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 811-03459
Penn Series Funds, Inc.
(Exact name of registrant as specified in charter)
600 Dresher Road
Horsham, PA 19044
(Address of principal executive offices) (Zip code)
Steven Viola
Penn Series Funds, Inc.
600 Dresher Road
Horsham, PA 19044
(Name and address of agent for service)
Registrant’s telephone number, including area code: (215) 956-8129
Date of fiscal year end: December 31
Date of reporting period: December 31, 2021
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
(a) | Include a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270.30e-1). |
The Report to Shareholders is attached herewith.
Funds, Inc.
President
Penn Series Funds, Inc.
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Investment Adviser
Average Annual Total Returns1 as of 12/31/21 | |||||
1 Year | 5 Year | 10 Year | |||
Limited Maturity Bond Fund | 0.38% | 2.39% | 1.60% | ||
Bloomberg U.S. Government/Credit 1-3 Year Bond Index | (0.47%) | 1.85% | 1.39% |
1 | The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends. |
Percent of Total Investments1 | |
Corporate Bonds | 37.3 % |
Asset Backed Securities | 31.9 % |
Residential Mortgage Backed Securities | 15.1 % |
Commercial Mortgage Backed Securities | 14.0% |
U.S. Treasury Obligations | 1.7 % |
100.0% |
1 | Portfolio holdings are presented as a percentage of total investments before short-term investments. |
Investment Adviser
Average Annual Total Returns1 as of 12/31/21 | |||||
1 Year | 5 Year | 10 Year | |||
Quality Bond Fund | (0.69%) | 4.21% | 3.08% | ||
Bloomberg U.S. Aggregate Bond Index | (1.54%) | 3.57% | 2.90% |
1 | The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends. |
Percent of Total Investments1 | |
Corporate Bonds | 44.9 % |
Commercial Mortgage Backed Securities | 17.5 % |
Asset Backed Securities | 17.3 % |
Residential Mortgage Backed Securities | 11.6 % |
U.S. Treasury Obligations | 6.5 % |
Preferred Stocks | 1.1 % |
Municipal Bonds | 1.1 % |
100.0% |
1 | Portfolio holdings are presented as a percentage of total investments before short-term investments. |
Investment Adviser
Average Annual Total Returns1 as of 12/31/21 | |||||
1 Year | 5 Year | 10 Year | |||
High Yield Bond Fund | 5.12% | 6.54% | 6.80% | ||
CSFB High Yield Bond Index | 5.49% | 5.80% | 6.47% |
1 | The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends. |
Percent of Total Investments1 | |
BB/B Rated | 40.1 % |
BBB/BB Rated & Above | 18.4 % |
BB Rated | 15.3 % |
B/CCC Rated | 11.4 % |
B Rated | 6.6 % |
Not Rated | 2.6 % |
CCC and Below | 0.9 % |
Loan Agreements | 3.3 % |
Equity Securities | 1.4 % |
100.0% |
1 | Portfolio holdings are presented as a percentage of total investments before short-term investments. |
Investment Adviser
T. Rowe Price Associates, Inc.
Investment Sub-Adviser
Average Annual Total Returns1 as of 12/31/21 | |||||
1 Year | 5 Year | 10 Year | |||
Flexibly Managed Fund | 18.29% | 14.93% | 13.61% | ||
S&P 500 Index | 28.71% | 18.47% | 16.55% |
1 | The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends. |
Percent of Total Investments1 | |
Consumer, Non-cyclical | 23.2 % |
Financial | 17.0% |
Communications | 16.8 % |
Technology | 15.0% |
Consumer, Cyclical | 10.7 % |
Industrial | 9.3 % |
Utilities | 7.7 % |
Asset Backed Securities | 0.3 % |
Basic Materials | 0.0% 2 |
100.0% |
1 | Portfolio holdings are presented as a percentage of total investments before short-term investments. |
2 | Less than 0.05%. |
Investment Adviser
Average Annual Total Returns1 as of 12/31/21 | |||||
1 Year | 5 Year | 10 Year | |||
Balanced Fund | 15.77% | 12.40% | 10.72% | ||
S&P 500 Index | 28.71% | 18.47% | 16.55% | ||
Bloomberg U.S. Aggregate Bond Index | (1.54%) | 3.57% | 2.90% |
1 | The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends. |
Asset Allocation Target as of 12/31/21 | |
Index 500 | 60.0% |
Intermediate Bonds | 40.0% |
100.0% |
Investment Adviser
T. Rowe Price Associates, Inc.
Investment Sub-Adviser
Average Annual Total Returns1 as of 12/31/21 | |||||
1 Year | 5 Year | 10 Year | |||
Large Growth Stock Fund | 16.44% | 22.28% | 18.52% | ||
Russell 1000 Growth Index | 27.60% | 25.32% | 19.79% |
1 | The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends. |
Percent of Total Investments1 | |
Technology | 35.2 % |
Communications | 35.1 % |
Consumer, Non-cyclical | 11.7 % |
Consumer, Cyclical | 11.5 % |
Financial | 3.3 % |
Industrial | 3.2 % |
100.0% |
1 | Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. |
Investment Adviser
Investment Sub-Adviser
Average Annual Total Returns1 as of 12/31/21 | |||||
1 Year | 5 Year | 10 Year | |||
Large Cap Growth Fund | 25.85% | 22.63% | 16.05% | ||
Russell 1000 Growth Index | 27.60% | 25.32% | 19.79% |
1 | The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends. |
Percent of Total Investments1 | |
Technology | 30.1 % |
Consumer, Non-cyclical | 26.2 % |
Communications | 11.9 % |
Financial | 11.7 % |
Consumer, Cyclical | 9.4 % |
Industrial | 8.7 % |
Basic Materials | 1.1 % |
Utilities | 0.9 % |
100.0% |
1 | Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. |
Investment Adviser
Morgan Stanley Investment Management
Investment Sub-Adviser
Average Annual Total Returns1 as of 12/31/21 | |||||
1 Year | 5 Year | 10 Year | |||
Large Core Growth Fund | (3.94%) | 24.12% | 17.87% | ||
Russell 1000 Growth Index | 27.60% | 25.32% | 19.79% |
1 | The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends. |
Percent of Total Investments1 | |
Technology | 44.2 % |
Communications | 37.0% |
Consumer, Non-cyclical | 11.5 % |
Consumer, Cyclical | 3.7 % |
Industrial | 2.6 % |
Financial | 1.0% |
100.0% |
1 | Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. |
Investment Adviser
AllianceBernstein
Investment Sub-Adviser
Average Annual Total Returns1 as of 12/31/21 | |||||
1 Year | 5 Year | 10 Year | |||
Large Cap Value Fund | 27.88% | 11.32% | 11.85% | ||
Russell 1000 Value Index | 25.16% | 11.16% | 12.97% |
1 | The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends. |
Percent of Total Investments1 | |
Consumer, Non-cyclical | 23.4 % |
Financial | 20.8 % |
Industrial | 17.3 % |
Consumer, Cyclical | 14.3 % |
Communications | 11.5 % |
Technology | 6.1 % |
Energy | 3.1 % |
Basic Materials | 2.5 % |
Utilities | 1.0% |
100.0% |
1 | Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. |
Investment Adviser
Eaton Vance Management
Investment Sub-Adviser
Average Annual Total Returns1 as of 12/31/21 | |||||
1 Year | 5 Year | 10 Year | |||
Large Core Value Fund | 24.46% | 12.26% | 12.45% | ||
Russell 1000 Value Index | 25.16% | 11.16% | 12.97% |
1 | The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends. |
Percent of Total Investments1 | |
Consumer, Non-cyclical | 26.4 % |
Financial | 24.2 % |
Industrial | 12.2 % |
Communications | 10.7 % |
Technology | 6.9 % |
Energy | 6.3 % |
Utilities | 6.0% |
Consumer, Cyclical | 5.8 % |
Basic Materials | 1.5 % |
100.0% |
1 | Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. |
Investment Adviser
State Street Global Advisors
Investment Sub-Adviser
Average Annual Total Returns1 as of 12/31/21 | |||||
1 Year | 5 Year | 10 Year | |||
Index 500 Fund | 28.29% | 18.15% | 16.18% | ||
S&P 500 Index | 28.71% | 18.47% | 16.55% |
1 | The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends. |
Percent of Total Investments1 | |
Technology | 25.4 % |
Consumer, Non-cyclical | 19.8 % |
Communications | 15.1 % |
Financial | 14.5 % |
Consumer, Cyclical | 10.3 % |
Industrial | 7.5 % |
Energy | 2.8 % |
Utilities | 2.5 % |
Basic Materials | 2.1 % |
100.0% |
1 | Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. |
Investment Adviser
Delaware Investments Fund Advisers
Investment Sub-Adviser
Average Annual Total Returns1 as of 12/31/21 | |||||
1 Year | 5 Year | 10 Year | |||
Mid Cap Growth Fund | 16.66% | 25.11% | 17.18% | ||
Russell Midcap Growth Index | 12.73% | 19.83% | 16.63% |
1 | The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends. |
Percent of Total Investments1 | |
Technology | 27.9 % |
Consumer, Non-cyclical | 25.0% |
Industrial | 18.6 % |
Consumer, Cyclical | 16.2 % |
Communications | 6.4 % |
Financial | 4.5 % |
Basic Materials | 1.4 % |
100.0% |
1 | Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. |
Investment Adviser
Janus Capital Management, LLC
Investment Sub-Adviser
Average Annual Total Returns1 as of 12/31/21 | |||||
1 Year | 5 Year | 10 Year | |||
Mid Cap Value Fund | 19.27% | 4.05% | 8.90% | ||
Russell Midcap Value Index | 28.34% | 11.22% | 13.44% |
1 | The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends. |
Percent of Total Investments1 | |
Financial | 24.8 % |
Industrial | 17.9 % |
Consumer, Cyclical | 13.8 % |
Consumer, Non-cyclical | 12.6 % |
Technology | 10.7 % |
Basic Materials | 5.6 % |
Communications | 5.4 % |
Utilities | 4.6 % |
Energy | 4.6 % |
100.0% |
1 | Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. |
Investment Adviser
American Century Investment Management
Investment Sub-Adviser
Average Annual Total Returns1 as of 12/31/21 | |||||
1 Year | 5 Year | 10 Year | |||
Mid Core Value Fund | 23.13% | 9.33% | 12.51% | ||
Russell Midcap Value Index | 28.34% | 11.22% | 13.44% |
1 | The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends. |
Percent of Total Investments1 | |
Financial | 26.7 % |
Consumer, Non-cyclical | 23.9 % |
Consumer, Cyclical | 13.3 % |
Industrial | 11.8 % |
Utilities | 7.9 % |
Technology | 6.1 % |
Energy | 4.6 % |
Communications | 3.3 % |
Basic Materials | 2.4 % |
100.0% |
1 | Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. |
Investment Adviser
Goldman Sachs Asset Management
Investment Sub-Adviser
Average Annual Total Returns1 as of 12/31/21 | |||||
1 Year | 5 Year | 10 Year | |||
SMID Cap Growth Fund | 7.73% | 22.23% | 16.82% | ||
Russell 2500 Growth Index | 5.04% | 17.65% | 15.75% |
1 | The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends. |
Percent of Total Investments1 | |
Technology | 27.3 % |
Consumer, Non-cyclical | 24.4 % |
Consumer, Cyclical | 21.9 % |
Industrial | 16.8 % |
Financial | 3.3 % |
Basic Materials | 3.1 % |
Communications | 1.2 % |
Utilities | 1.0% |
Energy | 1.0% |
100.0% |
1 | Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. |
Investment Adviser
AllianceBernstein
Investment Sub-Adviser
Average Annual Total Returns1 as of 12/31/21 | |||||
1 Year | 5 Year | 10 Year | |||
SMID Cap Value Fund | 35.58% | 9.59% | 12.84% | ||
Russell 2500 Value Index | 27.78% | 9.88% | 12.43% |
1 | The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends. |
Percent of Total Investments1 | |
Financial | 27.2 % |
Industrial | 21.6 % |
Consumer, Cyclical | 19.7 % |
Consumer, Non-cyclical | 13.0% |
Technology | 8.0% |
Basic Materials | 4.2 % |
Utilities | 2.3 % |
Energy | 2.2 % |
Communications | 1.8 % |
100.0% |
1 | Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. |
Investment Adviser
Janus Capital Management, LLC
Investment Sub-Adviser
Average Annual Total Returns1 as of 12/31/21 | |||||
1 Year | 5 Year | 10 Year | |||
Small Cap Growth Fund | 8.70% | 16.99% | 14.13% | ||
Russell 2000 Growth Index | 2.83% | 14.53% | 14.14% |
1 | The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends. |
Percent of Total Investments1 | |
Consumer, Non-cyclical | 30.0% |
Technology | 24.8 % |
Industrial | 19.4 % |
Financial | 7.6 % |
Communications | 7.1 % |
Consumer, Cyclical | 6.8 % |
Basic Materials | 2.4 % |
Diversified | 1.1 % |
Utilities | 0.6 % |
Energy | 0.2 % |
100.0% |
1 | Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. |
Investment Adviser
Goldman Sachs Asset Management
Investment Sub-Adviser
Average Annual Total Returns1 as of 12/31/21 | |||||
1 Year | 5 Year | 10 Year | |||
Small Cap Value Fund | 26.67% | 9.04% | 12.14% | ||
Russell 2000 Value Index | 28.27% | 9.07% | 12.03% |
1 | The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends. |
Percent of Total Investments1 | |
Financial | 36.5 % |
Consumer, Non-cyclical | 16.5 % |
Consumer, Cyclical | 13.5 % |
Industrial | 11.9 % |
Energy | 6.2 % |
Technology | 5.3 % |
Utilities | 4.1 % |
Communications | 3.6 % |
Basic Materials | 2.4 % |
100.0% |
1 | Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. |
Investment Adviser
State Street Global Advisors
Investment Sub-Adviser
Average Annual Total Returns1 as of 12/31/21 | |||||
1 Year | 5 Year | 10 Year | |||
Small Cap Index Fund | 14.35% | 11.37% | 12.52% | ||
Russell 2000 Index | 14.82% | 12.02% | 13.23% |
1 | The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends. |
Percent of Total Investments1 | |
Consumer, Non-cyclical | 24.1 % |
Financial | 23.2 % |
Consumer, Cyclical | 13.5 % |
Industrial | 13.1 % |
Technology | 11.6 % |
Energy | 4.4 % |
Communications | 4.3 % |
Basic Materials | 3.2 % |
Utilities | 2.6 % |
Government | 0.0% 2 |
Diversified | 0.0% 2 |
100.0% |
1 | Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. |
2 | Less than 0.05%. |
Investment Adviser
State Street Global Advisors
Investment Sub-Adviser
Average Annual Total Returns1 as of 12/31/21 | |||||
1 Year | 5 Year | 10 Year | |||
Developed International Index Fund | 10.54% | 9.06% | 7.45% | ||
MSCI EAFE Index | 11.26% | 9.55% | 8.03% |
1 | The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends. |
Percent of Total Investments1 | |
Japan | 22.5 % |
United Kingdom | 12.7 % |
France | 11.3 % |
Switzerland | 11.0% |
Germany | 8.8 % |
Australia | 7.1 % |
Netherlands | 6.3 % |
Sweden | 3.7 % |
Hong Kong | 2.7 % |
Denmark | 2.7 % |
Spain | 2.3 % |
Italy | 2.1 % |
Finland | 1.3 % |
Singapore | 1.2 % |
Ireland | 1.1 % |
Belgium | 0.8 % |
Israel | 0.7 % |
Norway | 0.7 % |
New Zealand | 0.3 % |
Luxembourg | 0.3 % |
Austria | 0.2 % |
Portugal | 0.2 % |
Chile | 0.0% 2 |
Macao | 0.0% 2 |
Jordan | 0.0% 2 |
Poland | 0.0% 2 |
United Arab Emirates | 0.0% 2 |
100.0% |
1 | Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent the countries in which the securities are denominated. |
2 | Less than 0.05%. |
Investment Adviser
Vontobel Asset Management
Investment Sub-Adviser
Average Annual Total Returns1 as of 12/31/21 | |||||
1 Year | 5 Year | 10 Year | |||
International Equity Fund | 12.23% | 13.76% | 9.48% | ||
MSCI ACWI ex-U.S. Index | 7.82% | 9.61% | 7.28% |
1 | The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends. |
Percent of Total Investments1 | |
United Kingdom | 18.1 % |
Canada | 12.9 % |
Switzerland | 10.4 % |
Japan | 9.9 % |
France | 8.6 % |
Netherlands | 7.2 % |
United States | 6.9 % |
South Korea | 4.8 % |
Ireland | 4.5 % |
India | 3.9 % |
Luxembourg | 3.2 % |
Mexico | 2.9 % |
Sweden | 2.6 % |
China | 2.1 % |
Italy | 2.0% |
100.0% |
1 | Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent the countries in which the securities are denominated. |
Investment Adviser
Vontobel Asset Management, Inc.
Investment Sub-Adviser
Average Annual Total Returns1 as of 12/31/21 | |||||
1 Year | 5 Year | 10 Year | |||
Emerging Markets Equity Fund | (5.69%) | 6.62% | 3.86% | ||
MSCI Emerging Markets Index | (2.54%) | 9.87% | 5.49% |
1 | The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends. |
Percent of Total Investments1 | |
China | 27.7 % |
India | 21.3 % |
Taiwan | 14.1 % |
South Korea | 12.9 % |
Indonesia | 7.0% |
Mexico | 5.4 % |
Hong Kong | 4.4 % |
Brazil | 4.1 % |
United Kingdom | 2.5 % |
Thailand | 0.6 % |
100.0% |
1 | Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent the countries in which the securities are denominated. |
Investment Adviser
Cohen & Steers Capital Management
Investment Sub-Adviser
Average Annual Total Returns1 as of 12/31/21 | |||||
1 Year | 5 Year | 10 Year | |||
Real Estate Securities Fund | 42.70% | 13.49% | 12.53% | ||
FTSE NAREIT All Equity REITs Index | 41.30% | 12.46% | 12.22% |
1 | The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends. |
Percent of Total Investments1 | |
Diversified | 32.4 % |
Apartments | 14.8 % |
Healthcare | 12.0% |
Storage & Warehousing | 10.3 % |
Regional Malls | 6.5 % |
Single Tenant | 4.8 % |
Industrial | 4.8 % |
Strip Centers | 3.6 % |
Hotels & Resorts | 2.9 % |
Real Estate | 2.5 % |
Manufactured Homes | 2.2 % |
Office Property | 1.9 % |
Lodging | 0.8 % |
Entertainment | 0.5 % |
100.0% |
1 | Portfolio holdings are presented as a percentage of total investments before short-term investments. |
Investment Adviser
Average Annual Total Returns1 as of 12/31/21 | |||||
1 Year | 5 Year | 10 Year | |||
Aggressive Allocation Fund | 16.42% | 11.23% | 10.53% | ||
Russell 3000 Index | 25.66% | 17.97% | 16.30% | ||
Bloomberg U.S. Aggregate Bond Index | (1.54%) | 3.57% | 2.90% |
1 | The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends. |
Asset Allocation Target as of 12/31/21 | |
Large Cap Value Stocks | 26.0% |
International Stocks | 24.0% |
Large Cap Growth Stocks | 13.0% |
Mid Cap Value Stocks | 8.0% |
Emerging Markets Stocks | 6.0% |
Short Term Bonds | 5.0% |
Small Cap Growth Stocks | 5.0% |
Domestic REITs | 3.0% |
Mid Cap Growth Stocks | 3.0% |
High Yield Bonds | 3.0% |
Small Cap Value Stocks | 2.0% |
Intermediate Bonds | 2.0% |
100.0% |
Investment Adviser
Average Annual Total Returns1 as of 12/31/21 | |||||
1 Year | 5 Year | 10 Year | |||
Moderately Aggressive Allocation Fund | 15.33% | 10.74% | 9.80% | ||
Russell 3000 Index | 25.66% | 17.97% | 16.30% | ||
Bloomberg U.S. Aggregate Bond Index | (1.54%) | 3.57% | 2.90% |
1 | The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends. |
Asset Allocation Target as of 12/31/21 | |
Large Cap Value Stocks | 24.0% |
International Stocks | 19.0% |
Large Cap Growth Stocks | 12.0% |
Short Term Bonds | 10.0% |
Mid Cap Value Stocks | 7.0% |
Intermediate Bonds | 7.0% |
Emerging Markets Stocks | 5.0% |
Small Cap Growth Stocks | 4.0% |
Small Cap Value Stocks | 3.0% |
Domestic REITs | 3.0% |
Mid Cap Growth Stocks | 3.0% |
High Yield Bonds | 3.0% |
100.0% |
Investment Adviser
Average Annual Total Returns1 as of 12/31/21 | |||||
1 Year | 5 Year | 10 Year | |||
Moderate Allocation Fund | 11.32% | 9.24% | 8.26% | ||
Russell 3000 Index | 25.66% | 17.97% | 16.30% | ||
Bloomberg U.S. Aggregate Bond Index | (1.54%) | 3.57% | 2.90% |
1 | The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends. |
Asset Allocation Target as of 12/31/21 | |
Intermediate Bonds | 22.0% |
Large Cap Value Stocks | 19.0% |
Short Term Bonds | 14.0% |
International Stocks | 12.0% |
Large Cap Growth Stocks | 10.0% |
Mid Cap Value Stocks | 5.0% |
Emerging Markets Stocks | 5.0% |
High Yield Bonds | 4.0% |
Mid Cap Growth Stocks | 3.0% |
Small Cap Value Stocks | 2.0% |
Small Cap Growth Stocks | 2.0% |
Domestic REITs | 2.0% |
100.0% |
Investment Adviser
Average Annual Total Returns1 as of 12/31/21 | |||||
1 Year | 5 Year | 10 Year | |||
Moderately Conservative Allocation Fund | 8.58% | 7.41% | 6.52% | ||
Russell 3000 Index | 25.66% | 17.97% | 16.30% | ||
Bloomberg U.S. Aggregate Bond Index | (1.54%) | 3.57% | 2.90% |
1 | The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends. |
Asset Allocation Target as of 12/31/21 | |
Intermediate Bonds | 32.0% |
Short Term Bonds | 23.0% |
Large Cap Value Stocks | 15.0% |
International Stocks | 8.0% |
Large Cap Growth Stocks | 7.0% |
High Yield Bonds | 5.0% |
Mid Cap Value Stocks | 4.0% |
Emerging Markets Stocks | 2.0% |
Domestic REITs | 2.0% |
Small Cap Value Stocks | 1.0% |
Small Cap Growth Stocks | 1.0% |
100.0% |
Investment Adviser
Average Annual Total Returns1 as of 12/31/21 | |||||
1 Year | 5 Year | 10 Year | |||
Conservative Allocation Fund | 4.52% | 5.41% | 4.54% | ||
Russell 3000 Index | 25.66% | 17.97% | 16.30% | ||
Bloomberg U.S. Aggregate Bond Index | (1.54%) | 3.57% | 2.90% |
1 | The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends. |
Asset Allocation Target as of 12/31/21 | |
Intermediate Bonds | 42.0% |
Short Term Bonds | 33.0% |
Large Cap Value Stocks | 10.0% |
High Yield Bonds | 5.0% |
Large Cap Growth Stocks | 4.0% |
International Stocks | 3.0% |
Mid Cap Value Stocks | 2.0% |
Domestic REITs | 1.0% |
100.0% |
Hypothetical Examples of a $1,000 Investment (Unaudited)
• | Actual Fund Performance in the table below provides information about actual account values and actual expenses. The “Ending Value” shown is derived from the fund’s actual return, and “Expenses Paid During Period” shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, 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 given for your fund under the heading entitled “Expenses Paid During Period.” |
• | Hypothetical 5% Annual Return is intended to help you compare your fund’s costs with those of other mutual funds. It assumes that the fund had a return of 5% before expenses during the period shown, but that the expense ratio is unchanged. In this case — because the return used is not the fund’s actual return — the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s cost by comparing this hypothetical example with the hypothetical examples that appear in shareholders reports of other funds. Because the return used is not an actual return, it may not be used to estimate the actual ending account value or expenses you paid for the period. |
For the Period July 1, 2021 to December 31, 2021
Expense Table
Beginning Value July 1, 2021 | Ending Value December 31, 2021 | Annualized Expense Ratio | Expenses Paid During Period* | |
Money Market Fund | ||||
Actual | $1,000.00 | $1,000.10 | 0.03% | $0.15 |
Hypothetical | $1,000.00 | $ 1,025.05 | 0.03% | $0.15 |
Limited Maturity Bond Fund | ||||
Actual | $1,000.00 | $ 997.80 | 0.69% | $ 3.47 |
Hypothetical | $1,000.00 | $ 1,021.73 | 0.69% | $ 3.52 |
Hypothetical Examples of a $1,000 Investment (Unaudited)
Beginning Value July 1, 2021 | Ending Value December 31, 2021 | Annualized Expense Ratio | Expenses Paid During Period* | |
Quality Bond Fund | ||||
Actual | $1,000.00 | $ 998.80 | 0.66% | $ 3.33 |
Hypothetical | $1,000.00 | $ 1,021.88 | 0.66% | $ 3.36 |
High Yield Bond Fund | ||||
Actual | $1,000.00 | $ 1,012.60 | 0.71% | $ 3.60 |
Hypothetical | $1,000.00 | $ 1,021.63 | 0.71% | $ 3.62 |
Flexibly Managed Fund | ||||
Actual | $1,000.00 | $ 1,076.60 | 0.86% | $ 4.50 |
Hypothetical | $1,000.00 | $ 1,020.87 | 0.86% | $ 4.38 |
Balanced Fund | ||||
Actual | $1,000.00 | $ 1,066.60 | 0.19% | $0.99 |
Hypothetical | $1,000.00 | $ 1,024.25 | 0.19% | $0.97 |
Large Growth Stock Fund | ||||
Actual | $1,000.00 | $ 1,035.00 | 0.93% | $ 4.77 |
Hypothetical | $1,000.00 | $ 1,020.52 | 0.93% | $ 4.74 |
Large Cap Growth Fund | ||||
Actual | $1,000.00 | $ 1,120.30 | 0.84% | $ 4.49 |
Hypothetical | $1,000.00 | $ 1,020.97 | 0.84% | $ 4.28 |
Large Core Growth Fund | ||||
Actual | $1,000.00 | $ 884.10 | 0.84% | $ 3.99 |
Hypothetical | $1,000.00 | $ 1,020.97 | 0.84% | $ 4.28 |
Large Cap Value Fund | ||||
Actual | $1,000.00 | $ 1,067.30 | 0.91% | $ 4.74 |
Hypothetical | $1,000.00 | $ 1,020.62 | 0.91% | $ 4.63 |
Large Core Value Fund | ||||
Actual | $1,000.00 | $ 1,073.70 | 0.93% | $ 4.86 |
Hypothetical | $1,000.00 | $ 1,020.52 | 0.93% | $ 4.74 |
Index 500 Fund | ||||
Actual | $1,000.00 | $ 1,114.80 | 0.34% | $ 1.81 |
Hypothetical | $1,000.00 | $ 1,023.49 | 0.34% | $ 1.73 |
Mid Cap Growth Fund | ||||
Actual | $1,000.00 | $ 1,048.10 | 1.01% | $ 5.21 |
Hypothetical | $1,000.00 | $ 1,020.11 | 1.01% | $ 5.14 |
Mid Cap Value Fund | ||||
Actual | $1,000.00 | $ 1,056.50 | 0.84% | $ 4.35 |
Hypothetical | $1,000.00 | $ 1,020.97 | 0.84% | $ 4.28 |
Mid Core Value Fund | ||||
Actual | $1,000.00 | $ 1,064.50 | 0.98% | $ 5.10 |
Hypothetical | $1,000.00 | $ 1,020.27 | 0.98% | $ 4.99 |
SMID Cap Growth Fund | ||||
Actual | $1,000.00 | $ 997.00 | 1.02% | $ 5.13 |
Hypothetical | $1,000.00 | $ 1,020.06 | 1.02% | $ 5.19 |
SMID Cap Value Fund | ||||
Actual | $1,000.00 | $ 1,069.30 | 1.16% | $ 6.05 |
Hypothetical | $1,000.00 | $ 1,019.36 | 1.16% | $ 5.90 |
Hypothetical Examples of a $1,000 Investment (Unaudited)
Beginning Value July 1, 2021 | Ending Value December 31, 2021 | Annualized Expense Ratio | Expenses Paid During Period* | |
Small Cap Growth Fund | ||||
Actual | $1,000.00 | $ 1,021.50 | 0.99% | $ 5.04 |
Hypothetical | $1,000.00 | $ 1,020.21 | 0.99% | $ 5.04 |
Small Cap Value Fund | ||||
Actual | $1,000.00 | $ 1,055.70 | 0.98% | $ 5.08 |
Hypothetical | $1,000.00 | $ 1,020.27 | 0.98% | $ 4.99 |
Small Cap Index Fund | ||||
Actual | $1,000.00 | $ 973.20 | 0.72% | $ 3.58 |
Hypothetical | $1,000.00 | $ 1,021.58 | 0.72% | $ 3.67 |
Developed International Index Fund | ||||
Actual | $1,000.00 | $ 1,018.50 | 0.87% | $ 4.43 |
Hypothetical | $1,000.00 | $ 1,020.82 | 0.87% | $ 4.43 |
International Equity Fund | ||||
Actual | $1,000.00 | $ 1,054.40 | 1.04% | $ 5.39 |
Hypothetical | $1,000.00 | $ 1,019.96 | 1.04% | $ 5.30 |
Emerging Markets Equity Fund | ||||
Actual | $1,000.00 | $ 904.30 | 1.23% | $ 5.90 |
Hypothetical | $1,000.00 | $ 1,019.00 | 1.23% | $ 6.26 |
Real Estate Securities Fund | ||||
Actual | $1,000.00 | $ 1,175.20 | 0.95% | $ 5.21 |
Hypothetical | $1,000.00 | $ 1,020.42 | 0.95% | $ 4.84 |
Aggressive Allocation Fund | ||||
Actual | $1,000.00 | $ 1,048.10 | 0.34% | $ 1.76 |
Hypothetical | $1,000.00 | $ 1,023.49 | 0.34% | $ 1.73 |
Moderately Aggressive Allocation Fund | ||||
Actual | $1,000.00 | $ 1,044.60 | 0.29% | $ 1.49 |
Hypothetical | $1,000.00 | $ 1,023.74 | 0.29% | $ 1.48 |
Moderate Allocation Fund | ||||
Actual | $1,000.00 | $ 1,032.40 | 0.29% | $ 1.49 |
Hypothetical | $1,000.00 | $ 1,023.74 | 0.29% | $ 1.48 |
Moderately Conservative Allocation Fund | ||||
Actual | $1,000.00 | $ 1,026.90 | 0.31% | $ 1.58 |
Hypothetical | $1,000.00 | $ 1,023.64 | 0.31% | $ 1.58 |
Conservative Allocation Fund | ||||
Actual | $1,000.00 | $ 1,015.20 | 0.33% | $ 1.68 |
Hypothetical | $1,000.00 | $ 1,023.54 | 0.33% | $ 1.68 |
* | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average value over the period, multiplied by the number of days in the most recent fiscal half-year (184), then divided by 365. |
Par (000) | Value† | |
AGENCY OBLIGATIONS — 67.5% | ||
Federal Farm Credit Banks | ||
0.530%, 01/18/22 | $ 1,425 | $ 1,425,318 |
2.600%, 01/18/22 | 1,500 | 1,501,776 |
1.600%, 01/21/22 | 1,000 | 1,000,845 |
0.050%, 01/31/22 | 10,000 | 9,999,583 |
0.040%, 02/10/22 | 5,000 | 4,999,778 |
0.040%, 02/24/22 | 2,000 | 1,999,967 |
0.375%, 04/08/22 | 6,961 | 6,966,773 |
Federal Home Loan Banks | ||
0.040%, 01/12/22 | 2,000 | 1,999,975 |
0.025%, 01/19/22 | 10,000 | 9,999,875 |
2.430%, 02/28/22 | 10,000 | 10,036,980 |
2.500%, 03/11/22 | 12,145 | 12,201,899 |
Federal Home Loan Mortgage Corp. | ||
2.375%, 01/13/22 | 10,715 | 10,723,120 |
0.250%, 06/08/22 | 1,875 | 1,876,281 |
Federal National Mortgage Association | ||
2.000%, 01/05/22 | 8,468 | 8,469,791 |
2.625%, 01/11/22 | 3,728 | 3,730,612 |
0.035%, 01/12/22 | 10,000 | 9,999,893 |
2.250%, 04/12/22 | 5,607 | 5,640,998 |
Tennessee Valley Authority 0.030%, 01/05/22 | 7,000 | 6,999,977 |
TOTAL AGENCY OBLIGATIONS (Cost $109,573,441) | 109,573,441 | |
U.S. TREASURY OBLIGATIONS — 18.5% | ||
U.S. Treasury Bills | ||
0.031%, 02/08/22 | 10,000 | 9,999,678 |
0.043%, 03/03/22 | 10,000 | 9,999,271 |
0.065%, 03/24/22 | 10,000 | 9,998,531 |
TOTAL U.S. TREASURY OBLIGATIONS (Cost $29,997,480) | 29,997,480 |
Number of Shares | ||
SHORT-TERM INVESTMENTS — 13.7% | ||
Goldman Sachs Financial Square Funds - Government Fund Institutional Shares (seven-day effective yield 0.020%) (Cost $22,208,069) | 22,208,069 | 22,208,069 |
TOTAL INVESTMENTS — 99.7% (Cost $161,778,990) | $ 161,778,990 | |
Other Assets & Liabilities — 0.3% | 422,528 | |
TOTAL NET ASSETS — 100.0% | $ 162,201,518 |
† | See Security Valuation Note. |
ASSETS TABLE | ||||
Description | Total Market Value at 12/31/2021 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Agency Obligations | $109,573,441 | $ — | $109,573,441 | $— |
U.S. Treasury Obligations | 29,997,480 | — | 29,997,480 | — |
Short-Term Investments | 22,208,069 | 22,208,069 | — | — |
Total Investments | $ 161,778,990 | $ 22,208,069 | $ 139,570,921 | $ — |
Par (000) | Value† | |
ASSET BACKED SECURITIES — 31.6% | ||
Anchorage Capital CLO Ltd., Series 2013-1A Class A2R (3 M ICE LIBOR + 1.650%), 144A 1.771%, 10/13/30@,• | $ 2,830 | $ 2,826,697 |
Arch Street CLO Ltd., Series 2016-2A Class BR2 (3 M ICE LIBOR + 1.700%, Floor 1.700%), 144A 1.832%, 10/20/28@,• | 1,000 | 1,000,051 |
ASSURANT CLO Ltd., Series 2018-2A Class A (3 M ICE LIBOR + 1.040%, Floor 1.040%), 144A 1.172%, 04/20/31@,• | 2,400 | 2,400,182 |
Babson CLO Ltd., | ||
Series 2014-IA Class BR (3 M ICE LIBOR + 2.200%), 144A, 2.332%, 07/20/25@,• | 546 | 546,248 |
Series 2014-IA Class C (3 M ICE LIBOR + 3.450%), 144A, 3.582%, 07/20/25@,• | 1,500 | 1,500,480 |
Barings CLO Ltd., Series 2017-1A Class B1 (3 M ICE LIBOR + 1.700%), 144A 1.822%, 07/18/29@,• | 1,500 | 1,500,174 |
Benefit Street Partners CLO VIII Ltd., Series 2015-8A Class A1AR (3 M ICE LIBOR + 1.100%, Floor 1.100%), 144A 1.232%, 01/20/31@,• | 2,500 | 2,497,462 |
BSPRT Issuer Ltd., | ||
Series 2021-FL6 Class A (1 M ICE LIBOR + 1.100%, Floor 1.100%), 144A, 1.210%, 03/15/36@,• | 2,200 | 2,193,985 |
Series 2021-FL6 Class B (1 M ICE LIBOR + 1.600%, Floor 1.600%), 144A, 1.710%, 03/15/36@,• | 2,500 | 2,489,949 |
CIFC Funding Ltd., Series 2014-2RA Class A1 (3 M ICE LIBOR + 1.050%, Floor 1.050%), 144A 1.174%, 04/24/30@,• | 2,000 | 2,000,250 |
Crestline Denali CLO XVI Ltd., Series 2018-1A Class A (3 M ICE LIBOR + 1.120%, Floor 1.120%), 144A 1.252%, 01/20/30@,• | 3,000 | 2,993,649 |
Deerpath Capital CLO Ltd., Series 2018-1A Class B (3 M ICE LIBOR + 2.500%, Floor 2.500%), 144A 2.624%, 01/15/31@,• | 2,000 | 2,000,486 |
ECMC Group Student Loan Trust, | ||
Series 2018-2A Class A (1 M ICE LIBOR + 0.800%, Floor 0.800%), 144A, 0.903%, 09/25/68@,• | 3,343 | 3,365,263 |
Series 2019-1A Class A1A, 144A, 2.720%, 07/25/69@ | 1,696 | 1,736,880 |
Par (000) | Value† | |
Edsouth Indenture No 4 LLC, Series 2013-1 Class A (1 M ICE LIBOR + 0.570%), 144A 0.673%, 02/26/29@,• | $ 2,984 | $ 2,976,816 |
First Eagle BSL CLO Ltd., Series 2019-1A Class B (3 M ICE LIBOR + 3.250%, Floor 3.250%), 144A 3.382%, 01/20/33@,• | 1,500 | 1,471,803 |
Gallatin CLO IX Ltd., Series 2018-1A Class C1 (3 M ICE LIBOR + 2.100%, Floor 2.100%), 144A 2.230%, 01/21/28@,• | 2,000 | 2,000,468 |
Halcyon Loan Advisors Funding Ltd., Series 2015-2A Class AR (3 M ICE LIBOR + 1.080%, Floor 1.080%), 144A 1.204%, 07/25/27@,• | 100 | 99,481 |
KVK CLO Ltd., Series 2018-1A Class D (3 M ICE LIBOR + 3.000%), 144A 3.160%, 05/20/29@,• | 2,000 | 1,985,098 |
Navient Private Education Loan Trust, | ||
Series 2015-AA Class A3 (1 M ICE LIBOR + 1.700%), 144A, 1.810%, 11/15/30@,• | 1,500 | 1,533,543 |
Series 2014-AA Class A3 (1 M ICE LIBOR + 1.600%), 144A, 1.710%, 10/15/31@,• | 1,499 | 1,523,001 |
Series 2015-BA Class A3 (1 M ICE LIBOR + 1.450%), 144A, 1.560%, 07/16/40@,• | 2,282 | 2,290,974 |
Navient Private Education Refi Loan Trust, | ||
Series 2020-EA Class A, 144A, 1.690%, 05/15/69@ | 2,416 | 2,414,848 |
Series 2021-EA Class A, 144A, 0.970%, 12/16/69@ | 3,653 | 3,591,473 |
Navient Student Loan Trust, | ||
Series 2016-5A Class A (1 M ICE LIBOR + 1.250%), 144A, 1.353%, 06/25/65@,• | 4,732 | 4,837,777 |
Series 2018-1A Class A2 (1 M ICE LIBOR + 0.350%) , 144A, 0.453%, 03/25/67@,• | 1,693 | 1,693,520 |
Ocean Trails CLO V, Series 2014-5A Class ARR (3 M ICE LIBOR + 1.280%, Floor 1.280%), 144A 1.402%, 10/13/31@,• | 1,966 | 1,965,884 |
OZLM XI Ltd., Series 2015-11A Class A2R (3 M ICE LIBOR + 1.750%), 144A 1.882%, 10/30/30@,• | 2,300 | 2,295,980 |
Signal Peak CLO Ltd., Series 2018-6A Class B (3 M ICE LIBOR + 1.680%), 144A 1.816%, 07/28/31@,• | 2,000 | 2,000,364 |
Par (000) | Value† | |
ASSET BACKED SECURITIES — (continued) | ||
SLM Private Education Loan Trust, Series 2014-A Class B, 144A 3.500%, 11/15/44@ | $ 727 | $ 727,943 |
SLM Student Loan Trust, Series 2014-2 Class A3 (1 M ICE LIBOR + 0.590%), 0.693%, 03/25/55• | 4,823 | 4,810,427 |
SMB Private Education Loan Trust, | ||
Series 2015-C Class A3 (1 M ICE LIBOR + 1.950%), 144A, 2.060%, 08/16/32@,• | 2,405 | 2,439,338 |
Series 2021-C Class B, 144A, 2.300%, 01/15/53@ | 2,539 | 2,545,510 |
Sound Point CLO V-R Ltd., Series 2014-1RA Class B (3 M ICE LIBOR + 1.750%, Floor 1.750%), 144A 1.872%, 07/18/31@,• | 1,500 | 1,488,021 |
Steele Creek CLO Ltd., Series 2014-1RA Class B (3 M ICE LIBOR + 1.500%, Floor 1.500%), 144A 1.630%, 04/21/31@,• | 1,250 | 1,238,490 |
Towd Point Mortgage Trust, Series 2020-4 Class A2, 144A 2.500%, 10/25/60@ | 2,240 | 2,270,754 |
Trinitas CLO XII Ltd., Series 2020-12A Class C (3 M ICE LIBOR + 3.000%, Floor 3.000%), 144A 3.124%, 04/25/33@,• | 1,500 | 1,503,221 |
Trinitas CLO XIV Ltd., Series 2020-14A Class D (3 M ICE LIBOR + 4.300%, Floor 4.300%), 144A 4.424%, 01/25/34@,• | 2,000 | 2,007,954 |
Verizon Owner Trust, Series 2019-A Class A1A, 2.930%, 09/20/23 | 1,278 | 1,285,259 |
TOTAL ASSET BACKED SECURITIES (Cost $82,133,375) | 82,049,703 | |
COMMERCIAL MORTGAGE BACKED SECURITIES — 13.8% | ||
BHMS, Series 2018-ATLS Class B (1 M ICE LIBOR + 1.500%, Floor 1.500%), 144A 1.610%, 07/15/35@,• | 2,000 | 1,992,446 |
BX Commercial Mortgage Trust, | ||
Series 2019-XL Class B (1 M ICE LIBOR + 1.080%, Floor 1.080%), 144A, 1.190%, 10/15/36@,• | 1,275 | 1,273,399 |
Series 2020-BXLP Class A (1 M ICE LIBOR + 0.800%, Floor 0.800%), 144A, 0.910%, 12/15/36@,• | 2,505 | 2,503,616 |
Par (000) | Value† | |
Citigroup Commercial Mortgage Trust, Series 2018-TBR Class D (1 M ICE LIBOR + 1.800%, Floor 1.800%), 144A 1.910%, 12/15/36@,• | $ 1,000 | $ 990,314 |
COMM Mortgage Trust, Series 2014-CR20 Class A3 3.326%, 11/10/47 | 2,715 | 2,794,636 |
FHLMC Multifamily Structured Pass Through Certificates, | ||
Series K019 Class X1, 1.581%, 03/25/22• | 19,268 | 193 |
Series K021 Class A2, 2.396%, 06/25/22 | 1,460 | 1,468,031 |
Series KC02 Class X3, 3.066%, 08/25/25• | 14,500 | 1,194,912 |
FREMF Mortgage Trust, | ||
Series 2017-K727 Class C, 144A, 3.743%, 07/25/24@,• | 3,500 | 3,619,107 |
Series 2013-K25 Class C, 144A, 3.620%, 11/25/45@,• | 2,110 | 2,149,150 |
Series 2013-K27 Class C, 144A, 3.496%, 01/25/46@,• | 2,000 | 2,039,750 |
Series 2013-K35 Class B, 144A, 3.934%, 12/25/46@,• | 2,260 | 2,358,857 |
Series 2014-K37 Class C, 144A, 4.560%, 01/25/47@,• | 2,550 | 2,689,947 |
Series 2015-K44 Class B, 144A, 3.669%, 01/25/48@,• | 3,675 | 3,861,540 |
Series 2016-K53 Class B, 144A, 4.021%, 03/25/49@,• | 3,220 | 3,458,670 |
GS Mortgage Securities Corp. Trust, Series 2018-HULA Class B (1 M ICE LIBOR + 1.250%, Floor 1.250%), 144A 1.360%, 07/15/25@,• | 1,846 | 1,839,126 |
GS Mortgage Securities Trust, Series 2010-C1 Class A2, 144A 4.592%, 08/10/43@ | 183 | 182,038 |
Hawaii Hotel Trust, Series 2019-MAUI Class C (1 M ICE LIBOR + 1.650%, Floor 1.650%), 144A 1.760%, 05/15/38@,• | 1,500 | 1,492,462 |
WFRBS Commercial Mortgage Trust, Series 2012-C7 Class XA, 144A 1.281%, 06/15/45@,• | 32,551 | 31,210 |
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $38,744,887) | 35,939,404 | |
CORPORATE BONDS — 36.9% | ||
Aerospace & Defense — 2.2% | ||
The Boeing Co. | ||
1.167%, 02/04/23 | 1,500 | 1,500,187 |
4.508%, 05/01/23 | 2,500 | 2,611,359 |
Par (000) | Value† | |
CORPORATE BONDS — (continued) | ||
Aerospace & Defense — (continued) | ||
TransDigm, Inc., 144A 8.000%, 12/15/25@ | $ 1,500 | $ 1,582,500 |
5,694,046 | ||
Airlines — 0.2% | ||
UAL Pass Through Trust, Series 2007-1 Class A 6.636%, 01/02/24 | 620 | 633,797 |
Apparel — 0.4% | ||
VF Corp. 2.050%, 04/23/22 | 1,126 | 1,131,720 |
Auto Manufacturers — 1.5% | ||
BMW US Capital LLC, 144A 3.800%, 04/06/23@ | 2,250 | 2,333,181 |
Volkswagen Group of America Finance LLC, 144A 3.125%, 05/12/23@ | 1,500 | 1,542,168 |
3,875,349 | ||
Banks — 4.7% | ||
Bank of America Corp., Series L 3.950%, 04/21/25 | 2,010 | 2,149,251 |
First Maryland Capital II (3 M ICE LIBOR + 0.850%) 0.982%, 02/01/27• | 3,500 | 3,388,271 |
JPMorgan Chase & Co. (3 M ICE LIBOR + 3.470%) 3.599%µ,• | 1,022 | 1,027,110 |
State Street Corp. (3 M ICE LIBOR + 0.560%) 0.716%, 05/15/28• | 2,500 | 2,409,616 |
Wells Fargo & Co. (3 M ICE LIBOR + 1.000%) 1.124%, 04/15/27• | 3,250 | 3,167,112 |
12,141,360 | ||
Beverages — 0.7% | ||
Coca-Cola Europacific Partners PLC, 144A 0.800%, 05/03/24@ | 1,750 | 1,721,380 |
Biotechnology — 0.4% | ||
Gilead Sciences, Inc. 0.750%, 09/29/23 | 1,124 | 1,119,385 |
Building Materials — 0.5% | ||
Builders FirstSource, Inc., 144A 6.750%, 06/01/27@ | 1,322 | 1,394,710 |
Chemicals — 1.4% | ||
Westlake Chemical Corp. 0.875%, 08/15/24 | 1,500 | 1,477,564 |
WR Grace Holdings LLC, 144A 5.625%, 10/01/24@ | 2,000 | 2,105,280 |
3,582,844 |
Par (000) | Value† | |
Computers — 0.6% | ||
Hewlett Packard Enterprise Co. 1.450%, 04/01/24 | $ 1,500 | $ 1,509,862 |
Diversified Financial Services — 2.3% | ||
AerCap Ireland Capital DAC 3.500%, 01/15/25 | 2,500 | 2,610,357 |
Intercontinental Exchange, Inc. 0.700%, 06/15/23 | 1,500 | 1,496,556 |
OneMain Finance Corp. 8.250%, 10/01/23 | 1,750 | 1,927,188 |
6,034,101 | ||
Electric — 6.2% | ||
American Electric Power Co., Inc., Series M 0.750%, 11/01/23 | 2,500 | 2,483,051 |
CenterPoint Energy, Inc. (SOFR + 0.650%) 0.700%, 05/13/24• | 1,000 | 1,000,259 |
Edison International 3.125%, 11/15/22 | 1,000 | 1,015,626 |
Georgia Power Co., Series A 2.100%, 07/30/23 | 1,900 | 1,933,759 |
Niagara Mohawk Power Corp., 144A 3.508%, 10/01/24@ | 2,000 | 2,092,680 |
OGE Energy Corp. 0.703%, 05/26/23 | 3,000 | 2,986,421 |
Pacific Gas and Electric Co. 1.750%, 06/16/22 | 1,500 | 1,500,004 |
San Diego Gas & Electric Co., Series PPP 1.914%, 02/01/22 | 115 | 114,741 |
Southern California Edison Co., Series E 3.700%, 08/01/25 | 2,750 | 2,937,309 |
16,063,850 | ||
Electronics — 0.6% | ||
TD SYNNEX Corp., 144A 1.250%, 08/09/24@ | 1,500 | 1,483,299 |
Energy-Alternate Sources — 0.6% | ||
TerraForm Power Operating LLC, 144A 4.250%, 01/31/23@ | 1,500 | 1,533,750 |
Food — 0.5% | ||
Albertsons Cos., Inc., 144A 3.500%, 02/15/23@ | 1,300 | 1,322,750 |
Healthcare Products — 1.5% | ||
PerkinElmer, Inc. 0.850%, 09/15/24 | 1,000 | 985,982 |
Stryker Corp. 0.600%, 12/01/23 | 1,500 | 1,492,018 |
Par (000) | Value† | |
CORPORATE BONDS — (continued) | ||
Healthcare Products — (continued) | ||
Zimmer Biomet Holdings, Inc. 1.450%, 11/22/24 | $ 1,500 | $ 1,496,045 |
3,974,045 | ||
Lodging — 0.7% | ||
Hyatt Hotels Corp. 1.800%, 10/01/24 | 1,875 | 1,875,313 |
Machinery — Diversified — 0.9% | ||
CNH Industrial Capital LLC 1.950%, 07/02/23 | 2,250 | 2,279,483 |
Media — 0.6% | ||
Charter Communications Operating LLC 4.464%, 07/23/22 | 1,500 | 1,522,138 |
Oil & Gas — 1.9% | ||
Phillips 66 0.900%, 02/15/24 | 2,000 | 1,985,488 |
Pioneer Natural Resources Co. 0.750%, 01/15/24 | 1,500 | 1,479,900 |
Southwestern Energy Co. 4.100%, 03/15/22 | 1,500 | 1,500,510 |
4,965,898 | ||
Packaging and Containers — 0.9% | ||
Ball Corp. 4.000%, 11/15/23 | 2,250 | 2,348,437 |
Pharmaceuticals — 1.6% | ||
AbbVie, Inc. 2.300%, 11/21/22 | 500 | 507,023 |
Bristol-Myers Squibb Co. 2.600%, 05/16/22 | 1,000 | 1,008,289 |
Elanco Animal Health, Inc. 5.272%, 08/28/23 | 1,645 | 1,750,305 |
Viatris, Inc., (effective yield 1.147%) 1.125%, 06/22/22 | 1,000 | 1,002,228 |
4,267,845 | ||
Real Estate Investment Trusts — 1.4% | ||
SBA Tower Trust, 144A 1.884%, 07/15/50@ | 2,500 | 2,496,707 |
Simon Property Group LP 3.500%, 09/01/25 | 1,000 | 1,066,173 |
3,562,880 | ||
Retail — 0.9% | ||
Yum! Brands, Inc., 144A 7.750%, 04/01/25@ | 2,250 | 2,370,937 |
Semiconductors — 1.2% | ||
Qorvo, Inc., 144A 1.750%, 12/15/24@ | 1,500 | 1,500,964 |
Skyworks Solutions, Inc. 0.900%, 06/01/23 | 1,500 | 1,492,405 |
2,993,369 |
Par (000) | Value† | |
Software — 0.6% | ||
VMware, Inc. 1.000%, 08/15/24 | $ 1,500 | $ 1,485,827 |
Telecommunications — 1.9% | ||
Sprint Corp. 7.875%, 09/15/23 | 2,000 | 2,202,500 |
T-Mobile USA, Inc. 3.500%, 04/15/25 | 1,500 | 1,589,846 |
Verizon Communications, Inc. 1.450%, 03/20/26 | 1,250 | 1,244,329 |
5,036,675 | ||
TOTAL CORPORATE BONDS (Cost $95,726,769) | 95,925,050 | |
RESIDENTIAL MORTGAGE BACKED SECURITIES — 15.0% | ||
Collateralized Mortgage Obligations — 13.3% | ||
Angel Oak Mortgage Trust, Series 2020-1 Class A3, 144A 2.774%, 12/25/59@,• | 1,293 | 1,292,168 |
Bunker Hill Loan Depositary Trust, | ||
STEP, Series 2019-2 Class A3, 144A, 3.185%, 07/25/49@,• | 3,068 | 3,085,615 |
Series 2020-1 Class M1, 144A, 4.353%, 02/25/55@,• | 2,250 | 2,308,522 |
Citigroup Mortgage Loan Trust, Series 2014-J1 Class A1, 144A 3.500%, 06/25/44@,• | 776 | 780,323 |
Flagstar Mortgage Trust, Series 2020-2 Class A4, 144A 3.000%, 08/25/50@,• | 1,806 | 1,811,921 |
GS Mortgage-Backed Securities Corp. Trust, Series 2020-PJ3 Class A13, 144A 2.500%, 10/25/50@,• | 1,683 | 1,686,955 |
GS Mortgage-Backed Securities Trust, Series 2021-PJ7 Class A8, 144A 2.500%, 01/25/52@,• | 4,712 | 4,770,757 |
JP Morgan Mortgage Trust, | ||
Series 2017-3 Class 1A13, 144A, 3.500%, 08/25/47@,• | 4,042 | 4,076,520 |
Series 2019-9 Class A3, 144A, 3.500%, 05/25/50@,• | 1,916 | 1,946,744 |
OBX Trust, Series 2019-INV2 Class A5, 144A 4.000%, 05/27/49@,• | 419 | 423,881 |
Seasoned Loans Structured Transaction Trust Series, Series 2020-2 Class A1D 1.750%, 09/25/30 | 1,660 | 1,663,222 |
Sequoia Mortgage Trust, Series 2021-5 Class A5, 144A 2.000%, 07/25/51@,• | 2,749 | 2,761,752 |
Par (000) | Value† | |
RESIDENTIAL MORTGAGE BACKED SECURITIES — (continued) | ||
Collateralized Mortgage Obligations — (continued) | ||
Verus Securitization Trust, | ||
Series 2019-INV2 Class A3, 144A, 3.219%, 07/25/59@,• | $ 2,531 | $ 2,541,962 |
Series 2020-2 Class M1, 144A, 5.360%, 05/25/60@,• | 1,150 | 1,182,422 |
Visio Trust, Series 2020-1R Class M1, 144A 2.926%, 11/25/55@ | 2,500 | 2,498,709 |
Wells Fargo Mortgage Backed Securities Trust, Series 2020-2 Class A1, 144A 3.000%, 12/25/49@,• | 1,652 | 1,676,805 |
34,508,278 | ||
Fannie Mae REMICS — 0.7% | ||
Series 2012-152 Class TA 2.500%, 09/25/42 | 1,952 | 1,958,700 |
Freddie Mac REMICS — 1.0% | ||
Series 4523 Class VB, 3.500%, 08/15/34 | 2,298 | 2,342,835 |
Series 4895 Class C, 4.500%, 02/15/49 | 203 | 212,344 |
2,555,179 | ||
TOTAL RESIDENTIAL MORTGAGE BACKED SECURITIES (Cost $39,356,347) | 39,022,157 | |
U.S. TREASURY OBLIGATIONS — 1.7% | ||
U.S. Treasury Note 0.500%, 03/15/23 (Cost $4,501,050) | 4,500 | 4,501,758 |
Number of Shares | ||
SHORT-TERM INVESTMENTS — 0.2% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 0.030%) (Cost $452,671) | 452,671 | 452,671 |
TOTAL INVESTMENTS — 99.2% (Cost $260,915,099) | $ 257,890,743 | |
Other Assets & Liabilities — 0.8% | 2,093,668 | |
TOTAL NET ASSETS — 100.0% | $ 259,984,411 |
† | See Security Valuation Note. |
@ | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At December 31, 2021, the aggregate value of Rule 144A securities was $162,761,011, which represents 62.6% of the Fund’s net assets. |
• | Variable rate security. The rate disclosed is the rate in effect on the report date. The information in parenthesis represents the benchmark and reference rate for each relevant security and the rate floats based upon the reference rate and spread. The security may be further subject to interest rate floors and caps. For loan agreements, the rate shown may represent a weighted average interest rate. 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, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
µ | Perpetual security with no stated maturity date. |
CLO— Collateralized Loan Obligation. |
FHLMC— Federal Home Loan Mortgage Corporation. |
FREMF— Freddie Mac Multifamily Securities. |
ICE— Intercontinental Exchange. |
LIBOR— London Interbank Offered Rate. |
LLC— Limited Liability Company. |
LP— Limited Partnership. |
M— Month. |
PLC— Public Limited Company. |
REMICS— Real Estate Mortgage Investment Conduits. |
SOFR— Secured Overnight Financing Rate. |
STEP— Step Coupon Bond. |
Country Weightings as of 12/31/2021†† | |
United States | 82% |
Cayman Islands | 16 |
Ireland | 1 |
United Kingdom | 1 |
Total | 100% |
†† | % of total investments as of December 31, 2021. |
ASSETS TABLE | ||||
Description | Total Market Value at 12/31/2021 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Asset Backed Securities | $ 82,049,703 | $ — | $ 82,049,703 | $— |
Commercial Mortgage Backed Securities | 35,939,404 | — | 35,939,404 | — |
Corporate Bonds | 95,925,050 | — | 95,925,050 | — |
Residential Mortgage Backed Securities | 39,022,157 | — | 39,022,157 | — |
U.S. Treasury Obligations | 4,501,758 | — | 4,501,758 | — |
Short-Term Investments | 452,671 | 452,671 | — | — |
Total Investments | $ 257,890,743 | $ 452,671 | $ 257,438,072 | $ — |
ASSETS TABLE | ||||
Description | Total Market Value at 12/31/2021 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Other Financial Instruments(1) | ||||
Futures Contracts | $ 41,992 | $ 41,992 | $ — | $— |
Total Assets—Other Financial Instruments | $ 41,992 | $ 41,992 | $ — | $ — |
LIABILITIES TABLE | ||||
Description | Total Market Value at 12/31/2021 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Other Financial Instruments(1) | ||||
Futures Contracts | $(24,973) | $(24,973) | $— | $— |
Total Liabilities—Other Financial Instruments | $ (24,973) | $ (24,973) | $ — | $ — |
(1) | Other financial instruments are derivative instruments not reflected in the value of total investments in securities in the Schedule of Investments such as future contracts and forward foreign currency contracts which are valued at the unrealized appreciation (depreciation) on the instrument. |
Futures Contracts: Exchange Traded | ||||||||||||||||
Type | Futures Contract | Expiration Date | Numbers of Contracts | Units per Contract | Closing Price | Notional Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||
Long | U.S. Treasury 2 Year Note | 03/31/22 | 197 | 2,000 | $109 | $42,979,860 | $ — | $(24,973) | ||||||||
Long | U.S. Treasury 10 Year Ultra Note | 03/22/22 | 20 | 1,000 | 146 | 2,928,750 | 41,992 | — | ||||||||
$41,992 | $(24,973) |
Par (000) | Value† | |
ASSET BACKED SECURITIES — 16.9% | ||
ALM Ltd., Series 2020-1A Class A2 (3 M ICE LIBOR + 1.850%), 144A 1.974%, 10/15/29@,• | $ 3,000 | $ 3,000,483 |
Arch Street CLO Ltd., Series 2016-2A Class BR2 (3 M ICE LIBOR + 1.700%, Floor 1.700%), 144A 1.832%, 10/20/28@,• | 4,000 | 4,000,204 |
Battalion CLO XV Ltd., Series 2020-15A Class A1 (3 M ICE LIBOR + 1.350%, Floor 1.350%), 144A 1.472%, 01/17/33@,• | 4,000 | 4,000,308 |
Black Diamond CLO Ltd., Series 2019-2A Class A1A (3 M ICE LIBOR + 1.430%, Floor 1.430%), 144A 1.554%, 07/23/32@,• | 2,761 | 2,759,901 |
Deerpath Capital CLO Ltd., Series 2020-1A Class A1 (3 M ICE LIBOR + 1.850%, Floor 1.850%), 144A 1.972%, 04/17/32@,• | 2,500 | 2,503,353 |
ECMC Group Student Loan Trust, Series 2018-2A Class A (1 M ICE LIBOR + 0.800%, Floor 0.800%), 144A 0.903%, 09/25/68@,• | 3,343 | 3,365,263 |
First Eagle BSL CLO Ltd., Series 2019-1A Class B (3 M ICE LIBOR + 3.250%, Floor 3.250%), 144A 3.382%, 01/20/33@,• | 4,000 | 3,924,808 |
Fortress Credit BSL III Ltd., Series 2015-1A Class B1R (3 M ICE LIBOR + 1.730%, Floor 1.730%), 144A 1.852%, 04/18/31@,• | 3,000 | 3,000,033 |
Highbridge Loan Management Ltd., Series 2015-7A Class A2R (3 M ICE LIBOR + 0.900%), 144A 1.056%, 03/15/27@,• | 2,000 | 1,999,996 |
Honda Auto Receivables Owner Trust, Series 2020-1 Class A4, 1.630%, 10/21/26 | 3,000 | 3,031,064 |
KVK CLO Ltd., Series 2018-1A Class D (3 M ICE LIBOR + 3.000%), 144A 3.160%, 05/20/29@,• | 3,000 | 2,977,647 |
Nassau Ltd., Series 2017-IA Class A1BR, 144A 2.730%, 10/15/29@ | 3,000 | 3,001,197 |
Ocean Trails CLO V, Series 2014-5A Class ARR (3 M ICE LIBOR + 1.280%, Floor 1.280%), 144A 1.402%, 10/13/31@,• | 2,457 | 2,457,355 |
Par (000) | Value† | |
OZLM XI Ltd., Series 2015-11A Class A2R (3 M ICE LIBOR + 1.750%), 144A 1.882%, 10/30/30@,• | $4,000 | $ 3,993,008 |
SLM Student Loan Trust, | ||
Series 2012-6 Class B (1 M ICE LIBOR + 1.000%), 1.103%, 04/27/43• | 4,860 | 4,509,888 |
Series 2014-2 Class A3 (1 M ICE LIBOR + 0.590%), 0.693%, 03/25/55• | 4,220 | 4,209,123 |
SMB Private Education Loan Trust, | ||
Series 2015-C Class A3 (1 M ICE LIBOR + 1.950%), 144A, 2.060%, 08/16/32@,• | 5,000 | 5,071,389 |
Series 2014-A Class B, 144A, 4.000%, 09/15/42@ | 2,430 | 2,539,996 |
Series 2015-C Class B, 144A, 3.500%, 09/15/43@ | 5,000 | 5,138,801 |
Steele Creek CLO Ltd., | ||
Series 2016-1A Class BR (3 M ICE LIBOR + 1.650%, Floor 1.650%), 144A, 1.853%, 06/15/31@,• | 3,250 | 3,180,226 |
Series 2018-2A Class A (3 M ICE LIBOR + 1.200%, Floor 1.200%), 144A, 1.360%, 08/18/31@,• | 4,500 | 4,493,218 |
Telos CLO Ltd., Series 2013-3A Class BR (3 M ICE LIBOR + 2.000%), 144A 2.122%, 07/17/26@,• | 2,211 | 2,210,540 |
Trinitas CLO XII Ltd., Series 2020-12A Class C (3 M ICE LIBOR + 3.000%, Floor 3.000%), 144A 3.124%, 04/25/33@,• | 2,000 | 2,004,294 |
Trinitas CLO XIV Ltd., Series 2020-14A Class D (3 M ICE LIBOR + 4.300%, Floor 4.300%), 144A 4.424%, 01/25/34@,• | 2,500 | 2,509,943 |
TOTAL ASSET BACKED SECURITIES (Cost $79,766,582) | 79,882,038 | |
COMMERCIAL MORTGAGE BACKED SECURITIES — 17.2% | ||
Benchmark Mortgage Trust, Series 2019-B9 Class A5 4.016%, 03/15/52 | 5,000 | 5,614,452 |
BHMS, Series 2018-ATLS Class B (1 M ICE LIBOR + 1.500%, Floor 1.500%), 144A 1.610%, 07/15/35@,• | 2,000 | 1,992,446 |
COMM Mortgage Trust, Series 2014-CR20 Class A3 3.326%, 11/10/47 | 4,525 | 4,657,727 |
Par (000) | Value† | |
COMMERCIAL MORTGAGE BACKED SECURITIES — (continued) | ||
FHLMC Multifamily Structured Pass Through Certificates, | ||
Series K019 Class X1, 1.581%, 03/25/22• | $34,761 | $ 348 |
Series K043 Class A2, 3.062%, 12/25/24 | 3,000 | 3,150,695 |
Series K094 Class A2, 2.903%, 06/25/29 | 2,000 | 2,162,871 |
Series K107 Class A1, 1.228%, 10/25/29 | 7,337 | 7,275,073 |
Fontainebleau Miami Beach Trust, Series 2019-FBLU Class B, 144A 3.447%, 12/10/36@ | 2,500 | 2,551,643 |
FREMF Mortgage Trust, | ||
Series 2018-K731 Class B, 144A, 3.933%, 02/25/25@,• | 6,610 | 6,983,534 |
Series 2019-K735 Class B, 144A, 4.019%, 05/25/26@,• | 6,000 | 6,461,956 |
Series 2012-K19 Class C, 144A, 4.013%, 05/25/45@,• | 4,500 | 4,506,567 |
Series 2012-K23 Class C, 144A, 3.656%, 10/25/45@,• | 5,000 | 5,071,064 |
Series 2013-K27 Class C, 144A, 3.496%, 01/25/46@,• | 3,647 | 3,719,484 |
Series 2015-K48 Class B, 144A, 3.642%, 08/25/48@,• | 5,000 | 5,273,252 |
Series 2016-K52 Class B, 144A, 3.926%, 01/25/49@,• | 5,065 | 5,435,482 |
Series 2017-K729 Class C, 144A, 3.673%, 11/25/49@,• | 2,460 | 2,544,778 |
Series 2017-K63 Class B, 144A, 3.873%, 02/25/50@,• | 1,500 | 1,611,144 |
Series 2018-K85 Class C, 144A, 4.320%, 12/25/50@,• | 3,500 | 3,793,464 |
Series 2019-K102 Class B, 144A, 3.530%, 12/25/51@,• | 5,000 | 5,251,470 |
Government National Mortgage Association, Series 2011-77 Class D 4.309%, 10/16/45• | 3 | 2,549 |
Wells Fargo Commercial Mortgage Trust, Series 2019-C51 Class A3 3.055%, 06/15/52 | 3,000 | 3,144,027 |
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $79,610,484) | 81,204,026 |
Number of Shares | ||
PREFERRED STOCKS — 1.1% | ||
Banks — 0.3% | ||
Wells Fargo & Co., Series Z | 60,000 | 1,551,600 |
Number of Shares | Value† | |
Electric — 0.8% | ||
Duke Energy Corp. | 134,000 | $ 3,580,480 |
TOTAL PREFERRED STOCKS (Cost $5,084,700) | 5,132,080 |
Par (000) | ||
CORPORATE BONDS — 44.0% | ||
Aerospace & Defense — 1.5% | ||
General Dynamics Corp. 3.500%, 05/15/25 | $ 3,000 | 3,199,485 |
The Boeing Co. | ||
2.196%, 02/04/26 | 2,000 | 2,000,074 |
3.250%, 02/01/35 | 1,950 | 1,967,734 |
7,167,293 | ||
Agriculture — 0.7% | ||
Cargill, Inc., 144A 3.250%, 03/01/23@ | 3,000 | 3,086,660 |
Airlines — 1.1% | ||
Delta Air Lines Pass Through Trust, Series 2015-1 Class B 4.250%, 01/30/25 | 1,809 | 1,868,453 |
UAL Pass Through Trust, Series 2007-1 Class A 6.636%, 01/02/24 | 2,226 | 2,273,711 |
United Airlines Pass Through Trust, Series 2014-1 Class B 4.750%, 10/11/23 | 1,198 | 1,210,067 |
5,352,231 | ||
Apparel — 0.7% | ||
VF Corp. 2.800%, 04/23/27 | 3,000 | 3,139,319 |
Auto Manufacturers — 1.3% | ||
BMW US Capital LLC, 144A 3.450%, 04/12/23@ | 4,000 | 4,125,108 |
Ford Motor Co. 4.750%, 01/15/43 | 2,000 | 2,207,500 |
6,332,608 | ||
Banks — 3.8% | ||
Allfirst Preferred Capital Trust (3 M ICE LIBOR + 1.500%) 1.624%, 07/15/29• | 3,500 | 3,462,994 |
JPMorgan Chase & Co. | ||
(3 M ICE LIBOR + 0.500%), 0.632%, 02/01/27• | 3,200 | 3,120,111 |
(3 M ICE LIBOR + 3.470%), 3.599%µ,• | 2,000 | 2,010,000 |
KeyCorp. Capital I (3 M ICE LIBOR + 0.740%) 0.954%, 07/01/28• | 2,640 | 2,540,524 |
Par (000) | Value† | |
CORPORATE BONDS — (continued) | ||
Banks — (continued) | ||
State Street Corp. (3 M ICE LIBOR + 0.560%) 0.716%, 05/15/28• | $ 3,830 | $ 3,691,531 |
The Goldman Sachs Group, Inc. (SOFR + 1.248%) 2.383%, 07/21/32• | 3,000 | 2,957,239 |
17,782,399 | ||
Beverages — 0.6% | ||
Constellation Brands, Inc. 2.250%, 08/01/31 | 3,000 | 2,935,553 |
Biotechnology — 0.6% | ||
Gilead Sciences, Inc. 1.650%, 10/01/30 | 3,000 | 2,878,495 |
Building Materials — 2.0% | ||
Builders FirstSource, Inc., 144A 6.750%, 06/01/27@ | 2,204 | 2,325,220 |
Martin Marietta Materials, Inc. 4.250%, 07/02/24 | 3,000 | 3,195,588 |
Vulcan Materials Co. 4.500%, 04/01/25 | 3,565 | 3,868,016 |
9,388,824 | ||
Chemicals — 0.7% | ||
WR Grace Holdings LLC, 144A 5.625%, 10/01/24@ | 3,000 | 3,157,920 |
Commercial Services — 1.8% | ||
IHS Markit Ltd., 144A 5.000%, 11/01/22@ | 2,500 | 2,571,250 |
The Georgetown University, Series B 4.315%, 04/01/49 | 2,485 | 3,054,147 |
University of Southern California 3.028%, 10/01/39 | 2,820 | 2,999,126 |
8,624,523 | ||
Computers — 1.2% | ||
Apple, Inc. 3.850%, 08/04/46 | 4,000 | 4,755,855 |
Dell International LLC 5.450%, 06/15/23 | 800 | 843,980 |
5,599,835 | ||
Diversified Financial Services — 1.3% | ||
AerCap Ireland Capital DAC 3.000%, 10/29/28 | 3,000 | 3,045,015 |
OneMain Finance Corp. 8.250%, 10/01/23 | 3,000 | 3,303,750 |
6,348,765 | ||
Electric — 3.4% | ||
Edison International 3.550%, 11/15/24 | 2,000 | 2,092,428 |
Louisville Gas and Electric Co. 4.250%, 04/01/49 | 3,000 | 3,668,475 |
Par (000) | Value† | |
Electric — (continued) | ||
Monongahela Power Co., 144A 3.550%, 05/15/27@ | $ 2,500 | $ 2,675,337 |
Northern States Power Co. 3.600%, 09/15/47 | 4,000 | 4,512,442 |
Pacific Gas and Electric Co. 4.000%, 12/01/46 | 3,000 | 2,921,495 |
15,870,177 | ||
Food — 2.9% | ||
Kellogg Co. 2.650%, 12/01/23 | 2,501 | 2,577,640 |
Land O' Lakes, Inc., 144A 6.000%, 11/15/22@ | 3,500 | 3,607,005 |
Mars, Inc., 144A 1.625%, 07/16/32@ | 3,000 | 2,835,300 |
The Hershey Co. 1.700%, 06/01/30 | 2,000 | 1,959,047 |
The J.M. Smucker Co. 3.375%, 12/15/27 | 2,750 | 2,940,441 |
13,919,433 | ||
Gas — 0.6% | ||
The Brooklyn Union Gas Co., 144A 3.407%, 03/10/26@ | 2,500 | 2,628,589 |
Healthcare Products — 0.4% | ||
PerkinElmer, Inc. 2.250%, 09/15/31 | 2,000 | 1,947,023 |
Healthcare Services — 1.5% | ||
Centene Corp. | ||
3.375%, 02/15/30 | 1,000 | 1,020,210 |
2.500%, 03/01/31 | 2,000 | 1,947,030 |
Health Care Service Corp. A Mutual Legal Reserve Co., 144A 2.200%, 06/01/30@ | 2,000 | 1,960,734 |
Molina Healthcare, Inc., 144A 3.875%, 05/15/32@ | 2,000 | 2,012,500 |
6,940,474 | ||
Household Products & Wares — 1.1% | ||
Church & Dwight Co., Inc. 2.300%, 12/15/31 | 3,000 | 3,029,247 |
Kimberly-Clark Corp. 3.100%, 03/26/30 | 2,000 | 2,157,090 |
5,186,337 | ||
Internet — 0.8% | ||
Alibaba Group Holding Ltd. | ||
3.400%, 12/06/27 | 1,000 | 1,059,288 |
2.125%, 02/09/31 | 3,000 | 2,899,601 |
3,958,889 | ||
Investment Companies — 0.7% | ||
Ares Capital Corp. 2.875%, 06/15/28 | 3,500 | 3,493,532 |
Par (000) | Value† | |
CORPORATE BONDS — (continued) | ||
Media — 1.8% | ||
Charter Communications Operating LLC 4.464%, 07/23/22 | $ 3,000 | $ 3,044,277 |
Comcast Cable Holdings LLC 9.875%, 06/15/22 | 1,000 | 1,038,795 |
Comcast Corp. 3.250%, 11/01/39 | 4,000 | 4,231,308 |
8,314,380 | ||
Oil & Gas — 0.5% | ||
BP Capital Markets PLC 2.500%, 11/06/22 | 2,500 | 2,540,243 |
Packaging and Containers — 0.2% | ||
Graphic Packaging International LLC, 144A 3.750%, 02/01/30@ | 1,000 | 1,010,700 |
Pharmaceuticals — 3.9% | ||
Becton Dickinson and Co. 3.700%, 06/06/27 | 1,956 | 2,132,925 |
Bristol-Myers Squibb Co. 3.400%, 07/26/29 | 3,000 | 3,288,104 |
GlaxoSmithKline Capital, Inc. 5.375%, 04/15/34 | 1,000 | 1,324,603 |
Johnson & Johnson 3.625%, 03/03/37 | 3,000 | 3,449,979 |
Mead Johnson Nutrition Co. 4.125%, 11/15/25 | 2,000 | 2,179,958 |
Merck & Co., Inc. 3.900%, 03/07/39 | 2,200 | 2,588,423 |
Zoetis, Inc. 4.500%, 11/13/25 | 3,000 | 3,303,990 |
18,267,982 | ||
Real Estate Investment Trusts — 1.4% | ||
Alexandria Real Estate Equities, Inc. 2.000%, 05/18/32 | 2,000 | 1,912,457 |
Kimco Realty Corp. 2.800%, 10/01/26 | 3,000 | 3,119,800 |
SBA Tower Trust, 144A 1.884%, 07/15/50@ | 1,500 | 1,498,024 |
6,530,281 | ||
Retail — 0.8% | ||
AutoNation, Inc. 1.950%, 08/01/28 | 1,500 | 1,468,000 |
The Home Depot, Inc. 2.750%, 09/15/51 | 2,357 | 2,350,250 |
3,818,250 | ||
Semiconductors — 0.4% | ||
NPX BV, 144A 3.150%, 05/01/27@ | 2,000 | 2,104,405 |
Software — 2.1% | ||
Microsoft Corp. 3.750%, 02/12/45 | 1,900 | 2,242,529 |
Par (000) | Value† | |
Software — (continued) | ||
Roper Technologies, Inc. 1.400%, 09/15/27 | $ 1,500 | $ 1,456,534 |
salesforce.com, Inc. 2.700%, 07/15/41 | 3,000 | 3,005,036 |
VMware, Inc. 2.950%, 08/21/22 | 3,000 | 3,035,247 |
9,739,346 | ||
Telecommunications — 2.9% | ||
Crown Castle Towers LLC, 144A 3.663%, 05/15/45@ | 4,000 | 4,162,777 |
Sprint Corp. 7.875%, 09/15/23 | 3,000 | 3,303,750 |
T-Mobile USA, Inc. 2.625%, 04/15/26 | 3,000 | 3,015,000 |
Verizon Communications, Inc. 2.100%, 03/22/28 | 3,000 | 3,008,141 |
13,489,668 | ||
Transportation — 1.3% | ||
BNSF Railway Co. Pass Through Trust, Series 2015-1, 144A 3.442%, 06/16/28@ | 2,266 | 2,466,343 |
Federal Express Corp. Pass Through Trust, Series 1999-1A 7.650%, 07/15/24 | 131 | 135,138 |
Union Pacific Corp. 3.375%, 02/01/35 | 3,336 | 3,651,194 |
6,252,675 | ||
TOTAL CORPORATE BONDS (Cost $203,908,198) | 207,806,809 | |
MUNICIPAL BONDS — 1.0% | ||
University of Massachusetts Building Authority, Series 3 2.417%, 11/01/28 (Cost $4,689,962) | 4,690 | 4,873,300 |
RESIDENTIAL MORTGAGE BACKED SECURITIES — 11.4% | ||
Collateralized Mortgage Obligations — 7.5% | ||
GS Mortgage-Backed Securities Corp. Trust, Series 2020-PJ3 Class A13, 144A 2.500%, 10/25/50@,• | 3,294 | 3,301,033 |
JP Morgan Mortgage Trust, | ||
Series 2021-1 Class A3, 144A, 2.500%, 06/25/51@,• | 5,899 | 5,900,600 |
Series 2021-1 Class A15, 144A, 2.500%, 06/25/51@,• | 4,411 | 4,379,686 |
Series 2021-7 Class A15, 144A, 2.500%, 11/25/51@,• | 5,565 | 5,501,414 |
Seasoned Credit Risk Transfer Trust, Series 2021-2 Class MBU 2.500%, 11/25/60 | 3,100 | 3,089,915 |
Par (000) | Value† | |
RESIDENTIAL MORTGAGE BACKED SECURITIES — (continued) | ||
Collateralized Mortgage Obligations — (continued) | ||
Sequoia Mortgage Trust, | ||
Series 2017-5 Class A1, 144A, 3.500%, 08/25/47@,• | $ 1,021 | $ 1,030,494 |
Series 2017-CH2 Class A1, 144A, 4.000%, 12/25/47@,• | 682 | 689,155 |
Series 2020-4 Class A20, 144A, 2.500%, 11/25/50@,• | 3,424 | 3,412,067 |
Series 2021-5 Class A5, 144A, 2.000%, 07/25/51@,• | 3,666 | 3,682,336 |
Verus Securitization Trust, Series 2019-INV2 Class A3, 144A 3.219%, 07/25/59@,• | 2,531 | 2,541,962 |
Wells Fargo Mortgage Backed Securities Trust, Series 2020-3 Class A1, 144A 3.000%, 06/25/50@,• | 1,716 | 1,744,513 |
35,273,175 | ||
Fannie Mae Pool — 2.3% | ||
2.000%, 11/01/40 | 1,890 | 1,909,897 |
3.500%, 11/01/44 | 1,007 | 1,046,993 |
2.000%, 11/01/51 | 4,968 | 4,959,163 |
2.000%, 12/01/51 | 2,992 | 2,987,278 |
10,903,331 | ||
Freddie Mac Pool — 1.1% | ||
2.000%, 10/01/51 | 4,936 | 4,927,669 |
Freddie Mac REMICS — 0.5% | ||
Series 4523 Class VB 3.500%, 08/15/34 | 2,400 | 2,446,825 |
TOTAL RESIDENTIAL MORTGAGE BACKED SECURITIES (Cost $54,129,839) | 53,551,000 | |
U.S. TREASURY OBLIGATIONS — 6.4% | ||
U.S. Treasury Bonds | ||
1.125%, 08/15/40 | 4,500 | 3,941,719 |
2.250%, 05/15/41 | 3,000 | 3,160,781 |
2.750%, 08/15/42 | 1,800 | 2,057,555 |
2.875%, 05/15/43 | 1,750 | 2,040,391 |
U.S. Treasury Inflation Indexed Bonds | ||
0.125%, 07/15/30 | 2,589 | 2,897,839 |
1.000%, 02/15/46 | 2,043 | 2,792,984 |
U.S. Treasury Notes | ||
2.000%, 07/31/22(a) | 600 | 606,164 |
0.500%, 03/15/23 | 4,500 | 4,501,758 |
0.500%, 05/31/27 | 1,500 | 1,437,363 |
0.500%, 06/30/27 | 4,000 | 3,830,469 |
1.625%, 08/15/29 | 2,950 | 2,995,517 |
TOTAL U.S. TREASURY OBLIGATIONS (Cost $29,009,523) | 30,262,540 |
Number of Shares | Value† | |
SHORT-TERM INVESTMENTS — 1.1% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 0.030%) (Cost $4,908,937) | 4,908,937 | $ 4,908,937 |
TOTAL INVESTMENTS — 99.1% (Cost $461,108,225) | $ 467,620,730 | |
Other Assets & Liabilities — 0.9% | 4,445,642 | |
TOTAL NET ASSETS — 100.0% | $ 472,066,372 |
† | See Security Valuation Note. |
@ | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At December 31, 2021, the aggregate value of Rule 144A securities was $197,739,379, which represents 41.9% of the Fund’s net assets. |
• | Variable rate security. The rate disclosed is the rate in effect on the report date. The information in parenthesis represents the benchmark and reference rate for each relevant security and the rate floats based upon the reference rate and spread. The security may be further subject to interest rate floors and caps. For loan agreements, the rate shown may represent a weighted average interest rate. 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, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
µ | Perpetual security with no stated maturity date. |
(a) | All or portion of securities segregated as collateral for futures contracts. |
CLO— Collateralized Loan Obligation. |
FHLMC— Federal Home Loan Mortgage Corporation. |
FREMF— Freddie Mac Multifamily Securities. |
ICE— Intercontinental Exchange. |
LIBOR— London Interbank Offered Rate. |
LLC— Limited Liability Company. |
M— Month. |
PLC— Public Limited Company. |
REMICS— Real Estate Mortgage Investment Conduits. |
SOFR— Secured Overnight Financing Rate. |
Country Weightings as of 12/31/2021†† | |
United States | 87% |
Cayman Islands | 10 |
United Kingdom | 1 |
China | 1 |
Ireland | 1 |
Total | 100% |
†† | % of total investments as of December 31, 2021. |
ASSETS TABLE | ||||
Description | Total Market Value at 12/31/2021 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Asset Backed Securities | $ 79,882,038 | $ — | $ 79,882,038 | $— |
Commercial Mortgage Backed Securities | 81,204,026 | — | 81,204,026 | — |
Preferred Stocks | 5,132,080 | 5,132,080 | — | — |
Corporate Bonds | 207,806,809 | — | 207,806,809 | — |
Municipal Bonds | 4,873,300 | — | 4,873,300 | — |
Residential Mortgage Backed Securities | 53,551,000 | — | 53,551,000 | — |
U.S. Treasury Obligations | 30,262,540 | — | 30,262,540 | — |
Short-Term Investments | 4,908,937 | 4,908,937 | — | — |
Total Investments | $ 467,620,730 | $ 10,041,017 | $ 457,579,713 | $ — |
Other Financial Instruments(1) | ||||
Futures Contracts | $ 558,140 | $ 558,140 | $ — | $— |
Total Assets—Other Financial Instruments | $ 558,140 | $ 558,140 | $ — | $ — |
LIABILITIES TABLE | ||||
Description | Total Market Value at 12/31/2021 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Other Financial Instruments(1) | ||||
Futures Contracts | $(314,045) | $(314,045) | $— | $— |
Total Liabilities—Other Financial Instruments | $ (314,045) | $ (314,045) | $ — | $ — |
(1) | Other financial instruments are derivative instruments not reflected in the value of total investments in securities in the Schedule of Investments such as future contracts and forward foreign currency contracts which are valued at the unrealized appreciation (depreciation) on the instrument. |
Futures Contracts: Exchange Traded | ||||||||||||||||
Type | Futures Contract | Expiration Date | Numbers of Contracts | Units per Contract | Closing Price | Notional Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||
Long | U.S. Treasury 2 Year Note | 03/31/22 | 818 | 2,000 | $109 | $178,464,595 | $ — | $(103,697) | ||||||||
Long | U.S. Treasury 5 Year Note | 03/31/22 | 80 | 1,000 | 121 | 9,678,125 | 40,479 | — | ||||||||
Long | U.S. Treasury 10 Year Note | 03/22/22 | 40 | 1,000 | 130 | 5,218,750 | 51,173 | — | ||||||||
Long | U.S. Treasury Ultra Bond | 03/22/22 | 149 | 1,000 | 197 | 29,371,625 | 466,488 | — | ||||||||
$ 558,140 | $(103,697) |
Type | Futures Contract | Expiration Date | Numbers of Contracts | Units per Contract | Closing Price | Notional Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||
Short | U.S. Treasury 10 Year Ultra Note | 03/22/22 | (100) | 1,000 | $147 | $(14,643,750) | $ — | $(210,348) | ||||||||
$ — | $(210,348) | |||||||||||||||
$558,140 | $ (314,045) |
Par (000) | Value† | |
ASSET BACKED SECURITIES — 3.2% | ||
Benefit Street Partners CLO II Ltd., Series 2013-IIA Class CR (3 M ICE LIBOR + 3.700%), 144A 3.824%, 07/15/29@,• | $ 1,050 | $ 1,022,850 |
CFIP CLO Ltd., Series 2018-1A Class E (3 M ICE LIBOR + 6.350%) , 144A 6.472%, 07/18/31@,• | 1,500 | 1,454,105 |
First Eagle BSL CLO Ltd., Series 2019-1A Class C (3 M ICE LIBOR + 4.350%, Floor 4.350%), 144A 4.482%, 01/20/33@,• | 1,500 | 1,500,092 |
OCP CLO Ltd., Series 2017-13A Class DR (3 M ICE LIBOR + 6.500%, Floor 6.500%) , 144A 6.624%, 07/15/30@,• | 1,400 | 1,381,563 |
TOTAL ASSET BACKED SECURITIES (Cost $5,408,912) | 5,358,610 |
Number of Shares | ||
COMMON STOCKS — 0.0% | ||
Entertainment — 0.0% | ||
New Cotai Participation, Class B(1),* (Cost $24,225) | 1 | 0 |
PREFERRED STOCKS — 1.3% | ||
Engineering & Construction — 0.5% | ||
Fluor Corp. CONV | 700 | 922,880 |
Packaging and Containers — 0.0% | ||
Smurfit-Stone Container Corp. (Escrow) CONV.(1),* | 725 | 0 |
Pipelines — 0.8% | ||
Targa Resources Corp. CONV | 1,175 | 1,265,153 |
TOTAL PREFERRED STOCKS (Cost $2,073,649) | 2,188,033 |
Par (000) | ||
CORPORATE BONDS — 83.0% | ||
Advertising — 0.6% | ||
Midas OpCo Holdings LLC, 144A 5.625%, 08/15/29@ | $ 1,050 | 1,074,938 |
Aerospace & Defense — 1.3% | ||
Howmet Aerospace, Inc. 6.875%, 05/01/25 | 700 | 804,233 |
TransDigm, Inc., 144A 6.250%, 03/15/26@ | 1,400 | 1,455,125 |
2,259,358 |
Par (000) | Value† | |
Airlines — 1.7% | ||
American Airlines, Inc. Pass Through Trust, Series 2021-1 Class B 3.950%, 01/11/32 | $ 700 | $ 693,570 |
Delta Air Lines, Inc./SkyMiles IP Ltd., 144A 4.750%, 10/20/28@ | 700 | 764,871 |
United Airlines, Inc. Pass Through Trust, | ||
Series 2020-1 Class B, 4.875%, 07/15/27 | 629 | 654,507 |
Series 2020-1 Class A, 5.875%, 04/15/29 | 632 | 692,757 |
2,805,705 | ||
Apparel — 0.4% | ||
The William Carter Co., 144A 5.500%, 05/15/25@ | 700 | 726,250 |
Auto Manufacturers — 1.1% | ||
Ford Motor Co. 4.750%, 01/15/43 | 1,050 | 1,158,938 |
Ford Motor Credit Co., LLC 5.125%, 06/16/25 | 700 | 761,250 |
1,920,188 | ||
Auto Parts & Equipment — 2.3% | ||
Adient U.S. LLC, 144A 9.000%, 04/15/25@ | 1,050 | 1,115,625 |
Clarios Global LP/Clarios US Finance Co., 144A 8.500%, 05/15/27@ | 1,050 | 1,113,000 |
Tenneco, Inc., 144A 7.875%, 01/15/29@ | 770 | 831,600 |
The Goodyear Tire & Rubber Co., 144A 5.000%, 07/15/29@ | 700 | 751,940 |
3,812,165 | ||
Building Materials — 1.2% | ||
Builders FirstSource, Inc., 144A 6.750%, 06/01/27@ | 880 | 928,400 |
Summit Materials LLC/Summit Materials Finance Corp., 144A 6.500%, 03/15/27@ | 1,100 | 1,141,250 |
2,069,650 | ||
Chemicals — 1.7% | ||
Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV, 144A 4.750%, 06/15/27@ | 700 | 729,750 |
Olympus Water US Holding Corp., 144A 6.250%, 10/01/29@ | 700 | 682,500 |
Tronox, Inc., 144A 6.500%, 05/01/25@ | 700 | 739,830 |
Par (000) | Value† | |
CORPORATE BONDS — (continued) | ||
Chemicals — (continued) | ||
WR Grace Holdings LLC, 144A 5.625%, 08/15/29@ | $ 700 | $ 716,625 |
2,868,705 | ||
Commercial Services — 4.7% | ||
Albion Financing 1 SARL / Aggreko Holdings, Inc., 144A 6.125%, 10/15/26@ | 700 | 707,000 |
ASGN, Inc., 144A 4.625%, 05/15/28@ | 700 | 724,710 |
