
Yen Denominated Nikkei 225 Index— Long Position | 5,829 | 9/7/23 | 675,326,986 | 21,959,772 |
$34,904,075 |
Counterparty | Settle Date | Currency Purchased | Currency Sold | Unrealized Appreciation (Depreciation) | ||
CNH: Chinese Yuan Renminbi | ||||||
Bank of America | 7/5/23 | USD | 49,283,457 | CNH | 357,783,110 | $68,470 |
Bank of America | 7/5/23 | CNH | 291,036,299 | USD | 40,094,272 | (60,667 ) |
Bank of America | 7/5/23 | CNH | 291,079,960 | USD | 40,098,795 | (59,185 ) |
Bank of America | 7/5/23 | CNH | 291,079,960 | USD | 40,087,115 | (47,505 ) |
HSBC | 7/5/23 | USD | 49,308,587 | CNH | 357,783,109 | 93,601 |
UBS | 7/5/23 | USD | 21,712,420 | CNH | 157,630,000 | 29,568 |
Bank of America | 7/12/23 | CNH | 168,850,000 | USD | 23,804,153 | (565,463 ) |
Bank of America | 7/12/23 | CNH | 168,850,000 | USD | 23,833,721 | (595,031 ) |
Bank of America | 7/12/23 | CNH | 357,783,110 | USD | 49,311,646 | (70,243 ) |
Goldman Sachs | 7/12/23 | USD | 78,790,112 | CNH | 526,633,110 | 6,310,019 |
HSBC | 7/12/23 | USD | 78,731,217 | CNH | 526,633,109 | 6,251,124 |
HSBC | 7/12/23 | CNH | 357,783,109 | USD | 49,337,145 | (95,742 ) |
Goldman Sachs | 7/19/23 | USD | 45,037,066 | CNH | 302,550,000 | 3,374,890 |
HSBC | 7/19/23 | USD | 75,909,801 | CNH | 510,000,000 | 5,681,047 |
JPMorgan | 7/19/23 | USD | 45,099,523 | CNH | 302,550,151 | 3,437,327 |
UBS | 7/19/23 | CNH | 157,630,000 | USD | 21,736,972 | (30,779 ) |
HSBC | 8/9/23 | USD | 94,181,666 | CNH | 630,000,000 | 7,286,953 |
HSBC | 8/9/23 | USD | 94,247,887 | CNH | 630,000,000 | 7,353,174 |
Bank of America | 8/16/23 | USD | 96,595,798 | CNH | 648,389,632 | 7,112,949 |
JPMorgan | 8/16/23 | USD | 96,575,655 | CNH | 648,389,633 | 7,092,807 |
JPMorgan | 8/16/23 | USD | 95,203,711 | CNH | 638,712,175 | 7,056,427 |
Bank of America | 9/13/23 | USD | 73,769,324 | CNH | 517,750,000 | 2,149,831 |
Goldman Sachs | 9/13/23 | USD | 73,816,689 | CNH | 517,750,259 | 2,197,161 |
HSBC | 9/13/23 | USD | 73,748,235 | CNH | 517,749,482 | 2,128,814 |
JPMorgan | 9/13/23 | USD | 73,848,276 | CNH | 517,750,259 | 2,228,747 |
Bank of America | 10/18/23 | USD | 52,941,353 | CNH | 361,642,380 | 2,767,895 |
Goldman Sachs | 10/18/23 | USD | 53,686,122 | CNH | 367,121,810 | 2,752,461 |
Goldman Sachs | 10/18/23 | USD | 42,257,877 | CNH | 285,392,798 | 2,663,117 |
HSBC | 10/18/23 | USD | 53,713,614 | CNH | 367,121,810 | 2,779,953 |
HSBC | 10/18/23 | USD | 42,258,050 | CNH | 285,461,580 | 2,653,747 |
HSBC | 10/18/23 | USD | 42,249,182 | CNH | 285,393,227 | 2,654,362 |
HSBC | 10/18/23 | USD | 42,247,910 | CNH | 285,393,084 | 2,653,110 |
JPMorgan | 10/18/23 | USD | 42,280,457 | CNH | 285,393,084 | 2,685,657 |
JPMorgan | 10/18/23 | USD | 42,267,328 | CNH | 285,393,227 | 2,672,508 |
Bank of America | 11/8/23 | USD | 36,161,826 | CNH | 249,382,584 | 1,499,199 |
Bank of America | 11/8/23 | USD | 36,700,568 | CNH | 253,161,108 | 1,512,750 |
Bank of America | 11/8/23 | USD | 36,585,634 | CNH | 251,901,600 | 1,572,879 |
HSBC | 11/8/23 | USD | 40,901,244 | CNH | 285,441,600 | 1,226,637 |
HSBC | 11/8/23 | USD | 41,095,739 | CNH | 286,868,808 | 1,222,760 |
JPMorgan | 11/8/23 | USD | 40,870,790 | CNH | 285,441,600 | 1,196,184 |
JPMorgan | 11/8/23 | USD | 40,478,311 | CNH | 282,587,184 | 1,200,451 |
Standard Chartered | 11/8/23 | USD | 36,559,987 | CNH | 251,901,600 | 1,547,232 |
Standard Chartered | 11/8/23 | USD | 36,737,348 | CNH | 253,161,108 | 1,549,530 |
Standard Chartered | 11/8/23 | USD | 41,091,089 | CNH | 286,868,808 | 1,218,110 |
Goldman Sachs | 12/6/23 | USD | 78,384,949 | CNH | 533,801,500 | 4,006,865 |
HSBC | 12/6/23 | USD | 45,528,442 | CNH | 302,550,152 | 3,372,134 |
HSBC | 12/6/23 | USD | 45,479,098 | CNH | 302,549,697 | 3,322,853 |
JPMorgan | 12/6/23 | USD | 78,448,306 | CNH | 533,801,500 | 4,070,223 |
JPMorgan | 12/6/23 | USD | 115,561,592 | CNH | 786,939,771 | 5,912,084 |
Bank of America | 1/10/24 | USD | 52,146,568 | CNH | 349,736,600 | 3,264,918 |
HSBC | 1/10/24 | USD | 52,279,310 | CNH | 349,670,163 | 3,406,946 |
HSBC | 1/10/24 | USD | 52,179,179 | CNH | 349,652,680 | 3,309,259 |
JPMorgan | 1/10/24 | USD | 52,179,958 | CNH | 349,652,680 | 3,310,038 |
JPMorgan | 1/10/24 | USD | 52,177,076 | CNH | 349,617,714 | 3,312,043 |
Counterparty | Settle Date | Currency Purchased | Currency Sold | Unrealized Appreciation (Depreciation) | ||
JPMorgan | 1/10/24 | USD | 52,255,871 | CNH | 349,670,163 | $3,383,507 |
Bank of America | 2/7/24 | USD | 50,628,815 | CNH | 336,403,163 | 3,494,999 |
Goldman Sachs | 2/7/24 | USD | 50,628,891 | CNH | 336,403,669 | 3,495,004 |
HSBC | 2/7/24 | USD | 50,631,152 | CNH | 336,403,500 | 3,497,288 |
JPMorgan | 2/7/24 | USD | 50,628,891 | CNH | 336,403,668 | 3,495,004 |
HSBC | 6/5/24 | USD | 42,843,678 | CNH | 300,000,000 | 401,396 |
HSBC | 6/5/24 | USD | 42,862,041 | CNH | 300,000,000 | 419,760 |
Unrealized gain on currency forward contracts | 163,355,772 | |||||
Unrealized loss on currency forward contracts | (1,524,615 ) | |||||
Net unrealized gain on currency forward contracts | $161,831,157 |
Value at Beginning of Period | Additions | Reductions | Realized Gain (Loss) | Net Change in Unrealized Appreciation/ Depreciation | Value at End of Period | Dividend Income (net of foreign taxes, if any) | |
Common Stocks 5.9% | |||||||
Communication Services 0.0% | |||||||
Television Broadcasts, Ltd. | $18,165,258 | $— | $(42,023,320) | $(172,410,005) | $196,268,067 | $—(a) | $— |
Energy 1.3% | |||||||
Ovintiv, Inc. | 583,161,146 | 152,019,590 | — | — | (144,672,245) | 590,508,491 | 7,736,768 |
Industrials 0.8% | |||||||
Smiths Group PLC | 349,933,367 | — | — | — | 29,029,510 | 378,962,877 | 2,911,686 |
Information Technology 0.0% | |||||||
Micro Focus International PLC(b) | 120,717,182 | — | (124,323,731) | (428,669,083) | 432,275,632 | —(a) | — |
Materials 3.5% | |||||||
Akzo Nobel NV | 767,640,347 | — | — | — | 170,361,774 | 938,002,121 | 16,531,249 |
Mitsubishi Chemical Group Corp. | 560,690,371 | — | — | — | 88,508,174 | 649,198,545 | 11,045,694 |
1,587,200,666 | |||||||
Real Estate 0.3% | |||||||
Hang Lung Group, Ltd. | 176,597,231 | — | (4,973,063) | (9,322,087) | (20,649,758) | 141,652,323 | 7,736,614 |
$(610,401,175) | $751,121,154 | $2,698,324,357 | $45,962,011 |
(a) | Company was not an affiliate at period end |
(b) | Non-income producing |
Statement of Assets and Liabilities (unaudited)
June 30, 2023 | |
Assets: | |
Investments in securities, at value | |
Unaffiliated issuers (cost $35,830,571,339) | $42,590,740,918 |
Affiliated issuers (cost $2,691,481,301) | 2,698,324,357 |
45,289,065,275 | |
Unrealized appreciation on currency forward contracts | 163,355,772 |
Cash | 100 |
Cash denominated in foreign currency (cost $111,784,035) | 111,894,314 |
Deposits with broker for futures contracts | 103,135,431 |
Receivable for variation margin for futures contracts | 7,850,598 |
Receivable for investments sold | 103,973,023 |
Receivable for Fund shares sold | 29,894,215 |
Dividends and interest receivable | 50,000,223 |
Expense reimbursement receivable | 216,686 |
Prepaid expenses and other assets | 128,864 |
45,859,514,501 | |
Liabilities: | |
Unrealized depreciation on currency forward contracts | 1,524,615 |
Cash received as collateral for currency forward contracts | 157,910,000 |
Payable for investments purchased | 22,706,157 |
Payable for Fund shares redeemed | 53,330,516 |
Deferred foreign capital gains tax | 135,291,258 |
Management fees payable | 21,865,196 |
Accrued expenses | 7,307,321 |
399,935,063 | |
Net Assets | $45,459,579,438 |
Net Assets Consist of: | |
Paid in capital | $41,236,785,954 |
Distributable earnings | 4,222,793,484 |
$45,459,579,438 | |
Class I | |
Total net assets | $39,593,563,042 |
Shares outstanding (par value $0.01 each, unlimited shares authorized) | 829,489,212 |
Net asset value per share | $47.73 |
Class X | |
Total net assets | $5,866,016,396 |
Shares outstanding (par value $0.01 each, unlimited shares authorized) | 122,832,247 |
Net asset value per share | $47.76 |
Statement of Operations (unaudited)
Six Months Ended June 30, 2023 | |
Investment Income: | |
Dividends (net of foreign taxes of $65,767,756) | |
Unaffiliated issuers | $884,845,283 |
Affiliated issuers | 45,962,011 |
Interest | 27,491,807 |
958,299,101 | |
Expenses: | |
Investment advisory fees | 109,417,509 |
Administrative services fees | |
Class I | 19,416,565 |
Class X | 1,233,468 |
Custody and fund accounting fees | 1,810,300 |
Professional services | 217,912 |
Shareholder reports | 622,123 |
Registration fees | 187,428 |
Trustees fees | 207,143 |
Miscellaneous | 478,338 |
Total expenses | 133,590,786 |
Expenses reimbursed by investment manager | (1,137,258 ) |
Net expenses | 132,453,528 |
Net Investment Income | 825,845,573 |
Realized and Unrealized Gain (Loss): | |
Net realized gain (loss) | |
Investments in securities of unaffiliated issuers (net of foreign capital gains taxes of $5,640,135) | (323,448,235 ) |
Investments in securities of affiliated issuers | (610,401,175 ) |
Futures contracts | 160,028,360 |
Currency forward contracts | 65,561,470 |
Foreign currency transactions | (9,121,839 ) |
Net change in unrealized appreciation/depreciation | |
Investments in securities of unaffiliated issuers (net of change in deferred foreign capital gains tax of $5,521,474) | 3,380,689,044 |
Investments in securities of affiliated issuers | 751,121,154 |
Futures contracts | 62,685,789 |
Currency forward contracts | 114,850,709 |
Foreign currency translation | 6,326,492 |
Net realized and unrealized gain | 3,598,291,769 |
Net Change in Net Assets From Operations | $4,424,137,342 |
Statement of Changes in Net Assets (unaudited)
Six Months Ended | Year Ended | |
June 30, 2023 | December 31, 2022 | |
Operations: | ||
Net investment income | $825,845,573 | $1,115,944,410 |
Net realized gain (loss) | (717,381,419 ) | 601,796,054 |
Net change in unrealized appreciation/depreciation | 4,315,673,188 | (4,805,131,949 ) |
4,424,137,342 | (3,087,391,485 ) | |
Distributions to Shareholders: | ||
Class I | — | (823,619,232 ) |
Class X | — | (83,123,172 ) |
Total distributions | — | (906,742,404 ) |
Fund Share Transactions: | ||
Class I | ||
Proceeds from sales of shares | 2,867,905,105 | 8,394,804,116 |
Reinvestment of distributions | — | 732,771,456 |
Cost of shares redeemed | (4,733,158,351 ) | (11,594,991,532 ) |
Class X | ||
Proceeds from sales of shares | 2,014,234,597 | 3,716,952,273 |
Reinvestment of distributions | — | 76,122,946 |
Cost of shares redeemed | (390,524,605 ) | (139,473,851 ) |
Net change from Fund share transactions | (241,543,254 ) | 1,186,185,408 |
Total change in net assets | 4,182,594,088 | (2,807,948,481 ) |
Net Assets: | ||
Beginning of period | 41,276,985,352 | 44,084,933,833 |
End of period | $45,459,579,438 | $41,276,985,352 |
Share Information: | ||
Class I | ||
Shares sold | 62,230,123 | 188,773,812 |
Distributions reinvested | — | 17,221,421 |
Shares redeemed | (102,839,781 ) | (268,147,422 ) |
Net change in shares outstanding | (40,609,658 ) | (62,152,189 ) |
Class X | ||
Shares sold | 43,858,677 | 88,959,669 |
Distributions reinvested | — | 1,789,023 |
Shares redeemed | (8,458,512 ) | (3,316,610 ) |
Net change in shares outstanding | 35,400,165 | 87,432,082 |
Classification | LEVEL 1 (Quoted Prices) | LEVEL 2 (Other Significant Observable Inputs) | LEVEL 3 (Signficant Unobservable Inputs) |
Securities | |||
Common Stocks | |||
Communication Services | $1,436,748,614 | $— | $— |
Consumer Discretionary | 4,995,069,686 | — | — |
Consumer Staples | 2,788,887,658 | — | 368 |
Energy | 3,425,577,894 | — | — |
Financials | 11,176,904,827 | — | — |
Health Care | 6,958,993,364 | — | — |
Industrials | 3,099,740,887 | — | — |
Information Technology | 2,022,160,243 | — | — |
Materials | 4,854,321,402 | — | — |
Real Estate | 799,599,371 | — | — |
Utilities | 273,431,302 | — | — |
Preferred Stocks | |||
Financials | 1,044,650,462 | — | — |
Information Technology | 754,536,675 | — | — |
Short-Term Investments | |||
Repurchase Agreements | — | 1,478,426,000 | — |
Money Market Fund | 180,016,522 | — | — |
Total Securities | $43,810,638,907 | $1,478,426,000 | $368 |
Other Investments | |||
Futures Contracts | |||
Appreciation | $34,904,075 | $— | $— |
Currency Forward Contracts | |||
Appreciation | — | 163,355,772 | — |
Depreciation | — | (1,524,615 ) | — |
Equity Derivatives | Foreign Exchange Derivatives | Total Value | |
Assets | |||
Unrealized appreciation on currency forward contracts | $— | $163,355,772 | $163,355,772 |
Futures contracts(a) | 34,904,075 | — | 34,904,075 |
$34,904,075 | $163,355,772 | $198,259,847 | |
Liabilities | |||
Unrealized depreciation on currency forward contracts | $— | $1,524,615 | $1,524,615 |
(a) | Includes cumulative appreciation (depreciation). Only the current day’s variation margin is reported in the Consolidated Statement of Assets and Liabilities. |
Equity Derivatives | Foreign Exchange Derivatives | Total | |
Net realized gain (loss) | |||
Futures contracts | $160,028,360 | $— | 160,028,360 |
Currency forward contracts | — | 65,561,470 | 65,561,470 |
$160,028,360 | $65,561,470 | $225,589,830 | |
Net change in unrealized appreciation/depreciation | |||
Futures contracts | $62,685,789 | $— | 62,685,789 |
Currency forward contracts | — | 114,850,709 | 114,850,709 |
$62,685,789 | $114,850,709 | $177,536,498 |
Derivative | % of Net Assets | |
Futures contracts | USD notional value | 1-4 % |
Currency forward contracts | USD total value | 5-8 % |
Counterparty | Gross Amount of Recognized Assets | Gross Amount of Recognized Liabilities | Cash Collateral Pledged / (Received)(a) | Net Amount(b) |
Bank of America | $23,443,890 | $(1,398,094 ) | $(21,410,000 ) | $635,796 |
Goldman Sachs | 24,799,517 | — | (24,280,000 ) | 519,517 |
HSBC | 59,714,918 | (95,742 ) | (58,300,000 ) | 1,319,176 |
JPMorgan | 51,053,007 | — | (49,980,000 ) | 1,073,007 |
Standard Chartered | 4,314,872 | — | (3,940,000 ) | 374,872 |
UBS | 29,568 | (30,779 ) | — | (1,211 ) |
$163,355,772 | $(1,524,615 ) | $(157,910,000 ) | $3,921,157 |
(a) | Cash collateral pledged/(received) in excess of derivative assets/liabilities is not presented in this table. The total cash collateral is presented on the Fund's Consolidated Statement of Assets and Liabilities. |
(b) | Represents the net amount receivable from (payable to) the counterparty in the event of a default. |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | |
Class I | ||
Ordinary income | $— | $823,619,232 |
Long-term capital gain | $— | $— |
Class X | ||
Ordinary income | $— | $83,123,172 |
Long-term capital gain | $— | $— |
Undistributed ordinary income | $12,777,325 |
Capital loss carryforward1 | (2,181,956,894 ) |
Net unrealized appreciation | 1,967,835,711 |
Total distributable earnings | $(201,343,858 ) |
1 | Represents accumulated long-term capital loss as of December 31, 2022, which may be carried forward to offset future capital gains. |
Tax cost | $39,246,027,103 |
Unrealized appreciation | 9,448,452,445 |
Unrealized depreciation | (3,208,679,041 ) |
Net unrealized appreciation | 6,239,773,404 |
Selected data and ratios (for a share outstanding throughout each period) | Six Months Ended June 30, | Year Ended December 31, | ||||
2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
Class I | ||||||
Net asset value, beginning of period | $43.11 | $47.29 | $43.70 | $43.60 | $36.91 | $46.32 |
Income from investment operations: | ||||||
Net investment income | 0.87 | 1.16 | 1.04 (a) | 0.95 (b) | 1.25 | 1.01 |
Net realized and unrealized gain (loss) | 3.75 | (4.38 ) | 3.73 | (0.04 ) | 7.15 | (9.34 ) |
Total from investment operations | 4.62 | (3.22 ) | 4.77 | 0.91 | 8.40 | (8.33 ) |
Distributions to shareholders from: | ||||||
Net investment income | — | (0.96 ) | (1.18 ) | (0.81 ) | (1.71 ) | (1.08 ) |
Net realized gain | — | — | — | — | — | — |
Total distributions | — | (0.96 ) | (1.18 ) | (0.81 ) | (1.71 ) | (1.08 ) |
Net asset value, end of period | $47.73 | $43.11 | $47.29 | $43.70 | $43.60 | $36.91 |
Total return | 10.72 % | (6.78 )% | 11.02 % | 2.10 %(b) | 22.78 % | (17.98 )% |
Ratios/supplemental data: | ||||||
Net assets, end of period (millions) | $39,594 | $37,508 | $44,085 | $40,789 | $50,228 | $48,108 |
Ratio of expenses to average net assets | 0.62 %(c) | 0.62 % | 0.62 % | 0.63 % | 0.63 % | 0.63 % |
Ratio of net investment income to average net assets | 3.74 %(c) | 2.68 % | 2.15 %(a) | 2.39 %(b) | 2.85 % | 2.17 % |
Portfolio turnover rate | 6 % | 12 % | 18 % | 20 % | 15 % | 17 % |
Class X(d) | ||||||
Net asset value, beginning of period | $43.11 | $44.59 | ||||
Income from investment operations: | ||||||
Net investment income | 0.95 | 0.23 | ||||
Net realized and unrealized gain (loss) | 3.70 | (0.72 ) | ||||
Total from investment operations | 4.65 | (0.49 ) | ||||
Distributions to shareholders from: | ||||||
Net investment income | — | (0.99 ) | ||||
Net realized gain | — | — | ||||
Total distributions | — | (0.99 ) | ||||
Net asset value, end of period | $47.76 | $43.11 | ||||
Total return | 10.78 % | (1.07 )% | ||||
Ratios/supplemental data: | ||||||
Net assets, end of period (millions) | $5,866 | $3,769 | ||||
Ratio of expenses to average net assets | 0.52 %(c) | 0.52 %(c) | ||||
Ratio of expenses to average net assets, before reimbursement by investment manager | 0.57 %(c) | 0.57 %(c) | ||||
Ratio of net investment income to average net assets | 4.04 %(c) | 1.66 %(c) | ||||
Portfolio turnover rate | 6 % | 12 % |
(a) | Net investment income per share includes significant amounts received for EU reclaims related to prior years, which amounted to approximately $0.13 per share. Excluding such amounts, the ratio of net investment income to average net assets would have been 1.87%. |
(b) | Net investment income per share includes significant amounts received for EU reclaims related to prior years, which amounted to approximately $0.28 per share. Excluding such amounts, the ratio of net investment income to average net assets would have been 1.73% and total return would have been approximately 1.55%. |
(c) | Annualized |
(d) | For 2022, the period covers 5/2/2022 (commencement of operations) to 12/31/2022 |
(unaudited)
information, please visit the Funds’ website.
Kansas City, Missouri 64121-9502
(800) 621-3979
555 California Street, 40th Floor
San Francisco, California 94104
(415) 981-1710
3 Canal Plaza, Suite 100
Portland, Maine 04101
This report reflects our views, opinions, and portfolio holdings as of June 30, 2023, the end of the reporting period. Any such views are subject to change at any time based upon market or other conditions and Dodge & Cox disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Dodge & Cox Fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Dodge & Cox Fund.
June 30, 2023
For the Board of Trustees, | |
Dana M. Emery, Chair and President |
1 | All returns are stated in U.S. dollars, unless otherwise noted. The Funds’ total returns include the reinvestment of dividend and capital gain distributions, but have not been adjusted for any income taxes payable by shareholders on these distributions or on Fund share redemptions. Index returns include dividend and/or interest income but, unlike Fund returns, do not reflect fees or expenses. The MSCI Emerging Markets Index captures large- and mid-cap representation across emerging market countries. |
2 | Unless otherwise specified, all weightings and characteristics are as of June 30, 2023. Price-to-earnings (forward) ratios are calculated using 12-month forward earnings estimates from third-party sources as of the reporting period. Estimates reflect a consensus of sell-side analyst estimates, which may lag as market conditions change. |
3 | The S&P 500 Index is a market capitalization-weighted index of 500 large- capitalization stocks commonly used to represent the U.S. equity market. |
4 | The use of specific examples does not imply that they are more or less attractive investments than the portfolio’s other holdings. |
5 | The MSCI China Index captures large- and mid-cap representation across China A shares, H shares, B shares, Red chips, P chips, and foreign listings (e.g., ADRs). |
1 Year | Since Inception (5/11/21) | |
Dodge & Cox Emerging Markets Stock Fund | 8.19% | -8.60% |
MSCI Emerging Markets Index | 1.75 | -10.47 |
Net Expense Ratio | Gross Expense Ratio | |
Dodge & Cox Emerging Markets Stock Fund | 0.70%(a) | 1.24% |
(a) | Dodge & Cox has contractually agreed to reimburse the Fund for all ordinary expenses to the extent necessary to maintain Total Annual Fund Operating Expenses at 0.70% until April 30, 2026. This agreement cannot be terminated prior to April 30, 2026 other than by resolution of the Fund’s Board of Trustees. For purposes of the foregoing, ordinary expenses shall not include nonrecurring shareholder account fees, fees and expenses associated with Fund shareholder meetings, fees on portfolio transactions such as exchange fees, dividends and interest on short positions, fees and expenses of pooled investment vehicles that are held by the Fund, interest expenses and other fees and expenses related to any borrowings, taxes, brokerage fees and commissions and other costs and expenses relating to the acquisition and disposition of Fund investments, other expenditures which are capitalized in accordance with generally accepted accounting principles, and other non-routine expenses or extraordinary expenses not incurred in the ordinary course of the Fund’s business, such as litigation expenses. The term of the agreement will automatically renew for subsequent three-year terms unless terminated with at least 30 days’ written notice by either party prior to the end of the then-current term. The agreement does not permit Dodge & Cox to recoup any fees waived or payments made to the Fund for a prior year. |
www.dodgeandcox.com/emergingmarketsstockfund
Sector Diversification(a) | % of Net Assets |
Financials | 22.8 |
Consumer Discretionary | 19.2 |
Information Technology | 13.5 |
Materials | 8.1 |
Communication Services | 7.1 |
Consumer Staples | 6.1 |
Industrials | 4.9 |
Health Care | 4.7 |
Energy | 4.5 |
Utilities | 2.5 |
Real Estate | 2.4 |
Net Cash & Other(b) | 4.2 |
Ten Largest Countries(a) | % of Net Assets |
China | 28.1 |
Taiwan | 9.5 |
India | 9.2 |
South Korea | 9.1 |
Brazil | 7.6 |
Mexico | 4.2 |
United States | 2.1 |
Canada | 2.0 |
Hong Kong | 2.0 |
Australia | 2.0 |
(a) | Excludes derivatives. |
(b) | Net Cash & Other includes cash, short-term investments, derivatives, receivables, and payables. |
Six Months Ended June 30, 2023 | Beginning Account Value 1/1/2023 | Ending Account Value 6/30/2023 | Expenses Paid During Period* |
Based on Actual Fund Return | $1,000.00 | $1,075.50 | $3.60 |
Based on Hypothetical 5% Yearly Return | 1,000.00 | 1,021.32 | 3.51 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.70%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
Common Stocks: 88.3% | ||
Shares | Value | |
Communication Services: 7.1% | ||
Media & Entertainment: 6.2% | ||
37 Interactive Entertainment Network Technology Group Co., Ltd., Class A (China) | 24,000 | $115,150 |
AfreecaTV Co., Ltd. (South Korea) | 11,160 | 619,976 |
Astro Malaysia Holdings BHD (Malaysia) | 1,474,314 | 189,521 |
Baidu, Inc. ADR(a) (China) | 32,344 | 4,428,217 |
Grupo Televisa SAB (Mexico) | 1,661,814 | 1,704,823 |
IGG, Inc.(a) (Singapore) | 786,600 | 389,485 |
JOYY, Inc. ADR (China) | 17,008 | 522,316 |
Megacable Holdings SAB de CV (Mexico) | 172,842 | 400,474 |
MultiChoice Group, Ltd. (South Africa) | 61,529 | 312,169 |
NetEase, Inc. ADR (China) | 40,547 | 3,920,489 |
Sun TV Network, Ltd. (India) | 88,215 | 470,290 |
XD, Inc.(a)(b) (China) | 141,800 | 356,491 |
13,429,401 | ||
Telecommunication Services: 0.9% | ||
America Movil SAB de CV (Mexico) | 678,300 | 736,275 |
China Tower Corp., Ltd., Class H(b)(c) (China) | 3,444,800 | 382,462 |
Millicom International Cellular SA SDR(a) (Guatemala) | 37,379 | 571,324 |
Sitios Latinoamerica SAB de CV(a) (Brazil) | 498,449 | 199,473 |
1,889,534 | ||
15,318,935 | ||
Consumer Discretionary: 18.8% | ||
Automobiles & Components: 1.5% | ||
Fuyao Glass Industry Group Co., Ltd., Class H(b)(c) (China) | 159,929 | 661,268 |
Hankook Tire & Technology Co., Ltd. (South Korea) | 21,000 | 548,249 |
Hyundai Mobis Co., Ltd. (South Korea) | 5,586 | 985,653 |
Kia Corp. (South Korea) | 14,935 | 1,003,110 |
3,198,280 | ||
Consumer Discretionary Distribution & Retail: 11.8% | ||
Alibaba Group Holding, Ltd. ADR(a) (China) | 107,441 | 8,955,207 |
China Tourism Group Duty Free Corp., Ltd., Class A (China) | 37,450 | 569,390 |
China Yongda Automobiles Services Holdings, Ltd. (China) | 704,700 | 354,328 |
Cuckoo Homesys Co., Ltd. (South Korea) | 17,158 | 306,009 |
Detsky Mir PJSC(a)(b)(c)(d) (Russia) | 148,750 | 17 |
JD.com, Inc., Class A (China) | 231,571 | 3,912,711 |
Motus Holdings, Ltd. (South Africa) | 60,617 | 322,647 |
Prosus NV, Class N (China) | 119,590 | 8,757,630 |
PTG Energy PCL NVDR (Thailand) | 950,586 | 327,095 |
Vibra Energia SA (Brazil) | 161,929 | 610,421 |
Vipshop Holdings, Ltd. ADR(a) (China) | 39,547 | 652,525 |
Zhongsheng Group Holdings, Ltd. (China) | 151,300 | 578,284 |
25,346,264 | ||
Consumer Durables & Apparel: 2.1% | ||
Feng Tay Enterprise Co., Ltd. (Taiwan) | 150,286 | 948,199 |
Gree Electric Appliances, Inc. of Zhuhai, Class A (China) | 160,014 | 803,613 |
Shares | Value | |
Haier Smart Home Co., Ltd., Class H (China) | 268,200 | $843,687 |
Man Wah Holdings, Ltd. (Hong Kong) | 610,000 | 407,134 |
Midea Group Co., Ltd., Class A (China) | 80,371 | 651,388 |
Pou Chen Corp. (Taiwan) | 917,143 | 927,612 |
4,581,633 | ||
Consumer Services: 3.4% | ||
Afya, Ltd., Class A(a) (Brazil) | 24,876 | 349,259 |
H World Group, Ltd.(a) (China) | 156,240 | 603,147 |
Haidilao International Holding, Ltd.(b)(c) (China) | 153,400 | 337,495 |
HumanSoft Holding Co. KSCC (Kuwait) | 68,998 | 833,785 |
Las Vegas Sands Corp.(a) (United States) | 26,100 | 1,513,800 |
Leejam Sports Co. JSC (Saudi Arabia) | 20,026 | 691,133 |
Sands China, Ltd.(a) (Macau) | 357,043 | 1,216,571 |
Ser Educacional SA(b)(c) (Brazil) | 257,700 | 269,099 |
Trip.com Group, Ltd. ADR (China) | 21,600 | 756,000 |
Yum China Holdings, Inc. (China) | 11,670 | 659,355 |
7,229,644 | ||
40,355,821 | ||
Consumer Staples: 5.8% | ||
Consumer Staples Distribution & Retail: 0.6% | ||
Atacadao SA (Brazil) | 50,000 | 116,954 |
