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: June 30, 2022
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). |
Funds, Inc.
President
Penn Series Funds, Inc.
2 | |
3 | |
4 | |
5 | |
7 | |
8 | |
9 | |
11 | |
13 | |
15 | |
17 | |
18 | |
19 | |
21 | |
23 | |
25 | |
26 | |
28 | |
29 | |
30 | |
32 | |
34 | |
36 | |
38 | |
39 | |
40 | |
41 | |
42 | |
43 | |
46 | |
157 | |
165 | |
172 | |
180 | |
209 | |
232 | |
232 | |
233 |
Investment Adviser
Percent of Total Investments1 | |
Corporate Bonds | 38.7 % |
Asset Backed Securities | 31.1 % |
Residential Mortgage Backed Securities | 17.2 % |
Commercial Mortgage Backed Securities | 13.0% |
100.0% |
1 | Portfolio holdings are presented as a percentage of total investments before short-term investments. |
Investment Adviser
Percent of Total Investments1 | |
Corporate Bonds | 40.5 % |
Commercial Mortgage Backed Securities | 19.5 % |
Asset Backed Securities | 19.1 % |
Residential Mortgage Backed Securities | 15.8 % |
U.S. Treasury Obligations | 2.8 % |
Preferred Stocks | 1.2 % |
Municipal Bonds | 1.1 % |
100.0% |
1 | Portfolio holdings are presented as a percentage of total investments before short-term investments. |
Investment Adviser
Percent of Total Investments1 | |
BB/B Rated | 35.2 % |
BBB/BB Rated & Above | 25.2 % |
BB Rated | 14.2 % |
B Rated | 11.3 % |
B/CCC Rated | 6.5 % |
Not Rated | 5.2 % |
CCC and Below | 0.6 % |
Loan Agreements | 1.8 % |
Equity Securities | 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
T. Rowe Price Associates, Inc.
Investment Sub-Adviser
Percent of Total Investments1 | |
Technology | 22.4 % |
Consumer, Non-cyclical | 22.2 % |
Financial | 13.3 % |
Industrial | 12.5 % |
Consumer, Cyclical | 9.3 % |
Communications | 8.8 % |
Government | 8.3 % |
Utilities | 2.1 % |
Energy | 0.5 % |
Basic Materials | 0.3 % |
Asset Backed Securities | 0.3 % |
100.0% |
1 | Portfolio holdings are presented as a percentage of total investments before short-term investments. |
Investment Adviser
Asset Allocation Target as of 6/30/22 | |
Index 500 | 60.0% |
Intermediate Bonds | 40.0% |
100.0% |
Investment Adviser
T. Rowe Price Associates, Inc.
Investment Sub-Adviser
Percent of Total Investments1 | |
Technology | 38.4 % |
Communications | 26.8 % |
Consumer, Non-cyclical | 14.6 % |
Consumer, Cyclical | 10.8 % |
Financial | 5.0% |
Industrial | 4.4 % |
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
MFS Investments
Investment Sub-Adviser
Percent of Total Investments1 | |
Technology | 31.5 % |
Consumer, Non-cyclical | 25.3 % |
Financial | 11.8 % |
Communications | 11.2 % |
Consumer, Cyclical | 9.2 % |
Industrial | 8.7 % |
Basic Materials | 1.2 % |
Utilities | 1.1 % |
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
Morgan Stanley Investment Management
Investment Sub-Adviser
Percent of Total Investments1 | |
Technology | 47.5 % |
Communications | 36.3 % |
Consumer, Non-cyclical | 15.5 % |
Financial | 0.7 % |
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
Percent of Total Investments1 | |
Consumer, Non-cyclical | 27.0% |
Financial | 23.8 % |
Industrial | 17.4 % |
Consumer, Cyclical | 14.0% |
Communications | 6.7 % |
Energy | 5.2 % |
Technology | 3.2 % |
Basic Materials | 1.7 % |
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
Percent of Total Investments1 | |
Consumer, Non-cyclical | 26.1 % |
Financial | 23.2 % |
Industrial | 11.2 % |
Communications | 9.5 % |
Consumer, Cyclical | 8.0% |
Energy | 7.1 % |
Utilities | 7.0% |
Technology | 6.3 % |
Basic Materials | 1.6 % |
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
State Street Global Advisors
Investment Sub-Adviser
Percent of Total Investments1 | |
Technology | 23.2 % |
Consumer, Non-cyclical | 22.5 % |
Financial | 15.0% |
Communications | 12.8 % |
Consumer, Cyclical | 9.1 % |
Industrial | 7.7 % |
Energy | 4.5 % |
Utilities | 3.1 % |
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
Percent of Total Investments1 | |
Consumer, Non-cyclical | 27.8 % |
Technology | 25.2 % |
Consumer, Cyclical | 19.1 % |
Industrial | 17.8 % |
Communications | 6.1 % |
Financial | 4.0% |
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
Janus Henderson Investors US LLC
Investment Sub-Adviser
Percent of Total Investments1 | |
Financial | 24.8 % |
Industrial | 18.4 % |
Consumer, Non-cyclical | 16.8 % |
Consumer, Cyclical | 11.8 % |
Technology | 9.0% |
Energy | 6.1 % |
Utilities | 6.0% |
Communications | 3.7 % |
Basic Materials | 3.4 % |
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
American Century Investment Management
Investment Sub-Adviser
Percent of Total Investments1 | |
Financial | 29.4 % |
Consumer, Non-cyclical | 21.7 % |
Industrial | 14.3 % |
Consumer, Cyclical | 13.5 % |
Utilities | 7.6 % |
Energy | 5.1 % |
Technology | 3.3 % |
Communications | 2.8 % |
Basic Materials | 2.3 % |
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
Percent of Total Investments1 | |
Consumer, Non-cyclical | 25.4 % |
Technology | 22.4 % |
Industrial | 19.2 % |
Consumer, Cyclical | 17.3 % |
Financial | 4.3 % |
Basic Materials | 4.1 % |
Energy | 3.9 % |
Communications | 2.6 % |
Utilities | 0.8 % |
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
AllianceBernstein
Investment Sub-Adviser
Percent of Total Investments1 | |
Financial | 27.6 % |
Industrial | 21.6 % |
Consumer, Cyclical | 15.4 % |
Consumer, Non-cyclical | 14.6 % |
Technology | 7.8 % |
Basic Materials | 5.3 % |
Energy | 3.7 % |
Utilities | 2.9 % |
Communications | 1.1 % |
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
Janus Henderson Investors US LLC
Investment Sub-Adviser
Percent of Total Investments1 | |
Consumer, Non-cyclical | 33.1 % |
Technology | 23.0% |
Industrial | 19.4 % |
Financial | 8.8 % |
Consumer, Cyclical | 5.5 % |
Communications | 4.8 % |
Basic Materials | 2.0% |
Energy | 1.9 % |
Diversified | 0.8 % |
Utilities | 0.7 % |
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
Percent of Total Investments1 | |
Financial | 37.4 % |
Consumer, Non-cyclical | 17.2 % |
Consumer, Cyclical | 11.6 % |
Industrial | 11.0% |
Energy | 5.7 % |
Technology | 5.7 % |
Utilities | 4.8 % |
Communications | 4.1 % |
Basic Materials | 2.5 % |
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
Percent of Total Investments1 | |
Financial | 24.3 % |
Consumer, Non-cyclical | 23.9 % |
Industrial | 13.0% |
Consumer, Cyclical | 11.2 % |
Technology | 10.5 % |
Energy | 5.7 % |
Communications | 4.5 % |
Utilities | 3.5 % |
Basic Materials | 3.4 % |
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
Percent of Total Investments1 | |
Japan | 22.3 % |
United Kingdom | 15.3 % |
Switzerland | 11.1 % |
France | 10.8 % |
Australia | 7.7 % |
Germany | 7.7 % |
Netherlands | 4.5 % |
Hong Kong | 3.3 % |
Sweden | 3.2 % |
Denmark | 2.8 % |
Spain | 2.5 % |
Italy | 1.9 % |
Singapore | 1.4 % |
Finland | 1.2 % |
Ireland | 0.9 % |
Belgium | 0.9 % |
Norway | 0.8 % |
Israel | 0.8 % |
Luxembourg | 0.3 % |
New Zealand | 0.2 % |
Austria | 0.2 % |
Portugal | 0.2 % |
Macao | 0.0% 2 |
Chile | 0.0% 2 |
Jordan | 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
Percent of Total Investments1 | |
United Kingdom | 19.9 % |
France | 13.9 % |
Canada | 13.5 % |
Switzerland | 12.4 % |
Netherlands | 8.1 % |
Japan | 7.7 % |
United States | 7.0% |
Ireland | 4.3 % |
India | 3.8 % |
Luxembourg | 2.4 % |
China | 2.4 % |
Sweden | 1.9 % |
Italy | 1.7 % |
Hong Kong | 1.0% |
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
Percent of Total Investments1 | |
China | 30.8 % |
India | 22.1 % |
Taiwan | 13.0% |
Indonesia | 7.7 % |
South Korea | 6.5 % |
Mexico | 4.5 % |
Singapore | 3.9 % |
Hong Kong | 3.6 % |
Brazil | 3.5 % |
South Africa | 1.4 % |
Thailand | 1.2 % |
Colombia | 1.1 % |
Argentina | 0.7 % |
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
Percent of Total Investments1 | |
Diversified | 30.7 % |
Apartments | 16.9 % |
Healthcare | 11.1 % |
Storage & Warehousing | 9.6 % |
Industrial | 7.7 % |
Single Tenant | 6.1 % |
Regional Malls | 5.0% |
Strip Centers | 2.9 % |
Manufactured Homes | 2.8 % |
