Prudential Variable Contract Account 10 N-CSRS Certified semi-annual shareholder report (management investment company)

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:	811-03421
Exact name of registrant as specified in charter:	The Prudential Variable Contract Account-10
Address of principal executive offices:	655 Broad Street, 17th Floor
	Newark, New Jersey 07102
Name and address of agent for service:	Deborah A. Docs
	655 Broad Street, 17th Floor
	Newark, New Jersey 07102
Registrant’s telephone number, including area code:	973-367-7521
Date of fiscal year end:	12/31/2018
Date of reporting period:	06/30/2018

Item 1 – Reports to Stockholders

The MEDLEY Program

SEMIANNUAL REPORT June 30, 2018

The report is for the information of persons participating in The Prudential Variable Contract Account-10 (VCA-10), The Prudential Variable Contract Account-11 (VCA-11), and The Prudential Variable Contract Account-24 (VCA-24) (Collectively known as the “Accounts”) of The MEDLEY Program. VCA-10, VCA-11, and VCA-24 are group annuity insurance products issued by The Prudential Insurance Company of America, 751 Broad Street, Newark, NJ 07102-3777, and are distributed by Prudential Investment Management Services LLC (PIMS), member SIPC, 655 Broad Street, 19th Floor, Newark, NJ 07102. Both are Prudential Financial companies.

The views expressed in this report and information about the Accounts’ portfolio holdings are for the period covered by this report and are subject to change thereafter.

The accompanying financial statements as of June 30, 2018 were not audited, and, accordingly, no auditor’s opinion is expressed on them.

Please note that this document may include prospectus supplements that are separate from and not a part of this report.

The Prudential MEDLEY Program   Table of Contents Semiannual Report June 30, 2018

∎ LETTER TO PARTICIPANTS

∎ VCA-10

Financial Statements

∎ VCA-11 AND VCA-24 THE PRUDENTIAL SERIES FUND PORTFOLIOS

Conservative Balanced Portfolio

Diversified Bond Portfolio

Equity Portfolio

Flexible Managed Portfolio

Global Portfolio

Government Income Portfolio

Government Money Market Portfolio

Stock Index Portfolio

∎ APPROVAL OF ADVISORY AGREEMENTS

The Prudential MEDLEY Program Letter to Participants June 30, 2018

∎ DEAR PARTICIPANT:

At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. This MEDLEY Program semiannual report outlines our efforts to achieve this goal. We hope you find it informative and useful.

Prudential has been building on a heritage of success for more than 135 years. We believe the array of our products provides a highly attractive value proposition to clients like you who are focused on financial security.

Your financial professional is the best resource to help you make the most informed investment decisions. Together, you can build a diversified investment portfolio that aligns with your long-term financial goals. Please keep in mind that diversification and asset allocation strategies do not assure a profit or protect against loss in declining markets.

Thank you for selecting Prudential as one of your financial partners. We value your trust and appreciate the opportunity to help you achieve financial security.

Sincerely,

Stuart Parker President, The Prudential Variable Contract Account 10	Timothy S. Cronin President, The Prudential Series Fund

July 31, 2018

The Prudential Variable Contract Account-10 (VCA-10)   Presentation of Portfolio Holdings — unaudited June 30, 2018

VCA-10
Five Largest Holdings	(% of Net Assets	)
JPMorgan Chase & Co.	3.2%
Boeing Co. (The)	3.0%
Microsoft Corp.	2.7%
Alphabet, Inc. (Class A Stock)	2.5%
Broadcom Ltd.	2.3%

For a complete listing of holdings, refer to the Statement of Net Assets section of this report. Holdings reflect only long-term investments. Holdings/Issues/Industries/Sectors are subject to change.

FINANCIAL STATEMENTS OF VCA-10

STATEMENT OF NET ASSETS (Unaudited)

June 30, 2018

LONG-TERM INVESTMENTS — 97.2%
COMMON STOCKS	Shares		Value
Aerospace & Defense — 4.2%
Boeing Co. (The)		14,707	$	4,934,346
United Technologies Corp.		15,677		1,960,095
				6,894,441
Air Freight & Logistics — 0.9%
Fedex Corp.		6,146		1,395,511
Automobiles — 0.6%
Tesla Inc. *		3,021		1,036,052
Banks — 10.7%
Bank of America Corp.		114,344		3,223,357
BB&T Corp.		42,168		2,126,954
Citigroup, Inc.		31,646		2,117,750
JPMorgan Chase & Co.		49,528		5,160,818
PNC Financial Services Group, Inc. (The)		18,019		2,434,367
SunTrust Banks Inc.		12,537		827,693
Wells Fargo & Co.		27,623		1,531,419
				17,422,358
Building Products — 0.6%
Johnson Controls International PLC		30,719		1,027,551
Capital Markets — 1.5%
Goldman Sachs Group, Inc. (The)		10,873		2,398,258
Chemicals — 2.1%
DowDuPont, Inc.		27,461		1,810,229
FMC Corp.		18,681		1,666,532
				3,476,761
Communication Equipment — 1.3%
Cisco Systems, Inc.		48,356		2,080,759
Consumer Finance — 2.2%
Capital One Financial Corp.		21,436		1,969,968
SLM Corp.*		140,035		1,603,401
				3,573,369
Containers & Packaging — 0.8%
Sealed Air Corp.		30,256		1,284,367
Electric Utilities — 2.9%
American Electric Power Co., Inc.		34,610		2,396,743
Exelon Corp.		54,900		2,338,740
				4,735,483
Electrical Equipment — 1.3%
Eaton Corp. PLC		13,544		1,012,279
Emerson Electric Co.		16,208		1,120,621
				2,132,900
Electronic Equipment, Instruments & Components — 0.9%
Flex Ltd.*		101,156		1,427,311
Energy Equipment & Services — 0.8%
Halliburton Co.		29,899		1,347,249
Equity Real Estate Investment Trust (REITs) — 1.4%
American Campus Communities Inc.		20,200		866,176
American Tower Corp.		10,411		1,500,954
				2,367,130

COMMON STOCKS (continued)	Shares		Value
Food & Staples Retailing — 1.3%
Wal-Mart Stores, Inc.		24,826	$	2,126,347
Food Products — 2.1%
Conagra Brands, Inc.		47,284		1,689,457
Mondelez International, Inc. (Class A Stock)		41,122		1,686,002
				3,375,459
Health Care Equipment & Supplies — 1.0%
Zimmer Biomet Holdings, Inc.		14,737		1,642,291
Health Care Providers & Service — 3.2%
Cigna Corp.		5,929		1,007,634
Laboratory Corp. of America Holdings*		10,556		1,895,119
UnitedHealth Group, Inc.		9,474		2,324,351
				5,227,104
Hotels, Restaurants & Leisure — 3.5%
Carnival Corp.		19,503		1,117,717
Hyatt Hotels Corp. (Class A Stock)		15,684		1,210,021
Marriott International, Inc. (Class A Stock)		16,492		2,087,887
McDonald’s Corp.		8,465		1,326,381
				5,742,006
Household Products — 1.1%
Procter & Gamble Co. (The)		22,280		1,739,177
insurance — 2.5%
Brighthouse Financial, Inc.*		19,126		766,379
Chubb Ltd. (Switzerland)		14,619		1,856,905
MetLife, Inc.		32,867		1,433,001
				4,056,285
Internet & Direct Marketing Retail — 3.3%
Amazon.com, Inc.*		1,777		3,020,545
Netflix, Inc.*		6,019		2,356,017
				5,376,562
Internet Software & Services — 7.8%
Alibaba Group Holding Ltd. (China), ADR*		14,436		2,678,311
Alphabet, Inc. (Class A Stock)*		3,587		4,050,405
eBay, Inc.*		35,385		1,283,060
Facebook, Inc. (Class A Stock)*		11,651		2,264,022
Tencent Holdings Ltd. (China), ADR		49,125		2,468,531
				12,744,329
IT Services — 3.9%
DXC Technology Co.		16,528		1,332,322
Mastercard Inc.		15,487		3,043,505
PayPal Holdings, Inc.*		24,372		2,029,456
				6,405,283
Life Sciences Tools & Services — 0.9%
Illumina Inc.*		5,028		1,404,270

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10

STATEMENT OF NET ASSETS (Unaudited)

June 30, 2018

COMMON STOCKS (continued)	Shares		Value
Media — 2.6%
Comcast Corp. (Class A Stock)		37,826	$	1,241,071
Liberty Global PLC (United Kingdom) (Class C Stock)*		47,732		1,270,149
Twenty-First Century Fox, Inc. (Class A Stock)		36,118		1,794,703
				4,305,923
Multi-Utilities — 0.7%
Ameren Corp.		18,683		1,136,861
Oil, Gas & Consumable Fuels — 6.4%
Anadarko Petroleum Corp.		21,398		1,567,403
Chevron Corp.		24,054		3,041,147
Noble Energy, Inc.		35,630		1,257,026
Royal Dutch Shell PLC (Netherlands) (Class A Stock), ADR		39,105		2,707,239
Suncor Energy, Inc. (Canada)		48,738		1,982,662
				10,555,477
Pharmaceuticals — 6.4%
Allergan PLC		6,706		1,118,024
AstraZeneca PLC (United Kingdom), ADR		39,092		1,372,520
Bristol-Myers Squibb Co.		49,048		2,714,316
Eli Lilly & Co.		22,306		1,903,371
Merck & Co., Inc.		20,851		1,265,656
Pfizer, Inc.		60,445		2,192,945
				10,566,832
Road & Rail — 1.2%
Union Pacific Corp.		13,349		1,891,286
Semiconductors & Semiconductor Equipment — 4.7%
Broadcom Ltd.		15,583		3,781,059
NVIDIA Corp.		9,973		2,362,604
Texas Instruments, Inc.		14,408		1,588,482
				7,732,145
Software — 6.8%
Adobe Systems, Inc.*		10,936		2,666,306
Microsoft Corp.		44,824		4,420,095
PTC, Inc.*		14,770		1,385,574
salesforce.com, Inc.*		19,609		2,674,668
				11,146,643
Specialty Retail — 1.7%
Home Depot, Inc.		8,040		1,568,604
Ross Stores Inc.		13,367		1,132,853
				2,701,457

COMMON STOCKS (continued)	Shares		Value
Technology Hardware, Storage & Peripheral — 2.0%
Apple, Inc.		17,282	$	3,199,071
Textiles, Apparel & Luxury Goods — 1.0%
Tapestry, Inc.		35,219		1,645,079
Wireless Telecommunication Services — 0.9%
Vodafone Group PLC (United Kingdom), ADR		62,298		1,514,464
TOTAL COMMON STOCKS (cost $108,327,343)				158,833,851
SHORT-TERM INVESTMENT — 2.6%
AFFILIATED MUTUAL FUND
PGIM Core Ultra Short Bond Fund (cost $4,328,676)(a)		4,328,676		4,328,676
TOTAL INVESTMENTS — 99.8% (cost $112,656,019)				163,162,527
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.2%
Cash				876,142
Receivable for Securities Sold				1,149,526
Dividends and Interests Receivable				155,935
Tax Reclaim Receivable				21,296
Payable for Pending Capital Transactions				(1,857	)
Payable for Securities Purchased				(1,909,725	)
OTHER ASSETS IN EXCESS OF LIABILITIES				291,317
NET ASSETS — 100%			$	163,453,844
NET ASSETS, representing:
Equity of Participants —			$	163,477,470
Equity of The Prudential Insurance Company of America				(23,626	)
			$	163,453,844

The following abbreviation is used in the semiannual report:

ADR American Depositary Receipt

* Non-income producing security.

(a) PGIM Investments LLC, the manager of the Account, also serves as manager of the PGIM Core Ultra Short Bond Fund.

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10

STATEMENT OF NET ASSETS (Unaudited)

June 30, 2018

Fair Value Measurements:

Various inputs are used in determining the value of the Account’s investments. These inputs are summarized in the three broad levels listed below.

Level 1—unadjusted quoted prices generally in active markets for identical securities.

Level 2—quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and other observable inputs.

Level 3—unobservable inputs for securities valued in accordance with the Account’s Committee approved fair valuation procedures.

The following is a summary of the inputs used as of June 30, 2018 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	6,894,441	$	—	$	—
Air Freight & Logistics		1,395,511		—		—
Automobiles		1,036,052		—		—
Banks		17,422,358		—		—
Building Products		1,027,551		—		—
Capital Markets		2,398,258		—		—
Chemicals		3,476,761		—		—
Communications Equipment		2,080,759		—		—
Consumer Finance		3,573,369		—		—
Containers & Packaging		1,284,367		—		—
Electric Utilities		4,735,483		—		—
Electrical Equipment		2,132,900		—		—
Electronic Equipment, Instruments & Components		1,427,311		—		—
Energy Equipment & Services		1,347,249		—		—
Equity Real Estate Investment Trusts (REITs)		2,367,130		—		—
Food & Staples Retailing		2,126,347		—		—
Food Products		3,375,459		—		—
Health Care Equipment & Supplies		1,642,291		—		—
Health Care Providers & Services		5,227,104		—		—
Hotels Restaurants & Leisure		5,742,006		—		—
Household Products		1,739,177		—		—
Insurance		4,056,285		—		—
Internet & Direct Marketing Retail		5,376,562		—		—
Internet Software & Services		12,744,329		—		—
IT Services		6,405,283		—		—
Life Sciences Tools & Services		1,404,270		—		—
Media		4,305,923		—		—
Multi-Utilities		1,136,861		—		—
Oil, Gas & Consumable Fuels		10,555,477		—		—
Pharmaceuticals		10,566,832		—		—
Road & Rail		1,891,286		—		—
Semiconductors & Semiconductor Equipment		7,732,145		—		—
Software		11,146,643		—		—
Specialty Retail		2,701,457		—		—
Technology Hardware, Storage & Peripherals		3,199,071		—		—
Textiles, Apparel & Luxury Goods		1,645,079		—		—
Wireless Telecommunication Services		1,514,464		—		—
Affiliated Mutual Fund		4,328,676		—		—
Total	$	163,162,527	$	—	$	—

During the period, there were no transfers between Level 1, Level 2 and Level 3 to report

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10

STATEMENT OF NET ASSETS (Unaudited)

June 30, 2018

Industry Classification:

The industry classification of investments and other assets in excess of other liabilities shown as a percentage of net assets as of June 30, 2018 were as follows:

Banks	10.7	%
Internet Software & Services	7.8
Software	6.8
Pharmaceuticals	6.5
Oil, Gas & Consumable Fuels	6.5
Semiconductors & Semiconductor Equipment	4.7
Aerospace & Defense	4.2
IT Services	3.9
Hotels Restaurants & Leisure	3.5
Internet & Direct Marketing Retail	3.3
Health Care Providers & Services	3.2
Electric Utilities	2.9
Affiliated Mutual Fund	2.6
Media	2.6
Insurance	2.5
Consumer Finance	2.2
Chemicals	2.1
Food Products	2.1
Technology Hardware, Storage & Peripherals	2.0
Specialty Retail	1.7
Capital Markets	1.5
Equity Real Estate Investment Trusts (REITs)	1.4

Electrical Equipment	1.3	%
Food & Staples Retailing	1.3
Communications Equipment	1.3
Road & Rail	1.2
Household Products	1.1
Textiles, Apparel & Luxury Goods	1.0
Health Care Equipment & Supplies	1.0
Wireless Telecommunication Services	0.9
Electronic Equipment, Instruments & Components	0.9
Life Sciences Tools & Services	0.9
Air Freight & Logistics	0.9
Energy Equipment & Services	0.8
Containers & Packaging	0.8
Multi-Utilities	0.7
Automobiles	0.6
Building Products	0.6
	99.8
Other assets in excess of liabilities	0.2
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10

STATEMENT OF OPERATIONS (Unaudited)

Six Months Ended June 30, 2018

INVESTMENT INCOME
Unaffiliated Dividend Income (net of $26,243 foreign withholding tax)	$	1,458,856
Affiliated Dividend Income		31,892
Total Income		1,490,748
EXPENSES
Fees Charged to Participants for Investment Management Services		(208,579	)
Fees Charged to Participants for Administrative Expenses:
Standard Contract		(562,949	)
0.50% Contract		(5,184	)
0.45% Contract		(10,277	)
Total Expenses		(786,989	)
NET INVESTMENT INCOME		703,759
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net Realized Gain (Loss) on:
Investment Transactions		6,008,899
Foreign Currency Transactions		(19	)
		6,008,880
Net Change in Unrealized Appreciation (Depreciation) on:
Investments		(2,479,474	)
Foreign Currencies		(290	)
		(2,479,764	)
NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		3,529,116
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	4,232,875

STATEMENTS OF CHANGES IN NET ASSETS (Unaudited)

	Six Months Ended June 30, 2018			Year Ended December 31, 2017
OPERATIONS
Net Investment Income	$	703,759		$	1,087,378
Net Realized Gain on Investment and Foreign Currency Transactions		6,008,880			14,830,963
Net Change In Unrealized Appreciation (Depreciation) on Investments and Foreign Currencies		(2,479,764	)		15,923,733
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		4,232,875			31,842,074
CAPITAL TRANSACTIONS
Purchase Payments and Transfers In		976,459			1,305,515
Withdrawals and Transfers Out		(7,247,306	)		(17,682,984	)
NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS		(6,270,847	)		(16,377,469	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SURPLUS TRANSFERS		(1,559	)		1,137
TOTAL INCREASE (DECREASE) IN NET ASSETS		(2,039,531	)		15,465,742
NET ASSETS
Beginning of period		165,493,375			150,027,633
End of period	$	163,453,844		$	165,493,375

Accumulation Unit Values and Equity of Participants as of June 30, 2018

Standard Contract:
Accumulation Unit Value and Equity of Participants, $149,267,056 / 7,474,365 Accumulation Units	$	19.9705
0.50% Contract:
Accumulation Unit Value and Equity of Participants, $4,082,558 / 183,178 Accumulation Units	$	22.2874
0.45% Contract:
Accumulation Unit Value and Equity of Participants, $10,127,856 / 452,744 Accumulation Units	$	22.3699

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL HIGHLIGHTS FOR VCA-10

INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT* (Unaudited)

(For an Accumulation Unit outstanding throughout the period)

	Six Month Ended June 30, 2018									Year Ended December 31, 2017
	Standard Contract			0.50% Contract			0.45% Contract			Standard Contract			0.50% Contract			0.45% Contract
Investment Income	$	0.1791		$	0.1995		$	0.2002		$	0.2909		$	0.3229		$	0.3239
Expenses
Investment management fee		(0.0248	)		(0.0277	)		(0.0278	)		(0.0440	)		(0.0489	)		(0.0491	)
Administrative expenses		(0.0743	)		(0.0277	)		(0.0222	)		(0.1318	)		(0.0489	)		(0.0392	)
Net Investment Income		0.0800			0.1441			0.1502			0.1151			0.2251			0.2356
Capital Changes
Net realized and unrealized gain (loss) on investment and foreign currency transactions		0.4088			0.4547			0.4562			3.4389			3.8193			3.8316
Net Increase (Decrease) in Accumulation Unit Value		0.4888			0.5988			0.6064			3.5540			4.0444			4.0672
Accumulation Unit Value
Beginning of period		19.4818			21.6886			21.7635			15.9278			17.6442			17.6963
End of period	$	19.9705		$	22.2874		$	22.3699		$	19.4818		$	21.6886		$	21.7635
Total Return**		2.51	%		2.76	%		2.79	%		22.31	%		22.92	%		22.98	%
Ratio of Expenses To Average Net Assets***		1.00	%†		0.50	%†		0.45	%†		1.00	%		0.50	%		0.45	%
Ratio of Net Investment Income To Average Net Assets***		0.81	%†		1.31	%†		1.36	%†		0.65	%		1.15	%		1.20	%
Portfolio Turnover Rate		19	%††		19	%††		19	%††		49	%		49	%		49	%
Number of Accumulation Units Outstanding For Participants at end of period (000’s omitted)		7,474			183			453			7,755			190			474

* Calculated by accumulating the actual per unit amounts daily.

** Total return does not consider the effects of sales loads. Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

*** These calculations exclude PICA’s equity in VCA-10.

† Annualized.

†† Not Annualized.

The above table does not reflect the annual administration charge, which does not affect the Accumulation Unit Value. This charge is made by reducing Participants’ Accumulation Accounts by a number of Accumulation Units equal in value to the charge.

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL HIGHLIGHTS FOR VCA-10

INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT* (Unaudited)

(For an Accumulation Unit outstanding throughout the year)

	Year Ended December 31, 2016									Year Ended December 31, 2015
	Standard Contract			0.50% Contract			0.45% Contract			Standard Contract			0.50% Contract			0.45% Contract
Investment Income	$	0.2736		$	0.3019		$	0.3027		$	0.2397		$	0.2631		$	0.2637
Expenses
Investment management fee		(0.0369	)		(0.0407	)		(0.0408	)		(0.0384	)		(0.0422	)		(0.0423	)
Administrative expenses		(0.1103	)		(0.0407	)		(0.0327	)		(0.1149	)		(0.0422	)		(0.0339	)
Net Investment Income		0.1264			0.2205			0.2292			0.0864			0.1787			0.1875
Capital Changes
Net realized and unrealized gain (loss) on investment and foreign currency transactions		0.8068			0.8955			0.8983			(0.3479	)		(0.3837	)		(0.3847	)
Net Increase (Decrease) in Accumulation Unit Value		0.9332			1.1160			1.1275			(0.2615	)		(0.2050	)		(0.1972	)
Accumulation Unit Value
Beginning of year		14.9946			16.5282			16.5688			15.2561			16.7332			16.7660
End of year	$	15.9278		$	17.6442		$	17.6963		$	14.9946		$	16.5282		$	16.5688
Total Return**		6.22	%		6.75	%		6.80	%		(1.71	)%		(1.23	)%		(1.18	)%
Ratio of Expenses To Average Net Assets***		1.00	%		0.50	%		0.45	%		1.00	%		0.50	%		0.45	%
Ratio of Net Investment Income To Average Net Assets***		0.85	%		1.34	%		1.39	%		0.57	%		1.06	%		1.11	%
Portfolio Turnover Rate		42	%		42	%		42	%		47	%		47	%		47	%
Number of Accumulation Units Outstanding For Participants at end of year (000’s omitted)		8,606			219			609			9,595			219			609

* Calculated by accumulating the actual per unit amounts daily.

** Total return does not consider the effects of sales loads. Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported. Total returns may reflect adjustments to conform to generally accepted accounting principles.

*** These calculations exclude PICA’s equity in VCA-10.

The above table does not reflect the annual administration charge, which does not affect the Accumulation Unit Value. This charge is made by reducing Participants’ Accumulation Accounts by a number of Accumulation Units equal in value to the charge.

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL HIGHLIGHTS FOR VCA-10

INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT* (Unaudited)

(For an Accumulation Unit outstanding throughout the year)

	Year Ended December 31, 2014									Year Ended December 31, 2013
	Standard Contract			0.50% Contract			0.45% Contract			Standard Contract			0.50% Contract			0.45% Contract
Investment Income	$	0.1871		$	0.2046		$	0.2049		$	0.1792		$	0.1950		$	0.1952
Expenses
Investment management fee		(0.0362	)		(0.0397	)		(0.0398	)		(0.0303	)		(0.0330	)		(0.0330	)
Administrative expenses		(0.1086	)		(0.0397	)		(0.0318	)		(0.0906	)		(0.0330	)		(0.0264	)
Net Investment Income		0.0423			0.1252			0.1333			0.0583			0.1290			0.1358
Capital Changes
Net realized and unrealized gain (loss) on investment and foreign currency transactions		1.4515			1.5879			1.5907			3.1834			3.4658			3.4700
Net Increase (Decrease) in Accumulation Unit Value		1.4938			1.7131			1.7240			3.2417			3.5948			3.6058
Accumulation Unit Value
Beginning of year		13.7623			15.0201			15.0420			10.5206			11.4253			11.4362
End of year	$	15.2561		$	16.7332		$	16.7660		$	13.7623		$	15.0201		$	15.0420
Total Return**		10.85	%		11.41	%		11.46	%		30.81	%		31.46	%		31.53	%
Ratio of Expenses To Average Net Assets***		1.00	%		0.50	%		0.45	%		1.00	%		0.50	%		0.45	%
Ratio of Net Investment Income To Average Net Assets***		0.29	%		0.78	%		0.83	%		0.48	%		0.98	%		1.03	%
Portfolio Turnover Rate		70	%		70	%		70	%		69	%		69	%		69	%
Number of Accumulation Units Outstanding For Participants at end of year (000’s omitted)		10,646			242			657			11,720			224			751

* Calculated by accumulating the actual per unit amounts daily.

** Total return does not consider the effects of sales loads. Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported. Total returns may reflect adjustments to conform to generally accepted accounting principles.

*** These calculations exclude PICA’s equity in VCA-10.

The above table does not reflect the annual administration charge, which does not affect the Accumulation Unit Value. This charge is made by reducing Participants’ Accumulation Accounts by a number of Accumulation Units equal in value to the charge.

SEE NOTES TO FINANCIAL STATEMENTS.

NOTES TO FINANCIAL STATEMENTS OF

VCA-10

(Unaudited)

Note 1: General

The Prudential Variable Contract Account-10 (“VCA-10” or the “Account”) was established on March 1, 1982 by The Prudential Insurance Company of America (“PICA”) under the laws of the State of New Jersey and is registered as an open-end, diversified management investment company under the Investment Company Act of 1940 (“1940 Act”), as amended. VCA-10 has been designed for use by employers (“Contract-holders”) in making retirement arrangements on behalf of their employees (“Participants”). The investment objective of the Account is long-term growth of capital. The Account’s investments are composed primarily of common stocks. Variable annuity payments differ according to the investment performance of the Account.

PICA issues standard VCA-10 contracts with annual expenses of 1.00%, as a percentage of net assets, (the “Standard Contracts”), contracts with annual expenses of 0.50%, as a percentage of net assets, (the “0.50% contracts”), and contracts with annual expenses of 0.45%, as a percentage of net asset, (the “0.45% contracts”). The financial statements show separate Accumulation Units Values for each type of contract.

Note 2: Accounting Policies

The Account follows investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 Financial Services-Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Account consistently follows such policies in the preparation of its financial statements.

Securities Valuation:    The Account holds securities and other assets and liabilities that are fair valued at the close of each day (generally, 4:00 PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Account’s Committee Members (the “Committee”) have adopted valuation procedures for security valuation under which fair valuation responsibilities have been delegated to PGIM Investments LLC (“PGIM Investments” or “the Manager”). Pursuant to the Committee’s delegation, a Valuation Committee has been established as two persons, being one or more officers of the Account, including: the Account’s Treasurer (or the Treasurer’s direct reports); and the Account’s Chief or Deputy Chief Compliance Officer (or Vice-President-level direct reports of the Chief or Deputy Chief Compliance Officer). Under the current valuation procedures, the Valuation Committee is responsible for supervising the valuation of portfolio securities and other assets and liabilities. The valuation procedures permit the Account to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Committee’s review, approval, and ratification at its next regularly-scheduled quarterly meeting.

For the fiscal reporting period-end, securities and other assets and liabilities were fair valued at the close of the last U.S. business day. Trading in certain foreign securities may occur when the NYSE is closed (including weekends and holidays). Because such foreign securities trade in markets that are open on weekends and U.S. holidays, the values of some of the Account’s foreign investments may change on days when investors cannot purchase or redeem Account shares.

Various inputs determine how the Account’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the table following the Account’s Statement of Net Assets.

Common and preferred stocks, exchange-traded funds, and derivative instruments, such as futures or options, that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy. In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and asked prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy.

Foreign equities traded on foreign securities exchanges are valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant

general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy. The models generate an evaluated adjustment factor for each security, which is applied to the local closing price to adjust it for post-closing market movements. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price for each security. If the vendor does not provide an evaluated price, securities are valued in accordance with exchange-traded common and preferred stock valuation policies discussed above.

Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.

Securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the Committee. In the event that unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.

When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the investment adviser regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values.

Restricted and Illiquid Securities:    Subject to guidelines adopted by the Committee, the Account may invest up to 15% of its net assets in illiquid securities, including those which are restricted as to disposition under securities law (“restricted securities”). Restricted securities are valued pursuant to the valuation procedures noted above. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, cannot be sold within seven days in the ordinary course of business at approximately the amount at which the Account has valued the investment. Therefore, the Account may find it difficult to sell illiquid securities at the time considered most advantageous by its subadviser and may incur expenses that would not be incurred in the sale of securities that were freely marketable. Certain securities that would otherwise be considered illiquid because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. These Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act, may be deemed liquid by the Account’s subadviser under the guidelines adopted by the Committee Members of the Account. However, the liquidity of the Account’s investments in Rule 144A securities could be impaired if trading does not develop or declines.

Foreign Currency Translation:    The books and records of the Account are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:

(i)  market value of investment securities, other assets and liabilities — at the current rates of exchange;

(ii)  purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.

Although the net assets of the Account are presented at the foreign exchange rates and market values at the close of the period, the Account does not generally isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Account does not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, holding period realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions.

Net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from holdings of foreign currencies, currency gains (losses) realized between the trade and settlement dates on securities transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Account’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on foreign currencies.

Securities Transactions and Net Investment Income:    Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on the accrual basis, which may require the use of certain estimates by management that may differ from actual. Net investment income and realized and unrealized gain (losses) (other than administrative fees) are allocated to the Participants and PICA on a daily basis in proportion to their respective ownership in VCA-10.

Estimates:    The preparation of the financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

Federal Income Taxes:    The operations of VCA-10 are part of, and are taxed with, the operations of PICA. Under the current provisions of the Internal Revenue Code, PICA does not expect to incur federal income taxes on earnings of VCA-10 to the extent the earnings are credited under the Contracts. As a result, the Unit Value of VCA-10 has not been reduced by federal income taxes.

Note 3: Investment Management Agreement and Charges

The Account has a management agreement with PGIM Investments. Pursuant to this agreement, PGIM Investments has responsibility for all investment advisory services and supervises the subadviser’s performance of such services. PGIM Investments has entered into a subadvisory agreement with Jennison Associates LLC (“Jennison”). The subadvisory agreement provides that Jennison will furnish investment advisory services in connection with the management of the Account. PGIM Investments pays for the services of Jennison.

VCA-10 is subject to fees for investment management and administration services. PICA may impose a reduced Administrative Fee where warranted by economies of scale and the expense characteristics of the employer, association or trust to which PICA has issued a Contract.

Standard contracts have an effective annual rate of up to 1.00% of the current value of the Participant’s equity of which 0.75% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PGIM Investments, for investment management services. The 0.50% contracts have an effective annual rate of up to 0.50% of the current value of the Participant’s equity of which 0.25% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PGIM Investments, for investment management services. The 0.45% contracts have an effective annual rate of up to 0.45% of the current value of the Participant’s equity of which 0.20% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PGIM Investments, for investment management services.

An annual account charge of not more than $30 is deducted from the account of each Participant, if applicable, at the time of withdrawal of the value of all of the Participant’s accounts or on the last business day of each calendar year such amounts are reflected as a withdrawal on the Statements of Changes in Net Assets.

PICA, PGIM Investments and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).

Note 4: Other Transactions with Affiliates

The Account may enter into certain securities purchase or sale transactions under Committee approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Such transactions are subject to ratification by the Committee. For the period ended June 30, 2018 no such transactions were entered into by the Account.

During the six months ended June 30, 2018, the Account invested in the PGIM Core Ultra Short Bond Fund (the “Core Fund”), a portfolio of the Prudential Investment Portfolios 2, registered under the 1940 Act, and managed by PGIM Investments. Earnings from the Core Fund are disclosed on the Statement of Operations as “Affiliated dividend income”.

Note 5: Purchases and Sales of Portfolio Securities

For the six months ended June 30, 2018, the aggregate cost of purchases and the proceeds from sales of securities, excluding short-term investments, were $30,910,953 and $40,351,409, respectively.

Note 6: Unit Transactions

The number of Accumulation Units issued and redeemed for the six months ended June 30, 2018 and the year ended December 31, 2017, respectively, are as follows:

Standard Contracts	Units			Amount
Six months ended June 30, 2018:
Account units issued		48,638		$	976,459
Account units redeemed		(329,659	)		(6,628,381	)
Net increase (decrease) in units outstanding		(281,021	)	$	(5,651,922	)
Year ended December 31, 2017:
Account units issued		74,595		$	1,305,515
Account units redeemed		(924,776	)		(16,317,915	)
Net increase (decrease) in units outstanding		(850,181	)	$	(15,012,400	)
0.50% Contracts	Units			Amount
Six months ended June 30, 2018:
Account units issued		—		$	—
Account units redeemed		(6,426	)		(144,066	)
Net increase (decrease) in units outstanding		(6,426	)	$	(144,066	)
Year ended December 31, 2017:
Account units issued		—		$	—
Account units redeemed		(22,834	)		(433,904	)
Net increase (decrease) in units outstanding		(22,834	)	$	(433,904	)
0.45% Contracts	Units			Amount
Six months ended June 30, 2018:
Account units issued		—		$	—
Account units redeemed		(21,167	)		(474,859	)
Net increase (decrease) in units outstanding		(21,167	)	$	(474,859	)
Year ended December 31, 2017:
Account units issued		—		$	—
Account units redeemed		(47,660	)		(931,165	)
Net increase (decrease) in units outstanding		(47,660	)	$	(931,165	)

Note 7: Net Increase (Decrease) In Net Assets Resulting From Surplus Transfers

The increase (decrease) in net assets resulting from surplus transfers represents the net increase to/(reductions from) PICA’s investment in the Account.

Note 8: Participant Loans

Loans are considered to be withdrawals from the Account from which the loan amount was deducted, though they are not considered a withdrawal from the MEDLEY Program. Withdrawals, transfers and loans from VCA-10 are considered to be withdrawals of contributions until all of the Participant’s contributions to the Account have been withdrawn, transferred or borrowed.

For the six months ended June 30, 2018, $35,877 in participant loans were withdrawn from VCA-10 and $34,253 of principal and interest was repaid to VCA-10. For the year ended December 31, 2017, $75,791 in participant loans were withdrawn from VCA-10 and $66,116 of principal and interest was repaid to VCA-10. Loan repayments are invested in Participant’s account(s) as chosen by the Participant, which may not necessarily be VCA-10. The initial loan proceeds which are being repaid may not necessarily have originated solely from VCA-10. During the six months ended June 30, 2018, PICA has advised the Account that it received $438 in loan origination fees. The participant loan principal and interest repayments are included in purchase payments and transfers in within the Statement of Changes in Net Assets.

Note 9: Other Risks

The Account’s risks include, but are not limited to, the following:

Foreign Securities Risk:    The Account’s investments in securities of foreign issuers or issuers with significant exposure to foreign markets involve additional risk. Foreign countries in which the Account may invest may have markets that are less liquid, less regulated and more volatile than US markets. The value of the Account’s investments may decline because of factors affecting the particular issuer as well as foreign markets and issuers generally, such as unfavorable government actions, and political or financial instability.

Liquidity Risk:    The Account may invest in instruments that trade in lower volumes and are less liquid than other investments. Liquidity risk includes the risk that the Account may make investments that may become less liquid in response to market developments or adverse investor perceptions. Investments that are illiquid or that trade in lower volumes may be more difficult to value. When there is no willing buyer and investments cannot be readily sold at the desired time or price, the Account may have to accept a lower price or may not be able to sell the instrument at all. An inability to sell a portfolio position can adversely affect the Account’s value or prevent the Account from being able to take advantage of other investment opportunities.

Market and Credit Risks:    Securities markets may be volatile and the market prices of the Account’s securities may decline. Securities fluctuate in price based on changes in an issuer’s financial condition and overall market and economic conditions. If the market prices of the securities owned by the Account fall, the value of an investment in the Account will decline. Additionally, the Account may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Account has unsettled or open transactions defaults.

The Prudential Series Fund

The following pages represent information on the Prudential Series Fund Portfolios. Returns are at the Portfolio level, not at the Subaccount level.

Each Subaccount of VCA-11 and VCA-24 will invest in the corresponding Portfolio of the Prudential Series Fund (the “Fund”). Of the Portfolios comprising the Fund, eight Portfolios are presently available to The MEDLEY Program. The Conservative Balanced Subaccount in the Conservative Balanced Portfolio, the Diversified Bond Subaccount invests in the Diversified Bond Portfolio, the Equity Subaccount invests in the Equity Portfolio, the Flexible Managed Subaccount in the Flexible Managed Portfolio, the Global Subaccount in the Global Portfolio, the Government Income Subaccount in the Government Income Portfolio, the Government Money Market Subaccount in the Government Money Market Portfolio, and the Stock Index Subaccount in the Stock Index Portfolio.

There is no assurance that the investment objective of the Portfolios will be attained, nor is there any guarantee that the amount available to a Participant will equal or exceed the total contributions made on that Participant’s behalf. The value of the investments held in each account may fluctuate daily and is subject to the risks of both changing economic conditions and the selection of investments necessary to meet the Subaccounts’ or Portfolios’ objectives.

Important Note

This information supplements the financial statements and other information included in this Report to Participants in The MEDLEY Program. It highlights the investment performance of the eight portfolios of the Fund which are available through the Prudential Variable Contract Accounts 11 and 24. The rates of return quoted on the following pages reflect deduction of investment management fees and portfolio expenses, but not product charges. They reflect the reinvestment of dividend and capital gains distributions. They are not an estimate or a guarantee of future performance.

Contract unit values increase or decrease based on the performance of each corresponding Portfolio and when redeemed, may be worth more or less than original cost. Changes in contract values depend not only on the investment performance of each Portfolio but also on the insurance, administrative charges and applicable sales charges, if any, under a contract. These contract charges effectively reduce the dollar amount of any net gains and increase the dollar amount of any net losses.

The Prudential Series Fund   Presentation of Portfolio Holdings — unaudited June 30, 2018

Conservative Balanced
Five Largest Holdings	(% of Net Assets	)
Apple, Inc.	1.9%
Microsoft Corp.	1.6%
Amazon.com, Inc.	1.5%
U.S. Treasury Inflation Indexed Bonds, TIPS	1.4%
Facebook, Inc. (Class A Stock) 1.0%

Diversified Bond
Fund Composition	(% of Net Assets	)
Corporate Bonds	37.4%
Asset-Backed Securities	27.0%
Commercial Mortgage-Backed Securities	14.5%
Sovereign Bonds	5.5%
Residential Mortgage-Backed Securities	3.3%

Equity
Five Largest Holdings	(% of Net Assets	)
JPMorgan Chase & Co.	3.9%
Microsoft Corp.	3.5%
Amazon.com, Inc.	3.1%
Boeing Co. (The)	2.9%
Alibaba Group Holding Ltd.	2.4%

Flexible Managed Portfolio
Five Largest Holdings	(% of Net Assets	)
Microsoft Corp.	2.0%
Apple, Inc.	1.9%
Facebook, Inc. (Class A Stock)	1.6%
JPMorgan Chase & Co.	1.4%
Alphabet, Inc. (Class C Stock)	1.3%

Global
Top Five Countries	(% of Net Assets	)
United States	55.9%
Japan	6.7%
France	5.3%
United Kingdom	4.9%
Canada	3.3%

Government Income
Fund Composition	(% of Net Assets	)
U.S. Government Agency Obligations	40.5%
U.S. Treasury Obligations	28.0%
Commercial Mortgage-Backed Securities	17.2%
Asset-Backed Securities	9.5%
Corporate Bonds	1.8%

Stock Index
Five Largest Holdings	(% of Net Assets	)
Apple, Inc.	3.9%
Microsoft Corp.	3.2%
Amazon.com, Inc.	2.9%
Facebook, Inc. (Class A Stock)	2.0%
Berkshire Hathaway, Inc. (Class B Stock)	1.5%

For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Industries/Sectors are subject to change.

The Prudential Series Fund Fees and Expenses — unaudited June 30, 2018

As a contract owner investing in Portfolios of the Fund through a variable annuity or variable life contract, you incur ongoing costs, including management fees, and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other investment options. This example does not reflect fees and charges under your variable annuity or variable life contract. If contract charges were included, the costs shown below would be higher. Please consult the prospectus for your contract for more information about contract fees and charges.

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period January 1, 2018 through June 30, 2018.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the Portfolio expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Six-Month Period” to estimate the Portfolio expenses you paid on your account during this period. As noted above, the table does not reflect variable contract fees and charges.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other investment options. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other investment options.

Please note that the expenses shown in the table are meant to highlight your ongoing Portfolio costs only and do not reflect any contract fees and charges, such as sales charges (loads), insurance charges or administrative charges. Therefore the second line of the table is useful to compare ongoing investment option costs only, and will not help you determine the relative total costs of owning different contracts. In addition, if these contract fee and charges were included, your costs would have been higher.

The Prudential Series Fund Portfolios		Beginning Account Value January 1, 2018		Ending Account Value June 30, 2018		Annualized Expense Ratio based on the Six-Month period			Expenses Paid During the Six-Month period*
Conservative Balanced (Class I)	Actual	$	1,000.00	$	1,005.20		0.58	%	$	2.88
	Hypothetical	$	1,000.00	$	1,021.92		0.58	%	$	2.91
Diversified Bond (Class I)	Actual	$	1,000.00	$	983.30		0.44	%	$	2.16
	Hypothetical	$	1,000.00	$	1,022.61		0.44	%	$	2.21
Equity (Class I)	Actual	$	1,000.00	$	1,059.60		0.47	%	$	2.40
	Hypothetical	$	1,000.00	$	1,022.46		0.47	%	$	2.36
Equity (Class II)	Actual	$	1,000.00	$	1,057.60		0.87	%	$	4.44
	Hypothetical	$	1,000.00	$	1,020.48		0.87	%	$	4.36
Flexible Managed (Class I)	Actual	$	1,000.00	$	1,007.40		0.62	%	$	3.09
	Hypothetical	$	1,000.00	$	1,021.72		0.62	%	$	3.11
Global (Class I)	Actual	$	1,000.00	$	1,029.70		0.78	%	$	3.93
	Hypothetical	$	1,000.00	$	1,020.93		0.78	%	$	3.91
Government Income (Class I)	Actual	$	1,000.00	$	989.70		0.52	%	$	2.57
	Hypothetical	$	1,000.00	$	1,022.22		0.52	%	$	2.61
Government Money Market (Class I)	Actual	$	1,000.00	$	1,006.20		0.35	%	$	1.74
	Hypothetical	$	1,000.00	$	1,023.06		0.35	%	$	1.76
Stock Index (Class I)	Actual	$	1,000.00	$	1,025.40		0.31	%	$	1.56
	Hypothetical	$	1,000.00	$	1,023.26		0.31	%	$	1.56

* Portfolio expenses (net of fee waivers or subsidies, if any) for each share class are equal to the annualized expense ratio for each share class (provided in the table), multiplied by the average account value over the period, multiplied by the 181 days in the six-month period ended June 30, 2018, and divided by the 365 days in the Portfolio’s fiscal year ending December 31, 2018 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.

CONSERVATIVE BALANCED PORTFOLIO

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

LONG-TERM INVESTMENTS — 87.7%
COMMON STOCKS — 50.1%	Shares		Value
Aerospace & Defense — 1.3%
Arconic, Inc.		21,480	$	365,375
Boeing Co. (The)		29,250		9,813,668
Dassault Aviation SA (France)		83		157,822
General Dynamics Corp.		14,800		2,758,868
Harris Corp.		6,300		910,602
Huntington Ingalls Industries, Inc.		2,500		541,975
L3 Technologies, Inc.		4,200		807,744
Lockheed Martin Corp.		13,280		3,923,310
Northrop Grumman Corp.		9,362		2,880,687
Raytheon Co.		15,400		2,974,972
Rockwell Collins, Inc.		8,800		1,185,184
Safran SA (France)		882		106,815
Textron, Inc.		13,600		896,376
TransDigm Group, Inc.(a)		2,700		931,878
United Technologies Corp.		39,700		4,963,691
				33,218,967
Air Freight & Logistics — 0.3%
C.H. Robinson Worldwide, Inc.		7,300		610,718
Expeditors International of Washington, Inc.		9,300		679,830
FedEx Corp.		13,180		2,992,651
Royal Mail PLC (United Kingdom)		3,322		22,101
United Parcel Service, Inc. (Class B Stock)		36,800		3,909,264
				8,214,564
Airlines — 0.2%
Alaska Air Group, Inc.		6,500		392,535
American Airlines Group, Inc.		21,600		819,936
Delta Air Lines, Inc.		34,400		1,704,176
Deutsche Lufthansa AG (Germany)		4,331		103,761
easyJet PLC (United Kingdom)		1,993		43,846
International Consolidated Airlines Group SA (United Kingdom)		1,614		14,124
Japan Airlines Co. Ltd. (Japan)		400		14,172
Southwest Airlines Co.		28,500		1,450,080
United Continental Holdings, Inc.*		12,600		878,598
				5,421,228
Auto Components — 0.1%
Aptiv PLC		14,100		1,291,983
BorgWarner, Inc.		10,800		466,128
Faurecia SA (France)		205		14,573
Goodyear Tire & Rubber Co. (The)		11,500		267,835
Koito Manufacturing Co. Ltd. (Japan)		400		26,421
NGK Spark Plug Co. Ltd. (Japan)		400		11,372
Toyota Industries Corp. (Japan)		400		22,390
				2,100,702
Automobiles — 0.3%
Bayerische Motoren Werke AG (Germany)		892		80,630
Ferrari NV (Italy)		326		44,065
Fiat Chrysler Automobiles NV (United Kingdom)*		2,943		55,518
Ford Motor Co.		207,885		2,301,287

COMMON STOCKS (continued)	Shares		Value
Automobiles (continued)
General Motors Co.		67,600	$	2,663,440
Harley-Davidson, Inc.		9,100		382,928
Honda Motor Co. Ltd. (Japan)		4,300		126,080
Mitsubishi Motors Corp. (Japan)		2,500		19,928
Peugeot SA (France)		10,136		230,952
Suzuki Motor Corp. (Japan)		5,700		314,116
Toyota Motor Corp. (Japan)		6,000		388,014
Volkswagen AG (Germany)		123		20,221
				6,627,179
Banks — 3.1%
ABN AMRO Group NV (Netherlands), CVA, 144A		12,197		315,437
Banco Santander SA (Spain)		1,943		10,384
Bank Leumi Le-Israel BM (Israel)		46,795		276,890
Bank of America Corp.		502,921		14,177,343
Bank of East Asia Ltd. (The) (Hong Kong)		74,800		298,127
Bank of Ireland Group PLC (Ireland)		2,536		19,680
Bankinter SA (Spain)		2,509		24,345
BB&T Corp.		41,600		2,098,304
BNP Paribas SA (France)		2,967		183,530
CaixaBank SA (Spain)		9,581		41,239
Citigroup, Inc.		136,035		9,103,462
Citizens Financial Group, Inc.		25,800		1,003,620
Comerica, Inc.		9,600		872,832
Commonwealth Bank of Australia (Australia)		189		10,193
Danske Bank A/S (Denmark)		1,988		61,934
DBS Group Holdings Ltd. (Singapore)		11,800		229,475
DNB ASA (Norway)		14,924		290,616
Fifth Third Bancorp		36,321		1,042,413
Fukuoka Financial Group, Inc. (Japan)		3,000		15,055
Hang Seng Bank Ltd. (Hong Kong)		4,700		117,361
HSBC Holdings PLC (United Kingdom)		29,378		274,518
Huntington Bancshares, Inc.		58,036		856,611
Intesa Sanpaolo SpA (Italy)		131,406		380,194
JPMorgan Chase & Co.		181,645		18,927,409
KBC Group NV (Belgium)		663		50,918
KeyCorp		54,200		1,059,068
Lloyds Banking Group PLC (United Kingdom)		301,253		249,955
M&T Bank Corp.		7,900		1,344,185
Mebuki Financial Group, Inc. (Japan)		3,700		12,411
Mediobanca Banca di Credito Finanziario SpA (Italy)		1,637		15,142
Mitsubishi UFJ Financial Group, Inc. (Japan)		44,800		253,787
Mizuho Financial Group, Inc. (Japan)		63,900		107,639
Oversea-Chinese Banking Corp. Ltd. (Singapore)		8,300		70,697
People’s United Financial, Inc.(a)		16,500		298,485
PNC Financial Services Group, Inc. (The)		25,033		3,381,958
Raiffeisen Bank International AG (Austria)		519		15,902
Regions Financial Corp.		58,903		1,047,295
Resona Holdings, Inc. (Japan)		58,400		311,259

SEE NOTES TO FINANCIAL STATEMENTS.

A1

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Banks (continued)
Sumitomo Mitsui Financial Group, Inc. (Japan)		3,600	$	140,422
SunTrust Banks, Inc.		24,800		1,637,296
SVB Financial Group*		2,900		837,404
Swedbank AB (Sweden) (Class A Stock)		2,402		51,178
U.S. Bancorp		83,185		4,160,914
UniCredit SpA (Italy)		5,426		89,933
United Overseas Bank Ltd. (Singapore)		3,500		68,595
Wells Fargo & Co.		233,864		12,965,420
Zions Bancorporation(a)		10,550		555,879
				79,356,714
Beverages — 0.9%
Asahi Group Holdings Ltd. (Japan)		900		46,159
Brown-Forman Corp. (Class B Stock)(a)		14,275		699,618
Coca-Cola Amatil Ltd. (Australia)		1,978		13,453
Coca-Cola Co. (The)		204,301		8,960,642
Coca-Cola European Partners PLC (United Kingdom)		7,800		316,992
Constellation Brands, Inc. (Class A Stock)		9,000		1,969,830
Diageo PLC (United Kingdom)		6,440		231,362
Heineken Holding NV (Netherlands)		303		28,978
Kirin Holdings Co. Ltd. (Japan)		6,900		184,954
Molson Coors Brewing Co. (Class B Stock)		9,700		659,988
Monster Beverage Corp.*		21,900		1,254,870
PepsiCo, Inc.		75,607		8,231,334
				22,598,180
Biotechnology — 1.2%
AbbVie, Inc.		80,900		7,495,385
Alexion Pharmaceuticals, Inc.*		11,900		1,477,385
Amgen, Inc.		35,537		6,559,775
Biogen, Inc.*		11,260		3,268,102
Celgene Corp.*		37,700		2,994,134
CSL Ltd. (Australia)		1,654		235,435
Gilead Sciences, Inc.		69,400		4,916,296
Incyte Corp.*		9,700		649,900
Regeneron Pharmaceuticals, Inc.*		4,140		1,428,259
Vertex Pharmaceuticals, Inc.*		13,600		2,311,456
				31,336,127
Building Products — 0.1%
A.O. Smith Corp.		7,800		461,370
AGC, Inc. (Japan)		6,300		245,045
Allegion PLC		5,133		397,089
Fortune Brands Home & Security, Inc.		7,800		418,782
Johnson Controls International PLC		48,622		1,626,406
Masco Corp.		15,800		591,236
				3,739,928
Capital Markets — 1.5%
Affiliated Managers Group, Inc.		3,100		460,877
Ameriprise Financial, Inc.		7,720		1,079,874
ASX Ltd. (Australia)		708		33,749

COMMON STOCKS (continued)	Shares		Value
Capital Markets (continued)
Bank of New York Mellon Corp. (The)		53,958	$	2,909,955
BlackRock, Inc.		6,600		3,293,664
Cboe Global Markets, Inc.		5,900		614,013
Charles Schwab Corp. (The)		64,050		3,272,955
CME Group, Inc.		18,200		2,983,344
Daiwa Securities Group, Inc. (Japan)		6,000		34,775
E*TRADE Financial Corp.*		13,820		845,231
Franklin Resources, Inc.		16,700		535,235
Goldman Sachs Group, Inc. (The)		18,800		4,146,716
Intercontinental Exchange, Inc.		30,955		2,276,740
Invesco Ltd.		20,600		547,136
Macquarie Group Ltd. (Australia)		3,976		362,358
Moody’s Corp.		8,850		1,509,456
Morgan Stanley		72,680		3,445,032
MSCI, Inc.		5,000		827,150
Nasdaq, Inc.		6,200		565,874
Nomura Holdings, Inc. (Japan)		9,200		44,519
Northern Trust Corp.		11,200		1,152,368
Partners Group Holding AG (Switzerland)		437		319,467
Quilter PLC (United Kingdom), 144A*		4,346		8,312
Raymond James Financial, Inc.		7,200		643,320
S&P Global, Inc.		13,400		2,732,126
SBI Holdings, Inc. (Japan)		600		15,384
State Street Corp.		19,500		1,815,255
T. Rowe Price Group, Inc.		12,900		1,497,561
				37,972,446
Chemicals — 1.0%
Air Products & Chemicals, Inc.		11,700		1,822,041
Albemarle Corp.(a)		6,100		575,413
Asahi Kasei Corp. (Japan)		4,800		60,871
BASF SE (Germany)		2,451		233,994
CF Industries Holdings, Inc.		12,000		532,800
Covestro AG (Germany), 144A		3,882		345,047
DowDuPont, Inc.		123,841		8,163,599
Eastman Chemical Co.		7,900		789,684
Ecolab, Inc.		13,900		1,950,587
FMC Corp.		7,500		669,075
International Flavors & Fragrances, Inc.		4,500		557,820
Koninklijke DSM NV (Netherlands)		470		47,018
Kuraray Co. Ltd. (Japan)		1,200		16,504
Linde AG (Germany)		482		114,513
LyondellBasell Industries NV (Class A Stock)		17,200		1,889,420
Mitsubishi Chemical Holdings Corp. (Japan)		37,800		315,660
Mitsubishi Gas Chemical Co., Inc. (Japan)		400		9,039
Mitsui Chemicals, Inc. (Japan)		1,200		31,894
Mosaic Co. (The)		15,900		445,995
PPG Industries, Inc.		13,300		1,379,609
Praxair, Inc.		15,400		2,435,510
Sherwin-Williams Co. (The)		4,450		1,813,687
Shin-Etsu Chemical Co. Ltd. (Japan)		1,000		88,868
Sumitomo Chemical Co. Ltd. (Japan)		4,000		22,623

SEE NOTES TO FINANCIAL STATEMENTS.

A2

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Chemicals (continued)
Teijin Ltd. (Japan)		700	$	12,822
Tosoh Corp. (Japan)		1,100		17,008
				24,341,101
Commercial Services & Supplies — 0.2%
Babcock International Group PLC (United Kingdom)		940		10,100
Cintas Corp.		4,800		888,336
Republic Services, Inc.		12,365		845,271
Securitas AB (Sweden) (Class B Stock)		1,145		18,776
Stericycle, Inc.*		4,900		319,921
Waste Management, Inc.		21,042		1,711,556
				3,793,960
Communications Equipment — 0.5%
Cisco Systems, Inc.		251,500		10,822,045
F5 Networks, Inc.*		3,500		603,575
Juniper Networks, Inc.		18,400		504,528
Motorola Solutions, Inc.		8,889		1,034,413
				12,964,561
Construction & Engineering — 0.1%
ACS Actividades de Construccion y Servicios SA (Spain)		685		27,637
CIMIC Group Ltd. (Australia)		357		11,160
Eiffage SA (France)		269		29,225
Fluor Corp.		7,800		380,484
HOCHTIEF AG (Germany)		1,441		259,860
Jacobs Engineering Group, Inc.		6,700		425,383
Quanta Services, Inc.*		6,900		230,460
Shimizu Corp. (Japan)		1,400		14,490
Taisei Corp. (Japan)		3,700		203,757
Vinci SA (France)		1,340		128,628
				1,711,084
Construction Materials — 0.1%
CRH PLC (Ireland)		2,231		78,474
Martin Marietta Materials, Inc.		3,400		759,322
Vulcan Materials Co.		7,100		916,326
				1,754,122
Consumer Finance — 0.3%
American Express Co.		38,100		3,733,800
Capital One Financial Corp.		25,961		2,385,816
Discover Financial Services		18,640		1,312,443
Synchrony Financial		37,672		1,257,491
				8,689,550
Containers & Packaging — 0.2%
Avery Dennison Corp.		4,900		500,290
Ball Corp.		18,600		661,230
International Paper Co.		22,573		1,175,602
Packaging Corp. of America		5,100		570,129
Sealed Air Corp.		8,000		339,600
WestRock Co.		13,444		766,577
				4,013,428

COMMON STOCKS (continued)	Shares		Value
Distributors — 0.1%
Genuine Parts Co.		7,800	$	715,962
LKQ Corp.*		16,600		529,540
				1,245,502
Diversified Consumer Services — 0.0%
H&R Block, Inc.		10,500		239,190
Diversified Financial Services — 0.8%
Berkshire Hathaway, Inc. (Class B Stock)*		102,740		19,176,421
Jefferies Financial Group, Inc.		14,400		327,456
Kinnevik AB (Sweden) (Class B Stock)		860		29,306
ORIX Corp. (Japan)		17,500		275,837
				19,809,020
Diversified Telecommunication Services — 1.0%
AT&T, Inc.		387,236		12,434,148
CenturyLink, Inc.		49,679		926,017
Deutsche Telekom AG (Germany)*		8,774		135,597
Elisa OYJ (Finland)		511		23,607
HKT Trust & HKT Ltd. (Hong Kong) (Class SS Stock)		13,000		16,583
Nippon Telegraph & Telephone Corp. (Japan)		7,800		354,338
Orange SA (France)		5,256		87,734
Spark New Zealand Ltd. (New Zealand)		6,667		16,826
Telecom Italia SpA (Italy)*		42,538		31,516
Telecom Italia SpA (Italy), RSP		22,010		14,324
Verizon Communications, Inc.		220,376		11,087,116
				25,127,806
Electric Utilities — 0.9%
Alliant Energy Corp.		12,400		524,768
American Electric Power Co., Inc.		26,260		1,818,505
CK Infrastructure Holdings Ltd. (Hong Kong)		2,000		14,805
CLP Holdings Ltd. (Hong Kong)		5,000		53,857
Duke Energy Corp.		37,361		2,954,508
Edison International		17,700		1,119,879
Endesa SA (Spain)		1,155		25,400
Enel SpA (Italy)		26,613		147,468
Entergy Corp.(a)		9,600		775,584
Evergy, Inc.		13,900		780,485
Eversource Energy		17,100		1,002,231
Exelon Corp.		51,213		2,181,674
FirstEnergy Corp.		24,206		869,237
Iberdrola SA (Spain)		15,506		119,579
Kansai Electric Power Co., Inc. (The) (Japan)		2,700		39,377
Kyushu Electric Power Co., Inc. (Japan)		1,500		16,748
NextEra Energy, Inc.		25,200		4,209,156
Orsted A/S (Denmark), 144A		5,340		322,649
PG&E Corp.		26,900		1,144,864
Pinnacle West Capital Corp.		5,900		475,304
PPL Corp.		37,300		1,064,915
Southern Co. (The)		53,900		2,496,109

SEE NOTES TO FINANCIAL STATEMENTS.

A3

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Electric Utilities (continued)
SSE PLC (United Kingdom)		11,577	$	206,656
Xcel Energy, Inc.		26,510		1,210,977
				23,574,735
Electrical Equipment — 0.3%
ABB Ltd. (Switzerland)		4,107		89,590
AMETEK, Inc.		12,200		880,352
Eaton Corp. PLC		23,337		1,744,207
Emerson Electric Co.		33,600		2,323,104
Fuji Electric Co. Ltd. (Japan)		2,000		15,192
Rockwell Automation, Inc.		6,700		1,113,741
Schneider Electric SE (France)		3,348		278,443
				6,444,629
Electronic Equipment, Instruments & Components — 0.2%
Amphenol Corp. (Class A Stock)		16,100		1,403,115
Corning, Inc.		44,200		1,215,942
FLIR Systems, Inc.		7,100		368,987
Hamamatsu Photonics KK (Japan)		500		21,464
Hitachi Ltd. (Japan)		52,000		366,339
IPG Photonics Corp.*		2,100		463,323
Keyence Corp. (Japan)		300		169,204
Shimadzu Corp. (Japan)		800		24,137
TE Connectivity Ltd.		18,700		1,684,122
Venture Corp. Ltd. (Singapore)		1,000		13,065
				5,729,698
Energy Equipment & Services — 0.4%
Baker Hughes a GE Co.		21,198		700,170
Halliburton Co.		46,700		2,104,302
Helmerich & Payne, Inc.(a)		6,200		395,312
National Oilwell Varco, Inc.		19,100		828,940
Schlumberger Ltd.		73,924		4,955,126
TechnipFMC PLC (United Kingdom)		22,700		720,498
				9,704,348
Equity Real Estate Investment Trusts (REITs) — 1.4%
Alexandria Real Estate Equities, Inc.(a)		5,600		706,552
American Tower Corp.		23,600		3,402,412
Apartment Investment & Management Co. (Class A Stock)		8,233		348,256
AvalonBay Communities, Inc.		7,375		1,267,689
Boston Properties, Inc.		8,300		1,040,986
Crown Castle International Corp.		22,100		2,382,822
Dexus (Australia)		3,736		26,853
Digital Realty Trust, Inc.		11,300		1,260,854
Duke Realty Corp.		18,800		545,764
Equinix, Inc.		4,254		1,828,752
Equity Residential		19,900		1,267,431
Essex Property Trust, Inc.		3,750		896,512
Extra Space Storage, Inc.		7,000		698,670
Federal Realty Investment Trust		4,100		518,855
GGP, Inc.		33,100		676,233
Goodman Group (Australia)		14,411		102,734
HCP, Inc.		23,400		604,188
Host Hotels & Resorts, Inc.		39,182		825,565
Iron Mountain, Inc.		14,702		514,717
Kimco Realty Corp.		21,800		370,382

COMMON STOCKS (continued)	Shares		Value
Equity Real Estate Investment Trusts (REITs) (continued)
Klepierre SA (France)		4,094	$	153,825
Land Securities Group PLC (United Kingdom)		24,704		311,229
Link REIT (Hong Kong)		6,000		54,716
Macerich Co. (The)		5,500		312,565
Mid-America Apartment Communities, Inc.		6,000		604,020
Mirvac Group (Australia)		13,628		21,873
Nippon Building Fund, Inc. (Japan)		3		17,305
Prologis, Inc.		28,477		1,870,654
Public Storage		8,000		1,814,880
Realty Income Corp.		15,500		833,745
Regency Centers Corp.		8,000		496,640
SBA Communications Corp.*(a)		6,200		1,023,744
Simon Property Group, Inc.		16,593		2,823,963
SL Green Realty Corp.		4,900		492,597
Stockland (Australia)		9,072		26,655
UDR, Inc.		14,500		544,330
Ventas, Inc.		19,018		1,083,075
Vornado Realty Trust		9,225		681,912
Welltower, Inc.		19,800		1,241,262
Weyerhaeuser Co.		39,718		1,448,118
				35,143,335
Food & Staples Retailing — 0.7%
Costco Wholesale Corp.		23,400		4,890,132
ICA Gruppen AB (Sweden)		295		9,025
Koninklijke Ahold Delhaize NV (Netherlands)		3,237		77,292
Kroger Co. (The)		43,292		1,231,657
Sysco Corp.		25,600		1,748,224
Tesco PLC (United Kingdom)		109,449		370,331
Walgreens Boots Alliance, Inc.		45,500		2,730,682
Walmart, Inc.		77,200		6,612,180
Wesfarmers Ltd. (Australia)		4,162		151,856
WM Morrison Supermarkets PLC (United Kingdom)		41,283		136,936
Woolworths Group Ltd. (Australia)		5,929		133,899
				18,092,214
Food Products — 0.6%
Archer-Daniels-Midland Co.		29,826		1,366,926
Barry Callebaut AG (Switzerland)		9		16,127
Campbell Soup Co.(a)		9,400		381,076
Conagra Brands, Inc.(a)		20,300		725,319
General Mills, Inc.		31,700		1,403,042
Hershey Co. (The)		7,400		688,644
Hormel Foods Corp.(a)		14,600		543,266
J.M. Smucker Co. (The)		6,100		655,628
Kellogg Co.		13,500		943,245
Kraft Heinz Co. (The)		31,917		2,005,026
Marine Harvest ASA (Norway)		13,840		275,179
McCormick & Co., Inc.(a)		6,700		777,803
MEIJI Holdings Co. Ltd. (Japan)		300		25,336
Mondelez International, Inc. (Class A Stock)		78,653		3,224,773
Nestle SA (Switzerland)		8,198		635,352
Tate & Lyle PLC (United Kingdom)		34,361		292,424
Tyson Foods, Inc. (Class A Stock)		15,600		1,074,060

SEE NOTES TO FINANCIAL STATEMENTS.

A4

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Food Products (continued)
WH Group Ltd. (Hong Kong), 144A		23,500	$	19,016
Wilmar International Ltd. (Singapore)		96,900		217,291
				15,269,533
Health Care Equipment & Supplies — 1.5%
Abbott Laboratories		93,500		5,702,565
ABIOMED, Inc.*		2,340		957,177
Align Technology, Inc.*		4,000		1,368,560
Baxter International, Inc.		26,300		1,941,992
Becton, Dickinson & Co.		14,310		3,428,104
Boston Scientific Corp.*		73,567		2,405,641
Coloplast A/S (Denmark) (Class B Stock)		312		31,151
ConvaTec Group PLC (United Kingdom), 144A		9,618		26,851
Cooper Cos., Inc. (The)		2,840		668,678
Danaher Corp.		32,800		3,236,704
DENTSPLY SIRONA, Inc.		12,200		533,994
Edwards Lifesciences Corp.*		11,500		1,674,055
Hologic, Inc.*		14,900		592,275
Hoya Corp. (Japan)		1,000		56,729
IDEXX Laboratories, Inc.*		4,800		1,046,112
Intuitive Surgical, Inc.*		6,060		2,899,589
Medtronic PLC		72,290		6,188,747
ResMed, Inc.		7,600		787,208
Smith & Nephew PLC (United Kingdom)		2,271		41,832
Sonova Holding AG (Switzerland)		145		25,938
Straumann Holding AG (Switzerland)		38		28,819
Stryker Corp.		17,200		2,904,392
Terumo Corp. (Japan)		800		45,798
Varian Medical Systems, Inc.*		5,000		568,600
Zimmer Biomet Holdings, Inc.		10,900		1,214,696
				38,376,207
Health Care Providers & Services — 1.6%
Aetna, Inc.		17,469		3,205,561
Alfresa Holdings Corp. (Japan)		500		11,741
AmerisourceBergen Corp.		8,900		758,903
Anthem, Inc.		13,700		3,261,011
Cardinal Health, Inc.		16,150		788,605
Centene Corp.*		11,100		1,367,631
Cigna Corp.		13,000		2,209,350
CVS Health Corp.		54,248		3,490,859
DaVita, Inc.*		7,200		499,968
Envision Healthcare Corp.*		6,500		286,065
Express Scripts Holding Co.*		29,949		2,312,362
Fresenius Medical Care AG & Co. KGaA (Germany)		564		56,790
Fresenius SE & Co. KGaA (Germany)		1,079		86,390
HCA Healthcare, Inc.		14,900		1,528,740
Henry Schein, Inc.*		8,400		610,176
Humana, Inc.		7,350		2,187,580
Laboratory Corp. of America Holdings*		5,600		1,005,368
McKesson Corp.		10,830		1,444,722
Medipal Holdings Corp. (Japan)		11,400		228,995
Quest Diagnostics, Inc.(a)		7,400		813,556
Ryman Healthcare Ltd. (New Zealand)		1,468		11,891
Sonic Healthcare Ltd. (Australia)		1,455		26,394

COMMON STOCKS (continued)	Shares		Value
Health Care Providers & Services (continued)
UnitedHealth Group, Inc.		51,300	$	12,585,942
Universal Health Services, Inc. (Class B Stock)		4,700		523,768
				39,302,368
Health Care Technology — 0.0%
Cerner Corp.*		17,300		1,034,367
Hotels, Restaurants & Leisure — 0.8%
Accor SA (France)		502		24,586
Aristocrat Leisure Ltd. (Australia)		1,444		32,977
Carnival Corp.		21,700		1,243,627
Chipotle Mexican Grill, Inc.*		1,400		603,918
Crown Resorts Ltd. (Australia)		1,375		13,719
Darden Restaurants, Inc.		6,950		744,067
Flight Centre Travel Group Ltd. (Australia)		5,620		264,556
Galaxy Entertainment Group Ltd. (Hong Kong)		6,000		46,251
Genting Singapore Ltd. (Singapore)		250,800		224,570
GVC Holdings PLC (United Kingdom)		2,026		28,015
Hilton Worldwide Holdings, Inc.		14,800		1,171,568
Marriott International, Inc. (Class A Stock)		15,828		2,003,825
McDonald’s Corp.		41,900		6,565,311
McDonald’s Holdings Co. Japan Ltd. (Japan)		200		10,199
Melco Resorts & Entertainment Ltd. (Hong Kong), ADR		900		25,200
MGM Resorts International		25,800		748,974
Norwegian Cruise Line Holdings Ltd.*		11,300		533,925
Paddy Power Betfair PLC (Ireland)		288		31,932
Royal Caribbean Cruises Ltd.		9,000		932,400
Sands China Ltd. (Macau)		6,400		34,121
Starbucks Corp.		73,600		3,595,360
TUI AG (Germany)		1,169		25,568
Wynn Macau Ltd. (Macau)		6,000		19,228
Wynn Resorts Ltd.		4,700		786,498
Yum! Brands, Inc.		17,300		1,353,206
				21,063,601
Household Durables — 0.2%
Berkeley Group Holdings PLC (United Kingdom)		6,015		299,625
D.R. Horton, Inc.		18,700		766,700
Garmin Ltd.		6,000		366,000
Leggett & Platt, Inc.(a)		7,400		330,336
Lennar Corp. (Class A Stock)		13,600		714,000
Mohawk Industries, Inc.*		3,640		779,943
Newell Brands, Inc.		23,514		606,426
Persimmon PLC (United Kingdom)		6,624		220,643
PulteGroup, Inc.		12,922		371,508
Sony Corp. (Japan)		3,300		169,007
Taylor Wimpey PLC (United Kingdom)		11,606		27,321
Whirlpool Corp.(a)		3,426		500,984
				5,152,493
Household Products — 0.7%
Church & Dwight Co., Inc.		12,600		669,816

SEE NOTES TO FINANCIAL STATEMENTS.

A5

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Household Products (continued)
Clorox Co. (The)		6,900	$	933,225
Colgate-Palmolive Co.		46,500		3,013,665
Essity AB (Sweden) (Class B Stock)		2,232		54,911
Henkel AG & Co. KGaA (Germany)		272		30,201
Kimberly-Clark Corp.		18,700		1,969,858
Procter & Gamble Co. (The)		134,125		10,469,797
Reckitt Benckiser Group PLC (United Kingdom)		1,759		144,528
Unicharm Corp. (Japan)		1,100		33,070
				17,319,071
Independent Power & Renewable Electricity Producers — 0.0%
AES Corp.		34,000		455,940
Electric Power Development Co. Ltd. (Japan)		500		12,905
NRG Energy, Inc.		16,200		497,340
				966,185
Industrial Conglomerates — 0.8%
3M Co.		31,700		6,236,024
CK Hutchison Holdings Ltd. (Hong Kong)		7,416		78,506
General Electric Co.		463,230		6,304,560
Honeywell International, Inc.		39,912		5,749,324
Jardine Matheson Holdings Ltd. (Hong Kong)		5,100		321,810
Jardine Strategic Holdings Ltd. (Hong Kong)		600		21,888
Keihan Holdings Co. Ltd. (Japan)		400		14,342
Keppel Corp. Ltd. (Singapore)		5,400		28,248
NWS Holdings Ltd. (Hong Kong)		6,000		10,354
Roper Technologies, Inc.		5,500		1,517,505
Siemens AG (Germany)		258		33,993
				20,316,554
Insurance — 1.2%
Aegon NV (Netherlands)		51,542		307,738
Aflac, Inc.		41,300		1,776,726
Ageas (Belgium)		681		34,284
AIA Group Ltd. (Hong Kong)		15,400		134,156
Allianz SE (Germany)		1,168		240,672
Allstate Corp. (The)		18,800		1,715,876
American International Group, Inc.		47,839		2,536,424
Aon PLC		13,100		1,796,927
Arthur J. Gallagher & Co.		9,100		594,048
Assurant, Inc.		3,000		310,470
Aviva PLC (United Kingdom)		25,553		169,546
AXA SA (France)		16,617		406,016
Brighthouse Financial, Inc.*		5,254		210,528
Chubb Ltd.		24,886		3,161,020
Cincinnati Financial Corp.		8,437		564,098
CNP Assurances (France)		3,294		74,838
Dai-ichi Life Holdings, Inc. (Japan)		3,900		69,411
Direct Line Insurance Group PLC (United Kingdom)		1,523		6,873
Everest Re Group Ltd.		2,200		507,056
Hartford Financial Services Group, Inc. (The)		18,900		966,357

COMMON STOCKS (continued)	Shares		Value
Insurance (continued)
Insurance Australia Group Ltd. (Australia)		6,061	$	38,237
Legal & General Group PLC (United Kingdom)		96,470		337,436
Lincoln National Corp.		12,118		754,345
Loews Corp.		13,675		660,229
Marsh & McLennan Cos., Inc.		27,100		2,221,387
MetLife, Inc.		54,200		2,363,120
NN Group NV (Netherlands)		808		32,770
Old Mutual Ltd. (United Kingdom)*		13,038		25,776
Poste Italiane SpA (Italy), 144A		1,928		16,092
Principal Financial Group, Inc.		14,200		751,890
Progressive Corp. (The)		31,100		1,839,565
Sompo Holdings, Inc. (Japan)		1,200		48,420
Swiss Life Holding AG (Switzerland)*		315		109,227
Tokio Marine Holdings, Inc. (Japan)		2,500		116,958
Torchmark Corp.		5,625		457,931
Travelers Cos., Inc. (The)		14,435		1,765,978
Unum Group		11,310		418,357
Willis Towers Watson PLC		7,040		1,067,264
XL Group Ltd. (Bermuda)		13,200		738,540
Zurich Insurance Group AG (Switzerland)		399		117,996
				29,464,582
Internet & Direct Marketing Retail — 2.1%
Amazon.com, Inc.*		21,590		36,698,682
Booking Holdings, Inc.*		2,660		5,392,059
Expedia Group, Inc.(a)		6,450		775,226
Netflix, Inc.*		23,250		9,100,747
Start Today Co. Ltd. (Japan)		500		18,090
TripAdvisor, Inc.*(a)		6,150		342,617
				52,327,421
Internet Software & Services — 2.6%
Akamai Technologies, Inc.*		9,400		688,362
Alphabet, Inc. (Class A Stock)*		16,000		18,067,040
Alphabet, Inc. (Class C Stock)*		16,293		18,177,285
eBay, Inc.*		49,300		1,787,618
Facebook, Inc. (Class A Stock)*		127,920		24,857,414
Kakaku.com, Inc. (Japan)		500		11,259
REA Group Ltd. (Australia)		194		13,020
Twitter, Inc.*		34,100		1,489,147
VeriSign, Inc.*		5,300		728,326
				65,819,471
IT Services — 2.2%
Accenture PLC (Class A Stock)		34,500		5,643,855
Alliance Data Systems Corp.		2,540		592,328
Amadeus IT Group SA (Spain)		1,167		91,764
Automatic Data Processing, Inc.		23,500		3,152,290
Broadridge Financial Solutions, Inc.		5,000		575,500
Capgemini SE (France)		425		56,954
Cognizant Technology Solutions Corp. (Class A Stock)		31,300		2,472,387
Computershare Ltd. (Australia)		1,667		22,709
DXC Technology Co.		15,128		1,219,468

SEE NOTES TO FINANCIAL STATEMENTS.

A6

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

COMMON STOCKS (continued)	Shares		Value
IT Services (continued)
Fidelity National Information Services, Inc.		17,700	$	1,876,731
Fiserv, Inc.*		21,900		1,622,571
FleetCor Technologies, Inc.*		2,700		568,755
Gartner, Inc.*(a)		4,900		651,210
Global Payments, Inc.		8,400		936,516
International Business Machines Corp.		45,600		6,370,320
Mastercard, Inc. (Class A Stock)		48,900		9,609,828
Obic Co. Ltd. (Japan)		200		16,524
Paychex, Inc.		17,100		1,168,785
PayPal Holdings, Inc.*		59,600		4,962,892
Total System Services, Inc.		9,096		768,794
Visa, Inc. (Class A Stock)(a)		95,300		12,622,485
Western Union Co. (The)		24,210		492,189
Wirecard AG (Germany)		927		148,339
				55,643,194
Leisure Products — 0.0%
Hasbro, Inc.		6,300		581,553
Mattel, Inc.(a)		16,051		263,557
Sankyo Co. Ltd. (Japan)		300		11,732
				856,842
Life Sciences Tools & Services — 0.4%
Agilent Technologies, Inc.		17,514		1,083,066
Illumina, Inc.*		7,900		2,206,391
IQVIA Holdings, Inc.*		8,000		798,560
Mettler-Toledo International, Inc.*		1,350		781,150
PerkinElmer, Inc.(a)		5,900		432,057
QIAGEN NV*		770		27,912
Thermo Fisher Scientific, Inc.		21,480		4,449,367
Waters Corp.*		4,300		832,437
				10,610,940
Machinery — 0.8%
Alfa Laval AB (Sweden)		497		11,733
Atlas Copco AB (Sweden) (Class A Stock)		5,928		171,678
Atlas Copco AB (Sweden) (Class B Stock)		1,040		27,094
Caterpillar, Inc.		31,900		4,327,873
CNH Industrial NV (United Kingdom)		2,689		28,405
Cummins, Inc.		8,300		1,103,900
Daifuku Co. Ltd. (Japan)		300		13,108
Deere & Co.		17,280		2,415,744
Dover Corp.		8,400		614,880
Flowserve Corp.(a)		7,200		290,880
Fortive Corp.		16,350		1,260,748
Hitachi Construction Machinery Co. Ltd. (Japan)		400		12,968
Illinois Tool Works, Inc.		16,300		2,258,202
Ingersoll-Rand PLC		13,200		1,184,436
JTEKT Corp. (Japan)		800		10,859
Komatsu Ltd. (Japan)		2,400		68,325
Minebea Mitsumi, Inc. (Japan)		1,400		23,592
NSK Ltd. (Japan)		1,400		14,410
PACCAR, Inc.		18,443		1,142,728
Parker-Hannifin Corp.		7,265		1,132,250

COMMON STOCKS (continued)	Shares		Value
Machinery (continued)
Pentair PLC (United Kingdom)		8,877	$	373,544
Sandvik AB (Sweden)		19,578		345,767
Schindler Holding AG (Switzerland)		71		14,915
SKF AB (Sweden) (Class B Stock)		1,367		25,306
Snap-on, Inc.(a)		3,100		498,232
Stanley Black & Decker, Inc.		8,297		1,101,925
THK Co. Ltd. (Japan)		1,600		45,683
Volvo AB (Sweden) (Class B Stock)		21,985		349,410
Xylem, Inc.		9,700		653,586
Yangzijiang Shipbuilding Holdings Ltd. (China)		6,200		4,104
				19,526,285
Marine — 0.0%
A.P. Moller-Maersk A/S (Denmark) (Class A Stock)		14		16,545
Media — 1.1%
CBS Corp. (Class B Stock)		18,034		1,013,871
Charter Communications, Inc. (Class A Stock)*(a)		9,880		2,896,915
Comcast Corp. (Class A Stock)		244,880		8,034,513
CyberAgent, Inc. (Japan)		400		23,989
Discovery, Inc. (Class A Stock)*(a)		6,600		181,500
Discovery, Inc. (Class C Stock)*		16,600		423,300
DISH Network Corp. (Class A Stock)*		11,100		373,071
Hakuhodo DY Holdings, Inc. (Japan)		900		14,431
I-CABLE Communications Ltd. (Hong Kong)*		3,831		60
Interpublic Group of Cos., Inc. (The)		18,831		441,399
News Corp. (Class A Stock)		20,175		312,712
News Corp. (Class B Stock)		4,800		76,080
Omnicom Group, Inc.(a)		12,500		953,375
Pearson PLC (United Kingdom)		4,981		58,007
Publicis Groupe SA (France)		217		14,891
RTL Group SA (Luxembourg)		138		9,352
Twenty-First Century Fox, Inc. (Class A Stock)		56,200		2,792,578
Twenty-First Century Fox, Inc. (Class B Stock)		23,100		1,138,137
Viacom, Inc. (Class B Stock)		18,634		562,001
Walt Disney Co. (The)		79,300		8,311,433
				27,631,615
Metals & Mining — 0.2%
Anglo American PLC (South Africa)		15,779		350,308
ArcelorMittal (Luxembourg)		10,807		315,303
BHP Billiton Ltd. (Australia)		8,220		205,681
BHP Billiton PLC (Australia)		5,524		123,972
BlueScope Steel Ltd. (Australia)		1,995		25,461
Boliden AB (Sweden)		986		31,822
Freeport-McMoRan, Inc.		71,288		1,230,431
Glencore PLC (Switzerland)*		30,333		144,015
Kobe Steel Ltd. (Japan)		1,200		10,966
Newmont Mining Corp.		28,800		1,086,048
Nippon Steel & Sumitomo Metal Corp. (Japan)		2,000		39,214
Nucor Corp.		17,300		1,081,250
Rio Tinto Ltd. (Australia)		1,077		66,543

SEE NOTES TO FINANCIAL STATEMENTS.

A7

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Metals & Mining (continued)
Rio Tinto PLC (Australia)		3,149	$	173,568
South32 Ltd. (Australia)		18,712		49,967
voestalpine AG (Austria)		432		19,865
				4,954,414
Multiline Retail — 0.3%
Dollar General Corp.		13,500		1,331,100
Dollar Tree, Inc.*		12,965		1,102,025
Kohl’s Corp.(a)		9,100		663,390
Macy’s, Inc.		16,174		605,393
Next PLC (United Kingdom)		1,370		109,050
Nordstrom, Inc.		6,100		315,858
Ryohin Keikaku Co. Ltd. (Japan)		100		35,132
Target Corp.		28,500		2,169,420
				6,331,368
Multi-Utilities — 0.5%
AGL Energy Ltd. (Australia)		19,355		322,044
Ameren Corp.		13,000		791,050
CenterPoint Energy, Inc.		21,700		601,307
CMS Energy Corp.		14,800		699,744
Consolidated Edison, Inc.		16,600		1,294,468
Dominion Energy, Inc.(a)		34,832		2,374,846
DTE Energy Co.		9,600		994,848
NiSource, Inc.		17,300		454,644
Public Service Enterprise Group, Inc.		27,300		1,478,022
RWE AG (Germany)		4,015		91,239
SCANA Corp.		7,000		269,640
Sempra Energy		13,719		1,592,913
WEC Energy Group, Inc.(a)		17,113		1,106,355
				12,071,120
Oil, Gas & Consumable Fuels — 2.8%
Aker BP ASA (Norway)		288		10,594
Anadarko Petroleum Corp.		27,454		2,011,005
Andeavor		7,400		970,732
Apache Corp.		20,514		959,029
BP PLC (United Kingdom)		21,775		165,675
Cabot Oil & Gas Corp.		23,500		559,300
Chevron Corp.		101,922		12,885,998
Cimarex Energy Co.		5,200		529,048
Concho Resources, Inc.*(a)		8,000		1,106,800
ConocoPhillips		62,377		4,342,687
Devon Energy Corp.		28,400		1,248,464
Eni SpA (Italy)		6,774		125,599
EOG Resources, Inc.		30,900		3,844,887
EQT Corp.		13,100		722,858
Equinor ASA (Norway)		3,104		82,078
Exxon Mobil Corp.		225,799		18,680,351
Hess Corp.		14,000		936,460
HollyFrontier Corp.		7,800		533,754
Idemitsu Kosan Co. Ltd. (Japan)		500		17,781
JXTG Holdings, Inc. (Japan)		50,400		349,664
Kinder Morgan, Inc.		100,098		1,768,732
Lundin Petroleum AB (Sweden)		684		21,710
Marathon Oil Corp.		43,382		904,949
Marathon Petroleum Corp.		24,682		1,731,689
Neste OYJ (Finland)		4,067		318,198

COMMON STOCKS (continued)	Shares		Value
Oil, Gas & Consumable Fuels (continued)
Newfield Exploration Co.*		9,800	$	296,450
Noble Energy, Inc.		25,800		910,224
Occidental Petroleum Corp.		40,900		3,422,512
Oil Search Ltd. (Australia)		3,603		23,672
OMV AG (Austria)		545		30,824
ONEOK, Inc.		21,900		1,529,277
Phillips 66		22,438		2,520,012
Pioneer Natural Resources Co.		9,050		1,712,622
Repsol SA (Spain)		18,633		363,700
Royal Dutch Shell PLC (Netherlands) (Class A Stock)		12,065		417,556
Royal Dutch Shell PLC (Netherlands) (Class B Stock)		5,928		212,299
TOTAL SA (France)		2,591		157,341
Valero Energy Corp.		23,000		2,549,090
Williams Cos., Inc. (The)		43,200		1,171,152
				70,144,773
Paper & Forest Products — 0.0%
Mondi PLC (United Kingdom)		970		26,169
Stora Enso OYJ (Finland) (Class R Stock)		1,476		28,755
UPM-Kymmene OYJ (Finland)		1,439		51,236
				106,160
Personal Products — 0.1%
Coty, Inc. (Class A Stock)(a)		24,000		338,400
Estee Lauder Cos., Inc. (The) (Class A Stock)		11,900		1,698,011
Pola Orbis Holdings, Inc. (Japan)		2,700		118,653
Shiseido Co. Ltd. (Japan)		1,000		79,356
Unilever NV (United Kingdom), CVA		1,393		77,614
Unilever PLC (United Kingdom)		3,211		177,377
				2,489,411
Pharmaceuticals — 2.2%
Allergan PLC		18,075		3,013,464
Astellas Pharma, Inc. (Japan)		7,500		114,139
Bayer AG (Germany)		4,900		538,136
Bristol-Myers Squibb Co.		87,170		4,823,988
Eli Lilly & Co.		51,000		4,351,830
GlaxoSmithKline PLC (United Kingdom)		1,635		32,963
H. Lundbeck A/S (Denmark)		4,059		284,481
Johnson & Johnson		143,078		17,361,084
Merck & Co., Inc.		143,533		8,712,453
Mylan NV*		26,700		964,938
Nektar Therapeutics*(a)		9,000		439,470
Novartis AG (Switzerland)		4,027		305,049
Perrigo Co. PLC		6,700		488,497
Pfizer, Inc.		311,970		11,318,272
Recordati SpA (Italy)		385		15,256
Roche Holding AG (Switzerland)		3,151		699,075
Sanofi (France)		6,590		528,911
Shionogi & Co. Ltd. (Japan)		6,200		318,146
Takeda Pharmaceutical Co. Ltd. (Japan)		1,800		75,723

SEE NOTES TO FINANCIAL STATEMENTS.