BIM Birlesik Magazalar AS (Turkey) | 53,734 | 352,766 |
Grupo Comercial Chedraui SAB de CV (Mexico) | 42,400 | 241,613 |
Magnit PJSC(d) (Russia) | 52,229 | 6 |
Wal-Mart de Mexico SAB de CV (Mexico) | 63,757 | 252,875 |
X5 Retail Group NV GDR(b)(d) (Russia) | 35,486 | 4 |
Yonghui Superstores Co., Ltd., Class A(a) (China) | 752,200 | 323,858 |
1,288,076 | ||
Food, Beverage & Tobacco: 5.0% | ||
Anadolu Efes Biracilik Ve Malt (Turkey) | 101,345 | 260,582 |
Angel Yeast Co., Ltd., Class A (China) | 101,400 | 505,061 |
Anheuser-Busch InBev SA/NV (Belgium) | 64,063 | 3,623,206 |
Arca Continental SAB de CV (Mexico) | 52,371 | 537,509 |
Century Pacific Food, Inc. (Philippines) | 1,000,743 | 464,117 |
China Feihe, Ltd.(b)(c) (China) | 397,557 | 221,203 |
Coca-Cola HBC AG (Italy) | 28,000 | 833,882 |
Eastern Co. SAE (Egypt) | 160,910 | 111,127 |
Fomento Economico Mexicano SAB de CV (Mexico) | 36,343 | 402,157 |
GFPT PCL NVDR (Thailand) | 1,172,529 | 423,308 |
JBS SA (Brazil) | 38,500 | 140,389 |
PT Indofood CBP Sukses Makmur Tbk (Indonesia) | 640,914 | 484,308 |
Sanquan Food Co., Ltd., Class A (China) | 165,905 | 355,553 |
Saudia Dairy & Foodstuff Co. (Saudi Arabia) | 10,788 | 915,511 |
Thai Union Group PCL NVDR (Thailand) | 1,060,900 | 385,999 |
Tingyi (Cayman Islands) Holding Corp. (China) | 194,000 | 301,547 |
Common Stocks (continued) | ||
Shares | Value | |
Vietnam Dairy Products JSC (Vietnam) | 124,700 | $375,395 |
WH Group, Ltd.(b)(c) (Hong Kong) | 723,027 | 382,920 |
10,723,774 | ||
Household & Personal Products: 0.2% | ||
Grape King Bio, Ltd. (Taiwan) | 101,714 | 548,667 |
12,560,517 | ||
Energy: 4.5% | ||
Bharat Petroleum Corp., Ltd. (India) | 41,933 | 186,571 |
China Suntien Green Energy Corp., Ltd., Class H (China) | 1,350,000 | 484,112 |
Ecopetrol SA (Colombia) | 1,171,199 | 600,790 |
Geopark, Ltd. (Colombia) | 70,628 | 699,923 |
Hindustan Petroleum Corp., Ltd. (India) | 145,627 | 485,505 |
INPEX Corp. (Japan) | 59,000 | 653,398 |
Lukoil PJSC(d) (Russia) | 7,143 | 1 |
MOL Hungarian Oil & Gas PLC, Class A (Hungary) | 20,067 | 175,635 |
Motor Oil (Hellas) Corinth Refineries SA (Greece) | 24,035 | 608,466 |
National Energy Services Reunited Corp.(a) (United States) | 683,843 | 2,017,337 |
Novatek PJSC(d) (Russia) | 30,294 | 3 |
Petroleo Brasileiro SA (Brazil) | 287,543 | 1,987,735 |
PTT Exploration & Production PCL NVDR (Thailand) | 186,600 | 789,451 |
Saudi Arabian Oil Co.(b)(c) (Saudi Arabia) | 109,740 | 944,216 |
9,633,143 | ||
Financials: 19.8% | ||
Banks: 13.1% | ||
Axis Bank, Ltd. (India) | 517,956 | 6,225,984 |
Banca Transilvania SA (Romania) | 35,263 | 160,973 |
Bangkok Bank PCL NVDR (Thailand) | 121,000 | 544,338 |
Bank Polska Kasa Opieki SA (Poland) | 13,621 | 371,182 |
BDO Unibank, Inc. (Philippines) | 296,725 | 740,207 |
Brac Bank, Ltd. (Bangladesh) | 1,075,251 | 355,833 |
China Merchants Bank Co., Ltd., Class H (China) | 131,800 | 598,785 |
Commercial International Bank (Egypt) SAE (Egypt) | 329,983 | 544,623 |
Credicorp, Ltd. (Peru) | 24,243 | 3,579,236 |
Equity Group Holdings PLC (Kenya) | 1,408,729 | 380,738 |
Grupo Financiero Banorte SAB de CV, Class O (Mexico) | 49,236 | 405,060 |
Hong Leong Financial Group BHD (Malaysia) | 143,800 | 544,083 |
ICICI Bank, Ltd. (India) | 520,956 | 5,931,194 |
IndusInd Bank, Ltd. (India) | 36,393 | 610,644 |
Intercorp Financial Services, Inc. (Peru) | 6,167 | 153,188 |
JB Financial Group Co., Ltd. (South Korea) | 75,302 | 484,050 |
Kasikornbank PCL NVDR (Thailand) | 150,043 | 548,035 |
KB Financial Group, Inc. (South Korea) | 18,619 | 674,729 |
Military Commercial Joint Stock Bank (Vietnam) | 991,066 | 848,825 |
OTP Bank Nyrt. (Hungary) | 9,310 | 330,795 |
Ping An Bank Co., Ltd., Class A (China) | 259,700 | 401,171 |
PT Bank Negara Indonesia (Persero) Tbk (Indonesia) | 900,000 | 551,505 |
Shares | Value | |
PT Bank Rakyat Indonesia (Persero) Tbk, Class B (Indonesia) | 2,263,613 | $822,801 |
Shinhan Financial Group Co., Ltd. (South Korea) | 27,517 | 710,035 |
TCS Group Holding PLC GDR, Class A(a)(b)(d) (Russia) | 2,173 | 0 |
The Commercial Bank PSQC (Qatar) | 254,200 | 406,079 |
Tisco Financial Group PCL NVDR (Thailand) | 176,900 | 483,974 |
Vietnam Technological & Commercial Joint Stock Bank(a) (Vietnam) | 615,900 | 844,790 |
28,252,857 | ||
Financial Services: 3.1% | ||
AEON Credit Service (M) BHD (Malaysia) | 140,000 | 337,740 |
Banco BTG Pactual SA (Brazil) | 54,338 | 356,905 |
Chailease Holding Co., Ltd. (Taiwan) | 95,330 | 624,422 |
Cielo SA (Brazil) | 416,129 | 398,904 |
FirstRand, Ltd. (South Africa) | 150,000 | 545,925 |
Grupo de Inversiones Suramericana SA (Colombia) | 16,609 | 143,326 |
Kaspi.kz JSC GDR(b) (Kazakhstan) | 5,239 | 417,024 |
Noah Holdings, Ltd. ADR, Class A (China) | 12,071 | 169,960 |
XP, Inc., Class A(a) (Brazil) | 158,596 | 3,720,662 |
6,714,868 | ||
Insurance: 3.6% | ||
BB Seguridade Participacoes SA (Brazil) | 54,300 | 348,943 |
China Pacific Insurance (Group) Co., Ltd., Class H (China) | 156,200 | 403,656 |
DB Insurance Co., Ltd. (South Korea) | 10,012 | 566,839 |
Korean Reinsurance Co. (South Korea) | 83,712 | 445,354 |
Old Mutual, Ltd. (South Africa) | 761,921 | 490,641 |
Ping An Insurance (Group) Co. of China Ltd., Class H (China) | 155,157 | 987,057 |
Prudential PLC (Hong Kong) | 224,340 | 3,158,246 |
Samsung Fire & Marine Insurance Co., Ltd. (South Korea) | 4,053 | 707,464 |
Sanlam, Ltd. (South Africa) | 164,357 | 509,543 |
7,617,743 | ||
42,585,468 | ||
Health Care: 4.7% | ||
Health Care Equipment & Services: 2.8% | ||
China Isotope & Radiation Corp. (China) | 93,400 | 182,604 |
Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd., Class H (China) | 126,786 | 382,655 |
Hartalega Holdings BHD (Malaysia) | 1,234,000 | 499,681 |
Kossan Rubber Industries BHD (Malaysia) | 1,450,000 | 400,750 |
Shandong Pharmaceutical Glass Co., Ltd., Class A (China) | 91,800 | 343,723 |
Shandong Weigao Group Medical Polymer Co., Ltd., Class H (China) | 256,400 | 335,061 |
Sinocare, Inc., Class A (China) | 100,357 | 373,278 |
Sinopharm Group Co., Ltd. (China) | 834,814 | 2,610,125 |
Common Stocks (continued) | ||
Shares | Value | |
Sonoscape Medical Corp., Class A (China) | 79,600 | $596,743 |
Tofflon Science & Technology Group Co., Ltd., Class A (China) | 89,160 | 279,016 |
6,003,636 | ||
Pharmaceuticals, Biotechnology & Life Sciences: 1.9% | ||
Adcock Ingram Holdings, Ltd. (South Africa) | 174,120 | 520,845 |
Aurobindo Pharma, Ltd. (India) | 81,333 | 720,768 |
Beijing Tong Ren Tang Chinese Medicine Co., Ltd. (China) | 261,700 | 478,915 |
Dr. Reddy's Laboratories, Ltd. (India) | 9,152 | 574,977 |
Jiangsu Hengrui Pharmaceuticals Co., Ltd., Class A (China) | 100,494 | 662,145 |
Richter Gedeon NYRT (Hungary) | 12,900 | 318,164 |
Zhejiang NHU Co., Ltd., Class A (China) | 397,943 | 842,983 |
4,118,797 | ||
10,122,433 | ||
Industrials: 4.8% | ||
Capital Goods: 2.8% | ||
BOC Aviation, Ltd.(b)(c) (China) | 51,900 | 419,585 |
Chicony Power Technology Co., Ltd. (Taiwan) | 200,000 | 583,088 |
Doosan Bobcat, Inc. (South Korea) | 22,488 | 1,001,818 |
Ferreycorp SAA (Peru) | 198,602 | 120,439 |
HEG, Ltd. (India) | 31,177 | 619,464 |
KOC Holding AS (Turkey) | 109,289 | 438,294 |
Larsen & Toubro, Ltd. (India) | 18,154 | 547,699 |
PT Astra International Tbk (Indonesia) | 1,424,800 | 649,187 |
SFA Engineering Corp. (South Korea) | 21,700 | 592,874 |
United Integrated Services Co., Ltd. (Taiwan) | 82,153 | 575,041 |
Xinjiang Goldwind Science & Technology Co., Ltd., Class H (China) | 707,600 | 484,917 |
6,032,406 | ||
Transportation: 2.0% | ||
Air Arabia PJSC (United Arab Emirates) | 351,796 | 233,613 |
Aramex PJSC (United Arab Emirates) | 700,121 | 536,319 |
Cebu Air, Inc.(a) (Philippines) | 479,996 | 326,087 |
Copa Holdings SA, Class A (Panama) | 6,536 | 722,751 |
Globaltrans Investment PLC GDR(a)(b)(d) (Russia) | 62,160 | 7 |
Gulf Warehousing Co. (Qatar) | 118,111 | 107,865 |
Hyundai Glovis Co., Ltd. (South Korea) | 4,404 | 660,776 |
International Container Terminal Services, Inc. (Philippines) | 158,000 | 583,346 |
Movida Participacoes SA (Brazil) | 140,500 | 308,981 |
Promotora y Operadora de Infraestructura SAB de CV (Mexico) | 27,842 | 279,412 |
Westports Holdings BHD (Malaysia) | 725,000 | 565,399 |
4,324,556 | ||
10,356,962 | ||
Information Technology: 10.1% | ||
Semiconductors & Semiconductor Equipment: 7.6% | ||
Alpha & Omega Semiconductor, Ltd.(a) (United States) | 28,514 | 935,259 |
ASE Technology Holding Co., Ltd. (Taiwan) | 255,000 | 904,735 |
ELAN Microelectronics Corp. (Taiwan) | 258,000 | 840,823 |
Nanya Technology Corp. (Taiwan) | 434,286 | 987,251 |
Shares | Value | |
Novatek Microelectronics Corp. (Taiwan) | 72,857 | $997,721 |
Powertech Technology, Inc. (Taiwan) | 295,714 | 996,965 |
Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan) | 571,143 | 10,562,968 |
16,225,722 | ||
Software & Services: 1.5% | ||
Asseco Poland SA (Poland) | 29,653 | 585,264 |
Chinasoft International, Ltd. (China) | 1,031,100 | 648,714 |
Hancom, Inc.(a) (South Korea) | 54,411 | 551,274 |
Shanghai Baosight Software Co., Ltd., Class A (China) | 129,588 | 905,715 |
Weimob, Inc.(a)(b)(c) (China) | 1,140,000 | 552,833 |
3,243,800 | ||
Technology, Hardware & Equipment: 1.0% | ||
Lenovo Group, Ltd. (China) | 863,271 | 900,067 |
Sterlite Technologies, Ltd. (India) | 231,513 | 412,870 |
Yageo Corp. (Taiwan) | 57,641 | 909,649 |
2,222,586 | ||
21,692,108 | ||
Materials: 7.9% | ||
Alpek SAB de CV, Class A (Mexico) | 131,148 | 130,328 |
Alrosa PJSC(a)(d) (Russia) | 215,620 | 24 |
Anhui Conch Cement Co., Ltd., Class H (China) | 87,700 | 232,792 |
Cemex SAB de CV ADR(a) (Mexico) | 439,614 | 3,112,467 |
Glencore PLC (Australia) | 753,708 | 4,254,792 |
Indorama Ventures PCL NVDR (Thailand) | 323,000 | 312,022 |
KCC Corp. (South Korea) | 2,695 | 401,699 |
LB Group Co., Ltd., Class A (China) | 100,229 | 227,486 |
Loma Negra Cia Industrial Argentina SA ADR (Argentina) | 17,386 | 118,225 |
Mondi PLC (Austria) | 40,858 | 622,157 |
Nine Dragons Paper Holdings, Ltd. (Hong Kong) | 316,600 | 195,148 |
Orbia Advance Corp. SAB de CV (Mexico) | 94,385 | 202,092 |
PTT Global Chemical PCL NVDR (Thailand) | 302,343 | 317,650 |
Sahara International Petrochemical Co. (Saudi Arabia) | 31,400 | 308,589 |
Severstal PJSC(a)(d) (Russia) | 16,182 | 2 |
Shandong Sinocera Functional Material Co., Ltd., Class A (China) | 332,060 | 1,251,540 |
Suzano SA (Brazil) | 10,700 | 98,817 |
Teck Resources, Ltd., Class B (Canada) | 102,900 | 4,332,090 |
UPL, Ltd. (India) | 58,003 | 485,949 |
Wanhua Chemical Group Co., Ltd., Class A (China) | 22,000 | 265,823 |
16,869,692 | ||
Real Estate: 2.4% | ||
Equity Real Estate Investment Trusts (Reits): 0.2% | ||
Macquarie Mexico Real Estate Management SA de CV REIT(b)(c) (Mexico) | 109,800 | 194,557 |
Prologis Property Mexico SA de CV REIT (Mexico) | 57,447 | 212,645 |
407,202 |
Common Stocks (continued) | ||
Shares | Value | |
Real Estate Management & Development: 2.2% | ||
China Resources Land, Ltd. (China) | 74,129 | $314,074 |
Corporacion Inmobiliaria Vesta SAB de CV (Mexico) | 71,334 | 231,543 |
Country Garden Services Holdings Co., Ltd. (China) | 287,000 | 370,653 |
Emaar Development PJSC (United Arab Emirates) | 579,074 | 924,256 |
Greentown Service Group Co., Ltd.(b) (China) | 3,882,871 | 1,858,189 |
Hang Lung Group, Ltd. (Hong Kong) | 125,129 | 189,705 |
KE Holdings, Inc. ADR, Class A(a) (China) | 28,900 | 429,165 |
Megaworld Corp. (Philippines) | 10,460,943 | 377,128 |
4,694,713 | ||
5,101,915 | ||
Utilities: 2.4% | ||
China Gas Holdings, Ltd. (China) | 316,357 | 362,139 |
China Water Affairs Group, Ltd. (China) | 336,000 | 253,844 |
Enerjisa Enerji AS(b)(c) (Turkey) | 303,255 | 410,780 |
Engie Brasil Energia SA (Brazil) | 63,700 | 607,839 |
Engie Energia Chile SA(a) (Chile) | 208,409 | 198,338 |
GAIL (India), Ltd. (India) | 780,000 | 998,814 |
KunLun Energy Co., Ltd. (China) | 472,900 | 371,754 |
Mahanagar Gas, Ltd.(b) (India) | 55,296 | 707,746 |
NTPC, Ltd. (India) | 320,887 | 739,279 |
Tenaga Nasional BHD (Malaysia) | 297,943 | 577,693 |
5,228,226 | ||
Total Common Stocks (Cost $218,107,635) | $189,825,220 |
Preferred Stocks: 7.5% | ||
Shares | Value | |
Consumer Discretionary: 0.4% | ||
Automobiles & Components: 0.4% | ||
Hyundai Motor Co., Pfd 2 (South Korea) | 11,500 | $957,424 |
Consumer Staples: 0.3% | ||
Food, Beverage & Tobacco: 0.1% | ||
Embotelladora Andina SA, Pfd, Class B (Chile) | 63,500 | 166,402 |
Household & Personal Products: 0.2% | ||
Amorepacific Corp., Pfd (South Korea) | 9,560 | 228,543 |
LG H&H Co., Ltd., Pfd (South Korea) | 1,999 | 284,455 |
512,998 | ||
679,400 | ||
Financials: 3.0% | ||
Banks: 3.0% | ||
Itau Unibanco Holding SA, Pfd (Brazil) | 1,077,500 | 6,395,420 |
Industrials: 0.1% | ||
Capital Goods: 0.1% | ||
DL E&C Co., Ltd., Pfd (South Korea) | 7,312 | 111,540 |
DL E&C Co., Ltd., Pfd 2 (South Korea) | 6,733 | 124,170 |
235,710 |
Shares | Value | |
Information Technology: 3.4% | ||
Technology, Hardware & Equipment: 3.4% | ||
Samsung Electro-Mechanics Co., Ltd., Pfd (South Korea) | 12,109 | $626,748 |
Samsung Electronics Co., Ltd., Pfd (South Korea) | 147,841 | 6,675,930 |
7,302,678 | ||
Materials: 0.2% | ||
DL Holdings Co., Ltd., Pfd (South Korea) | 11,767 | 222,811 |
Braskem SA, Pfd, Class A(a) (Brazil) | 30,000 | 174,554 |
397,365 | ||
Utilities: 0.1% | ||
Centrais Eletricas Brasileiras SA, Pfd, Class B (Brazil) | 27,600 | 256,621 |
Total Preferred Stocks (Cost $18,926,397) | $16,224,618 |
Short-Term Investments: 3.6% | ||
Par Value/ Shares | Value | |
Repurchase Agreements: 3.2% | ||
Fixed Income Clearing Corporation(e) 5.04%, dated 6/30/23, due 7/3/23, maturity value $5,002,100 | $5,000,000 | $5,000,000 |
Fixed Income Clearing Corporation(e) 2.45%, dated 6/30/23, due 7/3/23, maturity value $1,808,369 | 1,808,000 | 1,808,000 |
6,808,000 | ||
Money Market Fund: 0.4% | ||
State Street Institutional U.S. Government Money Market Fund - Premier Class | 855,899 | 855,899 |
Total Short-Term Investments (Cost $7,663,899) | $7,663,899 | |
Total Investments In Securities (Cost $244,697,931) | 99.4 % | $213,713,737 |
Other Assets Less Liabilities | 0.6 % | 1,343,015 |
Net Assets | 100.0 % | $215,056,752 |
(a) | Non-income producing |
(b) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S securities are subject to restrictions on resale in the United States. |
(c) | Security exempt from registration under Rule 144A of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(d) | Valued using significant unobservable inputs. |
(e) | Repurchase agreement is collateralized by U.S. Treasury Notes 0.25%-1.875%, 9/30/25-2/15/41. Total collateral value is $6,944,252. |
The Fund usually classifies a company or issuer based on its country of risk, but may designate a different country in certain circumstances. | |
ADR: American Depositary Receipt |
GDR: Global Depositary Receipt |
NVDR: Non-Voting Depository Receipt |
SDR: Swedish Depository Receipt |
Description | Number of Contracts | Expiration Date | Notional Amount | Value / Unrealized Appreciation/ (Depreciation) |
ICE US MSCI Emerging Markets Index Futures— Long Position | 163 | 9/15/23 | $8,132,885 | $(156,677 ) |
Counterparty | Settle Date | Currency Purchased | Currency Sold | Unrealized Appreciation (Depreciation) | ||
CNH: Chinese Yuan Renminbi | ||||||
Bank of America | 7/5/23 | CNH | 1,959,137 | USD | 269,898 | $(408 ) |
Bank of America | 7/5/23 | CNH | 1,959,431 | USD | 269,929 | (398 ) |
Bank of America | 7/5/23 | CNH | 1,959,432 | USD | 269,850 | (320 ) |
HSBC | 7/5/23 | USD | 41,326 | CNH | 300,000 | 59 |
UBS | 7/5/23 | USD | 768,330 | CNH | 5,578,000 | 1,046 |
Goldman Sachs | 7/19/23 | USD | 830,331 | CNH | 5,578,000 | 62,222 |
UBS | 7/19/23 | CNH | 5,578,000 | USD | 769,199 | (1,089 ) |
Bank of America | 10/18/23 | USD | 115,362 | CNH | 788,040 | 6,031 |
Goldman Sachs | 10/18/23 | USD | 116,985 | CNH | 799,980 | 5,998 |
Goldman Sachs | 10/18/23 | USD | 104,187 | CNH | 703,638 | 6,566 |
HSBC | 10/18/23 | USD | 117,045 | CNH | 799,980 | 6,058 |
HSBC | 10/18/23 | USD | 104,162 | CNH | 703,638 | 6,541 |
HSBC | 10/18/23 | USD | 104,166 | CNH | 703,639 | 6,544 |
HSBC | 10/18/23 | USD | 104,188 | CNH | 703,807 | 6,543 |
HSBC | 10/18/23 | CNH | 300,000 | USD | 41,689 | (67 ) |
JPMorgan | 10/18/23 | USD | 104,211 | CNH | 703,640 | 6,589 |
JPMorgan | 10/18/23 | USD | 104,243 | CNH | 703,638 | 6,622 |
Goldman Sachs | 12/6/23 | USD | 2,737,518 | CNH | 18,642,500 | 139,936 |
HSBC | 12/6/23 | USD | 505,907 | CNH | 3,460,000 | 23,802 |
JPMorgan | 12/6/23 | USD | 2,739,731 | CNH | 18,642,500 | 142,149 |
HSBC | 2/7/24 | USD | 772,934 | CNH | 5,200,000 | 44,356 |
HSBC | 3/13/24 | USD | 2,229,257 | CNH | 15,513,000 | 49,005 |
HSBC | 4/17/24 | USD | 370,729 | CNH | 2,492,000 | 19,467 |
HSBC | 6/5/24 | USD | 2,241,772 | CNH | 15,513,000 | 47,082 |
TWD: Taiwan Dollar | ||||||
Bank of America | 8/7/23 | USD | 1,306,290 | TWD | 40,704,000 | (5,409 ) |
HSBC | 8/7/23 | TWD | 40,704,000 | USD | 1,306,164 | 5,535 |
Bank of America | 1/31/24 | USD | 744,465 | TWD | 21,722,000 | 29,460 |
Bank of America | 1/31/24 | TWD | 40,704,000 | USD | 1,326,727 | 13,091 |
HSBC | 1/31/24 | USD | 10,132,112 | TWD | 289,900,000 | 589,720 |
HSBC | 6/5/24 | USD | 444,708 | TWD | 13,150,000 | 5,474 |
Unrealized gain on currency forward contracts | 1,229,896 | |||||
Unrealized loss on currency forward contracts | (7,691 ) | |||||
Net unrealized gain on currency forward contracts | $1,222,205 |
Statement of Assets and Liabilities (unaudited)
June 30, 2023 | |
Assets: | |
Investments in securities, at value (cost $244,697,931) | $213,713,737 |
Unrealized appreciation on currency forward contracts | 1,229,896 |
Cash denominated in foreign currency (cost $180,609) | 180,885 |
Deposits with broker for futures contracts | 234,159 |
Receivable for variation margin for futures contracts | 24,341 |
Receivable for Fund shares sold | 8,412 |
Dividends and interest receivable | 897,752 |
Expense reimbursement receivable | 5,068 |
Prepaid expenses and other assets | 12,246 |
216,306,496 | |
Liabilities: | |
Unrealized depreciation on currency forward contracts | 7,691 |
Cash received as collateral for currency forward contracts | 560,000 |
Payable for Fund shares redeemed | 24,197 |
Deferred foreign capital gains tax | 403,180 |
Management fees payable | 104,100 |
Accrued expenses | 150,576 |
1,249,744 | |
Net Assets | $215,056,752 |
Net Assets Consist of: | |
Paid in capital | $249,571,185 |
Accumulated loss | (34,514,433 ) |
$215,056,752 | |
Fund shares outstanding (par value $0.01 each, unlimited shares authorized) | 26,960,780 |
Net asset value per share | $7.98 |
Statement of Operations (unaudited)
Six Months Ended June 30, 2023 | |
Investment Income: | |
Dividends (net of foreign taxes of $290,799) | $3,071,698 |
Interest | 150,281 |
3,221,979 | |
Expenses: | |
Investment advisory fees | 537,951 |
Custody and fund accounting fees | 84,600 |
Administrative services fees | 48,905 |
Professional services | 167,407 |
Shareholder reports | 9,081 |
Registration fees | 41,316 |
Trustees fees | 207,143 |
Miscellaneous | 15,902 |
Total expenses | 1,112,305 |
Expenses reimbursed by investment manager | (427,640 ) |
Net expenses | 684,665 |
Net Investment Income | 2,537,314 |
Realized and Unrealized Gain (Loss): | |
Net realized gain (loss) | |
Investments in securities (net of foreign capital gains tax of $31,113) | 533,681 |
Futures contracts | 323,255 |
Currency forward contracts | 201,861 |
Foreign currency transactions | (89,758 ) |
Net change in unrealized appreciation/depreciation | |
Investments in securities (net of change in deferred foreign capital gains tax of $215,941) | 9,036,746 |
Futures contracts | (112,806 ) |
Currency forward contracts | 1,303,096 |
Foreign currency translation | 18,541 |
Net realized and unrealized gain | 11,214,616 |
Net Change in Net Assets From Operations | $13,751,930 |
Statement of Changes in Net Assets (unaudited)
Six Months Ended | Year Ended | |
June 30, 2023 | December 31, 2022 | |
Operations: | ||
Net investment income | $2,537,314 | $3,593,921 |
Net realized gain (loss) | 969,039 | (6,063,677 ) |
Net change in unrealized appreciation/depreciation | 10,245,577 | (24,281,948 ) |
13,751,930 | (26,751,704 ) | |
Distributions to Shareholders: | ||
Total distributions | — | (3,255,044 ) |
Fund Share Transactions: | ||
Proceeds from sale of shares | 36,652,901 | 79,919,415 |
Reinvestment of distributions | — | 2,846,741 |
Cost of shares redeemed | (8,407,259 ) | (40,233,258 ) |
Net change from Fund share transactions | 28,245,642 | 42,532,898 |
Total change in net assets | 41,997,572 | 12,526,150 |
Net Assets: | ||
Beginning of period | 173,059,180 | 160,533,030 |
End of period | $215,056,752 | $173,059,180 |
Share Information: | ||
Shares sold | 4,690,862 | 10,321,081 |
Distributions reinvested | — | 387,836 |
Shares redeemed | (1,066,808 ) | (5,425,265 ) |
Net change in shares outstanding | 3,624,054 | 5,283,652 |
Classification | LEVEL 1 (Quoted Prices) | LEVEL 2 (Other Significant Observable Inputs) | LEVEL 3 (Signficant Unobservable Inputs) |
Securities | |||
Common Stocks | |||
Communication Services | $15,318,935 | $— | $— |
Consumer Discretionary | 38,830,886 | 1,524,918 | 17 |
Consumer Staples | 10,436,213 | 2,124,294 | 10 |
Energy | 8,688,923 | 944,216 | 4 |
Financials | 39,904,627 | 2,680,841 | — |
Health Care | 10,122,433 | — | — |
Industrials | 8,391,677 | 1,965,278 | 7 |
Information Technology | 21,692,108 | — | — |
Materials | 16,561,077 | 308,589 | 26 |
Real Estate | 4,177,659 | 924,256 | — |
Utilities | 4,817,446 | 410,780 | — |
Preferred Stocks | |||
Consumer Discretionary | 957,424 | — | — |
Consumer Staples | 679,400 | — | — |
Financials | 6,395,420 | — | — |
Industrials | 235,710 | — | — |
Information Technology | 7,302,678 | — | — |
Materials | 397,365 | — | — |
Utilities | 256,621 | — | — |
Short-Term Investments | |||
Repurchase Agreements | — | 6,808,000 | — |
Money Market Fund | 855,899 | — | — |
Total Securities | $196,022,501 | $17,691,172 | $64 |
Other Investments | |||
Futures Contracts | |||
Depreciation | $(156,677 ) | $— | $— |
Currency Forward Contracts | |||
Appreciation | — | 1,229,896 | — |
Depreciation | — | (7,691 ) | — |
Equity Derivatives | Foreign Exchange Derivatives | Total Value | |
Assets | |||
Unrealized appreciation on currency forward contracts | $— | $1,229,896 | $1,229,896 |
Liabilities | |||
Unrealized depreciation on currency forward contracts | $— | $7,691 | $7,691 |
Futures contracts(a) | 156,677 | — | 156,677 |
$156,677 | $7,691 | $164,368 |
(a) | Includes cumulative appreciation (depreciation). Only the current day’s variation margin is reported in the Statement of Assets and Liabilities. |
Equity Derivatives | Foreign Exchange Derivatives | Total | |
Net realized gain (loss) | |||
Futures contracts | $323,255 | $— | 323,255 |
Currency forward contracts | — | 201,861 | 201,861 |
$323,255 | $201,861 | $525,116 | |
Net change in unrealized appreciation/depreciation | |||
Futures contracts | $(112,806 ) | $— | (112,806 ) |
Currency forward contracts | — | 1,303,096 | 1,303,096 |
$(112,806 ) | $1,303,096 | $1,190,290 |
Derivative | % of Net Assets | |
Futures contracts | USD notional value | 3-4 % |
Currency forward contracts | USD total value | 6-13 % |
Counterparty | Gross Amount of Recognized Assets | Gross Amount of Recognized Liabilities | Cash Collateral Pledged / (Received)(a) | Net Amount(b) |
Bank of America | $48,582 | $(6,535 ) | $— | $42,047 |
Goldman Sachs | 214,722 | — | — | 214,722 |
HSBC | 810,186 | (67 ) | (560,000 ) | 250,119 |
JPMorgan | 155,360 | — | — | 155,360 |
UBS | 1,046 | (1,089 ) | — | (43 ) |
$1,229,896 | $(7,691 ) | $(560,000 ) | $662,205 |
(a) | Cash collateral pledged/(received) in excess of derivative assets/liabilities is not presented in this table. The total cash collateral is presented on the Fund's Statement of Assets and Liabilities. |
(b) | Represents the net amount receivable from (payable to) the counterparty in the event of a default. |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | |
Ordinary income | $— | $3,255,044 |
($— per share) | ($0.143 per share) |
Undistributed ordinary income | $358,860 |
Capital loss carryforward1 | (6,918,187 ) |
Net unrealized depreciation | (41,707,036 ) |
Total distributable earnings | $(48,266,363 ) |
1 | Represents accumulated long-term capital loss as of December 31, 2022, which may be carried forward to offset future capital gains. |
Tax cost | $246,455,987 |
Unrealized appreciation | 14,594,391 |
Unrealized depreciation | (46,271,113 ) |
Net unrealized appreciation | (31,676,722 ) |
Selected Data and Ratios (for a share outstanding throughout each period) | Six Months Ended June 30, | Year Ended December 31, | Period from May 11, 2021 (Inception) to December 31, |
2023 | 2022 | 2021 | |
Net asset value, beginning of period | $7.42 | $8.89 | $10.00 |
Income from investment operations: | |||
Net investment income | 0.09 | 0.14 | 0.07 |
Net realized and unrealized gain (loss) | 0.47 | (1.47 ) | (1.06 ) |
Total from investment operations | 0.56 | (1.33 ) | (0.99 ) |
Distributions to shareholders from: | |||
Net investment income | — | (0.14 ) | (0.12 ) |
Net realized gain | — | — | — |
Total distributions | — | (0.14 ) | (0.12 ) |
Net asset value, end of period | $7.98 | $7.42 | $8.89 |
Total return | 7.55 % | (14.91 )% | (9.82 )% |
Ratios/supplemental data: | |||
Net assets, end of period (millions) | $215 | $173 | $161 |
Ratio of expenses to average net assets | 0.70 %(a) | 0.70 % | 0.70 %(a) |
Ratio of expenses to average net assets, before reimbursement by investment manager | 1.14 %(a) | 1.25 % | 1.52 %(a) |
Ratio of net investment income to average net assets | 2.59 %(a) | 2.22 % | 1.61 %(a) |
Portfolio turnover rate | 8 % | 33 % | 7 % |
(a) | Annualized |
(unaudited)
information, please visit the Funds’ website.
Kansas City, Missouri 64121-9502
(800) 621-3979
555 California Street, 40th Floor
San Francisco, California 94104
(415) 981-1710
3 Canal Plaza, Suite 100
Portland, Maine 04101
This report reflects our views, opinions, and portfolio holdings as of June 30, 2023, the end of the reporting period. Any such views are subject to change at any time based upon market or other conditions and Dodge & Cox disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Dodge & Cox Fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Dodge & Cox Fund.