Hotels & Resorts | 2.1 % |
Real Estate | 2.1 % |
Office Property | 2.0% |
Lodging | 0.8 % |
Entertainment | 0.2 % |
100.0% |
1 | Portfolio holdings are presented as a percentage of total investments before short-term investments. |
Investment Adviser
Asset Allocation Target as of 6/30/22 | |
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
Asset Allocation Target as of 6/30/22 | |
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
Asset Allocation Target as of 6/30/22 | |
Intermediate Bonds | 21.0% |
Large Cap Value Stocks | 19.0% |
Short Term Bonds | 15.0% |
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
Asset Allocation Target as of 6/30/22 | |
Intermediate Bonds | 30.0% |
Short Term Bonds | 25.0% |
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
Asset Allocation Target as of 6/30/22 | |
Intermediate Bonds | 39.0% |
Short Term Bonds | 36.0% |
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 January 1, 2022 to June 30, 2022
Expense Table
Beginning Value January 1, 2022 | Ending Value June 30, 2022 | Annualized Expense Ratio | Expenses Paid During Period* | |
Money Market Fund | ||||
Actual | $1,000.00 | $1,000.10 | 0.37% | $ 1.83 |
Hypothetical | $1,000.00 | $ 1,022.96 | 0.37% | $ 1.86 |
Limited Maturity Bond Fund | ||||
Actual | $1,000.00 | $ 960.40 | 0.69% | $ 3.35 |
Hypothetical | $1,000.00 | $ 1,021.37 | 0.69% | $ 3.46 |
Quality Bond Fund | ||||
Actual | $1,000.00 | $ 891.00 | 0.67% | $ 3.14 |
Hypothetical | $1,000.00 | $ 1,021.47 | 0.67% | $ 3.36 |
Hypothetical Examples of a $1,000 Investment (Unaudited)
Beginning Value January 1, 2022 | Ending Value June 30, 2022 | Annualized Expense Ratio | Expenses Paid During Period* | |
High Yield Bond Fund | ||||
Actual | $1,000.00 | $ 902.60 | 0.72% | $ 3.40 |
Hypothetical | $1,000.00 | $ 1,021.22 | 0.72% | $ 3.61 |
Flexibly Managed Fund | ||||
Actual | $1,000.00 | $ 855.80 | 0.87% | $ 4.00 |
Hypothetical | $1,000.00 | $ 1,020.48 | 0.87% | $ 4.36 |
Balanced Fund | ||||
Actual | $1,000.00 | $ 835.00 | 0.20% | $0.91 |
Hypothetical | $1,000.00 | $ 1,023.80 | 0.20% | $ 1.00 |
Large Growth Stock Fund | ||||
Actual | $1,000.00 | $ 637.70 | 0.96% | $ 3.90 |
Hypothetical | $1,000.00 | $ 1,020.03 | 0.96% | $ 4.81 |
Large Cap Growth Fund | ||||
Actual | $1,000.00 | $ 799.00 | 0.86% | $ 3.84 |
Hypothetical | $1,000.00 | $ 1,020.53 | 0.86% | $ 4.31 |
Large Core Growth Fund | ||||
Actual | $1,000.00 | $ 477.70 | 0.88% | $ 3.22 |
Hypothetical | $1,000.00 | $ 1,020.43 | 0.88% | $ 4.41 |
Large Cap Value Fund | ||||
Actual | $1,000.00 | $ 877.50 | 0.91% | $ 4.24 |
Hypothetical | $1,000.00 | $ 1,020.28 | 0.91% | $ 4.56 |
Large Core Value Fund | ||||
Actual | $1,000.00 | $ 908.10 | 0.91% | $ 4.31 |
Hypothetical | $1,000.00 | $ 1,020.28 | 0.91% | $ 4.56 |
Index 500 Fund | ||||
Actual | $1,000.00 | $ 799.70 | 0.35% | $ 1.56 |
Hypothetical | $1,000.00 | $ 1,023.06 | 0.35% | $ 1.76 |
Mid Cap Growth Fund | ||||
Actual | $1,000.00 | $ 670.10 | 0.96% | $ 3.98 |
Hypothetical | $1,000.00 | $ 1,020.03 | 0.96% | $ 4.81 |
Mid Cap Value Fund | ||||
Actual | $1,000.00 | $ 877.84 | 0.83% | $ 3.86 |
Hypothetical | $1,000.00 | $ 1,020.68 | 0.83% | $ 4.16 |
Mid Core Value Fund | ||||
Actual | $1,000.00 | $ 919.30 | 1.02% | $ 4.85 |
Hypothetical | $1,000.00 | $ 1,019.74 | 1.02% | $ 5.11 |
SMID Cap Growth Fund | ||||
Actual | $1,000.00 | $ 666.50 | 1.05% | $ 4.34 |
Hypothetical | $1,000.00 | $ 1,019.59 | 1.05% | $ 5.26 |
SMID Cap Value Fund | ||||
Actual | $1,000.00 | $ 801.13 | 1.16% | $ 5.18 |
Hypothetical | $1,000.00 | $ 1,019.04 | 1.16% | $ 5.81 |
Small Cap Growth Fund | ||||
Actual | $1,000.00 | $ 736.00 | 1.02% | $ 4.39 |
Hypothetical | $1,000.00 | $ 1,019.74 | 1.02% | $ 5.11 |
Hypothetical Examples of a $1,000 Investment (Unaudited)
Beginning Value January 1, 2022 | Ending Value June 30, 2022 | Annualized Expense Ratio | Expenses Paid During Period* | |
Small Cap Value Fund | ||||
Actual | $1,000.00 | $ 820.50 | 1.00% | $ 4.51 |
Hypothetical | $1,000.00 | $ 1,019.84 | 1.00% | $ 5.01 |
Small Cap Index Fund | ||||
Actual | $1,000.00 | $ 762.90 | 0.71% | $ 3.10 |
Hypothetical | $1,000.00 | $ 1,021.27 | 0.71% | $ 3.56 |
Developed International Index Fund | ||||
Actual | $1,000.00 | $ 801.90 | 0.89% | $ 3.98 |
Hypothetical | $1,000.00 | $ 1,020.38 | 0.89% | $ 4.46 |
International Equity Fund | ||||
Actual | $1,000.00 | $ 752.70 | 1.06% | $ 4.61 |
Hypothetical | $1,000.00 | $ 1,019.54 | 1.06% | $ 5.31 |
Emerging Markets Equity Fund | ||||
Actual | $1,000.00 | $ 812.50 | 1.31% | $ 5.89 |
Hypothetical | $1,000.00 | $ 1,018.30 | 1.31% | $ 6.56 |
Real Estate Securities Fund | ||||
Actual | $1,000.00 | $ 807.30 | 0.96% | $ 4.30 |
Hypothetical | $1,000.00 | $ 1,020.03 | 0.96% | $ 4.81 |
Aggressive Allocation Fund | ||||
Actual | $1,000.00 | $ 821.10 | 0.34% | $ 1.54 |
Hypothetical | $1,000.00 | $ 1,023.11 | 0.34% | $ 1.71 |
Moderately Aggressive Allocation Fund | ||||
Actual | $1,000.00 | $ 835.10 | 0.30% | $ 1.37 |
Hypothetical | $1,000.00 | $ 1,023.31 | 0.30% | $ 1.51 |
Moderate Allocation Fund | ||||
Actual | $1,000.00 | $ 851.80 | 0.30% | $ 1.38 |
Hypothetical | $1,000.00 | $ 1,023.31 | 0.30% | $ 1.51 |
Moderately Conservative Allocation Fund | ||||
Actual | $1,000.00 | $ 882.60 | 0.31% | $ 1.45 |
Hypothetical | $1,000.00 | $ 1,023.26 | 0.31% | $ 1.56 |
Conservative Allocation Fund | ||||
Actual | $1,000.00 | $ 905.50 | 0.34% | $ 1.61 |
Hypothetical | $1,000.00 | $ 1,023.11 | 0.34% | $ 1.71 |
* | 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 (181), then divided by 365. |
Par (000) | Value† | |
AGENCY OBLIGATIONS — 64.0% | ||
Federal Farm Credit Banks | ||
1.452%, 07/20/22 | $ 5,000 | $ 4,996,174 |
1.452%, 07/27/22 | 10,000 | 9,989,528 |
1.850%, 08/05/22 | 2,190 | 2,191,739 |
0.080%, 09/15/22 | 4,000 | 3,991,178 |
1.848%, 09/20/22 | 3,000 | 2,987,580 |
1.875%, 09/26/22 | 4,000 | 4,005,530 |
Federal Home Loan Banks | ||
0.751%, 07/01/22 | 5,000 | 5,000,000 |
0.731%, 07/08/22 | 10,000 | 9,998,581 |
3.010%, 08/26/22 | 3,075 | 3,082,998 |
1.869%, 09/28/22 | 5,000 | 4,977,008 |
Federal Home Loan Mortgage Corp. | ||
0.125%, 07/25/22 | 7,645 | 7,642,199 |
1.039%, 08/17/22 | 5,000 | 4,993,237 |
1.625%, 08/29/22 | 3,000 | 2,992,035 |
1.234%, 09/06/22 | 10,000 | 9,977,108 |
Federal National Mortgage Association | ||
0.921%, 07/20/22 | 4,000 | 3,998,058 |
1.017%, 08/10/22 | 5,000 | 4,994,365 |
1.083%, 08/17/22 | 5,000 | 4,992,950 |
1.375%, 09/06/22 | 2,000 | 2,000,148 |
1.859%, 09/28/22 | 7,000 | 6,967,985 |
2.000%, 10/05/22 | 5,500 | 5,509,234 |
Tennessee Valley Authority 1.351%, 07/06/22 | 5,000 | 4,999,062 |
TOTAL AGENCY OBLIGATIONS (Cost $110,286,697) | 110,286,697 | |
U.S. TREASURY OBLIGATIONS — 23.2% | ||
U.S. Treasury Bills | ||
0.742%, 07/07/22 | 2,000 | 1,999,753 |
0.958%, 07/19/22 | 10,000 | 9,995,213 |
2.000%, 07/31/22 | 4,000 | 4,003,792 |
0.939%, 08/02/22 | 5,000 | 4,995,836 |
1.044%, 08/23/22 | 3,000 | 2,995,404 |
1.030%, 08/25/22 | 2,000 | 1,996,860 |
1.064%, 08/30/22 | 4,000 | 3,992,930 |
1.625%, 08/31/22 | 5,000 | 5,000,576 |
1.762%, 10/04/22 | 5,000 | 4,976,864 |
TOTAL U.S. TREASURY OBLIGATIONS (Cost $39,957,228) | 39,957,228 |
Number of Shares | Value† | |
SHORT-TERM INVESTMENTS — 12.8% | ||
Goldman Sachs Financial Square Funds - Government Fund Institutional Shares (seven-day effective yield 1.390%) (Cost $22,108,820) | 22,108,820 | $ 22,108,820 |
TOTAL INVESTMENTS — 100.0% (Cost $172,352,745) | $ 172,352,745 | |
Other Assets & Liabilities — 0.0% | 7,342 | |
TOTAL NET ASSETS — 100.0% | $ 172,360,087 |
† | See Security Valuation Note. |
ASSETS TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Agency Obligations | $110,286,697 | $110,286,697 | $— | $— |
U.S. Treasury Obligations | 39,957,228 | 39,957,228 | — | — |
Short-Term Investments | 22,108,820 | 22,108,820 | — | — |
Total Investments | $ 172,352,745 | $ 172,352,745 | $ — | $ — |
Par (000) | Value† | |
ASSET BACKED SECURITIES — 30.8% | ||
AMMC CLO 16 Ltd., Series 2015-16A Class DR2 (3 M ICE LIBOR + 3.500%, Floor 3.500%), 144A 4.538%, 04/14/29@,• | $2,000 | $ 1,924,078 |