Metis Merger Sub LLC, 144A 6.500%, 05/15/29@ | 700 | 687,533 |
NESCO Holdings II, Inc., 144A 5.500%, 04/15/29@ | 700 | 722,750 |
Nielsen Finance LLC/Nielsen Finance Co., 144A 5.625%, 10/01/28@ | 700 | 722,750 |
Service Corp. International 7.500%, 04/01/27 | 1,750 | 2,100,000 |
Sotheby's/Bidfair Holdings, Inc., 144A 5.875%, 06/01/29@ | 1,400 | 1,428,000 |
WASH Multifamily Acquisition, Inc., 144A 5.750%, 04/15/26@ | 875 | 919,581 |
8,012,324 | ||
Computers — 0.9% | ||
NCR Corp. | ||
144A, 5.750%, 09/01/27@ | 750 | 783,750 |
144A, 5.125%, 04/15/29@ | 700 | 724,640 |
1,508,390 | ||
Cosmetics & Personal Care — 0.9% | ||
Coty Inc/HFC Prestige Products, Inc./HFC Prestige International US LLC, 144A 4.750%, 01/15/29@ | 700 | 711,375 |
Coty, Inc., 144A 5.000%, 04/15/26@ | 770 | 793,123 |
1,504,498 | ||
Distribution & Wholesale — 0.8% | ||
IAA, Inc., 144A 5.500%, 06/15/27@ | 1,000 | 1,036,250 |
Ritchie Bros Holdings, Inc., 144A 4.750%, 12/15/31@ | 350 | 365,313 |
1,401,563 | ||
Diversified Financial Services — 2.5% | ||
LFS Topco LLC, 144A 5.875%, 10/15/26@ | 700 | 722,750 |
Midcap Financial Issuer Trust, 144A 6.500%, 05/01/28@ | 875 | 912,188 |
Navient Corp. 5.500%, 03/15/29 | 700 | 698,250 |
OneMain Finance Corp. 8.250%, 10/01/23 | 1,050 | 1,156,312 |
Par (000) | Value† | |
Diversified Financial Services — (continued) | ||
PRA Group, Inc., 144A 5.000%, 10/01/29@ | $ 700 | $ 701,750 |
4,191,250 | ||
Electric — 2.0% | ||
FirstEnergy Corp. 4.400%, 07/15/27 | 1,210 | 1,303,838 |
Vistra Corp. (UST Yield Curve CMT 5 Yr + 5.740%) , 144A 7.000%@,µ,• | 1,050 | 1,063,534 |
Vistra Operations Co., LLC, 144A 5.000%, 07/31/27@ | 1,050 | 1,089,711 |
3,457,083 | ||
Electrical Components & Equipment — 0.4% | ||
WESCO Distribution, Inc. | ||
144A, 7.125%, 06/15/25@ | 350 | 371,000 |
144A, 7.250%, 06/15/28@ | 350 | 383,688 |
754,688 | ||
Electronics — 0.9% | ||
Imola Merger Corp., 144A 4.750%, 05/15/29@ | 1,400 | 1,434,461 |
Entertainment — 3.1% | ||
Affinity Gaming, 144A 6.875%, 12/15/27@ | 1,200 | 1,248,000 |
Churchill Downs, Inc., 144A 5.500%, 04/01/27@ | 750 | 772,500 |
Everi Holdings, Inc., 144A 5.000%, 07/15/29@ | 700 | 707,000 |
Lions Gate Capital Holdings LLC, 144A 5.500%, 04/15/29@ | 700 | 712,250 |
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 144A 4.875%, 05/01/29@ | 700 | 703,500 |
Scientific Games International, Inc., 144A 7.000%, 05/15/28@ | 1,050 | 1,118,250 |
5,261,500 | ||
Environmental Control — 1.5% | ||
Clean Harbors, Inc. | ||
144A, 4.875%, 07/15/27@ | 750 | 772,500 |
144A, 5.125%, 07/15/29@ | 750 | 795,000 |
Waste Pro USA, Inc., 144A 5.500%, 02/15/26@ | 1,000 | 995,000 |
2,562,500 | ||
Food — 3.9% | ||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 144A 4.625%, 01/15/27@ | 1,050 | 1,101,912 |
Par (000) | Value† | |
CORPORATE BONDS — (continued) | ||
Food — (continued) | ||
JBS USA LUX S.A./JBS USA Finance, Inc., 144A 6.750%, 02/15/28@ | $ 1,400 | $ 1,510,264 |
Performance Food Group, Inc., 144A 5.500%, 10/15/27@ | 1,105 | 1,153,344 |
Pilgrim's Pride Corp., 144A 3.500%, 03/01/32@ | 1,050 | 1,060,500 |
Post Holdings, Inc., 144A 5.750%, 03/01/27@ | 1,000 | 1,032,500 |
SEG Holding LLC/SEG Finance Corp., 144A 5.625%, 10/15/28@ | 700 | 733,250 |
6,591,770 | ||
Food Service — 0.4% | ||
Aramark Services, Inc., 144A 6.375%, 05/01/25@ | 700 | 731,500 |
Gas — 0.6% | ||
NiSource, Inc. (UST Yield Curve CMT 5 Yr + 2.843%) 5.650%µ | 1,000 | 1,027,500 |
Healthcare Products — 1.6% | ||
Avantor Funding, Inc., 144A 4.625%, 07/15/28@ | 750 | 781,875 |
Mozart Debt Merger Sub, Inc., 144A 5.250%, 10/01/29@ | 700 | 709,548 |
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics S.A., 144A 7.375%, 06/01/25@ | 1,120 | 1,181,600 |
2,673,023 | ||
Healthcare Services — 6.1% | ||
Acadia Healthcare Co., Inc., 144A 5.500%, 07/01/28@ | 700 | 735,749 |
Catalent Pharma Solutions, Inc., 144A 5.000%, 07/15/27@ | 1,160 | 1,205,240 |
Centene Corp. | ||
4.250%, 12/15/27 | 1,050 | 1,094,625 |
3.375%, 02/15/30 | 700 | 714,147 |
Charles River Laboratories International, Inc., 144A 4.250%, 05/01/28@ | 1,050 | 1,092,000 |
CHS/Community Health Systems, Inc., 144A 8.000%, 12/15/27@ | 1,050 | 1,134,000 |
HCA, Inc. 5.875%, 02/15/26 | 1,575 | 1,777,808 |
IQVIA, Inc., 144A 5.000%, 10/15/26@ | 1,000 | 1,026,250 |
Tenet Healthcare Corp. | ||
144A, 4.375%, 01/15/30@ | 700 | 708,876 |
6.875%, 11/15/31 | 700 | 799,750 |
10,288,445 |
Par (000) | Value† | |
Home Builders — 0.9% | ||
Meritage Homes Corp., 144A 3.875%, 04/15/29@ | $ 700 | $ 735,000 |
Williams Scotsman International, Inc., 144A 4.625%, 08/15/28@ | 700 | 722,750 |
1,457,750 | ||
Insurance — 0.4% | ||
AmWINS Group, Inc., 144A 4.875%, 06/30/29@ | 700 | 707,000 |
Internet — 0.9% | ||
Go Daddy Operating Co., LLC/GD Finance Co., Inc., 144A 5.250%, 12/01/27@ | 1,400 | 1,447,250 |
Investment Companies — 0.6% | ||
Compass Group Diversified Holdings LLC | ||
144A, 5.250%, 04/15/29@ | 700 | 733,250 |
144A, 5.000%, 01/15/32@ | 350 | 358,750 |
1,092,000 | ||
Iron & Steel — 0.8% | ||
Cleveland-Cliffs, Inc., 144A 9.875%, 10/17/25@ | 1,200 | 1,358,148 |
Machinery — Construction & Mining — 0.4% | ||
Terex Corp., 144A 5.000%, 05/15/29@ | 700 | 719,250 |
Machinery — Diversified — 1.4% | ||
Granite US Holdings Corp., 144A 11.000%, 10/01/27@ | 1,050 | 1,141,875 |
Stevens Holding Co., Inc., 144A 6.125%, 10/01/26@ | 1,200 | 1,279,500 |
2,421,375 | ||
Media — 3.8% | ||
CCO Holdings LLC/CCO Holdings Capital Corp., 144A 5.125%, 05/01/27@ | 1,000 | 1,030,000 |
CSC Holdings LLC, 144A 6.500%, 02/01/29@ | 700 | 749,000 |
DISH DBS Corp., 144A 5.750%, 12/01/28@ | 700 | 707,000 |
Gray Escrow II, Inc., 144A 5.375%, 11/15/31@ | 1,050 | 1,080,187 |
Gray Television, Inc., 144A 7.000%, 05/15/27@ | 700 | 748,125 |
iHeartCommunications, Inc., 144A 5.250%, 08/15/27@ | 700 | 728,070 |
Nexstar Media, Inc., 144A 5.625%, 07/15/27@ | 700 | 731,500 |
Urban One, Inc., 144A 7.375%, 02/01/28@ | 700 | 721,000 |
6,494,882 |
Par (000) | Value† | |
CORPORATE BONDS — (continued) | ||
Mining — 1.0% | ||
Arconic Corp., 144A 6.125%, 02/15/28@ | $ 875 | $ 931,175 |
Freeport-McMoRan, Inc. 5.000%, 09/01/27 | 700 | 728,000 |
1,659,175 | ||
Miscellaneous Manufacturing — 1.0% | ||
FXI Holdings, Inc., 144A 12.250%, 11/15/26@ | 1,468 | 1,649,738 |
Oil & Gas — 8.0% | ||
Apache Corp. 4.875%, 11/15/27 | 705 | 768,450 |
Ascent Resources Utica Holdings LLC/ARU Finance Corp., 144A 8.250%, 12/31/28@ | 1,050 | 1,094,625 |
Chesapeake Energy Corp., 144A 5.875%, 02/01/29@ | 1,500 | 1,604,625 |
Comstock Resources, Inc., 144A 6.750%, 03/01/29@ | 1,050 | 1,137,433 |
CrownRock LP/CrownRock Finance, Inc., 144A 5.000%, 05/01/29@ | 700 | 726,250 |
Encino Acquisition Partners Holdings LLC, 144A 8.500%, 05/01/28@ | 1,050 | 1,090,688 |
Endeavor Energy Resources LP/EER Finance, Inc., 144A 5.750%, 01/30/28@ | 700 | 741,489 |
EQT Corp., 144A 3.625%, 05/15/31@ | 1,120 | 1,162,000 |
Northern Oil & Gas, Inc., 144A 8.125%, 03/01/28@ | 700 | 738,500 |
Occidental Petroleum Corp. 8.500%, 07/15/27 | 1,050 | 1,309,875 |
Parkland Corp., 144A 5.875%, 07/15/27@ | 1,150 | 1,213,250 |
Southwestern Energy Co. | ||
8.375%, 09/15/28 | 1,400 | 1,562,750 |
4.750%, 02/01/32 | 350 | 368,452 |
13,518,387 | ||
Oil & Gas Services — 0.4% | ||
Archrock Partners LP/Archrock Partners Finance Corp., 144A 6.875%, 04/01/27@ | 700 | 735,000 |
Packaging and Containers — 2.3% | ||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 144A 5.250%, 08/15/27@ | 700 | 704,375 |
Berry Global, Inc., 144A 5.625%, 07/15/27@ | 750 | 784,688 |
Graham Packaging Co., Inc., 144A 7.125%, 08/15/28@ | 700 | 724,556 |
Par (000) | Value† | |
Packaging and Containers — (continued) | ||
Mauser Packaging Solutions Holding Co., 144A 8.500%, 04/15/24@ | $ 1,575 | $ 1,626,187 |
3,839,806 | ||
Pharmaceuticals — 2.2% | ||
Elanco Animal Health, Inc. 5.900%, 08/28/28 | 1,050 | 1,218,000 |
Jazz Securities DAC, 144A 4.375%, 01/15/29@ | 1,400 | 1,449,616 |
Organon & Co./Organon Foreign Debt Co-Issuer BV, 144A 5.125%, 04/30/31@ | 1,050 | 1,096,914 |
3,764,530 | ||
Pipelines — 3.5% | ||
Cheniere Energy, Inc. 4.625%, 10/15/28 | 1,400 | 1,480,500 |
Hess Midstream Operations LP, 144A 5.625%, 02/15/26@ | 1,050 | 1,081,500 |
New Fortress Energy, Inc., 144A 6.500%, 09/30/26@ | 700 | 694,750 |
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. | ||
144A, 7.500%, 10/01/25@ | 1,050 | 1,136,625 |
144A, 6.000%, 09/01/31@ | 700 | 692,696 |
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 4.875%, 02/01/31 | 700 | 760,165 |
5,846,236 | ||
Real Estate — 2.3% | ||
Greystar Real Estate Partners LLC, 144A 5.750%, 12/01/25@ | 750 | 763,290 |
Realogy Group LLC/Realogy Co-Issuer Corp. | ||
144A, 7.625%, 06/15/25@ | 1,050 | 1,113,000 |
144A, 9.375%, 04/01/27@ | 1,050 | 1,134,000 |
The Howard Hughes Corp., 144A 5.375%, 08/01/28@ | 875 | 931,914 |
3,942,204 | ||
Real Estate Investment Trusts — 1.3% | ||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. 5.750%, 02/01/27 | 1,000 | 1,130,000 |
MPT Operating Partnership LP/MPT Finance Corp. 5.000%, 10/15/27 | 1,050 | 1,098,562 |
2,228,562 | ||
Retail — 5.1% | ||
Asbury Automotive Group, Inc. 4.750%, 03/01/30 | 1,050 | 1,067,062 |
Par (000) | Value† | |
CORPORATE BONDS — (continued) | ||
Retail — (continued) | ||
Bath & Body Works, Inc., 144A 6.625%, 10/01/30@ | $ 700 | $ 792,750 |
Ken Garff Automotive LLC, 144A 4.875%, 09/15/28@ | 700 | 700,875 |
LCM Investments Holdings II LLC, 144A 4.875%, 05/01/29@ | 700 | 719,376 |
Lithia Motors, Inc., 144A 3.875%, 06/01/29@ | 700 | 714,630 |
Murphy Oil USA, Inc. 5.625%, 05/01/27 | 1,050 | 1,092,000 |
QVC, Inc. 4.750%, 02/15/27 | 750 | 770,625 |
SRS Distribution, Inc., 144A 6.000%, 12/01/29@ | 700 | 703,500 |
Suburban Propane Partners LP/Suburban Energy Finance Corp., 144A 5.000%, 06/01/31@ | 775 | 783,719 |
Yum! Brands, Inc., 144A 7.750%, 04/01/25@ | 1,200 | 1,264,500 |
8,609,037 | ||
Semiconductors — 0.7% | ||
Sensata Technologies BV, 144A 5.625%, 11/01/24@ | 1,000 | 1,099,300 |
Software — 1.1% | ||
ACI Worldwide, Inc., 144A 5.750%, 08/15/26@ | 750 | 781,875 |
Consensus Cloud Solutions, Inc., 144A 6.500%, 10/15/28@ | 1,050 | 1,097,250 |
1,879,125 | ||
Telecommunications — 3.9% | ||
Connect Finco SARL/Connect US Finco LLC, 144A 6.750%, 10/01/26@ | 1,050 | 1,103,812 |
Frontier Communications Holdings LLC, 144A 5.875%, 10/15/27@ | 1,400 | 1,480,500 |
Hughes Satellite Systems Corp. 5.250%, 08/01/26 | 1,000 | 1,093,750 |
Level 3 Financing, Inc., 144A 4.625%, 09/15/27@ | 1,050 | 1,071,000 |
T-Mobile USA, Inc., 144A 3.500%, 04/15/31@ | 700 | 728,000 |
Viasat, Inc., 144A 5.625%, 04/15/27@ | 1,050 | 1,081,500 |
6,558,562 | ||
Transportation — 0.4% | ||
Seaspan Corp., 144A 5.500%, 08/01/29@ | 700 | 707,000 |
TOTAL CORPORATE BONDS (Cost $136,645,585) | 140,671,771 |
Par (000) | Value† | |
LOAN AGREEMENTS‡ — 3.0% | ||
Auto Parts & Equipment — 1.0% | ||
Adient U.S. LLC (3 M LIBOR + 3.500%) 3.590%, 04/10/28• | $ 697 | $ 695,775 |
Clarios Global LP (1 M LIBOR + 3.250%) 3.354%, 04/30/26• | 915 | 909,075 |
1,604,850 | ||
Entertainment — 0.6% | ||
Scientific Games International, Inc. (1 M LIBOR + 2.750%) 2.854%, 08/14/24• | 1,039 | 1,034,818 |
Insurance — 0.4% | ||
Asurion LLC (1 M LIBOR + 5.250%) 5.354%, 01/20/29• | 700 | 696,647 |
Machinery — Diversified — 0.6% | ||
Granite US Holdings Corp. (3 M LIBOR + 4.000%) 4.224%, 09/30/26• | 1,027 | 1,025,931 |
Media — 0.4% | ||
DIRECTV Financing LLC (3 M LIBOR + 5.000%) 5.750%, 08/02/27• | 684 | 684,448 |
TOTAL LOAN AGREEMENTS (Cost $5,035,993) | 5,046,694 |
Number of Shares | ||
SHORT-TERM INVESTMENTS — 7.2% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 0.030%) (Cost $12,261,095) | 12,261,095 | 12,261,095 |
TOTAL INVESTMENTS — 97.7% (Cost $161,449,459) | $ 165,526,203 | |
Other Assets & Liabilities — 2.3% | 3,905,235 | |
TOTAL NET ASSETS — 100.0% | $ 169,431,438 |
† | See Security Valuation Note. |
@ | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At December 31, 2021, the aggregate value of Rule 144A securities was $116,144,705, which represents 68.5% of the Fund’s net assets. |
• | Variable rate security. The rate disclosed is the rate in effect on the report date. The information in parenthesis represents the benchmark and reference rate for each relevant security and the rate floats based upon the reference rate and spread. The security may be further subject to interest rate floors and caps. For loan agreements, the rate shown may represent a weighted average interest rate. 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, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(1) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Valuation Hierarchy table located at the end of the Schedule of Investments. |
* | Non-income producing security. |
µ | Perpetual security with no stated maturity date. |
‡ | Loan Agreements in which the Fund invests generally pay interest at rates which are periodically predetermined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the Prime Rate offered by one or more major U.S. banks, (ii) the lending rate offered by one or more European banks such as the London Interbank Offered Rate (“LIBOR”) or (iii) the Certificate of Deposit rate. Rate shown represents the actual rate at December 31, 2021. Loan Agreements, while exempt from registration under the Security Act of 1933, as amended (the “1933 Act”), contain certain restrictions on resale and cannot be sold publicly. Floating rate Loan Agreements often require repayments from excess cash flow or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturity shown. |
CLO— Collateralized Loan Obligation. |
CMT— Constant Maturity Treasury. |
CONV— Convertible Security. |
ICE— Intercontinental Exchange. |
LIBOR— London Interbank Offered Rate. |
LLC— Limited Liability Company. |
LP— Limited Partnership. |
M— Month. |
PLC— Public Limited Company. |
S.A.— Societe Anonyme. |
UST— US Treasury. |
Yr— Year. |
Country Weightings as of 12/31/2021†† | |
United States | 94% |
Cayman Islands | 4 |
Ireland | 1 |
Canada | 1 |
Total | 100% |
†† | % of total investments as of December 31, 2021. |
ASSETS TABLE | ||||
Description | Total Market Value at 12/31/2021 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Asset Backed Securities | $ 5,358,610 | $ — | $ 5,358,610 | $— |
Common Stocks | — | — | — | — (1) |
Preferred Stocks | 2,188,033 | 2,188,033 | — | — (1) |
Corporate Bonds | 140,671,771 | — | 140,671,771 | — |
Loan Agreements | 5,046,694 | — | 5,046,694 | — |
Short-Term Investments | 12,261,095 | 12,261,095 | — | — |
Total Investments | $ 165,526,203 | $ 14,449,128 | $ 151,077,075 | $ — |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Par (000) | Value† | |
ASSET BACKED SECURITIES — 0.2% | ||
Domino's Pizza Master Issuer LLC, | ||
Series 2017-1A A23, 144A, 4.118%, 07/25/47@ | $4,827 | $ 5,051,216 |
Series 2018-1A A2I, 144A, 4.116%, 07/25/48@ | 4,535 | 4,634,995 |
Series 2019-1A A2, 144A, 3.668%, 10/25/49@ | 2,176 | 2,290,501 |
United Airlines Pass Through Trust, Series 2012-1, Class A, 4.150%, 10/11/25 | 1,285 | 1,332,570 |
TOTAL ASSET BACKED SECURITIES (Cost $12,780,823) | 13,309,282 |
Number of Shares | ||
COMMON STOCKS — 71.9% | ||
Aerospace & Defense — 0.5% | ||
Lockheed Martin Corp. | 28,800 | 10,235,808 |
Northrop Grumman Corp. | 22,100 | 8,554,247 |
Teledyne Technologies, Inc.* | 21,832 | 9,538,182 |
28,328,237 | ||
Auto Parts & Equipment — 0.3% | ||
Aurora Innovation, Inc.* | 900,000 | 10,134,000 |
Aurora Innovation, Inc.*,# | 769,649 | 8,232,935 |
18,366,935 | ||
Banks — 5.4% | ||
Bank of America Corp. | 1,932,970 | 85,997,836 |
The PNC Financial Services Group, Inc. | 1,052,860 | 211,119,487 |
297,117,323 | ||
Beverages — 1.9% | ||
Keurig Dr Pepper, Inc. | 2,220,185 | 81,836,019 |
PepsiCo, Inc. | 58,400 | 10,144,664 |
The Coca-Cola Co. | 196,100 | 11,611,081 |
103,591,764 | ||
Commercial Services — 0.6% | ||
FleetCor Technologies, Inc.* | 141,162 | 31,597,702 |
TransUnion | 10,373 | 1,230,030 |
32,827,732 | ||
Computers — 1.0% | ||
Apple, Inc. | 297,158 | 52,766,346 |
Diversified Financial Services — 2.7% | ||
CME Group, Inc. | 41,400 | 9,458,244 |
Intercontinental Exchange, Inc. | 540,524 | 73,927,468 |
Mastercard, Inc., Class A | 24,900 | 8,947,068 |
Visa, Inc., Class A | 266,800 | 57,818,228 |
150,151,008 | ||
Electric — 6.2% | ||
Ameren Corp. | 1,103,084 | 98,185,507 |
American Electric Power Co., Inc. | 305,931 | 27,218,681 |
Number of Shares | Value† | |
Electric — (continued) | ||
CMS Energy Corp. | 871,321 | $ 56,679,431 |
Exelon Corp. | 1,217,714 | 70,335,160 |
Public Service Enterprise Group, Inc. | 1,313,927 | 87,678,349 |
340,097,128 | ||
Electronics — 0.9% | ||
TE Connectivity Ltd. | 295,072 | 47,606,917 |
Environmental Control — 1.0% | ||
Waste Connections, Inc. | 376,675 | 51,329,502 |
Waste Management, Inc. | 14,100 | 2,353,290 |
53,682,792 | ||
Healthcare Products — 7.9% | ||
Danaher Corp. | 373,132 | 122,764,159 |
Hologic, Inc.* | 277,684 | 21,259,487 |
Medtronic PLC | 41,800 | 4,324,210 |
PerkinElmer, Inc. | 462,725 | 93,035,489 |
Thermo Fisher Scientific, Inc. | 290,488 | 193,825,213 |
435,208,558 | ||
Healthcare Services — 6.4% | ||
Humana, Inc. | 327,089 | 151,723,504 |
UnitedHealth Group, Inc. | 400,566 | 201,140,211 |
352,863,715 | ||
Insurance — 2.5% | ||
Marsh & McLennan Cos., Inc. | 779,899 | 135,562,044 |
Internet — 11.8% | ||
Alphabet, Inc., Class A* | 44,270 | 128,251,961 |
Alphabet, Inc., Class C* | 60,549 | 175,203,981 |
Amazon.com, Inc.* | 87,020 | 290,154,267 |
Meta Platforms, Inc., Class A* | 166,559 | 56,022,119 |
649,632,328 | ||
Lodging — 1.2% | ||
Hilton Worldwide Holdings, Inc.* | 227,264 | 35,450,911 |
Marriott International, Inc., Class A* | 167,761 | 27,720,828 |
63,171,739 | ||
Machinery — Diversified — 0.7% | ||
Ingersoll Rand, Inc. | 635,610 | 39,325,191 |
Miscellaneous Manufacturing — 4.5% | ||
General Electric Co. | 2,586,791 | 244,374,146 |
Pharmaceuticals — 2.1% | ||
Becton Dickinson and Co. | 448,568 | 112,805,881 |
Retail — 4.0% | ||
McDonald's Corp. | 53,408 | 14,317,083 |
Ross Stores, Inc. | 20,200 | 2,308,456 |
Yum! Brands, Inc. | 1,463,656 | 203,243,272 |
219,868,811 | ||
Semiconductors — 0.2% | ||
NXP Semiconductors N.V. | 51,600 | 11,753,448 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Software — 9.7% | ||
Fiserv, Inc.* | 140,445 | $ 14,576,787 |
Microsoft Corp. | 1,243,457 | 418,199,458 |
Roper Technologies, Inc. | 44,672 | 21,972,370 |
salesforce.com, Inc.* | 311,234 | 79,093,896 |
533,842,511 | ||
Telecommunications — 0.4% | ||
Cisco Systems, Inc. | 322,200 | 20,417,814 |
TOTAL COMMON STOCKS (Cost $2,888,624,749) | 3,943,362,368 | |
PREFERRED STOCKS — 1.3% | ||
Auto Manufacturers — 0.4% | ||
Waymo LLC, Series A-2, CONV(1),*,# | 245,568 | 22,523,988 |
Diversified Financial Services — 0.0% | ||
The Charles Schwab Corp., Series D | 12,000 | 305,760 |
Electric — 0.7% | ||
American Electric Power Co., Inc., CONV | 132,344 | 6,633,081 |
CMS Energy Corp., 2078 | 348,783 | 9,329,945 |
CMS Energy Corp., 2079 | 473,264 | 12,730,802 |
SCE Trust IV, Series J (3 M ICE LIBOR + 3.132%) | 253,661 | 6,356,745 |
35,050,573 | ||
Gas — 0.2% | ||
NiSource, Inc., CONV | 70,356 | 7,879,168 |
NiSource, Inc., Series B (UST Yield Curve CMT 5 Yr + 3.632%) | 161,830 | 4,405,013 |
12,284,181 | ||
TOTAL PREFERRED STOCKS (Cost $65,949,798) | 70,164,502 |
Par (000) | ||
CORPORATE BONDS — 7.8% | ||
Airlines — 0.3% | ||
Delta Air Lines, Inc./SkyMiles IP Ltd. | ||
144A, 4.500%, 10/20/25@ | $ 7,490 | 7,874,458 |
144A, 4.750%, 10/20/28@ | 4,165 | 4,550,982 |
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 144A 6.500%, 06/20/27@ | 4,500 | 4,803,750 |
U.S. Airways Pass Through Trust, | ||
Series 2010-1 Class A, 6.250%, 10/22/24 | 796 | 814,911 |
Series 2012-2 Class A, 4.625%, 12/03/26 | 140 | 139,099 |
Par (000) | Value† | |
Airlines — (continued) | ||
Series 2013-1 Class B, 3.950%, 05/15/27 | $ 2 | $ 2,572 |
18,185,772 | ||
Auto Parts & Equipment — 0.2% | ||
Clarios Global LP, 144A 6.750%, 05/15/25@ | 1,714 | 1,795,415 |
Clarios Global LP/Clarios US Finance Co. | ||
144A, 6.250%, 05/15/26@ | 2,304 | 2,410,560 |
144A, 8.500%, 05/15/27@ | 3,995 | 4,234,700 |
8,440,675 | ||
Banks — 0.0% | ||
State Street Corp., Series F (3 M ICE LIBOR + 3.597%) 3.800%µ | 1,454 | 1,457,464 |
Building Materials — 0.0% | ||
Lennox International, Inc. 3.000%, 11/15/23 | 760 | 781,668 |
Commercial Services — 0.0% | ||
Korn Ferry, 144A 4.625%, 12/15/27@ | 1,405 | 1,447,150 |
Entertainment — 1.3% | ||
Cedar Fair LP 5.250%, 07/15/29 | 8,321 | 8,529,025 |
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. | ||
144A, 5.500%, 05/01/25@ | 3,515 | 3,638,025 |
5.375%, 04/15/27 | 8,865 | 9,086,625 |
6.500%, 10/01/28 | 6,445 | 6,863,925 |
Six Flags Entertainment Corp. | ||
144A, 4.875%, 07/31/24@ | 20,338 | 20,541,380 |
144A, 5.500%, 04/15/27@ | 13,244 | 13,707,540 |
Six Flags Theme Parks, Inc., 144A 7.000%, 07/01/25@ | 6,684 | 7,138,128 |
69,504,648 | ||
Gas — 0.1% | ||
NiSource, Inc. (UST Yield Curve CMT 5 Yr + 2.843%) 5.650%µ | 5,825 | 5,985,187 |
Healthcare Products — 0.1% | ||
Avantor Funding, Inc., 144A 4.625%, 07/15/28@ | 4,495 | 4,686,037 |
Teleflex, Inc. 4.625%, 11/15/27 | 2,880 | 2,995,200 |
7,681,237 | ||
Healthcare Services — 0.2% | ||
Hadrian Merger Sub, Inc., 144A 8.500%, 05/01/26@ | 5,376 | 5,523,840 |
Surgery Center Holdings, Inc., 144A 10.000%, 04/15/27@ | 4,525 | 4,807,812 |
Par (000) | Value† | |
CORPORATE BONDS — (continued) | ||
Healthcare Services — (continued) | ||
Tenet Healthcare Corp., 144A 4.625%, 09/01/24@ | $ 1,700 | $ 1,738,250 |
12,069,902 | ||
Insurance — 0.9% | ||
Acrisure LLC/Acrisure Finance, Inc., 144A 7.000%, 11/15/25@ | 8,275 | 8,275,000 |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer | ||
144A, 4.250%, 10/15/27@ | 925 | 925,000 |
144A, 6.750%, 10/15/27@ | 1,025 | 1,063,438 |
144A, 5.875%, 11/01/29@ | 925 | 941,095 |
AmWINS Group, Inc., 144A 4.875%, 06/30/29@ | 1,475 | 1,489,750 |
HUB International Ltd. | ||
144A, 7.000%, 05/01/26@ | 25,492 | 26,193,030 |
144A, 5.625%, 12/01/29@ | 1,735 | 1,787,432 |
USI, Inc., 144A 6.875%, 05/01/25@ | 9,529 | 9,600,467 |
50,275,212 | ||
Internet — 1.8% | ||
Netflix, Inc. | ||
5.500%, 02/15/22 | 1,100 | 1,106,050 |
5.875%, 02/15/25 | 6,510 | 7,315,938 |
4.375%, 11/15/26 | 15,365 | 17,016,737 |
4.875%, 04/15/28 | 18,975 | 21,631,500 |
5.875%, 11/15/28 | 25,660 | 30,856,150 |
6.375%, 05/15/29 | 13,850 | 17,208,625 |
144A, 4.875%, 06/15/30@ | 390 | 454,838 |
Photo Holdings Merger Sub, Inc., 144A 8.500%, 10/01/26@ | 4,635 | 4,821,420 |
100,411,258 | ||
Leisure Time — 0.1% | ||
Life Time, Inc., 144A 5.750%, 01/15/26@ | 4,539 | 4,697,865 |
Lodging — 0.0% | ||
Hilton Domestic Operating Co., Inc., 144A 5.375%, 05/01/25@ | 389 | 404,794 |
Marriott International, Inc. 3.125%, 06/15/26 | 1,290 | 1,340,391 |
1,745,185 | ||
Machinery — Diversified — 0.1% | ||
TK Elevator US Newco, Inc., 144A 5.250%, 07/15/27@ | 1,345 | 1,413,931 |
Welbilt, Inc. 9.500%, 02/15/24 | 3,543 | 3,578,430 |
4,992,361 |
Par (000) | Value† | |
Media — 1.3% | ||
CCO Holdings LLC/CCO Holdings Capital Corp. | ||
144A, 4.000%, 03/01/23@ | $ 5,250 | $ 5,250,210 |
144A, 5.125%, 05/01/27@ | 26,370 | 27,161,100 |
144A, 5.000%, 02/01/28@ | 28,336 | 29,469,440 |
Sirius XM Radio, Inc., 144A 5.000%, 08/01/27@ | 6,075 | 6,313,990 |
68,194,740 | ||
Miscellaneous Manufacturing — 0.3% | ||
General Electric Co., Series D (3 M ICE LIBOR + 3.330%) 3.533%µ | 14,550 | 14,477,250 |
Real Estate Investment Trusts — 0.0% | ||
SBA Communications Corp. 3.875%, 02/15/27 | 2,085 | 2,147,550 |
Retail — 0.8% | ||
IRB Holding Corp., 144A 6.750%, 02/15/26@ | 280 | 285,250 |
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 144A 4.750%, 06/01/27@ | 19,335 | 19,987,556 |
Yum! Brands, Inc. | ||
3.875%, 11/01/23 | 4,905 | 5,107,331 |
144A, 7.750%, 04/01/25@ | 1,740 | 1,833,525 |
144A, 4.750%, 01/15/30@ | 1,300 | 1,407,250 |
6.875%, 11/15/37 | 3,540 | 4,478,100 |
5.350%, 11/01/43 | 8,185 | 9,023,963 |
42,122,975 | ||
Semiconductors — 0.1% | ||
Sensata Technologies BV | ||
144A, 4.875%, 10/15/23@ | 2,595 | 2,724,750 |
144A, 5.625%, 11/01/24@ | 880 | 967,384 |
144A, 5.000%, 10/01/25@ | 3,150 | 3,417,750 |
7,109,884 | ||
Software — 0.1% | ||
Clarivate Science Holdings Corp. | ||
144A, 3.875%, 07/01/28@ | 2,585 | 2,597,925 |
144A, 4.875%, 07/01/29@ | 795 | 807,319 |
3,405,244 | ||
Telecommunications — 0.1% | ||
Altice France Holding S.A., 144A 10.500%, 05/15/27@ | 4,865 | 5,229,875 |
TOTAL CORPORATE BONDS (Cost $401,929,052) | 430,363,102 | |
LOAN AGREEMENTS‡ — 11.4% | ||
Airlines — 0.7% | ||
Delta Air Lines, Inc. (3 M ICE LIBOR + 3.750%) 4.750%, 10/20/27• | 10,040 | 10,604,750 |
Par (000) | Value† | |
LOAN AGREEMENTS‡ — (continued) | ||
Airlines — (continued) | ||
Mileage Plus Holdings LLC (3 M ICE LIBOR + 5.250%) 6.250%, 06/21/27• | $24,765 | $26,080,764 |
36,685,514 | ||
Chemicals — 0.0% | ||
HB Fuller Co. (1 M ICE LIBOR + 2.000%) 2.104%, 10/20/24• | 1,139 | 1,138,488 |
Commercial Services — 0.2% | ||
CoreLogic, Inc. | ||
(1 M ICE LIBOR + 3.500%), 4.000%, 06/02/28• | 11,232 | 11,209,386 |
(1 M ICE LIBOR + 6.500%), 7.000%, 06/04/29• | 665 | 669,575 |
11,878,961 | ||
Cosmetics & Personal Care — 0.3% | ||
Sunshine Luxembourg VII Sarl (3 M ICE LIBOR + 3.750%) 4.500%, 10/01/26• | 13,803 | 13,846,413 |
Entertainment — 0.5% | ||
Alpha TopCo., Ltd. - Delta 2 (Lux) Sarl (1 M ICE LIBOR + 2.500%) 3.500%, 02/01/24• | 22,740 | 22,702,024 |
Cedar Fair LP (1 M ICE LIBOR + 1.750%) 1.854%, 04/13/24• | 210 | 205,473 |
SeaWorld Parks & Entertainment, Inc. (3 M ICE LIBOR + 3.000%) 3.500%, 08/25/28• | 5,046 | 5,021,168 |
27,928,665 | ||
Environmental Control — 0.2% | ||
Filtration Group Corp. | ||
(1 M EURIBOR + 3.000%), 3.104%, 03/31/25• | 3,057 | 3,027,722 |
(3 M ICE EURIBOR + 3.500%), 3.500%, 03/31/25• | 5,579 | 6,324,342 |
(1 M ICE LIBOR + 3.500%), 4.000%, 10/21/28• | 1,721 | 1,716,747 |
11,068,811 | ||
Healthcare Products — 0.7% | ||
Avantor Funding, Inc. (1 M ICE LIBOR + 2.000%) 2.500%, 11/21/24• | 610 | 608,025 |
Medline Borrower, LP (1 M ICE LIBOR + 3.250%) 3.750%, 10/23/28• | 34,675 | 34,659,743 |
35,267,768 |
Par (000) | Value† | |
Healthcare Services — 0.9% | ||
ADMI Corp. | ||
(6 M ICE LIBOR + 3.125%), 3.875%, 12/23/27• | $ 6,000 | $ 5,957,185 |
(1 M ICE LIBOR + 3.500%), 4.000%, 12/23/27• | 6,918 | 6,899,261 |
Eyecare Partners LLC | ||
(3 M ICE LIBOR + 3.750%), 3.974%, 02/18/27• | 1,023 | 1,015,711 |
(3 M ICE LIBOR + 3.750%), 4.250%, 11/15/28• | 220 | 218,955 |
(3 M ICE LIBOR + 2.750%), 5.443%, 11/15/28• | 55 | 54,739 |
Heartland Dental LLC | ||
(1 M ICE LIBOR + 3.500%), 3.604%, 04/30/25• | 18,053 | 17,857,740 |
(3 M ICE LIBOR + 4.000%), 4.104%, 04/30/25• | 1,766 | 1,761,710 |
Loire US Holdco 1, Inc. (1 M ICE LIBOR + 3.250%) 3.354%, 04/21/27(1),• | 12,279 | 12,125,700 |
Pacific Dental Services, Inc. (1 M ICE LIBOR + 3.250%) 4.000%, 05/05/28• | 1,552 | 1,550,741 |
47,441,742 | ||
Insurance — 4.1% | ||
Acrisure LLC (3 M ICE LIBOR + 3.750%) 4.250%, 02/15/27• | 2,673 | 2,665,494 |
Alliant Holdings Intermediate LLC | ||
(1 M ICE LIBOR + 3.250%), 3.354%, 05/09/25• | 9,826 | 9,719,945 |
(1 M ICE LIBOR + 3.250%), 3.354%, 05/09/25• | 5,219 | 5,162,732 |
(1 M ICE LIBOR + 3.500%), 4.000%, 11/06/27• | 16,215 | 16,183,011 |
HUB International Ltd. | ||
(3 M ICE LIBOR + 2.750%), 2.875%, 04/25/25• | 79,394 | 78,419,434 |
(3 M ICE LIBOR + 3.250%), 4.000%, 04/25/25• | 50,102 | 50,055,119 |
Hyperion Refinance Sarl (1 M ICE LIBOR + 3.250%) 4.000%, 11/12/27• | 15,411 | 15,330,792 |
Ryan Specialty Group LLC (1 M ICE LIBOR + 3.000%) 3.750%, 09/01/27• | 3,213 | 3,207,806 |
USI, Inc. | ||
(3 M ICE LIBOR + 3.000%), 3.224%, 05/16/24• | 30,160 | 29,907,486 |
(3 M ICE LIBOR + 3.250%), 3.474%, 12/02/26• | 16,390 | 16,264,262 |
226,916,081 |
Par (000) | Value† | |
LOAN AGREEMENTS‡ — (continued) | ||
Leisure Time — 0.0% | ||
Life Time, Inc. (3 M ICE LIBOR + 4.750%) 5.750%, 12/16/24• | $ 2,177 | $ 2,186,401 |
Lodging — 0.1% | ||
Four Seasons Hotels Ltd. (1 M ICE LIBOR + 2.000%) 2.104%, 11/30/23• | 3,028 | 3,012,442 |
Machinery — Diversified — 0.3% | ||
Vertical Midco (6 M ICE LIBOR + 3.500%) 4.000%, 07/30/27• | 16,344 | 16,341,869 |
Welbilt, Inc. (1 M ICE LIBOR + 2.500%) 2.604%, 10/23/25• | 1,970 | 1,960,977 |
18,302,846 | ||
Pharmaceuticals — 0.2% | ||
Pathway Vet Alliance LLC (1 M ICE LIBOR + 3.750%) 3.854%, 03/31/27• | 1,312 | 1,306,296 |
Pearl Intermediate Parent LLC (1 M ICE LIBOR + 2.750%) 2.854%, 02/14/25• | 1,065 | 1,051,982 |
PetVet Care Centers LLC | ||
(1 M ICE LIBOR + 3.250%), 3.354%, 02/14/25• | 3,413 | 3,389,346 |
(1 M ICE LIBOR + 3.500%), 4.250%, 02/14/25• | 6,843 | 6,834,914 |
12,582,538 | ||
Retail — 0.3% | ||
IRB Holding Corp. | ||
(3 M ICE LIBOR + 2.750%), 3.750%, 02/05/25• | 6,766 | 6,750,160 |
(3 M ICE LIBOR + 3.250%), 4.250%, 12/15/27• | 7,313 | 7,306,131 |
Woof Holdings, Inc. (3 M ICE LIBOR + 3.750%) 4.500%, 12/21/27• | 1,970 | 1,970,113 |
16,026,404 | ||
Software — 2.9% | ||
Applied Systems, Inc. | ||
(1 M ICE LIBOR + 3.250%), 3.500%, 09/19/24• | 10,362 | 10,351,352 |
(3 M ICE LIBOR + 5.500%), 6.250%, 09/19/25• | 1,085 | 1,091,791 |
Ascend Learning LLC | ||
0.000%, 12/11/28× | 20,105 | 20,058,960 |
(1 M ICE LIBOR + 5.750%), 6.250%, 11/16/29• | 2,855 | 2,859,768 |
Azalea TopCo, Inc. | ||
(3 M ICE LIBOR + 3.500%), 3.629%, 07/24/26• | 14,558 | 14,480,514 |
Par (000) | Value† | |
Software — (continued) | ||
(3 M ICE LIBOR + 3.750%), 4.500%, 07/24/26• | $ 2,294 | $ 2,291,419 |
Camelot US Acquisition I Co. (1 M ICE LIBOR + 3.000%) 4.000%, 10/30/26• | 10,444 | 10,428,207 |
Polaris Newco LLC (3 M ICE LIBOR + 4.000%) 4.500%, 06/02/28• | 1,741 | 1,739,001 |
Project Boost Purchaser LLC (1 M ICE LIBOR + 3.500%) 4.000%, 06/01/26• | 1,657 | 1,655,524 |
RealPage, Inc. | ||
(1 M ICE LIBOR + 3.250%), 3.750%, 04/24/28• | 15,471 | 15,415,683 |
(1 M ICE LIBOR + 6.500%), 7.250%, 04/23/29• | 700 | 708,050 |
Sophia LP | ||
0.000%, 10/07/27× | 410 | 409,692 |
(3 M ICE LIBOR + 3.500%), 3.724%, 10/07/27• | 2,883 | 2,880,613 |
The Ultimate Software Group, Inc. (1 M ICE LIBOR + 3.750%) 3.854%, 05/04/26• | 1,725 | 1,718,818 |
UKG, Inc. | ||
(3 M ICE LIBOR + 3.250%), 3.750%, 05/04/26• | 70,307 | 69,889,431 |
(1 M ICE LIBOR + 5.250%), 5.750%, 05/03/27• | 3,010 | 3,015,659 |
158,994,482 | ||
Telecommunications — 0.0% | ||
Eagle Broadband Investments LLC (3 M ICE LIBOR + 3.000%) 3.750%, 11/12/27• | 2,244 | 2,239,601 |
TOTAL LOAN AGREEMENTS (Cost $622,009,066) | 625,517,157 |
Number of Shares | ||
SHORT-TERM INVESTMENTS — 10.0% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 0.030%) | 43,694,768 | 43,694,768 |
T. Rowe Price Government Reserve Investment Fund (seven-day effective yield 0.060%) | 502,978,840 | 502,978,840 |
TOTAL SHORT-TERM INVESTMENTS (Cost $546,673,608) | 546,673,608 | |
TOTAL INVESTMENTS — 102.6% (Cost $4,537,967,096) | $ 5,629,390,019 | |
Other Assets & Liabilities — (2.6)% | (141,725,255) | |
TOTAL NET ASSETS — 100.0% | $ 5,487,664,764 |
Number of Contracts | Value† | |
WRITTEN OPTIONS — (1.8)% | ||
Call Options | ||
TOTAL WRITTEN OPTIONS | ||
(See open written options schedule) | ||
(Premiums $(46,566,808)) | 59,152 | $ (98,318,051) |
† | See Security Valuation Note. |
@ | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At December 31, 2021, the aggregate value of Rule 144A securities was $270,396,123, which represents 4.9% of the Fund’s net assets. |
* | Non-income producing security. |
# | Restricted Security. These investments are in securities not registered under the Securities Act of 1933, as amended, and have certain restrictions on resale which may limit their liquidity. At December 31, 2021, the aggregate value of restricted securities was $30,756,923 which represented 0.6% of the Fund's net assets. The Fund has various registration rights (exercisable under a variety of circumstances) with respect to these securities. |
Investment | Date of Acquisition | Cost | Value | |
Aurora Innovation, Inc. | 03/01/19 | $ 3,276,052 | $ 8,232,935 | |
Waymo LLC, Series A-2 | 05/08/20 | 21,086,236 | 22,523,988 | |
Total | $24,362,288 | $ 30,756,923 |
(1) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Valuation Hierarchy table located at the end of the Schedule of Investments. |
µ | Perpetual security with no stated maturity date. |
‡ | Loan Agreements in which the Fund invests generally pay interest at rates which are periodically predetermined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the Prime Rate offered by one or more major U.S. banks, (ii) the lending rate offered by one or more European banks such as the London Interbank Offered Rate (“LIBOR”) or (iii) the Certificate of Deposit rate. Rate shown represents the actual rate at December 31, 2021. Loan Agreements, while exempt from registration under the Security Act of 1933, as amended (the “1933 Act”), contain certain restrictions on resale and cannot be sold publicly. Floating rate Loan Agreements often require repayments from excess cash flow or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturity shown. |
• | Variable rate security. The rate disclosed is the rate in effect on the report date. The information in parenthesis represents the benchmark and reference rate for each relevant security and the rate floats based upon the reference rate and spread. The security may be further subject to interest rate floors and caps. For loan agreements, the rate shown may represent a weighted average interest rate. 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, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
× | This loan will settle after December 31, 2021, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
CMT— Constant Maturity Treasury. |
CONV— Convertible Security. |
EURIBOR— Euro Interbank Offered Rate. |
ICE— Intercontinental Exchange. |
LIBOR— London Interbank Offered Rate. |
LLC— Limited Liability Company. |
LP— Limited Partnership. |
M— Month. |
N.V.— Naamloze Vennootschap. |
PLC— Public Limited Company. |
S.A.— Societe Anonyme. |
UST— US Treasury. |
Yr— Year. |
ASSETS TABLE | ||||
Description | Total Market Value at 12/31/2021 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input^ |
Asset Backed Securities | $ 13,309,282 | $ — | $ 13,309,282 | $ — |
Common Stocks | ||||
Aerospace & Defense | 28,328,237 | 28,328,237 | — | — |
Auto Parts & Equipment | 18,366,935 | 10,134,000 | 8,232,935 | — |
Banks | 297,117,323 | 297,117,323 | — | — |
Beverages | 103,591,764 | 103,591,764 | — | — |
Commercial Services | 32,827,732 | 32,827,732 | — | — |
Computers | 52,766,346 | 52,766,346 | — | — |
Diversified Financial Services | 150,151,008 | 150,151,008 | — | — |
Electric | 340,097,128 | 340,097,128 | — | — |
Electronics | 47,606,917 | 47,606,917 | — | — |
Environmental Control | 53,682,792 | 53,682,792 | — | — |
Healthcare Products | 435,208,558 | 435,208,558 | — | — |
Healthcare Services | 352,863,715 | 352,863,715 | — | — |
Insurance | 135,562,044 | 135,562,044 | — | — |
Internet | 649,632,328 | 649,632,328 | — | — |
Lodging | 63,171,739 | 63,171,739 | — | — |
Machinery — Diversified | 39,325,191 | 39,325,191 | — | — |
Miscellaneous Manufacturing | 244,374,146 | 244,374,146 | — | — |
Pharmaceuticals | 112,805,881 | 112,805,881 | — | — |
Retail | 219,868,811 | 219,868,811 | — | — |
Semiconductors | 11,753,448 | 11,753,448 | — | — |
Software | 533,842,511 | 533,842,511 | — | — |
Telecommunications | 20,417,814 | 20,417,814 | — | — |
Total Common Stocks | 3,943,362,368 | 3,935,129,433 | 8,232,935 | — |
Preferred Stocks | ||||
Auto Manufacturers | 22,523,988 | — | — | 22,523,988 |
Diversified Financial Services | 305,760 | 305,760 | — | — |
ASSETS TABLE | ||||
Description | Total Market Value at 12/31/2021 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input^ |
Electric | $ 35,050,573 | $ 35,050,573 | $ — | $ — |
Gas | 12,284,181 | 12,284,181 | — | — |
Total Preferred Stocks | 70,164,502 | 47,640,514 | — | 22,523,988 |
Corporate Bonds | 430,363,102 | — | 430,363,102 | — |
Loan Agreements | 625,517,157 | — | 613,391,457 | 12,125,700 |
Short-Term Investments | 546,673,608 | 546,673,608 | — | — |
Total Investments | $ 5,629,390,019 | $ 4,529,443,555 | $1,065,296,776 | $ 34,649,688 |
LIABILITIES TABLE | ||||
Description | Total Market Value at 12/31/2021 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input^ |
Other Financial Instruments(1) | ||||
Written Options | $(98,318,051) | $(98,304,875) | $(13,176) | $— |
Total Liabilities—Other Financial Instruments | $ (98,318,051) | $ (98,304,875) | $ (13,176) | $ — |
(1) | Other financial instruments are derivative instruments not reflected in the value of total investments in securities in the Schedule of Investments such as future contracts and forward foreign currency contracts which are valued at the unrealized appreciation (depreciation) on the instrument and written options which are reported at their fair value at period end. |
^ | A reconciliation of Level 3 instruments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to the net assets. Management has concluded that Level 3 investments are not material in relation to net assets. |
Open Written Options |
Exchange Traded |
Call Options | ||||||||||
Description | # of Contracts | Notional | Exercise Price | Expiration Date | Value | |||||
Alphabet, Inc. | 50 | $ 8,800,000 | $ 1,760 | 01/21/22 | $ (5,636,000) | |||||
Alphabet, Inc. | 50 | 8,900,000 | 1,780 | 01/21/22 | (5,538,500) | |||||
Alphabet, Inc. | 50 | 9,000,000 | 1,800 | 01/21/22 | (5,435,000) |
Call Options | ||||||||||
Description | # of Contracts | Notional | Exercise Price | Expiration Date | Value | |||||
Alphabet, Inc. | 13 | $ 2,574,000 | $ 1,980 | 06/17/22 | $ (1,209,000) | |||||
Alphabet, Inc. | 13 | 2,600,000 | 2,000 | 06/17/22 | (1,184,560) | |||||
Alphabet, Inc. | 13 | 2,730,000 | 2,100 | 06/17/22 | (1,086,085) | |||||
Alphabet, Inc. | 5 | 1,275,000 | 2,550 | 06/17/22 | (213,950) | |||||
Alphabet, Inc. | 5 | 1,300,000 | 2,600 | 06/17/22 | (205,850) | |||||
Alphabet, Inc. | 5 | 1,325,000 | 2,650 | 06/17/22 | (177,350) | |||||
Alphabet, Inc. | 13 | 2,548,000 | 1,960 | 09/16/22 | (1,261,000) | |||||
Alphabet, Inc. | 13 | 2,574,000 | 1,980 | 09/16/22 | (1,236,690) | |||||
Alphabet, Inc. | 13 | 2,600,000 | 2,000 | 09/16/22 | (1,235,000) | |||||
Alphabet, Inc. | 13 | 2,730,000 | 2,100 | 09/16/22 | (1,096,160) | |||||
Alphabet, Inc. | 3 | 735,000 | 2,450 | 09/16/22 | (165,780) | |||||
Alphabet, Inc. | 3 | 750,000 | 2,500 | 09/16/22 | (153,930) | |||||
Alphabet, Inc. | 4 | 1,020,000 | 2,550 | 09/16/22 | (194,720) | |||||
Alphabet, Inc. | 4 | 1,040,000 | 2,600 | 09/16/22 | (177,200) | |||||
Alphabet, Inc. | 13 | 4,160,000 | 3,200 | 01/20/23 | (262,340) | |||||
Alphabet, Inc. | 13 | 4,290,000 | 3,300 | 01/20/23 | (238,355) | |||||
Alphabet, Inc. | 13 | 4,420,000 | 3,400 | 01/20/23 | (184,600) | |||||
Alphabet, Inc. | 13 | 4,550,000 | 3,500 | 01/20/23 | (160,537) | |||||
Amazon.com, Inc. | 23 | 8,740,000 | 3,800 | 01/21/22 | (6,555) | |||||
Amazon.com, Inc. | 32 | 12,480,000 | 3,900 | 01/21/22 | (6,016) | |||||
Amazon.com, Inc. | 46 | 18,400,000 | 4,000 | 01/21/22 | (6,026) | |||||
Amazon.com, Inc. | 23 | 9,430,000 | 4,100 | 01/21/22 | (1,817) | |||||
Amazon.com, Inc. | 23 | 9,660,000 | 4,200 | 01/21/22 | (1,702) | |||||
Amazon.com, Inc. | 25 | 10,750,000 | 4,300 | 01/21/22 | (1,250) | |||||
Amazon.com, Inc. | 6 | 2,400,000 | 4,000 | 01/20/23 | (109,800) | |||||
Amazon.com, Inc. | 6 | 2,460,000 | 4,100 | 01/20/23 | (95,940) | |||||
Amazon.com, Inc. | 6 | 2,520,000 | 4,200 | 01/20/23 | (85,830) | |||||
Amazon.com, Inc. | 6 | 2,580,000 | 4,300 | 01/20/23 | (76,170) | |||||
Amazon.com, Inc. | 6 | 2,640,000 | 4,400 | 01/20/23 | (65,460) | |||||
Amazon.com, Inc. | 13 | 5,850,000 | 4,500 | 01/20/23 | (124,800) | |||||
Amazon.com, Inc. | 7 | 3,220,000 | 4,600 | 01/20/23 | (63,455) | |||||
Amazon.com, Inc. | 7 | 3,290,000 | 4,700 | 01/20/23 | (51,800) | |||||
Amazon.com, Inc. | 7 | 3,360,000 | 4,800 | 01/20/23 | (47,040) | |||||
Amazon.com, Inc. | 7 | 3,430,000 | 4,900 | 01/20/23 | (37,870) | |||||
Amazon.com, Inc. | 7 | 3,500,000 | 5,000 | 01/20/23 | (35,000) | |||||
Amazon.com, Inc. | 7 | 3,570,000 | 5,100 | 01/20/23 | (32,200) | |||||
American Electric Power Co., Inc. | 868 | 7,812,000 | 90 | 01/21/22 | (65,100) | |||||
American Electric Power Co., Inc. | 1,061 | 10,079,500 | 95 | 01/21/22 | (5,305) | |||||
American Electric Power Co., Inc. | 337 | 3,285,750 | 98 | 01/21/22 | (674) | |||||
American Electric Power Co., Inc. | 337 | 3,370,000 | 100 | 01/21/22 | (1,011) | |||||
Bank of America Corp. | 2,797 | 9,789,500 | 35 | 01/21/22 | (2,643,165) | |||||
Bank of America Corp. | 2,073 | 7,670,100 | 37 | 01/21/22 | (1,596,210) | |||||
Bank of America Corp. | 568 | 2,272,000 | 40 | 01/21/22 | (263,552) | |||||
Bank of America Corp. | 567 | 2,551,500 | 45 | 01/21/22 | (49,329) | |||||
Bank of America Corp. | 7,354 | 33,093,000 | 45 | 01/20/23 | (3,456,380) | |||||
Bank of America Corp. | 2,476 | 12,380,000 | 50 | 01/20/23 | (673,472) | |||||
Cisco Systems, Inc. | 1,073 | 4,828,500 | 45 | 01/21/22 | (1,990,415) | |||||
Cisco Systems, Inc. | 1,075 | 5,106,250 | 48 | 01/21/22 | (1,724,300) | |||||
Cisco Systems, Inc. | 1,074 | 5,370,000 | 50 | 01/21/22 | (1,439,160) | |||||
CME Group, Inc. | 207 | 4,554,000 | 220 | 01/21/22 | (215,280) | |||||
CME Group, Inc. | 207 | 4,761,000 | 230 | 01/21/22 | (70,380) | |||||
Danaher Corp. | 43 | 1,161,000 | 270 | 01/21/22 | (262,687) | |||||
Danaher Corp. | 110 | 3,080,000 | 280 | 01/21/22 | (559,900) | |||||
Danaher Corp. | 67 | 1,943,000 | 290 | 01/21/22 | (265,789) | |||||
Danaher Corp. | 476 | 14,280,000 | 300 | 01/21/22 | (1,423,240) | |||||
Exelon Corp. | 337 | 1,685,000 | 50 | 01/21/22 | (256,457) | |||||
Fiserv, Inc. | 134 | 1,742,000 | 130 | 01/21/22 | (670) |
Call Options | ||||||||||
Description | # of Contracts | Notional | Exercise Price | Expiration Date | Value | |||||
Fiserv, Inc. | 134 | $ 1,809,000 | $ 135 | 01/21/22 | $ (402) | |||||
FleetCor Technologies, Inc. | 50 | 1,500,000 | 300 | 01/21/22 | (250) | |||||
FleetCor Technologies, Inc. | 33 | 1,023,000 | 310 | 01/21/22 | (1,650) | |||||
General Electric Co. | 3,448 | 4,137,600 | 12 | 01/21/22 | (75,856) | |||||
General Electric Co. | 10,359 | 15,538,500 | 15 | 01/21/22 | (10,359) | |||||
Hilton Worldwide Holdings, Inc. | 179 | 2,237,500 | 125 | 01/21/22 | (563,850) | |||||
Hilton Worldwide Holdings, Inc. | 316 | 4,108,000 | 130 | 01/21/22 | (818,440) | |||||
Hilton Worldwide Holdings, Inc. | 543 | 7,330,500 | 135 | 01/21/22 | (1,186,455) | |||||
Hilton Worldwide Holdings, Inc. | �� | 406 | 5,684,000 | 140 | 01/21/22 | (682,080) | ||||
Intercontinental Exchange, Inc. | 168 | 2,100,000 | 125 | 01/21/22 | (209,160) | |||||
Intercontinental Exchange, Inc. | 341 | 4,433,000 | 130 | 01/21/22 | (255,750) | |||||
Intercontinental Exchange, Inc. | 173 | 2,335,500 | 135 | 01/21/22 | (58,820) | |||||
Lockheed Martin Corp. | 96 | 3,264,000 | 340 | 01/21/22 | (165,888) | |||||
Lockheed Martin Corp. | 96 | 3,456,000 | 360 | 01/21/22 | (32,640) | |||||
Lockheed Martin Corp. | 96 | 3,600,000 | 375 | 01/21/22 | (3,840) | |||||
Marriott International, Inc. | 276 | 4,002,000 | 145 | 01/21/22 | (577,944) | |||||
Marriott International, Inc. | 276 | 4,140,000 | 150 | 01/21/22 | (455,952) | |||||
Marriott International, Inc. | 134 | 2,077,000 | 155 | 01/21/22 | (161,336) | |||||
Marriott International, Inc. | 134 | 2,144,000 | 160 | 01/21/22 | (104,520) | |||||
Marriott International, Inc. | 102 | 1,683,000 | 165 | 01/21/22 | (47,328) | |||||
Marriott International, Inc. | 102 | 1,734,000 | 170 | 01/21/22 | (23,052) | |||||
McDonald's Corp. | 69 | 1,518,000 | 220 | 01/21/22 | (337,065) | |||||
McDonald's Corp. | 154 | 3,542,000 | 230 | 01/21/22 | (602,910) | |||||
McDonald's Corp. | 152 | 3,952,000 | 260 | 01/20/23 | (396,720) | |||||
McDonald's Corp. | 152 | 4,104,000 | 270 | 01/20/23 | (317,072) | |||||
Medtronic PLC | 139 | 1,598,500 | 115 | 01/21/22 | (1,112) | |||||
Medtronic PLC | 139 | 1,737,500 | 125 | 01/21/22 | (139) | |||||
Medtronic PLC | 140 | 1,820,000 | 130 | 01/21/22 | (700) | |||||
Meta Platforms, Inc. | 122 | 4,148,000 | 340 | 01/21/22 | (88,328) | |||||
Meta Platforms, Inc. | 122 | 4,209,000 | 345 | 01/21/22 | (64,904) | |||||
Meta Platforms, Inc. | 60 | 2,280,000 | 380 | 01/21/22 | (2,940) | |||||
Meta Platforms, Inc. | 916 | 36,640,000 | 400 | 01/21/22 | (17,404) | |||||
Meta Platforms, Inc. | 67 | 2,311,500 | 345 | 09/16/22 | (248,905) | |||||
Meta Platforms, Inc. | 67 | 2,412,000 | 360 | 09/16/22 | (195,640) | |||||
Microsoft Corp. | 228 | 5,700,000 | 250 | 01/21/22 | (1,995,456) | |||||
Microsoft Corp. | 228 | 5,814,000 | 255 | 01/21/22 | (1,859,340) | |||||
Microsoft Corp. | 228 | 5,928,000 | 260 | 01/21/22 | (1,770,420) | |||||
Microsoft Corp. | 175 | 4,637,500 | 265 | 01/21/22 | (1,266,300) | |||||
Microsoft Corp. | 275 | 7,425,000 | 270 | 01/21/22 | (1,853,775) | |||||
Microsoft Corp. | 275 | 7,562,500 | 275 | 01/21/22 | (1,718,750) | |||||
Microsoft Corp. | 796 | 22,288,000 | 280 | 01/21/22 | (4,573,020) | |||||
Microsoft Corp. | 689 | 20,670,000 | 300 | 01/20/23 | (4,147,780) | |||||
Microsoft Corp. | 237 | 7,584,000 | 320 | 01/20/23 | (1,125,750) | |||||
Microsoft Corp. | 460 | 15,180,000 | 330 | 01/20/23 | (1,955,000) | |||||
Microsoft Corp. | 699 | 23,766,000 | 340 | 01/20/23 | (2,616,357) | |||||
Microsoft Corp. | 940 | 32,900,000 | 350 | 01/20/23 | (3,078,500) | |||||
Microsoft Corp. | 240 | 8,520,000 | 355 | 01/20/23 | (726,000) | |||||
Microsoft Corp. | 479 | 17,244,000 | 360 | 01/20/23 | (1,420,235) | |||||
Microsoft Corp. | 164 | 5,986,000 | 365 | 01/20/23 | (434,600) | |||||
Northrop Grumman Corp. | 110 | 3,465,000 | 315 | 01/21/22 | (774,400) | |||||
Northrop Grumman Corp. | 111 | 3,607,500 | 325 | 01/21/22 | (649,350) | |||||
NXP Semiconductors N.V. | 172 | 3,354,000 | 195 | 01/21/22 | (547,820) | |||||
NXP Semiconductors N.V. | 172 | 3,440,000 | 200 | 01/21/22 | (479,020) | |||||
NXP Semiconductors N.V. | 172 | 3,612,000 | 210 | 01/21/22 | (321,640) | |||||
PepsiCo, Inc. | 292 | 4,234,000 | 145 | 01/21/22 | (803,000) | |||||
PepsiCo, Inc. | 292 | 4,526,000 | 155 | 01/21/22 | (543,120) | |||||
Ross Stores, Inc. | 68 | 884,000 | 130 | 01/21/22 | (544) |
Call Options | ||||||||||
Description | # of Contracts | Notional | Exercise Price | Expiration Date | Value | |||||
Ross Stores, Inc. | 101 | $ 1,363,500 | $ 135 | 01/21/22 | $ (1,515) | |||||
Ross Stores, Inc. | 33 | 462,000 | 140 | 01/21/22 | (1,155) | |||||
The Coca-Cola Co. | 980 | 5,145,000 | 53 | 01/21/22 | (666,400) | |||||
The Coca-Cola Co. | 981 | 5,395,500 | 55 | 01/21/22 | (431,640) | |||||
The PNC Financial Services Group, Inc. | 138 | 2,415,000 | 175 | 01/21/22 | (350,520) | |||||
The PNC Financial Services Group, Inc. | 283 | 5,094,000 | 180 | 01/21/22 | (577,320) | |||||
The PNC Financial Services Group, Inc. | 283 | 5,235,500 | 185 | 01/21/22 | (438,650) | |||||
The PNC Financial Services Group, Inc. | 145 | 2,755,000 | 190 | 01/21/22 | (160,950) | |||||
The PNC Financial Services Group, Inc. | 332 | 7,304,000 | 220 | 01/20/23 | (361,880) | |||||
The PNC Financial Services Group, Inc. | 332 | 7,636,000 | 230 | 01/20/23 | (270,580) | |||||
Thermo Fisher Scientific, Inc. | 76 | 4,256,000 | 560 | 01/21/22 | (817,000) | |||||
Thermo Fisher Scientific, Inc. | 158 | 9,164,000 | 580 | 01/21/22 | (1,385,660) | |||||
Thermo Fisher Scientific, Inc. | 82 | 4,920,000 | 600 | 01/21/22 | (598,600) | |||||
UnitedHealth Group, Inc. | 69 | 2,760,000 | 400 | 01/21/22 | (724,707) | |||||
UnitedHealth Group, Inc. | 69 | 2,829,000 | 410 | 01/21/22 | (648,600) | |||||
UnitedHealth Group, Inc. | 69 | 2,898,000 | 420 | 01/21/22 | (602,853) | |||||
UnitedHealth Group, Inc. | 33 | 1,518,000 | 460 | 01/21/22 | (155,100) | |||||
UnitedHealth Group, Inc. | 33 | 1,551,000 | 470 | 01/21/22 | (122,760) | |||||
Visa, Inc. | 202 | 4,444,000 | 220 | 01/21/22 | (56,560) | |||||
Visa, Inc. | 729 | 16,402,500 | 225 | 01/21/22 | (98,415) | |||||
Visa, Inc. | 728 | 16,744,000 | 230 | 01/21/22 | (43,680) | |||||
Visa, Inc. | 235 | 5,522,500 | 235 | 01/21/22 | (6,815) | |||||
Visa, Inc. | 137 | 3,288,000 | 240 | 01/21/22 | (2,055) | |||||
Visa, Inc. | 139 | 3,405,500 | 245 | 01/21/22 | (1,112) | |||||
Visa, Inc. | 462 | 11,550,000 | 250 | 01/21/22 | (2,772) | |||||
Waste Management, Inc. | 141 | 1,833,000 | 130 | 01/21/22 | (516,060) | |||||
Yum! Brands, Inc. | 76 | 798,000 | 105 | 01/21/22 | (249,280) | |||||
Yum! Brands, Inc. | 76 | 836,000 | 110 | 01/21/22 | (212,800) | |||||
Yum! Brands, Inc. | 671 | 8,052,000 | 120 | 01/21/22 | (1,201,090) | |||||
Yum! Brands, Inc. | 276 | 3,450,000 | 125 | 01/21/22 | (378,120) | |||||
Total Written Options | $(98,318,051) |
Number of Shares | Value† | |
AFFILIATED EQUITY FUNDS — 60.2% | ||
Penn Series Index 500 Fund* (Cost $23,082,813) | 1,347,412 | $ 55,850,210 |
AFFILIATED FIXED INCOME FUNDS — 39.7% | ||
Penn Series Quality Bond Fund* (Cost $32,583,794) | 2,135,880 | 36,822,571 |
SHORT-TERM INVESTMENTS — 0.3% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 0.030%) (Cost $287,975) | 287,975 | 287,975 |
TOTAL INVESTMENTS — 100.2% (Cost $55,954,582) | $ 92,960,756 | |
Other Assets & Liabilities — (0.2)% | (207,847) | |
TOTAL NET ASSETS — 100.0% | $ 92,752,909 |
† | See Security Valuation Note. |
* | Non-income producing security. |
ASSETS TABLE | ||||
Description | Total Market Value at 12/31/2021 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Affiliated Equity Funds | $55,850,210 | $55,850,210 | $— | $— |
Affiliated Fixed Income Funds | 36,822,571 | 36,822,571 | — | — |
Short-Term Investments | 287,975 | 287,975 | — | — |
Total Investments | $ 92,960,756 | $ 92,960,756 | $ — | $ — |
Number of Shares | Value† | |
COMMON STOCKS — 98.2% | ||
Advertising — 0.4% | ||
The Trade Desk, Inc., Class A* | 17,800 | $ 1,631,192 |
Aerospace & Defense — 1.5% | ||
Airbus S.E.* | 22,105 | 2,827,713 |
Teledyne Technologies, Inc.* | 7,988 | 3,489,877 |
6,317,590 | ||
Apparel — 0.5% | ||
NIKE, Inc., Class B | 13,318 | 2,219,711 |
Auto Manufacturers — 6.3% | ||
Ferrari N.V. | 13,698 | 3,545,316 |
Rivian Automotive, Inc.*,> | 91,993 | 9,061,817 |
Rivian Automotive, Inc., Class A* | 47,040 | 4,877,578 |
Tesla, Inc.* | 9,004 | 9,515,247 |
26,999,958 | ||
Auto Parts & Equipment — 0.1% | ||
Aurora Innovation, Inc.*,> | 60,197 | 643,927 |
Biotechnology — 0.2% | ||
Argenx S.E., ADR* | 2,580 | 903,490 |
Commercial Services — 3.6% | ||
Affirm Holdings, Inc.* | 5,592 | 562,332 |
Afterpay Ltd.* | 36,213 | 2,187,045 |
Block, Inc., Class A* | 5,500 | 888,305 |
Cintas Corp. | 4,687 | 2,077,138 |
Global Payments, Inc. | 15,424 | 2,085,016 |
MarketAxess Holdings, Inc. | 1,677 | 689,700 |
PayPal Holdings, Inc.* | 10,539 | 1,987,445 |
S&P Global, Inc. | 4,876 | 2,301,131 |
Toast, Inc., Class A* | 1,744 | 60,534 |
TransUnion | 21,766 | 2,581,012 |
15,419,658 | ||
Computers — 6.0% | ||
Apple, Inc. | 144,837 | 25,718,706 |
Diversified Financial Services — 3.3% | ||
Ant Group Co., Ltd.(1),*,# | 279,408 | 1,023,164 |
Mastercard, Inc., Class A | 15,587 | 5,600,721 |
Tradeweb Markets, Inc., Class A | 7,421 | 743,139 |
Visa, Inc., Class A | 30,803 | 6,675,318 |
14,042,342 | ||
Electrical Components & Equipment — 0.6% | ||
Generac Holdings, Inc.* | 7,132 | 2,509,893 |
Entertainment — 0.1% | ||
DraftKings, Inc., Class A* | 23,430 | 643,622 |
Healthcare Products — 3.3% | ||
Align Technology, Inc.* | 1,447 | 950,940 |
Avantor, Inc.* | 49,074 | 2,067,978 |
Intuitive Surgical, Inc.* | 18,089 | 6,499,378 |
Stryker Corp. | 17,755 | 4,748,042 |
14,266,338 |
Number of Shares | Value† | |
Healthcare Services — 2.4% | ||
Anthem, Inc. | 3,975 | $ 1,842,572 |
HCA Healthcare, Inc. | 15,741 | 4,044,178 |
Humana, Inc. | 2,807 | 1,302,055 |
UnitedHealth Group, Inc. | 5,938 | 2,981,707 |
10,170,512 | ||
Internet — 34.0% | ||
Airbnb, Inc., Class A* | 12,342 | 2,054,820 |
Alphabet, Inc., Class A* | 6,748 | 19,549,226 |
Alphabet, Inc., Class C* | 5,755 | 16,652,610 |
Amazon.com, Inc.* | 12,365 | 41,229,114 |
Booking Holdings, Inc.* | 1,138 | 2,730,324 |
Coupang, Inc., Class A* | 45,547 | 1,338,171 |
DoorDash, Inc., Class A* | 16,177 | 2,408,755 |
Expedia Group, Inc.* | 11,496 | 2,077,557 |
Farfetch Ltd., Class A* | 51,641 | 1,726,359 |
IAC* | 1,724 | 225,344 |
Kuaishou Technology* | 4,400 | 40,656 |
Match Group, Inc.* | 19,863 | 2,626,882 |
Meituan, Class B* | 29,400 | 849,852 |
Meta Platforms, Inc., Class A* | 69,594 | 23,407,942 |
Netflix, Inc.* | 13,530 | 8,151,013 |
Pinduoduo, Inc., ADR* | 9,200 | 536,360 |
Pinterest, Inc., Class A* | 22,146 | 805,007 |
Sea Ltd., ADR* | 30,476 | 6,817,786 |
Shopify, Inc., Class A* | 1,697 | 2,337,431 |
Snap, Inc., Class A* | 126,744 | 5,960,770 |
Spotify Technology S.A.* | 17,186 | 4,022,040 |
Vimeo, Inc.* | 9,742 | 174,966 |
145,722,985 | ||
Leisure Time — 0.2% | ||
Peloton Interactive, Inc., Class A* | 21,586 | 771,915 |
Lodging — 0.9% | ||
Las Vegas Sands Corp.* | 33,290 | 1,253,036 |
Wynn Resorts Ltd.* | 29,408 | 2,500,856 |
3,753,892 | ||
Pharmaceuticals — 2.0% | ||
AstraZeneca PLC, ADR | 38,799 | 2,260,042 |
Cigna Corp. | 7,881 | 1,809,714 |
Eli Lilly & Co. | 16,492 | 4,555,420 |
8,625,176 | ||
Retail — 3.2% | ||
Carvana Co.* | 7,114 | 1,648,954 |
Chipotle Mexican Grill, Inc.* | 1,604 | 2,804,193 |
Lululemon Athletica, Inc.* | 8,407 | 3,290,920 |
Ross Stores, Inc. | 53,139 | 6,072,725 |
13,816,792 | ||
Semiconductors — 4.9% | ||
Advanced Micro Devices, Inc.* | 30,224 | 4,349,233 |
ASML Holding N.V. | 7,977 | 6,350,809 |
NVIDIA Corp. | 26,700 | 7,852,737 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Semiconductors — (continued) | ||
Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 19,886 | $ 2,392,485 |
20,945,264 | ||
Software — 23.8% | ||
Activision Blizzard, Inc. | 18,341 | 1,220,227 |
Atlassian Corp. PLC, Class A* | 3,000 | 1,143,870 |
Avalara, Inc.* | 6,820 | 880,530 |
Bill.com Holdings, Inc.* | 1,461 | 364,008 |
Black Knight, Inc.* | 32,331 | 2,679,917 |
Ceridian HCM Holding, Inc.* | 11,177 | 1,167,549 |
Datadog, Inc., Class A* | 13,378 | 2,382,756 |
Fiserv, Inc.* | 35,339 | 3,667,835 |
HashiCorp, Inc., Class A* | 3,314 | 301,707 |
Intuit, Inc. | 15,814 | 10,171,881 |
Magic Leap, Inc., Class A(1),*,# | 1,353 | 25,980 |
Microsoft Corp. | 136,498 | 45,907,007 |
Monday.com Ltd.* | 1,410 | 435,295 |
MongoDB, Inc.* | 5,657 | 2,994,533 |
MSCI, Inc. | 986 | 604,112 |
Paycom Software, Inc.* | 2,154 | 894,319 |
ROBLOX Corp., Class A* | 24,898 | 2,568,478 |
Roper Technologies, Inc. | 7,818 | 3,845,362 |
salesforce.com, Inc.* | 20,991 | 5,334,443 |
SentinelOne, Inc., Class A* | 37,100 | 1,873,179 |
ServiceNow, Inc.* | 8,845 | 5,741,378 |
Snowflake, Inc., Class A* | 3,193 | 1,081,629 |
Stripe, Inc., Class B(1),*,# | 8,608 | 556,507 |
Twilio, Inc., Class A* | 3,700 | 974,358 |
UiPath, Inc., Class A* | 42,233 | 1,821,509 |
Workday, Inc., Class A* | 4,378 | 1,195,982 |
Zoom Video Communications, Inc., Class A* | 11,642 | 2,141,080 |
101,975,431 | ||
Transportation — 0.9% | ||
Didi Global, Inc.*,> | 11,920 | 225,574 |
FedEx Corp. | 13,405 | 3,467,069 |
3,692,643 | ||
TOTAL COMMON STOCKS (Cost $226,608,913) | 420,791,037 | |
PREFERRED STOCKS — 0.2% | ||
Auto Manufacturers — 0.1% | ||
Waymo LLC, Series A-2, CONV(1),*,# | 3,737 | 342,765 |
Electronics — 0.1% | ||
GM Cruise, Class F, CONV(1),*,# | 27,200 | 716,720 |
TOTAL PREFERRED STOCKS (Cost $817,286) | 1,059,485 |
Number ofShares | Value† | |
SHORT-TERM INVESTMENTS — 1.6% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 0.030%) | 863,956 | $ 863,956 |
T. Rowe Price Government Reserve Investment Fund (seven-day effective yield 0.060%) | 5,904,661 | 5,904,661 |
TOTAL SHORT-TERM INVESTMENTS (Cost $6,768,617) | 6,768,617 | |
TOTAL INVESTMENTS — 100.0% (Cost $234,194,816) | $ 428,619,139 | |
Other Assets & Liabilities — 0.0% | 68,265 | |
TOTAL NET ASSETS — 100.0% | $ 428,687,404 |
† | See Security Valuation Note. |
* | Non-income producing security. |
> | Restricted Security. These investments are restricted due to a lock up provision which may limit their liquidity for 180 days after the effective date of registration under the Securities Act of 1933. At December 31, 2021, the aggregate value of restricted securities was $9,931,318 which represented 2.3% of the Fund's net assets. The Fund has various registration rights (exercisable under a variety of circumstances) with respect to these securities. |
Investment | Date of Acquisition | Cost | Value | |
Aurora Innovation, Inc. | 03/01/19 | $ 256,232 | $ 643,927 | |
Didi Global, Inc. | 10/19/15 | 326,920 | 225,574 | |
Rivian Automotive, Inc. | 12/23/19 | 988,373 | 9,061,817 | |
Total | $1,571,525 | $ 9,931,318 |
(1) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Valuation Hierarchy table located at the end of the Schedule of Investments. |
# | Restricted Security. These investments are in securities not registered under the Securities Act of 1933, as amended, and have certain restrictions on resale which may limit their liquidity. At December 31, 2021, the aggregate value of restricted securities was $2,665,136 which represented 0.6% of the Fund's net assets. The Fund has various registration rights (exercisable under a variety of circumstances) with respect to these securities. |
Investment | Date of Acquisition | Cost | Value | |
Ant Group Co., Ltd. | 06/07/18 | $1,064,929 | $ 1,023,164 | |
GM Cruise, Class F | 05/07/19 | 496,400 | 716,720 | |
Magic Leap, Inc., Class A | 01/20/16 | 657,500 | 25,980 | |
Stripe, Inc., Class B | 12/17/19 | 135,060 | 556,507 | |
Waymo LLC, Series A-2 | 05/08/20 | 320,886 | 342,765 | |
Total | $ 2,674,775 | $2,665,136 |
ADR— American Depositary Receipt. |
CONV— Convertible Security. |
LLC— Limited Liability Company. |
N.V.— Naamloze Vennootschap. |
PLC— Public Limited Company. |
S.A.— Societe Anonyme. |
S.E.— Societas Europaea. |
Country Weightings as of 12/31/2021†† | |
United States | 90% |
Netherlands | 2 |
Singapore | 2 |
Canada | 1 |
Sweden | 1 |
United Kingdom | 1 |
Italy | 1 |
Other | 2 |
Total | 100% |
†† | % of total investments as of December 31, 2021. |
ASSETS TABLE | ||||
Description | Total Market Value at 12/31/2021 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input^ |
Common Stocks | ||||
Advertising | $ 1,631,192 | $ 1,631,192 | $ — | $ — |
Aerospace & Defense | 6,317,590 | 6,317,590 | — | — |
Apparel | 2,219,711 | 2,219,711 | — | — |
Auto Manufacturers | 26,999,958 | 17,938,141 | 9,061,817 | — |
Auto Parts & Equipment | 643,927 | — | 643,927 | — |
Biotechnology | 903,490 | 903,490 | — | — |
Commercial Services | 15,419,658 | 15,419,658 | — | — |
Computers | 25,718,706 | 25,718,706 | — | — |
Diversified Financial Services | 14,042,342 | 13,019,178 | — | 1,023,164 |
Electrical Components & Equipment | 2,509,893 | 2,509,893 | — | — |
Entertainment | 643,622 | 643,622 | — | — |
Healthcare Products | 14,266,338 | 14,266,338 | — | — |
Healthcare Services | 10,170,512 | 10,170,512 | — | — |
Internet | 145,722,985 | 145,722,985 | — | — |
Leisure Time | 771,915 | 771,915 | — | — |
Lodging | 3,753,892 | 3,753,892 | — | — |
Pharmaceuticals | 8,625,176 | 8,625,176 | — | — |
Retail | 13,816,792 | 13,816,792 | — | — |
Semiconductors | 20,945,264 | 20,945,264 | — | — |
Software | 101,975,431 | 101,392,944 | — | 582,487 |
Transportation | 3,692,643 | 3,467,069 | 225,574 | — |
Total Common Stocks | 420,791,037 | 409,254,068 | 9,931,318 | 1,605,651 |
Preferred Stocks | 1,059,485 | — | — | 1,059,485 |
Short-Term Investments | 6,768,617 | 6,768,617 | — | — |
Total Investments | $ 428,619,139 | $ 416,022,685 | $ 9,931,318 | $ 2,665,136 |
^ | A reconciliation of Level 3 instruments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to the net assets. Management has concluded that Level 3 investments are not material in relation to net assets. |
Number of Shares | Value† | |
COMMON STOCKS — 98.1% | ||
Apparel — 4.1% | ||
adidas AG | 3,743 | $ 1,078,988 |
LVMH Moet Hennessy Louis Vuitton S.E. | 792 | 655,530 |
NIKE, Inc., Class B | 9,198 | 1,533,031 |
3,267,549 | ||
Beverages — 1.3% | ||
PepsiCo, Inc. | 5,754 | 999,527 |
Chemicals — 1.1% | ||
The Sherwin-Williams Co. | 2,499 | 880,048 |
Commercial Services — 3.4% | ||
Equifax, Inc. | 3,417 | 1,000,463 |
Moody's Corp. | 2,132 | 832,717 |
Verisk Analytics, Inc. | 3,788 | 866,429 |
2,699,609 | ||
Computers — 10.3% | ||
Accenture PLC, Class A | 8,093 | 3,354,953 |
Apple, Inc. | 23,699 | 4,208,231 |
Cognizant Technology Solutions Corp., Class A | 6,869 | 609,418 |
8,172,602 | ||
Cosmetics & Personal Care — 3.1% | ||
Colgate-Palmolive Co. | 22,197 | 1,894,292 |
The Estee Lauder Cos., Inc., Class A | 1,471 | 544,564 |
2,438,856 | ||
Diversified Financial Services — 6.0% | ||
Mastercard, Inc., Class A | 2,297 | 825,358 |
The Charles Schwab Corp. | 20,304 | 1,707,567 |
Visa, Inc., Class A | 10,275 | 2,226,695 |
4,759,620 | ||
Electric — 0.9% | ||
Xcel Energy, Inc. | 10,348 | 700,560 |
Electronics — 6.2% | ||
Agilent Technologies, Inc. | 3,836 | 612,417 |
Amphenol Corp., Class A | 21,360 | 1,868,146 |
Fortive Corp. | 15,320 | 1,168,763 |
TE Connectivity Ltd. | 7,697 | 1,241,834 |
4,891,160 | ||
Food — 1.1% | ||
McCormick & Co., Inc. | 9,378 | 906,009 |
Healthcare Products — 10.3% | ||
Abbott Laboratories | 5,988 | 842,751 |
Boston Scientific Corp.* | 39,954 | 1,697,246 |
Danaher Corp. | 3,307 | 1,088,036 |
Medtronic PLC | 5,473 | 566,182 |
STERIS PLC | 3,748 | 912,301 |
Stryker Corp. | 5,078 | 1,357,959 |
Thermo Fisher Scientific, Inc. | 2,452 | 1,636,072 |
8,100,547 |
Number of Shares | Value† | |
Healthcare Services — 1.5% | ||
ICON PLC* | 3,726 | $ 1,153,942 |
Household Products & Wares — 2.9% | ||
Church & Dwight Co., Inc. | 22,163 | 2,271,707 |
Insurance — 3.2% | ||
Aon PLC, Class A | 5,579 | 1,676,824 |
Marsh & McLennan Cos., Inc. | 4,883 | 848,763 |
2,525,587 | ||
Internet — 10.9% | ||
Alibaba Group Holding Ltd.* | 65,652 | 1,001,087 |
Alphabet, Inc., Class A* | 2,348 | 6,802,250 |
Tencent Holdings Ltd. | 14,100 | 826,013 |
8,629,350 | ||
Machinery — Diversified — 1.2% | ||
Otis Worldwide Corp. | 10,561 | 919,546 |
Media — 1.0% | ||
Charter Communications, Inc., Class A* | 1,195 | 779,104 |
Pharmaceuticals — 2.7% | ||
Becton Dickinson and Co. | 4,870 | 1,224,708 |
Cigna Corp. | 2,750 | 631,483 |
Roche Holding AG | 681 | 283,326 |
2,139,517 | ||
Private Equity — 0.5% | ||
Blackstone, Inc. | 3,051 | 394,769 |
Retail — 5.2% | ||
Dollarama, Inc. | 27,446 | 1,373,656 |
Ross Stores, Inc. | 8,544 | 976,408 |
Starbucks Corp. | 8,413 | 984,069 |
The TJX Cos., Inc. | 10,722 | 814,014 |
4,148,147 | ||
Semiconductors — 2.8% | ||
Analog Devices, Inc. | 4,689 | 824,186 |
Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 4,749 | 571,352 |
Texas Instruments, Inc. | 4,288 | 808,159 |
2,203,697 | ||
Software — 17.0% | ||
Electronic Arts, Inc. | 10,339 | 1,363,714 |
Fidelity National Information Services, Inc. | 10,015 | 1,093,138 |
Fiserv, Inc.* | 14,956 | 1,552,283 |
Microsoft Corp. | 28,138 | 9,463,372 |
13,472,507 | ||
Transportation — 1.4% | ||
Union Pacific Corp. | 4,250 | 1,070,702 |
TOTAL COMMON STOCKS (Cost $43,604,084) | 77,524,662 |
Number of Shares | Value† | |
REAL ESTATE INVESTMENT TRUSTS — 2.0% | ||
Diversified — 2.0% | ||
American Tower Corp. (Cost $1,220,953) | 5,368 | $ 1,570,140 |
SHORT-TERM INVESTMENTS — 0.6% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 0.030%) (Cost $490,402) | 490,402 | 490,402 |
TOTAL INVESTMENTS — 100.7% (Cost $45,315,439) | $ 79,585,204 | |
Other Assets & Liabilities — (0.7)% | (569,070) | |
TOTAL NET ASSETS — 100.0% | $ 79,016,134 |
† | See Security Valuation Note. |
* | Non-income producing security. |
ADR— American Depositary Receipt. |
AG— Aktiengesellschaft. |
PLC— Public Limited Company. |
S.E.— Societas Europaea. |
Country Weightings as of 12/31/2021†† | |
United States | 85% |
Ireland | 6 |
China | 2 |
Switzerland | 2 |
Canada | 2 |
Germany | 1 |
France | 1 |
Taiwan | 1 |
Total | 100% |
†† | % of total investments as of December 31, 2021. |
ASSETS TABLE | ||||
Description | Total Market Value at 12/31/2021 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Common Stocks | $77,524,662 | $77,524,662 | $— | $— |
Real Estate Investment Trusts | 1,570,140 | 1,570,140 | — | — |
Short-Term Investments | 490,402 | 490,402 | — | — |
Total Investments | $ 79,585,204 | $ 79,585,204 | $ — | $ — |
Number of Shares | Value† | |
COMMON STOCKS — 95.4% | ||
Advertising — 2.5% | ||
The Trade Desk, Inc., Class A* | 55,360 | $ 5,073,190 |
Aerospace & Defense — 2.5% | ||
HEICO Corp., Class A | 39,982 | 5,138,487 |
Biotechnology — 2.8% | ||
Royalty Pharma PLC, Class A | 145,917 | 5,814,792 |
Commercial Services — 5.6% | ||
Adyen N.V.* | 1,331 | 3,502,717 |
Block, Inc., Class A* | 50,151 | 8,099,888 |
11,602,605 | ||
Diversified Financial Services — 1.0% | ||
Coinbase Global, Inc., Class A* | 7,888 | 1,990,695 |
Healthcare Products — 2.5% | ||
Intuitive Surgical, Inc.* | 14,265 | 5,125,414 |
Internet — 32.8% | ||
Airbnb, Inc., Class A* | 40,495 | 6,742,013 |
Chewy, Inc., Class A* | 36,917 | 2,176,996 |
Farfetch Ltd., Class A* | 80,547 | 2,692,686 |
IAC* | 33,528 | 4,382,445 |
Match Group, Inc.* | 16,165 | 2,137,821 |
Pinterest, Inc., Class A* | 41,364 | 1,503,581 |
Shopify, Inc., Class A* | 9,902 | 13,638,916 |
Snap, Inc., Class A* | 108,632 | 5,108,963 |
Spotify Technology S.A.* | 20,260 | 4,741,448 |
Twitter, Inc.* | 194,913 | 8,424,140 |
Uber Technologies, Inc.* | 263,522 | 11,049,477 |
Vimeo, Inc.* | 54,432 | 977,599 |
Wayfair, Inc., Class A* | 20,492 | 3,892,865 |
67,468,950 | ||
Retail — 3.5% | ||
Domino's Pizza, Inc. | 9,491 | 5,356,056 |
Lululemon Athletica, Inc.* | 4,682 | 1,832,769 |
7,188,825 | ||
Semiconductors — 4.2% | ||
ASML Holding N.V. | 10,906 | 8,682,703 |
Software — 38.0% | ||
Cloudflare, Inc., Class A* | 16,554 | 2,176,851 |
Coupa Software, Inc.* | 32,659 | 5,161,755 |
Datadog, Inc., Class A* | 44,497 | 7,925,361 |
ROBLOX Corp., Class A* | 105,387 | 10,871,723 |
Snowflake, Inc., Class A* | 38,058 | 12,892,147 |
Twilio, Inc., Class A* | 33,198 | 8,742,361 |
Unity Software, Inc.* | 53,230 | 7,611,358 |
Veeva Systems, Inc., Class A* | 38,300 | 9,784,884 |
Workday, Inc., Class A* | 7,640 | 2,087,095 |
Zoom Video Communications, Inc., Class A* | 28,609 | 5,261,481 |
Number of Shares | Value† | |
Software — (continued) | ||
ZoomInfo Technologies, Inc.* | 86,745 | $ 5,569,029 |
78,084,045 | ||
TOTAL COMMON STOCKS (Cost $168,339,124) | 196,169,706 |
SHORT-TERM INVESTMENTS — 3.3% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 0.030%) (Cost $6,724,860) | 6,724,860 | 6,724,860 |
TOTAL INVESTMENTS — 98.7% (Cost $175,063,984) | $ 202,894,566 | |
Other Assets & Liabilities — 1.3% | 2,584,703 | |
TOTAL NET ASSETS — 100.0% | $ 205,479,269 |
† | See Security Valuation Note. |
* | Non-income producing security. |
N.V.— Naamloze Vennootschap. |
PLC— Public Limited Company. |
S.A.— Societe Anonyme. |
Country Weightings as of 12/31/2021†† | |
United States | 82% |
Canada | 8 |
Netherlands | 6 |
Sweden | 3 |
United Kingdom | 1 |
Total | 100% |
†† | % of total investments as of December 31, 2021. |
ASSETS TABLE | ||||
Description | Total Market Value at 12/31/2021 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Common Stocks | $196,169,706 | $196,169,706 | $— | $— |
Short-Term Investments | 6,724,860 | 6,724,860 | — | — |
Total Investments | $ 202,894,566 | $ 202,894,566 | $ — | $ — |
Number of Shares | Value† | |
COMMON STOCKS — 97.6% | ||
Aerospace & Defense — 4.4% | ||
Hexcel Corp.* | 34,106 | $ 1,766,691 |
Raytheon Technologies Corp. | 81,830 | 7,042,290 |