A8

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Pharmaceuticals (continued)
UCB SA (Belgium)		458	$	35,903
Zoetis, Inc.		25,800		2,197,902
				56,619,680
Professional Services — 0.2%
Equifax, Inc.		6,400		800,704
IHS Markit Ltd.*		18,800		969,892
Intertek Group PLC (United Kingdom)		423		31,805
Nielsen Holdings PLC(a)		17,000		525,810
Randstad NV (Netherlands)		4,562		267,768
Robert Half International, Inc.		6,600		429,660
SGS SA (Switzerland)		20		53,144
Verisk Analytics, Inc.*		8,200		882,648
				3,961,431
Real Estate Management & Development — 0.1%
CBRE Group, Inc. (Class A Stock)*		16,200		773,388
CK Asset Holdings Ltd. (Hong Kong)		11,500		91,037
Daiwa House Industry Co. Ltd. (Japan)		2,100		71,446
Henderson Land Development Co. Ltd. (Hong Kong)		4,840		25,523
Hysan Development Co. Ltd. (Hong Kong)		2,000		11,163
Kerry Properties Ltd. (Hong Kong)		53,500		255,673
Mitsubishi Estate Co. Ltd. (Japan)		3,000		52,371
Sumitomo Realty & Development Co. Ltd. (Japan)		1,000		36,825
Swire Pacific Ltd. (Hong Kong) (Class A Stock)		2,000		21,140
Swire Properties Ltd. (Hong Kong)		4,400		16,227
Swiss Prime Site AG (Switzerland)*		187		17,181
Vonovia SE (Germany)		1,273		60,505
Wharf Real Estate Investment Co. Ltd. (Hong Kong)		4,000		28,403
Wheelock & Co. Ltd. (Hong Kong)		3,000		20,848
				1,481,730
Road & Rail — 0.5%
Central Japan Railway Co. (Japan)		400		82,812
ComfortDelGro Corp. Ltd. (Singapore)		8,000		13,768
CSX Corp.		46,700		2,978,526
DSV A/S (Denmark)		498		40,090
Hankyu Hanshin Holdings, Inc. (Japan)		600		24,101
J.B. Hunt Transport Services, Inc.		4,800		583,440
Kansas City Southern		5,700		603,972
Kyushu Railway Co. (Japan)		600		18,345
MTR Corp. Ltd. (Hong Kong)		4,000		22,095
Norfolk Southern Corp.		15,100		2,278,137
Union Pacific Corp.		41,400		5,865,552
				12,510,838
Semiconductors & Semiconductor Equipment — 2.0%
Advanced Micro Devices, Inc.*(a)		42,700		640,073
Analog Devices, Inc.		19,758		1,895,187
Applied Materials, Inc.		53,800		2,485,022
ASM Pacific Technology Ltd. (Hong Kong)		1,000		12,604
Broadcom, Inc.		21,980		5,333,227

COMMON STOCKS (continued)	Shares		Value
Semiconductors & Semiconductor Equipment (continued)
Infineon Technologies AG (Germany)		10,677	$	271,210
Intel Corp.		248,500		12,352,935
KLA-Tencor Corp.		8,200		840,746
Lam Research Corp.(a)		8,750		1,512,438
Microchip Technology, Inc.(a)		12,500		1,136,875
Micron Technology, Inc.*		61,900		3,246,036
NVIDIA Corp.		32,450		7,687,405
Qorvo, Inc.*		6,807		545,717
QUALCOMM, Inc.		79,100		4,439,092
Skyworks Solutions, Inc.		9,900		956,835
STMicroelectronics NV (Switzerland)		1,831		40,654
SUMCO Corp. (Japan)		900		18,076
Texas Instruments, Inc.		52,200		5,755,050
Tokyo Electron Ltd. (Japan)		2,100		360,472
Xilinx, Inc.		13,300		867,958
				50,397,612
Software — 3.0%
Activision Blizzard, Inc.		40,600		3,098,592
Adobe Systems, Inc.*		26,300		6,412,203
ANSYS, Inc.*		4,500		783,810
Autodesk, Inc.*		11,700		1,533,753
CA, Inc.		15,864		565,552
Cadence Design Systems, Inc.*		15,500		671,305
Citrix Systems, Inc.*		7,100		744,364
Dassault Systemes SE (France)		469		65,634
Electronic Arts, Inc.*		16,400		2,312,728
Intuit, Inc.		13,000		2,655,965
Microsoft Corp.		409,800		40,410,378
Nexon Co. Ltd. (Japan)*		1,600		23,215
Nice Ltd. (Israel)		2,766		286,270
Oracle Corp.		158,900		7,001,134
Red Hat, Inc.*		9,700		1,303,389
salesforce.com, Inc.*		37,700		5,142,280
SAP SE (Germany)		276		31,855
Symantec Corp.		32,878		678,931
Synopsys, Inc.*		8,100		693,117
Take-Two Interactive Software, Inc.*		5,900		698,324
Ubisoft Entertainment SA (France)*		296		32,355
				75,145,154
Specialty Retail — 1.2%
Advance Auto Parts, Inc.		3,900		529,230
AutoZone, Inc.*		1,500		1,006,395
Best Buy Co., Inc.		13,125		978,862
CarMax, Inc.*(a)		9,700		706,839
Dufry AG (Switzerland)*		129		16,407
Fast Retailing Co. Ltd. (Japan)		700		320,835
Foot Locker, Inc.		6,400		336,960
Gap, Inc. (The)		11,300		366,007
Home Depot, Inc. (The)		61,550		12,008,405
L Brands, Inc.		12,406		457,533
Lowe’s Cos., Inc.		43,900		4,195,523
O’Reilly Automotive, Inc.*		4,400		1,203,708
Ross Stores, Inc.		20,200		1,711,950
Tiffany & Co.		5,720		752,752
TJX Cos., Inc. (The)		33,500		3,188,530

SEE NOTES TO FINANCIAL STATEMENTS.

A9

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

COMMON STOCKS (continued)	Shares			Value
Specialty Retail (continued)
Tractor Supply Co.		6,500		$	497,185
Ulta Beauty, Inc.*		3,300			770,418
					29,047,539
Technology Hardware, Storage & Peripherals — 2.2%
Apple, Inc.		262,190			48,533,991
Brother Industries Ltd. (Japan)		1,600			31,522
Canon, Inc. (Japan)(a)		2,600			85,258
FUJIFILM Holdings Corp. (Japan)		8,300			323,722
Hewlett Packard Enterprise Co.		81,348			1,188,495
HP, Inc.		87,448			1,984,195
NetApp, Inc.		14,300			1,122,979
Seagate Technology PLC		15,700			886,579
Western Digital Corp.		15,803			1,223,310
Xerox Corp.		10,390			249,360
					55,629,411
Textiles, Apparel & Luxury Goods — 0.4%
adidas AG (Germany)		489			106,464
Hanesbrands, Inc.(a)		18,500			407,370
Hermes International (France)		83			50,701
Hugo Boss AG (Germany)		166	(r)		15,055
Kering SA (France)		278			156,598
LVMH Moet Hennessy Louis Vuitton SE (France)		1,384			459,515
Michael Kors Holdings Ltd.*		8,300			552,780
Moncler SpA (Italy)		659			29,902
NIKE, Inc. (Class B Stock)		68,400			5,450,112
Puma SE (Germany)		11			6,426
PVH Corp.		4,200			628,824
Ralph Lauren Corp.		3,000			377,160
Swatch Group AG (The) (Switzerland)		247			116,925
Swatch Group AG (The) (Switzerland) Reg		200			17,269
Tapestry, Inc.		15,000			700,650
Under Armour, Inc. (Class A Stock)*(a)		9,600			215,808
Under Armour, Inc. (Class C Stock)*(a)		9,474			199,712
VF Corp.		17,500			1,426,600
					10,917,871
Tobacco — 0.5%
Altria Group, Inc.		101,000			5,735,790
British American Tobacco PLC (United Kingdom)		1,423			71,681
Imperial Brands PLC (United Kingdom)		3,545			131,655
Japan Tobacco, Inc. (Japan)(a)		2,800			78,250
Philip Morris International, Inc.		82,900			6,693,346
Swedish Match AB (Sweden)		671			33,162
					12,743,884
Trading Companies & Distributors — 0.1%
Ashtead Group PLC (United Kingdom)		1,328			39,547
Fastenal Co.(a)		15,500			746,015
Ferguson PLC (Switzerland)		621			50,244
ITOCHU Corp. (Japan)		8,600			155,538
Marubeni Corp. (Japan)		25,800			196,425
Mitsubishi Corp. (Japan)		10,000			277,291
Mitsui & Co. Ltd. (Japan)		6,700			111,570

COMMON STOCKS (continued)	Shares		Value
Trading Companies & Distributors (continued)
Sumitomo Corp. (Japan)		3,000	$	49,199
Toyota Tsusho Corp. (Japan)		700		23,392
United Rentals, Inc.*		4,600		679,052
W.W. Grainger, Inc.		2,900		894,360
				3,222,633
Transportation Infrastructure — 0.0%
Aena SME SA (Spain), 144A		1,738		314,660
Atlantia SpA (Italy)		1,302		38,386
Auckland International Airport Ltd. (New Zealand)		3,482		15,976
Kamigumi Co. Ltd. (Japan)		3,700		76,797
Sydney Airport (Australia)		2,886		15,278
				461,097
Water Utilities — 0.0%
American Water Works Co., Inc.		9,700		828,186
Severn Trent PLC (United Kingdom)		864		22,528
				850,714
Wireless Telecommunication Services — 0.0%
KDDI Corp. (Japan)		7,500		205,087
NTT DOCOMO, Inc. (Japan)		5,000		127,412
Vodafone Group PLC (United Kingdom)		177,116		429,026
				761,525
TOTAL COMMON STOCKS (cost $416,868,756)				1,263,509,957
EXCHANGE TRADED FUNDS — 0.2%
iShares Core S&P 500 ETF(a)		22,300		6,089,015
iShares MSCI EAFE ETF		5,159		345,498
TOTAL EXCHANGE TRADED FUNDS (cost $5,952,210)				6,434,513
PREFERRED STOCKS — 0.1%
Auto Components — 0.0%
Schaeffler AG (Germany) (PRFC)		1,725		22,389
Automobiles — 0.0%
Bayerische Motoren Werke AG (Germany) (PRFC)		212		16,864
Porsche Automobil Holding SE (Germany) (PRFC)		411		26,097
Volkswagen AG (Germany) (PRFC)		501		82,770
				125,731
Banks — 0.1%
Citigroup Capital XIII 8.729%, (Capital Security, fixed to floating preferred)		20,000		542,000
State Street Corp. 5.350%, (Capital Security, fixed to floating preferred)		30,000		783,600
				1,325,600

SEE NOTES TO FINANCIAL STATEMENTS.

A10

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

PREFERRED STOCKS (continued)	Shares		Value
Household Products — 0.0%
Henkel AG & Co. KGaA (Germany) (PRFC)		467	$	59,589
TOTAL PREFERRED STOCKS (cost $1,445,244)				1,533,309
	Units
RIGHTS* — 0.0%
Banks
Intesa Sanpaolo SpA (Italy), expiring 07/20/18 (cost $0)		155,699		—

Interest Rate	Maturity Date		Principal Amount (000)#
ASSET-BACKED SECURITIES — 6.0%
Automobiles — 1.8%
AmeriCredit Automobile Receivables Trust,
Series 2016-04, Class C
2.410%		07/08/22		800	787,125
Series 2017-03, Class C
2.690%		06/18/23		750	737,645
Series 2017-04, Class C
2.600%		09/18/23		1,500	1,472,988
Series 2018-01, Class C
3.500%		01/18/24		1,200	1,205,340
Avis Budget Rental Car Funding AESOP LLC,
Series 2013-01A, Class A, 144A
1.920%		09/20/19		738	736,791
Series 2015-01A, Class A, 144A
2.500%		07/20/21		2,800	2,758,450
Series 2015-02A, Class A, 144A
2.630%		12/20/21		3,200	3,160,380
Series 2018-01A, Class A, 144A
3.700%		09/20/24		1,300	1,305,782
Drive Auto Receivables Trust,
Series 2018-01, Class B
2.880%		02/15/22		1,300	1,296,537
Enterprise Fleet Financing LLC,
Series 2017-01, Class A2, 144A
2.130%		07/20/22		1,943	1,931,790
Ford Credit Auto Owner Trust,
Series 2017-01, Class A, 144A
2.620%		08/15/28		4,400	4,308,867
Series 2017-02, Class A, 144A
2.360%		03/15/29		4,200	4,050,943
Ford Credit Floorplan Master Owner Trust A,
Series 2017-03, Class A
2.480%		09/15/24		3,300	3,214,852
Series 2018-02, Class A
3.170%		03/15/25		9,700	9,671,879
Hertz Vehicle Financing II LP,
Series 2016-01A, Class A, 144A
2.320%		03/25/20		2,400	2,389,654
OneMain Direct Auto Receivables Trust,
Series 2016-01A, Class A, 144A
2.040%		01/15/21		4	3,522

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Automobiles (continued)
Series 2017-01A, Class A, 144A
2.160%		10/15/20		3,760	$	3,745,615
Series 2017-02A, Class B, 144A
2.550%		11/14/23		2,300		2,269,669
Series 2017-02A, Class C, 144A
2.820%		07/14/24		600		590,735
Santander Drive Auto Receivables Trust,
Series 2018-01, Class C
2.960%		03/15/24		900		891,165
Series 2018-02, Class C
3.350%		07/17/23		30		30,007
						46,559,736
Collateralized Loan Obligations — 1.7%
Apidos CLO Ltd. (Cayman Islands),
Series 2014-17A, Class A1R, 144A, 3 Month LIBOR + 1.310%
3.663%(c)		04/17/26		420		420,239
ArrowMark Colorado Holdings (Cayman Islands),
Series 2017-06A, Class A1, 144A, 3 Month LIBOR + 1.280%
3.628%(c)		07/15/29		500		501,435
Battalion CLO Ltd. (Cayman Islands),
Series 2015-08A, Class A1R, 144A, 3 Month LIBOR + 1.340%
3.695%(c)		07/18/30		1,000		1,004,362
Benefit Street Partners CLO Ltd. (Cayman Islands),
Series 2013-IIA, Class A1R, 144A, 3 Month LIBOR + 1.250%
3.598%(c)		07/15/29		1,000		1,002,597
Brookside Mill CLO Ltd. (Cayman Islands),
Series 2013-01A, Class AR, 144A, 3 Month LIBOR + 0.820%
2.524%(c)		01/17/28		1,000		997,845
Canyon Capital CLO Ltd. (Cayman Islands),
Series 2015-01A, Class AS, 144A, 3 Month LIBOR + 1.250%
3.598%(c)		04/15/29		2,500		2,505,845
Elevation CLO Ltd. (Cayman Islands),
Series 2015-04A, Class A, 144A, 3 Month LIBOR + 1.550%
3.905%(c)		04/18/27		1,000		1,005,224
Galaxy CLO Ltd. (Cayman Islands),
Series 2018-29A, Class A, 144A, 3 Month LIBOR + 0.790%
3.120%(c)		11/15/26		1,000		995,526
Greenwood Park CLO Ltd. (Cayman Islands),
Series 2018-01A, Class A2, 144A, 3 Month LIBOR + 1.010%
3.035%(c)		04/15/31		1,000		999,942
Highbridge Loan Management Ltd. (Cayman Islands),
Series 2015-06A, Class A1R, 144A, 3 Month LIBOR + 1.000%
3.363%(c)		02/05/31		250		250,267
ICG US CLO Ltd. (Cayman Islands),
Series 2017-02A, Class A1, 144A, 3 Month LIBOR + 1.280%
3.642%(c)		10/23/29		1,250		1,250,443
Jackson Mill CLO Ltd. (Cayman Islands),
Series 2015-01A, Class AR, 144A, 3 Month LIBOR + 0.830%
2.897%(c)		04/15/27		1,250		1,250,461
KVK CLO Ltd. (Cayman Islands),
Series 2014-03A, Class AR, 144A, 3 Month LIBOR + 1.200%
3.548%(c)		10/15/26		2,500		2,499,578
MidOcean Credit CLO (Cayman Islands),
Series 2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.120%
2.681%(c)		04/21/31		3,500		3,500,000

SEE NOTES TO FINANCIAL STATEMENTS.

A11

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Collateralized Loan Obligations (continued)
Mill Creek CLO Ltd. (Cayman Islands),
Series 2016-01A, Class A, 144A, 3 Month LIBOR + 1.750%
4.109%(c)		04/20/28		1,250	$	1,250,000
Mountain View CLO Ltd. (Cayman Islands),
Series 2015-09A, Class A1R, 144A, 3 Month LIBOR + 1.120%
3.169%(c)		07/15/31		2,500		2,500,000
OZLM Ltd. (Cayman Islands),
Series 2014-06A, Class A1S, 144A, 3 Month LIBOR + 1.080%
3.433%(c)		04/17/31		3,000		2,993,225
Series 2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250%
3.609%(c)		10/30/30		750		750,681
Palmer Square CLO Ltd. (Cayman Islands),
Series 2015-01A, Class A1R, 144A, 3 Month LIBOR + 1.300%
3.631%(c)		05/21/29		2,000		2,003,034
Park Avenue Institutional Advisers CLO Ltd. (Cayman Islands),
Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.220%
3.053%(c)		11/14/29		500		501,587
Sound Point CLO Ltd. (Cayman Islands),
Series 2015-02A, Class AR, 144A, 3 Month LIBOR + 0.880%
3.239%(c)		07/20/27		1,000		998,426
Telos CLO (Cayman Islands),
Series 2013-03A, Class AR, 144A, 3 Month LIBOR + 1.300%
3.653%(c)		07/17/26		2,500		2,501,029
TIAA CLO Ltd. (Cayman Islands),
Series 2016-01A, Class A, 144A, 3 Month LIBOR + 1.700%
4.059%(c)		07/20/28		1,750		1,750,000
TICP CLO Ltd. (Cayman Islands),
Series 2017-07A, Class AS, 144A, 3 Month LIBOR + 1.230%
3.578%(c)		07/15/29		1,000		1,002,070
Trinitas CLO Ltd. (Cayman Islands),
Series 2016-05A, Class A, 144A, 3 Month LIBOR + 1.700%
4.060%(c)		10/25/28		2,500		2,500,000
Series 2017-06A, Class A, 144A, 3 Month LIBOR + 1.320%
3.680%(c)		07/25/29		1,000		1,003,928
Series 2017-07A, Class A, 144A, 3 Month LIBOR + 1.210%
3.570%(c)		01/25/31		1,750		1,755,161
Venture CLO Ltd. (Cayman Islands),
Series 2015-21A, Class AR, 144A, 3 Month LIBOR + 0.880%
3.228%(c)		07/15/27		1,000		999,243
Wellfleet CLO Ltd. (Cayman Islands),
Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.320%
3.679%(c)		04/20/29		1,500		1,504,761
Zais CLO Ltd. (Cayman Islands),
Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.370%
3.718%(c)		07/15/29		1,250		1,254,752
						43,451,661
Consumer Loans — 0.3%
OneMain Financial Issuance Trust,
Series 2015-02A, Class A, 144A
2.570%		07/18/25		474		474,207
Series 2017-01A, Class A2, 144A, 1 Month LIBOR + 0.800%
2.857%(c)		09/14/32		2,300		2,306,754
SpringCastle America Funding LLC,
Series 2016-AA, Class A, 144A
3.050%		04/25/29		1,517		1,511,049

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Consumer Loans (continued)
Springleaf Funding Trust,
Series 2015-AA, Class A, 144A
3.160%		11/15/24		2,934	$	2,933,104
						7,225,114
Credit Cards — 0.3%
American Express Credit Account Master Trust,
Series 2017-05, Class A, 1 Month LIBOR + 0.380%
2.453%(c)		02/18/25		500		502,533
Citibank Credit Card Issuance Trust,
Series 2017-A05, Class A5, 1 Month LIBOR + 0.620%
2.704%(c)		04/22/26		2,700		2,735,585
Discover Card Execution Note Trust,
Series 2017-A04, Class A4
2.530%		10/15/26		2,800		2,704,829
Series 2017-A05, Class A5, 1 Month LIBOR + 0.600%
2.673%(c)		12/15/26		1,900		1,919,517
						7,862,464
Equipment — 0.3%
MMAF Equipment Finance LLC,
Series 2017-AA, Class A4, 144A
2.410%		08/16/24		2,500		2,439,783
Series 2017-B, Class A4, 144A
2.410%		11/15/24		1,300		1,266,846
Series 2017-B, Class A5, 144A
2.720%		06/15/40		2,100		2,026,523
Series 2018-A, Class A4, 144A
3.390%		01/10/25		1,200		1,199,827
Series 2018-A, Class A5, 144A
3.610%		03/10/42		500		499,909
						7,432,888
Home Equity Loans — 0.2%
CDC Mortgage Capital Trust,
Series 2002-HE03, Class M1, 1 Month LIBOR + 1.650%
3.741%(c)		03/25/33		128		128,610
Morgan Stanley ABS Capital I, Inc. Trust,
Series 2003-HE01, Class M1, 1 Month LIBOR + 1.200%
3.291%(c)		05/25/33		78		77,105
Morgan Stanley Dean Witter Capital I, Inc. Trust,
Series 2002-HE01, Class M1, 1 Month LIBOR + 0.900%
2.991%(c)		07/25/32		135		135,862
Series 2002-NC04, Class M1, 1 Month LIBOR + 1.275%
3.366%(c)		09/25/32		1,973		1,961,914
New Residential Mortgage Trust,
Series 2018-01A, Class A1A, 144A
4.000%(cc)		12/25/57		1,575		1,587,318
						3,890,809
Other — 0.0%
Sierra Timeshare Receivables Funding LLC,
Series 2013-03A, Class A, 144A
2.200%		10/20/30		587		586,143

SEE NOTES TO FINANCIAL STATEMENTS.

A12

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Other (continued)
SVO VOI Mortgage LLC,
Series 2012-AA, Class A, 144A
2.000%		09/20/29		310	$	304,791
						890,934
Residential Mortgage-Backed Securities — 0.7%
Credit Suisse Mortgage Trust,
Series 2016-RPL01, Class A1, 144A, 1 Month LIBOR + 3.150%
5.132%(c)		12/26/46		2,988		3,055,827
Credit-Based Asset Servicing & Securitization LLC,
Series 2005-CB06, Class A3
3.763%		07/25/35		286		285,419
CWABS, Inc.,
Series 2004-01, Class M1, 1 Month LIBOR + 0.750%
2.841%(c)		03/25/34		1,098		1,103,670
Equity One Mortgage Pass-Through Trust,
Series 2004-03, Class M1
4.617%		07/25/34		282		277,823
Fremont Home Loan Trust,
Series 2004-02, Class M1, 1 Month LIBOR + 0.855%
2.946%(c)		07/25/34		506		511,690
Long Beach Mortgage Loan Trust,
Series 2004-02, Class M1, 1 Month LIBOR + 0.795%
2.886%(c)		06/25/34		267		264,627
Mill City Mortgage Loan Trust,
Series 2017-03, Class A1, 144A
2.750%(cc)		01/25/61		2,413		2,363,774
Towd Point Mortgage Trust,
Series 2017-04, Class A1, 144A
2.750%(cc)		06/25/57		1,540		1,502,740
Series 2017-05, Class A1, 144A, 1 Month LIBOR + 0.600%
2.691%(c)		02/25/57		3,650		3,653,012
Series 2017-06, Class A1, 144A
2.750%(cc)		10/25/57		3,406		3,319,636
VOLT LVII LLC,
Series 2017-NPL04, Class A1, 144A
3.375%		04/25/47		223		222,331
VOLT LX LLC,
Series 2017-NPL07, Class A1, 144A
3.250%		06/25/47		315		313,594
						16,874,143
Student Loans — 0.7%
Commonbond Student Loan Trust,
Series 2017-BGS, Class A1, 144A
2.680%		09/25/42		2,589		2,533,715
Series 2018-AGS, Class A1, 144A
3.210%		02/25/44		1,734		1,726,553
Laurel Road Prime Student Loan Trust,
Series 2017-C, Class A2B, 144A
2.810%		11/25/42		1,500		1,464,944
Series 2018-B, Class A2FX, 144A
3.540%		05/25/43		2,200		2,210,460
Navient Private Education Refi Loan Trust,
Series 2018-A, Class A2, 144A
3.190%		02/18/42		3,300		3,265,010

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Student Loans (continued)
SoFi Professional Loan Program Trust,
Series 2018-B, Class A1FX, 144A
2.640%		08/25/47		2,059	$	2,050,965
Series 2018-B, Class A2FX, 144A
3.340%		08/25/47		3,200		3,197,725
						16,449,372
TOTAL ASSET-BACKED SECURITIES (cost $151,238,243)						150,637,121
BANK LOAN — 0.0%
Technology
Dell International LLC,
Replacement Term A-3 Loan, 1 Month LIBOR + 1.500%,
3.600%(c)		12/31/18		337		336,489
(cost $334,579)
COMMERCIAL MORTGAGE-BACKED SECURITIES — 7.2%
Assurant Commercial Mortgage Trust,
Series 2016-01A, Class AS, 144A
3.172%		05/15/49		3,100		2,961,702
Benchmark Mortgage Trust,
Series 2018-B03, Class A4
3.761%		04/10/51		3,600		3,614,176
CFCRE Commercial Mortgage Trust,
Series 2016-C04, Class A3
3.014%		05/10/58		2,500		2,380,293
Citigroup Commercial Mortgage Trust,
Series 2013-GC11, Class A3
2.815%		04/10/46		888		868,787
Series 2014-GC21, Class A4
3.575%		05/10/47		1,982		1,991,673
Series 2016-C01, Class A3
2.944%		05/10/49		2,700		2,583,083
Series 2017-P07, Class A3
3.442%		04/14/50		4,000		3,929,623
Commercial Mortgage Trust,
Series 2012-CR05, Class A3
2.540%		12/10/45		1,000		970,935
Series 2013-CR07, Class A3
2.929%		03/10/46		1,055		1,038,066
Series 2014-CR15, Class A2
2.928%		02/10/47		1,786		1,786,799
Series 2014-CR18, Class A4
3.550%		07/15/47		2,100		2,104,114
Series 2014-LC17, Class A4
3.648%		10/10/47		5,000		5,028,413
Series 2014-UBS03, Class A2
2.844%		06/10/47		1,700		1,699,463
CSAIL Commercial Mortgage Trust,
Series 2015-C04, Class A3
3.544%		11/15/48		2,500		2,485,396
Series 2017-C08, Class A3
3.127%		06/15/50		3,800		3,619,311
Fannie Mae-Aces,
Series 2015-M08, Class AB2
2.829%(cc)		01/25/25		4,028		3,940,582

SEE NOTES TO FINANCIAL STATEMENTS.

A13

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Series 2015-M17, Class A2
3.036%(cc)		11/25/25		3,000	$	2,938,285
Series 2016-M07, Class AB2
2.385%		09/25/26		1,800		1,669,573
Series 2017-M01, Class A2
2.498%(cc)		10/25/26		1,600		1,490,290
Series 2017-M04, Class A2
2.683%(cc)		12/25/26		8,600		8,092,072
Series 2017-M08, Class A2
3.061%(cc)		05/25/27		5,900		5,725,345
Series 2018-M04, Class A2
3.144%(cc)		03/25/28		3,075		2,974,632
FHLMC Multifamily Structured Pass-Through Certificates,
Series K020, Class X1, IO
1.553%(cc)		05/25/22		19,570		879,598
Series K021, Class X1, IO
1.590%(cc)		06/25/22		5,419		257,977
Series K055, Class X1, IO
1.501%(cc)		03/25/26		4,631		400,034
Series K064, Class AM
3.327%(cc)		03/25/27		4,200		4,163,069
Series K068, Class AM
3.315%		08/25/27		4,100		4,038,579
Series K069, Class A2
3.187%(cc)		09/25/27		3,500		3,428,253
Series K069, Class AM
3.248%(cc)		09/25/27		750		736,435
Series K070, Class A2
3.303%(cc)		11/25/27		5,200		5,140,022
Series K070, Class AM
3.364%(cc)		12/25/27		1,100		1,089,792
Series K072, Class A2
3.444%		12/25/27		1,400		1,400,377
Series K074, Class A2
3.600%		01/25/28		8,550		8,659,093
Series K075, Class AM
3.650%(cc)		02/25/28		2,550		2,580,538
Series K076, Class A2
3.900%		04/25/28		6,200		6,416,497
Series K076, Class AM
3.900%		04/25/28		1,825		1,881,503
Series K077, Class A2
3.850%(cc)		05/25/28		3,470		3,584,409
Series K077, Class AM
3.850%(cc)		05/25/28		690		708,859
Series K710, Class X1, IO
1.859%(cc)		05/25/19		15,025		151,318
Series K711, Class X1, IO
1.800%(cc)		07/25/19		16,030		166,572
Series KS03, Class A4
3.161%(cc)		05/25/25		1,900		1,884,169
Series W5FX, Class AFX
3.214%(cc)		04/25/28		1,630		1,600,097
GS Mortgage Securities Trust,
Series 2015-GC28, Class A4
3.136%		02/10/48		3,000		2,924,203

Interest Rate	Maturity Date		Principal Amount (000)#		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Series 2015-GC34, Class A3
3.244%		10/10/48		4,800	$	4,690,476
Series 2016-GS03, Class A3
2.592%		10/10/49		4,200		3,888,221
Series 2016-GS04, Class A3
3.178%		11/10/49		4,000		3,855,453
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C25, Class A4A1
3.408%		11/15/47		1,100		1,092,368
Series 2015-C27, Class A3A1
2.920%		02/15/48		5,000		4,824,321
JPMCC Commercial Mortgage Securities Trust,
Series 2017-JP06, Class A3
3.109%		07/15/50		5,581		5,453,753
JPMDB Commercial Mortgage Securities Trust,
Series 2016-C02, Class A3A
2.881%		06/15/49		2,500		2,369,128
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-CBX, Class A3
3.139%		06/15/45		283		282,710
Series 2012-LC09, Class A4
2.611%		12/15/47		1,500		1,475,390
Series 2013-C10, Class A4
2.875%		12/15/47		1,306		1,289,225
Series 2013-C16, Class A2
3.070%		12/15/46		597		596,708
Series 2013-LC11, Class A4
2.694%		04/15/46		794		773,152
LB-UBS Commercial Mortgage Trust,
Series 2007-C06, Class AM
6.114%(cc)		07/15/40		148		147,682
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C08, Class A3
2.863%		12/15/48		1,080		1,058,012
Morgan Stanley Capital I Trust,
Series 2015-UBS08, Class A3
3.540%		12/15/48		5,000		4,968,149
Series 2016-UB11, Class A3
2.531%		08/15/49		6,300		5,804,800
UBS Commercial Mortgage Trust,
Series 2017-C02, Class ASB
3.264%		08/15/50		2,500		2,463,462
Series 2017-C05, Class A4
3.212%		11/15/50		5,000		4,786,213
Series 2018-C09, Class A3
3.854%		03/15/51		1,800		1,806,604
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C04, Class A4
2.792%		12/10/45		1,400		1,372,178
Series 2013-C05, Class A3
2.920%		03/10/46		3,050		2,995,735
Series 2013-C06, Class A3
2.971%		04/10/46		1,498		1,472,859
Wells Fargo Commercial Mortgage Trust,
Series 2016-BNK01, Class XB, IO
1.482%(cc)		08/15/49		9,000		828,049

SEE NOTES TO FINANCIAL STATEMENTS.

A14

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Series 2016-NXS06, Class A3
2.642%		11/15/49		4,500	$	4,178,573
Series 2017-C38, Class A4
3.190%		07/15/50		3,300		3,169,983
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $187,428,126)						181,627,211
CORPORATE BONDS — 10.6%
Aerospace & Defense — 0.1%
General Dynamics Corp.,
Gtd. Notes
3.000%		05/11/21		1,790		1,784,249
Agriculture — 0.1%
BAT Capital Corp. (United Kingdom),
Gtd. Notes, 144A
3.222%		08/15/24		2,685		2,543,322
Bunge Ltd. Finance Corp.,
Gtd. Notes
8.500%		06/15/19		690		724,770
Reynolds American, Inc. (United Kingdom),
Gtd. Notes
8.125%		06/23/19		290		303,978
						3,572,070
Airlines — 0.2%
American Airlines 2015-1 Class A Pass-Through Trust,
Pass-Through Certificates
3.375%		11/01/28		2,249		2,168,874
Continental Airlines 2001-1 Class A-1 Pass-Through Trust,
Pass-Through Certificates
6.703%		12/15/22		16		17,669
Continental Airlines 2009-2 Class A Pass-Through Trust,
Pass-Through Certificates
7.250%		05/10/21		442		463,054
Continental Airlines 2010-1 Class A Pass-Through Trust,
Pass-Through Certificates
4.750%		07/12/22		424		432,200
Continental Airlines 2012-2 Class A Pass-Through Trust,
Pass-Through Certificates
4.000%		04/29/26		313		314,120
Delta Air Lines 2007-1 Class A Pass-Through Trust,
Pass-Through Certificates
6.821%		02/10/24		233		254,085
Delta Air Lines 2010-2 Class A Pass-Through Trust,
Pass-Through Certificates
4.950%		11/23/20		218		219,832
Delta Air Lines 2011-1 Class A Pass-Through Trust,
Pass-Through Certificates
5.300%		10/15/20		464		471,210
Delta Air Lines, Inc.,
Sr. Unsec’d. Notes
2.875%		03/13/20		1,300		1,291,438
						5,632,482

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Auto Manufacturers — 0.5%
BMW US Capital LLC (Germany),
Gtd. Notes, 144A, 3 Month LIBOR + 0.410%
2.749%(c)		04/12/21		355	$	356,200
Gtd. Notes, 144A
3.100%		04/12/21		480		477,005
Daimler Finance North America LLC (Germany),
Gtd. Notes, 144A
3.100%		05/04/20		875		873,222
3.350%		05/04/21		1,455		1,449,349
Ford Motor Co.,
Sr. Unsec’d. Notes
4.750%		01/15/43		1,090		942,101
5.291%		12/08/46		950		880,395
Ford Motor Credit Co. LLC,
Sr. Unsec’d. Notes
3.336%		03/18/21		515		510,382
General Motors Co.,
Sr. Unsec’d. Notes
6.250%		10/02/43		1,065		1,103,665
6.600%		04/01/36		585		633,162
General Motors Financial Co., Inc.,
Gtd. Notes, 3 Month LIBOR + 0.850%
3.187%(c)		04/09/21		820		824,265
Gtd. Notes
3.550%		04/09/21		620		617,990
3.950%		04/13/24		1,700		1,663,631
Harley-Davidson Financial Services, Inc.,
Gtd. Notes, 144A, MTN
2.850%		01/15/21		2,300		2,264,007
						12,595,374
Auto Parts & Equipment — 0.1%
Magna International, Inc. (Canada),
Sr. Unsec’d. Notes
3.625%		06/15/24		1,690		1,685,908
Banks — 3.4%
Banco Santander SA (Spain),
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.120%
3.459%(c)		04/12/23		400		399,509
Sr. Unsec’d. Notes
3.848%		04/12/23		800		782,394
Bank of America Corp.,
Jr. Sub. Notes, Series DD
6.300%		12/31/49		275		290,469
Jr. Sub. Notes, Series K, 3 Month LIBOR + 3.630%
5.989%(c)		12/31/49		672		674,855
Sr. Unsec’d. Notes, GMTN
3.300%		01/11/23		1,520		1,497,702
Sr. Unsec’d. Notes, MTN
3.499%		05/17/22		2,275		2,274,219
3.824%		01/20/28		615		599,899
4.000%		04/01/24		745		751,527
Sub. Notes, MTN
4.000%		01/22/25		1,700		1,678,159
4.450%		03/03/26		4,790		4,801,098

SEE NOTES TO FINANCIAL STATEMENTS.

A15

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Banks (continued)
Bank of America NA,
Sub. Notes
6.000%		10/15/36		805	$	949,578
Bank of Montreal (Canada),
Sr. Unsec’d. Notes, Series D, MTN, 3 Month LIBOR + 0.460%
2.802%(c)		04/13/21		400		400,744
Sr. Unsec’d. Notes, Series D, MTN
3.100%		04/13/21		570		567,723
Barclays PLC (United Kingdom),
Sr. Unsec’d. Notes
3.650%		03/16/25		610		571,346
3.684%		01/10/23		320		311,187
4.375%		01/12/26		1,205		1,170,374
Capital One Financial Corp.,
Sr. Unsec’d. Notes
2.500%		05/12/20		1,625		1,601,955
3.450%		04/30/21		3,215		3,207,584
Citibank NA,
Sr. Unsec’d. Notes
3.050%		05/01/20		3,480		3,478,731
Citigroup, Inc.,
Jr. Sub. Notes, Series Q
5.950%		12/31/49		1,590		1,637,700
Jr. Sub. Notes, Series R
6.125%		12/31/49		945		986,344
Jr. Sub. Notes, Series T
6.250%		12/31/49		640		664,000
Sr. Unsec’d. Notes
3.200%		10/21/26		670		623,053	��
3.700%		01/12/26		1,610		1,560,493
3.887%		01/10/28		560		542,380
8.125%		07/15/39		365		513,418
Sub. Notes
4.450%		09/29/27		1,485		1,460,694
4.750%		05/18/46		440		418,407
Credit Suisse Group AG (Switzerland),
Sr. Unsec’d. Notes, 144A
4.282%		01/09/28		980		953,291
Deutsche Bank AG (Germany),
Sr. Unsec’d. Notes, GMTN
3.375%		05/12/21		1,240		1,199,367
Discover Bank,
Sr. Unsec’d. Notes
4.250%		03/13/26		595		581,600
Sub. Notes
7.000%		04/15/20		485		512,176
Goldman Sachs Group, Inc. (The),
Jr. Sub. Notes, Series M
5.375%		12/31/49		1,800		1,831,500
Jr. Sub. Notes, Series O
5.300%		12/31/49		560		547,400
Sr. Unsec’d. Notes
3.750%		02/25/26		1,165		1,128,767
3.814%		04/23/29		440		418,501
3.850%		01/26/27		2,625		2,520,860
4.223%		05/01/29		335		329,945
5.750%		01/24/22		3,265		3,494,087

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Banks (continued)
Sub. Notes
6.750%		10/01/37		1,100	$	1,305,526
HSBC Holdings PLC (United Kingdom),
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.600%
2.926%(c)		05/18/21		1,530		1,532,229
Sr. Unsec’d. Notes
4.875%		01/14/22		1,230		1,282,343
5.100%		04/05/21		920		961,678
JPMorgan Chase & Co.,
Jr. Sub. Notes, Series I, 3 Month LIBOR + 3.470%
5.829%(c)		12/31/49		2,000		2,015,000
Jr. Sub. Notes, Series X
6.100%		12/31/49		1,175		1,213,305
Sr. Unsec’d. Notes
3.782%		02/01/28		270		263,427
3.964%		11/15/48		2,240		2,014,070
4.005%		04/23/29		1,360		1,341,865
4.250%		10/15/20		1,660		1,697,014
Sub. Notes
3.875%		09/10/24		3,525		3,492,310
JPMorgan Chase Bank NA,
Sr. Unsec’d. Notes
3.086%		04/26/21		3,000		2,992,969
Lloyds Bank PLC (United Kingdom),
Gtd. Notes
3.300%		05/07/21		1,400		1,397,516
Gtd. Notes, 144A, MTN
5.800%		01/13/20		1,770		1,836,991
Manufacturers & Traders Trust Co.,
Sr. Unsec’d. Notes
2.900%		02/06/25		2,385		2,288,295
Morgan Stanley,
Jr. Sub. Notes, Series H
5.450%		12/31/49		640		648,403
Sr. Unsec’d. Notes
4.375%		01/22/47		1,170		1,117,312
Sr. Unsec’d. Notes, GMTN
3.125%		01/23/23		625		609,834
3.772%		01/24/29		1,295		1,247,510
Sr. Unsec’d. Notes, MTN
3.591%		07/22/28		1,030		978,960
3.971%		07/22/38		440		407,694
6.375%		07/24/42		205		249,009
Sub. Notes, GMTN
4.350%		09/08/26		3,050		3,008,375
Nordea Bank AB (Sweden),
Sr. Unsec’d. Notes, 144A, MTN
1.875%		09/17/18		1,590		1,587,934
PNC Bank NA,
Sr. Unsec’d. Notes
1.950%		03/04/19		455		452,502
Royal Bank of Canada (Canada),
Sr. Unsec’d. Notes, GMTN, 3 Month LIBOR + 0.390%
2.749%(c)		04/30/21		1,620		1,619,452
Sr. Unsec’d. Notes, GMTN
3.200%		04/30/21		360		359,845
						85,854,404

SEE NOTES TO FINANCIAL STATEMENTS.

A16

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Beverages — 0.1%
Anheuser-Busch InBev Finance, Inc. (Belgium),
Gtd. Notes
4.700%		02/01/36			2,005	$	2,032,162
Maple Escrow Subsidiary, Inc.,
Gtd. Notes, 144A
3.551%		05/25/21			830		830,733
							2,862,895
Biotechnology — 0.0%
Amgen, Inc.,
Sr. Unsec’d. Notes
4.663%		06/15/51			617		610,085
Gilead Sciences, Inc.,
Sr. Unsec’d. Notes
5.650%		12/01/41			110		129,000
							739,085
Building Materials — 0.0%
Standard Industries, Inc.,
Sr. Unsec’d. Notes, 144A
5.375%		11/15/24			1,135		1,120,812
Chemicals — 0.3%
Celanese US Holdings LLC,
Gtd. Notes
5.875%		06/15/21			1,160		1,225,863
CF Industries, Inc.,
Gtd. Notes
5.375%		03/15/44			445		392,712
CNAC HK Finbridge Co. Ltd. (China),
Gtd. Notes
3.500%		07/19/22			2,675		2,582,953
Dow Chemical Co. (The),
Sr. Unsec’d. Notes
5.250%		11/15/41			5		5,259
9.400%		05/15/39			30		46,051
LyondellBasell Industries NV,
Sr. Unsec’d. Notes
4.625%		02/26/55			885		818,164
5.000%		04/15/19			201		202,987
Mosaic Co. (The),
Sr. Unsec’d. Notes
5.450%		11/15/33	(a)		265		267,920
5.625%		11/15/43			295		297,158
Union Carbide Corp.,
Sr. Unsec’d. Notes
7.500%		06/01/25			500		586,528
							6,425,595
Commercial Services — 0.1%
ERAC USA Finance LLC,
Gtd. Notes, 144A
4.200%		11/01/46			875		788,988
7.000%		10/15/37			390		487,383

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Commercial Services (continued)
United Rentals North America, Inc.,
Gtd. Notes
4.875%		01/15/28			735	$	680,573
5.875%		09/15/26			400		404,000
							2,360,944
Computers — 0.2%
Apple, Inc.,
Sr. Unsec’d. Notes
3.200%		05/13/25			2,400		2,345,843
Dell International LLC/EMC Corp.,
Sr. Sec’d. Notes, 144A
3.480%		06/01/19			825		827,077
Hewlett Packard Enterprise Co.,
Sr. Unsec’d. Notes
2.850%		10/05/18			215		215,312
Sr. Unsec’d. Notes, 144A
2.100%		10/04/19			150		148,112
Seagate HDD Cayman,
Gtd. Notes
3.750%		11/15/18			455		456,156
							3,992,500
Diversified Financial Services — 0.3%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland),
Gtd. Notes
3.750%		05/15/19			600		603,577
CDP Financial, Inc. (Canada),
Gtd. Notes, 144A
3.150%		07/24/24			1,300		1,287,864
Discover Financial Services,
Sr. Unsec’d. Notes
3.850%		11/21/22			900		896,144
Jefferies Group LLC,
Sr. Unsec’d. Notes
6.500%		01/20/43			465		482,138
Lehman Brothers Holdings, Inc.,
Sr. Unsec’d. Notes
5.250%		02/06/12	(d)		1,850		56,425
6.875%		05/02/18	(d)		700		21,700
Private Export Funding Corp.,
Sr. Unsec’d. Notes, 144A
2.650%		02/16/21			1,775		1,765,898
U.S. Gov’t. Gtd. Notes
1.875%		07/15/18			55		54,999
2.450%		07/15/24			285		276,324
3.250%		06/15/25			255		257,234
Synchrony Financial,
Sr. Unsec’d. Notes
2.700%		02/03/20			2,175		2,152,067
							7,854,370
Electric — 1.2%
Avista Corp.,
First Mortgage
4.350%		06/01/48			845		850,057

SEE NOTES TO FINANCIAL STATEMENTS.

A17

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Electric (continued)
Baltimore Gas & Electric Co.,
Sr. Unsec’d. Notes
6.350%		10/01/36		530	$	673,198
Berkshire Hathaway Energy Co.,
Sr. Unsec’d. Notes
6.125%		04/01/36		332		409,454
Black Hills Corp.,
Sr. Unsec’d. Notes
2.500%		01/11/19		950		947,733
CenterPoint Energy Houston Electric LLC,
General Ref. Mtge.
6.950%		03/15/33		300		391,664
Consolidated Edison Co. of New York, Inc.,
Sr. Unsec’d. Notes
5.500%		12/01/39		145		170,700
Dominion Energy, Inc.,
Jr. Sub. Notes
4.104%		04/01/21		2,470		2,504,457
DTE Electric Co.,
General Ref. Mortgage
4.050%		05/15/48		1,075		1,067,542
Duke Energy Carolinas LLC,
First Mortgage
6.050%		04/15/38		530		658,149
El Paso Electric Co.,
Sr. Unsec’d. Notes
6.000%		05/15/35		845		960,040
Eversource Energy,
Sr. Unsec’d. Notes
4.500%		11/15/19		605		616,069
Exelon Corp.,
Jr. Sub. Notes
3.497%		06/01/22		2,397		2,369,268
Exelon Generation Co. LLC,
Sr. Unsec’d. Notes
5.200%		10/01/19		400		409,398
6.250%		10/01/39		1,375		1,455,597
FirstEnergy Transmission LLC,
Sr. Unsec’d. Notes, 144A
5.450%		07/15/44		265		296,597
Florida Power & Light Co.,
First Mortgage
5.950%		10/01/33		380		458,397
Iberdrola International BV (Spain),
Gtd. Notes
6.750%		09/15/33		140		165,479
Indiana Michigan Power Co.,
Sr. Unsec’d. Notes
3.850%		05/15/28		2,105		2,110,422
Israel Electric Corp. Ltd. (Israel),
Sr. Sec’d. Notes, 144A
9.375%		01/28/20		1,000		1,084,890
Sr. Sec’d. Notes, 144A, GMTN
4.250%		08/14/28		575		552,953
Monongahela Power Co.,
First Mortgage, 144A
4.100%		04/15/24		1,560		1,596,457

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Electric (continued)
Niagara Mohawk Power Corp.,
Sr. Unsec’d. Notes, 144A
4.881%		08/15/19			545	$	555,226
Northern States Power Co.,
First Mortgage
3.600%		09/15/47			1,035		954,110
PPL Capital Funding, Inc.,
Gtd. Notes
4.000%		09/15/47			980		895,999
5.000%		03/15/44			495		514,688
PSEG Power LLC,
Gtd. Notes
3.000%		06/15/21	(a)		1,260		1,245,931
Public Service Electric & Gas Co.,
First Mortgage, MTN
3.700%		05/01/28			850		852,124
Sec’d. Notes, MTN
3.000%		05/15/27			675		638,949
Sr. Sec’d. Notes, MTN
5.800%		05/01/37			515		637,075
San Diego Gas & Electric Co.,
First Mortgage
4.150%		05/15/48			1,010		1,012,911
Southern California Edison Co.,
First Ref. Mtge.
4.000%		04/01/47			350		326,852
First Ref. Mtge., Series C
3.600%		02/01/45			690		600,780
State Grid Overseas Investment 2014 Ltd. (China),
Gtd. Notes, 144A
2.750%		05/07/19			500		498,385
Xcel Energy, Inc.,
Sr. Unsec’d. Notes
4.800%		09/15/41			480		512,254
							28,993,805
Electronics — 0.0%
FLIR Systems, Inc.,
Sr. Unsec’d. Notes
3.125%		06/15/21			650		642,877
Entertainment — 0.0%
GLP Capital LP/GLP Financing II, Inc.,
Gtd. Notes
4.875%		11/01/20			400		404,500
Food — 0.1%
Kraft Heinz Foods Co.,
Gtd. Notes
3.000%		06/01/26			1,510		1,359,791
4.375%		06/01/46			360		311,437
Kroger Co. (The),
Sr. Unsec’d. Notes
4.450%		02/01/47	(a)		240		218,286
4.650%		01/15/48	(a)		590		557,118
							2,446,632

SEE NOTES TO FINANCIAL STATEMENTS.

A18

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Forest Products & Paper — 0.1%
Georgia-Pacific LLC,
Gtd. Notes, 144A
5.400%		11/01/20			275	$	288,076
International Paper Co.,
Sr. Unsec’d. Notes
6.000%		11/15/41			1,270		1,402,227
							1,690,303
Gas — 0.1%
Dominion Energy Gas Holdings LLC,
Sr. Unsec’d. Notes
4.800%		11/01/43			45		46,152
NiSource, Inc.,
Sr. Unsec’d. Notes
3.490%		05/15/27			2,355		2,251,873
							2,298,025
Healthcare-Products — 0.1%
Becton, Dickinson & Co.,
Sr. Unsec’d. Notes
3.734%		12/15/24			372		363,166
Medtronic, Inc.,
Gtd. Notes
4.375%		03/15/35			997		1,031,096
							1,394,262
Healthcare-Services — 0.2%
Aetna, Inc.,
Sr. Unsec’d. Notes
6.625%		06/15/36			480		592,398
Anthem, Inc.,
Sr. Unsec’d. Notes
4.625%		05/15/42			330		319,881
4.650%		01/15/43			260		251,458
Centene Corp.,
Sr. Unsec’d. Notes
5.625%		02/15/21			750		765,844
Fresenius Medical Care U.S. Finance II, Inc. (Germany),
Gtd. Notes, 144A
4.125%		10/15/20			435		439,372
HCA, Inc.,
Sr. Sec’d. Notes
4.500%		02/15/27	(a)		700		658,875
5.250%		04/15/25			350		350,000
Kaiser Foundation Hospitals,
Gtd. Notes
4.150%		05/01/47			670		678,472
Laboratory Corp. of America Holdings,
Sr. Unsec’d. Notes
3.200%		02/01/22			160		158,277
New York & Presbyterian Hospital (The),
Unsec’d. Notes
4.024%		08/01/45			340		340,089
							4,554,666

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Home Builders — 0.0%
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc.,
Gtd. Notes, 144A
5.250%		04/15/21			1,000	$	1,000,000
Housewares — 0.1%
Newell Brands, Inc.,
Sr. Unsec’d. Notes
4.200%		04/01/26	(a)		2,010		1,941,771
Insurance — 0.3%
AXIS Specialty Finance LLC,
Gtd. Notes
5.875%		06/01/20			990		1,033,165
Hartford Financial Services Group, Inc. (The),
Sr. Unsec’d. Notes
5.125%		04/15/22			635		670,125
Liberty Mutual Group, Inc.,
Gtd. Notes, 144A
6.500%		05/01/42			215		262,478
7.000%		03/15/34			910		1,116,637
Lincoln National Corp.,
Sr. Unsec’d. Notes
6.300%		10/09/37			701		833,860
Markel Corp.,
Sr. Unsec’d. Notes
5.000%		03/30/43			165		168,946
New York Life Insurance Co.,
Sub. Notes, 144A
6.750%		11/15/39			650		862,009
Northwestern Mutual Life Insurance Co. (The),
Sub. Notes, 144A
6.063%		03/30/40			100		124,344
Ohio National Financial Services, Inc.,
Sr. Unsec’d. Notes, 144A
6.375%		04/30/20			640		671,932
Principal Financial Group, Inc.,
Gtd. Notes
4.625%		09/15/42			105		105,632
Teachers Insurance & Annuity Association of America,
Sub. Notes, 144A
4.270%		05/15/47			1,430		1,367,555
6.850%		12/16/39			122		161,532
Unum Group,
Sr. Unsec’d. Notes
5.625%		09/15/20			315		329,377
W.R. Berkley Corp.,
Sr. Unsec’d. Notes
6.150%		08/15/19			575		592,639
							8,300,231
Lodging — 0.1%
Marriott International, Inc.,
Sr. Unsec’d. Notes
3.000%		03/01/19			490		490,058
3.250%		09/15/22			805		792,774
							1,282,832

SEE NOTES TO FINANCIAL STATEMENTS.

A19

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Machinery-Diversified — 0.0%
Xylem, Inc.,
Sr. Unsec’d. Notes
4.875%		10/01/21		1,060	$	1,108,826
Media — 0.4%
21st Century Fox America, Inc.,
Gtd. Notes
6.150%		03/01/37		250		293,229
6.900%		08/15/39		35		44,562
7.625%		11/30/28		1,265		1,570,759
AMC Networks, Inc.,
Gtd. Notes
5.000%		04/01/24		1,225		1,206,625
CCO Holdings LLC/CCO Holdings Capital Corp.,
Sr. Unsec’d. Notes, 144A
5.375%		05/01/25		720		696,600
Charter Communications Operating LLC/Charter Communications Operating Capital,
Sr. Sec’d. Notes
6.384%		10/23/35		630		658,354
6.484%		10/23/45		1,000		1,054,035
Comcast Cable Holdings LLC,
Gtd. Notes
9.875%		06/15/22		1,440		1,724,096
Discovery Communications LLC,
Gtd. Notes
5.000%		09/20/37		260		250,341
5.200%		09/20/47		340		329,781
Time Warner Cable LLC,
Sr. Sec’d. Notes
5.500%		09/01/41		270		251,198
Viacom, Inc.,
Sr. Unsec’d. Notes
5.250%		04/01/44		340		319,323
Videotron Ltd. (Canada),
Gtd. Notes
5.000%		07/15/22		850		861,688
Warner Media LLC,
Gtd. Notes
3.800%		02/15/27		585		552,459
						9,813,050
Mining — 0.0%
BHP Billiton Finance USA Ltd. (Australia),
Gtd. Notes, 144A
6.250%		10/19/75		315		329,273
Southern Copper Corp. (Peru),
Sr. Unsec’d. Notes
5.875%		04/23/45		400		425,652
6.750%		04/16/40		300		344,752
						1,099,677
Miscellaneous Manufacturing — 0.0%
Actuant Corp.,
Gtd. Notes
5.625%		06/15/22		1,040		1,053,000

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Multi-National — 0.1%
Corp. Andina de Fomento (Supranational Bank),
Sr. Unsec’d. Notes
2.000%		05/10/19		485	$	481,078
2.125%		09/27/21		1,195		1,149,996
2.750%		01/06/23		385		372,476
North American Development Bank (Supranational Bank),
Sr. Unsec’d. Notes
2.400%		10/26/22		855		824,935
4.375%		02/11/20		800		818,271
						3,646,756
Oil & Gas — 0.7%
Anadarko Petroleum Corp.,
Sr. Unsec’d. Notes
4.677%(s)		10/10/36		1,000		423,193
4.850%		03/15/21		800		823,285
6.450%		09/15/36		1,040		1,201,882
Cenovus Energy, Inc. (Canada),
Sr. Unsec’d. Notes
5.400%		06/15/47		850		832,149
Concho Resources, Inc.,
Gtd. Notes
4.875%		10/01/47		150		151,220
Devon Energy Corp.,
Sr. Unsec’d. Notes
5.000%		06/15/45		85		86,469
5.600%		07/15/41		225		242,702
Encana Corp. (Canada),
Sr. Unsec’d. Notes
3.900%		11/15/21		100		100,803
6.500%		02/01/38		240		281,900
EOG Resources, Inc.,
Sr. Unsec’d. Notes
3.900%		04/01/35		830		805,246
Gazprom OAO Via Gaz Capital SA (Russia),
Sr. Unsec’d. Notes, 144A
4.950%		07/19/22		255		256,785
6.510%		03/07/22		440		466,620
Helmerich & Payne International Drilling Co.,
Gtd. Notes
4.650%		03/15/25		1,555		1,605,556
KazMunayGas National Co. JSC (Kazakhstan),
Sr. Unsec’d. Notes, 144A
3.875%		04/19/22		400		393,200
Noble Energy, Inc.,
Sr. Unsec’d. Notes
5.050%		11/15/44		925		924,412
Petrobras Global Finance BV (Brazil),
Gtd. Notes
5.750%		02/01/29		610		536,269
6.250%		03/17/24		515		510,622
Gtd. Notes, 144A
5.299%		01/27/25		535		494,340
Petroleos Mexicanos (Mexico),
Gtd. Notes
5.375%		03/13/22		330		338,415
5.500%		01/21/21		1,295		1,333,190

SEE NOTES TO FINANCIAL STATEMENTS.

A20

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Oil & Gas (continued)
6.500%		06/02/41		955	$	898,082
8.625%		12/01/23		350		396,293
Gtd. Notes, MTN
6.750%		09/21/47		1,590		1,499,211
6.875%		08/04/26		1,000		1,051,000
Sinopec Group Overseas Development 2015 Ltd. (China),
Gtd. Notes, 144A
2.500%		04/28/20		1,000		985,348
						16,638,192
Oil & Gas Services — 0.1%
Schlumberger Holdings Corp.,
Sr. Unsec’d. Notes, 144A
3.000%		12/21/20		559		555,648
4.000%		12/21/25		2,170		2,162,755
Schlumberger Investment SA,
Gtd. Notes, 144A
3.300%		09/14/21		100		100,060
						2,818,463
Packaging & Containers — 0.0%
Ball Corp.,
Gtd. Notes
4.375%		12/15/20		465		468,487
WestRock RKT Co.,
Gtd. Notes
4.900%		03/01/22		675		703,114
						1,171,601
Pharmaceuticals — 0.4%
AbbVie, Inc.,
Sr. Unsec’d. Notes
3.600%		05/14/25		950		920,083
4.500%		05/14/35		1,595		1,552,371
Allergan Funding SCS,
Gtd. Notes
3.800%		03/15/25		380		368,997
4.550%		03/15/35		1,770		1,674,692
4.850%		06/15/44		30		28,977
Bayer US Finance II LLC (Germany),
Gtd. Notes, 144A, 3 Month LIBOR + 0.630%
2.965%(c)		06/25/21		805		806,131
Gtd. Notes, 144A
3.500%		06/25/21		350		350,696
CVS Health Corp.,
Sr. Unsec’d. Notes
4.780%		03/25/38		230		226,221
5.050%		03/25/48		535		544,467
5.125%		07/20/45		440		445,843
5.300%		12/05/43		170		177,642
Shire Acquisitions Investments Ireland DAC,
Gtd. Notes
2.400%		09/23/21		2,570		2,460,426
						9,556,546

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Pipelines — 0.3%
DCP Midstream Operating LP,
Gtd. Notes, 144A
5.350%		03/15/20			473	$	481,869
Energy Transfer Partners LP,
Gtd. Notes
4.650%		06/01/21			610		624,640
4.950%		06/15/28			795		792,531
Enterprise Products Operating LLC,
Gtd. Notes
3.700%		02/15/26			215		210,083
3.750%		02/15/25			1,055		1,044,708
MPLX LP,
Sr. Unsec’d. Notes
4.000%		02/15/25			1,140		1,114,569
4.875%		06/01/25			2,275		2,339,088
5.200%		03/01/47			25		24,841
ONEOK Partners LP,
Gtd. Notes
6.650%		10/01/36			130		151,475
ONEOK, Inc.,
Gtd. Notes
4.950%		07/13/47			640		623,129
Williams Partners LP,
Sr. Unsec’d. Notes
4.850%		03/01/48			230		219,125
4.900%		01/15/45			1,100		1,050,831
							8,676,889
Real Estate Investment Trusts (REITs) — 0.0%
Simon Property Group LP,
Sr. Unsec’d. Notes
3.375%		03/15/22			190		189,352
Retail — 0.3%
Dollar Tree, Inc.,
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.700%
3.055%(c)		04/17/20			795		796,625
Sr. Unsec’d. Notes
4.000%		05/15/25			3,395		3,317,943
L Brands, Inc.,
Gtd. Notes
5.625%		02/15/22			1,000		1,015,000
Lowe’s Cos., Inc.,
Sr. Unsec’d. Notes
6.500%		03/15/29			116		139,558
Macy’s Retail Holdings, Inc.,
Gtd. Notes
3.875%		01/15/22	(a)		300		297,891
Sally Holdings LLC/Sally Capital, Inc.,
Gtd. Notes
5.625%		12/01/25	(a)		1,020		940,950
							6,507,967
Savings & Loans — 0.0%
People’s United Financial, Inc.,
Sr. Unsec’d. Notes
3.650%		12/06/22			1,195		1,191,960

SEE NOTES TO FINANCIAL STATEMENTS.

A21

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Semiconductors — 0.1%
Broadcom Corp./Broadcom Cayman Finance Ltd.,
Gtd. Notes
3.875%		01/15/27		1,555	$	1,470,800
Software — 0.1%
Fidelity National Information Services, Inc.,
Sr. Unsec’d. Notes
3.625%		10/15/20		915		920,770
Microsoft Corp.,
Sr. Unsec’d. Notes
4.000%		02/12/55		360		357,155
Oracle Corp.,
Sr. Unsec’d. Notes
4.300%		07/08/34		700		713,556
						1,991,481
Telecommunications — 0.3%
AT&T Corp.,
Gtd. Notes
8.250%		11/15/31		10		12,826
AT&T, Inc.,
Sr. Unsec’d. Notes
3.400%		05/15/25		3,130		2,935,124
4.500%		05/15/35		225		208,112
4.500%		03/09/48		12		10,345
4.550%		03/09/49		4		3,459
5.350%		09/01/40		113		110,283
British Telecommunications PLC (United Kingdom),
Sr. Unsec’d. Notes
9.625%(cc)		12/15/30		350		500,041
Sprint Communications, Inc.,
Gtd. Notes, 144A
7.000%		03/01/20		600		622,500
9.000%		11/15/18		800		816,000
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC,
Sr. Sec’d. Notes, 144A
3.360%		03/20/23		1,138		1,124,703
Verizon Communications, Inc.,
Sr. Unsec’d. Notes
4.500%		08/10/33		865		837,650
						7,181,043
Transportation — 0.1%
Burlington Northern Santa Fe LLC,
Sr. Unsec’d. Notes
6.700%		08/01/28		735		892,692
CSX Corp.,
Sr. Unsec’d. Notes
6.150%		05/01/37		690		828,285
Norfolk Southern Corp.,
Sr. Unsec’d. Notes
5.590%		05/17/25		120		131,579
						1,852,556
TOTAL CORPORATE BONDS (cost $269,756,063)						267,398,751

Interest Rate	Maturity Date		Principal Amount (000)#		Value
MUNICIPAL BONDS — 0.7%
Alabama — 0.0%
Alabama Economic Settlement Authority,
Revenue Bonds, BABs
4.263%		09/15/32		180	$	185,171
California — 0.2%
Bay Area Toll Authority,
Revenue Bonds, BABs
6.263%		04/01/49		1,305		1,812,749
California Educational Facilities Authority,
Revenue Bonds, Series U-7, BABs
5.000%		06/01/46		550		725,708
State of California,
GO, BABs
7.300%		10/01/39		1,250		1,771,000
7.500%		04/01/34		350		491,572
7.550%		04/01/39		245		361,287
7.625%		03/01/40		205		302,342
						5,464,658
Colorado — 0.0%
Regional Transportation District,
Revenue Bonds, Series 2010-B, BABs
5.844%		11/01/50		565		740,449
Illinois — 0.2%
Chicago O’Hare International Airport,
Revenue Bonds, BABs
6.395%		01/01/40		970		1,284,106
State of Illinois,
GO, Series D, BABs
5.000%		11/01/22		2,305		2,436,938
						3,721,044
New Jersey — 0.1%
New Jersey Turnpike Authority,
Revenue Bonds, Series F, BABs
7.414%		01/01/40		1,000		1,454,330
New York — 0.1%
New York City Transitional Finance Authority Future Tax Secured Revenue,
Revenue Bonds, BABs
5.767%		08/01/36		1,100		1,307,350
Ohio — 0.0%
Ohio State University (The),
Revenue Bonds, Series C, BABs
4.910%		06/01/40		415		475,615
Ohio Water Development Authority Water Pollution Control Loan Fund,
Revenue Bonds, BABs
4.879%		12/01/34		275		302,192
						777,807
Oregon — 0.0%
State of Oregon Department of Transportation,
Revenue Bonds, Series A, BABs
5.834%		11/15/34		425		523,711

SEE NOTES TO FINANCIAL STATEMENTS.

A22

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
MUNICIPAL BONDS (continued)
Pennsylvania — 0.0%
Pennsylvania Turnpike Commission,
Revenue Bonds, Series B, BABs
5.511%		12/01/45		505	$	621,125
Texas — 0.1%
University of Texas System (The),
Revenue Bonds, Series F, Rfdg.
5.000%		08/15/47		1,100		1,411,619
Virginia — 0.0%
University of Virginia,
Revenue Bonds, Taxable, Series C
4.179%		09/01/2117		355		354,223
TOTAL MUNICIPAL BONDS (cost $13,863,330)						16,561,487
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 1.1%
Alternative Loan Trust,
Series 2004-18CB, Class 3A1
5.250%		09/25/19		75		74,820
Banc of America Funding Trust,
Series 2015-R04, Class 4A1, 144A
3.500%(cc)		01/25/30		822		815,796
Banc of America Mortgage Trust,
Series 2005-A, Class 2A1
3.704%(cc)		02/25/35		159		158,541
Series 2005-B, Class 2A1
3.901%(cc)		03/25/35		174		169,507
Bellemeade Re Ltd. (Bermuda),
Series 2017-01, Class M1, 144A, 1 Month LIBOR + 1.700%
3.791%(c)		10/25/27		536		538,647
Series 2018-01A, Class M1B, 144A, 1 Month LIBOR + 1.600%
3.691%(c)		04/25/28		233		233,658
Chase Mortgage Finance Trust,
Series 2007-A01, Class 1A5
3.885%(cc)		02/25/37		317		319,485
CIM Trust,
Series 2017-02, Class A1, 144A, 1 Month LIBOR + 2.000%
3.982%(c)		12/25/57		1,414		1,431,957
Series 2017-03, Class A1, 144A, 1 Month LIBOR + 2.000%
3.982%(c)		01/25/57		2,882		2,939,842
Series 2017-06, Class A1, 144A
3.015%(cc)		06/25/57		1,325		1,297,892
Series 2017-08, Class A1, 144A
3.000%(cc)		12/25/65		2,641		2,637,013
Fannie Mae Connecticut Avenue Securities,
Series 2016-C02, Class 1M1, 1 Month LIBOR + 2.150%
4.241%(c)		09/25/28		274		275,988
Series 2016-C03, Class 2M1, 1 Month LIBOR + 2.200%
4.291%(c)		10/25/28		288		289,626
Series 2016-C04, Class 1M1, 1 Month LIBOR + 1.450%
3.541%(c)		01/25/29		677		682,040
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2016-DNA04, Class M2, 1 Month LIBOR + 1.300%
3.391%(c)		03/25/29		950		960,183
Series 2016-HQA02, Class M2, 1 Month LIBOR + 2.250%
4.341%(c)		11/25/28		743		760,191

Interest Rate	Maturity Date			Principal Amount (000)#		Value
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)
Series 2017-DNA01, Class M1, 1 Month LIBOR + 1.200%
3.291%(c)		07/25/29			2,107	$	2,123,842
Series 2017-DNA03, Class M1, 1 Month LIBOR + 0.750%
2.841%(c)		03/25/30			3,567		3,575,769
Holmes Master Issuer PLC (United Kingdom),
Series 2018-01A, Class A2, 144A, 3 Month LIBOR + 0.360%
2.708%(c)		10/15/54			1,600		1,599,075
JPMorgan Mortgage Trust,
Series 2007-A01, Class 4A1
4.048%(cc)		07/25/35			160		162,675
Lanark Master Issuer PLC (United Kingdom),
Series 2018-01A, Class 1A, 144A, 3 Month LIBOR + 0.420%
2.749%(c)		12/22/69			1,316		1,316,150
Lehman XS Trust,
Series 2006-GP04, Class 1A1, 1 Month LIBOR + 0.205%
2.296%(c)		08/25/46			2,157		2,072,287
LSTAR Securities Investment Ltd. (Cayman Islands),
Series 2017-05, Class A, 144A, 1 Month LIBOR + 2.000%
3.983%(c)		05/01/22			2,036		2,037,292
Series 2017-06, Class A, 144A, 1 Month LIBOR + 1.750%
3.732%(c)		09/01/22			1,059		1,062,557
Series 2017-08, Class A, 144A, 1 Month LIBOR + 1.650%
3.633%(c)		11/01/22			844		847,216
MASTR Alternative Loan Trust,
Series 2004-04, Class 4A1
5.000%		04/25/19			6		5,556
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-01, Class 4A3
3.756%(cc)		02/25/34			217		218,448
Washington Mutual Mortgage Pass-Through Certificates,
Series 2005-01, Class 3A
5.000%		03/25/20			46		46,179
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $28,494,769)							28,652,232
SOVEREIGN BONDS — 1.1%
Abu Dhabi Government International Bond (United Arab Emirates),
Sr. Unsec’d. Notes, 144A
3.125%		10/11/27			2,420		2,252,052
Colombia Government International Bond (Colombia),
Sr. Unsec’d. Notes
4.000%		02/26/24			220		219,780
4.375%		07/12/21			400		408,200
7.375%		09/18/37			450		560,250
Export-Import Bank of India (India),
Sr. Unsec’d. Notes, 144A
3.875%		02/01/28	(a)		745		699,589
Export-Import Bank of Korea (South Korea),
Sr. Unsec’d. Notes
5.125%		06/29/20			265		273,970
Finnvera OYJ (Finland),
Gov’t. Gtd. Notes, 144A, MTN
2.375%		06/04/25			400		378,560
Hungary Government International Bond (Hungary),
Sr. Unsec’d. Notes
6.375%		03/29/21			1,760		1,879,761

SEE NOTES TO FINANCIAL STATEMENTS.

A23

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date				Principal Amount (000)#		Value
SOVEREIGN BONDS (continued)
Indonesia Government International Bond (Indonesia),
Sr. Unsec’d. Notes, 144A
3.375%		07/30/25		EUR		1,200	$	1,506,912
Sr. Unsec’d. Notes, 144A, MTN
2.150%		07/18/24		EUR		1,510		1,775,547
5.875%		01/15/24				750		803,096
Sr. Unsec’d. Notes, EMTN
4.750%		01/08/26				350		354,719
Japan Bank for International Cooperation (Japan),
Gov’t. Gtd. Notes
1.500%		07/21/21				600		572,674
2.125%		11/16/20				1,200		1,176,466
Japan Finance Organization for Municipalities (Japan),
Sr. Unsec’d. Notes, 144A, MTN
2.125%		04/13/21				600		582,811
2.125%		10/25/23				1,000		938,657
2.625%		04/20/22				1,400		1,365,908
Sr. Unsec’d. Notes, EMTN
2.125%		04/13/21				200		194,270
Mexico Government International Bond (Mexico),
Sr. Unsec’d. Notes
4.000%		10/02/23				438		439,314
Sr. Unsec’d. Notes, MTN
4.750%		03/08/44				366		339,607
Panama Government International Bond (Panama),
Sr. Unsec’d. Notes
3.750%		03/16/25				490		483,875
4.000%		09/22/24				395		397,963
4.500%		04/16/50				340		327,250
Qatar Government International Bond (Qatar),
Sr. Unsec’d. Notes, 144A
3.875%		04/23/23				800		799,418
5.103%		04/23/48				885		882,310
Saudi Government International Bond (Saudi Arabia),
Sr. Unsec’d. Notes, 144A, MTN
2.375%		10/26/21				980		940,996
2.875%		03/04/23				1,285		1,236,047
4.000%		04/17/25				750		746,295
Tokyo Metropolitan Government (Japan),
Sr. Unsec’d. Notes, 144A
2.500%		06/08/22				1,200		1,164,126
3.250%		06/01/23				600		599,906
Turkey Government International Bond (Turkey),
Sr. Unsec’d. Notes
7.000%		06/05/20				1,260		1,289,814
Uruguay Government International Bond (Uruguay),
Sr. Unsec’d. Notes
4.975%		04/20/55				560		543,200
5.100%		06/18/50				490		481,670
TOTAL SOVEREIGN BONDS (cost $27,276,623)								26,615,013
U.S. GOVERNMENT AGENCY OBLIGATIONS — 7.9%
Federal Home Loan Bank
5.500%		07/15/36	(k)			850		1,109,168
Federal Home Loan Mortgage Corp.
2.000%		01/01/32				1,080		1,022,835
2.500%		03/01/30				638		621,129

Interest Rate	Maturity Date			Principal Amount (000)#		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
3.000%		TBA			7,500	$	7,251,489
3.000%		10/01/28			524		523,752
3.000%		06/01/29			994		991,850
3.000%		01/01/37			277		273,160
3.000%		06/01/42			437		426,542
3.000%		10/01/42			1,022		998,028
3.000%		01/01/43			917		896,026
3.000%		07/01/43			2,420		2,362,378
3.500%		TBA			15,500		15,401,079
3.500%		06/01/42			451		452,346
4.000%		06/01/26			662		681,164
4.000%		09/01/26			232		238,642
4.000%		10/01/39			716		735,734
4.000%		12/01/40			485		498,908
4.000%		10/01/41			534		548,742
4.000%		01/01/42			181		186,199
4.500%		02/01/19			2		2,108
4.500%		07/01/19			40		40,571
4.500%		07/01/20			37		37,180
4.500%		02/01/39			110		115,227
4.500%		09/01/39			182		191,484
4.500%		10/01/39			1,655		1,740,494
4.500%		12/01/39			157		164,613
4.500%		07/01/41			279		292,231
4.500%		07/01/41			1,938		2,034,392
4.500%		08/01/41			134		139,838
4.500%		08/01/41			235		245,238
4.500%		08/01/41			617		648,480
4.500%		10/01/41			257		268,526
5.000%		05/01/34			21		22,558
5.000%		05/01/34			353		374,893
5.000%		10/01/35			9		9,133
5.000%		07/01/37			575		613,441
5.000%		05/01/39			81		85,970
5.500%		12/01/33			48		51,308
5.500%		01/01/34			53		57,825
5.500%		06/01/34			86		92,652
5.500%		07/01/34			240		260,146
5.500%		05/01/37			64		69,760
5.500%		02/01/38			509		550,306
5.500%		05/01/38			56		61,037
5.500%		07/01/38			136		146,873
6.000%		03/01/32			264		292,414
6.000%		12/01/33			54		59,068
6.000%		11/01/36			65		71,386
6.000%		01/01/37			50		54,485
6.000%		05/01/37			31		34,291
6.000%		02/01/38			5		5,855
6.000%		08/01/39			75		82,776
6.750%		03/15/31	(k)		550		750,928
7.000%		05/01/31			15		16,615
7.000%		06/01/31			14		14,912
7.000%		08/01/31			153		167,702
7.000%		10/01/31			7		7,253
Federal National Mortgage Assoc.
1.875%		09/24/26			150		136,967
2.000%		08/01/31			982		930,663
2.500%		01/01/28			954		935,125

SEE NOTES TO FINANCIAL STATEMENTS.

A24

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
2.500%		10/01/43		760	$	715,613
2.500%		12/01/46		1,577		1,477,806
3.000%		02/01/27		2,041		2,041,692
3.000%		08/01/30		1,441		1,437,843
3.000%		11/01/36		2,552		2,518,796
3.000%		12/01/42		1,983		1,938,941
3.500%		TBA		2,250		2,239,416
3.500%		TBA		14,500		14,673,320
3.500%		06/01/39		632		632,831
3.500%		01/01/42		5,059		5,076,920
3.500%		05/01/42		2,699		2,708,776
3.500%		07/01/42		1,001		1,004,358
3.500%		08/01/42		430		431,385
3.500%		08/01/42		1,250		1,253,519
3.500%		09/01/42		544		544,488
3.500%		09/01/42		2,026		2,030,614
3.500%		11/01/42		361		361,905
3.500%		03/01/43		3,005		3,012,410
3.500%		04/01/43		707		709,931
3.500%		04/01/43		1,080		1,080,971
3.500%		01/01/46		2,177		2,173,033
4.000%		TBA		6,250		6,362,853
4.000%		10/01/41		3,127		3,211,732
4.000%		09/01/44		3,191		3,261,040
4.500%		TBA		6,000		6,236,302
4.500%		07/01/33		61		63,554
4.500%		08/01/33		57		60,092
4.500%		09/01/33		133		138,902
4.500%		10/01/33		11		11,537
4.500%		10/01/33		37		38,712
4.500%		10/01/33		159		166,799
4.500%		01/01/35		2		1,949
4.500%		07/01/39		1,071		1,126,478
4.500%		08/01/39		1,666		1,752,338
4.500%		03/01/41		583		613,434
5.000%		TBA		4,250		4,493,771
5.000%		03/01/34		296		317,671
5.000%		06/01/35		109		117,162
5.000%		07/01/35		143		152,865
5.000%		09/01/35		89		96,135
5.000%		11/01/35		115		123,704
5.000%		02/01/36		137		146,764
5.000%		05/01/36		69		73,373
5.500%		09/01/33		291		314,033
5.500%		10/01/33		97		105,446
5.500%		12/01/33		64		69,596
5.500%		01/01/34		2		1,686
5.500%		12/01/34		232		252,917
5.500%		10/01/35		887		965,160
5.500%		03/01/36		149		160,997
5.500%		05/01/36		138		149,073
5.500%		04/01/37		123		133,094
6.000%		05/01/21		43		44,672
6.000%		08/01/22		39		40,485
6.000%		04/01/33		26		28,342
6.000%		06/01/33		6		7,074
6.000%		10/01/33		431		481,717
6.000%		11/01/33		7		7,461

Interest Rate	Maturity Date			Principal Amount (000)#			Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
6.000%		11/01/33			22		$	24,547
6.000%		11/01/33			50			54,171
6.000%		01/01/34			323			354,919
6.000%		02/01/34			84			92,167
6.000%		03/01/34			35			38,350
6.000%		03/01/34			69			74,932
6.000%		07/01/34			202			222,018
6.000%		08/01/34			1			684
6.000%		10/01/34			5			5,206
6.000%		11/01/34			3			2,983
6.000%		11/01/34			46			50,475
6.000%		12/01/34			24			26,292
6.000%		01/01/35			82			90,148
6.000%		01/01/35			251			276,173
6.000%		02/01/35			5			5,464
6.000%		02/01/35			80			87,639
6.000%		02/01/35			291			327,203
6.000%		03/01/35			3			3,200
6.000%		04/01/35			1			1,189
6.000%		07/01/36			52			57,274
6.000%		02/01/37			93			102,869
6.000%		05/01/37			34			37,693
6.000%		06/01/37			1			1,031
6.000%		08/01/37			—	(r)		213
6.000%		08/01/37			20			21,852
6.000%		09/01/37			1			702
6.000%		10/01/37			38			42,161
6.000%		05/01/38			84			92,160
6.000%		06/01/38			2			2,693
6.250%		05/15/29	(k)		1,245			1,599,133
6.500%		07/01/32			2			2,542
6.500%		07/01/32			58			63,826
6.500%		09/01/32			2			2,011
6.500%		09/01/32			14			15,923
6.500%		09/01/32			69			75,799
6.500%		09/01/32			73			79,940
6.500%		09/01/32			96			106,104
6.500%		04/01/33			124			137,941
6.500%		11/01/33			23			25,179
6.500%		01/01/34			45			50,103
6.500%		09/01/34			74			82,123
6.500%		10/01/34			207			228,564
6.500%		09/01/36			71			78,616
6.500%		10/01/36			34			37,599
6.500%		11/01/36			23			24,817
6.500%		01/01/37			41			45,382
6.500%		01/01/37			114			125,794
6.625%		11/15/30	(k)		800			1,073,057
7.000%		02/01/32			34			37,093
7.000%		03/01/32			3			2,606
7.000%		05/01/32			18			20,331
7.000%		06/01/32			22			24,436
7.000%		07/01/32			60			67,268
7.125%		01/15/30	(k)		3,195			4,399,659
Government National Mortgage Assoc.
2.500%		12/20/46			829			787,388
3.000%		TBA			2,500			2,443,408
3.000%		12/20/44			390			384,645

SEE NOTES TO FINANCIAL STATEMENTS.

A25

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#			Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
3.000%		03/15/45		1,172		$	1,147,844
3.000%		03/20/46		2,533			2,489,787
3.000%		07/20/46		4,691			4,604,683
3.000%		08/20/46		1,744			1,711,946
3.000%		11/20/46		879			862,426
3.000%		01/20/47		446			436,823
3.000%		04/20/47		1,849			1,812,324
3.500%		TBA		5,000			5,012,109
3.500%		12/20/42		1,588			1,606,736
3.500%		05/20/43		491			496,391
3.500%		04/20/45		2,217			2,230,956
3.500%		07/20/46		8,265			8,307,365
4.000%		TBA		6,250			6,396,484
4.000%		06/15/40		109			111,760
4.000%		05/20/41		87			89,795
4.000%		12/20/42		800			827,316
4.000%		08/20/44		393			406,200
4.000%		11/20/45		907			936,875
4.000%		12/20/45		2,393			2,471,471
4.500%		TBA		3,500			3,631,827
4.500%		04/15/40		787			832,102
4.500%		01/20/41		621			652,652
4.500%		02/20/41		1,041			1,094,627
4.500%		03/20/41		525			551,242
4.500%		06/20/44		790			833,598
4.500%		09/20/46		738			775,757
4.500%		11/20/46		1,118			1,181,726
4.500%		03/20/47		776			812,718
5.000%		10/20/37		130			138,503
5.000%		04/20/45		797			849,121
5.500%		08/15/33		259			279,053
5.500%		08/15/33		290			312,363
5.500%		09/15/33		83			89,672
5.500%		12/15/33		44			47,614
5.500%		03/15/34		168			180,972
5.500%		12/15/34		397			439,044
5.500%		07/15/35		80			87,214
5.500%		04/15/36		135			146,033
6.000%		11/15/23		—	(r)		497
6.000%		05/15/32		—	(r)		272
6.000%		04/15/33		9			9,905
6.000%		12/15/33		130			142,618
6.000%		01/15/34		37			42,210
6.000%		01/15/34		61			67,128
6.000%		01/15/34		74			81,213
6.000%		06/20/34		134			148,118
6.000%		07/15/34		99			109,615
6.500%		10/15/23		1			1,246
6.500%		12/15/23		5			5,351
6.500%		01/15/24		1			928
6.500%		01/15/24		1			992
6.500%		01/15/24		2			1,758
6.500%		01/15/24		4			4,199
6.500%		01/15/24		13			13,987
6.500%		01/15/24		18			19,373
6.500%		01/15/24		19			20,536
6.500%		01/15/24		42			46,781
6.500%		01/15/24		66			73,057

Interest Rate	Maturity Date			Principal Amount (000)#			Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
6.500%		02/15/24			3		$	3,627
6.500%		02/15/24			6			6,554
6.500%		02/15/24			6			6,727
6.500%		02/15/24			7			7,954
6.500%		02/15/24			18			19,445
6.500%		02/15/24			18			19,636
6.500%		03/15/24			2			2,473
6.500%		03/15/24			4			4,083
6.500%		03/15/24			4			4,713
6.500%		04/15/24			—	(r)		443
6.500%		04/15/24			1			1,490
6.500%		04/15/24			2			1,756
6.500%		04/15/24			3			2,925
6.500%		04/15/24			3			2,957
6.500%		04/15/24			4			3,881
6.500%		04/15/24			8			8,580
6.500%		04/15/24			16			17,755
6.500%		05/15/24			5			4,967
6.500%		05/15/24			6			6,986
6.500%		05/15/24			26			28,860
6.500%		10/15/24			24			25,533
6.500%		11/15/28			6			6,964
6.500%		08/15/31			8			8,395
6.500%		12/15/31			11			12,239
6.500%		01/15/32			27			30,259
6.500%		02/15/32			47			51,875
6.500%		06/15/32			24			26,756
6.500%		07/15/32			45			49,782
6.500%		08/15/32			6			6,908
6.500%		08/15/32			7			8,187
6.500%		08/15/32			8			8,849
6.500%		08/15/32			28			30,540
6.500%		08/15/32			221			252,177
6.500%		08/15/34			27			29,690
6.500%		06/15/35			45			50,272
6.500%		09/15/36			61			69,290
8.000%		01/15/24			9			8,626
8.000%		07/15/24			1			675
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes
3.000%		06/30/25			915			906,727
Tennessee Valley Authority, Sr. Unsec’d. Notes
2.875%		02/01/27			300			292,540
7.125%		05/01/30			510			701,484
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $200,870,132)								199,025,571
U.S. TREASURY OBLIGATIONS — 2.7%
U.S. Treasury Bonds
3.000%		02/15/48	(a)		6,470			6,491,735
U.S. Treasury Inflation Indexed Bonds, TIPS
0.625%		01/15/26			35,003			34,812,336
U.S. Treasury Notes
1.625%		04/30/23			450			427,535
2.500%		05/31/20			3,210			3,208,495
2.625%		06/15/21			6,865			6,865,805
2.625%		06/30/23			850			845,850
2.750%		05/31/23			2,330			2,332,912
2.875%		05/31/25			3,540			3,553,552

SEE NOTES TO FINANCIAL STATEMENTS.

A26

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
U.S. TREASURY OBLIGATIONS (continued)
2.875%		05/15/28			1,005	$	1,007,002
U.S. Treasury Strips Coupon
2.184%(s)		02/15/28			2,115		1,595,635
2.241%(s)		05/15/28			1,055		789,697
2.280%(s)		02/15/29			1,055		771,351
2.384%(s)		05/15/29			2,175		1,578,702
2.519%(s)		08/15/25			680		554,334
2.783%(s)		08/15/29			1,000		719,782
2.878%(s)		05/15/31			1,000		681,764
3.042%(s)		11/15/35			2,000		1,189,546
3.202%(s)		08/15/40			2,000		1,029,251
TOTAL U.S. TREASURY OBLIGATIONS (cost $68,525,538)							68,455,284
TOTAL LONG-TERM INVESTMENTS (cost $1,372,053,613)							2,210,786,938
				Shares
SHORT-TERM INVESTMENTS — 17.1%
AFFILIATED MUTUAL FUNDS — 16.9%
PGIM Core Short-Term Bond Fund(w)					7,152,593		66,304,535
PGIM Core Ultra Short Bond Fund(w)					307,812,614		307,812,614
PGIM Institutional Money Market Fund (cost $53,249,071; includes $53,147,294 of cash collateral for securities on loan)(b)(w)					53,250,441		53,255,767
TOTAL AFFILIATED MUTUAL FUNDS (cost $427,679,844)							427,372,916
Interest Rate	Maturity Date			Principal Amount (000)
COMMERCIAL PAPER — 0.1%
Ford Motor Credit Co. LLC
3.201%(n)		04/09/19			1,790		1,751,096
(cost $1,746,798)
U.S. TREASURY OBLIGATION — 0.1%
U.S. Treasury Bills
1.902%(n)		09/20/18	(k)		1,895		1,887,104
(cost $1,887,035)
TOTAL SHORT-TERM INVESTMENTS (cost $431,313,677)							431,011,116
TOTAL INVESTMENTS — 104.8% (cost $1,803,367,290)							2,641,798,054
LIABILITIES IN EXCESS OF OTHER ASSETS(z) — (4.8)%							(121,208,016	)
NET ASSETS — 100.0%						$	2,520,590,038

See the Glossary for abbreviations used in the semiannual report.