Anchorage Capital CLO Ltd., Series 2013-1A Class A2R (3 M ICE LIBOR + 1.650%), 144A 2.671%, 10/13/30@,• | 2,830 | 2,734,971 |
ASSURANT CLO Ltd., Series 2018-2A Class A (3 M ICE LIBOR + 1.040%, Floor 1.040%), 144A 2.103%, 04/20/31@,• | 2,400 | 2,350,116 |
Babson CLO Ltd., Series 2014-IA Class C (3 M ICE LIBOR + 3.450%), 144A 3.704%, 07/20/25@,• | 2,098 | 2,088,837 |
Barings CLO Ltd., Series 2017-1A Class B1 (3 M ICE LIBOR + 1.700%), 144A 2.744%, 07/18/29@,• | 1,500 | 1,458,409 |
Benefit Street Partners CLO VIII Ltd., Series 2015-8A Class A1AR (3 M ICE LIBOR + 1.100%, Floor 1.100%), 144A 2.163%, 01/20/31@,• | 2,500 | 2,453,882 |
BSPRT Issuer Ltd., | ||
Series 2021-FL6 Class A (1 M ICE LIBOR + 1.100%, Floor 1.100%), 144A, 2.424%, 03/15/36@,• | 2,200 | 2,135,488 |
Series 2021-FL6 Class B (1 M ICE LIBOR + 1.600%, Floor 1.600%), 144A, 2.924%, 03/15/36@,• | 2,500 | 2,368,678 |
CIFC Funding Ltd., Series 2014-2RA Class A1 (3 M ICE LIBOR + 1.050%, Floor 1.050%), 144A 2.234%, 04/24/30@,• | 2,000 | 1,970,390 |
Crestline Denali CLO XVI Ltd., Series 2018-1A Class A (3 M ICE LIBOR + 1.120%, Floor 1.120%), 144A 2.183%, 01/20/30@,• | 3,000 | 2,941,932 |
ECMC Group Student Loan Trust, | ||
Series 2018-2A Class A (1 M ICE LIBOR + 0.800%, Floor 0.800%), 144A, 2.424%, 09/25/68@,• | 3,163 | 3,092,478 |
Series 2019-1A Class A1A, 144A, 2.720%, 07/25/69@ | 1,635 | 1,496,602 |
Edsouth Indenture No 4 LLC, Series 2013-1 Class A (1 M ICE LIBOR + 0.570%), 144A 2.194%, 02/26/29@,• | 2,592 | 2,550,956 |
First Eagle BSL CLO Ltd., Series 2019-1A Class B (3 M ICE LIBOR + 3.250%, Floor 3.250%), 144A 4.313%, 01/20/33@,• | 1,500 | 1,446,825 |
Par (000) | Value† | |
Gallatin CLO IX Ltd., Series 2018-1A Class C1 (3 M ICE LIBOR + 2.100%, Floor 2.100%), 144A 3.198%, 01/21/28@,• | $2,000 | $ 1,933,822 |
Navient Private Education Loan Trust, | ||
Series 2015-AA Class A3 (1 M ICE LIBOR + 1.700%), 144A, 3.024%, 11/15/30@,• | 1,500 | 1,501,951 |
Series 2014-AA Class A3 (1 M ICE LIBOR + 1.600%), 144A, 2.924%, 10/15/31@,• | 1,499 | 1,478,844 |
Series 2015-BA Class A3 (1 M ICE LIBOR + 1.450%), 144A, 2.774%, 07/16/40@,• | 2,059 | 2,051,589 |
Navient Private Education Refi Loan Trust, | ||
Series 2020-EA Class A, 144A, 1.690%, 05/15/69@ | 2,085 | 1,956,195 |
Series 2021-EA Class A, 144A, 0.970%, 12/16/69@ | 3,216 | 2,887,475 |
Navient Student Loan Trust, | ||
Series 2016-5A Class A (1 M ICE LIBOR + 1.250%), 144A, 2.874%, 06/25/65@,• | 4,603 | 4,533,449 |
Series 2018-1A Class A2 (1 M ICE LIBOR + 0.350%) , 144A, 1.974%, 03/25/67@,• | 1,036 | 1,032,872 |
Ocean Trails CLO V, Series 2014-5A Class ARR (3 M ICE LIBOR + 1.280%, Floor 1.280%), 144A 2.301%, 10/13/31@,• | 1,966 | 1,922,490 |
OZLM XI Ltd., Series 2015-11A Class A2R (3 M ICE LIBOR + 1.750%), 144A 3.036%, 10/30/30@,• | 2,300 | 2,213,472 |
Shackleton CLO Ltd., Series 2013-3A (3 M ICE LIBOR + 1.200%, Floor 1.200%), 144A 2.164%, 07/15/30@,• | 1,492 | 1,470,655 |
Signal Peak CLO Ltd., Series 2018-6A Class B (3 M ICE LIBOR + 1.680%), 144A 2.918%, 07/28/31@,• | 2,000 | 1,928,428 |
SLM Student Loan Trust, Series 2014-2 Class A3 (1 M ICE LIBOR + 0.590%), 2.214%, 03/25/55• | 4,523 | 4,415,808 |
SMB Private Education Loan Trust, | ||
Series 2016-B Class A2B (1 M ICE LIBOR + 1.450%), 144A, 2.774%, 02/17/32@,• | 2,123 | 2,114,735 |
Series 2015-C Class A3 (1 M ICE LIBOR + 1.950%), 144A, 3.274%, 08/16/32@,• | 1,792 | 1,793,326 |
Series 2021-C Class B, 144A, 2.300%, 01/15/53@ | 2,539 | 2,264,085 |
Par (000) | Value† | |
ASSET BACKED SECURITIES — (continued) | ||
Sound Point CLO V-R Ltd., Series 2014-1RA Class B (3 M ICE LIBOR + 1.750%, Floor 1.750%), 144A 2.794%, 07/18/31@,• | $ 1,500 | $ 1,429,073 |
Steele Creek CLO Ltd., Series 2014-1RA Class B (3 M ICE LIBOR + 1.500%, Floor 1.500%), 144A 2.598%, 04/21/31@,• | 1,250 | 1,196,553 |
Trinitas CLO XII Ltd., Series 2020-12A Class C (3 M ICE LIBOR + 3.000%, Floor 3.000%), 144A 4.184%, 04/25/33@,• | 1,500 | 1,432,599 |
Trinitas CLO XIV Ltd., Series 2020-14A Class D (3 M ICE LIBOR + 4.300%, Floor 4.300%), 144A 5.484%, 01/25/34@,• | 2,000 | 1,901,450 |
Verizon Owner Trust, Series 2019-A Class A1A, 2.930%, 09/20/23 | 25 | 25,280 |
TOTAL ASSET BACKED SECURITIES (Cost $75,064,641) | 72,497,793 | |
COMMERCIAL MORTGAGE BACKED SECURITIES — 12.9% | ||
BHMS, Series 2018-ATLS Class B (1 M ICE LIBOR + 1.500%, Floor 1.500%), 144A 2.824%, 07/15/35@,• | 2,000 | 1,907,480 |
BX Commercial Mortgage Trust, Series 2019-XL Class B (1 M ICE LIBOR + 1.080%, Floor 1.080%), 144A 2.404%, 10/15/36@,• | 1,275 | 1,242,927 |
Citigroup Commercial Mortgage Trust, Series 2018-TBR Class D (1 M ICE LIBOR + 1.800%, Floor 1.800%), 144A 3.124%, 12/15/36@,• | 1,000 | 945,509 |
COMM Mortgage Trust, Series 2014-CR20 Class A3 3.326%, 11/10/47 | 2,715 | 2,664,371 |
FHLMC Multifamily Structured Pass Through Certificates, Series KC02 Class X3 3.173%, 08/25/25• | 14,500 | 1,008,787 |
FREMF Mortgage Trust, | ||
Series 2017-K727 Class C, 144A, 3.872%, 07/25/24@,• | 3,500 | 3,413,815 |
Series 2013-K25 Class C, 144A, 3.719%, 11/25/45@,• | 2,317 | 2,312,785 |
Series 2013-K27 Class C, 144A, 3.615%, 01/25/46@,• | 2,000 | 1,987,899 |
Series 2013-K35 Class B, 144A, 4.067%, 12/25/46@,• | 2,260 | 2,258,835 |
Par (000) | Value† | |
Series 2014-K37 Class C, 144A, 4.716%, 01/25/47@,• | $ 2,550 | $ 2,550,116 |
Series 2015-K44 Class B, 144A, 3.846%, 01/25/48@,• | 3,675 | 3,601,275 |
Series 2016-K53 Class B, 144A, 4.161%, 03/25/49@,• | 3,220 | 3,184,558 |
GS Mortgage Securities Corp. Trust, Series 2018-HULA Class B (1 M ICE LIBOR + 1.250%, Floor 1.250%), 144A 2.574%, 07/15/25@,• | 1,830 | 1,765,147 |
Hawaii Hotel Trust, Series 2019-MAUI Class C (1 M ICE LIBOR + 1.650%, Floor 1.650%), 144A 2.974%, 05/15/38@,• | 1,500 | 1,435,941 |
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $31,691,388) | 30,279,445 | |
CORPORATE BONDS — 38.3% | ||
Aerospace & Defense — 2.3% | ||
The Boeing Co. | ||
1.167%, 02/04/23 | 1,500 | 1,483,062 |
4.508%, 05/01/23 | 2,500 | 2,506,165 |
TransDigm, Inc., 144A 8.000%, 12/15/25@ | 1,500 | 1,516,880 |
5,506,107 | ||
Apparel — 0.6% | ||
Hanesbrands, Inc., 144A 4.625%, 05/15/24@ | 1,500 | 1,468,365 |
Auto Manufacturers — 2.9% | ||
BMW US Capital LLC, 144A 3.800%, 04/06/23@ | 2,250 | 2,260,217 |
Ford Motor Credit Co., LLC 2.300%, 02/10/25 | 2,250 | 2,018,624 |
General Motors Financial Co., Inc. 3.800%, 04/07/25 | 1,600 | 1,561,198 |
Volkswagen Group of America Finance LLC, 144A 4.250%, 11/13/23@ | 1,000 | 1,000,471 |
6,840,510 | ||
Banks — 4.9% | ||
Bank of America Corp., Series L 3.950%, 04/21/25 | 2,010 | 1,984,204 |
First Maryland Capital II (3 M ICE LIBOR + 0.850%) 2.136%, 02/01/27• | 3,500 | 3,280,358 |
JPMorgan Chase & Co., Series I (3 M ICE LIBOR + 3.470%) 4.709%µ,• | 1,022 | 977,236 |
State Street Corp. (3 M ICE LIBOR + 0.560%) 1.971%, 05/15/28• | 2,500 | 2,279,386 |
Par (000) | Value† | |
CORPORATE BONDS — (continued) | ||
Banks — (continued) | ||
Wells Fargo & Co. (3 M ICE LIBOR + 1.000%) 2.044%, 04/15/27• | $ 3,250 | $ 3,073,631 |
11,594,815 | ||
Beverages — 0.7% | ||
Coca-Cola Europacific Partners PLC, 144A 0.800%, 05/03/24@ | 1,750 | 1,655,365 |
Biotechnology — 0.5% | ||
Gilead Sciences, Inc. 0.750%, 09/29/23 | 1,124 | 1,088,228 |
Chemicals — 1.4% | ||
Westlake Corp. 0.875%, 08/15/24 | 1,500 | 1,432,919 |
WR Grace Holdings LLC, 144A 5.625%, 10/01/24@ | 2,000 | 1,937,620 |
3,370,539 | ||
Commercial Services — 0.8% | ||
Cintas Corp. No 2 3.450%, 05/01/25 | 1,750 | 1,745,630 |
Computers — 0.6% | ||
Hewlett Packard Enterprise Co. 1.450%, 04/01/24 | 1,500 | 1,440,763 |
Cosmetics & Personal Care — 0.6% | ||
GSK Consumer Healthcare Capital UK PLC, 144A 3.125%, 03/24/25@ | 1,500 | 1,462,041 |
Diversified Financial Services — 1.8% | ||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust 3.500%, 01/15/25 | 2,500 | 2,389,488 |
OneMain Finance Corp. 8.250%, 10/01/23 | 1,750 | 1,749,018 |
4,138,506 | ||
Electric — 7.1% | ||
American Electric Power Co., Inc. 2.031%, 03/15/24 | 2,500 | 2,420,140 |