8,808,981 | ||
Agriculture — 3.6% | ||
Philip Morris International, Inc. | 76,253 | 7,244,035 |
Apparel — 0.3% | ||
Deckers Outdoor Corp.* | 1,840 | 674,010 |
Auto Parts & Equipment — 0.9% | ||
BorgWarner, Inc. | 41,084 | 1,851,656 |
Banks — 11.9% | ||
Citigroup, Inc. | 57,416 | 3,467,352 |
JPMorgan Chase & Co. | 27,718 | 4,389,145 |
Northern Trust Corp. | 22,890 | 2,737,873 |
The Goldman Sachs Group, Inc. | 15,147 | 5,794,485 |
Wells Fargo & Co. | 161,567 | 7,751,985 |
24,140,840 | ||
Biotechnology — 4.3% | ||
Amgen, Inc. | 25,761 | 5,795,452 |
Bio-Rad Laboratories, Inc., Class A* | 2,390 | 1,805,813 |
Regeneron Pharmaceuticals, Inc.* | 1,850 | 1,168,312 |
8,769,577 | ||
Chemicals — 1.0% | ||
The Mosaic Co. | 49,640 | 1,950,356 |
Commercial Services — 3.6% | ||
FleetCor Technologies, Inc.* | 20,315 | 4,547,309 |
Robert Half International, Inc. | 24,986 | 2,786,439 |
7,333,748 | ||
Computers — 4.8% | ||
Cognizant Technology Solutions Corp., Class A | 56,438 | 5,007,179 |
Leidos Holdings, Inc. | 17,769 | 1,579,664 |
Maximus, Inc. | 40,116 | 3,196,042 |
9,782,885 | ||
Distribution & Wholesale — 2.5% | ||
LKQ Corp. | 84,844 | 5,093,185 |
Diversified Financial Services — 0.3% | ||
Capital One Financial Corp. | 4,369 | 633,898 |
Electric — 1.0% | ||
IDACORP, Inc. | 17,400 | 1,971,594 |
Electrical Components & Equipment — 2.5% | ||
Acuity Brands, Inc. | 4,245 | 898,752 |
Emerson Electric Co. | 43,661 | 4,059,163 |
4,957,915 | ||
Electronics — 0.4% | ||
Keysight Technologies, Inc.* | 3,754 | 775,239 |
Number of Shares | Value† | |
Engineering & Construction — 1.0% | ||
EMCOR Group, Inc. | 15,080 | $ 1,921,041 |
Healthcare Products — 1.1% | ||
PerkinElmer, Inc. | 11,480 | 2,308,169 |
Healthcare Services — 4.2% | ||
Anthem, Inc. | 15,542 | 7,204,339 |
Quest Diagnostics, Inc. | 8,020 | 1,387,540 |
8,591,879 | ||
Home Builders — 2.2% | ||
D.R. Horton, Inc. | 41,805 | 4,533,752 |
Home Furnishings — 0.2% | ||
Dolby Laboratories, Inc., Class A | 3,488 | 332,127 |
Insurance — 5.1% | ||
Aflac, Inc. | 25,272 | 1,475,632 |
Berkshire Hathaway, Inc., Class B* | 20,743 | 6,202,157 |
Fidelity National Financial, Inc. | 14,924 | 778,735 |
The Allstate Corp. | 15,545 | 1,828,869 |
10,285,393 | ||
Internet — 1.7% | ||
eBay, Inc. | 9,650 | 641,725 |
F5, Inc.* | 11,375 | 2,783,576 |
3,425,301 | ||
Iron & Steel — 0.8% | ||
Steel Dynamics, Inc. | 25,700 | 1,595,199 |
Machinery — Diversified — 3.7% | ||
Altra Industrial Motion Corp. | 13,080 | 674,536 |
Curtiss-Wright Corp. | 14,435 | 2,001,701 |
Flowserve Corp. | 22,766 | 696,640 |
The Middleby Corp.* | 3,982 | 783,498 |
Westinghouse Air Brake Technologies Corp. | 35,630 | 3,281,879 |
7,438,254 | ||
Media — 3.5% | ||
Comcast Corp., Class A | 141,294 | 7,111,327 |
Mining — 0.7% | ||
BHP Group Ltd., ADR | 24,145 | 1,457,151 |
Miscellaneous Manufacturing — 2.4% | ||
3M Co. | 6,480 | 1,151,042 |
Textron, Inc. | 47,802 | 3,690,315 |
4,841,357 | ||
Oil & Gas — 3.0% | ||
Chevron Corp. | 12,634 | 1,482,600 |
ConocoPhillips | 20,470 | 1,477,525 |
EOG Resources, Inc. | 27,213 | 2,417,331 |
Helmerich & Payne, Inc. | 32,562 | 771,719 |
6,149,175 | ||
Pharmaceuticals — 6.1% | ||
Cigna Corp. | 14,991 | 3,442,383 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Pharmaceuticals — (continued) | ||
Pfizer, Inc. | 60,109 | $ 3,549,436 |
Roche Holding AG, ADR | 102,572 | 5,301,947 |
12,293,766 | ||
Real Estate — 2.5% | ||
CBRE Group, Inc., Class A* | 46,911 | 5,090,313 |
Retail — 7.8% | ||
AutoZone, Inc.* | 1,070 | 2,243,137 |
MSC Industrial Direct Co., Inc., Class A | 25,417 | 2,136,553 |
Murphy USA, Inc. | 3,986 | 794,171 |
Target Corp. | 22,432 | 5,191,662 |
Walmart, Inc. | 38,080 | 5,509,795 |
15,875,318 | ||
Semiconductors — 1.2% | ||
MKS Instruments, Inc. | 13,860 | 2,413,996 |
Telecommunications — 6.1% | ||
Ciena Corp.* | 37,726 | 2,903,770 |
Cisco Systems, Inc. | 77,032 | 4,881,518 |
Verizon Communications, Inc. | 87,457 | 4,544,266 |
12,329,554 | ||
Transportation — 2.8% | ||
Expeditors International of Washington, Inc. | 13,120 | 1,761,885 |
Knight-Swift Transportation Holdings, Inc. | 65,194 | 3,972,922 |
5,734,807 | ||
TOTAL COMMON STOCKS (Cost $154,715,153) | 197,715,798 | |
REAL ESTATE INVESTMENT TRUSTS — 0.6% | ||
Diversified — 0.6% | ||
Weyerhaeuser Co. (Cost $1,136,324) | 29,680 | 1,222,222 |
SHORT-TERM INVESTMENTS — 2.3% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 0.030%) (Cost $4,632,607) | 4,632,607 | 4,632,607 |
TOTAL INVESTMENTS — 100.5% (Cost $160,484,084) | $ 203,570,627 | |
Other Assets & Liabilities — (0.5)% | (974,495) | |
TOTAL NET ASSETS — 100.0% | $ 202,596,132 |
† | See Security Valuation Note. |
* | Non-income producing security. |
ADR— American Depositary Receipt. |
AG— Aktiengesellschaft. |
ASSETS TABLE | ||||
Description | Total Market Value at 12/31/2021 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Common Stocks | $197,715,798 | $197,715,798 | $— | $— |
Real Estate Investment Trusts | 1,222,222 | 1,222,222 | — | — |
Short-Term Investments | 4,632,607 | 4,632,607 | — | — |
Total Investments | $ 203,570,627 | $ 203,570,627 | $ — | $ — |
Number of Shares | Value† | |
COMMON STOCKS — 95.1% | ||
Aerospace & Defense — 1.0% | ||
Hexcel Corp.* | 36,496 | $ 1,890,493 |
Agriculture — 1.3% | ||
Philip Morris International, Inc. | 25,335 | 2,406,825 |
Apparel — 1.4% | ||
Capri Holdings Ltd.* | 39,552 | 2,567,320 |
Auto Manufacturers — 2.3% | ||
General Motors Co.* | 37,305 | 2,187,192 |
PACCAR, Inc. | 24,942 | 2,201,381 |
4,388,573 | ||
Banks — 9.3% | ||
KeyCorp. | 140,741 | 3,255,339 |
M&T Bank Corp. | 24,067 | 3,696,210 |
State Street Corp. | 13,765 | 1,280,145 |
The Goldman Sachs Group, Inc. | 9,353 | 3,577,990 |
Wells Fargo & Co. | 120,406 | 5,777,080 |
17,586,764 | ||
Beverages — 2.3% | ||
Constellation Brands, Inc., Class A | 5,624 | 1,411,455 |
PepsiCo, Inc. | 17,460 | 3,032,977 |
4,444,432 | ||
Biotechnology — 0.5% | ||
Royalty Pharma PLC, Class A | 24,638 | 981,824 |
Building Materials — 1.6% | ||
Johnson Controls International PLC | 36,162 | 2,940,332 |
Chemicals — 1.5% | ||
FMC Corp. | 25,756 | 2,830,327 |
Commercial Services — 0.8% | ||
Euronet Worldwide, Inc.* | 12,396 | 1,477,231 |
Cosmetics & Personal Care — 3.1% | ||
The Procter & Gamble Co. | 35,787 | 5,854,038 |
Diversified Financial Services — 2.9% | ||
The Charles Schwab Corp. | 65,555 | 5,513,176 |
Electric — 6.0% | ||
CMS Energy Corp. | 39,109 | 2,544,041 |
Edison International | 51,621 | 3,523,133 |
NextEra Energy, Inc. | 33,154 | 3,095,257 |
Sempra Energy | 16,657 | 2,203,388 |
11,365,819 | ||
Food — 1.4% | ||
Mondelez International, Inc., Class A | 40,130 | 2,661,020 |
Hand & Machine Tools — 1.5% | ||
Stanley Black & Decker, Inc. | 14,569 | 2,748,005 |
Healthcare Products — 4.6% | ||
Thermo Fisher Scientific, Inc. | 8,810 | 5,878,384 |
Number of Shares | Value† | |
Healthcare Products — (continued) | ||
Waters Corp.* | 7,670 | $ 2,857,842 |
8,736,226 | ||
Healthcare Services — 4.0% | ||
Charles River Laboratories International, Inc.* | 2,995 | 1,128,456 |
UnitedHealth Group, Inc. | 12,742 | 6,398,268 |
7,526,724 | ||
Insurance — 6.8% | ||
American International Group, Inc. | 83,893 | 4,770,156 |
Arch Capital Group Ltd.* | 81,591 | 3,626,720 |
Reinsurance Group of America, Inc. | 11,178 | 1,223,879 |
The Allstate Corp. | 28,338 | 3,333,966 |
12,954,721 | ||
Internet — 2.9% | ||
Alphabet, Inc., Class A* | 1,927 | 5,582,596 |
Lodging — 1.1% | ||
Hilton Worldwide Holdings, Inc.* | 13,606 | 2,122,400 |
Machinery — Diversified — 1.8% | ||
Westinghouse Air Brake Technologies Corp. | 36,655 | 3,376,292 |
Media — 3.4% | ||
Fox Corp., Class A | 46,888 | 1,730,167 |
The Walt Disney Co.* | 30,001 | 4,646,855 |
6,377,022 | ||
Miscellaneous Manufacturing — 1.7% | ||
Eaton Corp. PLC | 18,477 | 3,193,195 |
Oil & Gas — 6.3% | ||
Chevron Corp. | 25,800 | 3,027,630 |
ConocoPhillips | 50,673 | 3,657,577 |
EOG Resources, Inc. | 38,972 | 3,461,883 |
Pioneer Natural Resources Co. | 9,833 | 1,788,426 |
11,935,516 | ||
Packaging and Containers — 1.4% | ||
Packaging Corp. of America | 19,065 | 2,595,700 |
Pharmaceuticals — 8.4% | ||
AbbVie, Inc. | 21,067 | 2,852,472 |
Bristol-Myers Squibb Co. | 36,064 | 2,248,590 |
Johnson & Johnson | 33,270 | 5,691,499 |
Neurocrine Biosciences, Inc.* | 26,181 | 2,229,836 |
Sanofi, ADR | 59,012 | 2,956,501 |
15,978,898 | ||
Retail — 1.0% | ||
Best Buy Co., Inc. | 19,080 | 1,938,528 |
Semiconductors — 3.5% | ||
Micron Technology, Inc. | 33,621 | 3,131,796 |
Texas Instruments, Inc. | 18,452 | 3,477,649 |
6,609,445 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Shipbuilding — 1.5% | ||
Huntington Ingalls Industries, Inc. | 14,838 | $ 2,770,848 |
Software — 3.4% | ||
Fidelity National Information Services, Inc. | 35,111 | 3,832,365 |
VMware, Inc., Class A | 22,910 | 2,654,811 |
6,487,176 | ||
Telecommunications — 4.4% | ||
Cisco Systems, Inc. | 63,023 | 3,993,767 |
Verizon Communications, Inc. | 84,861 | 4,409,378 |
8,403,145 | ||
Transportation — 2.0% | ||
C.H. Robinson Worldwide, Inc. | 34,342 | 3,696,230 |
TOTAL COMMON STOCKS (Cost $148,292,675) | 179,940,841 | |
REAL ESTATE INVESTMENT TRUSTS — 5.3% | ||
Apartments — 3.0% | ||
Invitation Homes, Inc. | 63,759 | 2,890,833 |
Mid-America Apartment Communities, Inc. | 12,342 | 2,831,749 |
5,722,582 | ||
Healthcare — 0.9% | ||
Healthpeak Properties, Inc. | 46,503 | 1,678,293 |
Industrial — 1.4% | ||
EastGroup Properties, Inc. | 11,388 | 2,594,756 |
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $6,850,600) | 9,995,631 |
SHORT-TERM INVESTMENTS — 0.1% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 0.030%) (Cost $209,504) | 209,504 | 209,504 |
TOTAL INVESTMENTS — 100.5% (Cost $155,352,779) | $ 190,145,976 | |
Other Assets & Liabilities — (0.5)% | (1,010,396) | |
TOTAL NET ASSETS — 100.0% | $ 189,135,580 |
† | See Security Valuation Note. |
* | Non-income producing security. |
ADR— American Depositary Receipt. |
PLC— Public Limited Company. |
Country Weightings as of 12/31/2021†† | |
United States | 95% |
Bermuda | 2 |
France | 2 |
United Kingdom | 1 |
Total | 100% |
†† | % of total investments as of December 31, 2021. |
ASSETS TABLE | ||||
Description | Total Market Value at 12/31/2021 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Common Stocks | $179,940,841 | $179,940,841 | $— | $— |
Real Estate Investment Trusts | 9,995,631 | 9,995,631 | — | — |
Short-Term Investments | 209,504 | 209,504 | — | — |
Total Investments | $ 190,145,976 | $ 190,145,976 | $ — | $ — |
Number of Shares | Value† | |
COMMON STOCKS — 97.1% | ||
Advertising — 0.1% | ||
Omnicom Group, Inc. | 3,624 | $ 265,531 |
The Interpublic Group of Cos., Inc. | 6,992 | 261,850 |
527,381 | ||
Aerospace & Defense — 1.3% | ||
General Dynamics Corp. | 3,972 | 828,043 |
Howmet Aerospace, Inc. | 6,825 | 217,240 |
L3Harris Technologies, Inc. | 3,419 | 729,067 |
Lockheed Martin Corp. | 4,237 | 1,505,872 |
Northrop Grumman Corp. | 2,585 | 1,000,576 |
Raytheon Technologies Corp. | 25,966 | 2,234,634 |
Teledyne Technologies, Inc.* | 765 | 334,221 |
The Boeing Co.* | 9,485 | 1,909,520 |
TransDigm Group, Inc.* | 900 | 572,652 |
9,331,825 | ||
Agriculture — 0.7% | ||
Altria Group, Inc. | 31,967 | 1,514,916 |
Archer-Daniels-Midland Co. | 9,678 | 654,136 |
Philip Morris International, Inc. | 26,964 | 2,561,580 |
4,730,632 | ||
Airlines — 0.2% | ||
Alaska Air Group, Inc.* | 2,219 | 115,610 |
American Airlines Group, Inc.* | 11,517 | 206,845 |
Delta Air Lines, Inc.* | 10,994 | 429,645 |
Southwest Airlines Co.* | 10,226 | 438,082 |
United Airlines Holdings, Inc.* | 5,556 | 243,242 |
1,433,424 | ||
Apparel — 0.7% | ||
NIKE, Inc., Class B | 22,093 | 3,682,240 |
PVH Corp. | 1,321 | 140,885 |
Ralph Lauren Corp. | 856 | 101,744 |
Tapestry, Inc. | 4,955 | 201,173 |
Under Armour, Inc., Class A* | 3,386 | 71,749 |
Under Armour, Inc., Class C* | 3,927 | 70,843 |
VF Corp. | 5,520 | 404,175 |
4,672,809 | ||
Auto Manufacturers — 2.7% | ||
Cummins, Inc. | 2,471 | 539,024 |
Ford Motor Co. | 68,042 | 1,413,232 |
General Motors Co.* | 25,165 | 1,475,424 |
PACCAR, Inc. | 6,000 | 529,560 |
Tesla, Inc.* | 14,082 | 14,881,576 |
18,838,816 | ||
Auto Parts & Equipment — 0.1% | ||
Aptiv PLC* | 4,636 | 764,708 |
BorgWarner, Inc. | 4,082 | 183,976 |
948,684 | ||
Banks — 4.9% | ||
Bank of America Corp. | 124,593 | 5,543,143 |
Citigroup, Inc. | 34,166 | 2,063,285 |
Citizens Financial Group, Inc. | 7,338 | 346,720 |
Comerica, Inc. | 2,216 | 192,792 |
Number of Shares | Value† | |
Banks — (continued) | ||
Fifth Third Bancorp | 11,761 | $ 512,192 |
First Republic Bank | 3,051 | 630,062 |
Huntington Bancshares, Inc. | 25,356 | 390,990 |
JPMorgan Chase & Co. | 51,126 | 8,095,802 |
KeyCorp. | 16,916 | 391,267 |
M&T Bank Corp. | 2,175 | 334,036 |
Morgan Stanley | 24,731 | 2,427,595 |
Northern Trust Corp. | 3,545 | 424,017 |
Regions Financial Corp. | 16,177 | 352,659 |
Signature Bank | 1,000 | 323,470 |
State Street Corp. | 6,383 | 593,619 |
SVB Financial Group* | 1,022 | 693,161 |
The Bank of New York Mellon Corp. | 13,008 | 755,505 |
The Goldman Sachs Group, Inc. | 5,874 | 2,247,099 |
The PNC Financial Services Group, Inc. | 7,316 | 1,467,004 |
Truist Financial Corp. | 23,073 | 1,350,924 |
US Bancorp | 23,221 | 1,304,324 |
Wells Fargo & Co. | 68,978 | 3,309,564 |
Zions Bancorp NA | 2,900 | 183,164 |
33,932,394 | ||
Beverages — 1.4% | ||
Brown-Forman Corp., Class B | 3,268 | 238,107 |
Constellation Brands, Inc., Class A | 2,935 | 736,597 |
Molson Coors Beverage Co., Class B | 3,112 | 144,241 |
Monster Beverage Corp.* | 6,409 | 615,520 |
PepsiCo, Inc. | 23,886 | 4,149,237 |
The Coca-Cola Co. | 67,147 | 3,975,774 |
9,859,476 | ||
Biotechnology — 1.5% | ||
Amgen, Inc. | 9,758 | 2,195,257 |
Biogen, Inc.* | 2,551 | 612,036 |
Bio-Rad Laboratories, Inc., Class A* | 400 | 302,228 |
Corteva, Inc. | 12,533 | 592,560 |
Gilead Sciences, Inc. | 21,593 | 1,567,868 |
Illumina, Inc.* | 2,704 | 1,028,710 |
Incyte Corp.* | 3,346 | 245,596 |
Moderna, Inc.* | 6,100 | 1,549,278 |
Regeneron Pharmaceuticals, Inc.* | 1,824 | 1,151,893 |
Vertex Pharmaceuticals, Inc.* | 4,362 | 957,895 |
10,203,321 | ||
Building Materials — 0.5% | ||
Carrier Global Corp. | 14,963 | 811,593 |
Fortune Brands Home & Security, Inc. | 2,304 | 246,297 |
Johnson Controls International PLC | 12,210 | 992,795 |
Martin Marietta Materials, Inc. | 1,057 | 465,630 |
Masco Corp. | 4,262 | 299,278 |
Vulcan Materials Co. | 2,276 | 472,452 |
3,288,045 | ||
Chemicals — 1.7% | ||
Air Products and Chemicals, Inc. | 3,791 | 1,153,450 |
Albemarle Corp. | 1,985 | 464,033 |
Celanese Corp. | 1,885 | 316,793 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Chemicals — (continued) | ||
CF Industries Holdings, Inc. | 3,604 | $ 255,091 |
Dow, Inc. | 12,874 | 730,213 |
DuPont de Nemours, Inc. | 8,910 | 719,750 |
Eastman Chemical Co. | 2,427 | 293,449 |
Ecolab, Inc. | 4,246 | 996,069 |
FMC Corp. | 2,141 | 235,274 |
International Flavors & Fragrances, Inc. | 4,262 | 642,070 |
Linde PLC | 8,886 | 3,078,377 |
LyondellBasell Industries N.V., Class A | 4,434 | 408,948 |
PPG Industries, Inc. | 4,120 | 710,453 |
The Mosaic Co. | 6,108 | 239,983 |
The Sherwin-Williams Co. | 4,173 | 1,469,564 |
11,713,517 | ||
Commercial Services — 2.1% | ||
Automatic Data Processing, Inc. | 7,329 | 1,807,185 |
Cintas Corp. | 1,524 | 675,391 |
Equifax, Inc. | 2,115 | 619,251 |
FleetCor Technologies, Inc.* | 1,412 | 316,062 |
Gartner, Inc.* | 1,426 | 476,740 |
Global Payments, Inc. | 5,032 | 680,226 |
IHS Markit Ltd. | 6,929 | 921,003 |
MarketAxess Holdings, Inc. | 686 | 282,131 |
Moody's Corp. | 2,812 | 1,098,311 |
Nielsen Holdings PLC | 6,031 | 123,696 |
PayPal Holdings, Inc.* | 20,309 | 3,829,871 |
Quanta Services, Inc. | 2,481 | 284,472 |
Robert Half International, Inc. | 1,870 | 208,542 |
Rollins, Inc. | 4,204 | 143,819 |
S&P Global, Inc. | 4,172 | 1,968,892 |
United Rentals, Inc.* | 1,241 | 412,372 |
Verisk Analytics, Inc. | 2,795 | 639,300 |
14,487,264 | ||
Computers — 8.5% | ||
Accenture PLC, Class A | 10,959 | 4,543,054 |
Apple, Inc. | 269,233 | 47,807,704 |
Cognizant Technology Solutions Corp., Class A | 9,152 | 811,965 |
DXC Technology Co.* | 4,316 | 138,932 |
EPAM Systems, Inc.* | 1,000 | 668,450 |
Fortinet, Inc.* | 2,320 | 833,808 |
Hewlett Packard Enterprise Co. | 22,385 | 353,012 |
HP, Inc. | 20,510 | 772,612 |
International Business Machines Corp. | 15,406 | 2,059,166 |
Leidos Holdings, Inc. | 2,377 | 211,315 |
NetApp, Inc. | 3,879 | 356,829 |
Seagate Technology Holdings PLC | 3,505 | 395,995 |
Western Digital Corp.* | 5,440 | 354,742 |
59,307,584 | ||
Cosmetics & Personal Care — 1.4% | ||
Colgate-Palmolive Co. | 14,504 | 1,237,771 |
The Estee Lauder Cos., Inc., Class A | 3,991 | 1,477,468 |
Number of Shares | Value† | |
Cosmetics & Personal Care — (continued) | ||
The Procter & Gamble Co. | 41,925 | $ 6,858,092 |
9,573,331 | ||
Distribution & Wholesale — 0.3% | ||
Copart, Inc.* | 3,600 | 545,832 |
Fastenal Co. | 9,918 | 635,347 |
LKQ Corp. | 4,551 | 273,196 |
Pool Corp. | 700 | 396,200 |
W.W. Grainger, Inc. | 769 | 398,527 |
2,249,102 | ||
Diversified Financial Services — 3.6% | ||
American Express Co. | 10,854 | 1,775,714 |
Ameriprise Financial, Inc. | 1,927 | 581,299 |
BlackRock, Inc. | 2,476 | 2,266,926 |
Capital One Financial Corp. | 7,363 | 1,068,298 |
Cboe Global Markets, Inc. | 1,775 | 231,460 |
CME Group, Inc. | 6,177 | 1,411,197 |
Discover Financial Services | 5,119 | 591,552 |
Franklin Resources, Inc. | 5,190 | 173,813 |
Intercontinental Exchange, Inc. | 9,669 | 1,322,429 |
Invesco Ltd. | 6,199 | 142,701 |
Mastercard, Inc., Class A | 15,050 | 5,407,766 |
Nasdaq, Inc. | 1,961 | 411,830 |
Raymond James Financial, Inc. | 3,285 | 329,814 |
Synchrony Financial | 9,977 | 462,833 |
T. Rowe Price Group, Inc. | 3,912 | 769,256 |
The Charles Schwab Corp. | 25,986 | 2,185,423 |
Visa, Inc., Class A | 28,941 | 6,271,804 |
25,404,115 | ||
Electric — 2.3% | ||
Alliant Energy Corp. | 4,369 | 268,562 |
Ameren Corp. | 4,461 | 397,074 |
American Electric Power Co., Inc. | 8,577 | 763,096 |
CenterPoint Energy, Inc. | 10,475 | 292,357 |
CMS Energy Corp. | 4,889 | 318,029 |
Consolidated Edison, Inc. | 6,152 | 524,889 |
Dominion Energy, Inc. | 13,804 | 1,084,442 |
DTE Energy Co. | 3,351 | 400,578 |
Duke Energy Corp. | 13,241 | 1,388,981 |
Edison International | 6,456 | 440,622 |
Entergy Corp. | 3,409 | 384,024 |
Evergy, Inc. | 4,062 | 278,694 |
Eversource Energy | 5,903 | 537,055 |
Exelon Corp. | 16,836 | 972,447 |
FirstEnergy Corp. | 9,222 | 383,543 |
NextEra Energy, Inc. | 33,922 | 3,166,958 |
NRG Energy, Inc. | 4,337 | 186,838 |
Pinnacle West Capital Corp. | 1,859 | 131,227 |
PPL Corp. | 13,087 | 393,395 |
Public Service Enterprise Group, Inc. | 8,727 | 582,353 |
Sempra Energy | 5,454 | 721,455 |
The AES Corp. | 11,235 | 273,010 |
The Southern Co. | 18,182 | 1,246,922 |
WEC Energy Group, Inc. | 5,442 | 528,255 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Electric — (continued) | ||
Xcel Energy, Inc. | 9,298 | $ 629,475 |
16,294,281 | ||
Electrical Components & Equipment — 0.3% | ||
AMETEK, Inc. | 3,980 | 585,219 |
Emerson Electric Co. | 10,255 | 953,407 |
Generac Holdings, Inc.* | 1,107 | 389,576 |
1,928,202 | ||
Electronics — 1.1% | ||
Agilent Technologies, Inc. | 5,156 | 823,155 |
Allegion PLC | 1,496 | 198,130 |
Amphenol Corp., Class A | 10,357 | 905,823 |
Fortive Corp. | 6,275 | 478,720 |
Garmin Ltd. | 2,676 | 364,391 |
Honeywell International, Inc. | 11,945 | 2,490,652 |
Keysight Technologies, Inc.* | 3,200 | 660,832 |
Mettler-Toledo International, Inc.* | 398 | 675,490 |
TE Connectivity Ltd. | 5,590 | 901,891 |
Trimble, Inc.* | 4,300 | 374,917 |
7,874,001 | ||
Energy-Alternate Sources — 0.1% | ||
Enphase Energy, Inc.* | 2,300 | 420,762 |
SolarEdge Technologies, Inc.* | 900 | 252,513 |
673,275 | ||
Engineering & Construction — 0.0% | ||
Jacobs Engineering Group, Inc. | 2,302 | 320,507 |
Entertainment — 0.1% | ||
Caesars Entertainment, Inc.* | 3,669 | 343,162 |
Live Nation Entertainment, Inc.* | 2,200 | 263,318 |
Penn National Gaming, Inc.* | 2,612 | 135,432 |
741,912 | ||
Environmental Control — 0.3% | ||
Pentair PLC | 2,923 | 213,467 |
Republic Services, Inc. | 3,646 | 508,435 |
Waste Management, Inc. | 6,648 | 1,109,551 |
1,831,453 | ||
Food — 1.0% | ||
Campbell Soup Co. | 3,301 | 143,461 |
Conagra Brands, Inc. | 8,186 | 279,552 |
General Mills, Inc. | 10,439 | 703,380 |
Hormel Foods Corp. | 4,706 | 229,700 |
Kellogg Co. | 4,558 | 293,626 |
Lamb Weston Holdings, Inc. | 2,600 | 164,788 |
McCormick & Co., Inc. | 4,233 | 408,950 |
Mondelez International, Inc., Class A | 24,223 | 1,606,227 |
Sysco Corp. | 8,762 | 688,255 |
The Hershey Co. | 2,461 | 476,130 |
The J.M. Smucker Co. | 1,836 | 249,366 |
The Kraft Heinz Co. | 12,447 | 446,847 |
The Kroger Co. | 11,676 | 528,456 |
Number of Shares | Value† | |
Food — (continued) | ||
Tyson Foods, Inc., Class A | 5,067 | $ 441,640 |
6,660,378 | ||
Forest Products & Paper — 0.0% | ||
International Paper Co. | 6,646 | 312,229 |
Gas — 0.1% | ||
Atmos Energy Corp. | 2,319 | 242,962 |
NiSource, Inc. | 6,920 | 191,061 |
434,023 | ||
Hand & Machine Tools — 0.1% | ||
Snap-on, Inc. | 901 | 194,057 |
Stanley Black & Decker, Inc. | 2,788 | 525,873 |
719,930 | ||
Healthcare Products — 4.1% | ||
Abbott Laboratories | 30,638 | 4,311,992 |
ABIOMED, Inc.* | 773 | 277,638 |
Align Technology, Inc.* | 1,249 | 820,818 |
Baxter International, Inc. | 8,505 | 730,069 |
Bio-Techne Corp. | 700 | 362,138 |
Boston Scientific Corp.* | 24,394 | 1,036,257 |
Danaher Corp. | 10,984 | 3,613,846 |
DENTSPLY SIRONA, Inc. | 3,666 | 204,526 |
Edwards Lifesciences Corp.* | 10,710 | 1,387,481 |
Henry Schein, Inc.* | 2,410 | 186,847 |
Hologic, Inc.* | 4,393 | 336,328 |
IDEXX Laboratories, Inc.* | 1,459 | 960,693 |
Intuitive Surgical, Inc.* | 6,150 | 2,209,695 |
Medtronic PLC | 23,253 | 2,405,523 |
PerkinElmer, Inc. | 1,889 | 379,802 |
ResMed, Inc. | 2,524 | 657,452 |
STERIS PLC | 1,800 | 438,138 |
Stryker Corp. | 5,752 | 1,538,200 |
Teleflex, Inc. | 826 | 271,324 |
The Cooper Cos., Inc. | 837 | 350,653 |
Thermo Fisher Scientific, Inc. | 6,798 | 4,535,898 |
Waters Corp.* | 1,045 | 389,367 |
West Pharmaceutical Services, Inc. | 1,332 | 624,721 |
Zimmer Biomet Holdings, Inc. | 3,612 | 458,869 |
28,488,275 | ||
Healthcare Services — 2.3% | ||
Anthem, Inc. | 4,222 | 1,957,066 |
Catalent, Inc.* | 3,000 | 384,090 |
Centene Corp.* | 9,966 | 821,198 |
Charles River Laboratories International, Inc.* | 900 | 339,102 |
DaVita, Inc.* | 1,114 | 126,729 |
HCA Healthcare, Inc. | 4,110 | 1,055,941 |
Humana, Inc. | 2,199 | 1,020,028 |
IQVIA Holdings, Inc.* | 3,325 | 938,116 |
Laboratory Corp. of America Holdings* | 1,681 | 528,187 |
Quest Diagnostics, Inc. | 2,068 | 357,785 |
UnitedHealth Group, Inc. | 16,282 | 8,175,843 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Healthcare Services — (continued) | ||
Universal Health Services, Inc., Class B | 1,330 | $ 172,448 |
15,876,533 | ||
Home Builders — 0.2% | ||
D.R. Horton, Inc. | 5,648 | 612,526 |
Lennar Corp., Class A | 4,757 | 552,573 |
NVR, Inc.* | 53 | 313,170 |
PulteGroup, Inc. | 4,322 | 247,045 |
1,725,314 | ||
Home Furnishings — 0.0% | ||
Whirlpool Corp. | 1,045 | 245,220 |
Household Products & Wares — 0.3% | ||
Avery Dennison Corp. | 1,404 | 304,064 |
Church & Dwight Co., Inc. | 4,176 | 428,040 |
Kimberly-Clark Corp. | 5,721 | 817,645 |
Newell Brands, Inc. | 6,989 | 152,640 |
The Clorox Co. | 2,124 | 370,341 |
2,072,730 | ||
Insurance — 3.2% | ||
Aflac, Inc. | 10,532 | 614,963 |
American International Group, Inc. | 14,780 | 840,391 |
Aon PLC, Class A | 3,856 | 1,158,959 |
Arthur J. Gallagher & Co. | 3,523 | 597,747 |
Assurant, Inc. | 984 | 153,366 |
Berkshire Hathaway, Inc., Class B* | 31,682 | 9,472,918 |
Brown & Brown, Inc. | 4,000 | 281,120 |
Chubb Ltd. | 7,406 | 1,431,654 |
Cincinnati Financial Corp. | 2,604 | 296,674 |
Everest Re Group Ltd. | 725 | 198,592 |
Globe Life, Inc. | 1,673 | 156,794 |
Lincoln National Corp. | 3,150 | 215,019 |
Loews Corp. | 3,414 | 197,193 |
Marsh & McLennan Cos., Inc. | 8,721 | 1,515,884 |
MetLife, Inc. | 12,491 | 780,563 |
Principal Financial Group, Inc. | 4,406 | 318,686 |
Prudential Financial, Inc. | 6,627 | 717,306 |
The Allstate Corp. | 5,047 | 593,780 |
The Hartford Financial Services Group, Inc. | 5,948 | 410,650 |
The Progressive Corp. | 10,017 | 1,028,245 |
The Travelers Cos., Inc. | 4,354 | 681,096 |
W.R. Berkley Corp. | 2,300 | 189,497 |
Willis Towers Watson PLC | 2,190 | 520,103 |
22,371,200 | ||
Internet — 11.3% | ||
Alphabet, Inc., Class A* | 5,197 | 15,055,917 |
Alphabet, Inc., Class C* | 4,837 | 13,996,295 |
Amazon.com, Inc.* | 7,533 | 25,117,583 |
Booking Holdings, Inc.* | 707 | 1,696,256 |
CDW Corp. | 2,400 | 491,472 |
eBay, Inc. | 11,181 | 743,536 |
Etsy, Inc.* | 2,200 | 481,668 |
Expedia Group, Inc.* | 2,434 | 439,872 |
Number of Shares | Value† | |
Internet — (continued) | ||
F5, Inc.* | 1,070 | $ 261,840 |
Match Group, Inc.* | 4,800 | 634,800 |
Meta Platforms, Inc., Class A* | 40,936 | 13,768,824 |
Netflix, Inc.* | 7,648 | 4,607,461 |
Nortonlifelock, Inc. | 10,440 | 271,231 |
Twitter, Inc.* | 13,843 | 598,294 |
VeriSign, Inc.* | 1,712 | 434,540 |
78,599,589 | ||
Iron & Steel — 0.1% | ||
Nucor Corp. | 5,020 | 573,033 |
Leisure Time — 0.1% | ||
Carnival Corp.* | 13,604 | 273,713 |
Norwegian Cruise Line Holdings Ltd.* | 6,138 | 127,302 |
Royal Caribbean Cruises Ltd.* | 3,857 | 296,603 |
697,618 | ||
Lodging — 0.3% | ||
Hilton Worldwide Holdings, Inc.* | 4,824 | 752,496 |
Las Vegas Sands Corp.* | 5,905 | 222,264 |
Marriott International, Inc., Class A* | 4,719 | 779,768 |
MGM Resorts International | 6,802 | 305,274 |
Wynn Resorts Ltd.* | 1,735 | 147,544 |
2,207,346 | ||
Machinery — Construction & Mining — 0.3% | ||
Caterpillar, Inc. | 9,311 | 1,924,956 |
Machinery — Diversified — 0.7% | ||
Deere & Co. | 4,918 | 1,686,333 |
Dover Corp. | 2,461 | 446,918 |
IDEX Corp. | 1,300 | 307,216 |
Ingersoll Rand, Inc. | 7,057 | 436,616 |
Otis Worldwide Corp. | 7,406 | 644,840 |
Rockwell Automation, Inc. | 2,009 | 700,840 |
Westinghouse Air Brake Technologies Corp. | 3,294 | 303,410 |
Xylem, Inc. | 3,067 | 367,795 |
4,893,968 | ||
Media — 1.7% | ||
Charter Communications, Inc., Class A* | 2,170 | 1,414,775 |
Comcast Corp., Class A | 79,168 | 3,984,526 |
Discovery, Inc., Class A* | 2,889 | 68,007 |
Discovery, Inc., Class C* | 5,277 | 120,843 |
DISH Network Corp., Class A* | 4,152 | 134,691 |
FactSet Research Systems, Inc. | 700 | 340,207 |
Fox Corp., Class A | 5,368 | 198,079 |
Fox Corp., Class B | 2,720 | 93,214 |
News Corp., Class A | 6,937 | 154,765 |
News Corp., Class B | 2,500 | 56,250 |
The Walt Disney Co.* | 31,397 | 4,863,081 |
ViacomCBS, Inc., Class B | 10,467 | 315,894 |
11,744,332 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Mining — 0.3% | ||
Freeport-McMoRan, Inc. | 25,049 | $ 1,045,295 |
Newmont Corp. | 13,609 | 844,030 |
1,889,325 | ||
Miscellaneous Manufacturing — 1.1% | ||
3M Co. | 10,023 | 1,780,385 |
A.O. Smith Corp. | 2,201 | 188,956 |
Eaton Corp. PLC | 6,828 | 1,180,015 |
General Electric Co. | 18,798 | 1,775,847 |
Illinois Tool Works, Inc. | 4,927 | 1,215,984 |
Parker-Hannifin Corp. | 2,242 | 713,225 |
Textron, Inc. | 3,874 | 299,073 |
Trane Technologies PLC | 4,134 | 835,192 |
7,988,677 | ||
Office & Business Equipment — 0.1% | ||
Zebra Technologies Corp., Class A* | 900 | 535,680 |
Oil & Gas — 2.2% | ||
APA Corp. | 6,242 | 167,847 |
Chevron Corp. | 33,426 | 3,922,541 |
ConocoPhillips | 22,920 | 1,654,365 |
Coterra Energy, Inc. | 14,024 | 266,456 |
Devon Energy Corp. | 11,035 | 486,092 |
Diamondback Energy, Inc. | 2,900 | 312,765 |
EOG Resources, Inc. | 10,011 | 889,277 |
Exxon Mobil Corp. | 73,156 | 4,476,416 |
Hess Corp. | 4,675 | 346,090 |
Marathon Oil Corp. | 13,811 | 226,777 |
Marathon Petroleum Corp. | 10,525 | 673,495 |
Occidental Petroleum Corp. | 15,546 | 450,678 |
Phillips 66 | 7,600 | 550,696 |
Pioneer Natural Resources Co. | 3,876 | 704,967 |
Valero Energy Corp. | 7,042 | 528,925 |
15,657,387 | ||
Oil & Gas Services — 0.2% | ||
Baker Hughes Co. | 14,584 | 350,891 |
Halliburton Co. | 15,039 | 343,942 |
Schlumberger Ltd. | 24,350 | 729,282 |
1,424,115 | ||
Packaging and Containers — 0.2% | ||
Amcor PLC | 26,132 | 313,845 |
Ball Corp. | 5,636 | 542,578 |
Packaging Corp. of America | 1,598 | 217,568 |
Sealed Air Corp. | 2,463 | 166,179 |
Westrock Co. | 4,676 | 207,427 |
1,447,597 | ||
Pharmaceuticals — 5.2% | ||
AbbVie, Inc. | 30,543 | 4,135,522 |
AmerisourceBergen Corp. | 2,666 | 354,285 |
Becton Dickinson and Co. | 4,983 | 1,253,125 |
Bristol-Myers Squibb Co. | 38,453 | 2,397,545 |
Cardinal Health, Inc. | 4,830 | 248,697 |
Cigna Corp. | 5,664 | 1,300,624 |
Number of Shares | Value† | |
Pharmaceuticals — (continued) | ||
CVS Health Corp. | 22,746 | $ 2,346,478 |
Dexcom, Inc.* | 1,674 | 898,854 |
Eli Lilly & Co. | 13,724 | 3,790,843 |
Johnson & Johnson | 45,459 | 7,776,671 |
McKesson Corp. | 2,660 | 661,196 |
Merck & Co., Inc. | 43,766 | 3,354,226 |
Organon & Co. | 4,605 | 140,222 |
Pfizer, Inc. | 96,851 | 5,719,052 |
Viatris, Inc. | 20,379 | 275,728 |
Zoetis, Inc. | 8,207 | 2,002,754 |
36,655,822 | ||
Pipelines — 0.2% | ||
Kinder Morgan, Inc. | 33,758 | 535,402 |
ONEOK, Inc. | 7,660 | 450,102 |
The Williams Cos., Inc. | 21,013 | 547,178 |
1,532,682 | ||
Real Estate — 0.1% | ||
CBRE Group, Inc., Class A* | 5,793 | 628,598 |
Retail — 5.3% | ||
Advance Auto Parts, Inc. | 1,112 | 266,747 |
AutoZone, Inc.* | 373 | 781,953 |
Bath & Body Works, Inc. | 4,657 | 325,012 |
Best Buy Co., Inc. | 3,909 | 397,154 |
CarMax, Inc.* | 2,770 | 360,737 |
Chipotle Mexican Grill, Inc.* | 477 | 833,915 |
Costco Wholesale Corp. | 7,639 | 4,336,660 |
Darden Restaurants, Inc. | 2,210 | 332,914 |
Dollar General Corp. | 4,081 | 962,422 |
Dollar Tree, Inc.* | 3,977 | 558,848 |
Domino's Pizza, Inc. | 623 | 351,578 |
Genuine Parts Co. | 2,449 | 343,350 |
Lowe's Cos., Inc. | 11,979 | 3,096,332 |
McDonald's Corp. | 12,911 | 3,461,052 |
O'Reilly Automotive, Inc.* | 1,180 | 833,351 |
Ross Stores, Inc. | 6,217 | 710,479 |
Starbucks Corp. | 20,404 | 2,386,656 |
Target Corp. | 8,500 | 1,967,240 |
The Gap, Inc. | 3,512 | 61,987 |
The Home Depot, Inc. | 18,216 | 7,559,822 |
The TJX Cos., Inc. | 20,741 | 1,574,657 |
Tractor Supply Co. | 1,958 | 467,179 |
Ulta Beauty, Inc.* | 950 | 391,723 |
Walgreens Boots Alliance, Inc. | 12,286 | 640,838 |
Walmart, Inc. | 24,704 | 3,574,422 |
Yum! Brands, Inc. | 5,094 | 707,353 |
37,284,381 | ||
Savings & Loans — 0.0% | ||
People's United Financial, Inc. | 7,929 | 141,295 |
Semiconductors — 6.3% | ||
Advanced Micro Devices, Inc.* | 18,466 | 2,657,257 |
Analog Devices, Inc. | 9,319 | 1,638,001 |
Applied Materials, Inc. | 15,553 | 2,447,420 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Semiconductors — (continued) | ||
Broadcom, Inc. | 7,089 | $ 4,717,092 |
Intel Corp. | 70,133 | 3,611,850 |
IPG Photonics Corp.* | 667 | 114,817 |
KLA Corp. | 2,614 | 1,124,308 |
Lam Research Corp. | 2,454 | 1,764,794 |
Microchip Technology, Inc. | 9,384 | 816,971 |
Micron Technology, Inc. | 19,381 | 1,805,340 |
Monolithic Power Systems, Inc. | 700 | 345,331 |
NVIDIA Corp. | 43,250 | 12,720,258 |
NXP Semiconductors N.V. | 4,591 | 1,045,738 |
Qorvo, Inc.* | 1,932 | 302,145 |
QUALCOMM, Inc. | 19,312 | 3,531,585 |
Skyworks Solutions, Inc. | 2,852 | 442,459 |
Teradyne, Inc. | 2,800 | 457,884 |
Texas Instruments, Inc. | 15,964 | 3,008,735 |
Xilinx, Inc. | 5,935 | 1,258,398 |
43,810,383 | ||
Shipbuilding — 0.0% | ||
Huntington Ingalls Industries, Inc. | 741 | 138,374 |
Software — 10.5% | ||
Activision Blizzard, Inc. | 13,341 | 887,577 |
Adobe, Inc.* | 8,230 | 4,666,904 |
Akamai Technologies, Inc.* | 2,841 | 332,511 |
ANSYS, Inc.* | 1,499 | 601,279 |
Autodesk, Inc.* | 3,777 | 1,062,055 |
Broadridge Financial Solutions, Inc. | 1,970 | 360,155 |
Cadence Design Systems, Inc.* | 4,777 | 890,194 |
Ceridian HCM Holding, Inc.* | 2,300 | 240,258 |
Cerner Corp. | 5,170 | 480,138 |
Citrix Systems, Inc. | 2,201 | 208,193 |
Electronic Arts, Inc. | 4,842 | 638,660 |
Fidelity National Information Services, Inc. | 10,696 | 1,167,468 |
Fiserv, Inc.* | 10,173 | 1,055,856 |
Intuit, Inc. | 4,896 | 3,149,205 |
Jack Henry & Associates, Inc. | 1,200 | 200,388 |
Microsoft Corp. | 129,691 | 43,617,677 |
MSCI, Inc. | 1,402 | 858,991 |
Oracle Corp. | 27,792 | 2,423,740 |
Paychex, Inc. | 5,557 | 758,530 |
Paycom Software, Inc.* | 800 | 332,152 |
PTC, Inc.* | 1,900 | 230,185 |
Roper Technologies, Inc. | 1,816 | 893,218 |
salesforce.com, Inc.* | 16,789 | 4,266,589 |
ServiceNow, Inc.* | 3,399 | 2,206,325 |
Synopsys, Inc.* | 2,619 | 965,101 |
Take-Two Interactive Software, Inc.* | 1,968 | 349,753 |
Tyler Technologies, Inc.* | 734 | 394,855 |
73,237,957 | ||
Telecommunications — 2.1% | ||
Arista Networks, Inc.* | 3,888 | 558,900 |
AT&T, Inc. | 123,500 | 3,038,100 |
Cisco Systems, Inc. | 72,824 | 4,614,857 |
Number of Shares | Value† | |
Telecommunications — (continued) | ||
Corning, Inc. | 13,463 | $ 501,228 |
Juniper Networks, Inc. | 5,811 | 207,511 |
Lumen Technologies, Inc. | 17,500 | 219,625 |
Motorola Solutions, Inc. | 2,902 | 788,473 |
T-Mobile USA, Inc.* | 10,041 | 1,164,555 |
Verizon Communications, Inc. | 71,567 | 3,718,621 |
14,811,870 | ||
Textiles — 0.0% | ||
Mohawk Industries, Inc.* | 967 | 176,168 |
Toys, Games & Hobbies — 0.0% | ||
Hasbro, Inc. | 2,270 | 231,041 |
Transportation — 1.5% | ||
C.H. Robinson Worldwide, Inc. | 2,288 | 246,257 |
CSX Corp. | 38,130 | 1,433,688 |
Expeditors International of Washington, Inc. | 2,864 | 384,607 |
FedEx Corp. | 4,272 | 1,104,910 |
J.B. Hunt Transport Services, Inc. | 1,395 | 285,138 |
Norfolk Southern Corp. | 4,271 | 1,271,519 |
Old Dominion Freight Line, Inc. | 1,630 | 584,159 |
Union Pacific Corp. | 11,079 | 2,791,133 |
United Parcel Service, Inc., Class B | 12,599 | 2,700,470 |
10,801,881 | ||
Water — 0.1% | ||
American Water Works Co., Inc. | 3,120 | 589,243 |
TOTAL COMMON STOCKS (Cost $278,812,691) | 678,694,501 | |
REAL ESTATE INVESTMENT TRUSTS — 2.7% | ||
Apartments — 0.3% | ||
AvalonBay Communities, Inc. | 2,426 | 612,783 |
Equity Residential | 5,850 | 529,425 |
Essex Property Trust, Inc. | 1,109 | 390,623 |
Mid-America Apartment Communities, Inc. | 1,948 | 446,949 |
UDR, Inc. | 4,733 | 283,933 |
2,263,713 | ||
Diversified — 1.1% | ||
American Tower Corp. | 7,878 | 2,304,315 |
Crown Castle International Corp. | 7,440 | 1,553,026 |
Digital Realty Trust, Inc. | 4,845 | 856,935 |
Duke Realty Corp. | 6,421 | 421,474 |
Equinix, Inc. | 1,542 | 1,304,285 |
SBA Communications Corp. | 1,876 | 729,802 |
Weyerhaeuser Co. | 12,816 | 527,763 |
7,697,600 | ||
Healthcare — 0.2% | ||
Healthpeak Properties, Inc. | 9,163 | 330,692 |
Ventas, Inc. | 6,740 | 344,549 |
Number of Shares | Value† | |
REAL ESTATE INVESTMENT TRUSTS — (continued) | ||
Healthcare — (continued) | ||
Welltower, Inc. | 7,236 | $ 620,632 |
1,295,873 | ||
Hotels & Resorts — 0.0% | ||
Host Hotels & Resorts, Inc.* | 12,690 | 220,679 |
Industrial — 0.3% | ||
Prologis, Inc. | 12,736 | 2,144,233 |
Office Property — 0.2% | ||
Alexandria Real Estate Equities, Inc. | 2,424 | 540,455 |
Boston Properties, Inc. | 2,423 | 279,081 |
Vornado Realty Trust | 2,813 | 117,752 |
937,288 | ||
Regional Malls — 0.1% | ||
Simon Property Group, Inc. | 5,588 | 892,795 |
Single Tenant — 0.1% | ||
Realty Income Corp. | 9,493 | 679,604 |
Storage & Warehousing — 0.3% | ||
Extra Space Storage, Inc. | 2,279 | 516,718 |
Iron Mountain, Inc. | 4,819 | 252,178 |
Public Storage | 2,616 | 979,849 |
1,748,745 | ||
Strip Centers — 0.1% | ||
Federal Realty Investment Trust | 1,233 | 168,082 |
Kimco Realty Corp. | 10,412 | 256,656 |
Regency Centers Corp. | 2,676 | 201,637 |
626,375 | ||
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $9,522,444) | 18,506,905 |
SHORT-TERM INVESTMENTS — 0.9% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 0.030%) (Cost $6,530,804) | 6,530,804 | 6,530,804 |
TOTAL INVESTMENTS — 100.7% (Cost $294,865,939) | $ 703,732,210 | |
Other Assets & Liabilities — (0.7)% | (5,010,115) | |
TOTAL NET ASSETS — 100.0% | $ 698,722,095 |
† | See Security Valuation Note. |
* | Non-income producing security. |
N.V.— Naamloze Vennootschap. |
NA— National Association. |
PLC— Public Limited Company. |
S&P— Standards & Poor's |
ASSETS TABLE | ||||
Description | Total Market Value at 12/31/2021 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Common Stocks | $678,694,501 | $678,694,501 | $— | $— |
Real Estate Investment Trusts | 18,506,905 | 18,506,905 | — | — |
Short-Term Investments | 6,530,804 | 6,530,804 | — | — |
Total Investments | $ 703,732,210 | $ 703,732,210 | $ — | $ — |
Other Financial Instruments(1) | ||||
Futures Contracts | $ 86,864 | $ 86,864 | $— | $— |
Total Assets—Other Financial Instruments | $ 86,864 | $ 86,864 | $ — | $ — |
(1) | Other financial instruments are derivative instruments not reflected in the value of total investments in securities in the Schedule of Investments such as future contracts and forward foreign currency contracts which are valued at the unrealized appreciation (depreciation) on the instrument. |
Futures Contracts: Exchange Traded | ||||||||||||||||
Type | Futures Contract | Expiration Date | Numbers of Contracts | Units per Contract | Closing Price | Notional Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||
Long | E-mini S&P 500 Index | 03/18/22 | 32 | 50 | $4,759 | $7,613,600 | $86,864 | $— | ||||||||
$86,864 | $— |
Number of Shares | Value† | |
COMMON STOCKS — 98.8% | ||
Aerospace & Defense — 2.0% | ||
CAE, Inc.* | 35,888 | $ 905,813 |
HEICO Corp., Class A | 26,119 | 3,356,814 |
4,262,627 | ||
Apparel — 2.5% | ||
Canada Goose Holdings, Inc.* | 52,984 | 1,963,587 |
Levi Strauss & Co., Class A | 95,558 | 2,391,817 |
On Holding AG, Class A* | 25,482 | 963,474 |
5,318,878 | ||
Auto Parts & Equipment — 1.7% | ||
BorgWarner, Inc. | 79,268 | 3,572,609 |
Banks — 4.4% | ||
First Republic Bank | 19,196 | 3,964,166 |
Pinnacle Financial Partners, Inc. | 17,484 | 1,669,722 |
SVB Financial Group* | 5,456 | 3,700,477 |
9,334,365 | ||
Biotechnology — 4.4% | ||
Genmab A/S, ADR* | 71,446 | 2,826,404 |
Horizon Therapeutics PLC* | 30,886 | 3,328,275 |
Seagen, Inc.* | 20,101 | 3,107,615 |
9,262,294 | ||
Building Materials — 2.2% | ||
Trex Co., Inc.* | 34,571 | 4,668,122 |
Chemicals — 1.4% | ||
RPM International, Inc. | 29,186 | 2,947,786 |
Commercial Services — 5.6% | ||
CoStar Group, Inc.* | 80,313 | 6,347,136 |
MarketAxess Holdings, Inc. | 13,339 | 5,485,931 |
11,833,067 | ||
Computers — 2.1% | ||
Crowdstrike Holdings, Inc., Class A* | 15,167 | 3,105,443 |
Genpact Ltd. | 24,228 | 1,286,022 |
4,391,465 | ||
Distribution & Wholesale — 2.1% | ||
Fastenal Co. | 69,490 | 4,451,529 |
Electrical Components & Equipment — 2.0% | ||
Novanta, Inc.* | 10,322 | 1,820,078 |
Universal Display Corp. | 13,907 | 2,295,072 |
4,115,150 | ||
Electronics — 6.9% | ||
Agilent Technologies, Inc. | 15,725 | 2,510,496 |
II-VI, Inc.* | 60,491 | 4,133,350 |
Keysight Technologies, Inc.* | 23,381 | 4,828,411 |
Trimble, Inc.* | 35,496 | 3,094,896 |
14,567,153 | ||
Entertainment — 1.2% | ||
Vail Resorts, Inc. | 7,487 | 2,454,987 |
Number of Shares | Value† | |
Food — 1.3% | ||
The Hershey Co. | 14,303 | $ 2,767,201 |
Healthcare Products — 10.0% | ||
ABIOMED, Inc.* | 9,258 | 3,325,196 |
Bio-Techne Corp. | 5,957 | 3,081,795 |
Edwards Lifesciences Corp.* | 25,985 | 3,366,357 |
Envista Holdings Corp.* | 65,497 | 2,951,295 |
Intuitive Surgical, Inc.* | 8,556 | 3,074,171 |
Masimo Corp.* | 9,070 | 2,655,514 |
Repligen Corp.* | 9,330 | 2,470,957 |
20,925,285 | ||
Housewares — 1.2% | ||
The Scotts Miracle-Gro Co. | 16,101 | 2,592,261 |
Internet — 3.0% | ||
Pinterest, Inc., Class A* | 60,729 | 2,207,499 |
Q2 Holdings, Inc.* | 16,342 | 1,298,208 |
Shutterstock, Inc. | 9,627 | 1,067,442 |
Twitter, Inc.* | 41,664 | 1,800,718 |
6,373,867 | ||
Machinery — Diversified — 3.5% | ||
IDEX Corp. | 13,043 | 3,082,322 |
The Middleby Corp.* | 21,230 | 4,177,215 |
7,259,537 | ||
Miscellaneous Manufacturing — 1.8% | ||
A.O. Smith Corp. | 44,150 | 3,790,278 |
Pharmaceuticals — 3.4% | ||
Dexcom, Inc.* | 13,310 | 7,146,805 |
Retail — 7.3% | ||
Chipotle Mexican Grill, Inc.* | 3,375 | 5,900,344 |
Lululemon Athletica, Inc.* | 6,460 | 2,528,767 |
National Vision Holdings, Inc.* | 50,175 | 2,407,898 |
Ulta Beauty, Inc.* | 10,655 | 4,393,483 |
15,230,492 | ||
Semiconductors — 11.7% | ||
Azenta, Inc. | 23,838 | 2,457,936 |
Marvell Technology, Inc. | 65,054 | 5,691,575 |
Microchip Technology, Inc. | 52,186 | 4,543,313 |
Monolithic Power Systems, Inc. | 11,829 | 5,835,601 |
SkyWater Technology, Inc.* | 18,099 | 293,566 |
Teradyne, Inc. | 35,497 | 5,804,824 |
24,626,815 | ||
Software — 13.8% | ||
Cerner Corp. | 56,607 | 5,257,092 |
Clarivate PLC* | 105,634 | 2,484,512 |
DocuSign, Inc.* | 25,854 | 3,937,823 |
Electronic Arts, Inc. | 24,315 | 3,207,149 |
Five9, Inc.* | 21,635 | 2,970,918 |
Guidewire Software, Inc.* | 27,355 | 3,105,613 |
Paycom Software, Inc.* | 9,195 | 3,817,672 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Software — (continued) | ||
Tyler Technologies, Inc.* | 7,656 | $ 4,118,545 |
28,899,324 | ||
Telecommunications — 3.3% | ||
Arista Networks, Inc.* | 47,692 | 6,855,725 |
TOTAL COMMON STOCKS (Cost $114,350,520) | 207,647,622 |
Number of Contracts | ||
PURCHASED OPTIONS — 0.0% | ||
Call Options | ||
TOTAL PURCHASED OPTIONS | ||
(See open purchased options schedule) | ||
(Cost $19,427) | 175 | 1,050 |
Number of Shares | ||
SHORT-TERM INVESTMENTS — 1.4% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 0.030%) (Cost $2,901,100) | 2,901,100 | 2,901,100 |
TOTAL INVESTMENTS — 100.2% (Cost $117,271,047) | $ 210,549,772 | |
Other Assets & Liabilities — (0.2)% | (503,155) | |
TOTAL NET ASSETS — 100.0% | $ 210,046,617 |
Number of Contracts | ||
WRITTEN OPTIONS — (0.2)% | ||
Call Options | ||
Put Options | ||
TOTAL WRITTEN OPTIONS | ||
(See open written options schedule) | ||
(Premiums $(185,809)) | (503) | $ (315,649) |
† | See Security Valuation Note. |
* | Non-income producing security. |
A/S— Aktieselskab. |
ADR— American Depositary Receipt. |
AG— Aktiengesellschaft. |
PLC— Public Limited Company. |
Country Weightings as of 12/31/2021†† | |
United States | 94% |
Canada | 3 |
Denmark | 1 |
United Kingdom | 1 |
Switzerland | 1 |
Total | 100% |
†† | % of total investments as of December 31, 2021. |
ASSETS TABLE | ||||
Description | Total Market Value at 12/31/2021 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Common Stocks | $207,647,622 | $207,647,622 | $— | $— |
Purchased Options | 1,050 | 1,050 | — | — |
Short-Term Investments | 2,901,100 | 2,901,100 | — | — |
Total Investments | $ 210,549,772 | $ 210,549,772 | $ — | $ — |
LIABILITIES TABLE | ||||
Description | Total Market Value at 12/31/2021 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Other Financial Instruments(1) | ||||
Written Options | $(315,649) | $(315,649) | $— | $— |
Total Liabilities—Other Financial Instruments | $ (315,649) | $ (315,649) | $ — | $ — |
(1) | Other financial instruments are derivative instruments not reflected in the value of total investments in securities in the Schedule of Investments such as future contracts and forward foreign currency contracts which are valued at the unrealized appreciation (depreciation) on the instrument and written options which are reported at their fair value at period end. |
Open Purchased Options |
Exchange Traded |
Call Options | ||||||||||
Description | # of Contracts | Notional | Exercise Price | Expiration Date | Value | |||||
Pinterest, Inc. | 175 | $1,006,250 | $58 | 01/21/22 | $1,050 | |||||
Total Purchased Options | $1,050 |
Open Written Options |
Exchange Traded |
Call Options | ||||||||||
Description | # of Contracts | Notional | Exercise Price | Expiration Date | Value | |||||
Pinterest, Inc. | (175) | $1,400,000 | $80 | 01/21/22 | $(175) |
Put Options | ||||||||||
Description | # of Contracts | Notional | Exercise Price | Expiration Date | Value | |||||
Pinterest, Inc. | (282) | $1,339,500 | $ 48 | 01/21/22 | $ (305,124) | |||||
Shutterstock, Inc. | (46) | 506,000 | 110 | 01/21/22 | (10,350) | |||||
Total Put Options Written | $ (315,474) | |||||||||
Total Written Options | $(315,649) |
Number of Shares | Value† | |
COMMON STOCKS — 89.0% | ||
Aerospace & Defense — 1.6% | ||
BWX Technologies, Inc. | 35,617 | $ 1,705,342 |
Apparel — 2.7% | ||
Columbia Sportswear Co. | 5,583 | 544,007 |
Hanesbrands, Inc. | 86,433 | 1,445,160 |
Levi Strauss & Co., Class A | 34,501 | 863,560 |
2,852,727 | ||
Auto Parts & Equipment — 2.6% | ||
Aptiv PLC* | 6,754 | 1,114,073 |
Autoliv, Inc. | 9,137 | 944,857 |
Lear Corp. | 3,499 | 640,142 |
2,699,072 | ||
Banks — 8.0% | ||
Citizens Financial Group, Inc. | 35,446 | 1,674,824 |
Fifth Third Bancorp | 35,742 | 1,556,564 |
First Horizon Corp. | 97,606 | 1,593,906 |
Regions Financial Corp. | 70,054 | 1,527,177 |
State Street Corp. | 21,538 | 2,003,034 |
8,355,505 | ||
Biotechnology — 1.3% | ||
Corteva, Inc. | 27,552 | 1,302,659 |
Building Materials — 1.7% | ||
Fortune Brands Home & Security, Inc. | 6,152 | 657,649 |
Martin Marietta Materials, Inc. | 2,429 | 1,070,023 |
1,727,672 | ||
Chemicals — 5.6% | ||
Axalta Coating Systems Ltd.* | 45,391 | 1,503,350 |
DuPont de Nemours, Inc. | 18,367 | 1,483,686 |
FMC Corp. | 11,708 | 1,286,592 |
Westlake Chemical Corp. | 15,636 | 1,518,725 |
5,792,353 | ||
Commercial Services — 1.5% | ||
Global Payments, Inc. | 11,482 | 1,552,137 |
Distribution & Wholesale — 1.5% | ||
IAA, Inc.* | 31,132 | 1,575,902 |
Electric — 4.5% | ||
Alliant Energy Corp. | 34,778 | 2,137,804 |
DTE Energy Co. | 9,959 | 1,190,499 |
Entergy Corp. | 12,141 | 1,367,683 |
4,695,986 | ||
Electrical Components & Equipment — 1.7% | ||
AMETEK, Inc. | 11,801 | 1,735,219 |
Electronics — 2.2% | ||
Agilent Technologies, Inc. | 6,892 | 1,100,308 |
Vontier Corp. | 38,783 | 1,191,801 |
2,292,109 | ||
Engineering & Construction — 0.9% | ||
EMCOR Group, Inc. | 7,598 | 967,909 |
Number of Shares | Value† | |
Environmental Control — 1.5% | ||
Waste Connections, Inc. | 11,555 | $ 1,574,600 |
Food — 1.4% | ||
Lamb Weston Holdings, Inc. | 23,331 | 1,478,719 |
Hand & Machine Tools — 1.5% | ||
Lincoln Electric Holdings, Inc. | 11,367 | 1,585,355 |
Healthcare Products — 4.3% | ||
Envista Holdings Corp.* | 44,422 | 2,001,655 |
Globus Medical, Inc., Class A* | 7,558 | 545,688 |
Henry Schein, Inc.* | 24,495 | 1,899,097 |
4,446,440 | ||
Healthcare Services — 2.7% | ||
Laboratory Corp. of America Holdings* | 8,983 | 2,822,548 |
Housewares — 0.4% | ||
The Scotts Miracle-Gro Co. | 2,845 | 458,045 |
Insurance — 6.9% | ||
Globe Life, Inc. | 17,761 | 1,664,561 |
Reinsurance Group of America, Inc. | 7,700 | 843,073 |
RenaissanceRe Holdings Ltd. | 15,027 | 2,544,522 |
The Hartford Financial Services Group, Inc. | 30,864 | 2,130,850 |
7,183,006 | ||
Internet — 1.8% | ||
F5, Inc.* | 7,815 | 1,912,409 |
Machinery — Construction & Mining — 1.5% | ||
Oshkosh Corp. | 13,867 | 1,562,950 |
Machinery — Diversified — 1.0% | ||
GrafTech International Ltd. | 90,437 | 1,069,870 |
Media — 2.6% | ||
Discovery, Inc., Class C* | 46,614 | 1,067,461 |
Fox Corp., Class B | 48,860 | 1,674,432 |
2,741,893 | ||
Miscellaneous Manufacturing — 1.0% | ||
Carlisle Cos., Inc. | 4,368 | 1,083,788 |
Oil & Gas — 3.4% | ||
Coterra Energy, Inc. | 78,001 | 1,482,019 |
Marathon Petroleum Corp. | 11,287 | 722,255 |
Pioneer Natural Resources Co. | 7,095 | 1,290,439 |
3,494,713 | ||
Oil & Gas Services — 1.2% | ||
Baker Hughes Co. | 49,917 | 1,201,003 |
Packaging and Containers — 1.3% | ||
Graphic Packaging Holding Co. | 67,656 | 1,319,292 |
Pharmaceuticals — 1.3% | ||
Cardinal Health, Inc. | 26,198 | 1,348,935 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Retail — 6.3% | ||
AutoZone, Inc.* | 777 | $ 1,628,895 |
Casey's General Stores, Inc. | 10,367 | 2,045,928 |
MSC Industrial Direct Co., Inc., Class A | 12,918 | 1,085,887 |
O'Reilly Automotive, Inc.* | 1,312 | 926,574 |
Qurate Retail, Inc., Class A | 113,804 | 864,910 |
6,552,194 | ||
Semiconductors — 4.7% | ||
CMC Materials, Inc. | 6,607 | 1,266,496 |
Microchip Technology, Inc. | 13,687 | 1,191,590 |
MKS Instruments, Inc. | 8,043 | 1,400,849 |
Teradyne, Inc. | 6,019 | 984,287 |
4,843,222 | ||
Software — 5.9% | ||
Activision Blizzard, Inc. | 16,121 | 1,072,530 |
Black Knight, Inc.* | 17,417 | 1,443,695 |
Cerner Corp. | 15,584 | 1,447,286 |
ManTech International Corp., Class A | 12,673 | 924,242 |
Synopsys, Inc.* | 3,320 | 1,223,420 |
6,111,173 | ||
Telecommunications — 0.9% | ||
Motorola Solutions, Inc. | 3,280 | 891,176 |
Transportation — 0.7% | ||
Canadian Pacific Railway Ltd. | 10,218 | 735,083 |
Trucking and Leasing — 0.9% | ||
GATX Corp. | 9,144 | 952,713 |
TOTAL COMMON STOCKS (Cost $72,507,915) | 92,623,719 | |
REAL ESTATE INVESTMENT TRUSTS — 9.5% | ||
Apartments — 1.3% | ||
Equity Residential | 14,428 | 1,305,734 |
Building & Real Estate — 2.9% | ||
Equity LifeStyle Properties, Inc. | 34,101 | 2,989,294 |
Diversified — 2.5% | ||
Lamar Advertising Co., Class A | 10,029 | 1,216,517 |
Weyerhaeuser Co. | 33,977 | 1,399,173 |
2,615,690 | ||
Hotels & Resorts — 1.9% | ||
Apple Hospitality REIT, Inc. | 122,899 | 1,984,819 |
Industrial — 0.9% | ||
Americold Realty Trust | 29,481 | 966,682 |
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $7,524,154) | 9,862,219 |
Number ofShares | Value† | |
SHORT-TERM INVESTMENTS — 2.3% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 0.030%) (Cost $2,401,023) | 2,401,023 | $ 2,401,023 |
TOTAL INVESTMENTS — 100.8% (Cost $82,433,092) | $ 104,886,961 | |
Other Assets & Liabilities — (0.8)% | (810,573) | |
TOTAL NET ASSETS — 100.0% | $ 104,076,388 |
† | See Security Valuation Note. |
* | Non-income producing security. |
PLC— Public Limited Company. |
REIT— Real Estate Investment Trust. |
Country Weightings as of 12/31/2021†† | |
United States | 95% |
Bermuda | 2 |
Ireland | 1 |
Sweden | 1 |
Canada | 1 |
Total | 100% |
†† | % of total investments as of December 31, 2021. |
ASSETS TABLE | ||||
Description | Total Market Value at 12/31/2021 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Common Stocks | $92,623,719 | $92,623,719 | $— | $— |
Real Estate Investment Trusts | 9,862,219 | 9,862,219 | — | — |
Short-Term Investments | 2,401,023 | 2,401,023 | — | — |
Total Investments | $ 104,886,961 | $ 104,886,961 | $ — | $ — |
Number of Shares | Value† | |
COMMON STOCKS — 91.6% | ||
Aerospace & Defense — 2.4% | ||
BAE Systems PLC | 132,783 | $ 988,147 |
General Dynamics Corp. | 6,139 | 1,279,797 |
2,267,944 | ||
Airlines — 1.8% | ||
Southwest Airlines Co.* | 40,545 | 1,736,948 |
Auto Manufacturers — 1.9% | ||
Cummins, Inc. | 2,039 | 444,788 |
Honda Motor Co., Ltd., ADR | 16,065 | 457,049 |
PACCAR, Inc. | 9,932 | 876,598 |
1,778,435 | ||
Auto Parts & Equipment — 1.9% | ||
BorgWarner, Inc. | 30,383 | 1,369,362 |
Bridgestone Corp. | 10,700 | 460,352 |
1,829,714 | ||
Banks — 10.2% | ||
Commerce Bancshares, Inc. | 2,373 | 163,120 |
First Hawaiian, Inc. | 28,292 | 773,220 |
M&T Bank Corp. | 7,153 | 1,098,558 |
Northern Trust Corp. | 18,837 | 2,253,094 |
Prosperity Bancshares, Inc. | 13,058 | 944,093 |
State Street Corp. | 5,290 | 491,970 |
The Bank of New York Mellon Corp. | 31,643 | 1,837,826 |
Truist Financial Corp. | 24,940 | 1,460,237 |
Westamerica BanCorp | 9,877 | 570,199 |
9,592,317 | ||
Chemicals — 0.9% | ||
Axalta Coating Systems Ltd.* | 25,659 | 849,826 |
Commercial Services — 0.5% | ||
Euronet Worldwide, Inc.* | 4,225 | 503,493 |
Computers — 2.1% | ||
Amdocs Ltd. | 8,293 | 620,648 |
HP, Inc. | 34,875 | 1,313,741 |
1,934,389 | ||
Diversified Financial Services — 2.2% | ||
Ameriprise Financial, Inc. | 3,268 | 985,825 |
T. Rowe Price Group, Inc. | 5,516 | 1,084,666 |
2,070,491 | ||
Electric — 6.1% | ||
Edison International | 26,914 | 1,836,881 |
Evergy, Inc. | 9,608 | 659,205 |
Eversource Energy | 7,098 | 645,776 |
NorthWestern Corp. | 23,452 | 1,340,516 |
Pinnacle West Capital Corp. | 12,444 | 878,422 |
Xcel Energy, Inc. | 6,369 | 431,181 |
5,791,981 | ||
Electrical Components & Equipment — 1.8% | ||
Emerson Electric Co. | 17,927 | 1,666,673 |
Number of Shares | Value† | |
Electronics — 2.1% | ||
Hubbell, Inc. | 2,520 | $ 524,840 |
nVent Electric PLC | 37,609 | 1,429,142 |
1,953,982 | ||
Environmental Control — 0.5% | ||
Republic Services, Inc. | 3,635 | 506,901 |
Food — 7.2% | ||
Conagra Brands, Inc. | 57,042 | 1,947,984 |
General Mills, Inc. | 10,566 | 711,937 |
Kellogg Co. | 9,549 | 615,147 |
Koninklijke Ahold Delhaize N.V. | 39,322 | 1,349,087 |
Orkla ASA | 71,483 | 717,220 |
Sysco Corp. | 8,909 | 699,802 |
The J.M. Smucker Co. | 5,482 | 744,565 |
6,785,742 | ||
Food Service — 1.0% | ||
Sodexo S.A. | 10,618 | 931,547 |
Forest Products & Paper — 1.4% | ||
Mondi PLC | 54,060 | 1,336,137 |
Gas — 1.6% | ||
Atmos Energy Corp. | 8,384 | 878,392 |
Spire, Inc. | 10,327 | 673,527 |
1,551,919 | ||
Healthcare Products — 6.2% | ||
Envista Holdings Corp.* | 19,113 | 861,232 |
Henry Schein, Inc.* | 19,392 | 1,503,462 |
Koninklijke Philips N.V. | 16,284 | 600,065 |
Zimmer Biomet Holdings, Inc. | 22,917 | 2,911,376 |
5,876,135 | ||
Healthcare Services — 4.0% | ||
Centene Corp.* | 8,215 | 676,916 |
Quest Diagnostics, Inc. | 8,438 | 1,459,859 |
Universal Health Services, Inc., Class B | 12,673 | 1,643,181 |
3,779,956 | ||
Household Products & Wares — 1.1% | ||
Kimberly-Clark Corp. | 7,332 | 1,047,889 |
Insurance — 6.9% | ||
Aflac, Inc. | 27,603 | 1,611,739 |
Arthur J. Gallagher & Co. | 2,188 | 371,238 |
Chubb Ltd. | 7,422 | 1,434,747 |
Reinsurance Group of America, Inc. | 14,036 | 1,536,802 |
The Allstate Corp. | 8,689 | 1,022,261 |
The Progressive Corp. | 4,977 | 510,889 |
6,487,676 | ||
Internet — 1.0% | ||
F5, Inc.* | 4,014 | 982,266 |
Leisure Time — 0.7% | ||
Polaris, Inc. | 6,130 | 673,748 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Machinery — Construction & Mining — 0.9% | ||
Oshkosh Corp. | 7,869 | $ 886,915 |
Machinery — Diversified — 0.1% | ||
IMI PLC | 3,026 | 71,104 |
Media — 1.4% | ||
Fox Corp., Class B | 37,431 | 1,282,760 |
Oil & Gas — 3.5% | ||
ConocoPhillips | 18,149 | 1,309,995 |
Devon Energy Corp. | 27,140 | 1,195,517 |
Pioneer Natural Resources Co. | 4,602 | 837,012 |
3,342,524 | ||
Oil & Gas Services — 1.0% | ||
Baker Hughes Co. | 39,842 | 958,599 |
Packaging and Containers — 3.2% | ||
Amcor PLC | 29,547 | 354,859 |
Packaging Corp. of America | 6,994 | 952,233 |
Sonoco Products Co. | 28,794 | 1,666,885 |
2,973,977 | ||
Pharmaceuticals — 4.4% | ||
AmerisourceBergen Corp. | 5,046 | 670,563 |
Becton Dickinson and Co. | 3,983 | 1,001,645 |
Cardinal Health, Inc. | 20,403 | 1,050,550 |
McKesson Corp. | 5,761 | 1,432,012 |
4,154,770 | ||
Retail — 5.7% | ||
Advance Auto Parts, Inc. | 7,665 | 1,838,680 |
Beacon Roofing Supply, Inc.* | 8,819 | 505,770 |
Cracker Barrel Old Country Store, Inc. | 3,712 | 477,512 |
Dollar Tree, Inc.* | 8,455 | 1,188,096 |
MSC Industrial Direct Co., Inc., Class A | 16,831 | 1,414,814 |
5,424,872 | ||
Savings & Loans — 0.4% | ||
Capitol Federal Financial, Inc. | 34,434 | 390,137 |
Software — 4.0% | ||
CDK Global, Inc. | 14,529 | 606,440 |
Cerner Corp. | 23,571 | 2,189,039 |
Open Text Corp. | 20,450 | 970,966 |
3,766,445 | ||
Telecommunications — 0.8% | ||
Corning, Inc. | 6,565 | 244,415 |
Juniper Networks, Inc. | 15,273 | 545,399 |
789,814 | ||
Transportation — 0.7% | ||
Heartland Express, Inc. | 38,159 | 641,834 |
TOTAL COMMON STOCKS (Cost $73,776,706) | 86,619,860 |
Number of Shares | Value† | |
REAL ESTATE INVESTMENT TRUSTS — 6.6% | ||
Apartments — 1.0% | ||
Essex Property Trust, Inc. | 2,547 | $ 897,130 |
Diversified — 1.2% | ||
Equinix, Inc. | 975 | 824,694 |
Weyerhaeuser Co. | 7,886 | 324,745 |
1,149,439 | ||
Healthcare — 2.4% | ||
Healthcare Trust of America, Inc., Class A | 29,863 | 997,126 |
Healthpeak Properties, Inc. | 36,111 | 1,303,246 |
2,300,372 | ||
Hotels & Resorts — 1.1% | ||
MGM Growth Properties LLC, Class A | 24,367 | 995,392 |
Strip Centers — 0.9% | ||
Regency Centers Corp. | 11,708 | 882,198 |
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $4,876,760) | 6,224,531 |
SHORT-TERM INVESTMENTS — 1.9% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 0.030%) (Cost $1,831,015) | 1,831,015 | 1,831,015 |
TOTAL INVESTMENTS — 100.1% (Cost $80,484,481) | $ 94,675,406 | |
Other Assets & Liabilities — (0.1)% | (138,448) | |
TOTAL NET ASSETS — 100.0% | $ 94,536,958 |
† | See Security Valuation Note. |
* | Non-income producing security. |
ADR— American Depositary Receipt. |
ASA— Allmennaksjeselskap. |
LLC— Limited Liability Company. |
N.V.— Naamloze Vennootschap. |
PLC— Public Limited Company. |
S.A.— Societe Anonyme. |
Country Weightings as of 12/31/2021†† | |
United States | 88% |
United Kingdom | 4 |
Netherlands | 2 |
Switzerland | 2 |
Canada | 1 |
France | 1 |
Japan | 1 |
Norway | 1 |
Total | 100% |
†† | % of total investments as of December 31, 2021. |
ASSETS TABLE | ||||
Description | Total Market Value at 12/31/2021 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Common Stocks | $86,619,860 | $86,619,860 | $ — | $— |
Real Estate Investment Trusts | 6,224,531 | 6,224,531 | — | — |
Short-Term Investments | 1,831,015 | 1,831,015 | — | — |
Total Investments | $ 94,675,406 | $ 94,675,406 | $ — | $ — |
Other Financial Instruments(1) | ||||
Forward Foreign Currency Contracts | $ 10,149 | $ — | $10,149 | $— |
Total Assets—Other Financial Instruments | $ 10,149 | $ — | $ 10,149 | $ — |
LIABILITIES TABLE | ||||
Description | Total Market Value at 12/31/2021 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Other Financial Instruments(1) | ||||
Forward Foreign Currency Contracts | $(78,823) | $— | $(78,823) | $— |
Total Liabilities—Other Financial Instruments | $ (78,823) | $ — | $ (78,823) | $ — |
(1) | Other financial instruments are derivative instruments not reflected in the value of total investments in securities in the Schedule of Investments such as future contracts and forward foreign currency contracts which are valued at the unrealized appreciation (depreciation) on the instrument. |
Open forward foreign currency contracts | |||||||||||||||||
Currency | Counterparty | Settlement Date | Foreign Currency Contract | Forward Rate | U.S. Contract Amount | U.S. Contract Value | Unrealized Foreign Exchange Gain | Unrealized Foreign Exchange Loss | |||||||||
Buy | Japanese Yen | Bank of America | 03/31/22 | 3,264,972 | 114.93410 | $28,744 | $28,407 | $— | $(337) | ||||||||
Sell | Japanese Yen | Bank of America | 03/31/22 | (93,268,201) | 114.93410 | (821,642) | (811,493) | 10,149 | — | ||||||||
Sell | Euro | Credit Suisse | 03/31/22 | (2,172,615) | 0.87667 | (2,460,397) | (2,478,276) | — | (17,879) | ||||||||
Sell | Pound Sterling | JPMorgan | 03/31/22 | (1,510,126) | 0.73910 | (1,997,653) | (2,043,195) | — | (45,542) | ||||||||
Sell | Norwegian Krone | UBS Securities | 03/31/22 | (5,363,941) | 8.82154 | (592,985) | (608,050) | — | (15,065) | ||||||||
Total | $10,149 | $(78,823) |
Number of Shares | Value† | |
COMMON STOCKS — 97.9% | ||
Aerospace & Defense — 1.6% | ||
Teledyne Technologies, Inc.* | 3,800 | $ 1,660,182 |
Apparel — 4.1% | ||
Allbirds, Inc., Class A* | 14,179 | 213,819 |
Crocs, Inc.* | 6,831 | 875,871 |
Deckers Outdoor Corp.* | 3,907 | 1,431,173 |
Levi Strauss & Co., Class A | 45,524 | 1,139,466 |
On Holding AG, Class A* | 14,967 | 565,902 |
4,226,231 | ||
Auto Parts & Equipment — 1.1% | ||
Fox Factory Holding Corp.* | 6,827 | 1,161,273 |
Biotechnology — 8.0% | ||
Allogene Therapeutics, Inc.* | 9,676 | 144,366 |
Alnylam Pharmaceuticals, Inc.* | 5,431 | 920,989 |
Argenx S.E., ADR* | 2,671 | 935,357 |
Beam Therapeutics, Inc.* | 12,559 | 1,000,827 |
Certara, Inc.* | 21,274 | 604,607 |
Exelixis, Inc.* | 38,282 | 699,795 |
Guardant Health, Inc.* | 13,551 | 1,355,371 |
Halozyme Therapeutics, Inc.* | 32,552 | 1,308,916 |
Novavax, Inc.* | 1,703 | 243,648 |
Twist Bioscience Corp.* | 3,082 | 238,516 |
Ultragenyx Pharmaceutical, Inc.* | 9,785 | 822,821 |
8,275,213 | ||
Building Materials — 2.1% | ||
AAON, Inc. | 10,416 | 827,343 |
The AZEK Co., Inc* | 28,786 | 1,331,065 |
2,158,408 | ||
Chemicals — 3.0% | ||
Ashland Global Holdings, Inc. | 13,972 | 1,504,225 |
RPM International, Inc. | 15,910 | 1,606,910 |
3,111,135 | ||
Commercial Services — 1.4% | ||
GXO Logistics, Inc.* | 7,756 | 704,478 |
Shift4 Payments, Inc., Class A* | 12,483 | 723,140 |
1,427,618 | ||
Computers — 3.8% | ||
Pure Storage, Inc., Class A* | 40,633 | 1,322,604 |
Rapid7, Inc.* | 13,567 | 1,596,700 |
Varonis Systems, Inc.* | 21,159 | 1,032,136 |
3,951,440 | ||
Distribution & Wholesale — 3.8% | ||
Core & Main, Inc., Class A* | 30,036 | 911,292 |
Pool Corp. | 2,659 | 1,504,994 |
SiteOne Landscape Supply, Inc.* | 6,190 | 1,499,713 |
3,915,999 | ||
Diversified Financial Services — 2.8% | ||
Evercore, Inc., Class A | 10,648 | 1,446,531 |
Stifel Financial Corp. | 20,699 | 1,457,623 |
2,904,154 |
Number of Shares | Value† | |
Electric — 1.0% | ||
Ameresco, Inc., Class A* | 12,846 | $ 1,046,178 |
Electrical Components & Equipment — 2.0% | ||
Novanta, Inc.* | 11,706 | 2,064,119 |
Electronics — 1.2% | ||
Allegion PLC | 9,814 | 1,299,766 |
Energy-Alternate Sources — 1.0% | ||
Enphase Energy, Inc.* | 2,232 | 408,322 |
Shoals Technologies Group, Inc., Class A* | 24,276 | 589,907 |
998,229 | ||
Engineering & Construction — 1.2% | ||
Jacobs Engineering Group, Inc. | 8,974 | 1,249,450 |
Entertainment — 1.5% | ||
Vail Resorts, Inc. | 4,728 | 1,550,311 |
Environmental Control — 1.7% | ||
Evoqua Water Technologies Corp.* | 13,537 | 632,855 |
Tetra Tech, Inc. | 6,533 | 1,109,303 |
1,742,158 | ||
Food — 0.2% | ||
Sweetgreen, Inc., Class A* | 5,714 | 182,848 |
Healthcare Products — 9.7% | ||
Axonics, Inc.* | 11,402 | 638,512 |
Bio-Techne Corp. | 2,015 | 1,042,440 |
Omnicell, Inc.* | 4,265 | 769,577 |
Pacific Biosciences of California, Inc.* | 20,950 | 428,637 |
PerkinElmer, Inc. | 10,321 | 2,075,140 |
Quanterix Corp.* | 10,418 | 441,723 |
Repligen Corp.* | 5,218 | 1,381,935 |
Shockwave Medical, Inc.* | 2,911 | 519,119 |
Stevanato Group SpA* | 30,716 | 689,574 |
Tandem Diabetes Care, Inc.* | 13,784 | 2,074,768 |
10,061,425 | ||
Healthcare Services — 1.2% | ||
Molina Healthcare, Inc.* | 3,810 | 1,211,885 |
Home Furnishings — 0.4% | ||
Arhaus, Inc.* | 29,671 | 393,141 |
Household Products & Wares — 1.2% | ||
Avery Dennison Corp. | 5,793 | 1,254,590 |
Housewares — 0.6% | ||
The Scotts Miracle-Gro Co. | 4,215 | 678,615 |
Insurance — 0.4% | ||
Trupanion, Inc.* | 3,446 | 454,975 |
Internet — 1.2% | ||
Bumble, Inc., Class A* | 13,385 | 453,216 |
Figs, Inc., Class A* | 7,983 | 220,012 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Internet — (continued) | ||
Revolve Group, Inc.* | 10,511 | $ 589,036 |
1,262,264 | ||
Leisure Time — 3.0% | ||
Brunswick Corp. | 11,764 | 1,184,988 |
Planet Fitness, Inc., Class A* | 12,009 | 1,087,775 |
YETI Holdings, Inc.* | 9,830 | 814,219 |
3,086,982 | ||
Lodging — 1.3% | ||
Wyndham Hotels & Resorts, Inc. | 15,267 | 1,368,687 |
Machinery — Diversified — 5.2% | ||
Chart Industries, Inc.* | 9,788 | 1,561,088 |
Colfax Corp.* | 27,184 | 1,249,648 |
IDEX Corp. | 7,439 | 1,757,985 |
The Toro Co. | 8,067 | 805,974 |
5,374,695 | ||
Metal Fabricate/Hardware — 0.9% | ||
RBC Bearings, Inc.* | 4,941 | 997,934 |
Pharmaceuticals — 2.3% | ||
Agios Pharmaceuticals, Inc.* | 20,729 | 681,362 |
Intellia Therapeutics, Inc.* | 1,347 | 159,269 |
Neurocrine Biosciences, Inc.* | 18,014 | 1,534,253 |
2,374,884 | ||
Retail — 5.6% | ||
Five Below, Inc.* | 5,886 | 1,217,755 |
Floor & Decor Holdings, Inc., Class A* | 11,304 | 1,469,633 |
Freshpet, Inc.* | 9,506 | 905,637 |
RH* | 2,467 | 1,322,164 |
Texas Roadhouse, Inc. | 10,112 | 902,799 |
5,817,988 | ||
Semiconductors — 8.9% | ||
Allegro MicroSystems, Inc.* | 36,894 | 1,334,825 |
Entegris, Inc. | 15,022 | 2,081,748 |
Lattice Semiconductor Corp.* | 21,854 | 1,684,069 |
MACOM Technology Solutions Holdings, Inc.* | 12,453 | 975,070 |
MKS Instruments, Inc. | 11,248 | 1,959,064 |
Monolithic Power Systems, Inc. | 2,518 | 1,242,205 |
9,276,981 | ||
Software — 14.0% | ||
Alignment Healthcare, Inc.* | 28,721 | 403,817 |
Avalara, Inc.* | 9,258 | 1,195,300 |
Blackline, Inc.* | 10,771 | 1,115,229 |
DigitalOcean Holdings, Inc.* | 12,235 | 982,838 |
Dynatrace, Inc.* | 28,833 | 1,740,072 |
Elastic N.V.* | 9,108 | 1,121,104 |
EverCommerce, Inc.* | 35,201 | 554,416 |
Monday.com Ltd.* | 2,264 | 698,942 |
nCino, Inc.* | 16,711 | 916,765 |
Olo, Inc., Class A* | 9,836 | 204,687 |
Procore Technologies, Inc.* | 7,251 | 579,863 |
Number of Shares | Value† | |
Software — (continued) | ||
Qualtrics International, Inc., Class A* | 15,605 | $ 552,417 |
Sailpoint Technologies Holdings, Inc.* | 15,911 | 769,138 |
Samsara, Inc., Class A* | 21,880 | 615,047 |
Smartsheet, Inc., Class A* | 20,504 | 1,588,035 |
Sprout Social, Inc., Class A* | 5,283 | 479,115 |
Workiva, Inc.* | 7,725 | 1,008,035 |
14,524,820 | ||
Transportation — 0.5% | ||
Saia, Inc.* | 1,682 | 566,884 |
TOTAL COMMON STOCKS (Cost $83,135,362) | 101,631,462 |
SHORT-TERM INVESTMENTS — 0.8% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 0.030%) (Cost $798,600) | 798,600 | 798,600 |
TOTAL INVESTMENTS — 98.7% (Cost $83,933,962) | $ 102,430,062 | |
Other Assets & Liabilities — 1.3% | 1,349,777 | |
TOTAL NET ASSETS — 100.0% | $ 103,779,839 |
† | See Security Valuation Note. |
* | Non-income producing security. |
ADR— American Depositary Receipt. |
AG— Aktiengesellschaft. |
N.V.— Naamloze Vennootschap. |
PLC— Public Limited Company. |
S.E.— Societas Europaea. |
SpA— Società per Azioni. |
ASSETS TABLE | ||||
Description | Total Market Value at 12/31/2021 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Common Stocks | $101,631,462 | $101,631,462 | $— | $— |
Short-Term Investments | 798,600 | 798,600 | — | — |
Total Investments | $ 102,430,062 | $ 102,430,062 | $ — | $ — |
Number of Shares | Value† | |
COMMON STOCKS — 90.8% | ||
Aerospace & Defense — 1.4% | ||
Spirit AeroSystems Holdings, Inc., Class A | 23,820 | $ 1,026,404 |
Airlines — 1.0% | ||
SkyWest, Inc.* | 17,740 | 697,182 |
Apparel — 4.3% | ||
Carter's, Inc. | 10,400 | 1,052,688 |
Kontoor Brands, Inc. | 11,150 | 571,437 |
Ralph Lauren Corp. | 7,100 | 843,906 |
Tapestry, Inc. | 15,320 | 621,992 |
3,090,023 | ||
Auto Parts & Equipment — 3.1% | ||
Dana, Inc. | 21,952 | 500,945 |
Lear Corp. | 3,273 | 598,795 |
The Goodyear Tire & Rubber Co.* | 51,970 | 1,108,000 |
2,207,740 | ||
Banks — 11.7% | ||
BankUnited, Inc. | 16,945 | 716,943 |
Comerica, Inc. | 11,915 | 1,036,605 |
First Citizens BancShares, Inc., Class A | 1,291 | 1,071,323 |
First Hawaiian, Inc. | 27,470 | 750,755 |
Synovus Financial Corp. | 18,920 | 905,700 |
Texas Capital Bancshares, Inc.* | 13,367 | 805,362 |
Umpqua Holdings Corp. | 29,824 | 573,814 |
Webster Financial Corp. | 15,082 | 842,179 |
Wintrust Financial Corp. | 9,950 | 903,659 |
Zions Bancorp NA | 12,681 | 800,932 |
8,407,272 | ||
Building Materials — 1.0% | ||
Masonite International Corp.* | 6,424 | 757,711 |
Chemicals — 2.1% | ||
GCP Applied Technologies, Inc.* | 2,062 | 65,283 |
Innospec, Inc. | 5,080 | 458,927 |
Orion Engineered Carbons S.A.* | 25,066 | 460,212 |
Trinseo PLC | 9,917 | 520,246 |
1,504,668 | ||
Commercial Services — 5.0% | ||
ADT, Inc. | 80,580 | 677,678 |
Herc Holdings, Inc. | 6,870 | 1,075,498 |
Korn Ferry | 9,300 | 704,289 |
Robert Half International, Inc. | 10,109 | 1,127,356 |
3,584,821 | ||
Computers — 2.0% | ||
Genpact Ltd. | 9,822 | 521,352 |
Lumentum Holdings, Inc.* | 8,800 | 930,776 |
1,452,128 | ||
Diversified Financial Services — 2.3% | ||
Moelis & Co., Class A | 13,174 | 823,507 |