* Non-income producing security.

# Principal or notional amount is shown in U.S. dollars unless otherwise stated.

^ Indicates a Level 3 security. The aggregate value of Level 3 securities is $24 and 0.0% of net assets.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $51,870,537; cash collateral of $53,147,294 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b) Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

(c) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2018.

(cc) Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2018. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description.

(d) Represents issuer in default on interest payments and/or principal repayment. Non-income producing security. Such securities may be post-maturity.

(k) Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives.

(n) Rate shown reflects yield to maturity at purchase date.

(r) Less than $500 par.

(s) Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date.

(w) PGIM Investments LLC, the manager of the Portfolio, also serves as manager of PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

(z) Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end:

SEE NOTES TO FINANCIAL STATEMENTS.

A27

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Futures contracts outstanding at June 30, 2018:

Number of Contracts	Type		Expiration Date		Current Notional Amount		Value / Unrealized Appreciation (Depreciation)
Long Positions:
411		2 Year U.S.Treasury Notes		Sep. 2018	$	87,061,360	$	193,189
1,622		5 Year U.S.Treasury Notes		Sep. 2018		184,287,078		1,006,108
448		30 Year U.S. Ultra Treasury Bonds		Sep. 2018		71,484,000		2,471,249
14		Mini MSCI EAFE Index		Sep. 2018		1,368,780		(24,719	)
145		S&P 500 E-Mini Index		Sep. 2018		19,731,600		(475,304	)
23		S&P 500 Index		Sep. 2018		15,649,200		(328,661	)
								2,841,862
Short Positions:
237		90 Day Euro Dollar		Dec. 2018		57,685,800		411,297
242		10 Year U.S. Treasury Notes		Sep. 2018		29,085,375		8,786
57		10 Year U.S. Ultra Treasury Notes		Sep. 2018		7,309,359		(151,121	)
236		20 Year U.S. Treasury Bonds		Sep. 2018		34,220,000		(905,047	)
								(636,085	)
							$	2,205,777

Securities with combined market values of $2,729,474 and $1,887,104 have been segregated with Citigroup Global Markets and Goldman Sachs & Co., respectively, to cover requirements for open futures contracts at June 30, 2018.

Forward foreign currency exchange contracts outstanding at June 30, 2018:

Sale Contracts	Counterparty	Notional Amount (000)		Value at Settlement Date		Current Value		Unrealized Appreciation		Unrealized Depreciation
OTC Forward Foreign Currency Exchange Contracts:
Euro,
Expiring 07/26/18	Citigroup Global Markets	EUR	2,827	$	3,463,106	$	3,307,793	$	155,313	$	—

Forward rate agreements outstanding at June 30, 2018:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Fair Value		Upfront Premiums		Unrealized Appreciation (Depreciation)		Counterparty
	OTC Forward Rate Agreements^:
	87,800		07/30/18		4.000%(T)	CMM 102(1)(T)	$	—	$	—	$	—	JPMorgan Chase
	87,800		07/30/18		2.839%(T)	10 Year CMT(1)(T)		—		—		—	JPMorgan Chase
							$	—	$	—	$	—

(1) The Portfolio pays the fixed rate and receives the floating rate.

(2) The Portfolio pays the floating rate and receives the fixed rate.

Inflation swap agreement outstanding at June 30, 2018:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date		Value at June 30, 2018			Unrealized Appreciation (Depreciation)
	Centrally Cleared Inflation Swap Agreement:
	1,240		10/25/27		2.160%(T)	U.S. CPI Urban Consumers NSA Index(2)(T)	$	29	$	(29,654	)	$	(29,683	)

(1) The Portfolio pays the fixed rate and receives the floating rate.

(2) The Portfolio pays the floating rate and receives the fixed rate.

SEE NOTES TO FINANCIAL STATEMENTS.

A28

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest rate swap agreements outstanding at June 30, 2018:

Notional Amount (000)#			Termination Date		Fixed Rate	Floating Rate	Value at Trade Date			Value at June 30, 2018			Unrealized Appreciation (Depreciation)
	Centrally Cleared Interest Rate Swap Agreements:
	EUR	2,835		05/11/24	0.396%(A)	6 Month EURIBOR(1)(S)	$	21,623		$	(6,039	)	$	(27,662	)
		852,345		01/30/19	2.261%(T)	1 Day USOIS(1)(T)		—			(38,138	)		(38,138	)
		747,120		03/20/19	2.158%(T)	1 Day USOIS(1)(T)		—			142,429			142,429
		47,045		06/30/19	1.486%(A)	1 Day USOIS(1)(A)		(17,942	)		329,165			347,107
		9,895		06/30/19	1.502%(A)	1 Day USOIS(1)(A)		(5,200	)		66,502			71,702
		17,865		09/30/19	1.707%(A)	1 Day USOIS(1)(A)		5,028			116,438			111,410
		28,570		12/31/19	1.840%(A)	1 Day USOIS(1)(A)		17,378			200,526			183,148
		13,360		12/31/19	1.950%(A)	1 Day USOIS(1)(A)		3,687			68,440			64,753
		5,500		12/31/19	2.040%(A)	1 Day USOIS(1)(A)		63			19,509			19,446
		2,345		12/31/19	2.107%(A)	1 Day USOIS(1)(A)		(5	)		4,962			4,967
		17,640		03/23/21	2.369%(A)	1 Day USOIS(1)(A)		—			14,654			14,654
		570		05/31/22	2.353%(A)	1 Day USOIS(1)(A)		—			2,791			2,791
		14,815		08/15/24	2.170%(S)	3 Month LIBOR(1)(Q)		32,653			525,124			492,471
		11,300		11/15/24	2.334%(S)	3 Month LIBOR(1)(Q)		35,176			369,312			334,136
		7,455		02/12/25	2.407%(A)	1 Day USOIS(1)(A)		—			25,338			25,338
		1,200		02/14/25	—(3)	—(3)		—			1,054			1,054
		1,180		02/28/25	2.454%(A)	1 Day USOIS(1)(A)		—			3,974			3,974
		27,645		01/08/26	2.210%(S)	3 Month LIBOR(1)(Q)		216,719			1,152,868			936,149
		5,668		02/15/27	1.824%(A)	1 Day USOIS(1)(A)		62,809			303,339			240,530
		1,185		02/15/27	1.899%(A)	1 Day USOIS(1)(A)		1,503			56,206			54,703
		925		02/15/27	1.965%(A)	1 Day USOIS(1)(A)		—			38,906			38,906
		3,150		02/15/27	2.067%(A)	1 Day USOIS(1)(A)		(1,997	)		106,053			108,050
		525		05/15/27	2.295%(S)	3 Month LIBOR(1)(Q)		—			25,679			25,679
		5,435		02/15/36	2.338%(S)	3 Month LIBOR(2)(Q)		(36,570	)		(447,933	)		(411,363	)
		145		11/15/43	2.659%(S)	3 Month LIBOR(1)(Q)		—			7,690			7,690
							$	334,925		$	3,088,849		$	2,753,924

Securities with a combined market value of $4,294,293 have been segregated with Citigroup Global Markets to cover requirements for open centrally cleared swap contracts at June 30, 2018.

(1) The Portfolio pays the fixed rate and receives the floating rate.

(2) The Portfolio pays the floating rate and receives the fixed rate.

(3) The Portfolio pays the floating rate of 3 Month LIBOR quarterly and receives the floating rate of 1 Day USOIS plus 38.25 bps quarterly.

Total return swap agreements outstanding at June 30, 2018:

Counterparty	Termination Date		Long (Short) Notional Amount (000)#		Description	Fair Value		Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)(1)
OTC Total Return Swap Agreement^:
Barclays Capital Group		7/31/18		2,495	Receive payment based on Bloomberg Barclays US Corporate Total Return Value Unhedged Index upon termination and pay variable payments based on 1 Month LIBOR plus 10bps monthly	$	24	$	—	$	24

(1) Upfront/recurring fees or commissions, as applicable, are included in the net unrealized appreciation (depreciation).

Balance Reported in the Statement of Assets and Liabilities for OTC Swap Agreements Table:

	Premiums Paid		Premiums Received		Unrealized Appreciation		Unrealized Depreciation
OTC Swap Agreements	$	—	$	—	$	24	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A29

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Fair Value Measurements:

Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.

Level 1— unadjusted quoted prices generally in active markets for identical securities.

Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3— unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of June 30, 2018 in valuing such portfolio securities:

	Level 1		Level 2			Level 3
Investments in Securities
Common Stocks	$	1,226,928,112	$	36,581,845		$	—
Exchange Traded Funds		6,434,513		—			—
Preferred Stocks		1,325,600		207,709			—
Rights		—		—			—
Asset-Backed Securities
Automobiles		—		46,559,736			—
Collateralized Loan Obligations		—		43,451,661			—
Consumer Loans		—		7,225,114			—
Credit Cards		—		7,862,464			—
Equipment		—		7,432,888			—
Home Equity Loans		—		3,890,809			—
Other		—		890,934			—
Residential Mortgage-Backed Securities		—		16,874,143			—
Student Loans		—		16,449,372			—
Bank Loan		—		336,489			—
Commercial Mortgage-Backed Securities		—		181,627,211			—
Corporate Bonds		—		267,398,751			—
Municipal Bonds		—		16,561,487			—
Residential Mortgage-Backed Securities		—		28,652,232			—
Sovereign Bonds		—		26,615,013			—
U.S. Government Agency Obligations		—		199,025,571			—
U.S. Treasury Obligations		—		70,342,388			—
Affiliated Mutual Funds		427,372,916		—			—
Commercial Paper		—		1,751,096			—
Other Financial Instruments*
Futures Contracts		2,205,777		—			—
OTC Forward Foreign Currency Exchange Contracts		—		155,313			—
OTC Forward Rate Swap Agreements		—		—			—
Centrally Cleared Inflation Swap Agreement		—		(29,683	)		—
Centrally Cleared Interest Rate Swap Agreements		—		2,753,924			—
OTC Total Return Swap Agreement		—		—			24
Total	$	1,664,266,918	$	982,616,467		$	24

* Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value.

During the period, there were no transfers between Level 1, Level 2 and Level 3 to report.

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2018 were as follows:

Affiliated Mutual Funds (2.1% represents investments purchased with collateral from securities on loan)	16.9	%
U.S. Government Agency Obligations	7.9
Commercial Mortgage-Backed Securities	7.2
Banks	6.6
Software	3.1
U.S. Treasury Obligations	2.8

Oil, Gas & Consumable Fuels	2.8	%
Pharmaceuticals	2.6
Internet Software & Services	2.6
IT Services	2.2
Technology Hardware, Storage & Peripherals	2.2
Automobiles	2.1
Internet & Direct Marketing Retail	2.1

SEE NOTES TO FINANCIAL STATEMENTS.

A30

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Industry Classification (continued):

Semiconductors & Semiconductor Equipment	2.0	%
Residential Mortgage-Backed Securities	1.8
Collateralized Loan Obligations	1.7
Health Care Providers & Services	1.6
Health Care Equipment & Supplies	1.5
Capital Markets	1.5
Insurance	1.5
Media	1.5
Equity Real Estate Investment Trusts (REITs)	1.4
Aerospace & Defense	1.4
Chemicals	1.3
Biotechnology	1.2
Specialty Retail	1.2
Electric	1.2
Diversified Financial Services	1.1
Sovereign Bonds	1.1
Beverages	1.0
Diversified Telecommunication Services	1.0
Electric Utilities	0.9
Hotels, Restaurants & Leisure	0.8
Industrial Conglomerates	0.8
Machinery	0.8
Food & Staples Retailing	0.7
Household Products	0.7
Oil & Gas	0.7
Municipal	0.7
Student Loans	0.7
Food Products	0.6
Communications Equipment	0.5
Tobacco	0.5
Auto Manufacturers	0.5
Road & Rail	0.5
Multi-Utilities	0.5
Airlines	0.4
Textiles, Apparel & Luxury Goods	0.4
Life Sciences Tools & Services	0.4
Energy Equipment & Services	0.4
Consumer Finance	0.3
Pipelines	0.3
Air Freight & Logistics	0.3
Credit Cards	0.3
Equipment	0.3
Consumer Loans	0.3
Telecommunications	0.3
Retail	0.3
Electrical Equipment	0.3
Multiline Retail	0.3
Exchange Traded Funds	0.2
Electronic Equipment, Instruments & Components	0.2
Household Durables	0.2
Metals & Mining	0.2
Healthcare-Services	0.2
Containers & Packaging	0.2
Computers	0.2

Professional Services	0.2	%
Home Equity Loans	0.2
Commercial Services & Supplies	0.2
Building Products	0.1
Multi-National	0.1
Agriculture	0.1
Trading Companies & Distributors	0.1
Oil & Gas Services	0.1
Personal Products	0.1
Food	0.1
Commercial Services	0.1
Gas	0.1
Auto Components	0.1
Housewares	0.1
Transportation	0.1
Construction Materials	0.1
Commercial Paper	0.1
Construction & Engineering	0.1
Forest Products & Paper	0.1
Auto Parts & Equipment	0.1
Real Estate Management & Development	0.1
Semiconductors	0.1
Healthcare-Products	0.1
Lodging	0.1
Distributors	0.1
Savings & Loans	0.0	*
Packaging & Containers	0.0	*
Building Materials	0.0	*
Machinery-Diversified	0.0	*
Mining	0.0	*
Miscellaneous Manufacturing	0.0	*
Health Care Technology	0.0	*
Home Builders	0.0	*
Independent Power & Renewable Electricity Producers	0.0	*
Other	0.0	*
Leisure Products	0.0	*
Water Utilities	0.0	*
Wireless Telecommunication Services	0.0	*
Electronics	0.0	*
Transportation Infrastructure	0.0	*
Entertainment	0.0	*
Technology	0.0	*
Diversified Consumer Services	0.0	*
Real Estate Investment Trusts (REITs)	0.0	*
Paper & Forest Products	0.0	*
Marine	0.0	*
	104.8
Liabilities in excess of other assets	(4.8	)
	100.0	%

* Less than +/- 0.05%

SEE NOTES TO FINANCIAL STATEMENTS.

A31

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are equity contracts risk, foreign exchange contracts risk and interest rate contracts risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of June 30, 2018 as presented in the Statement of Assets and Liabilities:

Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Balance Sheet Location	Fair Value			Balance Sheet Location	Fair Value
Equity contracts	—	$	—		Due from/to broker — variation margin futures	$	828,684	*
Foreign exchange contracts	Unrealized appreciation on OTC forward foreign currency exchange contracts		155,313		—		—
Interest rate contracts	Due from/to broker — variation margin futures		4,090,629	*	Due from/to broker — variation margin futures		1,056,168	*
Interest rate contracts	Due from/to broker — variation margin swaps		3,231,087	*	Due from/to broker — variation margin swaps		506,846	*
Interest rate contracts	Unrealized appreciation on OTC swap agreements		24		—		—
		$	7,477,053			$	2,391,698

* Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2018 are as follows:

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights(1)		Options Purchased(1)			Options Written		Futures			Forward Currency Contracts			Swaps
Equity contracts	$	6,664	$	—		$	—	$	1,339,560		$	—		$	—
Foreign exchange contracts		—		—			—		—			(53,795	)		—
Interest rate contracts		—		(117,515	)		22,570		(8,951,543	)		—			1,744,184
Total	$	6,664	$	(117,515	)	$	22,570	$	(7,611,983	)	$	(53,795	)	$	1,744,184

(1) Included in net realized gain (loss) on investment transactions in the Statement of Operations.

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures			Forward Currency Contracts		Swaps
Equity contracts	$	(1,024,912	)	$	—	$	—
Foreign exchange contracts		—			197,581		—
Interest rate contracts		3,620,628			—		2,246,598
Total	$	2,595,716		$	197,581	$	2,246,598

SEE NOTES TO FINANCIAL STATEMENTS.

A32

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

For the six months ended June 30, 2018, the Portfolio’s average volume of derivative activities is as follows:

Options Purchased(1)	Options Written(2)	Futures Contracts- Long Positions(2)	Futures Contracts- Short Positions(2)
$22,162	$123,333	$461,233,762	$131,077,773

Forward Foreign Currency Exchange Contracts-Sold(3)	Forward Rate Agreements(2)	Interest Rate Swap Agreements(2)
$3,447,497	$58,533,333	$774,407,537

Total Return Swap Agreements(2)	Inflation Swap Agreements(2)
$831,667	$1,240,000

(1) Cost.

(2) Notional Amount in USD.

(3) Value at Settlement Date.

Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:

The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivative and financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:

Description	Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(2)			Net Amount
Securities on Loan	$	51,870,537	$	(51,870,537	)	$	—

Offsetting of OTC derivative assets and liabilities:

Counterparty	Gross Amounts of Recognized Assets(1)		Gross Amounts of Recognized Liabilities(1)		Net Amounts of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(2)		Net Amount
Barclays Capital Group	$	24	$	—	$	24	$	—	$	24
Citigroup Global Markets		155,313		—		155,313		—		155,313
	$	155,337	$	—	$	155,337	$	—	$	155,337

(1) Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities.

(2) Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty.

SEE NOTES TO FINANCIAL STATEMENTS.

A33

CONSERVATIVE BALANCED PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES (unaudited)

as of June 30, 2018

ASSETS
Investments at value, including securities on loan of $51,870,537:
Unaffiliated investments (cost $1,375,687,446)	$	2,214,425,138
Affiliated investments (cost $427,679,844)		427,372,916
Cash		7,378
Foreign currency, at value (cost $532,324)		533,402
Receivable for investments sold		68,761,277
Dividends and interest receivable		6,459,356
Tax reclaim receivable		531,190
Receivable for Series shares sold		371,146
Unrealized appreciation on OTC forward foreign currency exchange contracts		155,313
Due from broker-variation margin swaps		61,213
Due from broker-variation margin futures		31,231
Receivable from affiliate		6,915
Unrealized appreciation on OTC swap agreements		24
Prepaid expenses		2,631
Total Assets		2,718,719,130
LIABILITIES
Payable for investments purchased		142,969,754
Payable to broker for collateral for securities on loan		53,147,294
Management fee payable		1,149,566
Accrued expenses and other liabilities		354,811
Payable for Series shares repurchased		225,386
Payable to affiliate		198,700
Due to broker-variation margin futures		82,601
Affiliated transfer agent fee payable		980
Total Liabilities		198,129,092
NET ASSETS	$	2,520,590,038
Net assets were comprised of:
Partners Equity	$	2,520,590,038
Net asset value and redemption price per share, $2,520,590,038 / 92,279,178 outstanding shares of beneficial interest	$	27.31

STATEMENT OF OPERATIONS (unaudited)

Six Months Ended June 30, 2018

NET INVESTMENT INCOME (LOSS)
INCOME
Interest income	$	14,944,188
Unaffiliated dividend income (net) (foreign withholding tax $147,711, of which $13,468 is reimbursable by an affiliate)		13,315,283
Affiliated dividend income		3,034,693
Income from securities lending, net (including affiliated income of $82,723)		87,389
Total income		31,381,553
EXPENSES
Management fee		6,979,245
Custodian and accounting fees		180,977
Shareholders’ reports		128,358
Audit fee		23,702
Trustees’ fees		17,144
Legal fees and expenses		8,314
Transfer agent’s fees and expenses (including affiliated expense of $2,941)		5,297
Miscellaneous		47,177
Total expenses		7,390,214
NET INVESTMENT INCOME (LOSS)		23,991,339
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(2,923,464))		22,717,186
Futures transactions		(7,611,983	)
Forward currency contract transactions		(53,795	)
Options written transactions		22,570
Swap agreements transactions		1,744,184
Foreign currency transactions		451,575
		17,269,737
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $2,817,748)		(32,959,335	)
Futures		2,595,716
Forward currency contracts		197,581
Swap agreements		2,246,598
Foreign currencies		(25,389	)
		(27,944,829	)
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(10,675,092	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	13,316,247

STATEMENTS OF CHANGES IN NET ASSETS (unaudited)

	Six Months Ended June 30, 2018			Year Ended December 31, 2017
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	23,991,339		$	44,458,968
Net realized gain (loss) on investment and foreign currency transactions		17,269,737			131,476,601
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(27,944,829	)		119,341,110
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		13,316,247			295,276,679
SERIES SHARE TRANSACTIONS
Series shares sold [147,922 and 357,202 shares, respectively]		4,021,170			9,258,591
Series shares repurchased [3,353,722 and 7,143,196 shares, respectively]		(91,452,396	)		(183,096,479	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(87,431,226	)		(173,837,888	)
CAPITAL CONTRIBUTIONS		39,225			—
TOTAL INCREASE (DECREASE)		(74,075,754	)		121,438,791
NET ASSETS:
Beginning of period		2,594,665,792			2,473,227,001
End of period	$	2,520,590,038		$	2,594,665,792

SEE NOTES TO FINANCIAL STATEMENTS.

A34

DIVERSIFIED BOND PORTFOLIO

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)		Value
LONG-TERM INVESTMENTS — 94.2%
ASSET-BACKED SECURITIES — 27.0%
Automobiles — 0.2%
Hertz Vehicle Financing II LP,
Series 2015-01A, Class A, 144A
2.730%		03/25/21		400	$	395,643
OneMain Direct Auto Receivables Trust,
Series 2016-01A, Class C, 144A
4.580%		09/15/21		1,600		1,601,356
						1,996,999
Collateralized Loan Obligations — 19.4%
ArrowMark Colorado Holdings (Cayman Islands),
Series 2017-06A, Class A1, 144A, 3 Month LIBOR + 1.280%
3.628%(c)		07/15/29		250		250,717
Atlas Senior Loan Fund Ltd. (Cayman Islands),
Series 2013-01A, Class AR, 144A, 3 Month LIBOR + 0.830%
3.151%(c)		11/17/27		4,500		4,476,745
Series 2014-01A, Class AR2, 144A, 3 Month LIBOR + 1.260%
3.608%(c)		07/16/29		500		501,227
Atrium (Cayman Islands),
Series 12A, Class AR, 144A, 3 Month LIBOR + 0.830%
3.192%(c)		04/22/27		8,250		8,226,643
Battalion CLO Ltd. (Cayman Islands),
Series 2014-05A, Class A1R, 144A, 3 Month LIBOR + 1.170%
3.523%(c)		04/17/26		1,100		1,099,968
Series 2018-12A, Class A1, 144A, 3 Month LIBOR + 1.070%
3.400%(c)		05/17/31		3,000		2,999,794
Benefit Street Partners CLO Ltd. (Cayman Islands),
Series 2017-12A, Class A1, 144A, 3 Month LIBOR + 1.250%
3.598%(c)		10/15/30		4,500		4,506,388
Brookside Mill CLO Ltd. (Cayman Islands),
Series 2013-01A, Class BR, 144A, 3 Month LIBOR + 1.350%
3.054%(c)		01/17/28		2,500		2,481,340
Carlyle US CLO Ltd. (Cayman Islands),
Series 2017-04A, Class A1, 144A, 3 Month LIBOR + 1.180%
3.528%(c)		01/15/30		4,000		4,005,014
Catamaran CLO Ltd. (Cayman Islands),
Series 2014-01A, Class A1AR, 144A, 3 Month LIBOR + 1.260%
3.622%(c)		04/22/30		7,750		7,744,966
CIFC Funding Ltd. (Cayman Islands),
Series 2013-03RA, Class A1, 144A, 3 Month LIBOR + 0.980%
3.330%(c)		04/24/31		1,500		1,497,393
Series 2015-01A, Class ARR, 144A, 3 Month LIBOR + 1.110%
3.472%(c)		01/22/31		3,750		3,743,733
Series 2015-03A, Class AR, 144A, 3 Month LIBOR + 0.870%
3.225%(c)		04/19/29		5,000		4,983,628
ECP CLO Ltd. (Cayman Islands),
Series 2014-06A, Class A1A, 144A, 3 Month LIBOR + 1.450%
3.798%(c)		07/15/26		1,500		1,499,236
Elevation CLO Ltd. (Cayman Islands),
Series 2014-02A, Class A1R, 144A, 3 Month LIBOR + 1.230%
3.578%(c)		10/15/29		7,500		7,512,553
Series 2017-07A, Class A, 144A, 3 Month LIBOR + 1.220%
2.824%(c)		07/15/30		5,250		5,258,069
Flagship CLO Ltd. (Cayman Islands),
Series 2014-08A, Class ARR, 144A, 3 Month LIBOR + 0.850%
2.899%(c)		01/16/26		5,000		5,000,000

Interest Rate	Maturity Date		Principal Amount (000)		Value
ASSET-BACKED SECURITIES (continued)
Collateralized Loan Obligations (continued)
Greenwood Park CLO Ltd. (Cayman Islands),
Series 2018-01A, Class A2, 144A, 3 Month LIBOR + 1.010%
3.035%(c)		04/15/31		6,000	$	5,999,654
Greywolf CLO Ltd. (Cayman Islands),
Series 2018-01A, Class A1, 144A, 3 Month LIBOR + 1.030%
3.539%(c)		04/26/31		3,500		3,501,971
Highbridge Loan Management Ltd. (Cayman Islands),
Series 2015-06A, Class A1R, 144A, 3 Month LIBOR + 1.000%
3.363%(c)		02/05/31		4,000		4,004,271
ICG US CLO Ltd. (Cayman Islands),
Series 2014-03A, Class A1RR, 144A, 3 Month LIBOR + 1.030%
3.390%(c)		04/25/31		2,500		2,502,038
Series 2017-02A, Class A1, 144A, 3 Month LIBOR + 1.280%
3.642%(c)		10/23/29		1,250		1,250,443
KVK CLO Ltd. (Cayman Islands),
Series 2014-02A, Class AR, 144A, 3 Month LIBOR + 1.180%
3.528%(c)		07/15/26		250		249,966
Series 2014-03A, Class AR, 144A, 3 Month LIBOR + 1.200%
3.548%(c)		10/15/26		1,000		999,831
Mariner CLO Ltd. (Cayman Islands),
Series 2018-05A, Class A, 144A, 3 Month LIBOR + 1.110%
3.324%(c)		04/25/31		5,750		5,728,615
MidOcean Credit CLO (Cayman Islands),
Series 2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.120%
2.681%(c)		04/21/31		9,750		9,750,000
Series 2018-08A, Class A1, 144A, 3 Month LIBOR + 1.150%
3.036%(c)		02/20/31		4,000		3,999,978
Mountain View CLO LLC (Cayman Islands),
Series 2017-02A, Class A, 144A, 3 Month LIBOR + 1.210%
3.075%(c)		01/16/31		4,000		3,998,610
Mountain View CLO Ltd. (Cayman Islands),
Series 2013-01A, Class AR, 144A, 3 Month LIBOR + 1.250%
3.589%(c)		10/12/30		8,000		8,025,799
Series 2015-09A, Class A1R, 144A, 3 Month LIBOR + 1.120%
3.169%(c)		07/15/31		6,000		6,000,000
MP CLO Ltd. (Cayman Islands),
Series 2015-01A, Class BR, 144A, 3 Month LIBOR + 1.500%
3.855%(c)		04/18/27		7,000		7,004,884
Neuberger Berman CLO Ltd. (Cayman Islands),
Series 2017-16SA, Class A, 144A, 3 Month LIBOR + 0.850%
3.198%(c)		01/15/28		3,000		2,985,338
OCP CLO Ltd. (Cayman Islands),
Series 2017-13A, Class A1A, 144A, 3 Month LIBOR + 1.260%
3.608%(c)		07/15/30		750		751,788
OZLM Ltd. (Cayman Islands),
Series 2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250%
3.609%(c)		10/30/30		1,250		1,251,134
Palmer Square CLO Ltd. (Cayman Islands),
Series 2014-01A, Class A1R2, 144A, 3 Month LIBOR + 1.130%
3.483%(c)		01/17/31		4,000		3,999,732
Series 2015-02A, Class A1AR, 144A, 3 Month LIBOR + 1.270%
3.629%(c)		07/20/30		1,000		1,002,260
Park Avenue Institutional Advisers CLO Ltd. (Cayman Islands),
Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.220%
3.053%(c)		11/14/29		3,500		3,511,110
Romark CLO Ltd. (Cayman Islands),
Series 2018-01A, Class A1, 144A, 3 Month LIBOR + 1.030%
2.776%(c)		04/20/31		4,000		4,003,128

SEE NOTES TO FINANCIAL STATEMENTS.

A35

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)		Value
ASSET-BACKED SECURITIES (continued)
Collateralized Loan Obligations (continued)
Sound Point CLO Ltd. (Cayman Islands),
Series 2013-01A, Class A1R, 144A, 3 Month LIBOR + 1.070%
3.432%(c)		01/26/31		3,500	$	3,492,334
Series 2015-02A, Class AR, 144A, 3 Month LIBOR + 0.880%
3.239%(c)		07/20/27		4,000		3,993,704
Series 2017-03A, Class A1A, 144A, 3 Month LIBOR + 1.220%
3.579%(c)		10/20/30		5,750		5,766,715
Telos CLO Ltd. (Cayman Islands),
Series 2013-04A, Class AR, 144A, 3 Month LIBOR + 1.240%
3.593%(c)		01/17/30		3,500		3,497,990
TICP CLO Ltd. (Cayman Islands),
Series 2015-01A, Class BR, 144A, 3 Month LIBOR + 1.300%
3.659%(c)		07/20/27		6,000		5,990,569
Series 2017-09A, Class A, 144A, 3 Month LIBOR + 1.140%
2.871%(c)		01/20/31		3,000		2,997,027
Trinitas CLO Ltd. (Cayman Islands),
Series 2015-03A, Class BR, 144A, 3 Month LIBOR + 1.400%
3.748%(c)		07/15/27		5,000		4,961,312
Series 2016-05A, Class A, 144A, 3 Month LIBOR + 1.700%
4.060%(c)		10/25/28		3,250		3,250,000
Series 2017-07A, Class A, 144A, 3 Month LIBOR + 1.210%
3.570%(c)		01/25/31		4,000		4,011,797
Series 2017-07A, Class B, 144A, 3 Month LIBOR + 1.600%
3.960%(c)		01/25/31		1,500		1,503,286
Venture CLO Ltd. (Cayman Islands),
Series 2015-21A, Class AR, 144A, 3 Month LIBOR + 0.880%
3.228%(c)		07/15/27		5,000		4,996,214
Voya CLO Ltd. (Cayman Islands),
Series 2013-01A, Class A1AR, 144A, 3 Month LIBOR + 1.210%
3.558%(c)		10/15/30		7,500		7,520,612
Series 2013-02A, Class A1R, 144A, 3 Month LIBOR + 0.970%
3.314%(c)		04/25/31		3,000		2,993,418
Wellfleet CLO Ltd. (Cayman Islands),
Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.320%
3.679%(c)		04/20/29		1,750		1,755,555
Series 2017-02A, Class A1, 144A, 3 Month LIBOR + 1.250%
3.609%(c)		10/20/29		1,000		1,001,259
Series 2017-03A, Class A1, 144A, 3 Month LIBOR + 1.150%
2.881%(c)		01/17/31		6,500		6,505,720
York CLO Ltd. (Cayman Islands),
Series 2015-01A, Class AR, 144A, 3 Month LIBOR + 1.150%
3.512%(c)		01/22/31		2,000		1,998,753
Zais CLO Ltd. (Cayman Islands),
Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.370%
3.718%(c)		07/15/29		1,000		1,003,801
Series 2018-01A, Class A, 144A, 3 Month LIBOR + 0.950%
3.075%(c)		04/15/29		8,500		8,460,656
						222,008,686
Consumer Loans — 2.3%
Lendmark Funding Trust,
Series 2016-02A, Class A, 144A
3.260%		04/21/25		700		700,866
Series 2017-01A, Class A, 144A
2.830%		12/22/25		1,000		991,307
Onemain Financial Issuance Trust,
Series 2018-01A, Class A, 144A
3.300%		03/14/29		1,030		1,026,324

Interest Rate	Maturity Date		Principal Amount (000)		Value
ASSET-BACKED SECURITIES (continued)
Consumer Loans (continued)
OneMain Financial Issuance Trust,
Series 2015-02A, Class A, 144A
2.570%		07/18/25		512	$	511,645
Series 2015-02A, Class C, 144A
4.320%		07/18/25		1,100		1,097,563
Series 2016-01A, Class A, 144A
3.660%		02/20/29		2,500		2,515,678
Series 2016-02A, Class A, 144A
4.100%		03/20/28		1,767		1,777,346
Series 2017-01A, Class B, 144A
2.790%		09/14/32		500		485,530
Series 2017-01A, Class C, 144A
3.350%		09/14/32		500		490,721
Oportun Funding IV LLC,
Series 2016-C, Class A, 144A
3.280%		11/08/21		2,550		2,561,348
Oportun Funding IX LLC,
Series 2018-B, Class A, 144A
3.910%		07/08/24		1,000		999,889
Series 2018-B, Class C, 144A
5.430%		07/08/24		500		499,943
Oportun Funding VI LLC,
Series 2017-A, Class A, 144A
3.230%		06/08/23		1,250		1,229,639
Oportun Funding VII LLC,
Series 2017-B, Class A, 144A
3.220%		10/10/23		3,000		2,957,445
Oportun Funding VIII LLC,
Series 2018-A, Class A, 144A
3.610%		03/08/24		1,140		1,135,227
PNMAC GMSR Issuer Trust,
Series 2017-GT02, Class A, 144A, 1 Month LIBOR + 4.000%
6.091%(c)		08/25/23		1,275		1,282,100
Series 2018-FT01, Class A, 144A, 1 Month LIBOR + 2.350%
4.441%(c)		04/25/23		120		120,047
SpringCastle America Funding LLC,
Series 2016-AA, Class A, 144A
3.050%		04/25/29		2,752		2,742,274
Springleaf Funding Trust,
Series 2015-AA, Class A, 144A
3.160%		11/15/24		3,271		3,269,483
						26,394,375
Home Equity Loans — 2.1%
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates,
Series 2003-AR01, Class M3, 1 Month LIBOR + 4.500%
5.179%(c)		01/25/33		1,763		1,762,957
Ameriquest Mortgage Securities, Inc. Floating Rate Mortgage Pass-Through Certificates,
Series 2001-02, Class M3, 1 Month LIBOR + 2.925%
5.016%(c)		10/25/31		249		266,785
Argent Securities, Inc. Asset-Backed Pass-Through Certificates,
Series 2003-W02, Class M4, 1 Month LIBOR + 5.625%
4.153%(c)		09/25/33		2,400		2,278,702
Series 2004-W06, Class M1, 1 Month LIBOR + 0.825%
2.916%(c)		05/25/34		643		641,434

SEE NOTES TO FINANCIAL STATEMENTS.

A36

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)		Value
ASSET-BACKED SECURITIES (continued)
Home Equity Loans (continued)
Asset-Backed Securities Corp. Home Equity Loan Trust,
Series 2003-HE03, Class M1, 1 Month LIBOR + 1.245%
3.318%(c)		06/15/33		798	$	788,916
Bear Stearns Asset-Backed Securities Trust,
Series 2004-HE02, Class M1, 1 Month LIBOR + 0.900%
2.991%(c)		03/25/34		2,428		2,433,081
Centex Home Equity Loan Trust,
Series 2004-B, Class AF6
4.686%		03/25/34		450		460,520
Credit Suisse First Boston Mortgage Pass-Through Certificates,
Series 2002-HE04, Class M2, 1 Month LIBOR + 2.250%
4.341%(c)		08/25/32		35		33,076
Legacy Mortgage Asset Trust,
Series 2017-RPL01, Class A, 144A, 1 Month LIBOR + 1.750%
3.852%(c)		01/28/70		776		791,355
Merrill Lynch Mortgage Investors Trust,
Series 2004-HE02, Class M1, 1 Month LIBOR + 1.200%
3.291%(c)		08/25/35		281		282,861
Morgan Stanley ABS Capital I, Inc. Trust,
Series 2003-HE01, Class M1, 1 Month LIBOR + 1.200%
3.291%(c)		05/25/33		579		574,430
Series 2003-HE03, Class M1, 1 Month LIBOR + 1.020%
3.111%(c)		10/25/33		449		449,051
Series 2004-OP01, Class M1, 1 Month LIBOR + 0.870%
2.961%(c)		11/25/34		3,689		3,675,876
New Century Home Equity Loan Trust,
Series 2003-04, Class M1, 1 Month LIBOR + 1.125%
3.216%(c)		10/25/33		1,795		1,794,513
Series 2004-04, Class M1, 1 Month LIBOR + 0.765%
2.856%(c)		02/25/35		2,046		2,033,825
New Residential Mortgage Trust,
Series 2018-01A, Class A1A, 144A
4.000%(cc)		12/25/57		1,890		1,904,781
Residential Asset Securities Corp.,
Series 2004-KS01, Class AI5
5.375%		02/25/34		626		637,245
Securitized Asset-Backed Receivables LLC Trust,
Series 2004-NC01, Class M1, 1 Month LIBOR + 0.780%
2.871%(c)		02/25/34		1,922		1,936,307
Specialty Underwriting & Residential Finance Trust,
Series 2004-BC01, Class M1, 1 Month LIBOR + 0.765%
2.856%(c)		02/25/35		1,038		1,028,749
						23,774,464
Residential Mortgage-Backed Securities — 2.6%
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates,
Series 2004-R08, Class M1, 1 Month LIBOR + 0.960%
3.051%(c)		09/25/34		300		300,381
Argent Securities, Inc. Asset-Backed Pass-Through Certificates,
Series 2004-W10, Class A2, 1 Month LIBOR + 0.780%
2.871%(c)		10/25/34		1,290		1,286,074
Credit Suisse Mortgage Trust,
Series 2016-RPL01, Class A1, 144A, 1 Month LIBOR + 3.150%
5.132%(c)		12/26/46		3,652		3,735,712
CSMC Trust,
Series 2018-3R, 144A, 1 Month LIBOR + 1.200%
3.071%(c)		12/25/46		2,665		2,659,526

Interest Rate	Maturity Date		Principal Amount (000)		Value
ASSET-BACKED SECURITIES (continued)
Residential Mortgage-Backed Securities (continued)
Equity One Mortgage Pass-Through Trust,
Series 2004-03, Class M1
4.617%		07/25/34		356	$	351,462
FBR Securitization Trust,
Series 2005-02, Class M1, 1 Month LIBOR + 0.720%
2.811%(c)		09/25/35		428		428,483
Fremont Home Loan Trust,
Series 2003-B, Class M1, 1 Month LIBOR + 1.050%
3.141%(c)		12/25/33		128		125,844
GSAMP Trust,
Series 2007-HE01, Class A1, 1 Month LIBOR + 0.140%
2.231%(c)		03/25/47		1,285		1,214,491
Long Beach Mortgage Loan Trust,
Series 2004-01, Class M1, 1 Month LIBOR + 0.750%
2.841%(c)		02/25/34		1,835		1,837,133
LSFVT,
Series 2018-1, 1 Month LIBOR + 2.000%^
3.980%(c)		04/01/21		6,850		6,829,450
Merrill Lynch Mortgage Investors Trust,
Series 2004-OPT01, Class A1A, 1 Month LIBOR + 0.520%
2.611%(c)		06/25/35		913		909,424
Structured Asset Investment Loan Trust,
Series 2004-07, Class A8, 1 Month LIBOR + 1.200%
3.291%(c)		08/25/34		1,400		1,382,944
Towd Point Mortgage Trust,
Series 2017-04, Class A1, 144A
2.750%(cc)		06/25/57		3,833		3,740,337
Series 2017-06, Class A1, 144A
2.750%(cc)		10/25/57		3,853		3,754,561
VOLT LVII LLC,
Series 2017-NPL04, Class A1, 144A
3.375%		04/25/47		255		254,093
VOLT LX LLC,
Series 2017-NPL07, Class A1, 144A
3.250%		06/25/47		204		203,173
VOLT LXIII LLC,
Series 2017-NP10, Class A1, 144A
3.000%		10/25/47		1,442		1,426,712
						30,439,800
Student Loans — 0.4%
Earnest Student Loan Program LLC,
Series 2016-D, Class A1, 144A, 1 Month LIBOR + 1.400%
3.491%(c)		01/25/41		278		280,718
Laurel Road Prime Student Loan Trust,
Series 2018-A, Class A, 144A
0.000%(cc)		02/25/43		2,980		4,311,762
						4,592,480
TOTAL ASSET-BACKED SECURITIES (cost $305,612,580)						309,206,804
BANK LOANS — 0.9%
Food — 0.2%
Flora Food Group,
Term Loan,
—%(p)		02/28/25		1,550		2,001,630

SEE NOTES TO FINANCIAL STATEMENTS.

A37

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)		Value
BANK LOANS (continued)
Healthcare-Services — 0.1%
Avantor, Inc.,
Initial Euro Term Loan, 1 Month EURIBOR + 4.250%,
4.250%(c)		11/21/24	EUR		448	$	524,284
Nidda Healthcare Holding AG (Germany),
Facility C GBP, 3 Month GBP LIBOR + 4.500%,
4.790%(c)		08/21/24	GBP		1,000		1,287,854
							1,812,138
Media — 0.0%
WMG Acquisition Corp.,
Initial B-2 US Term Loan, 1 Month LIBOR + 3.250%,
5.340%(c)		09/10/22			418		418,382
Oil, Gas & Coal — 0.1%
EG America, LLC,
Term Loan,
—%(p)		02/01/26			1,025		1,014,750
Retail — 0.1%
EURO Garages, LTD (United Kingdom),
Term Loan,
—%(p)		03/31/26	EUR		600		696,302
Technology — 0.4%
Dell International LLC,
Replacement Term A-3 Loan, 1 Month LIBOR + 1.500%,
3.600%(c)		12/31/18			1,887		1,884,336
McAfee, LLC,
Closing Date USD Term Loan, 1 Month LIBOR + 4.500%,
6.590%(c)		09/30/24			1,969		1,977,245
Second Lien Initial Loan, 1 Month LIBOR + 8.500%,
10.590%(c)		09/29/25			500		507,500
							4,369,081
TOTAL BANK LOANS (cost $10,504,049)							10,312,283
COMMERCIAL MORTGAGE-BACKED SECURITIES — 14.5%
245 Park Avenue Trust,
Series 2017-245P, Class A, 144A
3.508%		06/05/37			295		288,791
Banc of America Commercial Mortgage Trust,
Series 2016-UB10, Class A3
2.903%		07/15/49			2,300		2,187,073
BANK,
Series 2017-BNK05, Class A4
3.131%		06/15/60			4,400		4,206,711
Series 2017-BNK06, Class A4
3.254%		07/15/60			3,300		3,185,011
Series 2017-BNK08, Class A3
3.229%		11/15/50			1,950		1,876,665
BBCMS Mortgage Trust,
Series 2016-ETC, Class A, 144A
2.937%		08/14/36			1,170		1,097,004
Series 2016-ETC, Class B, 144A
3.189%		08/14/36			510		478,661
Series 2016-ETC, Class C, 144A
3.391%		08/14/36			430		402,516

Interest Rate	Maturity Date		Principal Amount (000)		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Series 2016-ETC, Class D, 144A
3.729%(cc)		08/14/36		1,560	$	1,453,859
CD Mortgage Trust,
Series 2017-CD05, Class A3
3.171%		08/15/50		3,500		3,355,124
Citigroup Commercial Mortgage Trust,
Series 2014-GC21, Class A4
3.575%		05/10/47		3,035		3,049,451
Series 2016-GC37, Class A4
3.314%		04/10/49		1,600		1,563,383
CityLine Commercial Mortgage Trust,
Series 2016-CLNE, Class B, 144A
2.871%(cc)		11/10/31		2,400		2,268,609
Series 2016-CLNE, Class C, 144A
2.871%(cc)		11/10/31		900		837,570
Commercial Mortgage Trust,
Series 2012-CR05, Class A3
2.540%		12/10/45		2,000		1,941,869
Series 2013-CR07, Class A3
2.929%		03/10/46		2,939		2,891,754
Series 2014-UBS04, Class A4
3.420%		08/10/47		3,200		3,180,378
Series 2014-UBS05, Class A4
3.838%		09/10/47		3,600		3,647,837
Series 2015-DC01, Class A4
3.078%		02/10/48		5,000		4,880,600
Series 2015-LC21, Class A4
3.708%		07/10/48		2,600		2,604,386
Series 2015-PC01, Class A5
3.902%		07/10/50		1,570		1,586,246
Series 2016-COR01, Class A3
2.826%		10/10/49		2,500		2,345,682
Series 2016-DC02, Class A5
3.765%		02/10/49		240		240,047
Series 2017-COR02, Class A2
3.239%		09/10/50		4,500		4,317,754
DBJPM Mortgage Trust,
Series 2017-C06, Class A4
3.071%		06/10/50		2,800		2,665,893
DBWF Mortgage Trust,
Series 2016-85T, Class D, 144A
3.935%(cc)		12/10/36		1,400		1,316,426
Eleven Madison Trust Mortgage Trust,
Series 2015-11MD, Class C, 144A
3.673%(cc)		09/10/35		3,000		2,907,296
FHLMC Multifamily Structured Pass-Through Certificates,
Series K008, Class X1, IO
1.679%(cc)		06/25/20		7,647		183,485
Series K020, Class X1, IO
1.553%(cc)		05/25/22		26,852		1,206,890
Series K021, Class X1, IO
1.590%(cc)		06/25/22		15,339		730,207
Series K025, Class X1, IO
0.986%(cc)		10/25/22		10,574		328,742
Series K027, Class X1, IO
0.909%(cc)		01/25/23		131,461		3,830,450

SEE NOTES TO FINANCIAL STATEMENTS.

A38

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Series K044, Class X1, IO
0.876%(cc)		01/25/25		82,870	$	3,343,082
Series K053, Class X1, IO
1.028%(cc)		12/25/25		89,160		4,999,762
Series K055, Class X1, IO
1.501%(cc)		03/25/26		13,893		1,200,101
Series K710, Class X1, IO
1.859%(cc)		05/25/19		20,770		209,175
Series K711, Class X1, IO
1.800%(cc)		07/25/19		25,648		266,515
GS Mortgage Securities Corp. II,
Series 2015-GC30, Class A3
3.119%		05/10/50		3,025		2,940,697
GS Mortgage Securities Trust,
Series 2013-GC12, Class A3
2.860%		06/10/46		1,430		1,399,457
Series 2017-GS06, Class A2
3.164%		05/10/50		3,400		3,264,751
Series 2017-GS07, Class A3
3.167%		08/10/50		4,560		4,367,341
IMT Trust,
Series 2017-APTS, Class AFX, 144A
3.478%		06/15/34		1,050		1,033,596
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C21, Class A4
3.493%		08/15/47		3,200		3,200,202
JPMDB Commercial Mortgage Securities Trust,
Series 2016-C02, Class A3A
2.881%		06/15/49		1,070		1,013,987
Series 2017-C05, Class A4
3.414%		03/15/50		1,975		1,935,065
Series 2017-C07, Class A4
3.147%		10/15/50		3,600		3,442,342
JPMorgan Chase Commercial Mortgage Securities Corp.,
Series 2018-AON, Class E, 144A
4.613%(cc)		07/05/31		5,875		5,878,613
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-LC09, Class A4
2.611%		12/15/47		2,000		1,967,187
Series 2013-C10, Class A4
2.875%		12/15/47		1,877		1,853,260
Series 2016-JP02, Class A3
2.559%		08/15/49		2,900		2,684,243
LCCM,
Series 2017-LC26, Class A4, 144A
3.551%		07/12/50		2,505		2,450,689
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2012-C05, Class XA, IO, 144A
1.629%(cc)		08/15/45		38,651		1,808,263
Series 2013-C08, Class A3
2.863%		12/15/48		1,531		1,498,850
Series 2013-C09, Class A3
2.834%		05/15/46		2,300		2,241,557
Series 2013-C10, Class A3
4.104%(cc)		07/15/46		4,680		4,798,665
Series 2016-C30, Class A5
2.860%		09/15/49		2,000		1,880,960

Interest Rate	Maturity Date		Principal Amount (000)		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Morgan Stanley Capital I Trust,
Series 2017-H01, Class A4
3.259%		06/15/50		2,750	$	2,660,634
Morgan Stanley Capital I, Inc.,
Series 2017-HR02, Class A3
3.330%		12/15/50		5,500		5,311,241
Shops at Crystals Trust,
Series 2016-CSTL, Class A, 144A
3.126%		07/05/36		180		171,083
UBS Commercial Mortgage Trust,
Series 2017-C02, Class A3
3.225%		08/15/50		4,400		4,225,879
Series 2017-C07, Class A3
3.418%		12/15/50		5,600		5,437,849
Series 2018-C10, Class A3
4.048%		05/15/51		2,200		2,239,158
UBS-Barclays Commercial Mortgage Trust,
Series 2013-C05, Class A3
2.920%		03/10/46		4,384		4,306,369
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class A4
3.548%		08/15/50		4,300		4,317,213
Series 2016-C32, Class A3
3.294%		01/15/59		2,250		2,201,655
Series 2016-C34, Class A3
2.834%		06/15/49		2,500		2,368,190
Series 2016-C35, Class A3
2.674%		07/15/48		4,600		4,290,834
Series 2017-C40, Class A3
3.317%		10/15/50		1,370		1,326,740
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $171,634,497)						165,591,575
CORPORATE BONDS — 37.4%
Aerospace & Defense — 0.5%
Bombardier, Inc. (Canada),
Sr. Unsec’d. Notes, 144A
7.500%		12/01/24		1,750		1,841,875
General Dynamics Corp.,
Gtd. Notes
2.875%		05/11/20		1,765		1,763,082
3.000%		05/11/21		2,115		2,108,205
						5,713,162
Agriculture — 0.3%
BAT Capital Corp. (United Kingdom),
Gtd. Notes, 144A
3.222%		08/15/24		2,810		2,661,726
Reynolds American, Inc. (United Kingdom),
Gtd. Notes
8.125%		06/23/19		895		938,139
						3,599,865

SEE NOTES TO FINANCIAL STATEMENTS.

A39

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)			Value
CORPORATE BONDS (continued)
Airlines — 0.6%
American Airlines 2016-1 Class AA Pass-Through Trust,
Pass-Through Certificates
3.575%		07/15/29			1,703		$	1,652,877
Continental Airlines 2001-1 Class A-1 Pass-Through Trust,
Pass-Through Certificates
6.703%		12/15/22			—	(r)		333
Continental Airlines 2007-1 Class A Pass-Through Trust,
Pass-Through Certificates
5.983%		04/19/22			1,298			1,373,670
Continental Airlines 2010-1 Class A Pass-Through Trust,
Pass-Through Certificates
4.750%		07/12/22			323			329,296
Delta Air Lines 2007-1 Class A Pass-Through Trust,
Pass-Through Certificates
6.821%		02/10/24			865			942,656
Delta Air Lines 2010-2 Class A Pass-Through Trust,
Pass-Through Certificates
4.950%		11/23/20			252			254,625
Delta Air Lines 2011-1 Class A Pass-Through Trust,
Pass-Through Certificates
5.300%		10/15/20			346			351,341
Delta Air Lines, Inc.,
Sr. Unsec’d. Notes
2.875%		03/13/20			1,180			1,172,228
United Airlines 2007-1 Class A Pass-Through Trust,
Pass-Through Certificates
6.636%		07/02/22			630			661,155
								6,738,181
Apparel — 0.2%
Hanesbrands Finance Luxembourg SCA,
Gtd. Notes, 144A
3.500%		06/15/24	EUR		575			701,703
PVH Corp.,
Sr. Unsec’d. Notes, 144A
3.625%		07/15/24	EUR		1,250			1,593,008
								2,294,711
Auto Manufacturers — 0.9%
BMW US Capital LLC (Germany),
Gtd. Notes, 144A, 3 Month LIBOR + 0.410%
2.749%(c)		04/12/21			425			426,437
Gtd. Notes, 144A
3.100%		04/12/21			570			566,443
Daimler Finance North America LLC (Germany),
Gtd. Notes, 144A
3.100%		05/04/20			1,030			1,027,907
3.350%		05/04/21			1,715			1,708,339
Ford Motor Co.,
Sr. Unsec’d. Notes
4.750%		01/15/43			1,755			1,516,869
5.291%		12/08/46			440			407,762
General Motors Co.,
Sr. Unsec’d. Notes
4.875%		10/02/23			1,350			1,387,849
6.250%		10/02/43			1,885			1,953,435
6.600%		04/01/36			210			227,289

Interest Rate	Maturity Date			Principal Amount (000)		Value
CORPORATE BONDS (continued)
Auto Manufacturers (continued)
General Motors Financial Co., Inc.,
Gtd. Notes, 3 Month LIBOR + 0.850%
3.187%(c)		04/09/21			610	$	613,173
Gtd. Notes
3.550%		04/09/21			460		458,509
							10,294,012
Auto Parts & Equipment — 0.4%
Adient Global Holdings Ltd.,
Gtd. Notes, 144A
3.500%		08/15/24	EUR		701		757,865
IHO Verwaltungs GmbH (Germany),
1st Lien, 144A, Cash coupon 3.750% or PIK 4.500%
3.750%		09/15/26	EUR		1,050		1,246,865
Sr. Sec’d. Notes, 144A, Cash coupon 3.250% or PIK 4.000%
3.250%		09/15/23	EUR		1,075		1,268,254
LKQ Italia Bondco SpA,
Gtd. Notes, 144A
3.875%		04/01/24	EUR		1,275		1,548,338
							4,821,322
Banks — 11.5%
Banco Santander SA (Spain),
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.120%
3.459%(c)		04/12/23			400		399,509
Sr. Unsec’d. Notes
3.848%		04/12/23			600		586,795
Bank of America Corp.,
Jr. Sub. Notes, Series K, 3 Month LIBOR + 3.630%
5.989%(c)		12/31/49			1,120		1,124,758
Sr. Unsec’d. Notes, GMTN
3.300%		01/11/23			5,870		5,783,887
3.593%		07/21/28			740		706,505
Sr. Unsec’d. Notes, MTN
3.499%		05/17/22			385		384,868
3.824%		01/20/28			1,715		1,672,890
4.125%		01/22/24			3,750		3,811,725
4.443%		01/20/48			455		444,214
Sub. Notes, MTN
4.000%		01/22/25			675		666,328
4.200%		08/26/24			450		452,349
4.450%		03/03/26			1,735		1,739,020
Bank of Montreal (Canada),
Sr. Unsec’d. Notes, Series D, MTN, 3 Month LIBOR + 0.460%
2.802%(c)		04/13/21			600		601,116
Sr. Unsec’d. Notes, Series D, MTN
3.100%		04/13/21			645		642,424
Barclays PLC (United Kingdom),
Sr. Unsec’d. Notes
3.650%		03/16/25			700		655,642
3.684%		01/10/23			480		466,781
4.375%		01/12/26			1,290		1,252,932
BNP Paribas SA (France),
Sr. Unsec’d. Notes, 144A, MTN
2.950%		05/23/22			945		912,233
3.500%		03/01/23			490		477,605

SEE NOTES TO FINANCIAL STATEMENTS.

A40

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)		Value
CORPORATE BONDS (continued)
Banks (continued)
Sub. Notes, 144A
4.625%		03/13/27		230	$	225,751
BPCE SA (France),
Sr. Unsec’d. Notes, 144A, MTN
3.500%		10/23/27		300		273,829
Sub. Notes, 144A, MTN
4.500%		03/15/25		1,500		1,462,332
Capital One Financial Corp.,
Sr. Unsec’d. Notes
3.450%		04/30/21		5,235		5,222,924
Citibank NA,
Sr. Unsec’d. Notes
3.050%		05/01/20		4,120		4,118,497
Citigroup, Inc.,
Jr. Sub. Notes, Series Q
5.950%		12/31/49		1,355		1,395,650
Jr. Sub. Notes, Series R
6.125%		12/31/49		1,085		1,132,469
Sr. Unsec’d. Notes
3.200%		10/21/26		3,255		3,026,921
3.887%		01/10/28		1,710		1,656,195
8.125%		07/15/39		1,060		1,491,023
Sub. Notes
4.450%		09/29/27		2,630		2,586,952
Credit Suisse AG (Switzerland),
Sr. Unsec’d. Notes, MTN
3.625%		09/09/24		1,050		1,032,451
Deutsche Bank AG (Germany),
Sr. Unsec’d. Notes, GMTN
3.375%		05/12/21		900		870,509
Sr. Unsec’d. Notes, MTN
3.700%		05/30/24		159		147,598
Dexia Credit Local SA (France),
Gov’t. Liquid Gtd. Notes, 144A
2.500%		01/25/21		1,000		987,663
Discover Bank,
Sr. Unsec’d. Notes
3.450%		07/27/26		280		259,807
4.250%		03/13/26		1,150		1,124,101
Sub. Notes
7.000%		04/15/20		2,005		2,117,347
Fifth Third Bank,
Sr. Unsec’d. Notes
2.375%		04/25/19		425		423,324
Goldman Sachs Group, Inc. (The),
Jr. Sub. Notes, Series M
5.375%		12/31/49		1,950		1,984,125
Sr. Unsec’d. Notes
3.272%		09/29/25		4,063		3,857,912
3.750%		02/25/26		125		121,112
3.814%		04/23/29		2,545		2,420,645
3.850%		01/26/27		1,775		1,704,581
5.750%		01/24/22		4,200		4,494,691
Sr. Unsec’d. Notes, Series D, MTN
6.000%		06/15/20		2,420		2,545,090
Sub. Notes
6.750%		10/01/37		440		522,210

Interest Rate	Maturity Date			Principal Amount (000)		Value
CORPORATE BONDS (continued)
Banks (continued)
HSBC Holdings PLC (United Kingdom),
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.600%
2.926%(c)		05/18/21			1,785	$	1,787,601
Sr. Unsec’d. Notes
4.583%		06/19/29			1,000		1,010,034
Intesa Sanpaolo SpA (Italy),
Sr. Unsec’d. Notes, 144A
3.875%		07/14/27			630		543,599
JPMorgan Chase & Co.,
Jr. Sub. Notes, Series I, 3 Month LIBOR + 3.470%
5.829%(c)		12/31/49			6,130		6,175,975
Jr. Sub. Notes, Series X
6.100%		12/31/49			1,450		1,497,270
Sr. Unsec’d. Notes
2.750%		06/23/20	(a)		5,400		5,351,991
2.950%		10/01/26			1,740		1,616,276
3.200%		01/25/23			470		461,590
3.200%		06/15/26			3,020		2,855,676
3.509%		01/23/29			1,435		1,359,598
3.782%		02/01/28			965		941,507
4.005%		04/23/29			1,200		1,183,999
4.250%		10/15/20			600		613,378
Sub. Notes
4.250%		10/01/27			420		416,928
KeyCorp,
Sr. Unsec’d. Notes, MTN
5.100%		03/24/21			1,155		1,205,918
Lloyds Bank PLC (United Kingdom),
Gtd. Notes
3.300%		05/07/21			1,200		1,197,871
Gtd. Notes, 144A, MTN
5.800%		01/13/20			2,650		2,750,298
Morgan Stanley,
Jr. Sub. Notes, Series H
5.450%		12/31/49			975		987,802
Sr. Unsec’d. Notes
4.375%		01/22/47			1,125		1,074,338
5.750%		01/25/21			1,920		2,029,911
Sr. Unsec’d. Notes, GMTN
3.125%		01/23/23			1,585		1,546,538
3.772%		01/24/29			1,245		1,199,344
5.500%		07/28/21			2,080		2,201,023
Sr. Unsec’d. Notes, MTN
3.125%		07/27/26			2,725		2,534,864
3.971%		07/22/38			385		356,732
5.625%		09/23/19			2,635		2,715,247
Sub. Notes, GMTN
4.350%		09/08/26			750		739,764
PNC Financial Services Group, Inc. (The),
Sub. Notes
3.900%		04/29/24			975		976,706
Royal Bank of Canada (Canada),
Sr. Unsec’d. Notes, GMTN, 3 Month LIBOR + 0.390%
2.749%(c)		04/30/21			1,920		1,919,351
Sr. Unsec’d. Notes, GMTN
3.200%		04/30/21			5,215		5,212,748

SEE NOTES TO FINANCIAL STATEMENTS.

A41

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)		Value
CORPORATE BONDS (continued)
Banks (continued)
Santander UK Group Holdings PLC (United Kingdom),
Sr. Unsec’d. Notes
2.875%		10/16/20		1,550	$	1,527,629
Sumitomo Mitsui Banking Corp. (Japan),
Bank Gtd. Notes, 3 Month LIBOR + 0.350%
2.703%(c)		01/17/20		1,820		1,819,962
Gtd. Notes
2.450%		01/10/19		625		624,370
UBS Group Funding Switzerland AG (Switzerland),
Gtd. Notes, 144A
2.859%		08/15/23		1,100		1,052,827
4.253%		03/23/28		1,485		1,475,461
						130,951,416
Beverages — 0.1%
Coca-Cola Icecek A/S (Turkey),
Sr. Unsec’d. Notes, 144A
4.750%		10/01/18		375		375,063
Maple Escrow Subsidiary, Inc.,
Gtd. Notes, 144A
3.551%		05/25/21		970		970,857
						1,345,920
Biotechnology — 0.2%
Amgen, Inc.,
Sr. Unsec’d. Notes
4.663%		06/15/51		843		833,552
Celgene Corp.,
Sr. Unsec’d. Notes
2.250%		08/15/21		1,070		1,029,316
						1,862,868
Building Materials — 0.3%
Standard Industries, Inc.,
Sr. Unsec’d. Notes, 144A
5.375%		11/15/24		3,000		2,962,500
US Concrete, Inc.,
Gtd. Notes
6.375%		06/01/24		600		601,500
						3,564,000
Chemicals — 1.3%
Ashland LLC,
Gtd. Notes
6.875%		05/15/43		1,400		1,421,000
CF Industries, Inc.,
Gtd. Notes
4.950%		06/01/43		675		570,375
5.375%		03/15/44		700		617,750
7.125%		05/01/20		141		148,931
Dow Chemical Co. (The),
Sr. Unsec’d. Notes
5.250%		11/15/41		125		131,466
9.400%		05/15/39		1,002		1,538,092
LyondellBasell Industries NV,
Sr. Unsec’d. Notes
6.000%		11/15/21		3,550		3,799,253

Interest Rate	Maturity Date				Principal Amount (000)		Value
CORPORATE BONDS (continued)
Chemicals (continued)
Mosaic Co. (The),
Sr. Unsec’d. Notes
5.450%		11/15/33				465	$	470,124
5.625%		11/15/43				155		156,134
Nutrien Ltd. (Canada),
Sr. Unsec’d. Notes
4.900%		06/01/43				870		861,153
5.250%		01/15/45				420		434,703
6.125%		01/15/41				450		518,381
Sherwin-Williams Co. (The),
Sr. Unsec’d. Notes
3.450%		08/01/25				445		428,035
Union Carbide Corp.,
Sr. Unsec’d. Notes
7.875%		04/01/23				3,058		3,547,655
								14,643,052
Commercial Services — 0.4%
ERAC USA Finance LLC,
Gtd. Notes, 144A
6.700%		06/01/34				920		1,104,736
7.000%		10/15/37				770		962,269
Nielsen Finance LLC/Nielsen Finance Co.,
Gtd. Notes, 144A
5.000%		04/15/22				1,500		1,473,900
United Rentals North America, Inc.,
Gtd. Notes
4.875%		01/15/28				500		462,975
5.500%		07/15/25				650		654,875
5.500%		05/15/27				450		436,500
								5,095,255
Computers — 0.1%
Dell International LLC/EMC Corp.,
Sr. Sec’d. Notes, 144A
3.480%		06/01/19				905		907,279
Diversified Financial Services — 0.6%
American Express Co.,
Sr. Unsec’d. Notes
3.375%		05/17/21				3,695		3,699,406
International Lease Finance Corp.,
Sr. Unsec’d. Notes
6.250%		05/15/19				1,400		1,435,380
Intrum Justitia AB (Sweden),
Sr. Unsec’d. Notes, 144A
3.125%		07/15/24		EUR		750		819,034
Jefferies Group LLC,
Sr. Unsec’d. Notes
6.500%		01/20/43				650		673,956
Lehman Brothers Holdings, Inc.,
Sr. Unsec’d. Notes
6.875%		05/02/18	(d)			2,740		84,940

SEE NOTES TO FINANCIAL STATEMENTS.

A42

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date				Principal Amount (000)		Value
CORPORATE BONDS (continued)
Diversified Financial Services (continued)
Preferred Term Securities X Ltd./Preferred Term Securities X, Inc.
(Cayman Islands),
Sr. Sec’d. Notes, 144A, 3 Month LIBOR + 0.720%
3.057%(c)		07/03/33				208	$	203,144
								6,915,860
Electric — 2.3%
AES Corp.,
Sr. Unsec’d. Notes
5.500%		04/15/25				4,251		4,282,882
Baltimore Gas & Electric Co.,
Sr. Unsec’d. Notes
3.350%		07/01/23				550		543,882
Calpine Corp.,
Sr. Unsec’d. Notes
5.375%		01/15/23	(a)			396		376,695
5.750%		01/15/25	(a)			1,350		1,234,406
Consolidated Edison Co. of New York, Inc.,
Sr. Unsec’d. Notes, Series C
4.300%		12/01/56				235		229,351
ContourGlobal Power Holdings SA (Bulgaria),
Sr. Sec’d. Notes, 144A
5.125%		06/15/21		EUR		1,350		1,591,950
Dominion Energy, Inc.,
Jr. Sub. Notes
4.104%		04/01/21				2,710		2,747,805
El Paso Electric Co.,
Sr. Unsec’d. Notes
6.000%		05/15/35				2,325		2,641,531
Emera US Finance LP (Canada),
Gtd. Notes
3.550%		06/15/26				820		772,081
Enel Americas SA (Chile),
Sr. Unsec’d. Notes
4.000%		10/25/26				235		223,274
Exelon Generation Co. LLC,
Sr. Unsec’d. Notes
6.250%		10/01/39				1,900		2,011,371
FirstEnergy Transmission LLC,
Sr. Unsec’d. Notes, 144A
5.450%		07/15/44				400		447,693
Iberdrola International BV (Spain),
Gtd. Notes
6.750%		09/15/33				1,150		1,359,294
Israel Electric Corp. Ltd. (Israel),
Sr. Sec’d. Notes, 144A, GMTN
4.250%		08/14/28				680		653,927
Korea Hydro & Nuclear Power Co. Ltd. (South Korea),
Sr. Unsec’d. Notes, 144A
4.750%		07/13/21				250		258,163
Pacific Gas & Electric Co.,
Sr. Unsec’d. Notes
4.600%		06/15/43				1,950		1,801,020
South Carolina Electric & Gas Co.,
First Mortgage
4.600%		06/15/43				2,025		1,983,427

Interest Rate	Maturity Date				Principal Amount (000)		Value
CORPORATE BONDS (continued)
Electric (continued)
Vistra Energy Corp.,
Gtd. Notes
5.875%		06/01/23	(a)			2,400	$	2,469,000
7.625%		11/01/24				225		239,906
								25,867,658
Electronics — 0.1%
Honeywell International, Inc.,
Sr. Unsec’d. Notes
0.650%		02/21/20		EUR		900		1,062,073
Engineering & Construction — 0.0%
GMR Hyderabad International Airport Ltd. (India),
Sr. Sec’d. Notes, 144A
4.250%		10/27/27				345		289,444
Entertainment — 0.0%
CPUK Finance Ltd. (United Kingdom),
Sec’d. Notes, 144A
4.250%		08/28/22		GBP		250		331,551
4.875%		08/28/25		GBP		125		165,365
								496,916
Food — 0.7%
Albertsons Cos LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC,
Gtd. Notes
5.750%		03/15/25				225		199,125
General Mills, Inc.,
Sr. Unsec’d. Notes
3.200%		04/16/21				1,200		1,193,776
Ingles Markets, Inc.,
Sr. Unsec’d. Notes
5.750%		06/15/23				250		246,250
JBS USA LUX SA/JBS USA Finance, Inc. (Brazil),
Gtd. Notes, 144A
5.750%		06/15/25				2,025		1,883,250
7.250%		06/01/21				1,080		1,090,800
Kraft Heinz Foods Co.,
Gtd. Notes
3.000%		06/01/26				1,360		1,224,712
3.375%		06/15/21				1,285		1,287,133
4.375%		06/01/46				400		346,042
5.000%		07/15/35				725		714,204
Kroger Co. (The),
Sr. Unsec’d. Notes
4.450%		02/01/47	(a)			275		250,120
								8,435,412
Forest Products & Paper — 0.2%
International Paper Co.,
Sr. Unsec’d. Notes
6.000%		11/15/41				675		745,278
7.300%		11/15/39				1,000		1,279,171
								2,024,449
Gas — 0.3%
Korea Gas Corp. (South Korea),
Sr. Unsec’d. Notes
4.250%		11/02/20				1,750		1,781,570

SEE NOTES TO FINANCIAL STATEMENTS.

A43

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date				Principal Amount (000)		Value
CORPORATE BONDS (continued)
Gas (continued)
NiSource, Inc.,
Sr. Unsec’d. Notes
4.800%		02/15/44				300	$	311,477
Southern Co. Gas Capital Corp.,
Gtd. Notes
4.400%		06/01/43				1,050		1,028,784
								3,121,831
Healthcare-Products — 0.7%
Abbott Laboratories,
Sr. Unsec’d. Notes
2.900%		11/30/21				2,780		2,736,281
Becton Dickinson & Co.,
Sr. Unsec’d. Notes
3.363%		06/06/24				3,415		3,280,396
Medtronic, Inc.,
Gtd. Notes
3.500%		03/15/25				1,022		1,011,285
4.375%		03/15/35				1,358		1,404,442
								8,432,404
Healthcare-Services — 1.2%
Aetna, Inc.,
Sr. Unsec’d. Notes
6.750%		12/15/37				1,900		2,403,449
Anthem, Inc.,
Sr. Unsec’d. Notes
4.650%		01/15/43				385		372,351
CHS/Community Health Systems, Inc.,
Sec’d. Notes, 144A
8.125%		06/30/24	(a)			625		515,234
Cigna Corp.,
Sr. Unsec’d. Notes
4.375%		12/15/20				745		759,610
DaVita, Inc.,
Gtd. Notes
5.000%		05/01/25				500		470,625
Fresenius Medical Care U.S. Finance II, Inc. (Germany),
Gtd. Notes, 144A
4.125%		10/15/20				330		333,317
HCA, Inc.,
Gtd. Notes
5.375%		02/01/25				2,325		2,289,428
5.875%		02/15/26				725		731,344
Laboratory Corp. of America Holdings,
Sr. Unsec’d. Notes
3.200%		02/01/22				240		237,416
3.250%		09/01/24				1,495		1,445,363
Select Medical Corp.,
Gtd. Notes
6.375%		06/01/21				1,800		1,824,525
Synlab Bondco PLC (United Kingdom),
Sr. Sec’d. Notes
6.250%		07/01/22		EUR		1,100		1,319,908
Tenet Healthcare Corp.,
Sec’d. Notes, 144A
5.125%		05/01/25				550		522,844

Interest Rate	Maturity Date				Principal Amount (000)		Value
CORPORATE BONDS (continued)
Healthcare-Services (continued)
Sr. Unsec’d. Notes
6.750%		02/01/20				500	$	511,250
UnitedHealth Group, Inc.,
Sr. Unsec’d. Notes
3.950%		10/15/42				220		208,494
								13,945,158
Home Builders — 0.4%
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada),
Gtd. Notes, 144A
6.125%		07/01/22				1,000		1,003,750
PulteGroup, Inc.,
Gtd. Notes
5.000%		01/15/27	(a)			975		926,250
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc.,
Gtd. Notes, 144A
5.250%		04/15/21				2,175		2,175,000
								4,105,000
Home Furnishings — 0.1%
Tempur Sealy International, Inc.,
Gtd. Notes
5.500%		06/15/26				650		628,875
Housewares — 0.2%
Newell Brands, Inc.,
Sr. Unsec’d. Notes
4.200%		04/01/26	(a)			670		647,257
5.500%		04/01/46				1,200		1,169,633
								1,816,890
Insurance — 1.2%
American International Group, Inc.,
Sr. Unsec’d. Notes
3.900%		04/01/26				2,120		2,051,690
4.500%		07/16/44				1,075		1,001,075
Hartford Financial Services Group, Inc. (The),
Sr. Unsec’d. Notes
5.125%		04/15/22				500		527,658
Liberty Mutual Finance Europe DAC,
Gtd. Notes, 144A
1.750%		03/27/24		EUR		800		953,293
Liberty Mutual Group, Inc.,
Gtd. Notes, 144A
6.500%		03/15/35				1,030		1,230,171
Lincoln National Corp.,
Sr. Unsec’d. Notes
7.000%		06/15/40				405		508,694
Markel Corp.,
Sr. Unsec’d. Notes
5.000%		03/30/43				350		358,371
Northwestern Mutual Life Insurance Co. (The),
Sub. Notes, 144A
6.063%		03/30/40				130		161,647
Ohio National Financial Services, Inc.,
Sr. Unsec’d. Notes, 144A
6.375%		04/30/20				850		892,409

SEE NOTES TO FINANCIAL STATEMENTS.

A44

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)		Value
CORPORATE BONDS (continued)
Insurance (continued)
Principal Financial Group, Inc.,
Gtd. Notes
4.625%		09/15/42			150	$	150,903
Sompo International Holdings Ltd. (Bermuda),
Sr. Unsec’d. Notes
7.000%		07/15/34			1,350		1,634,804
Teachers Insurance & Annuity Association of America,
Sub. Notes, 144A
4.270%		05/15/47			2,310		2,209,127
6.850%		12/16/39			196		259,511
Unum Group,
Sr. Unsec’d. Notes
5.625%		09/15/20			500		522,821
Wand Merger Corp.,
Sr. Unsec’d. Notes, 144A
8.125%		07/15/23			1,250		1,268,750
							13,730,924
Internet — 0.2%
Netflix, Inc.,
Sr. Unsec’d. Notes
3.625%		05/15/27	EUR		1,750		2,002,779
Iron/Steel — 0.0%
Vale Overseas Ltd. (Brazil),
Gtd. Notes
6.250%		08/10/26			270		292,410
Lodging — 0.3%
Marriott International, Inc.,
Sr. Unsec’d. Notes
3.250%		09/15/22			1,325		1,304,876
MGM Resorts International,
Gtd. Notes
6.625%		12/15/21			1,325		1,396,219
Studio City Co. Ltd. (Hong Kong),
Sr. Sec’d. Notes
7.250%		11/30/21			300		309,750
							3,010,845
Machinery-Diversified — 0.4%
CNH Industrial Capital LLC,
Gtd. Notes
4.875%		04/01/21			1,050		1,077,562
Rockwell Automation, Inc.,
Sr. Unsec’d. Notes
5.200%		01/15/98			1,100		1,096,536
Xylem, Inc.,
Sr. Unsec’d. Notes
4.875%		10/01/21			1,960		2,050,282
							4,224,380
Media — 2.5%
21st Century Fox America, Inc.,
Gtd. Notes
6.900%		08/15/39			65		82,758
7.625%		11/30/28			1,415		1,757,015

Interest Rate	Maturity Date				Principal Amount (000)		Value
CORPORATE BONDS (continued)
Media (continued)
CCO Holdings LLC/CCO Holdings Capital Corp.,
Sr. Unsec’d. Notes, 144A
5.500%		05/01/26				3,300	$	3,200,010
5.875%		04/01/24				800		802,000
5.875%		05/01/27				1,000		976,250
Cequel Communications Holdings I LLC/Cequel Capital Corp.,
Sr. Unsec’d. Notes, 144A
5.125%		12/15/21				1,425		1,416,251
7.500%		04/01/28	(a)			1,050		1,062,810
7.750%		07/15/25				1,275		1,332,375
Charter Communications Operating LLC/Charter Communications Operating Capital,
Sr. Sec’d. Notes
6.384%		10/23/35				710		741,955
6.484%		10/23/45				855		901,200
6.834%		10/23/55				225		241,224
Cox Communications, Inc.,
Sr. Unsec’d. Notes, 144A
3.150%		08/15/24				2,800		2,652,629
Discovery Communications LLC,
Gtd. Notes
3.950%		03/20/28	(a)			375		355,131
5.000%		09/20/37				290		279,227
5.200%		09/20/47				390		378,278
Grupo Televisa SAB (Mexico),
Sr. Unsec’d. Notes
6.125%		01/31/46	(a)			495		511,103
Liberty Interactive LLC,
Sr. Unsec’d. Notes
8.250%		02/01/30	(a)			2,250		2,386,462
NBCUniversal Media LLC,
Gtd. Notes
4.450%		01/15/43				15		14,180
TCI Communications, Inc.,
Sr. Unsec’d. Notes
7.875%		02/15/26				750		918,813
TEGNA, Inc.,
Gtd. Notes, 144A
4.875%		09/15/21				475		473,813
Time Warner Cable LLC,
Sr. Sec’d. Notes
6.750%		07/01/18				2,620		2,620,000
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH (Germany),
Sr. Sec’d. Notes
4.000%		01/15/25		EUR		1,100		1,343,544
Univision Communications, Inc.,
Sr. Sec’d. Notes, 144A
5.125%		02/15/25				1,175		1,085,406
UPCB Finance IV Ltd. (Netherlands),
Sr. Sec’d. Notes, 144A
5.375%		01/15/25				1,140		1,083,114
Warner Media LLC,
Gtd. Notes
3.800%		02/15/27				690		651,618

SEE NOTES TO FINANCIAL STATEMENTS.

A45

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)		Value
CORPORATE BONDS (continued)
Media (continued)
Ziggo Secured Finance BV (Netherlands),
Sr. Sec’d. Notes
3.750%		01/15/25	EUR		1,000	$	1,151,569
							28,418,735
Mining — 0.2%
Barrick North America Finance LLC (Canada),
Gtd. Notes
5.750%		05/01/43			410		456,707
Goldcorp, Inc. (Canada),
Sr. Unsec’d. Notes
3.625%		06/09/21			825		823,782
Southern Copper Corp. (Peru),
Sr. Unsec’d. Notes
5.875%		04/23/45			235		250,070
6.750%		04/16/40			990		1,137,681
							2,668,240
Miscellaneous Manufacturing — 0.2%
General Electric Co.,
Sub. Notes, MTN
5.300%		02/11/21			340		355,703
Textron, Inc.,
Sr. Unsec’d. Notes
7.250%		10/01/19			2,350		2,462,254
							2,817,957
Multi-National — 0.5%
Corp. Andina de Fomento (Supranational Bank),
Sr. Unsec’d. Notes
2.000%		05/10/19			440		436,442
2.125%		09/27/21			3,095		2,978,442
4.375%		06/15/22			500		517,245
Inter-American Development Bank (Supranational Bank),
Unsec’d. Notes
6.950%		08/01/26			1,500		1,862,255
							5,794,384
Office/Business Equipment — 0.1%
CDW LLC/CDW Finance Corp.,
Gtd. Notes
5.000%		09/01/23			1,150		1,151,035
Oil & Gas — 2.3%
Anadarko Petroleum Corp.,
Sr. Unsec’d. Notes
4.677%(s)		10/10/36			2,000		846,386
6.450%		09/15/36			945		1,092,095
Cenovus Energy, Inc. (Canada),
Sr. Unsec’d. Notes
5.400%		06/15/47			1,000		978,999
CNOOC Finance 2013 Ltd. (China),
Gtd. Notes
3.000%		05/09/23			750		723,098
Concho Resources, Inc.,
Gtd. Notes
4.875%		10/01/47			180		181,464

Interest Rate	Maturity Date			Principal Amount (000)		Value
CORPORATE BONDS (continued)
Oil & Gas (continued)
Devon Energy Corp.,
Sr. Unsec’d. Notes
5.600%		07/15/41			1,650	$	1,779,813
Encana Corp. (Canada),
Sr. Unsec’d. Notes
6.500%		02/01/38			200		234,917
Gazprom OAO Via Gaz Capital SA (Russia),
Sr. Unsec’d. Notes
4.950%		07/19/22			390		392,730
Sr. Unsec’d. Notes, 144A
6.510%		03/07/22			1,665		1,765,732
Helmerich & Payne International Drilling Co.,
Gtd. Notes
4.650%		03/15/25			1,500		1,548,768
KazMunayGas National Co. JSC (Kazakhstan),
Sr. Unsec’d. Notes, 144A
3.875%		04/19/22			1,160		1,140,280
4.750%		04/19/27			200		195,025
Lukoil International Finance BV (Russia),
Gtd. Notes, 144A
6.125%		11/09/20			600		628,500
Noble Energy, Inc.,
Sr. Unsec’d. Notes
6.000%		03/01/41			1,530		1,682,800
Petrobras Global Finance BV (Brazil),
Gtd. Notes
5.750%		02/01/29			725		637,369
6.125%		01/17/22			56		56,952
7.375%		01/17/27			405		404,494
8.375%		05/23/21			649		705,139
Gtd. Notes, 144A
5.299%		01/27/25			625		577,500
Petroleos Mexicanos (Mexico),
Gtd. Notes
4.875%		01/24/22			1,100		1,109,680
5.375%		03/13/22			405		415,328
6.375%		01/23/45			1,015		934,815
6.500%		03/13/27			1,225		1,256,139
Gtd. Notes, EMTN
2.750%		04/21/27	EUR		700		733,671
3.750%		02/21/24	EUR		400		473,664
4.875%		02/21/28	EUR		400		483,895
Gtd. Notes, MTN
6.750%		09/21/47			1,835		1,730,221
Sasol Financing International Ltd. (South Africa),
Gtd. Notes
4.500%		11/14/22			1,525		1,481,080
Sinopec Group Overseas Development 2015 Ltd. (China),
Gtd. Notes, 144A
2.500%		04/28/20			1,250		1,231,685
YPF SA (Argentina),
Sr. Unsec’d. Notes, 144A
8.500%		03/23/21			1,000		1,016,500
							26,438,739

SEE NOTES TO FINANCIAL STATEMENTS.

A46

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date				Principal Amount (000)		Value
CORPORATE BONDS (continued)
Oil & Gas Services — 0.0%
Cameron International Corp.,
Gtd. Notes
7.000%		07/15/38				450	$	565,595
Packaging & Containers — 0.4%
Ball Corp.,
Gtd. Notes
4.375%		12/15/23		EUR		1,125		1,466,503
Greif Nevada Holdings,
Sr. Unsec’d. Notes, 144A
7.375%		07/15/21		EUR		1,470		2,023,952
WestRock RKT Co.,
Gtd. Notes
4.450%		03/01/19				1,165		1,176,676
								4,667,131
Pharmaceuticals — 1.5%
AbbVie, Inc.,
Sr. Unsec’d. Notes
3.600%		05/14/25				1,020		987,878
4.500%		05/14/35				1,715		1,669,164
Allergan Funding SCS,
Gtd. Notes
3.800%		03/15/25				415		402,984
4.550%		03/15/35				2,040		1,930,153
Allergan Sales LLC,
Gtd. Notes, 144A
4.875%		02/15/21				1,350		1,389,482
CVS Health Corp.,
Sr. Unsec’d. Notes
4.780%		03/25/38				270		265,564
5.050%		03/25/48				655		666,591
5.125%		07/20/45				565		572,503
Endo DAC/Endo Finance LLC/Endo Finco, Inc.,
Gtd. Notes, 144A
6.000%		07/15/23				625		514,063
Express Scripts Holding Co.,
Gtd. Notes
4.500%		02/25/26				3,690		3,663,251
Mylan NV,
Gtd. Notes
5.250%		06/15/46				990		964,345
Mylan, Inc.,
Gtd. Notes, 144A
4.550%		04/15/28	(a)			800		781,804
Shire Acquisitions Investments Ireland DAC,
Gtd. Notes
3.200%		09/23/26				3,745		3,431,876
Valeant Pharmaceuticals International, Inc.,
Gtd. Notes, 144A
6.125%		04/15/25	(a)			325		299,406
								17,539,064
Pipelines — 0.9%
Energy Transfer Partners LP,
Gtd. Notes
6.000%		06/15/48	(a)			285		284,968

Interest Rate	Maturity Date			Principal Amount (000)		Value
CORPORATE BONDS (continued)
Pipelines (continued)
Enterprise Products Operating LLC,
Gtd. Notes
4.900%		05/15/46			2,110	$	2,114,136
Fermaca Enterprises S de RL de CV (Mexico),
Sr. Sec’d. Notes, 144A
6.375%		03/30/38			398		407,135
Magellan Midstream Partners LP,
Sr. Unsec’d. Notes
4.200%		03/15/45			1,000		893,196
MPLX LP,
Sr. Unsec’d. Notes
4.500%		04/15/38			970		895,938
5.200%		03/01/47			115		114,267
NGPL PipeCo LLC,
Sr. Unsec’d. Notes, 144A
4.375%		08/15/22			50		49,500
4.875%		08/15/27			225		222,187
ONEOK Partners LP,
Gtd. Notes
6.850%		10/15/37			1,250		1,485,170
ONEOK, Inc.,
Gtd. Notes
4.950%		07/13/47			450		438,137
Phillips 66 Partners LP,
Sr. Unsec’d. Notes
4.680%		02/15/45			1,900		1,781,034
Western Gas Partners LP,
Sr. Unsec’d. Notes
5.450%		04/01/44			575		542,154
Williams Partners LP,
Sr. Unsec’d. Notes
4.900%		01/15/45			1,200		1,146,361
							10,374,183
Real Estate Investment Trusts (REITs) — 0.1%
Simon Property Group LP,
Sr. Unsec’d. Notes
3.375%		03/15/22			325		323,891
Trust F/1401 (Mexico),
Sr. Unsec’d. Notes, 144A
5.250%		12/15/24			1,235		1,216,475
							1,540,366
Retail — 0.5%
Dollar Tree, Inc.,
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.700%
3.055%(c)		04/17/20			950		951,942
Sr. Unsec’d. Notes
4.200%		05/15/28			1,875		1,809,880
L Brands, Inc.,
Gtd. Notes
5.625%		02/15/22			1,600		1,624,000
6.625%		04/01/21			551		581,305
PetSmart, Inc.,
Sr. Sec’d. Notes, 144A
5.875%		06/01/25	(a)		675		519,817
							5,486,944

SEE NOTES TO FINANCIAL STATEMENTS.