June 30, 2023
For the Board of Trustees, | |
Dana M. Emery, Chair and President |
1 | All returns are stated in U.S. dollars, unless otherwise noted. The Funds’ total returns include the reinvestment of dividend and capital gain distributions, but have not been adjusted for any income taxes payable by shareholders on these distributions or on Fund share redemptions. Index returns include dividend and/or interest income but, unlike Fund returns, do not reflect fees or expenses. The Combined Index reflects an unmanaged portfolio (rebalanced monthly) of 60% of the S&P 500 Index, which is a market capitalization-weighted index of 500 large capitalization stocks commonly used to represent the U.S. equity market, and 40% of the Bloomberg U.S. Aggregate Bond Index (Bloomberg U.S. Agg), which is a widely recognized, unmanaged index of U.S. dollar-denominated, investment-grade, taxable fixed income securities. The Fund may, however, invest up to 75% of its total assets in equity securities. |
2 | The MSCI EAFE (Europe, Australasia, Far East) Index is a broad-based, unmanaged equity market index aggregated from developed market country indices, excluding the United States and Canada. It covers approximately 85% of the free float-adjusted market capitalization in each country. |
3 | The top-seven contributors to the S&P 500’s absolute returns in the first half of 2023 were Apple, Microsoft, NVIDIA, Amazon, Alphabet, Meta Platforms, and Tesla |
4 | Generally, stocks that have lower valuations are considered “value” stocks, while those with higher valuations are considered “growth” stocks. |
5 | For the first half of 2023, the Russell 1000 Value Index had a total return of 5.12% compared to 29.02% for the Russell 1000 Growth Index. The Russell 1000 Value Index is a broad-based, unmanaged equity market index composed of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values. The Russell 1000 Growth Index is a broad-based, unmanaged equity market index composed of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values. |
6 | Return as calculated and reported by Bloomberg. |
7 | One basis point is equal to 1/100th of 1%. |
8 | Personal consumption expenditures (PCE) measure how much consumers spend on durable and non-durable goods and services. Core PCE prices exclude food and energy prices. |
9 | Unless otherwise specified, all weightings include accrued interest and weightings and characteristics are as of June 30, 2023. |
10 | The use of specific examples does not imply that they are more or less attractive investments than the portfolio’s other holdings. |
11 | Credit refers to corporate bonds and government-related securities, as classified by Bloomberg, as well as Rio Oil Finance Trust, an asset-backed security that we group as a credit investment. |
12 | The U.S. Government does not guarantee the Fund’s shares, yield, or net asset value. The agency guarantee (by, for example, Ginnie Mae, Fannie Mae, or Freddie Mac) does not eliminate market risk. |
13 | Duration is a measure of a bond’s (or a bond portfolio’s) price sensitivity to changes in interest rates. |
1 Year | 5 Years | 10 Years | 20 Years | |
Dodge & Cox Balanced Fund | ||||
Class I | 8.70% | 7.53% | 8.57% | 7.87% |
Class X(a) | 8.81 | 7.55 | 8.58 | 7.88 |
S&P 500 Index | 19.59 | 12.31 | 12.86 | 10.04 |
Bloomberg U.S. Aggregate Bond Index | -0.94 | 0.77 | 1.52 | 3.01 |
Combined Index(b) | 11.24 | 7.94 | 8.46 | 7.46 |
Net Expense Ratio | Gross Expense Ratio | |
Dodge & Cox Balanced Fund | ||
Class I | 0.52% | 0.52% |
Class X | 0.42%(c) | 0.47% |
(a) | The Class X shares inception date is May 2, 2022. The returns shown prior to that date are for the Class I shares. |
(b) | The Combined Index reflects an unmanaged portfolio (rebalanced monthly) of 60% of the S&P 500 Index, which is a market capitalization-weighted index of 500 large capitalization stocks commonly used to represent the U.S. equity market, and 40% of the Bloomberg U.S. Aggregate Bond Index (Bloomberg U.S. Agg), which is a widely recognized, unmanaged index of U.S. dollar-denominated, investment-grade, taxable fixed income securities. The Fund may, however, invest up to 75% of its total assets in equity securities. |
(c) | Dodge & Cox has contractually agreed to reimburse the Fund for all ordinary expenses to the extent necessary to maintain Total Annual Fund Operating Expenses of the Fund’s Class X shares at 0.42% until April 30, 2026. This agreement cannot be terminated prior to April 30, 2026 other than by resolution of the Fund’s Board of Trustees. For purposes of the foregoing, ordinary expenses shall not include nonrecurring shareholder account fees, fees and expenses associated with Fund shareholder meetings, fees on portfolio transactions such as exchange fees, dividends and interest on short positions, fees and expenses of pooled investment vehicles that are held by the Fund, interest expenses and other fees and expenses related to any borrowings, taxes, brokerage fees and commissions and other costs and expenses relating to the acquisition and disposition of Fund investments, other expenditures which are capitalized in accordance with generally accepted accounting principles, and other non-routine expenses or extraordinary expenses not incurred in the ordinary course of the Fund’s business, such as litigation expenses. The term of the agreement will automatically renew for subsequent three- year terms unless terminated with at least 30 days’ written notice by either party prior to the end of the then-current term. The agreement does not permit Dodge & Cox to recoup any fees waived or payments made to the Fund for a prior year. |
www.dodgeandcox.com/balancedfund
Asset Allocation | % of Net Assets |
Common Stocks | 62.7 |
Debt Securities | 34.7 |
Net Cash & Other(a) | 2.6 |
Equity Sector Diversification | % of Net Assets |
Financials | 17.1 |
Health Care | 12.9 |
Communication Services | 6.6 |
Information Technology | 6.2 |
Energy | 5.4 |
Consumer Discretionary | 4.3 |
Industrials | 3.9 |
Consumer Staples | 3.5 |
Materials | 1.7 |
Utilities | 0.9 |
Real Estate | 0.2 |
Fixed Income Sector Diversification | % of Net Assets |
Corporate | 16.0 |
Securitized | 15.2 |
U.S. Treasury | 2.4 |
Government-Related | 1.1 |
(a) | Net Cash & Other includes cash, short-term investments, derivatives, receivables, and payables. |
Six Months Ended June 30, 2023 | Beginning Account Value 1/1/2023 | Ending Account Value 6/30/2023 | Expenses Paid During Period* | Annualized Expense Ratio |
Class I | ||||
Based on actual return | $1,000.00 | $1,056.30 | $2.65 | 0.52% |
Based on hypothetical 5% yearly return | 1,000.00 | 1,022.22 | 2.61 | 0.52 |
Class X | ||||
Based on actual return | $1,000.00 | $1,056.80 | $2.14 | 0.42% |
Based on hypothetical 5% yearly return | 1,000.00 | 1,022.71 | 2.11 | 0.42 |
* | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
Common Stocks: 62.7% | ||
Shares | Value | |
Communication Services: 6.6% | ||
Media & Entertainment: 5.9% | ||
Alphabet, Inc., Class A(a) | 642,600 | $76,919,220 |
Alphabet, Inc., Class C(a) | 1,887,000 | 228,270,390 |
Charter Communications, Inc., Class A(a) | 458,894 | 168,583,889 |
Comcast Corp., Class A | 3,332,148 | 138,450,749 |
DISH Network Corp., Class A(a) | 3,030,834 | 19,973,196 |
Fox Corp., Class A | 1,332,533 | 45,306,122 |
Fox Corp., Class B | 736,180 | 23,476,780 |
Meta Platforms, Inc., Class A(a) | 280,800 | 80,583,984 |
News Corp., Class A | 825,304 | 16,093,428 |
797,657,758 | ||
Telecommunication Services: 0.7% | ||
T-Mobile U.S., Inc.(a) | 670,861 | 93,182,593 |
890,840,351 | ||
Consumer Discretionary: 4.3% | ||
Automobiles & Components: 1.2% | ||
Honda Motor Co., Ltd. ADR (Japan) | 5,649,400 | 171,233,314 |
Consumer Discretionary Distribution & Retail: 2.6% | ||
Alibaba Group Holding, Ltd. ADR(a) (China) | 1,062,400 | 88,551,040 |
Amazon.com, Inc.(a) | 1,184,500 | 154,411,420 |
Prosus NV ADR (China) | 4,785,700 | 70,349,790 |
The Gap, Inc. | 3,740,378 | 33,401,576 |
346,713,826 | ||
Consumer Services: 0.5% | ||
Booking Holdings, Inc.(a) | 24,500 | 66,158,085 |
584,105,225 | ||
Consumer Staples: 3.5% | ||
Food, Beverage & Tobacco: 3.0% | ||
Anheuser-Busch InBev SA/NV ADR (Belgium) | 2,385,200 | 135,288,544 |
Imperial Brands PLC ADR (United Kingdom) | 7,463,800 | 167,487,672 |
Molson Coors Beverage Co., Class B | 1,507,172 | 99,232,205 |
402,008,421 | ||
Household & Personal Products: 0.5% | ||
Haleon PLC ADR (United Kingdom) | 9,069,056 | 75,998,689 |
478,007,110 | ||
Energy: 5.4% | ||
Baker Hughes Co., Class A | 3,286,700 | 103,892,587 |
ConocoPhillips | 879,524 | 91,127,482 |
Occidental Petroleum Corp. | 4,752,214 | 279,430,183 |
Occidental Petroleum Corp., Warrant(a) | 1,381,001 | 51,538,957 |
Ovintiv, Inc. | 2,393,200 | 91,109,124 |
The Williams Companies, Inc. | 3,291,600 | 107,404,908 |
724,503,241 | ||
Financials: 17.1% | ||
Banks: 5.2% | ||
Banco Santander SA(b) (Spain) | 25,113,900 | 92,763,543 |
Bank of America Corp. | 2,603,200 | 74,685,808 |
BNP Paribas SA ADR (France) | 3,097,000 | 97,989,080 |
Credicorp, Ltd. (Peru) | 846,497 | 124,976,817 |
Truist Financial Corp. | 2,008,684 | 60,963,559 |
Wells Fargo & Co. | 5,806,706 | 247,830,212 |
699,209,019 | ||
Financial Services: 10.6% | ||
Bank of New York Mellon Corp. | 4,338,900 | 193,167,828 |
Shares | Value | |
Capital One Financial Corp. | 1,703,426 | $186,303,702 |
Charles Schwab Corp. | 3,720,500 | 210,877,940 |
Fidelity National Information Services, Inc. | 1,619,900 | 88,608,530 |
Fiserv, Inc.(a) | 2,636,400 | 332,581,860 |
Goldman Sachs Group, Inc. | 274,400 | 88,504,976 |
State Street Corp. | 1,647,700 | 120,578,686 |
UBS Group AG, NY Shs (Switzerland) | 7,035,900 | 142,617,693 |
XP, Inc., Class A(a) (Brazil) | 2,932,800 | 68,803,488 |
1,432,044,703 | ||
Insurance: 1.3% | ||
Aegon NV, NY Shs (Netherlands) | 6,186,103 | 31,363,542 |
Brighthouse Financial, Inc.(a) | 621,018 | 29,405,202 |
Lincoln National Corp. | 465,777 | 11,998,416 |
MetLife, Inc. | 1,966,842 | 111,185,578 |
183,952,738 | ||
2,315,206,460 | ||
Health Care: 12.9% | ||
Health Care Equipment & Services: 3.4% | ||
CVS Health Corp. | 176,052 | 12,170,475 |
Fresenius Medical Care AG & Co. KGaA ADR (Germany) | 4,223,110 | 101,059,022 |
GE HealthCare Technologies, Inc. | 1,159,700 | 94,214,028 |
Medtronic PLC | 529,400 | 46,640,140 |
The Cigna Group | 564,908 | 158,513,185 |
UnitedHealth Group, Inc. | 79,972 | 38,437,742 |
451,034,592 | ||
Pharmaceuticals, Biotechnology & Life Sciences: 9.5% | ||
Alnylam Pharmaceuticals, Inc.(a) | 167,500 | 31,814,950 |
Bayer AG ADR (Germany) | 4,631,400 | 64,005,948 |
BioMarin Pharmaceutical, Inc.(a) | 853,500 | 73,981,380 |
Bristol-Myers Squibb Co. | 467,500 | 29,896,625 |
Elanco Animal Health, Inc.(a) | 5,759,600 | 57,941,576 |
Gilead Sciences, Inc. | 2,072,080 | 159,695,206 |
GSK PLC ADR (United Kingdom) | 5,594,980 | 199,405,087 |
Incyte Corp.(a) | 1,386,900 | 86,334,525 |
Novartis AG ADR (Switzerland) | 820,900 | 82,837,019 |
Regeneron Pharmaceuticals, Inc.(a) | 142,000 | 102,032,680 |
Roche Holding AG ADR (Switzerland) | 1,859,300 | 71,025,260 |
Sanofi ADR (France) | 6,060,065 | 326,637,503 |
1,285,607,759 | ||
1,736,642,351 | ||
Industrials: 3.9% | ||
Capital Goods: 2.2% | ||
General Electric Co. | 1,410,500 | 154,943,425 |
Johnson Controls International PLC | 1,023,014 | 69,708,174 |
Raytheon Technologies Corp. | 707,700 | 69,326,292 |
293,977,891 | ||
Transportation: 1.7% | ||
FedEx Corp. | 697,934 | 173,017,839 |
Norfolk Southern Corp. | 251,829 | 57,104,744 |
230,122,583 | ||
524,100,474 | ||
Information Technology: 6.2% | ||
Semiconductors & Semiconductor Equipment: 0.6% | ||
Microchip Technology, Inc. | 829,910 | 74,351,637 |
Software & Services: 3.5% | ||
Cognizant Technology Solutions Corp., Class A | 667,500 | 43,574,400 |
Common Stocks (continued) | ||
Shares | Value | |
Microsoft Corp. | 555,900 | $189,306,186 |
VMware, Inc., Class A(a) | 1,679,533 | 241,332,097 |
474,212,683 | ||
Technology, Hardware & Equipment: 2.1% | ||
Cisco Systems, Inc. | 973,300 | 50,358,542 |
Coherent Corp.(a) | 1,365,900 | 69,633,582 |
Dell Technologies, Inc., Class C | 858,283 | 46,441,693 |
HP, Inc. | 1,614,130 | 49,569,932 |
Juniper Networks, Inc. | 1,333,229 | 41,770,064 |
TE Connectivity, Ltd. | 179,136 | 25,107,702 |
282,881,515 | ||
831,445,835 | ||
Materials: 1.7% | ||
Celanese Corp. | 157,332 | 18,219,046 |
LyondellBasell Industries NV, Class A | 1,052,500 | 96,651,075 |
Nutrien, Ltd. (Canada) | 1,045,100 | 61,713,155 |
Teck Resources, Ltd., Class B (Canada) | 1,233,900 | 51,947,190 |
228,530,466 | ||
Real Estate: 0.2% | ||
Equity Real Estate Investment Trusts (Reits): 0.2% | ||
Gaming and Leisure Properties, Inc. REIT | 526,254 | 25,502,269 |
Utilities: 0.9% | ||
Dominion Energy, Inc. | 2,303,500 | 119,298,265 |
Total Common Stocks (Cost $6,268,015,910) | $8,458,182,047 |
Debt Securities: 34.7% | ||
Par Value | Value | |
U.S. Treasury: 2.4% | ||
U.S. Treasury Inflation Indexed | ||
2.00%, 1/15/26(c) | $138,637,397 | $136,782,580 |
U.S. Treasury Note/Bond | ||
3.875%, 4/30/25 | 81,537,000 | 79,950,851 |
4.25%, 5/31/25 | 111,440,000 | 110,038,294 |
326,771,725 | ||
Government-Related: 1.1% | ||
Agency: 0.8% | ||
Petroleo Brasileiro SA (Brazil) | ||
7.25%, 3/17/44 | 4,300,000 | 4,244,339 |
6.75%, 6/3/50 | 15,500,000 | 13,876,902 |
Petroleos Mexicanos (Mexico) | ||
6.70%, 2/16/32 | 52,399,000 | 39,841,816 |
6.375%, 1/23/45 | 10,725,000 | 6,587,280 |
6.75%, 9/21/47 | 11,625,000 | 7,299,607 |
7.69%, 1/23/50 | 62,480,000 | 42,351,068 |
114,201,012 | ||
Local Authority: 0.2% | ||
State of Illinois GO | ||
5.10%, 6/1/33 | 22,615,000 | 22,223,923 |
22,223,923 | ||
Sovereign: 0.1% | ||
Colombia Government (Colombia) | ||
5.625%, 2/26/44 | 8,100,000 | 6,016,339 |
5.00%, 6/15/45 | 8,300,000 | 5,762,642 |
11,778,981 | ||
148,203,916 |
Par Value | Value | |
Securitized: 15.2% | ||
Asset-Backed: 1.7% | ||
Federal Agency: 0.0%* | ||
Small Business Admin. - 504 Program | ||
Series 2003-20J 1, 4.92%, 10/1/23 | $51,676 | $51,368 |
Series 2007-20F 1, 5.71%, 6/1/27 | 284,300 | 282,225 |
333,593 | ||
Other: 0.2% | ||
Rio Oil Finance Trust (Brazil) | ||
9.25%, 7/6/24(d) | 6,484,869 | 6,525,399 |
9.75%, 1/6/27(d) | 17,889,020 | 18,403,330 |
8.20%, 4/6/28(d) | 9,419,390 | 9,454,713 |
34,383,442 | ||
Student Loan: 1.5% | ||
Navient Student Loan Trust | ||
USD LIBOR 1-Month | ||
+1.30%, 6.45%, 3/25/66(d) | 24,030,960 | 23,835,332 |
+0.80%, 5.95%, 7/26/66(d) | 5,036,535 | 4,890,492 |
+1.15%, 6.30%, 7/26/66(d) | 5,366,276 | 5,301,926 |
+1.05%, 6.20%, 12/27/66(d) | 4,672,346 | 4,622,442 |
+0.75%, 5.90%, 3/25/67(d) | 77,376,206 | 75,542,414 |
+1.00%, 6.15%, 2/27/68(d) | 3,374,792 | 3,316,500 |
+0.70%, 5.85%, 2/25/70(d) | 6,073,939 | 5,932,854 |
+0.55%, 0.70%, 2/25/70(d) | 15,388,179 | 14,914,602 |
SLM Student Loan Trust | ||
USD LIBOR 3-Month | ||
+0.60%, 5.855%, 1/25/41 | 4,283,036 | 4,181,538 |
+0.17%, 5.425%, 1/25/41 | 8,047,048 | 7,720,690 |
+0.16%, 5.415%, 1/25/41 | 4,498,001 | 4,275,594 |
+0.55%, 5.805%, 10/25/64(d) | 18,793,409 | 18,368,599 |
SMB Private Education Loan Trust (Private Loans) | ||
Series 2018-B A2A, 3.60%, 1/15/37(d) | 7,808,476 | 7,441,601 |
Series 2023-A A1A, 5.38%, 1/15/53(d) | 17,653,662 | 17,450,103 |
197,794,687 | ||
232,511,722 | ||
CMBS: 0.1% | ||
Agency CMBS: 0.1% | ||
Freddie Mac Multifamily Interest Only | ||
Series K055 X1, 1.475%, 3/25/26(e) | 9,727,067 | 304,883 |
Series K056 X1, 1.375%, 5/25/26(e) | 4,078,229 | 116,809 |
Series K064 X1, 0.736%, 3/25/27(e) | 8,755,456 | 163,613 |
Series K065 X1, 0.805%, 4/25/27(e) | 42,373,827 | 895,139 |
Series K066 X1, 0.885%, 6/25/27(e) | 36,683,177 | 886,027 |
Series K069 X1, 0.474%, 9/25/27(e) | 219,381,616 | 2,865,278 |
Series K090 X1, 0.856%, 2/25/29(e) | 179,643,239 | 6,195,806 |
11,427,555 | ||
11,427,555 | ||
Mortgage-Related: 13.4% | ||
Federal Agency CMO & REMIC: 3.1% | ||
Dept. of Veterans Affairs | ||
Series 1995-1 1, 5.641%, 2/15/25(e) | 57,909 | 57,231 |
Series 1995-2C 3A, 8.793%, 6/15/25 | 16,657 | 17,008 |
Series 2002-1 2J, 6.50%, 8/15/31 | 2,383,369 | 2,356,286 |
Fannie Mae | ||
Trust 2002-33 A1, 7.00%, 6/25/32 | 767,966 | 778,488 |
Trust 2009-30 AG, 6.50%, 5/25/39 | 607,219 | 626,219 |
Trust 2009-66 ET, 6.00%, 5/25/39 | 58,199 | 57,480 |
Debt Securities (continued) | ||
Par Value | Value | |
Trust 2001-T7 A1, 7.50%, 2/25/41 | $571,290 | $601,196 |
Trust 2001-T5 A3, 7.50%, 6/19/41(e) | 303,706 | 308,165 |
Trust 2001-T4 A1, 7.50%, 7/25/41 | 571,130 | 575,021 |
Trust 2001-T8 A1, 7.50%, 7/25/41 | 516,567 | 510,960 |
Trust 2001-W3 A, 5.013%, 9/25/41(e) | 302,783 | 292,634 |
Trust 2001-T10 A2, 7.50%, 12/25/41 | 351,134 | 354,455 |
Trust 2013-106 MA, 4.00%, 2/25/42 | 3,979,282 | 3,774,361 |
Trust 2002-W6 2A1, 7.00%, 6/25/42(e) | 574,411 | 552,461 |
Trust 2002-W8 A2, 7.00%, 6/25/42 | 858,441 | 891,124 |
Trust 2003-W2 1A2, 7.00%, 7/25/42 | 566,661 | 585,829 |
Trust 2003-W2 1A1, 6.50%, 7/25/42 | 1,311,366 | 1,315,697 |
Trust 2003-W4 4A, 5.637%, 10/25/42(e) | 625,729 | 628,866 |
Trust 2012-121 NB, 7.00%, 11/25/42 | 673,136 | 706,962 |
Trust 2004-T1 1A2, 6.50%, 1/25/44 | 470,575 | 477,186 |
Trust 2004-W2 5A, 7.50%, 3/25/44 | 747,241 | 771,056 |
Trust 2004-W8 3A, 7.50%, 6/25/44 | 123,912 | 126,053 |
Trust 2005-W4 1A2, 6.50%, 8/25/45 | 1,462,442 | 1,478,704 |
Trust 2009-11 MP, 7.00%, 3/25/49 | 1,199,804 | 1,237,591 |
USD LIBOR 1-Month | ||
+0.55%, 5.70%, 9/25/43 | 2,230,513 | 2,174,747 |
Freddie Mac | ||
Series 16 PK, 7.00%, 8/25/23 | 1,671 | 1,663 |
Series T-48 1A4, 5.538%, 7/25/33 | 13,570,819 | 13,538,517 |
Series T-51 1A, 6.50%, 9/25/43(e) | 106,141 | 105,258 |
Series T-59 1A1, 6.50%, 10/25/43 | 4,553,530 | 4,629,515 |
Series 4281 BC, 4.50%, 12/15/43(e) | 13,370,234 | 13,059,401 |
Series 4384 DZ, 2.50%, 9/15/44 | 22,694,119 | 19,458,017 |
USD LIBOR 1-Month | ||
+0.61%, 5.803%, 9/15/43 | 5,251,396 | 5,137,369 |
Ginnie Mae | ||
United States 30 Day Average SOFR | ||
+0.55%, Series 2022-H04 FG, 5.156%, 2/20/67 | 9,239,531 | 9,127,680 |
+0.80%, Series 2023-H05 FJ, 5.136%, 2/20/68 | 50,221,919 | 49,780,383 |
+0.41%, Series 2022-H06 FC, 3.761%, 8/20/68 | 37,357,755 | 36,511,135 |
+1.02%, Series 2023-H08 FE, 3.982%, 8/20/71 | 21,137,085 | 21,156,903 |
+1.00%, Series 2022-H20 FB, 4.048%, 8/20/71 | 33,709,048 | 33,295,391 |
+0.82%, Series 2022-H04 HF, 5.886%, 2/20/72 | 7,440,203 | 7,333,946 |
+0.67%, Series 2022-H09 FA, 5.736%, 4/20/72 | 20,416,299 | 19,747,710 |
+0.74%, Series 2022-H09 FC, 5.806%, 4/20/72 | 25,115,778 | 24,656,737 |
+0.97%, Series 2022-H11 EF, 6.036%, 5/20/72 | 15,797,573 | 15,740,076 |
USD LIBOR 1-Month | ||
+0.62%, 4.188%, 9/20/64 | 1,918,551 | 1,896,145 |
+0.70%, 3.792%, 1/20/70 | 14,962,298 | 14,638,364 |
+0.65%, 5.744%, 1/20/70 | 20,121,855 | 19,522,821 |
USD LIBOR 12-Month | ||
+0.30%, 5.729%, 1/20/67 | 13,313,182 | 13,182,279 |
+0.23%, 4.439%, 10/20/67 | 12,291,599 | 12,133,478 |
+0.23%, 4.439%, 10/20/67 | 7,573,362 | 7,473,783 |
+0.06%, 4.642%, 12/20/67 | 18,027,994 | 17,661,155 |
Par Value | Value | |
+0.08%, 5.185%, 5/20/68 | $4,287,903 | $4,158,323 |
+0.25%, 3.814%, 6/20/68 | 13,231,156 | 12,898,953 |
+0.28%, 5.606%, 11/20/68 | 18,401,586 | 17,921,999 |
+0.25%, 3.834%, 12/20/68 | 1,963,570 | 1,911,655 |
417,934,436 | ||
Federal Agency Mortgage Pass-Through: 10.3% | ||
Fannie Mae, 15 Year | ||
4.50%, 1/1/25 - 1/1/27 | 667,850 | 659,238 |
3.50%, 1/1/27 - 12/1/29 | 2,152,693 | 2,069,805 |
Fannie Mae, 20 Year | ||
4.00%, 11/1/30 - 2/1/37 | 12,711,368 | 12,311,805 |
4.50%, 1/1/31 - 12/1/34 | 18,796,583 | 18,447,902 |
3.50%, 4/1/36 - 4/1/37 | 8,012,624 | 7,585,607 |
2.50%, 4/1/42 | 39,318,218 | 34,142,810 |
3.00%, 8/1/42 | 24,493,602 | 21,991,971 |
Fannie Mae, 30 Year | ||
6.50%, 12/1/28 - 8/1/39 | 5,388,198 | 5,602,740 |
5.50%, 7/1/33 - 8/1/37 | 3,565,943 | 3,649,618 |
6.00%, 9/1/36 - 8/1/37 | 4,881,602 | 5,025,421 |
7.00%, 8/1/37 | 135,377 | 143,353 |
4.50%, 3/1/40 | 557,007 | 548,610 |
5.00%, 12/1/48 - 3/1/49 | 3,463,512 | 3,457,626 |
2.50%, 6/1/50 - 10/1/50 | 134,447,315 | 115,128,862 |
2.00%, 9/1/50 - 12/1/50 | 95,689,914 | 78,821,177 |
3.00%, 3/1/52 | 33,844,919 | 30,033,274 |
3.50%, 4/1/52 - 8/1/52 | 257,472,129 | 235,761,208 |
3.50%, 5/1/52 | 106,003,278 | 97,385,146 |
Fannie Mae, 40 Year | ||
4.50%, 6/1/56 | 14,362,888 | 13,898,717 |
Fannie Mae, Hybrid ARM | ||
3.988%, 9/1/34(e) | 168,859 | 167,036 |
3.558%, 12/1/34(e) | 271,328 | 263,655 |
4.023%, 1/1/35(e) | 281,426 | 275,741 |
5.692%, 1/1/35(e) | 323,255 | 326,669 |
3.76%, 8/1/35(e) | 187,884 | 182,766 |
4.271%, 5/1/37(e) | 433,617 | 425,234 |
4.03%, 11/1/40 - 12/1/40(e) | 654,205 | 645,943 |
3.80%, 11/1/43(e) | 705,375 | 706,509 |
4.222%, 4/1/44(e) | 1,788,465 | 1,788,522 |
3.85%, 11/1/44 - 12/1/44(e) | 4,816,468 | 4,824,778 |
5.465%, 9/1/45(e) | 442,937 | 448,405 |
5.987%, 12/1/45(e) | 1,541,081 | 1,555,818 |
6.891%, 1/1/46(e) | 838,612 | 847,379 |
2.957%, 4/1/46(e) | 1,639,456 | 1,563,589 |
2.51%, 12/1/46(e) | 3,441,536 | 3,215,409 |
3.14%, 6/1/47(e) | 1,468,670 | 1,446,283 |
3.077%, 7/1/47(e) | 2,394,132 | 2,354,677 |
4.568%, 8/1/47(e) | 2,415,845 | 2,421,991 |
3.324%, 1/1/49(e) | 1,502,119 | 1,450,054 |
1.916%, 4/1/52(e) | 16,488,689 | 14,695,518 |
1.953%, 4/1/52(e) | 39,261,447 | 34,080,796 |
2.316%, 4/1/52(e) | 21,361,972 | 18,829,491 |
2.63%, 7/1/52(e) | 18,831,698 | 16,830,228 |
Freddie Mac, Hybrid ARM | ||
5.495%, 5/1/34(e) | 244,752 | 238,645 |
4.375%, 10/1/35(e) | 685,536 | 692,773 |
4.818%, 4/1/37(e) | 649,086 | 649,399 |
4.051%, 9/1/37(e) | 613,897 | 621,341 |
4.114%, 1/1/38(e) | 137,411 | 135,491 |
4.569%, 2/1/38(e) | 347,945 | 342,046 |
4.199%, 7/1/38(e) | 57,724 | 58,804 |
4.23%, 10/1/38(e) | 213,673 | 208,534 |
4.358%, 10/1/41(e) | 136,306 | 134,925 |
4.467%, 8/1/42(e) | 709,826 | 706,805 |
Debt Securities (continued) | ||
Par Value | Value | |
5.088%, 5/1/44(e) | $2,239,167 | $2,240,882 |
5.36%, 5/1/44(e) | 72,675 | 71,400 |
5.365%, 6/1/44(e) | 631,008 | 616,868 |
3.87%, 6/1/44(e) | 773,912 | 778,576 |
4.184%, 1/1/45(e) | 2,152,817 | 2,150,193 |
4.716%, 10/1/45(e) | 1,163,616 | 1,180,178 |
4.843%, 10/1/45(e) | 1,387,552 | 1,402,242 |
3.28%, 7/1/47(e) | 1,767,760 | 1,734,407 |
3.231%, 1/1/49(e) | 4,713,064 | 4,539,296 |
3.729%, 3/1/49(e) | 1,023,242 | 983,045 |
2.316%, 5/1/52(e) | 14,553,960 | 12,754,633 |
2.03%, 5/1/52(e) | 43,787,452 | 38,087,929 |
Freddie Mac Gold, 15 Year | ||
4.50%, 9/1/24 - 9/1/26 | 440,432 | 435,364 |
Freddie Mac Gold, 20 Year | ||
6.50%, 10/1/26 | 560,558 | 572,915 |
4.50%, 4/1/31 - 6/1/31 | 2,434,585 | 2,392,136 |
Freddie Mac Gold, 30 Year | ||
6.50%, 12/1/32 - 4/1/33 | 1,763,050 | 1,834,239 |
7.00%, 11/1/37 - 9/1/38 | 1,497,377 | 1,579,105 |
5.50%, 12/1/37 | 152,523 | 156,862 |
6.00%, 2/1/39 | 441,623 | 459,073 |
4.50%, 9/1/41 - 6/1/42 | 11,416,449 | 11,258,506 |
Freddie Mac Pool, 20 Year | ||
3.00%, 5/1/42 - 10/1/42 | 114,508,292 | 102,812,932 |
Freddie Mac Pool, 30 Year | ||
2.50%, 6/1/50 - 2/1/51 | 128,833,224 | 110,514,242 |
2.00%, 9/1/50 | 81,564,768 | 67,171,686 |
3.00%, 2/1/52 - 6/1/52 | 135,690,410 | 120,127,261 |
3.50%, 5/1/52 - 8/1/52 | 119,122,395 | 108,913,874 |
Ginnie Mae, 30 Year | ||
7.50%, 11/15/24 - 10/15/25 | 26,628 | 26,599 |
1,394,594,587 | ||
1,812,529,023 | ||
2,056,468,300 | ||
Corporate: 16.0% | ||
Financials: 6.8% | ||
Bank of America Corp. | ||
6.25%, (f)(g)(h) | 32,978,000 | 32,565,775 |
6.10%, (f)(g)(h) | 31,008,000 | 30,744,432 |
4.45%, 3/3/26 | 3,970,000 | 3,858,549 |
4.25%, 10/22/26 | 2,970,000 | 2,866,629 |
4.183%, 11/25/27 | 7,925,000 | 7,528,544 |
3.846%, 3/8/37(h) | 35,960,000 | 30,750,271 |
Barclays PLC (United Kingdom) | ||
5.829%, 5/9/27(h) | 7,700,000 | 7,595,307 |
4.836%, 5/9/28 | 4,525,000 | 4,167,471 |
5.501%, 8/9/28(h) | 10,750,000 | 10,483,295 |
5.746%, 8/9/33(h) | 9,500,000 | 9,187,867 |
6.224%, 5/9/34(h) | 2,800,000 | 2,788,899 |
7.119%, 6/27/34(h) | 4,500,000 | 4,498,204 |
BNP Paribas SA (France) | ||
4.375%, 9/28/25(d) | 8,223,000 | 7,882,591 |
4.625%, 3/13/27(d) | 12,175,000 | 11,645,281 |
Boston Properties, Inc. | ||
3.65%, 2/1/26 | 5,341,000 | 4,955,002 |
2.75%, 10/1/26 | 22,161,000 | 19,565,802 |
2.90%, 3/15/30 | 7,270,000 | 5,838,772 |
3.25%, 1/30/31 | 5,850,000 | 4,766,268 |
6.50%, 1/15/34 | 11,450,000 | 11,521,934 |
Capital One Financial Corp. | ||
4.20%, 10/29/25 | 11,475,000 | 10,968,984 |
2.636%, 3/3/26(h) | 6,775,000 | 6,326,317 |