Stifel Financial Corp. | 11,340 | 798,563 |
1,622,070 |
Number of Shares | Value† | |
Electric — 1.5% | ||
IDACORP, Inc. | 9,619 | $1,089,929 |
Electrical Components & Equipment — 1.2% | ||
Belden, Inc. | 12,734 | 837,006 |
Electronics — 1.5% | ||
Avnet, Inc. | 20,670 | 852,224 |
Sensata Technologies Holding PLC* | 3,210 | 198,025 |
1,050,249 | ||
Engineering & Construction — 4.1% | ||
AECOM* | 15,820 | 1,223,677 |
Dycom Industries, Inc.* | 9,370 | 878,531 |
WillScot Mobile Mini Holdings Corp.* | 20,160 | 823,335 |
2,925,543 | ||
Entertainment — 0.8% | ||
Scientific Games Corp.* | 8,935 | 597,126 |
Food — 2.6% | ||
Nomad Foods Ltd.* | 34,561 | 877,504 |
The Hain Celestial Group, Inc.* | 23,118 | 985,058 |
1,862,562 | ||
Gas — 0.8% | ||
Southwest Gas Holdings, Inc. | 7,932 | 555,637 |
Hand & Machine Tools — 1.7% | ||
Regal Rexnord Corp. | 7,304 | 1,242,995 |
Healthcare Products — 1.2% | ||
Integra LifeSciences Holdings Corp.* | 12,490 | 836,705 |
Healthcare Services — 4.2% | ||
Acadia Healthcare Co., Inc.* | 15,370 | 932,959 |
MEDNAX, Inc.* | 40,650 | 1,106,086 |
Syneos Health, Inc.* | 9,400 | 965,192 |
3,004,237 | ||
Home Builders — 3.6% | ||
KB Home | 18,770 | 839,582 |
PulteGroup, Inc. | 19,990 | 1,142,628 |
Taylor Morrison Home Corp.* | 16,574 | 579,427 |
2,561,637 | ||
Home Furnishings — 1.1% | ||
MillerKnoll, Inc. | 19,500 | 764,205 |
Insurance — 4.2% | ||
American Financial Group, Inc. | 6,208 | 852,482 |
Everest Re Group Ltd. | 2,287 | 626,455 |
Kemper Corp. | 3,511 | 206,412 |
Selective Insurance Group, Inc. | 7,300 | 598,162 |
The Hanover Insurance Group, Inc. | 5,664 | 742,324 |
3,025,835 | ||
Internet — 1.2% | ||
Criteo S.A., ADR* | 21,508 | 836,016 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Iron & Steel — 2.1% | ||
Carpenter Technology Corp. | 21,627 | $ 631,292 |
Reliance Steel & Aluminum Co. | 5,301 | 859,928 |
1,491,220 | ||
Leisure Time — 0.5% | ||
Brunswick Corp. | 3,697 | 372,399 |
Lodging — 0.9% | ||
Hilton Grand Vacations, Inc.* | 12,410 | 646,685 |
Machinery — Construction & Mining — 2.2% | ||
Oshkosh Corp. | 9,310 | 1,049,330 |
Vertiv Holdings Co. | 21,460 | 535,856 |
1,585,186 | ||
Machinery — Diversified — 2.6% | ||
Applied Industrial Technologies, Inc. | 5,940 | 610,038 |
Cactus, Inc., Class A | 17,660 | 673,376 |
Crane Co. | 5,722 | 582,099 |
1,865,513 | ||
Media — 0.7% | ||
Houghton Mifflin Harcourt Co.* | 30,109 | 484,755 |
Metal Fabricate/Hardware — 0.9% | ||
The Timken Co. | 9,860 | 683,199 |
Oil & Gas — 2.2% | ||
Coterra Energy, Inc. | 43,534 | 827,146 |
HollyFrontier Corp. | 23,661 | 775,608 |
1,602,754 | ||
Packaging and Containers — 2.3% | ||
Berry Global Group, Inc.* | 11,820 | 872,080 |
Sealed Air Corp. | 11,992 | 809,100 |
1,681,180 | ||
Retail — 4.4% | ||
Dine Brands Global, Inc. | 10,990 | 833,152 |
Papa John's International, Inc. | 6,760 | 902,257 |
Sally Beauty Holdings, Inc.* | 34,880 | 643,885 |
Williams-Sonoma, Inc. | 4,534 | 766,835 |
3,146,129 | ||
Semiconductors — 3.1% | ||
Kulicke & Soffa Industries, Inc. | 10,401 | 629,676 |
MaxLinear, Inc.* | 4,908 | 370,014 |
ON Semiconductor Corp.* | 17,590 | 1,194,713 |
2,194,403 | ||
Software — 2.9% | ||
ACI Worldwide, Inc.* | 18,260 | 633,622 |
Change Healthcare, Inc.* | 36,940 | 789,777 |
CommVault Systems, Inc.* | 9,943 | 685,272 |
2,108,671 | ||
Transportation — 1.8% | ||
Kirby Corp.* | 5,421 | 322,116 |
Number of Shares | Value† | |
Transportation — (continued) | ||
Knight-Swift Transportation Holdings, Inc. | 16,352 | $ 996,491 |
1,318,607 | ||
Trucking and Leasing — 0.6% | ||
GATX Corp. | 4,460 | 464,687 |
TOTAL COMMON STOCKS (Cost $50,631,854) | 65,185,089 | |
REAL ESTATE INVESTMENT TRUSTS — 8.9% | ||
Apartments — 2.7% | ||
American Campus Communities, Inc. | 13,042 | 747,176 |
Camden Property Trust | 6,560 | 1,172,141 |
1,919,317 | ||
Diversified — 0.7% | ||
Broadstone Net Lease, Inc. | 22,230 | 551,749 |
Healthcare — 1.3% | ||
Physicians Realty Trust | 51,805 | 975,488 |
Hotels & Resorts — 0.5% | ||
MGM Growth Properties LLC, Class A | 8,539 | 348,818 |
Industrial — 1.2% | ||
STAG lndustrial, Inc. | 17,745 | 851,050 |
Office Property — 1.1% | ||
Cousins Properties, Inc. | 19,800 | 797,544 |
Storage & Warehousing — 1.4% | ||
CubeSmart | 17,304 | 984,771 |
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $4,820,601) | 6,428,737 |
SHORT-TERM INVESTMENTS — 0.9% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 0.030%) (Cost $662,669) | 662,669 | 662,669 |
TOTAL INVESTMENTS — 100.6% (Cost $56,115,124) | $ 72,276,495 | |
Other Assets & Liabilities — (0.6)% | (466,113) | |
TOTAL NET ASSETS — 100.0% | $ 71,810,382 |
† | See Security Valuation Note. |
* | Non-income producing security. |
ADR— American Depositary Receipt. |
LLC— Limited Liability Company. |
NA— National Association. |
PLC— Public Limited Company. |
S.A.— Societe Anonyme. |
Country Weightings as of 12/31/2021†† | |
United States | 95% |
United Kingdom | 1 |
France | 1 |
Singapore | 1 |
Bermuda | 1 |
Luxembourg | 1 |
Total | 100% |
†† | % of total investments as of December 31, 2021. |
ASSETS TABLE | ||||
Description | Total Market Value at 12/31/2021 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Common Stocks | $65,185,089 | $65,185,089 | $— | $— |
Real Estate Investment Trusts | 6,428,737 | 6,428,737 | — | — |
Short-Term Investments | 662,669 | 662,669 | — | — |
Total Investments | $ 72,276,495 | $ 72,276,495 | $ — | $ — |
Number of Shares | Value† | |
COMMON STOCKS — 96.6% | ||
Advertising — 0.6% | ||
The Trade Desk, Inc., Class A* | 9,231 | $ 845,929 |
Auto Parts & Equipment — 0.9% | ||
QuantumScape Corp.* | 16,158 | 358,546 |
Visteon Corp.* | 8,222 | 913,793 |
1,272,339 | ||
Banks — 1.0% | ||
Walker & Dunlop, Inc. | 9,247 | 1,395,187 |
Biotechnology — 4.3% | ||
Ascendis Pharma A/S, ADR* | 3,999 | 537,985 |
Bicycle Therapeutics PLC, ADR* | 5,197 | 316,341 |
Emergent BioSolutions, Inc.* | 9,717 | 422,398 |
Essa Pharma, Inc.* | 23,729 | 336,952 |
EyePoint Pharmaceuticals, Inc.* | 22,136 | 270,945 |
Fate Therapeutics, Inc.* | 9,596 | 561,462 |
Global Blood Therapeutics, Inc.* | 13,336 | 390,345 |
Insmed, Inc.* | 20,267 | 552,073 |
Ligand Pharmaceuticals, Inc.* | 8,806 | 1,360,175 |
NeoGenomics, Inc.* | 32,701 | 1,115,758 |
Rocket Pharmaceuticals, Inc.* | 8,528 | 186,166 |
6,050,600 | ||
Building Materials — 0.9% | ||
Summit Materials, Inc., Class A* | 31,677 | 1,271,515 |
Chemicals — 2.4% | ||
Rogers Corp.* | 2,527 | 689,871 |
Sensient Technologies Corp. | 26,278 | 2,629,377 |
3,319,248 | ||
Commercial Services — 6.4% | ||
Cimpress PLC* | 4,358 | 312,076 |
Euronet Worldwide, Inc.* | 11,462 | 1,365,927 |
HealthEquity, Inc.* | 11,845 | 524,023 |
John Wiley & Sons, Inc., Class A | 10,797 | 618,344 |
Mister Car Wash, Inc.* | 29,871 | 543,951 |
Shift4 Payments, Inc., Class A* | 6,927 | 401,281 |
Stride, Inc.* | 37,442 | 1,247,942 |
Terminix Global Holdings, Inc.* | 41,061 | 1,857,189 |
TriNet Group, Inc.* | 13,505 | 1,286,486 |
WEX, Inc.* | 5,370 | 753,894 |
8,911,113 | ||
Computers — 2.5% | ||
Maximus, Inc. | 11,180 | 890,711 |
NCR Corp.* | 20,642 | 829,808 |
WNS Holdings Ltd., ADR* | 20,377 | 1,797,659 |
3,518,178 | ||
Distribution & Wholesale — 1.2% | ||
Core & Main, Inc., Class A* | 54,621 | 1,657,201 |
Diversified Financial Services — 4.4% | ||
Cboe Global Markets, Inc. | 9,746 | 1,270,878 |
Focus Financial Partners, Inc., Class A* | 18,043 | 1,077,528 |
Foresight Acquisition Corp. PIPE | 72,553 | 510,773 |
Number of Shares | Value† | |
Diversified Financial Services — (continued) | ||
LendingTree, Inc.* | 4,385 | $ 537,601 |
LPL Financial Holdings, Inc. | 17,109 | 2,738,980 |
6,135,760 | ||
Electric — 0.6% | ||
NRG Energy, Inc. | 18,882 | 813,436 |
Electrical Components & Equipment — 1.4% | ||
EnerSys | 12,601 | 996,235 |
Novanta, Inc.* | 5,865 | 1,034,175 |
2,030,410 | ||
Electronics — 2.9% | ||
Brady Corp., Class A | 31,174 | 1,680,278 |
Itron, Inc.* | 5,386 | 369,049 |
National Instruments Corp. | 21,101 | 921,481 |
OSI Systems, Inc.* | 11,754 | 1,095,473 |
4,066,281 | ||
Energy-Alternate Sources — 0.2% | ||
Stem, Inc.* | 18,462 | 350,224 |
Engineering & Construction — 0.5% | ||
Frontdoor, Inc.* | 19,050 | 698,182 |
Entertainment — 0.3% | ||
Manchester United PLC, Class A | 28,299 | 402,978 |
Environmental Control — 0.4% | ||
Montrose Environmental Group, Inc.* | 7,935 | 559,497 |
Food — 2.3% | ||
BellRing Brands, Inc., Class A* | 23,669 | 675,276 |
Hostess Brands, Inc.* | 61,697 | 1,259,853 |
Laird Superfood, Inc.* | 24,367 | 317,746 |
Premium Brands Holdings Corp. | 9,244 | 923,998 |
3,176,873 | ||
Hand & Machine Tools — 0.9% | ||
Regal Rexnord Corp. | 7,815 | 1,329,957 |
Healthcare Products — 8.4% | ||
Alphatec Holdings, Inc.* | 51,175 | 584,930 |
Bio-Techne Corp. | 3,151 | 1,630,138 |
Bruker Corp. | 19,936 | 1,672,830 |
Glaukos Corp.* | 12,557 | 558,033 |
Globus Medical, Inc., Class A* | 22,818 | 1,647,460 |
ICU Medical, Inc.* | 4,715 | 1,119,058 |
Integra LifeSciences Holdings Corp.* | 34,618 | 2,319,060 |
Paragon 28, Inc.* | 22,053 | 390,118 |
STERIS PLC | 6,226 | 1,515,471 |
Treace Medical Concepts, Inc.* | 19,946 | 371,793 |
11,808,891 | ||
Healthcare Services — 4.4% | ||
Catalent, Inc.* | 31,174 | 3,991,207 |
Chemed Corp. | 2,408 | 1,273,928 |
Inotiv, Inc.* | 20,979 | 882,587 |
6,147,722 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Holding Companies — 1.0% | ||
CM Life Sciences II, Inc. PIPE | 30,686 | $ 357,185 |
GS Acquisitions Holdings PIPE | 103,971 | 1,088,576 |
1,445,761 | ||
Home Builders — 0.7% | ||
Thor Industries, Inc. | 9,200 | 954,684 |
Home Furnishings — 1.6% | ||
Purple Innovation, Inc.* | 40,007 | 530,893 |
The Lovesac Co.* | 25,509 | 1,690,226 |
2,221,119 | ||
Household Products & Wares — 0.9% | ||
Helen of Troy Ltd.* | 4,885 | 1,194,236 |
Insurance — 1.2% | ||
RLI Corp. | 10,204 | 1,143,869 |
Trean Insurance Group, Inc.* | 57,053 | 508,342 |
1,652,211 | ||
Internet — 2.2% | ||
CarParts.com, Inc.* | 43,730 | 489,776 |
ChannelAdvisor Corp.* | 44,438 | 1,096,730 |
Zendesk, Inc.* | 14,539 | 1,516,272 |
3,102,778 | ||
Machinery — Diversified — 4.2% | ||
CSW Industrials, Inc. | 10,592 | 1,280,149 |
Gates Industrial Corp. PLC* | 39,412 | 627,045 |
Hydrofarm Holdings Group, Inc.* | 14,776 | 418,013 |
Kornit Digital Ltd.* | 6,664 | 1,014,594 |
Nordson Corp. | 4,794 | 1,223,764 |
Zurn Water Solutions Corp. | 37,916 | 1,380,143 |
5,943,708 | ||
Miscellaneous Manufacturing — 2.2% | ||
Carlisle Cos., Inc. | 7,276 | 1,805,321 |
ITT, Inc. | 12,912 | 1,319,477 |
3,124,798 | ||
Packaging and Containers — 3.0% | ||
Crown Holdings, Inc. | 37,830 | 4,184,755 |
Pharmaceuticals — 2.6% | ||
Centessa Pharmaceuticals PLC, ADR* | 17,301 | 194,809 |
Eagle Pharmaceuticals, Inc.* | 11,343 | 577,586 |
Heska Corp.* | 3,113 | 568,092 |
Neurocrine Biosciences, Inc.* | 13,313 | 1,133,868 |
Sarepta Therapeutics, Inc.* | 7,717 | 694,916 |
Vaxcyte, Inc.* | 21,103 | 502,040 |
3,671,311 | ||
Retail — 2.0% | ||
Casey's General Stores, Inc. | 4,259 | 840,514 |
National Vision Holdings, Inc.* | 20,646 | 990,802 |
Williams-Sonoma, Inc. | 5,873 | 993,300 |
2,824,616 |
Number of Shares | Value† | |
Semiconductors — 4.2% | ||
Entegris, Inc. | 15,953 | $ 2,210,767 |
ON Semiconductor Corp.* | 42,475 | 2,884,902 |
Wolfspeed, Inc.* | 7,131 | 797,032 |
5,892,701 | ||
Software — 17.5% | ||
Aspen Technology, Inc.* | 4,561 | 694,184 |
Avalara, Inc.* | 9,349 | 1,207,049 |
AvidXchange Holdings, Inc.* | 16,107 | 242,572 |
Blackbaud, Inc.* | 23,239 | 1,835,416 |
Broadridge Financial Solutions, Inc. | 12,472 | 2,280,131 |
Clarivate PLC* | 60,464 | 1,422,113 |
Clear Secure, Inc., Class A* | 17,590 | 551,798 |
Consensus Cloud Solutions, Inc.* | 7,821 | 452,601 |
CoreCard Corp.* | 21,679 | 841,145 |
Dynatrace, Inc.* | 23,054 | 1,391,309 |
Enfusion, Inc., Class A* | 26,058 | 545,655 |
Envestnet, Inc.* | 12,949 | 1,027,374 |
Expensify, Inc., Class A* | 20,684 | 910,096 |
Global-e Online Ltd.* | 6,660 | 422,177 |
LivePerson, Inc.* | 26,820 | 958,011 |
PagerDuty, Inc.* | 24,691 | 858,012 |
Sailpoint Technologies Holdings, Inc.* | 31,246 | 1,510,432 |
SS&C Technologies Holdings, Inc. | 35,565 | 2,915,619 |
The Descartes Systems Group, Inc.* | 27,008 | 2,233,746 |
Yext, Inc.* | 35,553 | 352,686 |
Ziff Davis, Inc.* | 16,948 | 1,878,855 |
24,530,981 | ||
Telecommunications — 4.1% | ||
Nice Ltd., ADR* | 13,047 | 3,961,069 |
Vonage Holdings Corp.* | 85,652 | 1,780,705 |
5,741,774 | ||
Transportation — 2.3% | ||
CryoPort, Inc.* | 19,745 | 1,168,312 |
Saia, Inc.* | 6,164 | 2,077,453 |
3,245,765 | ||
TOTAL COMMON STOCKS (Cost $78,793,468) | 135,492,719 | |
REAL ESTATE INVESTMENT TRUSTS — 0.8% | ||
Diversified — 0.8% | ||
Lamar Advertising Co., Class A (Cost $524,083) | 9,463 | 1,147,862 |
Number ofShares | Value† | |
SHORT-TERM INVESTMENTS — 2.4% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 0.030%) (Cost $3,326,892) | 3,326,892 | $ 3,326,892 |
TOTAL INVESTMENTS — 99.8% (Cost $82,644,443) | $ 139,967,473 | |
Other Assets & Liabilities — 0.2% | 242,963 | |
TOTAL NET ASSETS — 100.0% | $ 140,210,436 |
† | See Security Valuation Note. |
* | Non-income producing security. |
A/S— Aktieselskab. |
ADR— American Depositary Receipt. |
PIPE— Private Investments in Public Equity. |
PLC— Public Limited Company. |
Country Weightings as of 12/31/2021†† | |
United States | 90% |
Israel | 4 |
Canada | 3 |
United Kingdom | 2 |
India | 1 |
Total | 100% |
†† | % of total investments as of December 31, 2021. |
ASSETS TABLE | ||||
Description | Total Market Value at 12/31/2021 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Common Stocks | ||||
Advertising | $ 845,929 | $ 845,929 | $ — | $— |
Auto Parts & Equipment | 1,272,339 | 1,272,339 | — | — |
Banks | 1,395,187 | 1,395,187 | — | — |
Biotechnology | 6,050,600 | 6,050,600 | — | — |
Building Materials | 1,271,515 | 1,271,515 | — | — |
Chemicals | 3,319,248 | 3,319,248 | — | — |
Commercial Services | 8,911,113 | 8,911,113 | — | — |
Computers | 3,518,178 | 3,518,178 | — | — |
Distribution & Wholesale | 1,657,201 | 1,657,201 | — | — |
Diversified Financial Services | 6,135,760 | 5,624,987 | 510,773 | — |
Electric | 813,436 | 813,436 | — | — |
Electrical Components & Equipment | 2,030,410 | 2,030,410 | — | — |
Electronics | 4,066,281 | 4,066,281 | — | — |
Energy-Alternate Sources | 350,224 | 350,224 | — | — |
Engineering & Construction | 698,182 | 698,182 | — | — |
Entertainment | 402,978 | 402,978 | — | — |
ASSETS TABLE | ||||
Description | Total Market Value at 12/31/2021 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Environmental Control | $ 559,497 | $ 559,497 | $ — | $— |
Food | 3,176,873 | 3,176,873 | — | — |
Hand & Machine Tools | 1,329,957 | 1,329,957 | — | — |
Healthcare Products | 11,808,891 | 11,808,891 | — | — |
Healthcare Services | 6,147,722 | 6,147,722 | — | — |
Holding Companies | 1,445,761 | — | 1,445,761 | — |
Home Builders | 954,684 | 954,684 | — | — |
Home Furnishings | 2,221,119 | 2,221,119 | — | — |
Household Products & Wares | 1,194,236 | 1,194,236 | — | — |
Insurance | 1,652,211 | 1,652,211 | — | — |
Internet | 3,102,778 | 3,102,778 | — | — |
Machinery — Diversified | 5,943,708 | 5,943,708 | — | — |
Miscellaneous Manufacturing | 3,124,798 | 3,124,798 | — | — |
Packaging and Containers | 4,184,755 | 4,184,755 | — | — |
Pharmaceuticals | 3,671,311 | 3,671,311 | — | — |
Retail | 2,824,616 | 2,824,616 | — | — |
Semiconductors | 5,892,701 | 5,892,701 | — | — |
Software | 24,530,981 | 24,530,981 | — | — |
Telecommunications | 5,741,774 | 5,741,774 | — | — |
Transportation | 3,245,765 | 3,245,765 | — | — |
Total Common Stocks | 135,492,719 | 133,536,185 | 1,956,534 | — |
Real Estate Investment Trusts | 1,147,862 | 1,147,862 | — | — |
Short-Term Investments | 3,326,892 | 3,326,892 | — | — |
Total Investments | $ 139,967,473 | $ 138,010,939 | $ 1,956,534 | $ — |
Number of Shares | Value† | |
COMMON STOCKS — 86.6% | ||
Aerospace & Defense — 0.7% | ||
AAR Corp.* | 24,643 | $ 961,816 |
Ducommun, Inc.* | 8,685 | 406,198 |
1,368,014 | ||
Airlines — 0.3% | ||
Allegiant Travel Co.* | 3,295 | 616,297 |
Apparel — 0.8% | ||
Capri Holdings Ltd.* | 10,781 | 699,795 |
Crocs, Inc.* | 6,892 | 883,692 |
Deckers Outdoor Corp.* | 62 | 22,711 |
1,606,198 | ||
Auto Parts & Equipment — 1.3% | ||
Adient PLC* | 19,026 | 910,965 |
The Goodyear Tire & Rubber Co.* | 76,517 | 1,631,342 |
2,542,307 | ||
Banks — 16.0% | ||
Alerus Financial Corp. | 5,682 | 166,369 |
Amalgamated Financial Corp. | 11,227 | 188,277 |
Ameris Bancorp | 23,154 | 1,150,291 |
Associated Banc-Corp. | 36,070 | 814,821 |
Atlantic Union Bankshares Corp. | 33,288 | 1,241,310 |
Banner Corp. | 24,442 | 1,482,896 |
Cadence Bank | 44,212 | 1,317,075 |
Columbia Banking System, Inc. | 23,660 | 774,155 |
Community Bank System, Inc. | 14,368 | 1,070,129 |
ConnectOne Bancorp, Inc. | 33,153 | 1,084,435 |
CVB Financial Corp. | 62,990 | 1,348,616 |
Eastern Bankshares, Inc. | 57,281 | 1,155,358 |
FB Financial Corp. | 21,846 | 957,292 |
First Financial Bankshares, Inc. | 16,113 | 819,185 |
First Merchants Corp. | 29,529 | 1,236,970 |
German American Bancorp, Inc. | 14,721 | 573,825 |
Glacier Bancorp, Inc. | 19,267 | 1,092,439 |
Hancock Whitney Corp. | 34,209 | 1,711,134 |
Heritage Financial Corp. | 22,426 | 548,091 |
Home BancShares, Inc. | 46,262 | 1,126,480 |
Independent Bank Corp. | 15,380 | 1,253,931 |
Lakeland Financial Corp. | 17,915 | 1,435,708 |
PacWest Bancorp | 25,875 | 1,168,774 |
Pinnacle Financial Partners, Inc. | 9,101 | 869,145 |
Renasant Corp. | 32,352 | 1,227,758 |
SouthState Corp. | 13,981 | 1,120,018 |
The First of Long Island Corp. | 6,206 | 133,988 |
Towne Bank | 25,173 | 795,215 |
TriCo Bancshares | 20,890 | 897,434 |
United Community Banks, Inc. | 40,945 | 1,471,563 |
Walker & Dunlop, Inc. | 10,933 | 1,649,571 |
31,882,253 | ||
Beverages — 0.9% | ||
Primo Water Corp. | 100,127 | 1,765,239 |
Biotechnology — 1.7% | ||
2seventy bio, Inc.* | 5,809 | 148,885 |
Number of Shares | Value† | |
Biotechnology — (continued) | ||
Allogene Therapeutics, Inc.* | 14,332 | $ 213,833 |
Arena Pharmaceuticals, Inc.* | 10,669 | 991,577 |
Bluebird Bio, Inc.* | 19,086 | 190,669 |
Blueprint Medicines Corp.* | 2,607 | 279,236 |
Inovio Pharmaceuticals, Inc.* | 27,751 | 138,477 |
Mersana Therapeutics, Inc.* | 14,167 | 88,119 |
Myriad Genetics, Inc.* | 23,620 | 651,912 |
REVOLUTION Medicines, Inc.* | 12,439 | 313,090 |
Turning Point Therapeutics, Inc.* | 8,238 | 392,952 |
3,408,750 | ||
Building Materials — 0.8% | ||
Griffon Corp. | 15,546 | 442,750 |
Summit Materials, Inc., Class A* | 27,553 | 1,105,977 |
1,548,727 | ||
Chemicals — 1.0% | ||
Amyris, Inc.* | 11,336 | 61,328 |
H.B. Fuller Co. | 9,421 | 763,101 |
Kraton Corp.* | 4,472 | 207,143 |
Tronox Holdings PLC, Class A | 40,592 | 975,426 |
2,006,998 | ||
Commercial Services — 5.1% | ||
AMN Healthcare Services, Inc.* | 7,145 | 874,048 |
ASGN, Inc.* | 11,870 | 1,464,758 |
Avis Budget Group, Inc.* | 5,226 | 1,083,716 |
Deluxe Corp. | 28,648 | 919,887 |
First Advantage Corp.* | 44,899 | 854,877 |
Green Dot Corp., Class A* | 18,246 | 661,235 |
ICF International, Inc. | 9,521 | 976,379 |
John Wiley & Sons, Inc., Class A | 23,460 | 1,343,554 |
LiveRamp Holdings, Inc.* | 24,582 | 1,178,707 |
Rent-A-Center, Inc. | 17,406 | 836,184 |
10,193,345 | ||
Computers — 1.1% | ||
KBR, Inc. | 42,517 | 2,024,659 |
Vocera Communications, Inc.* | 2,190 | 142,000 |
2,166,659 | ||
Distribution & Wholesale — 3.2% | ||
Avient Corp. | 50,813 | 2,842,987 |
Resideo Technologies, Inc.* | 56,627 | 1,474,001 |
WESCO International, Inc.* | 16,184 | 2,129,653 |
6,446,641 | ||
Diversified Financial Services — 0.9% | ||
Houlihan Lokey, Inc. | 4,451 | 460,767 |
Oportun Financial Corp.* | 8,543 | 172,996 |
PJT Partners, Inc., Class A | 7,337 | 543,598 |
Stifel Financial Corp. | 9,866 | 694,764 |
1,872,125 | ||
Electric — 2.3% | ||
ALLETE, Inc. | 22,226 | 1,474,695 |
IDACORP, Inc. | 14,757 | 1,672,116 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Electric — (continued) | ||
MGE Energy, Inc. | 17,580 | $ 1,445,955 |
4,592,766 | ||
Electronics — 1.6% | ||
Brady Corp., Class A | 10,391 | 560,075 |
FARO Technologies, Inc.* | 11,603 | 812,442 |
Knowles Corp.* | 39,263 | 916,791 |
TTM Technologies, Inc.* | 55,146 | 821,675 |
3,110,983 | ||
Energy-Alternate Sources — 0.7% | ||
Array Technologies, Inc.* | 13,512 | 212,003 |
NextEra Energy Partners LP | 9,147 | 772,007 |
Renewable Energy Group, Inc.* | 9,805 | 416,124 |
1,400,134 | ||
Engineering & Construction — 1.1% | ||
Arcosa, Inc. | 18,522 | 976,109 |
Dycom Industries, Inc.* | 12,080 | 1,132,621 |
2,108,730 | ||
Entertainment — 0.8% | ||
AMC Entertainment Holdings, Inc., Class A* | 24,517 | 666,862 |
SeaWorld Entertainment, Inc.* | 12,993 | 842,726 |
1,509,588 | ||
Food — 2.3% | ||
B&G Foods, Inc. | 13,428 | 412,642 |
BellRing Brands, Inc., Class A* | 9,026 | 257,512 |
Hostess Brands, Inc.* | 69,190 | 1,412,860 |
Nomad Foods Ltd.* | 15,747 | 399,816 |
Performance Food Group Co.* | 2,181 | 100,086 |
The Simply Good Foods Co.* | 18,545 | 770,916 |
United Natural Foods, Inc.* | 15,634 | 767,317 |
Utz Brands, Inc. | 29,899 | 476,889 |
4,598,038 | ||
Food Service — 0.1% | ||
Sovos Brands, Inc.* | 14,952 | 225,028 |
Gas — 1.4% | ||
Chesapeake Utilities Corp. | 7,738 | 1,128,278 |
ONE Gas, Inc. | 22,326 | 1,732,274 |
2,860,552 | ||
Hand & Machine Tools — 0.7% | ||
Kennametal, Inc. | 35,989 | 1,292,365 |
Healthcare Products — 2.8% | ||
Avanos Medical, Inc.* | 29,677 | 1,028,902 |
CONMED Corp. | 9,854 | 1,396,903 |
LivaNova PLC* | 8,870 | 775,504 |
Merit Medical Systems, Inc.* | 16,613 | 1,034,990 |
NuVasive, Inc.* | 17,550 | 921,024 |
Ortho Clinical Diagnostics Holdings PLC* | 1,472 | 31,486 |
Number of Shares | Value† | |
Healthcare Products — (continued) | ||
Pacific Biosciences of California, Inc.* | 22,192 | $ 454,048 |
5,642,857 | ||
Healthcare Services — 1.7% | ||
Acadia Healthcare Co., Inc.* | 18,946 | 1,150,022 |
Invitae Corp.* | 17,090 | 260,964 |
Tenet Healthcare Corp.* | 24,614 | 2,010,718 |
3,421,704 | ||
Home Builders — 2.0% | ||
Century Communities, Inc. | 18,861 | 1,542,641 |
Installed Building Products, Inc. | 6,671 | 932,072 |
Meritage Homes Corp.* | 12,454 | 1,520,136 |
3,994,849 | ||
Housewares — 0.1% | ||
Tupperware Brands Corp.* | 7,568 | 115,715 |
Insurance — 3.6% | ||
AMERISAFE, Inc. | 7,218 | 388,545 |
BRP Group, Inc., Class A* | 9,678 | 349,473 |
CNO Financial Group, Inc. | 54,027 | 1,288,004 |
Enstar Group Ltd.* | 4,178 | 1,034,431 |
MGIC Investment Corp. | 83,139 | 1,198,864 |
NMI Holdings, Inc., Class A* | 30,807 | 673,133 |
Primerica, Inc. | 3,376 | 517,439 |
RLI Corp. | 4,721 | 529,224 |
Selective Insurance Group, Inc. | 14,472 | 1,185,836 |
7,164,949 | ||
Iron & Steel — 0.6% | ||
Allegheny Technologies, Inc.* | 26,058 | 415,104 |
Commercial Metals Co. | 20,524 | 744,816 |
1,159,920 | ||
Leisure Time — 0.5% | ||
Callaway Golf Co.* | 39,290 | 1,078,118 |
Lodging — 0.6% | ||
Boyd Gaming Corp.* | 8,464 | 554,985 |
Travel + Leisure Co. | 12,134 | 670,646 |
1,225,631 | ||
Machinery — Construction & Mining — 1.0% | ||
Astec Industries, Inc. | 16,707 | 1,157,294 |
Terex Corp. | 17,748 | 780,024 |
1,937,318 | ||
Machinery — Diversified — 2.8% | ||
Cactus, Inc., Class A | 17,250 | 657,742 |
Chart Industries, Inc.* | 6,838 | 1,090,593 |
Colfax Corp.* | 29,198 | 1,342,232 |
Columbus McKinnon Corp. | 26,485 | 1,225,196 |
Zurn Water Solutions Corp. | 34,542 | 1,257,329 |
5,573,092 | ||
Media — 1.5% | ||
Entravision Communications Corp., Class A | 55,553 | 376,649 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Media — (continued) | ||
Gray Television, Inc. | 35,118 | $ 707,979 |
iHeartMedia, Inc., Class A* | 29,487 | 620,407 |
Nexstar Media Group, Inc., Class A | 5,395 | 814,537 |
TEGNA, Inc. | 27,004 | 501,194 |
3,020,766 | ||
Mining — 0.8% | ||
Arconic Corp.* | 10,228 | 337,626 |
Coeur Mining, Inc.* | 54,285 | 273,597 |
Constellium S.E.* | 51,300 | 918,783 |
1,530,006 | ||
Miscellaneous Manufacturing — 1.9% | ||
EnPro Industries, Inc. | 9,961 | 1,096,407 |
ESCO Technologies, Inc. | 9,496 | 854,545 |
Federal Signal Corp. | 29,223 | 1,266,525 |
Hillenbrand, Inc. | 12,135 | 630,899 |
3,848,376 | ||
Oil & Gas — 4.5% | ||
Antero Resources Corp.* | 59,348 | 1,038,590 |
Brigham Minerals, Inc., Class A | 35,559 | 749,939 |
Centennial Resource Development, Inc., Class A* | 150,133 | 897,795 |
HollyFrontier Corp. | 16,883 | 553,425 |
Magnolia Oil & Gas Corp., Class A | 52,558 | 991,769 |
Oasis Petroleum, Inc. | 4,792 | 603,744 |
Ovintiv, Inc. | 49,208 | 1,658,310 |
PDC Energy, Inc. | 9,805 | 478,288 |
SM Energy Co. | 35,574 | 1,048,722 |
Viper Energy Partners LP | 44,733 | 953,260 |
8,973,842 | ||
Oil & Gas Services — 1.0% | ||
ChampionX Corp.* | 73,787 | 1,491,235 |
Liberty Oilfield Services, Inc., Class A* | 21,009 | 203,788 |
NexTier Oilfield Solutions, Inc.* | 59,884 | 212,588 |
1,907,611 | ||
Pharmaceuticals — 1.7% | ||
Agios Pharmaceuticals, Inc.* | 13,894 | 456,696 |
Alkermes PLC* | 19,364 | 450,407 |
Cytokinetics, Inc.* | 4,790 | 218,328 |
Ironwood Pharmaceuticals, Inc.* | 43,205 | 503,770 |
Option Care Health, Inc.* | 27,593 | 784,745 |
Owens & Minor, Inc. | 24,194 | 1,052,439 |
3,466,385 | ||
Private Equity — 0.2% | ||
P10, Inc., Class A* | 28,921 | 404,316 |
Real Estate — 0.5% | ||
Kennedy-Wilson Holdings, Inc. | 43,340 | 1,034,959 |
Retail — 3.6% | ||
Academy Sports & Outdoors, Inc.* | 8,120 | 356,468 |
Beacon Roofing Supply, Inc.* | 19,775 | 1,134,096 |
BJ's Wholesale Club Holdings, Inc.* | 13,129 | 879,249 |
Number of Shares | Value† | |
Retail — (continued) | ||
Citi Trends, Inc.* | 8,999 | $ 852,655 |
Dillard's, Inc., Class A | 387 | 94,823 |
FirstCash Holdings, Inc. | 7,694 | 575,588 |
Group 1 Automotive, Inc. | 5,823 | 1,136,766 |
Macy's, Inc. | 50,597 | 1,324,630 |
Signet Jewelers Ltd. | 9,875 | 859,421 |
7,213,696 | ||
Savings & Loans — 2.4% | ||
Berkshire Hills Bancorp, Inc. | 10,719 | 304,741 |
Brookline Bancorp, Inc. | 52,439 | 848,988 |
OceanFirst Financial Corp. | 45,057 | 1,000,265 |
Pacific Premier Bancorp, Inc. | 28,945 | 1,158,668 |
Washington Federal, Inc. | 46,375 | 1,547,998 |
4,860,660 | ||
Semiconductors — 2.7% | ||
Cohu, Inc.* | 26,163 | 996,549 |
CTS Corp. | 19,434 | 713,616 |
MACOM Technology Solutions Holdings, Inc.* | 18,061 | 1,414,176 |
Onto Innovation, Inc.* | 17,160 | 1,737,107 |
Semtech Corp.* | 6,196 | 551,010 |
5,412,458 | ||
Software — 1.5% | ||
Allscripts Healthcare Solutions, Inc.* | 55,428 | 1,022,647 |
Bottomline Technologies, Inc.* | 13,845 | 781,827 |
Cerence, Inc.* | 6,293 | 482,295 |
ManTech International Corp., Class A | 8,047 | 586,868 |
2,873,637 | ||
Telecommunications — 2.0% | ||
InterDigital, Inc. | 7,948 | 569,315 |
Iridium Communications, Inc.* | 26,705 | 1,102,650 |
Telephone and Data Systems, Inc. | 48,576 | 978,806 |
Viavi Solutions, Inc.* | 79,470 | 1,400,261 |
4,051,032 | ||
Transportation — 1.4% | ||
ArcBest Corp. | 11,118 | 1,332,492 |
Atlas Air Worldwide Holdings, Inc.* | 2,790 | 262,595 |
Saia, Inc.* | 3,369 | 1,135,454 |
2,730,541 | ||
Water — 0.4% | ||
SJW Group | 10,473 | 766,624 |
TOTAL COMMON STOCKS (Cost $141,427,160) | 172,530,799 | |
REAL ESTATE INVESTMENT TRUSTS — 12.0% | ||
Diversified — 0.8% | ||
DigitalBridge Group, Inc.* | 190,863 | 1,589,889 |
Healthcare — 2.0% | ||
Healthcare Realty Trust, Inc. | 67,007 | 2,120,101 |
National Health Investors, Inc. | 10,538 | 605,619 |
Number of Shares | Value† | |
REAL ESTATE INVESTMENT TRUSTS — (continued) | ||
Healthcare — (continued) | ||
Sabra Health Care REIT, Inc. | 89,289 | $ 1,208,973 |
3,934,693 | ||
Hotels & Resorts — 2.6% | ||
Pebblebrook Hotel Trust | 81,358 | 1,819,978 |
RLJ Lodging Trust | 126,760 | 1,765,767 |
Ryman Hospitality Properties, Inc.* | 17,148 | 1,576,930 |
5,162,675 | ||
Industrial — 1.0% | ||
STAG lndustrial, Inc. | 42,002 | 2,014,416 |
Mortgage Banks — 1.6% | ||
KKR Real Estate Finance Trust, Inc. | 45,396 | 945,599 |
PennyMac Mortgage Investment Trust | 83,131 | 1,440,660 |
TPG RE Finance Trust, Inc. | 7,462 | 91,932 |
Two Harbors Investment Corp. | 130,847 | 754,987 |
3,233,178 | ||
Office Property — 1.4% | ||
Highwoods Properties, Inc. | 27,655 | 1,233,136 |
Hudson Pacific Properties, Inc. | 65,818 | 1,626,363 |
2,859,499 | ||
Storage & Warehousing — 1.3% | ||
Terreno Realty Corp. | 30,210 | 2,576,611 |
Strip Centers — 1.3% | ||
Acadia Realty Trust | 54,592 | 1,191,743 |
SITE Centers Corp. | 87,092 | 1,378,667 |
2,570,410 | ||
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $22,514,719) | 23,941,371 | |
EXCHANGE TRADED FUNDS — 0.4% | ||
Investment Companies — 0.4% | ||
iShares Russell 2000 Value ETF (Cost $775,938) | 4,643 | 770,970 |
SHORT-TERM INVESTMENTS — 1.4% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 0.030%) (Cost $2,720,664) | 2,720,664 | 2,720,664 |
TOTAL INVESTMENTS — 100.4% (Cost $167,438,481) | $ 199,963,804 | |
Other Assets & Liabilities — (0.4)% | (791,190) | |
TOTAL NET ASSETS — 100.0% | $ 199,172,614 |
† | See Security Valuation Note. |
* | Non-income producing security. |
ETF— Exchange-Traded Fund. |
LP— Limited Partnership. |
PLC— Public Limited Company. |
REIT— Real Estate Investment Trust. |
S.E.— Societas Europaea. |
ASSETS TABLE | ||||
Description | Total Market Value at 12/31/2021 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Common Stocks | $172,530,799 | $172,530,799 | $— | $— |
Real Estate Investment Trusts | 23,941,371 | 23,941,371 | — | — |
Exchange Traded Funds | 770,970 | 770,970 | — | — |
Short-Term Investments | 2,720,664 | 2,720,664 | — | — |
Total Investments | $ 199,963,804 | $ 199,963,804 | $ — | $ — |
Number of Shares | Value† | |
COMMON STOCKS — 90.1% | ||
Advertising — 0.1% | ||
Advantage Solutions, Inc.* | 2,600 | $ 20,852 |
Boston Omaha Corp., Class A* | 700 | 20,111 |
Clear Channel Outdoor Holdings, Inc.* | 12,200 | 40,382 |
Fluent, Inc.* | 1,700 | 3,383 |
National CineMedia, Inc. | 1,874 | 5,266 |
Quotient Technology, Inc.* | 2,700 | 20,034 |
Stagwell, Inc.* | 2,400 | 20,808 |
130,836 | ||
Aerospace & Defense — 0.6% | ||
AAR Corp.* | 1,069 | 41,723 |
Aerojet Rocketdyne Holdings, Inc. | 2,440 | 114,095 |
AeroVironment, Inc.* | 718 | 44,538 |
AerSale Corp.* | 400 | 7,096 |
Astronics Corp.* | 795 | 9,540 |
Barnes Group, Inc. | 1,565 | 72,913 |
Ducommun, Inc.* | 300 | 14,031 |
Kaman Corp. | 848 | 36,591 |
Kratos Defense & Security Solutions, Inc.* | 3,922 | 76,087 |
Moog, Inc., Class A | 991 | 80,241 |
National Presto Industries, Inc. | 146 | 11,976 |
Park Aerospace Corp. | 533 | 7,036 |
Triumph Group, Inc.* | 2,200 | 40,766 |
556,633 | ||
Agriculture — 0.3% | ||
22nd Century Group, Inc.* | 5,200 | 16,068 |
AppHarvest, Inc.* | 2,600 | 10,114 |
Cadiz, Inc.* | 800 | 3,088 |
Fresh Del Monte Produce, Inc. | 1,016 | 28,042 |
Limoneira Co. | 600 | 9,000 |
Tejon Ranch Co.* | 525 | 10,017 |
The Andersons, Inc. | 1,132 | 43,820 |
Turning Point Brands, Inc. | 500 | 18,890 |
Universal Corp. | 755 | 41,464 |
Vector Group Ltd. | 4,857 | 55,758 |
Vital Farms, Inc.* | 800 | 14,448 |
250,709 | ||
Airlines — 0.3% | ||
Allegiant Travel Co.* | 490 | 91,650 |
Frontier Group Holdings, Inc.* | 1,200 | 16,284 |
Hawaiian Holdings, Inc.* | 1,626 | 29,870 |
Mesa Air Group, Inc.* | 900 | 5,040 |
SkyWest, Inc.* | 1,681 | 66,063 |
Spirit Airlines, Inc.* | 3,200 | 69,920 |
Sun Country Airlines Holdings, Inc.* | 900 | 24,525 |
303,352 | ||
Apparel — 0.7% | ||
Crocs, Inc.* | 1,900 | 243,618 |
Fossil Group, Inc.* | 1,700 | 17,493 |
Kontoor Brands, Inc. | 1,700 | 87,125 |
Oxford Industries, Inc. | 508 | 51,572 |
PLBY Group, Inc.* | 800 | 21,312 |
Rocky Brands, Inc. | 200 | 7,960 |
Number of Shares | Value† | |
Apparel — (continued) | ||
Steven Madden Ltd. | 2,573 | $ 119,567 |
Superior Group of Cos., Inc. | 400 | 8,776 |
Torrid Holdings, Inc.* | 400 | 3,952 |
Urban Outfitters, Inc.* | 2,200 | 64,592 |
Wolverine World Wide, Inc. | 2,582 | 74,388 |
700,355 | ||
Auto Manufacturers — 0.3% | ||
Arcimoto, Inc.* | 1,000 | 7,780 |
Blue Bird Corp.* | 392 | 6,131 |
Canoo, Inc.* | 3,700 | 28,564 |
Fisker, Inc.* | 5,400 | 84,942 |
Hyliion Holdings Corp.* | 3,900 | 24,180 |
Lordstown Motors Corp., Class A* | 3,700 | 12,765 |
Nikola Corp.* | 7,400 | 73,038 |
REV Group, Inc. | 1,000 | 14,150 |
Wabash National Corp. | 1,600 | 31,232 |
Workhorse Group, Inc.* | 4,000 | 17,440 |
XL Fleet Corp.* | 1,400 | 4,634 |
304,856 | ||
Auto Parts & Equipment — 1.5% | ||
Adient PLC* | 3,100 | 148,428 |
Aeva Technologies, Inc.* | 3,400 | 25,704 |
American Axle & Manufacturing Holdings, Inc.* | 4,016 | 37,469 |
Commercial Vehicle Group, Inc.* | 1,200 | 9,672 |
Cooper-Standard Holdings, Inc.* | 600 | 13,446 |
Dana, Inc. | 4,696 | 107,163 |
Dorman Products, Inc.* | 857 | 96,850 |
Douglas Dynamics, Inc. | 700 | 27,342 |
Fox Factory Holding Corp.* | 1,397 | 237,630 |
Gentherm, Inc.* | 1,068 | 92,809 |
Meritor, Inc.* | 2,145 | 53,153 |
Methode Electronics, Inc. | 1,260 | 61,954 |
Miller Industries, Inc. | 343 | 11,456 |
Modine Manufacturing Co.* | 1,577 | 15,912 |
Motorcar Parts of America, Inc.* | 500 | 8,535 |
Romeo Power, Inc.* | 4,100 | 14,965 |
Standard Motor Products, Inc. | 700 | 36,673 |
Tenneco, Inc., Class A* | 2,300 | 25,990 |
The Goodyear Tire & Rubber Co.* | 9,195 | 196,037 |
The Shyft Group, Inc. | 1,200 | 58,956 |
Titan International, Inc.* | 1,800 | 19,728 |
Velodyne Lidar, Inc.* | 2,400 | 11,136 |
Visteon Corp.* | 900 | 100,026 |
XPEL, Inc.* | 600 | 40,968 |
1,452,002 | ||
Banks — 8.4% | ||
1st Source Corp. | 488 | 24,205 |
Alerus Financial Corp. | 400 | 11,712 |
Allegiance Bancshares, Inc. | 600 | 25,326 |
Amalgamated Financial Corp. | 300 | 5,031 |
American National Bankshares, Inc. | 400 | 15,072 |
Ameris Bancorp | 2,212 | 109,892 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Banks — (continued) | ||
Arrow Financial Corp. | 449 | $ 15,818 |
Associated Banc-Corp. | 4,900 | 110,691 |
Atlantic Capital Bancshares, Inc.* | 800 | 23,016 |
Atlantic Union Bankshares Corp. | 2,507 | 93,486 |
BancFirst Corp. | 620 | 43,747 |
Banco Latinoamericano de Comercio Exterior S.A., Class E | 1,110 | 18,426 |
Bank First Corp. | 200 | 14,448 |
Bank of Marin Bancorp | 480 | 17,870 |
BankUnited, Inc. | 3,000 | 126,930 |
Banner Corp. | 1,100 | 66,737 |
Bar Harbor Bankshares | 597 | 17,271 |
Blue Foundry Bancorp* | 900 | 13,167 |
Blue Ridge Bankshares, Inc. | 700 | 12,530 |
Bridgewater Bancshares Inc.* | 700 | 12,383 |
Bryn Mawr Bank Corp. | 632 | 28,446 |
Business First Bancshares, Inc. | 700 | 19,817 |
Byline Bancorp, Inc. | 700 | 19,145 |
Cadence Bank | 6,183 | 184,192 |
Cambridge Bancorp | 200 | 18,718 |
Camden National Corp. | 539 | 25,958 |
Capital Bancorp, Inc. | 400 | 10,480 |
Capital City Bank Group, Inc. | 469 | 12,382 |
Capstar Financial Holdings, Inc. | 600 | 12,618 |
Carter Bankshares, Inc.* | 800 | 12,312 |
Cathay General Bancorp | 2,450 | 105,325 |
CBTX, Inc. | 500 | 14,500 |
Central Pacific Financial Corp. | 900 | 25,353 |
CIT Group, Inc. | 3,200 | 164,288 |
Citizens & Northern Corp. | 556 | 14,523 |
City Holding Co. | 485 | 39,668 |
Civista Bancshares, Inc. | 400 | 9,760 |
CNB Financial Corp. | 474 | 12,561 |
Coastal Financial Corp.* | 300 | 15,186 |
Columbia Banking System, Inc. | 2,468 | 80,753 |
Community Bank System, Inc. | 1,737 | 129,372 |
Community Trust Bancorp, Inc. | 483 | 21,064 |
ConnectOne Bancorp, Inc. | 1,160 | 37,944 |
CrossFirst Bankshares, Inc.* | 1,500 | 23,415 |
Customers Bancorp, Inc.* | 980 | 64,063 |
CVB Financial Corp. | 4,092 | 87,610 |
Dime Community Bancshares, Inc. | 1,109 | 38,992 |
Eagle Bancorp, Inc. | 1,073 | 62,599 |
Eastern Bankshares, Inc. | 5,500 | 110,935 |
Enterprise Bancorp, Inc. | 313 | 14,060 |
Enterprise Financial Services Corp. | 1,180 | 55,566 |
Equity Bancshares, Inc., Class A | 500 | 16,965 |
Farmers National Banc Corp. | 1,100 | 20,405 |
FB Financial Corp. | 1,086 | 47,589 |
Fidelity D&D Bancorp, Inc. | 100 | 5,900 |
Financial Institutions, Inc. | 440 | 13,992 |
First Bancorp | 1,124 | 51,389 |
First BanCorp | 6,800 | 93,704 |
First Bank | 400 | 5,804 |
First Busey Corp. | 1,713 | 46,457 |
Number of Shares | Value† | |
Banks — (continued) | ||
First Commonwealth Financial Corp. | 3,321 | $ 53,435 |
First Community Bankshares, Inc. | 626 | 20,921 |
First Financial Bancorp | 3,082 | 75,139 |
First Financial Bankshares, Inc. | 4,204 | 213,731 |
First Financial Corp. | 380 | 17,210 |
First Foundation, Inc. | 1,200 | 29,832 |
First Internet Bancorp | 300 | 14,112 |
First Interstate BancSystem, Inc., Class A | 1,387 | 56,409 |
First Merchants Corp. | 1,730 | 72,470 |
First Mid Bancshares, Inc. | 500 | 21,395 |
First Midwest Bancorp, Inc. | 3,614 | 74,015 |
Five Star Bancorp | 200 | 6,000 |
Flagstar Bancorp, Inc. | 1,700 | 81,498 |
Fulton Financial Corp. | 5,103 | 86,751 |
German American Bancorp, Inc. | 738 | 28,767 |
Glacier Bancorp, Inc. | 3,599 | 204,063 |
Great Southern Bancorp, Inc. | 371 | 21,982 |
Great Western Bancorp, Inc. | 1,900 | 64,524 |
Guaranty Bancshares, Inc. | 330 | 12,401 |
Hancock Whitney Corp. | 2,778 | 138,956 |
Hanmi Financial Corp. | 913 | 21,620 |
HarborOne Bancorp, Inc. | 1,577 | 23,403 |
Hawthorn Bancshares, Inc. | 116 | 2,996 |
HBT Financial, Inc. | 400 | 7,492 |
Heartland Financial USA, Inc. | 1,317 | 66,653 |
Heritage Commerce Corp. | 1,900 | 22,686 |
Heritage Financial Corp. | 1,030 | 25,173 |
Hilltop Holdings, Inc. | 2,142 | 75,270 |
Home BancShares, Inc. | 4,935 | 120,167 |
HomeStreet, Inc. | 600 | 31,200 |
Hope Bancorp, Inc. | 3,767 | 55,413 |
Horizon Bancorp, Inc. | 1,350 | 28,147 |
Howard Bancorp, Inc.* | 500 | 10,895 |
Independent Bank Corp. | 1,460 | 119,034 |
Independent Bank Corp. | 800 | 19,096 |
Independent Bank Group, Inc. | 1,250 | 90,187 |
International Bancshares Corp. | 1,825 | 77,362 |
Kearny Financial Corp. | 2,245 | 29,746 |
Lakeland Bancorp, Inc. | 1,711 | 32,492 |
Lakeland Financial Corp. | 791 | 63,391 |
Live Oak Bancshares, Inc. | 1,000 | 87,290 |
Luther Burbank Corp. | 800 | 11,232 |
Macatawa Bank Corp. | 800 | 7,056 |
Mercantile Bank Corp. | 500 | 17,515 |
Merchants Bancorp | 400 | 18,932 |
Meta Financial Group, Inc. | 1,000 | 59,660 |
Metrocity Bankshares, Inc. | 600 | 16,518 |
Metropolitan Bank Holding Corp.* | 300 | 31,959 |
Mid Penn Bancorp, Inc. | 400 | 12,696 |
Midland States Bancorp, Inc. | 700 | 17,353 |
MidWestOne Financial Group, Inc. | 400 | 12,948 |
MVB Financial Corp. | 400 | 16,608 |
National Bank Holdings Corp., Class A | 900 | 39,546 |
NBT Bancorp, Inc. | 1,469 | 56,586 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Banks — (continued) | ||
Nicolet Bankshares, Inc.* | 400 | $ 34,300 |
Northrim BanCorp, Inc. | 200 | 8,692 |
OFG Bancorp | 1,610 | 42,762 |
Old National Bancorp | 5,261 | 95,329 |
Old Second Bancorp, Inc. | 800 | 10,072 |
Origin Bancorp, Inc. | 800 | 34,336 |
Orrstown Financial Services, Inc. | 400 | 10,080 |
Park National Corp. | 486 | 66,733 |
PCSB Financial Corp. | 500 | 9,520 |
Peapack-Gladstone Financial Corp. | 636 | 22,514 |
Peoples Bancorp, Inc. | 891 | 28,343 |
Peoples Financial Services Corp. | 200 | 10,538 |
Pioneer Bancorp, Inc.* | 500 | 5,660 |
Preferred Bank | 500 | 35,895 |
Premier Financial Corp. | 1,131 | 34,959 |
Primis Financial Corp. | 600 | 9,024 |
Provident Bancorp, Inc. | 404 | 7,514 |
QCR Holdings, Inc. | 500 | 28,000 |
RBB Bancorp | 600 | 15,720 |
Red River Bancshares, Inc. | 200 | 10,700 |
Reliant Bancorp, Inc. | 400 | 14,200 |
Renasant Corp. | 1,735 | 65,843 |
Republic Bancorp, Inc., Class A | 287 | 14,591 |
Republic First Bancorp, Inc.* | 1,700 | 6,324 |
S&T Bancorp, Inc. | 1,181 | 37,225 |
Sandy Spring Bancorp, Inc. | 1,550 | 74,524 |
Seacoast Banking Corp of Florida | 1,740 | 61,579 |
ServisFirst Bancshares, Inc. | 1,600 | 135,904 |
Sierra Bancorp | 412 | 11,186 |
Silvergate Capital Corp., Class A* | 900 | 133,380 |
Simmons First National Corp., Class A | 3,496 | 103,412 |
SmartFinancial, Inc. | 400 | 10,944 |
South Plains Financial, Inc. | 400 | 11,124 |
Southern First Bancshares, Inc.* | 200 | 12,498 |
Southside Bancshares, Inc. | 971 | 40,607 |
SouthState Corp. | 2,311 | 185,134 |
Spirit of Texas Bancshares, Inc. | 400 | 11,512 |
Stock Yards Bancorp, Inc. | 767 | 48,996 |
Summit Financial Group, Inc. | 400 | 10,980 |
Texas Capital Bancshares, Inc.* | 1,700 | 102,425 |
The Bancorp, Inc.* | 1,812 | 45,862 |
The Bank of NT Butterfield & Son Ltd. | 1,600 | 60,976 |
The First Bancorp, Inc. | 234 | 7,348 |
The First Bancshares, Inc. | 700 | 27,034 |
The First of Long Island Corp. | 689 | 14,876 |
Tompkins Financial Corp. | 458 | 38,280 |
Towne Bank | 2,277 | 71,930 |
TriCo Bancshares | 998 | 42,874 |
TriState Capital Holdings, Inc.* | 1,000 | 30,260 |
Triumph Bancorp, Inc.* | 800 | 95,264 |
TrustCo Bank Corp. | 650 | 21,652 |
Trustmark Corp. | 2,030 | 65,894 |
UMB Financial Corp. | 1,381 | 146,538 |
United Bankshares, Inc. | 4,360 | 158,181 |
United Community Banks, Inc. | 2,778 | 99,841 |
Number of Shares | Value† | |
Banks — (continued) | ||
Univest Financial Corp. | 987 | $ 29,531 |
Valley National Bancorp | 12,983 | 178,516 |
Veritex Holdings, Inc. | 1,553 | 61,778 |
Walker & Dunlop, Inc. | 972 | 146,655 |
Washington Trust Bancorp, Inc. | 570 | 32,131 |
WesBanco, Inc. | 2,130 | 74,529 |
West BanCorp, Inc. | 478 | 14,851 |
Westamerica BanCorp | 873 | 50,398 |
8,301,779 | ||
Beverages — 0.4% | ||
Celsius Holdings, Inc.* | 1,800 | 134,226 |
Coca-Cola Consolidated, Inc. | 153 | 94,736 |
MGP Ingredients, Inc. | 500 | 42,495 |
National Beverage Corp. | 784 | 35,539 |
NewAge, Inc.* | 2,800 | 2,884 |
Primo Water Corp. | 5,100 | 89,913 |
The Duckhorn Portfolio, Inc.* | 1,200 | 28,008 |
Zevia PBC, Class A* | 300 | 2,115 |
429,916 | ||
Biotechnology — 7.3% | ||
2seventy bio, Inc.* | 733 | 18,787 |
4D Molecular Therapeutics, Inc.* | 700 | 15,358 |
89bio, Inc.* | 400 | 5,228 |
9 Meters Biopharma, Inc.* | 8,200 | 8,025 |
Absci Corp.* | 400 | 3,280 |
ACADIA Pharmaceuticals, Inc.* | 3,900 | 91,026 |
Acumen Pharmaceuticals, Inc.* | 300 | 2,028 |
Adagio Therapeutics, Inc.* | 700 | 5,082 |
Adicet Bio, Inc.* | 900 | 15,741 |
Adverum Biotechnologies, Inc.* | 2,600 | 4,576 |
Aerovate Therapeutics, Inc.* | 300 | 3,537 |
Affimed N.V.* | 3,800 | 20,976 |
Agenus, Inc.* | 6,600 | 21,252 |
Akero Therapeutics, Inc.* | 900 | 19,035 |
Akouos, Inc.* | 900 | 7,650 |
Akoya Biosciences, Inc.* | 300 | 4,593 |
Albireo Pharma, Inc.* | 500 | 11,645 |
Aldeyra Therapeutics, Inc.* | 1,700 | 6,800 |
Aligos Therapeutics, Inc.* | 700 | 8,309 |
Allakos, Inc.* | 1,111 | 10,877 |
Allogene Therapeutics, Inc.* | 2,200 | 32,824 |
Allovir, Inc.* | 1,000 | 12,940 |
Alpha Teknova, Inc.* | 200 | 4,096 |
Alpine Immune Sciences, Inc.* | 600 | 8,310 |
Altimmune, Inc.* | 1,100 | 10,076 |
ALX Oncology Holdings, Inc.* | 600 | 12,894 |
Amicus Therapeutics, Inc.* | 8,500 | 98,175 |
AnaptysBio, Inc.* | 600 | 20,850 |
Anavex Life Sciences Corp.* | 2,100 | 36,414 |
Angion Biomedica Corp.* | 700 | 2,030 |
ANI Pharmaceuticals, Inc.* | 300 | 13,824 |
Annexon, Inc.* | 900 | 10,341 |
Apellis Pharmaceuticals, Inc.* | 2,400 | 113,472 |
Applied Molecular Transport, Inc.* | 700 | 9,786 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Biotechnology — (continued) | ||
Applied Therapeutics, Inc.* | 500 | $ 4,475 |
Arbutus Biopharma Corp.* | 3,100 | 12,059 |
Arcturus Therapeutics Holdings, Inc.* | 700 | 25,907 |
Arcus Biosciences, Inc.* | 1,500 | 60,705 |
Arcutis Biotherapeutics, Inc.* | 900 | 18,666 |
Ardelyx, Inc.* | 2,200 | 2,420 |
Arena Pharmaceuticals, Inc.* | 2,050 | 190,527 |
Arrowhead Pharmaceuticals, Inc.* | 3,300 | 218,790 |
Atara Biotherapeutics, Inc.* | 2,928 | 46,145 |
Atea Pharmaceuticals, Inc.* | 2,100 | 18,774 |
Athersys, Inc.* | 5,000 | 4,513 |
Athira Pharma, Inc.* | 1,200 | 15,636 |
Atossa Therapeutics, Inc.* | 4,000 | 6,400 |
Atreca, Inc., Class A* | 1,000 | 3,030 |
Avalo Therapeutics, Inc.* | 1,000 | 1,700 |
Avid Bioservices, Inc.* | 2,100 | 61,278 |
Avidity Biosciences, Inc.* | 1,300 | 30,901 |
Avrobio, Inc.* | 1,100 | 4,235 |
Axsome Therapeutics, Inc.* | 900 | 34,002 |
Beam Therapeutics, Inc.* | 1,600 | 127,504 |
Berkeley Lights, Inc.* | 1,600 | 29,088 |
BioAtla, Inc.* | 400 | 7,852 |
BioCryst Pharmaceuticals, Inc.* | 5,700 | 78,945 |
Biodesix, Inc.* | 500 | 2,645 |
Biohaven Pharmaceutical Holding Co., Ltd.* | 1,800 | 248,058 |
Biomea Fusion, Inc.* | 400 | 2,980 |
Black Diamond Therapeutics, Inc.* | 582 | 3,102 |
Bluebird Bio, Inc.* | 2,200 | 21,978 |
Blueprint Medicines Corp.* | 1,900 | 203,509 |
Bolt Biotherapeutics, Inc.* | 900 | 4,410 |
Bridgebio Pharma, Inc.* | 3,455 | 57,629 |
Brooklyn ImmunoTherapeutics, Inc.* | 900 | 3,753 |
C4 Therapeutics, Inc.* | 1,300 | 41,860 |
Cara Therapeutics, Inc.* | 1,500 | 18,270 |
Cardiff Oncology, Inc.* | 1,400 | 8,414 |
Caribou Biosciences, Inc.* | 600 | 9,054 |
Cassava Sciences, Inc.* | 1,200 | 52,440 |
Celldex Therapeutics, Inc.* | 1,500 | 57,960 |
CEL-SCI Corp.* | 1,100 | 7,810 |
Century Therapeutics, Inc.* | 400 | 6,344 |
Cerevel Therapeutics Holdings, Inc.* | 1,300 | 42,146 |
ChemoCentryx, Inc.* | 1,695 | 61,715 |
Chinook Therapeutics, Inc.* | 1,160 | 18,920 |
ChromaDex Corp.* | 1,400 | 5,236 |
Clene, Inc.* | 900 | 3,690 |
Codiak Biosciences, Inc.* | 300 | 3,342 |
Cogent Biosciences, Inc.* | 1,400 | 12,012 |
Cortexyme, Inc.* | 700 | 8,834 |
Crinetics Pharmaceuticals, Inc.* | 1,400 | 39,774 |
Cue Biopharma, Inc.* | 1,000 | 11,310 |
Cullinan Oncology, Inc.* | 800 | 12,344 |
Curis, Inc.* | 3,000 | 14,280 |
Cymabay Therapeutics, Inc.* | 2,100 | 7,098 |
Cyteir Therapeutics, Inc.* | 300 | 3,411 |
Number of Shares | Value† | |
Biotechnology — (continued) | ||
Cytek Biosciences, Inc.* | 500 | $ 8,160 |
CytomX Therapeutics, Inc.* | 2,400 | 10,392 |
Day One Biopharmaceuticals, Inc.* | 400 | 6,740 |
Deciphera Pharmaceuticals, Inc.* | 1,200 | 11,724 |
Denali Therapeutics, Inc.* | 3,000 | 133,800 |
Design Therapeutics, Inc.* | 500 | 10,705 |
DICE Therapeutics, Inc.* | 500 | 12,655 |
Dynavax Technologies Corp.* | 3,320 | 46,712 |
Dyne Therapeutics, Inc.* | 1,000 | 11,890 |
Edgewise Therapeutics, Inc.* | 1,300 | 19,864 |
Editas Medicine, Inc.* | 2,200 | 58,410 |
Eiger BioPharmaceuticals, Inc.* | 900 | 4,671 |
Eliem Therapeutics, Inc.* | 200 | 2,092 |
Emergent BioSolutions, Inc.* | 1,558 | 67,726 |
Epizyme, Inc.* | 2,700 | 6,750 |
Erasca, Inc.* | 700 | 10,906 |
Esperion Therapeutics, Inc.* | 700 | 3,500 |
Evelo Biosciences, Inc.* | 700 | 4,249 |
Evolus, Inc.* | 1,200 | 7,812 |
Exagen, Inc.* | 500 | 5,815 |
EyePoint Pharmaceuticals, Inc.* | 900 | 11,016 |
Fate Therapeutics, Inc.* | 2,700 | 157,977 |
FibroGen, Inc.* | 2,900 | 40,890 |
Finch Therapeutics Group, Inc.* | 400 | 3,988 |
Forma Therapeutics Holdings, Inc.* | 1,000 | 14,220 |
Forte Biosciences, Inc.* | 400 | 856 |
Frequency Therapeutics, Inc.* | 800 | 4,104 |
Gemini Therapeutics, Inc.* | 1,000 | 2,910 |
Generation Bio Co.* | 1,300 | 9,204 |
Geron Corp.* | 9,240 | 11,273 |
Global Blood Therapeutics, Inc.* | 2,000 | 58,540 |
Gossamer Bio, Inc.* | 1,800 | 20,358 |
Graphite Bio, Inc.* | 500 | 6,215 |
Greenwich Lifesciences, Inc.* | 200 | 4,866 |
GT Biopharma, Inc.* | 900 | 2,745 |
Halozyme Therapeutics, Inc.* | 4,589 | 184,524 |
Harvard Bioscience, Inc.* | 1,700 | 11,985 |
Homology Medicines, Inc.* | 1,200 | 4,368 |
Humanigen, Inc.* | 1,500 | 5,580 |
iBio, Inc.* | 5,300 | 2,910 |
Icosavax, Inc.* | 400 | 9,152 |
IGM Biosciences, Inc.* | 300 | 8,799 |
Ikena Oncology, Inc.* | 900 | 11,286 |
Imago Biosciences, Inc.* | 300 | 7,113 |
Immunic, Inc.* | 700 | 6,699 |
ImmunityBio, Inc.* | 2,300 | 13,984 |
ImmunoGen, Inc.* | 6,563 | 48,697 |
Immunovant, Inc.* | 1,100 | 9,372 |
Infinity Pharmaceuticals, Inc.* | 3,400 | 7,650 |
Inhibrx, Inc.* | 1,000 | 43,670 |
Innoviva, Inc.* | 1,400 | 24,150 |
Inovio Pharmaceuticals, Inc.* | 6,800 | 33,932 |
Inozyme Pharma, Inc.* | 300 | 2,046 |
Insmed, Inc.* | 3,800 | 103,512 |
Instil Bio, Inc.* | 1,800 | 30,798 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Biotechnology — (continued) | ||
Intercept Pharmaceuticals, Inc.* | 726 | $ 11,827 |
Intra-Cellular Therapies, Inc.* | 2,300 | 120,382 |
iTeos Therapeutics, Inc.* | 700 | 32,592 |
IVERIC bio, Inc.* | 3,484 | 58,252 |
Janux Therapeutics, Inc.* | 400 | 7,892 |
Kaleido Biosciences, Inc.* | 600 | 1,434 |
Karuna Therapeutics, Inc.* | 700 | 91,700 |
Karyopharm Therapeutics, Inc.* | 1,900 | 12,217 |
KemPharm, Inc.* | 1,000 | 8,710 |
Keros Therapeutics, Inc.* | 600 | 35,106 |
Kezar Life Sciences, Inc.* | 1,100 | 18,392 |
Kiniksa Pharmaceuticals Ltd., Class A* | 1,000 | 11,770 |
Kinnate Biopharma, Inc.* | 800 | 14,176 |
Kodiak Sciences, Inc.* | 1,100 | 93,258 |
Kronos Bio, Inc.* | 1,300 | 17,667 |
Krystal Biotech, Inc.* | 600 | 41,970 |
Kymera Therapeutics, Inc.* | 1,100 | 69,839 |
Lexicon Pharmaceuticals, Inc.* | 2,560 | 10,086 |
Ligand Pharmaceuticals, Inc.* | 506 | 78,157 |
Lineage Cell Therapeutics, Inc.* | 4,500 | 11,025 |
MacroGenics, Inc.* | 1,900 | 30,495 |
Magenta Therapeutics, Inc.* | 600 | 2,658 |
MaxCyte, Inc.* | 3,100 | 31,589 |
MEI Pharma, Inc.* | 3,800 | 10,146 |
MeiraGTx Holdings PLC* | 1,100 | 26,114 |
Mersana Therapeutics, Inc.* | 2,300 | 14,306 |
Mind Medicine MindMed, Inc.* | 10,800 | 14,904 |
Molecular Templates, Inc.* | 800 | 3,136 |
Monte Rosa Therapeutics, Inc.* | 400 | 8,168 |
Mustang Bio, Inc.* | 1,500 | 2,490 |
Myriad Genetics, Inc.* | 2,500 | 69,000 |
NeoGenomics, Inc.* | 3,700 | 126,244 |
NGM Biopharmaceuticals, Inc.* | 1,200 | 21,252 |
Nkarta, Inc.* | 600 | 9,210 |
Nurix Therapeutics, Inc.* | 1,000 | 28,950 |
Nuvalent, Inc., Class A* | 300 | 5,712 |
Nuvation Bio, Inc.* | 5,200 | 44,200 |
Olema Pharmaceuticals, Inc.* | 800 | 7,488 |
Omega Therapeutics, Inc.* | 200 | 2,266 |
Omeros Corp.* | 1,800 | 11,574 |
Oncocyte Corp.* | 1,800 | 3,906 |
Oncorus, Inc.* | 800 | 4,216 |
Oncternal Therapeutics, Inc.* | 1,800 | 4,086 |
Organogenesis Holdings, Inc.* | 1,300 | 12,012 |
Oyster Point Pharma, Inc.* | 200 | 3,652 |
Phathom Pharmaceuticals, Inc.* | 700 | 13,769 |
Pliant Therapeutics, Inc.* | 800 | 10,800 |
Poseida Therapeutics, Inc.* | 1,400 | 9,534 |
Praxis Precision Medicines, Inc.* | 900 | 17,730 |
Precigen, Inc.* | 3,300 | 12,243 |
Precision BioSciences, Inc.* | 1,900 | 14,060 |
Prelude Therapeutics, Inc.* | 300 | 3,735 |
Prothena Corp. PLC* | 1,100 | 54,340 |
Provention Bio, Inc.* | 1,500 | 8,430 |
PTC Therapeutics, Inc.* | 2,200 | 87,626 |
Number of Shares | Value† | |
Biotechnology — (continued) | ||
Puma Biotechnology, Inc.* | 900 | $ 2,736 |
Radius Health, Inc.* | 1,400 | 9,688 |
Rain Therapeutics, Inc.* | 400 | 5,152 |
Rallybio Corp.* | 400 | 3,816 |
RAPT Therapeutics, Inc.* | 600 | 22,038 |
Recursion Pharmaceuticals, Inc., Class A* | 3,700 | 63,381 |
REGENXBIO, Inc.* | 1,300 | 42,510 |
Relay Therapeutics, Inc.* | 2,300 | 70,633 |
Replimune Group, Inc.* | 1,000 | 27,100 |
REVOLUTION Medicines, Inc.* | 1,900 | 47,823 |
Rigel Pharmaceuticals, Inc.* | 6,290 | 16,669 |
Rocket Pharmaceuticals, Inc.* | 1,400 | 30,562 |
Rubius Therapeutics, Inc.* | 1,300 | 12,584 |
Sana Biotechnology, Inc.* | 2,800 | 43,344 |
Sangamo Therapeutics, Inc.* | 4,103 | 30,773 |
Scholar Rock Holding Corp.* | 900 | 22,356 |
Seelos Therapeutics, Inc.* | 3,100 | 5,053 |
Seer, Inc.* | 1,300 | 29,653 |
Selecta Biosciences, Inc.* | 3,900 | 12,714 |
Sensei Biotherapeutics, Inc.* | 700 | 4,060 |
Sesen Bio, Inc.* | 5,900 | 4,809 |
Shattuck Labs, Inc.* | 900 | 7,659 |
Silverback Therapeutics, Inc.* | 400 | 2,664 |
Singular Genomics Systems, Inc.* | 400 | 4,624 |
Solid Biosciences, Inc.* | 400 | 700 |
Sorrento Therapeutics, Inc.* | 8,700 | 40,455 |
Springworks Therapeutics, Inc.* | 1,000 | 61,980 |
SQZ Biotechnologies Co.* | 900 | 8,037 |
Stoke Therapeutics, Inc.* | 700 | 16,793 |
Surface Oncology, Inc.* | 1,300 | 6,214 |
Sutro Biopharma, Inc.* | 1,434 | 21,338 |
Syndax Pharmaceuticals, Inc.* | 1,500 | 32,835 |
Talaris Therapeutics, Inc.* | 300 | 4,587 |
Tarsus Pharmaceuticals, Inc.* | 200 | 4,500 |
Taysha Gene Therapies, Inc.* | 800 | 9,320 |
TCR2 Therapeutics, Inc.* | 800 | 3,728 |
Tenaya Therapeutics, Inc.* | 400 | 7,580 |
Terns Pharmaceuticals, Inc.* | 400 | 2,828 |
TG Therapeutics, Inc.* | 4,100 | 77,900 |
Theravance Biopharma, Inc.* | 2,200 | 24,310 |
TransMedics Group, Inc.* | 900 | 17,244 |
Travere Therapeutics, Inc.* | 1,800 | 55,872 |
Turning Point Therapeutics, Inc.* | 1,466 | 69,928 |
Twist Bioscience Corp.* | 1,524 | 117,942 |
UroGen Pharma Ltd.* | 700 | 6,657 |
Vaxart, Inc.* | 4,000 | 25,080 |
VBI Vaccines, Inc.* | 6,200 | 14,508 |
Vera Therapeutics, Inc.* | 200 | 5,344 |
Veracyte, Inc.* | 2,200 | 90,640 |
Verastem, Inc.* | 6,200 | 12,710 |
Vericel Corp.* | 1,500 | 58,950 |
Veru, Inc.* | 2,500 | 14,725 |
Verve Therapeutics, Inc.* | 500 | 18,435 |
Viking Therapeutics, Inc.* | 1,700 | 7,820 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Biotechnology — (continued) | ||
Vincerx Pharma, Inc.* | 400 | $ 4,076 |
Vir Biotechnology, Inc.* | 2,000 | 83,740 |
Viracta Therapeutics, Inc.* | 1,300 | 4,745 |
VistaGen Therapeutics, Inc.* | 6,800 | 13,260 |
Vor BioPharma, Inc.* | 400 | 4,648 |
WaVe Life Sciences Ltd.* | 700 | 2,198 |
Werewolf Therapeutics, Inc.* | 900 | 10,719 |
XBiotech, Inc. | 467 | 5,198 |
Xencor, Inc.* | 1,900 | 76,228 |
XOMA Corp.* | 200 | 4,170 |
Y-mAbs Therapeutics, Inc.* | 1,200 | 19,452 |
Zentalis Pharmaceuticals, Inc.* | 1,200 | 100,872 |
ZIOPHARM Oncology, Inc.* | 5,927 | 6,460 |
7,205,299 | ||
Building Materials — 1.4% | ||
AAON, Inc. | 1,385 | 110,011 |
American Woodmark Corp.* | 569 | 37,099 |
Apogee Enterprises, Inc. | 843 | 40,590 |
Boise Cascade Co. | 1,300 | 92,560 |
Caesarstone Ltd. | 600 | 6,804 |
Cornerstone Building Brands, Inc.* | 1,664 | 29,020 |
Forterra, Inc.* | 1,000 | 23,780 |
Gibraltar Industries, Inc.* | 1,101 | 73,415 |
Griffon Corp. | 1,656 | 47,163 |
JELD-WEN Holding, Inc.* | 2,700 | 71,172 |
Masonite International Corp.* | 800 | 94,360 |
Patrick Industries, Inc. | 775 | 62,535 |
PGT Innovations, Inc.* | 2,000 | 44,980 |
Simpson Manufacturing Co., Inc. | 1,443 | 200,678 |
SPX Corp.* | 1,400 | 83,552 |
Summit Materials, Inc., Class A* | 3,905 | 156,747 |
UFP Industries, Inc. | 1,949 | 179,327 |
View, Inc.* | 2,900 | 11,339 |
1,365,132 | ||
Chemicals — 1.8% | ||
AdvanSix, Inc. | 900 | 42,525 |
American Vanguard Corp. | 878 | 14,390 |
Amyris, Inc.* | 5,400 | 29,214 |
Balchem Corp. | 1,041 | 175,513 |
Cabot Corp. | 1,800 | 101,160 |
Codexis, Inc.* | 2,000 | 62,540 |
Danimer Scientific, Inc.* | 2,300 | 19,596 |
Ecovyst, Inc. | 1,800 | 18,432 |
Ferro Corp.* | 2,638 | 57,588 |
GCP Applied Technologies, Inc.* | 1,700 | 53,822 |
H.B. Fuller Co. | 1,680 | 136,080 |
Hawkins, Inc. | 698 | 27,536 |
Ingevity Corp.* | 1,300 | 93,210 |
Innospec, Inc. | 800 | 72,272 |
Intrepid Potash, Inc.* | 370 | 15,810 |
Koppers Holdings, Inc.* | 620 | 19,406 |
Kraton Corp.* | 1,041 | 48,219 |
Kronos Worldwide, Inc. | 900 | 13,509 |
Marrone Bio Innovations, Inc.* | 2,700 | 1,945 |
Number of Shares | Value† | |
Chemicals — (continued) | ||
Minerals Technologies, Inc. | 1,128 | $ 82,513 |
Oil-Dri Corp of America | 197 | 6,448 |
Orion Engineered Carbons S.A.* | 1,800 | 33,048 |
Quaker Chemical Corp. | 436 | 100,620 |
Rayonier Advanced Materials, Inc.* | 1,900 | 10,849 |
Rogers Corp.* | 617 | 168,441 |
Sensient Technologies Corp. | 1,358 | 135,881 |
Stepan Co. | 680 | 84,517 |
Trinseo PLC | 1,300 | 68,198 |
Tronox Holdings PLC, Class A | 3,900 | 93,717 |
Unifi, Inc.* | 460 | 10,649 |
Zymergen, Inc.* | 2,600 | 17,394 |
1,815,042 | ||
Coal — 0.2% | ||
Arch Resources, Inc. | 500 | 45,660 |
CONSOL Energy, Inc.* | 1,000 | 22,710 |
Peabody Energy Corp.* | 2,800 | 28,196 |
SunCoke Energy, Inc. | 2,541 | 16,745 |
Warrior Met Coal, Inc. | 1,700 | 43,707 |
157,018 | ||
Commercial Services — 4.7% | ||
2U, Inc.* | 2,300 | 46,161 |
ABM Industries, Inc. | 2,139 | 87,378 |
Acacia Research Corp.* | 1,180 | 6,053 |
Adtalem Global Education, Inc.* | 1,600 | 47,296 |
Alarm.com Holdings, Inc.* | 1,500 | 127,215 |
Alta Equipment Group, Inc.* | 700 | 10,248 |
American Public Education, Inc.* | 655 | 14,574 |
AMN Healthcare Services, Inc.* | 1,509 | 184,596 |
API Group Corp.* | 6,400 | 164,928 |
Arlo Technologies, Inc.* | 2,433 | 25,522 |
ASGN, Inc.* | 1,652 | 203,857 |
Avis Budget Group, Inc.* | 1,300 | 269,581 |
Barrett Business Services, Inc. | 242 | 16,713 |
BrightView Holdings, Inc.* | 1,315 | 18,515 |
Carriage Services, Inc. | 500 | 32,220 |
Cass Information Systems, Inc. | 498 | 19,581 |
CBIZ, Inc.* | 1,640 | 64,157 |
Cimpress PLC* | 529 | 37,882 |
CoreCivic, Inc.* | 4,200 | 41,874 |
CorVel Corp.* | 299 | 62,192 |
Coursera, Inc.* | 2,400 | 58,656 |
CRA International, Inc. | 274 | 25,581 |
Cross Country Healthcare, Inc.* | 1,084 | 30,092 |
Custom Truck One Source, Inc.* | 1,500 | 12,000 |
Deluxe Corp. | 1,307 | 41,968 |
Emerald Holding, Inc.* | 700 | 2,779 |
Ennis, Inc. | 858 | 16,757 |
European Wax Center, Inc., Class A* | 300 | 9,105 |
EVERTEC, Inc. | 1,939 | 96,911 |
Evo Payments, Inc., Class A* | 1,500 | 38,400 |
First Advantage Corp.* | 1,600 | 30,464 |
Forrester Research, Inc.* | 375 | 22,024 |
Franklin Covey Co.* | 497 | 23,041 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Commercial Services — (continued) | ||
Graham Holdings Co., Class B | 122 | $ 76,839 |
Green Dot Corp., Class A* | 1,727 | 62,587 |
GreenSky, Inc., Class A* | 2,300 | 26,128 |
HealthEquity, Inc.* | 2,700 | 119,448 |
Heidrick & Struggles International, Inc. | 569 | 24,882 |
Herc Holdings, Inc. | 800 | 125,240 |
Huron Consulting Group, Inc.* | 728 | 36,327 |
ICF International, Inc. | 648 | 66,452 |
Insperity, Inc. | 1,173 | 138,543 |
John Wiley & Sons, Inc., Class A | 1,400 | 80,178 |
Kelly Services, Inc., Class A | 1,014 | 17,005 |
Kforce, Inc. | 686 | 51,601 |
Korn Ferry | 1,790 | 135,557 |
Laureate Education, Inc., Class A | 3,300 | 40,392 |
LiveRamp Holdings, Inc.* | 2,167 | 103,908 |
Marathon Digital Holdings, Inc.* | 3,100 | 101,866 |
Medifast, Inc. | 376 | 78,746 |
MoneyGram International, Inc.* | 3,000 | 23,670 |
Monro, Inc. | 1,037 | 60,426 |
Multiplan Corp.* | 12,400 | 54,932 |
National Research Corp. | 387 | 16,068 |
Paya Holdings, Inc.* | 2,800 | 17,752 |
Perdoceo Education Corp.* | 2,300 | 27,048 |
PROG Holdings, Inc.* | 2,167 | 97,753 |
Progyny, Inc.* | 2,100 | 105,735 |
R1 RCM, Inc.* | 3,800 | 96,862 |
Remitly Global, Inc.* | 400 | 8,248 |
Rent-A-Center, Inc. | 2,153 | 103,430 |
Repay Holdings Corp.* | 2,700 | 49,329 |
Resources Connection, Inc. | 922 | 16,448 |
Riot Blockchain, Inc.* | 2,700 | 60,291 |
RR Donnelley & Sons Co.* | 2,600 | 29,276 |
ShotSpotter, Inc.* | 300 | 8,856 |
SP Plus Corp.* | 693 | 19,556 |
Strategic Education, Inc. | 859 | 49,685 |
Stride, Inc.* | 1,252 | 41,729 |
Team, Inc.* | 983 | 1,071 |
Textainer Group Holdings Ltd. | 1,512 | 53,994 |
The Aaron's Co., Inc. | 1,100 | 27,115 |
The Brink's Co. | 1,610 | 105,568 |
The Hackett Group, Inc. | 716 | 14,699 |
Transcat, Inc.* | 200 | 18,486 |
TriNet Group, Inc.* | 1,300 | 123,838 |
Triton International Ltd. | 2,193 | 132,084 |
TrueBlue, Inc.* | 1,076 | 29,773 |
Vectrus, Inc.* | 400 | 18,308 |
Viad Corp.* | 671 | 28,712 |
Vivint Smart Home, Inc.* | 3,100 | 30,318 |
Willdan Group, Inc.* | 300 | 10,560 |
WW International, Inc.* | 1,700 | 27,421 |
4,683,061 | ||
Computers — 2.2% | ||
3D Systems Corp.* | 3,900 | 84,006 |
Cantaloupe, Inc.* | 2,000 | 17,760 |
Number of Shares | Value† | |
Computers — (continued) | ||
Conduent, Inc.* | 5,800 | $ 30,972 |
Corsair Gaming, Inc.* | 1,000 | 21,010 |
Desktop Metal, Inc., Class A* | 6,184 | 30,611 |
Diebold Nixdorf, Inc.* | 2,500 | 22,625 |
ExlService Holdings, Inc.* | 1,100 | 159,247 |
Grid Dynamics Holdings, Inc.* | 1,400 | 53,158 |
iCAD, Inc.* | 500 | 3,600 |
Insight Enterprises, Inc.* | 1,143 | 121,844 |
Integral Ad Science Holding Corp.* | 500 | 11,105 |
KBR, Inc. | 4,600 | 219,052 |
Maximus, Inc. | 1,981 | 157,826 |
Mitek Systems, Inc.* | 1,500 | 26,625 |
NetScout Systems, Inc.* | 2,365 | 78,234 |
OneSpan, Inc.* | 1,128 | 19,097 |
PAE, Inc.* | 2,100 | 20,853 |
PAR Technology Corp.* | 800 | 42,216 |
Parsons Corp.* | 800 | 26,920 |
Ping Identity Holding Corp.* | 2,000 | 45,760 |
PlayAGS, Inc.* | 800 | 5,432 |
Qualys, Inc.* | 1,100 | 150,942 |
Quantum Corp.* | 1,300 | 7,176 |
Rapid7, Inc.* | 1,800 | 211,842 |
Rekor Systems, Inc.* | 1,200 | 7,860 |
Rimini Street, Inc.* | 1,800 | 10,746 |
SecureWorks Corp., Class A* | 500 | 7,985 |
StarTek, Inc.* | 700 | 3,654 |
Sterling Check Corp.* | 500 | 10,255 |
Super Micro Computer, Inc.* | 1,400 | 61,530 |
Telos Corp.* | 1,300 | 20,046 |
Tenable Holdings, Inc.* | 3,000 | 165,210 |
TTEC Holdings, Inc. | 607 | 54,964 |
Unisys Corp.* | 2,324 | 47,805 |
Varonis Systems, Inc.* | 3,420 | 166,827 |
Vocera Communications, Inc.* | 1,100 | 71,324 |
Vuzix Corp.* | 2,000 | 17,340 |
2,213,459 | ||
Cosmetics & Personal Care — 0.3% | ||
Edgewell Personal Care Co. | 1,800 | 82,278 |
elf Beauty, Inc.* | 1,600 | 53,136 |
Inter Parfums, Inc. | 624 | 66,705 |
Revlon, Inc., Class A* | 270 | 3,062 |
The Beauty Health Co.* | 2,800 | 67,648 |
The Honest Co., Inc.* | 2,800 | 22,652 |
295,481 | ||
Distribution & Wholesale — 0.8% | ||
A-Mark Precious Metals, Inc. | 300 | 18,330 |
Avient Corp. | 2,955 | 165,332 |
EVI Industries, Inc.* | 200 | 6,246 |
G-III Apparel Group Ltd.* | 1,508 | 41,681 |
Global Industrial Co. | 362 | 14,806 |
H&E Equipment Services, Inc. | 1,059 | 46,882 |
Ideanomics, Inc.* | 13,600 | 16,320 |
KAR Auction Services, Inc.* | 3,800 | 59,356 |
Resideo Technologies, Inc.* | 4,700 | 122,341 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Distribution & Wholesale — (continued) | ||
ScanSource, Inc.* | 881 | $ 30,905 |
Titan Machinery, Inc.* | 723 | 24,358 |
Veritiv Corp.* | 500 | 61,285 |
VSE Corp. | 308 | 18,770 |
WESCO International, Inc.* | 1,447 | 190,411 |
817,023 | ||
Diversified Financial Services — 2.5% | ||
Amerant Bancorp, Inc. | 900 | 31,095 |
Artisan Partners Asset Management, Inc., Class A | 1,900 | 90,516 |
AssetMark Financial Holdings, Inc.* | 500 | 13,105 |
Associated Capital Group, Inc., Class A | 100 | 4,300 |
Atlanticus Holdings Corp.* | 200 | 14,264 |
B Riley Financial, Inc. | 700 | 62,202 |
BGC Partners, Inc., Class A | 10,500 | 48,825 |
Blucora, Inc.* | 1,596 | 27,643 |
Brightsphere Investment Group, Inc. | 1,926 | 49,306 |
Calamos Asset Management, Inc., Class A(1),* | 469 | 0 |
Cohen & Steers, Inc. | 817 | 75,581 |
Columbia Financial, Inc.* | 1,500 | 31,290 |
Cowen, Inc., Class A | 947 | 34,187 |
Curo Group Holdings Corp. | 900 | 14,409 |
Diamond Hill Investment Group, Inc. | 107 | 20,783 |
Enact Holdings, Inc. | 500 | 10,335 |
Encore Capital Group, Inc.* | 997 | 61,924 |
Enova International, Inc.* | 1,113 | 45,588 |
EZCORP, Inc., Class A* | 1,766 | 13,015 |
Federal Agricultural Mortgage Corp., Class C | 300 | 37,179 |
Federated Hermes, Inc. | 3,000 | 112,740 |
Finance Of America Cos., Inc., Class A* | 1,300 | 5,161 |
Flywire Corp.* | 2,000 | 76,120 |
Focus Financial Partners, Inc., Class A* | 1,900 | 113,468 |
GAMCO Investors, Inc., Class A | 215 | 5,371 |
GCM Grosvenor, Inc., Class A | 1,200 | 12,600 |
Greenhill & Co., Inc. | 500 | 8,965 |
Hamilton Lane, Inc., Class A | 1,100 | 113,982 |
Houlihan Lokey, Inc. | 1,650 | 170,808 |
I3 Verticals, Inc., Class A* | 800 | 18,232 |
International Money Express, Inc.* | 900 | 14,364 |
LendingClub Corp.* | 3,160 | 76,409 |
LendingTree, Inc.* | 377 | 46,220 |
Marlin Business Services Corp. | 200 | 4,656 |
Moelis & Co., Class A | 2,000 | 125,020 |
Mr. Cooper Group, Inc.* | 1,992 | 82,887 |
Navient Corp. | 5,300 | 112,466 |
Nelnet, Inc., Class A | 599 | 58,510 |
Ocwen Financial Corp.* | 300 | 11,991 |
Oportun Financial Corp.* | 700 | 14,175 |
Oppenheimer Holdings, Inc., Class A | 238 | 11,036 |
PennyMac Financial Services, Inc. | 1,000 | 69,780 |
Piper Sandler Cos. | 587 | 104,785 |
PJT Partners, Inc., Class A | 800 | 59,272 |
Number of Shares | Value† | |
Diversified Financial Services — (continued) | ||
PRA Group, Inc.* | 1,448 | $ 72,704 |
Pzena Investment Management, Inc., Class A | 830 | 7,860 |
Regional Management Corp. | 300 | 17,238 |
Sculptor Capital Management, Inc. | 600 | 12,810 |
StepStone Group, Inc., Class A | 1,400 | 58,198 |
StoneX Group, Inc.* | 593 | 36,321 |
Velocity Financial, Inc.* | 400 | 5,480 |
Virtus Investment Partners, Inc. | 236 | 70,116 |
WisdomTree Investments, Inc. | 3,900 | 23,868 |
World Acceptance Corp.* | 150 | 36,814 |
2,455,974 | ||
Electric — 1.3% | ||
ALLETE, Inc. | 1,751 | 116,179 |
Ameresco, Inc., Class A* | 1,000 | 81,440 |
Avista Corp. | 2,339 | 99,384 |
Black Hills Corp. | 2,048 | 144,527 |
Clearway Energy, Inc., Class A | 1,100 | 36,828 |
Clearway Energy, Inc., Class C | 2,600 | 93,678 |
FTC Solar, Inc.* | 800 | 6,048 |
MGE Energy, Inc. | 1,242 | 102,154 |
NorthWestern Corp. | 1,680 | 96,029 |
Ormat Technologies, Inc. | 1,500 | 118,950 |
Otter Tail Corp. | 1,392 | 99,417 |
PNM Resources, Inc. | 2,810 | 128,164 |
Portland General Electric Co. | 2,956 | 156,432 |
Unitil Corp. | 463 | 21,293 |
Via Renewables, Inc. | 400 | 4,572 |
1,305,095 | ||
Electrical Components & Equipment — 0.7% | ||
American Superconductor Corp.* | 900 | 9,792 |
Belden, Inc. | 1,455 | 95,637 |
Blink Charging Co.* | 1,200 | 31,812 |
Encore Wire Corp. | 671 | 96,020 |
Energizer Holdings, Inc. | 2,200 | 88,220 |
EnerSys | 1,423 | 112,502 |
Insteel Industries, Inc. | 691 | 27,509 |
nLight, Inc.* | 1,300 | 31,135 |
Novanta, Inc.* | 1,168 | 205,954 |
Powell Industries, Inc. | 229 | 6,753 |
705,334 | ||
Electronics — 1.7% | ||
Advanced Energy Industries, Inc. | 1,193 | 108,635 |
Akoustis Technologies, Inc.* | 1,100 | 7,348 |
Allied Motion Technologies, Inc. | 300 | 10,947 |
Atkore, Inc.* | 1,500 | 166,785 |
Badger Meter, Inc. | 918 | 97,822 |
Benchmark Electronics, Inc. | 1,313 | 35,582 |
Brady Corp., Class A | 1,557 | 83,922 |
Comtech Telecommunications Corp. | 952 | 22,553 |
FARO Technologies, Inc.* | 620 | 43,412 |
Fluidigm Corp.* | 2,500 | 9,800 |
GoPro, Inc., Class A* | 4,300 | 44,333 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Electronics — (continued) | ||
Identiv, Inc.* | 800 | $ 22,512 |
II-VI, Inc.* | 3,418 | 233,552 |
Itron, Inc.* | 1,500 | 102,780 |
Kimball Electronics, Inc.* | 933 | 20,302 |
Knowles Corp.* | 3,052 | 71,264 |
Kopin Corp.* | 2,700 | 11,043 |
Luna Innovations, Inc.* | 700 | 5,908 |
Mesa Laboratories, Inc. | 175 | 57,416 |
MicroVision, Inc.* | 5,100 | 25,551 |
Napco Security Technologies, Inc.* | 500 | 24,990 |
NVE Corp. | 109 | 7,445 |
OSI Systems, Inc.* | 557 | 51,912 |
Plexus Corp.* | 903 | 86,589 |
Sanmina Corp.* | 2,026 | 83,998 |
Stoneridge, Inc.* | 873 | 17,233 |
TTM Technologies, Inc.* | 3,429 | 51,092 |
Turtle Beach Corp.* | 500 | 11,130 |
Vicor Corp.* | 722 | 91,680 |
Vishay Intertechnology, Inc. | 4,300 | 94,041 |
Vishay Precision Group, Inc.* | 500 | 18,560 |
1,720,137 | ||
Energy-Alternate Sources — 0.6% | ||
Advent Technologies Holdings, Inc.* | 700 | 4,907 |
Aemetis, Inc.* | 900 | 11,070 |
Alto Ingredients, Inc.* | 2,600 | 12,506 |
Array Technologies, Inc.* | 4,200 | 65,898 |
Beam Global* | 300 | 5,580 |
Cleanspark, Inc.* | 1,200 | 11,424 |
Eos Energy Enterprises, Inc.* | 1,400 | 10,528 |
FuelCell Energy, Inc.* | 12,000 | 62,400 |
FutureFuel Corp. | 800 | 6,112 |
Gevo, Inc.* | 6,400 | 27,392 |
Green Plains, Inc.* | 1,567 | 54,469 |
Renewable Energy Group, Inc.* | 1,400 | 59,416 |
REX American Resources Corp.* | 192 | 18,432 |
Stem, Inc.* | 3,700 | 70,189 |
Sunnova Energy International, Inc.* | 2,800 | 78,176 |
SunPower Corp.* | 2,500 | 52,175 |
TPI Composites, Inc.* | 1,100 | 16,456 |
567,130 | ||
Engineering & Construction — 1.5% | ||
908 Devices, Inc.* | 500 | 12,935 |
Arcosa, Inc. | 1,600 | 84,320 |
Aris Water Solution, Inc., Class A* | 600 | 7,770 |
Atlas Technical Consultants, Inc.* | 500 | 4,210 |