A47

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)		Value
CORPORATE BONDS (continued)
Savings & Loans — 0.1%
People’s United Financial, Inc.,
Sr. Unsec’d. Notes
3.650%		12/06/22			1,675	$	1,670,738
Semiconductors — 0.7%
Broadcom Corp./Broadcom Cayman Finance Ltd.,
Gtd. Notes
3.500%		01/15/28			1,460		1,329,519
3.875%		01/15/27			1,850		1,749,827
NXP BV/NXP Funding LLC (Netherlands),
Gtd. Notes, 144A
4.625%		06/01/23			2,675		2,698,406
Sensata Technologies BV,
Gtd. Notes, 144A
5.000%		10/01/25			1,750		1,763,125
							7,540,877
Software — 0.7%
First Data Corp.,
Gtd. Notes, 144A
7.000%		12/01/23			2,225		2,317,515
Fiserv, Inc.,
Sr. Unsec’d. Notes
3.500%		10/01/22			1,162		1,144,393
Infor US, Inc.,
Sr. Sec’d. Notes, 144A
5.750%		08/15/20			1,350		1,366,875
Microsoft Corp.,
Sr. Unsec’d. Notes
4.000%		02/12/55			435		431,563
4.500%		02/06/57			1,430		1,552,309
Oracle Corp.,
Sr. Unsec’d. Notes
4.300%		07/08/34			1,070		1,090,722
							7,903,377
Telecommunications — 1.0%
AT&T Corp.,
Gtd. Notes
8.250%		11/15/31			55		70,541
AT&T, Inc.,
Sr. Unsec’d. Notes
3.400%		05/15/25			1,905		1,786,393
4.500%		03/09/48			74		63,795
4.550%		03/09/49			499		431,452
5.250%		03/01/37			680		668,816
5.350%		09/01/40			49		47,822
Bharti Airtel International Netherlands BV (India),
Gtd. Notes, 144A
5.125%		03/11/23			1,305		1,289,284
Sprint Capital Corp.,
Gtd. Notes
6.900%		05/01/19			1,300		1,326,260
Sprint Corp.,
Gtd. Notes
7.625%		02/15/25	(a)		500		510,005

Interest Rate	Maturity Date			Principal Amount (000)		Value
CORPORATE BONDS (continued)
Telecommunications (continued)
T-Mobile USA, Inc.,
Gtd. Notes
6.500%		01/15/26			1,675	$	1,727,344
Verizon Communications, Inc.,
Sr. Unsec’d. Notes
4.500%		08/10/33			990		958,698
Wind Tre SpA (Italy),
Sr. Sec’d. Notes, 144A
2.625%		01/20/23	EUR		675		662,143
3.125%		01/20/25	EUR		1,550		1,466,211
							11,008,764
Textiles — 0.0%
Mohawk Industries, Inc.,
Sr. Unsec’d. Notes
3.850%		02/01/23			294		296,729
TOTAL CORPORATE BONDS (cost $429,187,008)							428,117,209
MUNICIPAL BONDS — 1.9%
California — 0.7%
Bay Area Toll Authority,
Revenue Bonds, BABs
6.907%		10/01/50			1,125		1,644,930
State of California,
GO, BABs
7.300%		10/01/39			2,280		3,230,304
7.625%		03/01/40			725		1,069,259
University of California,
Revenue Bonds, BABs
5.770%		05/15/43			1,400		1,727,278
							7,671,771
Colorado — 0.1%
Regional Transportation District,
Revenue Bonds, Series 2010-B, BABs
5.844%		11/01/50			770		1,009,108
Illinois — 0.4%
Chicago O’Hare International Airport,
Revenue Bonds, BABs
6.395%		01/01/40			1,380		1,826,872
State of Illinois,
GO, Series D, BABs
5.000%		11/01/22			2,650		2,801,686
							4,628,558
New Jersey — 0.4%
New Jersey Turnpike Authority,
Revenue Bonds, Series A, BABs
7.102%		01/01/41			1,175		1,653,742
Revenue Bonds, Series F, BABs
7.414%		01/01/40			2,050		2,981,376
							4,635,118

SEE NOTES TO FINANCIAL STATEMENTS.

A48

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)		Value
MUNICIPAL BONDS (continued)
Ohio — 0.1%
Ohio State University (The),
Revenue Bonds, Series C, BABs
4.910%		06/01/40		695	$	796,512
Ohio Water Development Authority Water Pollution Control Loan Fund,
Revenue Bonds, BABs
4.879%		12/01/34		450		494,496
						1,291,008
Oregon — 0.1%
State of Oregon Department of Transportation,
Revenue Bonds, Series A, BABs
5.834%		11/15/34		615		757,840
Pennsylvania — 0.1%
Pennsylvania Turnpike Commission,
Revenue Bonds, Series B, BABs
5.511%		12/01/45		800		983,960
Virginia — 0.0%
University of Virginia,
Revenue Bonds, Taxable, Series C
4.179%		09/01/2117		425		424,069
TOTAL MUNICIPAL BONDS (cost $16,766,923)						21,401,432
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 3.3%
Alternative Loan Trust,
Series 2004-18CB, Class 3A1
5.250%		09/25/19		92		92,540
Bellemeade Re Ltd. (Bermuda),
Series 2017-01, Class M1, 144A, 1 Month LIBOR + 1.700%
3.791%(c)		10/25/27		632		635,122
Series 2018-01A, Class M1B, 144A, 1 Month LIBOR + 1.600%
3.691%(c)		04/25/28		1,113		1,116,145
CIM Trust,
Series 2017-03, Class A1, 144A, 1 Month LIBOR + 2.000%
3.982%(c)		01/25/57		1,845		1,882,121
Series 2017-06, Class A1, 144A
3.015%(cc)		06/25/57		1,508		1,477,206
Series 2017-08, Class A1, 144A
3.000%(cc)		12/25/65		3,124		3,118,860
Citigroup Mortgage Loan Trust,
Series 2011-12, Class 3A2, 144A
3.466%(cc)		09/25/47		764		720,615
Fannie Mae Connecticut Avenue Securities,
Series 2016-C04, Class 1M1, 1 Month LIBOR + 1.450%
3.541%(c)		01/25/29		742		748,044
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2014-DN04, Class M3, 1 Month LIBOR + 4.550%
6.641%(c)		10/25/24		282		312,597
Series 2015-DNA01, Class M3, 1 Month LIBOR + 3.300%
5.391%(c)		10/25/27		3,460		3,864,701
Series 2016-HQA02, Class M2, 1 Month LIBOR + 2.250%
4.341%(c)		11/25/28		895		915,893
Series 2016-HQA03, Class M2, 1 Month LIBOR + 1.350%
3.441%(c)		03/25/29		760		771,284

Interest Rate	Maturity Date			Principal Amount (000)		Value
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)
Series 2016-HQA04, Class M2, 1 Month LIBOR + 1.300%
3.391%(c)		04/25/29			1,740	$	1,765,210
GSMSC Resecuritization Trust,
Series 2015-03R, Class 1A1, 144A, 1 Month LIBOR + 0.140%
2.231%(c)		01/26/37			1,872		1,842,737
Series 2015-03R, Class 1A2, 144A, 1 Month LIBOR + 0.140%
2.231%(c)		01/26/37			1,400		1,335,234
Harborview Mortgage Loan Trust,
Series 2007-04, Class 2A1, 1 Month LIBOR + 0.220%
2.305%(c)		07/19/47			1,765		1,721,792
Lehman XS Trust,
Series 2006-GP04, Class 1A1, 1 Month LIBOR + 0.205%
2.296%(c)		08/25/46			2,456		2,359,129
LSTAR Securities Investment Ltd. (Cayman Islands),
Series 2017-05, Class A, 144A, 1 Month LIBOR + 2.000%
3.983%(c)		05/01/22			2,311		2,312,528
Series 2017-06, Class A, 144A, 1 Month LIBOR + 1.750%
3.732%(c)		09/01/22			1,232		1,235,800
Series 2017-08, Class A, 144A, 1 Month LIBOR + 1.650%
3.633%(c)		11/01/22			956		960,178
Series 2017-09, Class A, 144A, 1 Month LIBOR + 1.550%
3.642%(c)		12/01/22			324		322,872
LSTAR Securities Investment Trust,
Series 2018-02, Class A1, 144A, 1 Month LIBOR + 1.500%
3.482%(c)		04/01/23			711		710,725
MASTR Alternative Loan Trust,
Series 2004-04, Class 4A1
5.000%		04/25/19			6		5,555
PNMAC GMSR Issuer Trust,
Series 2018-GT01, Class A, 144A, 1 Month LIBOR + 2.850%
4.941%(c)		02/25/23			740		744,459
Radnor RE Ltd. (Bermuda),
Series 2018-01, Class M1, 144A, 1 Month LIBOR + 1.400%
3.491%(c)		03/25/28			690		689,747
Series 2018-01, Class M2, 144A, 1 Month LIBOR + 2.700%
4.791%(c)		03/25/28			510		510,991
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-01, Class 4A3
3.756%(cc)		02/25/34			607		611,653
Series 2004-18, Class 3A1
4.144%(cc)		12/25/34			3,329		3,251,258
Towd Point Mortgage Funding PLC (United Kingdom),
Series 2016-V1A, Class A1, 144A, 3 Month GBP LIBOR + 1.200%
1.823%(c)		02/20/54	GBP		1,707		2,266,884
Washington Mutual Mortgage Pass-Through Certificates,
Series 2005-01, Class 3A
5.000%		03/25/20			71		70,842
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $37,227,931)							38,372,722
SOVEREIGN BONDS — 5.5%
Arab Republic of Egypt (Egypt),
Sr. Unsec’d. Notes, 144A
4.750%		04/16/26	EUR		980		1,050,029

SEE NOTES TO FINANCIAL STATEMENTS.

A49

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)		Value
SOVEREIGN BONDS (continued)
Argentine Republic Government International Bond (Argentina),
Sr. Unsec’d. Notes
2.260%		12/31/38	EUR		300	$	204,949
4.625%		01/11/23			1,625		1,430,829
6.875%		04/22/21			1,175		1,157,375
6.875%		01/11/48			500		374,255
7.820%		12/31/33	EUR		958		1,113,248
7.820%		12/31/33	EUR		634		729,243
Brazil Minas SPE via State of Minas Gerais (Brazil),
Gov’t. Gtd. Notes
5.333%		02/15/28			1,105		1,055,275
Gov’t. Gtd. Notes, 144A
5.333%		02/15/28			500		477,500
Colombia Government International Bond (Colombia),
Sr. Unsec’d. Notes
4.000%		02/26/24			250		249,750
Dominican Republic International Bond (Dominican Republic),
Sr. Unsec’d. Notes
7.500%		05/06/21			2,250		2,355,750
Sr. Unsec’d. Notes, 144A
7.500%		05/06/21			600		628,200
Egypt Government International Bond (Egypt),
Sr. Unsec’d. Notes, 144A
6.588%		02/21/28			500		459,611
Hellenic Republic Government Bond (Greece),
Bonds
3.000%		02/24/31	EUR		620		662,698
3.000%		02/24/32	EUR		1,280		1,341,815
3.000%		02/24/34	EUR		640		664,285
3.500%		01/30/23	EUR		4,095		4,864,753
3.750%		01/30/28	EUR		345		396,257
4.200%		01/30/42	EUR		295		314,819
Sr. Unsec’d. Notes, 144A
3.375%		02/15/25	EUR		155		179,313
Hellenic Republic Government International Bond (Greece),
Sr. Unsec’d. Notes
5.200%		07/17/34	EUR		1,500		1,797,211
Hungary Government International Bond (Hungary),
Sr. Unsec’d. Notes
5.375%		02/21/23			436		461,576
5.375%		03/25/24			290		308,060
5.750%		11/22/23			2,300		2,474,501
6.000%		01/11/19	EUR		715		861,697
6.375%		03/29/21			2,776		2,964,896
Indonesia Government International Bond (Indonesia),
Sr. Unsec’d. Notes
3.375%		07/30/25	EUR		1,625		2,040,610
Sr. Unsec’d. Notes, 144A
3.375%		07/30/25	EUR		1,500		1,883,640
Sr. Unsec’d. Notes, MTN
2.875%		07/08/21	EUR		1,225		1,517,795
3.750%		06/14/28	EUR		500		644,463
Iraq International Bond (Iraq),
Unsec’d. Notes, 144A
5.800%		01/15/28			450		403,022
Japan Finance Organization for Municipalities (Japan),
Sr. Unsec’d. Notes, 144A, MTN
2.000%		09/08/20			1,200		1,173,049

Interest Rate	Maturity Date			Principal Amount (000)		Value
SOVEREIGN BONDS (continued)
2.625%		04/20/22			1,000	$	975,648
Lithuania Government International Bond (Lithuania),
Sr. Unsec’d. Notes
6.625%		02/01/22			1,000		1,101,870
Panama Government International Bond (Panama),
Sr. Unsec’d. Notes
3.750%		03/16/25			450		444,375
Portugal Government International Bond (Portugal),
Sr. Unsec’d. Notes, MTN
5.125%		10/15/24			6,940		7,183,275
Portugal Obrigacoes do Tesouro OT (Portugal),
Sr. Unsec’d. Notes, 144A
3.875%		02/15/30	EUR		3,070		4,258,406
Provincia de Buenos Aires (Argentina),
Sr. Unsec’d. Notes, 144A
6.500%		02/15/23			120		109,543
9.950%		06/09/21			1,940		2,000,140
Qatar Government International Bond (Qatar),
Sr. Unsec’d. Notes, 144A
5.103%		04/23/48			1,040		1,036,838
Republic of Italy Government International Bond (Italy),
Sr. Unsec’d. Notes, MTN
5.375%		06/15/33			730		791,607
Republic of South Africa Government International Bond (South Africa),
Sr. Unsec’d. Notes
5.875%		09/16/25			1,020		1,046,928
Romanian Government International Bond (Romania),
Sr. Unsec’d. Notes, 144A, MTN
3.875%		10/29/35	EUR		945		1,125,692
Sr. Unsec’d. Notes, MTN
3.875%		10/29/35	EUR		1,000		1,191,209
Saudi Government International Bond (Saudi Arabia),
Sr. Unsec’d. Notes, 144A, MTN
4.000%		04/17/25			675		671,666
Senegal Government International Bond (Senegal),
Sr. Unsec’d. Notes, 144A
4.750%		03/13/28	EUR		475		516,764
Tokyo Metropolitan Government (Japan),
Sr. Unsec’d. Notes
2.125%		05/19/20			1,000		982,132
Sr. Unsec’d. Notes, 144A
2.500%		06/08/22			600		582,063
Turkey Government International Bond (Turkey),
Sr. Unsec’d. Notes
5.625%		03/30/21			500		497,015
7.000%		06/05/20			1,510		1,545,730
Uruguay Government International Bond (Uruguay),
Sr. Unsec’d. Notes
4.975%		04/20/55			470		455,900
TOTAL SOVEREIGN BONDS (cost $63,396,056)							62,757,275
U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.1%
Federal Home Loan Mortgage Corp.
5.500%		10/01/33			674		746,757
5.500%		06/01/34			9		10,226
6.000%		11/01/33			223		246,643
6.000%		05/01/34			61		66,676

SEE NOTES TO FINANCIAL STATEMENTS.

A50

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
6.000%		06/01/34			154	$	168,203
6.250%		07/15/32	(k)		830		1,110,844
6.500%		07/01/32			27		29,577
6.500%		07/01/32			31		34,530
6.500%		08/01/32			46		51,264
6.500%		08/01/32			48		53,383
6.500%		08/01/32			52		58,194
6.500%		09/01/32			42		47,192
6.500%		09/01/32			128		142,920
6.750%		03/15/31	(k)		600		819,194
Federal National Mortgage Assoc.
5.500%		02/01/33			19		20,303
5.500%		02/01/33			22		24,149
5.500%		03/01/33			27		29,673
5.500%		03/01/33			58		63,384
5.500%		03/01/33			60		65,105
5.500%		04/01/33			9		9,373
5.500%		04/01/33			35		38,143
5.500%		04/01/33			40		43,298
5.500%		04/01/33			44		47,205
5.500%		07/01/33			37		39,905
5.500%		07/01/33			45		48,400
5.500%		08/01/33			17		18,309
5.500%		02/01/34			36		38,603
5.500%		04/01/34			34		36,398
5.500%		06/01/34			40		43,499
6.000%		10/01/33			4		4,057
6.000%		10/01/33			251		277,620
6.000%		03/01/34			91		99,909
6.000%		02/01/35			239		268,940
6.000%		11/01/36			63		69,801
6.250%		05/15/29	(k)		1,090		1,400,044
6.500%		08/01/32			144		159,277
6.500%		09/01/32			121		133,232
6.500%		09/01/32			209		230,609
6.500%		10/01/32			107		117,904
6.500%		04/01/33			210		233,301
6.500%		11/01/33			5		5,598
6.625%		11/15/30	(k)		530		710,900
7.000%		05/01/32			89		96,882
7.000%		06/01/32			9		9,833
7.125%		01/15/30	(k)		785		1,080,980
Government National Mortgage Assoc.
5.500%		01/15/33			81		88,611
5.500%		02/15/33			59		64,281
5.500%		05/15/33			139		149,334
5.500%		05/15/33			195		209,698
5.500%		06/15/33			212		230,513
5.500%		09/15/33			118		129,628
5.500%		07/15/35			80		87,214
6.000%		12/15/32			153		172,401
6.000%		11/15/33			78		86,786
6.000%		01/15/34			13		14,559
6.000%		06/20/34			402		444,353
6.000%		11/15/34			653		738,642
6.500%		09/15/32			90		98,852
6.500%		09/15/32			220		242,306
6.500%		09/15/32			232		255,688

Interest Rate	Maturity Date			Principal Amount (000)		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
6.500%		11/15/33			172	$	189,231
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $12,199,986)							12,252,334
U.S. TREASURY OBLIGATIONS — 2.4%
U.S. Treasury Bonds
2.500%		05/15/46	(k)		965		876,868
2.750%		08/15/47	(k)		1,950		1,860,803
3.000%		02/15/48	(a)(k)		4,705		4,720,806
U.S. Treasury Notes
1.375%		05/31/21	(h)(k)		7,020		6,774,574
1.875%		04/30/22	(k)		520		504,583
2.125%		05/15/25	(k)		260		248,798
2.250%		02/15/27	(k)		910		868,375
2.875%		05/31/25			3,570		3,583,666
2.875%		05/15/28			3,220		3,226,415
U.S. Treasury Strips Coupon
2.783%(s)		08/15/29	(k)		1,200		863,739
2.878%(s)		05/15/31	(k)		1,200		818,116
3.042%(s)		11/15/35	(k)		2,400		1,427,455
3.202%(s)		08/15/40	(k)		2,400		1,235,101
TOTAL U.S. TREASURY OBLIGATIONS (cost $27,186,610)							27,009,299
				Shares
PREFERRED STOCKS — 0.2%
Banks
Citigroup Capital XIII 8.729%, (Capital Security, fixed to floating preferred)					45,000		1,219,500
State Street Corp. 5.350%, (Capital Security, fixed to floating preferred)					35,000		914,200
TOTAL PREFERRED STOCKS (cost $2,000,000)							2,133,700
TOTAL LONG-TERM INVESTMENTS (cost $1,075,715,640)							1,077,154,633
SHORT-TERM INVESTMENTS — 6.3%
AFFILIATED MUTUAL FUNDS — 6.0%
PGIM Core Short-Term Bond Fund(w)					3,859,661		35,779,054
PGIM Core Ultra Short Bond Fund(w)					16,386,641		16,386,641
PGIM Institutional Money Market Fund (cost $15,776,392; includes $15,752,843 of cash collateral for securities on loan)(b)(w)					15,776,396		15,777,974
TOTAL AFFILIATED MUTUAL FUNDS (cost $68,253,551)							67,943,669
Interest Rate	Maturity Date			Principal Amount (000)
COMMERCIAL PAPER(n) — 0.3%
Ford Motor Credit Co. LLC
3.201%		04/09/19			4,020		3,932,630
(cost $3,922,976)

SEE NOTES TO FINANCIAL STATEMENTS.

A51

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

	Value
OPTION PURCHASED*~ — 0.0%
(cost $29,380)	$	7,395
TOTAL SHORT-TERM INVESTMENTS (cost $72,205,907)		71,883,694
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 100.5% (cost $1,147,921,547)		1,149,038,327
OPTION WRITTEN*~ — (0.0)%
(premiums received $62,150)		(38,196	)
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 100.5% (cost $1,147,859,397)		1,149,000,131
LIABILITIES IN EXCESS OF OTHER ASSETS(z) — (0.5)%		(6,169,493	)
NET ASSETS — 100.0%	$	1,142,830,638

See the Glossary for abbreviations used in the semiannual report.

* Non-income producing security.

^ Indicates a Level 3 security. The aggregate value of Level 3 securities is $6,836,051 and 0.6% of net assets.

~ See tables subsequent to the Schedule of Investments for options detail.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $15,440,214; cash collateral of $15,752,843 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b) Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

(c) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2018.

(cc) Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2018. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.

(d) Represents issuer in default on interest payments and/or principal repayment. Non-income producing security. Such securities may be post-maturity.

(h) Represents security, or a portion thereof, segregated as collateral for OTC derivatives.

(k) Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives.

(n) Rate shown reflects yield to maturity at purchase date.

(p) Interest rate not available as of June 30, 2018.

(r) Principal or notional amount is less than $500 par.

(s) Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date.

(w) PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Short-Term Bond Fund, PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

(z) Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end, with the exception of options which are included in total investments, net of options written, at market value:

Option Purchased:

OTC Swaptions

Description

Call/ Put

Counterparty

Expiration Date

Strike

Receive

Pay

Notional Amount (000)#

Value

CDX.NA.HY.30.V1, 06/20/2023

Call

Citigroup Global Markets

09/19/18

$107.50

5.00%(Q)

CDX.NA.HY.30.V1(Q)

11,300

$

7,395

(cost $29,380)

Option Written:

OTC Swaptions

Description

Call/ Put

Counterparty

Expiration Date

Strike

Receive

Pay

Notional Amount (000)#

Value

CDX.NA.HY.30.V1, 06/20/2023

Put

Citigroup Global Markets

09/19/18

$100.50

5.00%(Q)

CDX.NA.HY.30.V1(Q)

11,300

$

(38,196

)

(premiums received $62,150)

Futures contracts outstanding at June 30, 2018:

Number of Contracts	Type	Expiration Date		Current Notional Amount		Value / Unrealized Appreciation (Depreciation)
Long Positions:
184	90 day Euro Dollar		Dec. 2020	$	44,629,200	$	(22,470	)

SEE NOTES TO FINANCIAL STATEMENTS.

A52

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Futures contracts outstanding at June 30, 2018:

Number of Contracts	Type	Expiration Date		Current Notional Amount		Value / Unrealized Appreciation (Depreciation)
Long Positions (continued):
3,368	5 Year U.S. Treasury Notes		Sep. 2018	$	382,662,687	$	2,382,472
2,640	10 Year U.S. Treasury Notes		Sep. 2018		317,295,000		2,722,097
857	30 Year U.S. Ultra Treasury Bonds		Sep. 2018		136,745,063		4,814,796
							9,896,895
Short Positions:
184	90 day Euro Dollar		Dec. 2021		44,631,500		(3,595	)
853	2 Year U.S. Treasury Notes		Sep. 2018		180,689,391		26,305
139	20 Year U.S. Treasury Bonds		Sep. 2018		20,155,000		(387,887	)
							(365,177	)
						$	9,531,718

Cash of $2,140,000 and securities with a combined market value of $5,719,400 have been segregated with Citigroup Global Markets to cover requirements for open futures contracts at June 30, 2018.

Forward foreign currency exchange contracts outstanding at June 30, 2018:

Purchase Contracts	Counterparty	Notional Amount (000)			Value at Settlement Date		Current Value		Unrealized Appreciation		Unrealized Depreciation
OTC Forward Foreign Currency Exchange Contracts:
Brazilian Real,
Expiring 07/03/18	Citigroup Global Markets		BRL	2,113	$	569,645	$	544,937	$	—	$	(24,708	)
Expiring 07/03/18	Citigroup Global Markets		BRL	1,862		490,437		480,321		—		(10,116	)
Expiring 08/02/18	Goldman Sachs & Co.		BRL	1,760		454,874		452,306		—		(2,568	)
Euro,
Expiring 07/26/18	Goldman Sachs & Co.		EUR	898		1,051,818		1,050,477		—		(1,341	)
					$	2,566,774	$	2,528,041		—		(38,733	)

Forward foreign currency exchange contracts outstanding at June 30, 2018:

Sale Contracts	Counterparty	Notional Amount (000)			Value at Settlement Date		Current Value		Unrealized Appreciation		Unrealized Depreciation
OTC Forward Foreign Currency Exchange Contracts:
Australian Dollar,
Expiring 07/12/18	Bank of America		AUD	559	$	430,808	$	413,973	$	16,835	$	—
Brazilian Real,
Expiring 07/03/18	Goldman Sachs & Co.		BRL	1,760		456,313		453,939		2,374		—
British Pound,
Expiring 07/26/18	Bank of America		GBP	3,357		4,704,780		4,435,964		268,816		—
Euro,
Expiring 07/26/18	Bank of America		EUR	265		310,049		310,071		—		(22	)
Expiring 07/26/18	JPMorgan Chase		EUR	582		683,163		680,821		2,342		—
Expiring 07/26/18	Toronto Dominion		EUR	44,206		54,399,144		51,724,698		2,674,446		—
Expiring 07/26/18	UBS AG		EUR	21		25,775		24,750		1,025		—
South African Rand,
Expiring 09/11/18	JPMorgan Chase		ZAR	8,074		614,666		582,885		31,781		—
					$	61,624,698	$	58,627,101		2,997,619		(22	)
									$	2,997,619	$	(38,755	)

SEE NOTES TO FINANCIAL STATEMENTS.

A53

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Credit default swap agreements outstanding at June 30, 2018:

Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Implied Credit Spread at June 30, 2018(4)			Fair Value		Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)		Counterparty
OTC Credit Default Swap Agreements on asset-backed securities—Sell Protection(2)^:
Banc of America Commercial Mortgage Trust		07/26/18		1.500%(M)		75		8.111	%	$	85	$	—	$	85		Goldman Sachs & Co.
Banc of America Commercial Mortgage Trust		07/26/18		1.500%(M)		32		6.802	%		36		—		36		Goldman Sachs & Co.
Banc of America Commercial Mortgage Trust		07/26/18		1.500%(M)		22		6.780	%		25		—		25		Goldman Sachs & Co.
Bear Stearns Asset Backed Securities Trust		07/27/18		1.500%(M)		379		1.684	%		428		—		428		Goldman Sachs & Co.
Bear Stearns Asset Backed Securities Trust		07/27/18		1.500%(M)		317		13.575	%		359		—		359		Goldman Sachs & Co.
Bear Stearns Asset Backed Securities Trust		07/27/18		1.500%(M)		234		9.848	%		264		—		264		Goldman Sachs & Co.
Chase Mortgage		07/27/18		1.500%(M)		148		*			44		—		44		Goldman Sachs & Co.
Citigroup Commercial Mortgage Trust		07/26/18		1.500%(M)		94		6.940	%		107		—		107		Goldman Sachs & Co.
Citigroup Commercial Mortgage Trust		07/26/18		1.500%(M)		74		4.670	%		84		—		84		Goldman Sachs & Co.
Citigroup Commercial Mortgage Trust		07/26/18		1.500%(M)		34		4.180	%		39		—		39		Goldman Sachs & Co.
Citigroup Commercial Mortgage Trust		07/26/18		1.500%(M)		24		6.780	%		27		—		27		Goldman Sachs & Co.
Citigroup Mortgage Loan Trust		07/27/18		1.500%(M)		71		*			80		—		80		Goldman Sachs & Co.
COMM Mortgage Trust		07/26/18		1.500%(M)		128		8.703	%		146		—		146		Goldman Sachs & Co.
COMM Mortgage Trust		07/26/18		1.500%(M)		108		4.550	%		123		—		123		Goldman Sachs & Co.
COMM Mortgage Trust		07/26/18		1.500%(M)		107		*			122		—		122		Goldman Sachs & Co.
COMM Mortgage Trust		07/26/18		1.500%(M)		91		*			104		—		104		Goldman Sachs & Co.
COMM Mortgage Trust		07/26/18		1.500%(M)		82		6.780	%		93		—		93		Goldman Sachs & Co.
COMM Mortgage Trust		07/26/18		1.500%(M)		64		2.427	%		73		—		73		Goldman Sachs & Co.
COMM Mortgage Trust		07/26/18		1.500%(M)		45		6.639	%		51		—		51		Goldman Sachs & Co.
COMM Mortgage Trust		07/26/18		1.500%(M)		42		7.460	%		48		—		48		Goldman Sachs & Co.
COMM Mortgage Trust		07/26/18		1.500%(M)		36		*			41		—		41		Goldman Sachs & Co.
Equity One Home Equity		07/27/18		1.500%(M)		175		*			198		—		198		Goldman Sachs & Co.
Federal Home Loan Mortgage Corp.		07/26/18		1.500%(M)		176		*			200		—		200		Goldman Sachs & Co.
Federal Home Loan Mortgage Corp.		07/26/18		1.500%(M)		98		*			111		—		111		Goldman Sachs & Co.
First Franklin Home Equity		07/27/18		1.500%(M)		276		*			82		—		82		Goldman Sachs & Co.
GS Mortgage Securities Trust		07/26/18		1.500%(M)		239		5.373	%		272		—		272		Goldman Sachs & Co.
GS Mortgage Securities Trust		07/26/18		1.500%(M)		116		4.670	%		132		—		132		Goldman Sachs & Co.
GS Mortgage Securities Trust		07/26/18		1.500%(M)		66		7.460	%		75		—		75		Goldman Sachs & Co.
GS Mortgage Securities Trust		07/26/18		1.500%(M)		63		4.686	%		72		—		72		Goldman Sachs & Co.
GS Mortgage Securities Trust		07/26/18		1.500%(M)		58		0.496	%		66		—		66		Goldman Sachs & Co.
GS Mortgage Securities Trust		07/26/18		1.500%(M)		45		*			51		—		51		Goldman Sachs & Co.
GSAMP Home Equity		07/27/18		1.500%(M)		87		*			98		—		98		Goldman Sachs & Co.
JPMBB Commercial Mortgage Securities Trust		07/26/18		1.500%(M)		135		9.634	%		154		—		154		Goldman Sachs & Co.
JPMBB Commercial Mortgage Securities Trust		07/26/18		1.500%(M)		109		*			124		—		124		Goldman Sachs & Co.
JPMBB Commercial Mortgage Securities Trust		07/26/18		1.500%(M)		37		4.746	%		42		—		42		Goldman Sachs & Co.
Lehman Home Equity		07/27/18		1.500%(M)		277		12.276	%		313		—		313		Goldman Sachs & Co.
Long Beach Home Equity		07/27/18		1.500%(M)		128		*			145		—		145		Goldman Sachs & Co.
Morgan Stanley BAML Trust		07/26/18		1.500%(M)		161		6.940	%		183		—		183		Goldman Sachs & Co.
Morgan Stanley BAML Trust		07/26/18		1.500%(M)		99		7.460	%		113		—		113		Goldman Sachs & Co.
Morgan Stanley BAML Trust		07/26/18		1.500%(M)		62		2.539	%		71		—		71		Goldman Sachs & Co.
Morgan Stanley BAML Trust		07/26/18		1.500%(M)		51		2.539	%		58		—		58		Goldman Sachs & Co.
Morgan Stanley BAML Trust		07/26/18		1.500%(M)		46		6.728	%		52		—		52		Goldman Sachs & Co.
Morgan Stanley BAML Trust		07/26/18		1.500%(M)		41		1.175	%		47		—		47		Goldman Sachs & Co.
Morgan Stanley BAML Trust		07/26/18		1.500%(M)		24		10.400	%		27		—		27		Goldman Sachs & Co.
Morgan Stanley Home Equity		07/27/18		1.500%(M)		369		*			417		—		417		Goldman Sachs & Co.
Morgan Stanley Home Equity		07/27/18		1.500%(M)		152		1.498	%		171		—		171		Goldman Sachs & Co.

SEE NOTES TO FINANCIAL STATEMENTS.

A54

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Reference Entity/ Obligation	Termination Date		Fixed Rate	Notional Amount (000)#(3)		Implied Credit Spread at June 30, 2018(4)			Fair Value		Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)		Counterparty
OTC Credit Default Swap Agreements on asset-backed securities—Sell Protection(2)^ (continued):
New Century Home Equity		07/27/18	1.500%(M)		432		*		$	488	$	—	$	488	Goldman Sachs & Co.
New Century Home Equity		07/27/18	1.500%(M)		122		14.574	%		138		—		138	Goldman Sachs & Co.
Option One Home Equity		07/27/18	1.500%(M)		225		8.042	%		254		—		254	Goldman Sachs & Co.
Wells Fargo Commercial Mortgage Trust		07/26/18	1.500%(M)		37		6.780	%		42		—		42	Goldman Sachs & Co.
Wells Fargo Commercial Mortgage Trust		07/26/18	1.500%(M)		23		6.780	%		26		—		26	Goldman Sachs & Co.
									$	6,601	$	—	$	6,601

Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Implied Credit Spread at June 30, 2018(4)			Value at Trade Date		Value at June 30, 2018		Unrealized Appreciation (Depreciation)
Centrally Cleared Credit Default Swap Agreement on corporate and/or sovereign issues—Sell Protection(2):
General Motors Co.		06/20/19		5.000%(Q)		1,925		0.111	%	$	216,698	$	94,338	$	(122,360	)

Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Fair Value		Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)			Counterparty
OTC Credit Default Swap Agreements on corporate and/or sovereign issues—Buy Protection(1):
United Mexican States		06/20/23		1.000%(Q)		655	$	9,826	$	10,327	$	(501	)	Citigroup Global Markets
United Mexican States		06/20/23		1.000%(Q)		220		3,300		3,884		(584	)	Citigroup Global Markets
United Mexican States		06/20/23		1.000%(Q)		220		3,300		3,566		(266	)	Citigroup Global Markets
							$	16,426	$	17,777	$	(1,351	)

Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Implied Credit Spread at June 30, 2018(4)			Fair Value			Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)			Counterparty
OTC Credit Default Swap Agreements on corporate and/or sovereign issues—Sell Protection(2):
Hellenic Republic		06/20/22		1.000%(Q)		1,020		3.178	%	$	(78,092	)	$	(176,063	)	$	97,971		Citigroup Global Markets
Hellenic Republic		06/20/22		1.000%(Q)		260		3.178	%		(19,906	)		(46,150	)		26,244		Goldman Sachs & Co.
Hellenic Republic		06/20/24		1.000%(Q)		500		3.639	%		(64,327	)		(108,125	)		43,798		Barclays Capital Group
Kingdom of Spain		06/20/23		1.000%(Q)		940		0.704	%		13,073			10,222			2,851		Citigroup Global Markets
Kingdom of Spain		06/20/23		1.000%(Q)		1,870		0.704	%		26,007			21,646			4,361		Goldman Sachs & Co.
Petroleos Mexicanos		06/20/23		1.000%(Q)		545		2.427	%		(34,268	)		(36,167	)		1,899		Citigroup Global Markets
Petroleos Mexicanos		06/20/23		1.000%(Q)		185		2.427	%		(11,632	)		(12,581	)		949		Citigroup Global Markets
Petroleos Mexicanos		06/20/23		1.000%(Q)		185		2.427	%		(11,632	)		(12,353	)		721		Citigroup Global Markets
Republic of Brazil		09/20/18		1.000%(Q)		5,000		0.863	%		3,096			11,729			(8,633	)	BNP Paribas
Republic of Italy		09/20/20		1.000%(Q)		5,650		1.815	%		(95,962	)		26,213			(122,175	)	JPMorgan Chase
										$	(273,643	)	$	(321,629	)	$	47,986

Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Value at Trade Date			Value at June 30, 2018		Unrealized Appreciation (Depreciation)
Centrally Cleared Credit Default Swap Agreement on credit indices—Buy Protection(1):
CDX.NA.IG.29.V1		12/20/27		1.000%(Q)		5,957	$	(3,051	)	$	37,737	$	40,788

SEE NOTES TO FINANCIAL STATEMENTS.

A55

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Reference Entity/Obligation

Termination Date

Fixed Rate

Notional Amount (000)#(3)

Fair Value

Upfront Premiums Paid (Received)

Unrealized Appreciation (Depreciation)

Counterparty

OTC Credit Default Swap Agreement on credit indices—Buy Protection(1):

CMBX.NA.10.AAA

11/17/59

0.500%(M)

6,000

$

26,593

$

68,926

$

(42,333

)

Deutsche Bank AG

Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Implied Credit Spread at June 30, 2018(4)		Fair Value		Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)		Counterparty
OTC Credit Default Swap Agreements on credit indices—Sell Protection(2):
CMBX.NA.6.AA		05/11/63		1.500%(M)		650		*	$	7,232	$	(2,368	)	$	9,600	Deutsche Bank AG
CMBX.NA.6.AA		05/11/63		1.500%(M)		3,000		*	$	33,375		(1,485	)		34,860	Goldman Sachs & Co.
									$	40,607	$	(3,853	)	$	44,460

The Portfolio entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.

(1) If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(2) If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(3) Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

(4) Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements where the Portfolio is the seller of protection as of the reporting date serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

* Fair value of credit default swap agreement is based on price obtained from independent pricing service which used information provided by market dealers. The implied credit spread is not readily available.

Currency swap agreements outstanding at June 30, 2018:

Notional Amount (000)#

Fund Receives

Notional Amount (000)#

Fund Pays

Counterparty

Termination Date

Fair Value

Upfront Premiums Paid (Received)

Unrealized Appreciation (Depreciation)

OTC Currency Swap Agreement:

1,003

3 Month LIBOR(Q)

EUR         900

(0.613)%(A)

JPMorgan Chase

02/22/20

$

(39,680

)

$

—

$

(39,680

)

SEE NOTES TO FINANCIAL STATEMENTS.

A56

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Forward rate agreements outstanding at June 30, 2018:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Fair Value		Upfront Premiums		Unrealized Appreciation (Depreciation)		Counterparty
	OTC Forward Rate Agreements^:
	264,300		07/26/18		3.988%(T)	CMM 102(1)(T)	$	—	$	—	$	—	Citigroup Global Markets
	264,300		07/26/18		2.820%(T)	CMS(1)(T)		—		—		—	Citigroup Global Markets
							$	—	$	—	$	—

(1) The Portfolio pays the fixed rate and receives the floating rate.

(2) The Portfolio pays the floating rate and receives the fixed rate.

Inflation swap agreements outstanding at June 30, 2018:

Notional Amount (000)#			Termination Date		Fixed Rate	Floating Rate	Value at Trade Date			Value at June 30, 2018			Unrealized Appreciaton (Depreciation)
	Centrally Cleared Inflation Swap Agreements:
	EUR	4,060		08/15/22	1.240%(T)	Eurostat Eurozone HICP ex Tobacco(2)(T)	$	—		$	(58,770	)	$	(58,770	)
	EUR	3,750		09/15/22	1.260%(T)	Eurostat Eurozone HICP ex Tobacco(2)(T)		—			(52,167	)		(52,167	)
	EUR	2,035		08/15/27	1.415%(T)	Eurostat Eurozone HICP ex Tobacco(1)(T)		—			41,559			41,559
	EUR	1,825		09/15/27	1.438%(T)	Eurostat Eurozone HICP ex Tobacco(1)(T)		—			33,847			33,847
	GBP	1,010		08/15/42	3.520%(T)	U.K. Retail Price Index(2)(T)		(3,722	)		42,972			46,694
	GBP	350		08/15/47	3.469%(T)	U.K. Retail Price Index(1)(T)		—			(15,654	)		(15,654	)
	GBP	190		10/15/47	3.535%(T)	U.K. Retail Price Index(2)(T)		—			20,268			20,268
	GBP	255		08/15/57	3.363%(T)	U.K. Retail Price Index(1)(T)		—			(27,086	)		(27,086	)
	GBP	120		10/15/57	3.418%(T)	U.K. Retail Price Index(1)(T)		—			(22,817	)		(22,817	)
		3,650		10/25/27	2.160%(T)	U.S. CPI Urban Consumers NSA Index(2)(T)		85			(87,287	)		(87,372	)
							$	(3,637	)	$	(125,135	)	$	(121,498	)

(1) The Portfolio pays the fixed rate and receives the floating rate.

(2) The Portfolio pays the floating rate and receives the fixed rate.

Interest rate swap agreements outstanding at June 30, 2018:

Notional Amount (000)#			Termination Date		Fixed Rate	Floating Rate	Value at Trade Date			Value at June 30, 2018			Unrealized Appreciaton (Depreciation)
	Centrally Cleared Interest Rate Swap Agreements:
	BRL	21,376		01/04/21	8.660%(T)	1 Day BROIS(2)(T)	$	—		$	(6,625	)	$	(6,625	)
	BRL	35,249		01/04/21	8.670%(T)	1 Day BROIS(2)(T)		—			(7,744	)		(7,744	)
	BRL	18,970		01/04/21	9.350%(T)	1 Day BROIS(1)(T)		—			(117,440	)		(117,440	)
	BRL	18,735		01/04/21	9.470%(T)	1 Day BROIS(1)(T)		—			(137,895	)		(137,895	)
	BRL	12,798		01/04/21	10.000%(T)	1 Day BROIS(2)(T)		—			153,207			153,207
	BRL	8,070		01/04/21	10.050%(T)	1 Day BROIS(2)(T)		—			100,478			100,478
	BRL	12,351		01/04/21	10.250%(T)	1 Day BROIS(2)(T)		—			178,916			178,916
	BRL	25,346		01/04/21	10.300%(T)	1 Day BROIS(2)(T)		—			379,624			379,624
	BRL	6,412		01/02/23	9.260%(T)	1 Day BROIS(1)(T)		—			74,923			74,923
	BRL	10,735		01/02/23	9.280%(T)	1 Day BROIS(1)(T)		—			128,600			128,600
	BRL	10,680		01/02/25	9.570%(T)	1 Day BROIS(2)(T)		—			(293,576	)		(293,576	)
	BRL	17,593		01/02/25	9.685%(T)	1 Day BROIS(2)(T)		—			(451,257	)		(451,257	)
	BRL	7,875		01/02/25	9.920%(T)	1 Day BROIS(2)(T)		—			(150,366	)		(150,366	)
	BRL	7,815		01/02/25	10.040%(T)	1 Day BROIS(2)(T)		—			(129,336	)		(129,336	)
	EUR	9,735		05/11/19	(0.144)%(A)	6 Month EURIBOR(1)(S)		(17,481	)		(13,046	)		4,435
	EUR	1,420		05/11/21	0.100%(A)	6 Month EURIBOR(1)(S)		(3,472	)		(8,395	)		(4,923	)
	EUR	8,125		05/11/22	0.156%(A)	6 Month EURIBOR(1)(S)		(12,751	)		(28,901	)		(16,150	)
	EUR	4,650		05/11/23	0.650%(A)	6 Month EURIBOR(1)(S)		(41,668	)		(115,088	)		(73,420	)
	EUR	2,620		05/11/24	0.396%(A)	6 Month EURIBOR(1)(S)		15,866			(5,581	)		(21,447	)
	EUR	2,110		05/11/25	0.650%(A)	6 Month EURIBOR(1)(S)		(9,274	)		(25,562	)		(16,288	)
	EUR	3,815		05/11/26	0.750%(A)	6 Month EURIBOR(1)(S)		(5,567	)		(43,945	)		(38,378	)
	EUR	4,730		05/11/28	0.750%(A)	6 Month EURIBOR(1)(S)		194,883			51,809			(143,074	)

SEE NOTES TO FINANCIAL STATEMENTS.

A57

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest rate swap agreements outstanding at June 30, 2018 (continued):

Notional Amount (000)#			Termination Date		Fixed Rate	Floating Rate	Value at Trade Date			Value at June 30, 2018			Unrealized Appreciaton (Depreciation)
	Centrally Cleared Interest Rate Swap Agreements (continued):
	EUR	2,640		02/15/30	1.124%(A)	6 Month EURIBOR(1)(S)	$	(631	)	$	(54,501	)	$	(53,870	)
	EUR	1,640		05/11/30	0.850%(A)	6 Month EURIBOR(1)(S)		60,675			38,174			(22,501	)
	EUR	2,410		05/11/33	1.000%(A)	6 Month EURIBOR(1)(S)		144,652			84,133			(60,519	)
	EUR	5		05/11/35	1.050%(A)	6 Month EURIBOR(1)(S)		357			227			(130	)
	EUR	1,240		05/11/36	1.050%(A)	6 Month EURIBOR(1)(S)		102,375			66,906			(35,469	)
	EUR	230		05/11/37	1.253%(A)	6 Month EURIBOR(1)(S)		10,208			4,704			(5,504	)
	EUR	6,100		10/25/37	2.085%(A)	3 Month EURIBOR(2)(Q)		—			80,642			80,642
	EUR	6,100		10/25/37	2.114%(A)	6 Month EURIBOR(1)(S)		—			(74,624	)		(74,624	)
	EUR	195		05/11/42	1.350%(A)	6 Month EURIBOR(1)(S)		6,978			3,563			(3,415	)
	EUR	1,140		01/26/48	1.853%(A)	3 Month EURIBOR(2)(Q)		—			15,844			15,844
	EUR	1,140		01/26/48	1.863%(A)	6 Month EURIBOR(1)(S)		—			(15,729	)		(15,729	)
	EUR	3,920		03/19/48	1.650%(A)	3 Month EURIBOR(2)(Q)		—			7,688			7,688
	EUR	3,920		03/19/48	1.658%(A)	6 Month EURIBOR(1)(S)		—			(8,524	)		(8,524	)
	GBP	1,995		05/08/21	0.716%(S)	6 Month GBP LIBOR(1)(S)		23,776			30,359			6,583
	GBP	5,010		10/30/32	1.633%(S)	6 Month GBP LIBOR(2)(S)		1,183			26,903			25,720
	GBP	2,810		10/30/47	1.680%(S)	6 Month GBP LIBOR(1)(S)		—			(55,108	)		(55,108	)
		45,150		09/30/18	0.655%(A)	1 Day USOIS(1)(A)		253			425,069			424,816
		22,510		09/30/18	0.747%(A)	1 Day USOIS(1)(A)		200			190,958			190,758
		14,465		10/07/18	1.253%(A)	1 Day USOIS(1)(A)		—			53,209			53,209
		55,120		11/17/18	1.080%(T)	1 Day USOIS(1)(T)		274			358,523			358,249
		82,865		11/18/18	0.911%(A)	1 Day USOIS(1)(A)		(4,269	)		678,535			682,804
		92,210		02/15/19	1.820%(T)	1 Day USOIS(1)(T)		—			107,272			107,272
		14,618		03/31/19	1.431%(A)	1 Day USOIS(1)(A)		—			87,829			87,829
		14,825		03/31/19	1.431%(A)	1 Day USOIS(1)(A)		—			89,184			89,184
		6,015		06/30/19	1.486%(A)	1 Day USOIS(1)(A)		—			42,086			42,086
		28,605		06/30/19	1.502%(A)	1 Day USOIS(1)(A)		(13,976	)		192,247			206,223
		11,650		07/14/19	1.428%(A)	1 Day USOIS(1)(A)		—			92,601			92,601
		28,185		09/08/19	1.290%(A)	1 Day USOIS(1)(A)		—			359,833			359,833
		36,580		09/30/19	1.707%(A)	1 Day USOIS(1)(A)		10,331			238,417			228,086
		116,905		12/31/19	1.840%(A)	1 Day USOIS(1)(A)		328,612			820,529			491,917
		46,220		12/31/19	1.950%(A)	1 Day USOIS(1)(A)		14,346			236,775			222,429
		25,810		12/31/19	2.040%(A)	1 Day USOIS(1)(A)		280			91,549			91,269
		66,255		12/31/19	2.107%(A)	1 Day USOIS(1)(A)		7,124			140,200			133,076
		22,890		03/08/20	2.157%(A)	1 Day USOIS(1)(A)		—			47,291			47,291
		1,515		03/28/20	2.190%(A)	1 Day USOIS(1)(A)		(78	)		3,092			3,170
		16,870		03/31/20	2.295%(A)	1 Day USOIS(1)(A)		4,272			22,906			18,634
		35,490		03/31/20	2.369%(A)	1 Day USOIS(1)(A)		(7,669	)		3,795			11,464
		29,440		04/24/20	2.311%(A)	1 Day USOIS(1)(A)		—			9,442			9,442
		13,600		07/17/20	1.521%(A)	1 Day USOIS(1)(A)		—			228,308			228,308
		1,895		09/27/21	2.330%(A)	1 Day USOIS(1)(A)		(526	)		6,074			6,600
		5,260		05/31/22	2.353%(A)	1 Day USOIS(1)(A)		—			25,754			25,754
		4,490		09/27/22	2.360%(A)	1 Day USOIS(1)(A)		53			17,845			17,792
		6,920		02/15/24	2.115%(S)	3 Month LIBOR(1)(Q)		16,359			244,872			228,513
		16,137		02/15/24	2.151%(S)	3 Month LIBOR(1)(Q)		(17,628	)		538,632			556,260
		19,590		02/15/24	2.183%(S)	3 Month LIBOR(1)(Q)		(27,672	)		616,141			643,813
		3,650		05/15/24	1.808%(A)	1 Day USOIS(1)(A)		—			139,571			139,571
		11,070		08/15/24	2.168%(S)	3 Month LIBOR(1)(Q)		—			393,319			393,319
		88,455		08/15/24	2.170%(S)	3 Month LIBOR(1)(Q)		297,704			3,133,924			2,836,220
		29,940		08/15/24	2.176%(S)	3 Month LIBOR(1)(Q)		102,544			1,050,701			948,157
		34,400		11/15/24	2.334%(S)	3 Month LIBOR(1)(Q)		120,852			1,124,278			1,003,426
		3,900		02/14/25	—(3)	—(3)		—			3,424			3,424
		6,025		02/28/25	2.454%(A)	1 Day USOIS(1)(A)		5,664			20,290			14,626
		2,040		02/28/25	3.019%(S)	3 Month LIBOR(1)(Q)		—			(16,608	)		(16,608	)
		15,934		02/15/27	1.824%(A)	1 Day USOIS(1)(A)		211,227			852,754			641,527
		6,555		02/15/27	1.899%(A)	1 Day USOIS(1)(A)		7,830			310,912			303,082
		2,515		02/15/27	1.965%(A)	1 Day USOIS(1)(A)		—			105,782			105,782
		7,480		02/15/27	2.067%(A)	1 Day USOIS(1)(A)		(5,086	)		251,834			256,920
		5,020		05/08/27	2.309%(S)	3 Month LIBOR(1)(Q)		—			239,638			239,638

SEE NOTES TO FINANCIAL STATEMENTS.

A58

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest rate swap agreements outstanding at June 30, 2018 (continued):

Notional Amount (000)#			Termination Date		Fixed Rate	Floating Rate	Value at Trade Date			Value at June 30, 2018			Unrealized Appreciaton (Depreciation)
	Centrally Cleared Interest Rate Swap Agreements (continued):
		3,295		05/15/27	1.823%(A)	1 Day USOIS(1)(A)	$	—		$	183,288		$	183,288
		2,095		05/15/27	2.295%(S)	3 Month LIBOR(1)(Q)		—			102,472			102,472
		9,930		05/03/32	2.434%(S)	3 Month LIBOR(2)(Q)		—			(600,661	)		(600,661	)
		15,525		02/15/36	2.338%(S)	3 Month LIBOR(2)(Q)		(102,774	)		(1,279,516	)		(1,176,742	)
		7,865		05/03/37	2.508%(S)	3 Month LIBOR(1)(Q)		—			529,369			529,369
		3,815		03/16/38	2.987%(S)	3 Month LIBOR(2)(Q)		—			46,130			46,130
		2,905		02/15/42	1.369%(A)	1 Day USOIS(1)(A)		203			587,655			587,452
		3,090		10/04/42	2.527%(S)	3 Month LIBOR(2)(Q)		—			(233,718	)		(233,718	)
		580		11/15/43	2.659%(S)	3 Month LIBOR(1)(Q)		—			30,761			30,761
		1,835		09/27/46	1.380%(A)	1 Day USOIS(1)(A)		183			407,348			407,165
		2,720		10/04/47	2.536%(S)	3 Month LIBOR(1)(Q)		—			221,260			221,260
		2,865		03/16/48	2.970%(S)	3 Month LIBOR(1)(Q)		—			(45,528	)		(45,528	)
		1,100		04/09/48	2.545%(S)	3 Month LIBOR(1)(Q)		—			87,975			87,975
		1,020		05/08/48	2.627%(S)	3 Month LIBOR(1)(Q)		—			64,311			64,311
							$	1,418,742		$	13,363,390		$	11,944,648

Cash of $784,000 and securities with a combined market value of $15,298,690 have been segregated with Citigroup Global Markets to cover requirements for open centrally cleared swap contracts at June 30, 2018.

(1) The Portfolio pays the fixed rate and receives the floating rate.

(2) The Portfolio pays the floating rate and receives the fixed rate.

(3) The Portfolio pays the floating rate of 3 Month LIBOR quarterly and receives the floating rate of 1 Day USOIS plus 38.25 bps quarterly.

Total return swap agreements outstanding at June 30, 2018:

Counterparty	Termination Date		Long (Short) Notional Amount (000)#		Description	Fair Value	Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)(1)
OTC Total Return Swap Agreement:
Credit Suisse First Boston Corp.		1/12/41		2,984	Pay monthly variable payments based on 1 Month LIBOR and receive fixed payments based on IOS.FN30.450.10 Index	$(12,549)	$	(9,113	)	$	(3,436	)

(1) Upfront/recurring fees or commissions, as applicable, are included in the net unrealized appreciation (depreciation).

Balance Reported in the Statement of Assets and Liabilities for OTC Swap Agreements Table:

	Premiums Paid		Premiums Received			Unrealized Appreciation		Unrealized Depreciation
OTC Swap Agreements	$	156,513	$	(404,405	)	$	229,855	$	(217,608	)

Fair Value Measurements:

Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.

Level 1— unadjusted quoted prices generally in active markets for identical securities.

Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3— unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

SEE NOTES TO FINANCIAL STATEMENTS.

A59

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

The following is a summary of the inputs used as of June 30, 2018 in valuing such portfolio securities:

	Level 1		Level 2			Level 3
Investments in Securities
Asset-Backed Securities
Automobiles	$	—	$	1,996,999		$	—
Collateralized Loan Obligations		—		222,008,686			—
Consumer Loans		—		26,394,375			—
Home Equity Loans		—		23,774,464			—
Residential Mortgage-Backed Securities		—		23,610,350			6,829,450
Student Loans		—		4,592,480			—
Bank Loans		—		10,312,283			—
Commercial Mortgage-Backed Securities		—		165,591,575			—
Corporate Bonds		—		428,117,209			—
Municipal Bonds		—		21,401,432			—
Residential Mortgage-Backed Securities		—		38,372,722			—
Sovereign Bonds		—		62,757,275			—
U.S. Government Agency Obligations		—		12,252,334			—
U.S. Treasury Obligations		—		27,009,299			—
Preferred Stocks		2,133,700		—			—
Affiliated Mutual Funds		67,943,669		—			—
Commercial Paper		—		3,932,630			—
Option Purchased		—		7,395			—
Option Written		—		(38,196	)		—
Other Financial Instruments*
Futures Contracts		9,531,718		—			—
OTC Forward Foreign Currency Exchange Contracts		—		2,958,864			—
Centrally Cleared Credit Default Swap Agreements		—		(81,572	)		—
OTC Credit Default Swap Agreements		—		(190,017	)		6,601
OTC Currency Swap Agreement		—		(39,680	)		—
OTC Forward Rate Swap Agreements		—		—			—
Centrally Cleared Inflation Swap Agreements		—		(121,498	)		—
Centrally Cleared Interest Rate Swap Agreements		—		11,944,648			—
OTC Total Return Swap Agreement		—		(12,549	)		—
Total	$	79,609,087	$	1,086,551,508		$	6,836,051

* Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value.

During the period, there were no transfers between Level 1, Level 2 and Level 3 to report.

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2018 were as follows:

Collateralized Loan Obligations	19.4	%
Commercial Mortgage-Backed Securities	14.5
Banks	11.7
Residential Mortgage-Backed Securities	5.9
Affiliated Mutual Funds (1.4% represents investments purchased with collateral from securities on loan)	6.0
Sovereign Bonds	5.5
Media	2.5
U.S. Treasury Obligations	2.4
Oil & Gas	2.3
Consumer Loans	2.3
Electric	2.3
Home Equity Loans	2.1
Municipal	1.9
Pharmaceuticals	1.5
Healthcare-Services	1.3
Chemicals	1.3

Insurance	1.2	%
U.S. Government Agency Obligations	1.1
Telecommunications	1.0
Food	0.9
Pipelines	0.9
Auto Manufacturers	0.9
Healthcare-Products	0.7
Software	0.7
Semiconductors	0.7
Diversified Financial Services	0.6
Airlines	0.6
Retail	0.6
Multi-National	0.5
Aerospace & Defense	0.5
Commercial Services	0.4
Auto Parts & Equipment	0.4
Packaging & Containers	0.4

SEE NOTES TO FINANCIAL STATEMENTS.

A60

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Industry Classification (continued):

Student Loans	0.4	%
Technology	0.4
Machinery-Diversified	0.4
Home Builders	0.4
Commercial Paper	0.3
Agriculture	0.3
Building Materials	0.3
Gas	0.3
Lodging	0.3
Miscellaneous Manufacturing	0.2
Mining	0.2
Apparel	0.2
Forest Products & Paper	0.2
Internet	0.2
Automobiles	0.2
Biotechnology	0.2
Housewares	0.2
Savings & Loans	0.1
Real Estate Investment Trusts (REITs)	0.1
Beverages	0.1

Office/Business Equipment	0.1	%
Electronics	0.1
Oil, Gas & Coal	0.1
Computers	0.1
Home Furnishings	0.1
Oil & Gas Services	0.0	*
Entertainment	0.0	*
Textiles	0.0	*
Iron/Steel	0.0	*
Engineering & Construction	0.0	*
Option Purchased	0.0	*
Option Written	0.0	*
	100.5
Liabilities in excess of other assets	(0.5	)
	100.0	%

* Less than +/- 0.05%

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk, foreign exchange contracts risk and interest rate contracts risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Balance Sheet Location	Fair Value			Balance Sheet Location	Fair Value
Credit contracts	Due from/to broker — variation margin swaps	$	40,788	*	Due from/to broker — variation margin swaps	$	122,360	*
Credit contracts	Premiums paid for OTC swap agreements		156,513		Premiums received for OTC swap agreements		395,292
Credit contracts	Unaffiliated investments		7,395		Options written outstanding, at value		38,196
Credit contracts	Unrealized appreciation on OTC swap agreements		229,855		Unrealized depreciation on OTC swap agreements		174,492
Foreign exchange contracts	Unrealized appreciation on OTC forward foreign currency exchange contracts		2,997,619		Unrealized depreciation on OTC forward foreign currency exchange contracts		38,755
Interest rate contracts	Due from/to broker — variation margin futures		9,945,670	*	Due from/to broker — variation margin futures		413,952	*
Interest rate contracts	Due from/to broker — variation margin swaps		16,103,585	*	Due from/to broker — variation margin swaps		4,280,435	*
Interest rate contracts	—		—		Premiums received for OTC swap agreements		9,113
Interest rate contracts	—		—		Unrealized depreciation on OTC swap agreements		43,116
		$	29,481,425			$	5,515,711

* Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2018 are as follows:

SEE NOTES TO FINANCIAL STATEMENTS.

A61

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Options Purchased(1)			Options Written		Futures			Forward Currency Contracts			Swaps
Credit contracts	$	(79,600	)	$	248,096	$	—		$	—		$	104,321
Foreign exchange contracts		—			—		—			(1,281,417	)		—
Interest rate contracts		(641,200	)		633,805		(27,682,846	)		—			5,308,367
Total	$	(720,800	)	$	881,901	$	(27,682,846	)	$	(1,281,417	)	$	5,412,688

(1) Included in net realized gain (loss) on investment transactions in the Statement of Operations.

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Options Purchased(2)			Options Written			Futures		Forward Currency Contracts		Swaps
Credit contracts	$	(19,833	)	$	(110,267	)	$	—	$	—	$	149,249
Foreign exchange contracts		—			—			—		3,835,753		—
Interest rate contracts		294,459			(259,584	)		10,638,014		—		5,821,014
Total	$	274,626		$	(369,851	)	$	10,638,014	$	3,835,753	$	5,970,263

(2) Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations.

SEE NOTES TO FINANCIAL STATEMENTS.

A62

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

For the six months ended June 30, 2018, the Portfolio’s average volume of derivative activities is as follows:

Options Purchased(1)	Options Written(3)	Futures Contracts- Long Positions(3)	Futures Contracts- Short Positions(3)	Forward Foreign Currency Exchange Contracts- Purchased(2)
$478,188	$210,362,288	$886,422,702	$274,050,739	$4,310,890

Forward Foreign Currency  Exchange Contracts-Sold(2)	Forward Rate Agreements(3)	Inflation Swap Agreements(3)	Interest Rate Swap Agreements(3)	Credit Default Swap Agreements- Buy Protection(3)
$64,222,111	$176,200,000	$23,284,374	$1,500,585,207	$12,984,000

Credit Default Swap Agreements- Sell Protection(3)	Currency Swap Agreements(3)	Total Return Swap Agreements(3)
$35,636,000	$14,462,333	$3,120,667

(1) Cost.

(2) Value at Settlement Date.

(3) Notional Amount in USD.

Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:

The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivative and financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:

Description	Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(2)			Net Amount
Securities on Loan	$	15,440,214	$	(15,440,214	)	$	—

Offsetting of OTC derivative assets and liabilities:

Counterparty	Gross Amounts of Recognized Assets(1)		Gross Amounts of Recognized Liabilities(1)			Net Amounts of Recognized Assets/(Liabilities)			Collateral Pledged/(Received)(2)			Net Amount
Bank of America	$	285,651	$	(22	)	$	285,629		$	—		$	285,629
Barclays Capital Group		43,798		(108,125	)		(64,327	)		—			(64,327	)
BNP Paribas		11,729		(8,633	)		3,096			—			3,096
Citigroup Global Markets		139,785		(311,535	)		(171,750	)		70,000			(101,750	)
Credit Suisse First Boston Corp.		—		(12,549	)		(12,549	)		—			(12,549	)
Deutsche Bank AG		78,526		(44,701	)		33,825			—			33,825
Goldman Sachs & Co.		96,086		(51,544	)		44,542			—			44,542
JPMorgan Chase		60,336		(161,855	)		(101,519	)		—			(101,519	)
Toronto Dominion		2,674,446		—			2,674,446			(2,674,446	)		—
UBS AG		1,025		—			1,025			—			1,025
	$	3,391,382	$	(698,964	)	$	2,692,418		$	(2,604,446	)	$	87,972

(1) Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities.

(2) Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty.

SEE NOTES TO FINANCIAL STATEMENTS.

A63

DIVERSIFIED BOND PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES (unaudited) as of June 30, 2018

ASSETS
Investments at value, including securities on loan of $15,440,214:
Unaffiliated investments (cost $1,079,667,996)	$	1,081,094,658
Affiliated investments (cost $68,253,551)		67,943,669
Cash		44,049
Foreign currency, at value (cost $2,724,499)		2,724,366
Deposit with broker for futures		2,140,000
Cash segregated for counterparty-OTC		70,000
Deposit with broker for centrally cleared swaps		784,000
Dividends and interest receivable		9,469,980
Unrealized appreciation on OTC forward foreign currency exchange contracts		2,997,619
Receivable for investments sold		1,252,648
Unrealized appreciation on OTC swap agreements		229,855
Premiums paid for OTC swap agreements		156,513
Due from broker-variation margin swaps		124,905
Receivable for Series shares sold		88,078
Tax reclaim receivable		39,208
Prepaid expenses		1,183
Total Assets		1,169,160,731
LIABILITIES
Payable to broker for collateral for securities on loan		15,752,843
Payable for investments purchased		9,117,266
Premiums received for OTC swap agreements		404,405
Management fee payable		374,265
Unrealized depreciation on OTC swap agreements		217,608
Accrued expenses and other liabilities		168,192
Due to broker-variation margin futures		113,712
Payable for Series shares repurchased		103,871
Unrealized depreciation on OTC forward foreign currency exchange contracts		38,755
Options written outstanding, at value (proceeds received $62,150)		38,196
Affiliated transfer agent fee payable		980
Total Liabilities		26,330,093
NET ASSETS	$	1,142,830,638
Net assets were comprised of:
Partners Equity	$	1,142,830,638
Net asset value and redemption price per share $1,142,830,638 / 88,458,286 outstanding shares of beneficial interest	$	12.92

STATEMENT OF OPERATIONS (unaudited)

Six Months Ended June 30, 2018

NET INVESTMENT INCOME (LOSS)
INCOME
Interest income (net of $156 foreign withholding tax)	$	20,536,724
Affiliated dividend income		720,013
Unaffiliated dividend income		68,561
Income from securities lending, net (including affiliated income of $37,584)		44,279
Total income		21,369,577
EXPENSES
Management fee		2,260,451
Custodian and accounting fees		88,476
Shareholders’ reports		61,511
Audit fee		26,593
Trustees’ fees		10,057
Legal fees and expenses		6,182
Transfer agent’s fees and expenses (including affiliated expense of $2,941)		5,297
Miscellaneous		16,005
Total expenses		2,474,572
NET INVESTMENT INCOME (LOSS)		18,895,005
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(1,202,474))		(365,040	)
Futures transactions		(27,682,846	)
Forward currency contract transactions		(1,281,417	)
Options written transactions		881,901
Swap agreements transactions		5,412,688
Foreign currency transactions		(161,679	)
		(23,196,393	)
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $1,143,418)		(35,336,024	)
Futures		10,638,014
Forward currency contracts		3,835,753
Options written		(369,851	)
Swap agreements		5,970,263
Foreign currencies		128,990
		(15,132,855	)
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(38,329,248	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(19,434,243	)

STATEMENTS OF CHANGES IN NET ASSETS (unaudited)

	Six Months Ended June 30, 2018			Year Ended December 31, 2017
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	18,895,005		$	36,839,384
Net realized gain (loss) on investment and foreign currency transactions		(23,196,393	)		17,744,973
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(15,132,855	)		20,986,202
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(19,434,243	)		75,570,559
SERIES SHARE TRANSACTIONS
Series shares sold [5,956,990 and 8,208,158 shares, respectively]		77,246,847			106,613,787
Series shares repurchased [4,655,630 and 10,992,821 shares, respectively]		(60,080,083	)		(141,664,847	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		17,166,764			(35,051,060	)
TOTAL INCREASE (DECREASE)		(2,267,479	)		40,519,499
NET ASSETS:
Beginning of period		1,145,098,117			1,104,578,618
End of period	$	1,142,830,638		$	1,145,098,117

SEE NOTES TO FINANCIAL STATEMENTS.

A64

EQUITY PORTFOLIO

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

LONG-TERM INVESTMENTS — 95.4%
COMMON STOCKS	Shares		Value
Aerospace & Defense — 3.7%
Boeing Co. (The)		390,413	$	130,987,466
United Technologies Corp.		304,499		38,071,510
				169,058,976
Air Freight & Logistics — 1.3%
FedEx Corp.		267,139		60,656,581
Automobiles — 1.1%
Tesla, Inc.*(a)		145,856		50,021,315
Banks — 8.8%
Bank of America Corp.		2,339,339		65,945,966
BB&T Corp.		1,188,642		59,955,103
Citigroup, Inc.		706,606		47,286,074
JPMorgan Chase & Co.		1,668,119		173,818,000
PNC Financial Services Group, Inc. (The)		360,304		48,677,070
				395,682,213
Beverages — 0.6%
Constellation Brands, Inc. (Class A Stock)		118,146		25,858,615
Biotechnology — 0.6%
BioMarin Pharmaceutical, Inc.*		273,588		25,771,990
Building Products — 0.5%
Johnson Controls International PLC		635,801		21,267,543
Capital Markets — 0.8%
Goldman Sachs Group, Inc. (The)		155,513		34,301,502
Chemicals — 1.5%
DowDuPont, Inc.		572,874		37,763,854
FMC Corp.		343,464		30,640,423
				68,404,277
Communications Equipment — 1.1%
Cisco Systems, Inc.		1,110,092		47,767,259
Consumer Finance — 1.5%
Capital One Financial Corp.		410,023		37,681,114
SLM Corp.*		2,678,543		30,669,317
				68,350,431
Containers & Packaging — 0.5%
Sealed Air Corp.		557,252		23,655,347
Electric Utilities — 2.1%
American Electric Power Co., Inc.		761,271		52,718,017
Exelon Corp.		1,012,147		43,117,462
				95,835,479
Electrical Equipment — 0.7%
Emerson Electric Co.		484,436		33,493,905
Electronic Equipment, Instruments & Components — 0.7%
Flex Ltd.*		2,207,482		31,147,571
Energy Equipment & Services — 1.0%
Halliburton Co.		952,991		42,941,774
Equity Real Estate Investment Trusts (REITs) — 1.0%
American Tower Corp.		315,114		45,429,985

COMMON STOCKS (continued)	Shares		Value
Food & Staples Retailing — 2.1%
Costco Wholesale Corp.		207,538	$	43,371,291
Walmart, Inc.		582,642		49,903,288
				93,274,579
Food Products — 1.6%
Conagra Brands, Inc.(a)		976,938		34,905,995
Mondelez International, Inc. (Class A Stock)		917,948		37,635,868
				72,541,863
Health Care Equipment & Supplies — 0.8%
Zimmer Biomet Holdings, Inc.		338,011		37,667,946
Health Care Providers & Services — 2.3%
Laboratory Corp. of America Holdings*		236,436		42,447,355
UnitedHealth Group, Inc.		242,635		59,528,071
				101,975,426
Hotels, Restaurants & Leisure — 2.4%
Carnival Corp.		372,907		21,371,300
Marriott International, Inc. (Class A Stock)		430,782		54,537,001
McDonald’s Corp.		215,586		33,780,171
				109,688,472
Insurance — 1.9%
Brighthouse Financial, Inc.*		381,877		15,301,811
Chubb Ltd.		332,032		42,174,705
MetLife, Inc.		628,652		27,409,227
				84,885,743
Internet & Direct Marketing Retail — 6.6%
Amazon.com, Inc.*		83,559		142,033,588
Booking Holdings, Inc.*		25,426		51,540,790
Netflix, Inc.*		265,353		103,867,125
				297,441,503
Internet Software & Services — 11.1%
Alibaba Group Holding Ltd. (China), ADR*(a)		580,439		107,688,848
Alphabet, Inc. (Class A Stock)*		85,153		96,153,916
Alphabet, Inc. (Class C Stock)*		55,103		61,475,662
eBay, Inc.*		902,417		32,721,641
Facebook, Inc. (Class A Stock)*		479,126		93,103,764
MercadoLibre, Inc. (Argentina)(a)		82,180		24,566,067
Tencent Holdings Ltd. (China)		1,725,980		86,670,781
				502,380,679
IT Services — 6.2%
DXC Technology Co.		316,326		25,499,039
Mastercard, Inc. (Class A Stock)		492,144		96,716,139
PayPal Holdings, Inc.*		574,140		47,808,638
Square, Inc. (Class A Stock)*(a)		392,997		24,224,335
Visa, Inc. (Class A Stock)(a)		630,715		83,538,201
				277,786,352
Life Sciences Tools & Services — 0.8%
Illumina, Inc.*		135,298		37,787,378

SEE NOTES TO FINANCIAL STATEMENTS.

A65

EQUITY PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Media — 1.9%
Comcast Corp. (Class A Stock)		727,735	$	23,876,985
Liberty Global PLC (United Kingdom) (Class C Stock)*		1,105,022		29,404,636
Twenty-First Century Fox, Inc. (Class A Stock)		690,819		34,326,796
				87,608,417
Oil, Gas & Consumable Fuels — 4.0%
Anadarko Petroleum Corp.		404,491		29,628,966
Chevron Corp.		464,400		58,714,092
Noble Energy, Inc.		867,222		30,595,592
Royal Dutch Shell PLC (Netherlands) (Class A Stock), ADR		860,992		59,606,476
				178,545,126
Personal Products — 1.0%
Estee Lauder Cos., Inc. (The) (Class A Stock)		330,666		47,182,732
Pharmaceuticals — 3.8%
Allergan PLC		151,673		25,286,923
AstraZeneca PLC (United Kingdom), ADR(a)		1,432,887		50,308,663
Eli Lilly & Co.		499,709		42,640,169
Pfizer, Inc.		1,435,148		52,067,169
				170,302,924
Road & Rail — 0.8%
Union Pacific Corp.		253,155		35,867,000
Semiconductors & Semiconductor Equipment — 4.5%
Broadcom, Inc.		216,926		52,634,925
NVIDIA Corp.		259,034		61,365,154
Texas Instruments, Inc.		801,003		88,310,581
				202,310,660
Software — 9.6%
Activision Blizzard, Inc.		603,993		46,096,746
Adobe Systems, Inc.*		328,798		80,164,240
Microsoft Corp.		1,616,011		159,354,845
PTC, Inc.*		376,553		35,324,437
salesforce.com, Inc.*		591,460		80,675,144
Workday, Inc. (Class A Stock)*(a)		267,613		32,413,286
				434,028,698
Specialty Retail — 1.1%
Home Depot, Inc. (The)		252,657		49,293,381

COMMON STOCKS (continued)	Shares		Value
Technology Hardware, Storage & Peripherals — 2.0%
Apple, Inc.		485,151	$	89,806,302
Textiles, Apparel & Luxury Goods — 2.7%
Kering SA (France)		97,145		54,721,833
NIKE, Inc. (Class B Stock)		482,765		38,466,715
Tapestry, Inc.		648,030		30,269,482
				123,458,030
Wireless Telecommunication Services — 0.7%
Vodafone Group PLC (United Kingdom), ADR		1,338,919		32,549,121
TOTAL LONG-TERM INVESTMENTS (cost $2,703,018,869)				4,306,027,095
SHORT-TERM INVESTMENTS — 10.9%
AFFILIATED MUTUAL FUNDS
PGIM Core Ultra Short Bond Fund(w)		177,974,965		177,974,965
PGIM Institutional Money Market Fund (cost $312,970,711; includes $312,394,531 of cash collateral for securities on loan)(b)(w)		312,983,688		313,014,987
TOTAL SHORT-TERM INVESTMENTS (cost $490,945,676)				490,989,952
TOTAL INVESTMENTS — 106.3% (cost $3,193,964,545)				4,797,017,047
LIABILITIES IN EXCESS OF OTHER ASSETS — (6.3)%				(284,709,798	)
NET ASSETS — 100.0%			$	4,512,307,249

See the Glossary for abbreviations used in the semiannual report.

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $302,736,977; cash collateral of $312,394,531 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b) Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

(w) PGIM Investments LLC, the manager of the Portfolio, also serves as manager of PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

Fair Value Measurements:

Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.

Level 1— unadjusted quoted prices generally in active markets for identical securities.

Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3— unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

SEE NOTES TO FINANCIAL STATEMENTS.

A66

EQUITY PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

The following is a summary of the inputs used as of June 30, 2018 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	169,058,976	$	—	$	—
Air Freight & Logistics		60,656,581		—		—
Automobiles		50,021,315		—		—
Banks		395,682,213		—		—
Beverages		25,858,615		—		—
Biotechnology		25,771,990		—		—
Building Products		21,267,543		—		—
Capital Markets		34,301,502		—		—
Chemicals		68,404,277		—		—
Communications Equipment		47,767,259		—		—
Consumer Finance		68,350,431		—		—
Containers & Packaging		23,655,347		—		—
Electric Utilities		95,835,479		—		—
Electrical Equipment		33,493,905		—		—
Electronic Equipment, Instruments & Components		31,147,571		—		—
Energy Equipment & Services		42,941,774		—		—
Equity Real Estate Investment Trusts (REITs)		45,429,985		—		—
Food & Staples Retailing		93,274,579		—		—
Food Products		72,541,863		—		—
Health Care Equipment & Supplies		37,667,946		—		—
Health Care Providers & Services		101,975,426		—		—
Hotels, Restaurants & Leisure		109,688,472		—		—
Insurance		84,885,743		—		—
Internet & Direct Marketing Retail		297,441,503		—		—
Internet Software & Services		415,709,898		86,670,781		—
IT Services		277,786,352		—		—
Life Sciences Tools & Services		37,787,378		—		—
Media		87,608,417		—		—
Oil, Gas & Consumable Fuels		178,545,126		—		—
Personal Products		47,182,732		—		—
Pharmaceuticals		170,302,924		—		—
Road & Rail		35,867,000		—		—
Semiconductors & Semiconductor Equipment		202,310,660		—		—
Software		434,028,698		—		—
Specialty Retail		49,293,381		—		—
Technology Hardware, Storage & Peripherals		89,806,302		—		—
Textiles, Apparel & Luxury Goods		68,736,197		54,721,833		—
Wireless Telecommunication Services		32,549,121		—		—
Affiliated Mutual Funds		490,989,952		—		—
Total	$	4,655,624,433	$	141,392,614	$	—

During the period, there were no transfers between Level 1, Level 2 and Level 3 to report.

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2018 were as follows:

Internet Software & Services	11.1	%
Affiliated Mutual Funds (6.9% represents investments purchased with collateral from securities on loan)	10.9
Software	9.6
Banks	8.8
Internet & Direct Marketing Retail	6.6
IT Services	6.2
Semiconductors & Semiconductor Equipment	4.5
Oil, Gas & Consumable Fuels	4.0
Pharmaceuticals	3.8

Aerospace & Defense	3.7	%
Textiles, Apparel & Luxury Goods	2.7
Hotels, Restaurants & Leisure	2.4
Health Care Providers & Services	2.3
Electric Utilities	2.1
Food & Staples Retailing	2.1
Technology Hardware, Storage & Peripherals	2.0
Media	1.9
Insurance	1.9
Food Products	1.6

SEE NOTES TO FINANCIAL STATEMENTS.

A67

EQUITY PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Industry Classification (continued):

Chemicals	1.5	%
Consumer Finance	1.5
Air Freight & Logistics	1.3
Automobiles	1.1
Specialty Retail	1.1
Communications Equipment	1.1
Personal Products	1.0
Equity Real Estate Investment Trusts (REITs)	1.0
Energy Equipment & Services	1.0
Life Sciences Tools & Services	0.8
Health Care Equipment & Supplies	0.8
Road & Rail	0.8
Capital Markets	0.8

Electrical Equipment	0.7	%
Wireless Telecommunication Services	0.7
Electronic Equipment, Instruments & Components	0.7
Beverages	0.6
Biotechnology	0.6
Containers & Packaging	0.5
Building Products	0.5
	106.3
Liabilities in excess of other assets	(6.3	)
	100.0	%

Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:

The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:

Description	Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(1)			Net Amount
Securities on Loan	$	302,736,977	$	(302,736,977	)	$	—

(1) Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A68

EQUITY PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES (unaudited)

as of June 30, 2018

ASSETS
Investments at value, including securities on loan of $302,736,977:
Unaffiliated investments (cost $2,703,018,869)	$	4,306,027,095
Affiliated investments (cost $490,945,676)		490,989,952
Receivable for investments sold		44,049,312
Dividends and interest receivable		3,205,676
Tax reclaim receivable		1,186,753
Receivable for Series shares sold		219
Prepaid expenses		4,210
Total Assets		4,845,463,217
LIABILITIES
Payable to broker for collateral for securities on loan		312,394,531
Payable for investments purchased		16,809,436
Management fee payable		1,707,047
Payable for Series shares repurchased		987,539
Accrued expenses and other liabilities		665,670
Payable to affiliate		587,993
Payable to custodian		2,099
Affiliated transfer agent fee payable		980
Distribution fee payable		364
Administration fee payable		309
Total Liabilities		333,155,968
NET ASSETS	$	4,512,307,249
Net assets were comprised of:
Partners Equity	$	4,512,307,249
Class I:
Net asset value and redemption price per share, $4,510,669,883 / 82,625,642 outstanding shares of beneficial interest	$	54.59
Class II:
Net asset value and redemption price per share, $1,637,366 / 30,335 outstanding shares of beneficial interest	$	53.98

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2018

NET INVESTMENT INCOME (LOSS) INCOME
Unaffiliated dividend income (net of $342,724 foreign withholding tax)	$	31,038,006
Affiliated dividend income		1,005,392
Income from securities lending, net (including affiliated income of $528,260)		804,048
Total income		32,847,446
EXPENSES
Management fee		10,187,546
Distribution fee—Class II		2,513
Administration fee—Class II		1,508
Custodian and accounting fees		151,116
Shareholders’ reports		131,142
Trustees’ fees		25,321
Audit fee		13,116
Legal fees and expenses		10,735
Transfer agent’s fees and expenses (including affiliated expense of $2,941)		5,298
Miscellaneous		37,272
Total expenses		10,565,567
NET INVESTMENT INCOME (LOSS)		22,281,879
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $4,524)		157,938,449
Foreign currency transactions		(58,255	)
		157,880,194
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $43,915)		81,771,287
Foreign currencies		(9,062	)
		81,762,225
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		239,642,419
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	261,924,298

STATEMENTS OF CHANGES IN NET ASSETS

(unaudited)

	Six Months Ended June 30, 2018			Year Ended December 31, 2017
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	22,281,879		$	36,631,169
Net realized gain (loss) on investment and foreign currency transactions		157,880,194			337,897,437
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		81,762,225			560,989,236
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		261,924,298			935,517,842
SERIES SHARE TRANSACTIONS
Series shares sold		13,380,893			7,725,478
Series shares repurchased		(180,514,670	)		(269,394,297	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(167,133,777	)		(261,668,819	)
CAPITAL CONTRIBUTIONS		276,734			—
TOTAL INCREASE (DECREASE)		95,067,255			673,849,023
NET ASSETS:
Beginning of period		4,417,239,994			3,743,390,971
End of period	$	4,512,307,249		$	4,417,239,994

SEE NOTES TO FINANCIAL STATEMENTS.

A69

FLEXIBLE MANAGED PORTFOLIO

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

LONG-TERM INVESTMENTS — 94.4%
COMMON STOCKS — 63.3%	Shares		Value
Aerospace & Defense — 1.6%
Dassault Aviation SA (France)		148	$	281,417
General Dynamics Corp.		31,300		5,834,633
Harris Corp.		43,300		6,258,582
Huntington Ingalls Industries, Inc.		8,100		1,755,999
Lockheed Martin Corp.		69,700		20,591,471
Northrop Grumman Corp.		6,600		2,030,820
Raytheon Co.		100,400		19,395,272
Safran SA (France)		834		101,002
Spirit AeroSystems Holdings, Inc. (Class A Stock)(a)		100,100		8,599,591
				64,848,787
Air Freight & Logistics — 0.0%
FedEx Corp.		3,900		885,534
Royal Mail PLC (United Kingdom)		2,875		19,127
				904,661
Airlines — 0.1%
Deutsche Lufthansa AG (Germany)		2,570		61,571
easyJet PLC (United Kingdom)		1,884		41,448
International Consolidated Airlines Group SA (United Kingdom)		2,273		19,891
Japan Airlines Co. Ltd. (Japan)		400		14,173
Southwest Airlines Co.		53,200		2,706,816
				2,843,899
Auto Components — 0.0%
Cie Generale des Etablissements Michelin SCA (France)		428		51,779
Faurecia SA (France)		258		18,340
Koito Manufacturing Co. Ltd. (Japan)		300		19,816
Tenneco, Inc.		28,500		1,252,860
Toyota Industries Corp. (Japan)		500		27,988
				1,370,783
Automobiles — 0.6%
Bayerische Motoren Werke AG (Germany)		843		76,201
Ferrari NV (Italy)		347		46,904
Fiat Chrysler Automobiles NV (United Kingdom)*		2,781		52,461
General Motors Co.		490,700		19,333,580
Honda Motor Co. Ltd. (Japan)		4,000		117,284
Mitsubishi Motors Corp. (Japan)		2,100		16,740
Peugeot SA (France)		11,575		263,740
Suzuki Motor Corp. (Japan)		4,000		220,432
Thor Industries, Inc.		49,600		4,830,544
Toyota Motor Corp. (Japan)		5,700		368,613
Volkswagen AG (Germany)		91		14,960
				25,341,459
Banks — 3.8%
ABN AMRO Group NV (Netherlands), CVA, 144A		11,523		298,006
Banco Santander SA (Spain)		1,682		8,989
Bank Leumi Le-Israel BM (Israel)		44,233		261,730
Bank of America Corp.		1,678,600		47,319,734

COMMON STOCKS (continued)	Shares		Value
Banks (continued)
Bank of East Asia Ltd. (The) (Hong Kong)		72,200	$	287,764
Bank of Ireland Group PLC (Ireland)		2,397		18,601
BB&T Corp.		352,200		17,764,968
BNP Paribas SA (France)		2,805		173,509
CaixaBank SA (Spain)		9,056		38,980
Citigroup, Inc.		456,900		30,575,748
Commonwealth Bank of Australia (Australia)		163		8,791
Concordia Financial Group Ltd. (Japan)		3,900		19,819
Danske Bank A/S (Denmark)		1,879		58,538
DBS Group Holdings Ltd. (Singapore)		11,600		225,585
DNB ASA (Norway)		14,343		279,302
Fukuoka Financial Group, Inc. (Japan)		2,000		10,037
Hang Seng Bank Ltd. (Hong Kong)		4,400		109,870
HSBC Holdings PLC (United Kingdom)		27,769		259,483
Intesa Sanpaolo SpA (Italy)		124,210		359,374
JPMorgan Chase & Co.		559,094		58,257,595
KBC Group NV (Belgium)		627		48,154
Lloyds Banking Group PLC (United Kingdom)		311,700		258,623
Mebuki Financial Group, Inc. (Japan)		3,200		10,734
Mediobanca Banca di Credito Finanziario SpA (Italy)		1,547		14,310
Mitsubishi UFJ Financial Group, Inc. (Japan)		37,900		214,699
Mizuho Financial Group, Inc. (Japan)		60,400		101,743
Oversea-Chinese Banking Corp. Ltd. (Singapore)		7,800		66,439
Raiffeisen Bank International AG (Austria)		450		13,788
Resona Holdings, Inc. (Japan)		56,900		303,264
Sumitomo Mitsui Financial Group, Inc. (Japan)		3,400		132,620
Swedbank AB (Sweden) (Class A Stock)		2,270		48,365
UniCredit SpA (Italy)		5,129		85,010
United Overseas Bank Ltd. (Singapore)		3,300		64,676
				157,698,848
Beverages — 1.2%
Asahi Group Holdings Ltd. (Japan)		1,100		56,417
Coca-Cola Amatil Ltd. (Australia)		1,715		11,665
Coca-Cola Co. (The)		401,500		17,609,790
Coca-Cola European Partners PLC (United Kingdom)		7,400		300,736
Diageo PLC (United Kingdom)		6,088		218,717
Heineken Holding NV (Netherlands)		367		35,098
Kirin Holdings Co. Ltd. (Japan)		11,700		313,617
PepsiCo, Inc.		295,320		32,151,488
				50,697,528
Biotechnology — 1.4%
AbbVie, Inc.		48,200		4,465,730
Amgen, Inc.		84,408		15,580,873
Biogen, Inc.*		30,100		8,736,224
Celgene Corp.*		200,100		15,891,942

SEE NOTES TO FINANCIAL STATEMENTS.