CenterPoint Energy, Inc. (SOFR + 0.650%) 1.867%, 05/13/24• | 1,000 | 975,349 |
Edison International 3.125%, 11/15/22 | 1,000 | 998,351 |
Georgia Power Co., Series A 2.100%, 07/30/23 | 1,900 | 1,873,405 |
Niagara Mohawk Power Corp., 144A 3.508%, 10/01/24@ | 2,000 | 1,961,665 |
OGE Energy Corp. 0.703%, 05/26/23 | 3,000 | 2,923,339 |
Pacific Gas and Electric Co. 3.150%, 01/01/26 | 1,500 | 1,374,496 |
Par (000) | Value† | |
Electric — (continued) | ||
Southern California Edison Co., Series E 3.700%, 08/01/25 | $ 2,750 | $ 2,707,522 |
Vistra Operations Co., LLC, 144A 4.875%, 05/13/24@ | 1,500 | 1,492,277 |
16,726,544 | ||
Electronics — 0.6% | ||
TD SYNNEX Corp., 144A 1.250%, 08/09/24@ | 1,500 | 1,401,218 |
Entertainment — 0.6% | ||
Magallanes, Inc., 144A 3.638%, 03/15/25@ | 1,500 | 1,453,993 |
Food — 0.6% | ||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 144A 3.500%, 02/15/23@ | 1,300 | 1,284,556 |
Hand & Machine Tools — 0.6% | ||
Stanley Black & Decker, Inc. 2.300%, 02/24/25 | 1,500 | 1,452,928 |
Healthcare Products — 1.6% | ||
PerkinElmer, Inc. 0.850%, 09/15/24 | 1,000 | 926,418 |
Stryker Corp. 0.600%, 12/01/23 | 1,500 | 1,439,354 |
Zimmer Biomet Holdings, Inc. 1.450%, 11/22/24 | 1,500 | 1,413,522 |
3,779,294 | ||
Healthcare Services — 0.6% | ||
Tenet Healthcare Corp., 144A 4.625%, 09/01/24@ | 1,500 | 1,440,000 |
Lodging — 0.8% | ||
Hyatt Hotels Corp. 1.800%, 10/01/24 | 1,875 | 1,773,976 |
Machinery — Diversified — 0.9% | ||
CNH Industrial Capital LLC 1.950%, 07/02/23 | 2,250 | 2,199,317 |
Miscellaneous Manufacturing — 0.6% | ||
Parker-Hannifin Corp. 3.650%, 06/15/24 | 1,500 | 1,495,515 |
Oil & Gas — 0.8% | ||
Phillips 66 0.900%, 02/15/24 | 2,000 | 1,905,800 |
Packaging and Containers — 1.0% | ||
Ball Corp. 4.000%, 11/15/23 | 2,250 | 2,225,329 |
Par (000) | Value† | |
CORPORATE BONDS — (continued) | ||
Pharmaceuticals — 0.2% | ||
AbbVie, Inc. 2.300%, 11/21/22 | $ 500 | $ 499,019 |
Real Estate Investment Trusts — 1.4% | ||
SBA Tower Trust, 144A 1.884%, 07/15/50@ | 2,500 | 2,311,167 |
Simon Property Group LP 3.500%, 09/01/25 | 1,000 | 976,994 |
3,288,161 | ||
Semiconductors — 1.2% | ||
Qorvo, Inc., 144A 1.750%, 12/15/24@ | 1,500 | 1,401,180 |
Skyworks Solutions, Inc. 0.900%, 06/01/23 | 1,500 | 1,449,964 |
2,851,144 | ||
Software — 0.6% | ||
VMware, Inc. 1.000%, 08/15/24 | 1,500 | 1,404,439 |
Telecommunications — 2.0% | ||
Sprint Corp. 7.875%, 09/15/23 | 2,000 | 2,062,500 |
T-Mobile USA, Inc. 3.500%, 04/15/25 | 1,500 | 1,468,344 |
Verizon Communications, Inc. 1.450%, 03/20/26 | 1,250 | 1,144,681 |
4,675,525 | ||
TOTAL CORPORATE BONDS (Cost $94,204,290) | 90,167,627 | |
RESIDENTIAL MORTGAGE BACKED SECURITIES — 16.9% | ||
Collateralized Mortgage Obligations — 15.5% | ||
Angel Oak Mortgage Trust, Series 2020-1 Class A3, 144A 2.774%, 12/25/59@,• | 874 | 843,432 |
Bunker Hill Loan Depositary Trust, | ||
STEP, Series 2019-2 Class A3, 144A, 3.185%, 07/25/49@ | 2,207 | 2,178,493 |
Series 2020-1 Class M1, 144A, 4.353%, 02/25/55@,• | 2,250 | 2,177,273 |
Citigroup Mortgage Loan Trust, Series 2014-J1 Class A1, 144A 3.500%, 06/25/44@,• | 634 | 597,254 |
Flagstar Mortgage Trust, Series 2020-2 Class A4, 144A 3.000%, 08/25/50@,• | 1,483 | 1,344,712 |
GS Mortgage-Backed Securities Corp. Trust, Series 2020-PJ3 Class A13, 144A 2.500%, 10/25/50@,• | 1,441 | 1,247,231 |
GS Mortgage-Backed Securities Trust, Series 2021-PJ7 Class A8, 144A 2.500%, 01/25/52@,• | 4,338 | 3,936,303 |
Par (000) | Value† | |
Collateralized Mortgage Obligations — (continued) | ||
JP Morgan Mortgage Trust, | ||
Series 2017-3 Class 1A13, 144A, 3.500%, 08/25/47@,• | $ 3,160 | $ 2,993,039 |
Series 2019-6 Class B2, 144A, 4.238%, 12/25/49@,• | 3,026 | 2,864,066 |
Series 2019-9 Class A3, 144A, 3.500%, 05/25/50@,• | 1,420 | 1,320,766 |
OBX Trust, Series 2019-INV2 Class A5, 144A 4.000%, 05/27/49@,• | 300 | 292,390 |
Sequoia Mortgage Trust, Series 2021-5 Class A5, 144A 2.000%, 07/25/51@,• | 2,501 | 2,247,734 |
Towd Point Mortgage Trust, Series 2020-4 Class A2, 144A 2.500%, 10/25/60@ | 2,240 | 1,886,740 |
Verus Securitization Trust, | ||
Series 2019-INV2 Class A3, 144A, 3.219%, 07/25/59@,• | 1,672 | 1,667,269 |
Series 2019-INV3 Class A1, 144A, 2.692%, 11/25/59@,• | 2,215 | 2,163,196 |
Series 2020-INV1 Class A2, 144A, 3.035%, 03/25/60@,• | 1,200 | 1,171,091 |
Series 2020-2 Class M1, 144A, 5.360%, 05/25/60@,• | 1,150 | 1,131,021 |
Visio Trust, Series 2020-1R Class M1, 144A 2.926%, 11/25/55@ | 2,500 | 2,406,806 |
Vista Point Securitization Trust, Series 2020-1 Class M1, 144A 4.151%, 03/25/65@,• | 2,800 | 2,745,163 |
Wells Fargo Mortgage Backed Securities Trust, Series 2020-2 Class A1, 144A 3.000%, 12/25/49@,• | 1,360 | 1,214,543 |
36,428,522 | ||
Fannie Mae REMICS — 0.6% | ||
Series 2012-152 Class TA 2.500%, 09/25/42 | 1,622 | 1,457,188 |
Freddie Mac REMICS — 0.8% | ||
Series 4523 Class VB, 3.500%, 08/15/34 | 1,842 | 1,847,724 |
Series 4895 Class C, 4.500%, 02/15/49 | 168 | 172,389 |
2,020,113 | ||
TOTAL RESIDENTIAL MORTGAGE BACKED SECURITIES (Cost $43,112,756) | 39,905,823 |
Number of Shares | Value† | |
SHORT-TERM INVESTMENTS — 1.2% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 1.320%) (Cost $2,753,470) | 2,753,470 | $ 2,753,470 |
TOTAL INVESTMENTS — 100.1% (Cost $246,826,545) | $ 235,604,158 | |
Other Assets & Liabilities — (0.1)% | (167,768) | |
TOTAL NET ASSETS — 100.0% | $ 235,436,390 |
† | See Security Valuation Note. |
@ | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At June 30, 2022, the aggregate value of Rule 144A securities was $155,138,529, which represents 65.9% 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. |
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 6/30/2022†† | |
United States | 81% |
Cayman Islands | 17 |
United Kingdom | 1 |
Ireland | 1 |
Total | 100% |
†† | % of total investments as of June 30, 2022. |
ASSETS TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Asset Backed Securities | $ 72,497,793 | $ — | $ 72,497,793 | $— |
Commercial Mortgage Backed Securities | 30,279,445 | — | 30,279,445 | — |
Corporate Bonds | 90,167,627 | — | 90,167,627 | — |
Residential Mortgage Backed Securities | 39,905,823 | — | 39,905,823 | — |
Short-Term Investments | 2,753,470 | 2,753,470 | — | — |
Total Investments | $ 235,604,158 | $ 2,753,470 | $ 232,850,688 | $ — |
LIABILITIES TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Other Financial Instruments(1) | ||||
Futures Contracts | $(238,641) | $(238,641) | $— | $— |
Total Liabilities—Other Financial Instruments | $ (238,641) | $ (238,641) | $ — | $ — |
(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 | 09/30/22 | 197 | 2,000 | $105 | $41,373,078 | $— | $(238,641) | ||||||||
$— | $(238,641) |
Par (000) | Value† | |
ASSET BACKED SECURITIES — 19.0% | ||
ALM Ltd., Series 2020-1A Class A2 (3 M ICE LIBOR + 1.850%), 144A 2.894%, 10/15/29@,• | $ 3,000 | $ 2,919,903 |
AMMC CLO 16 Ltd., Series 2015-16A Class DR2 (3 M ICE LIBOR + 3.500%, Floor 3.500%), 144A 4.538%, 04/14/29@,• | 3,000 | 2,886,117 |
Battalion CLO XV Ltd., Series 2020-15A Class A1 (3 M ICE LIBOR + 1.350%, Floor 1.350%), 144A 2.394%, 01/17/33@,• | 4,000 | 3,906,164 |
Black Diamond CLO Ltd., Series 2019-2A Class A1A (3 M ICE LIBOR + 1.430%, Floor 1.430%), 144A 2.614%, 07/23/32@,• | 2,761 | 2,673,535 |
Deerpath Capital CLO Ltd., Series 2020-1A Class A1 (3 M ICE LIBOR + 1.850%, Floor 1.850%), 144A 2.894%, 04/17/32@,• | 2,500 | 2,470,283 |
ECMC Group Student Loan Trust, Series 2018-2A Class A (1 M ICE LIBOR + 0.800%, Floor 0.800%), 144A 2.424%, 09/25/68@,• | 3,163 | 3,092,478 |
First Eagle BSL CLO Ltd., Series 2019-1A Class B (3 M ICE LIBOR + 3.250%, Floor 3.250%), 144A 4.313%, 01/20/33@,• | 4,000 | 3,858,200 |
Fortress Credit BSL III Ltd., Series 2015-1A Class B1R (3 M ICE LIBOR + 1.730%, Floor 1.730%), 144A 2.774%, 04/18/31@,• | 3,000 | 2,850,021 |
Highbridge Loan Management Ltd., Series 2015-7A Class A2R (3 M ICE LIBOR + 0.900%), 144A 2.311%, 03/15/27@,• | 2,000 | 1,964,094 |
Honda Auto Receivables Owner Trust, Series 2020-1 Class A4, 1.630%, 10/21/26 | 3,000 | 2,953,361 |