Comfort Systems USA, Inc. | 1,127 | 111,505 |
Concrete Pumping Holdings, Inc.* | 1,100 | 9,020 |
Construction Partners, Inc., Class A* | 1,000 | 29,410 |
Dycom Industries, Inc.* | 953 | 89,353 |
EMCOR Group, Inc. | 1,763 | 224,589 |
Exponent, Inc. | 1,680 | 196,106 |
Fluor Corp.* | 4,700 | 116,419 |
Granite Construction, Inc. | 1,433 | 55,457 |
Great Lakes Dredge & Dock Corp.* | 1,951 | 30,670 |
Number of Shares | Value† | |
Engineering & Construction — (continued) | ||
IES Holdings, Inc.* | 300 | $ 15,192 |
Infrastructure and Energy Alternatives, Inc.* | 800 | 7,360 |
INNOVATE Corp.* | 1,083 | 4,007 |
Iteris, Inc.* | 1,200 | 4,800 |
Latham Group, Inc.* | 800 | 20,024 |
Mistras Group, Inc.* | 600 | 4,458 |
MYR Group, Inc.* | 583 | 64,451 |
NV5 Global, Inc.* | 400 | 55,248 |
Primoris Services Corp. | 1,790 | 42,924 |
Sterling Construction Co., Inc.* | 800 | 21,040 |
Tutor Perini Corp.* | 1,397 | 17,281 |
WillScot Mobile Mini Holdings Corp.* | 6,952 | 283,920 |
1,512,469 | ||
Entertainment — 1.6% | ||
Accel Entertainment, Inc.* | 2,000 | 26,040 |
AMC Entertainment Holdings, Inc., Class A* | 16,855 | 458,456 |
Bally's Corp.* | 1,050 | 39,963 |
Chicken Soup For The Soul Entertainment, Inc.* | 400 | 5,536 |
Cinemark Holdings, Inc.* | 3,500 | 56,420 |
Eros STX Global Corp.* | 11,400 | 2,733 |
Esports Technologies, Inc.* | 400 | 8,224 |
Everi Holdings, Inc.* | 2,800 | 59,780 |
GAN Ltd.* | 1,400 | 12,866 |
Golden Entertainment, Inc.* | 600 | 30,318 |
Golden Nugget Online Gaming, Inc.* | 1,200 | 11,940 |
Hall of Fame Resort & Entertainment Co.* | 2,200 | 3,344 |
IMAX Corp.* | 1,800 | 32,112 |
International Game Technology PLC | 3,200 | 92,512 |
Liberty Media Corp.-Liberty Braves, Class A* | 300 | 8,625 |
Liberty Media Corp.-Liberty Braves, Class C* | 1,300 | 36,530 |
Lions Gate Entertainment Corp., Class A* | 1,900 | 31,616 |
Lions Gate Entertainment Corp., Class B* | 3,800 | 58,482 |
Madison Square Garden Entertainment Corp.* | 837 | 58,874 |
Monarch Casino & Resort, Inc.* | 385 | 28,471 |
NEOGAMES S.A.* | 100 | 2,778 |
RCI Hospitality Holdings, Inc. | 300 | 23,364 |
Red Rock Resorts, Inc., Class A | 2,000 | 110,020 |
Rush Street Interactive, Inc.* | 1,800 | 29,700 |
Scientific Games Corp.* | 3,100 | 207,173 |
SeaWorld Entertainment, Inc.* | 1,700 | 110,262 |
1,546,139 | ||
Environmental Control — 0.9% | ||
Casella Waste Systems, Inc., Class A* | 1,600 | 136,672 |
CECO Environmental Corp.* | 1,309 | 8,155 |
Centrus Energy Corp., Class A* | 400 | 19,964 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Environmental Control — (continued) | ||
Energy Recovery, Inc.* | 1,500 | $ 32,235 |
Evoqua Water Technologies Corp.* | 3,800 | 177,650 |
Harsco Corp.* | 2,800 | 46,788 |
Heritage-Crystal Clean, Inc.* | 600 | 19,212 |
Montrose Environmental Group, Inc.* | 800 | 56,408 |
Pure Cycle Corp.* | 800 | 11,680 |
PureCycle Technologies, Inc.* | 1,100 | 10,527 |
Sharps Compliance Corp.* | 600 | 4,278 |
Tetra Tech, Inc. | 1,764 | 299,527 |
US Ecology, Inc.* | 940 | 30,024 |
853,120 | ||
Food — 1.5% | ||
AquaBounty Technologies, Inc.* | 2,000 | 4,200 |
B&G Foods, Inc. | 2,172 | 66,746 |
BellRing Brands, Inc., Class A* | 1,300 | 37,089 |
Calavo Growers, Inc. | 551 | 23,362 |
Cal-Maine Foods, Inc. | 1,246 | 46,090 |
HF Foods Group, Inc.* | 1,300 | 10,998 |
Hostess Brands, Inc.* | 4,400 | 89,848 |
Ingles Markets, Inc., Class A | 504 | 43,515 |
J & J Snack Foods Corp. | 470 | 74,241 |
John B Sanfilippo & Son, Inc. | 300 | 27,048 |
Krispy Kreme, Inc. | 700 | 13,244 |
Laird Superfood, Inc.* | 300 | 3,912 |
Lancaster Colony Corp. | 604 | 100,022 |
Landec Corp.* | 718 | 7,970 |
Mission Produce, Inc.* | 1,300 | 20,410 |
Nathan's Famous, Inc. | 100 | 5,839 |
Natural Grocers by Vitamin Cottage, Inc. | 400 | 5,700 |
Performance Food Group Co.* | 4,900 | 224,861 |
Sanderson Farms, Inc. | 656 | 125,348 |
Seneca Foods Corp., Class A* | 211 | 10,117 |
SpartanNash Co. | 1,130 | 29,109 |
Sprouts Farmers Market, Inc.* | 3,800 | 112,784 |
Tattooed Chef, Inc.* | 1,600 | 24,864 |
The Chefs' Warehouse, Inc.* | 950 | 31,635 |
The Simply Good Foods Co.* | 2,800 | 116,396 |
Tootsie Roll Industries, Inc. | 550 | 19,927 |
TreeHouse Foods, Inc.* | 1,700 | 68,901 |
United Natural Foods, Inc.* | 1,900 | 93,252 |
Utz Brands, Inc. | 2,000 | 31,900 |
Village Super Market, Inc., Class A | 268 | 6,269 |
Weis Markets, Inc. | 566 | 37,288 |
Whole Earth Brands, Inc.* | 1,300 | 13,962 |
1,526,847 | ||
Food Service — 0.1% | ||
Healthcare Services Group, Inc. | 2,580 | 45,898 |
Sovos Brands, Inc.* | 800 | 12,040 |
57,938 | ||
Forest Products & Paper — 0.1% | ||
Clearwater Paper Corp.* | 578 | 21,195 |
Glatfelter Corp. | 1,359 | 23,375 |
Number of Shares | Value† | |
Forest Products & Paper — (continued) | ||
Neenah, Inc. | 574 | $ 26,565 |
Schweitzer-Mauduit International, Inc. | 976 | 29,182 |
Verso Corp., Class A | 1,000 | 27,020 |
127,337 | ||
Gas — 0.9% | ||
Brookfield Infrastructure Corp., Class A | 2,000 | 136,520 |
Chesapeake Utilities Corp. | 535 | 78,008 |
New Jersey Resources Corp. | 3,164 | 129,914 |
Northwest Natural Holding Co. | 950 | 46,341 |
ONE Gas, Inc. | 1,700 | 131,903 |
South Jersey Industries, Inc. | 3,280 | 85,674 |
Southwest Gas Holdings, Inc. | 1,973 | 138,209 |
Spire, Inc. | 1,656 | 108,004 |
854,573 | ||
Hand & Machine Tools — 0.3% | ||
Franklin Electric Co., Inc. | 1,470 | 139,003 |
Kennametal, Inc. | 2,700 | 96,957 |
Luxfer Holdings PLC | 1,000 | 19,310 |
255,270 | ||
Healthcare Products — 3.8% | ||
Accelerate Diagnostics, Inc.* | 951 | 4,964 |
Accuray, Inc.* | 2,738 | 13,060 |
Acutus Medical, Inc.* | 300 | 1,023 |
Alphatec Holdings, Inc.* | 2,300 | 26,289 |
AngioDynamics, Inc.* | 1,158 | 31,938 |
Apria, Inc.* | 500 | 16,300 |
Apyx Medical Corp.* | 800 | 10,256 |
Asensus Surgical, Inc.* | 8,000 | 8,880 |
Aspira Women's Health, Inc.* | 2,100 | 3,717 |
AtriCure, Inc.* | 1,500 | 104,295 |
Atrion Corp. | 44 | 31,016 |
Avanos Medical, Inc.* | 1,500 | 52,005 |
Avita Medical, Inc.* | 800 | 9,584 |
Axogen, Inc.* | 1,200 | 11,244 |
Axonics, Inc.* | 1,500 | 84,000 |
BioLife Solutions, Inc.* | 300 | 11,181 |
Bionano Genomics, Inc.* | 9,200 | 27,508 |
Bioventus, Inc., Class A* | 1,095 | 15,866 |
Butterfly Network, Inc.* | 4,100 | 27,429 |
Cardiovascular Systems, Inc.* | 1,200 | 22,536 |
CareDx, Inc.* | 1,700 | 77,316 |
Castle Biosciences, Inc.* | 700 | 30,009 |
Celcuity, Inc.* | 300 | 3,957 |
Cerus Corp.* | 5,300 | 36,093 |
ClearPoint Neuro, Inc.* | 700 | 7,854 |
CONMED Corp. | 935 | 132,546 |
CryoLife, Inc.* | 1,199 | 24,400 |
Cutera, Inc.* | 500 | 20,660 |
CVRx, Inc.* | 300 | 3,669 |
CytoSorbents Corp.* | 1,100 | 4,609 |
DermTech, Inc.* | 800 | 12,640 |
Eargo, Inc.* | 700 | 3,570 |
Glaukos Corp.* | 1,453 | 64,571 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Healthcare Products — (continued) | ||
Haemonetics Corp.* | 1,631 | $ 86,508 |
Hanger, Inc.* | 1,100 | 19,943 |
Inari Medical, Inc.* | 1,100 | 100,397 |
InfuSystem Holdings, Inc.* | 600 | 10,218 |
Inogen, Inc.* | 600 | 20,400 |
Inspire Medical Systems, Inc.* | 868 | 199,692 |
Integer Holdings Corp.* | 1,040 | 89,014 |
Intersect ENT, Inc.* | 1,200 | 32,772 |
Invacare Corp.* | 1,190 | 3,237 |
iRadimed Corp.* | 200 | 9,242 |
iRhythm Technologies, Inc.* | 987 | 116,160 |
Lantheus Holdings, Inc.* | 2,206 | 63,731 |
LeMaitre Vascular, Inc. | 700 | 35,161 |
LivaNova PLC* | 1,700 | 148,631 |
Meridian Bioscience, Inc.* | 1,360 | 27,744 |
Merit Medical Systems, Inc.* | 1,675 | 104,352 |
MiMedx Group, Inc.* | 3,700 | 22,348 |
NanoString Technologies, Inc.* | 1,500 | 63,345 |
Natus Medical, Inc.* | 1,075 | 25,510 |
Neogen Corp.* | 3,538 | 160,660 |
NeuroPace, Inc.* | 300 | 3,024 |
Nevro Corp.* | 1,117 | 90,555 |
NuVasive, Inc.* | 1,706 | 89,531 |
Omnicell, Inc.* | 1,422 | 256,586 |
OraSure Technologies, Inc.* | 2,201 | 19,127 |
Ortho Clinical Diagnostics Holdings PLC* | 3,600 | 77,004 |
Orthofix Medical, Inc.* | 571 | 17,752 |
OrthoPediatrics Corp.* | 400 | 23,944 |
Pacific Biosciences of California, Inc.* | 6,300 | 128,898 |
Patterson Cos., Inc. | 2,800 | 82,180 |
PAVmed, Inc.* | 2,900 | 7,134 |
PROCEPT BioRobotics Corp.* | 200 | 5,002 |
Pulmonx Corp.* | 800 | 25,656 |
Pulse Biosciences, Inc.* | 494 | 7,316 |
Quanterix Corp.* | 1,000 | 42,400 |
Quotient Ltd.* | 2,200 | 5,698 |
Rapid Micro Biosystems, Inc., Class A* | 300 | 3,192 |
Retractable Technologies, Inc.* | 300 | 2,079 |
SeaSpine Holdings Corp.* | 1,000 | 13,620 |
Shockwave Medical, Inc.* | 1,090 | 194,380 |
SI-BONE, Inc.* | 1,000 | 22,210 |
Sientra, Inc.* | 1,900 | 6,973 |
Silk Road Medical, Inc.* | 1,100 | 46,871 |
STAAR Surgical Co.* | 1,523 | 139,050 |
Stereotaxis, Inc.* | 1,700 | 10,540 |
Surmodics, Inc.* | 473 | 22,775 |
Tactile Systems Technology, Inc.* | 600 | 11,418 |
Talis Biomedical Corp.* | 600 | 2,406 |
Treace Medical Concepts, Inc.* | 1,000 | 18,640 |
Utah Medical Products, Inc. | 100 | 10,000 |
Varex Imaging Corp.* | 1,400 | 44,170 |
ViewRay, Inc.* | 4,200 | 23,142 |
Zynex, Inc.* | 600 | 5,982 |
3,733,305 |
Number of Shares | Value† | |
Healthcare Services — 2.0% | ||
Accolade, Inc.* | 1,600 | $ 42,176 |
Addus HomeCare Corp.* | 500 | 46,755 |
Agiliti, Inc.* | 800 | 18,528 |
American Well Corp., Class A* | 6,300 | 38,052 |
Aveanna Healthcare Holdings, Inc.* | 1,400 | 10,360 |
Brookdale Senior Living, Inc.* | 5,500 | 28,380 |
Community Health Systems, Inc.* | 4,100 | 54,571 |
Fulgent Genetics, Inc.* | 700 | 70,413 |
Innovage Holding Corp.* | 700 | 3,500 |
Inotiv, Inc.* | 500 | 21,035 |
Invitae Corp.* | 6,500 | 99,255 |
LHC Group, Inc.* | 986 | 135,309 |
LifeStance Health Group, Inc.* | 1,500 | 14,280 |
Magellan Health, Inc.* | 741 | 70,387 |
MEDNAX, Inc.* | 2,500 | 68,025 |
Medpace Holdings, Inc.* | 960 | 208,934 |
ModivCare, Inc.* | 400 | 59,316 |
National HealthCare Corp. | 406 | 27,584 |
Neuronetics, Inc.* | 900 | 4,014 |
Ontrak, Inc.* | 200 | 1,258 |
OPKO Health, Inc.* | 14,001 | 67,345 |
Personalis, Inc.* | 1,200 | 17,124 |
RadNet, Inc.* | 1,600 | 48,176 |
Select Medical Holdings Corp. | 3,600 | 105,840 |
SOC Telemed, Inc.* | 1,600 | 2,048 |
Surgery Partners, Inc.* | 1,000 | 53,410 |
Tenet Healthcare Corp.* | 3,500 | 285,915 |
The Ensign Group, Inc. | 1,680 | 141,053 |
The Joint Corp.* | 500 | 32,845 |
The Pennant Group, Inc.* | 740 | 17,079 |
Tivity Health, Inc.* | 1,489 | 39,369 |
Triple-S Management Corp.* | 831 | 29,650 |
U.S. Physical Therapy, Inc. | 456 | 43,571 |
Vapotherm, Inc.* | 800 | 16,568 |
Viemed Healthcare, Inc.* | 1,300 | 6,786 |
1,928,911 | ||
Home Builders — 1.5% | ||
Beazer Homes USA, Inc.* | 924 | 21,455 |
Cavco Industries, Inc.* | 298 | 94,660 |
Century Communities, Inc. | 1,000 | 81,790 |
Forestar Group, Inc.* | 460 | 10,005 |
Green Brick Partners, Inc.* | 1,000 | 30,330 |
Hovnanian Enterprises, Inc., Class A* | 200 | 25,458 |
Installed Building Products, Inc. | 766 | 107,026 |
KB Home | 2,600 | 116,298 |
LCI Industries | 791 | 123,293 |
LGI Homes, Inc.* | 700 | 108,136 |
M/I Homes, Inc.* | 936 | 58,201 |
MDC Holdings, Inc. | 1,859 | 103,788 |
Meritage Homes Corp.* | 1,190 | 145,251 |
Skyline Corp.* | 1,700 | 134,266 |
Taylor Morrison Home Corp.* | 3,900 | 136,344 |
Tri Pointe Homes, Inc.* | 3,600 | 100,404 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Home Builders — (continued) | ||
Winnebago Industries, Inc. | 1,022 | $ 76,568 |
1,473,273 | ||
Home Furnishings — 0.5% | ||
Aterian, Inc.* | 700 | 2,877 |
Casper Sleep, Inc.* | 1,100 | 7,348 |
Daktronics, Inc.* | 1,209 | 6,106 |
Ethan Allen Interiors, Inc. | 628 | 16,510 |
Flexsteel Industries, Inc. | 300 | 8,058 |
Hamilton Beach Brands Holding Co., Class A | 144 | 2,068 |
Hooker Furnishings Corp. | 300 | 6,984 |
iRobot Corp.* | 880 | 57,974 |
MillerKnoll, Inc. | 2,528 | 99,072 |
Purple Innovation, Inc.* | 1,700 | 22,559 |
Sleep Number Corp.* | 772 | 59,135 |
Snap One Holdings Corp.* | 400 | 8,432 |
Sonos, Inc.* | 3,900 | 116,220 |
The Lovesac Co.* | 400 | 26,504 |
Traeger, Inc.* | 700 | 8,512 |
Universal Electronics, Inc.* | 400 | 16,300 |
VOXX International Corp.* | 500 | 5,085 |
Weber, Inc., Class A | 500 | 6,465 |
476,209 | ||
Household Products & Wares — 0.4% | ||
ACCO Brands Corp. | 2,893 | 23,896 |
Central Garden & Pet Co.* | 300 | 15,789 |
Central Garden & Pet Co., Class A* | 1,402 | 67,086 |
Helen of Troy Ltd.* | 778 | 190,198 |
Quanex Building Products Corp. | 1,025 | 25,399 |
WD-40 Co. | 437 | 106,908 |
429,276 | ||
Housewares — 0.0% | ||
Lifetime Brands, Inc. | 400 | 6,388 |
Tupperware Brands Corp.* | 1,800 | 27,522 |
33,910 | ||
Insurance — 2.3% | ||
Ambac Financial Group, Inc.* | 1,500 | 24,075 |
American Equity Investment Life Holding Co. | 2,676 | 104,150 |
American National Group, Inc. | 227 | 42,867 |
AMERISAFE, Inc. | 608 | 32,729 |
Argo Group International Holdings Ltd. | 1,032 | 59,970 |
BRP Group, Inc., Class A* | 1,500 | 54,165 |
Citizens, Inc.* | 1,466 | 7,784 |
CNO Financial Group, Inc. | 4,093 | 97,577 |
Crawford & Co., Class A | 700 | 5,243 |
Donegal Group, Inc., Class A | 283 | 4,044 |
eHealth, Inc.* | 720 | 18,360 |
Employers Holdings, Inc. | 882 | 36,497 |
Enstar Group Ltd.* | 401 | 99,284 |
Essent Group Ltd. | 3,600 | 163,908 |
Genworth Financial, Inc., Class A* | 15,800 | 63,990 |
Goosehead Insurance, Inc., Class A | 600 | 78,048 |
Number of Shares | Value† | |
Insurance — (continued) | ||
Greenlight Capital Re Ltd., Class A* | 1,128 | $ 8,844 |
HCI Group, Inc. | 200 | 16,708 |
Heritage Insurance Holdings, Inc. | 800 | 4,704 |
Horace Mann Educators Corp. | 1,280 | 49,536 |
Independence Holding Co. | 100 | 5,668 |
Investors Title Co. | 39 | 7,689 |
James River Group Holdings Ltd. | 1,100 | 31,691 |
Kinsale Capital Group, Inc. | 694 | 165,096 |
Maiden Holdings Ltd.* | 2,800 | 8,568 |
MBIA, Inc.* | 1,700 | 26,843 |
MetroMile, Inc.* | 1,400 | 3,066 |
National Western Life Group, Inc., Class A | 74 | 15,869 |
NI Holdings, Inc.* | 200 | 3,782 |
NMI Holdings, Inc., Class A* | 2,900 | 63,365 |
Palomar Holdings, Inc.* | 800 | 51,816 |
ProAssurance Corp. | 1,800 | 45,540 |
Radian Group, Inc. | 6,003 | 126,843 |
RLI Corp. | 1,292 | 144,833 |
Safety Insurance Group, Inc. | 482 | 40,984 |
Selective Insurance Group, Inc. | 1,975 | 161,831 |
Selectquote, Inc.* | 4,300 | 38,958 |
SiriusPoint Ltd.* | 3,300 | 26,829 |
State Auto Financial Corp. | 576 | 29,773 |
Stewart Information Services Corp. | 908 | 72,395 |
Tiptree, Inc. | 600 | 8,298 |
Trean Insurance Group, Inc.* | 500 | 4,455 |
Trupanion, Inc.* | 1,200 | 158,436 |
United Fire Group, Inc. | 680 | 15,769 |
United Insurance Holdings Corp. | 800 | 3,472 |
Universal Insurance Holdings, Inc. | 951 | 16,167 |
2,250,519 | ||
Internet — 1.9% | ||
1-800-Flowers.com, Inc., Class A* | 937 | 21,897 |
Bright Health Group, Inc.* | 1,700 | 5,848 |
Cargurus, Inc.* | 3,200 | 107,648 |
CarParts.com, Inc.* | 1,600 | 17,920 |
Cars.com, Inc.* | 2,500 | 40,225 |
ChannelAdvisor Corp.* | 900 | 22,212 |
Cogent Communications Holdings, Inc. | 1,419 | 103,842 |
comScore, Inc.* | 1,900 | 6,346 |
Couchbase, Inc.* | 300 | 7,488 |
ePlus, Inc.* | 952 | 51,294 |
Eventbrite, Inc., Class A* | 2,500 | 43,600 |
EverQuote, Inc., Class A* | 700 | 10,962 |
fuboTV, Inc.* | 4,200 | 65,184 |
Groupon, Inc.* | 850 | 19,686 |
HealthStream, Inc.* | 900 | 23,724 |
HyreCar, Inc.* | 600 | 2,826 |
Lands' End, Inc.* | 500 | 9,815 |
Limelight Networks, Inc.* | 4,172 | 14,310 |
Liquidity Services, Inc.* | 735 | 16,229 |
LiveOne, Inc.* | 1,500 | 1,920 |
Magnite, Inc.* | 4,206 | 73,605 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Internet — (continued) | ||
MediaAlpha, Inc., Class A* | 600 | $ 9,264 |
Mimecast Ltd.* | 2,000 | 159,140 |
Open Lending Corp., Class A* | 3,400 | 76,432 |
Overstock.com, Inc.* | 1,400 | 82,614 |
Perficient, Inc.* | 1,045 | 135,108 |
Q2 Holdings, Inc.* | 1,800 | 142,992 |
QuinStreet, Inc.* | 1,715 | 31,196 |
Revolve Group, Inc.* | 1,200 | 67,248 |
Shutterstock, Inc. | 800 | 88,704 |
Stitch Fix, Inc., Class A* | 2,600 | 49,192 |
TechTarget, Inc.* | 900 | 86,094 |
The RealReal, Inc.* | 2,600 | 30,186 |
TrueCar, Inc.* | 3,500 | 11,900 |
Tucows, Inc., Class A* | 300 | 25,146 |
Upwork, Inc.* | 3,900 | 133,224 |
VirnetX Holding Corp.* | 2,283 | 5,936 |
Yelp, Inc.* | 2,300 | 83,352 |
1,884,309 | ||
Investment Companies — 0.0% | ||
Altus Midstream Co., Class A | 100 | 6,131 |
Iron & Steel — 0.3% | ||
Allegheny Technologies, Inc.* | 4,000 | 63,720 |
Carpenter Technology Corp. | 1,500 | 43,785 |
Commercial Metals Co. | 3,900 | 141,531 |
Schnitzer Steel Industries, Inc., Class A | 900 | 46,728 |
295,764 | ||
Leisure Time — 0.5% | ||
Acushnet Holdings Corp. | 1,200 | 63,696 |
Callaway Golf Co.* | 3,746 | 102,790 |
Camping World Holdings, Inc., Class A | 1,400 | 56,560 |
Clarus Corp. | 702 | 19,460 |
Drive Shack, Inc.* | 3,200 | 4,576 |
Escalade, Inc. | 200 | 3,158 |
F45 Training Holdings, Inc.* | 700 | 7,623 |
Johnson Outdoors, Inc., Class A | 168 | 15,740 |
Liberty TripAdvisor Holdings, Inc., Class A* | 2,400 | 5,208 |
Life Time Group Holdings, Inc.* | 1,300 | 22,373 |
Lindblad Expeditions Holdings, Inc.* | 1,100 | 17,160 |
Malibu Boats, Inc., Class A* | 700 | 48,111 |
Marine Products Corp. | 88 | 1,100 |
MasterCraft Boat Holdings, Inc.* | 500 | 14,165 |
Nautilus, Inc.* | 900 | 5,517 |
OneSpaWorld Holdings Ltd.* | 1,600 | 16,032 |
OneWater Marine, Inc., Class A | 400 | 24,388 |
Vista Outdoor, Inc.* | 1,900 | 87,533 |
Xponential Fitness, Inc., Class A* | 500 | 10,220 |
525,410 | ||
Lodging — 0.2% | ||
Bluegreen Vacations Holding Corp.* | 404 | 14,181 |
Century Casinos, Inc.* | 1,100 | 13,398 |
Full House Resorts, Inc.* | 1,200 | 14,532 |
Hilton Grand Vacations, Inc.* | 2,800 | 145,908 |
Number of Shares | Value† | |
Lodging — (continued) | ||
Target Hospitality Corp.* | 1,300 | $ 4,628 |
The Marcus Corp.* | 733 | 13,091 |
205,738 | ||
Machinery — Construction & Mining — 0.3% | ||
Argan, Inc. | 436 | 16,869 |
Astec Industries, Inc. | 698 | 48,350 |
Babcock & Wilcox Enterprises, Inc.* | 2,000 | 18,040 |
Bloom Energy Corp., Class A* | 4,500 | 98,685 |
Hyster-Yale Materials Handling, Inc. | 344 | 14,138 |
Terex Corp. | 2,300 | 101,085 |
The Manitowoc Co., Inc.* | 1,025 | 19,055 |
316,222 | ||
Machinery — Diversified — 1.9% | ||
AgEagle Aerial Systems, Inc.* | 2,500 | 3,925 |
Alamo Group, Inc. | 317 | 46,656 |
Albany International Corp., Class A | 1,032 | 91,280 |
Altra Industrial Motion Corp. | 2,103 | 108,452 |
Applied Industrial Technologies, Inc. | 1,282 | 131,661 |
Cactus, Inc., Class A | 1,700 | 64,821 |
Chart Industries, Inc.* | 1,177 | 187,720 |
CIRCOR International, Inc.* | 635 | 17,259 |
Columbus McKinnon Corp. | 885 | 40,940 |
CSW Industrials, Inc. | 482 | 58,255 |
DXP Enterprises, Inc.* | 522 | 13,400 |
Eastman Kodak Co.* | 1,600 | 7,488 |
GrafTech International Ltd. | 6,600 | 78,078 |
Hydrofarm Holdings Group, Inc.* | 1,300 | 36,777 |
Ichor Holdings Ltd.* | 900 | 41,427 |
Kadant, Inc. | 372 | 85,739 |
Lindsay Corp. | 385 | 58,520 |
Mueller Water Products, Inc., Class A | 5,392 | 77,645 |
NN, Inc.* | 1,600 | 6,560 |
Ranpak Holdings Corp.* | 1,200 | 45,096 |
SPX FLOW, Inc. | 1,400 | 121,072 |
Tennant Co. | 636 | 51,541 |
The Gorman-Rupp Co. | 751 | 33,457 |
Thermon Group Holdings, Inc.* | 1,100 | 18,623 |
Watts Water Technologies, Inc., Class A | 888 | 172,423 |
Welbilt, Inc.* | 4,200 | 99,834 |
Zurn Water Solutions Corp. | 4,000 | 145,600 |
1,844,249 | ||
Media — 0.7% | ||
AMC Networks, Inc., Class A* | 1,000 | 34,440 |
CuriosityStream, Inc.* | 1,000 | 5,930 |
Entercom Communications Corp.* | 3,100 | 7,967 |
Entravision Communications Corp., Class A | 2,500 | 16,950 |
Gannett Co., Inc.* | 4,253 | 22,668 |
Gray Television, Inc. | 2,700 | 54,432 |
Hemisphere Media Group, Inc.* | 400 | 2,908 |
Houghton Mifflin Harcourt Co.* | 4,200 | 67,620 |
iHeartMedia, Inc., Class A* | 3,600 | 75,744 |
Liberty Latin America Ltd., Class A* | 1,400 | 16,324 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Media — (continued) | ||
Liberty Latin America Ltd., Class C* | 5,352 | $ 61,013 |
Scholastic Corp. | 956 | 38,202 |
Sinclair Broadcast Group, Inc., Class A | 1,400 | 37,002 |
TEGNA, Inc. | 7,200 | 133,632 |
The E.W. Scripps Co., Class A* | 2,029 | 39,261 |
Thryv Holdings, Inc.* | 300 | 12,339 |
WideOpenWest, Inc.* | 1,800 | 38,736 |
665,168 | ||
Metal Fabricate/Hardware — 0.7% | ||
AZZ, Inc. | 776 | 42,905 |
Helios Technologies, Inc. | 1,059 | 111,375 |
Lawson Products, Inc.* | 100 | 5,475 |
Mayville Engineering Co., Inc.* | 300 | 4,473 |
Mueller Industries, Inc. | 1,788 | 106,136 |
Northwest Pipe Co.* | 300 | 9,540 |
Olympic Steel, Inc. | 231 | 5,428 |
Omega Flex, Inc. | 81 | 10,283 |
Park-Ohio Holdings Corp. | 200 | 4,234 |
Proto Labs, Inc.* | 866 | 44,469 |
RBC Bearings, Inc.* | 913 | 184,399 |
Ryerson Holding Corp. | 400 | 10,420 |
Standex International Corp. | 400 | 44,264 |
TimkenSteel Corp.* | 1,400 | 23,100 |
Tredegar Corp. | 761 | 8,995 |
Worthington Industries, Inc. | 1,084 | 59,251 |
Xometry, Inc., Class A* | 300 | 15,375 |
690,122 | ||
Mining — 0.9% | ||
Arconic Corp.* | 3,600 | 118,836 |
Century Aluminum Co.* | 1,954 | 32,358 |
Coeur Mining, Inc.* | 8,628 | 43,485 |
Compass Minerals International, Inc. | 1,100 | 56,188 |
Constellium S.E.* | 4,000 | 71,640 |
Energy Fuels, Inc.* | 4,800 | 36,624 |
Ferroglobe PLC(1),* | 2,414 | 0 |
Gatos Silver, Inc.* | 1,700 | 17,646 |
Hecla Mining Co. | 17,191 | 89,737 |
Kaiser Aluminum Corp. | 516 | 48,473 |
Livent Corp.* | 5,400 | 131,652 |
MP Materials Corp.* | 2,400 | 109,008 |
Novagold Resources, Inc.* | 7,500 | 51,450 |
Perpetua Resources Corp.* | 1,100 | 5,225 |
United States Lime & Minerals, Inc. | 43 | 5,548 |
Uranium Energy Corp.* | 8,100 | 27,135 |
Ur-Energy, Inc.* | 7,000 | 8,540 |
853,545 | ||
Miscellaneous Manufacturing — 1.0% | ||
American Outdoor Brands, Inc.* | 469 | 9,347 |
AMMO, Inc.* | 2,300 | 12,535 |
Byrna Technologies, Inc.* | 700 | 9,345 |
Chase Corp. | 261 | 25,985 |
Enerpac Tool Group Corp. | 2,106 | 42,710 |
EnPro Industries, Inc. | 717 | 78,920 |
Number of Shares | Value† | |
Miscellaneous Manufacturing — (continued) | ||
ESCO Technologies, Inc. | 834 | $ 75,052 |
Fabrinet* | 1,200 | 142,164 |
Federal Signal Corp. | 1,943 | 84,210 |
Haynes International, Inc. | 364 | 14,680 |
Hillenbrand, Inc. | 2,344 | 121,865 |
John Bean Technologies Corp. | 1,013 | 155,556 |
Materion Corp. | 657 | 60,405 |
Meta Materials, Inc.* | 7,050 | 17,343 |
Myers Industries, Inc. | 1,125 | 22,511 |
NL Industries, Inc. | 90 | 666 |
Sight Sciences, Inc.* | 400 | 7,028 |
Smith & Wesson Brands, Inc. | 1,579 | 28,106 |
Sturm Ruger & Co., Inc. | 519 | 35,302 |
Trinity Industries, Inc. | 2,500 | 75,500 |
1,019,230 | ||
Office & Business Equipment — 0.0% | ||
Pitney Bowes, Inc. | 6,000 | 39,780 |
Office Furnishings — 0.1% | ||
HNI Corp. | 1,443 | 60,678 |
Interface, Inc. | 1,995 | 31,820 |
Kimball International, Inc., Class B | 1,244 | 12,726 |
Steelcase, Inc., Class A | 2,631 | 30,836 |
136,060 | ||
Oil & Gas — 2.8% | ||
Antero Resources Corp.* | 9,200 | 161,000 |
Berry Corp. | 2,100 | 17,682 |
Brigham Minerals, Inc., Class A | 1,500 | 31,635 |
California Resources Corp. | 2,700 | 115,317 |
Callon Petroleum Co.* | 1,500 | 70,875 |
Centennial Resource Development, Inc., Class A* | 6,000 | 35,880 |
Chesapeake Energy Corp. | 3,398 | 219,239 |
Civitas Resources, Inc. | 1,394 | 68,264 |
CNX Resources Corp.* | 7,100 | 97,625 |
Cobalt International Energy, Inc.(1),* | 1 | 0 |
Comstock Resources, Inc.* | 3,200 | 25,888 |
Crescent Energy, Inc., Class A* | 1,020 | 12,934 |
CVR Energy, Inc. | 1,000 | 16,810 |
Delek US Holdings, Inc.* | 1,983 | 29,725 |
Denbury, Inc.* | 1,700 | 130,203 |
Earthstone Energy, Inc., Class A* | 700 | 7,658 |
Falcon Minerals Corp. | 1,500 | 7,305 |
Helmerich & Payne, Inc. | 3,400 | 80,580 |
Kosmos Energy Ltd.* | 14,000 | 48,440 |
Laredo Petroleum, Inc.* | 400 | 24,052 |
Magnolia Oil & Gas Corp., Class A | 4,400 | 83,028 |
Matador Resources Co. | 3,600 | 132,912 |
Murphy Oil Corp. | 4,700 | 122,717 |
Nabors Industries Ltd.* | 218 | 17,678 |
Northern Oil & Gas, Inc. | 1,600 | 32,928 |
Oasis Petroleum, Inc. | 600 | 75,594 |
Ovintiv, Inc. | 8,500 | 286,450 |
Par Pacific Holdings, Inc.* | 1,618 | 26,681 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Oil & Gas — (continued) | ||
Patterson-UTI Energy, Inc. | 6,300 | $ 53,235 |
PBF Energy, Inc., Class A* | 3,000 | 38,910 |
PDC Energy, Inc. | 3,255 | 158,779 |
Range Resources Corp.* | 7,700 | 137,291 |
Ranger Oil Corp.* | 700 | 18,844 |
SM Energy Co. | 4,000 | 117,920 |
Southwestern Energy Co.* | 32,952 | 153,556 |
Talos Energy, Inc.* | 1,300 | 12,740 |
Tellurian, Inc.* | 12,200 | 37,576 |
W&T Offshore, Inc.* | 3,543 | 11,444 |
Whiting Petroleum Corp.* | 1,252 | 80,979 |
2,800,374 | ||
Oil & Gas Services — 0.6% | ||
Archrock, Inc. | 4,700 | 35,156 |
Bristow Group, Inc.* | 766 | 24,259 |
ChampionX Corp.* | 6,500 | 131,365 |
DMC Global, Inc.* | 700 | 27,727 |
Dril-Quip, Inc.* | 1,100 | 21,648 |
Expro Group Holdings N.V.* | 1,116 | 16,015 |
FTS International, Inc., Class A* | 400 | 10,500 |
Helix Energy Solutions Group, Inc.* | 4,501 | 14,043 |
Liberty Oilfield Services, Inc., Class A* | 3,200 | 31,040 |
Matrix Service Co.* | 987 | 7,422 |
MRC Global, Inc.* | 2,400 | 16,512 |
National Energy Services Reunited Corp.* | 1,100 | 10,395 |
Newpark Resources, Inc.* | 2,712 | 7,974 |
NexTier Oilfield Solutions, Inc.* | 4,991 | 17,718 |
NOW, Inc.* | 3,800 | 32,452 |
Oceaneering International, Inc.* | 3,400 | 38,454 |
Oil States International, Inc.* | 2,000 | 9,940 |
ProPetro Holding Corp.* | 2,900 | 23,490 |
RPC, Inc.* | 2,200 | 9,988 |
Select Energy Services, Inc., Class A* | 2,100 | 13,083 |
Solaris Oilfield Infrastructure, Inc., Class A | 1,100 | 7,205 |
TETRA Technologies, Inc.* | 4,400 | 12,496 |
Tidewater, Inc.* | 1,400 | 14,994 |
US Silica Holdings, Inc.* | 2,700 | 25,380 |
559,256 | ||
Packaging and Containers — 0.3% | ||
Greif, Inc., Class A | 800 | 48,296 |
Greif, Inc., Class B | 200 | 11,956 |
Matthews International Corp., Class A | 1,105 | 40,520 |
O-I Glass, Inc.* | 5,100 | 61,353 |
Pactiv Evergreen, Inc. | 1,200 | 15,216 |
TriMas Corp. | 1,495 | 55,315 |
UFP Technologies, Inc.* | 200 | 14,052 |
246,708 | ||
Pharmaceuticals — 2.8% | ||
Aclaris Therapeutics, Inc.* | 1,500 | 21,810 |
AdaptHealth Corp.* | 2,500 | 61,150 |
Aeglea BioTherapeutics, Inc.* | 1,500 | 7,125 |
Number of Shares | Value† | |
Pharmaceuticals — (continued) | ||
Aerie Pharmaceuticals, Inc.* | 1,600 | $ 11,232 |
Agios Pharmaceuticals, Inc.* | 1,800 | 59,166 |
Akebia Therapeutics, Inc.* | 4,510 | 10,193 |
Alector, Inc.* | 1,900 | 39,235 |
Alkermes PLC* | 5,200 | 120,952 |
Amneal Pharmaceuticals, Inc.* | 2,937 | 14,068 |
Amphastar Pharmaceuticals, Inc.* | 1,100 | 25,619 |
Ampio Pharmaceuticals, Inc.* | 7,100 | 4,047 |
Anika Therapeutics, Inc.* | 400 | 14,332 |
Antares Pharma, Inc.* | 5,600 | 19,992 |
Arvinas, Inc.* | 1,500 | 123,210 |
Athenex, Inc.* | 1,900 | 2,584 |
Beyondspring, Inc.* | 800 | 3,624 |
BioDelivery Sciences International, Inc.* | 3,100 | 9,610 |
Bioxcel Therapeutics, Inc.* | 600 | 12,198 |
Catalyst Pharmaceuticals, Inc.* | 2,800 | 18,956 |
Chimerix, Inc.* | 2,700 | 17,361 |
Citius Pharmaceuticals, Inc.* | 4,100 | 6,314 |
Clovis Oncology, Inc.* | 4,100 | 11,111 |
Coherus Biosciences, Inc.* | 2,100 | 33,516 |
Collegium Pharmaceutical, Inc.* | 1,000 | 18,680 |
Corcept Therapeutics, Inc.* | 3,100 | 61,380 |
CorMedix, Inc.* | 1,000 | 4,550 |
Covetrus, Inc.* | 3,500 | 69,895 |
Cytokinetics, Inc.* | 2,600 | 118,508 |
Durect Corp.* | 7,200 | 7,098 |
Eagle Pharmaceuticals, Inc.* | 400 | 20,368 |
Enanta Pharmaceuticals, Inc.* | 600 | 44,868 |
Endo International PLC* | 8,000 | 30,080 |
Foghorn Therapeutics, Inc.* | 800 | 18,296 |
Fortress Biotech, Inc.* | 2,400 | 6,000 |
Fulcrum Therapeutics, Inc.* | 800 | 14,152 |
G1 Therapeutics, Inc.* | 1,300 | 13,273 |
Gritstone bio, Inc.* | 1,500 | 19,290 |
Harmony Biosciences Holdings, Inc.* | 800 | 34,112 |
Harpoon Therapeutics, Inc.* | 500 | 3,775 |
Heron Therapeutics, Inc.* | 2,700 | 24,651 |
Heska Corp.* | 312 | 56,937 |
Hookipa Pharma, Inc.* | 500 | 1,165 |
Ideaya Biosciences, Inc.* | 1,000 | 23,640 |
Immuneering Corp., Class A* | 300 | 4,851 |
Intellia Therapeutics, Inc.* | 2,274 | 268,878 |
Ironwood Pharmaceuticals, Inc.* | 4,861 | 56,679 |
Jounce Therapeutics, Inc.* | 1,600 | 13,360 |
Kala Pharmaceuticals, Inc.* | 1,400 | 1,694 |
KalVista Pharmaceuticals, Inc.* | 500 | 6,615 |
Kura Oncology, Inc.* | 1,900 | 26,600 |
Lyell Immunopharma, Inc.* | 800 | 6,192 |
Madrigal Pharmaceuticals, Inc.* | 379 | 32,116 |
MannKind Corp.* | 9,001 | 39,334 |
Marinus Pharmaceuticals, Inc.* | 1,275 | 15,147 |
Mirum Pharmaceuticals, Inc.* | 100 | 1,595 |
Morphic Holding, Inc.* | 700 | 33,166 |
Nature's Sunshine Products, Inc. | 500 | 9,250 |
Neoleukin Therapeutics, Inc.* | 1,100 | 5,302 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Pharmaceuticals — (continued) | ||
NexImmune, Inc.* | 600 | $ 2,766 |
Ocugen, Inc.* | 6,100 | 27,755 |
Ocular Therapeutix, Inc.* | 2,700 | 18,819 |
Option Care Health, Inc.* | 5,202 | 147,945 |
Oramed Pharmaceuticals, Inc.* | 1,000 | 14,280 |
ORIC Pharmaceuticals, Inc.* | 1,000 | 14,700 |
Outlook Therapeutics, Inc.* | 3,600 | 4,896 |
Owens & Minor, Inc. | 2,376 | 103,356 |
Pacira BioSciences, Inc.* | 1,400 | 84,238 |
Paratek Pharmaceuticals, Inc.* | 1,100 | 4,939 |
Passage Bio, Inc.* | 1,600 | 10,160 |
PetIQ, Inc.* | 1,000 | 22,710 |
Phibro Animal Health Corp., Class A | 700 | 14,294 |
PMV Pharmaceuticals, Inc.* | 900 | 20,790 |
Prestige Consumer Healthcare, Inc.* | 1,672 | 101,407 |
Prometheus Biosciences, Inc.* | 1,000 | 39,540 |
Protagonist Therapeutics, Inc.* | 1,400 | 47,880 |
Reata Pharmaceuticals, Inc., Class A* | 884 | 23,311 |
Relmada Therapeutics, Inc.* | 500 | 11,265 |
Revance Therapeutics, Inc.* | 2,200 | 35,904 |
Rhythm Pharmaceuticals, Inc.* | 1,300 | 12,974 |
Senseonics Holdings, Inc.* | 13,700 | 36,579 |
Seres Therapeutics, Inc.* | 2,300 | 19,159 |
SIGA Technologies, Inc.* | 2,000 | 15,040 |
Spectrum Pharmaceuticals, Inc.* | 5,014 | 6,368 |
Spero Therapeutics, Inc.* | 860 | 13,769 |
Summit Therapeutics, Inc.* | 1,000 | 2,690 |
Supernus Pharmaceuticals, Inc.* | 1,500 | 43,740 |
Syros Pharmaceuticals, Inc.* | 1,400 | 4,564 |
TherapeuticsMD, Inc.* | 12,500 | 4,444 |
Tonix Pharmaceuticals Holding Corp.* | 12,100 | 4,328 |
Trevena, Inc.* | 6,200 | 3,611 |
USANA Health Sciences, Inc.* | 348 | 35,218 |
Vanda Pharmaceuticals, Inc.* | 1,941 | 30,454 |
Vaxcyte, Inc.* | 1,500 | 35,685 |
Verrica Pharmaceuticals, Inc.* | 600 | 5,496 |
Zogenix, Inc.* | 1,975 | 32,094 |
2,816,070 | ||
Pipelines — 0.2% | ||
Equitrans Midstream Corp. | 13,200 | 136,488 |
Golar LNG Ltd.* | 3,600 | 44,604 |
181,092 | ||
Real Estate — 0.8% | ||
Cushman & Wakefield PLC* | 4,500 | 100,080 |
Douglas Elliman, Inc.* | 2,428 | 27,928 |
eXp World Holdings, Inc. | 2,000 | 67,380 |
Fathom Holdings, Inc.* | 100 | 2,046 |
FRP Holdings, Inc.* | 169 | 9,768 |
Kennedy-Wilson Holdings, Inc. | 3,881 | 92,678 |
Legacy Housing Corp.* | 300 | 7,941 |
Marcus & Millichap, Inc.* | 800 | 41,168 |
McGrath RentCorp | 753 | 60,436 |
Newmark Group, Inc., Class A | 4,700 | 87,890 |
Number of Shares | Value† | |
Real Estate — (continued) | ||
Radius Global Infrastructure, Inc., Class A* | 2,000 | $ 32,200 |
Rafael Holdings, Inc., Class B* | 300 | 1,530 |
RE/MAX Holdings, Inc., Class A | 600 | 18,294 |
Realogy Holdings Corp.* | 3,600 | 60,516 |
Redfin Corp.* | 3,300 | 126,687 |
The RMR Group, Inc., Class A | 467 | 16,196 |
The St. Joe Co. | 1,100 | 57,255 |
809,993 | ||
Retail — 4.9% | ||
Abercrombie & Fitch Co., Class A* | 2,000 | 69,660 |
Academy Sports & Outdoors, Inc.* | 2,500 | 109,750 |
American Eagle Outfitters, Inc. | 4,900 | 124,068 |
America's Car-Mart, Inc.* | 180 | 18,432 |
Arko Corp.* | 3,900 | 34,203 |
Asbury Automotive Group, Inc.* | 737 | 127,302 |
Aspen Aerogels, Inc.* | 800 | 39,832 |
Barnes & Noble Education, Inc.* | 1,400 | 9,534 |
Bassett Furniture Industries, Inc. | 400 | 6,708 |
Beacon Roofing Supply, Inc.* | 1,781 | 102,140 |
Bed Bath & Beyond, Inc.* | 3,400 | 49,572 |
Big 5 Sporting Goods Corp. | 700 | 13,307 |
Big Lots, Inc. | 1,100 | 49,555 |
Biglari Holdings, Inc., Class B* | 40 | 5,703 |
BJ's Restaurants, Inc.* | 720 | 24,876 |
BJ's Wholesale Club Holdings, Inc.* | 4,500 | 301,365 |
Bloomin' Brands, Inc.* | 2,800 | 58,744 |
BlueLinx Holdings, Inc.* | 300 | 28,728 |
Boot Barn Holdings, Inc.* | 900 | 110,745 |
Brinker International, Inc.* | 1,500 | 54,885 |
Caleres, Inc. | 1,254 | 28,441 |
Cannae Holdings, Inc.* | 2,800 | 98,420 |
CarLotz, Inc.* | 1,700 | 3,859 |
Carrols Restaurant Group, Inc. | 1,113 | 3,294 |
Chico's FAS, Inc.* | 4,000 | 21,520 |
Chuy's Holdings, Inc.* | 600 | 18,072 |
Citi Trends, Inc.* | 303 | 28,709 |
Clean Energy Fuels Corp.* | 5,400 | 33,102 |
Conn's, Inc.* | 704 | 16,558 |
Cracker Barrel Old Country Store, Inc. | 759 | 97,638 |
Dave & Buster's Entertainment, Inc.* | 1,400 | 53,760 |
Del Taco Restaurants, Inc. | 1,100 | 13,695 |
Denny's Corp.* | 1,952 | 31,232 |
Designer Brands, Inc., Class A* | 1,900 | 26,999 |
Dillard's, Inc., Class A | 200 | 49,004 |
Dine Brands Global, Inc. | 571 | 43,288 |
Duluth Holdings, Inc., Class B* | 200 | 3,036 |
El Pollo Loco Holdings, Inc.* | 600 | 8,514 |
Fiesta Restaurant Group, Inc.* | 413 | 4,547 |
FirstCash Holdings, Inc. | 1,339 | 100,171 |
Franchise Group, Inc. | 1,000 | 52,160 |
Genesco, Inc.* | 495 | 31,764 |
GMS, Inc.* | 1,400 | 84,154 |
Group 1 Automotive, Inc. | 568 | 110,885 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Retail — (continued) | ||
GrowGeneration Corp.* | 1,800 | $ 23,490 |
Guess?, Inc. | 1,200 | 28,416 |
Haverty Furniture Cos., Inc. | 550 | 16,814 |
Hibbett, Inc. | 455 | 32,728 |
Jack in the Box, Inc. | 714 | 62,461 |
JOANN, Inc. | 500 | 5,190 |
Kirkland's, Inc.* | 500 | 7,465 |
Kura Sushi USA, Inc., Class A* | 200 | 16,168 |
La-Z-Boy, Inc. | 1,462 | 53,085 |
Lazydays Holdings, Inc.* | 300 | 6,462 |
Lumber Liquidators Holdings, Inc.* | 833 | 14,219 |
Macy's, Inc. | 10,300 | 269,654 |
MarineMax, Inc.* | 700 | 41,328 |
MedAvail Holdings, Inc.* | 500 | 700 |
Movado Group, Inc. | 460 | 19,242 |
Murphy USA, Inc. | 781 | 155,606 |
National Vision Holdings, Inc.* | 2,700 | 129,573 |
Noodles & Co.* | 1,200 | 10,884 |
Nu Skin Enterprises, Inc., Class A | 1,600 | 81,200 |
OptimizeRx Corp.* | 600 | 37,266 |
Papa John's International, Inc. | 1,110 | 148,152 |
Party City Holdco, Inc.* | 3,700 | 20,609 |
PC Connection, Inc. | 365 | 15,742 |
PetMed Express, Inc. | 613 | 15,484 |
Portillo's, Inc., Class A* | 800 | 30,032 |
PriceSmart, Inc. | 731 | 53,487 |
Red Robin Gourmet Burgers, Inc.* | 420 | 6,943 |
Regis Corp.* | 732 | 1,274 |
Rite Aid Corp.* | 1,610 | 23,651 |
Rush Enterprises, Inc., Class A | 1,402 | 78,007 |
Rush Enterprises, Inc., Class B | 250 | 13,493 |
Ruth's Hospitality Group, Inc.* | 1,195 | 23,780 |
Sally Beauty Holdings, Inc.* | 3,600 | 66,456 |
Shake Shack, Inc., Class A* | 1,200 | 86,592 |
Shift Technologies, Inc.* | 2,200 | 7,502 |
Shoe Carnival, Inc. | 516 | 20,165 |
Signet Jewelers Ltd. | 1,700 | 147,951 |
Sonic Automotive, Inc., Class A | 734 | 36,296 |
Sportsman's Warehouse Holdings, Inc.* | 1,300 | 15,340 |
Texas Roadhouse, Inc. | 2,270 | 202,666 |
The Buckle, Inc. | 1,049 | 44,383 |
The Cato Corp., Class A | 704 | 12,081 |
The Cheesecake Factory, Inc.* | 1,516 | 59,351 |
The Children's Place, Inc.* | 494 | 39,169 |
The Container Store Group, Inc.* | 1,200 | 11,976 |
The ODP Corp.* | 1,570 | 61,670 |
The ONE Group Hospitality, Inc.* | 800 | 10,088 |
Tilly's, Inc., Class A | 800 | 12,888 |
TravelCenters of America, Inc.* | 400 | 20,648 |
Vera Bradley, Inc.* | 800 | 6,808 |
Wingstop, Inc. | 964 | 166,579 |
Winmark Corp. | 106 | 26,319 |
World Fuel Services Corp. | 2,000 | 52,940 |
Zumiez, Inc.* | 703 | 33,737 |
4,886,141 |
Number of Shares | Value† | |
Savings & Loans — 1.0% | ||
Axos Financial, Inc.* | 1,900 | $ 106,229 |
Banc of California, Inc. | 1,900 | 37,278 |
Berkshire Hills Bancorp, Inc. | 1,642 | 46,682 |
Brookline Bancorp, Inc. | 2,522 | 40,831 |
Capitol Federal Financial, Inc. | 4,400 | 49,852 |
Flushing Financial Corp. | 838 | 20,364 |
FS Bancorp, Inc. | 200 | 6,726 |
Home Bancorp, Inc. | 300 | 12,453 |
HomeTrust Bancshares, Inc. | 500 | 15,490 |
Investors Bancorp, Inc. | 7,355 | 111,428 |
Northfield Bancorp, Inc. | 1,293 | 20,895 |
Northwest Bancshares, Inc. | 4,155 | 58,835 |
OceanFirst Financial Corp. | 1,910 | 42,402 |
Pacific Premier Bancorp, Inc. | 3,046 | 121,931 |
Provident Financial Services, Inc. | 2,474 | 59,920 |
Southern Missouri Bancorp, Inc. | 300 | 15,651 |
The Hingham Institution for Savings | 43 | 18,055 |
Washington Federal, Inc. | 2,200 | 73,436 |
Waterstone Financial, Inc. | 800 | 17,488 |
WSFS Financial Corp. | 1,606 | 80,493 |
956,439 | ||
Semiconductors — 3.6% | ||
Alpha & Omega Semiconductor Ltd.* | 700 | 42,392 |
Ambarella, Inc.* | 1,155 | 234,338 |
Amkor Technology, Inc. | 3,311 | 82,080 |
Atomera, Inc.* | 600 | 12,072 |
Axcelis Technologies, Inc.* | 1,125 | 83,880 |
AXT, Inc.* | 1,000 | 8,810 |
CEVA, Inc.* | 671 | 29,014 |
CMC Materials, Inc. | 922 | 176,738 |
Cohu, Inc.* | 1,524 | 58,049 |
CTS Corp. | 963 | 35,361 |
Diodes, Inc.* | 1,399 | 153,624 |
EMCORE Corp.* | 1,300 | 9,074 |
FormFactor, Inc.* | 2,629 | 120,198 |
Impinj, Inc.* | 600 | 53,220 |
Kulicke & Soffa Industries, Inc. | 2,000 | 121,080 |
Lattice Semiconductor Corp.* | 4,424 | 340,913 |
MACOM Technology Solutions Holdings, Inc.* | 1,622 | 127,003 |
MaxLinear, Inc.* | 2,343 | 176,639 |
Onto Innovation, Inc.* | 1,547 | 156,603 |
Ouster, Inc.* | 5,100 | 26,520 |
Photronics, Inc.* | 2,092 | 39,434 |
Power Integrations, Inc. | 1,950 | 181,136 |
Rambus, Inc.* | 3,623 | 106,480 |
Semtech Corp.* | 2,109 | 187,553 |
Silicon Laboratories, Inc.* | 1,295 | 267,314 |
SiTime Corp.* | 489 | 143,052 |
SkyWater Technology, Inc.* | 300 | 4,866 |
SMART Global Holdings, Inc.* | 600 | 42,594 |
Synaptics, Inc.* | 1,272 | 368,257 |
Ultra Clean Holdings, Inc.* | 1,400 | 80,304 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Semiconductors — (continued) | ||
Veeco Instruments, Inc.* | 1,754 | $ 49,936 |
3,518,534 | ||
Software — 5.5% | ||
1Life Healthcare, Inc.* | 3,800 | 66,766 |
8X8, Inc.* | 3,700 | 62,012 |
ACI Worldwide, Inc.* | 3,827 | 132,797 |
Agilysys, Inc.* | 676 | 30,055 |
Alignment Healthcare, Inc.* | 2,600 | 36,556 |
Alkami Technology, Inc.* | 900 | 18,054 |
Allscripts Healthcare Solutions, Inc.* | 3,900 | 71,955 |
Altair Engineering, Inc., Class A* | 1,500 | 115,980 |
American Software, Inc., Class A | 1,093 | 28,604 |
Apollo Medical Holdings, Inc.* | 1,200 | 88,176 |
Appfolio, Inc., Class A* | 605 | 73,241 |
Appian Corp.* | 1,262 | 82,295 |
Asana, Inc., Class A* | 2,300 | 171,465 |
Avaya Holdings Corp.* | 2,800 | 55,440 |
Avid Technology, Inc.* | 1,100 | 35,827 |
AvidXchange Holdings, Inc.* | 800 | 12,048 |
Bandwidth, Inc., Class A* | 739 | 53,031 |
Benefitfocus, Inc.* | 900 | 9,594 |
BigCommerce Holdings, Inc.* | 1,600 | 56,592 |
Blackbaud, Inc.* | 1,550 | 122,419 |
Blackline, Inc.* | 1,778 | 184,094 |
Bottomline Technologies, Inc.* | 1,445 | 81,599 |
Box, Inc., Class A* | 4,600 | 120,474 |
Brightcove, Inc.* | 1,200 | 12,264 |
BTRS Holdings, Inc.* | 2,300 | 17,986 |
Cardlytics, Inc.* | 1,000 | 66,090 |
Castlight Health, Inc., Class B* | 4,700 | 7,238 |
Cerence, Inc.* | 1,200 | 91,968 |
CommVault Systems, Inc.* | 1,548 | 106,688 |
Computer Programs and Systems, Inc.* | 447 | 13,097 |
Consensus Cloud Solutions, Inc.* | 467 | 27,025 |
Convey Health Solutions Holdings, Inc.* | 400 | 3,344 |
CoreCard Corp.* | 200 | 7,760 |
CS Disco, Inc.* | 200 | 7,150 |
CSG Systems International, Inc. | 1,081 | 62,287 |
Daily Journal Corp.* | 41 | 14,626 |
DarioHealth Corp.* | 500 | 6,485 |
Digi International, Inc.* | 1,257 | 30,885 |
Digimarc Corp.* | 400 | 15,792 |
Digital Turbine Inc* | 3,000 | 182,970 |
DigitalOcean Holdings, Inc.* | 1,600 | 128,528 |
Domo, Inc., Class B* | 900 | 44,640 |
Donnelley Financial Solutions, Inc.* | 1,000 | 47,140 |
E2open Parent Holdings, Inc.* | 6,500 | 73,190 |
Ebix, Inc. | 936 | 28,454 |
eGain Corp.* | 500 | 4,990 |
Enfusion, Inc., Class A* | 700 | 14,658 |
EngageSmart, Inc.* | 500 | 12,060 |
Envestnet, Inc.* | 1,813 | 143,843 |
EverCommerce, Inc.* | 500 | 7,875 |
Evolent Health, Inc., Class A* | 2,600 | 71,942 |
Number of Shares | Value† | |
Software — (continued) | ||
Forian, Inc.* | 700 | $ 6,314 |
Genius Brands International, Inc.* | 9,900 | 10,395 |
GreenBox POS* | 700 | 2,940 |
GTY Technology Holdings, Inc.* | 1,200 | 8,040 |
Health Catalyst, Inc.* | 1,600 | 63,392 |
HireRight Holdings Corp.* | 700 | 11,200 |
Inseego Corp.* | 2,800 | 16,324 |
Instructure Holdings, Inc.* | 400 | 9,592 |
Intapp, Inc.* | 300 | 7,548 |
JFrog Ltd.* | 1,700 | 50,490 |
Kaltura, Inc.* | 600 | 2,022 |
LivePerson, Inc.* | 2,125 | 75,905 |
ManTech International Corp., Class A | 939 | 68,481 |
MeridianLink, Inc.* | 400 | 8,632 |
MicroStrategy, Inc., Class A* | 275 | 149,735 |
Model N, Inc.* | 1,200 | 36,036 |
Momentive Global, Inc.* | 4,400 | 93,060 |
NantHealth, Inc.* | 1,200 | 1,266 |
NextGen Healthcare, Inc.* | 1,804 | 32,093 |
ON24, Inc.* | 900 | 15,615 |
Outbrain, Inc.* | 300 | 4,200 |
Outset Medical, Inc.* | 1,500 | 69,135 |
PagerDuty, Inc.* | 2,600 | 90,350 |
PDF Solutions, Inc.* | 1,000 | 31,790 |
Phreesia, Inc.* | 1,600 | 66,656 |
Porch Group, Inc.* | 2,500 | 38,975 |
PowerSchool Holdings, Inc., Class A* | 1,400 | 23,058 |
Privia Health Group, Inc.* | 700 | 18,109 |
Progress Software Corp. | 1,426 | 68,833 |
PROS Holdings, Inc.* | 1,217 | 41,974 |
Rackspace Technology, Inc.* | 1,800 | 24,246 |
Sailpoint Technologies Holdings, Inc.* | 3,000 | 145,020 |
Sapiens International Corp. N.V. | 1,100 | 37,895 |
Schrodinger, Inc.* | 1,500 | 52,245 |
Simulations Plus, Inc. | 500 | 23,650 |
Smith Micro Software, Inc.* | 1,400 | 6,888 |
Sprout Social, Inc., Class A* | 1,433 | 129,959 |
SPS Commerce, Inc.* | 1,165 | 165,838 |
Sumo Logic, Inc.* | 2,700 | 36,612 |
Tabula Rasa HealthCare, Inc.* | 800 | 12,000 |
Udemy, Inc.* | 500 | 9,770 |
Upland Software, Inc.* | 900 | 16,146 |
Verint Systems, Inc.* | 2,095 | 110,009 |
Veritone, Inc.* | 800 | 17,984 |
Verra Mobility Corp.* | 4,300 | 66,349 |
Viant Technology, Inc., Class A* | 400 | 3,882 |
Workiva, Inc.* | 1,400 | 182,686 |
Xperi Holding Corp. | 3,653 | 69,078 |
Yext, Inc.* | 3,400 | 33,728 |
Ziff Davis, Inc.* | 1,403 | 155,537 |
Zuora, Inc., Class A* | 3,500 | 65,380 |
5,447,111 | ||
Telecommunications — 1.5% | ||
A10 Networks, Inc. | 1,900 | 31,502 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Telecommunications — (continued) | ||
ADTRAN, Inc. | 1,705 | $ 38,925 |
Anterix, Inc.* | 400 | 23,504 |
ATN International, Inc. | 398 | 15,900 |
Aviat Networks, Inc.* | 400 | 12,832 |
CalAmp Corp.* | 1,000 | 7,060 |
Calix, Inc.* | 1,793 | 143,386 |
Cambium Networks Corp.* | 400 | 10,252 |
Casa Systems, Inc.* | 1,200 | 6,804 |
Clearfield, Inc.* | 400 | 33,768 |
Consolidated Communications Holdings, Inc.* | 2,571 | 19,231 |
DZS, Inc.* | 600 | 9,732 |
EchoStar Corp., Class A* | 1,200 | 31,620 |
Extreme Networks, Inc.* | 4,247 | 66,678 |
Globalstar, Inc.* | 20,300 | 23,548 |
Gogo, Inc.* | 2,000 | 27,060 |
Harmonic, Inc.* | 2,870 | 33,751 |
IDT Corp., Class B* | 700 | 30,912 |
Infinera Corp.* | 5,794 | 55,565 |
InterDigital, Inc. | 994 | 71,200 |
Iridium Communications, Inc.* | 3,800 | 156,902 |
KVH Industries, Inc.* | 354 | 3,253 |
Maxar Technologies, Inc. | 2,300 | 67,919 |
NeoPhotonics Corp.* | 1,800 | 27,666 |
NETGEAR, Inc.* | 929 | 27,136 |
Ooma, Inc.* | 700 | 14,308 |
Plantronics, Inc.* | 1,367 | 40,108 |
Preformed Line Products Co. | 45 | 2,912 |
Ribbon Communications, Inc.* | 1,843 | 11,150 |
Shenandoah Telecommunications Co. | 1,518 | 38,709 |
Telephone and Data Systems, Inc. | 3,300 | 66,495 |
Telesat Corp.* | 446 | 12,787 |
United States Cellular Corp.* | 500 | 15,760 |
Viavi Solutions, Inc.* | 7,600 | 133,912 |
Vonage Holdings Corp.* | 7,900 | 164,241 |
1,476,488 | ||
Textiles — 0.1% | ||
UniFirst Corp. | 481 | 101,202 |
Toys, Games & Hobbies — 0.0% | ||
Funko, Inc., Class A* | 900 | 16,920 |
Transportation — 1.4% | ||
Air Transport Services Group, Inc.* | 1,985 | 58,319 |
ArcBest Corp. | 795 | 95,281 |
Atlas Air Worldwide Holdings, Inc.* | 948 | 89,226 |
Costamare, Inc. | 2,000 | 25,300 |
Covenant Logistics Group, Inc.* | 400 | 10,572 |
CryoPort, Inc.* | 1,300 | 76,921 |
Daseke, Inc.* | 1,300 | 13,052 |
DHT Holdings, Inc. | 4,900 | 25,431 |
Dorian LPG Ltd. | 1,032 | 13,096 |
Eagle Bulk Shipping, Inc. | 214 | 9,737 |
Forward Air Corp. | 896 | 108,497 |
Frontline Ltd.* | 4,100 | 28,987 |
Number of Shares | Value† | |
Transportation — (continued) | ||
Genco Shipping & Trading Ltd. | 1,100 | $ 17,600 |
Heartland Express, Inc. | 1,567 | 26,357 |
Hub Group, Inc., Class A* | 1,043 | 87,862 |
International Seaways, Inc. | 1,331 | 19,539 |
Marten Transport Ltd. | 2,126 | 36,482 |
Matson, Inc. | 1,400 | 126,042 |
Nordic American Tankers Ltd. | 4,767 | 8,056 |
PAM Transportation Services, Inc.* | 100 | 7,101 |
Radiant Logistics, Inc.* | 1,000 | 7,290 |
Safe Bulkers, Inc.* | 2,600 | 9,802 |
Saia, Inc.* | 876 | 295,238 |
Scorpio Tankers, Inc. | 1,440 | 18,447 |
SFL Corp., Ltd. | 3,484 | 28,395 |
Teekay Corp.* | 2,700 | 8,478 |
Teekay Tankers Ltd., Class A* | 900 | 9,810 |
Universal Logistics Holdings, Inc. | 300 | 5,658 |
US Xpress Enterprises, Inc., Class A* | 1,100 | 6,457 |
Werner Enterprises, Inc. | 2,052 | 97,798 |
Yellow Corp.* | 1,900 | 23,921 |
1,394,752 | ||
Trucking and Leasing — 0.2% | ||
GATX Corp. | 1,100 | 114,609 |
The Greenbrier Cos., Inc. | 1,047 | 48,047 |
Willis Lease Finance Corp.* | 100 | 3,765 |
166,421 | ||
Water — 0.4% | ||
American States Water Co. | 1,179 | 121,956 |
Artesian Resources Corp., Class A | 313 | 14,501 |
California Water Service Group | 1,666 | 119,719 |
Global Water Resources, Inc. | 500 | 8,550 |
Middlesex Water Co. | 531 | 63,879 |
SJW Group | 911 | 66,685 |
The York Water Co. | 397 | 19,763 |
415,053 | ||
TOTAL COMMON STOCKS (Cost $72,616,077) | 89,069,001 | |
REAL ESTATE INVESTMENT TRUSTS — 7.8% | ||
Apartments — 0.3% | ||
Apartment Investment and Management Co., Class A* | 5,000 | 38,600 |
BRT Apartments Corp. | 200 | 4,798 |
Centerspace | 461 | 51,125 |
Independence Realty Trust, Inc. | 3,592 | 92,781 |
NexPoint Residential Trust, Inc. | 700 | 58,681 |
245,985 | ||
Diversified — 1.5% | ||
Alexander & Baldwin, Inc. | 2,256 | 56,603 |
American Finance Trust, Inc. | 4,100 | 37,433 |
Armada Hoffler Properties, Inc. | 2,100 | 31,962 |
Broadstone Net Lease, Inc. | 5,000 | 124,100 |
CatchMark Timber Trust, Inc., Class A | 1,400 | 12,194 |
Number of Shares | Value† | |
REAL ESTATE INVESTMENT TRUSTS — (continued) | ||
Diversified — (continued) | ||
Clipper Realty, Inc. | 600 | $ 5,964 |
CorePoint Lodging, Inc.* | 1,550 | 24,335 |
DigitalBridge Group, Inc.* | 16,100 | 134,113 |
Farmland Partners, Inc. | 900 | 10,755 |
Gladstone Commercial Corp. | 1,252 | 32,264 |
Gladstone Land Corp. | 1,000 | 33,760 |
Global Net Lease, Inc. | 3,133 | 47,872 |
iStar, Inc. | 2,218 | 57,291 |
LXP Industrial Trust | 8,815 | 137,690 |
One Liberty Properties, Inc. | 510 | 17,993 |
Outfront Media, Inc. | 4,700 | 126,054 |
Postal Realty Trust, Inc., Class A | 500 | 9,900 |
PotlatchDeltic Corp. | 2,137 | 128,690 |
Preferred Apartment Communities, Inc. | 1,800 | 32,508 |
PS Business Parks, Inc. | 640 | 117,869 |
Safehold, Inc. | 600 | 47,910 |
The GEO Group, Inc. | 3,752 | 29,078 |
UMH Properties, Inc. | 1,468 | 40,121 |
Uniti Group, Inc. | 6,500 | 91,065 |
Washington Real Estate Investment Trust | 2,906 | 75,120 |
1,462,644 | ||
Diversified Financial Services — 0.1% | ||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 2,500 | 132,800 |
Healthcare — 0.7% | ||
CareTrust REIT, Inc. | 3,295 | 75,225 |
Community Healthcare Trust, Inc. | 800 | 37,816 |
Diversified Healthcare Trust | 8,600 | 26,574 |
Global Medical REIT, Inc. | 1,900 | 33,725 |
Healthcare Realty Trust, Inc. | 4,772 | 150,986 |
LTC Properties, Inc. | 1,217 | 41,548 |
National Health Investors, Inc. | 1,457 | 83,734 |
Physicians Realty Trust | 7,000 | 131,810 |
Sabra Health Care REIT, Inc. | 7,393 | 100,101 |
Universal Health Realty Income Trust | 420 | 24,978 |
706,497 | ||
Hotels & Resorts — 0.8% | ||
Apple Hospitality REIT, Inc. | 7,200 | 116,280 |
Ashford Hospitality Trust, Inc.* | 390 | 3,744 |
Braemar Hotels & Resorts, Inc.* | 1,700 | 8,670 |
Chatham Lodging Trust* | 1,500 | 20,580 |
DiamondRock Hospitality Co.* | 7,023 | 67,491 |
Hersha Hospitality Trust* | 1,117 | 10,243 |
Pebblebrook Hotel Trust | 4,193 | 93,797 |
RLJ Lodging Trust | 5,680 | 79,122 |
Ryman Hospitality Properties, Inc.* | 1,712 | 157,436 |
Service Properties Trust | 5,500 | 48,345 |
Summit Hotel Properties, Inc.* | 3,400 | 33,184 |
Sunstone Hotel Investors, Inc.* | 7,447 | 87,353 |
Xenia Hotels & Resorts, Inc.* | 3,700 | 67,007 |
793,252 |
Number of Shares | Value† | |
Industrial — 0.9% | ||
EastGroup Properties, Inc. | 1,312 | $ 298,939 |
Indus Realty Trust, Inc. | 101 | 8,187 |
Innovative Industrial Properties, Inc. | 765 | 201,126 |
Monmouth Real Estate Investment Corp. | 3,049 | 64,060 |
STAG lndustrial, Inc. | 5,700 | 273,372 |
845,684 | ||
Mortgage Banks — 1.1% | ||
AFC Gamma, Inc. | 300 | 6,828 |
Apollo Commercial Real Estate Finance, Inc. | 4,856 | 63,905 |
Arbor Realty Trust, Inc. | 4,500 | 82,440 |
Ares Commercial Real Estate Corp. | 1,500 | 21,810 |
ARMOUR Residential REIT, Inc. | 2,875 | 28,204 |
Blackstone Mortgage Trust, Inc., Class A | 5,200 | 159,224 |
BrightSpire Capital, Inc. | 2,700 | 27,702 |
Broadmark Realty Capital, Inc. | 3,900 | 36,777 |
Chimera Investment Corp. | 7,800 | 117,624 |
Dynex Capital, Inc. | 1,269 | 21,205 |
Ellington Financial, Inc. | 1,600 | 27,344 |
Franklin BSP Realty Trust, Inc. | 912 | 13,625 |
Granite Point Mortgage Trust, Inc. | 1,700 | 19,907 |
Great Ajax Corp. | 622 | 8,186 |
Invesco Mortgage Capital, Inc. | 10,125 | 28,147 |
KKR Real Estate Finance Trust, Inc. | 1,200 | 24,996 |
Ladder Capital Corp. | 3,976 | 47,672 |
MFA Financial, Inc. | 14,300 | 65,208 |
New York Mortgage Trust, Inc. | 13,400 | 49,848 |
Orchid Island Capital, Inc. | 4,400 | 19,800 |
PennyMac Mortgage Investment Trust | 3,392 | 58,783 |
Ready Capital Corp. | 1,782 | 27,853 |
Redwood Trust, Inc. | 3,577 | 47,181 |
TPG RE Finance Trust, Inc. | 1,700 | 20,944 |
Two Harbors Investment Corp. | 10,200 | 58,854 |
1,084,067 | ||
Office Property — 0.7% | ||
American Assets Trust, Inc. | 1,700 | 63,801 |
Brandywine Realty Trust | 5,500 | 73,810 |
City Office REIT, Inc. | 1,400 | 27,608 |
Corporate Office Properties Trust | 3,700 | 103,489 |
Easterly Government Properties, Inc. | 2,700 | 61,884 |
Empire State Realty Trust, Inc., Class A | 4,700 | 41,830 |
Equity Commonwealth* | 3,800 | 98,420 |
Franklin Street Properties Corp. | 3,145 | 18,713 |
Office Properties Income Trust | 1,669 | 41,458 |
Paramount Group, Inc. | 6,100 | 50,874 |
Piedmont Office Realty Trust, Inc., Class A | 3,900 | 71,682 |
Veris Residential, Inc.* | 3,100 | 56,978 |
710,547 | ||
Real Estate — 0.0% | ||
Angel Oak Mortgage, Inc. | 200 | 3,276 |
Number of Shares | Value† | |
REAL ESTATE INVESTMENT TRUSTS — (continued) | ||
Regional Malls — 0.2% | ||
Tanger Factory Outlet Centers, Inc. | 3,200 | $ 61,696 |
The Macerich Co. | 6,900 | 119,232 |
180,928 | ||
Single Tenant — 0.4% | ||
Agree Realty Corp. | 2,196 | 156,707 |
CTO Realty Growth, Inc. | 153 | 9,397 |
Essential Properties Realty Trust, Inc. | 3,800 | 109,554 |
Four Corners Property Trust, Inc. | 2,500 | 73,525 |
Getty Realty Corp. | 1,369 | 43,931 |
393,114 | ||
Storage & Warehousing — 0.5% | ||
Industrial Logistics Properties Trust | 2,258 | 56,563 |
National Storage Affiliates Trust | 2,700 | 186,840 |
Plymouth Industrial REIT, Inc. | 1,000 | 32,000 |
Terreno Realty Corp. | 2,375 | 202,564 |
477,967 | ||
Strip Centers — 0.6% | ||
Acadia Realty Trust | 3,020 | 65,927 |
Alexander's, Inc. | 69 | 17,961 |
Kite Realty Group Trust | 7,149 | 155,705 |
NETSTREIT Corp. | 1,300 | 29,770 |
Phillips Edison & Co., Inc. | 600 | 19,824 |
Retail Opportunity Investments Corp. | 4,100 | 80,360 |
Retail Value, Inc. | 551 | 3,537 |
RPT Realty | 2,641 | 35,336 |
Saul Centers, Inc. | 351 | 18,610 |
Seritage Growth Properties, Class A* | 1,100 | 14,597 |
SITE Centers Corp. | 5,600 | 88,648 |
Urban Edge Properties | 3,900 | 74,100 |
Urstadt Biddle Properties, Inc., Class A | 916 | 19,511 |
Whitestone REIT | 1,400 | 14,182 |
638,068 | ||
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $6,545,280) | 7,674,829 | |
RIGHTS — 0.0% | ||
Aduro Biotech CVR* | 560 | 73 |
Chelsea Therapeutics International Ltd. CVR* | 1,600 | 0 |
Cubist Pharmaceuticals, Inc.* | 1,200 | 0 |
Durata Therapeutics CVR Shares* | 500 | 0 |
Media General CVR* | 4,400 | 440 |
Progenic Pharmaceuticals CVR* | 2,601 | 111 |
Tobira Therapeutic, Inc. CVR* | 400 | 5,668 |
TOTAL RIGHTS (Cost $152) | 6,292 | |
WARRANTS — 0.0% | ||
Whiting Petroleum Corp., Class A Expiration Date 12/31/25* | 204 | 2,827 |
Whiting Petroleum Corp., Class B Expiration Date 12/31/25* | 102 | 1,204 |
Number of Shares | Value† | |
Nabors Industries Ltd. Expiration Date 06/11/26* | 87 | $ 324 |
TOTAL WARRANTS (Cost $3,666) | 4,355 |
SHORT-TERM INVESTMENTS — 1.4% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 0.030%) (Cost $1,391,798) | 1,391,798 | 1,391,798 |
TOTAL INVESTMENTS — 99.3% (Cost $80,556,973) | $ 98,146,275 | |
Other Assets & Liabilities — 0.7% | 680,795 | |
TOTAL NET ASSETS — 100.0% | $ 98,827,070 |
† | See Security Valuation Note. |
* | Non-income producing security. |
(1) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Valuation Hierarchy table located at the end of the Schedule of Investments. |
CVR— Contingent Valued Rights. |
N.V.— Naamloze Vennootschap. |
PLC— Public Limited Company. |
REIT— Real Estate Investment Trust. |
S.A.— Societe Anonyme. |
S.E.— Societas Europaea. |
COMMON STOCKS INDUSTRY DIVERSIFICATION | % of Market Value | Value† |
Advertising | 0.1% | $ 130,836 |
Aerospace & Defense | 0.6% | 556,633 |
Agriculture | 0.3% | 250,709 |
Airlines | 0.3% | 303,352 |
Apparel | 0.8% | 700,355 |
Auto Manufacturers | 0.3% | 304,856 |
Auto Parts & Equipment | 1.6% | 1,452,002 |
Banks | 9.3% | 8,301,779 |
Beverages | 0.5% | 429,916 |
Biotechnology | 8.1% | 7,205,299 |
Building Materials | 1.5% | 1,365,132 |
Chemicals | 2.0% | 1,815,042 |
Coal | 0.2% | 157,018 |
Commercial Services | 5.3% | 4,683,061 |
Computers | 2.5% | 2,213,459 |
Cosmetics & Personal Care | 0.3% | 295,481 |
Distribution & Wholesale | 0.9% | 817,023 |
Diversified Financial Services | 2.8% | 2,455,974 |
Electric | 1.5% | 1,305,095 |
Electrical Components & Equipment | 0.8% | 705,334 |
Electronics | 1.9% | 1,720,137 |
COMMON STOCKS INDUSTRY DIVERSIFICATION | % of Market Value | Value† |
Energy-Alternate Sources | 0.6% | $ 567,130 |
Engineering & Construction | 1.7% | 1,512,469 |
Entertainment | 1.7% | 1,546,139 |
Environmental Control | 1.0% | 853,120 |
Food | 1.7% | 1,526,847 |
Food Service | 0.1% | 57,938 |
Forest Products & Paper | 0.1% | 127,337 |
Gas | 1.0% | 854,573 |
Hand & Machine Tools | 0.3% | 255,270 |
Healthcare Products | 4.2% | 3,733,305 |
Healthcare Services | 2.2% | 1,928,911 |
Home Builders | 1.7% | 1,473,273 |
Home Furnishings | 0.5% | 476,209 |
Household Products & Wares | 0.5% | 429,276 |
Housewares | 0.0% | 33,910 |
Insurance | 2.5% | 2,250,519 |
Internet | 2.1% | 1,884,309 |
Investment Companies | 0.0% | 6,131 |
Iron & Steel | 0.3% | 295,764 |
Leisure Time | 0.6% | 525,410 |
Lodging | 0.2% | 205,738 |
Machinery — Construction & Mining | 0.4% | 316,222 |
Machinery — Diversified | 2.1% | 1,844,249 |
Media | 0.7% | 665,168 |
Metal Fabricate/Hardware | 0.8% | 690,122 |
Mining | 1.0% | 853,545 |
Miscellaneous Manufacturing | 1.1% | 1,019,230 |
Office & Business Equipment | 0.0% | 39,780 |
Office Furnishings | 0.2% | 136,060 |
Oil & Gas | 3.1% | 2,800,374 |
Oil & Gas Services | 0.6% | 559,256 |
Packaging and Containers | 0.3% | 246,708 |
Pharmaceuticals | 3.2% | 2,816,070 |
Pipelines | 0.2% | 181,092 |
Real Estate | 0.9% | 809,993 |
Retail | 5.5% | 4,886,141 |
Savings & Loans | 1.1% | 956,439 |
Semiconductors | 4.0% | 3,518,534 |
Software | 6.1% | 5,447,111 |
Telecommunications | 1.7% | 1,476,488 |
Textiles | 0.1% | 101,202 |
COMMON STOCKS INDUSTRY DIVERSIFICATION | % of Market Value | Value† | |
Toys, Games & Hobbies | 0.0% | $ 16,920 | |
Transportation | 1.6% | 1,394,752 | |
Trucking and Leasing | 0.2% | 166,421 | |
Water | 0.5% | 415,053 | |
100.0% | $89,069,001 |
ASSETS TABLE | ||||
Description | Total Market Value at 12/31/2021 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Common Stocks | $89,069,001 | $89,069,001 | $ — | $— |
Real Estate Investment Trusts | 7,674,829 | 7,674,829 | — | — |
Rights | 6,292 | — | 6,292 | — |
Warrants | 4,355 | 4,355 | — | — |
Short-Term Investments | 1,391,798 | 1,391,798 | — | — |
Total Investments | $ 98,146,275 | $ 98,139,983 | $ 6,292 | $ — |
Other Financial Instruments(1) | ||||
Futures Contracts | $ 23,452 | $ 23,452 | $ — | $— |
Total Assets—Other Financial Instruments | $ 23,452 | $ 23,452 | $ — | $ — |
(1) | Other financial instruments are derivative instruments not reflected in the value of total investments in securities in the Schedule of Investments such as future contracts and forward foreign currency contracts which are valued at the unrealized appreciation (depreciation) on the instrument. |
Futures Contracts: Exchange Traded | ||||||||||||||||
Type | Futures Contract | Expiration Date | Numbers of Contracts | Units per Contract | Closing Price | Notional Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||
Long | E-Mini Russell 2000 Index | 03/18/22 | 14 | 50 | $2,243 | $1,569,960 | $23,452 | $— | ||||||||
$23,452 | $— |
Number of Shares | Value† | |
COMMON STOCKS — 96.1% | ||
Australia — 6.9% | ||
Afterpay Ltd.* | 1,413 | $ 85,337 |
Ampol Ltd. | 1,380 | 29,779 |
APA Group | 7,495 | 54,857 |
Aristocrat Leisure Ltd. | 3,614 | 114,561 |
ASX Ltd. | 1,293 | 87,393 |
Aurizon Holdings Ltd. | 11,109 | 28,207 |
AusNet Services Ltd. | 13,578 | 25,388 |
Australia & New Zealand Banking Group Ltd. | 18,120 | 362,670 |
BHP Group Ltd. | 18,952 | 572,224 |
BHP Group PLC | 13,382 | 398,400 |
BlueScope Steel Ltd. | 3,125 | 47,518 |
Brambles Ltd. | 9,348 | 72,296 |
Cochlear Ltd. | 418 | 65,726 |
Coles Group Ltd. | 8,403 | 109,678 |
Commonwealth Bank of Australia | 11,278 | 828,736 |
Computershare Ltd. | 3,311 | 48,178 |
Crown Resorts Ltd.* | 2,801 | 24,373 |
CSL Ltd. | 3,047 | 644,481 |
Dexus | 6,877 | 55,637 |
Domino's Pizza Enterprises Ltd. | 429 | 36,839 |
Endeavour Group Ltd. | 8,189 | 40,156 |
Evolution Mining Ltd. | 11,549 | 34,114 |
Fortescue Metals Group Ltd. | 11,074 | 154,773 |
Goodman Group | 10,813 | 208,475 |
IDP Education Ltd. | 1,331 | 33,554 |
Insurance Australia Group Ltd. | 15,259 | 47,293 |
Lendlease Corp. Ltd. | 4,333 | 33,700 |
Macquarie Group Ltd. | 2,210 | 330,260 |
Magellan Financial Group Ltd. | 818 | 12,641 |
Medibank Pvt. Ltd. | 17,418 | 42,453 |
Mirvac Group | 24,397 | 51,653 |
National Australia Bank Ltd. | 21,146 | 443,697 |
Newcrest Mining Ltd. | 5,206 | 92,721 |
Northern Star Resources Ltd. | 7,569 | 51,819 |
Orica Ltd. | 2,861 | 28,496 |
Origin Energy Ltd. | 10,447 | 39,828 |
Qantas Airways Ltd.* | 5,515 | 20,102 |
QBE Insurance Group Ltd. | 9,279 | 76,623 |
Ramsay Health Care Ltd. | 1,112 | 57,846 |
REA Group Ltd. | 317 | 38,663 |
Reece Ltd. | 2,060 | 40,511 |
Rio Tinto Ltd. | 2,412 | 175,678 |
Santos Ltd. | 19,013 | 87,286 |
Scentre Group | 34,304 | 78,867 |
SEEK Ltd. | 2,271 | 54,161 |
Sonic Healthcare Ltd. | 2,969 | 100,725 |
South32 Ltd. | 21,214 | 61,891 |
South32 Ltd. | 9,351 | 27,466 |
Stockland | 14,818 | 45,711 |
Suncorp Group Ltd. | 8,248 | 66,429 |
Sydney Airport* | 8,238 | 52,024 |
Tabcorp Holdings Ltd. | 15,195 | 55,497 |
Telstra Corp. Ltd. | 27,472 | 83,547 |
The GPT Group | 11,476 | 45,254 |
Number of Shares | Value† | |
Australia — (continued) | ||
The GPT Group-In Specie* | 16,419 | $ 0 |
Transurban Group | 19,841 | 199,496 |
Treasury Wine Estates Ltd. | 4,544 | 40,928 |
Vicinity Centres | 25,092 | 30,852 |
Washington H. Soul Pattinson & Co., Ltd. | 1,381 | 29,751 |
Wesfarmers Ltd. | 7,261 | 313,267 |
Westpac Banking Corp. | 23,432 | 363,974 |
WiseTech Global Ltd. | 856 | 36,483 |
Woodside Petroleum Ltd. | 6,168 | 98,412 |
Woolworths Group Ltd. | 8,189 | 226,460 |
7,845,815 | ||
Austria — 0.2% | ||
Erste Group Bank AG | 2,193 | 103,240 |
OMV AG | 924 | 52,546 |
Raiffeisen Bank International AG | 837 | 24,662 |
Verbund AG | 423 | 47,629 |
voestalpine AG | 691 | 25,174 |
253,251 | ||
Belgium — 0.8% | ||
Ageas N.V. | 1,053 | 54,607 |
Anheuser-Busch InBev N.V. | 4,838 | 292,864 |
Elia Group S.A. | 220 | 28,979 |
Etablissements Franz Colruyt N.V. | 375 | 15,908 |
Groupe Bruxelles Lambert S.A. | 714 | 79,793 |
KBC Group N.V. | 1,640 | 140,894 |
Proximus SADP | 1,133 | 22,109 |
Sofina S.A. | 94 | 46,232 |
Solvay S.A. | 458 | 53,291 |
UCB S.A. | 822 | 93,912 |
Umicore S.A. | 1,237 | 50,348 |
878,937 | ||
Chile — 0.0% | ||
Antofagasta PLC | 2,581 | 46,761 |
Denmark — 2.6% | ||
A.P. Moller - Maersk A/S, Class A | 20 | 66,687 |
A.P. Moller - Maersk A/S, Class B | 36 | 129,240 |
Ambu A/S, Class B | 1,031 | 27,306 |
Carlsberg AS, Class B | 626 | 108,246 |
Chr Hansen Holding A/S | 695 | 54,838 |
Coloplast A/S, Class B | 752 | 132,508 |
Danske Bank A/S | 4,326 | 74,804 |
Demant A/S* | 713 | 36,577 |
DSV A/S | 1,300 | 304,001 |
Genmab A/S* | 422 | 169,910 |
GN Store Nord A/S | 818 | 51,507 |
Novo Nordisk A/S, Class B | 10,715 | 1,205,674 |
Novozymes A/S, Class B | 1,342 | 110,367 |
Orsted A/S | 1,193 | 152,539 |
Pandora A/S | 618 | 77,145 |
ROCKWOOL International A/S, Class B | 55 | 24,081 |
Tryg A/S | 2,090 | 51,674 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Denmark — (continued) | ||
Vestas Wind Systems A/S | 6,525 | $ 199,784 |
2,976,888 | ||
Finland — 1.2% | ||
Elisa OYJ | 882 | 54,345 |
Fortum OYJ | 2,873 | 88,282 |
Kesko OYJ, Class B | 1,700 | 56,786 |
Kone OYJ, Class B | 2,219 | 159,260 |
Neste OYJ | 2,763 | 136,396 |
Nokia OYJ* | 34,728 | 220,384 |
Nordea Bank Abp | 20,474 | 250,368 |
Orion OYJ, Class B | 750 | 31,184 |
Sampo OYJ, Class A | 3,183 | 159,667 |
Stora Enso OYJ, Class R | 3,880 | 71,296 |
UPM-Kymmene OYJ | 3,513 | 133,825 |
Wartsila OYJ Abp | 3,006 | 42,300 |
1,404,093 | ||
France — 10.9% | ||
Accor S.A.* | 1,184 | 38,350 |
Aeroports de Paris* | 215 | 27,733 |
Air Liquide S.A. | 3,042 | 530,996 |
Airbus S.E.* | 3,774 | 482,777 |
Alstom S.A. | 1,895 | 67,356 |
Amundi S.A. | 376 | 31,057 |
Arkema S.A. | 377 | 53,158 |
AXA S.A. | 12,391 | 369,396 |
BioMerieux | 262 | 37,256 |
BNP Paribas S.A. | 7,198 | 498,005 |
Bollore S.A. | 5,730 | 32,096 |
Bouygues S.A. | 1,412 | 50,622 |
Bureau Veritas S.A. | 1,821 | 60,496 |
Capgemini S.E. | 1,034 | 253,689 |
Carrefour S.A. | 3,954 | 72,499 |
Cie de Saint-Gobain | 3,268 | 230,195 |
Cie Generale des Etablissements Michelin SCA | 1,100 | 180,526 |
CNP Assurances | 1,195 | 29,591 |
Covivio | 344 | 28,277 |
Credit Agricole S.A. | 7,440 | 106,304 |
Danone S.A. | 4,226 | 262,649 |
Dassault Aviation S.A. | 180 | 19,468 |
Dassault Systemes S.E. | 4,202 | 250,250 |
Edenred | 1,545 | 71,362 |
Eiffage S.A. | 567 | 58,395 |
Electricite de France S.A. | 3,137 | 36,893 |
Engie S.A. | 11,581 | 171,589 |
EssilorLuxottica S.A. | 1,828 | 389,680 |
Eurazeo S.E. | 255 | 22,296 |
Faurecia S.E. | 683 | 32,527 |
Faurecia S.E. | 126 | 5,893 |
Gecina S.A. | 294 | 41,137 |
Getlink S.E. | 2,692 | 44,624 |
Hermes International | 204 | 356,742 |
Ipsen S.A. | 217 | 19,888 |
Kering S.A. | 475 | 382,283 |
Number of Shares | Value† | |
France — (continued) | ||
Klepierre S.A.* | 1,415 | $ 33,589 |
La Francaise des Jeux SAEM | 613 | 27,176 |
Legrand S.A. | 1,731 | 202,789 |
L'Oreal S.A. | 1,595 | 757,143 |
LVMH Moet Hennessy Louis Vuitton S.E. | 1,767 | 1,462,527 |
Orange S.A. | 12,986 | 139,167 |
Orpea S.A. | 314 | 31,495 |
Pernod Ricard S.A. | 1,337 | 321,940 |
Publicis Groupe S.A. | 1,467 | 98,875 |
Remy Cointreau S.A. | 160 | 38,982 |
Renault S.A.* | 1,171 | 40,722 |
Safran S.A. | 2,162 | 264,998 |
Sanofi | 7,289 | 735,083 |
Sartorius Stedim Biotech | 179 | 98,309 |
Schneider Electric S.E. | 3,463 | 679,945 |
SEB S.A. | 147 | 22,912 |
Societe Generale S.A. | 5,212 | 179,232 |
Sodexo S.A. | 562 | 49,306 |
Suez S.A. | 2,325 | 52,437 |
Teleperformance | 373 | 166,467 |
Thales S.A. | 680 | 57,909 |
TotalEnergies S.E. | 16,070 | 816,537 |
Ubisoft Entertainment S.A.* | 622 | 30,500 |
Unibail-Rodamco-Westfield* | 660 | 46,302 |
Unibail-Rodamco-Westfield* | 2,500 | 8,676 |
Valeo | 1,447 | 43,788 |
Veolia Environnement S.A. | 4,306 | 158,151 |
Vinci S.A. | 3,402 | 359,857 |
Vivendi S.E. | 4,675 | 63,284 |
Wendel S.E. | 185 | 22,200 |
Worldline S.A.* | 1,504 | 83,920 |
12,440,273 | ||
Germany — 8.0% | ||
adidas AG | 1,217 | 350,822 |
Allianz S.E. | 2,619 | 619,157 |
BASF S.E. | 5,875 | 413,227 |
Bayer AG | 6,223 | 332,990 |
Bayerische Motoren Werke AG | 2,090 | 210,559 |
Bechtle AG | 564 | 40,415 |
Beiersdorf AG | 673 | 69,250 |
Brenntag S.E. | 1,011 | 91,598 |
Carl Zeiss Meditec AG | 250 | 52,613 |
Commerzbank AG* | 6,847 | 52,143 |
Continental AG* | 734 | 77,808 |
Covestro AG | 1,214 | 74,912 |
Daimler AG | 5,477 | 421,462 |
Daimler Truck Holding AG* | 2,738 | 100,655 |
Delivery Hero S.E.* | 1,001 | 111,685 |
Deutsche Bank AG* | 13,202 | 165,606 |
Deutsche Boerse AG | 1,210 | 202,643 |
Deutsche Lufthansa AG* | 3,546 | 24,949 |
Deutsche Post AG | 6,360 | 409,398 |
Deutsche Telekom AG | 21,319 | 395,628 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Germany — (continued) | ||
E.ON S.E. | 14,614 | $ 202,851 |
Evonik Industries AG | 1,328 | 43,045 |
Fresenius Medical Care AG & Co., KGaA | 1,307 | 85,025 |
Fresenius S.E. & Co., KGaA | 2,688 | 108,334 |
GEA Group AG | 932 | 51,027 |
Hannover Rueck S.E. | 392 | 74,598 |
HeidelbergCement AG | 971 | 65,798 |
HelloFresh S.E.* | 1,016 | 78,125 |
Henkel AG & Co., KGaA | 685 | 53,577 |
Infineon Technologies AG | 8,345 | 387,252 |
KION Group AG | 441 | 48,440 |
Knorr-Bremse AG | 447 | 44,224 |
LANXESS AG | 503 | 31,210 |
LEG Immobilien S.E. | 468 | 65,377 |
Merck KGaA | 821 | 212,179 |
MTU Aero Engines AG | 338 | 69,035 |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 900 | 266,921 |
Nemetschek S.E. | 350 | 44,948 |
Puma S.E. | 591 | 72,332 |
Rational AG | 35 | 35,879 |
RWE AG | 4,070 | 165,516 |
SAP S.E. | 6,640 | 944,199 |
Scout24 S.E. | 551 | 38,530 |
Siemens AG | 4,864 | 845,491 |
Siemens Energy AG* | 2,663 | 68,186 |
Siemens Healthineers AG | 1,732 | 129,789 |
Symrise AG | 817 | 121,199 |
Telefonica Deutschland Holding AG | 5,808 | 16,141 |
Uniper S.E. | 601 | 28,601 |
United Internet AG | 668 | 26,572 |
Vitesco Technologies Group AG, Class A* | 146 | 7,181 |
Volkswagen AG | 205 | 60,309 |
Vonovia S.E. | 4,631 | 255,711 |
Zalando S.E.* | 1,430 | 115,820 |
9,080,942 | ||
Hong Kong — 2.6% | ||
AIA Group Ltd. | 77,000 | 776,167 |
BOC Hong Kong Holdings Ltd. | 24,000 | 78,640 |
Budweiser Brewing Co., APAC, Ltd. | 11,100 | 29,111 |
Chow Tai Fook Jewellery Group Ltd.* | 14,600 | 26,251 |
CK Asset Holdings Ltd. | 13,034 | 82,157 |
CK Hutchison Holdings Ltd. | 17,128 | 110,488 |
CK Infrastructure Holdings Ltd. | 4,000 | 25,470 |
CLP Holdings Ltd. | 10,000 | 100,993 |
ESR Cayman Ltd.* | 11,600 | 39,199 |
Futu Holdings Ltd., ADR* | 300 | 12,990 |
Galaxy Entertainment Group Ltd.* | 14,000 | 72,536 |
Hang Lung Properties Ltd. | 14,000 | 28,799 |
Hang Seng Bank Ltd. | 5,100 | 93,333 |
Henderson Land Development Co., Ltd. | 8,891 | 37,856 |