A70

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Biotechnology (continued)
CSL Ltd. (Australia)		1,430	$	203,550
Gilead Sciences, Inc.		172,100		12,191,564
				57,069,883
Building Products — 0.1%
AGC, Inc. (Japan)		4,000		155,584
Universal Forest Products, Inc.		75,700		2,772,134
				2,927,718
Capital Markets — 1.4%
Affiliated Managers Group, Inc.		34,100		5,069,647
Ameriprise Financial, Inc.		108,600		15,190,968
ASX Ltd. (Australia)		612		29,173
BlackRock, Inc.		6,500		3,243,760
Daiwa Securities Group, Inc. (Japan)		13,000		75,346
Evercore, Inc. (Class A Stock)		56,700		5,979,015
Franklin Resources, Inc.		69,500		2,227,475
Invesco Ltd.		17,000		451,520
Macquarie Group Ltd. (Australia)		3,758		342,490
Morgan Stanley		30,300		1,436,220
Natixis SA (France)		2,711		19,182
Nomura Holdings, Inc. (Japan)		8,700		42,100
Northern Trust Corp.		61,600		6,338,024
Partners Group Holding AG (Switzerland)		413		301,922
Quilter PLC (United Kingdom), 144A*		5,186		9,918
State Street Corp.		158,900		14,792,001
T. Rowe Price Group, Inc.		36,600		4,248,894
				59,797,655
Chemicals — 1.1%
Asahi Kasei Corp. (Japan)		3,800		48,190
BASF SE (Germany)		2,317		221,201
Chemours Co. (The)		332,900		14,767,444
Covestro AG (Germany), 144A		3,707		329,492
Huntsman Corp.		109,000		3,182,800
Ingevity Corp.*		15,900		1,285,674
Koninklijke DSM NV (Netherlands)		444		44,417
Kuraray Co. Ltd. (Japan)		1,000		13,753
Linde AG (Germany)		456		108,336
LyondellBasell Industries NV (Class A Stock)		164,600		18,081,310
Mitsubishi Chemical Holdings Corp. (Japan)		36,700		306,474
Mitsubishi Gas Chemical Co., Inc. (Japan)		2,400		54,235
Mitsui Chemicals, Inc. (Japan)		600		15,947
Shin-Etsu Chemical Co. Ltd. (Japan)		900		79,982
Sumitomo Chemical Co. Ltd. (Japan)		5,000		28,278
Teijin Ltd. (Japan)		700		12,822
Tosoh Corp. (Japan)		900		13,916
Westlake Chemical Corp.		56,600		6,091,858
				44,686,129
Commercial Services & Supplies — 0.0%
Securitas AB (Sweden) (Class B Stock)		989		16,218
Communications Equipment — 0.9% Cisco Systems, Inc.		881,700		37,939,551

COMMON STOCKS (continued)	Shares		Value
Construction & Engineering — 0.1%
ACS Actividades de Construccion y Servicios SA (Spain)		772	$	31,147
CIMIC Group Ltd. (Australia)		309		9,660
Eiffage SA (France)		232		25,205
EMCOR Group, Inc.		53,100		4,045,158
HOCHTIEF AG (Germany)		1,009		181,956
Kajima Corp. (Japan)		3,000		23,180
Shimizu Corp. (Japan)		1,800		18,630
Taisei Corp. (Japan)		2,300		126,660
Vinci SA (France)		1,266		121,525
				4,583,121
Construction Materials — 0.0%
CRH PLC (Ireland)		2,109		74,183
Consumer Finance — 0.9%
American Express Co.		41,400		4,057,200
Capital One Financial Corp.		210,700		19,363,330
Discover Financial Services		131,800		9,280,038
Navient Corp.		294,800		3,841,244
OneMain Holdings, Inc.*		18,200		605,878
				37,147,690
Containers & Packaging — 0.1%
Greif, Inc. (Class A Stock)		15,900		840,951
Packaging Corp. of America		16,000		1,788,640
				2,629,591
Distributors — 0.0%
LKQ Corp.*		30,900		985,710
Diversified Consumer Services — 0.1%
Service Corp. International		111,700		3,997,743
Diversified Financial Services — 1.1%
Berkshire Hathaway, Inc. (Class B Stock)*		237,700		44,366,705
Kinnevik AB (Sweden) (Class B Stock)		735		25,047
ORIX Corp. (Japan)		16,500		260,074
				44,651,826
Diversified Telecommunication Services — 1.7%
AT&T, Inc.		1,038,100		33,333,391
Deutsche Telekom AG (Germany)*		8,293		128,164
Elisa OYJ (Finland)		442		20,419
HKT Trust & HKT Ltd. (Hong Kong) (Class SS Stock)		12,000		15,307
Nippon Telegraph & Telephone Corp. (Japan)		7,400		336,167
Orange SA (France)		4,968		82,927
Spark New Zealand Ltd. (New Zealand)		5,771		14,565
Telecom Italia SpA (Italy)*		36,821		27,280
Telecom Italia SpA (Italy), RSP		18,981		12,353
Verizon Communications, Inc.		713,588		35,900,612
				69,871,185
Electric Utilities — 0.7%
Avangrid, Inc.(a)		69,700		3,689,221
CLP Holdings Ltd. (Hong Kong)		5,000		53,857

SEE NOTES TO FINANCIAL STATEMENTS.

A71

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Electric Utilities (continued)
Endesa SA (Spain)		998	$	21,948
Enel SpA (Italy)		20,578		114,027
Entergy Corp.(a)		21,800		1,761,222
Exelon Corp.		477,700		20,350,020
FirstEnergy Corp.		36,500		1,310,715
Iberdrola SA (Spain)		14,657		113,031
Kansai Electric Power Co., Inc. (The) (Japan)		2,000		29,168
Kyushu Electric Power Co., Inc. (Japan)		1,300		14,515
Orsted A/S (Denmark), 144A		2,404		145,252
SSE PLC (United Kingdom)		14,368		256,477
				27,859,453
Electrical Equipment — 0.3%
AMETEK, Inc.		145,900		10,528,144
Atkore International Group, Inc.*		72,600		1,507,902
Fuji Electric Co. Ltd. (Japan)		2,000		15,192
Schneider Electric SE (France)		2,452		203,925
				12,255,163
Electronic Equipment, Instruments & Components — 0.0%
Hamamatsu Photonics KK (Japan)		500		21,464
Hitachi Ltd. (Japan)		49,000		345,204
Keyence Corp. (Japan)		200		112,803
Shimadzu Corp. (Japan)		700		21,120
Venture Corp. Ltd. (Singapore)		900		11,758
				512,349
Energy Equipment & Services — 0.3%
Archrock, Inc.		116,000		1,392,000
Halliburton Co.		201,300		9,070,578
				10,462,578
Equity Real Estate Investment Trusts (REITs) — 1.3%
Apple Hospitality REIT, Inc.		202,200		3,615,336
Brixmor Property Group, Inc.		308,700		5,380,641
CoreCivic, Inc.		137,900		3,294,431
DDR Corp.		118,900		2,128,310
Dexus (Australia)		3,237		23,267
DiamondRock Hospitality Co.		368,800		4,528,864
Franklin Street Properties Corp.		72,300		618,888
Gaming and Leisure Properties, Inc.		183,200		6,558,560
GEO Group, Inc. (The)		253,350		6,977,259
Goodman Group (Australia)		20,341		145,007
Host Hotels & Resorts, Inc.		641,500		13,516,405
Klepierre SA (France)		681		25,587
Land Securities Group PLC (United Kingdom)		23,351		294,183
Link REIT (Hong Kong)		5,500		50,157
Mirvac Group (Australia)		9,114		14,628
Nippon Building Fund, Inc. (Japan)(a)		4		23,073
Ryman Hospitality Properties, Inc.		33,300		2,768,895
Spirit MTA REIT*		23,420		241,226
Spirit Realty Capital, Inc.		234,200		1,880,626
Stockland (Australia)		7,853		23,074
Unibail-Rodamco-Westfield (France)		345		75,965
				52,184,382

COMMON STOCKS (continued)	Shares		Value
Food & Staples Retailing — 0.4%
Koninklijke Ahold Delhaize NV (Netherlands)		3,060	$	73,065
Tesco PLC (United Kingdom)		103,455		350,050
Walgreens Boots Alliance, Inc.		228,100		13,689,421
Walmart, Inc.		19,500		1,670,175
Wesfarmers Ltd. (Australia)		2,737		99,863
WM Morrison Supermarkets PLC (United Kingdom)		17,302		57,391
Woolworths Group Ltd. (Australia)		4,115		92,932
				16,032,897
Food Products — 1.2%
Archer-Daniels-Midland Co.		361,400		16,562,962
Barry Callebaut AG (Switzerland)		7		12,543
J.M. Smucker Co. (The)(a)		119,300		12,822,364
Marine Harvest ASA (Norway)		12,858		255,654
MEIJI Holdings Co. Ltd. (Japan)		200		16,891
Mondelez International, Inc. (Class A Stock)		475,000		19,475,000
Nestle SA (Switzerland)		7,790		603,732
Tate & Lyle PLC (United Kingdom)		31,658		269,420
WH Group Ltd. (Hong Kong), 144A		22,500		18,207
Wilmar International Ltd. (Singapore)		100,800		226,036
				50,262,809
Gas Utilities — 0.2%
UGI Corp.		132,200		6,883,654
Health Care Equipment & Supplies — 2.4%
Abbott Laboratories		418,000		25,493,820
Baxter International, Inc.		26,000		1,919,840
Boston Scientific Corp.*		326,400		10,673,280
Coloplast A/S (Denmark) (Class B Stock)		378		37,741
ConvaTec Group PLC (United Kingdom), 144A		10,963		30,606
Danaher Corp.		216,600		21,374,088
DENTSPLY SIRONA, Inc.		106,200		4,648,374
Edwards Lifesciences Corp.*		22,700		3,304,439
Hill-Rom Holdings, Inc.		23,900		2,087,426
IDEXX Laboratories, Inc.*		68,000		14,819,920
Intuitive Surgical, Inc.*		6,600		3,157,968
Medtronic PLC		98,000		8,389,780
Smith & Nephew PLC (United Kingdom)		2,147		39,548
Sonova Holding AG (Switzerland)		177		31,662
Straumann Holding AG (Switzerland)		33		25,027
Stryker Corp.		10,500		1,773,030
Terumo Corp. (Japan)		800		45,798
Zimmer Biomet Holdings, Inc.		12,600		1,404,144
				99,256,491
Health Care Providers & Services — 2.4%
Alfresa Holdings Corp. (Japan)		7,100		166,724
Cigna Corp.		17,000		2,889,150
CVS Health Corp.		316,100		20,341,035
Express Scripts Holding Co.*		120,200		9,280,642
Fresenius Medical Care AG & Co. KGaA (Germany)		533		53,669

SEE NOTES TO FINANCIAL STATEMENTS.

A72

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Health Care Providers & Services (continued)
Fresenius SE & Co. KGaA (Germany)		737	$	59,008
HCA Healthcare, Inc.		170,000		17,442,000
Humana, Inc.		30,900		9,196,767
Medipal Holdings Corp. (Japan)		5,600		112,489
Ryman Healthcare Ltd. (New Zealand)		1,274		10,319
Sonic Healthcare Ltd. (Australia)		1,277		23,165
UnitedHealth Group, Inc.		167,500		41,094,450
				100,669,418
Hotels, Restaurants & Leisure — 0.6%
Accor SA (France)		576		28,210
Aristocrat Leisure Ltd. (Australia)		5,317		121,426
Bloomin’ Brands, Inc.		90,200		1,813,020
Crown Resorts Ltd. (Australia)		1,180		11,774
Flight Centre Travel Group Ltd. (Australia)		5,775		271,852
Galaxy Entertainment Group Ltd. (Hong Kong)		7,500		57,813
Genting Singapore Ltd. (Singapore)		83,400		74,678
GVC Holdings PLC (United Kingdom)		1,718		23,756
Las Vegas Sands Corp.		180,300		13,767,708
Marriott International, Inc. (Class A Stock)		19,500		2,468,700
McDonald’s Corp.		29,600		4,638,024
McDonald’s Holdings Co. Japan Ltd. (Japan)		200		10,199
Melco Resorts & Entertainment Ltd. (Hong Kong), ADR		700		19,600
Paddy Power Betfair PLC (Ireland)		249		27,608
Sands China Ltd. (Macau)		7,600		40,519
Texas Roadhouse, Inc.		28,000		1,834,280
TUI AG (Germany)		1,434		31,364
Wynn Macau Ltd. (Macau)		7,200		23,074
				25,263,605
Household Durables — 0.1%
Berkeley Group Holdings PLC (United Kingdom)		5,587		278,305
Meritage Homes Corp.*		63,900		2,808,405
Persimmon PLC (United Kingdom)		6,649		221,476
Sony Corp. (Japan)		3,100		158,764
Taylor Wimpey PLC (United Kingdom)		10,058		23,677
				3,490,627
Household Products — 0.4%
Essity AB (Sweden) (Class B Stock)		1,932		47,530
Henkel AG & Co. KGaA (Germany)		321		35,641
Kimberly-Clark Corp.		104,400		10,997,496
Procter & Gamble Co. (The)		68,005		5,308,470
Reckitt Benckiser Group PLC (United Kingdom)		1,663		136,640
Unicharm Corp. (Japan)		1,300		39,084
				16,564,861
Independent Power & Renewable Electricity Producers — 0.5%
AES Corp.		739,000		9,909,990

COMMON STOCKS (continued)	Shares		Value
Independent Power & Renewable Electricity Producers (continued)
Electric Power Development Co. Ltd. (Japan)		500	$	12,905
NRG Energy, Inc.		378,000		11,604,600
				21,527,495
Industrial Conglomerates — 0.9%
3M Co.		43,300		8,517,976
CK Hutchison Holdings Ltd. (Hong Kong)		7,000		74,102
General Electric Co.		170,000		2,313,700
Honeywell International, Inc.		178,800		25,756,140
Jardine Matheson Holdings Ltd. (Hong Kong)		4,600		290,260
Jardine Strategic Holdings Ltd. (Hong Kong)		700		25,536
Keihan Holdings Co. Ltd. (Japan)		300		10,756
Keppel Corp. Ltd. (Singapore)		3,600		18,832
Siemens AG (Germany)		223		29,382
				37,036,684
Insurance — 1.1%
Aegon NV (Netherlands)		46,139		275,479
Ageas (Belgium)		594		29,904
AIA Group Ltd. (Hong Kong)		13,600		118,475
Allianz SE (Germany)		1,104		227,485
Allstate Corp. (The)		174,800		15,953,996
American Equity Investment Life Holding Co.		19,100		687,600
Aviva PLC (United Kingdom)		21,851		144,983
AXA SA (France)		15,707		383,782
CNA Financial Corp.		7,000		319,760
CNP Assurances (France)		1,102		25,037
Dai-ichi Life Holdings, Inc. (Japan)		3,400		60,512
First American Financial Corp.		40,400		2,089,488
Insurance Australia Group Ltd. (Australia)		5,729		36,143
Legal & General Group PLC (United Kingdom)		91,188		318,960
MetLife, Inc.		401,100		17,487,960
NN Group NV (Netherlands)		991		40,191
Old Mutual Ltd. (United Kingdom)*		15,560		30,762
Old Republic International Corp.		98,400		1,959,144
Poste Italiane SpA (Italy), 144A		1,665		13,897
Sompo Holdings, Inc. (Japan)		1,100		44,385
Swiss Life Holding AG (Switzerland)*		101		35,022
Tokio Marine Holdings, Inc. (Japan)		2,200		102,923
UnipolSai Assicurazioni SpA (Italy)(a)		81,747		180,280
Unum Group		110,900		4,102,191
Zurich Insurance Group AG (Switzerland)		378		111,786
				44,780,145
Internet & Direct Marketing Retail — 2.2%
Amazon.com, Inc.*		29,900		50,824,020
Booking Holdings, Inc.*		5,500		11,148,995
Groupon, Inc.*		846,300		3,639,090
Netflix, Inc.*		41,400		16,205,202

SEE NOTES TO FINANCIAL STATEMENTS.

A73

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Internet & Direct Marketing Retail (continued)
Qurate Retail, Inc.*		406,400	$	8,623,808
Start Today Co. Ltd. (Japan)		500		18,090
				90,459,205
Internet Software & Services — 3.8%
Alphabet, Inc. (Class A Stock)*		29,900		33,762,781
Alphabet, Inc. (Class C Stock)*		49,482		55,204,593
eBay, Inc.*		100,500		3,644,130
Facebook, Inc. (Class A Stock)*		333,200		64,747,424
REA Group Ltd. (Australia)		167		11,208
				157,370,136
IT Services — 2.4%
Accenture PLC (Class A Stock)		134,800		22,051,932
Amadeus IT Group SA (Spain)		1,103		86,732
Automatic Data Processing, Inc.		87,200		11,697,008
Cognizant Technology Solutions Corp. (Class A Stock)		300,800		23,760,192
Computershare Ltd. (Australia)		1,481		20,175
Nomura Research Institute Ltd. (Japan)		300		14,514
Obic Co. Ltd. (Japan)		200		16,523
Visa, Inc. (Class A Stock)(a)		324,800		43,019,760
Wirecard AG (Germany)		705		112,815
				100,779,651
Leisure Products — 0.0%
Vista Outdoor, Inc.*		113,600		1,759,664
Life Sciences Tools & Services — 0.7%
Bruker Corp.		5,500		159,720
Illumina, Inc.*		76,200		21,281,898
QIAGEN NV*		620		22,475
Thermo Fisher Scientific, Inc.		28,400		5,882,776
				27,346,869
Machinery — 1.4%
Atlas Copco AB (Sweden) (Class A Stock)		8,645		250,364
Atlas Copco AB (Sweden) (Class B Stock)		1,681		43,793
Caterpillar, Inc.		159,900		21,693,633
CNH Industrial NV (United Kingdom)		3,157		33,349
Cummins, Inc.		104,200		13,858,600
Daifuku Co. Ltd. (Japan)		400		17,477
Hitachi Construction Machinery Co. Ltd. (Japan)		300		9,726
Illinois Tool Works, Inc.		107,700		14,920,758
JTEKT Corp. (Japan)		700		9,501
Komatsu Ltd. (Japan)		2,300		65,478
Minebea Mitsumi, Inc. (Japan)		1,200		20,222
NSK Ltd. (Japan)		1,200		12,352
PACCAR, Inc.		87,900		5,446,284
Sandvik AB (Sweden)		18,506		326,834
Schindler Holding AG (Switzerland)		64		13,444
SKF AB (Sweden) (Class B Stock)		1,201		22,233
THK Co. Ltd. (Japan)		400		11,421
Volvo AB (Sweden) (Class B Stock)		21,118		335,631

COMMON STOCKS (continued)	Shares		Value
Machinery (continued)
WABCO Holdings, Inc.*		11,700	$	1,369,134
Yangzijiang Shipbuilding Holdings Ltd. (China)		162,900		107,818
				58,568,052
Marine — 0.0%
A.P. Moller-Maersk A/S (Denmark) (Class A Stock)		10		11,818
Media — 1.1%
Comcast Corp. (Class A Stock)		935,946		30,708,388
CyberAgent, Inc. (Japan)		200		11,995
Hakuhodo DY Holdings, Inc. (Japan)		700		11,224
I-CABLE Communications Ltd. (Hong Kong)*		3,065		48
News Corp. (Class A Stock)		223,800		3,468,900
Pearson PLC (United Kingdom)		7,943		92,501
RTL Group SA (Luxembourg)		111		7,522
TEGNA, Inc.		380,000		4,123,000
Viacom, Inc. (Class B Stock)		134,100		4,044,456
Walt Disney Co. (The)		49,700		5,209,057
				47,677,091
Metals & Mining — 0.7%
Alcoa Corp.*		19,200		900,096
Anglo American PLC (South Africa)		14,915		331,127
ArcelorMittal (Luxembourg)		10,215		298,031
BHP Billiton Ltd. (Australia)		7,918		198,124
BHP Billiton PLC (Australia)		5,222		117,194
BlueScope Steel Ltd. (Australia)		1,791		22,858
Boliden AB (Sweden)		864		27,884
Freeport-McMoRan, Inc.		964,800		16,652,448
Glencore PLC (Switzerland)*		28,671		136,124
JFE Holdings, Inc. (Japan)		500		9,444
Kobe Steel Ltd. (Japan)		1,000		9,138
Nippon Steel & Sumitomo Metal Corp. (Japan)		1,900		37,254
Nucor Corp.		96,100		6,006,250
Rio Tinto Ltd. (Australia)		1,018		62,897
Rio Tinto PLC (Australia)		2,977		164,088
South32 Ltd. (Australia)		16,028		42,800
Steel Dynamics, Inc.		87,500		4,020,625
voestalpine AG (Austria)		371		17,060
				29,053,442
Mortgage Real Estate Investment Trusts (REITs) — 0.1%
Ladder Capital Corp.		186,100		2,906,882
Multiline Retail — 0.8%
Kohl’s Corp.(a)		201,000		14,652,900
Macy’s, Inc.(a)		446,700		16,719,981
Next PLC (United Kingdom)		1,125		89,549
Ryohin Keikaku Co. Ltd. (Japan)		100		35,132
				31,497,562
Multi-Utilities — 0.3%
AGL Energy Ltd. (Australia)		14,292		237,802
CenterPoint Energy, Inc.		363,900		10,083,669

SEE NOTES TO FINANCIAL STATEMENTS.

A74

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Multi-Utilities (continued)
MDU Resources Group, Inc.		75,700	$	2,171,076
RWE AG (Germany)		12,862		292,283
				12,784,830
Oil, Gas & Consumable Fuels — 4.0%
Aker BP ASA (Norway)		272		10,005
Anadarko Petroleum Corp.		274,500		20,107,125
BP PLC (United Kingdom)		20,583		156,606
Chevron Corp.		136,300		17,232,409
ConocoPhillips		389,900		27,144,838
Equinor ASA (Norway)		2,934		77,582
Exxon Mobil Corp.		148,016		12,245,364
HollyFrontier Corp.		186,700		12,775,881
Idemitsu Kosan Co. Ltd. (Japan)		400		14,225
JXTG Holdings, Inc. (Japan)		47,700		330,932
Lundin Petroleum AB (Sweden)		591		18,758
Marathon Oil Corp.		713,100		14,875,266
Neste OYJ (Finland)		3,845		300,829
Occidental Petroleum Corp.		148,300		12,409,744
Oil Search Ltd. (Australia)		3,406		22,377
OMV AG (Austria)		470		26,582
Phillips 66		52,900		5,941,199
Pioneer Natural Resources Co.		82,800		15,669,072
Repsol SA (Spain)		17,613		343,790
Royal Dutch Shell PLC (Netherlands) (Class A Stock)		11,404		394,680
Royal Dutch Shell PLC (Netherlands) (Class B Stock)		5,603		200,660
TOTAL SA (France)		2,429		147,503
Valero Energy Corp.		215,100		23,839,533
				164,284,960
Paper & Forest Products — 0.0%
Mondi PLC (United Kingdom)		1,173		31,645
Stora Enso OYJ (Finland) (Class R Stock)		1,395		27,178
UPM-Kymmene OYJ (Finland)		1,360		48,423
				107,246
Personal Products — 0.2%
Avon Products, Inc. (United Kingdom)*		44,000		71,280
Herbalife Nutrition Ltd.*(a)		100,300		5,388,116
Kao Corp. (Japan)		400		30,489
Kose Corp. (Japan)		100		21,509
Pola Orbis Holdings, Inc. (Japan)		2,400		105,469
Shiseido Co. Ltd. (Japan)		900		71,420
Unilever NV (United Kingdom), CVA		1,525		84,969
Unilever PLC (United Kingdom)		3,035		167,655
USANA Health Sciences, Inc.*		13,800		1,591,140
				7,532,047
Pharmaceuticals — 2.5%
Allergan PLC		71,600		11,937,152
Astellas Pharma, Inc. (Japan)		5,100		77,615
Bayer AG (Germany)		4,136		454,231
Bristol-Myers Squibb Co.		35,500		1,964,570
GlaxoSmithKline PLC (United Kingdom)		3,253		65,583

COMMON STOCKS (continued)	Shares		Value
Pharmaceuticals (continued)
H. Lundbeck A/S (Denmark)		3,837	$	268,922
Johnson & Johnson		215,498		26,148,527
Merck & Co., Inc.		386,000		23,430,200
Novartis AG (Switzerland)		5,540		419,660
Perrigo Co. PLC		32,000		2,333,120
Pfizer, Inc.		548,900		19,914,092
Recordati SpA (Italy)		334		13,235
Roche Holding AG (Switzerland)		2,979		660,915
Sanofi (France)		6,229		499,937
Shionogi & Co. Ltd. (Japan)		5,800		297,621
Takeda Pharmaceutical Co. Ltd. (Japan)		1,700		71,516
UCB SA (Belgium)		396		31,043
Zoetis, Inc.		155,500		13,247,045
				101,834,984
Professional Services — 0.2%
Insperity, Inc.		32,000		3,048,000
Intertek Group PLC (United Kingdom)		511		38,422
Randstad NV (Netherlands)		3,460		203,086
Robert Half International, Inc.		62,800		4,088,280
SGS SA (Switzerland)		39		103,631
				7,481,419
Real Estate Management & Development — 0.4%
CBRE Group, Inc. (Class A Stock)*		372,200		17,768,828
CK Asset Holdings Ltd. (Hong Kong)		8,500		67,289
Daiwa House Industry Co. Ltd. (Japan)		1,800		61,239
Henderson Land Development Co. Ltd. (Hong Kong)		4,400		23,202
Hongkong Land Holdings Ltd. (Hong Kong)		3,700		26,455
Kerry Properties Ltd. (Hong Kong)		50,500		241,336
Mitsubishi Estate Co. Ltd. (Japan)		2,900		50,625
Sumitomo Realty & Development Co. Ltd. (Japan)		1,000		36,825
Swire Pacific Ltd. (Hong Kong) (Class A Stock)		1,500		15,855
Swire Properties Ltd. (Hong Kong)		3,800		14,014
Swiss Prime Site AG (Switzerland)*		177		16,263
Vonovia SE (Germany)		1,203		57,178
Wharf Real Estate Investment Co. Ltd. (Hong Kong)		4,000		28,403
Wheelock & Co. Ltd. (Hong Kong)		3,000		20,849
				18,428,361
Road & Rail — 0.8%
Central Japan Railway Co. (Japan)		600		124,217
ComfortDelGro Corp. Ltd. (Singapore)		6,900		11,875
CSX Corp.		237,800		15,166,884
DSV A/S (Denmark)		275		22,138
Hankyu Hanshin Holdings, Inc. (Japan)		800		32,135
Kyushu Railway Co. (Japan)		500		15,288
MTR Corp. Ltd. (Hong Kong)		3,500		19,333
Norfolk Southern Corp.		130,000		19,613,100
				35,004,970

SEE NOTES TO FINANCIAL STATEMENTS.

A75

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Semiconductors & Semiconductor Equipment — 2.2%
Analog Devices, Inc.		140,600	$	13,486,352
ASM Pacific Technology Ltd. (Hong Kong)		800		10,083
Infineon Technologies AG (Germany)		11,168		283,682
Intel Corp.		390,500		19,411,755
Micron Technology, Inc.*		96,300		5,049,972
MKS Instruments, Inc.		63,300		6,057,810
NVIDIA Corp.		130,200		30,844,380
STMicroelectronics NV (Switzerland)		2,025		44,962
SUMCO Corp. (Japan)		800		16,067
Texas Instruments, Inc.		144,300		15,909,075
Tokyo Electron Ltd. (Japan)		2,000		343,307
				91,457,445
Software — 4.2%
Activision Blizzard, Inc.		115,000		8,776,800
Adobe Systems, Inc.*		108,200		26,380,242
CA, Inc.		60,800		2,167,520
Dassault Systemes SE (France)		407		56,957
Intuit, Inc.		110,800		22,636,994
Microsoft Corp.		834,200		82,260,462
Nexon Co. Ltd. (Japan)*		1,400		20,313
Nice Ltd. (Israel)		2,615		270,642
Oracle Corp.		404,800		17,835,488
PTC, Inc.*		84,800		7,955,088
salesforce.com, Inc.*		45,000		6,138,000
SAP SE (Germany)		423		48,822
Ubisoft Entertainment SA (France)*		255		27,874
				174,575,202
Specialty Retail — 1.9%
Advance Auto Parts, Inc.		74,500		10,109,650
AutoNation, Inc.*(a)		132,400		6,431,992
Best Buy Co., Inc.		58,700		4,377,846
Burlington Stores, Inc.*		8,400		1,264,452
Dufry AG (Switzerland)*		111		14,117
Fast Retailing Co. Ltd. (Japan)		700		320,835
Foot Locker, Inc.		43,100		2,269,215
Gap, Inc. (The)		230,700		7,472,373
Group 1 Automotive, Inc.		8,900		560,700
Michaels Cos., Inc. (The)*		104,600		2,005,182
Penske Automotive Group, Inc.(a)		32,300		1,513,255
Ross Stores, Inc.		222,300		18,839,925
TJX Cos., Inc. (The)		81,700		7,776,206
Ulta Beauty, Inc.*		61,400		14,334,444
				77,290,192
Technology Hardware, Storage & Peripherals — 3.1%
Apple, Inc.		420,700		77,875,777
Brother Industries Ltd. (Japan)		800		15,761
Canon, Inc. (Japan)(a)		2,500		81,979
FUJIFILM Holdings Corp. (Japan)		7,800		304,221
Hewlett Packard Enterprise Co.		953,600		13,932,096
HP, Inc.		858,000		19,468,020
Western Digital Corp.		203,800		15,776,158
				127,454,012

COMMON STOCKS (continued)	Shares		Value
Textiles, Apparel & Luxury Goods — 0.7%
adidas AG (Germany)		462	$	100,586
Burberry Group PLC (United Kingdom)		1,136		32,286
Columbia Sportswear Co.		12,200		1,115,934
Hermes International (France)		79		48,257
Kering SA (France)		238		134,065
Lululemon Athletica, Inc.*		155,300		19,389,205
LVMH Moet Hennessy Louis Vuitton SE (France)		1,503		499,025
Moncler SpA (Italy)		570		25,864
Puma SE (Germany)		9		5,258
PVH Corp.		2,200		329,384
Swatch Group AG (The) (Switzerland)		98		46,391
Swatch Group AG (The) (Switzerland) Reg		140		12,089
VF Corp.		59,700		4,866,744
Wolverine World Wide, Inc.		29,100		1,011,807
				27,616,895
Tobacco — 0.5%
Altria Group, Inc.		390,000		22,148,100
British American Tobacco PLC (United Kingdom)		1,345		67,752
Imperial Brands PLC (United Kingdom)		3,103		115,240
Japan Tobacco, Inc. (Japan)		2,700		75,455
Swedish Match AB (Sweden)		581		28,714
				22,435,261
Trading Companies & Distributors — 0.1%
Ashtead Group PLC (United Kingdom)		1,125		33,502
Ferguson PLC (Switzerland)		587		47,493
ITOCHU Corp. (Japan)		7,900		142,878
Marubeni Corp. (Japan)		15,000		114,201
Mitsubishi Corp. (Japan)		7,500		207,968
Mitsui & Co. Ltd. (Japan)		14,200		236,462
Sumitomo Corp. (Japan)		2,800		45,919
Toyota Tsusho Corp. (Japan)		700		23,392
WESCO International, Inc.*		74,700		4,265,370
				5,117,185
Transportation Infrastructure — 0.0%
Aena SME SA (Spain), 144A		1,643		297,460
Atlantia SpA (Italy)		1,491		43,958
Auckland International Airport Ltd. (New Zealand)		3,010		13,811
Kamigumi Co. Ltd. (Japan)		4,100		85,099
Sydney Airport (Australia)		2,728		14,442
				454,770
Water Utilities — 0.0%
Severn Trent PLC (United Kingdom)		747		19,477
Wireless Telecommunication Services — 0.0%
KDDI Corp. (Japan)		9,200		251,573

SEE NOTES TO FINANCIAL STATEMENTS.

A76

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Wireless Telecommunication Services (continued)
NTT DOCOMO, Inc. (Japan)		4,400	$	112,122
Vodafone Group PLC (United Kingdom)		162,362		393,288
				756,983
TOTAL COMMON STOCKS (cost $2,040,104,622)				2,617,193,390
EXCHANGE TRADED FUND — 0.0%
iShares MSCI EAFE ETF		5,088		340,743
(cost $330,069)
PREFERRED STOCKS — 0.0%
Auto Components — 0.0%
Schaeffler AG (Germany) (PRFC)		424		5,503
Automobiles — 0.0%
Bayerische Motoren Werke AG (Germany) (PRFC)		155		12,330
Porsche Automobil Holding SE (Germany) (PRFC)		491		31,176
Volkswagen AG (Germany) (PRFC)		473		78,145
				121,651
Banks — 0.0%
Citigroup Capital XIII 8.729%, (Capital Security, fixed to floating preferred)		22,000		596,200
Household Products — 0.0%
Henkel AG & Co. KGaA (Germany) (PRFC)		441		56,271
TOTAL PREFERRED STOCKS (cost $719,049)				779,625
	Units
RIGHTS* — 0.0%
Banks
Intesa Sanpaolo SpA (Italy), expiring 08/01/18		134,775		—
(cost $0)

Interest Rate	Maturity Date		Principal Amount (000)#
ASSET-BACKED SECURITIES — 5.0%
Automobiles — 1.6%
AmeriCredit Automobile Receivables Trust,
Series 2016-04, Class C
2.410%		07/08/22		1,000	983,907
Series 2017-03, Class C
2.690%		06/18/23		1,020	1,003,197
Series 2017-04, Class C
2.600%		09/18/23		2,100	2,062,183
Series 2018-01, Class C
3.500%		01/18/24		1,600	1,607,120
Avis Budget Rental Car Funding AESOP LLC,
Series 2013-01A, Class A, 144A
1.920%		09/20/19		850	849,183

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Automobiles (continued)
Series 2015-01A, Class A, 144A
2.500%		07/20/21		5,000	$	4,925,804
Series 2015-02A, Class A, 144A
2.630%		12/20/21		4,000		3,950,476
Series 2018-01A, Class A, 144A
3.700%		09/20/24		1,600		1,607,116
Drive Auto Receivables Trust,
Series 2018-01, Class B
2.880%		02/15/22		1,700		1,695,472
Enterprise Fleet Financing LLC,
Series 2017-01, Class A2, 144A
2.130%		07/20/22		2,616		2,600,487
Ford Credit Auto Owner Trust,
Series 2017-01, Class A, 144A
2.620%		08/15/28		6,200		6,071,585
Series 2017-02, Class A, 144A
2.360%		03/15/29		5,600		5,401,257
Ford Credit Floorplan Master Owner Trust A,
Series 2017-03, Class A
2.480%		09/15/24		4,500		4,383,889
Series 2018-02, Class A
3.170%		03/15/25		13,350		13,311,297
Hertz Vehicle Financing II LP,
Series 2016-01A, Class A, 144A
2.320%		03/25/20		3,000		2,987,067
OneMain Direct Auto Receivables Trust,
Series 2016-01A, Class A, 144A
2.040%		01/15/21		5		4,877
Series 2017-01A, Class A, 144A
2.160%		10/15/20		5,079		5,059,866
Series 2017-02A, Class B, 144A
2.550%		11/14/23		5,800		5,723,513
Series 2017-02A, Class C, 144A
2.820%		07/14/24		1,400		1,378,381
Santander Drive Auto Receivables Trust,
Series 2018-01, Class C
2.960%		03/15/24		1,200		1,188,220
						66,794,897
Collateralized Loan Obligations — 1.4%
ArrowMark Colorado Holdings (Cayman Islands),
Series 2017-06A, Class A1, 144A, 3 Month LIBOR + 1.280%
3.628%(c)		07/15/29		500		501,435
Battalion CLO Ltd. (Cayman Islands),
Series 2015-08A, Class A1R, 144A, 3 Month LIBOR + 1.340%
3.695%(c)		07/18/30		1,500		1,506,543
Benefit Street Partners CLO Ltd. (Cayman Islands),
Series 2013-IIA, Class A1R, 144A, 3 Month LIBOR + 1.250%
3.598%(c)		07/15/29		1,500		1,503,896
Series 2017-11A, Class X, 144A, 3 Month LIBOR + 1.000%
3.348%(c)		04/15/29		1,406		1,406,618
Brookside Mill CLO Ltd. (Cayman Islands),
Series 2013-01A, Class AR, 144A, 3 Month LIBOR + 0.820%
2.524%(c)		01/17/28		1,500		1,496,768
Canyon Capital CLO Ltd. (Cayman Islands),
Series 2015-01A, Class AS, 144A, 3 Month LIBOR + 1.250%
3.598%(c)		04/15/29		3,000		3,007,014

SEE NOTES TO FINANCIAL STATEMENTS.

A77

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate		Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Collateralized Loan Obligations (continued)
Catamaran CLO Ltd. (Cayman Islands),
Series 2014-02A, Class A1R, 144A, 3 Month LIBOR + 1.400%
3.755%(c)			10/18/26		500	$	500,960
Eaton Vance CLO Ltd. (Cayman Islands),
Series 2014-01A, Class AR, 144A, 3 Month LIBOR + 1.200%
3.548%(c)			07/15/26		1,000		999,837
Elevation CLO Ltd. (Cayman Islands),
Series 2015-04A, Class A, 144A, 3 Month LIBOR + 1.550%
3.905%(c)			04/18/27		1,000		1,005,224
Greenwood Park CLO Ltd. (Cayman Islands),
Series 2018-01A, Class A2, 144A, 3 Month LIBOR + 1.010%
3.035%(c)			04/15/31		2,000		1,999,885
Greywolf CLO Ltd. (Cayman Islands),
Series 2018-01A, Class A1, 144A, 3 Month LIBOR + 1.030%
3.539%(c)			04/26/31		4,000		4,002,253
Highbridge Loan Management Ltd. (Cayman Islands),
Series 2015-06A, Class A1R, 144A, 3 Month LIBOR + 1.000%
3.363%(c)			02/05/31		250		250,267
ICG US CLO Ltd. (Cayman Islands),
Series 2017-02A, Class A1, 144A, 3 Month LIBOR + 1.280%
3.642%(c)			10/23/29		1,250		1,250,443
KVK CLO Ltd. (Cayman Islands),
Series 2014-01A, Class A1R, 144A, 3 Month LIBOR + 1.300%
3.643%(c)			05/15/26		2,750		2,744,596
Series 2014-03A, Class AR, 144A, 3 Month LIBOR + 1.200%
3.548%(c)			10/15/26		3,250		3,249,452
MidOcean Credit CLO (Cayman Islands),
Series 2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.120%
2.681%(c)			04/21/31		2,400		2,400,000
OCP CLO Ltd. (Cayman Islands),
Series 2017-13A, Class A1A, 144A, 3 Month LIBOR + 1.260%
3.608%(c)			07/15/30		1,250		1,252,981
OZLM Ltd. (Cayman Islands),
Series 2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250%
3.609%(c)	��		10/30/30		1,500		1,501,361
Palmer Square CLO Ltd. (Cayman Islands),
Series 2014-01A, Class A1R2, 144A, 3 Month LIBOR + 1.130%
3.483%(c)			01/17/31		1,500		1,499,900
Series 2015-01A, Class A1R, 144A, 3 Month LIBOR + 1.300%
3.631%(c)			05/21/29		1,750		1,752,655
Series 2018-02A, Class A1A, 144A, 3 Month LIBOR + 1.100%
3.362%(c)			07/16/31		2,350		2,350,000
Sound Point CLO Ltd. (Cayman Islands),
Series 2015-02A, Class AR, 144A, 3 Month LIBOR + 0.880%
3.239%(c)			07/20/27		1,000		998,426
Telos CLO (Cayman Islands),
Series 2013-03A, Class AR, 144A, 3 Month LIBOR + 1.300%
3.653%(c)			07/17/26		1,500		1,500,617
Telos CLO Ltd. (Cayman Islands),
Series 2013-04A, Class AR, 144A, 3 Month LIBOR + 1.240%
3.593%(c)			01/17/30		2,500		2,498,564
TICP CLO Ltd. (Cayman Islands),
Series 2017-07A, Class AS, 144A, 3 Month LIBOR + 1.230%
3.578%(c)			07/15/29		1,250		1,252,588
Trinitas CLO Ltd. (Cayman Islands),
Series 2016-05A, Class A, 144A, 3 Month LIBOR + 1.700%
4.060%(c)			10/25/28		3,250		3,250,000

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Collateralized Loan Obligations (continued)
Series 2017-07A, Class A, 144A, 3 Month LIBOR + 1.210%
3.570%(c)		01/25/31		2,500	$	2,507,373
Venture CLO Ltd. (Cayman Islands),
Series 2015-21A, Class AR, 144A, 3 Month LIBOR + 0.880%
3.228%(c)		07/15/27		1,000		999,243
Wellfleet CLO Ltd. (Cayman Islands),
Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.320%
3.679%(c)		04/20/29		2,000		2,006,348
Series 2018-01A, Class A, 144A^
—%(p)		07/17/31		3,500		3,491,250
Zais CLO Ltd. (Cayman Islands),
Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.370%
3.718%(c)		07/15/29		1,750		1,756,652
						56,443,149
Consumer Loans — 0.2%
OneMain Financial Issuance Trust,
Series 2015-02A, Class A, 144A
2.570%		07/18/25		587		586,520
Series 2017-01A, Class A2, 144A, 1 Month LIBOR + 0.800%
2.857%(c)		09/14/32		3,300		3,309,690
SpringCastle America Funding LLC,
Series 2016-AA, Class A, 144A
3.050%		04/25/29		1,966		1,958,767
Springleaf Funding Trust,
Series 2015-AA, Class A, 144A
3.160%		11/15/24		3,645		3,643,588
						9,498,565
Credit Cards — 0.3%
Citibank Credit Card Issuance Trust,
Series 2017-A05, Class A5, 1 Month LIBOR + 0.620%
2.704%(c)		04/22/26		3,800		3,850,082
Discover Card Execution Note Trust,
Series 2017-A04, Class A4
2.530%		10/15/26		4,000		3,864,041
Series 2017-A05, Class A5, 1 Month LIBOR + 0.600%
2.673%(c)		12/15/26		2,600		2,626,708
						10,340,831
Equipment — 0.2%
MMAF Equipment Finance LLC,
Series 2017-AA, Class A4, 144A
2.410%		08/16/24		3,500		3,415,697
Series 2017-B, Class A4, 144A
2.410%		11/15/24		1,700		1,656,644
Series 2017-B, Class A5, 144A
2.720%		06/15/40		2,800		2,702,030
Series 2018-A, Class A4, 144A
3.390%		01/10/25		1,600		1,599,770
Series 2018-A, Class A5, 144A
3.610%		03/10/42		800		799,854
						10,173,995

SEE NOTES TO FINANCIAL STATEMENTS.

A78

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Home Equity Loans — 0.1%
CDC Mortgage Capital Trust,
Series 2002-HE03, Class M1, 1 Month LIBOR + 1.650%
3.741%(c)		03/25/33		102	$	102,084
Morgan Stanley ABS Capital I, Inc. Trust,
Series 2003-HE01, Class M1, 1 Month LIBOR + 1.200%
3.291%(c)		05/25/33		194		192,762
Series 2004-HE05, Class M1, 1 Month LIBOR + 0.945%
3.036%(c)		06/25/34		517		517,513
Morgan Stanley Dean Witter Capital I, Inc. Trust,
Series 2002-HE01, Class M1, 1 Month LIBOR + 0.900%
2.991%(c)		07/25/32		125		125,136
Series 2002-NC04, Class M1, 1 Month LIBOR + 1.275%
3.366%(c)		09/25/32		2,543		2,528,671
New Residential Mortgage Trust,
Series 2018-01A, Class A1A, 144A
4.000%(cc)		12/25/57		2,177		2,194,233
						5,660,399
Other — 0.0%
Sierra Timeshare Receivables Funding LLC,
Series 2013-03A, Class A, 144A
2.200%		10/20/30		747		746,000
SVO VOI Mortgage LLC,
Series 2012-AA, Class A, 144A
2.000%		09/20/29		375		368,958
						1,114,958
Residential Mortgage-Backed Securities — 0.6%
Credit Suisse Mortgage Trust,
Series 2016-RPL01, Class A1, 144A, 1 Month LIBOR + 3.150%
5.132%(c)		12/26/46		4,046		4,137,794
Credit-Based Asset Servicing & Securitization LLC,
Series 2005-CB06, Class A3
3.763%		07/25/35		230		229,648
Equity One Mortgage Pass-Through Trust,
Series 2004-03, Class M1
4.617%		07/25/34		217		214,225
Long Beach Mortgage Loan Trust,
Series 2004-02, Class M1, 1 Month LIBOR + 0.795%
2.886%(c)		06/25/34		267		264,626
Mill City Mortgage Loan Trust,
Series 2017-03, Class A1, 144A
2.750%(cc)		01/25/61		3,360		3,292,400
Towd Point Mortgage Trust,
Series 2017-04, Class A1, 144A
2.750%(cc)		06/25/57		7,750		7,563,242
Series 2017-05, Class A1, 144A, 1 Month LIBOR + 0.600%
2.691%(c)		02/25/57		5,191		5,195,395
Series 2017-06, Class A1, 144A
2.750%(cc)		10/25/57		4,718		4,597,784
VOLT LVII LLC,
Series 2017-NPL04, Class A1, 144A
3.375%		04/25/47		310		309,675
VOLT LX LLC,
Series 2017-NPL07, Class A1, 144A
3.250%		06/25/47		442		439,293
						26,244,082

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Student Loans — 0.6%
Commonbond Student Loan Trust,
Series 2017-BGS, Class A1, 144A
2.680%		09/25/42		3,539	$	3,462,744
Series 2018-AGS, Class A1, 144A
3.210%		02/25/44		2,408		2,397,990
Laurel Road Prime Student Loan Trust,
Series 2017-C, Class A2B, 144A
2.810%		11/25/42		2,000		1,953,258
Series 2018-B, Class A2FX, 144A
3.540%		05/25/43		3,000		3,014,264
Navient Private Education Refi Loan Trust,
Series 2018-A, Class A2, 144A
3.190%		02/18/42		4,600		4,551,226
SoFi Professional Loan Program Trust,
Series 2018-B, Class A1FX, 144A
2.640%		08/25/47		2,808		2,796,771
Series 2018-B, Class A2FX, 144A
3.340%		08/25/47		4,500		4,496,801
						22,673,054
TOTAL ASSET-BACKED SECURITIES (cost $210,268,917)						208,943,930
BANK LOAN — 0.0%
Technology
Dell International LLC,
Replacement Term A-3 Loan, 1 Month LIBOR + 1.500%,
3.600%(c)		12/31/18		404		403,786
(cost $401,495)
COMMERCIAL MORTGAGE-BACKED SECURITIES — 6.0%
Assurant Commercial Mortgage Trust,
Series 2016-01A, Class AS, 144A
3.172%		05/15/49		4,000		3,821,551
BANK,
Series 2017-BNK04, Class A3
3.362%		05/15/50		6,500		6,335,902
Benchmark Mortgage Trust,
Series 2018-B03, Class A4
3.761%		04/10/51		5,000		5,019,689
Citigroup Commercial Mortgage Trust,
Series 2013-GC11, Class A3
2.815%		04/10/46		1,086		1,061,851
Series 2014-GC21, Class A4
3.575%		05/10/47		2,608		2,620,622
Series 2014-GC23, Class A3
3.356%		07/10/47		2,800		2,782,542
Series 2016-C01, Class A3
2.944%		05/10/49		5,000		4,783,487
Series 2016-GC37, Class A3
3.050%		04/10/49		6,500		6,251,669
Series 2017-P07, Class A3
3.442%		04/14/50		5,500		5,403,231
Commercial Mortgage Trust,
Series 2012-CR05, Class A3
2.540%		12/10/45		1,000		970,935

SEE NOTES TO FINANCIAL STATEMENTS.

A79

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Series 2013-CR07, Class A3
2.929%		03/10/46		1,281	$	1,260,508
Series 2014-CR15, Class A2
2.928%		02/10/47		2,412		2,412,178
Series 2014-CR18, Class A4
3.550%		07/15/47		2,800		2,805,485
Series 2014-CR20, Class A3
3.326%		11/10/47		5,000		4,940,895
Series 2014-UBS03, Class A2
2.844%		06/10/47		2,300		2,299,273
Series 2015-CR27, Class A3
3.349%		10/10/48		6,100		5,969,681
CSAIL Commercial Mortgage Trust,
Series 2015-C04, Class A3
3.544%		11/15/48		3,000		2,982,476
Series 2017-C08, Class A3
3.127%		06/15/50		5,300		5,047,987
Fannie Mae-Aces,
Series 2015-M17, Class A2
3.036%(cc)		11/25/25		3,900		3,819,770
Series 2016-M07, Class AB2
2.385%		09/25/26		2,400		2,226,097
Series 2017-M01, Class A2
2.498%(cc)		10/25/26		2,200		2,049,148
Series 2017-M04, Class A2
2.683%(cc)		12/25/26		11,800		11,103,075
Series 2017-M08, Class A2
3.061%(cc)		05/25/27		8,250		8,005,779
Series 2018-M04, Class A2
3.144%(cc)		03/25/28		4,325		4,183,832
FHLMC Multifamily Structured Pass-Through Certificates,
Series K020, Class X1, IO
1.553%(cc)		05/25/22		23,666		1,063,699
Series K021, Class X1, IO
1.590%(cc)		06/25/22		6,705		319,192
Series K055, Class X1, IO
1.501%(cc)		03/25/26		13,890		1,199,887
Series K057, Class AM
2.624%		08/25/26		7,230		6,794,042
Series K064, Class AM
3.327%(cc)		03/25/27		5,900		5,848,121
Series K068, Class AM
3.315%		08/25/27		5,600		5,516,108
Series K069, Class A2
3.187%(cc)		09/25/27		4,900		4,799,554
Series K069, Class AM
3.248%(cc)		09/25/27		1,050		1,031,009
Series K070, Class A2
3.303%(cc)		11/25/27		7,250		7,166,377
Series K070, Class AM
3.364%(cc)		12/25/27		1,525		1,510,848
Series K072, Class A2
3.444%		12/25/27		2,000		2,000,538
Series K074, Class A2
3.600%		01/25/28		11,800		11,950,561
Series K075, Class AM
3.650%(cc)		02/25/28		3,575		3,617,813

Interest Rate	Maturity Date		Principal Amount (000)#		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Series K076, Class A2
3.900%		04/25/28		8,600	$	8,900,303
Series K076, Class AM
3.900%		04/25/28		2,575		2,654,724
Series K077, Class A2
3.850%(cc)		05/25/28		4,800		4,958,260
Series K077, Class AM
3.850%(cc)		05/25/28		950		975,966
Series K710, Class X1, IO
1.859%(cc)		05/25/19		17,677		178,021
Series K711, Class X1, IO
1.800%(cc)		07/25/19		19,236		199,886
Series KS03, Class A4
3.161%(cc)		05/25/25		2,500		2,479,170
Series W5FX, Class AFX
3.214%(cc)		04/25/28		2,260		2,218,539
GS Mortgage Securities Trust,
Series 2015-GC28, Class A4
3.136%		02/10/48		4,000		3,898,937
Series 2015-GC32, Class A3
3.498%		07/10/48		5,800		5,775,776
Series 2016-GS03, Class A3
2.592%		10/10/49		5,800		5,369,449
Series 2016-GS04, Class A3
3.178%		11/10/49		5,500		5,301,248
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C25, Class A4A1
3.408%		11/15/47		1,400		1,390,286
Series 2015-C27, Class A3A1
2.920%		02/15/48		6,000		5,789,186
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-CBX, Class A3
3.139%		06/15/45		330		329,828
Series 2012-LC09, Class A4
2.611%		12/15/47		1,700		1,672,109
Series 2013-C10, Class A4
2.875%		12/15/47		1,591		1,571,242
Series 2013-C16, Class A2
3.070%		12/15/46		948		947,712
Series 2013-LC11, Class A4
2.694%		04/15/46		1,010		984,012
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C08, Class A3
2.863%		12/15/48		1,350		1,322,515
Morgan Stanley Capital I Trust,
Series 2016-UB11, Class A3
2.531%		08/15/49		10,400		9,582,527
UBS Commercial Mortgage Trust,
Series 2017-C02, Class ASB
3.264%		08/15/50		3,500		3,448,847
Series 2017-C05, Class A4
3.212%		11/15/50		6,750		6,461,388
Series 2018-C09, Class A3
3.854%		03/15/51		2,500		2,509,173
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C04, Class A4
2.792%		12/10/45		1,700		1,666,217

SEE NOTES TO FINANCIAL STATEMENTS.

A80

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Series 2013-C05, Class A3
2.920%		03/10/46		3,717	$	3,651,052
Series 2013-C06, Class A3
2.971%		04/10/46		1,798		1,767,431
Wells Fargo Commercial Mortgage Trust,
Series 2016-NXS06, Class A3
2.642%		11/15/49		8,000		7,428,574
Series 2017-C38, Class A4
3.190%		07/15/50		4,600		4,418,764
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $257,160,866)						248,826,554
CORPORATE BONDS — 9.6%
Aerospace & Defense — 0.1%
Embraer Netherlands Finance BV (Brazil),
Gtd. Notes
5.050%		06/15/25		575		582,834
General Dynamics Corp.,
Gtd. Notes
3.000%		05/11/21		2,480		2,472,033
						3,054,867
Agriculture — 0.2%
Altria Group, Inc.,
Gtd. Notes
4.000%		01/31/24		1,500		1,518,793
BAT Capital Corp. (United Kingdom),
Gtd. Notes, 144A
3.222%		08/15/24		3,740		3,542,653
Bunge Ltd. Finance Corp.,
Gtd. Notes
8.500%		06/15/19		930		976,864
Reynolds American, Inc. (United Kingdom),
Gtd. Notes
8.125%		06/23/19		325		340,665
						6,378,975
Airlines — 0.2%
American Airlines 2015-1 Class A Pass-Through Trust, Pass-Through Certificates
3.375%		11/01/28		2,782		2,683,312
Continental Airlines 2009-2 Class A Pass-Through Trust, Pass-Through Certificates
7.250%		05/10/21		481		504,569
Continental Airlines 2010-1 Class A Pass-Through Trust, Pass-Through Certificates
4.750%		07/12/22		493		502,764
Continental Airlines 2012-2 Class A Pass-Through Trust, Pass-Through Certificates
4.000%		04/29/26		545		546,802
Delta Air Lines 2007-1 Class A Pass-Through Trust, Pass-Through Certificates
6.821%		02/10/24		243		264,249
Delta Air Lines 2010-2 Class A Pass-Through Trust, Pass-Through Certificates
4.950%		11/23/20		240		241,973

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Airlines (continued)
Delta Air Lines 2011-1 Class A Pass-Through Trust, Pass-Through Certificates
5.300%		10/15/20			605	$	613,813
Delta Air Lines, Inc.,
Sr. Unsec’d. Notes
2.875%		03/13/20			2,000		1,986,827
							7,344,309
Auto Manufacturers — 0.5%
BMW US Capital LLC (Germany),
Gtd. Notes, 144A, 3 Month LIBOR + 0.410%
2.749%(c)		04/12/21			495		496,673
Gtd. Notes, 144A
3.100%		04/12/21			655		650,913
Daimler Finance North America LLC (Germany),
Gtd. Notes, 144A
3.100%		05/04/20			1,205		1,202,551
3.350%		05/04/21			2,010		2,002,194
Ford Motor Co.,
Sr. Unsec’d. Notes
4.750%		01/15/43			1,430		1,235,968
5.291%		12/08/46	(a)		1,230		1,139,880
Ford Motor Credit Co. LLC,
Sr. Unsec’d. Notes
3.336%		03/18/21			680		673,902
4.134%		08/04/25			390		380,207
General Motors Co.,
Sr. Unsec’d. Notes
6.250%		10/02/43			1,395		1,445,646
6.600%		04/01/36			760		822,569
General Motors Financial Co., Inc.,
Gtd. Notes, 3 Month LIBOR + 0.850%
3.187%(c)		04/09/21			1,060		1,065,514
Gtd. Notes
3.550%		04/09/21			805		802,390
3.950%		04/13/24			2,800		2,740,098
Harley-Davidson Financial Services, Inc.,
Gtd. Notes, 144A, MTN
2.850%		01/15/21			4,705		4,631,370
Jaguar Land Rover Automotive PLC (United Kingdom),
Gtd. Notes, 144A
4.250%		11/15/19			715		715,000
							20,004,875
Auto Parts & Equipment — 0.1%
Magna International, Inc. (Canada),
Sr. Unsec’d. Notes
3.625%		06/15/24			2,350		2,344,310
Banks — 3.1%
Banco Santander SA (Spain),
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.120%
3.459%(c)		04/12/23			800		799,019
Sr. Unsec’d. Notes
3.848%		04/12/23			1,000		977,992
Bank of America Corp.,
Jr. Sub. Notes, Series DD
6.300%		12/31/49			445		470,031

SEE NOTES TO FINANCIAL STATEMENTS.

A81

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Banks (continued)
Jr. Sub. Notes, Series K, 3 Month LIBOR + 3.630%
5.989%(c)		12/31/49		705	$	707,995
Sr. Unsec’d. Notes, GMTN
3.300%		01/11/23		2,875		2,832,824
Sr. Unsec’d. Notes, MTN
3.499%		05/17/22		2,510		2,509,138
3.824%		01/20/28		955		931,551
4.000%		04/01/24		975		983,542
4.125%		01/22/24		3,820		3,882,877
4.443%		01/20/48		255		248,955
Sub. Notes, MTN
4.000%		01/22/25		2,000		1,974,305
4.450%		03/03/26		3,880		3,888,990
Bank of America NA,
Sub. Notes
6.000%		10/15/36		410		483,636
Bank of Montreal (Canada),
Sr. Unsec’d. Notes, Series D, MTN, 3 Month LIBOR + 0.460%
2.802%(c)		04/13/21		600		601,116
Sr. Unsec’d. Notes, Series D, MTN
3.100%		04/13/21		780		776,885
Barclays PLC (United Kingdom),
Sr. Unsec’d. Notes
3.650%		03/16/25		850		796,137
3.684%		01/10/23		585		568,890
4.375%		01/12/26		1,590		1,544,311
Capital One Financial Corp.,
Sr. Unsec’d. Notes
2.500%		05/12/20		2,225		2,193,447
3.450%		04/30/21		4,415		4,404,815
Citibank NA,
Sr. Unsec’d. Notes
3.050%		05/01/20		4,580		4,578,329
Citigroup, Inc.,
Jr. Sub. Notes, Series Q
5.950%		12/31/49		2,205		2,271,150
Jr. Sub. Notes, Series R
6.125%		12/31/49		1,375		1,435,156
Jr. Sub. Notes, Series T
6.250%		12/31/49		625		648,438
Sr. Unsec’d. Notes
3.200%		10/21/26		1,870		1,738,968
3.700%		01/12/26		2,440		2,364,971
Sub. Notes
4.450%		09/29/27		1,965		1,932,837
4.750%		05/18/46		820		779,758
Credit Suisse Group AG (Switzerland),
Sr. Unsec’d. Notes, 144A
4.282%		01/09/28		1,370		1,332,662
Deutsche Bank AG (Germany),
Sr. Unsec’d. Notes, GMTN
3.375%		05/12/21		1,640		1,586,260
Dexia Credit Local SA (France),
Gov’t. Liquid Gtd. Notes, 144A
1.875%		09/15/21		1,250		1,204,493

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Banks (continued)
Discover Bank,
Sr. Unsec’d. Notes
4.250%		03/13/26			970	$	948,155
Sub. Notes
7.000%		04/15/20			570		601,939
Goldman Sachs Group, Inc. (The),
Jr. Sub. Notes, Series M
5.375%		12/31/49			2,215		2,253,763
Jr. Sub. Notes, Series O
5.300%		12/31/49			740		723,350
Sr. Unsec’d. Notes
3.500%		01/23/25			4,100		3,959,289
3.750%		02/25/26			1,010		978,588
3.814%		04/23/29			540		513,614
3.850%		01/26/27			2,910		2,794,553
4.223%		05/01/29			1,075		1,058,778
5.750%		01/24/22			5,420		5,800,292
Sub. Notes
6.750%		10/01/37			104		123,432
HSBC Holdings PLC (United Kingdom),
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.600%
2.926%(c)		05/18/21			2,115		2,118,082
Sr. Unsec’d. Notes
4.875%		01/14/22			1,910		1,991,281
5.100%		04/05/21			1,025		1,071,434
JPMorgan Chase & Co.,
Jr. Sub. Notes, Series I, 3 Month LIBOR + 3.470%
5.829%(c)		12/31/49			2,000		2,015,000
Jr. Sub. Notes, Series X
6.100%		12/31/49			1,275		1,316,565
Sr. Unsec’d. Notes
3.782%		02/01/28			695		678,080
3.964%		11/15/48			3,250		2,922,200
4.005%		04/23/29			2,170		2,141,064
4.250%		10/15/20			2,930		2,995,332
Sub. Notes
3.875%		09/10/24			3,775		3,739,991
JPMorgan Chase Bank NA,
Sr. Unsec’d. Notes
3.086%		04/26/21			5,000		4,988,281
Lloyds Bank PLC (United Kingdom),
Gtd. Notes
3.300%		05/07/21			2,200		2,196,096
Gtd. Notes, 144A, MTN
5.800%		01/13/20			1,870		1,940,776
Manufacturers & Traders Trust Co.,
Sr. Unsec’d. Notes
2.900%		02/06/25			3,080		2,955,115
Morgan Stanley,
Jr. Sub. Notes, Series H
5.450%		12/31/49			840		851,029
Sr. Unsec’d. Notes
4.375%		01/22/47			1,315		1,255,782
5.750%		01/25/21	(a)		1,400		1,480,144
Sr. Unsec’d. Notes, GMTN
3.125%		01/23/23			970		946,462
3.772%		01/24/29			1,450		1,396,826

SEE NOTES TO FINANCIAL STATEMENTS.

A82

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Banks (continued)
Sr. Unsec’d. Notes, MTN
3.591%		07/22/28		1,255	$	1,192,811
3.971%		07/22/38		925		857,084
5.625%		09/23/19		1,415		1,458,093
6.375%		07/24/42		250		303,670
Sub. Notes, GMTN
4.350%		09/08/26		3,825		3,772,799
National City Corp.,
Sub. Notes
6.875%		05/15/19		3,370		3,481,784
Nordea Bank AB (Sweden),
Sr. Unsec’d. Notes, 144A, MTN
1.875%		09/17/18		2,110		2,107,259
PNC Bank NA,
Sr. Unsec’d. Notes
1.950%		03/04/19		515		512,172
Royal Bank of Canada (Canada),
Sr. Unsec’d. Notes, GMTN, 3 Month LIBOR + 0.390%
2.749%(c)		04/30/21		2,250		2,249,239
Sr. Unsec’d. Notes, GMTN
3.200%		04/30/21		490		489,788
Sumitomo Mitsui Banking Corp. (Japan),
Gtd. Notes
2.450%		01/10/19		1,210		1,208,780
						127,838,250
Beverages — 0.1%
Anheuser-Busch InBev Finance, Inc. (Belgium),
Gtd. Notes
4.700%		02/01/36		855		866,582
Anheuser-Busch InBev Worldwide, Inc. (Belgium),
Gtd. Notes
8.000%		11/15/39		1,285		1,805,278
8.200%		01/15/39		250		357,408
Constellation Brands, Inc.,
Gtd. Notes
4.250%		05/01/23		1,400		1,427,326
Maple Escrow Subsidiary, Inc.,
Gtd. Notes, 144A
3.551%		05/25/21		1,150		1,151,016
						5,607,610
Biotechnology — 0.1%
Amgen, Inc.,
Sr. Unsec’d. Notes
4.663%		06/15/51		774		765,326
Gilead Sciences, Inc.,
Sr. Unsec’d. Notes
3.500%		02/01/25		1,460		1,437,937
5.650%		12/01/41		145		170,045
						2,373,308
Building Materials — 0.1%
Owens Corning,
Gtd. Notes
4.200%		12/15/22		775		776,895

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Building Materials (continued)
Standard Industries, Inc.,
Sr. Unsec’d. Notes, 144A
5.375%		11/15/24			1,400	$	1,382,500
							2,159,395
Chemicals — 0.3%
Celanese US Holdings LLC,
Gtd. Notes
5.875%		06/15/21			1,500		1,585,168
CF Industries, Inc.,
Gtd. Notes
5.375%		03/15/44			585		516,263
CNAC HK Finbridge Co. Ltd. (China),
Gtd. Notes
3.500%		07/19/22			3,680		3,553,371
Dow Chemical Co. (The),
Sr. Unsec’d. Notes
5.250%		11/15/41			45		47,328
9.400%		05/15/39			347		532,652
LyondellBasell Industries NV,
Sr. Unsec’d. Notes
4.625%		02/26/55			1,185		1,095,508
5.000%		04/15/19			600		605,932
Mexichem SAB de CV (Mexico),
Gtd. Notes, 144A
4.875%		09/19/22			2,000		2,027,000
Mosaic Co. (The),
Sr. Unsec’d. Notes
5.450%		11/15/33	(a)		345		348,802
5.625%		11/15/43			430		433,145
Nutrien Ltd. (Canada),
Sr. Unsec’d. Notes
3.150%		10/01/22			780		758,707
Union Carbide Corp.,
Sr. Unsec’d. Notes
7.500%		06/01/25			460		539,606
							12,043,482
Commercial Services — 0.1%
ERAC USA Finance LLC,
Gtd. Notes, 144A
4.200%		11/01/46			975		879,158
6.700%		06/01/34			420		504,336
7.000%		10/15/37			380		474,886
United Rentals North America, Inc.,
Gtd. Notes
4.875%		01/15/28			1,190		1,101,880
5.875%		09/15/26			485		489,850
							3,450,110
Computers — 0.3%
Apple, Inc.,
Sr. Unsec’d. Notes
2.850%		05/11/24			6,145		5,949,366
3.200%		05/13/25			1,350		1,319,536
3.450%		02/09/45			890		795,415

SEE NOTES TO FINANCIAL STATEMENTS.

A83

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Computers (continued)
Dell International LLC/EMC Corp.,
Sr. Sec’d. Notes, 144A
3.480%		06/01/19			1,085	$	1,087,732
Hewlett Packard Enterprise Co.,
Sr. Unsec’d. Notes
2.850%		10/05/18			291		291,422
Sr. Unsec’d. Notes, 144A
2.100%		10/04/19			225		222,168
Seagate HDD Cayman,
Gtd. Notes
3.750%		11/15/18			605		606,537
							10,272,176
Diversified Financial Services — 0.2%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland),
Gtd. Notes
3.750%		05/15/19			775		779,620
CDP Financial, Inc. (Canada),
Gtd. Notes, 144A
3.150%		07/24/24			800		792,532
Discover Financial Services,
Sr. Unsec’d. Notes
3.850%		11/21/22			900		896,144
GE Capital International Funding Co. Unlimited Co.,
Gtd. Notes
2.342%		11/15/20			766		748,750
Jefferies Group LLC,
Sr. Unsec’d. Notes
6.500%		01/20/43			560		580,639
Lehman Brothers Holdings, Inc.,
Sr. Unsec’d. Notes
5.250%		02/06/12	(d)		1,715		52,307
6.875%		05/02/18	(d)		700		21,700
Private Export Funding Corp.,
Sr. Unsec’d. Notes, 144A
2.650%		02/16/21			2,460		2,447,385
U.S. Gov’t. Gtd. Notes
2.450%		07/15/24			475		460,541
3.250%		06/15/25			330		332,891
Synchrony Financial,
Sr. Unsec’d. Notes
2.700%		02/03/20			2,700		2,671,532
							9,784,041
Electric — 1.0%
Avista Corp.,
First Mortgage
4.350%		06/01/48			1,160		1,166,942
Baltimore Gas & Electric Co.,
Sr. Unsec’d. Notes
6.350%		10/01/36			550		698,602
Berkshire Hathaway Energy Co.,
Sr. Unsec’d. Notes
6.125%		04/01/36			302		372,455
Black Hills Corp.,
Sr. Unsec’d. Notes
2.500%		01/11/19			1,245		1,242,030

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Electric (continued)
CenterPoint Energy Houston Electric LLC,
General Ref. Mtge.
6.950%		03/15/33		590	$	770,273
Comision Federal de Electricidad (Mexico),
Sr. Unsec’d. Notes, 144A
4.875%		01/15/24		245		246,225
Commonwealth Edison Co.,
First Mortgage
3.750%		08/15/47		1,610		1,507,950
Consolidated Edison Co. of New York, Inc.,
Sr. Unsec’d. Notes
5.500%		12/01/39		220		258,993
Dominion Energy, Inc.,
Jr. Sub. Notes
4.104%		04/01/21		3,210		3,254,779
DTE Electric Co.,
General Ref. Mortgage
4.050%		05/15/48		1,490		1,479,662
Duke Energy Carolinas LLC,
First Mortgage
6.050%		04/15/38		550		682,985
First Ref. Mortgage
4.000%		09/30/42		570		558,455
El Paso Electric Co.,
Sr. Unsec’d. Notes
6.000%		05/15/35		670		761,215
Eversource Energy,
Sr. Unsec’d. Notes
4.500%		11/15/19		615		626,251
Exelon Corp.,
Jr. Sub. Notes
3.497%		06/01/22		3,470		3,429,854
Exelon Generation Co. LLC,
Sr. Unsec’d. Notes
5.200%		10/01/19		800		818,795
6.250%		10/01/39		1,425		1,508,528
FirstEnergy Transmission LLC,
Sr. Unsec’d. Notes, 144A
5.450%		07/15/44		355		397,328
Florida Power & Light Co.,
First Mortgage
5.950%		10/01/33		295		355,861
Iberdrola International BV (Spain),
Gtd. Notes
6.750%		09/15/33		145		171,389
Indiana Michigan Power Co.,
Sr. Unsec’d. Notes
3.850%		05/15/28		2,910		2,917,495
Israel Electric Corp. Ltd. (Israel),
Sr. Sec’d. Notes, 144A
9.375%		01/28/20		1,420		1,540,544
Sr. Sec’d. Notes, 144A, GMTN
4.250%		08/14/28		470		451,979
Monongahela Power Co.,
First Mortgage, 144A
4.100%		04/15/24		2,170		2,220,713

SEE NOTES TO FINANCIAL STATEMENTS.

A84

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Electric (continued)
Niagara Mohawk Power Corp.,
Sr. Unsec’d. Notes, 144A
4.881%		08/15/19			610	$	621,445
Northern States Power Co.,
First Mortgage
3.600%		09/15/47			1,580		1,456,516
PPL Capital Funding, Inc.,
Gtd. Notes
4.000%		09/15/47			1,360		1,243,427
5.000%		03/15/44			695		722,643
PSEG Power LLC,
Gtd. Notes
3.000%		06/15/21	(a)		1,760		1,740,348
Public Service Electric & Gas Co.,
First Mortgage, MTN
3.700%		05/01/28			1,280		1,283,199
Sec’d. Notes, MTN
3.000%		05/15/27			1,130		1,069,648
Sr. Sec’d. Notes, MTN
5.800%		05/01/37			535		661,816
San Diego Gas & Electric Co.,
First Mortgage
4.150%		05/15/48			1,400		1,404,036
Southern California Edison Co.,
First Ref. Mtge.
4.000%		04/01/47			580		541,640
First Ref. Mtge., Series C
3.600%		02/01/45			860		748,799
State Grid Overseas Investment 2014 Ltd. (China),
Gtd. Notes, 144A
2.750%		05/07/19			665		662,852
Xcel Energy, Inc.,
Sr. Unsec’d. Notes
4.800%		09/15/41			480		512,254
							40,107,926
Electronics — 0.0%
FLIR Systems, Inc.,
Sr. Unsec’d. Notes
3.125%		06/15/21			900		890,138
Food — 0.3%
General Mills, Inc.,
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.540%
2.893%(c)		04/16/21			5,635		5,643,373
Kraft Heinz Foods Co.,
Gtd. Notes
3.000%		06/01/26	(a)		1,630		1,467,854
4.375%		06/01/46			475		410,924
5.000%		07/15/35			815		802,864
Kroger Co. (The),
Sr. Unsec’d. Notes
4.450%		02/01/47	(a)		335		304,691
4.650%		01/15/48	(a)		850		802,627

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Food (continued)
Mondelez International, Inc.,
Sr. Unsec’d. Notes
3.000%		05/07/20		2,535	$	2,529,581
						11,961,914
Forest Products & Paper — 0.1%
Georgia-Pacific LLC,
Gtd. Notes, 144A
5.400%		11/01/20		290		303,790
International Paper Co.,
Sr. Unsec’d. Notes
6.000%		11/15/41		1,595		1,761,065
						2,064,855
Gas — 0.1%
Dominion Energy Gas Holdings LLC,
Sr. Unsec’d. Notes
4.800%		11/01/43		65		66,664
NiSource, Inc.,
Sr. Unsec’d. Notes
3.490%		05/15/27		3,285		3,141,148
						3,207,812
Healthcare-Products — 0.1%
Becton, Dickinson & Co.,
Sr. Unsec’d. Notes
3.734%		12/15/24		474		462,743
Medtronic, Inc.,
Gtd. Notes
3.500%		03/15/25		1,303		1,289,339
4.375%		03/15/35		1,269		1,312,398
						3,064,480
Healthcare-Services — 0.1%
Aetna, Inc.,
Sr. Unsec’d. Notes
6.625%		06/15/36		515		635,594
Anthem, Inc.,
Sr. Unsec’d. Notes
4.625%		05/15/42		390		378,041
4.650%		01/15/43		360		348,172
Centene Corp.,
Sr. Unsec’d. Notes
5.625%		02/15/21		1,125		1,148,766
Fresenius Medical Care U.S. Finance II, Inc. (Germany),
Gtd. Notes, 144A
4.125%		10/15/20		640		646,432
HCA, Inc.,
Gtd. Notes
5.375%		02/01/25		555		546,508
Sr. Sec’d. Notes
5.250%		04/15/25		400		400,000
Kaiser Foundation Hospitals,
Gtd. Notes
4.150%		05/01/47		940		951,887

SEE NOTES TO FINANCIAL STATEMENTS.

A85

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Healthcare-Services (continued)
Laboratory Corp. of America Holdings,
Sr. Unsec’d. Notes
3.200%		02/01/22			190	$	187,954
New York & Presbyterian Hospital (The),
Unsec’d. Notes
4.024%		08/01/45			445		445,116
							5,688,470
Home Builders — 0.0%
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc.,
Gtd. Notes, 144A
5.250%		04/15/21			1,300		1,300,000
Housewares — 0.0%
Newell Brands, Inc.,
Sr. Unsec’d. Notes
4.200%		04/01/26	(a)		1,695		1,637,464
Insurance — 0.2%
AXIS Specialty Finance LLC,
Gtd. Notes
5.875%		06/01/20			1,030		1,074,909
Hartford Financial Services Group, Inc. (The),
Sr. Unsec’d. Notes
5.125%		04/15/22			755		796,763
Liberty Mutual Group, Inc.,
Gtd. Notes, 144A
6.500%		05/01/42			365		445,602
7.000%		03/15/34			850		1,043,013
Lincoln National Corp.,
Sr. Unsec’d. Notes
6.300%		10/09/37			772		918,317
Markel Corp.,
Sr. Unsec’d. Notes
5.000%		03/30/43			200		204,783
New York Life Insurance Co.,
Sub. Notes, 144A
6.750%		11/15/39			660		875,270
Northwestern Mutual Life Insurance Co. (The),
Sub. Notes, 144A
6.063%		03/30/40			100		124,344
Ohio National Financial Services, Inc.,
Sr. Unsec’d. Notes, 144A
6.375%		04/30/20			680		713,927
Principal Financial Group, Inc.,
Gtd. Notes
4.625%		09/15/42			130		130,782
Teachers Insurance & Annuity Association of America,
Sub. Notes, 144A
4.270%		05/15/47			1,450		1,386,682
6.850%		12/16/39			124		164,180
Unum Group,
Sr. Unsec’d. Notes
5.625%		09/15/20			350		365,975
W.R. Berkley Corp.,
Sr. Unsec’d. Notes
6.150%		08/15/19			460		474,111
							8,718,658

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Lodging — 0.0%
Marriott International, Inc.,
Sr. Unsec’d. Notes
3.000%		03/01/19			580	$	580,069
3.250%		09/15/22			980		965,116
							1,545,185
Machinery-Diversified — 0.0%
Xylem, Inc.,
Sr. Unsec’d. Notes
4.875%		10/01/21			1,260		1,318,038
Media — 0.3%
21st Century Fox America, Inc.,
Gtd. Notes
6.150%		03/01/37			515		604,051
6.900%		08/15/39			90		114,587
AMC Networks, Inc.,
Gtd. Notes
5.000%		04/01/24			1,520		1,497,200
CCO Holdings LLC/CCO Holdings Capital Corp.,
Sr. Unsec’d. Notes, 144A
5.375%		05/01/25			880		851,400
Charter Communications Operating LLC/Charter Communications Operating Capital,
Sr. Sec’d. Notes
6.384%		10/23/35			875		914,381
6.484%		10/23/45			1,386		1,460,893
Comcast Corp.,
Gtd. Notes
6.400%		05/15/38			530		628,102
Discovery Communications LLC,
Gtd. Notes
5.000%		09/20/37			360		346,626
5.200%		09/20/47			475		460,724
Gtd. Notes, 144A
2.800%		06/15/20			1,740		1,718,993
Grupo Televisa SAB (Mexico),
Sr. Unsec’d. Notes
5.000%		05/13/45			200		175,828
NBCUniversal Media LLC,
Gtd. Notes
2.875%		01/15/23	(a)		330		316,457
Time Warner Cable LLC,
Sr. Sec’d. Notes
5.500%		09/01/41			360		334,931
Viacom, Inc.,
Sr. Unsec’d. Notes
5.250%		04/01/44			450		422,634
Videotron Ltd. (Canada),
Gtd. Notes
5.000%		07/15/22			1,040		1,054,300
Warner Media LLC,
Gtd. Notes
3.800%		02/15/27			385		363,584
							11,264,691

SEE NOTES TO FINANCIAL STATEMENTS.

A86

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Mining — 0.0%
BHP Billiton Finance USA Ltd. (Australia),
Gtd. Notes, 144A
6.250%		10/19/75		425	$	444,258
Southern Copper Corp. (Peru),
Sr. Unsec’d. Notes
5.875%		04/23/45		530		563,989
6.750%		04/16/40		425		488,398
						1,496,645
Miscellaneous Manufacturing — 0.0%
Actuant Corp.,
Gtd. Notes
5.625%		06/15/22		1,205		1,220,062
General Electric Co.,
Sr. Unsec’d. Notes, GMTN
6.000%		08/07/19		264		272,960
						1,493,022
Multi-National — 0.1%
Corp. Andina de Fomento (Supranational Bank),
Sr. Unsec’d. Notes
2.000%		05/10/19		645		639,784
2.125%		09/27/21		2,270		2,184,512
2.750%		01/06/23		315		304,753
North American Development Bank (Supranational Bank),
Sr. Unsec’d. Notes
2.400%		10/26/22		1,095		1,056,496
4.375%		02/11/20		1,000		1,022,838
						5,208,383
Oil & Gas — 0.5%
Anadarko Petroleum Corp.,
Sr. Unsec’d. Notes
4.677%(s)		10/10/36		2,000		846,386
4.850%		03/15/21		1,175		1,209,200
6.450%		09/15/36		1,155		1,334,782
Cenovus Energy, Inc. (Canada),
Sr. Unsec’d. Notes
5.400%		06/15/47		1,200		1,174,799
Concho Resources, Inc.,
Gtd. Notes
4.875%		10/01/47		210		211,708
Devon Energy Corp.,
Sr. Unsec’d. Notes
5.000%		06/15/45		110		111,901
5.600%		07/15/41		300		323,602
Encana Corp. (Canada),
Sr. Unsec’d. Notes
6.500%		08/15/34		370		421,929
6.500%		02/01/38		275		323,011
EOG Resources, Inc.,
Sr. Unsec’d. Notes
3.900%		04/01/35		1,020		989,580
Gazprom OAO Via Gaz Capital SA (Russia),
Sr. Unsec’d. Notes, 144A
4.950%		07/19/22		350		352,450
6.510%		03/07/22		580		615,090

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Oil & Gas (continued)
Helmerich & Payne International Drilling Co.,
Gtd. Notes
4.650%		03/15/25			1,995	$	2,059,861
KazMunayGas National Co. JSC (Kazakhstan),
Sr. Unsec’d. Notes, 144A
3.875%		04/19/22			550		540,650
Noble Energy, Inc.,
Sr. Unsec’d. Notes
5.050%		11/15/44			1,200		1,199,237
Petrobras Global Finance BV (Brazil),
Gtd. Notes
5.750%		02/01/29			840		738,469
6.250%		03/17/24	(a)		710		703,965
Gtd. Notes, 144A
5.299%		01/27/25			740		683,760
Petroleos Mexicanos (Mexico),
Gtd. Notes
5.375%		03/13/22			450		461,475
5.500%		01/21/21			2,110		2,172,224
6.500%		06/02/41			1,255		1,180,202
8.625%		12/01/23			350		396,293
Gtd. Notes, MTN
6.750%		09/21/47			1,540		1,452,066
6.875%		08/04/26			1,000		1,051,000
Sinopec Group Overseas Development 2015 Ltd. (China),
Gtd. Notes, 144A
2.500%		04/28/20			1,250		1,231,685
							21,785,325
Oil & Gas Services — 0.1%
Cameron International Corp.,
Gtd. Notes
4.500%		06/01/21			2,200		2,244,310
Schlumberger Holdings Corp.,
Sr. Unsec’d. Notes, 144A
4.000%		12/21/25			2,845		2,835,501
							5,079,811
Packaging & Containers — 0.0%
Ball Corp.,
Gtd. Notes
4.375%		12/15/20			630		634,725
WestRock RKT Co.,
Gtd. Notes
4.900%		03/01/22			800		833,320
							1,468,045
Pharmaceuticals — 0.4%
AbbVie, Inc.,
Sr. Unsec’d. Notes
3.600%		05/14/25			1,175		1,137,997
4.500%		05/14/35			1,910		1,858,952
Allergan Funding SCS,
Gtd. Notes
3.800%		03/15/25	(a)		475		461,246
4.550%		03/15/35			2,190		2,072,076
4.850%		06/15/44			35		33,806

SEE NOTES TO FINANCIAL STATEMENTS.

A87

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Pharmaceuticals (continued)
Bayer US Finance II LLC (Germany),
Gtd. Notes, 144A, 3 Month LIBOR + 0.630%
2.965%(c)		06/25/21			1,115	$	1,116,566
Gtd. Notes, 144A
3.500%		06/25/21			500		500,995
CVS Health Corp.,
Sr. Unsec’d. Notes
4.780%		03/25/38			340		334,414
5.050%		03/25/48			785		798,892
5.125%		07/20/45			610		618,101
5.300%		12/05/43			225		235,115
Mylan, Inc.,
Gtd. Notes, 144A
4.550%		04/15/28	(a)		2,435		2,379,617
Shire Acquisitions Investments Ireland DAC,
Gtd. Notes
2.400%		09/23/21			3,555		3,403,429
Wyeth LLC,
Gtd. Notes
6.450%		02/01/24			60		69,305
							15,020,511
Pipelines — 0.3%
DCP Midstream Operating LP,
Gtd. Notes, 144A
5.350%		03/15/20			717		730,444
Energy Transfer Partners LP,
Gtd. Notes
4.650%		06/01/21			675		691,200
4.950%		06/15/28			1,115		1,111,537
Enterprise Products Operating LLC,
Gtd. Notes
3.700%		02/15/26			270		263,825
3.750%		02/15/25			1,345		1,331,878
MPLX LP,
Sr. Unsec’d. Notes
4.000%		02/15/25			1,430		1,398,100
4.875%		06/01/25			3,250		3,341,555
5.200%		03/01/47			40		39,745
ONEOK Partners LP,
Gtd. Notes
6.650%		10/01/36			145		168,953
ONEOK, Inc.,
Gtd. Notes
4.950%		07/13/47			935		910,352
Williams Partners LP,
Sr. Unsec’d. Notes
4.850%		03/01/48			315		300,106
4.900%		01/15/45			1,000		955,301
5.100%		09/15/45			500		493,875
							11,736,871
Real Estate Investment Trusts (REITs) — 0.0%
Simon Property Group LP,
Sr. Unsec’d. Notes
3.375%		03/15/22			230		229,215

Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Retail — 0.2%
Dollar Tree, Inc.,
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.700%
3.055%(c)		04/17/20			1,100	$	1,102,248
Sr. Unsec’d. Notes
4.000%		05/15/25			4,705		4,598,209
L Brands, Inc.,
Gtd. Notes
5.625%		02/15/22			1,450		1,471,750
Lowe’s Cos., Inc.,
Sr. Unsec’d. Notes
6.500%		03/15/29			129		155,199
Macy’s Retail Holdings, Inc.,
Gtd. Notes
3.875%		01/15/22	(a)		360		357,469
Sally Holdings LLC/Sally Capital, Inc.,
Gtd. Notes
5.625%		12/01/25	(a)		1,375		1,268,438
							8,953,313
Savings & Loans — 0.0%
People’s United Financial, Inc.,
Sr. Unsec’d. Notes
3.650%		12/06/22			1,455		1,451,298
Semiconductors — 0.1%
Broadcom Corp./Broadcom Cayman Finance Ltd.,
Gtd. Notes
3.875%		01/15/27			2,125		2,009,936
Software — 0.1%
Fidelity National Information Services, Inc.,
Sr. Unsec’d. Notes
3.625%		10/15/20			1,233		1,240,774
Microsoft Corp.,
Sr. Unsec’d. Notes
4.500%		02/06/57			1,125		1,221,222
Oracle Corp.,
Sr. Unsec’d. Notes
4.300%		07/08/34			920		937,817
							3,399,813
Telecommunications — 0.2%
Anixter, Inc.,
Gtd. Notes
5.625%		05/01/19			782		795,685
AT&T Corp.,
Gtd. Notes
8.250%		11/15/31			4		5,130
AT&T, Inc.,
Sr. Unsec’d. Notes
3.400%		05/15/25			3,460		3,244,578
4.500%		03/09/48			4		3,448
4.550%		03/09/49			64		55,337
5.250%		03/01/37			65		63,931
5.350%		09/01/40			82		80,028
British Telecommunications PLC (United Kingdom),
Sr. Unsec’d. Notes
9.625%		12/15/30			400		571,476

SEE NOTES TO FINANCIAL STATEMENTS.