Nassau Ltd., Series 2017-IA Class A1BR, 144A 2.730%, 10/15/29@ | 2,739 | 2,642,222 |
Ocean Trails CLO V, Series 2014-5A Class ARR (3 M ICE LIBOR + 1.280%, Floor 1.280%), 144A 2.301%, 10/13/31@,• | 2,457 | 2,403,113 |
OZLM XI Ltd., Series 2015-11A Class A2R (3 M ICE LIBOR + 1.750%), 144A 3.036%, 10/30/30@,• | 4,000 | 3,849,516 |
Par (000) | Value† | |
SLM Student Loan Trust, | ||
Series 2012-6 Class B (1 M ICE LIBOR + 1.000%), 2.624%, 04/27/43• | $ 4,860 | $ 4,240,993 |
Series 2014-2 Class A3 (1 M ICE LIBOR + 0.590%), 2.214%, 03/25/55• | 3,958 | 3,863,832 |
SMB Private Education Loan Trust, | ||
Series 2015-C Class A3 (1 M ICE LIBOR + 1.950%), 144A, 3.274%, 08/16/32@,• | 3,725 | 3,728,329 |
Series 2014-A Class B, 144A, 4.000%, 09/15/42@ | 2,430 | 2,350,039 |
Series 2015-C Class B, 144A, 3.500%, 09/15/43@ | 5,000 | 4,786,345 |
Steele Creek CLO Ltd., | ||
Series 2016-1A Class BR (3 M ICE LIBOR + 1.650%, Floor 1.650%), 144A, 3.479%, 06/15/31@,• | 3,250 | 3,070,961 |
Series 2018-2A Class A (3 M ICE LIBOR + 1.200%, Floor 1.200%), 144A, 2.655%, 08/18/31@,• | 4,500 | 4,391,527 |
Telos CLO Ltd., Series 2013-3A Class BR (3 M ICE LIBOR + 2.000%), 144A 3.044%, 07/17/26@,• | 964 | 962,164 |
Trimaran Cavu Ltd., Series 2019-1A Class C1 (3 M ICE LIBOR + 3.150%, Floor 3.150%), 144A 4.213%, 07/20/32@,• | 4,000 | 3,814,456 |
Trinitas CLO XII Ltd., Series 2020-12A Class C (3 M ICE LIBOR + 3.000%, Floor 3.000%), 144A 4.184%, 04/25/33@,• | 2,000 | 1,910,132 |
Trinitas CLO XIV Ltd., Series 2020-14A Class D (3 M ICE LIBOR + 4.300%, Floor 4.300%), 144A 5.484%, 01/25/34@,• | 2,500 | 2,376,813 |
TOTAL ASSET BACKED SECURITIES (Cost $76,540,822) | 73,964,598 | |
COMMERCIAL MORTGAGE BACKED SECURITIES — 19.5% | ||
Benchmark Mortgage Trust, Series 2019-B9 Class A5 4.016%, 03/15/52 | 5,000 | 4,916,163 |
BHMS, Series 2018-ATLS Class B (1 M ICE LIBOR + 1.500%, Floor 1.500%), 144A 2.824%, 07/15/35@,• | 2,000 | 1,907,480 |
COMM Mortgage Trust, Series 2014-CR20 Class A3 3.326%, 11/10/47 | 4,525 | 4,440,618 |
Par (000) | Value† | |
COMMERCIAL MORTGAGE BACKED SECURITIES — (continued) | ||
FHLMC Multifamily Structured Pass Through Certificates, | ||
Series K043 Class A2, 3.062%, 12/25/24 | $ 3,000 | $ 2,973,365 |
Series K094 Class A2, 2.903%, 06/25/29 | 2,000 | 1,926,125 |
Series K107 Class A1, 1.228%, 10/25/29 | 7,241 | 6,567,915 |
Fontainebleau Miami Beach Trust, Series 2019-FBLU Class B, 144A 3.447%, 12/10/36@ | 2,500 | 2,400,327 |
FREMF Mortgage Trust, | ||
Series 2018-K731 Class B, 144A, 4.071%, 02/25/25@,• | 6,610 | 6,560,198 |
Series 2019-K735 Class B, 144A, 4.156%, 05/25/26@,• | 6,000 | 5,903,451 |
Series 2019-K736 Class B, 144A, 3.884%, 07/25/26@,• | 1,500 | 1,458,764 |
Series 2012-K23 Class C, 144A, 3.752%, 10/25/45@,• | 3,000 | 2,997,485 |
Series 2013-K27 Class C, 144A, 3.615%, 01/25/46@,• | 3,647 | 3,624,934 |
Series 2015-K48 Class B, 144A, 3.769%, 08/25/48@,• | 5,000 | 4,875,496 |
Series 2016-K52 Class B, 144A, 4.062%, 01/25/49@,• | 5,065 | 4,987,757 |
Series 2016-K53 Class C, 144A, 4.161%, 03/25/49@,• | 3,525 | 3,403,958 |
Series 2017-K729 Class C, 144A, 3.797%, 11/25/49@,• | 2,460 | 2,388,889 |
Series 2017-K63 Class B, 144A, 4.008%, 02/25/50@,• | 1,500 | 1,455,139 |
Series 2018-K85 Class C, 144A, 4.464%, 12/25/50@,• | 3,500 | 3,332,169 |
Series 2019-K102 Class B, 144A, 3.652%, 12/25/51@,• | 5,000 | 4,590,556 |
Series 2019-K95 Class B, 144A, 4.054%, 08/25/52@,• | 2,500 | 2,367,133 |
Wells Fargo Commercial Mortgage Trust, Series 2019-C51 Class A3 3.055%, 06/15/52 | 3,000 | 2,780,419 |
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $80,699,039) | 75,858,341 |
Number of Shares | ||
PREFERRED STOCKS — 1.2% | ||
Banks — 0.3% | ||
Wells Fargo & Co., Series Z | 60,000 | 1,167,000 |
Number of Shares | Value† | |
Electric — 0.9% | ||
Duke Energy Corp. | 134,000 | $ 3,376,800 |
TOTAL PREFERRED STOCKS (Cost $5,084,700) | 4,543,800 |
Par (000) | ||
CORPORATE BONDS — 40.4% | ||
Aerospace & Defense — 1.6% | ||
General Dynamics Corp. 3.500%, 05/15/25 | $ 3,000 | 2,988,748 |
The Boeing Co. | ||
2.196%, 02/04/26 | 2,000 | 1,801,450 |
3.950%, 08/01/59 | 1,950 | 1,321,219 |
6,111,417 | ||
Agriculture — 0.8% | ||
Cargill, Inc., 144A 3.250%, 03/01/23@ | 3,000 | 3,002,369 |
Airlines — 0.4% | ||
Delta Air Lines Pass Through Trust, Series 2015-1 Class B 4.250%, 01/30/25 | 1,708 | 1,668,296 |
Apparel — 0.7% | ||
VF Corp. 2.800%, 04/23/27 | 3,000 | 2,817,408 |
Auto Manufacturers — 0.5% | ||
Ford Motor Credit Co., LLC 4.950%, 05/28/27 | 2,000 | 1,840,568 |
Banks — 4.3% | ||
Allfirst Preferred Capital Trust (3 M ICE LIBOR + 1.500%) 2.544%, 07/15/29• | 3,500 | 3,319,715 |
JPMorgan Chase & Co., | ||
Series B (3 M ICE LIBOR + 0.500%), 1.786%, 02/01/27• | 3,200 | 2,984,636 |
Series I (3 M ICE LIBOR + 3.470%), 4.709%µ,• | 2,000 | 1,912,400 |
KeyCorp Capital I (3 M ICE LIBOR + 0.740%) 3.017%, 07/01/28• | 2,640 | 2,409,926 |
State Street Corp. (3 M ICE LIBOR + 0.560%) 1.971%, 05/15/28• | 3,830 | 3,492,019 |
The Goldman Sachs Group, Inc. (SOFR + 1.248%) 2.383%, 07/21/32• | 3,000 | 2,433,564 |
16,552,260 | ||
Beverages — 1.1% | ||
Constellation Brands, Inc. 2.250%, 08/01/31 | 3,000 | 2,439,798 |
Par (000) | Value† | |
CORPORATE BONDS — (continued) | ||
Beverages — (continued) | ||
Keurig Dr Pepper, Inc. 2.250%, 03/15/31 | $ 2,000 | $ 1,647,139 |
4,086,937 | ||
Biotechnology — 0.6% | ||
Gilead Sciences, Inc. 1.650%, 10/01/30 | 3,000 | 2,464,663 |
Building Materials — 1.7% | ||
Martin Marietta Materials, Inc. 4.250%, 07/02/24 | 3,000 | 3,016,714 |
Vulcan Materials Co. 4.500%, 04/01/25 | 3,565 | 3,630,587 |
6,647,301 | ||
Chemicals — 0.7% | ||
WR Grace Holdings LLC, 144A 5.625%, 10/01/24@ | 3,000 | 2,906,430 |
Commercial Services — 1.2% | ||
The Georgetown University, Series B 4.315%, 04/01/49 | 2,485 | 2,305,371 |
University of Southern California 3.028%, 10/01/39 | 2,820 | 2,428,627 |
4,733,998 | ||
Computers — 1.2% | ||
Apple, Inc. 3.850%, 08/04/46 | 4,000 | 3,681,755 |
Dell International LLC/EMC Corp. 5.450%, 06/15/23 | 800 | 808,176 |
4,489,931 | ||
Diversified Financial Services — 1.4% | ||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust 3.000%, 10/29/28 | 3,000 | 2,531,621 |
OneMain Finance Corp. 8.250%, 10/01/23 | 3,000 | 2,998,317 |
5,529,938 | ||
Electric — 3.2% | ||
Edison International 3.550%, 11/15/24 | 2,000 | 1,953,106 |
Louisville Gas and Electric Co. 4.250%, 04/01/49 | 3,000 | 2,739,931 |
Monongahela Power Co., 144A 3.550%, 05/15/27@ | 2,500 | 2,381,829 |
Northern States Power Co. 3.600%, 09/15/47 | 4,000 | 3,380,653 |
Pacific Gas and Electric Co. 4.000%, 12/01/46 | 3,000 | 2,116,059 |
12,571,578 | ||
Food — 4.0% | ||
Kellogg Co. 2.650%, 12/01/23 | 2,501 | 2,478,356 |
Par (000) | Value† | |
Food — (continued) | ||
Kraft Heinz Foods Co. 4.375%, 06/01/46 | $ 3,000 | $ 2,514,526 |
Land O' Lakes, Inc., 144A 6.000%, 11/15/22@ | 3,500 | 3,509,348 |
Mars, Inc., 144A 1.625%, 07/16/32@ | 3,000 | 2,374,581 |
The Hershey Co. 1.700%, 06/01/30 | 2,200 | 1,844,521 |
The J.M. Smucker Co. 3.375%, 12/15/27 | 2,750 | 2,632,614 |
15,353,946 | ||
Gas — 0.6% | ||
The Brooklyn Union Gas Co., 144A 3.407%, 03/10/26@ | 2,500 | 2,397,416 |
Healthcare Products — 0.4% | ||
PerkinElmer, Inc. 2.250%, 09/15/31 | 2,000 | 1,584,841 |
Healthcare Services — 1.1% | ||
Centene Corp. | ||
4.625%, 12/15/29 | 1,000 | 927,703 |
2.500%, 03/01/31 | 2,000 | 1,587,520 |
Health Care Service Corp. A Mutual Legal Reserve Co., 144A 2.200%, 06/01/30@ | 2,000 | 1,699,862 |
4,215,085 | ||
Household Products & Wares — 1.1% | ||
Church & Dwight Co., Inc. 2.300%, 12/15/31 | 3,000 | 2,531,081 |
Kimberly-Clark Corp. 3.100%, 03/26/30 | 2,000 | 1,873,993 |
4,405,074 | ||
Internet — 0.9% | ||
Alibaba Group Holding Ltd. | ||
3.400%, 12/06/27 | 1,000 | 956,941 |
2.125%, 02/09/31 | 3,000 | 2,487,185 |
3,444,126 | ||
Investment Companies — 0.7% | ||
Ares Capital Corp. 2.875%, 06/15/28 | 3,500 | 2,777,663 |
Media — 0.8% | ||
Comcast Corp. 3.250%, 11/01/39 | 4,000 | 3,303,143 |
Pharmaceuticals — 3.6% | ||