4.927%, 5/10/28(h) | 10,075,000 | 9,559,357 |
Par Value | Value | |
5.268%, 5/10/33(h) | $4,975,000 | $4,658,247 |
6.377%, 6/8/34(h) | 3,400,000 | 3,375,640 |
Charles Schwab Corp. | ||
5.643%, 5/19/29(h) | 4,500,000 | 4,494,600 |
5.853%, 5/19/34(h) | 2,500,000 | 2,537,215 |
Citigroup, Inc. | ||
9.341%, (f)(g)(h) | 19,090,000 | 19,156,815 |
5.95%, (f)(g)(h) | 67,677,000 | 64,904,142 |
6.25%, (f)(g)(h) | 45,886,000 | 45,153,201 |
3.785%, 3/17/33(h) | 15,725,000 | 13,893,149 |
USD LIBOR 3-Month | ||
+6.37%, 11.643%, 10/30/40(f) | 37,080,925 | 42,539,385 |
Goldman Sachs Group, Inc. | ||
3.615%, 3/15/28(h) | 36,870,000 | 34,594,086 |
HSBC Holdings PLC (United Kingdom) | ||
4.30%, 3/8/26 | 6,062,000 | 5,859,083 |
5.21%, 8/11/28(h) | 5,525,000 | 5,402,151 |
4.762%, 3/29/33(h) | 41,136,000 | 37,124,507 |
5.402%, 8/11/33(h) | 12,000,000 | 11,731,982 |
8.113%, 11/3/33(h) | 9,700,000 | 10,768,080 |
6.50%, 5/2/36 | 17,805,000 | 18,367,178 |
6.50%, 9/15/37 | 3,265,000 | 3,419,142 |
JPMorgan Chase & Co. | ||
6.10%, (f)(g)(h) | 82,280,000 | 82,090,756 |
1.04%, 2/4/27(h) | 17,500,000 | 15,584,595 |
8.75%, 9/1/30(f) | 25,692,000 | 31,186,803 |
2.739%, 10/15/30(h) | 5,000,000 | 4,307,114 |
2.956%, 5/13/31(h) | 11,793,000 | 10,111,912 |
5.717%, 9/14/33(h) | 22,700,000 | 23,028,996 |
Lloyds Banking Group PLC (United Kingdom) | ||
4.65%, 3/24/26 | 3,100,000 | 2,960,566 |
3.75%, 3/18/28(h) | 8,025,000 | 7,409,617 |
7.953%, 11/15/33(h) | 10,500,000 | 11,391,171 |
NatWest Group PLC (United Kingdom) | ||
5.808%, 9/13/29(h) | 11,800,000 | 11,626,603 |
6.016%, 3/2/34(h) | 13,000,000 | 13,069,347 |
3.032%, 11/28/35(h) | 12,365,000 | 9,486,691 |
UBS Group AG (Switzerland) | ||
5.959%, 1/12/34(d)(h) | 23,275,000 | 23,152,797 |
UniCredit SPA (Italy) | ||
7.296%, 4/2/34(d)(h) | 29,960,000 | 28,229,044 |
5.459%, 6/30/35(d)(h) | 7,325,000 | 6,216,358 |
Unum Group | ||
6.75%, 12/15/28 | 8,417,000 | 8,712,784 |
Wells Fargo & Co. | ||
5.875%, (f)(g)(h) | 27,987,000 | 27,424,412 |
4.10%, 6/3/26 | 3,376,000 | 3,238,949 |
4.30%, 7/22/27 | 13,145,000 | 12,609,839 |
2.572%, 2/11/31(h) | 12,005,000 | 10,164,509 |
4.897%, 7/25/33(h) | 11,000,000 | 10,551,335 |
920,598,352 | ||
Industrials: 8.1% | ||
AbbVie, Inc. | ||
3.20%, 11/21/29 | 4,500,000 | 4,069,243 |
AT&T, Inc. | ||
2.55%, 12/1/33 | 11,700,000 | 9,190,070 |
3.50%, 9/15/53 | 20,385,000 | 14,430,861 |
3.55%, 9/15/55 | 12,775,000 | 8,943,340 |
3.80%, 12/1/57 | 8,700,000 | 6,298,778 |
3.65%, 9/15/59 | 12,662,000 | 8,815,525 |
Bayer AG (Germany) | ||
4.375%, 12/15/28(d) | 10,100,000 | 9,581,305 |
Debt Securities (continued) | ||
Par Value | Value | |
British American Tobacco PLC (United Kingdom) | ||
3.75%, (b)(f)(g)(h)(i) | $88,928,000 | $74,234,272 |
4.742%, 3/16/32 | 15,335,000 | 13,981,695 |
4.39%, 8/15/37 | 3,075,000 | 2,459,715 |
3.734%, 9/25/40 | 1,100,000 | 782,627 |
4.54%, 8/15/47 | 5,000,000 | 3,679,345 |
5.65%, 3/16/52 | 6,300,000 | 5,473,059 |
Burlington Northern Santa Fe LLC(j) | ||
5.72%, 1/15/24 | 268,540 | 266,938 |
5.629%, 4/1/24 | 345,833 | 341,914 |
5.342%, 4/1/24 | 311,113 | 308,646 |
Cemex SAB de CV (Mexico) | ||
5.20%, 9/17/30(d) | 14,400,000 | 13,473,809 |
3.875%, 7/11/31(d) | 13,105,000 | 11,033,157 |
Charter Communications, Inc. | ||
4.50%, 5/1/32 | 14,925,000 | 11,916,966 |
4.40%, 4/1/33 | 2,475,000 | 2,172,445 |
4.50%, 6/1/33(d) | 12,105,000 | 9,505,877 |
4.25%, 1/15/34(d) | 5,850,000 | 4,421,242 |
6.55%, 5/1/37 | 11,000,000 | 10,545,416 |
6.75%, 6/15/39 | 6,160,000 | 5,920,236 |
6.484%, 10/23/45 | 50,612,000 | 47,581,254 |
5.75%, 4/1/48 | 11,200,000 | 9,586,765 |
5.25%, 4/1/53 | 5,135,000 | 4,147,450 |
Cox Enterprises, Inc. | ||
3.85%, 2/1/25(d) | 14,626,000 | 14,149,111 |
3.35%, 9/15/26(d) | 14,932,000 | 13,979,917 |
3.50%, 8/15/27(d) | 16,200,000 | 15,063,762 |
CVS Health Corp. | ||
4.30%, 3/25/28 | 2,538,000 | 2,447,697 |
4.78%, 3/25/38 | 11,830,000 | 10,917,570 |
5.05%, 3/25/48 | 13,400,000 | 12,351,353 |
Dillard's, Inc. | ||
7.75%, 7/15/26 | 50,000 | 50,881 |
7.75%, 5/15/27 | 540,000 | 555,879 |
7.00%, 12/1/28 | 15,135,000 | 15,153,728 |
Dow, Inc. | ||
7.375%, 11/1/29 | 3,353,000 | 3,730,722 |
9.40%, 5/15/39 | 3,286,000 | 4,414,044 |
Elanco Animal Health, Inc. | ||
6.022%, 8/28/23 | 2,500,000 | 2,487,095 |
6.65%, 8/28/28 | 13,000,000 | 12,613,510 |
Exxon Mobil Corp. | ||
4.327%, 3/19/50 | 4,532,000 | 4,105,937 |
FedEx Corp. | ||
4.25%, 5/15/30 | 3,575,000 | 3,415,744 |
5.25%, 5/15/50 | 4,100,000 | 3,940,104 |
Ford Motor Credit Co. LLC(j) | ||
4.375%, 8/6/23 | 3,405,000 | 3,399,026 |
3.81%, 1/9/24 | 14,363,000 | 14,158,306 |
5.125%, 6/16/25 | 16,100,000 | 15,657,733 |
3.375%, 11/13/25 | 9,350,000 | 8,694,326 |
4.389%, 1/8/26 | 18,850,000 | 17,839,695 |
4.542%, 8/1/26 | 18,304,000 | 17,205,672 |
2.70%, 8/10/26 | 12,700,000 | 11,338,239 |
4.95%, 5/28/27 | 10,000,000 | 9,432,870 |
7.35%, 11/4/27 | 4,000,000 | 4,084,480 |
Foundry JV Holdco LLC(j) | ||
5.875%, 1/25/34(d) | 7,200,000 | 7,171,537 |
GE HealthCare Technologies, Inc. | ||
5.857%, 3/15/30 | 4,850,000 | 4,977,709 |
5.905%, 11/22/32 | 14,575,000 | 15,248,035 |
HCA Healthcare, Inc. |
Par Value | Value | |
3.125%, 3/15/27(d) | $3,575,000 | $3,283,058 |
4.125%, 6/15/29 | 2,700,000 | 2,498,550 |
3.625%, 3/15/32(d) | 13,325,000 | 11,566,212 |
Imperial Brands PLC (United Kingdom) | ||
4.25%, 7/21/25(d) | 25,425,000 | 24,384,579 |
3.50%, 7/26/26(d) | 7,800,000 | 7,264,536 |
6.125%, 7/27/27(d) | 11,425,000 | 11,444,899 |
3.875%, 7/26/29(d) | 21,150,000 | 18,627,384 |
Kinder Morgan, Inc. | ||
4.80%, 2/1/33 | 4,120,000 | 3,885,715 |
5.50%, 3/1/44 | 17,002,000 | 15,494,937 |
5.40%, 9/1/44 | 11,019,000 | 9,769,091 |
5.55%, 6/1/45 | 9,600,000 | 8,844,199 |
Macy's, Inc. | ||
6.70%, 7/15/34(d) | 2,539,000 | 2,075,633 |
Microchip Technology, Inc. | ||
.983%, 9/1/24 | 19,714,000 | 18,621,277 |
Occidental Petroleum Corp. | ||
2.90%, 8/15/24 | 3,075,000 | 2,960,222 |
Oracle Corp. | ||
1.65%, 3/25/26 | 13,990,000 | 12,696,643 |
2.80%, 4/1/27 | 6,350,000 | 5,836,468 |
2.95%, 4/1/30 | 5,000,000 | 4,364,328 |
Philip Morris International, Inc. | ||
5.625%, 11/17/29 | 2,150,000 | 2,190,706 |
5.75%, 11/17/32 | 2,575,000 | 2,636,993 |
5.375%, 2/15/33 | 6,050,000 | 6,036,670 |
Prosus NV(j) (China) | ||
4.85%, 7/6/27(d) | 14,200,000 | 13,577,330 |
3.68%, 1/21/30(d) | 3,750,000 | 3,183,450 |
3.061%, 7/13/31(d) | 38,650,000 | 30,216,817 |
4.193%, 1/19/32(d) | 19,475,000 | 16,399,779 |
4.987%, 1/19/52(d) | 27,829,000 | 20,070,768 |
TC Energy Corp. (Canada) | ||
5.625%, 5/20/75(f)(h) | 20,570,000 | 19,639,207 |
5.875%, 8/15/76(f)(h) | 5,615,000 | 5,296,349 |
5.30%, 3/15/77(f)(h) | 28,160,000 | 24,976,230 |
5.50%, 9/15/79(f)(h) | 6,850,000 | 5,875,587 |
5.60%, 3/7/82(f)(h) | 19,781,000 | 16,669,251 |
Telecom Italia SPA (Italy) | ||
5.303%, 5/30/24(d) | 29,287,000 | 28,465,715 |
7.20%, 7/18/36 | 11,596,000 | 9,967,225 |
7.721%, 6/4/38 | 8,212,000 | 7,261,120 |
The Cigna Group | ||
7.875%, 5/15/27 | 17,587,000 | 19,348,775 |
4.375%, 10/15/28 | 5,211,000 | 5,038,786 |
The Williams Companies, Inc. | ||
3.50%, 11/15/30 | 6,400,000 | 5,721,295 |
T-Mobile U.S., Inc. | ||
2.25%, 2/15/26 | 6,800,000 | 6,248,217 |
3.375%, 4/15/29 | 6,500,000 | 5,869,811 |
3.875%, 4/15/30 | 13,475,000 | 12,414,094 |
3.50%, 4/15/31 | 14,625,000 | 12,905,075 |
5.20%, 1/15/33 | 8,500,000 | 8,445,352 |
4.375%, 4/15/40 | 2,675,000 | 2,362,274 |
Ultrapar Participacoes SA (Brazil) | ||
5.25%, 10/6/26(d) | 12,050,000 | 11,673,437 |
5.25%, 6/6/29(d) | 2,594,000 | 2,399,450 |
Union Pacific Corp. | ||
6.176%, 1/2/31 | 2,853,858 | 2,928,521 |
Verizon Communications, Inc. | ||
4.272%, 1/15/36 | 11,847,000 | 10,681,698 |
3.55%, 3/22/51 | 5,225,000 | 3,897,581 |
VMware, Inc. |
Debt Securities (continued) | ||
Par Value | Value | |
.60%, 8/15/23 | $4,050,000 | $4,025,665 |
1.40%, 8/15/26 | 19,765,000 | 17,453,325 |
4.65%, 5/15/27 | 14,137,000 | 13,735,437 |
Vodafone Group PLC (United Kingdom) | ||
7.00%, 4/4/79(f)(h) | 20,525,000 | 21,045,309 |
1,084,021,662 | ||
Utilities: 1.1% | ||
American Electric Power Co., Inc | ||
5.699%, 8/15/25 | 11,320,000 | 11,243,477 |
Dominion Energy | ||
5.75%, 10/1/54(f)(h) | 22,950,000 | 21,956,540 |
Enel SPA (Italy) | ||
5.00%, 6/15/32(d) | 7,150,000 | 6,758,866 |
7.50%, 10/14/32(d) | 5,800,000 | 6,430,580 |
6.80%, 9/15/37(d) | 7,060,000 | 7,430,974 |
6.00%, 10/7/39(d) | 4,447,000 | 4,367,766 |
8.75%, 9/24/73(d)(f)(h) | 12,600,000 | 12,530,221 |
NextEra Energy, Inc. | ||
4.255%, 9/1/24 | 6,625,000 | 6,515,744 |
6.051%, 3/1/25 | 3,375,000 | 3,387,690 |
4.625%, 7/15/27 | 10,075,000 | 9,851,408 |
The Southern Co. | ||
5.113%, 8/1/27 | 11,900,000 | 11,788,927 |
4.85%, 6/15/28 | 12,475,000 | 12,226,991 |
4.00%, 1/15/51(f)(h) | 19,036,000 | 17,604,873 |
3.75%, 9/15/51(f)(h) | 19,900,000 | 16,934,900 |
149,028,957 | ||
2,153,648,971 | ||
Total Debt Securities (Cost $4,979,454,039) | $4,685,092,912 |
Short-Term Investments: 3.1% | ||
Par Value/ Shares | Value | |
Repurchase Agreements: 2.7% | ||
Fixed Income Clearing Corporation(k) 5.04%, dated 6/30/23, due 7/3/23, maturity value $335,140,700 | $335,000,000 | $335,000,000 |
Fixed Income Clearing Corporation(k) 2.45%, dated 6/30/23, due 7/3/23, maturity value $35,450,236 | 35,443,000 | 35,443,000 |
370,443,000 | ||
Money Market Fund: 0.4% | ||
State Street Institutional U.S. Government Money Market Fund - Premier Class | 54,232,395 | 54,232,395 |
Total Short-Term Investments (Cost $424,675,395) | $424,675,395 | |
Total Investments In Securities (Cost $11,672,145,344) | 100.5 % | $13,567,950,354 |
Other Assets Less Liabilities | (0.5 )% | (71,844,205 ) |
Net Assets | 100.0 % | $13,496,106,149 |
(a) | Non-income producing |
(b) | The security is issued in Euro currency. |
(c) | Inflation-linked |
(d) | Security exempt from registration under Rule 144A of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(e) | Variable rate security: interest rate is determined by the interest rates of underlying pool of assets that collateralize the security. The interest rate of the security may change due to a change in the interest rates or the composition of underlying pool of assets. The interest rate shown is the rate as of period end. |
(f) | Hybrid security: characteristics of both a debt and equity security. |
(g) | Perpetual security: no stated maturity date. |
(h) | Variable rate security: fixed-to-float security pays an initial fixed interest rate and will pay a floating interest rate established at a predetermined time in the future. The interest rate shown is the rate as of period end. |
(i) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S securities are subject to restrictions on resale in the United States. |
(j) | Subsidiary. Security may be issued by parent company or one of its subsidiaries. (see below) |
(k) | Repurchase agreement is collateralized by U.S. Treasury Notes 3.50%-4.25%, 10/15/23-2/15/33. U.S. Treasury Inflation Indexed Notes 1.125%, 1/15/33. Total collateral value is $377,851,963. |
* | Rounds to 0.0%. |
The Fund usually classifies a company or issuer based on its country of risk, but may designate a different country in certain circumstances. | |
Debt securities are grouped by parent company unless otherwise noted. Actual securities may be issued by the listed parent company or one of its subsidiaries. | |
Debt securities with floating interest rates are linked to the referenced benchmark; the interest rate shown is the rate as of period end. |
ADR: American Depositary Receipt |
ARM: Adjustable Rate Mortgage |
CMBS: Commercial Mortgage-Backed Security |
CMO: Collateralized Mortgage Obligation |
GO: General Obligation |
NY Shs: New York Registry Shares |
REMIC: Real Estate Mortgage Investment Conduit |
SOFR: Secured Overnight Financing Rate |
Description | Number of Contracts | Expiration Date | Notional Amount | Value / Unrealized Appreciation/ (Depreciation) |
E-Mini S&P 500 Index— Short Position | (2,418 ) | 9/15/23 | $(542,629,425 ) | $(14,332,305 ) |
Euro-Bund Future— Short Position | (260 ) | 9/7/23 | (37,943,655 ) | 518,796 |
Ultra 10 Year U.S. Treasury Note Future— Short Position | (496 ) | 9/20/23 | (58,745,000 ) | 619,828 |
$(13,193,681 ) |
Counterparty | Settle Date | Currency Purchased | Currency Sold | Unrealized Appreciation (Depreciation) | ||
EUR: Euro | ||||||
Morgan Stanley | 9/13/23 | USD | 32,421,531 | EUR | 29,925,419 | $(346,341 ) |
Bank of America | 12/13/23 | USD | 43,374,159 | EUR | 39,975,719 | (617,006 ) |
Unrealized gain on currency forward contracts | — | |||||
Unrealized loss on currency forward contracts | (963,347 ) | |||||
Net unrealized loss on currency forward contracts | $(963,347 ) |
Statement of Assets and Liabilities (unaudited)
June 30, 2023 | |
Assets: | |
Investments in securities, at value (cost $11,672,145,344) | $13,567,950,354 |
Deposits with broker for currency forward contracts | 870,000 |
Cash | 99,238 |
Deposits with broker for futures contracts | 29,940,812 |
Receivable for investments sold | 132,276,789 |
Receivable for Fund shares sold | 5,547,917 |
Dividends and interest receivable | 56,177,744 |
Expense reimbursement receivable | 57,685 |
Prepaid expenses and other assets | 50,809 |
13,792,971,348 | |
Liabilities: | |
Unrealized depreciation on currency forward contracts | 963,347 |
Payable for variation margin for futures contracts | 6,515,541 |
Payable for investments purchased | 132,040,894 |
Payable for Fund shares redeemed | 151,717,602 |
Management fees payable | 5,431,686 |
Accrued expenses | 196,129 |
296,865,199 | |
Net Assets | $13,496,106,149 |
Net Assets Consist of: | |
Paid in capital | $11,165,704,886 |
Distributable earnings | 2,330,401,263 |
$13,496,106,149 | |
Class I | |
Total net assets | $12,145,824,579 |
Shares outstanding (par value $0.01 each, unlimited shares authorized) | 125,561,933 |
Net asset value per share | $96.73 |
Class X | |
Total net assets | $1,350,281,570 |
Shares outstanding (par value $0.01 each, unlimited shares authorized) | 13,957,279 |
Net asset value per share | $96.74 |
Statement of Operations (unaudited)
Six Months Ended June 30, 2023 | |
Investment Income: | |
Dividends (net of foreign taxes of $6,884,797) | $110,770,695 |
Interest | 116,609,095 |
227,379,790 | |
Expenses: | |
Investment advisory fees | 26,660,233 |
Administrative services fees | |
Class I | 6,142,558 |
Class X | 261,250 |
Custody and fund accounting fees | 157,995 |
Professional services | 188,799 |
Shareholder reports | 99,281 |
Registration fees | 83,875 |
Trustees fees | 207,143 |
Miscellaneous | 332,850 |
Total expenses | 34,133,984 |
Expenses reimbursed by investment manager | (274,133 ) |
Net expenses | 33,859,851 |
Net Investment Income | 193,519,939 |
Realized and Unrealized Gain (Loss): | |
Net realized gain (loss) | |
Investments in securities (Note 6) | 589,004,321 |
Futures contracts | (30,740,465 ) |
Options written | (183,281,425 ) |
Currency forward contracts | (1,699,032 ) |
Foreign currency transactions | (218,972 ) |
Net change in unrealized appreciation/depreciation | |
Investments in securities | 56,722,019 |
Futures contracts | (25,140,803 ) |
Options written | 159,111,317 |
Currency forward contracts | 1,203,349 |
Foreign currency translation | 282,206 |
Net realized and unrealized gain | 565,242,515 |
Net Change in Net Assets From Operations | $758,762,454 |
Statement of Changes in Net Assets (unaudited)
Six Months Ended | Year Ended | |
June 30, 2023 | December 31, 2022 | |
Operations: | ||
Net investment income | $193,519,939 | $288,142,277 |
Net realized gain (loss) | 373,064,427 | 1,112,637,591 |
Net change in unrealized appreciation/depreciation | 192,178,088 | (2,508,836,020 ) |
758,762,454 | (1,108,056,152 ) | |
Distributions to Shareholders: | ||
Class I | (229,987,840 ) | (1,075,550,521 ) |
Class X | (23,312,845 ) | (40,292,107 ) |
Total distributions | (253,300,685 ) | (1,115,842,628 ) |
Fund Share Transactions: | ||
Class I | ||
Proceeds from sales of shares | 1,011,014,814 | 1,564,542,435 |
Reinvestment of distributions | 215,762,246 | 1,018,950,704 |
Cost of shares redeemed | (2,358,484,903 ) | (2,890,315,820 ) |
Class X | ||
Proceeds from sales of shares | 668,687,288 | 708,920,438 |
Reinvestment of distributions | 23,312,846 | 40,292,107 |
Cost of shares redeemed | (79,902,814 ) | (28,409,438 ) |
Net change from Fund share transactions | (519,610,523 ) | 413,980,426 |
Total change in net assets | (14,148,754 ) | (1,809,918,354 ) |
Net Assets: | ||
Beginning of period | 13,510,254,903 | 15,320,173,257 |
End of period | $13,496,106,149 | $13,510,254,903 |
Share Information: | ||
Class I | ||
Shares sold | 10,532,112 | 15,500,014 |
Distributions reinvested | 2,292,636 | 10,721,061 |
Shares redeemed | (24,488,459 ) | (29,026,419 ) |
Net change in shares outstanding | (11,663,711 ) | (2,805,344 ) |
Class X | ||
Shares sold | 7,046,063 | 7,361,136 |
Distributions reinvested | 247,227 | 435,368 |
Shares redeemed | (837,003 ) | (295,512 ) |
Net change in shares outstanding | 6,456,287 | 7,500,992 |
Classification | LEVEL 1 (Quoted Prices) | LEVEL 2 (Other Significant Observable Inputs) |
Securities | ||
Common Stocks | ||
Communication Services | $890,840,351 | $— |
Consumer Discretionary | 584,105,225 | — |
Consumer Staples | 478,007,110 | — |
Energy | 724,503,241 | — |
Financials | 2,315,206,460 | — |
Health Care | 1,736,642,351 | — |
Industrials | 524,100,474 | — |
Information Technology | 831,445,835 | — |
Materials | 228,530,466 | — |
Real Estate | 25,502,269 | — |
Utilities | 119,298,265 | — |
Debt Securities | ||
U.S. Treasury | — | 326,771,725 |
Government-Related | — | 148,203,916 |
Classification | LEVEL 1 (Quoted Prices) | LEVEL 2 (Other Significant Observable Inputs) |
Securitized | $— | $2,056,468,300 |
Corporate | — | 2,153,648,971 |
Short-Term Investments | ||
Repurchase Agreements | — | 370,443,000 |
Money Market Fund | 54,232,395 | — |
Total Securities | $8,512,414,442 | $5,055,535,912 |
Other Investments | ||
Futures Contracts | ||
Appreciation | $1,138,624 | $— |
Depreciation | (14,332,305 ) | — |
Currency Forward Contracts | ||
Depreciation | — | (963,347 ) |
Equity Derivatives | Interest Rate Derivatives | Foreign Exchange Derivatives | Total Value | |
Assets | ||||
Futures contracts(a) | $— | $1,138,624 | $— | $1,138,624 |
Liabilities | ||||
Unrealized depreciation on currency forward contracts | $— | $— | $963,347 | $963,347 |
Futures contracts(a) | 14,332,305 | — | — | 14,332,305 |
$14,332,305 | $— | $963,347 | $15,295,652 |
(a) | Includes cumulative appreciation (depreciation). Only the current day’s variation margin is reported in the Statement of Assets and Liabilities. |
Equity Derivatives | Interest Rate Derivatives | Foreign Exchange Derivatives | Total | |
Net realized gain (loss) | ||||
Futures contracts | $(35,461,504 ) | $4,721,039 | $— | (30,740,465 ) |
Options written | (183,281,425 ) | — | — | (183,281,425 ) |
Currency forward contracts | — | — | (1,699,032 ) | (1,699,032 ) |
$(218,742,929 ) | $4,721,039 | $(1,699,032 ) | $(215,720,922 ) | |
Net change in unrealized appreciation/depreciation | ||||
Futures contracts | $(23,595,675 ) | $(1,545,128 ) | $— | (25,140,803 ) |
Options written | 159,111,317 | — | — | 159,111,317 |
Currency forward contracts | — | — | 1,203,349 | 1,203,349 |
$135,515,642 | $(1,545,128 ) | $1,203,349 | $135,173,863 |
Derivative | % of Net Assets | |
Futures contracts | USD notional value | 4-6 % |
Currency forward contracts | USD total value | 0-5 % |
Counterparty | Gross Amount of Recognized Assets | Gross Amount of Recognized Liabilities | Cash Collateral Pledged / (Received)(a) | Net Amount(b) |
Bank of America | $— | $(617,006 ) | $460,000 | $(157,006 ) |
Morgan Stanley | — | (346,341 ) | 346,341 | — |
$— | $(963,347 ) | $806,341 | $(157,006 ) |
(a) | Cash collateral pledged/(received) in excess of derivative assets/liabilities is not presented in this table. The total cash collateral is presented on the Fund's Statement of Assets and Liabilities. |
(b) | Represents the net amount receivable from (payable to) the counterparty in the event of a default. |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | |
Class I | ||
Ordinary income | $170,066,205 | $260,406,259 |
Long-term capital gain | $59,921,635 | $815,144,262 |
Class X | ||
Ordinary income | $18,024,022 | $4,543,726 |
Long-term capital gain | $5,288,823 | $35,748,381 |
Undistributed long-term capital gain | $65,100,460 |
Net unrealized appreciation | 1,759,839,034 |
Total distributable earnings | $1,824,939,494 |
Tax cost | $11,599,206,913 |
Unrealized appreciation | 2,647,091,978 |
Unrealized depreciation | (692,505,565 ) |
Net unrealized appreciation | 1,954,586,413 |
Selected data and ratios (for a share outstanding throughout each period) | Six Months Ended June 30, | Year Ended December 31, | ||||
2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
Class I | ||||||
Net asset value, beginning of period | $93.35 | $109.41 | $101.78 | $101.60 | $93.27 | $107.00 |
Income from investment operations: | ||||||
Net investment income | 1.42 | 1.90 | 1.74 | 2.19 (a) | 2.48 | 2.20 |
Net realized and unrealized gain (loss) | 3.78 | (9.86 ) | 17.51 | 5.03 | 15.35 | (7.00 ) |
Total from investment operations | 5.20 | (7.96 ) | 19.25 | 7.22 | 17.83 | (4.80 ) |
Distributions to shareholders from: | ||||||
Net investment income | (1.35 ) | (1.91 ) | (1.75 ) | (2.22 ) | (2.46 ) | (2.01 ) |
Net realized gain | (0.47 ) | (6.19 ) | (9.87 ) | (4.82 ) | (7.04 ) | (6.92 ) |
Total distributions | (1.82 ) | (8.10 ) | (11.62 ) | (7.04 ) | (9.50 ) | (8.93 ) |
Net asset value, end of period | $96.73 | $93.35 | $109.41 | $101.78 | $101.60 | $93.27 |
Total return | 5.63 % | (7.28 )% | 19.28 % | 7.85 % | 19.62 % | (4.61 )% |
Ratios/supplemental data: | ||||||
Net assets, end of period (millions) | $12,146 | $12,810 | $15,320 | $14,110 | $15,747 | $14,181 |
Ratio of expenses to average net assets | 0.52 %(b) | 0.52 % | 0.52 % | 0.53 % | 0.53 % | 0.53 % |
Ratio of net investment income to average net assets | 2.89 %(b) | 2.03 % | 1.51 % | 2.29 %(a) | 2.46 % | 2.06 % |
Portfolio turnover rate | 17 % | 59 % | 49 % | 54 % | 35 % | 24 % |
Portfolio turnover rate excluding TBA rolls(c) | 17 % | 41 % | 31 % | 50 % | 32 % | 24 % |
Class X(d) | ||||||
Net asset value, beginning of period | $93.37 | $101.25 | ||||
Income from investment operations: | ||||||
Net investment income | 1.25 | 1.43 | ||||
Net realized and unrealized gain (loss) | 3.99 | (2.32 ) | ||||
Total from investment operations | 5.24 | (0.89 ) | ||||
Distributions to shareholders from: | ||||||
Net investment income | (1.40 ) | (1.54 ) | ||||
Net realized gain | (0.47 ) | (5.45 ) | ||||
Total distributions | (1.87 ) | (6.99 ) | ||||
Net asset value, end of period | $96.74 | $93.37 | ||||
Total return | 5.68 % | (0.78 )% | ||||
Ratios/supplemental data: | ||||||
Net assets, end of period (millions) | $1,350 | $700 | ||||
Ratio of expenses to average net assets | 0.42 %(b) | 0.41 %(b) | ||||
Ratio of expenses to average net assets, before reimbursement by investment manager | 0.47 %(b) | 0.47 %(b) | ||||
Ratio of net investment income to average net assets | 3.08 %(b) | 2.42 %(b) | ||||
Portfolio turnover rate | 17 % | 59 % | ||||
Portfolio turnover rate excluding TBA rolls(c) | 17 % | 41 % |
(a) | Net investment income per share includes significant amounts received for EU reclaims related to prior years, which amounted to approximately $0.11 per share. Excluding such amounts, the ratio of net investment income to average net assets would have been 2.17%. |
(b) | Annualized |
(c) | See Note 1 regarding To-Be-Announced securities |
(d) | For 2022, the period covers 5/2/2022 (commencement of operations) to 12/31/2022 |
(unaudited)
information, please visit the Funds’ website.
Kansas City, Missouri 64121-9502
(800) 621-3979
555 California Street, 40th Floor
San Francisco, California 94104
(415) 981-1710
3 Canal Plaza, Suite 100
Portland, Maine 04101
This report reflects our views, opinions, and portfolio holdings as of June 30, 2023, the end of the reporting period. Any such views are subject to change at any time based upon market or other conditions and Dodge & Cox disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Dodge & Cox Fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Dodge & Cox Fund.