A88

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Telecommunications (continued)
Sprint Communications, Inc.,
Gtd. Notes, 144A
7.000%		03/01/20		750	$	778,125
9.000%		11/15/18		1,150		1,173,000
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC,
Sr. Sec’d. Notes, 144A
3.360%		03/20/23		1,625		1,606,719
Verizon Communications, Inc.,
Sr. Unsec’d. Notes
4.500%		08/10/33		1,205		1,166,900
						9,544,357
Transportation — 0.0%
Burlington Northern Santa Fe LLC,
Sr. Unsec’d. Notes
6.700%		08/01/28		670		813,747
CSX Corp.,
Sr. Unsec’d. Notes
6.150%		05/01/37		715		858,295
Norfolk Southern Corp.,
Sr. Unsec’d. Notes
5.590%		05/17/25		100		109,649
						1,781,691
TOTAL CORPORATE BONDS (cost $399,595,011)						396,083,575
MUNICIPAL BONDS — 0.5%
Alabama — 0.0%
Alabama Economic Settlement Authority,
Revenue Bonds, BABs
4.263%		09/15/32		240		246,895
California — 0.2%
Bay Area Toll Authority,
Revenue Bonds, BABs
6.263%		04/01/49		1,325		1,840,531
California Educational Facilities Authority,
Revenue Bonds, Series U-7, BABs
5.000%		06/01/46		750		989,602
State of California,
GO, BABs
7.300%		10/01/39		1,270		1,799,336
7.500%		04/01/34		475		667,133
7.550%		04/01/39		245		361,287
7.625%		03/01/40		215		317,091
						5,974,980
Colorado — 0.0%
Regional Transportation District,
Revenue Bonds, Series 2010-B, BABs
5.844%		11/01/50		680		891,160
Illinois — 0.1%
Chicago O’Hare International Airport,
Revenue Bonds, BABs
6.395%		01/01/40		1,030		1,363,535

Interest Rate	Maturity Date		Principal Amount (000)#		Value
MUNICIPAL BONDS (continued)
Illinois (continued)
State of Illinois,
GO, Series D, BABs
5.000%		11/01/22		3,190	$	3,372,595
						4,736,130
New Jersey — 0.1%
New Jersey Turnpike Authority,
Revenue Bonds, Series F, BABs
7.414%		01/01/40		1,070		1,556,133
New York — 0.0%
New York City Transitional Finance Authority Future Tax Secured Revenue,
Revenue Bonds, BABs
5.767%		08/01/36		1,130		1,343,005
Ohio — 0.0%
Ohio State University (The),
Revenue Bonds, Series C, BABs
4.910%		06/01/40		455		521,457
Ohio Water Development Authority Water Pollution Control Loan Fund,
Revenue Bonds, BABs
4.879%		12/01/34		300		329,664
						851,121
Oregon — 0.0%
State of Oregon Department of Transportation,
Revenue Bonds, Series A, BABs
5.834%		11/15/34		445		548,356
Pennsylvania — 0.0%
Pennsylvania Turnpike Commission,
Revenue Bonds, Series B, BABs
5.511%		12/01/45		550		676,473
Texas — 0.1%
University of Texas System (The),
Revenue Bonds, Series F, Rfdg.
5.000%		08/15/47		1,490		1,912,102
Virginia — 0.0%
University of Virginia,
Revenue Bonds, Taxable, Series C
4.179%		09/01/2117		495		493,916
TOTAL MUNICIPAL BONDS (cost $16,353,793)						19,230,271
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 1.0%
Alternative Loan Trust,
Series 2004-18CB, Class 3A1
5.250%		09/25/19		59		59,068
Banc of America Funding Trust,
Series 2015-R04, Class 4A1, 144A
3.500%(cc)		01/25/30		1,009		1,001,204
Banc of America Mortgage Trust,
Series 2005-A, Class 2A1
3.704%(cc)		02/25/35		431		429,118
Series 2005-B, Class 2A1
3.901%(cc)		03/25/35		143		140,126

SEE NOTES TO FINANCIAL STATEMENTS.

A89

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)
Bellemeade Re Ltd. (Bermuda),
Series 2017-01, Class M1, 144A, 1 Month LIBOR + 1.700%
3.791%(c)		10/25/27		744	$	747,675
Chase Mortgage Finance Trust,
Series 2007-A01, Class 1A5
3.885%(cc)		02/25/37		328		330,895
CIM Trust,
Series 2017-02, Class A1, 144A, 1 Month LIBOR + 2.000%
3.982%(c)		12/25/57		1,918		1,941,637
Series 2017-03, Class A1, 144A, 1 Month LIBOR + 2.000%
3.982%(c)		01/25/57		3,896		3,974,231
Series 2017-06, Class A1, 144A
3.015%(cc)		06/25/57		1,848		1,810,218
Series 2017-08, Class A1, 144A
3.000%(cc)		12/25/65		3,659		3,653,271
Fannie Mae Connecticut Avenue Securities,
Series 2016-C02, Class 1M1, 1 Month LIBOR + 2.150%
4.241%(c)		09/25/28		356		358,301
Series 2016-C03, Class 2M1, 1 Month LIBOR + 2.200%
4.291%(c)		10/25/28		388		389,498
Series 2016-C04, Class 1M1, 1 Month LIBOR + 1.450%
3.541%(c)		01/25/29		884		891,052
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2016-DNA04, Class M2, 1 Month LIBOR + 1.300%
3.391%(c)		03/25/29		1,300		1,313,934
Series 2016-HQA02, Class M2, 1 Month LIBOR + 2.250%
4.341%(c)		11/25/28		993		1,016,641
Series 2016-HQA04, Class M2, 1 Month LIBOR + 1.300%
3.391%(c)		04/25/29		2,050		2,079,702
Series 2017-DNA01, Class M1, 1 Month LIBOR + 1.200%
3.291%(c)		07/25/29		2,859		2,881,038
Series 2017-DNA03, Class M1, 1 Month LIBOR + 0.750%
2.841%(c)		03/25/30		4,399		4,410,115
Holmes Master Issuer PLC (United Kingdom),
Series 2018-01A, Class A2, 144A, 3 Month LIBOR + 0.360%
2.708%(c)		10/15/54		2,200		2,198,728
JPMorgan Mortgage Trust,
Series 2007-A01, Class 4A1
4.048%(cc)		07/25/35		172		175,577
Lanark Master Issuer PLC (United Kingdom),
Series 2018-01A, Class 1A, 144A, 3 Month LIBOR + 0.420%
2.749%(c)		12/22/69		1,880		1,880,214
Lehman XS Trust,
Series 2006-GP04, Class 1A1, 1 Month LIBOR + 0.205%
2.296%(c)		08/25/46		3,000		2,882,079
LSTAR Securities Investment Ltd. (Cayman Islands),
Series 2017-05, Class A, 144A, 1 Month LIBOR + 2.000%
3.983%(c)		05/01/22		2,840		2,841,415
Series 2017-06, Class A, 144A, 1 Month LIBOR + 1.750%
3.732%(c)		09/01/22		1,468		1,472,565
Series 2017-08, Class A, 144A, 1 Month LIBOR + 1.650%
3.633%(c)		11/01/22		1,181		1,186,102
MASTR Alternative Loan Trust,
Series 2004-04, Class 4A1
5.000%		04/25/19		6		5,555

Interest Rate	Maturity Date		Principal Amount (000)#			Value
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-01, Class 4A3
3.756%(cc)		02/25/34			173	$	174,758
Washington Mutual Mortgage Pass-Through Certificates,
Series 2005-01, Class 3A
5.000%		03/25/20			24		23,614
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $40,018,235)							40,268,331
SOVEREIGN BONDS — 0.8%
Abu Dhabi Government International Bond (United Arab Emirates),
Sr. Unsec’d. Notes, 144A
3.125%		10/11/27			3,350		3,117,510
Colombia Government International Bond (Colombia),
Sr. Unsec’d. Notes
4.000%		02/26/24			175		174,825
4.375%		07/12/21			500		510,250
7.375%		09/18/37			625		778,125
Export-Import Bank of India (India),
Sr. Unsec’d. Notes, 144A(a)
3.875%		02/01/28			1,040		976,608
Export-Import Bank of Korea (South Korea),
Sr. Unsec’d. Notes
5.125%		06/29/20			400		413,540
Finnvera OYJ (Finland),
Gov’t. Gtd. Notes, 144A, MTN
2.375%		06/04/25			400		378,560
Hungary Government International Bond (Hungary),
Sr. Unsec’d. Notes
6.375%		03/29/21			2,280		2,435,145
Indonesia Government International Bond (Indonesia),
Sr. Unsec’d. Notes, 144A
3.375%		07/30/25		EUR	1,500		1,883,640
Sr. Unsec’d. Notes, 144A, MTN
2.150%		07/18/24		EUR	2,100		2,469,304
5.875%		01/15/24			950		1,017,254
Sr. Unsec’d. Notes, EMTN
4.750%		01/08/26			540		547,281
Japan Bank for International Cooperation (Japan),
Gov’t. Gtd. Notes
1.500%		07/21/21			600		572,674
Japan Finance Organization for Municipalities (Japan),
Sr. Unsec’d. Notes, 144A, MTN
2.000%		09/08/20			1,200		1,173,049
2.125%		04/13/21			800		777,081
2.125%		10/25/23			1,400		1,314,119
2.625%		04/20/22			2,000		1,951,297
Sr. Unsec’d. Notes, EMTN
2.125%		04/13/21			200		194,270
Mexico Government International Bond (Mexico),
Sr. Unsec’d. Notes
4.000%		10/02/23			566		567,698
Sr. Unsec’d. Notes, MTN
4.750%		03/08/44			606		562,301

SEE NOTES TO FINANCIAL STATEMENTS.

A90

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#			Value
SOVEREIGN BONDS (continued)
Panama Government International Bond (Panama),
Sr. Unsec’d. Notes
3.750%		03/16/25			600		$	592,500
4.000%		09/22/24			515			518,863
4.500%		04/16/50			475			457,188
Qatar Government International Bond (Qatar),
Sr. Unsec’d. Notes, 144A
3.875%		04/23/23			1,105			1,104,196
5.103%		04/23/48			1,220			1,216,291
Saudi Government International Bond (Saudi Arabia),
Sr. Unsec’d. Notes, 144A, MTN
2.375%		10/26/21			1,325			1,272,265
2.875%		03/04/23			1,785			1,716,999
4.000%		04/17/25			1,035			1,029,887
Tokyo Metropolitan Government (Japan),
Sr. Unsec’d. Notes, 144A
2.500%		06/08/22			1,800			1,746,189
3.250%		06/01/23			800			799,874
Turkey Government International Bond (Turkey),
Sr. Unsec’d. Notes
7.000%		06/05/20			1,710			1,750,462
Uruguay Government International Bond (Uruguay),
Sr. Unsec’d. Notes
4.975%		04/20/55			770			746,900
5.100%		06/18/50			680			668,440
TOTAL SOVEREIGN BONDS (cost $36,330,375)								35,434,585
U.S. GOVERNMENT AGENCY OBLIGATIONS — 6.7%
Federal Home Loan Bank
5.500%		07/15/36	(k)		1,080			1,409,296
Federal Home Loan Mortgage Corp.
2.000%		01/01/32			1,176			1,113,882
2.500%		03/01/30			638			621,129
3.000%		TBA			13,500			13,052,679
3.000%		10/01/28			524			523,752
3.000%		06/01/29			1,242			1,239,813
3.000%		01/01/37			646			637,373
3.000%		01/01/43			1,223			1,194,700
3.000%		07/01/43			2,420			2,362,378
3.500%		TBA			18,000			17,885,124
3.500%		03/01/42			745			747,642
3.500%		06/01/42			451			452,346
4.000%		06/01/26			772			794,691
4.000%		09/01/26			391			402,114
4.000%		10/01/39			954			980,979
4.000%		12/01/40			485			498,908
4.000%		10/01/41			534			548,742
4.000%		01/01/42			195			200,769
4.000%		10/01/45			833			852,208
4.500%		02/01/19			—	(r)		384
4.500%		07/01/19			37			36,824
4.500%		07/01/20			37			37,243
4.500%		09/01/39			364			382,968
4.500%		10/01/39			2,107			2,215,174
4.500%		12/01/39			626			658,454
4.500%		07/01/41			293			306,603
4.500%		07/01/41			2,033			2,134,444

Interest Rate	Maturity Date		Principal Amount (000)#		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
4.500%		08/01/41		141	$	146,716
4.500%		08/01/41		246		257,299
4.500%		08/01/41		647		680,373
4.500%		10/01/41		257		268,526
4.500%		10/01/46		442		460,257
5.000%		05/01/34		29		30,593
5.000%		05/01/34		282		299,914
5.000%		08/01/35		29		31,186
5.000%		09/01/35		40		42,066
5.000%		10/01/36		46		48,816
5.000%		05/01/37		30		31,694
5.000%		07/01/37		598		637,734
5.000%		09/01/38		70		74,813
5.000%		09/01/38		73		78,109
5.000%		09/01/38		84		89,809
5.000%		02/01/39		28		29,673
5.000%		06/01/39		76		81,515
5.500%		02/01/34		36		38,307
5.500%		04/01/34		328		352,039
5.500%		06/01/34		155		168,203
5.500%		06/01/34		177		191,238
5.500%		05/01/37		64		69,760
5.500%		02/01/38		509		550,306
5.500%		05/01/38		94		101,729
5.500%		07/01/38		448		484,681
6.000%		03/01/32		264		292,414
6.000%		12/01/33		54		59,068
6.000%		07/01/36		4		4,716
6.000%		12/01/36		11		12,025
6.000%		05/01/37		17		18,347
6.000%		12/01/37		39		43,178
6.000%		01/01/38		4		4,521
6.000%		01/01/38		19		20,801
6.000%		01/01/38		384		421,581
6.000%		10/01/38		85		93,522
6.000%		08/01/39		52		57,655
6.750%		03/15/31		500		682,662
7.000%		01/01/31		29		32,012
7.000%		06/01/31		32		34,489
7.000%		09/01/31		4		4,917
7.000%		10/01/31		57		64,252
7.000%		10/01/32		32		33,359
Federal National Mortgage Assoc.
1.875%		09/24/26		225		205,451
2.000%		08/01/31		1,637		1,551,105
2.500%		01/01/28		1,432		1,402,687
2.500%		10/01/43		1,141		1,073,419
2.500%		12/01/46		2,041		1,912,455
3.000%		02/01/27		2,259		2,258,845
3.000%		08/01/30		1,441		1,437,843
3.000%		11/01/36		3,403		3,358,395
3.000%		12/01/42		1,470		1,436,708
3.000%		12/01/42		2,380		2,326,729
3.500%		TBA		22,000		22,262,968
3.500%		06/01/39		790		791,039
3.500%		01/01/42		7,440		7,466,059
3.500%		05/01/42		3,779		3,791,982
3.500%		07/01/42		1,001		1,004,358

SEE NOTES TO FINANCIAL STATEMENTS.

A91

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
3.500%		08/01/42		430	$	431,385
3.500%		08/01/42		1,250		1,253,519
3.500%		09/01/42		1,087		1,088,976
3.500%		09/01/42		1,940		1,944,437
3.500%		11/01/42		722		723,812
3.500%		03/01/43		3,825		3,833,976
3.500%		04/01/43		707		709,931
3.500%		04/01/43		1,799		1,801,619
3.500%		07/01/43		325		325,614
3.500%		06/01/45		8,664		8,649,511
4.000%		TBA		13,500		13,743,763
4.000%		10/01/41		3,909		4,014,665
4.000%		09/01/44		3,647		3,726,903
4.500%		TBA		9,000		9,354,452
4.500%		07/01/33		61		63,554
4.500%		08/01/33		18		18,313
4.500%		09/01/33		57		59,905
4.500%		10/01/33		159		166,799
4.500%		03/01/34		45		46,615
4.500%		01/01/35		3		3,326
4.500%		07/01/39		1,071		1,126,478
4.500%		08/01/39		833		876,169
4.500%		09/01/39		591		621,462
4.500%		12/01/39		6		6,396
4.500%		03/01/41		2,041		2,147,019
4.500%		07/01/42		168		176,989
5.000%		TBA		5,750		6,079,807
5.000%		03/01/34		296		317,671
5.000%		04/01/35		712		762,985
5.000%		06/01/35		174		186,113
5.000%		07/01/35		150		160,779
5.000%		07/01/35		172		183,438
5.000%		09/01/35		98		105,748
5.000%		11/01/35		126		136,075
5.000%		02/01/36		98		105,311
5.500%		02/01/33		183		198,138
5.500%		08/01/33		218		237,043
5.500%		10/01/33		64		70,298
5.500%		12/01/33		64		69,596
5.500%		12/01/34		186		202,333
5.500%		10/01/35		799		868,644
5.500%		03/01/36		102		110,427
5.500%		04/01/36		137		148,475
5.500%		01/01/37		86		93,660
5.500%		04/01/37		47		50,641
5.500%		05/01/37		282		307,313
5.500%		08/01/37		343		372,343
6.000%		05/01/21		71		73,080
6.000%		10/01/33		370		412,900
6.000%		11/01/33		36		39,479
6.000%		11/01/33		46		50,003
6.000%		01/01/34		283		310,555
6.000%		02/01/34		134		147,722
6.000%		03/01/34		3		2,829
6.000%		03/01/34		15		16,283
6.000%		03/01/34		46		49,955
6.000%		11/01/34		61		66,452
6.000%		01/01/35		76		84,801

Interest Rate	Maturity Date			Principal Amount (000)#		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
6.000%		01/01/35			188	$	207,129
6.000%		02/01/35			3		3,695
6.000%		02/01/35			114		124,144
6.000%		02/01/35			252		282,914
6.000%		04/01/35			22		24,536
6.000%		12/01/35			257		280,908
6.000%		05/01/36			47		51,890
6.000%		06/01/36			35		38,872
6.000%		02/01/37			93		102,869
6.000%		06/01/37			41		45,240
6.000%		05/01/38			245		267,468
6.250%		05/15/29	(k)		1,935		2,485,399
6.500%		09/01/32			1		1,341
6.500%		09/01/32			10		10,616
6.500%		09/01/32			14		15,707
6.500%		09/01/32			48		53,293
6.500%		09/01/32			48		53,319
6.500%		10/01/32			50		55,490
6.500%		04/01/33			82		90,715
6.500%		11/01/33			23		25,179
6.500%		01/01/34			45		50,103
6.500%		09/01/34			62		68,090
6.500%		10/01/34			138		152,376
6.500%		09/01/36			158		173,585
6.500%		10/01/36			48		53,957
6.500%		11/01/36			40		44,035
6.500%		01/01/37			41		45,382
6.500%		01/01/37			114		125,794
6.500%		09/01/37			21		22,757
6.625%		11/15/30	(k)		550		737,727
7.000%		02/01/32			34		37,093
7.000%		03/01/32			2		1,861
7.000%		05/01/32			18		20,331
7.000%		06/01/32			16		17,455
7.000%		07/01/32			60		67,268
7.125%		01/15/30	(k)		3,600		4,957,362
Government National Mortgage Assoc.
2.500%		12/20/46			1,141		1,082,659
3.000%		TBA			3,000		2,932,090
3.000%		03/15/45			1,465		1,434,805
3.000%		03/20/46			10,974		10,789,076
3.000%		07/20/46			4,299		4,219,951
3.000%		02/20/47			3,166		3,103,984
3.500%		TBA			7,250		7,267,559
3.500%		12/20/42			2,382		2,410,104
3.500%		05/20/43			491		496,391
3.500%		03/20/45			2,243		2,257,318
3.500%		04/20/45			3,167		3,187,079
3.500%		07/20/46			11,270		11,328,226
4.000%		TBA			8,250		8,443,360
4.000%		06/15/40			221		227,814
4.000%		05/20/41			389		402,742
4.000%		12/20/42			800		827,316
4.000%		08/20/44			393		406,200
4.000%		11/20/45			2,268		2,342,188
4.000%		12/20/45			2,393		2,471,471
4.000%		11/20/46			582		600,986
4.500%		TBA			5,000		5,188,324

SEE NOTES TO FINANCIAL STATEMENTS.

A92

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#			Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
4.500%		04/15/40		984		$	1,040,127
4.500%		01/20/41		1,690			1,776,181
4.500%		02/20/41		1,081			1,136,172
4.500%		06/20/44		1,186			1,251,953
4.500%		09/20/46		738			775,757
4.500%		11/20/46		1,491			1,575,634
4.500%		03/20/47		1,551			1,625,436
5.000%		10/20/37		171			182,493
5.000%		04/20/45		1,053			1,121,767
5.500%		11/15/32		86			93,989
5.500%		02/15/33		74			81,279
5.500%		08/15/33		125			135,990
5.500%		08/15/33		171			184,144
5.500%		09/15/33		79			85,058
5.500%		09/15/33		94			102,810
5.500%		10/15/33		103			113,837
5.500%		12/15/33		22			23,807
5.500%		04/15/34		394			431,713
5.500%		07/15/35		80			87,214
5.500%		02/15/36		138			152,129
6.000%		02/15/33		3			3,602
6.000%		04/15/33		20			21,324
6.000%		09/15/33		22			24,234
6.000%		12/15/33		47			51,479
6.000%		12/15/33		130			142,618
6.000%		01/15/34		23			25,809
6.000%		01/15/34		38			42,210
6.000%		06/20/34		89			98,745
6.000%		07/15/34		198			219,229
6.000%		10/15/34		206			226,867
6.500%		10/15/23		1			1,246
6.500%		12/15/23		5			5,351
6.500%		01/15/24		2			1,966
6.500%		01/15/24		2			2,243
6.500%		01/15/24		3			2,782
6.500%		01/15/24		5			5,629
6.500%		01/15/24		18			19,373
6.500%		01/15/24		24			26,037
6.500%		01/15/24		66			73,057
6.500%		02/15/24		—	(r)		435
6.500%		02/15/24		1			763
6.500%		02/15/24		4			4,572
6.500%		02/15/24		4			4,668
6.500%		02/15/24		5			5,060
6.500%		02/15/24		10			10,541
6.500%		02/15/24		18			19,445
6.500%		02/15/24		18			19,636
6.500%		02/15/24		21			23,150
6.500%		02/15/24		33			36,688
6.500%		03/15/24		9			10,339
6.500%		04/15/24		2			2,472
6.500%		04/15/24		2			2,584
6.500%		04/15/24		3			2,925
6.500%		04/15/24		3			3,019
6.500%		04/15/24		5			5,563
6.500%		04/15/24		5			5,607
6.500%		04/15/24		16			17,755
6.500%		05/15/24		—	(r)		148

Interest Rate	Maturity Date			Principal Amount (000)#		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
6.500%		05/15/24			16	$	17,542
6.500%		05/15/24			17		18,978
6.500%		10/15/24			24		25,533
6.500%		12/15/30			11		12,445
6.500%		01/15/32			23		26,181
6.500%		02/15/32			22		23,733
6.500%		07/15/32			48		53,229
6.500%		08/15/32			7		7,337
6.500%		08/15/32			9		9,350
6.500%		08/15/32			29		32,432
6.500%		08/15/32			235		267,848
6.500%		06/15/35			5		6,014
6.500%		06/15/35			44		49,242
6.500%		07/15/35			7		8,008
8.000%		01/15/24			9		8,626
8.000%		04/15/25			7		7,480
Tennessee Valley Authority, Sr. Unsec’d. Notes
2.875%		02/01/27			410		399,805
7.125%		05/01/30			705		969,699
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $279,585,631)							276,937,708
U.S. TREASURY OBLIGATIONS — 1.5%
U.S. Treasury Bonds
3.000%		02/15/48	(a)		7,945		7,971,690
U.S. Treasury Inflation Indexed Bonds, TIPS
0.625%		01/15/26			26,400		26,256,051
U.S. Treasury Notes
1.625%		04/30/23			550		522,543
2.500%		05/31/20			4,545		4,542,870
2.625%		06/15/21			3,625		3,625,425
2.875%		05/15/28			1,335		1,337,660
U.S. Treasury Strips Coupon
2.184%(s)		02/15/28			5,465		4,122,999
2.241%(s)		05/15/28	(k)		2,735		2,047,224
2.280%(s)		02/15/29			2,735		1,999,664
2.384%(s)		05/15/29			5,640		4,093,739
2.783%(s)		08/15/29			1,400		1,007,695
2.878%(s)		05/15/31			1,400		954,469
3.042%(s)		11/15/35			2,800		1,665,364
3.202%(s)		08/15/40			2,800		1,440,951
TOTAL U.S. TREASURY OBLIGATIONS (cost $62,210,305)							61,588,344
TOTAL LONG-TERM INVESTMENTS (cost $3,343,078,368)							3,906,030,842
				Shares
SHORT-TERM INVESTMENTS — 10.3%
AFFILIATED MUTUAL FUNDS — 10.2%
PGIM Core Short-Term Bond Fund(w)					9,244,838		85,699,652
PGIM Core Ultra Short Bond Fund(w)					242,864,899		242,864,899

SEE NOTES TO FINANCIAL STATEMENTS.

A93

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

				Shares		Value
AFFILIATED MUTUAL FUNDS (continued)
PGIM Institutional Money Market Fund (cost $94,649,141; includes $94,474,320 of cash collateral for securities on loan)(b)(w)					94,650,493	$	94,659,958
TOTAL AFFILIATED MUTUAL FUNDS (cost $427,033,742)							423,224,509
Interest Rate	Maturity Date			Principal Amount (000)#
COMMERCIAL PAPER(n) — 0.1%
Ford Motor Credit Co. LLC
3.201%		04/09/19			2,310		2,259,795
(cost $2,254,247)
U.S. TREASURY OBLIGATION(n) — 0.0%
U.S. Treasury Bills
1.901%		09/20/18	(k)		150		149,375
(cost $149,370)
TOTAL SHORT-TERM INVESTMENTS (cost $429,437,359)							425,633,679
TOTAL INVESTMENTS — 104.7% (cost $3,772,515,727)							4,331,664,521
LIABILITIES IN EXCESS OF OTHER ASSETS(z) — (4.7)%							(196,259,608	)
NET ASSETS — 100.0%						$	4,135,404,913

See the Glossary for abbreviations used in the semiannual report.

* Non-income producing security.

# Principal or notional amount is shown in U.S. dollars unless otherwise stated.

^ Indicates a Level 3 security. The aggregate value of Level 3 securities is $3,491,278 and 0.1% of net assets.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $92,022,309; cash collateral of $94,474,320 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b) Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

(c) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2018.

(cc) Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2018. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description.

(d) Represents issuer in default on interest payments and/or principal repayment. Non-income producing security. Such securities may be post-maturity.

(k) Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives.

(n) Rate shown reflects yield to maturity at purchase date.

(p) Interest rate not available as of June 30, 2018.

(r) Principal or notional amount is less than $500 par.

(s) Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date.

(w) PGIM Investments LLC, the manager of the Portfolio, also serves as manager of PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

(z) Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end:

Futures contracts outstanding at June 30, 2018:

Number of Contracts	Type	Expiration Date		Current Notional Amount		Value / Unrealized Appreciation (Depreciation)
Long Positions:
531	2 Year U.S. Treasury Notes		Sep. 2018	$	112,480,734	$	250,831
2,117	5 Year U.S. Treasury Notes		Sep. 2018		240,527,586		1,338,521
576	30 Year U.S. Ultra Treasury Bonds		Sep. 2018		91,908,000		3,156,595
11	Mini MSCI EAFE Index		Sep. 2018		1,075,470		(24,014	)
							4,721,933
Short Positions:
330	90 Day Euro Dollar		Dec. 2018		80,322,000		572,692
294	10 Year U.S. Treasury Notes		Sep. 2018		35,335,125		8,735
66	10 Year U.S. Ultra Treasury Notes		Sep. 2018		8,463,469		(174,947	)
217	20 Year U.S. Treasury Bonds		Sep. 2018		31,465,000		(826,136	)
							(419,656	)
						$	4,302,277

Securities with combined market values of $3,634,155 and $149,375 have been segregated with Citigroup Global Markets and Goldman Sachs & Co., respectively, to cover requirements for open futures contracts at June 30, 2018.

SEE NOTES TO FINANCIAL STATEMENTS.

A94

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Forward foreign currency exchange contracts outstanding at June 30, 2018:

Sale Contracts	Counterparty		Notional Amount (000)		Value at Settlement Date		Current Value		Unrealized Appreciation		Unrealized Depreciation
OTC Forward Foreign Currency Exchange Contracts:
Euro,
Expiring 07/26/18		Citigroup Global Markets	EUR	3,746	$	4,588,730	$	4,382,936	$	205,794	$	—

Forward rate agreements outstanding at June 30, 2018:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Fair Value		Upfront Premiums		Unrealized Appreciation (Depreciation)		Counterparty
	OTC Forward Rate Agreements^:
	96,000		07/30/18		4.000%(T)	CMM 102(1)(T)	$	—	$	—	$	—	JPMorgan Chase
	96,000		07/30/18		2.839%(T)	10 Year CMT(1)(T)		—		—		—	JPMorgan Chase
							$	—	$	—	$	—

(1) The Portfolio pays the fixed rate and receives the floating rate.

(2) The Portfolio pays the floating rate and receives the fixed rate.

Inflation swap agreements outstanding at June 30, 2018:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date		Value at June 30, 2018			Unrealized Appreciaton (Depreciation)
	Centrally Cleared Inflation Swap Agreement:
	1,720		10/25/27		2.160%(T)	U.S. CPI Urban Consumers NSA Index(2)(T)	$	40	$	(41,133	)	$	(41,173	)

(1) The Portfolio pays the fixed rate and receives the floating rate.

(2) The Portfolio pays the floating rate and receives the fixed rate.

Interest rate swap agreements outstanding at June 30, 2018:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at June 30, 2018			Unrealized Appreciaton (Depreciation)
	Centrally Cleared Interest Rate Swap Agreements:
	EUR       3,905		05/11/24		0.396%(A)	6 Month EURIBOR(1)(S)	$	19,572		$	(8,318	)	$	(27,890	)
	1,181,655		01/30/19		2.261%(T)	1 Day USOIS(1)(T)		—			(52,873	)		(52,873	)
	1,034,020		03/20/19		2.157%(T)	1 Day USOIS(1)(T)		—			197,123			197,123
	65,090		06/30/19		1.486%(A)	1 Day USOIS(1)(A)		(23,719	)		455,423			479,142
	14,410		06/30/19		1.502%(A)	1 Day USOIS(1)(A)		(7,439	)		96,846			104,285
	23,180		09/30/19		1.707%(A)	1 Day USOIS(1)(A)		6,555			151,080			144,525
	37,520		12/31/19		1.840%(A)	1 Day USOIS(1)(A)		22,844			263,344			240,500
	17,170		12/31/19		1.950%(A)	1 Day USOIS(1)(A)		4,724			87,958			83,234
	7,195		12/31/19		2.040%(A)	1 Day USOIS(1)(A)		78			25,521			25,443
	2,555		12/31/19		2.107%(A)	1 Day USOIS(1)(A)		(5	)		5,407			5,412
	24,360		03/23/21		2.370%(A)	1 Day USOIS(1)(A)		—			20,236			20,236
	685		05/31/22		2.353%(A)	1 Day USOIS(1)(A)		—			3,354			3,354
	610		05/15/24		1.808%(A)	1 Day USOIS(1)(A)		—			23,326			23,326
	20,135		08/15/24		2.170%(S)	3 Month LIBOR(1)(Q)		49,779			713,708			663,929
	14,985		11/15/24		2.334%(S)	3 Month LIBOR(1)(Q)		46,829			489,747			442,918
	10,320		02/12/25		2.408%(A)	1 Day USOIS(1)(A)		—			35,076			35,076
	1,900		02/14/25		—(3)	—(3)		—			1,668			1,668
	4,710		02/28/25		2.454%(A)	1 Day USOIS(1)(A)		—			15,862			15,862
	36,240		01/08/26		2.210%(S)	3 Month LIBOR(1)(Q)		294,382			1,511,301			1,216,919
	8,033		02/15/27		1.824%(A)	1 Day USOIS(1)(A)		90,939			429,909			338,970
	1,575		02/15/27		1.899%(A)	1 Day USOIS(1)(A)		1,997			74,704			72,707
	1,325		02/15/27		1.965%(A)	1 Day USOIS(1)(A)		—			55,730			55,730
	4,595		02/15/27		2.067%(A)	1 Day USOIS(1)(A)		(2,908	)		154,703			157,611

SEE NOTES TO FINANCIAL STATEMENTS.

A95

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest rate swap agreements outstanding at June 30, 2018 (continued):

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at June 30, 2018			Unrealized Appreciaton (Depreciation)
	Centrally Cleared Interest Rate Swap Agreements (continued):
	1,580		05/15/27		1.823%(A)	1 Day USOIS(1)(A)	$	—		$	87,889		$	87,889
	655		05/15/27		2.295%(S)	3 Month LIBOR(1)(Q)		—			32,038			32,038
	7,700		02/15/36		2.338%(S)	3 Month LIBOR(2)(Q)		(51,426	)		(634,607	)		(583,181	)
	290		11/15/43		2.659%(S)	3 Month LIBOR(1)(Q)		—			15,380			15,380
							$	452,202		$	4,251,535		$	3,799,333

Securities with a combined market value of $5,907,916 have been segregated with Citigroup Global Markets to cover requirements for open centrally cleared swap contracts at June 30, 2018.

(1) The Portfolio pays the fixed rate and receives the floating rate.

(2) The Portfolio pays the floating rate and receives the fixed rate.

(3) The Portfolio pays the floating rate of 3 Month LIBOR quarterly and receives the floating rate of 1 Day USOIS plus 38.25 bps quarterly.

Total return swap agreements outstanding at June 30, 2018:

Counterparty	Termination Date		Long (Short) Notional Amount(000)#		Description	Fair Value		Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)(1)
OTC Total Return Swap Agreement^:
Barclays Capital Group		7/31/18		3,480	Receive payment based on Bloomberg Barclays US Corporate Total Return Value Unhedged Index upon termination and pay variable payments based on 1 Month LIBOR plus 10bps monthly	$	28	$	—	$	28

(1) Upfront/recurring fees or commissions, as applicable, are included in the net unrealized appreciation (depreciation).

Balance Reported in the Statement of Assets and Liabilities for OTC Swap Agreements Table:

	Premiums Paid		Premiums Received		Unrealized Appreciation		Unrealized Depreciation
OTC Swap Agreements	$	—	$	—	$	28	$	—

Fair Value Measurements:

Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.

Level 1— unadjusted quoted prices generally in active markets for identical securities.

Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3— unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of June 30, 2018 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Asset-Backed Securities
Automobiles	$	—	$	66,794,897	$	—
Collateralized Loan Obligations		—		52,951,899		3,491,250
Consumer Loans		—		9,498,565		—
Credit Cards		—		10,340,831		—
Equipment		—		10,173,995		—
Home Equity Loans		—		5,660,399		—
Other		—		1,114,958		—

SEE NOTES TO FINANCIAL STATEMENTS.

A96

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

	Level 1		Level 2			Level 3
Investments in Securities (continued)
Asset-Backed Securities (continued)
Residential Mortgage-Backed Securities	$	—	$	26,244,082		$	—
Student Loans		—		22,673,054			—
Bank Loan		—		403,786			—
Commercial Mortgage-Backed Securities		—		248,826,554			—
Commercial Paper		—		2,259,795			—
Common Stocks		2,582,564,689		34,628,701			—
Corporate Bonds		—		396,083,575			—
Exchange Traded Fund		340,743		—			—
Municipal Bonds		—		19,230,271			—
Preferred Stocks		596,200		183,425			—
Residential Mortgage-Backed Securities		—		40,268,331			—
Rights		—		—			—
Sovereign Bonds		—		35,434,585			—
U.S. Government Agency Obligations		—		276,937,708			—
U.S. Treasury Obligations		—		61,737,719			—
Affiliated Mutual Funds		423,224,509		—			—
Other Financial Instruments*
Futures Contracts		4,302,277		—			—
OTC Forward Foreign Currency Exchange Contracts		—		205,794			—
OTC Forward Rate Swap Agreements		—		—			—
Centrally Cleared Inflation Swap Agreement		—		(41,173	)		—
Centrally Cleared Interest Rate Swap Agreements		—		3,799,333			—
OTC Total Return Swap Agreement		—		—			28
Total	$	3,011,028,418	$	1,325,411,084		$	3,491,278

* Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value.

During the period, there were no transfers between Level 1, Level 2 and Level 3 to report.

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2018 were as follows:

Affiliated Mutual Funds (2.3% represents investments purchased with collateral from securities on loan)	10.2	%
Banks	6.9
U.S. Government Agency Obligations	6.7
Commercial Mortgage-Backed Securities	6.0
Software	4.3
Oil, Gas & Consumable Fuels	4.0
Internet Software & Services	3.8
Technology Hardware, Storage & Peripherals	3.1
Pharmaceuticals	2.9
IT Services	2.4
Health Care Providers & Services	2.4
Health Care Equipment & Supplies	2.4
Automobiles	2.2
Semiconductors & Semiconductor Equipment	2.2
Internet & Direct Marketing Retail	2.2
Specialty Retail	1.9
Diversified Telecommunication Services	1.7
Aerospace & Defense	1.7
Residential Mortgage-Backed Securities	1.6
U.S. Treasury Obligations	1.5
Biotechnology	1.5
Capital Markets	1.4
Media	1.4

Machinery	1.4	%
Chemicals	1.4
Collateralized Loan Obligations	1.4
Beverages	1.3
Diversified Financial Services	1.3
Insurance	1.3
Equity Real Estate Investment Trusts (REITs)	1.3
Food Products	1.2
Electric	1.0
Communications Equipment	0.9
Consumer Finance	0.9
Industrial Conglomerates	0.9
Sovereign Bonds	0.8
Road & Rail	0.8
Multiline Retail	0.8
Metals & Mining	0.7
Electric Utilities	0.7
Textiles, Apparel & Luxury Goods	0.7
Life Sciences Tools & Services	0.7
Hotels, Restaurants & Leisure	0.6
Student Loans	0.6
Tobacco	0.5
Oil & Gas	0.5
Independent Power & Renewable Electricity Producers	0.5

SEE NOTES TO FINANCIAL STATEMENTS.

A97

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Industry Classification (continued):

Auto Manufacturers	0.5	%
Municipal	0.5
Real Estate Management & Development	0.4
Household Products	0.4
Food & Staples Retailing	0.4
Multi-Utilities	0.3
Electrical Equipment	0.3
Food	0.3
Pipelines	0.3
Energy Equipment & Services	0.3
Credit Cards	0.3
Computers	0.3
Airlines	0.3
Equipment	0.2
Telecommunications	0.2
Consumer Loans	0.2
Retail	0.2
Personal Products	0.2
Professional Services	0.2
Gas Utilities	0.2
Agriculture	0.2
Healthcare-Services	0.1
Home Equity Loans	0.1
Multi-National	0.1
Trading Companies & Distributors	0.1
Oil & Gas Services	0.1
Construction & Engineering	0.1
Diversified Consumer Services	0.1
Household Durables	0.1
Commercial Services	0.1
Gas	0.1
Healthcare-Products	0.1
Building Products	0.1
Mortgage Real Estate Investment Trusts (REITs)	0.1
Containers & Packaging	0.1
Auto Parts & Equipment	0.1
Commercial Paper	0.1

Building Materials	0.1	%
Forest Products & Paper	0.1
Semiconductors	0.1
Transportation	0.0	*
Leisure Products	0.0	*
Housewares	0.0	*
Lodging	0.0	*
Mining	0.0	*
Miscellaneous Manufacturing	0.0	*
Packaging & Containers	0.0	*
Savings & Loans	0.0	*
Auto Components	0.0	*
Machinery-Diversified	0.0	*
Home Builders	0.0	*
Other	0.0	*
Distributors	0.0	*
Air Freight & Logistics	0.0	*
Electronics	0.0	*
Wireless Telecommunication Services	0.0	*
Electronic Equipment, Instruments & Components	0.0	*
Transportation Infrastructure	0.0	*
Technology	0.0	*
Exchange Traded Fund	0.0	*
Real Estate Investment Trusts (REITs)	0.0	*
Paper & Forest Products	0.0	*
Construction Materials	0.0	*
Water Utilities	0.0	*
Commercial Services & Supplies	0.0	*
Marine	0.0	*
	104.7
Liabilities in excess of other assets	(4.7	)
	100.0	%

* Less than +/- 0.05%

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity contracts risk, foreign exchange contracts risk and interest rate contracts risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of June 30, 2018 as presented in the Statement of Assets and Liabilities:

Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Balance Sheet Location	Fair Value			Balance Sheet Location	Fair Value
Equity contracts	—	$	—		Due from/to broker — variation margin futures	$	24,014	*
Foreign exchange contracts	Unrealized appreciation on OTC forward foreign currency exchange contracts		205,794		—		—
Interest rate contracts	Due from/to broker — variation margin futures		5,327,374	*	Due from/to broker — variation margin futures		1,001,083	*

SEE NOTES TO FINANCIAL STATEMENTS.

A98

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Balance Sheet Location	Fair Value			Balance Sheet Location	Fair Value
Interest rate contracts	Due from/to broker — variation margin swaps	$	4,463,277	*	Due from/to broker — variation margin swaps	$	705,117	*
Interest rate contracts	Unrealized appreciation on OTC swap agreements		28		—		—
		$	9,996,473			$	1,730,214

* Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2018 are as follows:

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights(1)		Options Purchased(1)			Options Written		Futures			Forward Currency Contracts			Swaps
Equity contracts	$	5,200	$	—		$	—	$	(92,054	)	$	—		$	—
Foreign exchange contracts		—		—			—		—			(67,165	)		—
Interest rate contracts		—		(162,599	)		31,232		(12,613,259	)		—			2,287,892
Total	$	5,200	$	(162,599	)	$	31,232	$	(12,705,313	)	$	(67,165	)	$	2,287,892

(1) Included in net realized gain (loss) on investment transactions in the Statement of Operations.

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures			Forward Currency Contracts		Swaps
Equity contracts	$	(36,056	)	$	—	$	—
Foreign exchange contracts		—			261,800		—
Interest rate contracts		5,155,211			—		3,061,073
Total	$	5,119,155		$	261,800	$	3,061,073

SEE NOTES TO FINANCIAL STATEMENTS.

A99

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

For the six months ended June 30, 2018, the Portfolio’s average volume of derivative activities is as follows:

Options Purchased(1)	Options Written(2)	Futures Contracts- Long Positions(2)	Futures Contracts- Short Positions(2)
$30,667	$170,667	$570,183,996	$166,272,521

Forward Foreign Currency Exchange Contracts-Sold(3)	Forward Rate Agreements(2)	Interest Rate Swap Agreements(2)
$4,568,046	$64,000,000	$1,069,989,859

Total Return Swap Agreements(2)	Inflation Swap Agreements(2)
$1,160,000	$1,720,000

(1) Cost.

(2) Notional Amount in USD.

(3) Value at Settlement Date.

Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:

The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivative and financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:

Description	Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(2)			Net Amount
Securities on Loan	$	92,022,309	$	(92,022,309	)	$	—

Offsetting of OTC derivative assets and liabilities:

Counterparty	Gross Amounts of Recognized Assets(1)		Gross Amounts of Recognized Liabilities(1)		Net Amounts of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(2)		Net Amount
Barclays Capital Group	$	28	$	—	$	28	$	—	$	28
Citigroup Global Markets		205,794		—		205,794		—		205,794
	$	205,822	$	—	$	205,822	$	—	$	205,822

(1) Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities.

(2) Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty.

SEE NOTES TO FINANCIAL STATEMENTS.

A100

FLEXIBLE MANAGED PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

(unaudited)

as of June 30, 2018

ASSETS
Investments at value, including securities on loan of $92,022,309:
Unaffiliated investments (cost $3,345,481,985)	$	3,908,440,012
Affiliated investments (cost $427,033,742)		423,224,509
Foreign currency, at value (cost $163,387)		163,149
Receivable for investments sold		94,987,147
Dividends and interest receivable		9,939,386
Tax reclaim receivable		623,580
Unrealized appreciation on OTC forward foreign currency exchange contracts		205,794
Due from broker-variation margin swaps		85,078
Due from broker-variation margin futures		6,765
Receivable from affiliate		6,075
Receivable for Series shares sold		1,830
Unrealized appreciation on OTC swap agreements		28
Prepaid expenses		4,176
Total Assets		4,437,687,529
LIABILITIES
Payable for investments purchased		204,389,657
Payable to broker for collateral for securities on loan		94,474,320
Management fee payable		2,065,428
Payable for Series shares repurchased		572,743
Accrued expenses and other liabilities		426,661
Payable to affiliate		249,358
Due to broker-variation margin futures		103,469
Affiliated transfer agent fee payable		980
Total Liabilities		302,282,616
NET ASSETS	$	4,135,404,913
Net assets were comprised of:
Partners Equity	$	4,135,404,913
Net asset value and redemption price per share, $4,135,404,913 / 137,373,220 outstanding shares of beneficial interest	$	30.10

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2018

NET INVESTMENT INCOME (LOSS) INCOME
Unaffiliated dividend income (net) (foreign withholding tax $130,598, of which $11,593 is reimbursable by an affiliate)	$	24,644,636
Interest income (net of $1,591 foreign withholding tax)		20,116,791
Affiliated dividend income		2,715,331
Income from securities lending, net (including affiliated income of $162,095)		165,582
Total income		47,642,340
EXPENSES
Management fee		12,454,773
Custodian and accounting fees		220,804
Shareholders’ reports		127,857
Trustees’ fees		24,587
Audit fee		22,413
Legal fees and expenses		10,542
Transfer agent’s fees and expenses (including affiliated expense of $2,941)		5,297
Miscellaneous		67,219
Total expenses		12,933,492
NET INVESTMENT INCOME (LOSS)		34,708,848
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(3,856,963))		152,530,541
Futures transactions		(12,705,313	)
Forward currency contract transactions		(67,165	)
Options written transactions		31,232
Swap agreements transactions		2,287,892
Foreign currency transactions		80,097
		142,157,284
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $3,721,733)		(153,105,959	)
Futures		5,119,155
Forward currency contracts		261,800
Swap agreements		3,061,073
Foreign currencies		(34,305	)
		(144,698,236	)
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(2,540,952	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	32,167,896

STATEMENTS OF CHANGES IN NET ASSETS

(unaudited)

	Six Months Ended June 30, 2018			Year Ended December 31, 2017
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income (loss)	$	34,708,848		$	65,564,001
Net realized gain (loss) on investment and foreign currency transactions		142,157,284			297,648,108
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(144,698,236	)		201,322,947
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		32,167,896			564,535,056
SERIES SHARE TRANSACTIONS
Series shares sold [93,958 and 218,250 shares, respectively]		2,825,029			6,080,347
Series shares repurchased [4,297,544 and 8,310,120 shares, respectively]		(129,354,438	)		(230,747,682	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(126,529,409	)		(224,667,335	)
CAPITAL CONTRIBUTIONS		65,481			—
TOTAL INCREASE (DECREASE)		(94,296,032	)		339,867,721
NET ASSETS:
Beginning of period		4,229,700,945			3,889,833,224
End of period	$	4,135,404,913		$	4,229,700,945

SEE NOTES TO FINANCIAL STATEMENTS.

A101

GLOBAL PORTFOLIO

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

LONG-TERM INVESTMENTS — 96.6%
COMMON STOCKS — 96.1%	Shares		Value
Australia — 2.7%
AGL Energy Ltd.		66,200	$	1,101,487
Aristocrat Leisure Ltd.		100,909		2,304,497
Asaleo Care Ltd.		733,400		756,130
Ausdrill Ltd.		123,200		167,190
Bendigo & Adelaide Bank Ltd.		158,500		1,269,768
BHP Billiton PLC		223,060		5,006,005
Caltex Australia Ltd.		26,000		625,710
Coca-Cola Amatil Ltd.		96,500		656,359
CSL Ltd.		35,226		5,014,180
CSR Ltd.		334,900		1,136,341
Fortescue Metals Group Ltd.		129,900		421,782
Harvey Norman Holdings Ltd.(a)		168,800		414,695
LendLease Group		104,000		1,522,726
Macquarie Group Ltd.		53,484		4,874,331
Metcash Ltd.		412,500		795,602
Mineral Resources Ltd.		64,000		757,729
Myer Holdings Ltd.(a)		567,600		155,173
Qantas Airways Ltd.		387,619		1,765,062
Rio Tinto Ltd.		26,000		1,606,418
				30,351,185
Austria — 0.3%
OMV AG		28,000		1,583,619
voestalpine AG		28,800		1,324,314
				2,907,933
Belgium — 0.4%
AGFA-Gevaert NV*		86,100		360,872
Bekaert SA		13,500		437,416
KBC Group NV		43,267		3,322,914
UCB SA		8,900		697,675
				4,818,877
Canada — 3.3%
Brookfield Asset Management, Inc. (Class A Stock)		98,962		4,011,919
Canadian National Railway Co.		60,319		4,933,710
Canadian Natural Resources Ltd.		73,100		2,636,717
Canadian Pacific Railway Ltd.(a)		10,309		1,886,753
Constellation Software, Inc.		6,019		4,667,913
Dollarama, Inc.		62,097		2,407,077
Magna International, Inc.		66,500		3,865,645
Suncor Energy, Inc.		92,704		3,772,612
Toronto-Dominion Bank (The)		73,907		4,277,628
TransCanada Corp.		108,702		4,695,926
				37,155,900
China — 2.9%
Alibaba Group Holding Ltd., ADR*(a)		89,614		16,626,086
China Merchants Bank Co. Ltd. (Class H Stock)		971,500		3,573,577
China Resources Cement Holdings Ltd.		1,234,000		1,241,880
NetEase, Inc., ADR		9,175		2,318,247
Tencent Holdings Ltd.		116,300		5,840,051

COMMON STOCKS (continued)	Shares		Value
China (continued)
Xinyi Solar Holdings Ltd.		1,870,000	$	572,918
Yum China Holdings, Inc.		89,698		3,449,785
				33,622,544
Denmark — 0.7%
Danske Bank A/S		61,200		1,906,618
DFDS A/S		11,300		719,263
Novo Nordisk A/S (Class B Stock)		72,888		3,366,738
Orsted A/S, 144A		35,723		2,158,425
				8,151,044
Finland — 0.2%
UPM-Kymmene OYJ		57,300		2,040,175
France — 5.3%
Airbus SE		31,252		3,646,951
Arkema SA		29,965		3,535,883
Atos SE		9,100		1,237,391
AXA SA		46,300		1,131,285
BNP Paribas SA		63,636		3,936,333
Capgemini SE		24,747		3,316,347
Carrefour SA		34,100		550,065
Cie Generale des Etablissements Michelin SCA		24,951		3,018,528
CNP Assurances		46,700		1,061,003
Credit Agricole SA		78,500		1,041,895
Engie SA		50,000		764,826
LVMH Moet Hennessy Louis Vuitton SE(a)		18,617		6,181,204
Natixis SA		146,400		1,035,863
Orange SA(a)		79,700		1,330,366
Renault SA(a)		12,300		1,042,075
Safran SA		31,997		3,874,998
Sanofi		48,500		3,892,592
SCOR SE		12,100		447,471
Societe Generale SA		28,600		1,202,057
TOTAL SA		110,878		6,733,159
TOTAL SA, ADR(a)		148,350		8,984,076
Valeo SA		56,272		3,068,156
				61,032,524
Germany — 2.2%
Allianz SE		8,500		1,751,467
Aurubis AG		10,800		824,412
BASF SE		16,400		1,565,686
Bayer AG		11,400		1,251,991
Bayerische Motoren Werke AG		13,800		1,247,418
CECONOMY AG		46,000		382,563
Covestro AG, 144A		5,100		453,307
Daimler AG		27,600		1,767,978
Deutsche Lufthansa AG		54,200		1,298,505
Deutsche Post AG		34,500		1,120,919
Evonik Industries AG		36,500		1,248,803
Hannover Rueck SE		4,500		559,448
Infineon Technologies AG		146,436		3,719,669
METRO AG(a)		46,000		566,897
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen		5,300		1,114,289

SEE NOTES TO FINANCIAL STATEMENTS.

A102

GLOBAL PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Germany (continued)
Rational AG		3,244	$	2,112,524
Rheinmetall AG		13,300		1,463,299
Uniper SE		38,700		1,152,209
Volkswagen AG		7,400		1,216,509
				24,817,893
Hong Kong — 1.4%
AIA Group Ltd.		722,600		6,294,866
Galaxy Entertainment Group Ltd.		532,000		4,100,897
Kingboard Chemical Holdings Ltd.		216,000		786,695
Lee & Man Paper Manufacturing Ltd.		1,244,000		1,255,043
PAX Global Technology Ltd.		933,000		459,120
Skyworth Digital Holdings Ltd.		1,072,000		477,049
WH Group Ltd., 144A		1,914,500		1,549,188
Wheelock & Co. Ltd.		97,000		674,105
Yue Yuen Industrial Holdings Ltd.		220,500		621,516
				16,218,479
India — 0.3%
HDFC Bank Ltd., ADR		27,706		2,909,684
Ireland — 0.5%
Kingspan Group PLC		90,996		4,548,587
Smurfit Kappa Group PLC		35,200		1,421,068
				5,969,655
Israel — 0.1%
Bank Hapoalim BM		125,500		850,794
Teva Pharmaceutical Industries Ltd.		16,300		394,663
				1,245,457
Italy — 0.5%
A2A SpA		782,400		1,354,284
Astaldi SpA*(a)		48,700		113,459
Enel SpA		470,000		2,604,358
Leonardo SpA		45,200		444,876
Mediobanca Banca di Credito Finanziario SpA		87,600		810,304
				5,327,281
Japan — 6.7%
AGC, Inc.		3,400		132,247
Aisan Industry Co. Ltd.		68,400		575,931
Aisin Seiki Co. Ltd.		14,000		637,456
Aoyama Trading Co. Ltd.		5,400		180,173
Astellas Pharma, Inc.		38,100		579,828
Daikin Industries Ltd.		40,400		4,828,329
Dowa Holdings Co. Ltd.		21,700		668,100
Enplas Corp.		11,200		311,652
Fujikura Ltd.		200,200		1,271,729
Fujitec Co. Ltd.		26,700		328,588
Hazama Ando Corp.		85,900		780,782
Hitachi Capital Corp.		2,900		74,845
Hitachi High-Technologies Corp.		3,000		122,041
Isuzu Motors Ltd.		78,200		1,036,711
ITOCHU Corp.		102,900		1,861,032
Japan Airlines Co. Ltd.		28,000		992,070
Japan Aviation Electronics Industry Ltd.		46,000		723,558
Kaneka Corp.		74,000		662,720

COMMON STOCKS (continued)	Shares		Value
Japan (continued)
KDDI Corp.		117,600	$	3,215,762
Keihin Corp.		54,300		1,101,876
Keiyo Bank Ltd. (The)		153,000		656,036
Keyence Corp.		9,600		5,414,540
Komatsu Ltd.		101,600		2,892,408
Konica Minolta, Inc.		129,600		1,201,952
KYORIN Holdings, Inc.		3,200		66,413
Lintec Corp.		30,000		869,308
Marubeni Corp.		157,200		1,196,825
Mazda Motor Corp.		56,700		695,516
Mitsubishi Gas Chemical Co., Inc.		46,900		1,059,832
Mitsubishi UFJ Financial Group, Inc.		248,600		1,408,290
Mitsubishi UFJ Lease & Finance Co. Ltd.		165,800		1,016,416
Mitsui Chemicals, Inc.		31,500		837,230
Mitsui Sugar Co. Ltd.		25,400		787,249
Mixi, Inc.		17,800		449,999
Mizuho Financial Group, Inc.		597,700		1,006,817
NEC Corp.		2,500		68,510
Nippon Telegraph & Telephone Corp.		69,300		3,148,161
Nipro Corp.		34,900		402,673
Nishi-Nippon Financial Holdings, Inc.		48,600		566,635
Nissan Motor Co. Ltd.		161,600		1,572,399
Nisshinbo Holdings, Inc.		81,000		868,209
Nitori Holdings Co. Ltd.		20,900		3,251,585
NTT DOCOMO, Inc.		39,300		1,001,457
ORIX Corp.		234,100		3,689,909
Resona Holdings, Inc.		355,300		1,893,671
Sankyu, Inc.		16,200		850,242
Sawai Pharmaceutical Co. Ltd.		9,200		418,388
Seino Holdings Co. Ltd.		12,200		215,881
Shiseido Co. Ltd.		56,600		4,491,549
SKY Perfect JSAT Holdings, Inc.		151,000		719,353
Sumitomo Forestry Co. Ltd.		8,600		129,978
Sumitomo Heavy Industries Ltd.		16,800		566,043
Sumitomo Mitsui Financial Group, Inc.		33,900		1,322,303
Sumitomo Osaka Cement Co. Ltd.		149,500		700,011
Suzuki Motor Corp.		38,000		2,094,109
Teijin Ltd.		48,000		879,250
Toagosei Co. Ltd.		73,500		848,140
Toho Holdings Co. Ltd.		35,200		858,095
Tokyo Electron Ltd.		4,500		772,440
Towa Pharmaceutical Co. Ltd.		9,400		502,873
Toyo Tire & Rubber Co. Ltd.(a)		35,200		513,174
Toyoda Gosei Co. Ltd.		33,200		840,281
Toyota Motor Corp.		15,730		1,017,243
Tsubakimoto Chain Co.		85,000		674,141
Ube Industries Ltd.		30,100		781,556
Ulvac, Inc.		12,700		484,465
Yokohama Rubber Co. Ltd. (The)(a)		45,000		933,395
				76,720,380
Liechtenstein — 0.0%
VP Bank AG		1,765		335,801
Luxembourg — 0.2%
Tenaris SA		119,442		2,179,821
Netherlands — 1.7%
ABN AMRO Group NV, CVA, 144A		45,300		1,171,541

SEE NOTES TO FINANCIAL STATEMENTS.

A103

GLOBAL PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Netherlands (continued)
Aegon NV		95,000	$	567,209
BE Semiconductor Industries NV		4,400		118,404
ING Groep NV		75,400		1,082,333
Koninklijke Ahold Delhaize NV		95,900		2,289,864
Koninklijke Philips NV		97,420		4,127,493
NN Group NV		38,700		1,569,535
Royal Dutch Shell PLC (Class A Stock)		128,119		4,446,303
Royal Dutch Shell PLC (Class B Stock)		111,200		3,982,401
Signify NV, 144A		22,300		576,936
				19,932,019
New Zealand — 0.1%
Air New Zealand Ltd.		485,600		1,043,446
Norway — 0.4%
DNB ASA		68,200		1,328,063
Equinor ASA		37,300		986,307
Salmar ASA		37,300		1,564,503
Yara International ASA		14,800		612,308
				4,491,181
Portugal — 0.1%
EDP-Energias de Portugal SA		319,500		1,266,344
Singapore — 0.1%
DBS Group Holdings Ltd.		36,300		705,927
South Africa — 0.2%
Bid Corp. Ltd.		82,530		1,652,585
Investec PLC		79,700		563,538
				2,216,123
Spain — 1.1%
ACS Actividades de Construccion y Servicios SA		79,428		3,204,601
Amadeus IT Group SA		49,545		3,895,850
Banco Santander SA		137,900		737,003
Distribuidora Internacional de Alimentacion SA		175,100		508,655
Gas Natural SDG SA(a)		19,200		507,569
Iberdrola SA		150,200		1,158,307
Mapfre SA		219,300		659,160
Repsol SA		73,100		1,426,847
				12,097,992
Sweden — 1.1%
Atlas Copco AB (Class A Stock)		111,244		3,221,688
Boliden AB		35,400		1,142,481
Electrolux AB (Class B Stock)		22,600		512,876
Epiroc AB (Class A Stock)*		169,268		1,776,258
Hexagon AB (Class B Stock)		57,183		3,177,497
JM AB		25,700		457,716
Nordea Bank AB		83,600		801,941
Swedbank AB (Class A Stock)		29,700		632,795
Volvo AB (Class B Stock)		87,000		1,382,702
				13,105,954
Switzerland — 2.9%
ALSO Holding AG*		4,300		513,396
Baloise Holding AG		10,300		1,494,089

COMMON STOCKS (continued)	Shares		Value
Switzerland (continued)
Credit Suisse Group AG*		113,100	$	1,691,193
Ferguson PLC		34,826		2,817,693
Geberit AG		6,423		2,750,097
Georg Fischer AG		49		62,572
Helvetia Holding AG		1,800		1,026,878
Lonza Group AG*		16,002		4,228,472
Novartis AG		23,100		1,749,847
Partners Group Holding AG		4,678		3,419,833
Roche Holding AG		12,800		2,839,785
Swiss Life Holding AG*		6,500		2,253,885
Swiss Re AG		20,100		1,754,908
Temenos AG*		25,515		3,837,114
UBS Group AG*		83,800		1,284,684
Zurich Insurance Group AG		5,700		1,685,661
				33,410,107
Taiwan — 0.4%
Taiwan Semiconductor Manufacturing Co. Ltd.		610,000		4,331,658
United Kingdom — 4.9%
3i Group PLC		120,600		1,427,798
Aviva PLC		164,200		1,089,480
BAE Systems PLC		351,100		2,986,913
Barratt Developments PLC		109,300		740,934
Bellway PLC		25,400		1,003,446
Berkeley Group Holdings PLC		25,300		1,260,268
Bovis Homes Group PLC		66,300		999,652
BP PLC		355,000		2,701,021
BT Group PLC		365,300		1,047,952
Carillion PLC^*(a)		145,900		19
Centrica PLC		289,000		600,074
Compass Group PLC		191,942		4,091,361
Crest Nicholson Holdings PLC		143,814		737,678
Debenhams PLC(a)		301,400		59,211
Experian PLC		166,094		4,097,307
GlaxoSmithKline PLC		166,000		3,346,713
Go-Ahead Group PLC (The)		34,500		720,782
Inchcape PLC		66,600		684,682
International Consolidated Airlines Group SA		150,000		1,308,663
J. Sainsbury PLC		536,900		2,272,035
Keller Group PLC		48,200		642,965
Kingfisher PLC		160,800		628,825
Legal & General Group PLC		494,700		1,730,379
Lloyds Banking Group PLC		1,954,100		1,621,350
London Stock Exchange Group PLC		50,872		2,994,808
Man Group PLC		291,300		675,266
Marks & Spencer Group PLC		142,500		553,536
Meggitt PLC		108,000		700,833
Melrose Industries PLC		110,258		308,509
Mondi PLC		17,100		461,325
National Express Group PLC		154,700		816,831
Old Mutual Ltd.*		274,800		543,269
Paragon Banking Group PLC		105,900		667,705
Premier Foods PLC*		357,756		178,293
QinetiQ Group PLC		214,000		759,514
Quilter PLC, 144A*		91,600		175,192
RELX PLC		147,684		3,153,784

SEE NOTES TO FINANCIAL STATEMENTS.

A104

GLOBAL PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

COMMON STOCKS (continued)	Shares		Value
United Kingdom (continued)
Royal Mail PLC		120,900	$	804,338
RPC Group PLC		42,000		413,519
Segro PLC, REIT		259,329		2,283,871
SSE PLC		51,500		919,303
St. James’s Place PLC		141,889		2,140,835
Taylor Wimpey PLC		263,400		620,049
Vesuvius PLC		81,100		637,521
William Hill PLC		111,900		446,925
				56,054,734
United States — 55.4%
A.O. Smith Corp.		109,622		6,484,141
Adobe Systems, Inc.*		53,748		13,104,300
Aetna, Inc.		33,400		6,128,900
Alphabet, Inc. (Class C Stock)*		12,347		13,774,931
Amazon.com, Inc.*		10,005		17,006,499
American International Group, Inc.		80,990		4,294,090
Amphenol Corp. (Class A Stock)		124,122		10,817,232
ANSYS, Inc.*		30,389		5,293,156
Apache Corp.		36,850		1,722,738
Applied Materials, Inc.		41,100		1,898,409
Autodesk, Inc.*		24,034		3,150,617
Bank of New York Mellon Corp. (The)		93,200		5,026,276
Becton, Dickinson & Co.		10,944		2,621,745
Boeing Co. (The)		17,300		5,804,323
Booking Holdings, Inc.*		5,361		10,867,229
Brighthouse Financial, Inc.*		42,125		1,687,949
Bunge Ltd.		52,150		3,635,376
BWX Technologies, Inc.		103,719		6,463,768
Carnival Corp.		40,900		2,343,979
CF Industries Holdings, Inc.		72,150		3,203,460
Chubb Ltd.		46,150		5,861,973
Cintas Corp.		43,770		8,100,514
Cisco Systems, Inc.		169,050		7,274,221
Citigroup, Inc.		82,300		5,507,516
Comcast Corp. (Class A Stock)		107,950		3,541,839
Costco Wholesale Corp.		49,416		10,326,956
CVS Health Corp.		50,850		3,272,198
Danaher Corp.		100,538		9,921,090
DexCom, Inc.*(a)		87,393		8,300,587
DowDuPont, Inc.		79,114		5,215,195
Edwards Lifesciences Corp.*		53,778		7,828,463
Electronic Arts, Inc.*		79,986		11,279,626
EQT Corp.		34,117		1,882,576
Estee Lauder Cos., Inc. (The) (Class A Stock)		61,314		8,748,895
Evergy, Inc.		68,400		3,840,660
Exelon Corp.		67,150		2,860,590
Exxon Mobil Corp.		101,950		8,434,323
Facebook, Inc. (Class A Stock)*		66,447		12,911,981
Fifth Third Bancorp		193,850		5,563,495
FleetCor Technologies, Inc.*		36,771		7,745,811
Fortive Corp.		144,904		11,173,547
Franklin Resources, Inc.		69,250		2,219,463
General Electric Co.		98,950		1,346,710
General Motors Co.		19,062		751,043
Genpact Ltd.		296,739		8,584,659
Gilead Sciences, Inc.		44,900		3,180,716
Hess Corp.		60,350		4,036,811

COMMON STOCKS (continued)	Shares		Value
United States (continued)
Hologic, Inc.*		86,450	$	3,436,388
Illinois Tool Works, Inc.		15,600		2,161,224
International Paper Co.		80,950		4,215,876
Intuit, Inc.		71,023		14,510,354
Intuitive Surgical, Inc.*		29,396		14,065,398
Johnson & Johnson		44,650		5,417,831
Johnson Controls International PLC		138,398		4,629,413
JPMorgan Chase & Co.		121,650		12,675,930
Kimberly-Clark Corp.		43,000		4,529,620
Kohl’s Corp.(a)		25,300		1,844,370
Las Vegas Sands Corp.		28,986		2,213,371
Loews Corp.		72,484		3,499,528
Lowe’s Cos., Inc.		3,500		334,495
Marsh & McLennan Cos., Inc.		48,880		4,006,694
Mattel, Inc.(a)		69,687		1,144,261
Medtronic PLC		79,321		6,790,671
Merck & Co., Inc.		104,150		6,321,905
MetLife, Inc.		99,850		4,353,460
Microsoft Corp.		118,281		11,663,689
Morgan Stanley		134,150		6,358,710
News Corp. (Class A Stock)		131,400		2,036,700
Nielsen Holdings PLC		44,462		1,375,210
Occidental Petroleum Corp.		52,550		4,397,384
PayPal Holdings, Inc.*		153,167		12,754,216
PepsiCo, Inc.		33,400		3,636,258
Perrigo Co. PLC		37,050		2,701,316
Pfizer, Inc.		197,250		7,156,230
PG&E Corp.		91,400		3,889,984
Philip Morris International, Inc.		58,250		4,703,105
QUALCOMM, Inc.		95,200		5,342,624
Raytheon Co.		10,685		2,064,128
Roper Technologies, Inc.		42,619		11,759,008
salesforce.com, Inc.*		99,835		13,617,494
SBA Communications Corp.*		71,741		11,845,874
Sherwin-Williams Co. (The)		26,313		10,724,389
Signature Bank*		11,550		1,477,014
SL Green Realty Corp.		21,800		2,191,554
Southern Co. (The)		137,800		6,381,518
Southwest Airlines Co.		83,300		4,238,304
Stericycle, Inc.*		25,770		1,682,523
TE Connectivity Ltd.		26,300		2,368,578
Texas Instruments, Inc.		34,950		3,853,237
Thermo Fisher Scientific, Inc.		55,292		11,453,185
TJX Cos., Inc. (The)		96,327		9,168,404
Twenty-First Century Fox, Inc. (Class B Stock)		154,900		7,631,923
Tyson Foods, Inc. (Class A Stock)		109,350		7,528,747
U.S. Bancorp		120,650		6,034,913
United Parcel Service, Inc. (Class B Stock)		25,950		2,756,669
United Technologies Corp.		18,250		2,281,798
Verizon Communications, Inc.		111,550		5,612,080
Visa, Inc. (Class A Stock)(a)		111,274		14,738,241
Vulcan Materials Co.		14,750		1,903,635
Walmart, Inc.		54,900		4,702,185
Wells Fargo & Co.		204,000		11,309,760

SEE NOTES TO FINANCIAL STATEMENTS.

A105

GLOBAL PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

COMMON STOCKS (continued)	Shares		Value
United States (continued)
Weyerhaeuser Co.		86,700	$	3,161,082
Zoetis, Inc.		179,657		15,304,980
				632,998,014
TOTAL COMMON STOCKS (cost $793,169,992)				1,097,458,132
PREFERRED STOCKS — 0.5%
United States
Becton, Dickinson & Co. 6.125%		11,615		718,388
NextEra Energy, Inc. 6.123%(a)		49,348		2,817,771
Sempra Energy 6.000%		19,574		2,020,232
TOTAL PREFERRED STOCKS (cost $4,986,682)				5,556,391
	Units
RIGHTS* — 0.0%
Spain
Repsol SA, expiring 07/09/2018 (cost $41,185)		73,100		41,497
TOTAL LONG-TERM INVESTMENTS (cost $798,197,859)				1,103,056,020
	Shares
SHORT-TERM INVESTMENTS — 8.0%
AFFILIATED MUTUAL FUNDS
PGIM Core Ultra Short Bond Fund(w)		31,603,438		31,603,438

	Shares		Value
AFFILIATED MUTUAL FUNDS (continued)
PGIM Institutional Money Market Fund (cost $59,650,883; includes $59,530,059 of cash collateral for securities on loan)(b)(w)		59,653,455	$	59,659,421
TOTAL SHORT-TERM INVESTMENTS (cost $91,254,321)				91,262,859
TOTAL INVESTMENTS — 104.6% (cost $889,452,180)				1,194,318,879
LIABILITIES IN EXCESS OF OTHER ASSETS — (4.6)%				(52,202,300	)
NET ASSETS — 100.0%			$	1,142,116,579

See the Glossary for abbreviations used in the semiannual report.

* Non-income producing security.

^ Indicates a Level 3 security. The aggregate value of Level 3 securities is $19 and 0.0% of net assets.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $57,814,802; cash collateral of $59,530,059 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b) Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

(w) PGIM Investments LLC, the manager of the Portfolio, also serves as manager of PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

Fair Value Measurements:

Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.

Level 1— unadjusted quoted prices generally in active markets for identical securities.

Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3— unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of June 30, 2018 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Australia	$	—	$	30,351,185	$	—
Austria		—		2,907,933		—
Belgium		—		4,818,877		—
Canada		37,155,900		—		—
China		22,394,118		11,228,426		—
Denmark		—		8,151,044		—
Finland		—		2,040,175		—
France		8,984,076		52,048,448		—
Germany		—		24,817,893		—
Hong Kong		—		16,218,479		—
India		2,909,684		—		—
Ireland		—		5,969,655		—
Israel		—		1,245,457		—
Italy		—		5,327,281		—

SEE NOTES TO FINANCIAL STATEMENTS.

A106

GLOBAL PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

	Level 1		Level 2		Level 3
Investments in Securities (continued)
Common Stocks (continued)
Japan	$	—	$	76,720,380	$	—
Liechtenstein		—		335,801		—
Luxembourg		—		2,179,821		—
Netherlands		—		19,932,019		—
New Zealand		—		1,043,446		—
Norway		—		4,491,181		—
Portugal		—		1,266,344		—
Singapore		—		705,927		—
South Africa		—		2,216,123		—
Spain		—		12,097,992		—
Sweden		1,776,258		11,329,696		—
Switzerland		—		33,410,107		—
Taiwan		—		4,331,658		—
United Kingdom		175,192		55,879,523		19
United States		632,998,014		—		—
Preferred Stocks
United States		5,556,391		—		—
Rights
Spain		41,497		—		—
Affiliated Mutual Funds		91,262,859		—		—
Total	$	803,253,989	$	391,064,871	$	19

During the period, there were no transfers between Level 1, Level 2 and Level 3 to report.

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2018 were as follows:

Affiliated Mutual Funds (5.2% represents investments purchased with collateral from securities on loan)	8.0	%
Banks	7.2
Software	7.1
Oil, Gas & Consumable Fuels	5.5
Health Care Equipment & Supplies	5.1
Pharmaceuticals	4.8
IT Services	4.6
Internet Software & Services	4.5
Insurance	4.2
Capital Markets	3.5
Chemicals	3.0
Aerospace & Defense	2.7
Internet & Direct Marketing Retail	2.5
Electric Utilities	2.3
Machinery	2.3
Food & Staples Retailing	2.2
Electronic Equipment, Instruments & Components	2.1
Building Products	2.0
Semiconductors & Semiconductor Equipment	1.8
Equity Real Estate Investment Trusts (REITs)	1.7
Hotels, Restaurants & Leisure	1.7
Life Sciences Tools & Services	1.4
Auto Components	1.3
Food Products	1.3
Industrial Conglomerates	1.3
Media	1.3
Personal Products	1.3
Automobiles	1.2

Metals & Mining	1.1	%
Specialty Retail	1.1
Airlines	1.0
Diversified Telecommunication Services	1.0
Health Care Providers & Services	0.9
Road & Rail	0.9
Commercial Services & Supplies	0.8
Professional Services	0.8
Biotechnology	0.7
Communications Equipment	0.6
Textiles, Apparel & Luxury Goods	0.6
Construction & Engineering	0.5
Construction Materials	0.5
Containers & Packaging	0.5
Household Durables	0.5
Multi-Utilities	0.5
Trading Companies & Distributors	0.5
Air Freight & Logistics	0.4
Beverages	0.4
Diversified Financial Services	0.4
Household Products	0.4
Multiline Retail	0.4
Tobacco	0.4
Wireless Telecommunication Services	0.4
Paper & Forest Products	0.3
Electrical Equipment	0.2
Energy Equipment & Services	0.2
Real Estate Management & Development	0.2
Distributors	0.1

SEE NOTES TO FINANCIAL STATEMENTS.

A107

GLOBAL PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Industry Classification (continued):

Independent Power & Renewable Electricity Producers	0.1	%
Leisure Products	0.1
Technology Hardware, Storage & Peripherals	0.1
Thrifts & Mortgage Finance	0.1
Consumer Finance	0.0	*
Gas Utilities	0.0	*
Health Care Technology	0.0	*
Marine	0.0	*

	104.6
Liabilities in excess of other assets	(4.6	)%
	100.0	%

* Less than +/- 0.05%

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity contracts risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of June 30, 2018 as presented in the Statement of Assets and Liabilities:

Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives			Liability Derivatives
	Balance Sheet Location	Fair Value		Balance Sheet Location	Fair Value
Equity contracts	Unaffiliated investments	$	41,497	—	$	—

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2018 are as follows:

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights(1)
Equity contracts	$	25,007

(1) Included in net realized gain (loss) on investment transactions in the Statement of Operations.

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights(2)
Equity contracts	$	487

(2) Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations.

Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:

The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:

Description	Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(1)			Net Amount
Securities on Loan	$	57,814,802	$	(57,814,802	)	$	—

(1) Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A108

GLOBAL PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

(unaudited)

as of June 30, 2018

ASSETS
Investments at value, including securities on loan of $57,814,802:
Unaffiliated investments (cost $798,197,859)	$	1,103,056,020
Affiliated investments (cost $91,254,321)		91,262,859
Foreign currency, at value (cost $5,005,722)		4,958,941
Receivable for investments sold		7,718,089
Tax reclaim receivable		1,613,691
Dividends and interest receivable		1,506,089
Receivable from affiliate		51,310
Receivable for Series shares sold		27,353
Prepaid expenses		1,094
Total Assets		1,210,195,446
LIABILITIES
Payable to broker for collateral for securities on loan		59,530,059
Payable for investments purchased		6,586,199
Payable to affiliate		752,162
Management fee payable		694,091
Payable for Series shares repurchased		278,828
Accrued expenses and other liabilities		236,548
Affiliated transfer agent fee payable		980
Total Liabilities		68,078,867
NET ASSETS	$	1,142,116,579
Net assets were comprised of:
Partners Equity	$	1,142,116,579
Net asset value and redemption price per share, $1,142,116,579 / 32,312,519 outstanding shares of beneficial interest	$	35.35

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2018

NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net) (foreign withholding tax $1,167,211, of which $74,456 is reimbursable by an affiliate)	$	13,429,109
Affiliated dividend income		238,813
Income from securities lending, net (including affiliated income of $120,738)		212,038
Total income		13,879,960
EXPENSES
Management fee		4,311,440
Custodian and accounting fees		159,058
Shareholders’ reports		72,987
Audit fee		14,047
Trustees’ fees		10,064
Legal fees and expenses		6,176
Transfer agent’s fees and expenses (including affiliated expense of $2,941)		5,297
Miscellaneous		32,524
Total expenses		4,611,593
Less: Fee waiver and/or expense reimbursement		(137,959	)
Net expenses		4,473,634
NET INVESTMENT INCOME (LOSS)		9,406,326
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(1,698))		42,313,543
Foreign currency transactions		36,396
		42,349,939
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $8,143)		(18,363,477	)
Foreign currencies		(222,953	)
		(18,586,430	)
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		23,763,509
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	33,169,835

STATEMENTS OF CHANGES IN NET ASSETS

(unaudited)

	Six Months Ended June 30, 2018			Year Ended December 31, 2017
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	9,406,326		$	14,091,738
Net realized gain (loss) on investment and foreign currency transactions		42,349,939			40,601,021
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(18,586,430	)		177,030,000
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		33,169,835			231,722,759
SERIES SHARE TRANSACTIONS
Series shares sold [227,365 and 246,184 shares, respectively]		8,076,304			7,749,375
Series shares repurchased [911,575 and 1,990,951 shares, respectively]		(32,278,053	)		(61,897,531	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(24,201,749	)		(54,148,156	)
CAPITAL CONTRIBUTIONS		212,282			—
TOTAL INCREASE (DECREASE)		9,180,368			177,574,603
NET ASSETS:
Beginning of period		1,132,936,211			955,361,608
End of period	$	1,142,116,579		$	1,132,936,211

SEE NOTES TO FINANCIAL STATEMENTS.

A109

GOVERNMENT INCOME PORTFOLIO

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
LONG-TERM INVESTMENTS — 97.3%
ASSET-BACKED SECURITIES — 9.5%
Collateralized Loan Obligations — 9.5%
Atlas Senior Loan Fund Ltd. (Cayman Islands),
Series 2017-08A, Class A, 144A, 3 Month LIBOR + 1.300%
3.648%(c)		01/16/30		250	$	250,463
Battalion CLO Ltd. (Cayman Islands),
Series 2014-07A, Class A1R, 144A, 3 Month LIBOR + 1.190%(original cost $500,000; purchased 03/22/17)(f)
3.543%(c)		10/17/26		500		499,996
BlueMountain CLO Ltd. (Cayman Islands),
Series 2015-01A, Class A1R, 144A, 3 Month LIBOR + 1.330%
3.672%(c)		04/13/27		1,750		1,747,963
Catamaran CLO Ltd. (Cayman Islands),
Series 2014-01A, Class A1AR, 144A, 3 Month LIBOR + 1.260%
3.622%(c)		04/22/30		2,000		1,998,701
CIFC Funding Ltd. (Cayman Islands),
Series 2017-04A, Class A1, 144A, 3 Month LIBOR + 1.250%
3.609%(c)		10/24/30		2,000		2,008,478
Eaton Vance CLO Ltd. (Cayman Islands),
Series 2014-01A, Class AR, 144A, 3 Month LIBOR + 1.200%
3.548%(c)		07/15/26		2,500		2,499,593
Flagship CLO Ltd. (Cayman Islands),
Series 2014-08A, Class ARR, 144A, 3 Month LIBOR + 0.850%
2.899%		01/16/26		2,500		2,500,000
ICG US CLO Ltd. (Cayman Islands),
Series 2017-02A, Class A1, 144A, 3 Month LIBOR + 1.280%
3.642%(c)		10/23/29		500		500,177
KVK CLO Ltd. (Cayman Islands),
Series 2014-01A, Class A1R, 144A, 3 Month LIBOR + 1.300%
3.643%(c)		05/15/26		2,500		2,495,088
Limerock CLO LLC (Cayman Islands),
Series 2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.200%
3.559%(c)		10/20/26		1,300		1,299,821
OCP CLO Ltd. (Cayman Islands),
Series 2017-13A, Class A1A, 144A, 3 Month LIBOR + 1.260%
3.608%(c)		07/15/30		250		250,596
OZLM Ltd. (Cayman Islands),
Series 2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250%
3.609%(c)		10/30/30		2,000		2,001,815
Palmer Square CLO Ltd. (Cayman Islands),
Series 2015-01A, Class A1R, 144A, 3 Month LIBOR + 1.300%
3.631%(c)		05/21/29		500		500,759
Regatta Funding Ltd. (Cayman Islands),
Series 2017-01A, Class A, 144A, 3 Month LIBOR + 1.250%
3.603%(c)		10/17/30		1,000		1,003,252
Trinitas CLO Ltd. (Cayman Islands),
Series 2016-05A, Class A, 144A, 3 Month LIBOR + 1.700%
4.060%(c)		10/25/28		500		500,000
Wellfleet CLO Ltd. (Cayman Islands),
Series 2017-02A, Class A1, 144A, 3 Month LIBOR + 1.250%
3.609%(c)		10/20/29		2,000		2,002,517
						22,059,219

Interest Rate	Maturity Date		Principal Amount (000)#		Value
ASSET-BACKED SECURITIES (continued)
Small Business Loan — 0.0%
Small Business Administration Participation Certificates,
Series 1998-20I, Class 1
6.000%		09/01/18		24	$	24,036
TOTAL ASSET-BACKED SECURITIES (cost $22,073,522)						22,083,255
COMMERCIAL MORTGAGE-BACKED SECURITIES — 17.2%
Bank,
Series 2017-BNK05, Class A3
3.020%		06/15/60		2,800		2,694,363
Citigroup Commercial Mortgage Trust,
Series 2015-GC33, Class A3
3.515%		09/10/58		700		696,291
Commercial Mortgage Trust,
Series 2012-CR05, Class A3
2.540%		12/10/45		1,000		970,935
Series 2015-CR24, Class A3
3.214%		08/10/48		1,600		1,594,626
Series 2015-CR25, Class A3
3.505%		08/10/48		1,000		993,437
Deutsche Bank Commercial Mortgage Trust,
Series 2017-C06, Class A3
3.269%		06/10/50		2,800		2,754,000
Fannie Mae-Aces,
Series 2012-M02, Class A2
2.717%		02/25/22		196		193,929
Series 2015-M01, Class AB2
2.465%		09/25/24		416		403,798
Series 2015-M03, Class AB2
2.625%		10/25/24		1,480		1,433,678
Series 2015-M08, Class AB2
2.829%(cc)		01/25/25		1,572		1,537,788
Series 2015-M10, Class A2
3.092%(cc)		04/25/27		1,600		1,548,898
Series 2015-M17, Class A2
3.036%(cc)		11/25/25		1,500		1,469,142
Series 2016-M11, Class A2
2.369%(cc)		07/25/26		1,200		1,114,959
Series 2016-M13, Class A2
2.560%(cc)		09/25/26		2,100		1,967,097
FHLMC Multifamily Structured Pass-Through Certificates,
Series K008, Class X1, IO
1.679%(cc)		06/25/20		15,295		366,969
Series K019, Class X1, IO
1.805%(cc)		03/25/22		16,371		822,155
Series K020, Class X1, IO
1.553%(cc)		05/25/22		8,647		388,659
Series K021, Class X1, IO
1.590%(cc)		06/25/22		9,185		437,250
Series K025, Class X1, IO
0.986%(cc)		10/25/22		26,108		811,673
Series K060, Class AM
3.300%(cc)		10/25/26		1,930		1,917,343
Series K064, Class AM
3.327%(cc)		03/25/27		1,100		1,090,328

SEE NOTES TO FINANCIAL STATEMENTS.