Number of Shares | Value† | |
Hong Kong — (continued) | ||
HK Electric Investments & HK Electric Investments Ltd. | 20,777 | $ 20,384 |
HKT Trust & HKT Ltd. | 25,240 | 33,923 |
Hong Kong & China Gas Co., Ltd. | 71,112 | 110,714 |
Hong Kong Exchanges & Clearing Ltd. | 7,684 | 448,768 |
Hongkong Land Holdings Ltd. | 7,400 | 38,480 |
Jardine Matheson Holdings Ltd. | 1,400 | 77,014 |
Link REIT | 13,702 | 120,636 |
Melco Resorts & Entertainment Ltd., ADR* | 1,367 | 13,916 |
MTR Corp. Ltd. | 9,671 | 51,905 |
New World Development Co., Ltd. | 10,458 | 41,376 |
Power Assets Holdings Ltd. | 9,500 | 59,211 |
Sino Land Co., Ltd. | 18,095 | 22,533 |
SITC International Holdings Co., Ltd. | 9,000 | 32,549 |
Sun Hung Kai Properties Ltd. | 8,161 | 99,009 |
Swire Pacific Ltd., Class A | 3,500 | 19,907 |
Swire Properties Ltd. | 7,136 | 17,882 |
Techtronic Industries Co., Ltd. | 8,500 | 169,181 |
WH Group Ltd. | 46,372 | 29,081 |
Wharf Real Estate Investment Co., Ltd. | 11,000 | 55,864 |
Xinyi Glass Holdings Ltd. | 12,000 | 30,009 |
3,006,332 | ||
Ireland — 1.1% | ||
CRH PLC | 4,923 | 260,737 |
DCC PLC | 613 | 50,199 |
Experian PLC | 5,862 | 288,181 |
Flutter Entertainment PLC* | 1,078 | 170,595 |
James Hardie Industries PLC | 2,913 | 117,200 |
Kerry Group PLC, Class A | 1,018 | 131,256 |
Kingspan Group PLC | 981 | 117,271 |
Smurfit Kappa Group PLC | 1,508 | 83,165 |
1,218,604 | ||
Israel — 0.7% | ||
Azrieli Group Ltd. | 283 | 27,035 |
Bank Hapoalim BM | 7,162 | 73,948 |
Bank Leumi Le-Israel BM | 9,130 | 98,232 |
Check Point Software Technologies Ltd.* | 712 | 82,991 |
CyberArk Software Ltd.* | 200 | 34,656 |
Elbit Systems Ltd. | 186 | 32,247 |
Fiverr International Ltd.* | 200 | 22,740 |
ICL Group Ltd. | 4,391 | 42,385 |
Inmode Ltd.* | 300 | 21,174 |
Israel Discount Bank Ltd., Class A | 7,042 | 47,431 |
Kornit Digital Ltd.* | 300 | 45,675 |
Mizrahi Tefahot Bank Ltd. | 962 | 37,131 |
Nice Ltd.* | 415 | 127,038 |
Teva Pharmaceutical Industries Ltd.* | 6,350 | 55,045 |
Teva Pharmaceutical Industries Ltd., ADR* | 500 | 4,005 |
Wix.com Ltd.* | 359 | 56,647 |
808,380 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Italy — 2.0% | ||
Amplifon SpA | 856 | $ 46,243 |
Assicurazioni Generali SpA | 6,950 | 147,411 |
Atlantia SpA* | 3,017 | 59,955 |
Davide Campari-Milano N.V. | 3,207 | 46,936 |
DiaSorin SpA | 180 | 34,316 |
Enel SpA | 51,567 | 413,664 |
Eni SpA | 16,285 | 226,565 |
Ferrari N.V. | 796 | 206,171 |
FinecoBank Banca Fineco SpA | 3,910 | 68,709 |
Infrastrutture Wireless Italiane SpA | 1,712 | 20,817 |
Intesa Sanpaolo SpA | 105,143 | 272,210 |
Mediobanca Banca di Credito Finanziario SpA | 3,828 | 44,061 |
Moncler SpA | 1,251 | 91,181 |
Nexi SpA* | 2,687 | 42,797 |
Poste Italiane SpA | 3,626 | 47,639 |
Prysmian SpA | 1,675 | 63,140 |
Recordati Industria Chimica e Farmaceutica SpA | 726 | 46,700 |
Snam SpA | 13,027 | 78,606 |
Telecom Italia SpA | 60,149 | 29,734 |
Terna - Rete Elettrica Nazionale | 8,790 | 71,193 |
UniCredit SpA | 13,413 | 206,826 |
2,264,874 | ||
Japan — 21.7% | ||
Advantest Corp. | 1,300 | 123,185 |
Aeon Co., Ltd. | 4,300 | 101,267 |
AGC, Inc. | 1,200 | 57,272 |
Aisin Corp. | 1,000 | 38,338 |
Ajinomoto Co., Inc. | 3,000 | 91,202 |
ANA Holdings, Inc.* | 800 | 16,723 |
Asahi Group Holdings Ltd. | 2,900 | 112,793 |
Asahi Intecc Co., Ltd. | 1,400 | 30,074 |
Asahi Kasei Corp. | 8,100 | 76,120 |
Astellas Pharma, Inc. | 11,800 | 191,879 |
Azbil Corp. | 800 | 36,443 |
Bandai Namco Holdings, Inc. | 1,300 | 101,645 |
Benefit One, Inc. | 500 | 21,451 |
Bridgestone Corp. | 3,600 | 154,885 |
Brother Industries Ltd. | 1,500 | 28,832 |
Canon, Inc. | 6,400 | 155,841 |
Capcom Co., Ltd. | 1,200 | 28,250 |
Central Japan Railway Co. | 900 | 120,060 |
Chubu Electric Power Co., Inc. | 4,100 | 43,199 |
Chugai Pharmaceutical Co., Ltd. | 4,300 | 139,620 |
Concordia Financial Group Ltd. | 7,200 | 26,164 |
Cosmos Pharmaceutical Corp. | 100 | 14,718 |
CyberAgent, Inc. | 2,400 | 39,934 |
Dai Nippon Printing Co., Ltd. | 1,400 | 35,210 |
Daifuku Co., Ltd. | 600 | 49,031 |
Dai-ichi Life Holdings, Inc. | 6,500 | 131,407 |
Daiichi Sankyo Co., Ltd. | 11,100 | 282,252 |
Daikin Industries Ltd. | 1,600 | 362,897 |
Daito Trust Construction Co., Ltd. | 400 | 45,797 |
Number of Shares | Value† | |
Japan — (continued) | ||
Daiwa House Industry Co., Ltd. | 3,600 | $ 103,528 |
Daiwa House REIT Investment Corp. | 13 | 39,385 |
Daiwa Securities Group, Inc. | 9,300 | 52,446 |
Denso Corp. | 2,800 | 231,950 |
Dentsu Group, Inc. | 1,300 | 46,336 |
Disco Corp. | 200 | 61,114 |
East Japan Railway Co. | 1,900 | 116,828 |
Eisai Co., Ltd. | 1,500 | 85,165 |
ENEOS Holdings, Inc. | 20,490 | 76,648 |
FANUC Corp. | 1,200 | 254,334 |
Fast Retailing Co., Ltd. | 400 | 227,106 |
Fuji Electric Co., Ltd. | 800 | 43,676 |
FUJIFILM Holdings Corp. | 2,300 | 170,475 |
Fujitsu Ltd. | 1,200 | 205,825 |
GLP J-Reit | 26 | 44,957 |
GMO Payment Gateway, Inc. | 300 | 37,425 |
Hakuhodo DY Holdings, Inc. | 1,500 | 24,985 |
Hamamatsu Photonics K.K. | 900 | 57,428 |
Hankyu Hanshin Holdings, Inc. | 1,400 | 39,737 |
Hikari Tsushin, Inc. | 100 | 15,396 |
Hino Motors Ltd. | 2,000 | 16,483 |
Hirose Electric Co., Ltd. | 220 | 36,989 |
Hitachi Construction Machinery Co., Ltd. | 700 | 20,234 |
Hitachi Ltd. | 6,200 | 335,791 |
Hitachi Metals Ltd.* | 1,400 | 25,936 |
Honda Motor Co., Ltd. | 10,400 | 292,028 |
Hoshizaki Corp. | 300 | 22,559 |
Hoya Corp. | 2,300 | 342,111 |
Hulic Co., Ltd. | 2,000 | 18,986 |
Ibiden Co., Ltd. | 700 | 41,624 |
Idemitsu Kosan Co., Ltd. | 1,356 | 34,622 |
Iida Group Holdings Co., Ltd. | 1,000 | 23,263 |
Inpex Corp. | 6,400 | 55,749 |
Isuzu Motors Ltd. | 3,400 | 42,297 |
Ito En Ltd. | 400 | 21,003 |
ITOCHU Corp. | 7,500 | 229,375 |
Itochu Techno-Solutions Corp. | 700 | 22,516 |
Japan Airlines Co., Ltd.* | 800 | 15,273 |
Japan Exchange Group, Inc. | 3,300 | 72,237 |
Japan Metropolitan Fund Invest | 48 | 41,353 |
Japan Post Bank Co., Ltd. | 3,000 | 27,515 |
Japan Post Holdings Co., Ltd.* | 15,700 | 122,401 |
Japan Post Insurance Co., Ltd. | 1,100 | 17,691 |
Japan Real Estate Investment Corp. | 8 | 45,414 |
Japan Tobacco, Inc. | 7,800 | 157,485 |
JFE Holdings, Inc. | 3,000 | 38,260 |
JSR Corp. | 1,200 | 45,640 |
Kajima Corp. | 2,800 | 32,155 |
Kakaku.com, Inc. | 900 | 24,020 |
Kansai Paint Co., Ltd. | 1,100 | 23,907 |
Kao Corp. | 3,100 | 162,209 |
KDDI Corp. | 10,300 | 301,040 |
Keio Corp. | 700 | 30,853 |
Keisei Electric Railway Co., Ltd. | 800 | 21,629 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Japan — (continued) | ||
Keyence Corp. | 1,195 | $750,888 |
Kikkoman Corp. | 900 | 75,658 |
Kintetsu Group Holdings Co., Ltd.* | 1,100 | 30,744 |
Kirin Holdings Co., Ltd. | 5,200 | 83,495 |
Kobayashi Pharmaceutical Co., Ltd. | 300 | 23,576 |
Kobe Bussan Co., Ltd. | 800 | 30,983 |
Koei Tecmo Holdings Co., Ltd. | 390 | 15,342 |
Koito Manufacturing Co., Ltd. | 700 | 37,060 |
Komatsu Ltd. | 5,500 | 128,786 |
Konami Holdings Corp. | 600 | 28,792 |
Kose Corp. | 200 | 22,690 |
Kubota Corp. | 6,500 | 144,291 |
Kurita Water Industries Ltd. | 600 | 28,479 |
Kyocera Corp. | 2,100 | 131,207 |
Kyowa Kirin Co., Ltd. | 1,700 | 46,331 |
Lasertec Corp. | 500 | 153,395 |
Lawson, Inc. | 400 | 18,952 |
Lion Corp. | 1,500 | 20,043 |
Lixil Corp. | 1,700 | 45,297 |
M3, Inc. | 2,800 | 141,010 |
Makita Corp. | 1,400 | 59,430 |
Marubeni Corp. | 9,700 | 94,403 |
Mazda Motor Corp.* | 3,400 | 26,158 |
McDonald's Holdings Co., Japan Ltd. | 400 | 17,700 |
Medipal Holdings Corp. | 1,300 | 24,354 |
MEIJI Holdings Co., Ltd. | 800 | 47,709 |
Mercari, Inc.* | 600 | 30,566 |
MINEBEA MITSUMI, Inc. | 2,300 | 65,283 |
MISUMI Group, Inc. | 1,900 | 77,962 |
Mitsubishi Chemical Holdings Corp. | 8,200 | 60,735 |
Mitsubishi Corp. | 8,000 | 253,986 |
Mitsubishi Electric Corp. | 11,900 | 150,884 |
Mitsubishi Estate Co., Ltd. | 7,500 | 103,962 |
Mitsubishi Gas Chemical Co., Inc. | 1,100 | 18,628 |
Mitsubishi HC Capital, Inc. | 4,700 | 23,249 |
Mitsubishi Heavy Industries Ltd. | 2,100 | 48,543 |
Mitsubishi UFJ Financial Group, Inc. | 77,500 | 421,018 |
Mitsui & Co., Ltd. | 9,700 | 229,661 |
Mitsui Chemicals, Inc. | 1,100 | 29,549 |
Mitsui Fudosan Co., Ltd. | 6,000 | 118,847 |
Miura Co., Ltd. | 600 | 20,655 |
Mizuho Financial Group, Inc. | 15,508 | 197,237 |
MonotaRO Co., Ltd. | 1,600 | 28,834 |
MS&AD Insurance Group Holdings, Inc. | 2,890 | 89,165 |
Murata Manufacturing Co., Ltd. | 3,700 | 294,540 |
NEC Corp. | 1,500 | 69,243 |
Nexon Co., Ltd. | 3,200 | 61,869 |
NGK Insulators Ltd. | 1,500 | 25,350 |
Nidec Corp. | 2,800 | 329,097 |
Nihon M&A Center Holdings, Inc. | 2,000 | 49,048 |
Nintendo Co., Ltd. | 722 | 336,741 |
Nippon Building Fund, Inc. | 10 | 58,246 |
Nippon Express Co., Ltd. | 500 | 29,623 |
Nippon Paint Holdings Co., Ltd. | 4,500 | 49,057 |
Number of Shares | Value† | |
Japan — (continued) | ||
Nippon Prologis REIT, Inc. | 13 | $ 45,997 |
Nippon Sanso Holdings Corp. | 1,000 | 21,846 |
Nippon Shinyaku Co., Ltd. | 300 | 20,890 |
Nippon Steel Corp. | 5,317 | 86,829 |
Nippon Telegraph & Telephone Corp. | 8,300 | 227,288 |
Nippon Yusen K.K. | 900 | 68,539 |
Nissan Chemical Corp. | 800 | 46,457 |
Nissan Motor Co., Ltd.* | 14,400 | 69,578 |
Nisshin Seifun Group, Inc. | 1,315 | 18,954 |
Nissin Foods Holdings Co., Ltd. | 400 | 29,175 |
Nitori Holdings Co., Ltd. | 500 | 74,872 |
Nitto Denko Corp. | 900 | 69,556 |
Nomura Holdings, Inc. | 19,300 | 84,176 |
Nomura Real Estate Holdings, Inc. | 600 | 13,807 |
Nomura Real Estate Master Fund, Inc. | 28 | 39,384 |
Nomura Research Institute Ltd. | 2,130 | 91,381 |
NTT Data Corp. | 4,000 | 85,752 |
Obayashi Corp. | 4,200 | 32,496 |
Obic Co., Ltd. | 454 | 85,251 |
Odakyu Electric Railway Co., Ltd. | 1,800 | 33,424 |
Oji Holdings Corp. | 6,000 | 29,053 |
Olympus Corp. | 6,900 | 158,928 |
Omron Corp. | 1,200 | 119,551 |
Ono Pharmaceutical Co., Ltd. | 2,500 | 62,071 |
Open House Group Co., Ltd. | 500 | 26,167 |
Oracle Corp. Japan | 200 | 15,196 |
Oriental Land Co., Ltd. | 1,300 | 219,191 |
ORIX Corp. | 7,700 | 157,139 |
Orix JREIT, Inc. | 15 | 23,446 |
Osaka Gas Co., Ltd. | 2,400 | 39,663 |
Otsuka Corp. | 800 | 38,181 |
Otsuka Holdings Co., Ltd. | 2,500 | 90,607 |
Pan Pacific International Holdings Corp. | 2,700 | 37,250 |
Panasonic Corp. | 14,400 | 158,359 |
Persol Holdings Co., Ltd. | 1,000 | 29,036 |
Pola Orbis Holdings, Inc. | 500 | 8,333 |
Rakuten Group, Inc.* | 5,500 | 55,177 |
Recruit Holdings Co., Ltd. | 8,700 | 527,309 |
Renesas Electronics Corp.* | 8,100 | 100,203 |
Resona Holdings, Inc. | 12,500 | 48,618 |
Ricoh Co., Ltd. | 4,200 | 39,105 |
Rinnai Corp. | 200 | 18,047 |
Rohm Co., Ltd. | 500 | 45,510 |
Ryohin Keikaku Co., Ltd. | 1,700 | 25,922 |
Santen Pharmaceutical Co., Ltd. | 2,600 | 31,802 |
SBI Holdings, Inc. | 1,710 | 46,604 |
SCSK Corp. | 1,200 | 23,879 |
Secom Co., Ltd. | 1,300 | 90,253 |
Seiko Epson Corp. | 1,700 | 30,607 |
Sekisui Chemical Co., Ltd. | 2,600 | 43,443 |
Sekisui House Ltd. | 3,900 | 83,709 |
Seven & i Holdings Co., Ltd. | 4,800 | 210,978 |
SG Holdings Co., Ltd. | 2,200 | 51,505 |
Sharp Corp. | 1,200 | 13,781 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Japan — (continued) | ||
Shimadzu Corp. | 1,400 | $ 59,089 |
Shimano, Inc. | 500 | 133,270 |
Shimizu Corp. | 4,000 | 24,793 |
Shin-Etsu Chemical Co., Ltd. | 2,200 | 380,979 |
Shionogi & Co., Ltd. | 1,700 | 120,077 |
Shiseido Co., Ltd. | 2,600 | 144,974 |
SMC Corp. | 368 | 248,223 |
SoftBank Corp. | 18,200 | 230,130 |
SoftBank Group Corp. | 7,700 | 363,747 |
Sohgo Security Services Co., Ltd. | 500 | 19,864 |
Sompo Holdings, Inc. | 2,025 | 85,538 |
Sony Group Corp. | 8,000 | 1,006,694 |
Square Enix Holdings Co., Ltd. | 600 | 30,775 |
Stanley Electric Co., Ltd. | 800 | 20,023 |
Subaru Corp. | 4,000 | 71,529 |
SUMCO Corp. | 1,800 | 36,757 |
Sumitomo Chemical Co., Ltd. | 9,200 | 43,349 |
Sumitomo Corp. | 7,200 | 106,438 |
Sumitomo Dainippon Pharma Co., Ltd. | 1,100 | 12,671 |
Sumitomo Electric Industries Ltd. | 4,900 | 63,875 |
Sumitomo Metal Mining Co., Ltd. | 1,500 | 56,724 |
Sumitomo Mitsui Financial Group, Inc. | 8,300 | 284,507 |
Sumitomo Mitsui Trust Holdings, Inc. | 2,143 | 71,595 |
Sumitomo Realty & Development Co., Ltd. | 2,000 | 58,819 |
Suntory Beverage & Food Ltd. | 800 | 28,932 |
Suzuki Motor Corp. | 2,300 | 88,557 |
Sysmex Corp. | 1,100 | 148,700 |
T&D Holdings, Inc. | 3,700 | 47,348 |
Taisei Corp. | 1,200 | 36,460 |
Taisho Pharmaceutical Holdings Co., Ltd. | 200 | 9,198 |
Takeda Pharmaceutical Co., Ltd. | 10,195 | 278,029 |
TDK Corp. | 2,400 | 93,680 |
Terumo Corp. | 4,100 | 173,224 |
The Chiba Bank Ltd. | 3,700 | 21,197 |
The Kansai Electric Power Co., Inc. | 4,900 | 45,750 |
The Shizuoka Bank Ltd. | 3,200 | 22,867 |
TIS, Inc. | 1,400 | 41,685 |
Tobu Railway Co., Ltd. | 1,100 | 25,073 |
Toho Co., Ltd. | 700 | 29,970 |
Tokio Marine Holdings, Inc. | 4,000 | 222,272 |
Tokyo Century Corp. | 300 | 14,553 |
Tokyo Electric Power Co. Holdings, Inc.* | 10,800 | 27,885 |
Tokyo Electron Ltd. | 900 | 518,578 |
Tokyo Gas Co., Ltd. | 2,300 | 41,229 |
Tokyu Corp. | 3,000 | 39,850 |
TOPPAN Inc. | 1,500 | 28,114 |
Toray Industries, Inc. | 8,800 | 52,159 |
Toshiba Corp. | 2,600 | 106,911 |
Tosoh Corp. | 1,800 | 26,696 |
TOTO Ltd. | 900 | 41,389 |
Toyo Suisan Kaisha Ltd. | 600 | 25,428 |
Toyota Industries Corp. | 900 | 71,903 |
Number of Shares | Value† | |
Japan — (continued) | ||
Toyota Motor Corp. | 67,440 | $ 1,234,416 |
Toyota Tsusho Corp. | 1,400 | 64,505 |
Trend Micro, Inc.* | 900 | 49,996 |
Tsuruha Holdings, Inc. | 200 | 19,195 |
Unicharm Corp. | 2,500 | 108,646 |
USS Co., Ltd. | 1,500 | 23,420 |
Welcia Holdings Co., Ltd. | 600 | 18,726 |
West Japan Railway Co. | 1,400 | 58,541 |
Yakult Honsha Co., Ltd. | 800 | 41,728 |
Yamaha Corp. | 900 | 44,362 |
Yamaha Motor Co., Ltd. | 1,700 | 40,775 |
Yamato Holdings Co., Ltd. | 2,000 | 46,996 |
Yaskawa Electric Corp. | 1,600 | 78,449 |
Yokogawa Electric Corp. | 1,600 | 28,848 |
Z Holdings Corp. | 16,800 | 97,473 |
ZOZO, Inc. | 600 | 18,726 |
24,751,386 | ||
Jordan — 0.0% | ||
Hikma Pharmaceuticals PLC | 1,083 | 32,528 |
Luxembourg — 0.3% | ||
ArcelorMittal S.A. | 4,208 | 134,837 |
Aroundtown S.A. | 6,382 | 38,655 |
Eurofins Scientific S.E. | 870 | 107,766 |
Tenaris S.A. | 2,782 | 29,171 |
310,429 | ||
Macao — 0.0% | ||
Sands China Ltd.* | 16,000 | 37,263 |
Netherlands — 6.1% | ||
ABN AMRO Bank N.V. | 2,635 | 38,747 |
Adyen N.V.* | 127 | 334,219 |
Aegon N.V. | 11,939 | 59,712 |
Akzo Nobel N.V. | 1,217 | 133,706 |
Argenx S.E.* | 290 | 104,101 |
ASM International N.V. | 297 | 131,433 |
ASML Holding N.V. | 2,632 | 2,117,649 |
Euronext N.V. | 547 | 56,827 |
EXOR N.V. | 691 | 62,118 |
Heineken Holding N.V. | 727 | 67,167 |
Heineken N.V. | 1,671 | 188,075 |
IMCD N.V. | 363 | 80,465 |
ING Groep N.V. | 25,125 | 350,180 |
JDE Peet's N.V. | 515 | 15,889 |
Just Eat Takeaway.com N.V.* | 1,183 | 65,282 |
Koninklijke Ahold Delhaize N.V. | 6,743 | 231,343 |
Koninklijke DSM N.V. | 1,104 | 248,867 |
Koninklijke KPN N.V. | 21,105 | 65,596 |
Koninklijke Philips N.V. | 5,905 | 220,274 |
NN Group N.V. | 1,681 | 91,117 |
Prosus N.V.* | 5,922 | 495,754 |
QIAGEN N.V.* | 1,512 | 84,332 |
Randstad N.V. | 823 | 56,257 |
Royal Dutch Shell PLC, Class A | 26,261 | 576,478 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Netherlands — (continued) | ||
Royal Dutch Shell PLC, Class B | 23,372 | $ 513,249 |
Stellantis N.V. | 5,622 | 106,750 |
Stellantis N.V. | 7,408 | 140,730 |
Universal Music Group N.V. | 4,675 | 131,891 |
Wolters Kluwer N.V. | 1,720 | 202,872 |
6,971,080 | ||
New Zealand — 0.3% | ||
Auckland International Airport Ltd.* | 7,064 | 37,254 |
Fisher & Paykel Healthcare Corp. Ltd. | 3,664 | 82,210 |
Mercury NZ Ltd. | 5,143 | 21,557 |
Meridian Energy Ltd. | 9,073 | 30,138 |
Ryman Healthcare Ltd. | 2,831 | 23,752 |
Spark New Zealand Ltd. | 12,240 | 37,892 |
Xero Ltd.* | 835 | 85,926 |
318,729 | ||
Norway — 0.6% | ||
Adevinta ASA* | 1,674 | 22,297 |
Aker BP ASA | 804 | 24,796 |
DNB Bank ASA | 6,003 | 137,694 |
Equinor ASA | 6,312 | 169,079 |
Gjensidige Forsikring ASA | 1,242 | 30,181 |
Mowi ASA | 2,898 | 68,677 |
Norsk Hydro ASA | 8,484 | 66,974 |
Orkla ASA | 4,885 | 49,013 |
Schibsted ASA, Class A | 520 | 20,082 |
Schibsted ASA, Class B | 588 | 19,830 |
Telenor ASA | 4,471 | 70,366 |
Yara International ASA | 1,012 | 51,137 |
730,126 | ||
Poland — 0.0% | ||
InPost S.A.* | 1,446 | 17,447 |
Portugal — 0.2% | ||
Banco Espirito Santo S.A.(1),* | 27,017 | 0 |
EDP - Energias de Portugal S.A. | 17,315 | 95,254 |
Galp Energia SGPS S.A. | 3,064 | 29,721 |
Jeronimo Martins SGPS S.A. | 1,733 | 39,657 |
164,632 | ||
Singapore — 1.2% | ||
Ascendas Real Estate Investment Trust | 20,490 | 44,854 |
CapitaLand Integrated Commercial Trust | 29,400 | 44,506 |
Capitaland Investment Ltd.* | 16,607 | 42,023 |
City Developments Ltd. | 3,000 | 15,160 |
DBS Group Holdings Ltd. | 11,448 | 277,450 |
Genting Singapore Ltd. | 36,200 | 20,818 |
Keppel Corp. Ltd. | 10,300 | 39,133 |
Mapletree Commercial Trust | 15,200 | 22,333 |
Mapletree Logistics Trust | 20,077 | 28,307 |
Oversea-Chinese Banking Corp. Ltd. | 21,691 | 183,495 |
Sea Ltd., ADR* | 900 | 201,339 |
Singapore Airlines Ltd.* | 7,900 | 29,253 |
Number of Shares | Value† | |
Singapore — (continued) | ||
Singapore Exchange Ltd. | 5,000 | $ 34,506 |
Singapore Technologies Engineering Ltd. | 9,500 | 26,506 |
Singapore Telecommunications Ltd. | 52,200 | 89,866 |
United Overseas Bank Ltd. | 7,437 | 148,453 |
UOL Group Ltd. | 3,107 | 16,347 |
Venture Corp. Ltd. | 1,700 | 23,098 |
Wilmar International Ltd. | 11,600 | 35,637 |
1,323,084 | ||
Spain — 2.2% | ||
ACS Actividades de Construccion y Servicios S.A. | 1,556 | 41,755 |
Aena SME S.A.* | 469 | 74,113 |
Amadeus IT Group S.A.* | 2,864 | 194,466 |
Banco Bilbao Vizcaya Argentaria S.A. | 42,639 | 254,859 |
Banco Santander S.A. | 110,885 | 371,216 |
CaixaBank S.A. | 27,810 | 76,431 |
Cellnex Telecom S.A. | 3,268 | 190,421 |
EDP Renovaveis S.A. | 2,000 | 49,866 |
Enagas S.A. | 1,501 | 34,861 |
Endesa S.A. | 2,006 | 46,133 |
Ferrovial S.A. | 3,061 | 96,045 |
Grifols S.A. | 1,885 | 36,215 |
Iberdrola S.A. | 36,331 | 430,587 |
Industria de Diseno Textil S.A. | 6,954 | 225,876 |
Naturgy Energy Group S.A. | 1,138 | 37,094 |
Red Electrica Corp. S.A. | 2,674 | 57,919 |
Repsol S.A. | 9,155 | 108,774 |
Siemens Gamesa Renewable Energy S.A.* | 1,562 | 37,470 |
Telefonica S.A. | 34,415 | 150,927 |
2,515,028 | ||
Sweden — 3.6% | ||
Alfa Laval AB | 2,000 | 80,653 |
Assa Abloy AB, Class B | 6,425 | 196,386 |
Atlas Copco AB, Class A | 4,246 | 294,056 |
Atlas Copco AB, Class B | 2,447 | 144,120 |
Boliden AB | 1,749 | 67,744 |
Electrolux AB, Class B | 1,401 | 34,032 |
Embracer Group AB* | 2,650 | 28,303 |
Epiroc AB, Class A | 4,193 | 106,354 |
Epiroc AB, Class B | 2,471 | 52,421 |
EQT AB | 1,887 | 102,952 |
Essity AB, Class B | 3,911 | 127,853 |
Evolution Gaming Group AB | 1,087 | 154,722 |
Fastighets AB Balder, Class B* | 696 | 50,204 |
Getinge AB, Class B | 1,459 | 63,794 |
H & M Hennes & Mauritz AB, Class B | 4,799 | 94,576 |
Hexagon AB, Class B | 12,559 | 199,653 |
Husqvarna AB, Class B | 2,834 | 45,429 |
Industrivarden AB, Class A | 877 | 27,990 |
Industrivarden AB, Class C | 986 | 31,000 |
Investment AB Latour, Class B | 1,056 | 43,088 |
Investor AB, Class A | 3,181 | 83,994 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Sweden — (continued) | ||
Investor AB, Class B | 11,521 | $ 290,377 |
Kinnevik AB, Class B* | 1,611 | 57,541 |
L E Lundbergforetagen AB, Class B | 471 | 26,479 |
Lifco AB, Class B | 1,487 | 44,546 |
Lundin Energy AB | 1,292 | 46,397 |
Nibe Industrier AB, Class B | 9,198 | 139,199 |
Sagax AB, Class B | 1,027 | 34,664 |
Sandvik AB | 7,183 | 200,795 |
Securitas AB, Class B | 2,230 | 30,762 |
Sinch AB* | 3,150 | 40,124 |
Skandinaviska Enskilda Banken AB, Class A | 10,425 | 145,192 |
Skanska AB, Class B | 2,121 | 54,972 |
SKF AB, Class B | 2,369 | 56,235 |
Svenska Cellulosa AB SCA, Class B | 3,887 | 69,148 |
Svenska Handelsbanken AB, Class A | 9,287 | 100,576 |
Swedbank AB, Class A | 5,671 | 114,284 |
Swedish Match AB | 9,802 | 78,124 |
Tele2 AB, Class B | 3,276 | 46,804 |
Telefonaktiebolaget LM Ericsson, Class B | 18,737 | 206,919 |
Telia Co., AB | 17,132 | 67,125 |
Volvo AB, Class A | 1,410 | 33,174 |
Volvo AB, Class B | 9,114 | 211,455 |
4,124,216 | ||
Switzerland — 10.6% | ||
ABB Ltd. | 10,409 | 398,677 |
Adecco Group AG | 1,018 | 52,062 |
Alcon, Inc. | 3,189 | 282,572 |
Bachem Holding AG, Class B | 40 | 31,431 |
Baloise Holding AG | 301 | 49,253 |
Barry Callebaut AG | 22 | 53,503 |
Chocoladefabriken Lindt & Spruengli AG | 1 | 134,109 |
Chocoladefabriken Lindt & Spruengli AG, Participation Certificates | 7 | 97,026 |
Cie Financiere Richemont S.A. | 3,313 | 497,932 |
Clariant AG* | 1,199 | 25,001 |
Coca-Cola HBC AG* | 1,222 | 42,261 |
Credit Suisse Group AG | 16,223 | 157,957 |
EMS-Chemie Holding AG | 43 | 48,182 |
Geberit AG | 226 | 184,828 |
Givaudan S.A. | 58 | 305,022 |
Glencore PLC* | 64,295 | 326,306 |
Holcim Ltd.* | 3,354 | 171,197 |
Julius Baer Group Ltd.* | 1,376 | 92,388 |
Kuehne + Nagel International AG | 354 | 114,374 |
Logitech International S.A. | 1,098 | 92,641 |
Lonza Group AG | 477 | 398,687 |
Nestle S.A. | 17,928 | 2,507,402 |
Novartis AG | 13,940 | 1,228,164 |
Partners Group Holding AG | 147 | 244,005 |
Roche Holding AG | 4,473 | 1,860,968 |
Roche Holding AG | 213 | 95,560 |
Number of Shares | Value† | |
Switzerland — (continued) | ||
Schindler Holding AG | 125 | $ 33,527 |
Schindler Holding AG, Participation Certificates | 269 | 72,475 |
SGS S.A. | 38 | 127,070 |
Sika AG | 898 | 374,692 |
Sonova Holding AG | 360 | 141,361 |
STMicroelectronics N.V. | 4,365 | 215,529 |
Straumann Holding AG | 65 | 138,175 |
Swiss Life Holding AG | 200 | 122,695 |
Swiss Prime Site AG | 484 | 47,619 |
Swiss Re AG | 1,930 | 191,178 |
Swisscom AG | 163 | 92,054 |
Temenos AG | 430 | 59,484 |
The Swatch Group AG | 185 | 56,645 |
The Swatch Group AG | 298 | 17,480 |
UBS Group AG | 22,297 | 401,796 |
VAT Group AG | 172 | 85,773 |
Vifor Pharma AG | 293 | 52,172 |
Zurich Insurance Group AG | 965 | 424,041 |
12,145,274 | ||
United Arab Emirates — 0.0% | ||
NMC Health PLC* | 538 | 68 |
United Kingdom — 12.3% | ||
3i Group PLC | 6,089 | 119,423 |
abrdn PLC | 14,470 | 47,182 |
Admiral Group PLC | 1,312 | 56,064 |
Anglo American PLC | 8,181 | 333,974 |
Ashtead Group PLC | 2,899 | 233,161 |
Associated British Foods PLC | 2,278 | 61,914 |
AstraZeneca PLC | 9,856 | 1,157,696 |
Auto Trader Group PLC | 5,888 | 58,976 |
AVEVA Group PLC | 707 | 32,575 |
Aviva PLC | 25,020 | 138,985 |
BAE Systems PLC | 20,679 | 153,889 |
Barclays PLC | 108,104 | 273,626 |
Barratt Developments PLC | 6,327 | 64,058 |
Berkeley Group Holdings PLC | 697 | 45,049 |
BP PLC | 127,784 | 571,640 |
British American Tobacco PLC | 13,931 | 515,437 |
BT Group PLC | 56,933 | 130,658 |
Bunzl PLC | 2,198 | 85,832 |
Burberry Group PLC | 2,621 | 64,479 |
CNH Industrial N.V. | 6,662 | 129,471 |
Coca-Cola Europacific Partners PLC | 1,276 | 71,300 |
Compass Group PLC* | 11,455 | 255,986 |
Croda International PLC | 875 | 119,857 |
Diageo PLC | 14,836 | 810,480 |
Entain PLC* | 3,735 | 85,084 |
Evraz PLC | 2,983 | 24,290 |
Ferguson PLC | 1,403 | 248,868 |
GlaxoSmithKline PLC | 32,130 | 698,703 |
Halma PLC | 2,365 | 102,437 |
Hargreaves Lansdown PLC | 2,149 | 39,414 |
HSBC Holdings PLC | 129,843 | 788,498 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
United Kingdom — (continued) | ||
Imperial Brands PLC | 6,063 | $ 132,659 |
Informa PLC* | 9,687 | 67,736 |
InterContinental Hotels Group PLC* | 1,153 | 74,614 |
Intertek Group PLC | 1,024 | 78,034 |
J. Sainsbury PLC | 10,110 | 37,742 |
JD Sports Fashion PLC | 17,935 | 52,873 |
Johnson Matthey PLC | 1,361 | 37,691 |
Kingfisher PLC | 14,253 | 65,265 |
Land Securities Group PLC | 4,270 | 44,873 |
Legal & General Group PLC | 38,445 | 154,811 |
Lloyds Banking Group PLC | 456,109 | 295,101 |
London Stock Exchange Group PLC | 2,107 | 197,639 |
M&G PLC | 16,063 | 43,375 |
Melrose Industries PLC | 28,464 | 61,605 |
Mondi PLC | 3,079 | 76,100 |
National Grid PLC | 22,701 | 325,644 |
NatWest Group PLC | 37,325 | 114,026 |
Next PLC | 863 | 95,201 |
Ocado Group PLC* | 3,089 | 70,159 |
Pearson PLC | 4,876 | 40,471 |
Persimmon PLC | 2,126 | 82,186 |
Phoenix Group Holdings PLC | 3,778 | 33,403 |
Prudential PLC | 16,706 | 288,195 |
Reckitt Benckiser Group PLC | 4,527 | 388,607 |
RELX PLC | 6,807 | 221,311 |
RELX PLC | 5,578 | 181,118 |
Rentokil Initial PLC | 12,043 | 95,197 |
Rio Tinto PLC | 7,215 | 477,746 |
Rolls-Royce Holdings PLC* | 52,141 | 86,723 |
Schroders PLC | 773 | 37,248 |
Segro PLC | 7,740 | 150,495 |
Severn Trent PLC | 1,547 | 61,708 |
Smith & Nephew PLC | 5,814 | 101,793 |
Smiths Group PLC | 2,596 | 55,501 |
Spirax-Sarco Engineering PLC | 486 | 105,581 |
SSE PLC | 6,568 | 146,598 |
St. James's Place PLC | 3,331 | 75,904 |
Standard Chartered PLC | 17,213 | 104,471 |
Taylor Wimpey PLC | 22,936 | 54,484 |
Tesco PLC | 49,064 | 192,524 |
The British Land Co., PLC | 5,472 | 39,329 |
The Sage Group PLC | 6,509 | 75,116 |
Unilever PLC | 8,119 | 433,590 |
Unilever PLC | 8,382 | 449,041 |
United Utilities Group PLC | 4,259 | 62,778 |
Vodafone Group PLC | 175,739 | 267,035 |
Whitbread PLC* | 1,238 | 50,187 |
WPP PLC | 7,516 | 113,890 |
14,016,384 | ||
TOTAL COMMON STOCKS (Cost $72,533,645) | 109,682,824 |
Number of Shares | Value† | |
PREFERRED STOCKS — 0.5% | ||
Germany — 0.5% | ||
Bayerische Motoren Werke AG | 341 | $ 28,457 |
FUCHS PETROLUB S.E. | 492 | 22,361 |
Henkel AG & Co., KGaA | 1,122 | 90,874 |
Porsche Automobil Holding S.E. | 999 | 94,902 |
Sartorius AG | 172 | 116,553 |
Volkswagen AG | 1,195 | 241,463 |
TOTAL PREFERRED STOCKS (Cost $393,487) | 594,610 | |
SHORT-TERM INVESTMENTS — 2.3% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 0.030%) (Cost $2,617,785) | 2,617,785 | 2,617,785 |
TOTAL INVESTMENTS — 98.9% (Cost $75,544,917) | $ 112,895,219 | |
Other Assets & Liabilities — 1.1% | 1,262,809 | |
TOTAL NET ASSETS — 100.0% | $ 114,158,028 |
† | See Security Valuation Note. |
* | Non-income producing security. |
(1) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Valuation Hierarchy table located at the end of the Schedule of Investments. |
A/S— Aktieselskab. |
AB— Aktiebolag. |
ADR— American Depositary Receipt. |
AG— Aktiengesellschaft. |
ASA— Allmennaksjeselskap. |
K.K.— Kabushiki Kaisha |
KGaA— Kommanditgesellschaft auf Aktien. |
MSCI— Morgan Stanley Capital International. |
N.V.— Naamloze Vennootschap. |
OYJ— Julkinen Osakeyhtiö. |
PLC— Public Limited Company. |
REIT— Real Estate Investment Trust. |
S.A.— Societe Anonyme. |
S.E.— Societas Europaea. |
SpA— Società per Azioni. |
Country Weightings as of 12/31/2021†† | |
Japan | 23% |
United Kingdom | 13 |
France | 11 |
Switzerland | 11 |
Germany | 9 |
Australia | 7 |
Netherlands | 6 |
Other | 20 |
Total | 100% |
†† | % of total investments as of December 31, 2021. |
COMMON STOCKS INDUSTRY DIVERSIFICATION | % of Market Value | Value† |
Advertising | 0.3% | $ 284,086 |
Aerospace & Defense | 1.1% | 1,167,046 |
Agriculture | 0.8% | 883,705 |
Airlines | 0.1% | 106,300 |
Apparel | 2.4% | 2,689,185 |
Auto Manufacturers | 3.1% | 3,373,033 |
Auto Parts & Equipment | 0.9% | 991,107 |
Banks | 9.5% | 10,399,886 |
Beverages | 2.2% | 2,360,558 |
Biotechnology | 0.9% | 949,923 |
Building Materials | 2.1% | 2,283,197 |
Chemicals | 3.2% | 3,539,075 |
Commercial Services | 3.1% | 3,438,761 |
Computers | 1.2% | 1,341,065 |
Cosmetics & Personal Care | 2.1% | 2,303,772 |
Distribution & Wholesale | 1.3% | 1,393,533 |
Diversified Financial Services | 1.7% | 1,827,004 |
Electric | 2.7% | 2,974,070 |
Electrical Components & Equipment | 1.3% | 1,373,383 |
Electronics | 1.6% | 1,780,832 |
Energy-Alternate Sources | 0.2% | 237,254 |
Engineering & Construction | 1.2% | 1,314,721 |
Entertainment | 0.9% | 1,009,505 |
Environmental Control | 0.0% | 28,479 |
Food | 4.8% | 5,234,230 |
Food Service | 0.3% | 305,292 |
Forest Products & Paper | 0.4% | 462,587 |
Gas | 0.3% | 342,167 |
Hand & Machine Tools | 0.4% | 439,403 |
Healthcare Products | 2.4% | 2,657,981 |
Healthcare Services | 0.9% | 993,407 |
Holding Companies | 0.2% | 207,409 |
Home Builders | 0.5% | 525,887 |
Home Furnishings | 1.2% | 1,345,723 |
Household Products & Wares | 0.4% | 442,184 |
Insurance | 4.7% | 5,138,366 |
Internet | 1.5% | 1,639,719 |
Investment Companies | 0.7% | 819,080 |
Iron & Steel | 0.5% | 537,617 |
Leisure Time | 0.2% | 218,407 |
Lodging | 0.3% | 326,399 |
Machinery — Construction & Mining | 1.0% | 1,111,994 |
Machinery — Diversified | 2.6% | 2,888,134 |
Media | 0.4% | 446,371 |
Metal Fabricate/Hardware | 0.2% | 249,141 |
Mining | 2.5% | 2,790,542 |
Miscellaneous Manufacturing | 1.2% | 1,274,272 |
Office & Business Equipment | 0.4% | 396,028 |
Oil & Gas | 3.4% | 3,704,873 |
Pharmaceuticals | 8.5% | 9,363,431 |
Pipelines | 0.0% | 54,857 |
Private Equity | 0.5% | 530,699 |
Real Estate | 1.3% | 1,397,648 |
Real Estate Investment Trusts | 1.4% | 1,507,945 |
Retail | 2.1% | 2,284,723 |
Semiconductors | 3.5% | 3,886,919 |
COMMON STOCKS INDUSTRY DIVERSIFICATION | % of Market Value | Value† | |
Shipbuilding | 0.0% | $ 42,300 | |
Software | 1.7% | 1,849,817 | |
Telecommunications | 3.2% | 3,484,859 | |
Toys, Games & Hobbies | 0.4% | 438,386 | |
Transportation | 1.8% | 1,959,473 | |
Water | 0.3% | 335,074 | |
100.0% | $109,682,824 |
ASSETS TABLE | ||||
Description | Total Market Value at 12/31/2021 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Common Stocks | ||||
Australia | $ 7,845,815 | $ 7,845,815 | $ — | $— |
Austria | 253,251 | 253,251 | — | — |
Belgium | 878,937 | 878,937 | — | — |
Chile | 46,761 | 46,761 | — | — |
Denmark | 2,976,888 | 2,976,888 | — | — |
Finland | 1,404,093 | 1,404,093 | — | — |
France | 12,440,273 | 12,440,273 | — | — |
Germany | 9,080,942 | 9,080,942 | — | — |
Hong Kong | 3,006,332 | 3,006,332 | — | — |
Ireland | 1,218,604 | 1,218,604 | — | — |
Israel | 808,380 | 808,380 | — | — |
Italy | 2,264,874 | 2,264,874 | — | — |
Japan | 24,751,386 | 24,721,763 | 29,623 | — |
Jordan | 32,528 | 32,528 | — | — |
Luxembourg | 310,429 | 310,429 | — | — |
Macao | 37,263 | 37,263 | — | — |
Netherlands | 6,971,080 | 6,971,080 | — | — |
New Zealand | 318,729 | 318,729 | — | — |
Norway | 730,126 | 730,126 | — | — |
Poland | 17,447 | 17,447 | — | — |
Portugal | 164,632 | 164,632 | — | — |
Singapore | 1,323,084 | 1,300,751 | 22,333 | — |
Spain | 2,515,028 | 2,515,028 | — | — |
Sweden | 4,124,216 | 4,124,216 | — | — |
Switzerland | 12,145,274 | 12,145,274 | — | — |
United Arab Emirates | 68 | — | 68 | — |
United Kingdom | 14,016,384 | 14,016,384 | — | — |
Total Common Stocks | $ 109,682,824 | $ 109,630,800 | $ 52,024 | $ — |
Preferred Stocks | 594,610 | 594,610 | — | — |
Short-Term Investments | 2,617,785 | 2,617,785 | — | — |
Total Investments | $ 112,895,219 | $ 112,843,195 | $ 52,024 | $ — |
Other Financial Instruments(1) | ||||
Futures Contracts | $ 52,114 | $ 52,114 | $ — | $— |
Total Assets—Other Financial Instruments | $ 52,114 | $ 52,114 | $ — | $ — |
(1) | Other financial instruments are derivative instruments not reflected in the value of total investments in securities in the Schedule of Investments such as future contracts and forward foreign currency contracts which are valued at the unrealized appreciation (depreciation) on the instrument. |
Futures Contracts: Exchange Traded | ||||||||||||||||
Type | Futures Contract | Expiration Date | Numbers of Contracts | Units per Contract | Closing Price | Notional Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||
Long | MSCI EAFE Index | 03/18/22 | 32 | 50 | $2,322 | $3,714,880 | $52,114 | $— | ||||||||
$52,114 | $— |
Number of Shares | Value† | |
COMMON STOCKS — 96.1% | ||
Canada — 12.4% | ||
Boyd Group Services, Inc. | 40,865 | $ 6,448,849 |
CAE, Inc.* | 386,531 | 9,750,745 |
Canadian National Railway Co. | 52,363 | 6,432,004 |
Constellation Software, Inc. | 11,446 | 21,236,472 |
43,868,070 | ||
China — 2.0% | ||
Yum China Holdings, Inc. | 143,432 | 7,037,734 |
France — 8.3% | ||
Air Liquide S.A. | 20,320 | 3,546,954 |
LVMH Moet Hennessy Louis Vuitton S.E. | 10,555 | 8,736,263 |
Sartorius Stedim Biotech | 14,331 | 7,870,763 |
Teleperformance | 20,307 | 9,062,851 |
29,216,831 | ||
India — 3.8% | ||
Tata Consultancy Services Ltd. | 263,314 | 13,242,097 |
Ireland — 4.3% | ||
Experian PLC | 166,185 | 8,169,810 |
Flutter Entertainment PLC* | 44,166 | 6,989,336 |
15,159,146 | ||
Italy — 1.9% | ||
Ferrari N.V. | 25,675 | 6,650,050 |
Japan — 9.5% | ||
Hoya Corp. | 66,956 | 9,959,290 |
Keyence Corp. | 9,066 | 5,696,692 |
Kobe Bussan Co., Ltd. | 183,965 | 7,124,785 |
Obic Co., Ltd. | 57,839 | 10,860,840 |
33,641,607 | ||
Luxembourg — 3.0% | ||
Eurofins Scientific S.E. | 85,924 | 10,643,303 |
Mexico — 2.8% | ||
Wal-Mart de Mexico S.A.B. de C.V. | 2,647,193 | 9,854,170 |
Netherlands — 6.9% | ||
Adyen N.V.* | 1,937 | 5,097,492 |
IMCD N.V. | 39,583 | 8,774,203 |
Wolters Kluwer N.V. | 89,329 | 10,536,231 |
24,407,926 | ||
South Korea — 4.6% | ||
NAVER Corp.* | 29,864 | 9,508,748 |
Samsung Electronics Co., Ltd. | 104,407 | 6,877,029 |
16,385,777 | ||
Sweden — 2.5% | ||
Epiroc AB, Class A | 346,819 | 8,796,940 |
Switzerland — 10.0% | ||
Alcon, Inc. | 172,982 | 15,327,663 |
Lonza Group AG | 6,555 | 5,478,806 |
Number of Shares | Value† | |
Switzerland — (continued) | ||
Nestle S.A. | 103,786 | $ 14,515,461 |
35,321,930 | ||
United Kingdom — 17.4% | ||
Ashtead Group PLC | 140,118 | 11,269,402 |
Diageo PLC | 276,606 | 15,110,786 |
Halma PLC | 213,507 | 9,247,757 |
London Stock Exchange Group PLC | 39,916 | 3,744,161 |
RELX PLC | 331,788 | 10,787,181 |
Rentokil Initial PLC | 1,431,785 | 11,317,877 |
61,477,164 | ||
United States — 6.7% | ||
Mastercard, Inc., Class A | 40,375 | 14,507,545 |
Mondelez International, Inc., Class A | 135,452 | 8,981,822 |
23,489,367 | ||
TOTAL COMMON STOCKS (Cost $283,733,613) | 339,192,112 | |
SHORT-TERM INVESTMENTS — 3.5% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 0.030%) (Cost $12,271,947) | 12,271,947 | 12,271,947 |
TOTAL INVESTMENTS — 99.6% (Cost $296,005,560) | $ 351,464,059 | |
Other Assets & Liabilities — 0.4% | 1,540,623 | |
TOTAL NET ASSETS — 100.0% | $ 353,004,682 |
† | See Security Valuation Note. |
* | Non-income producing security. |
AB— Aktiebolag. |
AG— Aktiengesellschaft. |
N.V.— Naamloze Vennootschap. |
PLC— Public Limited Company. |
S.A.— Societe Anonyme. |
S.A.B. de C.V.— Sociedad Anonima de Capital Variable. |
S.E.— Societas Europaea. |
Country Weightings as of 12/31/2021†† | |
United Kingdom | 18% |
Canada | 13 |
Switzerland | 10 |
Japan | 10 |
France | 9 |
Netherlands | 7 |
United States | 7 |
Other | 26 |
Total | 100% |
†† | % of total investments as of December 31, 2021. |
COMMON STOCKS INDUSTRY DIVERSIFICATION | % of Market Value | Value† | |
Aerospace & Defense | 2.9% | $ 9,750,745 | |
Apparel | 2.6% | 8,736,263 | |
Auto Manufacturers | 2.0% | 6,650,050 | |
Beverages | 4.4% | 15,110,786 | |
Chemicals | 1.0% | 3,546,954 | |
Commercial Services | 15.6% | 53,090,611 | |
Computers | 9.8% | 33,165,788 | |
Distribution & Wholesale | 2.6% | 8,774,203 | |
Diversified Financial Services | 5.4% | 18,251,706 | |
Electronics | 5.7% | 19,207,047 | |
Entertainment | 2.1% | 6,989,336 | |
Food | 9.0% | 30,622,068 | |
Healthcare Products | 6.8% | 23,198,426 | |
Healthcare Services | 4.7% | 16,122,109 | |
Internet | 2.8% | 9,508,748 | |
Machinery — Construction & Mining | 2.6% | 8,796,940 | |
Machinery — Diversified | 1.7% | 5,696,692 | |
Media | 3.1% | 10,536,231 | |
Retail | 5.0% | 16,891,904 | |
Semiconductors | 2.0% | 6,877,029 | |
Software | 6.3% | 21,236,472 | |
Transportation | 1.9% | 6,432,004 | |
100.0% | $ 339,192,112 |
ASSETS TABLE | ||||
Description | Total Market Value at 12/31/2021 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Common Stocks | ||||
Canada | $43,868,070 | $43,868,070 | $— | $— |
China | 7,037,734 | 7,037,734 | — | — |
France | 29,216,831 | 29,216,831 | — | — |
India | 13,242,097 | 13,242,097 | — | — |
Ireland | 15,159,146 | 15,159,146 | — | — |
Italy | 6,650,050 | 6,650,050 | — | — |
Japan | 33,641,607 | 33,641,607 | — | — |
Luxembourg | 10,643,303 | 10,643,303 | — | — |
Mexico | 9,854,170 | 9,854,170 | — | — |
Netherlands | 24,407,926 | 24,407,926 | — | — |
South Korea | 16,385,777 | 16,385,777 | — | — |
Sweden | 8,796,940 | 8,796,940 | — | — |
Switzerland | 35,321,930 | 35,321,930 | — | — |
United Kingdom | 61,477,164 | 61,477,164 | — | — |
United States | 23,489,367 | 23,489,367 | — | — |
Short-Term Investments | 12,271,947 | 12,271,947 | — | — |
Total Investments | $ 351,464,059 | $ 351,464,059 | $ — | $ — |
Number of Shares | Value† | |
COMMON STOCKS — 96.8% | ||
Brazil — 4.0% | ||
Magazine Luiza S.A. | 362,290 | $ 469,611 |
Notre Dame Intermedica Participacoes S.A. | 130,586 | 1,414,877 |
Raia Drogasil S.A. | 295,646 | 1,289,802 |
TOTVS S.A. | 219,201 | 1,127,094 |
WEG S.A. | 154,610 | 915,447 |
5,216,831 | ||
China — 26.8% | ||
Alibaba Group Holding Ltd.* | 124,621 | 1,900,268 |
Baozun, Inc., ADR* | 19,915 | 276,819 |
Chacha Food Co., Ltd., Class A | 244,199 | 2,351,048 |
China Tourism Group Duty Free Corp. Ltd., Class A | 51,712 | 1,780,246 |
ENN Energy Holdings Ltd. | 122,499 | 2,306,218 |
Foshan Haitian Flavouring & Food Co., Ltd., Class A | 85,740 | 1,414,034 |
JD.com, Inc., ADR* | 20,385 | 1,428,377 |
JD.com, Inc., Class A* | 136,010 | 4,779,288 |
Midea Group Co., Ltd., Class A | 121,339 | 1,405,232 |
NetEase, Inc. | 8,533 | 172,355 |
NetEase, Inc., ADR | 10,439 | 1,062,482 |
Shanghai International Airport Co., Ltd., Class A* | 78,652 | 576,190 |
Shanghai M&G Stationery, Inc., Class A | 240,292 | 2,432,196 |
Shenzhen Inovance Technology Co., Ltd., Class A | 161,797 | 1,741,513 |
Shenzhou International Group Holdings Ltd. | 130,547 | 2,509,634 |
Tencent Holdings Ltd. | 33,148 | 1,941,893 |
Toly Bread Co., Ltd., Class A | 437,290 | 1,948,589 |
Wuliangye Yibin Co., Ltd., Class A | 47,538 | 1,660,792 |
Yum China Holdings, Inc. | 16,273 | 811,046 |
Yum China Holdings, Inc. | 50,475 | 2,476,641 |
34,974,861 | ||
Hong Kong — 4.2% | ||
Budweiser Brewing Co., APAC, Ltd. | 664,743 | 1,743,367 |
Hong Kong Exchanges & Clearing Ltd. | 21,922 | 1,280,310 |
Techtronic Industries Co., Ltd. | 125,146 | 2,490,867 |
5,514,544 | ||
India — 20.6% | ||
Eicher Motors Ltd. | 71,766 | 2,502,303 |
HCL Technologies Ltd. | 339,536 | 6,025,130 |
Hindustan Unilever Ltd. | 131,427 | 4,172,795 |
Housing Development Finance Corp. Ltd. | 75,300 | 2,620,004 |
Kotak Mahindra Bank Ltd. | 111,133 | 2,685,199 |
Power Grid Corp. of India Ltd. | 792,987 | 2,180,468 |
Reliance Industries Ltd. | 40,028 | 1,275,193 |
Tata Consultancy Services Ltd. | 80,914 | 4,069,176 |
Voltas Ltd. | 83,371 | 1,367,335 |
26,897,603 |
Number of Shares | Value† | |
Indonesia — 6.8% | ||
Avia Avian Tbk PT* | 17,811,488 | $ 1,155,981 |
Bank Central Asia Tbk PT | 4,562,641 | 2,336,943 |
Bank Rakyat Indonesia Persero Tbk PT | 11,590,985 | 3,342,498 |
Telekom Indonesia Persero Tbk PT | 7,269,415 | 2,060,581 |
8,896,003 | ||
Mexico — 5.3% | ||
Fomento Economico Mexicano S.A.B. de C.V., ADR | 20,433 | 1,587,848 |
Wal-Mart de Mexico S.A.B. de C.V. | 1,419,710 | 5,284,867 |
6,872,715 | ||
South Korea — 12.5% | ||
LG Household & Health Care Ltd.* | 1,658 | 1,530,032 |
NAVER Corp.* | 15,293 | 4,869,317 |
Samsung Electronics Co., Ltd. | 53,718 | 3,538,271 |
SK Hynix, Inc.* | 57,584 | 6,345,745 |
16,283,365 | ||
Taiwan — 13.6% | ||
Accton Technology Corp. | 189,960 | 1,785,145 |
President Chain Store Corp. | 193,510 | 1,912,928 |
Realtek Semiconductor Corp. | 39,212 | 822,025 |
Taiwan Semiconductor Manufacturing Co., Ltd. | 516,811 | 11,488,010 |
Win Semiconductors Corp. | 135,369 | 1,832,352 |
17,840,460 | ||
Thailand — 0.6% | ||
Airports of Thailand PCL* | 437,632 | 798,374 |
United Kingdom — 2.4% | ||
Unilever PLC | 58,857 | 3,153,094 |
TOTAL COMMON STOCKS (Cost $114,802,229) | 126,447,850 | |
SHORT-TERM INVESTMENTS — 2.1% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 0.030%) (Cost $2,728,222) | 2,728,222 | 2,728,222 |
TOTAL INVESTMENTS — 98.9% (Cost $117,530,451) | $ 129,176,072 | |
Other Assets & Liabilities — 1.1% | 1,461,173 | |
TOTAL NET ASSETS — 100.0% | $ 130,637,245 |
† | See Security Valuation Note. |
* | Non-income producing security. |
ADR— American Depositary Receipt. |
PCL— Public Company Limited. |
PLC— Public Limited Company. |
S.A.— Societe Anonyme. |
S.A.B. de C.V.— Sociedad Anonima de Capital Variable. |
Tbk PT— Terbuka Perseroan Terbatas. |
Country Weightings as of 12/31/2021†† | |
China | 28% |
India | 21 |
Taiwan | 14 |
South Korea | 13 |
Indonesia | 7 |
Mexico | 5 |
Hong Kong | 4 |
Other | 8 |
Total | 100% |
†† | % of total investments as of December 31, 2021. |
COMMON STOCKS INDUSTRY DIVERSIFICATION | % of Market Value | Value† | |
Apparel | 2.0% | $ 2,509,634 | |
Auto Manufacturers | 2.0% | 2,502,303 | |
Banks | 6.6% | 8,364,640 | |
Beverages | 4.0% | 4,992,007 | |
Building Materials | 1.1% | 1,367,335 | |
Chemicals | 0.9% | 1,155,981 | |
Computers | 3.2% | 4,069,176 | |
Cosmetics & Personal Care | 3.7% | 4,683,126 | |
Diversified Financial Services | 3.1% | 3,900,314 | |
Electric | 1.7% | 2,180,468 | |
Electronics | 1.4% | 1,741,513 | |
Engineering & Construction | 1.1% | 1,374,564 | |
Food | 4.5% | 5,713,671 | |
Gas | 1.8% | 2,306,218 | |
Hand & Machine Tools | 2.0% | 2,490,867 | |
Healthcare Services | 1.1% | 1,414,877 | |
Home Furnishings | 1.1% | 1,405,232 | |
Household Products & Wares | 3.3% | 4,172,795 | |
Internet | 12.0% | 15,195,962 | |
Machinery — Diversified | 0.7% | 915,447 | |
Oil & Gas | 1.0% | 1,275,193 | |
Retail | 13.0% | 16,457,337 | |
Semiconductors | 19.0% | 24,026,403 | |
Software | 6.6% | 8,387,061 | |
Telecommunications | 3.1% | 3,845,726 | |
100.0% | $126,447,850 |
ASSETS TABLE | ||||
Description | Total Market Value at 12/31/2021 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Common Stocks | ||||
Brazil | $ 5,216,831 | $ 5,216,831 | $ — | $— |
China | 34,974,861 | 34,974,861 | — | — |
Hong Kong | 5,514,544 | 5,514,544 | — | — |
India | 26,897,603 | 26,897,603 | — | — |
Indonesia | 8,896,003 | 8,896,003 | — | — |
Mexico | 6,872,715 | 6,872,715 | — | — |
South Korea | 16,283,365 | 16,283,365 | — | — |
ASSETS TABLE | ||||
Description | Total Market Value at 12/31/2021 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Taiwan | $ 17,840,460 | $ 17,840,460 | $ — | $— |
Thailand | 798,374 | — | 798,374 | — |
United Kingdom | 3,153,094 | 3,153,094 | — | — |
Total Common Stocks | $ 126,447,850 | $ 125,649,476 | $ 798,374 | $ — |
Short-Term Investments | 2,728,222 | 2,728,222 | — | — |
Total Investments | $ 129,176,072 | $ 128,377,698 | $ 798,374 | $ — |
Number of Shares | Value† | |
COMMON STOCKS — 3.8% | ||
Entertainment — 0.5% | ||
Caesars Entertainment, Inc.* | 7,001 | $ 654,803 |
Lodging — 0.8% | ||
Boyd Gaming Corp.* | 17,233 | 1,129,968 |
Real Estate — 2.5% | ||
Jones Lang LaSalle, Inc.* | 13,302 | 3,582,761 |
TOTAL COMMON STOCKS (Cost $2,634,499) | 5,367,532 | |
REAL ESTATE INVESTMENT TRUSTS — 97.8% | ||
Apartments — 15.1% | ||
Apartment Income REIT Corp. | 65,585 | 3,585,532 |
Equity Residential | 15,232 | 1,378,496 |
Essex Property Trust, Inc. | 14,082 | 4,960,103 |
Invitation Homes, Inc. | 115,536 | 5,238,402 |
UDR, Inc. | 98,402 | 5,903,136 |
21,065,669 | ||
Diversified — 32.9% | ||
American Tower Corp. | 36,136 | 10,569,780 |
Crown Castle International Corp. | 21,374 | 4,461,609 |
CyrusOne, Inc. | 7,713 | 692,010 |
Digital Realty Trust, Inc. | 35,655 | 6,306,300 |
Duke Realty Corp. | 138,477 | 9,089,630 |
Equinix, Inc. | 4,186 | 3,540,686 |
SBA Communications Corp. | 13,826 | 5,378,591 |
VICI Properties, Inc. | 67,934 | 2,045,493 |
Weyerhaeuser Co. | 98,286 | 4,047,417 |
46,131,516 | ||
Healthcare — 12.2% | ||
Healthcare Trust of America, Inc., Class A | 62,295 | 2,080,030 |
Healthpeak Properties, Inc. | 183,737 | 6,631,068 |
Ventas, Inc. | 26,355 | 1,347,268 |
Welltower, Inc. | 81,989 | 7,032,197 |
17,090,563 | ||
Hotels & Resorts — 2.9% | ||
Host Hotels & Resorts, Inc.* | 197,632 | 3,436,820 |
Park Hotels & Resorts, Inc.* | 35,393 | 668,220 |
4,105,040 | ||
Industrial — 4.9% | ||
Americold Realty Trust | 82,642 | 2,709,831 |
Prologis, Inc. | 24,430 | 4,113,035 |
6,822,866 | ||
Manufactured Homes — 2.2% | ||
Sun Communities, Inc. | 14,944 | 3,137,792 |
Office Property — 1.9% | ||
Highwoods Properties, Inc. | 59,391 | 2,648,245 |
Regional Malls — 6.6% | ||
Simon Property Group, Inc. | 57,765 | 9,229,114 |
Number of Shares | Value† | |
Single Tenant — 4.9% | ||
Realty Income Corp. | 75,929 | $ 5,435,757 |
Spirit Realty Capital, Inc. | 29,874 | 1,439,628 |
6,875,385 | ||
Storage & Warehousing — 10.5% | ||
Extra Space Storage, Inc. | 13,095 | 2,969,029 |
Public Storage | 31,201 | 11,686,647 |
14,655,676 | ||
Strip Centers — 3.7% | ||
Federal Realty Investment Trust | 11,915 | 1,624,253 |
Kimco Realty Corp. | 104,569 | 2,577,626 |
SITE Centers Corp. | 61,849 | 979,069 |
5,180,948 | ||
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $97,635,837) | 136,942,814 |
SHORT-TERM INVESTMENTS — 0.6% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 0.030%) (Cost $853,013) | 853,013 | 853,013 |
TOTAL INVESTMENTS — 102.2% (Cost $101,123,349) | $ 143,163,359 | |
Other Assets & Liabilities — (2.2)% | (3,102,544) | |
TOTAL NET ASSETS — 100.0% | $ 140,060,815 |
† | See Security Valuation Note. |
* | Non-income producing security. |
REIT— Real Estate Investment Trust. |
ASSETS TABLE | ||||
Description | Total Market Value at 12/31/2021 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Common Stocks | $ 5,367,532 | $ 5,367,532 | $— | $— |
Real Estate Investment Trusts | 136,942,814 | 136,942,814 | — | — |
Short-Term Investments | 853,013 | 853,013 | — | — |
Total Investments | $ 143,163,359 | $ 143,163,359 | $ — | $ — |
Number of Shares | Value† | |
AFFILIATED EQUITY FUNDS — 61.6% | ||
Penn Series Flexibly Managed Fund* | 45,661 | $ 4,165,160 |
Penn Series Index 500 Fund* | 252,372 | 10,460,839 |
Penn Series Large Cap Growth Fund* | 54,872 | 2,110,377 |
Penn Series Large Cap Value Fund* | 133,143 | 5,642,609 |
Penn Series Large Core Value Fund* | 195,463 | 5,639,110 |
Penn Series Large Growth Stock Fund* | 8,282 | 688,346 |
Penn Series Mid Cap Growth Fund* | 30,753 | 1,406,625 |
Penn Series Mid Cap Value Fund* | 51,134 | 1,414,876 |
Penn Series Mid Core Value Fund* | 105,196 | 3,545,116 |
Penn Series Real Estate Securities Fund* | 57,375 | 2,159,022 |
Penn Series Small Cap Growth Fund* | 20,632 | 1,405,228 |
Penn Series Small Cap Index Fund* | 61,446 | 2,114,988 |
Penn Series SMID Cap Growth Fund* | 24,797 | 1,399,268 |
Penn Series SMID Cap Value Fund* | 36,055 | 1,406,866 |
TOTAL AFFILIATED EQUITY FUNDS (Cost $29,850,480) | 43,558,430 | |
AFFILIATED FIXED INCOME FUNDS — 7.8% | ||
Penn Series High Yield Bond Fund* | 123,390 | 2,077,891 |
Penn Series Limited Maturity Bond Fund* | 257,631 | 3,447,096 |
TOTAL AFFILIATED FIXED INCOME FUNDS (Cost $5,108,601) | 5,524,987 | |
AFFILIATED INTERNATIONAL EQUITY FUNDS — 29.9% | ||
Penn Series Developed International Index Fund* | 478,466 | 8,430,576 |
Penn Series Emerging Markets Equity Fund* | 296,086 | 4,168,887 |
Penn Series International Equity Fund* | 194,045 | 8,497,242 |
TOTAL AFFILIATED INTERNATIONAL EQUITY FUNDS (Cost $15,951,525) | 21,096,705 | |
SHORT-TERM INVESTMENTS — 0.5% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 0.030%) (Cost $307,239) | 307,239 | 307,239 |
TOTAL INVESTMENTS — 99.8% (Cost $51,217,845) | $ 70,487,361 | |
Other Assets & Liabilities — 0.2% | 169,338 | |
TOTAL NET ASSETS — 100.0% | $ 70,656,699 |
† | See Security Valuation Note. |
* | Non-income producing security. |
ASSETS TABLE | ||||
Description | Total Market Value at 12/31/2021 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Affiliated Equity Funds | $43,558,430 | $43,558,430 | $— | $— |
Affiliated Fixed Income Funds | 5,524,987 | 5,524,987 | — | — |
Affiliated International Equity Funds | 21,096,705 | 21,096,705 | — | — |
Short-Term Investments | 307,239 | 307,239 | — | — |
Total Investments | $ 70,487,361 | $ 70,487,361 | $ — | $ — |
Number of Shares | Value† | |
AFFILIATED EQUITY FUNDS — 57.9% | ||
Penn Series Flexibly Managed Fund* | 159,914 | $ 14,587,377 |
Penn Series Index 500 Fund* | 765,971 | 31,749,501 |
Penn Series Large Cap Growth Fund* | 192,161 | 7,390,520 |
Penn Series Large Cap Value Fund* | 466,271 | 19,760,562 |
Penn Series Large Core Value Fund* | 684,523 | 19,748,491 |
Penn Series Large Growth Stock Fund* | 29,005 | 2,410,629 |
Penn Series Mid Cap Growth Fund* | 107,691 | 4,925,785 |
Penn Series Mid Cap Value Fund* | 89,533 | 2,477,391 |
Penn Series Mid Core Value Fund* | 368,395 | 12,414,906 |
Penn Series Real Estate Securities Fund* | 200,916 | 7,560,457 |
Penn Series Small Cap Growth Fund* | 36,125 | 2,460,462 |
Penn Series Small Cap Index Fund* | 286,901 | 9,875,121 |
Penn Series SMID Cap Growth Fund* | 43,418 | 2,450,063 |
Penn Series SMID Cap Value Fund* | 126,260 | 4,926,657 |
TOTAL AFFILIATED EQUITY FUNDS (Cost $90,459,840) | 142,737,922 | |
AFFILIATED FIXED INCOME FUNDS — 17.6% | ||
Penn Series High Yield Bond Fund* | 432,159 | 7,277,548 |
Penn Series Limited Maturity Bond Fund* | 1,804,677 | 24,146,584 |
Penn Series Quality Bond Fund* | 700,597 | 12,078,290 |
TOTAL AFFILIATED FIXED INCOME FUNDS (Cost $39,558,465) | 43,502,422 | |
AFFILIATED INTERNATIONAL EQUITY FUNDS — 24.0% | ||
Penn Series Developed International Index Fund* | 1,256,722 | 22,143,448 |
Penn Series Emerging Markets Equity Fund* | 864,177 | 12,167,611 |
Penn Series International Equity Fund* | 566,284 | 24,797,590 |
TOTAL AFFILIATED INTERNATIONAL EQUITY FUNDS (Cost $42,080,347) | 59,108,649 | |
SHORT-TERM INVESTMENTS — 0.5% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 0.030%) (Cost $1,182,388) | 1,182,388 | 1,182,388 |
TOTAL INVESTMENTS — 100.0% (Cost $173,281,040) | $ 246,531,381 | |
Other Assets & Liabilities — (0.0)% | (58,478) | |
TOTAL NET ASSETS — 100.0% | $ 246,472,903 |
† | See Security Valuation Note. |
* | Non-income producing security. |
ASSETS TABLE | ||||
Description | Total Market Value at 12/31/2021 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Affiliated Equity Funds | $142,737,922 | $142,737,922 | $— | $— |
Affiliated Fixed Income Funds | 43,502,422 | 43,502,422 | — | — |
Affiliated International Equity Funds | 59,108,649 | 59,108,649 | — | — |
Short-Term Investments | 1,182,388 | 1,182,388 | — | — |
Total Investments | $ 246,531,381 | $ 246,531,381 | $ — | $ — |
Number of Shares | Value† | |
AFFILIATED EQUITY FUNDS — 45.1% | ||
Penn Series Flexibly Managed Fund* | 187,844 | $ 17,135,094 |
Penn Series Index 500 Fund* | 830,550 | 34,426,314 |
Penn Series Large Cap Growth Fund* | 150,486 | 5,787,708 |
Penn Series Large Cap Value Fund* | 342,325 | 14,507,719 |
Penn Series Large Core Value Fund* | 502,560 | 14,498,853 |
Penn Series Large Growth Stock Fund* | 34,072 | 2,831,694 |
Penn Series Mid Cap Growth Fund* | 126,508 | 5,786,485 |
Penn Series Mid Core Value Fund* | 432,752 | 14,583,756 |
Penn Series Real Estate Securities Fund* | 157,349 | 5,921,055 |
Penn Series Small Cap Index Fund* | 252,776 | 8,700,554 |
Penn Series SMID Cap Growth Fund* | 51,004 | 2,878,159 |
Penn Series SMID Cap Value Fund* | 74,159 | 2,893,667 |
TOTAL AFFILIATED EQUITY FUNDS (Cost $80,155,664) | 129,951,058 | |
AFFILIATED FIXED INCOME FUNDS — 37.4% | ||
Penn Series High Yield Bond Fund* | 676,846 | 11,398,091 |
Penn Series Limited Maturity Bond Fund* | 2,967,778 | 39,708,871 |
Penn Series Quality Bond Fund* | 3,291,777 | 56,750,229 |
TOTAL AFFILIATED FIXED INCOME FUNDS (Cost $95,367,897) | 107,857,191 | |
AFFILIATED INTERNATIONAL EQUITY FUNDS — 17.1% | ||
Penn Series Developed International Index Fund* | 820,144 | 14,450,945 |
Penn Series Emerging Markets Equity Fund* | 1,015,110 | 14,292,746 |
Penn Series International Equity Fund* | 465,653 | 20,390,937 |
TOTAL AFFILIATED INTERNATIONAL EQUITY FUNDS (Cost $34,482,539) | 49,134,628 | |
SHORT-TERM INVESTMENTS — 0.2% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 0.030%) (Cost $575,495) | 575,495 | 575,495 |
TOTAL INVESTMENTS — 99.8% (Cost $210,581,595) | $ 287,518,372 | |
Other Assets & Liabilities — 0.2% | 542,742 | |
TOTAL NET ASSETS — 100.0% | $ 288,061,114 |
† | See Security Valuation Note. |
* | Non-income producing security. |
ASSETS TABLE | ||||
Description | Total Market Value at 12/31/2021 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Affiliated Equity Funds | $129,951,058 | $129,951,058 | $— | $— |
Affiliated Fixed Income Funds | 107,857,191 | 107,857,191 | — | — |
Affiliated International Equity Funds | 49,134,628 | 49,134,628 | — | — |
Short-Term Investments | 575,495 | 575,495 | — | — |
Total Investments | $ 287,518,372 | $ 287,518,372 | $ — | $ — |
Number of Shares | Value† | |
AFFILIATED EQUITY FUNDS — 33.1% | ||
Penn Series Flexibly Managed Fund* | 86,680 | $ 7,906,973 |
Penn Series Index 500 Fund* | 143,720 | 5,957,187 |
Penn Series Large Cap Growth Fund* | 52,080 | 2,002,998 |
Penn Series Large Cap Value Fund* | 118,471 | 5,020,806 |
Penn Series Large Core Value Fund* | 173,925 | 5,017,732 |
Penn Series Mid Core Value Fund* | 89,859 | 3,028,250 |
Penn Series Real Estate Securities Fund* | 54,454 | 2,049,087 |
Penn Series Small Cap Index Fund* | 29,159 | 1,003,663 |
Penn Series SMID Cap Value Fund* | 25,665 | 1,001,429 |
TOTAL AFFILIATED EQUITY FUNDS (Cost $21,874,249) | 32,988,125 | |
AFFILIATED FIXED INCOME FUNDS — 56.1% | ||
Penn Series High Yield Bond Fund* | 292,810 | 4,930,926 |
Penn Series Limited Maturity Bond Fund* | 1,687,411 | 22,577,566 |
Penn Series Quality Bond Fund* | 1,651,916 | 28,479,024 |
TOTAL AFFILIATED FIXED INCOME FUNDS (Cost $50,895,761) | 55,987,516 | |
AFFILIATED INTERNATIONAL EQUITY FUNDS — 10.0% | ||
Penn Series Developed International Index Fund* | 170,300 | 3,000,693 |
Penn Series Emerging Markets Equity Fund* | 140,523 | 1,978,565 |
Penn Series International Equity Fund* | 115,108 | 5,040,580 |
TOTAL AFFILIATED INTERNATIONAL EQUITY FUNDS (Cost $7,627,816) | 10,019,838 | |
SHORT-TERM INVESTMENTS — 0.8% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 0.030%) (Cost $771,067) | 771,067 | 771,067 |
TOTAL INVESTMENTS — 100.0% (Cost $81,168,893) | $ 99,766,546 | |
Other Assets & Liabilities — 0.0% | 8,215 | |
TOTAL NET ASSETS — 100.0% | $ 99,774,761 |
† | See Security Valuation Note. |
* | Non-income producing security. |
ASSETS TABLE | ||||
Description | Total Market Value at 12/31/2021 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Affiliated Equity Funds | $ 32,988,125 | $ 32,988,125 | $— | $— |
Affiliated Fixed Income Funds | 55,987,516 | 55,987,516 | — | — |
Affiliated International Equity Funds | 10,019,838 | 10,019,838 | — | — |
Short-Term Investments | 771,067 | 771,067 | — | — |
Total Investments | $ 99,766,546 | $ 99,766,546 | $ — | $ — |
Number of Shares | Value† | |
AFFILIATED EQUITY FUNDS — 19.9% | ||
Penn Series Flexibly Managed Fund* | 51,202 | $ 4,670,678 |
Penn Series Index 500 Fund* | 56,608 | 2,346,382 |
Penn Series Large Cap Value Fund* | 28,001 | 1,186,693 |
Penn Series Large Core Value Fund* | 61,660 | 1,778,879 |
Penn Series Mid Core Value Fund* | 35,401 | 1,193,024 |
Penn Series Real Estate Securities Fund* | 16,091 | 605,498 |
TOTAL AFFILIATED EQUITY FUNDS (Cost $8,319,353) | 11,781,154 | |
AFFILIATED FIXED INCOME FUNDS — 75.5% | ||
Penn Series High Yield Bond Fund* | 172,956 | 2,912,574 |
Penn Series Limited Maturity Bond Fund* | 1,429,877 | 19,131,755 |
Penn Series Quality Bond Fund* | 1,312,020 | 22,619,234 |
TOTAL AFFILIATED FIXED INCOME FUNDS (Cost $41,840,240) | 44,663,563 | |
AFFILIATED INTERNATIONAL EQUITY FUNDS — 3.0% | ||
Penn Series Developed International Index Fund* | 67,081 | 1,181,954 |
Penn Series International Equity Fund* | 13,603 | 595,678 |
TOTAL AFFILIATED INTERNATIONAL EQUITY FUNDS (Cost $1,369,736) | 1,777,632 | |
SHORT-TERM INVESTMENTS — 1.5% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 0.030%) (Cost $916,599) | 916,599 | 916,599 |
TOTAL INVESTMENTS — 99.9% (Cost $52,445,928) | $ 59,138,948 | |
Other Assets & Liabilities — 0.1% | 48,859 | |
TOTAL NET ASSETS — 100.0% | $ 59,187,807 |
† | See Security Valuation Note. |
* | Non-income producing security. |
ASSETS TABLE | ||||
Description | Total Market Value at 12/31/2021 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Affiliated Equity Funds | $ 11,781,154 | $ 11,781,154 | $— | $— |
Affiliated Fixed Income Funds | 44,663,563 | 44,663,563 | — | — |
Affiliated International Equity Funds | 1,777,632 | 1,777,632 | — | — |
Short-Term Investments | 916,599 | 916,599 | — | — |
Total Investments | $ 59,138,948 | $ 59,138,948 | $ — | $ — |
Money Market Fund | Limited Maturity Bond Fund | Quality Bond Fund | High Yield Bond Fund | ||||
ASSETS: | |||||||
Investments at value | $ 161,778,990 | $ 257,890,743 | $ 467,620,730 | $ 165,526,203 | |||
Cash | — | — | — | 344,394 | |||
Initial margin held by broker for open futures | — | 162,275 | 916,691 | — | |||
Foreign currency at value | — | — | — | 116,461 | |||
Interest and dividends receivable | 407,709 | 1,148,046 | 2,391,588 | 2,091,147 | |||
Receivable for investment securities sold | — | — | — | 3,219 | |||
Receivable for capital stock sold | — | 1,075,417 | 3,735,801 | 1,519,430 | |||
Futures variation margin receivable | — | 14,547 | 252,720 | — | |||
Other assets | 136,023 | 6,337 | 11,326 | 4,004 | |||
Total Assets | 162,322,722 | 260,297,365 | 474,928,856 | 169,604,858 | |||
LIABILITIES: | |||||||
Payable for investment securities purchased | — | — | 2,338,077 | — | |||
Payable for capital stock redeemed | — | 94,039 | 146,725 | 28,533 | |||
Payable to investment adviser (See Note 3) | 46,440 | 100,503 | 176,847 | 65,452 | |||
Payable to the administrator (See Note 3) | 12,619 | 19,855 | 35,749 | 12,721 | |||
Other liabilities | 62,145 | 98,557 | 165,086 | 66,714 | |||
Total Liabilities | 121,204 | 312,954 | 2,862,484 | 173,420 | |||
NET ASSETS | $162,201,518 | $259,984,411 | $472,066,372 | $169,431,438 | |||
Investments at cost | $ 161,778,990 | $ 260,915,099 | $ 461,108,225 | $ 161,449,459 | |||
Foreign currency at cost | $ — | $ — | $ — | $ 112,601 | |||
COMPONENTS OF NET ASSETS: | |||||||
Paid-in capital | $ 162,195,680 | $ 263,153,539 | $ 465,553,865 | $ 165,397,629 | |||
Total distributable earnings (loss) | 5,838 | (3,169,128) | 6,512,507 | 4,033,809 | |||
NET ASSETS | $162,201,518 | $259,984,411 | $472,066,372 | $169,431,438 | |||
Shares outstanding, $0.10 par value, 500 million shares authorized | 162,183,160 | ||||||
Shares outstanding, $0.10 par value, 250 million shares authorized | 27,382,484 | 10,060,029 | |||||
Shares outstanding, $0.0001 par value, 250 million shares authorized | 19,429,173 | ||||||
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE | $ 1.00 | $ 13.38 | $ 17.24 | $ 16.84 |
Flexibly Managed Fund | Balanced Fund | Large Growth Stock Fund | Large Cap Growth Fund | ||||
ASSETS: | |||||||
Investments of affiliated issuers at value | $ — | $ 92,672,781 | $ — | $ — | |||
Investments of unaffiliated issuers at value | 5,629,390,019 | 287,975 | 428,619,139 | 79,585,204 | |||
Cash | 238,635 | — | — | 500 | |||
Foreign currency at value | 72,984 | — | — | — | |||
Interest and dividends receivable | 7,597,541 | — | 22,921 | 36,387 | |||
Tax reclaims receivable | 138,754 | — | 6,384 | 31,310 | |||
Receivable for investment securities sold | 5,338,932 | 58,916 | — | — | |||
Receivable for capital stock sold | — | — | 512,093 | — | |||
Other assets | 125,900 | 2,116 | 10,283 | 1,792 | |||
Total Assets | 5,642,902,765 | 93,021,788 | 429,170,820 | 79,655,193 | |||
LIABILITIES: | |||||||
Written options at value | 98,318,051 | — | — | — | |||
Payable for investment securities purchased | 49,091,478 | — | 122 | — | |||
Payable for capital stock redeemed | 2,592,973 | 231,572 | 9,762 | 561,485 | |||
Payable to investment adviser (See Note 3) | 3,140,643 | — | 255,084 | 36,399 | |||
Payable to the administrator (See Note 3) | 410,558 | 6,947 | 32,878 | 5,818 | |||
Other liabilities | 1,684,298 | 30,360 | 185,570 | 35,357 | |||
Total Liabilities | 155,238,001 | 268,879 | 483,416 | 639,059 | |||
NET ASSETS | $5,487,664,764 | $92,752,909 | $428,687,404 | $79,016,134 | |||
Investments of affiliated issuers at cost | $ — | $ 55,666,607 | $ — | $ — | |||
Investments of unaffiliated issuers at cost | $ 4,537,967,096 | $ 287,975 | $ 234,194,816 | $ 45,315,439 | |||
Written options, premiums received | $ (46,566,808) | $ — | $ — | $ — | |||
Foreign currency at cost | $ 72,643 | $ — | $ — | $ — | |||
COMPONENTS OF NET ASSETS: | |||||||
Paid-in capital | $ 4,456,002,255 | $ 55,877,784 | $ 235,230,565 | $ 44,777,171 | |||
Total distributable earnings (loss) | 1,031,662,509 | 36,875,125 | 193,456,839 | 34,238,963 | |||
NET ASSETS | $5,487,664,764 | $92,752,909 | $428,687,404 | $79,016,134 | |||
Shares outstanding, $0.10 par value, 250 million shares authorized | 60,159,618 | 5,158,188 | |||||
Shares outstanding, $0.0001 par value, 250 million shares authorized | 2,937,981 | 2,054,292 | |||||
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE | $ 91.22 | $ 31.57 | $ 83.11 | $ 38.46 |
Large Core Growth Fund | Large Cap Value Fund | Large Core Value Fund | Index 500 Fund | ||||
ASSETS: | |||||||
Investments at value | $ 202,894,566 | $ 203,570,627 | $ 190,145,976 | $ 703,732,210 | |||
Cash | — | 39,207 | — | — | |||
Initial margin held by broker for open futures | — | — | — | 367,997 | |||
Foreign currency at value | 1,590 | — | — | — | |||
Interest and dividends receivable | 141 | 171,211 | 296,088 | 417,956 | |||
Tax reclaims receivable | 14,418 | — | 31,510 | — | |||
Receivable for investment securities sold | 166,101 | — | — | — | |||
Receivable for capital stock sold | 2,602,022 | — | — | — | |||
Other assets | 5,485 | 4,628 | 4,322 | 15,430 | |||
Total Assets | 205,684,323 | 203,785,673 | 190,477,896 | 704,533,593 | |||
LIABILITIES: | |||||||
Payable for capital stock redeemed | 69 | 987,509 | 1,154,050 | 5,429,833 | |||
Futures variation margin payable | — | — | — | 22,000 | |||
Payable to investment adviser (See Note 3) | 104,929 | 112,298 | 105,289 | 73,862 | |||
Payable to the administrator (See Note 3) | 16,852 | 15,147 | 14,170 | 51,213 | |||
Other liabilities | 83,204 | 74,587 | 68,807 | 234,590 | |||
Total Liabilities | 205,054 | 1,189,541 | 1,342,316 | 5,811,498 | |||
NET ASSETS | $205,479,269 | $202,596,132 | $189,135,580 | $698,722,095 | |||
Investments at cost | $ 175,063,984 | $ 160,484,084 | $ 155,352,779 | $ 294,865,939 | |||
Foreign currency at cost | $ 1,592 | $ — | $ — | $ — | |||
COMPONENTS OF NET ASSETS: | |||||||
Paid-in capital | $ 179,196,865 | $ 160,214,105 | $ 156,494,713 | $ 297,181,423 | |||
Total distributable earnings (loss) | 26,282,404 | 42,382,027 | 32,640,867 | 401,540,672 | |||
NET ASSETS | $205,479,269 | $202,596,132 | $189,135,580 | $698,722,095 | |||
Shares outstanding, $0.10 par value, 250 million shares authorized | 4,780,090 | ||||||
Shares outstanding, $0.0001 par value, 250 million shares authorized | 4,273,571 | 6,555,358 | 16,857,368 | ||||
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE | $ 48.08 | $ 42.38 | $ 28.85 | $ 41.45 |
Mid Cap Growth Fund | Mid Cap Value Fund | Mid Core Value Fund | SMID Cap Growth Fund | ||||
ASSETS: | |||||||
Investments at value | $ 210,549,772 | $ 104,886,961 | $ 94,675,406 | $ 102,430,062 | |||
Cash | — | — | 500 | — | |||
Foreign currency at value | — | — | 3 | — | |||
Interest and dividends receivable | 29,039 | 143,924 | 188,357 | 8,134 | |||
Tax reclaims receivable | — | — | 26,633 | — | |||
Receivable for investment securities sold | — | — | 144,239 | 850,976 | |||
Receivable for capital stock sold | 55,993 | — | — | 612,956 | |||
Unrealized appreciation of forward foreign currency contracts | — | — | 10,149 | — | |||
Other assets | 4,921 | 2,341 | 2,369 | 2,486 | |||
Total Assets | 210,639,725 | 105,033,226 | 95,047,656 | 103,904,614 | |||
LIABILITIES: | |||||||
Written options at value | 315,649 | — | — | — | |||
Payable for investment securities purchased | — | 316,175 | — | — | |||
Payable for capital stock redeemed | 60,890 | 542,683 | 316,413 | 8,270 | |||
Payable to investment adviser (See Note 3) | 122,206 | 47,557 | 57,398 | 64,696 | |||
Payable to the administrator (See Note 3) | 15,873 | 7,734 | 7,684 | 7,983 | |||
Unrealized depreciation of forward foreign currency contracts | — | — | 78,823 | — | |||
Other liabilities | 78,490 | 42,689 | 50,380 | 43,826 | |||
Total Liabilities | 593,108 | 956,838 | 510,698 | 124,775 | |||
NET ASSETS | $210,046,617 | $104,076,388 | $94,536,958 | $103,779,839 | |||
Investments at cost | $ 117,271,047 | $ 82,433,092 | $ 80,484,481 | $ 83,933,962 | |||
Written options, premiums received | $ (185,809) | $ — | $ — | $ — | |||
Foreign currency at cost | $ — | $ — | $ 3 | $ — | |||
COMPONENTS OF NET ASSETS: | |||||||
Paid-in capital | $ 117,434,384 | $ 88,080,725 | $ 81,668,913 | $ 85,362,197 | |||
Total distributable earnings (loss) | 92,612,233 | 15,995,663 | 12,868,045 | 18,417,642 | |||
NET ASSETS | $210,046,617 | $104,076,388 | $94,536,958 | $103,779,839 | |||
Shares outstanding, $0.0001 par value, 250 million shares authorized | 4,592,197 | 3,760,718 | 2,804,860 | 1,839,094 | |||
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE | $ 45.74 | $ 27.67 | $ 33.70 | $ 56.43 |
SMID Cap Value Fund | Small Cap Growth Fund | Small Cap Value Fund | Small Cap Index Fund | ||||
ASSETS: | |||||||
Investments at value | $ 72,276,495 | $ 139,967,473 | $199,963,804 | $ 98,146,275 | |||
Initial margin held by broker for open futures | — | — | — | 83,957 | |||
Foreign currency at value | — | 1,921 | — | — | |||
Interest and dividends receivable | 64,703 | 27,255 | 257,828 | 76,398 | |||
Tax reclaims receivable | — | 8,069 | 685 | — | |||
Receivable for investment securities sold | 47,607 | — | — | 17,600 | |||
Receivable for capital stock sold | — | 357,839 | — | 624,452 | |||
Other assets | 1,580 | 3,300 | 4,399 | 2,224 | |||
Total Assets | 72,390,385 | 140,365,857 | 200,226,716 | 98,950,906 | |||
LIABILITIES: | |||||||
Payable for investment securities purchased | 237,476 | 121 | 10,127 | — | |||
Payable for capital stock redeemed | 251,445 | 2,378 | 820,700 | 22,304 | |||
Futures variation margin payable | — | — | — | 2,870 | |||
Payable to investment adviser (See Note 3) | 50,533 | 84,966 | 119,106 | 24,563 | |||
Payable to the administrator (See Note 3) | 5,377 | 10,672 | 15,026 | 7,532 | |||
Other liabilities | 35,172 | 57,284 | 89,143 | 66,567 | |||
Total Liabilities | 580,003 | 155,421 | 1,054,102 | 123,836 | |||
NET ASSETS | $ 71,810,382 | $140,210,436 | $ 199,172,614 | $98,827,070 | |||
Investments at cost | $ 56,115,124 | $ 82,644,443 | $ 167,438,481 | $ 80,556,973 | |||
Foreign currency at cost | $ — | $ 2,006 | $ — | $ — | |||
COMPONENTS OF NET ASSETS: | |||||||
Paid-in capital | $56,604,802 | $ 83,050,188 | $ 168,435,766 | $ 81,609,189 | |||
Total distributable earnings (loss) | 15,205,580 | 57,160,248 | 30,736,848 | 17,217,881 | |||
NET ASSETS | $ 71,810,382 | $140,210,436 | $ 199,172,614 | $98,827,070 | |||
Shares outstanding, $0.10 par value, 500 million shares authorized | 1,840,259 | 3,907,740 | |||||
Shares outstanding, $0.0001 par value, 250 million shares authorized | 2,058,554 | 2,871,600 | |||||
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE | $ 39.02 | $ 68.11 | $ 50.97 | $ 34.42 |