June 30, 2023
For the Board of Trustees, | |
Dana M. Emery, Chair and President |
1 | All returns are stated in U.S. dollars, unless otherwise noted. The Funds’ total returns include the reinvestment of dividend and capital gain distributions, but have not been adjusted for any income taxes payable by shareholders on these distributions or on Fund share redemptions. Index returns include dividend and/or interest income but, unlike Fund returns, do not reflect fees or expenses. The Bloomberg U.S. Aggregate Bond Index is a widely recognized, unmanaged index of U.S. dollar-denominated, investment-grade, taxable fixed income securities. |
2 | One basis point is equal to 1/100th of 1%. |
3 | Personal consumption expenditures (PCE) measure how much consumers spend on durable and non-durable goods and services. Core PCE prices exclude food and energy prices. |
4 | Return as calculated and reported by Bloomberg. |
5 | Duration is a measure of a bond’s (or a bond portfolio’s) price sensitivity to changes in interest rates. |
6 | The U.S. Government does not guarantee the Fund’s shares, yield, or net asset value. The agency guarantee (by, for example, Ginnie Mae, Fannie Mae, or Freddie Mac) does not eliminate market risk. |
7 | Credit refers to corporate bonds and government-related securities, as classified by Bloomberg, as well as Rio Oil Finance Trust, an asset-backed security that we group as a credit investment. |
8 | Unless otherwise specified, all weightings include accrued interest and weightings and characteristics are as of June 30, 2023. |
9 | The use of specific examples does not imply that they are more or less attractive investments than the portfolio’s other holdings. |
1 Year | 5 Years | 10 Years | 20 Years | |
Dodge & Cox Income Fund | ||||
Class I | 1.82% | 2.02% | 2.55% | 3.80% |
Class X (a) | 1.88 | 2.03 | 2.56 | 3.80 |
Bloomberg U.S. Aggregate Bond Index | -0.94 | 0.77 | 1.52 | 3.01 |
Net Expense Ratio | Gross Expense Ratio | |
Dodge & Cox Income Fund | ||
Class I | 0.41% | 0.41% |
Class X | 0.33%(b) | 0.36% |
(a) | The Class X shares inception date is May 2, 2022. The returns shown prior to that date are for the Class I shares. |
(b) | Dodge & Cox has contractually agreed to reimburse the Fund for all ordinary expenses to the extent necessary to maintain Total Annual Fund Operating Expenses of the Fund’s Class X shares at 0.33% until April 30, 2026. This agreement cannot be terminated prior to April 30, 2026 other than by resolution of the Fund’s Board of Trustees. For purposes of the foregoing, ordinary expenses shall not include nonrecurring shareholder account fees, fees and expenses associated with Fund shareholder meetings, fees on portfolio transactions such as exchange fees, dividends and interest on short positions, fees and expenses of pooled investment vehicles that are held by the Fund, interest expenses and other fees and expenses related to any borrowings, taxes, brokerage fees and commissions and other costs and expenses relating to the acquisition and disposition of Fund investments, other expenditures which are capitalized in accordance with generally accepted accounting principles, and other non-routine expenses or extraordinary expenses not incurred in the ordinary course of the Fund’s business, such as litigation expenses. The term of the agreement will automatically renew for subsequent three- year terms unless terminated with at least 30 days’ written notice by either party prior to the end of the then-current term. The agreement does not permit Dodge & Cox to recoup any fees waived or payments made to the Fund for a prior year. |
www.dodgeandcox.com/incomefund
Sector Diversification | % of Net Assets |
Securitized | 45.9 |
Corporate | 39.2 |
U.S. Treasury | 8.2 |
Government-Related | 4.6 |
Net Cash & Other(a) | 2.1 |
(a) | Net Cash & Other includes cash, short-term investments, derivatives, receivables, and payables. |
Six Months Ended June 30, 2023 | Beginning Account Value 1/1/2023 | Ending Account Value 6/30/2023 | Expenses Paid During Period* | Annualized Expense Ratio |
Class I | ||||
Based on actual return | $1,000.00 | $1,032.10 | $2.07 | 0.41% |
Based on hypothetical 5% yearly return | 1,000.00 | 1,022.76 | 2.06 | 0.41 |
Class X | ||||
Based on actual return | $1,000.00 | $1,031.60 | $1.66 | 0.33% |
Based on hypothetical 5% yearly return | 1,000.00 | 1,023.16 | 1.66 | 0.33 |
* | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
Debt Securities: 97.9% | ||
Par Value | Value | |
U.S. Treasury: 8.2% | ||
U.S. Treasury Note/Bond | ||
0.375%, 4/15/24 | $280,000,000 | $269,182,813 |
0.25%, 5/15/24 | 650,000,000 | 621,537,111 |
4.25%, 9/30/24 | 300,000,000 | 296,062,500 |
0.25%, 8/31/25 | 350,000,000 | 317,542,967 |
3.875%, 12/31/27 | 350,000,000 | 345,091,796 |
3.50%, 1/31/28 | 600,000,000 | 582,632,814 |
3.375%, 8/15/42 | 825,735,000 | 749,515,787 |
4.00%, 11/15/42 | 150,000,000 | 149,039,063 |
2.875%, 5/15/52 | 1,087,980,000 | 901,620,928 |
3.00%, 8/15/52 | 435,553,000 | 370,322,135 |
4.00%, 11/15/52 | 625,000,000 | 641,992,188 |
5,244,540,102 | ||
Government-Related: 4.6% | ||
Agency: 2.5% | ||
Petroleo Brasileiro SA (Brazil) | ||
5.093%, 1/15/30 | 35,016,000 | 32,713,544 |
7.25%, 3/17/44 | 18,915,000 | 18,670,158 |
6.90%, 3/19/49 | 154,599,000 | 142,654,697 |
6.75%, 6/3/50 | 103,465,000 | 92,630,557 |
Petroleos Mexicanos (Mexico) | ||
6.70%, 2/16/32 | 597,021,000 | 453,947,604 |
6.625%, 6/15/35 | 189,761,000 | 132,326,266 |
6.50%, 6/2/41 | 45,052,000 | 28,604,213 |
6.375%, 1/23/45 | 135,151,000 | 83,009,555 |
6.75%, 9/21/47 | 66,966,000 | 42,049,505 |
6.35%, 2/12/48 | 22,440,000 | 13,572,241 |
7.69%, 1/23/50 | 842,760,000 | 571,251,382 |
1,611,429,722 | ||
Local Authority: 1.9% | ||
L.A. Unified School District GO | ||
5.75%, 7/1/34 | 6,030,000 | 6,395,355 |
6.758%, 7/1/34 | 183,745,000 | 207,812,214 |
New Jersey Turnpike Authority RB | ||
7.414%, 1/1/40 | 40,655,000 | 50,922,392 |
7.102%, 1/1/41 | 146,892,000 | 178,950,929 |
Regents of the UC Medical Center RB | ||
4.563%, 5/15/53 | 98,330,000 | 91,254,311 |
State of California GO | ||
7.50%, 4/1/34 | 80,226,000 | 97,690,109 |
7.30%, 10/1/39 | 183,965,000 | 222,133,046 |
State of Illinois GO | ||
5.10%, 6/1/33 | 356,600,000 | 350,433,388 |
1,205,591,744 | ||
Sovereign: 0.2% | ||
Colombia Government (Colombia) | ||
5.625%, 2/26/44 | 106,025,000 | 78,750,914 |
5.00%, 6/15/45 | 77,700,000 | 53,946,658 |
5.20%, 5/15/49 | 48,525,000 | 33,276,018 |
165,973,590 | ||
2,982,995,056 | ||
Securitized: 45.9% | ||
Asset-Backed: 5.6% | ||
Federal Agency: 0.0%* | ||
Small Business Admin. - 504 Program | ||
Series 2003-20G 1, 4.35%, 7/1/23 | 1,097 | 1,097 |
Series 2004-20L 1, 4.87%, 12/1/24 | 60,890 | 60,127 |
Series 2005-20B 1, 4.625%, 2/1/25 | 178,321 | 174,216 |
Series 2005-20D 1, 5.11%, 4/1/25 | 4,977 | 4,857 |
Series 2005-20E 1, 4.84%, 5/1/25 | 233,711 | 228,639 |
Series 2005-20G 1, 4.75%, 7/1/25 | 331,887 | 325,810 |
Par Value | Value | |
Series 2005-20H 1, 5.11%, 8/1/25 | $3,485 | $3,429 |
Series 2005-20I 1, 4.76%, 9/1/25 | 431,187 | 417,406 |
Series 2006-20A 1, 5.21%, 1/1/26 | 371,657 | 364,436 |
Series 2006-20B 1, 5.35%, 2/1/26 | 117,316 | 114,855 |
Series 2006-20C 1, 5.57%, 3/1/26 | 478,598 | 469,205 |
Series 2006-20G 1, 6.07%, 7/1/26 | 834,370 | 822,373 |
Series 2006-20H 1, 5.70%, 8/1/26 | 8,814 | 8,687 |
Series 2006-20I 1, 5.54%, 9/1/26 | 13,926 | 13,753 |
Series 2006-20J 1, 5.37%, 10/1/26 | 324,414 | 321,342 |
Series 2006-20L 1, 5.12%, 12/1/26 | 328,049 | 322,861 |
Series 2007-20A 1, 5.32%, 1/1/27 | 808,636 | 795,373 |
Series 2007-20C 1, 5.23%, 3/1/27 | 1,250,362 | 1,225,658 |
Series 2007-20D 1, 5.32%, 4/1/27 | 894,649 | 870,895 |
Series 2007-20G 1, 5.82%, 7/1/27 | 971,935 | 955,543 |
7,500,562 | ||
Other: 0.7% | ||
Rio Oil Finance Trust (Brazil) | ||
9.25%, 7/6/24(a) | 121,484,449 | 122,243,727 |
9.75%, 1/6/27(a) | 138,619,176 | 142,604,478 |
8.20%, 4/6/28(a) | 166,943,863 | 167,569,902 |
432,418,107 | ||
Student Loan: 4.9% | ||
Navient Student Loan Trust | ||
USD LIBOR 1-Month | ||
+0.60%, 5.75%, 5/27/49 | 18,305,794 | 17,793,470 |
+1.25%, 6.40%, 6/25/65(a) | 218,603,983 | 218,454,348 |
+1.15%, 6.30%, 3/25/66(a) | 195,920,388 | 192,967,241 |
+1.30%, 6.45%, 3/25/66(a) | 145,962,536 | 144,774,299 |
+0.80%, 5.95%, 7/26/66(a) | 255,917,575 | 248,496,809 |
+1.05%, 6.20%, 7/26/66(a) | 288,478,535 | 283,579,564 |
+1.15%, 6.30%, 7/26/66(a) | 212,967,000 | 210,413,185 |
+1.00%, 6.15%, 9/27/66(a) | 112,673,142 | 110,695,988 |
+1.05%, 6.20%, 12/27/66(a) | 154,329,186 | 152,680,858 |
+0.72%, 5.87%, 3/25/67(a) | 89,818,381 | 87,768,914 |
+0.80%, 5.95%, 3/25/67(a) | 137,973,000 | 134,398,202 |
+0.68%, 5.83%, 6/27/67(a) | 151,816,371 | 148,515,883 |
+1.00%, 6.15%, 2/27/68(a) | 77,946,248 | 76,599,898 |
+0.83%, 5.98%, 7/25/68(a) | 50,431,913 | 49,301,628 |
+0.81%, 5.96%, 7/25/68(a) | 55,327,752 | 54,092,947 |
+1.05%, 6.20%, 6/25/69(a) | 33,927,575 | 33,477,712 |
+0.90%, 1.04%, 8/26/69(a) | 49,927,804 | 48,956,204 |
+0.60%, 5.75%, 12/26/69(a) | 50,869,734 | 49,474,942 |
+0.70%, 5.85%, 2/25/70(a) | 159,694,110 | 155,984,767 |
+0.55%, 0.70%, 2/25/70(a) | 70,189,953 | 68,029,829 |
Navient Student Loan Trust (Private Loans) | ||
Series 2017-A A2A, 2.88%, 12/16/58(a) | 2,456,329 | 2,426,972 |
SLM Student Loan Trust | ||
USD LIBOR 1-Month | ||
+1.20%, 6.35%, 10/25/34 | 17,928,849 | 17,850,191 |
USD LIBOR 3-Month | ||
+0.63%, 5.885%, 1/25/40(a) | 82,187,504 | 79,295,375 |
+0.17%, 5.425%, 7/25/40 | 12,572,066 | 12,065,960 |
+0.49%, 5.745%, 4/27/43 | 49,335,031 | 46,238,419 |
+0.55%, 5.805%, 10/25/64(a) | 43,544,898 | 42,583,479 |
+0.55%, 5.805%, 10/25/64(a) | 19,512,395 | 19,071,333 |
SMB Private Education Loan Trust (Private Loans) | ||
Series 2017-A A2A, 2.88%, 9/15/34(a) | 6,076,275 | 5,819,228 |
Series 2017-B A2A, 2.82%, 10/15/35(a) | 8,173,873 | 7,776,010 |
Debt Securities (continued) | ||
Par Value | Value | |
Series 2018-A A2A, 3.50%, 2/15/36(a) | $36,151,754 | $34,543,385 |
Series 2018-B A2A, 3.60%, 1/15/37(a) | 26,640,498 | 25,388,816 |
Series 2021-A APT2, 1.07%, 1/15/53(a) | 31,010,684 | 26,505,290 |
Series 2023-B A1A, 4.99%, 10/16/56(a) | 203,565,000 | 198,325,664 |
Series 2022-D A1A, 5.37%, 10/15/58(a) | 183,059,874 | 179,899,986 |
3,184,246,796 | ||
3,624,165,465 | ||
CMBS: 0.4% | ||
Agency CMBS: 0.4% | ||
Freddie Mac Multifamily Interest Only | ||
Series K055 X1, 1.475%, 3/25/26(b) | 108,602,775 | 3,404,024 |
Series K056 X1, 1.375%, 5/25/26(b) | 36,019,765 | 1,031,685 |
Series K062 X1, 0.418%, 12/25/26(b) | 298,369,223 | 2,729,959 |
Series K064 X1, 0.736%, 3/25/27(b) | 376,174,599 | 7,029,575 |
Series K065 X1, 0.805%, 4/25/27(b) | 454,430,923 | 9,599,762 |
Series K066 X1, 0.885%, 6/25/27(b) | 366,678,610 | 8,856,572 |
Series K067 X1, 0.707%, 7/25/27(b) | 461,206,280 | 8,924,756 |
Series K069 X1, 0.474%, 9/25/27(b) | 92,003,157 | 1,201,626 |
Series K070 X1, 0.456%, 11/25/27(b) | 193,753,098 | 2,400,020 |
Series K071 X1, 0.414%, 11/25/27(b) | 250,472,983 | 2,667,487 |
Series K089 X1, 0.687%, 1/25/29(b) | 513,334,599 | 13,273,344 |
Series K091 X1, 0.706%, 3/25/29(b) | 255,889,730 | 7,057,439 |
Series K092 X1, 0.855%, 4/25/29(b) | 482,799,010 | 16,454,225 |
Series K093 X1, 1.093%, 5/25/29(b) | 230,451,076 | 10,166,856 |
Series K094 X1, 1.015%, 6/25/29(b) | 319,444,333 | 13,590,280 |
Series K095 X1, 1.084%, 6/25/29(b) | 222,513,147 | 10,063,268 |
Series K096 X1, 1.257%, 7/25/29(b) | 541,491,201 | 29,499,358 |
Series K097 X1, 1.22%, 7/25/29(b) | 242,962,577 | 12,977,409 |
Series K098 X1, 1.268%, 8/25/29(b) | 468,451,388 | 26,360,322 |
Series K099 X1, 1.003%, 9/25/29(b) | 510,316,471 | 22,431,522 |
Series K101 X1, 0.947%, 10/25/29(b) | 196,222,922 | 8,302,506 |
Series K102 X1, 0.944%, 10/25/29(b) | 547,515,494 | 22,836,159 |
Series K152 X1, 1.101%, 1/25/31(b) | 120,705,944 | 6,264,626 |
Series K154 X1, 0.433%, 11/25/32(b) | 361,844,904 | 7,146,256 |
Series K-1511 X1, 0.929%, 3/25/34(b) | 174,034,518 | 9,547,029 |
263,816,065 | ||
263,816,065 | ||
Mortgage-Related: 39.9% | ||
Federal Agency CMO & REMIC: 6.9% | ||
Dept. of Veterans Affairs | ||
Series 1995-2D 4A, 9.293%, 5/15/25 | 6,609 | 6,700 |
Series 1997-2 Z, 7.50%, 6/15/27 | 1,801,275 | 1,822,982 |
Series 1998-2 2A, 8.613%, 8/15/27(b) | 1,531 | 1,541 |
Series 1998-1 1A, 8.293%, 3/15/28(b) | 13,231 | 13,294 |
Fannie Mae | ||
Trust 1998-58 PX, 6.50%, 9/25/28 | 65,082 | 65,412 |
Trust 1998-58 PC, 6.50%, 10/25/28 | 391,984 | 394,535 |
Trust 2001-69 PQ, 6.00%, 12/25/31 | 536,223 | 543,826 |
Trust 2002-33 A1, 7.00%, 6/25/32 | 919,646 | 932,247 |
Trust 2002-69 Z, 5.50%, 10/25/32 | 73,578 | 73,457 |
Trust 2008-24 GD, 6.50%, 3/25/37 | 248,253 | 256,024 |
Trust 2007-47 PE, 5.00%, 5/25/37 | 691,263 | 671,006 |
Trust 2009-30 AG, 6.50%, 5/25/39 | 2,586,709 | 2,667,650 |
Par Value | Value | |
Trust 2009-40 TB, 6.00%, 6/25/39 | $1,165,011 | $1,213,003 |
Trust 2001-T3 A1, 7.50%, 11/25/40 | 43,158 | 43,243 |
Trust 2010-123 WT, 7.00%, 11/25/40 | 10,201,091 | 10,576,210 |
Trust 2001-T7 A1, 7.50%, 2/25/41 | 54,517 | 57,371 |
Trust 2001-T5 A2, 6.971%, 6/19/41(b) | 20,961 | 21,500 |
Trust 2001-T5 A3, 7.50%, 6/19/41(b) | 116,067 | 117,771 |
Trust 2001-T4 A1, 7.50%, 7/25/41 | 800,927 | 806,383 |
Trust 2011-58 AT, 4.00%, 7/25/41 | 3,131,123 | 2,990,301 |
Trust 2001-T10 A1, 7.00%, 12/25/41 | 784,834 | 792,866 |
Trust 2013-106 MA, 4.00%, 2/25/42 | 8,937,141 | 8,476,904 |
Trust 2002-W6 2A1, 7.00%, 6/25/42(b) | 1,052,251 | 1,012,043 |
Trust 2002-W8 A2, 7.00%, 6/25/42 | 707,583 | 734,522 |
Trust 2002-90 A1, 6.50%, 6/25/42 | 2,085,841 | 2,133,936 |
Trust 2002-T16 A3, 7.50%, 7/25/42 | 1,785,315 | 1,887,022 |
Trust 2003-W2 1A2, 7.00%, 7/25/42 | 3,552,075 | 3,672,231 |
Trust 2003-W4 3A, 4.71%, 10/25/42(b) | 935,931 | 937,922 |
Trust 2012-121 NB, 7.00%, 11/25/42 | 359,044 | 377,086 |
Trust 2003-W1 2A, 5.224%, 12/25/42(b) | 1,258,967 | 1,202,196 |
Trust 2003-7 A1, 6.50%, 12/25/42 | 1,722,162 | 1,743,059 |
Trust 2004-T1 1A2, 6.50%, 1/25/44 | 611,402 | 619,991 |
Trust 2004-W2 2A2, 7.00%, 2/25/44 | 71,252 | 73,286 |
Trust 2004-W2 5A, 7.50%, 3/25/44 | 1,179,314 | 1,216,900 |
Trust 2004-W8 3A, 7.50%, 6/25/44 | 880,519 | 895,731 |
Trust 2004-W15 1A2, 6.50%, 8/25/44 | 291,243 | 294,263 |
Trust 2005-W1 1A3, 7.00%, 10/25/44 | 2,899,756 | 2,893,507 |
Trust 2001-79 BA, 7.00%, 3/25/45 | 192,913 | 195,425 |
Trust 2006-W1 1A1, 6.50%, 12/25/45 | 130,038 | 131,855 |
Trust 2006-W1 1A2, 7.00%, 12/25/45 | 849,820 | 875,144 |
Trust 2006-W1 1A3, 7.50%, 12/25/45 | 14,226 | 14,586 |
Trust 2006-W1 1A4, 8.00%, 12/25/45 | 876,266 | 903,718 |
Trust 2007-W10 1A, 6.147%, 8/25/47(b) | 2,965,854 | 2,923,854 |
Trust 2007-W10 2A, 6.304%, 8/25/47(b) | 893,391 | 879,868 |
Trust 2018-28 PT, 3.50%, 5/25/48 | 5,508,043 | 5,102,675 |
USD LIBOR 1-Month | ||
+0.55%, 5.70%, 9/25/43 | 10,120,110 | 9,867,093 |
+0.40%, 5.55%, 7/25/44 | 760,948 | 715,804 |
Freddie Mac | ||
Series 2456 CJ, 6.50%, 6/15/32 | 42,544 | 43,760 |
Series 3312 AB, 6.50%, 6/15/32 | 935,168 | 957,405 |
Series T-41 2A, 4.682%, 7/25/32(b) | 104,783 | 100,789 |
Series 2587 ZU, 5.50%, 3/15/33 | 1,226,633 | 1,215,944 |
Series 2610 UA, 4.00%, 5/15/33 | 631,752 | 601,571 |
Series T-48 1A, 4.392%, 7/25/33(b) | 1,381,635 | 1,301,671 |
Series 2708 ZD, 5.50%, 11/15/33 | 4,409,217 | 4,407,981 |
Series 3204 ZM, 5.00%, 8/15/34 | 2,239,567 | 2,198,928 |
Series 3330 GZ, 5.50%, 6/15/37 | 292,594 | 286,175 |
Series 3427 Z, 5.00%, 3/15/38 | 1,090,534 | 1,079,791 |
Series T-51 1A, 6.50%, 9/25/43(b) | 36,088 | 35,788 |
Series 4283 DW, 4.50%, 12/15/43(b) | 20,688,727 | 20,187,232 |
Debt Securities (continued) | ||
Par Value | Value | |
Series 4283 EW, 4.50%, 12/15/43(b) | $12,781,562 | $12,407,955 |
Series 4281 BC, 4.50%, 12/15/43(b) | 36,116,064 | 35,276,434 |
Series 4319 MA, 4.50%, 3/15/44(b) | 6,986,851 | 6,824,077 |
Ginnie Mae | ||
Series 2014-184 GZ, 3.50%, 12/20/44 | 5,840,985 | 5,340,483 |
Series 2015-24 Z, 3.50%, 2/20/45 | 18,316,032 | 16,848,335 |
Series 2015-69 DZ, 3.50%, 5/20/45 | 4,244,634 | 3,865,496 |
Series 2015-69 KZ, 3.50%, 5/20/45 | 13,854,162 | 12,616,635 |
United States 30 Day Average SOFR | ||
+0.55%, Series 2022-H04 FG, 5.156%, 2/20/67 | 33,423,565 | 33,018,949 |
+0.50%, Series 2022-H04 GF, 5.14%, 2/20/67 | 32,849,569 | 32,405,190 |
+0.50%, Series 2022-H07 FB, 4.764%, 1/20/68 | 97,095,553 | 95,203,792 |
+0.30%, Series 2022-H06 FA, 4.775%, 2/20/68 | 116,366,467 | 113,554,611 |
+0.50%, Series 2022-H07 AF, 5.235%, 2/20/68 | 40,717,440 | 40,019,966 |
+0.50%, Series 2022-H07 BF, 4.843%, 2/20/68 | 145,394,795 | 142,551,818 |
+0.50%, Series 2022-H07 FH, 4.37%, 6/20/68 | 7,275,462 | 7,112,765 |
+0.41%, Series 2022-H06 FC, 3.761%, 8/20/68 | 68,364,247 | 66,814,942 |
+1.30%, Series 2023-H08 EF, 4.241%, 7/20/71 | 73,138,742 | 73,177,469 |
+1.02%, Series 2023-H08 FE, 3.982%, 8/20/71 | 40,200,753 | 40,238,445 |
+1.00%, Series 2022-H20 FB, 4.048%, 8/20/71 | 44,311,828 | 43,768,060 |
+1.45%, Series 2021-H12 EF, 6.091%, 8/20/71 | 39,657,926 | 39,902,952 |
+0.70%, Series 2021-H17 FA, 4.246%, 11/20/71 | 35,027,448 | 34,390,071 |
+0.82%, Series 2021-H19 FM, 5.886%, 12/20/71 | 39,360,182 | 38,758,077 |
+0.80%, Series 2022-H08 FL, 4.451%, 12/20/71 | 104,948,705 | 103,050,435 |
+0.80%, Series 2022-H02 FC, 5.866%, 1/20/72 | 120,208,493 | 119,218,576 |
+0.35%, Series 2022-H01 FA, 5.416%, 1/20/72 | 49,018,865 | 47,236,853 |
+0.82%, Series 2022-H04 HF, 5.886%, 2/20/72 | 191,033,050 | 188,304,831 |
+0.75%, Series 2022-H07 F, 5.816%, 2/20/72 | 41,247,080 | 40,820,016 |
+0.75%, Series 2022-H08 FE, 5.681%, 3/20/72 | 52,060,788 | 50,677,897 |
+0.74%, Series 2022-H09 FC, 5.806%, 4/20/72 | 65,057,496 | 63,868,440 |
+1.00%, Series 2022-H11 FG, 6.066%, 4/20/72 | 17,967,867 | 17,913,875 |
+0.95%, Series 2022-H10 FA, 6.016%, 5/20/72 | 101,971,430 | 101,706,447 |
+0.95%, Series 2022-H11 AF, 6.016%, 5/20/72 | 19,286,790 | 19,138,867 |
+0.90%, Series 2022-H11 F, 5.966%, 5/20/72 | 183,403,947 | 181,528,770 |
+0.97%, Series 2022-H11 EF, 6.036%, 5/20/72 | 45,976,638 | 45,809,302 |
Par Value | Value | |
+0.95%, Series 2022-H12 FA, 6.016%, 6/20/72 | $245,042,462 | $243,115,301 |
+1.10%, Series 2022-H23 FA, 6.166%, 10/20/72 | 234,685,960 | 231,398,502 |
+1.63%, Series 2023-H08 FG, 4.461%, 2/20/73 | 37,825,543 | 38,287,707 |
+1.42%, Series 2023-H13 FJ, 6.486%, 2/20/73 | 60,826,642 | 61,111,851 |
+1.10%, Series 2023-H08 FD, 6.166%, 3/20/73 | 138,521,333 | 139,134,456 |
USD LIBOR 1-Month | ||
+0.65%, 4.186%, 10/20/64 | 4,417,933 | 4,364,441 |
+0.63%, 5.343%, 4/20/65 | 6,462,813 | 6,379,950 |
+0.60%, 5.129%, 7/20/65 | 4,050,060 | 4,013,580 |
+0.60%, 5.694%, 8/20/65 | 3,857,829 | 3,818,569 |
+0.62%, 4.499%, 9/20/65 | 884,926 | 874,486 |
+0.75%, 4.495%, 11/20/65 | 16,815,209 | 16,649,897 |
+0.90%, 5.099%, 3/20/66 | 10,152,403 | 10,046,076 |
+0.90%, 5.664%, 4/20/66 | 11,877,056 | 11,785,628 |
+0.78%, 5.021%, 9/20/66 | 5,279,975 | 5,244,946 |
+0.75%, 5.844%, 10/20/66 | 27,782,364 | 27,689,818 |
+0.80%, 4.999%, 11/20/66 | 12,992,119 | 12,878,994 |
+0.81%, 5.105%, 12/20/66 | 7,147,169 | 7,091,339 |
+0.57%, 5.664%, 9/20/67 | 17,166,727 | 17,034,239 |
+0.50%, 5.056%, 6/20/68 | 22,407,725 | 22,074,701 |
+0.50%, 4.954%, 11/20/68 | 20,534,922 | 20,213,723 |
+0.60%, 5.694%, 9/20/69 | 20,370,319 | 19,809,461 |
+0.60%, 3.598%, 11/20/69 | 17,749,051 | 17,316,624 |
+0.65%, 5.744%, 11/20/69 | 21,254,956 | 20,876,450 |
+0.65%, 3.883%, 11/20/69 | 65,115,082 | 63,275,639 |
+0.65%, 3.783%, 11/20/69 | 13,413,906 | 13,059,720 |
+0.55%, 3.964%, 3/20/70 | 68,447,523 | 65,938,394 |
+0.85%, 4.669%, 9/20/71 | 6,617,780 | 6,505,405 |
USD LIBOR 12-Month | ||
+0.30%, 4.008%, 9/20/66 | 9,495,521 | 9,392,442 |
+0.28%, 3.848%, 12/20/66 | 16,903,160 | 16,722,534 |
+0.30%, 4.313%, 1/20/67 | 52,948,470 | 52,350,232 |
+0.31%, 4.341%, 1/20/67 | 20,963,892 | 20,734,946 |
+0.30%, 5.729%, 1/20/67 | 56,258,502 | 55,705,335 |
+0.25%, 5.576%, 2/20/67 | 9,400,018 | 9,231,143 |
+0.20%, 5.526%, 3/20/67 | 2,093,840 | 2,065,044 |
+0.30%, 6.014%, 4/20/67 | 13,502,925 | 13,333,338 |
+0.20%, 5.023%, 5/20/67 | 22,045,273 | 21,721,203 |
+0.30%, 4.941%, 5/20/67 | 10,719,224 | 10,584,910 |
+0.20%, 5.229%, 6/20/67 | 53,864,522 | 53,067,989 |
+0.30%, 5.184%, 6/20/67 | 12,056,255 | 11,936,559 |
+0.20%, 3.764%, 8/20/67 | 12,712,328 | 12,561,185 |
+0.27%, 3.978%, 9/20/67 | 36,280,688 | 35,826,000 |
+0.25%, 3.958%, 9/20/67 | 12,304,396 | 12,141,458 |
+0.25%, 4.123%, 10/20/67 | 26,112,058 | 25,758,521 |
+0.23%, 4.439%, 10/20/67 | 87,704,794 | 86,576,551 |
+0.23%, 4.439%, 10/20/67 | 42,005,464 | 41,453,155 |
+0.22%, 3.841%, 10/20/67 | 17,685,432 | 17,468,319 |
+0.20%, 3.933%, 11/20/67 | 9,735,769 | 9,615,309 |
+0.22%, 5.001%, 11/20/67 | 12,680,076 | 12,448,328 |
+0.22%, 5.001%, 11/20/67 | 75,027,443 | 74,039,962 |
+0.06%, 4.642%, 12/20/67 | 29,493,484 | 28,893,342 |
+0.18%, 3.559%, 12/20/67 | 18,944,167 | 18,647,895 |
+0.16%, 3.708%, 12/20/67 | 17,363,240 | 17,069,171 |
+0.15%, 4.707%, 12/20/67 | 21,290,745 | 20,945,852 |
+0.15%, 4.435%, 1/20/68 | 9,144,483 | 8,979,603 |
+0.08%, 5.562%, 1/20/68 | 25,427,337 | 25,056,975 |
+0.06%, 5.542%, 1/20/68 | 55,161,295 | 54,113,434 |
+0.10%, 5.582%, 2/20/68 | 40,220,461 | 39,032,465 |
Debt Securities (continued) | ||
Par Value | Value | |
+0.15%, 3.016%, 2/20/68 | $19,288,531 | $18,909,586 |
+0.10%, 5.582%, 2/20/68 | 25,518,785 | 24,915,174 |
+0.04%, 5.366%, 2/20/68 | 28,376,175 | 27,798,731 |
+0.07%, 5.396%, 2/20/68 | 28,186,450 | 27,642,161 |
+0.05%, 2.825%, 2/20/68 | 14,832,135 | 14,593,729 |
+0.05%, 5.376%, 2/20/68 | 2,085,544 | 2,046,638 |
+0.06%, 5.386%, 3/20/68 | 7,735,924 | 7,484,806 |
+0.05%, 4.809%, 3/20/68 | 31,826,803 | 31,342,230 |
+0.03%, 4.872%, 3/20/68 | 9,469,114 | 9,272,011 |
+0.04%, 5.366%, 3/20/68 | 47,396,715 | 46,505,268 |
+0.04%, 5.366%, 3/20/68 | 16,400,073 | 15,883,358 |
+0.02%, 3.823%, 4/20/68 | 12,089,495 | 11,659,054 |
+0.05%, 4.175%, 4/20/68 | 20,740,054 | 20,063,808 |
+0.05%, 4.523%, 4/20/68 | 21,823,633 | 21,089,708 |
+0.04%, 4.414%, 5/20/68 | 21,004,402 | 20,351,835 |
+0.15%, 5.241%, 6/20/68 | 19,650,364 | 19,147,351 |
+0.25%, 3.025%, 7/20/68 | 19,833,552 | 19,378,374 |
+0.12%, 3.828%, 8/20/68 | 18,793,811 | 18,494,750 |
+0.10%, 4.309%, 10/20/68 | 35,267,192 | 34,432,291 |
+0.22%, 2.519%, 11/20/68 | 16,515,117 | 16,036,289 |
+0.30%, 5.081%, 11/20/68 | 20,135,337 | 19,924,124 |
+0.40%, 5.726%, 2/20/69 | 16,435,688 | 16,262,109 |
+0.40%, 3.641%, 10/20/69 | 10,034,027 | 9,892,915 |
+0.40%, 3.772%, 10/20/69 | 16,503,302 | 16,271,310 |
+0.50%, 5.281%, 11/20/69 | 33,399,547 | 32,893,113 |
Seasoned Credit Risk Transfer Trust 2017-4 | ||
Series 2017-4 M45T, 4.50%, 6/25/57 | 9,982,104 | 9,606,909 |
4,398,996,538 | ||
Federal Agency Mortgage Pass-Through: 33.0% | ||
Fannie Mae, 15 Year | ||
5.50%, 10/1/23 - 7/1/25 | 322,109 | 320,699 |
5.00%, 9/1/25 | 81,778 | 81,304 |
4.00%, 9/1/25 - 11/1/33 | 134,631,005 | 130,141,448 |
3.50%, 9/1/28 - 12/1/29 | 18,956,673 | 18,199,601 |
4.50%, 3/1/29 | 1,654,979 | 1,632,530 |
Fannie Mae, 20 Year | ||
4.50%, 3/1/29 - 1/1/34 | 108,748,373 | 106,731,996 |
4.00%, 9/1/30 - 3/1/37 | 542,343,503 | 527,593,479 |
3.50%, 11/1/35 - 4/1/37 | 81,427,177 | 77,055,147 |
2.00%, 6/1/41 - 3/1/42 | 431,091,092 | 366,284,100 |
2.50%, 9/1/41 - 6/1/42 | 199,027,023 | 173,274,366 |
Fannie Mae, 30 Year | ||
6.00%, 11/1/28 - 2/1/39 | 34,866,962 | 36,002,093 |
7.00%, 4/1/32 - 2/1/39 | 3,125,532 | 3,302,990 |
6.50%, 12/1/32 - 8/1/39 | 14,247,643 | 14,844,811 |
5.50%, 2/1/33 - 11/1/39 | 51,163,052 | 52,335,090 |
4.50%, 11/1/35 - 11/1/48 | 545,333,100 | 535,634,352 |
5.00%, 7/1/37 - 3/1/49 | 33,970,776 | 33,896,067 |
4.00%, 10/1/40 - 2/1/47 | 130,403,997 | 124,619,294 |
3.50%, 3/1/50 - 8/1/52 | 1,605,093,766 | 1,469,132,412 |
2.50%, 6/1/50 - 4/1/52 | 3,656,881,884 | 3,129,382,534 |
2.00%, 6/1/50 - 1/1/52 | 2,782,088,924 | 2,288,727,462 |
3.50%, 1/1/51 | 725,409,555 | 668,988,962 |
3.00%, 4/1/52 - 5/1/52 | 231,841,333 | 205,799,919 |
3.50%, 5/1/52 | 2,095,155,935 | 1,909,632,265 |
3.50%, 7/1/52 | 498,257,556 | 454,137,482 |
3.50%, 12/1/52 | 404,240,983 | 368,445,929 |
Fannie Mae, 40 Year | ||
4.50%, 1/1/52 - 6/1/56 | 59,488,944 | 57,830,622 |
2.50%, 3/1/62 | 145,283,794 | 118,923,477 |
Fannie Mae, Hybrid ARM | ||
4.419%, 10/1/33(b) | 429,412 | 436,032 |
Par Value | Value | |
4.427%, 7/1/34(b) | $426,422 | $420,305 |
3.779%, 8/1/34(b) | 571,878 | 564,692 |
4.143%, 8/1/34(b) | 22,546 | 22,359 |
4.078%, 9/1/34(b) | 558,836 | 563,570 |
3.62%, 10/1/34 - 8/1/49(b) | 3,162,810 | 3,056,061 |
4.192%, 1/1/35(b) | 377,640 | 369,969 |
4.134%, 1/1/35(b) | 304,947 | 298,001 |
4.174%, 4/1/35(b) | 443,928 | 434,919 |
5.345%, 6/1/35(b) | 170,138 | 165,597 |
4.374%, 7/1/35(b) | 449,918 | 457,186 |
4.387%, 7/1/35(b) | 158,774 | 156,657 |
3.761%, 7/1/35(b) | 56,065 | 54,935 |
4.254%, 7/1/35(b) | 135,282 | 132,421 |
4.004%, 8/1/35 - 8/1/44(b) | 2,194,252 | 2,211,571 |
3.664%, 8/1/35(b) | 896,601 | 881,629 |
3.557%, 8/1/35(b) | 246,179 | 240,118 |
4.017%, 9/1/35(b) | 262,428 | 258,088 |
3.801%, 10/1/35(b) | 467,224 | 460,542 |
3.998%, 10/1/35(b) | 178,429 | 175,431 |
3.996%, 11/1/35(b) | 359,318 | 358,862 |
3.874%, 12/1/35(b) | 45,768 | 44,772 |
4.076%, 1/1/36(b) | 761,889 | 769,141 |
3.869%, 1/1/36(b) | 580,361 | 572,304 |