A110

GOVERNMENT INCOME PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Series K068, Class AM
3.315%		08/25/27		1,700	$	1,674,533
Series K073, Class A2
3.350%		01/25/28		2,200		2,182,157
Series K076, Class A2
3.900%		04/25/28		1,500		1,552,378
Series K076, Class AM
3.900%		04/25/28		425		438,158
Series K077, Class A2
3.850%(cc)		05/25/28		900		929,674
Series K077, Class AM
3.850%(cc)		05/25/28		180		184,920
Series K151, Class A3
3.511%		04/25/30		400		395,275
Series K710, Class X1, IO
1.859%(cc)		05/25/19		7,513		75,659
Series K711, Class X1, IO
1.800%(cc)		07/25/19		7,328		76,147
Series KS03, Class A4
3.161%(cc)		05/25/25		2,600		2,578,337
Series W5FX, Class AFX
3.214%(cc)		04/25/28		1,100		1,079,820
JPMBB Commercial Mortgage Securities Trust,
Series 2013-C17, Class A2
3.003%		01/15/47		611		610,235
Series 2015-C30, Class A3
3.322%		07/15/48		1,600		1,596,217
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-LC11, Class A4
2.694%		04/15/46		1,227		1,194,872
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $40,674,312)						39,775,700
CORPORATE BONDS — 1.8%
Diversified Financial Services
Private Export Funding Corp.,
Series BB, Gov’t. Gtd. Notes
4.300%		12/15/21		2,160		2,258,377
Sr. Unsec’d. Notes, 144A
2.650%		02/16/21		1,835		1,825,590
TOTAL CORPORATE BONDS (cost $4,172,897)						4,083,967
MUNICIPAL BONDS — 0.2%
California — 0.1%
California Educational Facilities Authority,
Revenue Bonds, Series U-7, BABs
5.000%		06/01/46		125		164,934
Texas — 0.1%
University of Texas System (The),
Revenue Bonds, Series F, Rfdg.
5.000%		08/15/47		275		352,904
TOTAL MUNICIPAL BONDS (cost $511,490)						517,838

Interest Rate	Maturity Date		Principal Amount (000)#		Value
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 0.1%
Merrill Lynch Mortgage Investors Trust,
Series 2003-E, Class A1, 1 Month LIBOR + 0.620%
2.711%(c)		10/25/28		22	$	22,104
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-01, Class 4A3
3.756%(cc)		02/25/34		100		100,486
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $122,321)						122,590
U.S. GOVERNMENT AGENCY OBLIGATIONS — 40.5%
Federal Home Loan Mortgage Corp.
2.000%		01/01/32		345		326,317
2.375%		02/16/21		1,730		1,716,745
2.375%		01/13/22		360		355,275
2.500%		03/01/30		638		621,129
3.000%		TBA		4,500		4,350,893
3.000%		06/01/29		497		495,925
3.000%		01/01/37		896		883,217
3.000%		06/01/45		622		604,871
3.500%		TBA		1,000		993,618
3.500%		07/01/42		726		727,735
3.500%		10/01/42		1,192		1,195,458
3.500%		08/01/43		923		925,289
3.500%		10/01/45		669		667,972
4.000%		06/01/26		75		77,473
4.000%		09/01/26		261		268,076
4.000%		09/01/40		447		459,758
4.000%		12/01/40		457		470,202
4.000%		12/01/40		485		498,908
4.500%		TBA		500		520,257
4.500%		09/01/39		1,639		1,723,355
5.000%		06/01/33		325		347,388
5.000%		05/01/34		319		338,933
5.500%		05/01/37		64		69,760
5.500%		02/01/38		218		235,845
5.500%		05/01/38		94		101,729
6.000%		09/01/34		74		81,219
6.000%		01/01/37		92		100,586
6.000%		09/01/38		62		67,917
6.000%		08/01/39		75		82,776
6.500%		09/01/32		34		37,477
Federal Home Loan Mortgage Corp., MTN
3.208%(s)		12/11/25		600		472,809
Federal National Mortgage Assoc.
1.000%		10/24/19		2,300		2,256,215
2.000%		08/01/31		327		310,221
2.375%		01/19/23		1,100		1,080,115
2.500%		06/01/28		2,121		2,076,852
2.500%		02/01/43		220		206,674
2.500%		12/01/46		742		695,438
2.750%		06/22/21		1,750		1,751,554
3.000%		08/01/28		1,073		1,072,587
3.000%		02/01/31		1,334		1,326,863
3.000%		11/01/36		851		839,599
3.000%		03/01/43		1,075		1,050,428

SEE NOTES TO FINANCIAL STATEMENTS.

A111

GOVERNMENT INCOME PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date	Principal Amount (000)#			Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
3.000%	07/01/43		999		$	975,508
3.000%	07/01/43		1,204			1,176,759
3.000%	11/01/46		483			468,906
3.500%	TBA		3,000			3,035,859
3.500%	TBA		5,500			5,474,128
3.500%	06/01/39		316			316,416
3.500%	04/01/42		549			550,960
3.500%	06/01/42		913			915,825
3.500%	07/01/42		1,001			1,004,358
3.500%	06/01/45		2,280			2,275,766
3.500%	12/01/46		463			461,960
4.000%	TBA		3,250			3,308,684
4.000%	09/01/40		1,723			1,769,843
4.000%	06/01/42		1,223			1,256,350
4.000%	09/01/44		912			931,726
4.000%	10/01/46		416			424,496
4.500%	05/01/40		2,339			2,461,157
5.000%	TBA		500			528,679
5.000%	12/01/31		28			29,821
5.000%	03/01/34		395			423,561
5.000%	06/01/35		174			186,113
5.000%	07/01/35		86			91,719
5.000%	05/01/36		118			126,119
5.500%	02/01/34		236			256,827
5.500%	09/01/34		267			291,162
5.500%	02/01/35		297			322,673
5.500%	06/01/35		72			76,631
5.500%	06/01/35		159			171,682
5.500%	09/01/35		42			45,347
5.500%	09/01/35		107			114,623
5.500%	10/01/35		247			269,111
5.500%	11/01/35		268			289,057
5.500%	11/01/35		408			444,747
5.500%	11/01/35		568			620,431
6.000%	05/01/21		24			24,360
6.000%	12/01/33		11			12,148
6.000%	02/01/34		134			147,724
6.000%	08/01/34		—	(r)		550
6.000%	11/01/34		1			655
6.000%	11/01/34		1			1,136
6.000%	12/01/34		1			1,072
6.000%	01/01/35		36			38,908
6.000%	01/01/36		89			97,186
6.000%	05/01/38		53			58,436
6.500%	07/01/32		264			291,845
6.500%	08/01/32		96			105,991
6.500%	10/01/32		287			319,250
6.500%	10/01/37		144			160,768
6.625%	11/15/30		280			375,570
7.000%	12/01/31		1			564
7.000%	12/01/31		87			97,543
7.000%	11/01/33		11			11,131
7.000%	01/01/36		21			23,504
8.000%	10/01/23		—	(r)		220
8.000%	09/01/24		1			1,116
8.000%	11/01/24		1			1,250
8.000%	01/01/26		—	(r)		451
9.000%	02/01/25		9			9,965

Interest Rate	Maturity Date	Principal Amount (000)#			Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
9.000%	04/01/25		5		$	5,761
Government National Mortgage Assoc.
2.500%	12/20/46		311			295,270
3.000%	03/15/45		1,758			1,721,765
3.000%	09/20/46		1,753			1,721,254
3.000%	10/20/46		438			429,980
3.000%	04/20/47		2,201			2,157,528
3.500%	01/20/43		1,251			1,265,512
3.500%	04/20/43		619			626,259
3.500%	03/20/45		1,122			1,128,659
3.500%	04/20/45		949			954,849
3.500%	07/20/46		2,382			2,394,230
4.000%	TBA		1,000			1,023,437
4.000%	06/15/40		225			232,108
4.000%	08/20/46		909			936,846
4.000%	11/20/46		582			600,986
4.500%	TBA		750			778,249
4.500%	02/20/41		625			656,776
4.500%	03/20/41		533			560,010
4.500%	06/20/44		410			433,285
4.500%	09/20/46		549			577,435
4.500%	11/20/46		1,118			1,181,726
4.500%	01/20/47		138			144,740
5.000%	07/15/33		171			182,156
5.000%	09/15/33		240			256,199
5.000%	04/15/34		84			87,597
5.500%	03/15/34		343			374,519
5.500%	03/15/36		78			85,392
6.500%	07/15/32		20			21,828
6.500%	08/15/32		3			3,026
6.500%	08/15/32		3			3,840
6.500%	08/15/32		12			13,513
6.500%	08/15/32		97			110,177
7.000%	05/15/23		5			5,680
7.000%	06/15/23		1			945
7.000%	06/15/23		1			1,232
7.000%	06/15/23		5			4,593
7.000%	06/15/23		15			15,575
7.000%	07/15/23		1			684
7.000%	07/15/23		13			12,973
7.000%	08/15/23		1			702
7.000%	08/15/23		5			4,838
7.000%	08/15/23		9			8,664
7.000%	09/15/23		1			1,362
7.000%	10/15/23		4			4,239
7.000%	10/15/23		5			4,832
7.000%	11/15/23		—	(r)		11
7.000%	11/15/23		3			3,355
7.000%	11/15/23		9			9,887
7.000%	01/15/24		58			60,231
7.000%	05/15/24		50			52,239
7.000%	08/15/28		49			55,197
7.500%	12/15/25		4			4,404
7.500%	12/15/25		35			37,858
7.500%	02/15/26		6			5,890
8.500%	09/15/24		66			70,906
8.500%	04/15/25		8			8,458

SEE NOTES TO FINANCIAL STATEMENTS.

A112

GOVERNMENT INCOME PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date			Principal Amount (000)#		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes
3.000%		06/30/25			1,380	$	1,367,523
Israel Government, USAID Bond, Gov’t. Gtd. Notes
5.500%		09/18/23			1,300		1,463,365
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO
2.194%(s)		01/15/21			643		599,359
3.173%(s)		04/15/30			2,505		1,688,517
Tennessee Valley Authority, Series E, Sr. Unsec’d. Notes
6.750%		11/01/25			510		632,210
Tennessee Valley Authority, Sr. Unsec’d. Notes
2.250%		03/15/20			365		362,869
2.875%		02/01/27			175		170,648
5.880%		04/01/36			230		302,004
7.125%		05/01/30			530		728,993
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $95,022,952)							94,018,960
U.S. TREASURY OBLIGATIONS — 28.0%
U.S. Treasury Bonds
2.750%		08/15/47			820		782,491
U.S. Treasury Notes
1.750%		05/15/23			3,540		3,381,945
1.875%		04/30/22			6,043		5,863,835
2.000%		06/30/24	(k)		6,280		6,005,986
2.125%		09/30/21	(k)		9,675		9,517,781
2.125%		06/30/22			2,055		2,010,609
2.125%		02/29/24			8,515		8,224,958
2.125%		05/15/25			15,885		15,200,580
2.250%		12/31/24			2,965		2,867,363
2.500%		05/31/20			340		339,841
2.875%		05/31/25			1,855		1,862,101
U.S. Treasury Strips Coupon
2.037%(s)		02/15/24			1,230		1,049,894
2.184%(s)		02/15/28			550		414,940
2.384%(s)		05/15/29			565		410,100
2.404%(s)		08/15/21	(k)		1,585		1,458,986
2.499%(s)		02/15/22			835		757,115
2.783%(s)		08/15/29			500		359,891
2.878%(s)		05/15/31			500		340,882
3.042%(s)		11/15/35			1,000		594,773
3.202%(s)		08/15/40			1,000		514,625
4.138%(s)		02/15/42			3,725		1,827,339
U.S. Treasury Strips Principal, PO
2.543%(s)		02/15/45			515		233,785
2.593%(s)		05/15/43			430		206,101
2.874%(s)		05/15/45	(k)		800		361,187
2.993%(s)		11/15/43			165		77,860
3.005%(s)		11/15/44			715		327,804
TOTAL U.S. TREASURY OBLIGATIONS (cost $65,719,923)							64,992,772
TOTAL LONG-TERM INVESTMENTS (cost $228,297,417)							225,595,082

	Shares		Value
SHORT-TERM INVESTMENTS — 11.3%
AFFILIATED MUTUAL FUNDS
PGIM Core Short-Term Bond Fund(w)		2,417,638	$	22,411,504
PGIM Core Ultra Short Bond Fund(w)		3,852,704		3,852,704
PGIM Institutional Money Market Fund(w)		9,374		9,375
TOTAL SHORT-TERM INVESTMENTS (cost $27,018,175)				26,273,583
TOTAL INVESTMENTS — 108.6% (cost $255,315,592)				251,868,665
LIABILITIES IN EXCESS OF OTHER ASSETS(z) — (8.6)%				(19,870,970	)
NET ASSETS — 100.0%			$	231,997,695

See the Glossary for abbreviations used in the semiannual report.

# Principal or notional amounts is shown in U.S. dollars unless otherwise stated.

(c) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2018.

(cc) Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2018. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.

(f) Indicates a restricted security; the original cost of such security is $500,000. The value of $499,996, is 0.2% of net assets.

(k) Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives.

(r) Principal or notional amount is less than $500 par.

(s) Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date.

(w) PGIM Investments LLC, the manager of the Portfolio, also serves as manager of PGIM Core Short-Term Bond Fund, PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

(z) Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end:

SEE NOTES TO FINANCIAL STATEMENTS.

A113

GOVERNMENT INCOME PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Futures contracts outstanding at June 30, 2018:

Number of Contracts	Type	Expiration Date		Current Notional Amount		Value / Unrealized Appreciation (Depreciation)
Long Positions:
126	10 Year U.S. Treasury Notes		Sep. 2018	$	15,143,625	$	78,410
167	2 Year U.S. Treasury Notes		Sep. 2018		35,375,297		81,269
143	30 Year U.S. Ultra Treasury Bonds		Sep. 2018		22,817,438		821,779
312	5 Year U.S. Treasury Notes		Sep. 2018		35,448,562		195,832
							1,177,290
Short Positions:
120	90 Day Euro Dollar		Dec. 2018		29,208,000		208,252
2	10 Year U.S. Ultra Treasury Bonds		Sep. 2018		256,469		(5,183	)
101	U.S. Treasury Long Bond		Sep. 2018		14,645,000		(389,432	)
							(186,363	)
						$	990,927

A security with a market value of $944,400 has been segregated with Citigroup Global Markets to cover requirements for open futures contracts at June 30, 2018.

Inflation swap agreements outstanding at June 30, 2018:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date		Value at June 30, 2018			Unrealized Appreciaton (Depreciation)
	Centrally Cleared Inflation Swap Agreement:
	540		10/25/27		2.160%(T)	U.S. CPI Urban Consumers NSA Index(2)(T)	$	12	$	(12,914	)	$	(12,926	)

(1) The Portfolio pays the fixed rate and receives the floating rate.

(2) The Portfolio pays the floating rate and receives the fixed rate.

Interest rate swap agreements outstanding at June 30, 2018:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at June 30, 2018			Unrealized Appreciaton (Depreciation)
	Centrally Cleared Interest Rate Swap Agreements:
	413,255		01/30/19		2.261%(T)	1 Day USOIS(1)(T)	$	—		$	(18,491	)	$	(18,491	)
	365,370		03/20/19		2.157%(T)	1 Day USOIS(1)(T)		—			69,653			69,653
	21,265		06/30/19		1.486%(A)	1 Day USOIS(1)(A)		(8,090	)		148,787			156,877
	4,730		06/30/19		1.502%(A)	1 Day USOIS(1)(A)		(2,550	)		31,789			34,339
	7,870		09/30/19		1.707%(A)	1 Day USOIS(1)(A)		2,185			51,294			49,109
	11,945		12/31/19		1.840%(A)	1 Day USOIS(1)(A)		6,414			83,840			77,426
	5,295		12/31/19		1.950%(A)	1 Day USOIS(1)(A)		1,396			27,125			25,729
	2,750		12/31/19		2.040%(A)	1 Day USOIS(1)(A)		31			9,754			9,723
	1,495		12/31/19		2.107%(A)	1 Day USOIS(1)(A)		(3	)		3,163			3,166
	8,570		03/23/21		2.370%(A)	1 Day USOIS(1)(A)		—			7,119			7,119
	3,860		08/31/21		2.015%(S)	3 Month LIBOR(2)(Q)		31,702			(81,264	)		(112,966	)
	345		05/31/22		2.353%(A)	1 Day USOIS(1)(A)		—			1,689			1,689
	17,565		08/15/24		2.170%(S)	3 Month LIBOR(1)(Q)		(4,680	)		622,502			627,182
	4,670		11/15/24		2.334%(S)	3 Month LIBOR(1)(Q)		14,367			152,628			138,261
	3,785		02/12/25		2.408%(A)	1 Day USOIS(1)(A)		—			12,865			12,865
	500		02/14/25		—(3)	—(3)		—			439			439
	590		02/28/25		2.454%(A)	1 Day USOIS(1)(A)		—			1,987			1,987
	1,920		01/08/26		2.210%(S)	3 Month LIBOR(1)(Q)		70,521			80,066			9,545
	2,102		02/15/27		1.824%(A)	1 Day USOIS(1)(A)		29,738			112,496			82,758
	790		02/15/27		1.899%(A)	1 Day USOIS(1)(A)		984			37,471			36,487
	530		02/15/27		1.965%(A)	1 Day USOIS(1)(A)		—			22,292			22,292
	1,445		02/15/27		2.067%(A)	1 Day USOIS(1)(A)		(911	)		48,650			49,561
	260		05/15/27		2.295%(S)	3 Month LIBOR(1)(Q)		—			12,717			12,717

SEE NOTES TO FINANCIAL STATEMENTS.

A114

GOVERNMENT INCOME PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest rate swap agreements outstanding at June 30, 2018 (continued):

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at June 30, 2018			Unrealized Appreciaton (Depreciation)
	Centrally Cleared Interest Rate Swap Agreements (continued)
	2,525		02/15/36		2.338%(S)	3 Month LIBOR(2)(Q)	$	(16,893	)	$	(208,102	)	$	(191,209	)
	145		11/15/43		2.659%(S)	3 Month LIBOR(1)(Q)		—			7,690			7,690
							$	124,211		$	1,238,159		$	1,113,948

Securities with a combined market value of $1,780,963 have been segregated with Citigroup Global Markets to cover requirements for open centrally cleared swap contracts at June 30, 2018.

(1) The Portfolio pays the fixed rate and receives the floating rate.

(2) The Portfolio pays the floating rate and receives the fixed rate.

(3) The Portfolio pays the floating rate of 3 Month LIBOR quarterly and receives the floating rate of 1 DAY USOIS plus 38.25 bps quarterly.

Fair Value Measurements:

Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.

Level 1— unadjusted quoted prices generally in active markets for identical securities.

Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3— unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of June 30, 2018 in valuing such portfolio securities:

	Level 1		Level 2			Level 3
Investments in Securities
Asset-Backed Securities
Collateralized Loan Obligations	$	—	$	22,059,219		$	—
Small Business Loan		—		24,036			—
Commercial Mortgage-Backed Securities		—		39,775,700			—
Corporate Bonds		—		4,083,967			—
Municipal Bonds		—		517,838			—
Residential Mortgage-Backed Securities		—		122,590			—
U.S. Government Agency Obligations		—		94,018,960			—
U.S. Treasury Obligations		—		64,992,772			—
Affiliated Mutual Funds		26,273,583		—			—
Other Financial Instruments*
Futures Contracts		990,927		—			—
Centrally Cleared Inflation Swap Agreement		—		(12,926	)		—
Centrally Cleared Interest Rate Swap Agreements		—		1,113,948			—
Total	$	27,264,510	$	226,696,104		$	—

* Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value.

During the period, there were no transfers between Level 1, Level 2 and Level 3 to report.

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2018 were as follows:

U.S. Government Agency Obligations	40.5	%
U.S. Treasury Obligations	28.0
Commercial Mortgage-Backed Securities	17.2
Affiliated Mutual Funds	11.3
Collateralized Loan Obligations	9.5
Diversified Financial Services	1.8
Municipal	0.2
Residential Mortgage-Backed Securities	0.1

Small Business Loan	0.0	*%
	108.6
Liabilities in excess of other assets	(8.6	)
	100.0	%

* Less than +/- 0.05%

SEE NOTES TO FINANCIAL STATEMENTS.

A115

GOVERNMENT INCOME PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is interest rate contracts risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of June 30, 2018 as presented in the Statement of Assets and Liabilities:

Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Balance Sheet Location	Fair Value			Balance Sheet Location	Fair Value
Interest rate contracts	Due from/to broker — variation margin futures	$	1,385,542	*	Due from/to broker — variation margin futures	$	394,615	*
Interest rate contracts	Due from/to broker — variation margin swaps		1,436,614	*	Due from/to broker — variation margin swaps		335,592	*
		$	2,822,156			$	730,207

* Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2018 are as follows:

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Options Purchased(1)			Options Written		Futures			Swaps
Interest rate contracts	$	(37,798	)	$	10,858	$	(2,774,705	)	$	719,213

(1) Included in net realized gain (loss) on investment transactions in the Statement of Operations.

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures		Swaps
Interest rate contracts	$	1,167,980	$	971,126

For the six months ended June 30, 2018, the Portfolio’s average volume of derivative activities is as follows:

Options Purchased(1)	Options Written(2)	Futures Contracts- Long Positions(2)	Futures Contracts- Short Positions(2)
$10,662	$59,333	$157,942,700	$55,186,854

Inflation Swap Agreements(2)	Interest Rate Swap Agreements(2)
$540,000	$370,461,667

(1) Cost.

(2) Notional Amount in USD.

SEE NOTES TO FINANCIAL STATEMENTS.

A116

GOVERNMENT INCOME PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES (unaudited)

as of June 30, 2018

ASSETS
Investments at value:
Unaffiliated investments (cost $228,297,417)	$	225,595,082
Affiliated investments (cost $27,018,175)		26,273,583
Receivable for investments sold		10,583,370
Dividends and interest receivable		1,012,023
Due from broker-variation margin swaps		43,397
Receivable for Series shares sold		680
Prepaid expenses		265
Total Assets		263,508,400
LIABILITIES
Payable for investments purchased		31,172,262
Accrued expenses and other liabilities		124,469
Payable for Series shares repurchased		111,310
Management fee payable		76,364
Due to broker-variation margin futures		25,320
Affiliated transfer agent fee payable		980
Total Liabilities		31,510,705
NET ASSETS	$	231,997,695
Net assets were comprised of:
Partners Equity	$	231,997,695
Net asset value and redemption price per share $231,997,695 / 18,568,606 outstanding shares of beneficial interest	$	12.49

STATEMENT OF OPERATIONS (unaudited)

Six Months Ended June 30, 2018

NET INVESTMENT INCOME (LOSS)
INCOME
Interest income	$	2,834,950
Affiliated dividend income		311,575
Income from securities lending, net (including affiliated income of $3,189)		3,275
Total income		3,149,800
EXPENSES
Management fee		469,790
Shareholders’ reports		59,289
Custodian and accounting fees		42,110
Audit fee		17,270
Trustees’ fees		6,005
Transfer agent’s fees and expenses (including affiliated expense of $2,941)		5,297
Legal fees and expenses		4,959
Miscellaneous		7,872
Total expenses		612,592
NET INVESTMENT INCOME (LOSS)		2,537,208
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(315,325))		(1,855,331	)
Futures transactions		(2,774,705	)
Options written transactions		10,858
Swap agreements transactions		719,213
		(3,899,965	)
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $286,773)		(3,356,799	)
Futures		1,167,980
Swap agreements		971,126
		(1,217,693	)
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS		(5,117,658	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(2,580,450	)

STATEMENTS OF CHANGES IN NET ASSETS (unaudited)

	Six Months Ended June 30, 2018			Year Ended December 31, 2017
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	2,537,208		$	4,641,829
Net realized gain (loss) on investment transactions		(3,899,965	)		916,943
Net change in unrealized appreciation (depreciation) on investments		(1,217,693	)		1,875,901
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(2,580,450	)		7,434,673
SERIES SHARE TRANSACTIONS
Series shares sold [981,781 and 3,422,868 shares, respectively]		12,175,241			42,250,137
Series shares repurchased [1,757,800 and 2,543,772 shares, respectively]		(21,744,986	)		(31,854,985	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(9,569,745	)		10,395,152
TOTAL INCREASE (DECREASE)		(12,150,195	)		17,829,825
NET ASSETS:
Beginning of period		244,147,890			226,318,065
End of period	$	231,997,695		$	244,147,890

SEE NOTES TO FINANCIAL STATEMENTS.

A117

GOVERNMENT MONEY MARKET PORTFOLIO

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Interest Rate	Maturity Date		Principal Amount (000)#		Value
REPURCHASE AGREEMENT(m) — 2.6%
Merrill Lynch, 2.12%, dated 06/29/18, due 07/02/18 in the amount of $14,353,535				14,351	$	14,351,000
U.S. GOVERNMENT AGENCY OBLIGATIONS — 82.9%
Federal Farm Credit Bank, 1 Month LIBOR + (0.100)%
1.901%(c)		04/04/19		17,000		16,998,710
1.930%(c)		08/08/18		9,000		9,000,278
Federal Farm Credit Bank, 1 Month LIBOR + (0.110)%
1.963%(c)		01/15/19		7,000		7,000,000
Federal Farm Credit Bank, 1 Month LIBOR + 0.040%
2.086%(c)		08/10/18		12,000		12,002,601
Federal Home Loan Bank
1.819%(n)		07/18/18		7,000		6,994,096
1.830%(n)		07/06/18		3,000		2,999,250
1.864%(n)		07/13/18		35,800		35,778,128
1.884%(n)		07/20/18		15,000		14,985,333
1.887%(n)		07/27/18		7,000		6,990,637
1.888%(n)		07/12/18		10,000		9,994,317
1.893%(n)		07/25/18		7,000		6,991,329
1.902%(n)		07/24/18		7,000		6,991,637
1.918%(n)		08/08/18		17,000		16,966,166
1.921%(n)		08/02/18		8,000		7,986,560
1.921%(n)		08/03/18		20,000		19,965,350
1.921%(n)		08/06/18		7,000		6,986,770
1.931%(n)		08/14/18		16,000		15,962,845
1.932%(n)		08/15/18		4,000		3,990,500
1.932%(n)		08/20/18		10,000		9,973,611
1.933%(n)		08/07/18		9,000		8,982,425
1.935%(n)		08/17/18		13,000		12,967,702
1.964%(n)		09/14/18		7,000		6,971,883
1.965%(n)		09/19/18		14,000		13,939,987
Federal Home Loan Bank, 1 Month LIBOR + (0.130)%
1.917%(c)		10/12/18		8,000		8,000,000
1.961%(c)		10/24/18		7,000		7,000,000
Federal Home Loan Bank, 1 Month LIBOR + (0.125)%
1.921%(c)		12/10/18		8,000		8,000,000
1.960%(c)		09/17/18		6,000		6,000,000
Federal Home Loan Bank, 1 Month LIBOR + (0.080)%
1.921%(c)		02/04/19		7,000		7,000,000
Federal Home Loan Bank, 1 Month LIBOR + (0.155)%
1.930%(c)		09/17/18		7,000		7,000,000
Federal Home Loan Bank, 1 Month LIBOR + (0.150)%
1.935%(c)		10/18/18		7,000		7,000,000
Federal Home Loan Bank, 1 Month LIBOR + (0.100)%
1.988%(c)		12/21/18		15,000		15,000,000
Federal Home Loan Bank, 1 Month LIBOR + (0.060)%
2.042%(c)		03/28/19		7,000		7,000,000
Federal Home Loan Bank, 3 Month LIBOR + (0.270)%
2.051%(c)		10/05/18		14,000		14,007,191
Federal Home Loan Mortgage Corp.
0.950%		01/30/19		6,000		5,955,780

Interest Rate	Maturity Date		Principal Amount (000)#		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
1.831%(n)		07/18/18		7,000	$	6,994,050
1.915%(n)		09/24/18		8,000		7,964,489
1.940%(n)		09/19/18		12,000		11,949,227
Federal Home Loan Mortgage Corp., 1 Month LIBOR + (0.160)%
1.925%(c)		07/19/18		14,000		14,000,000
Federal Home Loan Mortgage Corp., 1 Month LIBOR + (0.100)%
1.930%(c)		08/08/19		6,000		6,000,000
Federal Home Loan Mortgage Corp., 1 Month LIBOR + (0.150)%
1.938%(c)		08/21/18		7,000		7,000,000
Federal Home Loan Mortgage Corp., 1 Month LIBOR + (0.125)%
1.978%(c)		11/27/18		6,000		6,000,000
Federal Home Loan Mortgage Corp., 3 Month LIBOR + (0.250)%
2.109%(c)		07/24/18		1,000		999,981
Federal National Mortgage Assoc.
1.125%		07/20/18		5,000		4,998,035
1.827%(n)		07/05/18		8,000		7,998,400
1.848%(n)		07/11/18		12,000		11,993,933
1.914%(n)		09/10/18		8,000		7,970,338
1.914%(n)		09/12/18		8,000		7,969,502
1.914%(n)		09/14/18		8,000		7,968,667
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS						463,189,708
U.S. TREASURY OBLIGATIONS — 11.8%
U.S. Treasury Bills
1.775%(n)		07/05/18		1,000		999,758
1.819%(n)		07/19/18		15,000		14,986,585
1.849%(n)		07/26/18		8,000		7,989,914
1.870%(n)		08/02/18		3,000		2,995,104
1.907%(n)		08/09/18		9,000		8,981,719
1.938%(n)		09/27/18		9,000		8,958,156
1.941%(n)		09/20/18		7,000		6,969,996
1.966%(n)		09/13/18		14,000		13,944,459
TOTAL U.S. TREASURY OBLIGATIONS						65,825,691
TOTAL INVESTMENTS — 97.3% (amortized cost $543,366,399)						543,366,399
OTHER ASSETS IN EXCESS OF LIABILITIES — 2.7%						15,203,673
NET ASSETS — 100.0%					$	558,570,072

See the Glossary for abbreviations used in the semiannual report.

# Principal amount is shown in U.S. dollars unless otherwise stated.

(c) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2018.

(m) The Repurchase Agreement is collateralized by GNMA (coupon rates 4.505%-5.166%, maturity dates 07/20/62-05/20/68), with the value, including accrued interest, of $14,638,020.

(n) Rate shown reflects yield to maturity at purchase date.

Fair Value Measurements:

Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.

Level 1— unadjusted quoted prices generally in active markets for identical securities.

Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3— unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

SEE NOTES TO FINANCIAL STATEMENTS.

A118

GOVERNMENT MONEY MARKET PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

The following is a summary of the inputs used as of June 30, 2018 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Repurchase Agreement	$	—	$	14,351,000	$	—
U.S. Government Agency Obligations		—		463,189,708		—
U.S. Treasury Obligations		—		65,825,691		—
Total	$	—	$	543,366,399	$	—

During the period, there were no transfers between Level 1, Level 2 and Level 3 to report.

Industry Classification:

The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of June 30, 2018 were as follows:

U.S. Government Agency Obligations	82.9	%
U.S. Treasury Obligations	11.8
Repurchase Agreement	2.6
	97.3
Other assets in excess of liabilities	2.7
	100.0	%

Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:

The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:

Description	Counterparty	Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(1)			Net Amount
Repurchase Agreements	Merrill Lynch	$	14,351,000	$	(14,351,000	)	$	—

(1) Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A119

GOVERNMENT MONEY MARKET PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES (unaudited)

as of June 30, 2018

ASSETS
Investments, at amortized cost which approximates fair value:	$	543,366,399
Cash		6,248
Receivable for investments sold		23,068,617
Interest receivable		255,378
Receivable for Series shares sold		21,497
Prepaid expenses		737
Total Assets		566,718,876
LIABILITIES
Payable for investments purchased		5,979,847
Payable for Series shares repurchased		1,900,166
Management fee payable		139,397
Accrued expenses and other liabilities		105,256
Dividends payable		23,158
Affiliated transfer agent fee payable		980
Total Liabilities		8,148,804
NET ASSETS	$	558,570,072
Net assets were comprised of:
Partners Equity	$	558,570,072
Net asset value and redemption price per share $558,570,072 / 55,854,182 outstanding shares of beneficial interest	$	10.00

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2018

NET INVESTMENT INCOME (LOSS)
Interest income	$	4,519,041
EXPENSES
Management fee		842,077
Shareholders’ reports		60,277
Custodian and accounting fees		39,131
Audit fee		12,212
Trustees’ fees		7,523
Transfer agent’s fees and expenses (including affiliated expense of $2,941)		5,297
Legal fees and expenses		5,202
Miscellaneous		8,716
Total expenses		980,435
NET INVESTMENT INCOME (LOSS)		3,538,606
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on investment transactions		5,690
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	3,544,296

STATEMENTS OF CHANGES IN NET ASSETS (unaudited)

	Six Months Ended June 30, 2018			Year Ended December 31, 2017
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	3,538,606		$	3,628,268
Net realized gain (loss) on investment transactions		5,690			8,014
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		3,544,296			3,636,282
DISTRIBUTIONS		(3,546,973	)		(3,635,165	)
SERIES SHARE TRANSACTIONS
Series shares sold [22,333,023 and 39,436,094 shares, respectively]		223,330,228			394,360,938
Series shares issued in reinvestment of distributions [352,381 and 363,517 shares, respectively]		3,523,816			3,635,165
Series shares repurchased [22,791,935 and 56,260,374 shares, respectively]		(227,919,348	)		(562,603,761	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(1,065,304	)		(164,607,658	)
TOTAL INCREASE (DECREASE)		(1,067,981	)		(164,606,541	)
NET ASSETS:
Beginning of period		559,638,053			724,244,594
End of period	$	558,570,072		$	559,638,053

SEE NOTES TO FINANCIAL STATEMENTS.

A120

STOCK INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

LONG-TERM INVESTMENTS — 97.6%
COMMON STOCKS — 97.4%	Shares		Value
Aerospace & Defense — 2.6%
Arconic, Inc.		71,992	$	1,224,584
Boeing Co. (The)		93,116		31,241,349
General Dynamics Corp.		47,000		8,761,270
Harris Corp.		20,100		2,905,254
Huntington Ingalls Industries, Inc.		7,800		1,690,962
L3 Technologies, Inc.		13,300		2,557,856
Lockheed Martin Corp.		42,098		12,437,012
Northrop Grumman Corp.		29,626		9,115,920
Raytheon Co.		49,118		9,488,615
Rockwell Collins, Inc.		28,000		3,771,040
Textron, Inc.		44,550		2,936,291
TransDigm Group, Inc.		8,400		2,899,176
United Technologies Corp.		126,260		15,786,288
				104,815,617
Air Freight & Logistics — 0.6%
C.H. Robinson Worldwide, Inc.(a)		24,100		2,016,206
Expeditors International of Washington, Inc.		30,100		2,200,310
FedEx Corp.		41,940		9,522,896
United Parcel Service, Inc. (Class B Stock)		116,700		12,397,041
				26,136,453
Airlines — 0.4%
Alaska Air Group, Inc.		21,200		1,280,268
American Airlines Group, Inc.		71,600		2,717,936
Delta Air Lines, Inc.		110,000		5,449,400
Southwest Airlines Co.		91,937		4,677,755
United Continental Holdings, Inc.*		41,500		2,893,795
				17,019,154
Auto Components — 0.2%
Aptiv PLC		45,400		4,160,002
BorgWarner, Inc.		33,400		1,441,544
Goodyear Tire & Rubber Co. (The)		39,900		929,271
				6,530,817
Automobiles — 0.4%
Ford Motor Co.		658,159		7,285,820
General Motors Co.		214,900		8,467,060
Harley-Davidson, Inc.		28,400		1,195,072
				16,947,952
Banks — 6.0%
Bank of America Corp.		1,608,682		45,348,746
BB&T Corp.		132,300		6,673,212
Citigroup, Inc.		436,022		29,178,592
Citizens Financial Group, Inc.		83,300		3,240,370
Comerica, Inc.		29,350		2,668,502
Fifth Third Bancorp		117,749		3,379,396
Huntington Bancshares, Inc.		183,075		2,702,187
JPMorgan Chase & Co.		580,695		60,508,419
KeyCorp		179,800		3,513,292
M&T Bank Corp.		25,700		4,372,855
People’s United Financial, Inc.		58,800		1,063,692

COMMON STOCKS (continued)	Shares		Value
Banks (continued)
PNC Financial Services Group, Inc. (The)		80,093	$	10,820,564
Regions Financial Corp.		188,312		3,348,187
SunTrust Banks, Inc.		79,700		5,261,794
SVB Financial Group*		8,700		2,512,212
U.S. Bancorp		266,281		13,319,376
Wells Fargo & Co.		743,976		41,246,030
Zions Bancorporation		33,400		1,759,846
				240,917,272
Beverages — 1.7%
Brown-Forman Corp. (Class B Stock)(a)		44,825		2,196,873
Coca-Cola Co. (The)		651,550		28,576,983
Constellation Brands, Inc. (Class A Stock)		28,900		6,325,343
Molson Coors Brewing Co. (Class B Stock)		31,500		2,143,260
Monster Beverage Corp.*		70,800		4,056,840
PepsiCo, Inc.		241,394		26,280,565
				69,579,864
Biotechnology — 2.5%
AbbVie, Inc.		260,500		24,135,325
Alexion Pharmaceuticals, Inc.*		37,700		4,680,455
Amgen, Inc.		113,484		20,948,011
Biogen, Inc.*		35,875		10,412,360
Celgene Corp.*		123,100		9,776,602
Gilead Sciences, Inc.		222,600		15,768,984
Incyte Corp.*		29,800		1,996,600
Regeneron Pharmaceuticals, Inc.*		13,130		4,529,719
Vertex Pharmaceuticals, Inc.*		43,300		7,359,268
				99,607,324
Building Products — 0.3%
A.O. Smith Corp.		24,800		1,466,920
Allegion PLC		16,533		1,278,993
Fortune Brands Home & Security, Inc.		25,900		1,390,571
Johnson Controls International PLC		157,415		5,265,532
Masco Corp.		52,530		1,965,672
				11,367,688
Capital Markets — 3.0%
Affiliated Managers Group, Inc.		9,530		1,416,825
Ameriprise Financial, Inc.		24,950		3,490,006
Bank of New York Mellon Corp. (The)		171,249		9,235,459
BlackRock, Inc.		21,080		10,519,763
Cboe Global Markets, Inc.		19,300		2,008,551
Charles Schwab Corp. (The)		203,600		10,403,960
CME Group, Inc.		57,760		9,468,019
E*TRADE Financial Corp.*		45,510		2,783,392
Franklin Resources, Inc.		54,900		1,759,545
Goldman Sachs Group, Inc. (The)		59,920		13,216,554
Intercontinental Exchange, Inc.		98,890		7,273,360
Invesco Ltd.		68,000		1,806,080
Moody’s Corp.		28,420		4,847,315
Morgan Stanley		234,610		11,120,514
MSCI, Inc.		14,600		2,415,278

SEE NOTES TO FINANCIAL STATEMENTS.

A121

STOCK INDEX PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Capital Markets (continued)
Nasdaq, Inc.		20,100	$	1,834,527
Northern Trust Corp.		36,200		3,724,618
Raymond James Financial, Inc.		21,900		1,956,765
S&P Global, Inc.		42,680		8,702,025
State Street Corp.		62,775		5,843,725
T. Rowe Price Group, Inc.		41,700		4,840,953
				118,667,234
Chemicals — 1.8%
Air Products & Chemicals, Inc.		37,200		5,793,156
Albemarle Corp.		19,200		1,811,136
CF Industries Holdings, Inc.		39,800		1,767,120
DowDuPont, Inc.		396,268		26,121,987
Eastman Chemical Co.		24,400		2,439,024
Ecolab, Inc.		44,300		6,216,619
FMC Corp.		23,150		2,065,211
International Flavors & Fragrances, Inc.		13,540		1,678,418
LyondellBasell Industries NV (Class A Stock)		55,100		6,052,735
Mosaic Co. (The)		59,100		1,657,755
PPG Industries, Inc.		43,500		4,512,255
Praxair, Inc.		48,800		7,717,720
Sherwin-Williams Co. (The)		14,000		5,705,980
				73,539,116
Commercial Services & Supplies — 0.3%
Cintas Corp.		14,800		2,739,036
Republic Services, Inc.		38,035		2,600,073
Stericycle, Inc.*		14,500		946,705
Waste Management, Inc.		68,030		5,533,560
				11,819,374
Communications Equipment — 1.0%
Cisco Systems, Inc.		805,875		34,676,801
F5 Networks, Inc.*		10,600		1,827,970
Juniper Networks, Inc.		57,700		1,582,134
Motorola Solutions, Inc.		27,827		3,238,228
				41,325,133
Construction & Engineering — 0.1%
Fluor Corp.		23,700		1,156,086
Jacobs Engineering Group, Inc.		20,900		1,326,941
Quanta Services, Inc.*		26,200		875,080
				3,358,107
Construction Materials — 0.1%
Martin Marietta Materials, Inc.		10,800		2,411,964
Vulcan Materials Co.		22,700		2,929,662
				5,341,626
Consumer Finance — 0.7%
American Express Co.		122,200		11,975,600
Capital One Financial Corp.		82,469		7,578,901
Discover Financial Services		60,205		4,239,034
Synchrony Financial		121,330		4,049,996
				27,843,531

COMMON STOCKS (continued)	Shares		Value
Containers & Packaging — 0.3%
Avery Dennison Corp.		14,900	$	1,521,290
Ball Corp.		59,100		2,101,005
International Paper Co.		70,167		3,654,298
Packaging Corp. of America		16,100		1,799,819
Sealed Air Corp.		28,620		1,214,919
WestRock Co.		43,561		2,483,848
				12,775,179
Distributors — 0.1%
Genuine Parts Co.		25,325		2,324,582
LKQ Corp.*		53,200		1,697,080
				4,021,662
Diversified Consumer Services — 0.0%
H&R Block, Inc.(a)		35,900		817,802
Diversified Financial Services — 1.5%
Berkshire Hathaway, Inc. (Class B Stock)*		326,460		60,933,759
Jefferies Financial Group, Inc.		51,700		1,175,658
				62,109,417
Diversified Telecommunication Services — 1.9%
AT&T, Inc.		1,230,271		39,504,003
CenturyLink, Inc.		163,843		3,054,033
Verizon Communications, Inc.		700,538		35,244,067
				77,802,103
Electric Utilities — 1.8%
Alliant Energy Corp.		39,700		1,680,104
American Electric Power Co., Inc.		84,040		5,819,770
Duke Energy Corp.		119,348		9,438,040
Edison International		55,400		3,505,158
Entergy Corp.		30,900		2,496,411
Evergy, Inc.		41,000		2,302,150
Eversource Energy		53,700		3,147,357
Exelon Corp.		164,473		7,006,550
FirstEnergy Corp.		75,380		2,706,896
NextEra Energy, Inc.		79,875		13,341,521
PG&E Corp.		87,500		3,724,000
Pinnacle West Capital Corp.		19,000		1,530,640
PPL Corp.		116,100		3,314,655
Southern Co. (The)		171,700		7,951,427
Xcel Energy, Inc.		86,295		3,941,955
				71,906,634
Electrical Equipment — 0.5%
AMETEK, Inc.		39,500		2,850,320
Eaton Corp. PLC		74,961		5,602,585
Emerson Electric Co.		108,100		7,474,034
Rockwell Automation, Inc.		21,920		3,643,762
				19,570,701
Electronic Equipment, Instruments & Components — 0.4%
Amphenol Corp. (Class A Stock)		52,100		4,540,515
Corning, Inc.		144,100		3,964,191
FLIR Systems, Inc.		24,100		1,252,477

SEE NOTES TO FINANCIAL STATEMENTS.

A122

STOCK INDEX PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Electronic Equipment, Instruments & Components (continued)
IPG Photonics Corp.*		6,200	$	1,367,906
TE Connectivity Ltd.		59,900		5,394,594
				16,519,683
Energy Equipment & Services — 0.8%
Baker Hughes a GE Co.		72,048		2,379,745
Halliburton Co.		148,500		6,691,410
Helmerich & Payne, Inc.(a)		18,900		1,205,064
National Oilwell Varco, Inc.(a)		64,400		2,794,960
Schlumberger Ltd.		234,898		15,745,213
TechnipFMC PLC (United Kingdom)		74,200		2,355,108
				31,171,500
Equity Real Estate Investment Trusts (REITs) — 2.7%
Alexandria Real Estate Equities, Inc.(a)		17,400		2,195,358
American Tower Corp.		74,000		10,668,580
Apartment Investment & Management Co. (Class A Stock)		27,374		1,157,920
AvalonBay Communities, Inc.		23,418		4,025,320
Boston Properties, Inc.		26,500		3,323,630
Crown Castle International Corp.		69,300		7,471,926
Digital Realty Trust, Inc.(a)		34,900		3,894,142
Duke Realty Corp.		60,500		1,756,315
Equinix, Inc.		13,355		5,741,181
Equity Residential		62,500		3,980,625
Essex Property Trust, Inc.		11,370		2,718,226
Extra Space Storage, Inc.		21,400		2,135,934
Federal Realty Investment Trust		12,400		1,569,220
GGP, Inc.		106,000		2,165,580
HCP, Inc.		79,600		2,055,272
Host Hotels & Resorts, Inc.		124,626		2,625,870
Iron Mountain, Inc.(a)		47,830		1,674,528
Kimco Realty Corp.(a)		71,800		1,219,882
Macerich Co. (The)(a)		18,400		1,045,672
Mid-America Apartment Communities, Inc.		19,500		1,963,065
Prologis, Inc.		90,328		5,933,646
Public Storage(a)		25,650		5,818,959
Realty Income Corp.		47,900		2,576,541
Regency Centers Corp.		25,300		1,570,624
SBA Communications Corp.*(a)		19,830		3,274,330
Simon Property Group, Inc.		52,861		8,996,414
SL Green Realty Corp.(a)		15,400		1,548,162
UDR, Inc.		45,600		1,711,824
Ventas, Inc.		60,704		3,457,093
Vornado Realty Trust(a)		29,457		2,177,461
Welltower, Inc.		63,000		3,949,470
Weyerhaeuser Co.		128,930		4,700,788
				109,103,558
Food & Staples Retailing — 1.4%
Costco Wholesale Corp.		74,522		15,573,608
Kroger Co. (The)		137,400		3,909,030
Sysco Corp.		81,700		5,579,293
Walgreens Boots Alliance, Inc.		144,600		8,678,169
Walmart, Inc.		246,400		21,104,160
				54,844,260

COMMON STOCKS (continued)	Shares		Value
Food Products — 1.1%
Archer-Daniels-Midland Co.		95,638	$	4,383,090
Campbell Soup Co.(a)		33,200		1,345,928
Conagra Brands, Inc.		68,200		2,436,786
General Mills, Inc.		96,800		4,284,368
Hershey Co. (The)		23,900		2,224,134
Hormel Foods Corp.(a)		46,300		1,722,823
J.M. Smucker Co. (The)(a)		19,600		2,106,608
Kellogg Co.		42,800		2,990,436
Kraft Heinz Co. (The)		101,237		6,359,708
McCormick & Co., Inc.(a)		20,400		2,368,236
Mondelez International, Inc. (Class A Stock)		253,111		10,377,551
Tyson Foods, Inc. (Class A Stock)		50,500		3,476,925
				44,076,593
Health Care Equipment & Supplies — 3.0%
Abbott Laboratories		297,425		18,139,951
ABIOMED, Inc.*		6,500		2,658,825
Align Technology, Inc.*		12,300		4,208,322
Baxter International, Inc.		84,600		6,246,864
Becton, Dickinson & Co.		45,349		10,863,806
Boston Scientific Corp.*		233,899		7,648,497
Cooper Cos., Inc. (The)		8,430		1,984,844
Danaher Corp.		104,100		10,272,588
DENTSPLY SIRONA, Inc.		39,300		1,720,161
Edwards Lifesciences Corp.*		35,750		5,204,127
Hologic, Inc.*		47,400		1,884,150
IDEXX Laboratories, Inc.*		15,000		3,269,100
Intuitive Surgical, Inc.*		19,150		9,162,892
Medtronic PLC		230,028		19,692,697
ResMed, Inc.(a)		24,200		2,506,636
Stryker Corp.		54,700		9,236,642
Varian Medical Systems, Inc.*		15,800		1,796,776
Zimmer Biomet Holdings, Inc.		34,786		3,876,552
				120,373,430
Health Care Providers & Services — 3.1%
Aetna, Inc.		55,457		10,176,360
AmerisourceBergen Corp.		27,800		2,370,506
Anthem, Inc.		43,400		10,330,502
Cardinal Health, Inc.		53,075		2,591,652
Centene Corp.*		33,600		4,139,856
Cigna Corp.		41,180		6,998,541
CVS Health Corp.		172,038		11,070,645
DaVita, Inc.*		24,900		1,729,056
Envision Healthcare Corp.*		20,500		902,205
Express Scripts Holding Co.*		96,026		7,414,167
HCA Healthcare, Inc.		47,900		4,914,540
Henry Schein, Inc.*		26,500		1,924,960
Humana, Inc.		23,470		6,985,376
Laboratory Corp. of America Holdings*		17,400		3,123,822
McKesson Corp.		35,207		4,696,614
Quest Diagnostics, Inc.		23,300		2,561,602
UnitedHealth Group, Inc.		164,300		40,309,362
Universal Health Services, Inc. (Class B Stock)		15,100		1,682,744
				123,922,510

SEE NOTES TO FINANCIAL STATEMENTS.

A123

STOCK INDEX PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Health Care Technology — 0.1%
Cerner Corp.*		53,700	$	3,210,723
Hotels, Restaurants & Leisure — 1.6%
Carnival Corp.		68,900		3,948,659
Chipotle Mexican Grill, Inc.*		4,320		1,863,518
Darden Restaurants, Inc.		21,050		2,253,613
Hilton Worldwide Holdings, Inc.		46,600		3,688,856
Marriott International, Inc. (Class A Stock)		51,123		6,472,172
McDonald’s Corp.		134,860		21,131,214
MGM Resorts International		86,500		2,511,095
Norwegian Cruise Line Holdings Ltd.*		34,800		1,644,300
Royal Caribbean Cruises Ltd.		29,200		3,025,120
Starbucks Corp.		234,600		11,460,210
Wynn Resorts Ltd.		13,800		2,309,292
Yum! Brands, Inc.		56,800		4,442,896
				64,750,945
Household Durables — 0.3%
D.R. Horton, Inc.		58,300		2,390,300
Garmin Ltd.		18,800		1,146,800
Leggett & Platt, Inc.(a)		22,700		1,013,328
Lennar Corp. (Class A Stock)		46,400		2,436,000
Mohawk Industries, Inc.*		10,900		2,335,543
Newell Brands, Inc.		80,849		2,085,096
PulteGroup, Inc.		45,185		1,299,069
Whirlpool Corp.(a)		10,967		1,603,704
				14,309,840
Household Products — 1.3%
Church & Dwight Co., Inc.		41,500		2,206,140
Clorox Co. (The)		22,300		3,016,075
Colgate-Palmolive Co.		148,100		9,598,361
Kimberly-Clark Corp.		59,688		6,287,534
Procter & Gamble Co. (The)		427,076		33,337,552
				54,445,662
Independent Power & Renewable Electricity Producers — 0.1%
AES Corp.		110,400		1,480,464
NRG Energy, Inc.		50,700		1,556,490
				3,036,954
Industrial Conglomerates — 1.6%
3M Co.		101,070		19,882,490
General Electric Co.		1,473,347		20,052,253
Honeywell International, Inc.		127,650		18,387,983
Roper Technologies, Inc.		17,500		4,828,425
				63,151,151
Insurance — 2.2%
Aflac, Inc.		131,900		5,674,338
Allstate Corp. (The)		60,288		5,502,486
American International Group, Inc.		152,329		8,076,484
Aon PLC		42,025		5,764,569
Arthur J. Gallagher & Co.		30,700		2,004,096
Assurant, Inc.		9,100		941,759
Brighthouse Financial, Inc.*		16,772		672,054
Chubb Ltd.		78,830		10,012,987
Cincinnati Financial Corp.		25,528		1,706,802

COMMON STOCKS (continued)	Shares		Value
Insurance (continued)
Everest Re Group Ltd.		7,000	$	1,613,360
Hartford Financial Services Group, Inc. (The)		61,200		3,129,156
Lincoln National Corp.		36,863		2,294,722
Loews Corp.		46,026		2,222,135
Marsh & McLennan Cos., Inc.		86,300		7,074,011
MetLife, Inc.		176,500		7,695,400
Principal Financial Group, Inc.		45,700		2,419,815
Progressive Corp. (The)		98,700		5,838,105
Torchmark Corp.		18,375		1,495,909
Travelers Cos., Inc. (The)		46,398		5,676,331
Unum Group		37,456		1,385,497
Willis Towers Watson PLC		22,500		3,411,000
XL Group Ltd. (Bermuda)		44,200		2,472,990
				87,084,006
Internet & Direct Marketing Retail — 4.1%
Amazon.com, Inc.*		68,230		115,977,354
Booking Holdings, Inc.*		8,350		16,926,201
Expedia Group, Inc.(a)		20,800		2,499,952
Netflix, Inc.*		73,690		28,844,477
TripAdvisor, Inc.*(a)		18,200		1,013,922
				165,261,906
Internet Software & Services — 5.2%
Akamai Technologies, Inc.*		29,400		2,152,962
Alphabet, Inc. (Class A Stock)*		50,719		57,271,388
Alphabet, Inc. (Class C Stock)*		51,720		57,701,418
eBay, Inc.*		160,200		5,808,852
Facebook, Inc. (Class A Stock)*		406,920		79,072,694
Twitter, Inc.*		105,000		4,585,350
VeriSign, Inc.*		15,400		2,116,268
				208,708,932
IT Services — 4.4%
Accenture PLC (Class A Stock)		106,700		17,455,053
Alliance Data Systems Corp.		8,310		1,937,892
Automatic Data Processing, Inc.		75,300		10,100,742
Broadridge Financial Solutions, Inc.		17,500		2,014,250
Cognizant Technology Solutions Corp. (Class A Stock)		99,800		7,883,202
DXC Technology Co.		48,350		3,897,494
Fidelity National Information Services, Inc.		56,500		5,990,695
Fiserv, Inc.*		70,400		5,215,936
FleetCor Technologies, Inc.*		13,600		2,864,840
Gartner, Inc.*		15,300		2,033,370
Global Payments, Inc.		27,100		3,021,379
International Business Machines Corp.		145,425		20,315,872
Mastercard, Inc. (Class A Stock)		156,400		30,735,728
Paychex, Inc.		53,950		3,687,483
PayPal Holdings, Inc.*		190,000		15,821,300
Total System Services, Inc.		27,993		2,365,968
Visa, Inc. (Class A Stock)(a)		305,400		40,450,230
Western Union Co. (The)		77,404		1,573,623
				177,365,057

SEE NOTES TO FINANCIAL STATEMENTS.

A124

STOCK INDEX PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Leisure Products — 0.1%
Hasbro, Inc.		19,450	$	1,795,430
Mattel, Inc.(a)		57,281		940,554
				2,735,984
Life Sciences Tools & Services — 0.8%
Agilent Technologies, Inc.		54,782		3,387,719
Illumina, Inc.*		25,000		6,982,250
IQVIA Holdings, Inc.*		24,700		2,465,554
Mettler-Toledo International, Inc.*		4,320		2,499,681
PerkinElmer, Inc.		18,600		1,362,078
Thermo Fisher Scientific, Inc.		68,400		14,168,376
Waters Corp.*		13,400		2,594,106
				33,459,764
Machinery — 1.5%
Caterpillar, Inc.		101,500		13,770,505
Cummins, Inc.		26,700		3,551,100
Deere & Co.		54,750		7,654,050
Dover Corp.		26,300		1,925,160
Flowserve Corp.(a)		22,500		909,000
Fortive Corp.		52,100		4,017,431
Illinois Tool Works, Inc.		52,175		7,228,324
Ingersoll-Rand PLC		42,800		3,840,444
PACCAR, Inc.		60,128		3,725,531
Parker-Hannifin Corp.		22,787		3,551,354
Pentair PLC (United Kingdom)		28,707		1,207,991
Snap-on, Inc.(a)		9,900		1,591,128
Stanley Black & Decker, Inc.		25,935		3,444,427
Xylem, Inc.		30,400		2,048,352
				58,464,797
Media — 2.2%
CBS Corp. (Class B Stock)		58,968		3,315,181
Charter Communications, Inc. (Class A Stock)*(a)		31,680		9,288,893
Comcast Corp. (Class A Stock)		786,592		25,808,084
Discovery, Inc. (Class A Stock)*(a)		26,300		723,250
Discovery, Inc. (Class C Stock)*		52,900		1,348,950
DISH Network Corp. (Class A Stock)*		38,600		1,297,346
Interpublic Group of Cos., Inc. (The)		64,462		1,510,989
News Corp. (Class A Stock)		63,625		986,187
News Corp. (Class B Stock)		19,300		305,905
Omnicom Group, Inc.(a)		39,500		3,012,665
Twenty-First Century Fox, Inc. (Class A Stock)		178,700		8,879,603
Twenty-First Century Fox, Inc. (Class B Stock)		73,800		3,636,126
Viacom, Inc. (Class B Stock)		58,743		1,771,689
Walt Disney Co. (The)		254,576		26,682,111
				88,566,979
Metals & Mining — 0.3%
Freeport-McMoRan, Inc.		228,612		3,945,843
Newmont Mining Corp.		90,803		3,424,181
Nucor Corp.		54,400		3,400,000
				10,770,024

COMMON STOCKS (continued)	Shares		Value
Multiline Retail — 0.5%
Dollar General Corp.		43,900	$	4,328,540
Dollar Tree, Inc.*		40,647		3,454,995
Kohl’s Corp.		28,500		2,077,650
Macy’s, Inc.		51,620		1,932,137
Nordstrom, Inc.(a)		20,000		1,035,600
Target Corp.		90,768		6,909,260
				19,738,182
Multi-Utilities — 0.9%
Ameren Corp.		41,500		2,525,275
CenterPoint Energy, Inc.		72,810		2,017,565
CMS Energy Corp.		47,800		2,259,984
Consolidated Edison, Inc.		52,900		4,125,142
Dominion Energy, Inc.		109,884		7,491,891
DTE Energy Co.		30,600		3,171,078
NiSource, Inc.		57,700		1,516,356
Public Service Enterprise Group, Inc.		85,900		4,650,626
SCANA Corp.		24,300		936,036
Sempra Energy		42,754		4,964,167
WEC Energy Group, Inc.		53,876		3,483,084
				37,141,204
Oil, Gas & Consumable Fuels — 5.4%
Anadarko Petroleum Corp.		87,426		6,403,954
Andeavor		24,200		3,174,556
Apache Corp.		64,550		3,017,712
Cabot Oil & Gas Corp.		78,000		1,856,400
Chevron Corp.		324,362		41,009,088
Cimarex Energy Co.		16,600		1,688,884
Concho Resources, Inc.*(a)		25,600		3,541,760
ConocoPhillips		199,929		13,919,057
Devon Energy Corp.		89,700		3,943,212
EOG Resources, Inc.		98,200		12,219,026
EQT Corp.		41,600		2,295,488
Exxon Mobil Corp.		718,304		59,425,290
Hess Corp.		45,275		3,028,445
HollyFrontier Corp.		25,200		1,724,436
Kinder Morgan, Inc.		320,643		5,665,762
Marathon Oil Corp.		142,994		2,982,855
Marathon Petroleum Corp.		80,794		5,668,507
Newfield Exploration Co.*		34,400		1,040,600
Noble Energy, Inc.		82,700		2,917,656
Occidental Petroleum Corp.		130,200		10,895,136
ONEOK, Inc.		69,940		4,883,910
Phillips 66		71,464		8,026,122
Pioneer Natural Resources Co.		29,000		5,487,960
Valero Energy Corp.		73,800		8,179,254
Williams Cos., Inc. (The)		140,400		3,806,244
				216,801,314
Personal Products — 0.2%
Coty, Inc. (Class A Stock)(a)		77,800		1,096,980
Estee Lauder Cos., Inc. (The) (Class A Stock)		38,100		5,436,489
				6,533,469
Pharmaceuticals — 4.3%
Allergan PLC		56,956		9,495,704

SEE NOTES TO FINANCIAL STATEMENTS.

A125

STOCK INDEX PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Pharmaceuticals (continued)
Bristol-Myers Squibb Co.		276,840	$	15,320,326
Eli Lilly & Co.		163,500		13,951,455
Johnson & Johnson		455,196		55,233,483
Merck & Co., Inc.		457,603		27,776,502
Mylan NV*		87,600		3,165,864
Nektar Therapeutics*(a)		25,700		1,254,931
Perrigo Co. PLC		22,700		1,655,057
Pfizer, Inc.		999,623		36,266,322
Zoetis, Inc.		82,900		7,062,251
				171,181,895
Professional Services — 0.3%
Equifax, Inc.		20,500		2,564,755
IHS Markit Ltd.*		61,700		3,183,103
Nielsen Holdings PLC(a)		57,100		1,766,103
Robert Half International, Inc.		21,600		1,406,160
Verisk Analytics, Inc.*		26,400		2,841,696
				11,761,817
Real Estate Management & Development — 0.1%
CBRE Group, Inc. (Class A Stock)*		51,100		2,439,514
Road & Rail — 1.0%
CSX Corp.		151,072		9,635,372
J.B. Hunt Transport Services, Inc.		14,600		1,774,630
Kansas City Southern		17,500		1,854,300
Norfolk Southern Corp.		48,100		7,256,847
Union Pacific Corp.		133,000		18,843,440
				39,364,589
Semiconductors & Semiconductor Equipment — 3.9%
Advanced Micro Devices, Inc.*(a)		139,200		2,086,608
Analog Devices, Inc.		62,823		6,025,982
Applied Materials, Inc.		172,500		7,967,775
Broadcom, Inc.		69,360		16,829,510
Intel Corp.		794,200		39,479,682
KLA-Tencor Corp.		26,900		2,758,057
Lam Research Corp.(a)		27,600		4,770,660
Microchip Technology, Inc.(a)		40,000		3,638,000
Micron Technology, Inc.*		196,000		10,278,240
NVIDIA Corp.		103,050		24,412,545
Qorvo, Inc.*		21,886		1,754,601
QUALCOMM, Inc.		251,150		14,094,538
Skyworks Solutions, Inc.		31,000		2,996,150
Texas Instruments, Inc.		167,000		18,411,750
Xilinx, Inc.		43,100		2,812,706
				158,316,804
Software — 5.9%
Activision Blizzard, Inc.		129,200		9,860,544
Adobe Systems, Inc.*		83,475		20,352,040
ANSYS, Inc.*		14,500		2,525,610
Autodesk, Inc.*		37,370		4,898,833
CA, Inc.		52,473		1,870,662
Cadence Design Systems, Inc.*		48,000		2,078,880
Citrix Systems, Inc.*		22,100		2,316,964
Electronic Arts, Inc.*		52,200		7,361,244
Intuit, Inc.		41,300		8,437,797
Microsoft Corp.		1,304,800		128,666,328

COMMON STOCKS (continued)	Shares		Value
Software (continued)
Oracle Corp.		512,795	$	22,593,748
Red Hat, Inc.*		30,300		4,071,411
salesforce.com, Inc.*		117,800		16,067,920
Symantec Corp.		105,211		2,172,607
Synopsys, Inc.*		25,600		2,190,592
Take-Two Interactive Software, Inc.*		18,300		2,165,988
				237,631,168
Specialty Retail — 2.3%
Advance Auto Parts, Inc.		12,560		1,704,392
AutoZone, Inc.*		4,710		3,160,080
Best Buy Co., Inc.		43,025		3,208,805
CarMax, Inc.*(a)		30,800		2,244,396
Foot Locker, Inc.		20,900		1,100,385
Gap, Inc. (The)		37,187		1,204,487
Home Depot, Inc. (The)		196,269		38,292,082
L Brands, Inc.(a)		42,296		1,559,876
Lowe’s Cos., Inc.		139,625		13,343,961
O’Reilly Automotive, Inc.*		14,300		3,912,051
Ross Stores, Inc.		65,000		5,508,750
Tiffany & Co.		17,300		2,276,680
TJX Cos., Inc. (The)		107,600		10,241,368
Tractor Supply Co.		21,200		1,621,588
Ulta Beauty, Inc.*		10,000		2,334,600
				91,713,501
Technology Hardware, Storage & Peripherals — 4.4%
Apple, Inc.		836,315		154,810,270
Hewlett Packard Enterprise Co.		265,366		3,876,997
HP, Inc.		277,866		6,304,779
NetApp, Inc.		45,600		3,580,968
Seagate Technology PLC		48,600		2,744,442
Western Digital Corp.		50,868		3,937,692
Xerox Corp.		36,002		864,048
				176,119,196
Textiles, Apparel & Luxury Goods — 0.8%
Hanesbrands, Inc.(a)		59,300		1,305,786
Michael Kors Holdings Ltd.*		26,400		1,758,240
NIKE, Inc. (Class B Stock)		218,900		17,441,952
PVH Corp.		13,300		1,991,276
Ralph Lauren Corp.		9,500		1,194,340
Tapestry, Inc.		48,800		2,279,448
Under Armour, Inc. (Class A Stock)*(a)		31,200		701,376
Under Armour, Inc. (Class C Stock)*(a)		30,603		645,111
VF Corp.		55,744		4,544,251
				31,861,780
Tobacco — 1.0%
Altria Group, Inc.		322,900		18,337,491
Philip Morris International, Inc.		263,600		21,283,064
				39,620,555
Trading Companies & Distributors — 0.2%
Fastenal Co.(a)		48,750		2,346,338
United Rentals, Inc.*		14,500		2,140,490
W.W. Grainger, Inc.		8,720		2,689,248
				7,176,076

SEE NOTES TO FINANCIAL STATEMENTS.

A126

STOCK INDEX PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Water Utilities — 0.1%
American Water Works Co., Inc.		30,800	$	2,629,704
TOTAL COMMON STOCKS (cost $1,195,150,277)				3,909,184,786
EXCHANGE TRADED FUND — 0.2%
iShares Core S&P 500 ETF(a) (cost $8,739,115)		34,300		9,365,615
TOTAL LONG-TERM INVESTMENTS (cost $1,203,889,392)				3,918,550,401
SHORT-TERM INVESTMENTS — 5.5%
AFFILIATED MUTUAL FUNDS — 5.4%
PGIM Core Ultra Short Bond Fund(w)		84,804,076		84,804,076
PGIM Institutional Money Market Fund (cost $129,499,185; includes $129,253,107 of cash collateral for securities on loan)(b)(w)		129,505,212		129,518,162
TOTAL AFFILIATED MUTUAL FUNDS (cost $214,303,261)				214,322,238

Interest Rate	Maturity Date		Principal Amount (000)#
U.S. TREASURY OBLIGATION(k)(n) — 0.1%
U.S. Treasury Bills
1.890%		09/20/18		4,200		4,182,500
(cost $4,182,455)
TOTAL SHORT-TERM INVESTMENTS (cost $218,485,716)						218,504,738
TOTAL INVESTMENTS — 103.1% (cost $1,422,375,108)						4,137,055,139
LIABILITIES IN EXCESS OF OTHER ASSETS(z) — (3.1)%						(123,460,762	)
NET ASSETS — 100.0%					$	4,013,594,377

See the Glossary for abbreviations used in the semiannual report.

* Non-income producing security.

# Principal amount is shown in U.S. dollars unless otherwise stated.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $126,097,682; cash collateral of $129,253,107 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b) Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

(k) Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives.

(n) Rate shown reflects yield to maturity at purchase date.

(w) PGIM Investments LLC, the manager of the Portfolio, also serves as manager of PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

(z) Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end:

Futures contracts outstanding at June 30, 2018:

Number of Contracts	Type		Expiration Date		Current Notional Amount		Value / Unrealized Appreciation (Depreciation)
Long Positions:
160		S&P 500 E-Mini Index		Sep. 2018	$	21,772,800	$	(513,900	)
102		S&P 500 Index		Sep. 2018		69,400,800		(1,579,507	)
							$	(2,093,407	)

A security with a market value of $4,182,500 has been segregated with UBS AG to cover requirements for open future contracts at June 30, 2018.

Fair Value Measurements:

Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.

Level 1— unadjusted quoted prices generally in active markets for identical securities.

Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3— unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

SEE NOTES TO FINANCIAL STATEMENTS.

A127

STOCK INDEX PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

The following is a summary of the inputs used as of June 30, 2018 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	104,815,617	$	—	$	—
Air Freight & Logistics		26,136,453		—		—
Airlines		17,019,154		—		—
Auto Components		6,530,817		—		—
Automobiles		16,947,952		—		—
Banks		240,917,272		—		—
Beverages		69,579,864		—		—
Biotechnology		99,607,324		—		—
Building Products		11,367,688		—		—
Capital Markets		118,667,234		—		—
Chemicals		73,539,116		—		—
Commercial Services & Supplies		11,819,374		—		—
Communications Equipment		41,325,133		—		—
Construction & Engineering		3,358,107		—		—
Construction Materials		5,341,626		—		—
Consumer Finance		27,843,531		—		—
Containers & Packaging		12,775,179		—		—
Distributors		4,021,662		—		—
Diversified Consumer Services		817,802		—		—
Diversified Financial Services		62,109,417		—		—
Diversified Telecommunication Services		77,802,103		—		—
Electric Utilities		71,906,634		—		—
Electrical Equipment		19,570,701		—		—
Electronic Equipment, Instruments & Components		16,519,683		—		—
Energy Equipment & Services		31,171,500		—		—
Equity Real Estate Investment Trusts (REITs)		109,103,558		—		—
Food & Staples Retailing		54,844,260		—		—
Food Products		44,076,593		—		—
Health Care Equipment & Supplies		120,373,430		—		—
Health Care Providers & Services		123,922,510		—		—
Health Care Technology		3,210,723		—		—
Hotels, Restaurants & Leisure		64,750,945		—		—
Household Durables		14,309,840		—		—
Household Products		54,445,662		—		—
Independent Power & Renewable Electricity Producers		3,036,954		—		—
Industrial Conglomerates		63,151,151		—		—
Insurance		87,084,006		—		—
Internet & Direct Marketing Retail		165,261,906		—		—
Internet Software & Services		208,708,932		—		—
IT Services		177,365,057		—		—
Leisure Products		2,735,984		—		—
Life Sciences Tools & Services		33,459,764		—		—
Machinery		58,464,797		—		—
Media		88,566,979		—		—
Metals & Mining		10,770,024		—		—
Multiline Retail		19,738,182		—		—
Multi-Utilities		37,141,204		—		—
Oil, Gas & Consumable Fuels		216,801,314		—		—
Personal Products		6,533,469		—		—
Pharmaceuticals		171,181,895		—		—
Professional Services		11,761,817		—		—
Real Estate Management & Development		2,439,514		—		—
Road & Rail		39,364,589		—		—
Semiconductors & Semiconductor Equipment		158,316,804		—		—
Software		237,631,168		—		—
Specialty Retail		91,713,501		—		—
Technology Hardware, Storage & Peripherals		176,119,196		—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A128

STOCK INDEX PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

	Level 1			Level 2		Level 3
Investments in Securities (continued)
Common Stocks (continued)
Textiles, Apparel & Luxury Goods	$	31,861,780		$	—	$	—
Tobacco		39,620,555			—		—
Trading Companies & Distributors		7,176,076			—		—
Water Utilities		2,629,704			—		—
Exchange Traded Fund		9,365,615			—		—
Affiliated Mutual Funds		214,322,238			—		—
U.S. Treasury Obligation		—			4,182,500		—
Other Financial Instruments*
Futures Contracts		(2,093,407	)		—		—
Total	$	4,130,779,232		$	4,182,500	$	—

* Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value.

During the period, there were no transfers between Level 1, Level 2 and Level 3 to report.

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2018 were as follows:

Banks	6.0	%
Software	5.9
Oil, Gas & Consumable Fuels	5.4
Affiliated Mutual Funds (3.2% represents investments purchased with collateral from securities on loan)	5.4
Internet Software & Services	5.2
IT Services	4.4
Technology Hardware, Storage & Peripherals	4.4
Pharmaceuticals	4.3
Internet & Direct Marketing Retail	4.1
Semiconductors & Semiconductor Equipment	3.9
Health Care Providers & Services	3.1
Health Care Equipment & Supplies	3.0
Capital Markets	3.0
Equity Real Estate Investment Trusts (REITs)	2.7
Aerospace & Defense	2.6
Biotechnology	2.5
Specialty Retail	2.3
Media	2.2
Insurance	2.2
Diversified Telecommunication Services	1.9
Chemicals	1.8
Electric Utilities	1.8
Beverages	1.7
Hotels, Restaurants & Leisure	1.6
Industrial Conglomerates	1.6
Diversified Financial Services	1.5
Machinery	1.5
Food & Staples Retailing	1.4
Household Products	1.3
Food Products	1.1
Communications Equipment	1.0
Tobacco	1.0
Road & Rail	1.0
Multi-Utilities	0.9
Life Sciences Tools & Services	0.8

Textiles, Apparel & Luxury Goods	0.8	%
Energy Equipment & Services	0.8
Consumer Finance	0.7
Air Freight & Logistics	0.6
Multiline Retail	0.5
Electrical Equipment	0.5
Airlines	0.4
Automobiles	0.4
Electronic Equipment, Instruments & Components	0.4
Household Durables	0.3
Containers & Packaging	0.3
Commercial Services & Supplies	0.3
Professional Services	0.3
Building Products	0.3
Metals & Mining	0.3
Exchange Traded Fund	0.2
Trading Companies & Distributors	0.2
Personal Products	0.2
Auto Components	0.2
Construction Materials	0.1
U.S. Treasury Obligation	0.1
Distributors	0.1
Construction & Engineering	0.1
Health Care Technology	0.1
Independent Power & Renewable Electricity Producers	0.1
Leisure Products	0.1
Water Utilities	0.1
Real Estate Management & Development	0.1
Diversified Consumer Services	0.0	*
	103.1
Liabilities in excess of other assets	(3.1	)
	100.0	%

* Less than +/- 0.05%

SEE NOTES TO FINANCIAL STATEMENTS.

A129

STOCK INDEX PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2018 (unaudited)

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity contracts risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of June 30, 2018 as presented in the Statement of Assets and Liabilities:

Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives			Liability Derivatives
	Balance Sheet Location	Fair Value		Balance Sheet Location	Fair Value
Equity contracts	—	$	—	Due from/to broker — variation margin futures	$	2,093,407	*

* Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2018 are as follows:

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures
Equity contracts	$	4,011,610
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures
Equity contracts	$	(2,508,235	)

For the six months ended June 30, 2018, the Portfolio’s average volume of derivative activities is as follows:

Futures
Contracts-
Long
Positions(1)

$82,284,550

(1) Notional Amount in USD.

Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:

The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:

Description	Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(1)			Net Amount
Securities on Loan	$	126,097,682	$	(126,097,682	)	$	—

(1) Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A130

STOCK INDEX PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

(unaudited)

as of June 30, 2018

ASSETS
Investments at value, including securities on loan of $126,097,682:
Unaffiliated investments (cost $1,208,071,847)	$	3,922,732,901
Affiliated investments (cost $214,303,261)		214,322,238
Cash		22,732
Receivable for investments sold		4,233,459
Dividends receivable		3,278,145
Due from broker-variation margin futures		70,350
Receivable for Series shares sold		11,074
Prepaid expenses		3,761
Total Assets		4,144,674,660
LIABILITIES
Payable to broker for collateral for securities on loan		129,253,107
Management fee payable		1,002,017
Payable for Series shares repurchased		478,389
Accrued expenses and other liabilities		345,790
Affiliated transfer agent fee payable		980
Total Liabilities		131,080,283
NET ASSETS	$	4,013,594,377
Net assets were comprised of:
Partners Equity	$	4,013,594,377
Net asset value and redemption price per share $4,013,594,377 / 65,916,938 outstanding shares of beneficial interest	$	60.89

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2018

NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net of $10 foreign withholding tax)	$	37,085,517
Affiliated dividend income		734,865
Income from securities lending, net (including affiliated income of $172,914)		175,531
Interest income		33,590
Total income		38,029,503
EXPENSES
Management fee		5,987,395
Custodian and accounting fees		119,603
Shareholders’ reports		60,980
Trustees’ fees		23,189
Audit fee		12,212
Legal fees and expenses		10,080
Transfer agent’s fees and expenses (including affiliated expense of $2,941)		5,297
Miscellaneous		34,957
Total expenses		6,253,713
NET INVESTMENT INCOME (LOSS)		31,775,790
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(6,132))		40,144,682
Futures transactions		4,011,610
		44,156,292
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $18,977)		27,633,630
Futures		(2,508,235	)
		25,125,395
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS		69,281,687
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	101,057,477

STATEMENTS OF CHANGES IN NET ASSETS

(unaudited)

	Six Months Ended June 30, 2018			Year Ended December 31, 2017
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	31,775,790		$	61,230,148
Net realized gain (loss) on investment transactions		44,156,292			53,386,531
Net change in unrealized appreciation (depreciation) on investments		25,125,395			589,671,144
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		101,057,477			704,287,823
DISTRIBUTIONS		—			(129,595,196	)
SERIES SHARE TRANSACTIONS
Series shares sold [2,482,029 and 2,742,922 shares, respectively]		148,502,436			149,785,094
Series shares issued in reinvestment of distributions [0 and 2,421,435 shares, respectively]		—			129,595,196
Series shares repurchased [2,715,167 and 4,202,101 shares, respectively]		(164,252,124	)		(230,911,603	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(15,749,688	)		48,468,687
TOTAL INCREASE (DECREASE)		85,307,789			623,161,314
NET ASSETS:
Beginning of period		3,928,286,588			3,305,125,274
End of period	$	4,013,594,377		$	3,928,286,588

SEE NOTES TO FINANCIAL STATEMENTS.

A131

Glossary

SCHEDULE OF INVESTMENTS as of June 30, 2018

The following abbreviations are used in the preceding Portfolios’ descriptions:

Currency

AUD	Austrailian Dollars
BRL	Brazilian Real
EUR	Euro
GBP	British Pounds
USD	US Dollar
ZAR	South African Rand

Exchange

NYSE	New York Stock Exchange
OTC	Over-the-counter

Index

CDS Credit Derivative Index

Other

A	Annual payment frequency for swaps
M	Monthly payment frequency for swaps
Q	Quarterly payment frequency for swaps
S	Semiannual payment frequency for swaps
T	Swap payment upon termination
144A	Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.
ABS	Asset-Backed Security
Aces	Alternative Credit Enhancements Securities
BABs	Build America Bonds
bps	Basis Points
BROIS	Brazil Overnight Index Swap
CAS	Connecticut Avenue Securities
CDS	Credit Default Swaps
CLO	Collateralized Loan Obligation
CMBX	Commercial Mortgage Backed Securities index
CMT	Constant Maturity Treasury
CPI	Consumer Price Index
CVA	Certificate Van Aandelen (Bearer)
EAFE	Europe, Australia, Far East
EMTN	Euro Medium Term Note
ETF	Exchange Traded Fund
EURIBOR	Euro Interbank Offered Rate
FHLMC	Federal Home Loan Mortgage Corp.
GMTN	Global Medium Term Note
GNMA	Government National Mortgage Association
GO	General Obligations
HICP	Harmonised Index of Consumer Prices
IO	Interest Only (Principal amount represents notional)
LIBOR	London Interbank Offered Rate
MSCI	Morgan Stanley Capital International
MTN	Medium Term Note
NASDAQ	National Association of Securities Dealers Automated Quotations
NSA	Non-Seasonally Adjusted
PIK	Payment-in-Kind
PO	Principal Only
PRFC	Preference Shares
REIT(s)	Real Estate Investment Trust(s)
Rfdg.	Refunding
RSP	Savings Shares
S&P	Standard & Poor
STACR	Structured Agency Credit Risk
STRIPS	Separate Trading of Registered Interest and Principle of Securities
TBA	To Be Announced
TIPS	Treasury Inflation - Protected Securities
USAID	United States Agency for International Development
USOIS	United States Overnight Index Swap

SEE NOTES TO FINANCIAL STATEMENTS.

A132

NOTES TO FINANCIAL STATEMENTS OF

THE PRUDENTIAL SERIES FUND

(Unaudited)

1. General

The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as a diversified open-end management investment company. The Series Fund is composed of seventeen Portfolios (“Portfolios”), each with separate series shares. The information presented in these financial statements pertains to the 8 Portfolios listed below together with their investment objectives.

Conservative Balanced Portfolio:    Total investment return consistent with a conservatively managed diversified portfolio.

Diversified Bond Portfolio:    High level of income over a longer term while providing reasonable safety of capital.

Equity Portfolio:    Long-term growth of capital.

Flexible Managed Portfolio:    Total return consistent with an aggressively managed diversified portfolio.

Global Portfolio:    Long-term growth of capital.

Government Income Portfolio:    High level of income over the long-term consistent with the preservation of capital.

Government Money Market Portfolio:    Maximum current income consistent with the stability of capital and maintenance of liquidity.

Stock Index Portfolio:    Achieve investment results that generally correspond to the performance of publicly traded common stocks.

2. Accounting Policies

The Series Fund follows investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 Financial Services — Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Series Fund and the Portfolios consistently follow such policies in the preparation of their financial statements.

Securities Valuation:    Each Portfolio holds securities and other assets and liabilities that are fair valued at the close of each day (generally, 4:00 PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Board of Trustees (the “Board”) has adopted valuation procedures for security valuation under which fair valuation responsibilities have been delegated to PGIM Investments LLC (“PGIM Investments” or “the Manager”). Pursuant to the Board’s delegation, a Valuation Committee has been established as two persons, being one or more officers of the Portfolio, including: the Portfolio’s Treasurer (or the Treasurer’s direct reports); and the Portfolio’s Chief or Deputy Chief Compliance Officer (or Vice-President-level direct reports of the Chief or Deputy Chief Compliance Officer). Under the current valuation procedures, the Valuation Committee of the Board is responsible for supervising the valuation of portfolio securities and other assets and liabilities. The valuation procedures permit a Portfolio to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Board’s review, approval, and ratification at its next regularly scheduled quarterly meeting.

For the fiscal reporting period-end, securities and other assets and liabilities were fair valued at the close of the last U.S. business day. Trading in certain foreign securities may occur when the NYSE is closed (including weekends and holidays). Because such foreign securities trade in markets that are open on weekends and U.S. holidays, the values of some of the Portfolios’ foreign investments may change on days when investors cannot purchase or redeem Portfolio shares.

Various inputs determine how each Portfolio’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the Schedule of Investments.

Common and preferred stocks, exchange-traded funds, and derivative instruments, such as futures or options, that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the

B1

applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy. In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and ask prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy.

Foreign equities traded on foreign securities exchanges are generally valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy. The models generate an evaluated adjustment factor for each security, which is applied to the local closing price to adjust it for post closing market movements. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price for each security. If the vendor does not provide an evaluated price, securities are valued in accordance with exchange-traded common and preferred stock valuation policies discussed above.

Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.

Fixed income securities traded in the OTC market are generally classified as Level 2 in the fair value hierarchy. Such fixed income securities are typically valued using the market approach which generally involves obtaining data from an approved independent third-party vendor source. The Portfolios utilize the market approach as the primary method to value securities when market prices of identical or comparable instruments are available. The third-party vendors’ valuation techniques used to derive the evaluated bid price are based on evaluating observable inputs, including but not limited to, yield curves, yield spreads, credit ratings, deal terms, tranche level attributes, default rates, cash flows, prepayment speeds, broker/dealer quotations and reported trades. Certain Level 3 securities are also valued using the market approach when obtaining a single broker quote or when utilizing transaction prices for identical securities that have been used in excess of five business days. During the reporting period, there were no changes to report with respect to the valuation approach and/or valuation techniques discussed above.

The Government Money Market Portfolio values all of its securities of sufficient credit quality at amortized cost, which approximates fair value. The amortized cost method involves valuing a security at its cost on the date of purchase and thereafter assuming a constant amortization to maturity of the difference between the principal amount due at maturity and cost. These securities are categorized as Level 2 of the fair value hierarchy.

Bank loans are generally valued at prices provided by approved independent pricing vendors. The pricing vendors utilize broker/dealer quotations and provide prices based on the average of such quotations. Bank loans valued using such vendor prices are generally classified as Level 2 in the fair value hierarchy. Bank loans valued based on a single broker quote or at the original transaction price in excess of five business days are classified as Level 3 in the fair value hierarchy.

OTC derivative instruments are generally classified as Level 2 in the fair value hierarchy. Such derivative instruments are typically valued using the market approach and/or income approach which generally involves obtaining data from an approved independent third-party vendor source. The Portfolios utilize the market approach when quoted prices in broker-dealer markets are available but also include consideration of alternative valuation approaches, including the income approach. In the absence of reliable market quotations, the income approach is typically utilized for purposes of valuing OTC derivatives such as interest rate swaps based on a discounted cash flow analysis whereby the value of the instrument is equal to the present value of its future cash inflows or outflows. Such analysis includes projecting future cash flows and determining the discount rate (including the present value factors that affect the discount rate) used to discount the future cash flows. In addition, the third-party vendors’ valuation techniques used to derive the evaluated OTC derivative price is based on evaluating observable inputs, including but not limited to, underlying asset prices, indices, spreads, interest rates and exchange rates. Certain OTC derivatives may be classified as Level 3 when valued using the market approach by obtaining a single broker quote or when utilizing unobservable inputs in the income approach. During the reporting period, there were no changes to report with respect to the valuation approach and/or valuation techniques discussed above.

Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange,

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are generally valued at the daily settlement price determined by the respective exchange. These securities are classified as Level 2 in the fair value hierarchy, as the daily settlement price is not public.

Securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the Board. In the event that unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.

When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the Manager regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other unaffiliated mutual funds to calculate their net asset values.

Restricted and Illiquid Securities:    Subject to guidelines adopted by the Board, each Portfolio may invest up to 15% of its net assets (the Government Money Market Portfolio may invest up to 5%) in illiquid securities, including those which are restricted as to disposition under securities law (“restricted securities”). Restricted securities are valued pursuant to the valuation procedures noted above. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, cannot be sold within seven days in the ordinary course of business at approximately the amount at which the Portfolio has valued the investment. Therefore, a Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its Subadviser and may incur transaction costs that would not be incurred in the sale of securities that were freely marketable. Certain securities that would otherwise be considered illiquid because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. These Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act, may be deemed liquid by the Portfolio’s Subadviser under the guidelines adopted by the Board of the Portfolio. However, the liquidity of a Portfolio’s investments in Rule 144A securities could be impaired if trading does not develop or declines.

Connecticut Avenue Securities (CAS) and Structured Agency Credit Risk (STACR):    Certain Portfolios purchased government controlled Fannie Mae and Freddie Mac securities that transfer most of the cost of defaults to private investors including the Portfolios. These are insurance-like products that are called CAS by Fannie Mae and STACR securities by Freddie Mac. Payments on the securities are based primarily on the performance of a reference pool of underlying mortgages. With such securities, the Portfolios could lose some or all of their principal if the underlying mortgages experience credit defaults.

Foreign Currency Translation:    The books and records of the Portfolios are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:

(i)  market value of investment securities, other assets and liabilities — at the current rates of exchange;

(ii)  purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.

Although the net assets of the Portfolios are presented at the foreign exchange rates and market values at the close of the period, the Portfolios do not generally isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Portfolios do not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, holding period realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions. Notwithstanding the above, the Portfolios do isolate the effect of fluctuations in foreign currency exchange rates when determining the gain (loss) upon the sale or maturity of foreign currency denominated debt obligations; such amounts are included in net realized gains (losses) on foreign currency transactions.

Additionally, net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from the disposition of holdings of foreign currencies, currency gains (losses) realized between the trade and settlement dates on securities transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolios’ books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on foreign currencies.