Becton Dickinson and Co. 3.700%, 06/06/27 | 1,956 | 1,896,223 |
Bristol-Myers Squibb Co. 3.400%, 07/26/29 | 928 | 897,733 |
GlaxoSmithKline Capital, Inc. 5.375%, 04/15/34 | 1,000 | 1,101,415 |
Par (000) | Value† | |
CORPORATE BONDS — (continued) | ||
Pharmaceuticals — (continued) | ||
Johnson & Johnson 3.625%, 03/03/37 | $ 3,000 | $ 2,853,749 |
Mead Johnson Nutrition Co. 4.125%, 11/15/25 | 2,000 | 2,022,335 |
Merck & Co., Inc. 3.900%, 03/07/39 | 2,200 | 2,088,475 |
Zoetis, Inc. 4.500%, 11/13/25 | 3,000 | 3,041,545 |
13,901,475 | ||
Real Estate Investment Trusts — 1.1% | ||
Kimco Realty Corp. 2.800%, 10/01/26 | 3,000 | 2,809,620 |
SBA Tower Trust, 144A 1.884%, 07/15/50@ | 1,500 | 1,386,700 |
4,196,320 | ||
Retail — 0.3% | ||
AutoNation, Inc. 1.950%, 08/01/28 | 1,500 | 1,250,261 |
Semiconductors — 0.5% | ||
NXP BV/NXP Funding LLC/NXP USA, Inc. 3.150%, 05/01/27 | 2,000 | 1,856,066 |
Software — 1.4% | ||
Microsoft Corp. 3.750%, 02/12/45 | 1,900 | 1,770,412 |
Roper Technologies, Inc. 1.400%, 09/15/27 | 1,500 | 1,286,944 |
Salesforce.com, Inc. 2.700%, 07/15/41 | 3,000 | 2,331,863 |
5,389,219 | ||
Telecommunications — 3.2% | ||
Crown Castle Towers LLC, 144A 3.663%, 05/15/45@ | 4,000 | 3,915,693 |
Sprint Corp. 7.875%, 09/15/23 | 3,000 | 3,093,750 |
T-Mobile USA, Inc. 2.625%, 04/15/26 | 3,000 | 2,722,500 |
Verizon Communications, Inc. 2.100%, 03/22/28 | 3,000 | 2,670,308 |
12,402,251 | ||
Transportation — 1.3% | ||
BNSF Railway Co. Pass Through Trust, Series 2015-1, 144A 3.442%, 06/16/28@ | 2,210 | 2,157,134 |
Union Pacific Corp. 3.375%, 02/01/35 | 3,336 | 2,995,052 |
5,152,186 | ||
TOTAL CORPORATE BONDS (Cost $176,358,089) | 157,052,166 |
Par (000) | Value† | |
MUNICIPAL BONDS — 1.1% | ||
University of Massachusetts Building Authority, Series 3 2.417%, 11/01/28 (Cost $4,689,964) | $4,690 | $ 4,296,197 |
RESIDENTIAL MORTGAGE BACKED SECURITIES — 15.8% | ||
Collateralized Mortgage Obligations — 13.3% | ||
CIM Trust, Series 2020-INV1 Class A13, 144A 3.000%, 04/25/50@,• | 1,585 | 1,474,012 |
CSMC Trust, Series 2013-IVR2 Class A2, 144A 3.000%, 04/25/43@,• | 4,259 | 3,955,059 |
Fannie Mae Pool 3.000%, 03/01/52 | 6,556 | 6,121,608 |
GS Mortgage-Backed Securities Corp. Trust, Series 2020-PJ3 Class A13, 144A 2.500%, 10/25/50@,• | 2,820 | 2,440,581 |
J.P. Morgan Mortgage Trust, Series 2022-1 Class A3, 144A 2.500%, 07/25/52@,• | 4,812 | 4,119,986 |
JP Morgan Mortgage Trust, | ||
Series 2020-INV1 Class B1A, 144A, 2.964%, 08/25/50@,• | 4,797 | 4,116,266 |
Series 2021-1 Class A3, 144A, 2.500%, 06/25/51@,• | 5,422 | 4,643,036 |
Series 2021-1 Class A15, 144A, 2.500%, 06/25/51@,• | 4,054 | 3,409,953 |
Series 2021-7 Class A15, 144A, 2.500%, 11/25/51@,• | 5,280 | 4,428,941 |
Seasoned Credit Risk Transfer Trust, Series 2021-2 Class MBU 2.500%, 11/25/60 | 3,100 | 2,565,317 |
Sequoia Mortgage Trust, | ||
Series 2017-5 Class A1, 144A, 3.500%, 08/25/47@,• | 806 | 756,465 |
Series 2020-4 Class A20, 144A, 2.500%, 11/25/50@,• | 3,066 | 2,621,118 |
Series 2021-5 Class A5, 144A, 2.000%, 07/25/51@,• | 3,335 | 2,996,978 |
Towd Point Mortgage Trust, Series 2021-1 Class A2, 144A 2.750%, 11/25/61@,• | 2,500 | 2,148,012 |
Verus Securitization Trust, Series 2019-INV2 Class A3, 144A 3.219%, 07/25/59@,• | 2,483 | 2,476,427 |
Wells Fargo Mortgage Backed Securities Trust, Series 2020-3 Class A1, 144A 3.000%, 06/25/50@,• | 1,500 | 1,383,434 |
WinWater Mortgage Loan Trust, Series 2016-1 Class B3, 144A 3.790%, 01/20/46@,• | 2,136 | 2,027,554 |
51,684,747 |
Par (000) | Value† | |
RESIDENTIAL MORTGAGE BACKED SECURITIES — (continued) | ||
Fannie Mae Pool — 2.0% | ||
3.500%, 11/01/44 | $ 880 | $ 844,510 |
2.000%, 11/01/51 | 4,816 | 4,201,216 |
2.000%, 12/01/51 | 2,909 | 2,537,891 |
7,583,617 | ||
Freddie Mac REMICS — 0.5% | ||
Series 4523 Class VB 3.500%, 08/15/34 | 1,923 | 1,929,738 |
TOTAL RESIDENTIAL MORTGAGE BACKED SECURITIES (Cost $68,158,281) | 61,198,102 | |
U.S. TREASURY OBLIGATIONS — 2.9% | ||
U.S. Treasury Bills 2.000%, 07/31/22(a) | 600 | 600,421 |
U.S. Treasury Bonds | ||
1.125%, 08/15/40 | 4,300 | 2,988,836 |
2.750%, 08/15/42 | 1,800 | 1,623,797 |
2.875%, 05/15/43 | 2,275 | 2,086,424 |
U.S. Treasury Inflation Indexed Bonds | ||
1.000%, 02/15/46 | 2,135 | 2,053,705 |
0.125%, 02/15/51 | 2,221 | 1,744,261 |
TOTAL U.S. TREASURY OBLIGATIONS (Cost $12,937,862) | 11,097,444 |
Number of Shares | ||
SHORT-TERM INVESTMENTS — 0.6% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 1.320%) (Cost $2,287,154) | 2,287,154 | 2,287,154 |
TOTAL INVESTMENTS — 100.5% (Cost $426,755,911) | $ 390,297,802 | |
Other Assets & Liabilities — (0.5)% | (1,873,742) | |
TOTAL NET ASSETS — 100.0% | $ 388,424,060 |
† | See Security Valuation Note. |
@ | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At June 30, 2022, the aggregate value of Rule 144A securities was $183,889,332, which represents 47.3% 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. |
REMICS— Real Estate Mortgage Investment Conduits. |
SOFR— Secured Overnight Financing Rate. |
Country Weightings as of 6/30/2022†† | |
United States | 86% |
Cayman Islands | 12 |
China | 1 |
Ireland | 1 |
Total | 100% |
†† | % of total investments as of June 30, 2022. |
ASSETS TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Asset Backed Securities | $ 73,964,598 | $ — | $ 73,964,598 | $— |
Commercial Mortgage Backed Securities | 75,858,341 | — | 75,858,341 | — |
Preferred Stocks | 4,543,800 | 4,543,800 | — | — |
Corporate Bonds | 157,052,166 | — | 157,052,166 | — |
Municipal Bonds | 4,296,197 | — | 4,296,197 | — |
Residential Mortgage Backed Securities | 61,198,102 | — | 61,198,102 | — |
ASSETS TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
U.S. Treasury Obligations | $ 11,097,444 | $ 600,421 | $ 10,497,023 | $— |
Short-Term Investments | 2,287,154 | 2,287,154 | — | — |
Total Investments | $ 390,297,802 | $ 7,431,375 | $ 382,866,427 | $ — |
LIABILITIES TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Other Financial Instruments(1) | ||||
Futures Contracts | $(1,035,430) | $(1,035,430) | $— | $— |
Total Liabilities—Other Financial Instruments | $ (1,035,430) | $ (1,035,430) | $ — | $ — |
(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 | 09/30/22 | 518 | 2,000 | $105 | $108,788,094 | $— | $ (627,492) | ||||||||
Long | U.S. Treasury Ultra Bond | 09/21/22 | 109 | 1,000 | 154 | 16,823,469 | — | (407,938) | ||||||||
$— | $(1,035,430) |
Par (000) | Value† | |
ASSET BACKED SECURITIES — 0.7% | ||
Benefit Street Partners CLO II Ltd., Series 2013-IIA Class CR (3 M ICE LIBOR + 3.700%), 144A 4.744%, 07/15/29@,• (Cost $1,028,186) | $1,050 | $ 967,055 |
Number of Shares | ||
COMMON STOCKS — 0.0% | ||
Entertainment — 0.0% | ||
New Cotai Participation, Class B(1),* (Cost $24,225) | 1 | 0 |
PREFERRED STOCKS — 0.0% | ||
Packaging and Containers — 0.0% | ||
Smurfit-Stone Container Corp. (Escrow) CONV.(1),* (Cost $0) | 725 | 0 |
Par (000) | ||
CORPORATE BONDS — 91.6% | ||
Advertising — 0.6% | ||
Stagwell Global LLC, 144A 5.625%, 08/15/29@ | $ 1,050 | 843,707 |
Aerospace & Defense — 1.5% | ||
Howmet Aerospace, Inc. 6.875%, 05/01/25 | 700 | 717,500 |
TransDigm, Inc., 144A 6.250%, 03/15/26@ | 1,400 | 1,350,580 |
2,068,080 | ||
Airlines — 3.1% | ||
American Airlines Pass Through Trust, Series 2021-1 Class B 3.950%, 01/11/32 | 1,150 | 960,850 |
American Airlines, Inc./AAdvantage Loyalty IP Ltd., 144A 5.500%, 04/20/26@ | 1,050 | 964,724 |
Delta Air Lines, Inc./SkyMiles IP Ltd. | ||
144A, 4.500%, 10/20/25@ | 700 | 680,572 |
144A, 4.750%, 10/20/28@ | 700 | 662,148 |
United Airlines Pass Through Trust, | ||
Series 2020-1 Class B, 4.875%, 07/15/27 | 581 | 552,170 |
Series 2020-1 Class A, 5.875%, 04/15/29 | 593 | 582,913 |
4,403,377 | ||
Auto Manufacturers — 0.7% | ||
Ford Motor Credit Co., LLC 5.113%, 05/03/29 | 1,050 | 941,298 |
Par (000) | Value† | |
Auto Parts & Equipment — 1.2% | ||
Clarios Global LP/Clarios US Finance Co., 144A 6.250%, 05/15/26@ | $1,050 | $ 1,010,625 |
The Goodyear Tire & Rubber Co. 4.875%, 03/15/27 | 700 | 625,975 |
1,636,600 | ||
Building Materials — 1.3% | ||