4.456%, 1/1/36(b) | 2,644,852 | 2,673,678 |
4.971%, 11/1/36(b) | 453,380 | 446,977 |
4.815%, 12/1/36(b) | 409,080 | 414,180 |
4.25%, 12/1/36(b) | 194,303 | 191,483 |
3.814%, 1/1/37(b) | 646,609 | 634,719 |
4.339%, 2/1/37(b) | 666,237 | 658,412 |
5.35%, 4/1/37(b) | 150,293 | 152,478 |
4.02%, 8/1/37(b) | 63,357 | 62,427 |
3.727%, 11/1/37(b) | 213,518 | 208,055 |
5.453%, 5/1/38(b) | 914,042 | 898,783 |
4.345%, 5/1/38(b) | 29,615,535 | 29,975,168 |
4.131%, 9/1/38(b) | 93,884 | 92,109 |
3.816%, 10/1/38(b) | 1,033,640 | 1,047,095 |
4.086%, 10/1/38(b) | 179,876 | 176,523 |
4.247%, 10/1/38(b) | 185,720 | 183,192 |
3.904%, 6/1/39(b) | 96,007 | 93,906 |
4.028%, 12/1/39(b) | 397,058 | 391,321 |
5.023%, 4/1/42(b) | 1,372,325 | 1,367,036 |
3.92%, 9/1/42(b) | 795,189 | 780,641 |
3.937%, 11/1/42(b) | 1,075,370 | 1,068,846 |
6.278%, 12/1/42(b) | 2,362,824 | 2,365,401 |
3.854%, 2/1/43(b) | 1,526,571 | 1,516,946 |
4.162%, 2/1/43(b) | 641,234 | 633,762 |
6.522%, 5/1/43(b) | 836,546 | 837,077 |
5.22%, 6/1/43(b) | 191,540 | 187,028 |
3.72%, 9/1/43(b) | 185,538 | 181,118 |
3.81%, 9/1/43 - 12/1/43(b) | 2,330,656 | 2,336,433 |
3.239%, 9/1/43(b) | 375,926 | 381,707 |
4.081%, 10/1/43(b) | 5,230,117 | 5,205,664 |
3.776%, 11/1/43(b) | 2,587,906 | 2,582,760 |
3.162%, 11/1/43(b) | 4,053,828 | 4,098,971 |
4.05%, 2/1/44(b) | 89,790 | 87,845 |
4.018%, 2/1/44(b) | 1,372,703 | 1,373,115 |
3.946%, 2/1/44 - 4/1/45(b) | 7,560,799 | 7,563,846 |
4.332%, 4/1/44(b) | 1,401,076 | 1,392,895 |
4.204%, 4/1/44(b) | 905,625 | 888,925 |
4.635%, 4/1/44(b) | 1,179,144 | 1,177,718 |
3.091%, 4/1/44(b) | 3,580,374 | 3,585,666 |
4.281%, 4/1/44(b) | 4,103,457 | 4,077,343 |
4.606%, 5/1/44(b) | 1,427,797 | 1,420,375 |
4.074%, 5/1/44(b) | 5,627,384 | 5,628,291 |
Debt Securities (continued) | ||
Par Value | Value | |
4.047%, 7/1/44(b) | $423,422 | $421,555 |
4.504%, 7/1/44(b) | 1,858,831 | 1,875,631 |
4.651%, 7/1/44(b) | 2,282,997 | 2,302,067 |
3.84%, 7/1/44 - 12/1/44(b) | 4,668,033 | 4,673,271 |
3.83%, 7/1/44 - 12/1/44(b) | 12,554,628 | 12,606,884 |
3.929%, 8/1/44(b) | 4,427,130 | 4,463,057 |
3.905%, 9/1/44(b) | 1,810,862 | 1,830,234 |
3.913%, 9/1/44(b) | 4,182,079 | 4,211,660 |
3.819%, 10/1/44(b) | 2,406,503 | 2,411,589 |
3.815%, 10/1/44(b) | 853,304 | 847,494 |
3.827%, 10/1/44(b) | 1,941,999 | 1,953,274 |
3.825%, 10/1/44(b) | 4,422,865 | 4,445,379 |
3.805%, 10/1/44(b) | 1,561,718 | 1,568,750 |
3.86%, 10/1/44(b) | 1,347,811 | 1,353,136 |
3.85%, 10/1/44 - 12/1/44(b) | 8,833,871 | 8,854,186 |
3.82%, 10/1/44(b) | 818,756 | 806,081 |
3.821%, 11/1/44(b) | 1,777,585 | 1,780,890 |
3.817%, 11/1/44(b) | 2,901,131 | 2,913,594 |
3.812%, 11/1/44 - 12/1/44(b) | 6,673,663 | 6,676,005 |
3.91%, 11/1/44(b) | 862,569 | 852,050 |
3.836%, 1/1/45(b) | 1,308,714 | 1,304,934 |
3.909%, 2/1/45(b) | 1,907,756 | 1,907,701 |
3.018%, 3/1/45(b) | 23,069,214 | 23,179,385 |
4.09%, 3/1/45(b) | 1,184,438 | 1,177,869 |
4.738%, 4/1/45(b) | 752,411 | 740,108 |
4.132%, 8/1/45(b) | 1,563,730 | 1,577,173 |
4.801%, 8/1/45(b) | 1,266,004 | 1,273,831 |
5.144%, 10/1/45(b) | 3,269,095 | 3,339,459 |
5.229%, 11/1/45(b) | 2,949,720 | 2,995,369 |
6.985%, 3/1/46 - 4/1/46(b) | 660,788 | 650,250 |
4.046%, 4/1/46(b) | 6,847,882 | 6,806,182 |
6.998%, 4/1/46(b) | 2,290,552 | 2,321,688 |
7.095%, 4/1/46(b) | 605,881 | 610,937 |
7.074%, 4/1/46(b) | 770,423 | 782,286 |
4.559%, 5/1/46(b) | 1,146,719 | 1,137,436 |
6.968%, 6/1/46(b) | 356,374 | 361,070 |
2.448%, 6/1/46(b) | 371,048 | 367,079 |
5.119%, 7/1/46(b) | 423,628 | 428,754 |
2.258%, 12/1/46(b) | 2,564,993 | 2,535,411 |
2.966%, 6/1/47(b) | 2,368,436 | 2,348,152 |
3.14%, 6/1/47(b) | 3,437,042 | 3,384,652 |
3.146%, 7/1/47 - 8/1/47(b) | 5,642,568 | 5,546,749 |
3.097%, 7/1/47(b) | 1,031,997 | 1,014,971 |
2.946%, 8/1/47(b) | 979,815 | 960,448 |
3.214%, 8/1/47(b) | 1,432,458 | 1,407,921 |
4.568%, 8/1/47(b) | 3,193,795 | 3,201,920 |
3.098%, 10/1/47(b) | 667,698 | 645,867 |
2.86%, 10/1/47(b) | 1,381,393 | 1,352,822 |
2.951%, 11/1/47(b) | 1,246,009 | 1,217,903 |
2.936%, 11/1/47(b) | 2,068,727 | 2,007,145 |
3.274%, 1/1/48(b) | 330,611 | 320,489 |
3.159%, 1/1/48(b) | 827,989 | 800,687 |
3.138%, 3/1/48(b) | 2,147,865 | 2,071,346 |
3.096%, 4/1/48(b) | 1,040,005 | 1,000,134 |
3.15%, 5/1/48(b) | 12,602,087 | 12,108,786 |
3.445%, 8/1/48(b) | 997,502 | 959,747 |
3.347%, 10/1/48 - 10/1/49(b) | 3,746,274 | 3,594,960 |
3.651%, 11/1/48(b) | 1,346,268 | 1,303,679 |
3.316%, 4/1/49(b) | 1,498,976 | 1,439,035 |
3.706%, 8/1/49(b) | 6,817,138 | 6,585,043 |
3.624%, 8/1/49(b) | 12,495,550 | 11,814,570 |
3.35%, 9/1/49(b) | 10,385,928 | 9,741,334 |
3.394%, 9/1/49(b) | 16,177,778 | 15,604,618 |
2.709%, 1/1/50(b) | 2,789,364 | 2,617,523 |
Par Value | Value | |
2.167%, 12/1/50(b) | $27,268,163 | $24,180,747 |
2.044%, 5/1/52(b) | 157,971,041 | 138,241,848 |
Freddie Mac, Hybrid ARM | ||
4.029%, 9/1/33(b) | 1,401,414 | 1,412,739 |
4.375%, 2/1/34 - 11/1/34(b) | 1,531,268 | 1,529,855 |
4.084%, 8/1/34 - 9/1/35(b) | 614,035 | 609,404 |
3.912%, 1/1/35(b) | 89,933 | 87,966 |
4.475%, 2/1/35(b) | 268,871 | 270,098 |
4.506%, 3/1/35(b) | 295,014 | 295,931 |
5.125%, 4/1/35(b) | 77,323 | 75,973 |
4.166%, 8/1/35(b) | 302,859 | 301,085 |
4.12%, 8/1/35(b) | 731,618 | 727,192 |
3.875%, 10/1/35 - 11/1/44(b) | 2,582,867 | 2,572,198 |
4.37%, 1/1/36(b) | 746,361 | 755,172 |
3.79%, 1/1/36(b) | 658,331 | 654,082 |
3.967%, 1/1/36 - 1/1/44(b) | 1,282,464 | 1,274,372 |
5.004%, 4/1/36(b) | 810,770 | 814,664 |
4.094%, 8/1/36(b) | 520,095 | 513,367 |
3.965%, 12/1/36(b) | 295,846 | 291,256 |
4.064%, 1/1/37(b) | 404,424 | 395,773 |
3.979%, 3/1/37(b) | 724,134 | 707,367 |
4.977%, 4/1/37(b) | 411,588 | 398,708 |
4.818%, 4/1/37(b) | 406,091 | 406,287 |
5.00%, 5/1/37(b) | 131,507 | 127,510 |
4.106%, 7/1/37(b) | 1,232,002 | 1,241,919 |
4.374%, 1/1/38(b) | 130,962 | 128,175 |
3.569%, 2/1/38(b) | 184,114 | 180,929 |
5.045%, 4/1/38(b) | 602,956 | 586,413 |
4.491%, 4/1/38(b) | 1,166,867 | 1,176,080 |
5.309%, 5/1/38(b) | 121,182 | 117,976 |
3.959%, 6/1/38(b) | 418,157 | 410,990 |
4.23%, 10/1/38(b) | 105,240 | 102,709 |
4.33%, 10/1/38(b) | 811,360 | 803,019 |
4.585%, 11/1/39(b) | 373,325 | 367,987 |
4.547%, 7/1/43(b) | 370,297 | 365,512 |
4.083%, 8/1/43(b) | 3,900,941 | 3,818,519 |
3.89%, 10/1/43(b) | 424,072 | 425,177 |
3.91%, 1/1/44(b) | 1,214,519 | 1,211,599 |
3.96%, 2/1/44(b) | 2,265,816 | 2,257,795 |
4.208%, 4/1/44(b) | 711,214 | 709,758 |
4.406%, 4/1/44(b) | 988,470 | 980,045 |
4.275%, 5/1/44(b) | 20,153,529 | 20,107,448 |
4.352%, 6/1/44(b) | 2,631,023 | 2,626,301 |
4.925%, 6/1/44(b) | 911,872 | 913,142 |
4.164%, 7/1/44(b) | 860,358 | 853,654 |
4.468%, 7/1/44(b) | 475,403 | 472,014 |
4.573%, 8/1/44(b) | 1,218,588 | 1,223,103 |
4.076%, 8/1/44(b) | 1,496,016 | 1,490,850 |
3.86%, 8/1/44 - 11/1/44(b) | 6,921,848 | 6,906,618 |
3.874%, 9/1/44(b) | 1,081,793 | 1,087,190 |
3.87%, 9/1/44 - 12/1/44(b) | 11,020,111 | 11,004,375 |
3.88%, 10/1/44 - 1/1/45(b) | 19,244,900 | 19,194,217 |
4.031%, 11/1/44(b) | 1,016,713 | 1,017,334 |
3.867%, 11/1/44(b) | 1,690,175 | 1,691,641 |
3.85%, 11/1/44 - 11/1/44(b) | 6,537,613 | 6,517,557 |
3.864%, 11/1/44(b) | 4,297,338 | 4,291,320 |
3.902%, 12/1/44(b) | 3,308,047 | 3,284,914 |
3.896%, 1/1/45(b) | 2,603,957 | 2,593,665 |
3.885%, 1/1/45(b) | 1,561,563 | 1,550,744 |
3.981%, 1/1/45(b) | 1,464,610 | 1,452,340 |
4.184%, 1/1/45(b) | 2,888,598 | 2,885,077 |
4.017%, 2/1/45(b) | 1,857,647 | 1,849,719 |
4.086%, 4/1/45(b) | 1,513,676 | 1,510,468 |
4.556%, 5/1/45(b) | 4,522,263 | 4,488,241 |
Debt Securities (continued) | ||
Par Value | Value | |
4.081%, 6/1/45(b) | $967,238 | $973,608 |
4.145%, 8/1/45(b) | 5,419,146 | 5,444,804 |
5.163%, 8/1/45(b) | 570,817 | 561,178 |
4.18%, 8/1/45(b) | 1,325,981 | 1,331,962 |
4.777%, 9/1/45(b) | 1,532,508 | 1,539,128 |
6.626%, 5/1/46(b) | 1,484,123 | 1,485,065 |
5.385%, 5/1/46(b) | 23,287,136 | 23,390,310 |
5.951%, 7/1/46(b) | 3,007,518 | 3,028,347 |
2.58%, 9/1/46(b) | 6,597,276 | 6,635,905 |
3.095%, 6/1/47(b) | 1,108,529 | 1,086,552 |
3.133%, 8/1/47(b) | 690,765 | 671,526 |
3.078%, 10/1/47(b) | 869,020 | 846,363 |
3.38%, 11/1/47(b) | 140,867 | 136,736 |
3.588%, 2/1/49(b) | 3,114,366 | 2,995,503 |
2.176%, 11/1/50(b) | 71,688,816 | 63,361,985 |
1.859%, 8/1/51(b) | 220,962,210 | 197,188,083 |
1.98%, 4/1/52(b) | 103,437,581 | 89,505,453 |
2.316%, 5/1/52(b) | 35,931,727 | 31,489,436 |
2.03%, 5/1/52(b) | 104,285,600 | 90,711,435 |
3.311%, 6/1/52(b) | 14,892,425 | 13,620,159 |
4.077%, 9/1/52(b) | 33,344,193 | 31,449,599 |
4.236%, 9/1/52(b) | 50,204,466 | 48,033,976 |
Freddie Mac Gold, 15 Year | ||
6.00%, 11/1/23 | 15,467 | 15,424 |
5.50%, 12/1/24 | 301 | 300 |
4.50%, 3/1/25 - 6/1/26 | 619,639 | 612,197 |
Freddie Mac Gold, 20 Year | ||
6.50%, 10/1/26 | 412,354 | 421,444 |
4.50%, 5/1/30 - 1/1/34 | 28,879,047 | 28,375,262 |
4.00%, 9/1/31 - 10/1/35 | 143,326,936 | 139,637,003 |
3.50%, 7/1/35 - 1/1/36 | 51,460,385 | 48,751,832 |
Freddie Mac Gold, 30 Year | ||
7.00%, 4/1/31 - 11/1/38 | 949,667 | 970,469 |
6.50%, 12/1/32 - 10/1/38 | 3,624,359 | 3,765,386 |
6.00%, 12/1/33 - 2/1/39 | 5,934,828 | 6,160,396 |
5.50%, 3/1/34 - 12/1/38 | 17,871,484 | 18,332,929 |
4.50%, 3/1/39 - 10/1/47 | 361,251,571 | 355,224,746 |
4.00%, 11/1/45 - 11/1/47 | 86,243,264 | 82,402,281 |
Freddie Mac Pool, 20 Year | ||
2.50%, 10/1/41 - 3/1/42 | 121,935,840 | 106,154,650 |
Freddie Mac Pool, 30 Year | ||
7.00%, 11/1/37 | 4,107 | 4,374 |
4.50%, 7/1/42 | 3,429,411 | 3,386,641 |
2.50%, 5/1/50 - 5/1/52 | 1,449,549,505 | 1,241,020,138 |
2.00%, 6/1/50 - 12/1/50 | 1,425,133,134 | 1,172,922,317 |
2.00%, 10/1/50 | 493,829,103 | 408,622,432 |
2.50%, 11/1/50 | 307,779,956 | 263,664,011 |
2.00%, 12/1/50 | 590,382,153 | 486,313,171 |
2.00%, 12/1/50 | 696,620,808 | 575,712,660 |
3.00%, 1/1/52 | 226,655,690 | 201,158,428 |
3.50%, 4/1/52 - 8/1/52 | 854,723,931 | 782,753,545 |
2.50%, 5/1/52 | 486,644,138 | 415,277,147 |
3.50%, 7/1/52 | 451,665,041 | 411,670,047 |
3.50%, 9/1/52 | 460,220,009 | 419,466,009 |
Ginnie Mae, 20 Year | ||
4.00%, 1/20/35 | 2,247,382 | 2,144,664 |
Ginnie Mae, 30 Year | ||
7.50%, 12/15/23 - 5/15/25 | 20,753 | 20,734 |
7.00%, 5/15/28 | 29,361 | 29,414 |
21,269,507,010 |
Par Value | Value | |
Private Label CMO & REMIC: 0.0%* | ||
GSMPS Mortgage Loan Trust | ||
Series 2004-4 1A4, 8.50%, 6/25/34(a) | $1,717,452 | $1,684,759 |
1,684,759 | ||
25,670,188,307 | ||
29,558,169,837 | ||
Corporate: 39.2% | ||
Financials: 15.5% | ||
Bank of America Corp. | ||
4.20%, 8/26/24 | 161,580,000 | 158,550,002 |
4.25%, 10/22/26 | 161,184,000 | 155,573,978 |
6.204%, 11/10/28(c) | 43,250,000 | 44,454,468 |
3.419%, 12/20/28(c) | 6,195,000 | 5,680,961 |
2.496%, 2/13/31(c) | 76,690,000 | 64,207,274 |
2.572%, 10/20/32(c) | 19,576,000 | 15,944,660 |
5.015%, 7/22/33(c) | 16,710,000 | 16,346,453 |
5.288%, 4/25/34(c) | 25,000,000 | 24,767,656 |
3.846%, 3/8/37(c) | 373,629,000 | 319,499,248 |
Barclays PLC (United Kingdom) | ||
4.375%, 9/11/24 | 236,829,000 | 229,919,616 |
5.20%, 5/12/26 | 55,538,000 | 53,580,171 |
5.304%, 8/9/26(c) | 12,500,000 | 12,193,608 |
5.829%, 5/9/27(c) | 134,000,000 | 132,178,078 |
4.836%, 5/9/28 | 100,924,000 | 92,949,797 |
5.501%, 8/9/28(c) | 64,325,000 | 62,729,111 |
5.088%, 6/20/30(c) | 7,989,000 | 7,264,784 |
7.437%, 11/2/33(c) | 10,000,000 | 10,818,899 |
6.224%, 5/9/34(c) | 32,625,000 | 32,495,650 |
7.119%, 6/27/34(c) | 64,325,000 | 64,299,330 |
BNP Paribas SA (France) | ||
4.25%, 10/15/24 | 377,926,000 | 367,716,828 |
4.375%, 9/28/25(a) | 94,549,000 | 90,634,944 |
4.375%, 5/12/26(a) | 133,514,000 | 128,126,800 |
4.625%, 3/13/27(a) | 277,440,000 | 265,368,924 |
Boston Properties, Inc. | ||
3.80%, 2/1/24 | 63,389,000 | 62,026,459 |
3.20%, 1/15/25 | 46,635,000 | 44,235,055 |
3.65%, 2/1/26 | 28,645,000 | 26,574,807 |
6.75%, 12/1/27 | 28,845,000 | 29,171,182 |
4.50%, 12/1/28 | 87,954,000 | 80,744,537 |
2.90%, 3/15/30 | 38,249,000 | 30,719,010 |
3.25%, 1/30/31 | 132,273,000 | 107,768,986 |
6.50%, 1/15/34 | 80,600,000 | 81,106,367 |
Capital One Financial Corp. | ||
3.75%, 4/24/24 | 14,520,000 | 14,208,256 |
3.20%, 2/5/25 | 45,441,000 | 43,217,382 |
4.20%, 10/29/25 | 136,657,000 | 130,630,798 |
2.636%, 3/3/26(c) | 36,790,000 | 34,353,536 |
3.75%, 7/28/26 | 11,885,000 | 11,068,217 |
4.927%, 5/10/28(c) | 92,310,000 | 87,585,533 |
6.312%, 6/8/29(c) | 68,170,000 | 67,710,769 |
5.268%, 5/10/33(c) | 94,840,000 | 88,801,630 |
6.377%, 6/8/34(c) | 70,017,000 | 69,515,356 |
Charles Schwab Corp. | ||
5.643%, 5/19/29(c) | 59,935,000 | 59,863,074 |
5.853%, 5/19/34(c) | 36,020,000 | 36,556,189 |
Citigroup, Inc. | ||
4.00%, 8/5/24 | 30,990,000 | 30,351,342 |
4.45%, 9/29/27 | 46,199,000 | 44,112,114 |
4.412%, 3/31/31(c) | 88,860,000 | 83,551,645 |
6.625%, 6/15/32 | 1,650,000 | 1,745,848 |
3.785%, 3/17/33(c) | 136,715,000 | 120,788,669 |
6.174%, 5/25/34(c) | 95,975,000 | 96,811,168 |
Debt Securities (continued) | ||
Par Value | Value | |
USD LIBOR 3-Month | ||
+6.37%, 11.643%, 10/30/40(d) | $423,471,200 | $485,807,854 |
Goldman Sachs Group, Inc. | ||
3.615%, 3/15/28(c) | 505,285,000 | 474,094,732 |
HSBC Holdings PLC (United Kingdom) | ||
.976%, 5/24/25(c) | 155,274,000 | 147,719,761 |
4.30%, 3/8/26 | 94,285,000 | 91,128,937 |
5.21%, 8/11/28(c) | 20,125,000 | 19,677,520 |
4.95%, 3/31/30 | 66,043,000 | 65,016,963 |
2.848%, 6/4/31(c) | 105,275,000 | 87,330,555 |
2.357%, 8/18/31(c) | 32,125,000 | 25,642,719 |
4.762%, 3/29/33(c) | 222,917,000 | 201,178,620 |
8.113%, 11/3/33(c) | 156,250,000 | 173,454,891 |
6.547%, 6/20/34(c) | 8,925,000 | 8,890,357 |
6.50%, 5/2/36 | 223,527,000 | 230,584,673 |
6.50%, 9/15/37 | 189,027,000 | 197,951,044 |
6.80%, 6/1/38 | 10,598,000 | 11,159,212 |
JPMorgan Chase & Co. | ||
4.125%, 12/15/26 | 116,242,000 | 111,908,610 |
4.25%, 10/1/27 | 130,835,000 | 126,762,380 |
8.75%, 9/1/30(d) | 81,627,000 | 99,084,742 |
2.739%, 10/15/30(c) | 9,930,000 | 8,553,929 |
4.493%, 3/24/31(c) | 364,895,000 | 350,762,088 |
2.522%, 4/22/31(c) | 67,480,000 | 57,077,593 |
2.956%, 5/13/31(c) | 169,213,000 | 145,091,749 |
4.586%, 4/26/33(c) | 48,390,000 | 46,129,821 |
5.717%, 9/14/33(c) | 156,806,000 | 159,078,624 |
Lloyds Banking Group PLC (United Kingdom) | ||
4.50%, 11/4/24 | 216,152,000 | 209,839,088 |
4.582%, 12/10/25 | 65,106,000 | 62,349,342 |
4.65%, 3/24/26 | 92,116,000 | 87,972,742 |
3.75%, 3/18/28(c) | 103,660,000 | 95,711,020 |
7.953%, 11/15/33(c) | 153,985,000 | 167,054,240 |
NatWest Group PLC (United Kingdom) | ||
6.00%, 12/19/23 | 261,772,000 | 261,654,069 |
5.125%, 5/28/24 | 21,880,000 | 21,497,117 |
1.642%, 6/14/27(c) | 251,357,000 | 221,204,156 |
5.808%, 9/13/29(c) | 130,975,000 | 129,050,371 |
6.016%, 3/2/34(c) | 70,810,000 | 71,187,726 |
3.032%, 11/28/35(c) | 30,731,000 | 23,577,477 |
UBS Group AG (Switzerland) | ||
5.959%, 1/12/34(a)(c) | 327,132,000 | 325,414,433 |
UniCredit SPA (Italy) | ||
7.296%, 4/2/34(a)(c) | 307,671,000 | 289,895,133 |
5.459%, 6/30/35(a)(c) | 175,702,000 | 149,109,414 |
Unum Group | ||
7.25%, 3/15/28 | 18,694,000 | 19,467,215 |
6.75%, 12/15/28 | 8,052,000 | 8,334,957 |
Wells Fargo & Co. | ||
4.10%, 6/3/26 | 128,880,000 | 123,648,031 |
4.30%, 7/22/27 | 157,825,000 | 151,399,603 |
2.879%, 10/30/30(c) | 46,670,000 | 40,308,162 |
2.572%, 2/11/31(c) | 43,705,000 | 37,004,572 |
3.35%, 3/2/33(c) | 17,219,000 | 14,736,944 |
4.897%, 7/25/33(c) | 105,129,000 | 100,841,025 |
5.389%, 4/24/34(c) | 64,840,000 | 64,425,930 |
3.068%, 4/30/41(c) | 39,200,000 | 28,832,223 |
5.013%, 4/4/51(c) | 123,387,000 | 114,923,400 |
9,982,044,933 | ||
Industrials: 20.9% | ||
Anheuser-Busch InBev SA/NV (Belgium) |
Par Value | Value | |
5.55%, 1/23/49 | $37,419,000 | $39,439,383 |
AT&T, Inc. | ||
2.75%, 6/1/31 | 113,862,000 | 96,072,135 |
2.55%, 12/1/33 | 63,242,000 | 49,675,076 |
4.50%, 3/9/48 | 46,095,000 | 38,990,001 |
3.55%, 9/15/55 | 128,222,000 | 89,763,827 |
3.80%, 12/1/57 | 166,466,000 | 120,520,969 |
3.65%, 9/15/59 | 355,785,000 | 247,704,280 |
Bayer AG (Germany) | ||
3.875%, 12/15/23(a) | 298,635,000 | 295,749,592 |
4.25%, 12/15/25(a) | 44,030,000 | 42,484,463 |
4.375%, 12/15/28(a) | 4,485,000 | 4,254,668 |
British American Tobacco PLC (United Kingdom) | ||
2.259%, 3/25/28 | 63,064,000 | 54,046,863 |
2.726%, 3/25/31 | 71,685,000 | 57,095,814 |
4.742%, 3/16/32 | 279,570,000 | 254,898,101 |
7.75%, 10/19/32 | 39,700,000 | 43,690,455 |
4.39%, 8/15/37 | 15,414,000 | 12,329,769 |
3.734%, 9/25/40 | 22,025,000 | 15,670,324 |
4.54%, 8/15/47 | 29,496,000 | 21,705,192 |
3.984%, 9/25/50 | 99,513,000 | 67,057,231 |
5.65%, 3/16/52 | 53,525,000 | 46,499,283 |
Burlington Northern Santa Fe LLC(e) | ||
5.72%, 1/15/24 | 996,746 | 990,801 |
5.629%, 4/1/24 | 513,446 | 507,628 |
5.342%, 4/1/24 | 172,755 | 171,385 |
5.996%, 4/1/24 | 5,722,213 | 5,703,843 |
3.442%, 6/16/28(a) | 62,862,565 | 58,356,394 |
Cemex SAB de CV (Mexico) | ||
5.45%, 11/19/29(a) | 85,517,000 | 82,459,699 |
5.20%, 9/17/30(a) | 215,702,000 | 201,828,306 |
3.875%, 7/11/31(a) | 126,775,000 | 106,732,430 |
Charter Communications, Inc. | ||
4.908%, 7/23/25 | 108,025,000 | 105,934,376 |
4.50%, 5/1/32 | 107,225,000 | 85,614,520 |
4.40%, 4/1/33 | 40,625,000 | 35,658,818 |
4.50%, 6/1/33(a) | 227,585,000 | 178,719,132 |
4.25%, 1/15/34(a) | 92,005,000 | 69,534,416 |
6.55%, 5/1/37 | 45,728,000 | 43,838,252 |
6.75%, 6/15/39 | 122,432,000 | 117,666,605 |
6.484%, 10/23/45 | 500,157,000 | 470,206,613 |
5.375%, 5/1/47 | 59,335,000 | 49,043,648 |
5.75%, 4/1/48 | 235,090,000 | 201,227,914 |
4.80%, 3/1/50 | 14,905,000 | 11,245,804 |
5.25%, 4/1/53 | 156,290,000 | 126,232,721 |
Coca-Cola Co. | ||
1.65%, 6/1/30 | 130,825,000 | 108,989,224 |
Comcast Corp. | ||
5.50%, 11/15/32 | 4,821,000 | 5,009,502 |
Cox Enterprises, Inc. | ||
3.85%, 2/1/25(a) | 218,525,000 | 211,399,866 |
3.35%, 9/15/26(a) | 160,651,000 | 150,407,696 |
3.50%, 8/15/27(a) | 32,502,000 | 30,222,370 |
5.45%, 9/15/28(a) | 41,425,000 | 41,387,576 |
1.80%, 10/1/30(a) | 12,094,000 | 9,513,041 |
5.70%, 6/15/33(a) | 30,625,000 | 30,886,882 |
CRH PLC (Ireland) | ||
3.875%, 5/18/25(a) | 61,144,000 | 58,871,852 |
CVS Health Corp. | ||
4.30%, 3/25/28 | 32,995,000 | 31,821,024 |
3.75%, 4/1/30 | 82,424,000 | 75,605,652 |
4.78%, 3/25/38 | 43,844,000 | 40,462,377 |
4.125%, 4/1/40 | 57,090,000 | 48,111,218 |
Debt Securities (continued) | ||
Par Value | Value | |
5.05%, 3/25/48 | $131,586,000 | $121,288,440 |
Dell Technologies, Inc. | ||
6.02%, 6/15/26 | 29,345,000 | 29,826,528 |
6.10%, 7/15/27 | 37,510,000 | 38,643,149 |
Dillard's, Inc. | ||
7.75%, 7/15/26 | 20,806,000 | 21,172,623 |
7.75%, 5/15/27 | 13,063,000 | 13,447,136 |
7.00%, 12/1/28 | 27,945,000 | 27,979,579 |
Dow, Inc. | ||
7.375%, 11/1/29 | 29,612,000 | 32,947,854 |
9.40%, 5/15/39 | 76,250,000 | 102,425,700 |
5.25%, 11/15/41 | 24,024,000 | 23,169,089 |
Elanco Animal Health, Inc. | ||
6.022%, 8/28/23 | 43,545,000 | 43,320,224 |
6.65%, 8/28/28 | 113,742,000 | 110,360,450 |
Exxon Mobil Corp. | ||
2.61%, 10/15/30 | 73,052,000 | 64,134,924 |
4.227%, 3/19/40 | 26,720,000 | 24,629,319 |
FedEx Corp. | ||
5.25%, 5/15/50 | 102,915,000 | 98,901,411 |
Ford Motor Credit Co. LLC(e) | ||
4.375%, 8/6/23 | 131,856,000 | 131,624,659 |
3.81%, 1/9/24 | 43,414,000 | 42,795,285 |
4.063%, 11/1/24 | 139,720,000 | 135,204,054 |
5.125%, 6/16/25 | 61,494,000 | 59,804,760 |
4.134%, 8/4/25 | 39,675,000 | 37,627,826 |
3.375%, 11/13/25 | 219,940,000 | 204,516,576 |
4.389%, 1/8/26 | 31,215,000 | 29,541,966 |
6.95%, 3/6/26 | 18,575,000 | 18,673,429 |
4.542%, 8/1/26 | 22,235,000 | 20,900,793 |
2.70%, 8/10/26 | 226,026,000 | 201,790,294 |
4.95%, 5/28/27 | 63,225,000 | 59,639,321 |
7.35%, 11/4/27 | 73,750,000 | 75,307,600 |
6.80%, 5/12/28 | 167,950,000 | 168,104,013 |
Foundry JV Holdco LLC(e) | ||
5.875%, 1/25/34(a) | 97,075,000 | 96,691,246 |
GE HealthCare Technologies, Inc. | ||
5.857%, 3/15/30 | 66,875,000 | 68,635,931 |
5.905%, 11/22/32 | 192,050,000 | 200,918,364 |
HCA Healthcare, Inc. | ||
5.25%, 6/15/26 | 11,007,000 | 10,886,696 |
3.125%, 3/15/27(a) | 40,864,000 | 37,526,958 |
4.125%, 6/15/29 | 88,529,000 | 81,923,741 |
3.625%, 3/15/32(a) | 114,872,000 | 99,709,859 |
5.125%, 6/15/39 | 19,235,000 | 17,843,958 |
Imperial Brands PLC (United Kingdom) | ||
4.25%, 7/21/25(a) | 597,942,000 | 573,473,508 |
3.50%, 7/26/26(a) | 2,150,000 | 2,002,404 |
6.125%, 7/27/27(a) | 83,200,000 | 83,344,909 |
3.875%, 7/26/29(a) | 210,950,000 | 185,789,439 |
Kinder Morgan, Inc. | ||
4.80%, 2/1/33 | 25,560,000 | 24,106,526 |
6.50%, 2/1/37 | 50,356,000 | 51,767,183 |
6.95%, 1/15/38 | 106,964,000 | 114,868,310 |
6.50%, 9/1/39 | 71,826,000 | 73,452,977 |
5.00%, 8/15/42 | 77,997,000 | 66,138,425 |
5.00%, 3/1/43 | 73,148,000 | 62,938,104 |
5.50%, 3/1/44 | 81,454,000 | 74,233,891 |
5.40%, 9/1/44 | 68,607,000 | 60,824,761 |
5.55%, 6/1/45 | 10,200,000 | 9,396,962 |
5.20%, 3/1/48 | 21,247,000 | 18,603,841 |
5.45%, 8/1/52 | 2,800,000 | 2,556,491 |
Macy's, Inc. | ||
6.70%, 7/15/34(a) | 55,190,000 | 45,117,825 |
Par Value | Value | |
4.50%, 12/15/34 | $11,932,000 | $8,577,557 |
Microchip Technology, Inc. | ||
.983%, 9/1/24 | 22,155,000 | 20,926,975 |
Nordstrom, Inc. | ||
6.95%, 3/15/28 | 19,907,000 | 19,767,651 |
Occidental Petroleum Corp. | ||
2.90%, 8/15/24 | 209,901,000 | 202,066,164 |
Oracle Corp. | ||
2.95%, 4/1/30 | 55,470,000 | 48,417,859 |
Philip Morris International, Inc. | ||
5.625%, 11/17/29 | 29,005,000 | 29,554,154 |
5.75%, 11/17/32 | 33,745,000 | 34,557,414 |
5.375%, 2/15/33 | 78,633,000 | 78,459,752 |
Prosus NV(e) (China) | ||
3.257%, 1/19/27(a) | 7,825,000 | 7,072,111 |
4.85%, 7/6/27(a) | 195,473,000 | 186,901,509 |
3.68%, 1/21/30(a) | 209,841,000 | 178,138,236 |
3.061%, 7/13/31(a) | 528,334,000 | 413,054,903 |
4.193%, 1/19/32(a) | 72,130,000 | 60,740,236 |
4.027%, 8/3/50(a) | 16,980,000 | 10,668,831 |
4.987%, 1/19/52(a) | 363,151,000 | 261,910,936 |
RELX PLC (United Kingdom) | ||
4.00%, 3/18/29 | 58,740,000 | 56,004,804 |
TC Energy Corp. (Canada) | ||
5.625%, 5/20/75(c)(d) | 270,121,000 | 257,898,025 |
5.875%, 8/15/76(c)(d) | 225,747,000 | 212,935,858 |
5.30%, 3/15/77(c)(d) | 288,066,000 | 255,497,258 |
5.50%, 9/15/79(c)(d) | 185,871,000 | 159,430,850 |
5.60%, 3/7/82(c)(d) | 72,625,000 | 61,200,361 |
Telecom Italia SPA (Italy) | ||
5.303%, 5/30/24(a) | 408,704,000 | 397,242,853 |
7.20%, 7/18/36 | 69,968,000 | 60,140,288 |
7.721%, 6/4/38 | 175,032,000 | 154,764,782 |
The Cigna Group | ||
4.125%, 11/15/25 | 47,075,000 | 45,827,568 |
7.875%, 5/15/27 | 26,593,000 | 29,256,950 |
4.375%, 10/15/28 | 64,256,000 | 62,132,455 |
The Walt Disney Co. | ||
6.65%, 11/15/37 | 75,362,000 | 87,137,082 |
The Williams Companies, Inc. | ||
3.50%, 11/15/30 | 109,165,000 | 97,588,301 |
T-Mobile U.S., Inc. | ||
2.25%, 2/15/26 | 109,975,000 | 101,051,123 |
3.375%, 4/15/29 | 111,580,000 | 100,762,085 |
3.875%, 4/15/30 | 186,307,000 | 171,638,789 |
2.55%, 2/15/31 | 18,595,000 | 15,456,358 |
3.50%, 4/15/31 | 111,565,000 | 98,444,766 |
5.20%, 1/15/33 | 27,255,000 | 27,079,773 |
4.375%, 4/15/40 | 51,525,000 | 45,501,362 |
4.50%, 4/15/50 | 30,705,000 | 26,346,301 |
3.40%, 10/15/52 | 94,060,000 | 67,126,469 |
5.65%, 1/15/53 | 65,470,000 | 66,478,256 |
Ultrapar Participacoes SA (Brazil) | ||
5.25%, 10/6/26(a) | 152,925,000 | 148,146,094 |
5.25%, 6/6/29(a) | 50,542,000 | 46,751,350 |
Union Pacific Corp. | ||
5.082%, 1/2/29 | 1,309,560 | 1,291,106 |
5.866%, 7/2/30 | 10,347,443 | 10,580,875 |
6.176%, 1/2/31 | 11,647,434 | 11,952,157 |
Verizon Communications, Inc. | ||
2.55%, 3/21/31 | 2,525,000 | 2,108,206 |
4.272%, 1/15/36 | 164,899,000 | 148,679,097 |
3.55%, 3/22/51 | 26,840,000 | 20,021,260 |
VMware, Inc. |
Debt Securities (continued) | ||
Par Value | Value | |
.60%, 8/15/23 | $50,075,000 | $49,774,112 |
1.40%, 8/15/26 | 83,510,000 | 73,742,835 |
Vodafone Group PLC (United Kingdom) | ||
7.00%, 4/4/79(c)(d) | 244,700,000 | 250,903,145 |
Zoetis, Inc. | ||
4.50%, 11/13/25 | 101,339,000 | 99,679,795 |
13,473,925,359 | ||
Utilities: 2.8% | ||
American Electric Power Co., Inc | ||
5.699%, 8/15/25 | 82,135,000 | 81,579,767 |
Dominion Energy | ||
1.45%, 4/15/26 | 30,710,000 | 27,570,944 |
3.375%, 4/1/30 | 23,545,000 | 21,059,856 |
5.75%, 10/1/54(c)(d) | 240,923,000 | 230,493,918 |
Enel SPA (Italy) | ||
5.00%, 6/15/32(a) | 7,150,000 | 6,758,866 |
7.50%, 10/14/32(a) | 60,597,000 | 67,185,144 |
6.80%, 9/15/37(a) | 138,532,000 | 145,811,280 |
6.00%, 10/7/39(a) | 161,310,000 | 158,435,882 |
8.75%, 9/24/73(a)(c)(d) | 33,849,000 | 33,661,543 |
NextEra Energy, Inc. | ||
4.255%, 9/1/24 | 87,765,000 | 86,317,633 |
6.051%, 3/1/25 | 47,710,000 | 47,889,383 |
4.625%, 7/15/27 | 138,275,000 | 135,206,303 |
The Southern Co. | ||
4.475%, 8/1/24 | 118,235,000 | 116,075,265 |
5.113%, 8/1/27 | 169,325,000 | 167,744,542 |
4.85%, 6/15/28 | 95,350,000 | 93,454,398 |
4.00%, 1/15/51(c)(d) | 317,969,000 | 294,064,091 |
3.75%, 9/15/51(c)(d) | 145,726,000 | 124,012,826 |
1,837,321,641 | ||
25,293,291,933 | ||
Total Debt Securities (Cost $67,881,862,754) | $63,078,996,928 |
Short-Term Investments: 1.7% | ||
Par Value/ Shares | Value | |
Repurchase Agreements: 1.3% | ||
Fixed Income Clearing Corporation(f) 5.04%, dated 6/30/23, due 7/3/23, maturity value $550,231,000 | $550,000,000 | $550,000,000 |
Fixed Income Clearing Corporation(f) 2.45%, dated 6/30/23, due 7/3/23, maturity value $193,647,528 | 193,608,000 | 193,608,000 |
Royal Bank of Canada(f) 5.05%, dated 6/30/23, due 7/3/23, maturity value $100,042,083 | 100,000,000 | 100,000,000 |