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Forward and Cross Currency Contracts:    A forward currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Certain Portfolios, as defined in the prospectus, entered into forward currency contracts in order to hedge their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings or on specific receivables and payables denominated in a foreign currency and to gain exposures to certain currencies. The contracts are valued daily at current forward exchange rates and any unrealized gain (loss) is included in net unrealized appreciation or depreciation on investments and foreign currencies. Gain (loss) is realized on the settlement date of the contract equal to the difference between the settlement value of the original and negotiated forward contracts. This gain (loss), if any, is included in net realized gain (loss) on forward and cross currency contract transactions. Risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts. Forward currency contracts involve risks from currency exchange rate and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. A Portfolio’s maximum risk of loss from counterparty credit risk is the net value of the cash flows to be received from the counterparty at the end of the contract’s life. A cross currency contract is a forward contract where a specified amount of one foreign currency will be exchanged for a specified amount of another foreign currency.

Options:    Certain Portfolios purchased or wrote options in order to hedge against adverse market movements or fluctuations in value caused by changes in prevailing interest rates, value of equities or foreign currency exchange rates with respect to securities or financial instruments which the Portfolio currently owns or intends to purchase. Portfolios may also use options to gain additional market exposure. The Portfolio’s principal reason for writing options is to realize, through receipt of premiums, a greater current return than would be realized on the underlying security alone. When the Portfolio purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Portfolio writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. If an option expires unexercised, the Portfolio realizes a gain (loss) to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost of the purchase in determining whether the Portfolio has realized a gain (loss). The difference between the premium and the amount received or paid at the closing of a purchase or sale transaction is also treated as a realized gain (loss). Gain (loss) on purchased options is included in net realized gain (loss) on investment transactions. Gain (loss) on written options is presented separately as net realized gain (loss) on options written transactions.

The Portfolio, as writer of an option, may have no control over whether the underlying securities or financial instruments may be sold (called) or purchased (put). As a result, the Portfolio bears the market risk of an unfavorable change in the price of the security or financial instrument underlying the written option. The Portfolio, as purchaser of an OTC option, bears the risk of the potential inability of the counterparties to meet the terms of their contracts. With exchange-traded options contracts, there is minimal counterparty credit risk to the Portfolio since the exchanges’ clearinghouse acts as counterparty to all exchange-traded options and guarantees the options contracts against default.

When a Portfolio writes an option on a swap, an amount equal to any premium received by the Portfolio is recorded as a liability and is subsequently adjusted to the current market value of the written option on the swap. If a call option on a swap is exercised, the Portfolio becomes obligated to pay a fixed interest rate (noted as the strike price) and receive a variable interest rate on a notional amount. If a put option on a swap is exercised, the Portfolio becomes obligated to pay a variable interest rate and receive a fixed interest rate (noted as the strike price) on a notional amount. Premiums received from writing options on swaps that expire or are exercised are treated as realized gains upon the expiration or exercise of such options on swaps. The risk associated with writing put and call options on swaps is that the Portfolio will be obligated to be party to a swap agreement if an option on a swap is exercised.

Financial Futures Contracts:    A financial futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities at a set price for delivery on a future date. Upon entering into a financial futures contract, the Portfolio is required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount. This amount is known as the “initial margin.” Subsequent payments, known as “variation margin,” are made or received by the Portfolio each day, depending on the daily fluctuations in the value of the underlying security. Such variation margin is recorded for financial statement purposes on a daily basis as unrealized gain (loss). When the contract expires or is closed, the gain (loss) is realized and is presented in the Statement of Operations as net realized gain (loss) on futures transactions.

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Certain Portfolios invested in financial futures contracts in order to hedge their existing portfolio securities, or securities the Portfolios intend to purchase, against fluctuations in value caused by changes in value of equities, prevailing interest rates or foreign currency exchange rates. Should interest rates move unexpectedly, the Portfolios may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates and the underlying hedged assets. Since futures contracts are exchange-traded, there is minimal counterparty credit risk to the Portfolios since the exchanges’ clearinghouse acts as counterparty to all exchange-traded futures and guarantees the futures contracts against default.

Bank Loans:    Each Portfolio may invest in bank loans. Bank loans include fixed and floating rate loans that are privately negotiated between a corporate borrower and one or more financial institutions, including, but not limited to, term loans, revolvers, and other instruments issued in the bank loan market. Each Portfolio may acquire interests in loans directly (by way of assignment from the selling institution) or indirectly (by way of the purchase of a participation interest from the selling institution). Under a bank loan assignment, a Portfolio generally will succeed to all the rights and obligations of an assigning lending institution and becomes a lender under the loan agreement with the relevant borrower in connection with that loan. Under a bank loan participation, the Portfolio generally will have a contractual relationship only with the lender, not with the relevant borrower. As a result, a Portfolio generally will have the right to receive payments of principal, interest, and any fees to which it is entitled only from the lender selling the participation and only upon receipt by the lender of the payments from the relevant borrower. The Portfolio may not directly benefit from the collateral supporting the debt obligation in which it has purchased the participation. As a result, a Portfolio will assume the credit risk of both the borrower and the institution selling the participation to the Portfolio.

Repurchase Agreements:    In connection with transactions in repurchase agreements with United States financial institutions, it is each Portfolio’s policy that its custodian or designated subcustodians under triparty repurchase agreements, as the case may be, take possession of the underlying collateral securities, the value of which exceeds the principal amount of the repurchase transactions, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked-to-market on a daily basis to ensure the adequacy of the collateral. If the seller defaults and the value of the collateral declines or, if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Portfolio may be delayed or limited.

Forward Rate Agreements:    Forward rate agreements represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount on a fixed future date. Certain Portfolios entered into forward rate agreements to gain yield exposure based on anticipated market conditions at the specified termination date of the agreement.

Swap Agreements:    Certain Portfolios may enter into credit default, interest rate, total return and other types of swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Swap agreements are negotiated in the OTC market and may be executed either directly with a counterparty (“OTC-traded”) or through a central clearing facility, such as a registered exchange. Swap agreements are valued daily at current market value and any change in value is included in the net unrealized appreciation (depreciation) on swap agreements. Centrally cleared swaps pay or receive an amount, known as “variation margin”, based on daily changes in the valuation of the swap contract. Any upfront premiums paid and received are shown as swap premiums paid and swap premiums received in the Statement of Assets and Liabilities. Risk of loss may exceed amounts recognized on the Statement of Assets and Liabilities. Swap agreements outstanding at period end, if any, are listed on the Schedule of Investments.

Interest Rate Swaps:    Interest rate swaps represent agreements between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount for a specified period. Certain Portfolios are subject to interest rate risk exposure in the normal course of pursuing their investment objective. Certain Portfolios used interest rate swaps to maintain their ability to generate steady cash flow by receiving a stream of fixed rate payments and to increase exposure to prevailing market rates by receiving floating rate payments. A Portfolio’s maximum risk of loss from counterparty credit risk is the discounted net present value of the cash flows to be received from the counterparty over the contract’s remaining life.

Inflation Swaps:    Certain Portfolios entered into inflation swap agreements to protect against fluctuations in inflation rates. Inflation swaps are characterized by one party paying a fixed rate in exchange for a floating rate that is derived from an inflation index, such as the Consumer Price Index or UK Retail Price Index. Inflation swaps subject the Portfolios to interest rate risk.

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Credit Default Swaps (“CDS”):    CDS involve one party (the protection buyer) making a stream of payments to another party (the protection seller) in exchange for the right to receive a specified payment in the event of a default or as a result of a default (collectively a “credit event”) for the referenced entity (typically corporate issues or sovereign issues of an emerging country) on its obligation; or in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising a credit index.

Certain Portfolios are subject to credit risk in the normal course of pursuing their investment objectives, and as such, have entered into CDS contracts to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases. A Portfolio’s maximum risk of loss from counterparty credit risk for purchased CDS is the inability of the counterparty to honor the contract up to the notional value due to a credit event.

As a seller of protection on credit default swap agreements, the Portfolio generally receives an agreed upon payment from the buyer of protection throughout the term of the swap, provided no credit event occurs. As the seller, the Portfolio effectively increases its investment risk because, in addition to its total net assets, the Portfolio may be subject to investment exposure on the notional amount of the swap.

The maximum amount of the payment that the Portfolio, as a seller of protection, could be required to make under a credit default swap agreement would be equal to the notional amount of the underlying security or index contract as a result of a credit event. This potential amount will be partially offset by any recovery values of the respective referenced obligations, or net amounts received from the settlement of buy protection credit default swap agreements which the Portfolio entered into for the same referenced entity or index. As a buyer of protection, the Portfolio generally receives an amount up to the notional value of the swap if a credit event occurs.

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues of an emerging country as of period end are disclosed in the footnotes to the Schedule of Investments, if applicable. These spreads serve as indicators of the current status of the payment/performance risk and represent the likelihood of default risk for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to enter into the agreement. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values serve as indicators of the current status of the payment/performance risk. Wider credit spreads and increased market value in absolute terms, when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

Currency Swaps:    Certain Portfolios entered into currency swap agreements primarily to gain yield exposure on foreign bonds. Currency swap agreements involve two parties exchanging two different currencies with an agreement to reverse the exchange at a later date at specified exchange rates.

Total Return Swaps:    In a total return swap, one party receives payments based on the market value of the security or the commodity involved, or total return of a specific referenced asset, such as an equity, index or bond, and in return pays a fixed amount. Certain Portfolios are subject to risk exposures associated with the referenced asset in the normal course of pursuing their investment objectives. Certain Portfolios entered into total return swaps to manage their exposure to a security or an index. A Portfolio’s maximum risk of loss from counterparty credit risk is the change in the value of the security, in favor of the Portfolio, from the point of entering into the contract.

Master Netting Arrangements:    The Series Fund, on behalf of certain Portfolios, is subject to various Master Agreements, or netting arrangements, with select counterparties. These are agreements which a subadviser may have negotiated and entered into on behalf of the Portfolio. For multi-sleeve Portfolios, different subadvisers who manage their respective sleeve, may enter into such agreements with the same counterparty and are disclosed separately for each sleeve when presenting information about offsetting and related netting arrangements for OTC derivatives.Amaster netting arrangement between the Portfolio and the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. In addition to master netting arrangements, the right to set-off exists when all the conditions are met such that each of the parties owes the

B6

other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off, and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.

The Series Fund, on behalf of certain Portfolios, is a party to International Swaps and Derivatives Association, Inc. (“ISDA”) Master Agreements with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the Portfolio is held in a segregated account by the Portfolio’s custodian and with respect to those amounts which can be sold or re-pledged, are presented in the Schedule of Investments. Collateral pledged by the Portfolio is segregated by the Portfolio’s custodian and identified in the Schedule of Investments. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the Portfolio and the applicable counterparty. Collateral requirements are determined based on the Portfolio’s net position with each counterparty. Termination events applicable to the Portfolio may occur upon a decline in the Portfolio’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the Portfolio’s counterparties to elect early termination could impact the Portfolio’s future derivative activity.

In addition to each instrument’s primary underlying risk exposure (e.g. interest rate, credit, equity or foreign exchange, etc.), swap agreements involve, to varying degrees, elements of credit, market and documentation risk. Such risks involve the possibility that no liquid market for these agreements will exist, the counterparty to the agreement may default on its obligation to perform or disagree on the contractual terms of the agreement, and changes in net interest rates will be unfavorable. In connection with these agreements, securities in a portfolio may be identified or received as collateral from the counterparty in accordance with the terms of the respective swap agreements to provide or receive assets of value and to serve as recourse in the event of default or bankruptcy/ insolvency of either party. Such OTC derivative agreements include conditions which, when materialized, give the counterparty the right to cause an early termination of the transactions under those agreements. Any election by the counterparty for early termination of the contract(s) may impact the amounts reported on financial statements.

As of June 30, 2018, none of the Portfolios have met conditions under such agreements which give the counterparty the right to call for an early termination.

Forward currency contracts, forward rate agreements, written options, short sales, swaps and financial futures contracts involve elements of both market and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. Such risks may be mitigated by engaging in master netting arrangements.

Warrants and Rights:    Certain Portfolios may hold warrants and rights acquired either through a direct purchase or pursuant to corporate actions. Warrants and rights entitle the holder to buy a proportionate amount of common stock, or such other security that the issuer may specify, at a specific price and time through the expiration dates. Such warrants and rights are held as long positions by the Portfolios until exercised, sold or expired. Warrants and rights are valued at fair value in accordance with the Board approved fair valuation procedures.

Payment-In-Kind:    Certain fixed income Portfolios may invest in the open market or receive pursuant to debt restructuring, securities that pay-in-kind (PIK) the interest due on such debt instruments. The PIK interest, computed at the contractual rate specified, is added to the existing principal balance of the debt when issued bonds have same terms as the bond or recorded as a separate bond when terms are different from the existing debt, and is recorded as interest income.

Delayed-Delivery Transactions:    Certain Portfolios may purchase or sell securities on a when-issued or delayed-delivery and forward commitment basis. These transactions involve a commitment by the Portfolio to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed-delivery purchases are outstanding, the Portfolio will set aside and maintain an amount of liquid assets sufficient to meet the purchase price in a segregated account until the settlement date. When purchasing a security on a delayed-delivery basis, the Portfolio assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into

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account when determining its net asset value. The Portfolio may dispose of or renegotiate a delayed-delivery transaction subsequent to establishment, and may sell when-issued securities before they are delivered, which may result in a realized gain (loss). When selling a security on a delayed-delivery basis, the Portfolio forfeits its eligibility to realize future gains (losses) with respect to the security.

Securities Lending:    The Portfolios may lend their portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in an affiliated money market fund and is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loaned securities. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the financial statements may reflect a collateral value that is less than the market value of the loaned securities. Such shortfall is remedied as described above. Loans are subject to termination at the option of the borrower or the Portfolio. Upon termination of the loan, the borrower will return to the Portfolio securities identical to the loaned securities. Should the borrower of the securities fail financially, the Portfolio has the right to repurchase the securities in the open market using the collateral.

The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities in the form of fees or interest on the investment of any cash received as collateral. The borrower receives all interest and dividends from the securities loaned and such payments are passed back to the lender in amounts equivalent thereto. The Portfolio also continues to recognize any unrealized gain (loss) in the market price of the securities loaned and on the change in the value of the collateral invested that may occur during the term of the loan. In addition, realized gain (loss) is recognized on changes in the value of the collateral invested upon liquidation of the collateral. Net earnings from securities lending are disclosed on the Statement of Operations as “Income from securities lending, net”.

Mortgage Dollar Rolls:    Certain Portfolios enter into mortgage dollar rolls in which the Portfolios sell mortgage securities for delivery in the current month, realizing a gain (loss), and simultaneously enter into contracts to repurchase somewhat similar (same type, coupon and maturity) securities on a specified future date. During the roll period, the Portfolios forgo principal and interest paid on the securities. The Portfolios are compensated by the interest earned on the cash proceeds of the initial sale and by the lower repurchase price at the future date. The difference between the sale proceeds and the lower repurchase price is recorded as a realized gain on investment transactions. The Portfolios maintain a segregated account, the dollar value of which is at least equal to its obligations, with respect to dollar rolls. The Portfolios are subject to the risk that the market value of the securities the Portfolios are obligated to repurchase under the agreement may decline below the repurchase price.

Equity and Mortgage Real Estate Investment Trusts (collectively REITS):    Certain Portfolios invest in equity REITs, which report information on the source of their distributions annually. Based on current and historical information, a portion of distributions received from equity REITs during the period is estimated to be dividend income, capital gain or return of capital and recorded accordingly. When material, these estimates are adjusted periodically when the actual source of distributions is disclosed by the equity REITs.

Securities Transactions and Net Investment Income:    Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the specific identification method. Dividend income is recorded on the ex-date. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on an accrual basis, which may require the use of certain estimates by management that may differ from actual. For Portfolios with multiple classes of shares, net investment income or loss (other than administration and distribution fees which are charged directly to the respective class) and unrealized and realized gains (losses) are allocated daily to each class of shares based upon the relative proportion of adjusted net assets of each class at the beginning of the day.

Taxes:    For federal income tax purposes, each Portfolio is treated as a separate taxpaying entity. Each Portfolio is treated as a partnership for tax purposes. No provision has been made in the financial statements for U.S. federal, state, or local taxes, as any tax liability arising from operations of the Portfolios is the responsibility of the Portfolio’s shareholders (Participating Insurance Companies). Each Portfolio is not generally subject to entity-level taxation. Shareholders of each Portfolio are subject to taxes on their distributive share of partnership items. Withholding taxes on foreign dividends, interest and capital gains are accrued in accordance with each Portfolio’s understanding of the applicable country’s tax rules and regulations. Such taxes are accrued net of reclaimable amounts, at the time the related income/gain is recorded. Each Portfolio generally attempts to manage its diversification in a manner that supports the diversification requirements of the underlying separate accounts.

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Distributions:    Distributions, if any, from each Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. The Government Money Market Portfolio declares and reinvests distributions, if any, daily. Distributions are recorded on the ex-date.

Estimates:��   The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

3. Agreements

The Series Fund has a management agreement with PGIM Investments on behalf of the Portfolios. Pursuant to this agreement, PGIM Investments has responsibility for all investment management services and supervises the subadvisers’ performance of such services. PGIM Investments has entered into subadvisory agreements with PGIM, Inc., which provides subadvisory services to the Portfolios through its PGIM Fixed Income unit (“PFI”), Jennison Associates LLC (“Jennison”), Brown Advisory LLC (“Brown”), LSV Asset Management (“LSV”), Quantitative Management Associates LLC (“QMA”), T. Rowe Price Associates, Inc. (“T. Rowe”) and William Blair & Co. LLC (“William Blair”) (collectively, the “Subadvisers”), under which each provides investment advisory services for certain Portfolios of the Series Fund. PGIM Investments pays for the services of the Subadvisers, cost of compensation of officers, occupancy and certain clerical and administrative expenses of the Portfolios. The Portfolios bear all other costs and expenses.

The management fee paid to PGIM Investments is accrued daily and payable monthly, using the value of each of the Portfolio’s average daily net assets, at the respective annual rates specified below.

Portfolio	Management Fee			Effective Management Fee
Conservative Balanced Portfolio		0.55	%		0.55	%
Diversified Bond Portfolio		0.40			0.40
Equity Portfolio		0.45			0.45
Flexible Managed Portfolio		0.60			0.60
Global Portfolio		0.75			0.73	*
Government Income Portfolio		0.40			0.40
Government Money Market Portfolio		0.30			0.30
		0.30% up to $4 billion
Stock Index Portfolio		0.25% over $4 billion			0.30

* PGIM Investments has contractually agreed, through June 30, 2019, to waive a portion of its management fee equal to an annual rate of 0.024% of the average daily net assets of the Portfolio.

At June 30, 2018, the Subadvisers that provide investment advisory services to the Portfolios are listed directly below. Where more than one Subadviser is listed, each Subadviser provides services to a segment of the Portfolio:

Portfolio	Subadviser(s)
Conservative Balanced Portfolio	PFI, QMA
Diversified Bond Portfolio	PFI
Equity Portfolio	Jennison
Flexible Managed Portfolio	PFI, QMA
Global Portfolio	Brown, LSV, QMA, T. Rowe & William Blair
Government Income Portfolio	PFI
Government Money Market Portfolio	PFI
Stock Index Portfolio	QMA

The Series Fund, on behalf of the Portfolios, has a distribution agreement, pursuant to Rule 12b-1 under the 1940 Act, with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II shares of the Portfolios. The Portfolios compensate PIMS for distributing and servicing the Portfolios’ Class II shares pursuant to a plan of distribution (the “Class II Plan”), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Portfolios. Pursuant to the Class II Plan, the Class II shares of each Portfolio compensate PIMS for distribution-related activities at an annual rate of 0.25% of the average daily net assets of the Class II shares.

The Series Fund has an administration agreement with PGIM Investments, which acts as the administrator of the

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Class II shares of the Portfolios. The administration fee paid to PGIM Investments is accrued daily and payable monthly, at the annual rate of 0.15% of the average daily net assets of the Class II shares.

The Series Fund, on behalf of the Portfolios, has entered into brokerage commission recapture agreements with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those Portfolios generating the applicable trades. Such amounts are included within realized gain (loss) on investment transactions presented in the Statement of Operations. For the six months ended June 30, 2018, brokerage commission recaptured under these agreements was as follows:

Portfolio	Amount
Equity Portfolio	$	106,102
Global Portfolio		10,435

PIMS, PGIM Investments, PGIM, Inc., QMA and Jennison are indirect, wholy-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).

4. Other Transactions with Affiliates

Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PGIM Investments and an indirect, wholly-owned subsidiary of Prudential, serves as the transfer agent of the Portfolios. The transfer agent’s fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.

Effective June 11, 2018, the Series’ names were changed by replacing “Prudential” with “PGIM” in each Series’ name. The Portfolios may invest their overnight sweep cash in the PGIM Core Ultra Short Bond Fund (the “Core Fund”) and their securities lending cash collateral in the PGIM Institutional Money Market Fund (the “Money Market Fund”), each a series of Prudential Investment Portfolios 2, registered under the 1940 Act and managed by PGIM Investments. The Portfolios may also invest in the PGIM Core Short-Term Bond Fund, pursuant to an exemptive order received from Securities Exchange Commission (“SEC”), a series of the Prudential Investment Portfolios 2 (together with PGIM Core Ultra Short Bond Fund, the “Core Funds”), registered under the 1940 Act and managed by PGIM Investments. Earnings from the Core Fund and the Money Market Fund are disclosed on the Statement of Operations as “Affiliated dividend income” and “Income from securities lending, net”, respectively.

For the reporting period ended June 30, 2018, PGIM, Inc. was compensated by PGIM Investments for managing the Portfolio’s securities lending cash collateral as subadviser to the Money Market Fund:

Portfolio	Amount
Conservative Balanced Portfolio	$	19,954
Diversified Bond Portfolio		6,790
Equity Portfolio		106,184
Flexible Managed Portfolio		37,766
Global Portfolio		21,852
Government Income Portfolio		429
Stock Index Portfolio		47,593

In February 2016, Prudential, the parent company of the Investment Manager (PGIM Investments) self reported to the Securities and Exchange Commission (“SEC”) and certain other regulators that, in some cases, it failed to maximize securities lending income for certain Portfolios of the Series Fund due to a long-standing restriction benefitting Prudential. The Board was not notified of the restriction until after it had been removed. Prudential paid the affected Portfolios an amount equal to the estimated loss associated with the unauthorized restriction. At the Board’s direction, this payment occurred on June 30, 2016. The estimated opportunity loss was calculated by an independent consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the independent trustees of the Series Fund. The amount of opportunity loss payment to each of the Portfolios is disclosed in the Portfolio’s “Financial Highlights” as “Capital Contributions”.

In addition to the above, Prudential has paid and continues to directly pay certain legal, audit and other charges in connection with the matter on behalf of the Portfolios.

The SEC Staff and other regulators continue to review the matter.

In March 2018, Prudential further notified the SEC that it failed to timely reimburse certain Portfolios for timing differences arising from circumstances in which the Portfolios are subject to a foreign withholding tax rate on

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dividend and interest income in excess of the treaty rate due to their tax status as partnerships (hereinafter referred to as “excess withholding tax”). Prudential paid each of the affected Portfolios an amount equal to the excess withholding tax in addition to an amount equal to the applicable Portfolio’s rate of return (“opportunity loss”) for various dates beginning from July 6, 2011 through February 28, 2018. The amount of each Portfolio’s opportunity loss was calculated by a third-party consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the Portfolios’ independent trustees. The aggregate opportunity loss payment to each affected Portfolio is disclosed in the respective Portfolios’ “Statement of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions”.

Prudential has further retained a consultant to conduct an analysis to determine if the Portfolios are entitled to additional excess withholding tax and related opportunity loss related to their status as tax partnerships from Prudential for the period beginning from January 2, 2006 through February 28, 2018. That review is considering detriments to the Portfolios arising from both timing differences (i.e., jurisdictions in which the Portfolio is subject to a higher withholding tax rate due to its tax status which is reclaimable) as described above as well as permanent tax detriments (i.e., jurisdictions in which the Portfolio is subject to a higher withholding tax rate due to its tax status which is not reclaimable). The review remains ongoing as of the date of this report, but it is expected that additional amounts will be due the Portfolios from Prudential. Upon completion, the results of this review will be subject to the same independent review as described in the preceding paragraph and Prudential will reimburse the affected Portfolios as appropriate.

During the reporting period, Prudential instituted a process to reimburse the affected Portfolios for any future excess withholding tax within approximately 30 days of the pay date of the applicable dividend or interest income event regardless of whether the excess withholding tax is due to timing differences or permanent detriments resulting from the Portfolios’ partnership tax status. Prudential is working to implement a process to reimburse the affected Portfolios in a more timely manner, which will be reviewed and tested by a third-party consultant retained by Prudential.

In cases in which the excess withholding tax is due to timing differences and is reclaimable, the affected Portfolios have the ability to file a reclaim with the relevant foreign tax authority to recover the difference between the treaty rate tax and the tax withheld. To avoid a Portfolio receiving and retaining a duplicate payment for the same reclaim, payments received by an applicable Portfolio from a foreign tax authority for reclaims for which a Portfolio previously received compensation from Prudential will be payable to Prudential. Pending reclaim amounts due to Prudential for excess withholding tax which Prudential previously paid to the Portfolios are reported as “Payable to affiliate” on the “Statement of Assets and Liabilities”. It is in the Portfolio’s discretion whether to file a reclaim with the relevant foreign tax authority. To the extent that there are costs associated with the filing of any such reclaim, those costs are borne by Prudential.

The following Portfolios have been reimbursed by Prudential for excess withholding taxes related to permanent tax detriments as described above for certain countries due to the Portfolios’ status as partnerships for tax purposes. The following amounts have been accrued or paid:

Portfolio	2017 Withholding Tax		2018 Withholding Tax
Conservative Balanced Portfolio	$	29,305	$	13,468
Equity Portfolio		343,486		—
Flexible Managed Portfolio		25,175		11,593
Global Portfolio		114,519		74,456

The following Portfolios have been reimbursed by Prudential for excess withholding taxes related to timing differences as described above for certain countries due to the Portfolios’ status as partnerships for tax purposes. The following amounts have been paid:

	2018 Payments
Conservative Balanced Portfolio	$	209,325
Equity Portfolio		542,976
Flexible Managed Portfolio		262,968
Global Portfolio		785,352

Certain Portfolios may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is

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affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Such transactions are subject to ratification by the Board. For the period ended June 30, 2018 no such transactions were entered into by the Portfolios.

5. Portfolio Securities

The aggregate cost of purchases and proceeds from sales of portfolio securities (excluding short-term investments and U.S. Government securities) for the six months ended June 30, 2018, were as follows:

	Cost of Purchases		Proceeds from Sales
Conservative Balanced Portfolio	$	1,122,459,212	$	1,252,237,246
Diversified Bond Portfolio		253,307,888		212,507,295
Equity Portfolio		689,118,480		945,833,347
Flexible Managed Portfolio		2,642,746,815		2,792,076,846
Global Portfolio		157,828,962		182,965,585
Government Income Portfolio		301,906,099		322,158,141
Stock Index Portfolio		100,140,768		108,998,605

A summary of the cost of purchases and proceeds from sales of shares of affiliated mutual funds for the six months ended June 30, 2018, is presented as follows:

Affiliated Mutual Funds*	Value, Beginning of Period		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)			Value, End of Period		Shares, End of Period		Dividend Income
Conservative Balanced Portfolio
PGIM Core Short-Term Bond Fund	$	102,386,530	$	1,128,528	$	37,100,000	$	2,811,052	$	(2,921,575	)	$	66,304,535		7,152,593	$	959,725
PGIM Core Ultra Short Bond Fund		255,703,495		328,771,857		276,662,738		—		—			307,812,614		307,812,614		2,074,968
PGIM Institutional Money Market Fund		45,333,840		132,610,315		124,693,195		6,696		(1,889	)		53,255,767		53,250,441		82,723	**
	$	403,423,865	$	462,510,700	$	438,455,933	$	2,817,748	$	(2,923,464	)	$	427,372,916			$	3,117,416
Affiliated Mutual Funds*	Value, Beginning of Period		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)			Value, End of Period		Shares, End of Period		Dividend Income
Diversified Bond Portfolio
PGIM Core Short-Term Bond Fund	$	54,598,691	$	539,300	$	19,300,000	$	1,141,429	$	(1,200,366	)	$	35,779,054		3,859,661	$	539,300
PGIM Core Ultra Short Bond Fund		45,727,273		227,130,550		256,471,182		—		—			16,386,641		16,386,641		180,713
PGIM Institutional Money Market Fund		11,557,301		74,078,632		69,857,840		1,989		(2,108	)		15,777,974		15,776,396		37,584	**
	$	111,883,265	$	301,748,482	$	345,629,022	$	1,143,418	$	(1,202,474	)	$	67,943,669			$	757,597

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Affiliated Mutual Funds*	Value, Beginning of Period		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)			Value, End of Period		Shares, End of Period		Dividend Income
Equity Portfolio
PGIM Core Ultra Short Bond Fund	$	93,453,847	$	423,778,725	$	339,257,607	$	—	$	—		$	177,974,965		177,974,965	$	1,005,392
PGIM Institutional Money Market Fund		281,455,354		950,889,963		919,378,769		43,915		4,524			313,014,987		312,983,688		528,260	**
	$	374,909,201	$	1,374,668,688	$	1,258,636,376	$	43,915	$	4,524		$	490,989,952			$	1,533,652
Affiliated Mutual Funds*	Value, Beginning of Period		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)			Value, End of Period		Shares, End of Period		Dividend Income
Flexible Managed Portfolio
PGIM Core Short-Term Bond Fund	$	133,262,040	$	1,481,465	$	48,900,000	$	3,706,956	$	(3,850,809	)	$	85,699,652		9,244,838	$	1,233,866
PGIM Core Ultra Short Bond Fund		173,027,546		511,084,519		441,247,166		—		—			242,864,899		242,864,899		1,481,465
PGIM Institutional Money Market Fund		78,205,811		273,055,965		256,610,441		14,777		(6,154	)		94,659,958		94,650,493		162,095	**
	$	384,495,397	$	785,621,949	$	746,757,607	$	3,721,733	$	(3,856,963	)	$	423,224,509			$	2,877,426
Affiliated Mutual Funds*	Value, Beginning of Period		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)			Value, End of Period		Shares, End of Period		Dividend Income
Global Portfolio
PGIM Core Ultra Short Bond Fund	$	22,911,237	$	116,439,278	$	107,747,077	$	—	$	—		$	31,603,438		31,603,438	$	238,813
PGIM Institutional Money Market Fund		49,761,429		193,073,137		183,181,590		8,143		(1,698	)		59,659,421		59,653,455		120,738	**
	$	72,672,666	$	309,512,415	$	290,928,667	$	8,143	$	(1,698	)	$	91,262,859			$	359,551
Affiliated Mutual Funds*	Value, Beginning of Period		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)			Value, End of Period		Shares, End of Period		Dividend Income
Government Income Portfolio
PGIM Core Short-Term Bond Fund	$	26,643,269	$	296,996	$	4,500,000	$	286,773	$	(315,534	)	$	22,411,504		2,417,638	$	296,996
PGIM Core Ultra Short Bond Fund		2,764,602		40,777,988		39,689,886		—		—			3,852,704		3,852,704		14,579
PGIM Institutional Money Market Fund		958,151		19,700,278		20,649,263		—		209			9,375		9,374		3,189	**
	$	30,366,022	$	60,775,262	$	64,839,149	$	286,773	$	(315,325	)	$	26,273,583			$	314,764

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Affiliated Mutual Funds*	Value, Beginning of Period		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)			Value, End of Period		Shares, End of Period		Dividend Income
Stock Index Portfolio
PGIM Core Ultra Short Bond Fund	$	59,834,393	$	211,613,707	$	186,644,024	$	—	$	—		$	84,804,076		84,804,076	$	734,865
PGIM Institutional Money Market Fund		119,913,547		263,266,199		253,674,429		18,977		(6,132	)		129,518,162		129,505,212		172,914	**
	$	179,747,940	$	474,879,906	$	440,318,453	$	18,977	$	(6,132	)	$	214,322,238			$	907,779

* The Funds did not have any capital gain distributions during the reporting period.

** This amount is included in “Income from securities lending, net” on the Statement of Operations.

6. Tax Information

All Portfolios are treated as partnerships for tax purposes. The character of the cash distributions, if any, made by the partnerships is generally classified as nontaxable return of capital distributions. After each fiscal year each shareholder of record will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.

With respect to the Portfolios, book cost of assets differs from tax cost of assets as a result of each Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate fair market value.

Management has analyzed the Portfolios’ tax positions taken on federal, state and local income tax returns for all open tax years and has concluded that no provision for income tax is required in the Portfolios’ financial statements for the current reporting period. The Portfolios’ federal, state and local income tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

7. Borrowings

The Series Fund, on behalf of the Portfolios, (excluding the Government Money Market Portfolio), along with other affiliated registered investment companies (the “Funds”), is a party to a Syndicated Credit Agreement (“SCA”) with a group of banks. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions. The SCA provides for a commitment of $900 million for the period October 5, 2017 through October 4, 2018. The Funds pay an annualized commitment fee of 0.15% of the unused portion of the SCA. Each Portfolios’ portion of the commitment fee for the unused amount, allocated based upon a method approved by the Board, is accrued daily and paid quarterly. The interest on borrowings under the SCAs is paid monthly and at a per annum interest rate based upon a contractual spread plus the higher of (1) the effective federal funds rate, (2) the 1-month LIBOR rate or (3) zero percent.

Other affiliated registered investment companies that are parties to the SCA include portfolios that are subject to a predetermined mathematical formula used to manage certain benefit guarantees offered under variable annuity contracts. The formula may result in large scale asset flows into and out of these portfolios. Consequently, these portfolios may be more likely to utilize the SCA for purposes of funding redemptions. It may be possible for those portfolios to fully exhaust the committed amount of the SCA, thereby requiring the Manager to allocate available

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funding per a Board-approved methodology designed to treat the Funds in the SCA equitably.

The following Portfolios utilized the SCA during the reporting period ended June 30, 2018. The average balance outstanding is for the number of days the Portfolios had utilized the credit facility.

Portfolio	Average Balance Outstanding		Weighted Average Interest Rates			Number of Days Outstanding		Maximum Balance Outstanding		Balance Outstanding at June 30, 2018
Conservative Balanced Portfolio	$	15,613,000		3.25	%		3	$	15,613,000	$	—
Flexible Managed Portfolio		7,550,706		3.17			17		24,984,000		—
Government Income Portfolio		1,232,556		2.93			9		8,587,000		—

8. Capital and Ownership

The Series Fund offers Class I and Class II shares. Neither Class I nor Class II shares of the Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. Class I shares are also offered to separate accounts of non-affiliated insurers for which Prudential or its affiliates administer and/or reinsure the variable life insurance or variable annuity contracts issued in connection with the separate accounts. The separate accounts invest in shares of the Series Fund through subaccounts that correspond to the Portfolios. The separate accounts will redeem shares of the Series Fund to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts. As of June 30, 2018, the Equity Portfolio has Class II shares outstanding.

As of June 30, 2018, all of Class I shares of record of each Portfolio were owned by the Prudential Insurance Company of America (“PICA”), or subsidiaries thereof, on behalf of the owners of the variable insurance products issued by PICA. PICA is an indirect, wholly-owned subsidiary of Prudential.

In addition, the following number of shareholders held the following percentage of outstanding shares of Portfolio on behalf of multiple beneficial owners.

	Number of Shareholders		% of Outstanding Shares		% held by an Affiliate of Prudential
Conservative Balanced Portfolio		3		100		100
Diversified Bond Portfolio		3		98		98
Equity Portfolio		3		100		100
Flexible Managed Portfolio		3		100		100
Global Portfolio		2		98		98
Government Income Portfolio		2		98		98
Government Money Market Portfolio		2		96		96
Stock Index Portfolio		3		100		100

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Transactions in shares of beneficial interest of the Equity Portfolio were as follows:

Equity Portfolio:

Class I:	Shares			Amount
Period ended June 30, 2018:
Series shares sold		235,942		$	12,884,671
Series shares repurchased		(3,312,849	)		(179,875,648	)
Capital contributions		—			276,606
Net increase (decrease) in shares outstanding		(3,076,907	)	$	(166,714,371	)
Year ended December 31, 2017:
Series shares sold		167,133		$	7,721,540
Series shares repurchased		(5,811,087	)		(268,966,449	)
Net increase (decrease) in shares outstanding		(5,643,954	)	$	(261,244,909	)
Class II:
Period ended June 30, 2018:
Series shares sold		8,984		$	496,222
Series shares repurchased		(11,653	)		(639,022	)
Capital contributions		—			128
Net increase (decrease) in shares outstanding		(2,669	)	$	(142,672	)
Year ended December 31, 2017:
Series shares sold		85		$	3,938
Series shares repurchased		(8,919	)		(427,848	)
Net increase (decrease) in shares outstanding		(8,834	)	$	(423,910	)

9. Other Risks

The Portfolios’ risks include, but are not limited to, some or all of the risks discussed below:

Bond Obligations Risk:    The Portfolios’ holdings, share price, yield and total return may fluctuate in response to bond market movements. The value of bonds may decline for issuer-related reasons, including management performance, financial leverage and reduced demand for the issuer’s goods and services. Certain types of fixed-income obligations also may be subject to “call and redemption risk,” which is the risk that the issuer may call a bond held by the Portfolios for redemption before it matures and the Portfolios may not be able to reinvest at the same level and therefore would earn less income.

Derivatives Risk:    Derivatives involve special risks and costs and may result in losses to the Portfolios. The prices of derivatives may move in unexpected ways, especially in abnormal market conditions. Some derivatives are “leveraged” and therefore may magnify or otherwise increase investment losses to the Portfolios. The Portfolios’ use of derivatives may also increase the amount of taxes payable by shareholders. Other risks arise from the potential inability to terminate or close out of derivatives positions. A liquid secondary market may not always exist for the Portfolios’ derivatives positions. Generally, many OTC derivative instruments will not have liquidity beyond the counterparty to the instrument. OTC derivative instruments also involve the risk that the other party will not meet its obligations to the Portfolios.

Emerging Markets Risk:    The risks of foreign investments are greater for investments in or exposed to emerging markets. Emerging market countries typically have economic and political systems that are less fully developed, and can be expected to be less stable, than those of more developed countries. For example, the economies of such countries can be subject to rapid and unpredictable rates of inflation or deflation. Low trading volumes may result in a lack of liquidity and price volatility. Emerging market countries may have policies that restrict investment by non-US investors, or that prevent non-US investors from withdrawing their money at will.

Foreign Securities Risk:    The Portfolios’ investments in securities of foreign issuers or issuers with significant exposure to foreign markets involve additional risk. Foreign countries in which each Portfolio may invest may have markets that are less liquid, less regulated and more volatile than US markets. The value of each Portfolio’s investments may decline because of factors affecting the particular issuer as well as foreign markets and issuers generally, such as unfavorable government actions, and political or financial instability.

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Geographic Concentration Risk:    The Portfolio’s performance may be closely tied to the market, economic, political, regulatory or other conditions in the countries or regions in which the Portfolio invests. This can result in more pronounced risks based upon conditions that impact one or more countries or regions more or less than other countries or regions.

Interest Rate Risk:    The value of an investment may go down when interest rates rise. A rise in rates tends to have a greater impact on the prices of longer term or duration securities. When interest rates fall, the issuers of debt obligations may prepay principal more quickly than expected, and the Portfolios may be required to reinvest the proceeds at a lower interest rate. This is referred to as “prepayment risk.” When interest rates rise, debt obligations may be repaid more slowly than expected, and the value of the Portfolios’ holdings may fall sharply. This is referred to as “extension risk. The Portfolios investments may lose value if short-term or long-term interest rates rise sharply or in a manner not anticipated by the subadviser.

Liquidity Risk:    The Portfolios may invest in instruments that trade in lower volumes and are less liquid than other investments. Liquidity risk includes the risk that the Portfolios may make investments that may become less liquid in response to market developments or adverse investor perceptions. Investments that are illiquid or that trade in lower volumes may be more difficult to value. When there is no willing buyer and investments cannot be readily sold at the desired time or price, the Portfolios may have to accept a lower price or may not be able to sell the instrument at all. An inability to sell a portfolio position can adversely affect the Portfolios’ value or prevent the Portfolios from being able to take advantage of other investment opportunities.

Market and Credit Risk:    Securities markets may be volatile and the market prices of the Portfolios’ securities may decline. Securities fluctuate in price based on changes in an issuer’s financial condition and overall market and economic conditions. If the market prices of the securities owned by the Portfolios fall, the value of an investment in the Portfolios will decline. Additionally, the Portfolios may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolios have unsettled or open transactions defaults.

Mortgage-Backed and Other Asset-Backed Securities Risk:    Mortgage-related securities are usually pass-through instruments that pay investors a share of all interest and principal payments from an underlying pool of fixed or adjustable rate mortgages. Asset-backed securities are another type of pass-through instruments that pays interest based upon the cash flow of an underlying pool of assets, such as automobile loans or credit card receivables. Asset-backed securities can also be collateralized by a portfolio of corporate bonds including junk bonds or other securities. The values of mortgage-backed and asset-backed securities vary with changes in interest rates and are particularly sensitive to prepayments (the risk is that the underlying debt instruments may be partially or wholly prepaid during periods of falling interest rates, which could require the Portfolios to reinvest in lower yielding debt instruments) or extensions (the risk is that rising interest rates may cause the underlying debt instruments to be repaid more slowly by the debtor, causing the value of the securities to fall). Asset-backed securities are also subject to liquidity risk.

Municipal Bonds Risk:    Municipal bonds are subject to credit risk, market risk and interest rate risk. The Portfolios’ holdings, share price, yield and total return may also fluctuate in response to municipal bond market movements. Municipal bonds are also subject to the risk that potential future legislative changes could affect the market for and value of municipal bonds, which may adversely affect the Portfolios’ yield or the value of the Portfolios’ investments in municipal bonds.

Non-diversification Risk:    The Portfolio is non-diversified, meaning that the Portfolio may invest a greater percentage of its assets in the securities of a single company or other issuer than a diversified portfolio. Investing in a non-diversified portfolio involves greater risk than investing in a diversified portfolio because a loss resulting from the decline in value of any one security may represent a greater portion of the total assets of a non-diversified portfolio.

Risks of Investments in Bank Loans:    The Portfolios’ ability to receive payments of principal and interest and other amounts in connection with loans (whether through participations, assignments or otherwise) will depend primarily on the financial condition of the borrower. The failure by the Portfolios scheduled interest or principal payments on a loan because of a default, bankruptcy or any other reason would adversely affect the income of the Portfolios and would likely reduce the value of its assets. Even with loans secured by collateral, there is the risk that the value of the collateral may decline, may be insufficient to meet the obligations of the borrower, or be difficult to liquidate. In the event of a default, the Portfolios may have difficulty collecting on any collateral and would not have the ability to collect on any collateral for an uncollateralized loan. Further, the Portfolios’ access to collateral, if any, may be limited by bankruptcy laws.

B17

Risks of Investing in Real Estate Investment Trusts (REITs):    Real estate securities are subject to similar risks as direct investments in real estate and mortgages, and their value will depend on the value of the underlying properties or the underlying loans or interests. The underlying loans may be subject to the risks of default or of payments that occur earlier or later than expected, and such loans may also include so-called “subprime” mortgages. The value of these securities will rise and fall in response to many factors, Including economic conditions, the demand for rental property and interest rates. In particular, the value of these securities may decline when interest rates rise and will also be affected by the real estate market and by the management of the underlying properties.

In addition, investing in REITs involves certain unique risks in addition to those risks associated with investing in the real estate industry in general. Equity REITs may be affected by changes in the value of the underlying property owned by the REITs, while mortgage REITs may be affected by the quality of any credit extended. REITs are dependent upon management skills, may not be diversified geographically or by property/mortgage asset type, and are subject to heavy cash flow dependency, default by borrowers and self-liquidation. Since REITs are relatively smaller in size when compared to the broader market, and smaller companies tend to be more volatile than larger companies, they may be more volatile and/or more illiquid than other types of equity securities. REITs (especially mortgage REITs) are subject to interest rate risks. REITs may incur significant amounts of leverage. The Portfolio will indirectly bear a portion of the expenses, including management fees, paid by each REIT in which it invests, in addition to the expenses of the Portfolio.

Risks of Investing in Treasury Inflation Protected Securities (TIPS):    The value of TIPS generally fluctuates in response to inflationary concerns. As inflationary expectations increase, TIPS will become more attractive, because they protect future interest payments against inflation. Conversely, as inflationary concerns decrease, TIPS will become less attractive and less valuable. Although the principal value of TIPS declines in periods of deflation, holders at maturity receive no less than the par value of the bond. However, if a Portfolio purchases TIPS in the secondary market, where principal values have been adjusted upward due to inflation since issuance, it may experience a loss if there is a subsequent period of deflation. If inflation is lower than expected during the period a Portfolio holds TIPS, the Portfolio may earn less on the security than on a conventional bond.

US Government and Agency Securities Risk:    US Government and agency securities are subject to market risk, interest rate risk and credit risk. Not all US Government securities are insured or guaranteed by the full faith and credit of the US Government; some are only insured or guaranteed by the issuing agency, which must rely on its own resources to repay the debt. In addition, the value of US Government securities may be affected by changes in the credit rating of the US Government.

B18

Financial Highlights

(unaudited)

	Conservative Balanced Portfolio
	Six Months Ended			Year Ended December 31,
	June 30, 2018			2017			2016			2015			2014			2013
Per Share Operating Performance(a):
Net Asset Value, beginning of period	$	27.17		$	24.18		$	22.54		$	22.45		$	20.63		$	17.77
Income (Loss) From Investment Operations:
Net investment income (loss)		0.26			0.45			0.42			0.39			0.36			0.35
Net realized and unrealized gain (loss) on investments		(0.12	)		2.54			1.20			(0.30	)		1.46			2.51
Total from investment operations		0.14			2.99			1.62			0.09			1.82			2.86
Capital Contributions		—	(b)(c)		—			0.02	(d)		—			—			—
Net Asset Value, end of period	$	27.31		$	27.17		$	24.18		$	22.54		$	22.45		$	20.63
Total Return(e):		0.52	%(f)		12.37	%		7.28	%(g)		0.40	%		8.82	%		16.09	%
Ratios/Supplemental Data:
Net assets, end of period (millions)	$	2,520.6		$	2,594.7		$	2,473.2		$	2,554.3		$	2,574.4		$	2,504.4
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		0.58	%(i)		0.58	%		0.58	%		0.58	%		0.58	%		0.58	%
Expenses before waivers and/or expense reimbursement		0.58	%(i)		0.58	%		0.58	%		0.58	%		0.58	%		0.58	%
Net investment income (loss)		1.89	%(i)		1.75	%		1.79	%		1.70	%		1.66	%		1.84	%
Portfolio turnover rate(j)(k)		56	%(l)		136	%		185	%		208	%		134	%		196	%
	Diversified Bond Portfolio
	Six Months Ended			Year Ended December 31,
	June 30, 2018(a)			2017(a)			2016(a)			2015(a)			2014(a)			2013
Per Share Operating Performance:
Net Asset Value, beginning of period	$	13.14		$	12.28		$	11.64		$	11.66		$	11.01		$	11.88
Income (Loss) From Investment Operations:
Net investment income (loss)		0.21			0.42			0.43			0.41			0.43			0.48
Net realized and unrealized gain (loss) on investments		(0.43	)		0.44			0.21			(0.43	)		0.34			(0.56	)
Total from investment operations		(0.22	)		0.86			0.64			(0.02	)		0.77			(0.08	)
Less Distributions:		—			—			—			—			(0.12	)		(0.79	)
Capital Contributions		—			—			—	(c)(d)		—			—			—
Net Asset Value, end of period	$	12.92		$	13.14		$	12.28		$	11.64		$	11.66		$	11.01
Total Return(e):		(1.67	)%		7.00	%		5.50	%(m)		(0.17	)%		7.09	%		(0.71	)%
Ratios/Supplemental Data:
Net assets, end of period (millions)	$	1,142.8		$	1,145.1		$	1,104.6		$	1,084.9		$	1,067.9		$	1,197.5
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		0.44	%(i)		0.44	%		0.44	%		0.46	%		0.44	%		0.44	%
Expenses before waivers and/or expense reimbursement		0.44	%(i)		0.44	%		0.44	%		0.46	%		0.44	%		0.44	%
Net investment income (loss)		3.34	%(i)		3.28	%		3.52	%		3.48	%		3.73	%		4.10	%
Portfolio turnover rate(j)		31	%(l)		71	%		49	%		81	%		50	%		111	%

(a) Calculated based on average shares outstanding during the period.

(b) Represents payment received by the Portfolio, from Prudential Financial, Inc., in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership.

(c) Less than $0.005 per share.

(d) Represents payment received by the Portfolio, from Prudential Financial, Inc., in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

(e) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

(f) Total return for the period includes the impact of the capital contribution, which was not material to the total return.

(g) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 7.19%

(h) Does not include expenses of the underlying funds in which the Portfolio invests.

(i) Annualized.

(j) The Portfolio’s turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s turnover rate may be higher.

(k) The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate.

(l) Not annualized.

(m) Total return for the year includes the impact of the capital contribution, which was not material to the total return.

SEE NOTES TO FINANCIAL STATEMENTS.

C1

Financial Highlights

(unaudited)

	Equity Portfolio
	Class I
	Six Months Ended			Year Ended December 31,
	June 30, 2018(a)			2017(a)			2016(a)			2015(a)			2014(a)			2013
Per Share Operating Performance:
Net Asset Value, beginning of period	$	51.52		$	40.96		$	39.47		$	38.56		$	35.81		$	26.81
Income (Loss) From Investment Operations:
Net investment income (loss)		0.26			0.41			0.38			0.34			0.19			0.27
Net realized and unrealized gain (loss) on investments		2.81			10.15			1.07			0.57			2.56			8.73
Total from investment operations		3.07			10.56			1.45			0.91			2.75			9.00
Capital Contributions		—	(b)(c)		—			0.04	(d)		—			—			—
Net Asset Value, end of period	$	54.59		$	51.52		$	40.96		$	39.47		$	38.56		$	35.81
Total Return(e)		5.96	%(f)		25.78	%		3.78	%(g)		2.36	%		7.68	%		33.57	%
Ratios/Supplemental Data:
Net assets, end of period (millions)	$	4,510.7		$	4,415.6		$	3,741.7		$	3,846.2		$	4,017.6		$	3,970.9
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		0.47	%(i)		0.47	%		0.47	%		0.47	%		0.47	%		0.47	%
Expenses before waivers and/or expense reimbursement		0.47	%(i)		0.47	%		0.47	%		0.47	%		0.47	%		0.47	%
Net investment income (loss)		0.98	%(i)		0.89	%		1.01	%		0.86	%		0.52	%		0.86	%
Portfolio turnover rate(j)		16	%(k)		55	%		39	%		37	%		51	%		45	%
	Equity Portfolio
	Class II
	Six Months Ended			Year Ended December 31,
	June 30, 2018(a)			2017(a)			2016(a)			2015(a)			2014(a)			2013
Per Share Operating Performance:
Net Asset Value, beginning of period	$	51.04		$	40.74		$	39.42		$	38.66		$	36.05		$	27.10
Income (Loss) From Investment Operations:
Net investment income (loss)		0.16			0.23			0.23			0.18			0.04			0.13
Net realized and unrealized gain (loss) on investments		2.78			10.07			1.05			0.58			2.57			8.82
Total from investment operations		2.94			10.30			1.28			0.76			2.61			8.95
Capital Contributions		—	(b)(c)		—			0.04	(d)		—			—			—
Net Asset Value, end of period	$	53.98		$	51.04		$	40.74		$	39.42		$	38.66		$	36.05
Total Return(e)		5.76	%(f)		25.28	%		3.35	%(g)		1.97	%		7.24	%		33.03	%
Ratios/Supplemental Data:
Net assets, end of period (millions)	$	1.6		$	1.7		$	1.7		$	2.0		$	2.2		$	2.3
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		0.87	%(i)		0.87	%		0.87	%		0.87	%		0.87	%		0.87	%
Expenses before waivers and/or expense reimbursement		0.87	%(i)		0.87	%		0.87	%		0.87	%		0.87	%		0.87	%
Net investment income (loss)		0.60	%(i)		0.50	%		0.61	%		0.46	%		0.11	%		0.47	%
Portfolio turnover rate(j)		16	%(k)		55	%		39	%		37	%		51	%		45	%

(a) Calculated based on average shares outstanding during the period.

(b) Represents payment received by the Portfolio, from Prudential Financial, Inc., in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership.

(c) Less than $0.005 per share.

(d) Represents payment received by the Portfolio, from Prudential Financial, Inc., in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

(e) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

(f) Total return for the period includes the impact of capital contribution, which was not material to the total return.

(g) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 3.68% and 3.25% for Class I and Class II, respectively.

(h) Does not include expenses of the underlying funds in which the Portfolio invests.

(i) Annualized.

(j) The Portfolio’s turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s turnover rate may be higher.

(k) Not annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

C2

Financial Highlights

(unaudited)

	Flexible Managed Portfolio
	Six Months Ended			Year Ended December 31,
	June 30, 2018			2017			2016			2015			2014			2013
Per Share Operating Performance(a):
Net Asset Value, beginning of period	$	29.88		$	25.99		$	23.95		$	23.71		$	21.35		$	17.77
Income (Loss) From Investment Operations:
Net investment income (loss)		0.25			0.45			0.44			0.42			0.37			0.36
Net realized and unrealized gain (loss) on investments		(0.03	)		3.44			1.58			(0.18	)		1.99			3.22
Total from investment operations		0.22			3.89			2.02			0.24			2.36			3.58
Capital Contributions		—	(b)(c)		—			0.02	(d)		—			—			—
Net Asset Value, end of period	$	30.10		$	29.88		$	25.99		$	23.95		$	23.71		$	21.35
Total Return(e):		0.74	%(f)		14.97	%		8.52	%(g)		1.01	%		11.05	%		20.15	%
Ratios/Supplemental Data:
Net assets, end of period (millions)	$	4,135.4		$	4,229.7		$	3,889.8		$	3,768.8		$	3,943.8	��	$	3,730.6
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		0.62	%(i)		0.62	%		0.63	%		0.63	%		0.63	%		0.63	%
Expenses before waivers and/or expense reimbursement		0.62	%(i)		0.62	%		0.63	%		0.63	%		0.63	%		0.63	%
Net investment income (loss)		1.67	%(i)		1.62	%		1.78	%		1.74	%		1.66	%		1.86	%
Portfolio turnover rate(j)(k)		70	%(l)		175	%		203	%		213	%		161	%		210	%
	Global Portfolio
	Six Months Ended			Year Ended December 31,
	June 30, 2018(a)			2017(a)			2016(a)			2015(a)			2014(a)			2013
Per Share Operating Performance:
Net Asset Value, beginning of period	$	34.33		$	27.50		$	26.33		$	25.72		$	24.91		$	19.57
Income (Loss) From Investment Operations:
Net investment income (loss)		0.29			0.42			0.34			0.34			0.37			0.31
Net realized and unrealized gain (loss) on investments		0.72			6.41			0.81			0.27			0.44			5.03
Total from investment operations		1.01			6.83			1.15			0.61			0.81			5.34
Capital Contributions		0.01	(b)		—			0.02	(d)		—			—			—
Net Asset Value, end of period	$	35.35		$	34.33		$	27.50		$	26.33		$	25.72		$	24.91
Total Return(e):		2.97	%(m)		24.84	%		4.44	%(n)		2.37	%		3.25	%		27.29	%
Ratios/Supplemental Data:
Net assets, end of period (millions)	$	1,142.1		$	1,132.9		$	955.4		$	965.3		$	719.2		$	744.5
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		0.78	%(i)		0.79	%		0.80	%		0.81	%		0.81	%		0.84	%
Expenses before waivers and/or expense reimbursement		0.80	%(i)		0.81	%		0.81	%		0.82	%		0.82	%		0.84	%
Net investment income (loss)		1.64	%(i)		1.34	%		1.29	%		1.28	%		1.45	%		1.29	%
Portfolio turnover rate(j)		14	%(l)		33	%		40	%		33	%		37	%		70	%

(a) Calculated based on average shares outstanding during the period.

(b) Represents payment received by the Portfolio, from Prudential Financial, Inc., in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership.

(c) Less than $0.005 per share.

(d) Represents payment received by the Portfolio, from Prudential Financial, Inc., in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

(e) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

(f) Total return for the period includes the impact of the capital contribution, which was not material to the total return.

(g) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 8.44%.

(h) Does not include expenses of the underlying funds in which the Portfolio invests.

(i) Annualized.

(j) The Portfolio’s turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s turnover rate may be higher.

(k) The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate.

(l) Not annualized.

(m) Total return for the period includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 2.94%.

(n) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 4.36%.

SEE NOTES TO FINANCIAL STATEMENTS.

C3

Financial Highlights

(unaudited)

	Government Income Portfolio
	Six Months Ended			Year Ended December 31,
	June 30, 2018(a)			2017(a)			2016(a)			2015(a)			2014			2013
Per Share Operating Performance:
Net Asset Value, beginning of period	$	12.62		$	12.26		$	12.00		$	11.92		$	11.30		$	12.15
Income (Loss) From Investment Operations:
Net investment income (loss)		0.13			0.23			0.20			0.18			0.21			0.21
Net realized and unrealized gain (loss) on investments		(0.26	)		0.13			0.06			(0.10	)		0.45			(0.49	)
Total from investment operations		(0.13	)		0.36			0.26			0.08			0.66			(0.28	)
Less Distributions:		—			—			—			—			(0.04	)		(0.57	)
Capital Contributions		—			—			—	(b)(c)		—			—			—
Net Asset Value, end of period	$	12.49		$	12.62		$	12.26		$	12.00		$	11.92		$	11.30
Total Return(d):		(1.03	)%		2.94	%		2.17	%(e)		0.67	%		5.86	%		(2.34	)%
Ratios/Supplemental Data:
Net assets, end of period (millions)	$	232.0		$	244.1		$	226.3		$	231.8		$	339.2		$	341.1
Ratios to average net assets(f):
Expenses after waivers and/or expense reimbursement		0.52	%(g)		0.53	%		0.51	%		0.48	%		0.47	%		0.49	%
Expenses before waivers and/or expense reimbursement		0.52	%(g)		0.53	%		0.51	%		0.48	%		0.47	%		0.49	%
Net investment income (loss)		2.16	%(g)		1.84	%		1.60	%		1.48	%		1.73	%		1.78	%
Portfolio turnover rate(h)(i)		160	%(j)		495	%		705	%		746	%		830	%		1,135	%
	Government Money Market Portfolio
	Six Months Ended			Year Ended December 31,
	June 30, 2018(a)			2017(a)			2016(a)			2015(a)			2014			2013
Per Share Operating Performance:
Net Asset Value, beginning of period	$	10.00		$	10.00		$	10.00		$	10.00		$	10.00		$	10.00
Income (Loss) From Investment Operations:
Net investment income (loss) and realized gains (losses)		0.06			0.06			0.01			—	(c)		—	(c)		—	(c)
Less Distributions:		(0.06	)		(0.06	)		(0.01	)		—	(c)		—	(c)		—	(c)
Net Asset Value, end of period	$	10.00		$	10.00		$	10.00		$	10.00		$	10.00		$	10.00
Total Return(d):		0.62	%		0.56	%		0.10	%		—	%(k)		—	%(k)		—	%(k)
Ratios/Supplemental Data:
Net assets, end of period (millions)	$	558.6		$	559.6		$	724.2		$	650.8		$	823.6		$	866.0
Ratios to average net assets:
Expenses after waivers and/or expense reimbursement		0.35	%(g)		0.35	%		0.35	%		0.19	%		0.16	%		0.17	%
Expenses before waivers and/or expense reimbursement		0.35	%(g)		0.35	%		0.35	%		0.44	%		0.44	%		0.44	%
Net investment income (loss)		1.26	%(g)		0.55	%		0.09	%		0.00	%(k)		0.00	%(k)		0.00	%(k)

(a) Calculated based on average shares outstanding during the period.

(b) Represents payment received by the Portfolio, from Prudential Financial, Inc., in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

(c) Less than $0.005 per share.

(d) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

(e) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 0.00%.

(f) Does not include expenses of the underlying funds in which the Portfolio invests.

(g) Annualized.

(h) The Portfolio’s turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s turnover rate may be higher.

(i) The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate.

(j) Not annualized.

(k) Less than 0.005%.

SEE NOTES TO FINANCIAL STATEMENTS.

C4

Financial Highlights

(unaudited)

	Stock Index Portfolio
	Six Months Ended			Year Ended December 31,
	June 30, 2018			2017			2016			2015			2014			2013
Per Share Operating Performance(a):
Net Asset Value, beginning of period	$	59.38		$	50.70		$	48.59		$	49.33		$	47.02		$	35.65
Income (Loss) From Investment Operations:
Net investment income (loss)		0.48			0.92			0.89			0.86			0.79			0.73
Net realized and unrealized gain (loss) on investments		1.03			9.75			4.52			(0.26	)		5.20			10.64
Total from investment operations		1.51			10.67			5.41			0.60			5.99			11.37
Less Distributions:		—			(1.99	)		(3.37	)		(1.34	)		(3.68	)		—
Capital Contributions		—			—			0.07	(b)		—			—			—
Net Asset Value, end of period	$	60.89		$	59.38		$	50.70		$	48.59		$	49.33		$	47.02
Total Return(c):		2.54	%		21.46	%		11.83	%(d)		1.18	%		13.31	%		31.89	%
Ratios/Supplemental Data:
Net assets, end of period (millions)	$	4,013.6		$	3,928.3		$	3,305.1		$	3,010.1		$	3,312.7		$	2,890.5
Ratios to average net assets(e):
Expenses after waivers and/or expense reimbursement		0.31	%(f)		0.32	%		0.32	%		0.32	%		0.32	%		0.32	%
Expenses before waivers and/or expense reimbursement		0.31	%(f)		0.32	%		0.34	%		0.37	%		0.37	%		0.37	%
Net investment income (loss)		1.59	%(f)		1.69	%		1.84	%		1.74	%		1.67	%		1.77	%
Portfolio turnover rate(g)		3	%(h)		4	%		5	%		9	%		5	%		3	%

(a) Calculated based on average shares outstanding during the period.

(b) Represents payment received by the Portfolio, from Prudential Financial, Inc., in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

(c) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

(d) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 11.69%.

(e) Does not include expenses of the underlying funds in which the Portfolio invests.

(f) Annualized.

(g) The Portfolio’s turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s turnover rate may be higher.

(h) Not annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

C5

The Prudential Variable Contract Account — 10

Approval of Advisory Agreements

The VCA-10 Committee

The Committee of the Prudential Variable Contract Account-10 (“VCA-10”) (the “Committee”) consists of eight individuals, six of whom are not “interested persons” of VCA-10, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Committee Members”). The Committee is responsible for the oversight of VCA-10 and its operations, and performs the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Committee Members have retained independent legal counsel to assist them in connection with their duties. The Chair of the Committee is an Independent Committee Member. The Committee has established four standing committees: the Audit Committee, the Nominating and Governance Committee, and two Investment Committees. Each committee is chaired by, and composed of, Independent Committee Members.

Annual Approval of VCA-10’s Advisory Agreements

As required under the 1940 Act, the Committee determines annually whether to renew VCA-10’s management agreement with PGIM Investments LLC (“PGIM Investments”) and VCA-10’s subadvisory agreement with Jennison Associates LLC (“Jennison”). In considering the renewal of the agreements, the Committee, including all of the Independent Committee Members, met on June 7, 2018 and on June 19-21, 2018 and approved the renewal of the agreements through July 31, 2019, after concluding that the renewal of the agreements was in the best interests of VCA-10 and its investors.

In advance of the meetings, the Committee requested and received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with its consideration. Among other things, the Committee considered comparative fee information from PGIM Investments and Jennison. Also, the Committee considered comparisons with other mutual funds in relevant Peer Universes and Peer Groups, as is further discussed below.

In approving the agreements, the Committee, including the Independent Committee Members advised by independent legal counsel, considered the factors it deemed relevant, including the nature, quality and extent of services provided by PGIM Investments and the subadviser, the performance of VCA-10, the profitability of PGIM Investments and its affiliates, expenses and fees, and the potential for economies of scale that may be shared with VCA-10 and its investors as VCA-10’s assets grow. In its deliberations, the Committee did not identify any single factor which alone was responsible for the Committee’s decision to approve the agreements with respect to VCA-10. In connection with its deliberations, the Committee considered information provided by PGIM Investments throughout the year at regular Committee meetings, presentations from portfolio managers and other information, as well as information furnished at or in advance of the meetings on June 7, 2018 and on June 19-21, 2018.

The Committee determined that the overall arrangements between VCA-10 and PGIM Investments, which serves as VCA-10’s investment manager pursuant to a management agreement, and between PGIM Investments and Jennison, which serves as VCA-10’s subadviser pursuant to the terms of a subadvisory agreement with PGIM Investments, are in the best interests of VCA-10 and its investors in light of the services performed, fees charged and such other matters as the Committee Members considered relevant in the exercise of their business judgment.

The material factors and conclusions that formed the basis for the Committee’s reaching its determinations to approve the continuance of the agreements are separately discussed below.

Nature, Quality and Extent of Services

The Committee received and considered information regarding the nature, quality and extent of services provided to VCA-10 by PGIM Investments and Jennison. The Committee considered the services provided by PGIM Investments, including but not limited to the oversight of the subadviser for VCA-10, as well as the provision of recordkeeping, compliance, and other services to VCA-10. With respect to PGIM Investments’ oversight of the subadviser, the Committee noted that PGIM Investments’ Strategic Investment Research Group (“SIRG”), which is a business unit of PGIM Investments, is responsible for monitoring and reporting to PGIM Investments’ senior management on the performance and operations of the subadviser. The Committee also considered that PGIM Investments pays the salaries of all of the officers and Committee Members. The Committee also considered the investment subadvisory services provided by Jennison, as well as adherence to VCA-10’s investment restrictions and compliance with applicable VCA-10 policies and procedures. The Committee considered PGIM Investments’ evaluation of the subadviser, as well as PGIM Investments’ recommendation, based on its review of the subadviser, to renew the subadvisory agreement.

The Committee considered the qualifications, backgrounds and responsibilities of PGIM Investments’ senior management responsible for the oversight of VCA-10 and Jennison, and also considered the qualifications, backgrounds and responsibilities of Jennison’s portfolio managers who are responsible for the day-to-day management of VCA-10’s portfolio. The Committee was provided with information pertaining to PGIM Investments’ and Jennison’s organizational structure, senior management, investment operations, and other relevant information pertaining to both PGIM Investments and Jennison. The Committee also noted that it received favorable compliance reports from VCA-10’s Chief Compliance Officer (“CCO”) as to both PGIM Investments and Jennison. The Committee noted that Jennison is affiliated with PGIM Investments.

The Committee concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PGIM Investments and the subadvisory services provided to VCA-10 by Jennison, and that there was a reasonable basis on which to conclude that VCA-10 benefits from the services provided by PGIM Investments and Jennison under the management and subadvisory agreements.

Costs of Services and Profits Realized by PGIM Investments

The Committee was provided with information on the profitability of PGIM Investments and its affiliates in serving as VCA-10’s investment manager. The Committee discussed with PGIM Investments the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Committee recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the adviser’s capital structure and cost of capital. Taking these factors into account, the Committee concluded that the profitability of PGIM Investments and its affiliates in relation to the services rendered was not unreasonable.

Economies of Scale

The Committee received and discussed information concerning economies of scale that PGIM Investments may realize as VCA-10’s assets grow beyond current levels. During the course of time, the Committee has considered information regarding the launch date of VCA-10, the management fees of VCA-10 compared to those of similarly managed funds and PGIM Investments’ investment in VCA-10 over time. The Committee noted that, while VCA-10 does not have breakpoints in its management fees, economies of scale can be shared with VCA-10 in other ways, including low management fees from inception, additional technological and personnel investments to enhance shareholder services, and maintaining existing expense structures in the face of a rising cost environment. The Committee considered PGIM Investments’ assertion that it continually evaluates the management fee schedule of VCA-10 and the potential to share economies of scale through breakpoints or fee waivers as asset levels increase.

The Committee recognized the inherent limitations of any analysis of economies of scale, stemming largely from the Committee’s understanding that most of PGIM Investments’ costs are not specific to individual funds, but rather are incurred across a variety of products and services.

Other Benefits to PGIM Investments and Jennison

The Committee considered potential ancillary benefits that might be received by PGIM Investments and Jennison and their affiliates as a result of their relationship with VCA-10. The Committee concluded that potential benefits to be derived by PGIM Investments included benefits to its reputation or other intangible benefits resulting from PGIM Investments’ association with VCA-10. The Committee concluded that the potential benefits to be derived by Jennison included the ability to use soft dollar credits, as well as the potential benefits consistent with those generally resulting from an increase in assets under management, specifically, potential access to additional research resources and benefits to its reputation. The Committee concluded that the benefits derived by PGIM Investments and Jennison were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.

Performance of VCA-10 / Fees and Expenses

The Committee considered certain additional specific factors and made related conclusions relating to the historical performance of VCA-10 for the one-, three-, five- and ten-year periods ended December 31, 2017. The Committee also considered VCA-10’s actual management fee, as well as VCA-10’s net total expense ratio, for the fiscal year ended December 31, 2017. The Committee considered the management fee for VCA-10 as compared to the management fee charged by PGIM Investments to other funds and the fee charged by other advisers to comparable mutual funds in a Peer Group. The actual management fee represents the fee rate actually paid by

VCA-10 investors and includes any fee waivers or reimbursements. The net total expense ratio for VCA-10 represents the actual expense ratio incurred by VCA-10 investors.

The mutual funds included in the Peer Universe, which was used to consider performance, and the Peer Group, which was used to consider fees and expenses, were objectively determined by Broadridge, an independent provider of mutual fund data. In certain circumstances PGIM Investments also may have provided supplemental Peer Universe of Peer Group information for reasons addressed with the Committee. The comparisons placed VCA-10 in various quartiles, with the first quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds).

The section below summarizes key factors considered by the Committee and the Committee’s conclusions regarding VCA-10’s performance, fees and overall expenses. The table sets forth gross performance comparisons (which do not reflect the impact on performance of any fund expenses, or subsidies, expense caps or waivers that may be applicable) with the Peer Universe, actual management fees with the Peer Group (which reflect the impact of any subsidies or fee waivers), and net total expenses with the Peer Group, each of which were key factors considered by the Committee.

Performance	1 Year	3 Years	5 Years	10 Years
	1st Quartile	4th Quartile	4th Quartile	4th Quartile
Actual Management Fees: 1st Quartile
Net Total Expenses: 4th Quartile

• The Committee noted that VCA-10 outperformed its benchmark index over the one-year period, though it underperformed over the three-, five- and ten-year periods.

• The Board considered PGIM Investments’ explanation that VCA-10’s fourth quartile ranking for net total expenses was attributable to the fact that, because it was organized as a managed separate account, VCA-10 charged both an administrative fee as well as a management fee, while the other funds included in the Peer Group were organized as open-end mutual funds which charged only a management fee, with the administrative fee charged at the product level. In this regard, the Board noted PGIM Investments’ assertion that if VCA-10’s administrative fee was excluded, VCA-10 would have ranked in the first quartile for net total expenses.

• The Committee concluded that, in light of the above, it would be in the best interests of VCA-10 and its investors to renew the agreements.

• The Committee concluded that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

***

After full consideration of these factors, the Committee concluded that the approval of the agreements was in the best interests of VCA-10 and its investors.

The Prudential Series Fund

Approval of Advisory Agreements

The Trust’s Board of Trustees

The Board of Trustees (the Board) of The Prudential Series Fund (the Trust, and each series thereof, the Portfolios) consists of nine individuals, eight of whom are not “interested persons” of the Trust, as defined in the Investment Company Act of 1940, as amended (the 1940 Act) (the Independent Trustees). The Board is responsible for the oversight of the Trust and each of its Portfolios, their operations, and performs the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Trustees have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Trustee. The Board has established four standing committees: the Audit Committee, the Governance Committee, the Compliance Committee and the Investment Review and Risk Committee. Each committee is chaired by an Independent Trustee.

Annual Approval of the Trust’s Advisory Agreements

As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreement with PGIM Investments LLC (“PGIM Investments”) and each Portfolio’s subadvisory agreement(s). As is further discussed and explained below, in considering the renewal of the agreements, the Board, including all of the Independent Trustees, met on June 12-13, 2018 (“the Meeting”) and approved the renewal of the agreements through July 31, 2019, after concluding that the renewal of the agreements was in the best interests of the Trust, each Portfolio and each Portfolio’s beneficial shareholders.

In advance of the Meeting, the Trustees requested and received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with the consideration of those agreements. Among other things, the Board considered comparisons with other mutual funds in a relevant peer universe and peer group, as is further discussed below.

In approving the agreements, the Board, including the Independent Trustees advised by independent legal counsel, considered the factors it deemed relevant, including the nature, quality and extent of services provided, the performance of each Portfolio, the profitability of PGIM Investments and its affiliates, expenses and fees, and the potential for economies of scale that may be shared with each Portfolio and its shareholders. In their deliberations, the Trustees did not identify any single factor that alone was responsible for the Board’s decision to approve the agreements. In connection with its deliberations, the Board considered information provided at or in advance of the Meeting, as well as information provided throughout the year at regular and special Board meetings, including presentations from PGIM Investments and subadviser personnel such as portfolio managers.

The Trustees determined that the overall arrangements between the Trust and PGIM Investments, which serves as the Trust’s investment manager pursuant to a management agreement, and between PGIM Investments and each subadviser, each of which serves pursuant to the terms of a subadvisory agreement with PGIM Investments, are in the best interests of the Trust, each Portfolio and each Portfolio’s shareholders in light of the services performed, fees charged and such other matters as the Trustees considered relevant in the exercise of their business judgment. The Board considered the approval of the agreements for each Portfolio as part of its consideration of agreements for multiple Portfolios, but its approvals were made on a Portfolio-by-Portfolio basis.

The material factors and conclusions that formed the basis for the Trustees’ determinations to approve the renewal of the agreements are discussed separately below.

Nature, Quality and Extent of Services

The Board received and considered information regarding the nature, quality and extent of services provided to the Trust by PGIM Investments and each subadviser. The Board considered the services provided by PGIM Investments, including but not limited to the oversight of the subadvisers, as well as the provision of recordkeeping and compliance services to the Trust. With respect to PGIM Investments’ oversight of the subadvisers, the Board noted that PGIM Investments’ Strategic Investment Research Group (SIRG), a business unit of PGIM Investments, is responsible for screening and recommending new subadvisers when appropriate, as well as monitoring and reporting to the Board on the performance and operations of the subadvisers. The Board also considered that PGIM Investments pays the salaries of all of the officers and management Trustees of the Trust. The Board also considered the investment subadvisory services provided by each subadviser, as well as compliance with the Trust’s investment restrictions, policies and procedures. The Board considered PGIM Investments’ evaluation of the subadvisers, as well as PGIM Investments’ recommendation, based on its review of the subadvisers, to renew the subadvisory agreements.

The Board reviewed the qualifications, backgrounds and responsibilities of PGIM Investments’ senior management responsible for the oversight of the Trust and each subadviser, and also reviewed the qualifications, backgrounds and responsibilities of the subadvisers’ portfolio managers who are responsible for the day-to-day management of each Portfolio. The Board was provided with information pertaining to PGIM Investments’ and each subadviser’s organizational structure, senior management, investment operations and other relevant information pertaining to PGIM Investments and each subadviser. The Board also noted that it received favorable compliance reports from the Trust’s Chief Compliance Officer (CCO) as to PGIM Investments and each subadviser. The Board noted that the PGIM Fixed Income unit of PGIM, Inc., PGIM Limited, Jennison Associates LLC (Jennison) and Quantitative Management Associates LLC (QMA), each of which serve as subadvisers to various Portfolios of the Trust, are affiliated with PGIM Investments.

The Board concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PGIM Investments and the subadvisory services provided to the Portfolios by each subadviser, and that there was a reasonable basis on which to conclude that each Portfolio benefits from the services provided by PGIM Investments and each subadviser under the management and subadvisory agreements.

Costs of Services and Profits Realized by PGIM Investments

The Board was provided with information on the profitability of PGIM Investments and its affiliates in serving as the Trust’s investment manager. The Board discussed with PGIM Investments the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Board recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the adviser’s capital structure and cost of capital. The Board considered information regarding the profitability of PGIM Fixed Income, Jennison and QMA, each of which are affiliates of PGIM Investments, on a consolidated basis. Taking these factors into account, the Board concluded that the profitability of PGIM Investments and its affiliates in relation to the services rendered was not unreasonable.

Economies of Scale

The Board received and discussed information concerning whether PGIM Investments realizes economies of scale as the Portfolios’ assets grow beyond current levels. The Board noted that economies of scale, if any, may be shared with the Portfolios in several ways, including low management fees from inception, additional technological and personnel investments to enhance shareholder services, and maintaining existing expense structures in the face of a rising cost environment. The Board recognized the inherent limitations of any analysis of economies of scale, stemming largely from the Board’s understanding that most of PGIM Investments’ costs are not specific to individual funds, but rather are incurred across a variety of products and services.

With respect to the Stock Index Portfolio, the Board noted that the management fee schedule includes a breakpoint, which has the effect of decreasing the fee rate as assets increase, but that at its current level of assets, the Stock Index Portfolio does not realize the effect of any rate reduction. The Board took note, however, that the Stock Index Portfolio’s fee structure would result in a benefit to shareholders when (and if) assets reach the level at which the fee rate is reduced.

Other Benefits to PGIM Investments and the Subadvisers

The Board considered potential ancillary benefits that might be received by PGIM Investments, the subadvisers, and their affiliates as a result of their relationship with the Trust. The Board concluded that potential benefits to be derived by PGIM Investments included compensation received by insurance company affiliates of PGIM Investments from the subadvisers, as well as benefits to its reputation or other intangible benefits resulting from PGIM Investments’ association with the Trust. The Board also considered information provided by PGIM Investments regarding the regulatory requirement that insurance companies determine that the fees and charges under their variable contracts are reasonable. The Board noted that the insurance company affiliates of PGIM Investments at least annually review and represent that the fees and charges of the variable contracts using the Trust’s Portfolios are reasonable. The Board concluded that the potential benefits to be derived by the subadvisers included the ability to use soft dollar credits, brokerage commissions that may be received by affiliates of the subadvisers, as well as the potential benefits consistent with those generally resulting from an increase in assets under management, specifically, potential access to additional research resources and benefits to their reputations. The Board concluded that the benefits derived by PGIM Investments and the subadvisers were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.

Performance of the Portfolios / Fees and Expenses / Other Factors

With respect to each Portfolio, the Board also considered certain additional specific factors and made related conclusions relating to the historical performance of the Portfolios for the one-, three-, five- and ten-year periods ended December 31, 2017, except as otherwise noted below. The Board compared the historical performance of each Portfolio to the comparable performance of the Portfolio’s benchmark index and to a universe of mutual funds (the Peer Universe) that were determined by Broadridge, Inc. (Broadridge), an independent provider of mutual fund data, to be similar to the Portfolio.

The Board also considered each Portfolio’s actual management fee, as well as each Portfolio’s net total expense ratio, for the calendar year 2017. The Board considered the management fee for each Portfolio as compared to the management fee charged by PGIM Investments to other funds and accounts and the fee charged by other advisers to comparable mutual funds in a group of mutual funds that were determined by Broadridge to be similar to the Portfolio (the Peer Group). The actual management fee represents the fee rate actually paid by Portfolio shareholders and includes any fee waivers or reimbursements. The net total expense ratio for each Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.

The mutual funds included in each Peer Universe and each Peer Group were objectively determined by Broadridge, an independent provider of mutual fund data. The comparisons placed the Portfolios in various quartiles, with the 1^st quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds). To the extent that PGIM Investments deems appropriate, and for reasons addressed in detail with the Board, PGIM Investments may have provided and the Board may have considered, supplemental data compiled by Broadridge for the Board’s consideration.

The sections below summarize key factors considered by the Board and the Board’s conclusions regarding each Portfolio’s performance, fees and overall expenses. Each section sets forth gross performance comparisons (which do not reflect the impact on performance of any subsidies, expense caps or waivers that may be applicable) with the Peer Universe, actual management fees with the Peer Group (which reflect the impact of any subsidies or fee waivers), and net total expenses with the Peer Group, each of which were key factors considered by the Board.

Conservative Balanced Portfolio
Gross Performance	1 Year	3 Years	5 Years	10 Years
	3rd Quartile	1st Quartile	2nd Quartile	1st Quartile
Actual Management Fees: 3rd Quartile
Net Total Expenses: 3rd Quartile

• The Board noted that the Portfolio outperformed its benchmark index over all periods.

• The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

Diversified Bond Portfolio
Gross Performance	1 Year	3 Years	5 Years	10 Years
	1st Quartile	1st Quartile	2nd Quartile	1st Quartile
Actual Management Fees: 1st Quartile
Net Total Expenses: 1st Quartile

• The Board noted that the Portfolio outperformed its benchmark index over all periods.

• The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

Equity Portfolio
Gross Performance	1 Year	3 Years	5 Years	10 Years
	1st Quartile	3rd Quartile	4th Quartile	4th Quartile
Actual Management Fees: 1st Quartile
Net Total Expenses: 1st Quartile

• The Board noted that the Portfolio outperformed its benchmark index over the one-year period, though it underperformed over the three-, five-, and ten-year periods.

• The Board concluded that in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

Flexible Managed Portfolio
Gross Performance	1 Year	3 Years	5 Years	10 Years
	3rd Quartile	1st Quartile	1st Quartile	1st Quartile
Actual Management Fees: 3rd Quartile
Net Total Expenses: 1st Quartile

• The Board noted that the Portfolio outperformed its benchmark index over all periods.

• The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

Global Portfolio
Gross Performance	1 Year	3 Years	5 Years	10 Years
	2nd Quartile	1st Quartile	1st Quartile	1st Quartile
Actual Management Fees:*
Net Total Expenses:*

• The Board noted that the Portfolio outperformed its benchmark index over all periods.

• The Board noted that PGIM Investments had contractually agreed to waive 0.024% of its management fee through June 30, 2019.

• The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

*Note: Quartiles for Actual Management Fees and Net Total Expenses are unavailable because the peer group consists of four funds.

Government Income Portfolio
Gross Performance	1 Year	3 Years	5 Years	10 Years
	1st Quartile	1st Quartile	1st Quartile	1st Quartile
Actual Management Fees: 1st Quartile
Net Total Expenses: 2nd Quartile

• The Board noted that the Portfolio outperformed its benchmark index over all periods.

• The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

Government Money Market Portfolio
Gross Performance	1 Year	3 Years	5 Years	10 Years
	3rd Quartile	2nd Quartile	2nd Quartile	2nd Quartile
Actual Management Fees: 1st Quartile
Net Total Expenses: 1st Quartile

• The Board noted that the Portfolio outperformed its benchmark index over all periods.

• The Board noted that PGIM Investments had agreed to voluntarily waive a portion of its management fee to ensure that the 1-day yield for the Portfolio does not fall below 0.00%.

• The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

Stock Index Portfolio
Gross Performance	1 Year	3 Years	5 Years	10 Years
	2nd Quartile	1st Quartile	1st Quartile	1st Quartile
Actual Management Fees: 4th Quartile
Net Total Expenses: 4th Quartile

• The Board noted that the Portfolio outperformed its benchmark index over all periods.

• The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

**********

After full consideration of these factors, the Board concluded that the approval of the agreements was in the best interests of the Trust, each Portfolio and its beneficial shareholders.

The toll-free number shown below can be used to make transfers and reallocations, review how your premiums are being allocated, and receive current investment option values in your contract. Unit values for each investment option are available to all participants from the toll-free number. Please be sure to have your contract number available when you call.

(800) 458-6333

Investors should consider the contract and the underlying portfolios’ investment objectives, risks, charges and expenses carefully before investing. This and other important information is contained in the prospectuses that can be obtained from your financial professional. You should read the prospectuses carefully before investing.

This report includes the financial statements of VCA-10, and the portfolios of The Prudential Series Fund (the “Funds”) available through VCA-11 and VCA-24.

This report does not include separate account financials for the VCA-11 and VCA-24 Subaccounts. If you would like separate account financial statements, please call the telephone number on the inside back cover of this report.

Annuity contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your plan sponsor or licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.

A description of VCA-10’s proxy voting policies and procedures is available without charge, upon request. MEDLEY participants should call (800) 458-6333 to obtain a description of VCA-10’s proxy voting policies and procedures. Information regarding how the VCA-10 voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the “Commission”) at www.sec.gov and on VCA-10’s website.

The MEDLEY Program Statement of Additional Information contains additional information about the Committee Members of VCA-10 and is available without charge upon request by calling (800) 458-6333.

VCA-10 files with the Commission a complete listing of portfolio holdings as of the end of the first and third quarters on Form N-Q. Form N-Q is available on the Commission’s website at www.sec.gov or by visiting the Commission’s Public Reference Room. For more information on the Commission’s Public Reference Room, please visit the Commission’s website or call (800) 732-0330. MEDLEY participants may obtain copies of Form N-Q filings by calling (800) 458-6333.

The Prudential Insurance Company of America

751 Broad Street

Newark, NJ 07102-3714

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PAID

Prudential

^©2018 Prudential Financial, Inc. and its related entities. PGIM Investments, the Prudential logo, the Rock symbol, and Bring Your Challenges are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.

MD.RS.011

Item 2 –	Code of Ethics – Not required, as this is not an annual filing.
Item 3 –	Audit Committee Financial Expert – Not required, as this is not an annual filing.
Item 4 –	Principal Accountant Fees and Services – Not required, as this is not an annual filing.
Item 5 –	Audit Committee of Listed Registrants – Not applicable.
Item 6 –	Schedule of Investments – The schedule is included as part of the report to shareholders filed under Item 1 of this Form.
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 – Not applicable.
Item 11 –	Controls and Procedures

(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.

(b) There has been no significant change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter of the period covered by this report that has materially affected, or is likely to materially affect, the registrant’s internal control over financial reporting.

Item 12 – Exhibits

(a)	(1)	Code of Ethics – Not required, as this is not an annual filing.
	(2)	Certifications pursuant to Section 302 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.CERT.
	(3)	Any written solicitation to purchase securities under Rule 23c-1. – Not applicable.
(b)	Certifications pursuant to Section 906 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.906CERT.

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.

Registrant:         The Prudential Variable Contract Account-10

By:	/s/Deborah A. Docs
	Deborah A. Docs
	Secretary
Date:	August 14, 2018

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/Stuart S. Parker
	Stuart S. Parker
	President and Principal Executive Officer
Date:	August 14, 2018
By:	/s/ Brian D. Nee
	Brian D. Nee
	Treasurer and Principal Financial and Accounting Officer
Date:	August 14, 2018