Builders FirstSource, Inc., 144A 4.250%, 02/01/32@ | 1,050 | 799,228 |
Summit Materials LLC/Summit Materials Finance Corp., 144A 6.500%, 03/15/27@ | 1,100 | 1,060,863 |
1,860,091 | ||
Chemicals — 2.2% | ||
Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV, 144A 4.750%, 06/15/27@ | 700 | 624,224 |
Olin Corp. 5.000%, 02/01/30 | 910 | 785,967 |
Tronox, Inc., 144A 4.625%, 03/15/29@ | 1,050 | 845,031 |
WR Grace Holdings LLC, 144A 4.875%, 06/15/27@ | 1,050 | 913,752 |
3,168,974 | ||
Commercial Services — 6.6% | ||
Albion Financing 1 SARL/Aggreko Holdings, Inc., 144A 6.125%, 10/15/26@ | 700 | 599,079 |
ASGN, Inc., 144A 4.625%, 05/15/28@ | 700 | 602,000 |
Herc Holdings, Inc., 144A 5.500%, 07/15/27@ | 700 | 639,373 |
Korn Ferry, 144A 4.625%, 12/15/27@ | 700 | 628,250 |
Metis Merger Sub LLC, 144A 6.500%, 05/15/29@ | 1,050 | 834,445 |
NESCO Holdings II, Inc., 144A 5.500%, 04/15/29@ | 700 | 586,250 |
Nielsen Finance LLC/Nielsen Finance Co., 144A 5.625%, 10/01/28@ | 1,050 | 975,135 |
Service Corp. International | ||
7.500%, 04/01/27 | 1,750 | 1,854,839 |
4.000%, 05/15/31 | 700 | 597,625 |
Sotheby's/Bidfair Holdings, Inc., 144A 5.875%, 06/01/29@ | 700 | 600,926 |
United Rentals North America, Inc. 4.875%, 01/15/28 | 700 | 659,607 |
WASH Multifamily Acquisition, Inc., 144A 5.750%, 04/15/26@ | 875 | 824,687 |
9,402,216 |
Par (000) | Value† | |
CORPORATE BONDS — (continued) | ||
Computers — 0.9% | ||
Booz Allen Hamilton, Inc., 144A 4.000%, 07/01/29@ | $ 700 | $ 620,641 |
NCR Corp., 144A 5.750%, 09/01/27@ | 750 | 665,648 |
1,286,289 | ||
Cosmetics & Personal Care — 0.7% | ||
Coty, Inc., 144A 5.000%, 04/15/26@ | 1,120 | 1,026,200 |
Diversified Financial Services — 2.1% | ||
OneMain Finance Corp. 8.250%, 10/01/23 | 1,050 | 1,049,411 |
PRA Group, Inc., 144A 7.375%, 09/01/25@ | 1,050 | 1,021,125 |
VistaJet Malta Finance PLC/XO Management Holding, Inc., 144A 7.875%, 05/01/27@ | 1,050 | 926,625 |
2,997,161 | ||
Electric — 2.8% | ||
Calpine Corp., 144A 5.250%, 06/01/26@ | 700 | 665,000 |
FirstEnergy Corp., Class B 4.400%, 07/15/27 | 1,210 | 1,127,527 |
Vistra Corp. (UST Yield Curve CMT 5 Yr + 5.740%) , 144A 7.000%@,µ,• | 1,050 | 952,875 |
Vistra Operations Co., LLC, 144A 5.000%, 07/31/27@ | 1,400 | 1,268,750 |
4,014,152 | ||
Electrical Components & Equipment — 0.7% | ||
WESCO Distribution, Inc. | ||
144A, 7.125%, 06/15/25@ | 350 | 347,972 |
144A, 7.250%, 06/15/28@ | 700 | 692,300 |
1,040,272 | ||
Electronics — 0.8% | ||
Imola Merger Corp., 144A 4.750%, 05/15/29@ | 1,400 | 1,171,324 |
Entertainment — 4.2% | ||
Affinity Gaming, 144A 6.875%, 12/15/27@ | 1,200 | 1,008,048 |
Caesars Entertainment, Inc., 144A 6.250%, 07/01/25@ | 1,050 | 1,007,454 |
CDI Escrow Issuer, Inc., 144A 5.750%, 04/01/30@ | 700 | 644,203 |
Churchill Downs, Inc., 144A 5.500%, 04/01/27@ | 750 | 712,500 |
Everi Holdings, Inc., 144A 5.000%, 07/15/29@ | 700 | 591,500 |
International Game Technology PLC, 144A 6.500%, 02/15/25@ | 700 | 696,500 |
Par (000) | Value† | |
Entertainment — (continued) | ||
Scientific Games International, Inc., 144A 7.000%, 05/15/28@ | $ 1,400 | $ 1,322,580 |
5,982,785 | ||
Environmental Control — 0.5% | ||
Clean Harbors, Inc., 144A 4.875%, 07/15/27@ | 750 | 686,250 |
Food — 3.0% | ||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 144A 4.625%, 01/15/27@ | 1,050 | 937,986 |
Performance Food Group, Inc., 144A 5.500%, 10/15/27@ | 1,105 | 1,022,948 |
Pilgrim's Pride Corp., 144A 5.875%, 09/30/27@ | 700 | 670,250 |
Post Holdings, Inc., 144A 5.750%, 03/01/27@ | 354 | 342,937 |
SEG Holding LLC/SEG Finance Corp., 144A 5.625%, 10/15/28@ | 700 | 627,270 |
United Natural Foods, Inc., 144A 6.750%, 10/15/28@ | 700 | 654,148 |
4,255,539 | ||
Food Service — 0.7% | ||
Aramark Services, Inc., 144A 6.375%, 05/01/25@ | 1,050 | 1,027,268 |
Gas — 0.6% | ||
NiSource, Inc. (UST Yield Curve CMT 5 Yr + 2.843%) 5.650%µ,• | 1,000 | 899,970 |
Healthcare Products — 1.4% | ||
Avantor Funding, Inc., 144A 4.625%, 07/15/28@ | 1,100 | 1,008,370 |
Medline Borrower LP, 144A 3.875%, 04/01/29@ | 1,050 | 895,335 |
1,903,705 | ||
Healthcare Services — 8.9% | ||
Acadia Healthcare Co., Inc., 144A 5.500%, 07/01/28@ | 1,400 | 1,308,083 |
Catalent Pharma Solutions, Inc., 144A 5.000%, 07/15/27@ | 1,160 | 1,087,826 |
Centene Corp. | ||
4.250%, 12/15/27 | 1,050 | 977,182 |
4.625%, 12/15/29 | 1,050 | 974,088 |
Charles River Laboratories International, Inc., 144A 4.250%, 05/01/28@ | 1,050 | 943,226 |
CHS/Community Health Systems, Inc., 144A 8.000%, 12/15/27@ | 1,400 | 1,271,354 |
Par (000) | Value† | |
CORPORATE BONDS — (continued) | ||
Healthcare Services — (continued) | ||
Encompass Health Corp. 4.750%, 02/01/30 | $ 700 | $ 585,157 |
HCA, Inc. 5.875%, 02/15/26 | 1,575 | 1,582,922 |
IQVIA, Inc., 144A 5.000%, 10/15/26@ | 1,000 | 952,330 |
Select Medical Corp., 144A 6.250%, 08/15/26@ | 700 | 653,422 |
Tenet Healthcare Corp. | ||
144A, 5.125%, 11/01/27@ | 1,400 | 1,260,000 |
6.875%, 11/15/31 | 1,050 | 933,855 |
12,529,445 | ||
Home Builders — 0.6% | ||
Williams Scotsman International, Inc., 144A 4.625%, 08/15/28@ | 1,050 | 895,125 |
Insurance — 0.4% | ||
AmWINS Group, Inc., 144A 4.875%, 06/30/29@ | 700 | 573,274 |
Internet — 0.9% | ||
Go Daddy Operating Co., LLC/GD Finance Co., Inc., 144A 5.250%, 12/01/27@ | 1,400 | 1,281,000 |
Leisure Time — 2.0% | ||
Carnival Corp., 144A 9.875%, 08/01/27@ | 1,050 | 1,017,187 |
Royal Caribbean Cruises Ltd. | ||
144A, 10.875%, 06/01/23@ | 1,050 | 1,050,210 |
144A, 11.500%, 06/01/25@ | 700 | 719,250 |
2,786,647 | ||
Lodging — 1.4% | ||
Boyd Gaming Corp., 144A 4.750%, 06/15/31@ | 700 | 591,514 |
Hilton Domestic Operating Co., Inc., 144A 4.000%, 05/01/31@ | 700 | 581,700 |
Station Casinos LLC, 144A 4.625%, 12/01/31@ | 1,050 | 819,000 |
1,992,214 | ||
Machinery — Diversified — 0.8% | ||
Stevens Holding Co., Inc., 144A 6.125%, 10/01/26@ | 1,200 | 1,158,000 |
Media — 4.8% | ||
CCO Holdings LLC/CCO Holdings Capital Corp., 144A 5.375%, 06/01/29@ | 797 | 712,319 |
CSC Holdings LLC, 144A 6.500%, 02/01/29@ | 700 | 630,105 |
Par (000) | Value† | |
Media — (continued) | ||
Directv Financing LLC/Directv Financing Co-Obligor, Inc., 144A 5.875%, 08/15/27@ | $ 1,050 | $ 902,575 |
Gray Television, Inc., 144A 7.000%, 05/15/27@ | 1,400 | 1,341,900 |
iHeartCommunications, Inc., 144A 5.250%, 08/15/27@ | 700 | 599,081 |
Nexstar Media, Inc., 144A 5.625%, 07/15/27@ | 1,050 | 958,125 |
Sirius XM Radio, Inc., 144A 5.500%, 07/01/29@ | 1,050 | 956,812 |
Univision Communications, Inc., 144A 7.375%, 06/30/30@ | 700 | 687,162 |
6,788,079 | ||
Mining — 1.6% | ||
FMG Resources August 2006 Pty Ltd., 144A 5.875%, 04/15/30@ | 1,050 | 952,340 |
Freeport-McMoRan, Inc. 5.000%, 09/01/27 | 700 | 694,540 |
Novelis Corp., 144A 4.750%, 01/30/30@ | 700 | 581,826 |
2,228,706 | ||
Oil & Gas — 9.4% | ||
Antero Resources Corp., 144A 8.375%, 07/15/26@ | 1,050 | 1,110,375 |
Ascent Resources Utica Holdings LLC/ARU Finance Corp., 144A 8.250%, 12/31/28@ | 1,050 | 1,000,426 |
Callon Petroleum Co. 6.375%, 07/01/26 | 700 | 645,750 |
Chesapeake Energy Corp., 144A 5.875%, 02/01/29@ | 1,850 | 1,744,550 |
Comstock Resources, Inc., 144A 6.750%, 03/01/29@ | 1,400 | 1,253,602 |
Encino Acquisition Partners Holdings LLC, 144A 8.500%, 05/01/28@ | 1,050 | 991,093 |
Endeavor Energy Resources LP/EER Finance, Inc., 144A 5.750%, 01/30/28@ | 1,050 | 994,875 |
Occidental Petroleum Corp. 8.500%, 07/15/27 | 1,491 | 1,640,726 |
Parkland Corp., 144A 5.875%, 07/15/27@ | 1,150 | 1,043,625 |
Range Resources Corp. 8.250%, 01/15/29 | 1,400 | 1,428,980 |
Southwestern Energy Co. 8.375%, 09/15/28 | 1,400 | 1,475,250 |
13,329,252 | ||
Packaging and Containers — 4.8% | ||
Ball Corp. 3.125%, 09/15/31 | 1,050 | 843,938 |
Par (000) | Value† | |
CORPORATE BONDS — (continued) | ||
Packaging and Containers — (continued) | ||
Berry Global, Inc., 144A 5.625%, 07/15/27@ | $ 750 | $ 715,193 |
Mauser Packaging Solutions Holding Co., 144A 8.500%, 04/15/24@ | 1,575 | 1,552,225 |
OI European Group BV, 144A 4.750%, 02/15/30@ | 880 | 737,000 |
Sealed Air Corp., 144A 5.000%, 04/15/29@ | 700 | 654,500 |