843,608,000 | ||
Money Market Fund: 0.4% | ||
State Street Institutional U.S. Government Money Market Fund - Premier Class | 256,465,084 | 256,465,084 |
Total Short-Term Investments (Cost $1,100,073,084) | $1,100,073,084 | |
Total Investments In Securities (Cost $68,981,935,838) | 99.6 % | $64,179,070,012 |
Other Assets Less Liabilities | 0.4 % | 236,541,603 |
Net Assets | 100.0 % | $64,415,611,615 |
(a) | Security exempt from registration under Rule 144A of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(b) | Variable rate security: interest rate is determined by the interest rates of underlying pool of assets that collateralize the security. The interest rate of the security may change due to a change in the interest rates or the composition of underlying pool of assets. The interest rate shown is the rate as of period end. |
(c) | Variable rate security: fixed-to-float security pays an initial fixed interest rate and will pay a floating interest rate established at a predetermined time in the future. The interest rate shown is the rate as of period end. |
(d) | Hybrid security: characteristics of both a debt and equity security. |
(e) | Subsidiary. Security may be issued by parent company or one of its subsidiaries. (see below) |
(f) | Repurchase agreements are collateralized by: Fixed Income Clearing Corporation: U.S. Treasury Notes 0.25%-4.50%, 9/30/25- 8/15/39. U.S. Treasury Inflation Indexed Notes 0.125%, 10/15/25. Total collateral value is $758,480,182. Royal Bank of Canada: U.S. Treasury Notes 0.75%-3.875%, 6/15/25-12/31/27. Total collateral value is $102,042,951. |
* | Rounds to 0.0%. |
Debt securities are grouped by parent company unless otherwise noted. Actual securities may be issued by the listed parent company or one of its subsidiaries. The Fund usually classifies a company or issuer based on its country of risk, but may designate a different country in certain circumstances. | |
Debt securities with floating interest rates are linked to the referenced benchmark; the interest rate shown is the rate as of period end. | |
ARM: Adjustable Rate Mortgage |
CMBS: Commercial Mortgage-Backed Security |
CMO: Collateralized Mortgage Obligation |
GO: General Obligation |
RB: Revenue Bond |
REMIC: Real Estate Mortgage Investment Conduit |
SOFR: Secured Overnight Financing Rate |
Description | Number of Contracts | Expiration Date | Notional Amount | Value / Unrealized Appreciation/ (Depreciation) |
Ultra 10 Year U.S. Treasury Note Future— Short Position | (6,320 ) | 9/20/23 | $(748,525,000 ) | $7,897,813 |
Statement of Assets and Liabilities (unaudited)
June 30, 2023 | |
Assets: | |
Investments in securities, at value (cost $68,981,935,838) | $64,179,070,012 |
Cash pledged as collateral for delayed delivery securities | 5,200,000 |
Deposits with broker for futures contracts | 19,592,000 |
Receivable for investments sold | 82,749,052 |
Receivable for Fund shares sold | 117,763,297 |
Dividends and interest receivable | 526,923,198 |
Expense reimbursement receivable | 162,360 |
Prepaid expenses and other assets | 187,724 |
64,931,647,643 | |
Liabilities: | |
Payable for variation margin for futures contracts | 1,876,128 |
Payable for investments purchased | 438,294,212 |
Payable for Fund shares redeemed | 54,309,204 |
Management fees payable | 20,719,521 |
Accrued expenses | 836,963 |
516,036,028 | |
Net Assets | $64,415,611,615 |
Net Assets Consist of: | |
Paid in capital | $71,026,229,856 |
Accumulated loss | (6,610,618,241 ) |
$64,415,611,615 | |
Class I | |
Total net assets | $56,909,920,701 |
Shares outstanding (par value $0.01 each, unlimited shares authorized) | 4,609,273,460 |
Net asset value per share | $12.35 |
Class X | |
Total net assets | $7,505,690,914 |
Shares outstanding (par value $0.01 each, unlimited shares authorized) | 607,538,974 |
Net asset value per share | $12.35 |
Statement of Operations (unaudited)
Six Months Ended June 30, 2023 | |
Investment Income: | |
Dividends | $23,109,569 |
Interest | 1,282,782,203 |
1,305,891,772 | |
Expenses: | |
Investment advisory fees | 92,513,599 |
Administrative services fees | |
Class I | 27,781,554 |
Class X | 1,528,156 |
Custody and fund accounting fees | 345,792 |
Professional services | 118,472 |
Shareholder reports | 604,029 |
Registration fees | 486,020 |
Trustees fees | 207,143 |
Miscellaneous | 397,195 |
Total expenses | 123,981,960 |
Expenses reimbursed by investment manager | (825,204 ) |
Net expenses | 123,156,756 |
Net Investment Income | 1,182,735,016 |
Realized and Unrealized Gain (Loss): | |
Net realized gain (loss) | |
Investments in securities | (168,151,512 ) |
Futures contracts | 17,136,608 |
Net change in unrealized appreciation/depreciation | |
Investments in securities | 796,986,163 |
Futures contracts | 7,897,813 |
Net realized and unrealized gain | 653,869,072 |
Net Change in Net Assets From Operations | $1,836,604,088 |
Statement of Changes in Net Assets (unaudited)
Six Months Ended | Year Ended | |
June 30, 2023 | December 31, 2022 | |
Operations: | ||
Net investment income | $1,182,735,016 | $1,696,730,460 |
Net realized gain (loss) | (151,014,904 ) | (1,643,000,504 ) |
Net change in unrealized appreciation/depreciation | 804,883,976 | (7,671,529,841 ) |
1,836,604,088 | (7,617,799,885 ) | |
Distributions to Shareholders: | ||
Class I | (1,040,657,547 ) | (1,595,784,153 ) |
Class X | (127,924,021 ) | (61,112,262 ) |
Total distributions | (1,168,581,568 ) | (1,656,896,415 ) |
Fund Share Transactions: | ||
Class I | ||
Proceeds from sales of shares | 9,331,400,113 | 14,160,294,176 |
Reinvestment of distributions | 893,698,679 | 1,350,893,039 |
Cost of shares redeemed | (7,500,305,817 ) | (24,610,745,173 ) |
Class X | ||
Proceeds from sales of shares | 3,388,809,877 | 4,768,983,317 |
Reinvestment of distributions | 121,741,037 | 57,313,700 |
Cost of shares redeemed | (552,541,376 ) | (225,238,772 ) |
Net change from Fund share transactions | 5,682,802,513 | (4,498,499,713 ) |
Total change in net assets | 6,350,825,033 | (13,773,196,013 ) |
Net Assets: | ||
Beginning of period | 58,064,786,582 | 71,837,982,595 |
End of period | $64,415,611,615 | $58,064,786,582 |
Share Information: | ||
Class I | ||
Shares sold | 748,237,601 | 1,111,446,487 |
Distributions reinvested | 72,333,464 | 108,706,141 |
Shares redeemed | (601,971,444 ) | (1,937,824,931 ) |
Net change in shares outstanding | 218,599,621 | (717,672,303 ) |
Class X | ||
Shares sold | 271,376,484 | 384,282,770 |
Distributions reinvested | 9,853,009 | 4,689,449 |
Shares redeemed | (44,387,644 ) | (18,275,094 ) |
Net change in shares outstanding | 236,841,849 | 370,697,125 |
Classification | LEVEL 1 (Quoted Prices) | LEVEL 2 (Other Significant Observable Inputs) |
Securities | ||
Debt Securities | ||
U.S. Treasury | $— | $5,244,540,102 |
Government-Related | — | 2,982,995,056 |
Securitized | — | 29,558,169,837 |
Corporate | — | 25,293,291,933 |
Short-Term Investments | ||
Repurchase Agreements | — | 843,608,000 |
Money Market Fund | 256,465,084 | — |
Total Securities | $256,465,084 | $63,922,604,928 |
Classification | LEVEL 1 (Quoted Prices) | LEVEL 2 (Other Significant Observable Inputs) |
Other Investments | ||
Futures Contracts | ||
Appreciation | $7,897,813 | $— |
Credit Derivatives | |
Net realized gain (loss) | |
Futures contracts | $17,136,608 |
Net change in unrealized appreciation/depreciation | |
Futures contracts | $7,897,813 |
Derivative | % of Net Assets | |
Futures contracts | USD notional value | 0-3 % |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | |
Class I | ||
Ordinary income | $1,040,657,547 | $1,595,784,153 |
Long-term capital gain | $— | $— |
Class X | ||
Ordinary income | $127,924,021 | $61,112,262 |
Long-term capital gain | $— | $— |
Capital loss carryforward1 | $(1,678,788,772 ) |
Net unrealized depreciation | (5,599,851,989 ) |
Total distributable earnings | $(7,278,640,761 ) |
1 | Represents accumulated long-term capital loss as of December 31, 2022, which may be carried forward to offset future capital gains. |
Tax cost | $68,989,833,651 |
Unrealized appreciation | 208,107,240 |
Unrealized depreciation | (5,010,973,066 ) |
Net unrealized appreciation | (4,802,865,826 ) |
Selected data and ratios (for a share outstanding throughout each period) | Six Months Ended June 30, | Year Ended December 31, | ||||
2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
Class I | ||||||
Net asset value, beginning of period | $12.19 | $14.06 | $14.65 | $14.03 | $13.26 | $13.76 |
Income from investment operations: | ||||||
Net investment income | 0.24 | 0.34 | 0.27 | 0.35 | 0.44 | 0.41 |
Net realized and unrealized gain (loss) | 0.15 | (1.87 ) | (0.40 ) | 0.96 | 0.84 | (0.45 ) |
Total from investment operations | 0.39 | (1.53 ) | (0.13 ) | 1.31 | 1.28 | (0.04 ) |
Distributions to shareholders from: | ||||||
Net investment income | (0.23 ) | (0.34 ) | (0.27 ) | (0.36 ) | (0.43 ) | (0.40 ) |
Net realized gain | — | — | (0.19 ) | (0.33 ) | (0.08 ) | (0.06 ) |
Total distributions | (0.23 ) | (0.34 ) | (0.46 ) | (0.69 ) | (0.51 ) | (0.46 ) |
Net asset value, end of period | $12.35 | $12.19 | $14.06 | $14.65 | $14.03 | $13.26 |
Total return | 3.21 % | (10.87 )% | (0.91 )% | 9.45 % | 9.73 % | (0.31 )% |
Ratios/supplemental data: | ||||||
Net assets, end of period (millions) | $56,910 | $53,542 | $71,838 | $69,127 | $63,546 | $54,314 |
Ratio of expenses to average net assets | 0.41 %(a) | 0.41 % | 0.42 % | 0.42 % | 0.42 % | 0.42 % |
Ratio of net investment income to average net assets | 3.82 %(a) | 2.70 % | 1.87 % | 2.43 % | 3.12 % | 3.02 % |
Portfolio turnover rate | 42 % | 118 % | 91 % | 94 % | 49 % | 37 % |
Portfolio turnover rate excluding TBA rolls(b) | 17 % | 34 % | 28 % | 77 % | 46 % | 37 % |
Class X(c) | ||||||
Net asset value, beginning of period | $12.20 | $12.83 | ||||
Income from investment operations: | ||||||
Net investment income | 0.23 | 0.25 | ||||
Net realized and unrealized gain (loss) | 0.15 | (0.60 ) | ||||
Total from investment operations | 0.38 | (0.35 ) | ||||
Distributions to shareholders from: | ||||||
Net investment income | (0.23 ) | (0.28 ) | ||||
Net realized gain | — | — | ||||
Total distributions | (0.23 ) | (0.28 ) | ||||
Net asset value, end of period | $12.35 | $12.20 | ||||
Total return | 3.16 % | (2.72 )% | ||||
Ratios/supplemental data: | ||||||
Net assets, end of period (millions) | $7,506 | $4,523 | ||||
Ratio of expenses to average net assets | 0.33 %(a) | 0.33 %(a) | ||||
Ratio of expenses to average net assets, before reimbursement by investment manager | 0.36 %(a) | 0.36 %(a) | ||||
Ratio of net investment income to average net assets | 3.92 %(a) | 3.53 %(a) | ||||
Portfolio turnover rate | 42 % | 118 % | ||||
Portfolio turnover rate excluding TBA rolls(b) | 17 % | 34 % |
(a) | Annualized |
(b) | See Note 1 regarding To-Be-Announced securities |
(c) | For 2022, the period covers 5/2/2022 (commencement of operations) to 12/31/2022 |
(unaudited)
information, please visit the Funds’ website.
Kansas City, Missouri 64121-9502
(800) 621-3979
555 California Street, 40th Floor
San Francisco, California 94104
(415) 981-1710
3 Canal Plaza, Suite 100
Portland, Maine 04101
This report reflects our views, opinions, and portfolio holdings as of June 30, 2023, the end of the reporting period. Any such views are subject to change at any time based upon market or other conditions and Dodge & Cox disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Dodge & Cox Fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Dodge & Cox Fund.
June 30, 2023
For the Board of Trustees, | |
Dana M. Emery, Chair and President |
1 | All returns are stated in U.S. dollars, unless otherwise noted. The Funds’ total returns include the reinvestment of dividend and capital gain distributions, but have not been adjusted for any income taxes payable by shareholders on these distributions or on Fund share redemptions. Index returns include dividend and/or interest income but, unlike Fund returns, do not reflect fees or expenses. The Bloomberg Global Aggregate Bond Index is a widely recognized, unmanaged index of multi-currency, investment-grade fixed income securities. Bloomberg calculates a USD hedged return by applying one-month forward rates to seek to eliminate the effect of non- USD exposures. |
2 | Unless otherwise specified, all weightings include accrued interest and weightings and characteristics are as of June 30, 2023. |
3 | Duration is a measure of a bond’s (or a bond portfolio’s) price sensitivity to changes in interest rates. |
4 | The use of specific examples does not imply that they are more or less attractive investments than the Fund’s other holdings. |
5 | Credit refers to corporate bonds and government-related securities, as classified by Bloomberg, as well as Rio Oil Finance Trust, an asset-backed security that we group as a credit investment. |
6 | As measured by the Trade-Weighted U.S. Dollar Index, a measure of the value of the United States dollar relative to other world currencies. |
1 Year | 3 Years | 5 Years | 10 Years | |
Dodge & Cox Global Bond Fund | ||||
Class I | 8.95% | 1.38% | 3.87% | 3.40% |
Class X(a) | 9.14 | 1.41 | 3.89 | 3.41 |
Bloomberg Global Aggregate Bond Index (USD Hedged) | 0.52 | -2.88 | 0.93 | 2.11 |
Net Expense Ratio | Gross Expense Ratio | |
Dodge & Cox Global Bond Fund | ||
Class I | 0.45%(b) | 0.52% |
Class X | 0.37%(b) | 0.47% |
(a) | The Class X shares inception date is May 2, 2022. The returns shown prior to that date are for the Class I shares. |
(b) | Dodge & Cox has contractually agreed to reimburse the Fund for all ordinary expenses to the extent necessary to maintain Total Annual Fund Operating Expenses of the Class I shares at 0.45% and the Class X shares at 0.37% until April 30, 2026. These agreements cannot be terminated prior to April 30, 2026 other than by resolution of the Fund’s Board of Trustees. For purposes of the foregoing, ordinary expenses shall not include nonrecurring shareholder account fees, fees and expenses associated with Fund shareholder meetings, fees on portfolio transactions such as exchange fees, dividends and interest on short positions, fees and expenses of pooled investment vehicles that are held by the Fund, interest expenses and other fees and expenses related to any borrowings, taxes, brokerage fees and commissions and other costs and expenses relating to the acquisition and disposition of Fund investments, other expenditures which are capitalized in accordance with generally accepted accounting principles, and other nonroutine expenses or extraordinary expenses not incurred in the ordinary course of the Fund’s business, such as litigation expenses. The term of the agreement will automatically renew for subsequent three-year terms unless terminated with at least 30 days’ written notice by either party prior to the end of the then-current term. The agreement does not permit Dodge & Cox to recoup any fees waived or payments made to the Fund for a prior year. |
Sector Diversification | % of Net Assets |
Corporate | 47.8 |
Government | 24.2 |
Government-Related | 7.1 |
Securitized | 16.9 |
Net Cash & Other(a) | 4.0 |
Five Largest Countries(b),(c) | % of Net Assets |
United States | 46.8 |
United Kingdom | 9.5 |
Mexico | 6.3 |
Brazil | 5.8 |
Italy | 4.3 |
(a) | Net Cash & Other includes cash, short-term investments, unrealized gain (loss) on derivatives, receivables, and payables. |
(b) | The Fund usually classifies a company or issuer based on its country of risk, but may designate a different country in certain circumstances. |
(c) | Excludes currency and interest rate derivatives. |
Six Months Ended June 30, 2023 | Beginning Account Value 1/1/2023 | Ending Account Value 6/30/2023 | Expenses Paid During Period* | Annualized Expense Ratio |
Class I | ||||
Based on actual return | $1,000.00 | $1,052.70 | $2.29 | 0.45% |
Based on hypothetical 5% yearly return | 1,000.00 | 1,022.56 | 2.26 | 0.45 |
Class X | ||||
Based on actual return | $1,000.00 | $1,054.00 | $1.88 | 0.37% |
Based on hypothetical 5% yearly return | 1,000.00 | 1,022.96 | 1.86 | 0.37 |
* | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
Debt Securities: 96.0% | |||
Par Value | Value | ||
Government: 24.2% | |||
Brazil Government (Brazil) | |||
10.00%, 1/1/25 | BRL | 20,463,000 | $4,224,917 |
10.00%, 1/1/27 | BRL | 73,111,000 | 15,177,834 |
10.00%, 1/1/33 | BRL | 255,552,000 | 51,386,793 |
Colombia Government (Colombia) | |||
7.25%, 10/18/34 | COP | 30,590,000,000 | 5,913,992 |
4.75%, 4/4/35(a) | COP | 64,652,996,310 | 15,917,359 |
Hungary Government (Hungary) | |||
6.00%, 11/24/23 | HUF | 3,567,800,000 | 10,202,778 |
Indonesia Government (Indonesia) | |||
8.25%, 5/15/36 | IDR | 58,189,000,000 | 4,466,222 |
Japan Government (Japan) | |||
0.10%, 12/20/24 | JPY | 9,795,600,000 | 68,092,109 |
Malaysia Government (Malaysia) | |||
3.899%, 11/16/27 | MYR | 136,450,000 | 29,533,084 |
4.893%, 6/8/38 | MYR | 39,638,000 | 9,308,370 |
Mexico Government (Mexico) | |||
5.75%, 3/5/26 | MXN | 159,169,800 | 8,498,293 |
4.00%, 11/30/28(a) | MXN | 87,857,680 | 5,015,438 |
8.00%, 11/7/47 | MXN | 890,667,200 | 47,527,921 |
Norway Government (Norway) | |||
3.00%, 3/14/24(b) | NOK | 419,829,000 | 38,826,438 |
Peru Government (Peru) | |||
6.15%, 8/12/32 | PEN | 73,311,000 | 19,286,222 |
South Africa Government (South Africa) | |||
8.25%, 3/31/32 | ZAR | 535,090,000 | 23,852,853 |
South Korea Government (South Korea) | |||
3.375%, 6/10/32 | KRW | 26,116,850,000 | 19,352,688 |
U.S. Treasury Note/Bond (United States) | |||
0.125%, 8/15/23 | USD | 10,939,000 | 10,872,787 |
4.25%, 9/30/24 | USD | 15,000,000 | 14,803,125 |
0.625%, 10/15/24 | USD | 15,000,000 | 14,132,227 |
4.25%, 5/31/25 | USD | 50,250,000 | 49,617,950 |
4.125%, 9/30/27 | USD | 21,000,000 | 20,882,695 |
486,892,095 | |||
Government-Related: 7.1% | |||
Chicago Transit Authority RB (United States) | |||
6.899%, 12/1/40 | USD | 3,735,000 | 4,233,384 |
6.899%, 12/1/40 | USD | 340,000 | 385,368 |
Colombia Government (Colombia) | |||
4.50%, 3/15/29 | USD | 6,000,000 | 5,248,898 |
5.625%, 2/26/44 | USD | 7,850,000 | 5,830,650 |
5.00%, 6/15/45 | USD | 2,100,000 | 1,458,018 |
5.20%, 5/15/49 | USD | 3,450,000 | 2,365,837 |
Indonesia Government (Indonesia) | |||
1.30%, 3/23/34 | EUR | 9,900,000 | 7,943,360 |
Kommuninvest Cooperative Society (Sweden) | |||
0.75%, 2/4/26(c) | SEK | 222,880,000 | 19,051,204 |
New South Wales Treasury Corp (Australia) | |||
3.00%, 5/20/27(c) | AUD | 44,971,000 | 28,629,670 |
Petroleo Brasileiro SA (Brazil) | |||
6.625%, 1/16/34 | GBP | 4,900,000 | 5,285,491 |
6.90%, 3/19/49 | USD | 4,250,000 | 3,921,645 |
6.75%, 6/3/50 | USD | 10,050,000 | 8,997,604 |
Petroleos Mexicanos (Mexico) | |||
4.75%, 2/26/29(c) | EUR | 7,600,000 | 6,488,118 |
6.75%, 9/21/47 | USD | 2,311,000 | 1,451,131 |
Par Value | Value | ||
7.69%, 1/23/50 | USD | 47,650,000 | $32,298,790 |
State of Illinois GO (United States) | |||
5.10%, 6/1/33 | USD | 8,580,000 | 8,431,628 |
142,020,796 | |||
Securitized: 16.9% | |||
Asset-Backed: 3.9% | |||
Other: 0.7% | |||
Rio Oil Finance Trust (Brazil) | |||
9.25%, 7/6/24(b) | USD | 3,383,652 | 3,404,800 |
9.75%, 1/6/27(b) | USD | 4,094,575 | 4,212,294 |
8.20%, 4/6/28(b) | USD | 6,393,083 | 6,417,057 |
14,034,151 | |||
Student Loan: 3.2% | |||
Navient Student Loan Trust (United States) | |||
USD LIBOR 1-Month | |||
+1.25% 6.40%, 6/25/65(b) | USD | 1,022,764 | 1,022,064 |
+1.35% 6.50%, 6/25/65(b) | USD | 14,859,669 | 14,763,313 |
+1.00% 6.15%, 9/27/66(b) | USD | 3,644,478 | 3,580,526 |
+0.55% 0.70%, 2/25/70(b) | USD | 5,725,065 | 5,548,873 |
Navient Student Loan Trust (Private Loans) (United States) | |||
Series 2017-A B, 3.91%, 12/16/58(b) | USD | 1,445,000 | 1,360,377 |
Series 2020-A B, 3.16%, 11/15/68(b) | USD | 2,000,000 | 1,687,793 |
SLM Student Loan Trust (United States) | |||
USD LIBOR 1-Month | |||
+0.95% 6.10%, 9/25/28 | USD | 1,271,364 | 1,219,022 |
USD LIBOR 3-Month | |||
+0.11% 5.662%, 12/15/32(b) | USD | 1,897,960 | 1,776,708 |
+0.45% 6.002%, 12/15/32(b) | USD | 681,086 | 645,859 |
+0.49% 5.745%, 4/27/43 | USD | 6,975,876 | 6,538,021 |
SMB Private Education Loan Trust (Private Loans) (United States) | |||
Series 2017-B A2A, 2.82%, 10/15/35(b) | USD | 511,772 | 486,861 |
Series 2018-C B, 4.00%, 11/17/42(b) | USD | 1,000,000 | 899,289 |
Series 2021-A APT2, 1.07%, 1/15/53(b) | USD | 3,818,183 | 3,263,457 |
Series 2023-A B, 5.88%, 1/15/53(b) | USD | 7,000,000 | 6,834,479 |
Series 2023-B B, 5.77%, 10/16/56(b) | USD | 15,475,000 | 15,107,907 |
64,734,549 | |||
78,768,700 | |||
CMBS: 0.1% | |||
Agency CMBS: 0.1% | |||
Freddie Mac Military Housing Trust Multifamily (United States) | |||
6.195%, 11/25/52(b)(d) | USD | 952,039 | 820,342 |
4.492%, 11/25/55(b)(d) | USD | 1,540,946 | 1,275,076 |
2,095,418 | |||
Mortgage-Related: 12.9% | |||
Federal Agency CMO & REMIC: 0.9% | |||
Fannie Mae (United States) | |||
Trust 2004-W9 1A3, 6.05%, 2/25/44 | USD | 208,752 | 205,820 |
Freddie Mac (United States) |
Debt Securities (continued) | |||
Par Value | Value | ||
Series 4283 EW, 4.50%, 12/15/43(d) | USD | 37,819 | $36,713 |
Series 4319 MA, 4.50%, 3/15/44(d) | USD | 134,345 | 131,215 |
Ginnie Mae (United States) | |||
Series 2010-169 JZ, 4.00%, 12/20/40 | USD | 110,836 | 103,468 |
Series 2014-184 GZ, 3.50%, 12/20/44 | USD | 10,742,805 | 9,822,276 |
United States 30 Day Average SOFR | |||
+0.85% Series 2023-H04 FC, 5.916%, 1/20/73 | USD | 7,459,710 | 7,366,290 |
17,665,782 | |||
Federal Agency Mortgage Pass-Through: 12.0% | |||
Fannie Mae, 15 Year (United States) | |||
5.00%, 7/1/25 | USD | 1,567 | 1,569 |
Fannie Mae, 30 Year (United States) | |||
4.50% 4/1/39 - 2/1/45 | USD | 517,787 | 509,124 |
2.50% 6/1/50 - 3/1/52 | USD | 36,305,348 | 31,121,763 |
2.00% 9/1/50 - 1/1/51 | USD | 10,916,354 | 8,986,428 |
2.50%, 2/1/52 | USD | 30,054,329 | 25,655,440 |
2.50%, 4/1/52 | USD | 20,794,329 | 17,749,158 |
3.50% 6/1/52 | USD | 18,175,391 | 16,617,843 |
3.50%, 6/1/52 | USD | 19,040,869 | 17,450,628 |
Fannie Mae, 40 Year (United States) | |||
3.00%, 6/1/62 | USD | 25,377,912 | 21,649,198 |
Fannie Mae, Hybrid ARM (United States) | |||
3.83% 8/1/44 - 9/1/44(d) | USD | 55,160 | 55,591 |
Freddie Mac, Hybrid ARM (United States) | |||
3.88%, 10/1/44(d) | USD | 54,017 | 54,262 |
3.85%, 11/1/44(d) | USD | 179,343 | 179,138 |
3.885%, 1/1/45(d) | USD | 86,466 | 85,867 |
Freddie Mac Gold, 30 Year (United States) | |||
6.00%, 2/1/35 | USD | 26,450 | 27,448 |
4.50% 8/1/44 - 7/1/47 | USD | 398,094 | 391,114 |
Freddie Mac Pool, 30 Year (United States) | |||
2.50% 6/1/50 - 11/1/51 | USD | 41,371,718 | 35,451,435 |
3.50%, 9/1/52 | USD | 71,533,163 | 65,198,666 |
241,184,672 | |||
258,850,454 | |||
339,714,572 | |||
Corporate: 47.8% | |||
Financials: 15.7% | |||
Bank of America Corp. (United States) | |||
4.183%, 11/25/27 | USD | 9,050,000 | 8,597,265 |
2.572%, 10/20/32(e) | USD | 2,975,000 | 2,423,139 |
6.11%, 1/29/37 | USD | 2,250,000 | 2,372,887 |
3.846%, 3/8/37(e) | USD | 18,750,000 | 16,033,581 |
Barclays PLC (United Kingdom) | |||
4.836%, 5/9/28 | USD | 9,025,000 | 8,311,917 |
5.501%, 8/9/28(e) | USD | 1,275,000 | 1,243,367 |
5.746%, 8/9/33(e) | USD | 2,000,000 | 1,934,288 |
7.437%, 11/2/33(e) | USD | 1,450,000 | 1,568,740 |
7.119%, 6/27/34(e) | USD | 1,125,000 | 1,124,551 |
3.564%, 9/23/35(e) | USD | 8,550,000 | 6,765,707 |
BNP Paribas SA (France) | |||
4.375%, 9/28/25(b) | USD | 3,290,000 | 3,153,803 |
4.375%, 5/12/26(b) | USD | 5,675,000 | 5,446,017 |
4.625%, 3/13/27(b) | USD | 7,675,000 | 7,341,070 |
2.588%, 8/12/35(b)(e) | USD | 15,396,000 | 11,801,814 |
Boston Properties, Inc. (United States) | |||
3.65%, 2/1/26 | USD | 2,150,000 | 1,994,618 |
6.75%, 12/1/27 | USD | 3,550,000 | 3,590,144 |
Par Value | Value | ||
3.25%, 1/30/31 | USD | 8,175,000 | $6,660,554 |
6.50%, 1/15/34 | USD | 1,700,000 | 1,710,680 |
Capital One Financial Corp. (United States) | |||
4.927%, 5/10/28(e) | USD | 4,400,000 | 4,174,806 |
6.312%, 6/8/29(e) | USD | 1,475,000 | 1,465,064 |
5.268%, 5/10/33(e) | USD | 4,450,000 | 4,166,673 |
5.817%, 2/1/34(e) | USD | 4,111,000 | 3,922,202 |
6.377%, 6/8/34(e) | USD | 1,500,000 | 1,489,253 |
Charles Schwab Corp. (United States) | |||
5.643%, 5/19/29(e) | USD | 1,900,000 | 1,897,720 |
5.853%, 5/19/34(e) | USD | 950,000 | 964,142 |
Citigroup, Inc. (United States) | |||
6.625%, 6/15/32 | USD | 8,884,000 | 9,400,070 |
3.785%, 3/17/33(e) | USD | 5,050,000 | 4,461,711 |
6.174%, 5/25/34(e) | USD | 4,900,000 | 4,942,690 |
USD LIBOR 3-Month | |||
+6.37%,11.643%, 10/30/40(f) | USD | 4,162,250 | 4,774,950 |
Goldman Sachs Group, Inc. (United States) | |||
3.615%, 3/15/28(e) | USD | 9,350,000 | 8,772,842 |
HSBC Holdings PLC (United Kingdom) | |||
4.762%, 3/29/33(e) | USD | 7,625,000 | 6,881,427 |
8.113%, 11/3/33(e) | USD | 13,225,000 | 14,681,222 |
6.50%, 5/2/36 | USD | 4,500,000 | 4,642,084 |
6.50%, 9/15/37 | USD | 1,100,000 | 1,151,931 |
6.00%, 3/29/40(c) | GBP | 5,041,000 | 5,601,526 |
JPMorgan Chase & Co. (United States) | |||
1.09%, 3/11/27(c)(e) | EUR | 13,150,000 | 13,111,085 |