Developed International Index Fund | International Equity Fund | Emerging Markets Equity Fund | Real Estate Securities Fund | ||||
ASSETS: | |||||||
Investments at value | $ 112,895,219 | $ 351,464,059 | $ 129,176,072 | $ 143,163,359 | |||
Initial margin held by broker for open futures | 213,842 | — | — | — | |||
Foreign currency at value | 241,043 | — | 285,428 | — | |||
Interest and dividends receivable | 82,755 | 156,891 | 191,609 | 259,077 | |||
Tax reclaims receivable | 546,842 | 1,227,638 | 65,333 | — | |||
Receivable for investment securities sold | 16,656 | — | 505,683 | — | |||
Receivable for capital stock sold | 334,392 | 997,563 | 1,559,258 | — | |||
Other assets | 2,691 | 8,668 | 3,052 | 3,160 | |||
Total Assets | 114,333,440 | 353,854,819 | 131,786,435 | 143,425,596 | |||
LIABILITIES: | |||||||
Cash overdraft | — | — | 1 | — | |||
Foreign currency overdraft | — | 6 | — | — | |||
Payable for investment securities purchased | 2,737 | — | 302,591 | — | |||
Payable for capital stock redeemed | 45,186 | 57,569 | 37,545 | 3,219,247 | |||
Futures variation margin payable | 2,080 | — | — | — | |||
Payable to investment adviser (See Note 3) | 28,215 | 221,566 | 94,539 | 82,042 | |||
Payable to the administrator (See Note 3) | 8,452 | 26,092 | 9,857 | 10,278 | |||
Deferred Indian capital gains tax | — | 385,196 | 587,612 | — | |||
Other liabilities | 88,742 | 159,708 | 117,045 | 53,214 | |||
Total Liabilities | 175,412 | 850,137 | 1,149,190 | 3,364,781 | |||
NET ASSETS | $114,158,028 | $353,004,682 | $130,637,245 | $140,060,815 | |||
Investments at cost | $ 75,544,917 | $ 296,005,560 | $ 117,530,451 | $ 101,123,349 | |||
Foreign currency at cost | $ 238,865 | $ — | $ 285,751 | $ — | |||
COMPONENTS OF NET ASSETS: | |||||||
Paid-in capital | $ 78,880,577 | $ 298,225,014 | $ 119,836,153 | $ 98,593,724 | |||
Total distributable earnings (loss) | 35,277,451 | 54,779,668 | 10,801,092 | 41,467,091 | |||
NET ASSETS | $114,158,028 | $353,004,682 | $130,637,245 | $140,060,815 | |||
Shares outstanding, $0.10 par value, 250 million shares authorized | 8,060,916 | ||||||
Shares outstanding, $0.0001 par value, 250 million shares authorized | 6,478,008 | 9,276,393 | 3,721,884 | ||||
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE | $ 17.62 | $ 43.79 | $ 14.08 | $ 37.63 |
Aggressive Allocation Fund | Moderately Aggressive Allocation Fund | Moderate Allocation Fund | Moderately Conservative Allocation Fund | ||||
ASSETS: | |||||||
Investments of affiliated issuers at value | $ 70,180,122 | $ 245,348,993 | $ 286,942,877 | $ 98,995,479 | |||
Investments of unaffiliated issuers at value | 307,239 | 1,182,388 | 575,495 | 771,067 | |||
Interest and dividends receivable | — | 2 | 1 | 4 | |||
Receivable for investment securities sold | 99,230 | 39,128 | 589,413 | 7,843 | |||
Receivable for capital stock sold | 105,367 | 15,192 | 85,406 | 54,120 | |||
Other assets | 1,639 | 5,760 | 6,841 | 2,254 | |||
Total Assets | 70,693,597 | 246,591,463 | 288,200,033 | 99,830,767 | |||
LIABILITIES: | |||||||
Payable for capital stock redeemed | 1 | 3 | — | 6,394 | |||
Payable to investment adviser (See Note 3) | 7,095 | 24,328 | 28,388 | 10,119 | |||
Payable to the administrator (See Note 3) | 5,299 | 18,452 | 21,739 | 7,402 | |||
Other liabilities | 24,503 | 75,777 | 88,792 | 32,091 | |||
Total Liabilities | 36,898 | 118,560 | 138,919 | 56,006 | |||
NET ASSETS | $70,656,699 | $246,472,903 | $288,061,114 | $99,774,761 | |||
Investments of affiliated issuers at cost | $ 50,910,606 | $ 172,098,652 | $ 210,006,100 | $ 80,397,826 | |||
Investments of unaffiliated issuers at cost | $ 307,239 | $ 1,182,388 | $ 575,495 | $ 771,067 | |||
COMPONENTS OF NET ASSETS: | |||||||
Paid-in capital | $ 51,419,891 | $ 173,343,422 | $ 211,213,192 | $ 81,219,145 | |||
Total distributable earnings (loss) | 19,236,808 | 73,129,481 | 76,847,922 | 18,555,616 | |||
NET ASSETS | $70,656,699 | $246,472,903 | $288,061,114 | $99,774,761 | |||
Shares outstanding, $0.0001 par value, 250 million shares authorized | 2,594,977 | 8,853,451 | 12,058,869 | 4,837,592 | |||
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE | $ 27.23 | $ 27.84 | $ 23.89 | $ 20.62 |
Conservative Allocation Fund | |
ASSETS: | |
Investments of affiliated issuers at value | $ 58,222,349 |
Investments of unaffiliated issuers at value | 916,599 |
Cash | 42 |
Interest and dividends receivable | 1 |
Receivable for investment securities sold | 2,554 |
Receivable for capital stock sold | 76,856 |
Other assets | 1,435 |
Total Assets | 59,219,836 |
LIABILITIES: | |
Payable for capital stock redeemed | 1 |
Payable to investment adviser (See Note 3) | 6,140 |
Payable to the administrator (See Note 3) | 4,585 |
Other liabilities | 21,303 |
Total Liabilities | 32,029 |
NET ASSETS | $59,187,807 |
Investments of affiliated issuers at cost | $ 51,529,329 |
Investments of unaffiliated issuers at cost | $ 916,599 |
COMPONENTS OF NET ASSETS: | |
Paid-in capital | $ 52,514,300 |
Total distributable earnings (loss) | 6,673,507 |
NET ASSETS | $59,187,807 |
Shares outstanding, $0.0001 par value, 250 million shares authorized | 3,410,594 |
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE | $ 17.35 |
Money Market Fund | Limited Maturity Bond Fund | Quality Bond Fund | High Yield Bond Fund | ||||
INVESTMENT INCOME: | |||||||
Dividends | $ 6,168 | $ 2,070 | $ 255,259 | $ 36,679 | |||
Interest | 66,720 | 5,584,689 | 12,394,226 | 8,134,097 | |||
Foreign taxes withheld | — | (2,651) | — | — | |||
Total Investment Income | 72,888 | 5,584,108 | 12,649,485 | 8,170,776 | |||
EXPENSES: | |||||||
Investment advisory fees (See Note 3) | 551,705 | 1,180,077 | 2,105,560 | 773,207 | |||
Shareholder servicing fees (See Note 3) | 150,465 | 233,198 | 427,620 | 151,280 | |||
Administration fees (See Note 3) | 50,155 | 77,733 | 142,540 | 50,427 | |||
Accounting fees (See Note 3) | 103,592 | 149,554 | 222,540 | 104,044 | |||
Directors’ fees and expenses | 8,646 | 13,580 | 24,956 | 8,748 | |||
Custodian fees and expenses | 12,093 | 18,524 | 33,778 | 12,186 | |||
Pricing fees | 8,972 | 23,130 | 27,203 | 22,582 | |||
Professional fees | 13,297 | 21,933 | 40,187 | 14,245 | |||
Printing fees | 9,283 | 13,648 | 23,957 | 9,352 | |||
Other expenses | 38,477 | 59,994 | 81,947 | 49,491 | |||
Total Expenses | 946,685 | 1,791,371 | 3,130,288 | 1,195,562 | |||
Less: Waivers and reimbursement from administrator (See Note 3) | (338,808) | — | — | — | |||
Less: Waivers and reimbursement from advisor (See Note 3) | (551,705) | — | — | — | |||
Net Expenses | 56,172 | 1,791,371 | 3,130,288 | 1,195,562 | |||
Net Investment Income (Loss) | 16,716 | 3,792,737 | 9,519,197 | 6,975,214 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS): | |||||||
Net realized gain (loss) on: | |||||||
Investments | 2,714 | 401,176 | 4,924,334 | 6,054,606 | |||
Futures contracts | — | (628,258) | (3,608,055) | 464,892 | |||
Net realized gain (loss) | 2,714 | (227,082) | 1,316,279 | 6,519,498 | |||
Net change in unrealized appreciation (depreciation) of: | |||||||
Investments | — | (2,462,631) | (14,363,297) | (5,170,049) | |||
Futures contracts | — | (50,051) | 164,822 | 13,246 | |||
Foreign currencies | — | — | — | 947 | |||
Net change in unrealized appreciation (depreciation) | — | (2,512,682) | (14,198,475) | (5,155,856) | |||
Net Realized and Unrealized Gain (Loss) | 2,714 | (2,739,764) | (12,882,196) | 1,363,642 | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 19,430 | $ 1,052,973 | $ (3,362,999) | $ 8,338,856 |
Flexibly Managed Fund | Balanced Fund | Large Growth Stock Fund | Large Cap Growth Fund | ||||
INVESTMENT INCOME: | |||||||
Dividends | $ 42,972,665 | $ — | $ 1,395,715 | $ 676,342 | |||
Interest | 44,127,362 | — | — | — | |||
Foreign taxes withheld | (84,586) | — | (18,809) | (7,939) | |||
Total Investment Income | 87,015,441 | — | 1,376,906 | 668,403 | |||
EXPENSES: | |||||||
Investment advisory fees (See Note 3) | 35,694,020 | — | 2,993,996 | 408,974 | |||
Shareholder servicing fees (See Note 3) | 4,703,298 | 80,182 | 383,029 | 66,923 | |||
Administration fees (See Note 3) | 1,567,766 | 26,727 | 127,676 | 22,308 | |||
Accounting fees (See Note 3) | 1,185,177 | 12,000 | 207,676 | 52,051 | |||
Directors’ fees and expenses | 269,565 | 4,593 | 22,001 | 3,824 | |||
Custodian fees and expenses | 369,091 | 6,246 | 31,933 | 6,203 | |||
Pricing fees | 17,528 | 3,279 | 8,799 | 5,655 | |||
Professional fees | 472,133 | 7,085 | 70,958 | 7,034 | |||
Printing fees | 254,681 | 5,607 | 22,046 | 4,933 | |||
Other expenses | 680,412 | 25,290 | 103,166 | 53,975 | |||
Total Expenses | 45,213,671 | 171,009 | 3,971,280 | 631,880 | |||
Net Investment Income (Loss) | 41,801,770 | (171,009) | (2,594,374) | 36,523 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS): | |||||||
Net realized gain (loss) on: | |||||||
Affiliated Investments | — | 9,391,510 | — | — | |||
Unaffiliated investments | 605,539,020 | — | 59,905,867 | 8,403,981 | |||
Written options | 7,234,302 | — | — | — | |||
Foreign currencies | (43,674) | — | (4,705) | (550) | |||
Forward foreign currency contracts | — | — | 128 | — | |||
Net realized gain (loss) | 612,729,648 | 9,391,510 | 59,901,290 | 8,403,431 | |||
Net change in unrealized appreciation (depreciation) of: | |||||||
Affiliated Investments | — | 3,806,283 | — | — | |||
Unaffiliated Investments | 243,318,962 | — | 7,107,707 | 8,731,882 | |||
Written options | (25,206,896) | — | — | — | |||
Foreign currencies | 13,045 | — | (187) | (987) | |||
Net change in unrealized appreciation (depreciation) | 218,125,111 | 3,806,283 | 7,107,520 | 8,730,895 | |||
Net Realized and Unrealized Gain (Loss) | 830,854,759 | 13,197,793 | 67,008,810 | 17,134,326 | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 872,656,529 | $13,026,784 | $64,414,436 | $17,170,849 |
Large Core Growth Fund | Large Cap Value Fund | Large Core Value Fund | Index 500 Fund | ||||
INVESTMENT INCOME: | |||||||
Dividends | $ 283,921 | $ 3,388,851 | $ 4,063,131 | $ 8,930,680 | |||
Foreign taxes withheld | (5,900) | (51,896) | (16,433) | (1,213) | |||
Total Investment Income | 278,021 | 3,336,955 | 4,046,698 | 8,929,467 | |||
EXPENSES: | |||||||
Investment advisory fees (See Note 3) | 1,358,155 | 1,303,007 | 1,260,322 | 822,906 | |||
Shareholder servicing fees (See Note 3) | 203,723 | 176,262 | 170,352 | 583,430 | |||
Administration fees (See Note 3) | 67,908 | 58,754 | 56,784 | 194,477 | |||
Accounting fees (See Note 3) | 133,180 | 117,924 | 114,640 | 269,612 | |||
Directors’ fees and expenses | 11,882 | 10,064 | 9,748 | 33,207 | |||
Custodian fees and expenses | 17,096 | 13,893 | 13,487 | 46,127 | |||
Pricing fees | 4,118 | 7,616 | 4,515 | 12,162 | |||
Professional fees | 20,078 | 21,256 | 35,762 | 59,113 | |||
Printing fees | 12,535 | 10,880 | 17,231 | 32,922 | |||
Other expenses | 68,728 | 55,486 | 52,358 | 167,731 | |||
Total Expenses | 1,897,403 | 1,775,142 | 1,735,199 | 2,221,687 | |||
Net Investment Income (Loss) | (1,619,382) | 1,561,813 | 2,311,499 | 6,707,780 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS): | |||||||
Net realized gain (loss) on: | |||||||
Investments | 41,852,917 | 32,298,494 | 30,721,742 | 44,059,134 | |||
Futures contracts | — | — | — | 1,641,098 | |||
Foreign currencies | 81 | — | — | — | |||
Net realized gain (loss) | 41,852,998 | 32,298,494 | 30,721,742 | 45,700,232 | |||
Net change in unrealized appreciation (depreciation) of: | |||||||
Investments | (48,219,527) | 13,408,379 | 8,290,741 | 108,593,912 | |||
Futures contracts | — | — | — | (78,623) | |||
Foreign currencies | 68 | — | — | — | |||
Net change in unrealized appreciation (depreciation) | (48,219,459) | 13,408,379 | 8,290,741 | 108,515,289 | |||
Net Realized and Unrealized Gain (Loss) | (6,366,461) | 45,706,873 | 39,012,483 | 154,215,521 | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ (7,985,843) | $47,268,686 | $ 41,323,982 | $160,923,301 |
Mid Cap Growth Fund | Mid Cap Value Fund | Mid Core Value Fund | SMID Cap Growth Fund | ||||
INVESTMENT INCOME: | |||||||
Dividends | $ 690,861 | $ 1,379,805 | $ 2,304,800 | $ 257,043 | |||
Foreign taxes withheld | — | (3,068) | (31,297) | — | |||
Total Investment Income | 690,861 | 1,376,737 | 2,273,503 | 257,043 | |||
EXPENSES: | |||||||
Investment advisory fees (See Note 3) | 1,435,700 | 557,481 | 696,900 | 764,295 | |||
Shareholder servicing fees (See Note 3) | 184,590 | 91,224 | 90,900 | 91,715 | |||
Administration fees (See Note 3) | 61,530 | 30,408 | 30,300 | 30,572 | |||
Accounting fees (See Note 3) | 122,550 | 70,552 | 70,319 | 70,746 | |||
Directors’ fees and expenses | 10,675 | 5,236 | 5,221 | 5,297 | |||
Custodian fees and expenses | 14,713 | 7,194 | 9,385 | 7,342 | |||
Pricing fees | 5,661 | 5,784 | 6,862 | 5,133 | |||
Professional fees | 33,478 | 10,112 | 11,729 | 9,400 | |||
Printing fees | 71,832 | 6,232 | 6,200 | 6,245 | |||
Other expenses | 67,035 | 49,677 | 83,073 | 52,140 | |||
Total Expenses | 2,007,764 | 833,900 | 1,010,889 | 1,042,885 | |||
Net Investment Income (Loss) | (1,316,903) | 542,837 | 1,262,614 | (785,842) | |||
NET REALIZED AND UNREALIZED GAIN (LOSS): | |||||||
Net realized gain (loss) on: | |||||||
Investments | 35,332,331 | 14,042,856 | 17,033,543 | 17,862,730 | |||
Written options | 177,984 | — | — | — | |||
Purchased options | (1,353,841) | — | — | — | |||
Foreign currencies | — | — | (949) | — | |||
Forward foreign currency contracts | — | — | 358,813 | — | |||
Payment by affiliates | — | — | 860 | — | |||
Net realized gain (loss) | 34,156,474 | 14,042,856 | 17,392,267 | 17,862,730 | |||
Net change in unrealized appreciation (depreciation) of: | |||||||
Investments | (1,512,627) | 3,104,724 | 1,934,628 | (9,805,272) | |||
Written options | (230,184) | — | — | — | |||
Purchased options | 304,108 | — | — | — | |||
Foreign currencies | — | 16 | (535) | — | |||
Forward foreign currency contracts | — | — | (19,996) | — | |||
Net change in unrealized appreciation (depreciation) | (1,438,703) | 3,104,740 | 1,914,097 | (9,805,272) | |||
Net Realized and Unrealized Gain (Loss) | 32,717,771 | 17,147,596 | 19,306,364 | 8,057,458 | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $31,400,868 | $17,690,433 | $20,568,978 | $ 7,271,616 |
SMID Cap Value Fund | Small Cap Growth Fund | Small Cap Value Fund | Small Cap Index Fund | ||||
INVESTMENT INCOME: | |||||||
Dividends | $ 1,184,673 | $ 530,208 | $ 2,331,778 | $ 934,267 | |||
Foreign taxes withheld | (880) | (2,796) | (2,386) | (1,606) | |||
Total Investment Income | 1,183,793 | 527,412 | 2,329,392 | 932,661 | |||
EXPENSES: | |||||||
Investment advisory fees (See Note 3) | 562,477 | 1,027,056 | 1,402,868 | 280,322 | |||
Shareholder servicing fees (See Note 3) | 60,265 | 127,229 | 175,547 | 84,097 | |||
Administration fees (See Note 3) | 20,089 | 42,410 | 58,516 | 28,032 | |||
Accounting fees (See Note 3) | 46,873 | 90,682 | 117,526 | 65,346 | |||
Directors’ fees and expenses | 3,386 | 7,379 | 10,008 | 4,789 | |||
Custodian fees and expenses | 4,612 | 10,810 | 13,833 | 6,687 | |||
Pricing fees | 5,001 | 7,478 | 8,499 | 34,174 | |||
Professional fees | 6,374 | 13,247 | 17,461 | 13,115 | |||
Printing fees | 4,570 | 8,137 | 10,735 | 5,968 | |||
Recaptured advisory fee (See Note 3) | — | — | — | 90 | |||
Other expenses | 59,447 | 62,045 | 102,835 | 127,830 | |||
Total Expenses | 773,094 | 1,396,473 | 1,917,828 | 650,450 | |||
Net Investment Income (Loss) | 410,699 | (869,061) | 411,564 | 282,211 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS): | |||||||
Net realized gain (loss) on: | |||||||
Investments | 11,185,789 | 21,339,645 | 47,543,690 | 12,394,096 | |||
Futures contracts | — | — | — | 197,906 | |||
Foreign currencies | — | 3 | — | — | |||
Forward foreign currency contracts | — | (26) | — | — | |||
Net realized gain (loss) | 11,185,789 | 21,339,622 | 47,543,690 | 12,592,002 | |||
Net change in unrealized appreciation (depreciation) of: | |||||||
Investments | 8,043,754 | (8,563,330) | (1,680,539) | (2,635,395) | |||
Futures contracts | — | — | — | (20,765) | |||
Foreign currencies | — | (621) | — | — | |||
Net change in unrealized appreciation (depreciation) | 8,043,754 | (8,563,951) | (1,680,539) | (2,656,160) | |||
Net Realized and Unrealized Gain (Loss) | 19,229,543 | 12,775,671 | 45,863,151 | 9,935,842 | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $19,640,242 | $11,906,610 | $46,274,715 | $10,218,053 |
Developed International Index Fund | International Equity Fund | Emerging Markets Equity Fund | Real Estate Securities Fund | ||||
INVESTMENT INCOME: | |||||||
Dividends | $ 3,168,520 | $ 3,601,363 | $ 2,141,032 | $ 2,408,158 | |||
Foreign taxes withheld | (339,613) | (370,621) | (289,351) | — | |||
Total Investment Income | 2,828,907 | 3,230,742 | 1,851,681 | 2,408,158 | |||
EXPENSES: | |||||||
Investment advisory fees (See Note 3) | 337,691 | 2,633,936 | 1,219,521 | 915,876 | |||
Shareholder servicing fees (See Note 3) | 101,307 | 311,419 | 126,157 | 117,755 | |||
Administration fees (See Note 3) | 33,769 | 103,806 | 42,053 | 39,252 | |||
Accounting fees (See Note 3) | 87,538 | 227,613 | 104,105 | 85,420 | |||
Directors’ fees and expenses | 5,840 | 17,888 | 7,422 | 6,674 | |||
Custodian fees and expenses | 27,880 | 100,083 | 66,577 | 9,187 | |||
Pricing fees | 94,465 | 10,884 | 11,553 | 4,777 | |||
Professional fees | 54,171 | 44,620 | 45,122 | 11,176 | |||
Printing fees | 6,744 | 17,993 | 7,984 | 7,687 | |||
Other expenses | 212,719 | 101,771 | 116,555 | 48,847 | |||
Total Expenses | 962,124 | 3,570,013 | 1,747,049 | 1,246,651 | |||
Net Investment Income (Loss) | 1,866,783 | (339,271) | 104,632 | 1,161,507 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS): | |||||||
Net realized gain (loss) on: | |||||||
Investments | 2,584,103 | 64,721,949 | 19,678,634 | 16,592,735 | |||
Futures contracts | 309,134 | — | — | — | |||
Foreign currencies | (12,573) | (731,670) | (192,466) | — | |||
Forward foreign currency contracts | 1,716 | — | — | — | |||
Net realized gain (loss) | 2,882,380 | 63,990,279 | 19,486,168 | 16,592,735 | |||
Net change in unrealized appreciation (depreciation) of: | |||||||
Investments | 6,568,065 | (23,133,902) | (26,886,728) | 28,759,376 | |||
Futures contracts | 4,124 | — | — | — | |||
Foreign currencies | (32,866) | (49,494) | (4,208) | — | |||
Net change in unrealized appreciation (depreciation) | 6,539,323 | (23,183,396) | (26,890,936) | 28,759,376 | |||
Net Realized and Unrealized Gain (Loss) | 9,421,703 | 40,806,883 | (7,404,768) | 45,352,111 | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $11,288,486 | $ 40,467,612 | $ (7,300,136) | $46,513,618 |
Aggressive Allocation Fund | Moderately Aggressive Allocation Fund | Moderate Allocation Fund | Moderately Conservative Allocation Fund | ||||
INVESTMENT INCOME: | |||||||
Dividends | $ 92 | $ 299 | $ 186 | $ 198 | |||
Total Investment Income | 92 | 299 | 186 | 198 | |||
EXPENSES: | |||||||
Investment advisory fees (See Note 3) | 83,806 | 285,278 | 339,207 | 115,892 | |||
Shareholder servicing fees (See Note 3) | 62,855 | 217,046 | 261,170 | 86,919 | |||
Administration fees (See Note 3) | 20,952 | 72,349 | 87,057 | 28,973 | |||
Accounting fees (See Note 3) | 12,000 | 24,116 | 29,019 | 12,000 | |||
Directors’ fees and expenses | 3,645 | 12,468 | 15,091 | 5,006 | |||
Custodian fees and expenses | 4,946 | 17,092 | 20,431 | 6,803 | |||
Pricing fees | 3,278 | 3,279 | 3,278 | 3,279 | |||
Professional fees | 5,527 | 19,140 | 22,762 | 7,587 | |||
Printing fees | 4,671 | 13,035 | 15,249 | 5,921 | |||
Other expenses | 27,660 | 42,593 | 47,571 | 26,535 | |||
Total Expenses | 229,340 | 706,396 | 840,835 | 298,915 | |||
Net Investment Income (Loss) | (229,248) | (706,097) | (840,649) | (298,717) | |||
NET REALIZED AND UNREALIZED GAIN (LOSS): | |||||||
Net realized gain (loss) on affiliated investments | 8,475,044 | 20,521,343 | 25,886,652 | 7,087,205 | |||
Net change in unrealized appreciation (depreciation) of affiliated investments | 2,360,017 | 14,233,495 | 5,964,759 | 1,139,596 | |||
Net Realized and Unrealized Gain (Loss) | 10,835,061 | 34,754,838 | 31,851,411 | 8,226,801 | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $10,605,813 | $ 34,048,741 | $ 31,010,762 | $7,928,084 |
Conservative Allocation Fund | |
INVESTMENT INCOME: | |
Dividends | $ 191 |
Total Investment Income | 191 |
EXPENSES: | |
Investment advisory fees (See Note 3) | 72,985 |
Shareholder servicing fees (See Note 3) | 54,739 |
Administration fees (See Note 3) | 18,246 |
Accounting fees (See Note 3) | 12,000 |
Directors’ fees and expenses | 3,161 |
Custodian fees and expenses | 4,312 |
Pricing fees | 3,278 |
Professional fees | 4,747 |
Printing fees | 4,160 |
Other expenses | 22,327 |
Total Expenses | 199,955 |
Net Investment Income (Loss) | (199,764) |
NET REALIZED AND UNREALIZED GAIN (LOSS): | |
Net realized gain (loss) on affiliated investments | 3,989,908 |
Net change in unrealized appreciation (depreciation) of affiliated investments | (1,118,481) |
Net Realized and Unrealized Gain (Loss) | 2,871,427 |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 2,671,663 |
Money Market Fund | Limited Maturity Bond Fund | ||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/21 | Year Ended 12/31/20 | ||||
Increase (Decrease) in Net Assets Operations: | |||||||
Net investment income (loss) | $ 16,716 | $ 280,486 | $ 3,792,737 | $ 4,549,641 | |||
Net realized gain (loss) | 2,714 | — | (227,082) | 4,071,621 | |||
Net change in unrealized appreciation (depreciation) | — | — | (2,512,682) | 107,453 | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | 19,430 | 280,486 | 1,052,973 | 8,728,715 | |||
Distributions from: | |||||||
Distributable earnings | (16,716) | (277,283) | — | — | |||
Total Distributions | (16,716) | (277,283) | — | — | |||
Capital Share Transactions (1): | |||||||
Shares issued | 135,442,747 | 151,898,109 | 54,991,956 | 59,690,500 | |||
Shares issued in lieu of cash distributions | 16,716 | 280,485 | — | — | |||
Shares redeemed | (133,727,825) | (104,653,034) | (50,938,391) | (58,538,852) | |||
Net Increase (Decrease) in Net Assets from Capital Share Transactions | 1,731,638 | 47,525,560 | 4,053,565 | 1,151,648 | |||
Total Increase (Decrease) | 1,734,352 | 47,528,763 | 5,106,538 | 9,880,363 | |||
Net Assets: | |||||||
Beginning of period | 160,467,166 | 112,938,403 | 254,877,873 | 244,997,510 | |||
End of period | $ 162,201,518 | $ 160,467,166 | $ 259,984,411 | $ 254,877,873 | |||
(1) Shares Issued and Redeemed: | |||||||
Shares issued | 135,442,747 | 151,898,109 | 4,107,612 | 4,573,900 | |||
Shares issued in lieu of cash distributions | 16,716 | 280,485 | — | — | |||
Shares redeemed | (133,727,825) | (104,653,034) | (3,805,410) | (4,505,075) | |||
1,731,638 | 47,525,560 | 302,202 | 68,825 |
Quality Bond Fund | High Yield Bond Fund | ||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/21 | Year Ended 12/31/20 | ||||
Increase (Decrease) in Net Assets Operations: | |||||||
Net investment income (loss) | $ 9,519,197 | $ 9,544,582 | $ 6,975,214 | $ 7,123,014 | |||
Net realized gain (loss) | 1,316,279 | 14,152,559 | 6,519,498 | 795,032 | |||
Net change in unrealized appreciation (depreciation) | (14,198,475) | 12,407,581 | (5,155,856) | 2,311,510 | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | (3,362,999) | 36,104,722 | 8,338,856 | 10,229,556 | |||
Capital Share Transactions (1): | |||||||
Shares issued | 63,716,703 | 110,626,763 | 15,459,601 | 22,749,256 | |||
Shares redeemed | (72,761,498) | (95,991,535) | (21,758,474) | (25,483,846) | |||
Net Increase (Decrease) in Net Assets from Capital Share Transactions | (9,044,795) | 14,635,228 | (6,298,873) | (2,734,590) | |||
Total Increase (Decrease) | (12,407,794) | 50,739,950 | 2,039,983 | 7,494,966 | |||
Net Assets: | |||||||
Beginning of period | 484,474,166 | 433,734,216 | 167,391,455 | 159,896,489 | |||
End of period | $ 472,066,372 | $484,474,166 | $169,431,438 | $ 167,391,455 | |||
(1) Shares Issued and Redeemed: | |||||||
Shares issued | 3,710,167 | 6,581,932 | 936,393 | 1,467,884 | |||
Shares redeemed | (4,230,720) | (5,773,085) | (1,322,604) | (1,754,814) | |||
(520,553) | 808,847 | (386,211) | (286,930) |
Flexibly Managed Fund | Balanced Fund | ||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/21 | Year Ended 12/31/20 | ||||
Increase (Decrease) in Net Assets Operations: | |||||||
Net investment income (loss) | $ 41,801,770 | $ 46,949,584 | $ (171,009) | $ (158,423) | |||
Net realized gain (loss) | 612,729,648 | 559,438,503 | 9,391,510 | 11,783,833 | |||
Net change in unrealized appreciation (depreciation) | 218,125,111 | 135,399,398 | 3,806,283 | (530,549) | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | 872,656,529 | 741,787,485 | 13,026,784 | 11,094,861 | |||
Capital Share Transactions (1): | |||||||
Shares issued | 78,991,493 | 79,440,355 | 4,700,832 | 4,125,924 | |||
Shares redeemed | (350,338,635) | (353,137,852) | (9,322,437) | (11,943,412) | |||
Net Increase (Decrease) in Net Assets from Capital Share Transactions | (271,347,142) | (273,697,497) | (4,621,605) | (7,817,488) | |||
Total Increase (Decrease) | 601,309,387 | 468,089,988 | 8,405,179 | 3,277,373 | |||
Net Assets: | |||||||
Beginning of period | 4,886,355,377 | 4,418,265,389 | 84,347,730 | 81,070,357 | |||
End of period | $5,487,664,764 | $ 4,886,355,377 | $ 92,752,909 | $ 84,347,730 | |||
(1) Shares Issued and Redeemed: | |||||||
Shares issued | 929,618 | 1,197,362 | 162,133 | 169,657 | |||
Shares redeemed | (4,131,573) | (5,345,786) | (317,193) | (488,438) | |||
(3,201,955) | (4,148,424) | (155,060) | (318,781) |
Large Growth Stock Fund | Large Cap Growth Fund | ||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/21 | Year Ended 12/31/20 | ||||
Increase (Decrease) in Net Assets Operations: | |||||||
Net investment income (loss) | $ (2,594,374) | $ (1,752,986) | $ 36,523 | $ 114,472 | |||
Net realized gain (loss) | 59,901,290 | 34,810,689 | 8,403,431 | 8,618,889 | |||
Net change in unrealized appreciation (depreciation) | 7,107,520 | 81,003,169 | 8,730,895 | 4,193,440 | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | 64,414,436 | 114,060,872 | 17,170,849 | 12,926,801 | |||
Capital Share Transactions (1): | |||||||
Shares issued | 16,606,702 | 16,475,289 | 5,333,971 | 4,993,757 | |||
Shares redeemed | (58,120,448) | (56,169,734) | (12,024,711) | (12,603,815) | |||
Net Increase (Decrease) in Net Assets from Capital Share Transactions | (41,513,746) | (39,694,445) | (6,690,740) | (7,610,058) | |||
Total Increase (Decrease) | 22,900,690 | 74,366,427 | 10,480,109 | 5,316,743 | |||
Net Assets: | |||||||
Beginning of period | 405,786,714 | 331,420,287 | 68,536,025 | 63,219,282 | |||
End of period | $428,687,404 | $ 405,786,714 | $ 79,016,134 | $ 68,536,025 | |||
(1) Shares Issued and Redeemed: | |||||||
Shares issued | 213,275 | 293,328 | 159,695 | 203,974 | |||
Shares redeemed | (740,342) | (968,934) | (348,367) | (488,080) | |||
(527,067) | (675,606) | (188,672) | (284,106) |
Large Core Growth Fund | Large Cap Value Fund | ||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/21 | Year Ended 12/31/20 | ||||
Increase (Decrease) in Net Assets Operations: | |||||||
Net investment income (loss) | $ (1,619,382) | $ (1,006,421) | $ 1,561,813 | $ 1,996,769 | |||
Net realized gain (loss) | 41,852,998 | 44,658,734 | 32,298,494 | (5,261,376) | |||
Net change in unrealized appreciation (depreciation) | (48,219,459) | 53,224,451 | 13,408,379 | 6,098,668 | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | (7,985,843) | 96,876,764 | 47,268,686 | 2,834,061 | |||
Capital Share Transactions (1): | |||||||
Shares issued | 17,243,325 | 18,312,376 | 8,082,948 | 12,636,650 | |||
Shares redeemed | (25,806,226) | (29,091,470) | (30,566,489) | (33,767,654) | |||
Net Increase (Decrease) in Net Assets from Capital Share Transactions | (8,562,901) | (10,779,094) | (22,483,541) | (21,131,004) | |||
Total Increase (Decrease) | (16,548,744) | 86,097,670 | 24,785,145 | (18,296,943) | |||
Net Assets: | |||||||
Beginning of period | 222,028,013 | 135,930,343 | 177,810,987 | 196,107,930 | |||
End of period | $ 205,479,269 | $ 222,028,013 | $ 202,596,132 | $ 177,810,987 | |||
(1) Shares Issued and Redeemed: | |||||||
Shares issued | 338,124 | 466,319 | 208,887 | 483,571 | |||
Shares redeemed | (500,372) | (796,839) | (794,797) | (1,172,172) | |||
(162,248) | (330,520) | (585,910) | (688,601) |
Large Core Value Fund | Index 500 Fund | ||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/21 | Year Ended 12/31/20 | ||||
Increase (Decrease) in Net Assets Operations: | |||||||
Net investment income (loss) | $ 2,311,499 | $ 2,548,904 | $ 6,707,780 | $ 7,296,719 | |||
Net realized gain (loss) | 30,721,742 | (411,727) | 45,700,232 | 67,006,759 | |||
Net change in unrealized appreciation (depreciation) | 8,290,741 | 2,010,840 | 108,515,289 | 22,214,082 | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | 41,323,982 | 4,148,017 | 160,923,301 | 96,517,560 | |||
Capital Share Transactions (1): | |||||||
Shares issued | 9,614,251 | 15,417,090 | 38,832,262 | 69,328,444 | |||
Shares redeemed | (40,761,500) | (33,565,078) | (96,966,378) | (64,452,708) | |||
Net Increase (Decrease) in Net Assets from Capital Share Transactions | (31,147,249) | (18,147,988) | (58,134,116) | 4,875,736 | |||
Total Increase (Decrease) | 10,176,733 | (13,999,971) | 102,789,185 | 101,393,296 | |||
Net Assets: | |||||||
Beginning of period | 178,958,847 | 192,958,818 | 595,932,910 | 494,539,614 | |||
End of period | $ 189,135,580 | $ 178,958,847 | $ 698,722,095 | $ 595,932,910 | |||
(1) Shares Issued and Redeemed: | |||||||
Shares issued | 364,000 | 818,126 | 1,041,297 | 2,685,017 | |||
Shares redeemed | (1,529,299) | (1,641,339) | (2,630,019) | (2,351,038) | |||
(1,165,299) | (823,213) | (1,588,722) | 333,979 |
Mid Cap Growth Fund | Mid Cap Value Fund | ||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/21 | Year Ended 12/31/20 | ||||
Increase (Decrease) in Net Assets Operations: | |||||||
Net investment income (loss) | $ (1,316,903) | $ (615,728) | $ 542,837 | $ 1,005,951 | |||
Net realized gain (loss) | 34,156,474 | 23,290,242 | 14,042,856 | (17,957,467) | |||
Net change in unrealized appreciation (depreciation) | (1,438,703) | 45,974,753 | 3,104,740 | 3,457,789 | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | 31,400,868 | 68,649,267 | 17,690,433 | (13,493,727) | |||
Capital Share Transactions (1): | |||||||
Shares issued | 11,782,143 | 12,631,402 | 5,865,740 | 8,736,702 | |||
Shares redeemed | (30,128,689) | (33,054,226) | (14,241,668) | (17,279,601) | |||
Net Increase (Decrease) in Net Assets from Capital Share Transactions | (18,346,546) | (20,422,824) | (8,375,928) | (8,542,899) | |||
Total Increase (Decrease) | 13,054,322 | 48,226,443 | 9,314,505 | (22,036,626) | |||
Net Assets: | |||||||
Beginning of period | 196,992,295 | 148,765,852 | 94,761,883 | 116,798,509 | |||
End of period | $ 210,046,617 | $ 196,992,295 | $104,076,388 | $ 94,761,883 | |||
(1) Shares Issued and Redeemed: | |||||||
Shares issued | 276,197 | 439,826 | 226,526 | 495,206 | |||
Shares redeemed | (708,179) | (1,086,670) | (551,073) | (826,237) | |||
(431,982) | (646,844) | (324,547) | (331,031) |
Mid Core Value Fund | SMID Cap Growth Fund | ||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/21 | Year Ended 12/31/20 | ||||
Increase (Decrease) in Net Assets Operations: | |||||||
Net investment income (loss) | $ 1,262,614 | $ 1,279,235 | $ (785,842) | $ (501,975) | |||
Net realized gain (loss) | 17,392,267 | 33,554 | 17,862,730 | 18,619,401 | |||
Net change in unrealized appreciation (depreciation) | 1,914,097 | 673,573 | (9,805,272) | 16,408,442 | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | 20,568,978 | 1,986,362 | 7,271,616 | 34,525,868 | |||
Capital Share Transactions (1): | |||||||
Shares issued | 8,047,009 | 10,033,128 | 16,757,559 | 11,570,298 | |||
Shares redeemed | (28,155,842) | (17,741,512) | (16,259,146) | (21,047,089) | |||
Net Increase (Decrease) in Net Assets from Capital Share Transactions | (20,108,833) | (7,708,384) | 498,413 | (9,476,791) | |||
Total Increase (Decrease) | 460,145 | (5,722,022) | 7,770,029 | 25,049,077 | |||
Net Assets: | |||||||
Beginning of period | 94,076,813 | 99,798,835 | 96,009,810 | 70,960,733 | |||
End of period | $ 94,536,958 | $ 94,076,813 | $103,779,839 | $ 96,009,810 | |||
(1) Shares Issued and Redeemed: | |||||||
Shares issued | 256,449 | 468,174 | 298,608 | 294,698 | |||
Shares redeemed | (888,283) | (736,216) | (292,408) | (525,103) | |||
(631,834) | (268,042) | 6,200 | (230,405) |
SMID Cap Value Fund | Small Cap Growth Fund | ||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/21 | Year Ended 12/31/20 | ||||
Increase (Decrease) in Net Assets Operations: | |||||||
Net investment income (loss) | $ 410,699 | $ 455,150 | $ (869,061) | $ (700,286) | |||
Net realized gain (loss) | 11,185,789 | (7,927,747) | 21,339,622 | 7,981,795 | |||
Net change in unrealized appreciation (depreciation) | 8,043,754 | 3,067,672 | (8,563,951) | 29,384,904 | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | 19,640,242 | (4,404,925) | 11,906,610 | 36,666,413 | |||
Capital Share Transactions (1): | |||||||
Shares issued | 8,649,638 | 4,828,741 | 7,555,073 | 8,523,305 | |||
Shares redeemed | (14,151,233) | (28,076,299) | (21,846,222) | (20,838,333) | |||
Net Increase (Decrease) in Net Assets from Capital Share Transactions | (5,501,595) | (23,247,558) | (14,291,149) | (12,315,028) | |||
Total Increase (Decrease) | 14,138,647 | (27,652,483) | (2,384,539) | 24,351,385 | |||
Net Assets: | |||||||
Beginning of period | 57,671,735 | 85,324,218 | 142,594,975 | 118,243,590 | |||
End of period | $ 71,810,382 | $ 57,671,735 | $ 140,210,436 | $142,594,975 | |||
(1) Shares Issued and Redeemed: | |||||||
Shares issued | 241,807 | 240,997 | 114,121 | 205,798 | |||
Shares redeemed | (405,692) | (1,244,791) | (331,087) | (422,367) | |||
(163,885) | (1,003,794) | (216,966) | (216,569) |
Small Cap Value Fund | Small Cap Index Fund | ||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/21 | Year Ended 12/31/20 | ||||
Increase (Decrease) in Net Assets Operations: | |||||||
Net investment income (loss) | $ 411,564 | $ 938,773 | $ 282,211 | $ 270,954 | |||
Net realized gain (loss) | 47,543,690 | (3,944,641) | 12,592,002 | 7,931,929 | |||
Net change in unrealized appreciation (depreciation) | (1,680,539) | 5,454,924 | (2,656,160) | 5,341,756 | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | 46,274,715 | 2,449,056 | 10,218,053 | 13,544,639 | |||
Capital Share Transactions (1): | |||||||
Shares issued | 10,348,403 | 12,924,725 | 26,580,797 | 5,753,101 | |||
Shares redeemed | (37,362,659) | (40,510,317) | (13,823,850) | (13,439,062) | |||
Net Increase (Decrease) in Net Assets from Capital Share Transactions | (27,014,256) | (27,585,592) | 12,756,947 | (7,685,961) | |||
Total Increase (Decrease) | 19,260,459 | (25,136,536) | 22,975,000 | 5,858,678 | |||
Net Assets: | |||||||
Beginning of period | 179,912,155 | 205,048,691 | 75,852,070 | 69,993,392 | |||
End of period | $ 199,172,614 | $ 179,912,155 | $ 98,827,070 | $ 75,852,070 | |||
(1) Shares Issued and Redeemed: | |||||||
Shares issued | 215,026 | 472,091 | 757,555 | 291,977 | |||
Shares redeemed | (777,855) | (1,216,186) | (406,236) | (546,994) | |||
(562,829) | (744,095) | 351,319 | (255,017) |
Developed International Index Fund | International Equity Fund | ||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/21 | Year Ended 12/31/20 | ||||
Increase (Decrease) in Net Assets Operations: | |||||||
Net investment income (loss) | $ 1,866,783 | $ 1,380,818 | $ (339,271) | $ (436,043) | |||
Net realized gain (loss) | 2,882,380 | 2,551,030 | 63,990,279 | 28,666,007 | |||
Net change in unrealized appreciation (depreciation) | 6,539,323 | 4,269,987 | (23,183,396) | 15,284,371 | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | 11,288,486 | 8,201,835 | 40,467,612 | 43,514,335 | |||
Capital Share Transactions (1): | |||||||
Shares issued | 9,600,052 | 8,402,011 | 18,978,194 | 12,617,143 | |||
Shares redeemed | (16,026,129) | (18,375,149) | (42,714,865) | (45,822,700) | |||
Net Increase (Decrease) in Net Assets from Capital Share Transactions | (6,426,077) | (9,973,138) | (23,736,671) | (33,205,557) | |||
Total Increase (Decrease) | 4,862,409 | (1,771,303) | 16,730,941 | 10,308,778 | |||
Net Assets: | |||||||
Beginning of period | 109,295,619 | 111,066,922 | 336,273,741 | 325,964,963 | |||
End of period | $ 114,158,028 | $109,295,619 | $353,004,682 | $ 336,273,741 | |||
(1) Shares Issued and Redeemed: | |||||||
Shares issued | 559,616 | 698,267 | 468,705 | 378,342 | |||
Shares redeemed | (938,773) | (1,351,452) | (1,026,636) | (1,361,532) | |||
(379,157) | (653,185) | (557,931) | (983,190) |
Emerging Markets Equity Fund | Real Estate Securities Fund | ||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/21 | Year Ended 12/31/20 | ||||
Increase (Decrease) in Net Assets Operations: | |||||||
Net investment income (loss) | $ 104,632 | $ (248,068) | $ 1,161,507 | $ 1,834,014 | |||
Net realized gain (loss) | 19,486,168 | 1,179,133 | 16,592,735 | (4,286,440) | |||
Net change in unrealized appreciation (depreciation) | (26,890,936) | 12,950,444 | 28,759,376 | (2,339,070) | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | (7,300,136) | 13,881,509 | 46,513,618 | (4,791,496) | |||
Capital Share Transactions (1): | |||||||
Shares issued | 16,132,556 | 7,422,502 | 4,276,599 | 9,621,300 | |||
Shares redeemed | (23,530,604) | (23,380,691) | (31,792,613) | (16,834,148) | |||
Net Increase (Decrease) in Net Assets from Capital Share Transactions | (7,398,048) | (15,958,189) | (27,516,014) | (7,212,848) | |||
Total Increase (Decrease) | (14,698,184) | (2,076,680) | 18,997,604 | (12,004,344) | |||
Net Assets: | |||||||
Beginning of period | 145,335,429 | 147,412,109 | 121,063,211 | 133,067,555 | |||
End of period | $ 130,637,245 | $ 145,335,429 | $ 140,060,815 | $ 121,063,211 | |||
(1) Shares Issued and Redeemed: | |||||||
Shares issued | 1,095,679 | 678,651 | 132,791 | 397,565 | |||
Shares redeemed | (1,555,915) | (1,841,803) | (1,001,340) | (689,608) | |||
(460,236) | (1,163,152) | (868,549) | (292,043) |
Aggressive Allocation Fund | Moderately Aggressive Allocation Fund | ||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/21 | Year Ended 12/31/20 | ||||
Increase (Decrease) in Net Assets Operations: | |||||||
Net investment income (loss) | $ (229,248) | $ (210,535) | $ (706,097) | $ (618,332) | |||
Net realized gain (loss) | 8,475,044 | 4,861,836 | 20,521,343 | 17,087,542 | |||
Net change in unrealized appreciation (depreciation) | 2,360,017 | 1,151,393 | 14,233,495 | 2,135,312 | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | 10,605,813 | 5,802,694 | 34,048,741 | 18,604,522 | |||
Capital Share Transactions (1): | |||||||
Shares issued | 3,928,352 | 1,765,540 | 8,425,976 | 5,009,104 | |||
Shares redeemed | (13,951,031) | (9,511,189) | (23,086,058) | (28,837,461) | |||
Net Increase (Decrease) in Net Assets from Capital Share Transactions | (10,022,679) | (7,745,649) | (14,660,082) | (23,828,357) | |||
Total Increase (Decrease) | 583,134 | (1,942,955) | 19,388,659 | (5,223,835) | |||
Net Assets: | |||||||
Beginning of period | 70,073,565 | 72,016,520 | 227,084,244 | 232,308,079 | |||
End of period | $ 70,656,699 | $ 70,073,565 | $ 246,472,903 | $ 227,084,244 | |||
(1) Shares Issued and Redeemed: | |||||||
Shares issued | 151,870 | 95,273 | 319,365 | 256,776 | |||
Shares redeemed | (553,262) | (462,948) | (874,683) | (1,380,078) | |||
(401,392) | (367,675) | (555,318) | (1,123,302) |
Moderate Allocation Fund | Moderately Conservative Allocation Fund | ||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/21 | Year Ended 12/31/20 | ||||
Increase (Decrease) in Net Assets Operations: | |||||||
Net investment income (loss) | $ (840,649) | $ (813,737) | $ (298,717) | $ (280,823) | |||
Net realized gain (loss) | 25,886,652 | 25,510,932 | 7,087,205 | 6,352,159 | |||
Net change in unrealized appreciation (depreciation) | 5,964,759 | (149,120) | 1,139,596 | 708,025 | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | 31,010,762 | 24,548,075 | 7,928,084 | 6,779,361 | |||
Capital Share Transactions (1): | |||||||
Shares issued | 5,382,276 | 4,351,087 | 12,980,442 | 8,395,170 | |||
Shares redeemed | (34,241,634) | (41,104,628) | (15,618,874) | (14,636,141) | |||
Net Increase (Decrease) in Net Assets from Capital Share Transactions | (28,859,358) | (36,753,541) | (2,638,432) | (6,240,971) | |||
Total Increase (Decrease) | 2,151,404 | (12,205,466) | 5,289,652 | 538,390 | |||
Net Assets: | |||||||
Beginning of period | 285,909,710 | 298,115,176 | 94,485,109 | 93,946,719 | |||
End of period | $ 288,061,114 | $ 285,909,710 | $ 99,774,761 | $ 94,485,109 | |||
(1) Shares Issued and Redeemed: | |||||||
Shares issued | 237,623 | 223,251 | 650,921 | 482,248 | |||
Shares redeemed | (1,499,453) | (2,153,883) | (788,191) | (851,613) | |||
(1,261,830) | (1,930,632) | (137,270) | (369,365) |
Conservative Allocation Fund | |||
Year Ended 12/31/21 | Year Ended 12/31/20 | ||
Increase (Decrease) in Net Assets Operations: | |||
Net investment income (loss) | $ (199,764) | $ (189,674) | |
Net realized gain (loss) | 3,989,908 | 3,154,886 | |
Net change in unrealized appreciation (depreciation) | (1,118,481) | 1,027,216 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,671,663 | 3,992,428 | |
Capital Share Transactions (1): | |||
Shares issued | 11,180,718 | 11,966,235 | |
Shares redeemed | (16,518,862) | (13,936,211) | |
Net Increase (Decrease) in Net Assets from Capital Share Transactions | (5,338,144) | (1,969,976) | |
Total Increase (Decrease) | (2,666,481) | 2,022,452 | |
Net Assets: | |||
Beginning of period | 61,854,288 | 59,831,836 | |
End of period | $ 59,187,807 | $ 61,854,288 | |
(1) Shares Issued and Redeemed: | |||
Shares issued | 657,075 | 756,114 | |
Shares redeemed | (972,219) | (886,960) | |
(315,144) | (130,846) |
For a share outstanding throughout each period
Year Ended December 31, | |||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)1 | — (a) | — (a) | 0.02 | 0.01 | — (a) | ||||
Total from investment operations | — | — | 0.02 | 0.01 | — | ||||
Less distributions: | |||||||||
Net investment income | — (a) | — (a) | (0.02) | (0.01) | — (a) | ||||
Total distributions | — | — | (0.02) | (0.01) | — | ||||
Net asset value, end of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | ||||
Total return2 | 0.01% | 0.24% | 1.61% | 0.55% | 0.01% | ||||
Ratios/Supplemental data: | |||||||||
Net assets, end of period (in thousands) | $ 162,202 | $ 160,467 | $ 112,938 | $ 110,933 | $ 91,567 | ||||
Ratio of net expenses to average net assets3 | 0.03% | 0.28% | 0.59% | 1.26% | 0.85% | ||||
Ratio of total expenses to average net assets4 | 0.57% | 0.58% | 0.59% | 0.59% | 0.59% | ||||
Ratio of net investment income (loss) to average net assets | 0.01% | 0.21% | 1.60% | 0.55% | 0.01% |
1 | The net investment income (loss) per share was calculated using the average shares outstanding method. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total returns do not reflect expenses associated with variable contracts such as administrative fees, account charges and surrender charges, which if reflected would reduce the total returns for all periods presented. Total returns may reflect adjustments to conform with generally accepted accounting principles. |
3 | The ratio includes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/ reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been higher (lower), respectively, than the ratio shown. |
4 | The ratio excludes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/ reimbursed net of amount recaptured and fees paid indirectly were included, the ratio would have been lower than the ratio shown. |
(a) | Less than one penny per share. |
For a share outstanding throughout each period
Year Ended December 31, | |||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 13.33 | $ 12.86 | $ 12.26 | $ 12.09 | $ 11.89 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)1 | 0.20 | 0.24 | 0.37 | 0.32 | 0.24 | ||||
Net realized and unrealized gain (loss) on investment transactions | (0.15) | 0.23 | 0.23 | (0.15) | (0.04) | ||||
Total from investment operations | 0.05 | 0.47 | 0.60 | 0.17 | 0.20 | ||||
Net asset value, end of period | $ 13.38 | $ 13.33 | $ 12.86 | $ 12.26 | $ 12.09 | ||||
Total return2 | 0.38% | 3.65% | 4.89% | 1.41% | 1.68% | ||||
Ratios/Supplemental data: | |||||||||
Net assets, end of period (in thousands) | $ 259,984 | $ 254,878 | $ 244,998 | $ 233,216 | $ 229,184 | ||||
Ratio of total expenses to average net assets | 0.69% | 0.70% | 0.70% | 0.70% | 0.70% | ||||
Ratio of net investment income (loss) to average net assets | 1.46% | 1.86% | 2.92% | 2.61% | 1.98% | ||||
Portfolio turnover rate | 73% | 99% | 54% | 79% | 97% |
1 | The net investment income (loss) per share was calculated using the average shares outstanding method. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total returns do not reflect expenses associated with variable contracts such as administrative fees, account charges and surrender charges, which if reflected would reduce the total returns for all periods presented. Total returns may reflect adjustments to conform with generally accepted accounting principles. |
For a share outstanding throughout each period
Year Ended December 31, | |||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 17.36 | $ 16.01 | $ 14.66 | $ 14.68 | $ 14.03 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)1 | 0.34 | 0.35 | 0.45 | 0.41 | 0.36 | ||||
Net realized and unrealized gain (loss) on investment transactions | (0.46) | 1.00 | 0.90 | (0.43) | 0.29 | ||||
Total from investment operations | (0.12) | 1.35 | 1.35 | (0.02) | 0.65 | ||||
Net asset value, end of period | $ 17.24 | $ 17.36 | $ 16.01 | $ 14.66 | $ 14.68 | ||||
Total return2 | (0.69%) | 8.43% | 9.21% | (0.14%) | 4.63% | ||||
Ratios/Supplemental data: | |||||||||
Net assets, end of period (in thousands) | $ 472,066 | $ 484,474 | $ 433,734 | $ 409,027 | $ 485,598 | ||||
Ratio of total expenses to average net assets | 0.66% | 0.67% | 0.67% | 0.66% | 0.66% | ||||
Ratio of net investment income (loss) to average net assets | 2.00% | 2.11% | 2.92% | 2.81% | 2.48% | ||||
Portfolio turnover rate | 59% | 75% | 47% | 59% | 72% |
1 | The net investment income (loss) per share was calculated using the average shares outstanding method. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total returns do not reflect expenses associated with variable contracts such as administrative fees, account charges and surrender charges, which if reflected would reduce the total returns for all periods presented. Total returns may reflect adjustments to conform with generally accepted accounting principles. |
For a share outstanding throughout each period
Year Ended December 31, | |||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 16.02 | $ 14.90 | $ 12.88 | $ 13.18 | $ 12.29 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)1 | 0.68 | 0.71 | 0.68 | 0.66 | 0.69 | ||||
Net realized and unrealized gain (loss) on investment transactions | 0.14 | 0.41 | 1.34 | (0.96) | 0.20 | ||||
Total from investment operations | 0.82 | 1.12 | 2.02 | (0.30) | 0.89 | ||||
Net asset value, end of period | $ 16.84 | $ 16.02 | $ 14.90 | $ 12.88 | $ 13.18 | ||||
Total return2 | 5.12% | 7.52% | 15.68% | (2.35%) | 7.42% | ||||
Ratios/Supplemental data: | |||||||||
Net assets, end of period (in thousands) | $ 169,431 | $ 167,391 | $ 159,896 | $ 150,324 | $ 171,467 | ||||
Ratio of total expenses to average net assets | 0.71% | 0.72% | 0.71% | 0.77% | 0.86% | ||||
Ratio of net investment income (loss) to average net assets | 4.15% | 4.73% | 4.83% | 5.02% | 5.39% | ||||
Portfolio turnover rate | 94% | 128% | 133% | 115% | 78% |
1 | The net investment income (loss) per share was calculated using the average shares outstanding method. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total returns do not reflect expenses associated with variable contracts such as administrative fees, account charges and surrender charges, which if reflected would reduce the total returns for all periods presented. Total returns may reflect adjustments to conform with generally accepted accounting principles. |
For a share outstanding throughout each period
Year Ended December 31, | |||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 77.12 | $ 65.45 | $ 52.56 | $ 52.31 | $ 45.44 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)1 | 0.68 | 0.72 | 0.84 | 1.22 | 0.53 | ||||
Net realized and unrealized gain (loss) on investment transactions | 13.42 | 10.95 | 12.05 | (0.97) | 6.34 | ||||
Total from investment operations | 14.10 | 11.67 | 12.89 | 0.25 | 6.87 | ||||
Net asset value, end of period | $ 91.22 | $ 77.12 | $ 65.45 | $ 52.56 | $ 52.31 | ||||
Total return2 | 18.29% | 17.83% | 24.53% | 0.48% | 15.12% | ||||
Ratios/Supplemental data: | |||||||||
Net assets, end of period (in thousands) | $ 5,487,665 | $ 4,886,355 | $ 4,418,265 | $ 3,698,250 | $ 3,898,297 | ||||
Ratio of total expenses to average net assets | 0.87% | 0.88% | 0.88% | 0.89% | 0.89% | ||||
Ratio of net investment income (loss) to average net assets | 0.80% | 1.07% | 1.40% | 2.28% | 1.07% | ||||
Portfolio turnover rate | 51% | 88% | 45% | 69% | ���61% |
1 | The net investment income (loss) per share was calculated using the average shares outstanding method. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total returns do not reflect expenses associated with variable contracts such as administrative fees, account charges and surrender charges, which if reflected would reduce the total returns for all periods presented. Total returns may reflect adjustments to conform with generally accepted accounting principles. |
For a share outstanding throughout each period
Year Ended December 31, | |||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 27.27 | $ 23.76 | $ 19.53 | $ 20.12 | $ 17.60 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)1 | (0.06) | (0.05) | (0.04) | (0.04) | (0.04) | ||||
Net realized and unrealized gain (loss) on investment transactions | 4.36 | 3.56 | 4.27 | (0.55) | 2.56 | ||||
Total from investment operations | 4.30 | 3.51 | 4.23 | (0.59) | 2.52 | ||||
Net asset value, end of period | $ 31.57 | $ 27.27 | $ 23.76 | $ 19.53 | $ 20.12 | ||||
Total return2 | 15.77% | 14.77% | 21.66% | (2.93%) | 14.32% | ||||
Ratios/Supplemental data: | |||||||||
Net assets, end of period (in thousands) | $ 92,753 | $ 84,348 | $ 81,070 | $ 74,832 | $ 84,403 | ||||
Ratio of total expenses to average net assets3 | 0.19% | 0.20% | 0.20% | 0.20% | 0.19% | ||||
Ratio of net investment income (loss) to average net assets | (0.19%) | (0.20%) | (0.20%) | (0.19%) | (0.19%) | ||||
Portfolio turnover rate | 11% | 15% | 6% | 8% | 9% |
1 | The net investment income (loss) per share was calculated using the average shares outstanding method. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total returns do not reflect expenses associated with variable contracts such as administrative fees, account charges and surrender charges, which if reflected would reduce the total returns for all periods presented. Total returns may reflect adjustments to conform with generally accepted accounting principles. |
3 | The Fund also will indirectly bear its prorated share of expenses of the underlying funds. Such expenses are not included in the calculation of this ratio. |
For a share outstanding throughout each period
Year Ended December 31, | |||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 71.38 | $ 52.10 | $ 39.95 | $ 40.48 | $ 30.40 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)1 | (0.48) | (0.29) | (0.08) | (0.02) | (0.03) | ||||
Net realized and unrealized gain (loss) on investment transactions | 12.21 | 19.57 | 12.23 | (0.51) | 10.11 | ||||
Total from investment operations | 11.73 | 19.28 | 12.15 | (0.53) | 10.08 | ||||
Net asset value, end of period | $ 83.11 | $ 71.38 | $ 52.10 | $ 39.95 | $ 40.48 | ||||
Total return2 | 16.44% | 37.01% | 30.41% | (1.31%) | 33.16% | ||||
Ratios/Supplemental data: | |||||||||
Net assets, end of period (in thousands) | $ 428,687 | $ 405,787 | $ 331,420 | $ 282,675 | $ 307,131 | ||||
Ratio of total expenses to average net assets | 0.93% | 0.95% | 0.95% | 0.95% | 0.96% | ||||
Ratio of net investment income (loss) to average net assets | (0.61%) | (0.50%) | (0.18%) | (0.05%) | (0.08%) | ||||
Portfolio turnover rate | 24% | 35% | 26% | 42% | 52% |
1 | The net investment income (loss) per share was calculated using the average shares outstanding method. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total returns do not reflect expenses associated with variable contracts such as administrative fees, account charges and surrender charges, which if reflected would reduce the total returns for all periods presented. Total returns may reflect adjustments to conform with generally accepted accounting principles. |
For a share outstanding throughout each period
Year Ended December 31, | |||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 30.56 | $ 25.02 | $ 17.90 | $ 17.78 | $ 13.87 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)1 | 0.02 | 0.05 | 0.08 | 0.08 | 0.07 | ||||
Net realized and unrealized gain (loss) on investment transactions | 7.88 | 5.49 | 7.04 | 0.04 | 3.84 | ||||
Total from investment operations | 7.90 | 5.54 | 7.12 | 0.12 | 3.91 | ||||
Net asset value, end of period | $ 38.46 | $ 30.56 | $ 25.02 | $ 17.90 | $ 17.78 | ||||
Total return2 | 25.85% | 22.14% | 39.78% | 0.68% | 28.19% | ||||
Ratios/Supplemental data: | |||||||||
Net assets, end of period (in thousands) | $ 79,016 | $ 68,536 | $ 63,219 | $ 53,444 | $ 58,389 | ||||
Ratio of total expenses to average net assets | 0.85% | 0.88% | 0.88% | 0.87% | 0.89% | ||||
Ratio of net investment income (loss) to average net assets | 0.05% | 0.19% | 0.35% | 0.40% | 0.43% | ||||
Portfolio turnover rate | 16% | 34% | 24% | 25% | 28% |
1 | The net investment income (loss) per share was calculated using the average shares outstanding method. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total returns do not reflect expenses associated with variable contracts such as administrative fees, account charges and surrender charges, which if reflected would reduce the total returns for all periods presented. Total returns may reflect adjustments to conform with generally accepted accounting principles. |
For a share outstanding throughout each period
Year Ended December 31, | |||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 50.05 | $ 28.52 | $ 22.41 | $ 21.67 | $ 16.32 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)1 | (0.37) | (0.22) | (0.07) | (0.02) | (0.03) | ||||
Net realized and unrealized gain (loss) on investment transactions | (1.60) | 21.75 | 6.18 | 0.76 | 5.38 | ||||
Total from investment operations | (1.97) | 21.53 | 6.11 | 0.74 | 5.35 | ||||
Net asset value, end of period | $ 48.08 | $ 50.05 | $ 28.52 | $ 22.41 | $ 21.67 | ||||
Total return2 | (3.94%) | 75.49% | 27.27% | 3.42% | 32.78% | ||||
Ratios/Supplemental data: | |||||||||
Net assets, end of period (in thousands) | $ 205,479 | $ 222,028 | $ 135,930 | $ 118,365 | $ 124,493 | ||||
Ratio of total expenses to average net assets | 0.84% | 0.85% | 0.86% | 0.86% | 0.86% | ||||
Ratio of net investment income (loss) to average net assets | (0.72%) | (0.60%) | (0.26%) | (0.09%) | (0.18%) | ||||
Portfolio turnover rate | 68% | 74% | 74% | 72% | 64% |
1 | The net investment income (loss) per share was calculated using the average shares outstanding method. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total returns do not reflect expenses associated with variable contracts such as administrative fees, account charges and surrender charges, which if reflected would reduce the total returns for all periods presented. Total returns may reflect adjustments to conform with generally accepted accounting principles. |
For a share outstanding throughout each period
Year Ended December 31, | |||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 33.14 | $ 32.39 | $ 26.22 | $ 28.41 | $ 24.79 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)1 | 0.31 | 0.35 | 0.31 | 0.35 | 0.41 | ||||
Net realized and unrealized gain (loss) on investment transactions | 8.93 | 0.40 | 5.86 | (2.54) | 3.21 | ||||
Total from investment operations | 9.24 | 0.75 | 6.17 | (2.19) | 3.62 | ||||
Net asset value, end of period | $ 42.38 | $ 33.14 | $ 32.39 | $ 26.22 | $ 28.41 | ||||
Total return2 | 27.88% | 2.32% | 23.53% | (7.71%) | 14.60% | ||||
Ratios/Supplemental data: | |||||||||
Net assets, end of period (in thousands) | $ 202,596 | $ 177,811 | $ 196,108 | $ 179,441 | $ 201,219 | ||||
Ratio of total expenses to average net assets | 0.91% | 0.92% | 0.91% | 0.90% | 0.90% | ||||
Ratio of net investment income (loss) to average net assets | 0.80% | 1.20% | 1.05% | 1.22% | 1.57% | ||||
Portfolio turnover rate | 49% | 56% | 62% | 108% | 17% |
1 | The net investment income (loss) per share was calculated using the average shares outstanding method. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total returns do not reflect expenses associated with variable contracts such as administrative fees, account charges and surrender charges, which if reflected would reduce the total returns for all periods presented. Total returns may reflect adjustments to conform with generally accepted accounting principles. |
For a share outstanding throughout each period
Year Ended December 31, | |||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 23.18 | $ 22.58 | $ 17.41 | $ 18.64 | $ 16.18 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)1 | 0.32 | 0.31 | 0.30 | 0.26 | 0.25 | ||||
Net realized and unrealized gain (loss) on investment transactions | 5.35 | 0.29 | 4.87 | (1.49) | 2.21 | ||||
Total from investment operations | 5.67 | 0.60 | 5.17 | (1.23) | 2.46 | ||||
Net asset value, end of period | $ 28.85 | $ 23.18 | $ 22.58 | $ 17.41 | $ 18.64 | ||||
Total return2 | 24.46% | 2.66% | 29.70% | (6.60%) | 15.21% | ||||
Ratios/Supplemental data: | |||||||||
Net assets, end of period (in thousands) | $ 189,136 | $ 178,959 | $ 192,959 | $ 176,072 | $ 216,214 | ||||
Ratio of total expenses to average net assets | 0.92% | 0.91% | 0.91% | 0.90% | 0.90% | ||||
Ratio of net investment income (loss) to average net assets | 1.22% | 1.52% | 1.48% | 1.39% | 1.44% | ||||
Portfolio turnover rate | 57% | 80% | 65% | 76% | 106% |
1 | The net investment income (loss) per share was calculated using the average shares outstanding method. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total returns do not reflect expenses associated with variable contracts such as administrative fees, account charges and surrender charges, which if reflected would reduce the total returns for all periods presented. Total returns may reflect adjustments to conform with generally accepted accounting principles. |
For a share outstanding throughout each period
Year Ended December 31, | |||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 32.31 | $ 27.30 | $ 20.83 | $ 21.87 | $ 18.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)1 | 0.38 | 0.39 | 0.40 | 0.35 | 0.33 | ||||
Net realized and unrealized gain (loss) on investment transactions | 8.76 | 4.62 | 6.07 | (1.39) | 3.54 | ||||
Total from investment operations | 9.14 | 5.01 | 6.47 | (1.04) | 3.87 | ||||
Net asset value, end of period | $ 41.45 | $ 32.31 | $ 27.30 | $ 20.83 | $ 21.87 | ||||
Total return2 | 28.29% | 18.35% | 31.06% | (4.76%) | 21.50% | ||||
Ratios/Supplemental data: | |||||||||
Net assets, end of period (in thousands) | $ 698,722 | $ 595,933 | $ 494,540 | $ 416,864 | $ 485,750 | ||||
Ratio of total expenses to average net assets | 0.34% | 0.36% | 0.36% | 0.36% | 0.36% | ||||
Ratio of net investment income (loss) to average net assets | 1.03% | 1.44% | 1.63% | 1.56% | 1.64% | ||||
Portfolio turnover rate | 3% | 19% | 3% | 3% | 2% |
1 | The net investment income (loss) per share was calculated using the average shares outstanding method. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total returns do not reflect expenses associated with variable contracts such as administrative fees, account charges and surrender charges, which if reflected would reduce the total returns for all periods presented. Total returns may reflect adjustments to conform with generally accepted accounting principles. |
For a share outstanding throughout each period
Year Ended December 31, | |||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 39.21 | $ 26.23 | $ 19.01 | $ 18.96 | $ 14.92 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)1 | (0.28) | (0.11) | (0.07) | (0.06) | (0.03) | ||||
Net realized and unrealized gain (loss) on investment transactions | 6.81 | 13.09 | 7.29 | 0.11 | 4.07 | ||||
Total from investment operations | 6.53 | 12.98 | 7.22 | 0.05 | 4.04 | ||||
Net asset value, end of period | $ 45.74 | $ 39.21 | $ 26.23 | $ 19.01 | $ 18.96 | ||||
Total return2 | 16.66% | 49.48% | 37.98% | 0.26% | 27.08% | ||||
Ratios/Supplemental data: | |||||||||
Net assets, end of period (in thousands) | $ 210,047 | $ 196,992 | $ 148,766 | $ 112,502 | $ 121,288 | ||||
Ratio of total expenses to average net assets | 0.98% | 0.95% | 0.96% | 0.96% | 0.96% | ||||
Ratio of net investment income (loss) to average net assets | (0.64%) | (0.38%) | (0.32%) | (0.28%) | (0.20%) | ||||
Portfolio turnover rate | 25% | 26% | 22% | 42% | 25% |
1 | The net investment income (loss) per share was calculated using the average shares outstanding method. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total returns do not reflect expenses associated with variable contracts such as administrative fees, account charges and surrender charges, which if reflected would reduce the total returns for all periods presented. Total returns may reflect adjustments to conform with generally accepted accounting principles. |
For a share outstanding throughout each period
Year Ended December 31, | |||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 23.20 | $ 26.45 | $ 22.60 | $ 26.65 | $ 22.69 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)1 | 0.14 | 0.23 | 0.29 | 0.23 | 0.20 | ||||
Net realized and unrealized gain (loss) on investment transactions | 4.33 | (3.48) | 3.56 | (4.28) | 3.76 | ||||
Total from investment operations | 4.47 | (3.25) | 3.85 | (4.05) | 3.96 | ||||
Net asset value, end of period | $ 27.67 | $ 23.20 | $ 26.45 | $ 22.60 | $ 26.65 | ||||
Total return2 | 19.27% | (12.29%) | 17.04% | (15.20%) | 17.45% | ||||
Ratios/Supplemental data: | |||||||||
Net assets, end of period (in thousands) | $ 104,076 | $ 94,762 | $ 116,799 | $ 141,771 | $ 180,696 | ||||
Ratio of total expenses to average net assets | 0.82% | 0.82% | 0.80% | 0.79% | 0.78% | ||||
Ratio of net investment income (loss) to average net assets | 0.54% | 1.13% | 1.14% | 0.85% | 0.83% | ||||
Portfolio turnover rate | 59% | 122% (a) | 14% | 33% | 31% |
1 | The net investment income (loss) per share was calculated using the average shares outstanding method. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total returns do not reflect expenses associated with variable contracts such as administrative fees, account charges and surrender charges, which if reflected would reduce the total returns for all periods presented. Total returns may reflect adjustments to conform with generally accepted accounting principles. |
(a) | The Fund’s portfolio turnover rate increased substantially during the year ended December 31, 2020 due to a change in the Fund’s sub-adviser and associated repositioning. |
For a share outstanding throughout each period
Year Ended December 31, | |||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 27.37 | $ 26.94 | $ 20.92 | $ 24.06 | $ 21.57 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)1 | 0.39 | 0.35 | 0.35 | 0.28 | 0.33 | ||||
Net realized and unrealized gain (loss) on investment transactions | 5.94 | 0.08 | 5.67 | (3.42) | 2.16 | ||||
Total from investment operations | 6.33 | 0.43 | 6.02 | (3.14) | 2.49 | ||||
Net asset value, end of period | $ 33.70 | $ 27.37 | $ 26.94 | $ 20.92 | $ 24.06 | ||||
Total return2 | 23.13% | 1.60% | 28.78% | (13.05%) | 11.55% | ||||
Ratios/Supplemental data: | |||||||||
Net assets, end of period (in thousands) | $ 94,537 | $ 94,077 | $ 99,799 | $ 79,292 | $ 99,011 | ||||
Ratio of total expenses to average net assets | 1.00% | 1.04% | 1.05% | 1.06% | 1.02% | ||||
Ratio of net investment income (loss) to average net assets | 1.25% | 1.46% | 1.44% | 1.16% | 1.48% | ||||
Portfolio turnover rate | 51% | 75% | 50% | 60% | 45% |
1 | The net investment income (loss) per share was calculated using the average shares outstanding method. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total returns do not reflect expenses associated with variable contracts such as administrative fees, account charges and surrender charges, which if reflected would reduce the total returns for all periods presented. Total returns may reflect adjustments to conform with generally accepted accounting principles. |
For a share outstanding throughout each period
Year Ended December 31, | |||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 52.38 | $ 34.39 | $ 24.93 | $ 26.38 | $ 20.68 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)1 | (0.43) | (0.25) | (0.18) | (0.10) | (0.11) | ||||
Net realized and unrealized gain (loss) on investment transactions | 4.48 | 18.24 | 9.64 | (1.35) | 5.81 | ||||
Total from investment operations | 4.05 | 17.99 | 9.46 | (1.45) | 5.70 | ||||
Net asset value, end of period | $ 56.43 | $ 52.38 | $ 34.39 | $ 24.93 | $ 26.38 | ||||
Total return2 | 7.73% | 52.31% | 37.95% | (5.50%) | 27.56% | ||||
Ratios/Supplemental data: | |||||||||
Net assets, end of period (in thousands) | $ 103,780 | $ 96,010 | $ 70,961 | $ 59,882 | $ 64,783 | ||||
Ratio of net expenses to average net assets3 | 1.02% | 1.05% | 1.04% | 1.03% | 1.05% | ||||
Ratio of total expenses to average net assets4 | 1.02% | 1.05% | 1.04% | 1.03% | 1.04% | ||||
Ratio of net investment income (loss) to average net assets3 | (0.77%) | (0.65%) | (0.59%) | (0.35%) | (0.47%) | ||||
Portfolio turnover rate | 65% | 97% | 70% | 83% | 68% |
1 | The net investment income (loss) per share was calculated using the average shares outstanding method. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total returns do not reflect expenses associated with variable contracts such as administrative fees, account charges and surrender charges, which if reflected would reduce the total returns for all periods presented. Total returns may reflect adjustments to conform with generally accepted accounting principles. |
3 | The ratio includes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/ reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been higher (lower), respectively, than the ratio shown. |
4 | The ratio excludes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/ reimbursed net of amount recaptured and fees paid indirectly were included, the ratio would have been lower than the ratio shown. |
For a share outstanding throughout each period
Year Ended December 31, | |||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 28.78 | $ 28.37 | $ 23.67 | $ 27.90 | $ 24.69 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)1 | 0.22 | 0.18 | 0.18 | 0.10 | 0.03 | ||||