4.493%, 3/24/31(e) | USD | 2,125,000 | 2,042,696 |
2.522%, 4/22/31(e) | USD | 2,000,000 | 1,691,689 |
2.956%, 5/13/31(e) | USD | 8,550,000 | 7,331,201 |
5.717%, 9/14/33(e) | USD | 10,950,000 | 11,108,701 |
Lloyds Banking Group PLC (United Kingdom) | |||
4.50%, 11/4/24 | USD | 2,200,000 | 2,135,747 |
4.582%, 12/10/25 | USD | 6,600,000 | 6,320,549 |
4.65%, 3/24/26 | USD | 4,200,000 | 4,011,089 |
7.953%, 11/15/33(e) | USD | 5,800,000 | 6,292,266 |
NatWest Group PLC (United Kingdom) | |||
5.125%, 5/28/24 | USD | 2,650,000 | 2,603,627 |
1.642%, 6/14/27(e) | USD | 7,135,000 | 6,279,084 |
5.808%, 9/13/29(e) | USD | 2,000,000 | 1,970,611 |
3.032%, 11/28/35(e) | USD | 10,325,000 | 7,921,559 |
Navient Corp. (United States) | |||
6.125%, 3/25/24 | USD | 18,860,000 | 18,712,456 |
UBS Group AG (Switzerland) | |||
5.959%, 1/12/34(b)(e) | USD | 7,800,000 | 7,759,047 |
UniCredit SPA (Italy) | |||
5.459%, 6/30/35(b)(e) | USD | 25,900,000 | 21,980,022 |
Wells Fargo & Co. (United States) | |||
4.30%, 7/22/27 | USD | 3,900,000 | 3,741,223 |
2.572%, 2/11/31(e) | USD | 5,100,000 | 4,318,117 |
3.35%, 3/2/33(e) | USD | 6,275,000 | 5,370,482 |
4.897%, 7/25/33(e) | USD | 2,800,000 | 2,685,794 |
5.606%, 1/15/44 | USD | 2,750,000 | 2,640,049 |
4.65%, 11/4/44 | USD | 550,000 | 466,574 |
315,958,123 | |||
Industrials: 27.2% | |||
Altria Group, Inc. (United States) | |||
5.95%, 2/14/49 | USD | 20,175,000 | 19,153,125 |
Debt Securities (continued) | |||
Par Value | Value | ||
AT&T, Inc. (United States) | |||
5.25%, 3/1/37 | USD | 6,675,000 | $6,517,869 |
4.85%, 3/1/39 | USD | 8,400,000 | 7,727,422 |
Bayer AG (Germany) | |||
3.125%, 11/12/79(c)(e)(f) | EUR | 27,600,000 | 26,051,317 |
5.375%, 3/25/82(c)(e)(f) | EUR | 5,800,000 | 5,854,290 |
British American Tobacco PLC (United Kingdom) | |||
3.75%, (c)(e)(f)(g) | EUR | 56,000,000 | 46,747,023 |
Cemex SAB de CV (Mexico) | |||
5.125%, (b)(e)(f)(g) | USD | 10,800,000 | 9,611,399 |
5.20%, 9/17/30(b) | USD | 11,345,000 | 10,615,303 |
Charter Communications, Inc. (United States) | |||
4.50%, 5/1/32 | USD | 23,325,000 | 18,624,002 |
4.50%, 6/1/33(b) | USD | 11,800,000 | 9,266,365 |
5.75%, 4/1/48 | USD | 6,500,000 | 5,563,748 |
5.25%, 4/1/53 | USD | 11,850,000 | 9,571,039 |
CVS Health Corp. (United States) | |||
5.05%, 3/25/48 | USD | 5,675,000 | 5,230,890 |
Elanco Animal Health, Inc. (United States) | |||
6.65%, 8/28/28 | USD | 28,307,000 | 27,465,433 |
Ford Motor Credit Co. LLC(h) (United States) | |||
4.375%, 8/6/23 | USD | 3,200,000 | 3,194,386 |
4.063%, 11/1/24 | USD | 9,780,000 | 9,463,897 |
5.125%, 6/16/25 | USD | 8,175,000 | 7,950,433 |
4.134%, 8/4/25 | USD | 1,325,000 | 1,256,632 |
3.375%, 11/13/25 | USD | 6,000,000 | 5,579,246 |
4.389%, 1/8/26 | USD | 3,190,000 | 3,019,025 |
6.80%, 5/12/28 | USD | 8,425,000 | 8,432,726 |
Foundry JV Holdco LLC(h) (United States) | |||
5.875%, 1/25/34(b) | USD | 2,925,000 | 2,913,437 |
GE HealthCare Technologies, Inc. (United States) | |||
5.857%, 3/15/30 | USD | 1,725,000 | 1,770,422 |
5.905%, 11/22/32 | USD | 8,450,000 | 8,840,199 |
Grupo Televisa SAB (Mexico) | |||
8.50%, 3/11/32 | USD | 1,464,000 | 1,741,129 |
5.25%, 5/24/49 | USD | 1,500,000 | 1,347,090 |
HCA Healthcare, Inc. (United States) | |||
3.625%, 3/15/32(b) | USD | 4,750,000 | 4,123,040 |
Holcim, Ltd. (Switzerland) | |||
7.125%, 7/15/36 | USD | 1,150,000 | 1,240,757 |
6.50%, 9/12/43(b) | USD | 1,225,000 | 1,189,844 |
4.75%, 9/22/46(b) | USD | 3,300,000 | 2,770,556 |
Imperial Brands PLC (United Kingdom) | |||
4.875%, 6/7/32(c) | GBP | 19,982,000 | 21,221,277 |
Kinder Morgan, Inc. (United States) | |||
6.95%, 1/15/38 | USD | 5,300,000 | 5,691,654 |
5.55%, 6/1/45 | USD | 9,850,000 | 9,074,517 |
5.05%, 2/15/46 | USD | 3,925,000 | 3,353,407 |
Millicom International Cellular SA (Guatemala) | |||
5.125%, 1/15/28(b) | USD | 23,535,000 | 20,550,861 |
MTN Group, Ltd. (South Africa) | |||
4.755%, 11/11/24(b) | USD | 3,600,000 | 3,499,200 |
News Corp. (United States) | |||
3.875%, 5/15/29(b) | USD | 10,497,000 | 9,214,330 |
Occidental Petroleum Corp. (United States) | |||
6.60%, 3/15/46 | USD | 10,125,000 | 10,424,194 |
Par Value | Value | ||
Prosus NV(h) (China) | |||
4.193%, 1/19/32(b) | USD | 2,000,000 | $1,684,188 |
2.031%, 8/3/32(b) | EUR | 32,475,000 | 25,051,076 |
4.027%, 8/3/50(b) | USD | 6,525,000 | 4,099,772 |
3.832%, 2/8/51(b) | USD | 5,634,000 | 3,461,406 |
4.987%, 1/19/52(b) | USD | 6,367,000 | 4,591,993 |
QVC, Inc.(h) (United States) | |||
4.45%, 2/15/25 | USD | 8,950,000 | 7,907,593 |
TC Energy Corp. (Canada) | |||
5.625%, 5/20/75(e)(f) | USD | 3,425,000 | 3,270,019 |
5.875%, 8/15/76(e)(f) | USD | 1,250,000 | 1,179,062 |
5.30%, 3/15/77(e)(f) | USD | 28,142,000 | 24,960,265 |
5.50%, 9/15/79(e)(f) | USD | 8,685,000 | 7,449,559 |
5.60%, 3/7/82(e)(f) | USD | 1,900,000 | 1,601,111 |
Telecom Italia SPA (Italy) | |||
5.303%, 5/30/24(b) | USD | 4,800,000 | 4,665,395 |
7.20%, 7/18/36 | USD | 20,283,000 | 17,434,048 |
7.721%, 6/4/38 | USD | 4,100,000 | 3,625,255 |
The Williams Companies, Inc. (United States) | |||
5.75%, 6/24/44 | USD | 6,547,000 | 6,378,347 |
5.10%, 9/15/45 | USD | 2,050,000 | 1,843,672 |
T-Mobile U.S., Inc. (United States) | |||
3.50%, 4/15/31 | USD | 21,575,000 | 19,037,743 |
8.75%, 3/15/32 | USD | 11,225,000 | 13,566,613 |
Ultrapar Participacoes SA (Brazil) | |||
5.25%, 10/6/26(b) | USD | 7,180,000 | 6,955,625 |
5.25%, 6/6/29(b) | USD | 1,449,000 | 1,340,325 |
VMware, Inc. (United States) | |||
1.40%, 8/15/26 | USD | 4,150,000 | 3,664,624 |
Vodafone Group PLC (United Kingdom) | |||
7.00%, 4/4/79(e)(f) | USD | 16,200,000 | 16,610,670 |
3.00%, 8/27/80(c)(e)(f) | EUR | 12,650,000 | 11,112,408 |
547,352,253 | |||
Utilities: 4.9% | |||
American Electric Power Co., Inc (United States) | |||
5.699%, 8/15/25 | USD | 19,135,000 | 19,005,647 |
Dominion Energy (United States) | |||
5.45%, 4/1/53 | USD | 5,025,000 | 5,026,579 |
5.75%, 10/1/54(e)(f) | USD | 13,394,000 | 12,814,200 |
Enel SPA (Italy) | |||
7.75%, 10/14/52(b) | USD | 3,900,000 | 4,569,370 |
8.75%, 9/24/73(b)(e)(f) | USD | 32,983,000 | 32,800,338 |
NextEra Energy, Inc. (United States) | |||
6.051%, 3/1/25 | USD | 1,700,000 | 1,706,392 |
5.00%, 7/15/32 | USD | 4,500,000 | 4,438,018 |
5.65%, 5/1/79(e)(f) | USD | 8,075,000 | 7,469,155 |
The Southern Co. (United States) | |||
4.475%, 8/1/24 | USD | 1,900,000 | 1,865,294 |
5.113%, 8/1/27 | USD | 4,425,000 | 4,383,698 |
3.75%, 9/15/51(e)(f) | USD | 4,196,000 | 3,570,796 |
97,649,487 | |||
960,959,863 | |||
Total Debt Securities (Cost $2,092,535,005) | $1,929,587,326 |
Short-Term Investments: 3.4% | |||
Par Value/ Shares | Value | ||
Repurchase Agreements: 3.0% | |||
Fixed Income Clearing Corporation(i) 2.45%, dated 6/30/23, due 7/3/23, maturity value $8,170,668 | USD | 8,169,000 | $8,169,000 |
Fixed Income Clearing Corporation(i) 5.04%, dated 6/30/23, due 7/3/23, maturity value $52,021,840 | USD | 52,000,000 | 52,000,000 |
60,169,000 | |||
Money Market Fund: 0.4% | |||
State Street Institutional U.S. Government Money Market Fund - Premier Class | USD | 7,994,482 | 7,994,482 |
Total Short-Term Investments (Cost $68,163,482) | $68,163,482 | ||
Total Investments in Securities (Cost $2,160,698,487) | 99.4 % | $1,997,750,808 | |
Other Assets Less Liabilities | 0.6 % | 12,233,470 | |
Net Assets | 100.0 % | $2,009,984,278 |
(a) | Inflation-linked |
(b) | Security exempt from registration under Rule 144A of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S securities are subject to restrictions on resale in the United States. |
(d) | Variable rate security: interest rate is determined by the interest rates of underlying pool of assets that collateralize the security. The interest rate of the security may change due to a change in the interest rates or the composition of underlying pool of assets. The interest rate shown is the rate as of period end. |
(e) | Variable rate security: fixed-to-float security pays an initial fixed interest rate and will pay a floating interest rate established at a predetermined time in the future. The interest rate shown is the rate as of period end. |
(f) | Hybrid security: characteristics of both a debt and equity security. |
(g) | Perpetual security: no stated maturity date. |
(h) | Subsidiary. Security may be issued by parent company or one of its subsidiaries. (see below) |
(i) | Repurchase agreement is collateralized by U.S. Treasury Notes 1.125%-4.25%, 10/15/25-8/15/40. Total collateral value is $61,372,477. |
Debt securities are grouped by parent company unless otherwise noted. Actual securities may be issued by the listed parent company or one of its subsidiaries. The Fund usually classifies a company or issuer based on its country of risk, but may designate a different country in certain circumstances. | |
Debt securities with floating interest rates are linked to the referenced benchmark; the interest rate shown is the rate as of period end. | |
ARM: Adjustable Rate Mortgage |
CMBS: Commercial Mortgage-Backed Security |
CMO: Collateralized Mortgage Obligation |
GO: General Obligation |
RB: Revenue Bond |
REMIC: Real Estate Mortgage Investment Conduit |
SOFR: Secured Overnight Financing Rate |
AUD: Australian Dollar |
BRL: Brazilian Real |
COP: Colombian Peso |
EUR: Euro |
GBP: British Pound |
HUF: Hungarian Forint |
IDR: Indonesian Rupiah |
JPY: Japanese Yen |
KRW: South Korean Won |
MXN: Mexican Peso |
MYR: Malaysian Ringgit |
NOK: Norwegian Krone |
PEN: Peruvian Nuevo Sol |
SEK: Swedish Krona |
USD: United States Dollar |
ZAR: South African Rand |
Description | Number of Contracts | Expiration Date | Notional Amount | Value / Unrealized Appreciation/ (Depreciation) |
Euro-Bobl Future— Short Position | (492 ) | 9/7/23 | $(62,121,294 ) | $1,008,565 |
Euro-Bund Future— Short Position | (345 ) | 9/7/23 | (50,348,311 ) | 688,402 |
$1,696,967 |
Counterparty | Settle Date | Currency Purchased | Currency Sold | Unrealized Appreciation (Depreciation) | ||
COP: Colombian Peso | ||||||
Bank of America | 8/16/23 | COP | 21,694,800,693 | USD | 4,326,845 | $808,574 |
Bank of America | 8/16/23 | COP | 19,585,190,000 | USD | 4,156,891 | 479,158 |
Goldman Sachs | 8/16/23 | USD | 7,439,386 | COP | 34,979,990,693 | (840,797 ) |
Standard Chartered | 8/16/23 | USD | 1,332,769 | COP | 6,300,000,000 | (158,516 ) |
EUR: Euro | ||||||
Morgan Stanley | 9/13/23 | USD | 75,165,951 | EUR | 69,378,974 | (802,956 ) |
Bank of America | 12/13/23 | USD | 29,947,819 | EUR | 27,601,356 | (426,014 ) |
GBP: British Pound | ||||||
Bank of America | 9/13/23 | USD | 1,928,674 | GBP | 1,555,151 | (46,822 ) |
JPMorgan | 9/13/23 | USD | 13,722,450 | GBP | 11,263,716 | (585,758 ) |
Morgan Stanley | 9/13/23 | USD | 2,808,208 | GBP | 2,326,449 | (147,062 ) |
State Street | 9/13/23 | USD | 1,806,092 | GBP | 1,445,014 | (29,498 ) |
Bank of America | 12/13/23 | USD | 13,165,922 | GBP | 10,521,465 | (190,888 ) |
IDR: Indonesian Rupiah | ||||||
HSBC | 8/9/23 | USD | 4,250,000 | IDR | 63,240,000,000 | 33,077 |
ZAR: South African Rand | ||||||
Morgan Stanley | 7/12/23 | USD | 2,103,189 | ZAR | 38,081,863 | 81,189 |
Standard Chartered | 7/12/23 | USD | 1,146,754 | ZAR | 19,700,000 | 100,761 |
Standard Chartered | 7/12/23 | USD | 19,166,471 | ZAR | 329,259,237 | 1,684,081 |
Bank of America | 10/18/23 | USD | 1,909,678 | ZAR | 35,440,843 | 46,387 |
Morgan Stanley | 10/18/23 | USD | 1,661,561 | ZAR | 30,298,413 | 68,632 |
Unrealized gain on currency forward contracts | 3,301,859 | |||||
Unrealized loss on currency forward contracts | (3,228,311 ) | |||||
Net unrealized gain on currency forward contracts | $73,548 |
Statement of Assets and Liabilities (unaudited)
June 30, 2023 | |
Assets: | |
Investments in securities, at value (cost $2,160,698,487) | $1,997,750,808 |
Unrealized appreciation on currency forward contracts | 3,301,859 |
Cash pledged as collateral for currency forward contracts | 1,970,000 |
Cash | 100 |
Cash denominated in foreign currency (cost $10,608) | 10,595 |
Deposits with broker for futures contracts | 3,104,644 |
Receivable for investments sold | 3,974,930 |
Receivable for Fund shares sold | 3,838,061 |
Dividends and interest receivable | 27,504,389 |
Expense reimbursement receivable | 131,813 |
Prepaid expenses and other assets | 16,388 |
2,041,603,587 | |
Liabilities: | |
Unrealized depreciation on currency forward contracts | 3,228,311 |
Cash received as collateral for currency forward contracts | 2,350,000 |
Payable for variation margin for futures contracts | 12,645 |
Payable for investments purchased | 24,017,271 |
Payable for Fund shares redeemed | 1,002,186 |
Deferred foreign capital gains tax | 16,118 |
Management fees payable | 721,846 |
Accrued expenses | 270,932 |
31,619,309 | |
Net Assets | $2,009,984,278 |
Net Assets Consist of: | |
Paid in capital | $2,219,096,320 |
Accumulated loss | (209,112,042 ) |
$2,009,984,278 | |
Class I | |
Total net assets | $1,893,295,787 |
Shares outstanding (par value $0.01 each, unlimited shares authorized) | 180,093,307 |
Net asset value per share | $10.51 |
Class X | |
Total net assets | $116,688,491 |
Shares outstanding (par value $0.01 each, unlimited shares authorized) | 11,100,654 |
Net asset value per share | $10.51 |
Statement of Operations (unaudited)
Six Months Ended June 30, 2023 | |
Investment Income: | |
Dividends | $227,141 |
Interest (net of foreign taxes of $3,842) | 47,160,024 |
47,387,165 | |
Expenses: | |
Investment advisory fees | 3,112,393 |
Administrative services fees | |
Class I | 845,076 |
Class X | 22,090 |
Custody and fund accounting fees | 130,381 |
Professional services | 182,257 |
Shareholder reports | 37,027 |
Registration fees | 134,964 |
Trustees fees | 207,143 |
Miscellaneous | 19,632 |
Total expenses | 4,690,963 |
Expenses reimbursed by investment manager | (724,658 ) |
Net expenses | 3,966,305 |
Net Investment Income | 43,420,860 |
Realized and Unrealized Gain (Loss): | |
Net realized gain (loss) | |
Investments in securities (net of foreign capital gains tax of $21,011) | (22,775,551 ) |
Futures contracts | 5,060,907 |
Currency forward contracts | (3,112,876 ) |
Foreign currency transactions | 36,344 |
Net change in unrealized appreciation/depreciation | |
Investments in securities (net of change in deferred foreign capital gains tax of $11,784) | 69,202,718 |
Futures contracts | (5,898,709 ) |
Currency forward contracts | 3,415,497 |
Foreign currency translation | 320,676 |
Net realized and unrealized gain | 46,249,006 |
Net Change in Net Assets From Operations | $89,669,866 |
Statement of Changes in Net Assets (unaudited)
Six Months Ended | Year Ended | |
June 30, 2023 | December 31, 2022 | |
Operations: | ||
Net investment income | $43,420,860 | $68,464,082 |
Net realized gain (loss) | (20,791,176 ) | (28,699,698 ) |
Net change in unrealized appreciation/depreciation | 67,040,182 | (210,556,847 ) |
89,669,866 | (170,792,463 ) | |
Distributions to Shareholders: | ||
Class I | (17,044,177 ) | (77,376,506 ) |
Class X | (1,007,649 ) | (1,620,083 ) |
Total distributions | (18,051,826 ) | (78,996,589 ) |
Fund Share Transactions: | ||
Class I | ||
Proceeds from sales of shares | 515,025,721 | 581,767,908 |
Reinvestment of distributions | 16,035,525 | 71,081,719 |
Cost of shares redeemed | (215,355,366 ) | (885,172,827 ) |
Class X | ||
Proceeds from sales of shares | 66,312,942 | 50,703,910 |
Reinvestment of distributions | 1,007,649 | 1,620,083 |
Cost of shares redeemed | (4,694,525 ) | (1,380,107 ) |
Net change from Fund share transactions | 378,331,946 | (181,379,314 ) |
Total change in net assets | 449,949,986 | (431,168,366 ) |
Net Assets: | ||
Beginning of period | 1,560,034,293 | 1,991,202,659 |
End of period | $2,009,984,278 | $1,560,034,293 |
Share Information: | ||
Class I | ||
Shares sold | 49,557,974 | 54,950,114 |
Distributions reinvested | 1,542,012 | 7,022,303 |
Shares redeemed | (20,719,267 ) | (84,781,844 ) |
Net change in shares outstanding | 30,380,719 | (22,809,427 ) |
Class X | ||
Shares sold | 6,342,863 | 5,086,851 |
Distributions reinvested | 96,839 | 160,689 |
Shares redeemed | (451,396 ) | (135,192 ) |
Net change in shares outstanding | 5,988,306 | 5,112,348 |
Classification | LEVEL 1 (Quoted Prices) | LEVEL 2 (Other Significant Observable Inputs) |
Securities | ||
Debt Securities | ||
Government | $— | $486,892,095 |
Government-Related | — | 142,020,796 |
Securitized | — | 339,714,572 |
Corporate | — | 960,959,863 |
Short-Term Investments | ||
Repurchase Agreements | — | 60,169,000 |
Money Market Fund | 7,994,482 | — |
Total Securities | $7,994,482 | $1,989,756,326 |
Other Investments | ||
Futures Contracts | ||
Appreciation | $1,696,967 | $— |
Classification | LEVEL 1 (Quoted Prices) | LEVEL 2 (Other Significant Observable Inputs) |
Currency Forward Contracts | ||
Appreciation | $— | $3,301,859 |
Depreciation | — | (3,228,311 ) |
Interest Rate Derivatives | Foreign Exchange Derivatives | Total Value | |
Assets | |||
Unrealized appreciation on currency forward contracts | $— | $3,301,859 | $3,301,859 |
Futures contracts(a) | 1,696,967 | — | 1,696,967 |
$1,696,967 | $3,301,859 | $4,998,826 | |
Liabilities | |||
Unrealized depreciation on currency forward contracts | $— | $3,228,311 | $3,228,311 |
(a) | Includes cumulative appreciation (depreciation). Only the current day’s variation margin is reported in the Consolidated Statement of Assets and Liabilities. |
Interest Rate Derivatives | Foreign Exchange Derivatives | Total | |
Net realized gain (loss) | |||
Futures contracts | $5,060,907 | $— | 5,060,907 |
Currency forward contracts | — | (3,112,876 ) | (3,112,876 ) |
$5,060,907 | $(3,112,876 ) | $1,948,031 | |
Net change in unrealized appreciation/depreciation | |||
Futures contracts | $(5,898,709 ) | $— | (5,898,709 ) |
Currency forward contracts | — | 3,415,497 | 3,415,497 |
$(5,898,709 ) | $3,415,497 | $(2,483,212 ) |
Derivative | % of Net Assets | |
Futures contracts | USD notional value | 5-11 % |
Currency forward contracts | USD total value | 8-12 % |
Counterparty | Gross Amount of Recognized Assets | Gross Amount of Recognized Liabilities | Cash Collateral Pledged / (Received)(a) | Net Amount(b) |
Bank of America | $1,334,119 | $(663,724 ) | $(670,395 ) | $— |
Goldman Sachs | — | (840,797 ) | 810,000 | (30,797 ) |
HSBC | 33,077 | — | — | 33,077 |
JPMorgan | — | (585,758 ) | 540,000 | (45,758 ) |
Morgan Stanley | 149,821 | (950,018 ) | 620,000 | (180,197 ) |
Standard Chartered | 1,784,842 | (158,516 ) | (1,580,000 ) | 46,326 |
State Street | — | (29,498 ) | — | (29,498 ) |
$3,301,859 | $(3,228,311 ) | $(280,395 ) | $(206,847 ) |
(a) | Cash collateral pledged/(received) in excess of derivative assets/liabilities is not presented in this table. The total cash collateral is presented on the Fund's Consolidated Statement of Assets and Liabilities. |
(b) | Represents the net amount receivable from (payable to) the counterparty in the event of a default. |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | |
Class I | ||
Ordinary income | $17,044,177 | $77,376,506 |
Long-term capital gain | $— | $— |
Class X | ||
Ordinary income | $1,007,649 | $1,620,083 |
Long-term capital gain | $— | $— |
Capital loss carryforward1 | $(34,603,849 ) |
Deferred loss2 | (12,931,834 ) |
Net unrealized depreciation | (233,194,399 ) |
Total distributable earnings | $(280,730,082 ) |
1 | Represents accumulated long-term capital loss as of December 31, 2022, which may be carried forward to offset future capital gains. |
2 | Represents capital loss incurred between November 1, 2022 and December 31, 2022. As permitted by tax regulation, the Fund has elected to treat this loss as arising in 2023. |
Tax cost | $2,162,295,310 |
Unrealized appreciation | 32,406,452 |
Unrealized depreciation | (195,180,439 ) |
Net unrealized appreciation | (162,773,987 ) |
Selected data and ratios (for a share outstanding throughout each period) | Six Months Ended June 30, | Year Ended December 31, | ||||
2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
Class I | ||||||
Net asset value, beginning of period | $10.08 | $11.54 | $12.09 | $11.10 | $10.23 | $10.92 |
Income from investment operations: | ||||||
Net investment income | 0.32 | 0.40 | 0.28 | 0.29 | 0.38 | 0.40 |
Net realized and unrealized gain (loss) | 0.21 | (1.35 ) | (0.38 ) | 1.02 | 0.87 | (0.56 ) |
Total from investment operations | 0.53 | (0.95 ) | (0.10 ) | 1.31 | 1.25 | (0.16 ) |
Distributions to shareholders from: | ||||||
Net investment income | (0.10 ) | (0.51 ) | (0.29 ) | (0.27 ) | (0.38 ) | (0.43 ) |
Net realized gain | — | — | (0.16 ) | (0.05 ) | — | (0.10 ) |
Total distributions | (0.10 ) | (0.51 ) | (0.45 ) | (0.32 ) | (0.38 ) | (0.53 ) |
Net asset value, end of period | $10.51 | $10.08 | $11.54 | $12.09 | $11.10 | $10.23 |
Total return | 5.27 % | (8.19 )% | (0.85 )% | 11.87 % | 12.23 % | (1.45 )% |
Ratios/supplemental data: | ||||||
Net assets, end of period (millions) | $1,893 | $1,509 | $1,991 | $981 | $435 | $226 |
Ratio of expenses to average net assets | 0.45 %(a) | 0.45 % | 0.45 % | 0.45 % | 0.45 % | 0.45 % |
Ratio of expenses to average net assets, before reimbursement by investment manager | 0.53 %(a) | 0.55 % | 0.60 % | 0.69 % | 0.83 % | 0.92 % |
Ratio of net investment income to average net assets | 4.87 %(a) | 3.97 % | 2.82 % | 3.23 % | 4.21 % | 4.15 % |
Portfolio turnover rate | 34 % | 92 % | 136 % | 112 % | 60 % | 55 % |
Portfolio turnover rate excluding TBA rolls(b) | 22 % | 40 % | 40 % | 90 % | 59 % | 55 % |
Class X(c) | ||||||
Net asset value, beginning of period | $10.07 | $10.52 | ||||
Income from investment operations: | ||||||
Net investment income | 0.34 | 0.26 | ||||
Net realized and unrealized gain (loss) | 0.20 | (0.24 ) | ||||
Total from investment operations | 0.54 | 0.02 | ||||
Distributions to shareholders from: | ||||||
Net investment income | (0.10 ) | (0.47 ) | ||||
Net realized gain | — | — | ||||
Total distributions | (0.10 ) | (0.47 ) | ||||
Net asset value, end of period | $10.51 | $10.07 | ||||
Total return | 5.40 % | 0.21 % | ||||
Ratios/supplemental data: | ||||||
Net assets, end of period (millions) | $117 | $51 | ||||
Ratio of expenses to average net assets | 0.37 %(a) | 0.37 %(a) | ||||
Ratio of expenses to average net assets, before reimbursement by investment manager | 0.48 %(a) | 0.47 %(a) | ||||
Ratio of net investment income to average net assets | 4.97 %(a) | 4.75 %(a) | ||||
Portfolio turnover rate | 34 % | 92 % | ||||
Portfolio turnover rate excluding TBA rolls(b) | 22 % | 40 % |
(a) | Annualized |
(b) | See Note 1 regarding To-Be-Announced securities |
(c) | For 2022, the period covers 5/2/2022 (commencement of operations) to 12/31/2022 |
(unaudited)
information, please visit the Funds’ website.
Kansas City, Missouri 64121-9502
(800) 621-3979
555 California Street, 40th Floor
San Francisco, California 94104
(415) 981-1710
3 Canal Plaza, Suite 100
Portland, Maine 04101
This report reflects our views, opinions, and portfolio holdings as of June 30, 2023, the end of the reporting period. Any such views are subject to change at any time based upon market or other conditions and Dodge & Cox disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Dodge & Cox Fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Dodge & Cox Fund.
(b) Not applicable.
ITEM 2. CODE OF ETHICS.
Not applicable for semi-annual report filings.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable for semi-annual report filings.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable for semi-annual report filings.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. INVESTMENTS.
(a) The complete schedule of investments is included in Item 1(a) of this Form N-CSR.
(b) Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s
Board of Trustees.
ITEM 11. CONTROLS AND PROCEDURES.
(a) An evaluation was performed within 90 days of the filing of this report, under the supervision and with the participation of the registrant’s management, including the principal executive officer and principal financial officer, of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures. Based on that evaluation, the principal executive officer and principal financial officer concluded that the registrant’s disclosure controls and procedures were effective.
(b) The registrant’s principal executive officer and principal financial officer are aware of no changes in the registrant’s internal control over financial reporting that occurred during the period covered by this report that have materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 13. EXHIBITS.
(a)(1) Not applicable for semi-annual report filings.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are attached. (EX.99B)
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Dodge & Cox Funds | ||
By | /s/ Dana M. Emery | |
Dana M. Emery | ||
Chair and President - Principal Executive Officer |
Date: August 31, 2023
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
Dodge & Cox Funds | ||
By | /s/ Dana M. Emery | |
Dana M. Emery | ||
Chair and President - Principal Executive Officer | ||
By | /s/ Shelly Chu | |
Shelly Chu | ||
Treasurer - Principal Financial Officer |
Date: August 31, 2023