Net realized and unrealized gain (loss) on investment transactions | 10.02 | 0.23 | 4.52 | (4.33) | 3.18 | ||||
Total from investment operations | 10.24 | 0.41 | 4.70 | (4.23) | 3.21 | ||||
Net asset value, end of period | $ 39.02 | $ 28.78 | $ 28.37 | $ 23.67 | $ 27.90 | ||||
Total return2 | 35.58% | 1.45% | 19.86% | (15.16%) | 13.00% | ||||
Ratios/Supplemental data: | |||||||||
Net assets, end of period (in thousands) | $ 71,810 | $ 57,672 | $ 85,324 | $ 80,919 | $ 85,323 | ||||
Ratio of total expenses to average net assets | 1.15% | 1.17% | 1.12% | 1.10% | 1.18% | ||||
Ratio of net investment income (loss) to average net assets | 0.61% | 0.77% | 0.66% | 0.36% | 0.11% | ||||
Portfolio turnover rate | 53% | 55% | 32% | 47% | 37% |
1 | The net investment income (loss) per share was calculated using the average shares outstanding method. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total returns do not reflect expenses associated with variable contracts such as administrative fees, account charges and surrender charges, which if reflected would reduce the total returns for all periods presented. Total returns may reflect adjustments to conform with generally accepted accounting principles. |
For a share outstanding throughout each period
Year Ended December 31, | |||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 62.66 | $ 47.45 | $ 37.00 | $ 38.80 | $ 31.08 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)1 | (0.41) | (0.28) | (0.18) | (0.15) | (0.16) | ||||
Net realized and unrealized gain (loss) on investment transactions | 5.86 | 15.49 | 10.63 | (1.65) | 7.88 | ||||
Total from investment operations | 5.45 | 15.21 | 10.45 | (1.80) | 7.72 | ||||
Net asset value, end of period | $ 68.11 | $ 62.66 | $ 47.45 | $ 37.00 | $ 38.80 | ||||
Total return2 | 8.70% | 32.06% | 28.24% | (4.64%) | 24.84% | ||||
Ratios/Supplemental data: | |||||||||
Net assets, end of period (in thousands) | $ 140,210 | $ 142,595 | $ 118,244 | $ 93,243 | $ 102,380 | ||||
Ratio of total expenses to average net assets | 0.99% | 1.01% | 1.02% | 1.00% | 1.01% | ||||
Ratio of net investment income (loss) to average net assets | (0.61%) | (0.60%) | (0.40%) | (0.36%) | (0.46%) | ||||
Portfolio turnover rate | 19% | 28% | 21% | 22% | 25% |
1 | The net investment income (loss) per share was calculated using the average shares outstanding method. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total returns do not reflect expenses associated with variable contracts such as administrative fees, account charges and surrender charges, which if reflected would reduce the total returns for all periods presented. Total returns may reflect adjustments to conform with generally accepted accounting principles. |
For a share outstanding throughout each period
Year Ended December 31, | |||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 40.24 | $ 39.32 | $ 31.96 | $ 37.11 | $ 33.06 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)1 | 0.10 | 0.19 | 0.24 | 0.17 | 0.18 | ||||
Net realized and unrealized gain (loss) on investment transactions | 10.63 | 0.73 | 7.12 | (5.32) | 3.87 | ||||
Total from investment operations | 10.73 | 0.92 | 7.36 | (5.15) | 4.05 | ||||
Net asset value, end of period | $ 50.97 | $ 40.24 | $ 39.32 | $ 31.96 | $ 37.11 | ||||
Total return2 | 26.67% | 2.34% | 23.03% | (13.88%) | 12.25% | ||||
Ratios/Supplemental data: | |||||||||
Net assets, end of period (in thousands) | $ 199,173 | $ 179,912 | $ 205,049 | $ 211,285 | $ 262,728 | ||||
Ratio of total expenses to average net assets | 0.98% | 1.02% | 0.98% | 0.97% | 0.97% | ||||
Ratio of net investment income (loss) to average net assets | 0.21% | 0.58% | 0.65% | 0.46% | 0.56% | ||||
Portfolio turnover rate | 67% | 84% | 54% | 55% | 59% |
1 | The net investment income (loss) per share was calculated using the average shares outstanding method. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total returns do not reflect expenses associated with variable contracts such as administrative fees, account charges and surrender charges, which if reflected would reduce the total returns for all periods presented. Total returns may reflect adjustments to conform with generally accepted accounting principles. |
For a share outstanding throughout each period
Year Ended December 31, | |||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 30.10 | $ 25.22 | $ 20.26 | $ 22.86 | $ 20.09 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)1 | 0.10 | 0.10 | 0.13 | 0.14 | 0.13 | ||||
Net realized and unrealized gain (loss) on investment transactions | 4.22 | 4.78 | 4.83 | (2.74) | 2.64 | ||||
Total from investment operations | 4.32 | 4.88 | 4.96 | (2.60) | 2.77 | ||||
Net asset value, end of period | $ 34.42 | $ 30.10 | $ 25.22 | $ 20.26 | $ 22.86 | ||||
Total return2 | 14.35% | 19.35% | 24.48% | (11.37%) | 13.79% | ||||
Ratios/Supplemental data: | |||||||||
Net assets, end of period (in thousands) | $ 98,827 | $ 75,852 | $ 69,993 | $ 70,724 | $ 81,638 | ||||
Ratio of net expenses to average net assets3 | 0.70% | 0.74% | 0.72% | 0.65% | 0.65% | ||||
Ratio of total expenses to average net assets4 | 0.70% | 0.75% | 0.72% | 0.65% | 0.65% | ||||
Ratio of net investment income (loss) to average net assets | 0.30% | 0.43% | 0.55% | 0.59% | 0.62% | ||||
Portfolio turnover rate | 31% | 27% | 16% | 14% | 13% |
1 | The net investment income (loss) per share was calculated using the average shares outstanding method. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total returns do not reflect expenses associated with variable contracts such as administrative fees, account charges and surrender charges, which if reflected would reduce the total returns for all periods presented. Total returns may reflect adjustments to conform with generally accepted accounting principles. |
3 | The ratio includes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/ reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been higher (lower), respectively, than the ratio shown. |
4 | The ratio excludes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/ reimbursed net of amount recaptured and fees paid indirectly were included, the ratio would have been lower than the ratio shown. |
For a share outstanding throughout each period
Year Ended December 31, | |||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 15.94 | $ 14.79 | $ 12.22 | $ 14.22 | $ 11.42 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)1 | 0.28 | 0.19 | 0.33 | 0.31 | 0.27 | ||||
Net realized and unrealized gain (loss) on investment transactions | 1.40 | 0.96 | 2.24 | (2.31) | 2.53 | ||||
Total from investment operations | 1.68 | 1.15 | 2.57 | (2.00) | 2.80 | ||||
Net asset value, end of period | $ 17.62 | $ 15.94 | $ 14.79 | $ 12.22 | $ 14.22 | ||||
Total return2 | 10.54% | 7.78% | 21.03% | (14.07%) | 24.52% | ||||
Ratios/Supplemental data: | |||||||||
Net assets, end of period (in thousands) | $ 114,158 | $ 109,296 | $ 111,067 | $ 98,471 | $ 116,930 | ||||
Ratio of total expenses to average net assets | 0.85% | 0.89% | 0.82% | 0.79% | 0.82% | ||||
Ratio of net investment income (loss) to average net assets | 1.66% | 1.39% | 2.41% | 2.24% | 2.05% | ||||
Portfolio turnover rate | 3% | 5% | 6% | 3% | 4% |
1 | The net investment income (loss) per share was calculated using the average shares outstanding method. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total returns do not reflect expenses associated with variable contracts such as administrative fees, account charges and surrender charges, which if reflected would reduce the total returns for all periods presented. Total returns may reflect adjustments to conform with generally accepted accounting principles. |
For a share outstanding throughout each period
Year Ended December 31, | |||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 39.02 | $ 33.95 | $ 26.51 | $ 30.26 | $ 22.98 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)1 | (0.04) | (0.05) | 0.20 | 0.19 | 0.15 | ||||
Net realized and unrealized gain (loss) on investment transactions | 4.81 | 5.12 | 7.24 | (3.94) | 7.13 | ||||
Total from investment operations | 4.77 | 5.07 | 7.44 | (3.75) | 7.28 | ||||
Net asset value, end of period | $ 43.79 | $ 39.02 | $ 33.95 | $ 26.51 | $ 30.26 | ||||
Total return2 | 12.23% | 14.93% | 28.07% | (12.39%) | 31.68% | ||||
Ratios/Supplemental data: | |||||||||
Net assets, end of period (in thousands) | $ 353,005 | $ 336,274 | $ 325,965 | $ 296,892 | $ 375,821 | ||||
Ratio of total expenses to average net assets | 1.03% | 1.06% | 1.08% | 1.11% | 1.12% | ||||
Ratio of net investment income (loss) to average net assets | (0.10%) | (0.14%) | 0.66% | (0.66%) | 0.56% | ||||
Portfolio turnover rate | 76% | 75% | 50% | 50% | 32% |
1 | The net investment income (loss) per share was calculated using the average shares outstanding method. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total returns do not reflect expenses associated with variable contracts such as administrative fees, account charges and surrender charges, which if reflected would reduce the total returns for all periods presented. Total returns may reflect adjustments to conform with generally accepted accounting principles. |
For a share outstanding throughout each period
Year Ended December 31, | |||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 14.93 | $ 13.52 | $ 11.39 | $ 13.80 | $ 10.22 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)1 | 0.01 | (0.02) | 0.14 | 0.09 | 0.03 | ||||
Net realized and unrealized gain (loss) on investment transactions | (0.86) | 1.43 | 1.99 | (2.50) | 3.55 | ||||
Total from investment operations | (0.85) | 1.41 | 2.13 | (2.41) | 3.58 | ||||
Net asset value, end of period | $ 14.08 | $ 14.93 | $ 13.52 | $ 11.39 | $ 13.80 | ||||
Total return2 | (5.69%) | 10.43% | 18.70% | (17.46%) | 35.03% | ||||
Ratios/Supplemental data: | |||||||||
Net assets, end of period (in thousands) | $ 130,637 | $ 145,335 | $ 147,412 | $ 146,973 | $ 184,357 | ||||
Ratio of total expenses to average net assets | 1.25% | 1.32% | 1.34% | 1.32% | 1.51% | ||||
Ratio of net investment income (loss) to average net assets | 0.07% | (0.19%) | 1.11% | 0.73% | 0.25% | ||||
Portfolio turnover rate | 68% | 121% (a) | 35% | 45% | 41% |
1 | The net investment income (loss) per share was calculated using the average shares outstanding method. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total returns do not reflect expenses associated with variable contracts such as administrative fees, account charges and surrender charges, which if reflected would reduce the total returns for all periods presented. Total returns may reflect adjustments to conform with generally accepted accounting principles. |
(a) | The Fund’s portfolio turnover rate increased substantially during the year ended December 31, 2020 due to a change in the Fund’s sub-adviser and associated repositioning. |
For a share outstanding throughout each period
Year Ended December 31, | |||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 26.37 | $ 27.25 | $ 20.57 | $ 21.47 | $ 19.99 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)1 | 0.28 | 0.39 | 0.41 | 0.43 | 0.39 | ||||
Net realized and unrealized gain (loss) on investment transactions | 10.98 | (1.27) | 6.27 | (1.33) | 1.09 | ||||
Total from investment operations | 11.26 | (0.88) | 6.68 | (0.90) | 1.48 | ||||
Net asset value, end of period | $ 37.63 | $ 26.37 | $ 27.25 | $ 20.57 | $ 21.47 | ||||
Total return2 | 42.70% | (3.23%) | 32.47% | (4.19%) | 7.40% | ||||
Ratios/Supplemental data: | |||||||||
Net assets, end of period (in thousands) | $ 140,061 | $ 121,063 | $ 133,068 | $ 114,366 | $ 137,842 | ||||
Ratio of total expenses to average net assets | 0.95% | 0.97% | 0.96% | 0.96% | 0.95% | ||||
Ratio of net investment income (loss) to average net assets | 0.89% | 1.59% | 1.64% | 2.05% | 1.86% | ||||
Portfolio turnover rate | 34% | 64% | 74% | 66% | 75% |
1 | The net investment income (loss) per share was calculated using the average shares outstanding method. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total returns do not reflect expenses associated with variable contracts such as administrative fees, account charges and surrender charges, which if reflected would reduce the total returns for all periods presented. Total returns may reflect adjustments to conform with generally accepted accounting principles. |
For a share outstanding throughout each period
Year Ended December 31, | |||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 23.39 | $ 21.41 | $ 17.37 | $ 19.20 | $ 15.99 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)1 | (0.08) | (0.07) | (0.06) | (0.06) | (0.05) | ||||
Net realized and unrealized gain (loss) on investment transactions | 3.92 | 2.05 | 4.10 | (1.77) | 3.26 | ||||
Total from investment operations | 3.84 | 1.98 | 4.04 | (1.83) | 3.21 | ||||
Net asset value, end of period | $ 27.23 | $ 23.39 | $ 21.41 | $ 17.37 | $ 19.20 | ||||
Total return2 | 16.42% | 9.25% | 23.26% | (9.53%) | 20.08% | ||||
Ratios/Supplemental data: | |||||||||
Net assets, end of period (in thousands) | $ 70,657 | $ 70,074 | $ 72,017 | $ 64,604 | $ 75,079 | ||||
Ratio of total expenses to average net assets3 | 0.33% | 0.33% | 0.33% | 0.32% | 0.31% | ||||
Ratio of net investment income (loss) to average net assets | (0.33%) | (0.33%) | (0.33%) | (0.32%) | (0.31%) | ||||
Portfolio turnover rate | 18% | 17% | 14% | 19% | 20% |
1 | The net investment income (loss) per share was calculated using the average shares outstanding method. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total returns do not reflect expenses associated with variable contracts such as administrative fees, account charges and surrender charges, which if reflected would reduce the total returns for all periods presented. Total returns may reflect adjustments to conform with generally accepted accounting principles. |
3 | The Fund also will indirectly bear its prorated share of expenses of the underlying funds. Such expenses are not included in the calculation of this ratio. |
For a share outstanding throughout each period
Year Ended December 31, | |||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 24.14 | $ 22.06 | $ 18.12 | $ 19.66 | $ 16.72 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)1 | (0.08) | (0.06) | (0.06) | (0.06) | (0.05) | ||||
Net realized and unrealized gain (loss) on investment transactions | 3.78 | 2.14 | 4.00 | (1.48) | 2.99 | ||||
Total from investment operations | 3.70 | 2.08 | 3.94 | (1.54) | 2.94 | ||||
Net asset value, end of period | $ 27.84 | $ 24.14 | $ 22.06 | $ 18.12 | $ 19.66 | ||||
Total return2 | 15.33% | 9.43% | 21.75% | (7.83%) | 17.58% | ||||
Ratios/Supplemental data: | |||||||||
Net assets, end of period (in thousands) | $ 246,473 | $ 227,084 | $ 232,308 | $ 217,918 | $ 266,699 | ||||
Ratio of total expenses to average net assets3 | 0.29% | 0.30% | 0.30% | 0.30% | 0.29% | ||||
Ratio of net investment income (loss) to average net assets | (0.29%) | (0.30%) | (0.29%) | (0.29%) | (0.29%) | ||||
Portfolio turnover rate | 12% | 17% | 12% | 14% | 16% |
1 | The net investment income (loss) per share was calculated using the average shares outstanding method. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total returns do not reflect expenses associated with variable contracts such as administrative fees, account charges and surrender charges, which if reflected would reduce the total returns for all periods presented. Total returns may reflect adjustments to conform with generally accepted accounting principles. |
3 | The Fund also will indirectly bear its prorated share of expenses of the underlying funds. Such expenses are not included in the calculation of this ratio. |
For a share outstanding throughout each period
Year Ended December 31, | |||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 21.46 | $ 19.55 | $ 16.48 | $ 17.51 | $ 15.36 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)1 | (0.07) | (0.06) | (0.05) | (0.05) | (0.05) | ||||
Net realized and unrealized gain (loss) on investment transactions | 2.50 | 1.97 | 3.12 | (0.98) | 2.20 | ||||
Total from investment operations | 2.43 | 1.91 | 3.07 | (1.03) | 2.15 | ||||
Net asset value, end of period | $ 23.89 | $ 21.46 | $ 19.55 | $ 16.48 | $ 17.51 | ||||
Total return2 | 11.32% | 9.77% | 18.63% | (5.88%) | 14.00% | ||||
Ratios/Supplemental data: | |||||||||
Net assets, end of period (in thousands) | $ 288,061 | $ 285,910 | $ 298,115 | $ 291,618 | $ 342,656 | ||||
Ratio of total expenses to average net assets3 | 0.29% | 0.30% | 0.30% | 0.29% | 0.29% | ||||
Ratio of net investment income (loss) to average net assets | (0.29%) | (0.30%) | (0.30%) | (0.29%) | (0.29%) | ||||
Portfolio turnover rate | 12% | 17% | 9% | 14% | 12% |
1 | The net investment income (loss) per share was calculated using the average shares outstanding method. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total returns do not reflect expenses associated with variable contracts such as administrative fees, account charges and surrender charges, which if reflected would reduce the total returns for all periods presented. Total returns may reflect adjustments to conform with generally accepted accounting principles. |
3 | The Fund also will indirectly bear its prorated share of expenses of the underlying funds. Such expenses are not included in the calculation of this ratio. |
For a share outstanding throughout each period
Year Ended December 31, | |||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 18.99 | $ 17.58 | $ 15.31 | $ 15.86 | $ 14.42 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)1 | (0.06) | (0.05) | (0.05) | (0.05) | (0.05) | ||||
Net realized and unrealized gain (loss) on investment transactions | 1.69 | 1.46 | 2.32 | (0.50) | 1.49 | ||||
Total from investment operations | 1.63 | 1.41 | 2.27 | (0.55) | 1.44 | ||||
Net asset value, end of period | $ 20.62 | $ 18.99 | $ 17.58 | $ 15.31 | $ 15.86 | ||||
Total return2 | 8.58% | 8.02% | 14.83% | (3.47%) | 9.99% | ||||
Ratios/Supplemental data: | |||||||||
Net assets, end of period (in thousands) | $ 99,775 | $ 94,485 | $ 93,947 | $ 88,927 | $ 98,414 | ||||
Ratio of total expenses to average net assets3 | 0.31% | 0.32% | 0.32% | 0.31% | 0.30% | ||||
Ratio of net investment income (loss) to average net assets | (0.31%) | (0.31%) | (0.31%) | (0.30%) | (0.30%) | ||||
Portfolio turnover rate | 20% | 23% | 13% | 17% | 15% |
1 | The net investment income (loss) per share was calculated using the average shares outstanding method. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total returns do not reflect expenses associated with variable contracts such as administrative fees, account charges and surrender charges, which if reflected would reduce the total returns for all periods presented. Total returns may reflect adjustments to conform with generally accepted accounting principles. |
3 | The Fund also will indirectly bear its prorated share of expenses of the underlying funds. Such expenses are not included in the calculation of this ratio. |
For a share outstanding throughout each period
Year Ended December 31, | |||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 16.60 | $ 15.51 | $ 13.99 | $ 14.18 | $ 13.33 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)1 | (0.06) | (0.05) | (0.05) | (0.04) | (0.04) | ||||
Net realized and unrealized gain (loss) on investment transactions | 0.81 | 1.14 | 1.57 | (0.15) | 0.89 | ||||
Total from investment operations | 0.75 | 1.09 | 1.52 | (0.19) | 0.85 | ||||
Net asset value, end of period | $ 17.35 | $ 16.60 | $ 15.51 | $ 13.99 | $ 14.18 | ||||
Total return2 | 4.52% | 7.03% | 10.87% | (1.34%) | 6.38% | ||||
Ratios/Supplemental data: | |||||||||
Net assets, end of period (in thousands) | $ 59,188 | $ 61,854 | $ 59,832 | $ 57,092 | $ 58,659 | ||||
Ratio of total expenses to average net assets3 | 0.33% | 0.33% | 0.34% | 0.33% | 0.32% | ||||
Ratio of net investment income (loss) to average net assets | (0.33%) | (0.33%) | (0.31%) | (0.31%) | (0.31%) | ||||
Portfolio turnover rate | 23% | 30% | 18% | 23% | 23% |
1 | The net investment income (loss) per share was calculated using the average shares outstanding method. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total returns do not reflect expenses associated with variable contracts such as administrative fees, account charges and surrender charges, which if reflected would reduce the total returns for all periods presented. Total returns may reflect adjustments to conform with generally accepted accounting principles. |
3 | The Fund also will indirectly bear its prorated share of expenses of the underlying funds. Such expenses are not included in the calculation of this ratio. |
• | Level 1 — quoted prices in active markets for identical securities |
• | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Fund | Sub-Adviser | Investment Advisory Fees (As a Percentage of the Average Daily Net Assets of the Fund) | ||
Money Market Fund | None | 0.33% of the first $200,000,000; 0.31% of the next $150,000,000; 0.29% of the next $150,000,000; 0.27% over $500,000,000. | ||
Limited Maturity Bond Fund | None | 0.46% of the first $200,000,000; 0.44% of the next $150,000,000; 0.42% of the next $150,000,000; 0.40% over $500,000,000. | ||
Quality Bond Fund | None | 0.46% of the first $200,000,000; 0.44% of the next $150,000,000; 0.42% of the next $150,000,000; 0.40% over $500,000,000. | ||
High Yield Bond Fund | None | 0.46% of the first $200,000,000; 0.44% of the next $150,000,000; 0.42% of the next $150,000,000; 0.40% over $500,000,000. | ||
Flexibly Managed Fund | T. Rowe Price Associates, Inc. | 0.72% of the first $500,000,000; 0.70% of the next $2,000,000,000; 0.68% of the next $1,500,000,000; 0.65% of the next $1,000,000,000; 0.62% over $5,000,000,000. | ||
Balanced Fund | None | None | ||
Large Growth Stock Fund | T. Rowe Price Associates, Inc. | 0.72% of the first $250,000,000; 0.68% of the next $250,000,000; 0.65% over $500,000,000. | ||
Large Cap Growth Fund | Massachusetts Financial Services Company | 0.55% | ||
Large Core Growth Fund | Morgan Stanley Investment Management Inc. | 0.60% | ||
Large Cap Value Fund | AllianceBernstein, LP | 0.67% of the first $150,000,000; 0.65% over $150,000,000. | ||
Large Core Value Fund | Eaton Vance Management | 0.67% of the first $150,000,000; 0.65% of the next $250,000,000; 0.60% over $400,000,000. |
Fund | Sub-Adviser | Investment Advisory Fees (As a Percentage of the Average Daily Net Assets of the Fund) | ||
Index 500 Fund | SSgA Fund Management, Inc. | 0.14% of the first $150,000,000; 0.13% of the next $150,000,000; 0.12% over $300,000,000. | ||
Mid Cap Growth Fund* | Delaware Investments Fund Advisers | 0.70% | ||
Mid Cap Value Fund | Janus Capital Management LLC | 0.55% of the first $250,000,000; 0.525% of the next $250,000,000; 0.50% of the next $250,000,000; 0.475% of the next $250,000,000; 0.45% of the next $500,000,000; 0.425% over $1,500,000,000. | ||
Mid Core Value Fund | American Century Investment Management, Inc. | 0.69% | ||
SMID Cap Growth Fund | Goldman Sachs Asset Management, LP | 0.75% | ||
SMID Cap Value Fund | AllianceBernstein, LP | 0.84% | ||
Small Cap Growth Fund | Janus Capital Management LLC | 0.80% of the first $25,000,000; 0.75% of the next $25,000,000; 0.70% over $50,000,000. | ||
Small Cap Value Fund | Goldman Sachs Asset Management, LP | 0.75% of the first $50,000,000; 0.725% of the next $50,000,000; 0.70% over $100,000,000. | ||
Small Cap Index Fund | SSgA Fund Management, Inc. | 0.30% | ||
Developed International Index Fund | SSgA Fund Management, Inc. | 0.30% | ||
International Equity Fund | Vontobel Asset Management, Inc. | 0.83% of the first $227,000,000; 0.63% over $227,000,000. | ||
Emerging Markets Equity Fund | Vontobel Asset Management, Inc. | 0.87% | ||
Real Estate Securities Fund | Cohen & Steers Capital Management, Inc. | 0.70% | ||
Aggressive Allocation Fund | None | 0.12% of the first $200,000,000; 0.11% of the next $150,000,000; 0.10% of the next $150,000,000; 0.09% over $500,000,000. |
Fund | Sub-Adviser | Investment Advisory Fees (As a Percentage of the Average Daily Net Assets of the Fund) | ||
Moderately Aggressive Allocation Fund | None | 0.12% of the first $200,000,000; 0.11% of the next $150,000,000; 0.10% of the next $150,000,000; 0.09% over $500,000,000. | ||
Moderate Allocation Fund | None | 0.12% of the first $200,000,000; 0.11% of the next $150,000,000; 0.10% of the next $150,000,000; 0.09% over $500,000,000. | ||
Moderately Conservative Allocation Fund | None | 0.12% of the first $200,000,000; 0.11% of the next $150,000,000; 0.10% of the next $150,000,000; 0.09% over $500,000,000. | ||
Conservative Allocation Fund | None | 0.12% of the first $200,000,000; 0.11% of the next $150,000,000; 0.10% of the next $150,000,000; 0.09% over $500,000,000. |
* | On April 30, 2021, Waddell & Reed Financial, Inc., the parent company of Ivy Investment Management Company (“Ivy”), was acquired by Macquarie Group Limited. As part of the acquisition, sub-advisory services previously provided to the Mid Cap Growth Fund by Ivy transitioned from Ivy to Delaware Investments Fund Advisers. |
Fund | Expense Limitation | |
Money Market Fund | 0.64% | |
Limited Maturity Bond Fund | 0.74% | |
Quality Bond Fund | 0.73% | |
High Yield Bond Fund | 0.92% | |
Flexibly Managed Fund | 0.94% | |
Balanced Fund | 0.79% | |
Large Growth Stock Fund | 1.02% | |
Large Cap Growth Fund | 0.89% | |
Large Core Growth Fund | 0.90% | |
Large Cap Value Fund | 0.96% | |
Large Core Value Fund | 0.96% | |
Index 500 Fund | 0.42% | |
Mid Cap Growth Fund | 1.00% | |
Mid Cap Value Fund | 0.83% | |
Mid Core Value Fund | 1.11% | |
SMID Cap Growth Fund | 1.07% |
Fund | Expense Limitation | |
SMID Cap Value Fund | 1.26% | |
Small Cap Growth Fund | 1.13% | |
Small Cap Value Fund | 1.02% | |
Small Cap Index Fund | 0.74% | |
Developed International Index Fund | 0.94% | |
International Equity Fund | 1.20% | |
Emerging Markets Equity Fund | 1.78% | |
Real Estate Securities Fund | 1.02% | |
Aggressive Allocation Fund* | 0.40% | |
Moderately Aggressive Allocation Fund* | 0.34% | |
Moderate Allocation Fund* | 0.34% | |
Moderately Conservative Allocation Fund* | 0.35% | |
Conservative Allocation Fund* | 0.38% |
* | For FOFs, with the exception of the Balanced Fund, the operating expense limit applies only at the Fund level and does not limit the fees indirectly incurred by the FOFs through their investments in the Underlying Funds. |
December 31, 2023 | December 31, 2024 | Total | |||
Money Market Fund | $ 108,890 | $ 338,808 | $ 447,698 |
December 31, 2023 | December 31, 2024 | Total | |||
Money Market Fund | $294,197 | $ 551,705 | $ 845,902 |
Small Cap Index Fund | $ 90 |
Money Market Fund | $ 7,897,419 |
Limited Maturity Bond Fund | 79,012,854 |
Quality Bond Fund | 69,279,504 |
Large Growth Stock Fund | 12,609,745 |
Large Core Value Fund | 13,423,555 |
Index 500 Fund | 13,633,264 |
SMID Cap Growth Fund | 5,332,107 |
SMID Cap Value Fund | 5,848,287 |
Small Cap Index Fund | 4,896,150 |
Developed International Index Fund | 4,555,625 |
International Equity Fund | 7,774,074 |
SMID Cap Growth Fund | $ 4,293 |
Small Cap Value Fund | 14,232 |
Purchases | Sales | Gain (Loss) | |||
Large Growth Stock Fund | $ 63,849 | $ 243,516 | $ 46,058 | ||
Large Cap Growth Fund | 38,971 | 365,802 | 114,354 |
Balanced Fund | Total Value at 12/31/20 | Purchases | Sales Proceeds | Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation) | Total Value at 12/31/21 | Number of Shares | Dividend Income | ||||||||
Affiliated Equity Funds — 60.2% | ||||||||||||||||
Penn Series Index 500 Fund* | $50,418,091 | $ 2,650,791 | $ 10,617,844 | $8,448,096 | $ 4,951,076 | $55,850,210 | 1,347,412 | $— | ||||||||
Affiliated Fixed Income Funds — 39.7% | ||||||||||||||||
Penn Series Quality Bond Fund* | 33,133,049 | 7,288,556 | 3,397,655 | 943,414 | (1,144,793) | 36,822,571 | 2,135,880 | — | ||||||||
$ 83,551,140 | $9,939,347 | $14,015,499 | $ 9,391,510 | $ 3,806,283 | $ 92,672,781 | $— |
* | Non-income producing security. |
Aggressive Allocation Fund | Total Value at 12/31/20 | Purchases | Sales Proceeds | Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation) | Total Value at 12/31/21 | Number of Shares | Dividend Income | ||||||||
Affiliated Equity Funds — 61.6% | ||||||||||||||||
Penn Series Flexibly Managed Fund* | $ 2,091,920 | $2,348,080 | $ 790,609 | $ 405,697 | $ 110,072 | $ 4,165,160 | 45,661 | $— | ||||||||
Penn Series Index 500 Fund* | 9,108,655 | 1,385,563 | 2,337,951 | 1,014,071 | 1,290,501 | 10,460,839 | 252,372 | — | ||||||||
Penn Series Large Cap Growth Fund* | 2,105,718 | 148,964 | 632,767 | 339,636 | 148,826 | 2,110,377 | 54,872 | — | ||||||||
Penn Series Large Cap Value Fund* | 5,525,659 | 334,808 | 1,591,416 | 630,651 | 742,907 | 5,642,609 | 133,143 | — | ||||||||
Penn Series Large Core Value Fund* | 5,573,204 | 393,573 | 1,547,468 | 589,689 | 630,112 | 5,639,110 | 195,463 | — | ||||||||
Penn Series Large Growth Stock Fund* | 703,324 | 59,694 | 184,787 | 118,799 | (8,684) | 688,346 | 8,282 | — | ||||||||
Penn Series Mid Cap Growth Fund* | 1,406,780 | 109,783 | 331,877 | 217,863 | 4,076 | 1,406,625 | 30,753 | — | ||||||||
Penn Series Mid Cap Value Fund* | 1,390,827 | 134,138 | 354,464 | (1,127) | 245,502 | 1,414,876 | 51,134 | — | ||||||||
Penn Series Mid Core Value Fund* | 4,819,103 | 454,644 | 2,697,865 | 1,018,806 | (49,572) | 3,545,116 | 105,196 | — | ||||||||
Penn Series Real Estate Securities Fund* | 2,084,307 | 100,526 | 781,258 | 296,897 | 458,550 | 2,159,022 | 57,375 | — | ||||||||
Penn Series Small Cap Growth Fund* | 2,125,222 | 177,965 | 1,059,683 | 577,370 | (415,646) | 1,405,228 | 20,632 | — | ||||||||
Penn Series Small Cap Index Fund* | — | 2,346,333 | 175,865 | (6,402) | (49,078) | 2,114,988 | 61,446 | — | ||||||||
Penn Series Small Cap Value Fund* | 691,986 | 2,340 | 847,551 | 294,624 | (141,399) | — | — | — | ||||||||
Penn Series SMID Cap Growth Fund* | 1,405,496 | 231,663 | 353,179 | 237,986 | (122,698) | 1,399,268 | 24,797 | — | ||||||||
Penn Series SMID Cap Value Fund* | 1,379,173 | 157,524 | 573,102 | 133,065 | 310,206 | 1,406,866 | 36,055 | — | ||||||||
Affiliated Fixed Income Funds — 7.8% | ||||||||||||||||
Penn Series High Yield Bond Fund* | 2,077,767 | 308,558 | 412,411 | 110,267 | (6,290) | 2,077,891 | 123,390 | — | ||||||||
Penn Series Limited Maturity Bond Fund* | 4,135,698 | 566,885 | 1,271,902 | 120,275 | (103,860) | 3,447,096 | 257,631 | — |
Aggressive Allocation Fund | Total Value at 12/31/20 | Purchases | Sales Proceeds | Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation) | Total Value at 12/31/21 | Number of Shares | Dividend Income | ||||||||
Affiliated International Equity Funds — 29.9% | ||||||||||||||||
Penn Series Developed International Index Fund* | $ 8,391,838 | $ 1,039,005 | $ 1,837,609 | $ 632,564 | $ 204,778 | $ 8,430,576 | 478,466 | $— | ||||||||
Penn Series Emerging Markets Equity Fund* | 6,266,040 | 460,093 | 2,408,369 | 714,771 | (863,648) | 4,168,887 | 296,086 | — | ||||||||
Penn Series International Equity Fund* | 8,458,497 | 1,373,877 | 2,340,036 | 1,029,542 | (24,638) | 8,497,242 | 194,045 | — | ||||||||
$69,741,214 | $ 12,134,016 | $22,530,169 | $8,475,044 | $2,360,017 | $ 70,180,122 | $— |
* | Non-income producing security. |
Moderately Aggressive Allocation Fund | Total Value at 12/31/20 | Purchases | Sales Proceeds | Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation) | Total Value at 12/31/21 | Number of Shares | Dividend Income | ||||||||
Affiliated Equity Funds — 57.9% | ||||||||||||||||
Penn Series Flexibly Managed Fund* | $ 13,577,317 | $ 704,813 | $ 2,123,502 | $ 1,173,682 | $ 1,255,067 | $ 14,587,377 | 159,914 | $— | ||||||||
Penn Series Index 500 Fund* | 27,284,185 | 1,908,702 | 4,747,324 | 3,373,938 | 3,930,000 | 31,749,501 | 765,971 | — | ||||||||
Penn Series Large Cap Growth Fund* | 6,832,663 | 341,486 | 1,472,722 | 888,650 | 800,443 | 7,390,520 | 192,161 | — | ||||||||
Penn Series Large Cap Value Fund* | 17,932,855 | 780,313 | 3,677,127 | 1,980,158 | 2,744,363 | 19,760,562 | 466,271 | — | ||||||||
Penn Series Large Core Value Fund* | 18,086,695 | 922,254 | 3,457,228 | 1,528,258 | 2,668,512 | 19,748,491 | 684,523 | — | ||||||||
Penn Series Large Growth Stock Fund* | 2,281,886 | 155,438 | 401,455 | 260,483 | 114,277 | 2,410,629 | 29,005 | — | ||||||||
Penn Series Mid Cap Growth Fund* | 4,563,845 | 268,194 | 656,405 | 445,102 | 305,049 | 4,925,785 | 107,691 | — | ||||||||
Penn Series Mid Cap Value Fund* | 2,256,861 | 177,538 | 376,726 | 3,278 | 416,440 | 2,477,391 | 89,533 | — | ||||||||
Penn Series Mid Core Value Fund* | 13,405,724 | 1,010,199 | 4,909,081 | 2,292,944 | 615,120 | 12,414,906 | 368,395 | — | ||||||||
Penn Series Real Estate Securities Fund* | 6,764,666 | 215,972 | 2,030,805 | 984,363 | 1,626,261 | 7,560,457 | 200,916 | — | ||||||||
Penn Series Small Cap Growth Fund* | 4,596,502 | 258,535 | 2,724,840 | 1,562,995 | (1,232,730) | 2,460,462 | 36,125 | — | ||||||||
Penn Series Small Cap Index Fund* | 2,251,494 | 8,152,564 | 669,817 | 270,138 | (129,258) | 9,875,121 | 286,901 | — | ||||||||
Penn Series Small Cap Value Fund* | 2,245,777 | 4,361 | 2,768,631 | 1,008,455 | (489,962) | — | — | — | ||||||||
Penn Series SMID Cap Growth Fund* | 2,279,769 | 351,730 | 368,845 | 246,521 | (59,112) | 2,450,063 | 43,418 | — | ||||||||
Penn Series SMID Cap Value Fund* | 4,476,291 | 437,057 | 1,497,660 | 355,431 | 1,155,538 | 4,926,657 | 126,260 | — | ||||||||
Affiliated Fixed Income Funds — 17.6% | ||||||||||||||||
Penn Series High Yield Bond Fund* | 6,742,671 | 857,159 | 678,199 | 221,984 | 133,933 | 7,277,548 | 432,159 | — | ||||||||
Penn Series Limited Maturity Bond Fund* | 22,368,592 | 3,952,930 | 2,260,663 | 219,326 | (133,601) | 24,146,584 | 1,804,677 | — | ||||||||
Penn Series Quality Bond Fund* | 11,206,295 | 2,059,871 | 1,130,331 | 201,432 | (258,977) | 12,078,290 | 700,597 | — | ||||||||
Affiliated International Equity Funds — 24.0% | ||||||||||||||||
Penn Series Developed International Index Fund* | 20,422,519 | 2,167,632 | 2,594,836 | 929,043 | 1,219,090 | 22,143,448 | 1,256,722 | — | ||||||||
Penn Series Emerging Markets Equity Fund* | 13,555,460 | 1,495,602 | 2,096,077 | 504,276 | (1,291,650) | 12,167,611 | 864,177 | — | ||||||||
Penn Series International Equity Fund* | 22,869,659 | 3,402,120 | 4,389,767 | 2,070,886 | 844,692 | 24,797,590 | 566,284 | — | ||||||||
$226,001,726 | $29,624,470 | $45,032,041 | $20,521,343 | $14,233,495 | $245,348,993 | $— |
* | Non-income producing security. |
Moderate Allocation Fund | Total Value at 12/31/20 | Purchases | Sales Proceeds | Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation) | Total Value at 12/31/21 | Number of Shares | Dividend Income | ||||||||
Affiliated Equity Funds — 45.1% | ||||||||||||||||
Penn Series Flexibly Managed Fund* | $ 17,101,758 | $ 315,112 | $ 3,225,880 | $ 2,196,910 | $ 747,194 | $ 17,135,094 | 187,844 | $— | ||||||||
Penn Series Index 500 Fund* | 28,639,156 | 4,787,464 | 6,413,634 | 3,316,364 | 4,096,964 | 34,426,314 | 830,550 | — | ||||||||
Penn Series Large Cap Growth Fund* | 5,737,635 | 103,800 | 1,411,939 | 766,542 | 591,670 | 5,787,708 | 150,486 | — | ||||||||
Penn Series Large Cap Value Fund* | 14,117,300 | 386,185 | 3,620,505 | 875,878 | 2,748,861 | 14,507,719 | 342,325 | — | ||||||||
Penn Series Large Core Value Fund* | 14,238,346 | 451,719 | 3,412,792 | 1,240,338 | 1,981,242 | 14,498,853 | 502,560 | — | ||||||||
Penn Series Large Growth Stock Fund* | 2,874,374 | 88,816 | 586,014 | 408,391 | 46,127 | 2,831,694 | 34,072 | — | ||||||||
Penn Series Mid Cap Growth Fund* | 5,748,860 | 128,994 | 999,845 | 669,026 | 239,450 | 5,786,485 | 126,508 | — | ||||||||
Penn Series Mid Core Value Fund* | 19,699,649 | 993,374 | 10,226,096 | 4,488,674 | (371,845) | 14,583,756 | 432,752 | — | ||||||||
Penn Series Real Estate Securities Fund* | 5,680,351 | 103,800 | 1,974,162 | 1,294,796 | 816,270 | 5,921,055 | 157,349 | — |
Moderate Allocation Fund | Total Value at 12/31/20 | Purchases | Sales Proceeds | Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation) | Total Value at 12/31/21 | Number of Shares | Dividend Income | ||||||||
Penn Series Small Cap Growth Fund* | $ 2,895,045 | $ 25,908 | $ 3,085,205 | $ 1,591,580 | $ (1,427,328) | $ — | — | $— | ||||||||
Penn Series Small Cap Index Fund* | 2,835,996 | 6,569,447 | 868,283 | 363,361 | (199,967) | 8,700,554 | 252,776 | — | ||||||||
Penn Series Small Cap Value Fund* | 2,828,706 | 25,908 | 3,508,937 | 1,352,124 | (697,801) | — | — | — | ||||||||
Penn Series SMID Cap Growth Fund* | 2,871,760 | 349,922 | 574,593 | 354,755 | (123,685) | 2,878,159 | 51,004 | — | ||||||||
Penn Series SMID Cap Value Fund* | 2,819,070 | 193,552 | 1,056,203 | 248,358 | 688,890 | 2,893,667 | 74,159 | — | ||||||||
Affiliated Fixed Income Funds — 37.4% | ||||||||||||||||
Penn Series High Yield Bond Fund* | 11,324,074 | 862,190 | 1,364,125 | 561,167 | 14,785 | 11,398,091 | 676,846 | — | ||||||||
Penn Series Limited Maturity Bond Fund* | 39,445,589 | 4,887,297 | 4,774,438 | 490,283 | (339,860) | 39,708,871 | 2,967,778 | — | ||||||||
Penn Series Quality Bond Fund* | 56,461,745 | 7,436,375 | 6,820,625 | 1,580,995 | (1,908,261) | 56,750,229 | 3,291,777 | — | ||||||||
Affiliated International Equity Funds — 17.1% | ||||||||||||||||
Penn Series Developed International Index Fund* | 14,291,402 | 1,013,226 | 2,325,737 | 1,098,990 | 373,064 | 14,450,945 | 820,144 | — | ||||||||
Penn Series Emerging Markets Equity Fund* | 14,228,589 | 2,647,074 | 1,801,808 | 557,857 | (1,338,966) | 14,292,746 | 1,015,110 | — | ||||||||
Penn Series International Equity Fund* | 20,165,213 | 2,192,459 | 4,424,953 | 2,430,263 | 27,955 | 20,390,937 | 465,653 | — | ||||||||
$284,004,618 | $33,562,622 | $ 62,475,774 | $25,886,652 | $ 5,964,759 | $286,942,877 | $— |
* | Non-income producing security. |
Moderately Conservative Allocation Fund | Total Value at 12/31/20 | Purchases | Sales Proceeds | Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation) | Total Value at 12/31/21 | Number of Shares | Dividend Income | ||||||||
Affiliated Equity Funds — 33.1% | ||||||||||||||||
Penn Series Flexibly Managed Fund* | $ 7,530,019 | $ 1,032,396 | $ 1,958,686 | $ 1,337,045 | $ (33,801) | $ 7,906,973 | 86,680 | $— | ||||||||
Penn Series Index 500 Fund* | 5,674,530 | 774,297 | 1,956,176 | 625,657 | 838,879 | 5,957,187 | 143,720 | — | ||||||||
Penn Series Large Cap Growth Fund* | 1,894,754 | 258,099 | 601,974 | 322,977 | 129,142 | 2,002,998 | 52,080 | — | ||||||||
Penn Series Large Cap Value Fund* | 4,661,923 | 686,086 | 1,535,786 | 417,928 | 790,655 | 5,020,806 | 118,471 | — | ||||||||
Penn Series Large Core Value Fund* | 4,701,901 | 707,593 | 1,470,751 | 510,385 | 568,604 | 5,017,732 | 173,925 | — | ||||||||
Penn Series Mid Core Value Fund* | 2,788,016 | 475,560 | 849,451 | 290,173 | 323,952 | 3,028,250 | 89,859 | — | ||||||||
Penn Series Real Estate Securities Fund* | 1,875,876 | 258,099 | 788,346 | 411,763 | 291,695 | 2,049,087 | 54,454 | — | ||||||||
Penn Series Small Cap Index Fund* | — | 1,157,535 | 110,623 | (4,770) | (38,479) | 1,003,663 | 29,159 | — | ||||||||
Penn Series Small Cap Value Fund* | 934,128 | 32,716 | 1,184,924 | 409,416 | (191,336) | — | — | — | ||||||||
Penn Series SMID Cap Value Fund* | 930,946 | 173,993 | 416,779 | 93,762 | 219,507 | 1,001,429 | 25,665 | — | ||||||||
Affiliated Fixed Income Funds — 56.1% | ||||||||||||||||
Penn Series High Yield Bond Fund* | 4,674,469 | 803,170 | 785,342 | 315,195 | (76,566) | 4,930,926 | 292,810 | — | ||||||||
Penn Series Limited Maturity Bond Fund* | 21,400,280 | 4,710,533 | 3,612,574 | 401,941 | (322,614) | 22,577,566 | 1,687,411 | — | ||||||||
Penn Series Quality Bond Fund* | 27,036,123 | 6,171,693 | 4,554,983 | 1,050,439 | (1,224,248) | 28,479,024 | 1,651,916 | — | ||||||||
Affiliated International Equity Funds — 10.0% | ||||||||||||||||
Penn Series Developed International Index Fund* | 2,831,601 | 534,722 | 658,384 | 231,079 | 61,675 | 3,000,693 | 170,300 | — | ||||||||
Penn Series Emerging Markets Equity Fund* | 1,879,472 | 560,607 | 357,941 | 115,678 | (219,251) | 1,978,565 | 140,523 | — | ||||||||
Penn Series International Equity Fund* | 4,756,528 | 995,969 | 1,292,236 | 558,537 | 21,782 | 5,040,580 | 115,108 | — | ||||||||
$93,570,566 | $19,333,068 | $22,134,956 | $ 7,087,205 | $ 1,139,596 | $98,995,479 | $— |
* | Non-income producing security. |
Conservative Allocation Fund | Total Value at 12/31/20 | Purchases | Sales Proceeds | Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation) | Total Value at 12/31/21 | Number of Shares | Dividend Income | ||||||||
Affiliated Equity Funds — 19.9% | ||||||||||||||||
Penn Series Flexibly Managed Fund* | $ 4,871,864 | $ 894,067 | $ 1,914,735 | $ 818,480 | $ 1,002 | $ 4,670,678 | 51,202 | $— | ||||||||
Penn Series Index 500 Fund* | 2,447,580 | 447,034 | 1,160,935 | 421,319 | 191,384 | 2,346,382 | 56,608 | — | ||||||||
Penn Series Large Cap Value Fund* | 1,206,496 | 231,281 | 559,029 | 151,557 | 156,388 | 1,186,693 | 28,001 | — | ||||||||
Penn Series Large Core Value Fund* | 1,825,278 | 353,943 | 813,603 | 232,644 | 180,617 | 1,778,879 | 61,660 | — |
Conservative Allocation Fund | Total Value at 12/31/20 | Purchases | Sales Proceeds | Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation) | Total Value at 12/31/21 | Number of Shares | Dividend Income | ||||||||
Penn Series Mid Core Value Fund* | $ 1,202,552 | $ 257,089 | $ 529,726 | $ 143,630 | $ 119,479 | $ 1,193,024 | 35,401 | $— | ||||||||
Penn Series Real Estate Securities Fund* | 606,835 | 111,758 | 333,345 | 119,042 | 101,208 | 605,498 | 16,091 | — | ||||||||
Affiliated Fixed Income Funds — 75.5% | ||||||||||||||||
Penn Series High Yield Bond Fund* | 3,024,248 | 567,732 | 828,366 | 238,709 | (89,749) | 2,912,574 | 172,956 | — | ||||||||
Penn Series Limited Maturity Bond Fund* | 19,864,980 | 4,551,720 | 5,357,413 | 542,194 | (469,726) | 19,131,755 | 1,429,877 | — | ||||||||
Penn Series Quality Bond Fund* | 23,523,026 | 5,610,169 | 6,331,486 | 1,158,787 | (1,341,262) | 22,619,234 | 1,312,020 | — | ||||||||
Affiliated International Equity Funds — 3.0% | ||||||||||||||||
Penn Series Developed International Index Fund* | 1,221,337 | 277,607 | 441,225 | 94,128 | 30,107 | 1,181,954 | 67,081 | — | ||||||||
Penn Series International Equity Fund* | 615,465 | 145,170 | 236,446 | 69,418 | 2,071 | 595,678 | 13,603 | — | ||||||||
$60,409,661 | $13,447,570 | $18,506,309 | $3,989,908 | $ (1,118,481) | $58,222,349 | $— |
* | Non-income producing security. |
U.S. Government Securities | Other Investment Securities | ||||||
Purchases | Sales | Purchases | Sales | ||||
Limited Maturity Bond Fund | $ 23,543,342 | $ 10,052,796 | $ 189,737,996 | $ 163,334,400 | |||
Quality Bond Fund | 51,965,488 | 69,949,628 | 245,190,557 | 205,238,138 | |||
High Yield Bond Fund | — | — | 145,860,439 | 145,656,125 | |||
Flexibly Managed Fund | — | — | 2,407,020,316 | 2,609,669,554 | |||
Balanced Fund | — | — | 9,939,347 | 14,015,499 | |||
Large Growth Stock Fund | — | — | 101,086,253 | 150,478,436 | |||
Large Cap Growth Fund | — | — | 11,561,748 | 17,819,894 | |||
Large Core Growth Fund | — | — | 146,542,229 | 153,713,721 | |||
Large Cap Value Fund | — | — | 91,826,071 | 113,023,396 | |||
Large Core Value Fund | — | — | 106,754,293 | 134,994,666 | |||
Index 500 Fund | — | — | 20,855,031 | 64,764,972 | |||
Mid Cap Growth Fund | — | — | 50,850,129 | 71,012,985 | |||
Mid Cap Value Fund | — | — | 57,732,923 | 65,863,893 | |||
Mid Core Value Fund | — | — | 50,211,992 | 69,605,720 | |||
SMID Cap Growth Fund | — | — | 65,032,216 | 67,716,474 | |||
SMID Cap Value Fund | — | — | 34,725,428 | 40,463,907 | |||
Small Cap Growth Fund | — | — | 25,788,516 | 46,791,428 | |||
Small Cap Value Fund | — | — | 128,529,791 | 160,012,746 | |||
Small Cap Index Fund | — | — | 38,433,536 | 28,617,068 | |||
Developed International Index Fund | — | — | 3,485,330 | 9,532,280 | |||
International Equity Fund | — | — | 252,476,775 | 283,909,443 | |||
Emerging Markets Equity Fund | — | — | 92,103,235 | 103,129,736 | |||
Real Estate Securities Fund | — | — | 43,530,083 | 63,887,936 | |||
Aggressive Allocation Fund | — | — | 12,134,014 | 22,530,170 | |||
Moderately Aggressive Allocation Fund | — | — | 29,624,473 | 45,032,041 | |||
Moderate Allocation Fund | — | — | 33,562,625 | 62,475,774 | |||
Moderately Conservative Allocation Fund | — | — | 19,333,070 | 22,134,956 | |||
Conservative Allocation Fund | — | — | 13,447,570 | 18,506,310 |
Total distributable earnings (loss) | Increase (Decrease) Paid-in Capital | ||
Limited Maturity Bond Fund | $ (3,660,374) | $ 3,660,374 | |
Quality Bond Fund | (10,989,802) | 10,989,802 | |
High Yield Bond Fund | (6,975,215) | 6,975,215 | |
Flexibly Managed Fund | (649,518,380) | 649,518,380 | |
Balanced Fund | (9,137,298) | 9,137,298 | |
Large Growth Stock Fund | (57,314,055) | 57,314,055 | |
Large Cap Growth Fund | (8,412,195) | 8,412,195 | |
Large Core Growth Fund | (40,421,913) | 40,421,913 | |
Large Cap Value Fund | (28,100,414) | 28,100,414 | |
Large Core Value Fund | (32,219,479) | 32,219,479 | |
Index 500 Fund | (51,688,064) | 51,688,064 | |
Mid Cap Growth Fund | (33,041,972) | 33,041,972 | |
Mid Cap Value Fund | (542,837) | 542,837 | |
Mid Core Value Fund | (18,445,883) | 18,445,883 | |
SMID Cap Growth Fund | (17,020,708) | 17,020,708 | |
SMID Cap Value Fund | (2,864,642) | 2,864,642 |
Total distributable earnings (loss) | Increase (Decrease) Paid-in Capital | ||
Small Cap Growth Fund | $ (20,549,656) | $ 20,549,656 | |
Small Cap Value Fund | (44,935,608) | 44,935,608 | |
Small Cap Index Fund | (12,768,316) | 12,768,316 | |
Developed International Index Fund | (5,103,888) | 5,103,888 | |
International Equity Fund | (63,412,357) | 63,412,357 | |
Emerging Markets Equity Fund | (18,911,074) | 18,911,074 | |
Real Estate Securities Fund | (14,029,621) | 14,029,621 | |
Aggressive Allocation Fund | (8,200,854) | 8,200,854 | |
Moderately Aggressive Allocation Fund | (19,725,435) | 19,725,435 | |
Moderate Allocation Fund | (24,964,151) | 24,964,151 | |
Moderately Conservative Allocation Fund | (6,770,428) | 6,770,428 | |
Conservative Allocation Fund | (3,784,297) | 3,784,297 |
Ordinary Income and Short-Term Capital Gains | Long-Term Capital Gains | Total | |||||||||
2021 | 2020 | 2021 | 2020 | 2021 | 2020 | ||||||
Money Market Fund | $ 21,353 | $ 280,484 | $ — | $ — | $ 21,353 | $ 280,484 | |||||
Limited Maturity Bond Fund | 3,660,375 | 7,034,384 | — | 1,567,406 | 3,660,375 | 8,601,790 | |||||
Quality Bond Fund | 10,408,652 | 18,022,139 | 581,151 | 6,844,266 | 10,989,803 | 24,866,405 | |||||
High Yield Bond Fund | 6,975,214 | 7,123,023 | — | — | 6,975,214 | 7,123,023 | |||||
Flexibly Managed Fund | 195,736,954 | 170,953,177 | 453,781,423 | 441,249,176 | 649,518,377 | 612,202,353 | |||||
Balanced Fund | 1,241,162 | 1,750,694 | 12,884,778 | 17,384,260 | 14,125,940 | 19,134,954 | |||||
Large Growth Stock Fund | 5,933,272 | 4,837,204 | 51,380,783 | 28,538,979 | 57,314,055 | 33,376,183 | |||||
Large Cap Growth Fund | 872,268 | 127,140 | 7,539,927 | 8,408,992 | 8,412,195 | 8,536,132 | |||||
Large Core Growth Fund | 4,420,923 | 19,399,794 | 36,000,990 | 25,553,387 | 40,421,913 | 44,953,181 | |||||
Large Cap Value Fund | 7,212,972 | 1,996,799 | 20,887,442 | — | 28,100,414 | 1,996,799 | |||||
Large Core Value Fund | 11,009,430 | 2,825,057 | 21,210,050 | 1,542,840 | 32,219,480 | 4,367,897 | |||||
Index 500 Fund | 7,510,040 | 7,995,616 | 44,177,839 | 66,750,489 | 51,687,879 | 74,746,105 | |||||
Mid Cap Growth Fund | — | — | 33,041,972 | 23,161,228 | 33,041,972 | 23,161,228 | |||||
Mid Cap Value Fund | 542,837 | 1,005,956 | — | — | 542,837 | 1,005,956 |
Ordinary Income and Short-Term Capital Gains | Long-Term Capital Gains | Total | |||||||||
2021 | 2020 | 2021 | 2020 | 2021 | 2020 | ||||||
Mid Core Value Fund | $ 6,948,194 | $ 986,874 | $ 11,497,689 | $ 562,228 | $ 18,445,883 | $ 1,549,102 | |||||
SMID Cap Growth Fund | 2,306,213 | 8,305,898 | 14,714,496 | 9,833,197 | 17,020,709 | 18,139,095 | |||||
SMID Cap Value Fund | 2,864,643 | 455,151 | — | — | 2,864,643 | 455,151 | |||||
Small Cap Growth Fund | 3,001,820 | — | 17,548,296 | 7,325,859 | 20,550,116 | 7,325,859 | |||||
Small Cap Value Fund | 20,918,874 | 938,778 | 24,016,729 | — | 44,935,603 | 938,778 | |||||
Small Cap Index Fund | 1,856,813 | 1,170,684 | 10,911,503 | 7,302,631 | 12,768,316 | 8,473,315 | |||||
Developed International Index Fund | 2,667,317 | 1,986,014 | 2,436,570 | 1,907,408 | 5,103,887 | 3,893,422 | |||||
International Equity Fund | 5,989,745 | 2,186,488 | 57,422,610 | 23,387,435 | 63,412,355 | 25,573,923 | |||||
Emerging Markets Equity Fund | 5,615,466 | 1,149,422 | 13,295,608 | — | 18,911,074 | 1,149,422 | |||||
Real Estate Securities Fund | 1,161,507 | 1,834,015 | 12,868,114 | — | 14,029,621 | 1,834,015 | |||||
Aggressive Allocation Fund | 1,681,712 | 839,709 | 14,115,541 | 7,600,653 | 15,797,253 | 8,440,362 | |||||
Moderately Aggressive Allocation Fund | 6,036,323 | 3,243,583 | 39,308,858 | 25,962,614 | 45,345,181 | 29,206,197 | |||||
Moderate Allocation Fund | 6,688,233 | 5,393,187 | 43,116,939 | 35,292,752 | 49,805,172 | 40,685,939 | |||||
Moderately Conservative Allocation Fund | 2,238,079 | 2,151,240 | 11,019,657 | 8,796,197 | 13,257,736 | 10,947,437 | |||||
Conservative Allocation Fund | 1,173,776 | 1,699,850 | 5,120,919 | 4,372,679 | 6,294,695 | 6,072,529 |
Short-Term Capital Loss | Long-Term Capital Loss | ||
Limited Maturity Bond Fund | $ — | $ (137,497) |
Short-Term Capital Loss | Long-Term Capital Loss | ||
High Yield Bond Fund | $— | $ (46,730) | |
Mid Cap Value Fund | — | (6,458,222) |
Money Market Fund | $ 80 |
High Yield Bond Fund | 6,521,494 |
Large Cap Value Fund | 4,960,377 |
Mid Cap Value Fund | 13,954,491 |
SMID Cap Value Fund | 8,005,009 |
Small Cap Value Fund | 2,134,627 |
Real Estate Securities Fund | 3,595,565 |
Federal Tax Cost | Unrealized Appreciation | Unrealized Depreciation | Net Unrealized Appreciation/ Depreciation | ||||
Money Market Fund | $ 161,778,989 | $ 1 | $ — | $ 1 | |||
Limited Maturity Bond Fund | 260,922,373 | 1,394,505 | (4,426,136) | (3,031,631) | |||
Quality Bond Fund | 461,108,223 | 9,792,601 | (3,280,094) | 6,512,507 | |||
High Yield Bond Fund | 161,449,459 | 4,288,778 | (208,239) | 4,080,539 | |||
Flexibly Managed Fund | 4,499,404,725 | 1,118,023,165 | (86,360,656) | 1,031,662,509 | |||
Balanced Fund | 56,085,630 | 37,006,173 | (131,048) | 36,875,125 | |||
Large Growth Stock Fund | 235,162,164 | 205,359,477 | (11,902,638) | 193,456,839 | |||
Large Cap Growth Fund | 45,347,431 | 34,850,274 | (611,311) | 34,238,963 | |||
Large Core Growth Fund | 176,612,858 | 39,487,865 | (13,205,461) | 26,282,404 | |||
Large Cap Value Fund | 161,188,600 | 44,979,605 | (2,597,578) | 42,382,027 | |||
Large Core Value Fund | 157,505,109 | 36,997,624 | (4,356,757) | 32,640,867 | |||
Index 500 Fund | 302,191,538 | 415,856,415 | (14,315,743) | 401,540,672 | |||
Mid Cap Growth Fund | 117,281,383 | 95,714,101 | (2,761,361) | 92,952,740 | |||
Mid Cap Value Fund | 82,433,092 | 24,059,022 | (1,605,137) | 22,453,885 | |||
Mid Core Value Fund | 81,807,040 | 15,481,191 | (2,613,146) | 12,868,045 | |||
SMID Cap Growth Fund | 84,012,420 | 22,655,956 | (4,238,314) | 18,417,642 | |||
SMID Cap Value Fund | 57,070,915 | 17,012,796 | (1,807,216) | 15,205,580 | |||
Small Cap Growth Fund | 82,807,180 | 61,157,130 | (3,996,882) | 57,160,248 | |||
Small Cap Value Fund | 169,226,957 | 39,565,086 | (8,828,238) | 30,736,848 | |||
Small Cap Index Fund | 80,928,394 | 28,343,122 | (11,125,241) | 17,217,881 | |||
Developed International Index Fund | 77,628,843 | 49,763,533 | (14,486,082) | 35,277,451 | |||
International Equity Fund | 296,332,020 | 66,511,211 | (11,731,540) | 54,779,671 | |||
Emerging Markets Equity Fund | 117,789,305 | 20,624,761 | (9,823,669) | 10,801,092 | |||
Real Estate Securities Fund | 101,696,268 | 42,245,005 | (777,914) | 41,467,091 | |||
Aggressive Allocation Fund | 51,250,553 | 19,322,607 | (85,799) | 19,236,808 | |||
Moderately Aggressive Allocation Fund | 173,401,900 | 73,250,342 | (120,861) | 73,129,481 | |||
Moderate Allocation Fund | 210,670,450 | 76,936,778 | (88,856) | 76,847,922 |
Federal Tax Cost | Unrealized Appreciation | Unrealized Depreciation | Net Unrealized Appreciation/ Depreciation | ||||
Moderately Conservative Allocation Fund | $ 81,210,930 | $ 18,637,030 | $ (81,414) | $ 18,555,616 | |||
Conservative Allocation Fund | 52,465,441 | 6,693,020 | (19,513) | 6,673,507 |
Location on the Statements of Assets and Liabilities | ||||
Derivative Type | Asset Derivatives | Liability Derivatives | ||
Equity contracts | Investments at value Futures variation margin receivable* | Call options written, at value Futures variation margin payable* |
Location on the Statements of Assets and Liabilities | ||||
Derivative Type | Asset Derivatives | Liability Derivatives | ||
Foreign currency contracts | Net unrealized appreciation of forward foreign currency contracts | Net unrealized depreciation of forward foreign currency contracts | ||
Interest rate contracts | Futures variation margin receivable* | Futures variation margin payable* |
ASSET DERIVATIVE VALUE | LIABILITY DERIVATIVE VALUE | ||||||||||
Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | ||||||
Limited Maturity Bond Fund | $ — | $ — | $ 41,992 | $ — | $ — | $ (24,973) | |||||
Quality Bond Fund | — | — | 558,140 | — | — | (314,045) | |||||
Flexibly Managed Fund | — | — | — | (98,318,051) | — | — | |||||
Index 500 Fund | 86,864 | — | — | — | — | — | |||||
Mid Cap Growth Fund | — | — | — | (315,649) | — | — | |||||
Mid Core Value Fund | — | 10,149 | — | — | (78,823) | — | |||||
Small Cap Index Fund | 23,452 | — | — | — | — | — | |||||
Developed International Index Fund | 52,114 | — | — | — | — | — |
Gross Amounts Presented on Statements of Assets and Liabilities | ||||||||||||
Fund and Counterparty | Form of Master Netting Agreement | Value of Assets | Value of Liabilities | Net Amount Due (to)/from Counterparty | Collateral Pledged (Received by Fund) | Loss Exposure, After Collateral | ||||||
Flexibly Managed Fund | ||||||||||||
Bank of America | ISDA | $ — | $ (1,893,986) | $ (1,893,986) | $— | $ (1,893,986) | ||||||
Citigroup | ISDA | — | (19,154,186) | (19,154,186) | — | (19,154,186) | ||||||
Credit Suisse | ISDA | — | (11,047,120) | (11,047,120) | — | (11,047,120) | ||||||
Goldman Sachs | ISDA | — | (28,595,621) | (28,595,621) | — | (28,595,621) | ||||||
JP Morgan | ISDA | — | (15,681,173) | (15,681,173) | — | (15,681,173) | ||||||
RBC Capital | ISDA | — | (2,208,158) | (2,208,158) | — | (2,208,158) | ||||||
Susquehanna Financial Group, Lllp | ISDA | — | (19,737,807) | (19,737,807) | — | (19,737,807) | ||||||
Total | $ — | $ (98,318,051) | $ (98,318,051) | $— | $ (98,318,051) | |||||||
Mid Cap Growth Fund | ||||||||||||
Morgan Stanley | ISDA | 1,050 | (315,649) | (314,599) | — | (314,599) | ||||||
Total | $ 1,050 | $ (315,649) | $ (314,599) | $— | $ (314,599) | |||||||
Mid Core Value Fund | ||||||||||||
Bank of America | Fx Letter | 10,149 | (337) | 9,812 | — | 9,812 | ||||||
Credit Suisse | Fx Letter | — | (17,879) | (17,879) | — | (17,879) | ||||||
JP Morgan | Fx Letter | — | (45,542) | (45,542) | — | (45,542) | ||||||
UBS Securities | Fx Letter | — | (15,065) | (15,065) | — | (15,065) | ||||||
Total | $10,149 | $ (78,823) | $ (68,674) | $— | $ (68,674) |
Derivative Type | Location of Gain (Loss) on Derivatives Recognized in Income | |
Equity contracts | Net realized gain (loss) on futures contracts Net realized gain (loss) on purchased options Net realized gain (loss) on written options Net change in unrealized appreciation (depreciation) of futures contracts Net change in unrealized appreciation (depreciation) of purchased options Net change in unrealized appreciation (depreciation) of written options | |
Interest rate contracts | Net realized gain (loss) on futures contracts Net change in unrealized appreciation (depreciation) of futures contracts | |
Foreign currency contracts | Net realized gain (loss) on forward foreign currency contracts Net change in unrealized appreciation (depreciation) of forward foreign currency contracts |
Realized Gain (Loss) on Derivatives Recognized in Income | ||||||
Fund | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | |||
Limited Maturity Bond Fund | $ — | $ — | $ (628,258) | |||
Quality Bond Fund | — | — | (3,608,055) | |||
High Yield Bond Fund | — | — | 464,892 | |||
Flexibly Managed Fund | 7,234,302 | — | — |
Realized Gain (Loss) on Derivatives Recognized in Income | ||||||
Fund | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | |||
Large Growth Stock Fund | $ — | $ 128 | $ — | |||
Index 500 Fund | 1,641,098 | — | — | |||
Mid Cap Growth Fund | (1,175,857) | — | — | |||
Mid Core Value Fund | — | 358,813 | — | |||
Small Cap Growth Fund | — | (26) | — | |||
Small Cap Index Fund | 197,906 | — | — | |||
Developed International Index Fund | 309,134 | — | — |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||
Fund | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | |||
Limited Maturity Bond Fund | $ — | $ — | $ (50,051) | |||
Quality Bond Fund | — | — | 164,822 | |||
High Yield Bond Fund | — | — | 13,246 | |||
Flexibly Managed Fund | (25,206,896) | — | — | |||
Large Growth Stock Fund | — | (187) | — | |||
Index 500 Fund | (78,623) | — | — | |||
Mid Cap Growth Fund | 73,924 | — | — | |||
Mid Core Value Fund | — | (19,996) | — | |||
Small Cap Index Fund | (20,765) | — | — | |||
Developed International Index Fund | 4,124 | — | — |
Average Derivative Volume | ||||||||||
Fund | Forward foreign currency contracts (average cost) | Futures contracts (average notional value) long | Futures contracts (average notional value) short | Purchased options (average notional cost) | Written options (premiums received) | |||||
Limited Maturity Bond Fund | $ — | $ 86,902,389 | $ 13,442,935 | $ — | $ — | |||||
Quality Bond Fund | — | 193,346,404 | 17,720,788 | — | — | |||||
Flexibly Managed Fund | — | — | — | — | 41,636,205 | |||||
Large Growth Stock Fund | (42,916) | — | — | — | — | |||||
Index 500 Fund | — | 6,422,866 | — | — | — | |||||
Mid Cap Growth Fund | — | — | — | 78,045 | 219,316 | |||||
Mid Core Value Fund | (6,712,601) | — | — | — | — | |||||
Small Cap Growth Fund | (544) | — | — | — | — | |||||
Small Cap Index Fund | — | 1,419,553 | — | — | — | |||||
Developed International Index Fund | — | 2,606,211 | — | — | — |
Penn Series Funds, Inc.:
February 21, 2022
Fund | Long-Term Capital Gains | |
Quality Bond Fund | $ 581,151 | |
Flexibly Managed Fund | 453,781,423 | |
Balanced Fund | 12,884,778 | |
Large Growth Stock Fund | 51,380,783 | |
Large Cap Growth Fund | 7,539,927 | |
Large Core Growth Fund | 36,000,990 | |
Large Cap Value Fund | 20,887,442 | |
Large Core Value Fund | 21,210,050 | |
Index 500 Fund | 44,177,839 | |
Mid Cap Growth Fund | 33,041,972 | |
Mid Core Value Fund | 11,497,689 | |
SMID Cap Growth Fund | 14,714,496 | |
Small Cap Growth Fund | 17,548,296 | |
Small Cap Value Fund | 24,016,729 | |
Small Cap Index Fund | 10,911,503 | |
Developed International Index Fund | 2,436,570 | |
International Equity Fund | 57,422,610 | |
Emerging Markets Equity Fund | 13,295,608 | |
Real Estate Securities Fund | 12,868,114 | |
Aggressive Allocation Fund | 14,115,541 | |
Moderately Aggressive Allocation Fund | 39,308,858 | |
Moderate Allocation Fund | 43,116,939 | |
Moderately Conservative Allocation Fund | 11,019,657 | |
Conservative Allocation Fund | 5,120,919 |
Fund | |
Quality Bond Fund | 2.32% |
High Yield Bond Fund | 0.47% |
Flexibly Managed Fund | 23.51% |
Balanced Fund | 49.88% |
Large Growth Stock Fund | 20.49% |
Large Cap Growth Fund | 59.02% |
Large Core Growth Fund | 2.56% |
Large Cap Value Fund | 42.47% |
Large Core Value Fund | 51.81% |
Index 500 Fund | 100.00% |
Mid Cap Value Fund | 100.00% |
Mid Core Value Fund | 21.54% |
SMID Cap Growth Fund | 11.12% |
SMID Cap Value Fund | 35.03% |
Small Cap Growth Fund | 15.08% |
Small Cap Value Fund | 8.23% |
Small Cap Index Fund | 37.42% |
International Equity Fund | 4.48% |
Emerging Markets Equity Fund | 0.45% |
Real Estate Securities Fund | 2.59% |
Fund | |
Aggressive Allocation Fund | 30.79% |
Moderately Aggressive Allocation Fund | 26.77% |
Moderate Allocation Fund | 21.34% |
Moderately Conservative Allocation Fund | 20.23% |
Conservative Allocation Fund | 14.28% |
Name and Year of Birth | Position with the Company; Term of Office and Length of Time Served | Principal Occupation During Past 5 Years | Number of Funds Overseen by the Director | Other Directorships Held by Director During Past 5 Years | ||||
INDEPENDENT DIRECTORS | ||||||||
Marie K. Karpinski (1949)* | Director; No set term; served since 2015. | Retired (2010 – Present). | 29 | None. | ||||
Joanne B. Mack (1946)* | Director; No set term; served since 2013. | Management Consultant, self-employed (2009 – 2012; 2013 – Present). | 29 | None. | ||||
Archie C. MacKinlay (1955)* | Director; No set term; served since 2010. | Professor of Finance, Wharton School, University of Pennsylvania (1984 – Present). | 29 | None. | ||||
Rebecca C. Matthias (1953)* | Director; No set term; served since 2010. | Retired (2010 – Present) | 29 | Director, CSS Industries (2005-2020). | ||||
David B. Pudlin (1949)* | Director; No set term; served since 2009. | Chief Executive Officer, President and Attorney, Hangley Aronchick Segal Pudlin & Schiller (law firm) (1994 – Present). | 29 | None. | ||||
INTERESTED DIRECTORS | ||||||||
Eileen C. McDonnell (1962)* | Director and Chairman of the Board; No set term; served since 2010. | Chief Executive Officer (2011 – Present), Chairman of the Board (2013 – Present), Penn Mutual; Director, PMAM (2010 – Present); President and Director (2010 – Present), Chairman of the Board (2011 – Present), PIA. | 29 | Director, UHS of Delaware, Inc. |
Name and Year of Birth | Position with the Company; Term of Office and Length of Time Served | Principal Occupation During Past 5 Years | ||
OFFICERS | ||||
David M. O’Malley (1974)* | President; One year; served since 2014. | Chairman and Chief Executive Officer, PMAM (2014 – Present); President and Chief Operating Officer (2016 – Present), Penn Mutual. | ||
Steven Viola (1975)* | Treasurer One year; served since 2015. | Assistant Treasurer (2016 – Present), Senior Fund Accounting Analyst (2016 – 2017), PMAM. | ||
Tyler J. Thur (1984)* | Assistant Treasurer One year; served since Feb. 2017. | Controller and Treasurer, PMAM (2015 – Present); |
Name and Year of Birth | Position with the Company; Term of Office and Length of Time Served | Principal Occupation During Past 5 Years | ||
Victoria Robinson (1965)* | Chief Compliance Officer One year; served since October 2021; served 2014-2019. Secretary One year; served since 2019. AML Officer One year; served since 2019. | Chief Ethics and Compliance Officer, Penn Mutual and insurance affiliates (May 2019 – Present); Chief Compliance Officer, PMAM (October 2021 – Present; served 2008 – 2019); Chief Compliance Officer, HTK (August 2019 – Present). |
PM8907 | 01/22 |
(b) | Not applicable |
Item 2. Code of Ethics.
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(c) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. |
(d) | The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
Item 3. Audit Committee Financial Expert.
The Registrant’s Board of Directors has determined that Ms. Rebecca C. Matthias qualifies as an audit committee financial expert, as defined in Item 3 of Form N-CSR. Ms. Matthias is considered independent for purposes of Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
Audit Fees
(a) | The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $550,000 for 2021 and $550,000 for 2020. |
Audit-Related Fees
(b) | The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item are $0 for 2021 and $0 for 2020. |
Tax Fees
(c) | The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $0 for 2021 and $0 for 2020. |
All Other Fees
(d) | The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 for 2021 and $0 for 2020. |
(e) | Audit Committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. |
(e)(1) | Pre-Approval of Audit and Non-Audit Services Provided to the Funds of the Penn Series Funds, Inc. To the extent required by applicable law, pre-approval by the Audit Committee of the Penn Series Funds, Inc. (the “Company”) Board of Directors is required for all audit and permissible non-audit services rendered to the Company and all permissible non-audit services rendered to the investment adviser to the Company, Penn Mutual Asset Management, Inc. (“PMAM”), or any other service providers controlling, controlled by or under common control with PMAM that provide ongoing services to the Company (“Related Entities”) that relate directly to the operations and financial reporting of the Company’s Funds. The Audit and Non-Audit Services Pre-Approval Policy (the “Policy”) adopted by the Audit Committee sets forth the procedures and the conditions pursuant to which services performed by an independent auditor for the Company may be pre-approved. Services may be pre-approved specifically by the Audit Committee as a whole or by the Audit Committee Chairman or other member of the Audit Committee as designated by the Audit Committee. The Policy sets forth the audit, audit-related, tax and all other services that are subject to general or specific pre-approval by the Audit Committee subject to specified expense limitations. The Policy provides that the Audit Committee will annually review and pre-approve the services that may be provided by the independent auditor pursuant to the pre-approval provision of the Policy. Pursuant to the Policy, the Audit Committee will consider whether the services provided by an independent auditor are consistent with the Securities and Exchange Commission’s rules and related guidance concerning auditor independence. |
(e)(2) | No services included in (b)-(d) above were approved pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. |
(f) | Not Applicable. |
(g) | The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $0 for 2021 and $0 for 2020. |
(h) | Not applicable. |
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1(a) of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
The shareholder meeting voting results is included as part of the report to shareholders filed under Item 1 of this form.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) |
(a)(2) |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Penn Series Funds, Inc. |
By (Signature and Title)* | /s/ Keith G. Huckerby | |||
Keith G. Huckerby, President (principal executive officer) |
Date March 7, 2022
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 (Signature and Title)* | /s/ Keith G. Huckerby | |||
Keith G. Huckerby, President (principal executive officer) |
Date March 7, 2022
By (Signature and Title)* | /s/ Steven Viola | |||
Steven Viola, Treasurer (principal financial officer) |
Date March 7, 2022
* | Print the name and title of each signing officer under his or her signature. |