TriMas Corp., 144A 4.125%, 04/15/29@ | 700 | 597,569 |
Trivium Packaging Finance BV | ||
144A, 5.500%, 08/15/26@ | 1,050 | 987,704 |
144A, 8.500%, 08/15/27@ | 700 | 656,348 |
6,744,477 | ||
Pharmaceuticals — 2.7% | ||
Elanco Animal Health, Inc. 6.400%, 08/28/28 | 1,050 | 999,495 |
Jazz Securities DAC, 144A 4.375%, 01/15/29@ | 1,400 | 1,241,996 |
Organon & Co./Organon Foreign Debt Co-Issuer BV, 144A 5.125%, 04/30/31@ | 1,050 | 912,209 |
Owens & Minor, Inc., 144A 6.625%, 04/01/30@ | 700 | 637,862 |
3,791,562 | ||
Pipelines — 5.1% | ||
Cheniere Energy, Inc. 4.625%, 10/15/28 | 1,400 | 1,260,798 |
DCP Midstream Operating LP 5.625%, 07/15/27 | 700 | 677,996 |
EQM Midstream Partners LP, 144A 4.750%, 01/15/31@ | 700 | 558,250 |
Hess Midstream Operations LP, 144A 5.500%, 10/15/30@ | 700 | 628,250 |
Holly Energy Partners LP/Holly Energy Finance Corp, 144A 6.375%, 04/15/27@ | 700 | 659,750 |
Howard Midstream Energy Partners LLC, 144A 6.750%, 01/15/27@ | 700 | 603,570 |
New Fortress Energy, Inc., 144A 6.500%, 09/30/26@ | 700 | 633,643 |
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 144A 7.500%, 10/01/25@ | 1,400 | 1,354,944 |
Western Midstream Operating LP 5.300%, 03/01/48 | 1,050 | 846,457 |
7,223,658 | ||
Real Estate — 1.0% | ||
Greystar Real Estate Partners LLC, 144A 5.750%, 12/01/25@ | 750 | 709,913 |
Par (000) | Value† | |
Real Estate — (continued) | ||
The Howard Hughes Corp., 144A 5.375%, 08/01/28@ | $ 875 | $ 732,812 |
1,442,725 | ||
Real Estate Investment Trusts — 1.6% | ||
MPT Operating Partnership LP/MPT Finance Corp. 5.000%, 10/15/27 | 1,050 | 960,403 |
VICI Properties LP/VICI Note Co., Inc., 144A 5.750%, 02/01/27@ | 1,350 | 1,281,015 |
2,241,418 | ||
Retail — 2.9% | ||
Asbury Automotive Group, Inc., 144A 4.625%, 11/15/29@ | 700 | 578,375 |
Bath & Body Works, Inc., 144A 6.625%, 10/01/30@ | 700 | 598,729 |
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc., 144A 4.625%, 01/15/29@ | 1,050 | 895,125 |
Lithia Motors, Inc., 144A 4.625%, 12/15/27@ | 1,050 | 961,812 |
Murphy Oil USA, Inc. 5.625%, 05/01/27 | 1,050 | 1,029,000 |
4,063,041 | ||
Semiconductors — 0.7% | ||
Sensata Technologies BV, 144A 5.625%, 11/01/24@ | 1,000 | 987,160 |
Software — 2.0% | ||
ACI Worldwide, Inc., 144A 5.750%, 08/15/26@ | 750 | 723,952 |
Consensus Cloud Solutions, Inc., 144A 6.500%, 10/15/28@ | 1,050 | 866,460 |
MSCI, Inc., 144A 3.875%, 02/15/31@ | 1,400 | 1,197,000 |
2,787,412 | ||
Telecommunications — 4.0% | ||
Connect Finco SARL/Connect US Finco LLC, 144A 6.750%, 10/01/26@ | 1,050 | 938,438 |
Frontier Communications Holdings LLC, 144A 5.875%, 10/15/27@ | 1,400 | 1,259,889 |
Hughes Satellite Systems Corp. 5.250%, 08/01/26 | 1,000 | 925,920 |
Level 3 Financing, Inc., 144A 4.625%, 09/15/27@ | 1,050 | 895,125 |
Sprint Corp. 7.625%, 02/15/25 | 700 | 729,902 |
Viasat, Inc., 144A 5.625%, 04/15/27@ | 1,050 | 908,965 |
5,658,239 |
Par (000) | Value† | |
CORPORATE BONDS — (continued) | ||
Transportation — 0.4% | ||
Seaspan Corp., 144A 5.500%, 08/01/29@ | $ 700 | $ 558,686 |
TOTAL CORPORATE BONDS (Cost $141,953,927) | 129,675,378 | |
LOAN AGREEMENTS‡ — 1.7% | ||
Apparel — 0.8% | ||
Crocs, Inc. (1 M SOFR + 3.500%) 4.448%, 02/20/29• | 1,222 | 1,109,678 |
Entertainment — 0.5% | ||
Scientific Games International, Inc. (1 M SOFR + 3.000%) 4.357%, 04/13/29• | 700 | 663,250 |
Healthcare Products — 0.4% | ||
Bausch & Lomb Corp. (1 M SOFR + 3.250%) 4.549%, 05/10/27• | 700 | 650,300 |
TOTAL LOAN AGREEMENTS (Cost $2,599,314) | 2,423,228 |
Number of Shares | ||
SHORT-TERM INVESTMENTS — 5.1% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 1.320%) (Cost $7,260,366) | 7,260,366 | 7,260,366 |
TOTAL INVESTMENTS — 99.1% (Cost $152,866,018) | $ 140,326,027 | |
Other Assets & Liabilities — 0.9% | 1,316,434 | |
TOTAL NET ASSETS — 100.0% | $ 141,642,461 |
† | See Security Valuation Note. |
@ | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At June 30, 2022, the aggregate value of Rule 144A securities was $100,074,422, which represents 70.7% 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 June 30, 2022. 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. |
ICE— Intercontinental Exchange. |
LIBOR— London Interbank Offered Rate. |
LLC— Limited Liability Company. |
LP— Limited Partnership. |
M— Month. |
MSCI— Morgan Stanley Capital International. |
PLC— Public Limited Company. |
SOFR— Secured Overnight Financing Rate. |
UST— US Treasury. |
Yr— Year. |
Country Weightings as of 6/30/2022†† | |
United States | 92% |
Netherlands | 2 |
Canada | 1 |
Luxembourg | 1 |
Ireland | 1 |
Cayman Islands | 1 |
Australia | 1 |
Malta | 1 |
Total | 100% |
†† | % of total investments as of June 30, 2022. |
ASSETS TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input^ |
Asset Backed Securities | $ 967,055 | $ — | $ 967,055 | $— |
Common Stocks | — | — | — | — (1) |
Preferred Stocks | — | — | — | — (1) |
Corporate Bonds | 129,675,378 | — | 129,675,378 | — |
Loan Agreements | 2,423,228 | — | 2,423,228 | — |
Short-Term Investments | 7,260,366 | 7,260,366 | — | — |
Total Investments | $ 140,326,027 | $ 7,260,366 | $ 133,065,661 | $ — |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
^ | 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. |
Par (000) | Value† | |
ASSET BACKED SECURITIES — 0.3% | ||
Domino's Pizza Master Issuer LLC, | ||
Series 2017-1A A23, 144A, 4.118%, 07/25/47@ | $4,802 | $ 4,588,741 |
Series 2018-1A A2I, 144A, 4.116%, 07/25/48@ | 4,511 | 4,398,460 |
Series 2019-1A A2, 144A, 3.668%, 10/25/49@ | 2,165 | 1,959,795 |
United Airlines Pass Through Trust, Series 2012-1, Class A, 4.150%, 10/11/25 | 1,231 | 1,208,661 |
TOTAL ASSET BACKED SECURITIES (Cost $12,668,264) | 12,155,657 |
Number of Shares | ||
COMMON STOCKS — 67.0% | ||
Aerospace & Defense — 0.6% | ||
Teledyne Technologies, Inc.* | 75,304 | 28,247,283 |
Auto Parts & Equipment — 0.1% | ||
Aurora Innovation, Inc.* | 2,673,617 | 5,106,609 |
Banks — 2.6% | ||
The PNC Financial Services Group, Inc. | 760,956 | 120,056,028 |
Beverages — 0.7% | ||
Keurig Dr Pepper, Inc. | 910,344 | 32,217,074 |
Chemicals — 0.3% | ||
Linde PLC | 42,851 | 12,320,948 |
Commercial Services — 2.6% | ||
Equifax, Inc. | 26,863 | 4,910,019 |
S&P Global, Inc. | 157,752 | 53,171,889 |
TransUnion | 769,235 | 61,531,108 |
119,613,016 | ||
Computers — 2.9% | ||
Apple, Inc. | 978,136 | 133,730,754 |
Diversified Financial Services — 2.8% | ||
Intercontinental Exchange, Inc. | 735,800 | 69,194,632 |
Mastercard, Inc., Class A | 69,300 | 21,862,764 |
Visa, Inc., Class A | 175,100 | 34,475,439 |
125,532,835 | ||
Electric — 1.4% | ||
Ameren Corp. | 408,047 | 36,871,127 |
CMS Energy Corp. | 304,601 | 20,560,567 |
Public Service Enterprise Group, Inc. | 81,900 | 5,182,632 |
62,614,326 | ||
Electronics — 4.5% | ||
Fortive Corp. | 1,824,992 | 99,243,065 |
TE Connectivity Ltd. | 951,222 | 107,630,769 |
206,873,834 |
Number of Shares | Value† | |
Environmental Control — 1.4% | ||
Waste Connections, Inc. | 528,117 | $ 65,465,383 |
Healthcare Products — 10.2% | ||
Alcon, Inc. | 546,619 | 38,180,019 |
Avantor, Inc.* | 747,641 | 23,251,635 |
Baxter International, Inc. | 12,440 | 799,021 |
Danaher Corp. | 487,538 | 123,600,634 |
Hologic, Inc.* | 67,200 | 4,656,960 |
PerkinElmer, Inc. | 744,772 | 105,921,474 |
Teleflex, Inc. | 121,116 | 29,776,368 |
The Cooper Cos., Inc. | 11,716 | 3,668,514 |
Thermo Fisher Scientific, Inc. | 248,060 | 134,766,037 |
464,620,662 | ||
Healthcare Services — 3.0% | ||
Catalent, Inc.* | 277,278 | 29,749,157 |
Humana, Inc. | 41,563 | 19,454,393 |
UnitedHealth Group, Inc. | 173,135 | 88,927,330 |
138,130,880 | ||
Insurance — 1.3% | ||
Marsh & McLennan Cos., Inc. | 390,677 | 60,652,604 |
Internet — 6.8% | ||
Alphabet, Inc., Class A* | 25,770 | 56,159,530 |
Alphabet, Inc., Class C* | 33,900 | 74,154,555 |
Amazon.com, Inc.* | 1,471,528 | 156,290,989 |
Meta Platforms, Inc., Class A* | 136,059 | 21,939,514 |
308,544,588 | ||
Machinery — Diversified — 1.5% | ||
Ingersoll Rand, Inc. | 1,610,970 | 67,789,618 |
Miscellaneous Manufacturing — 3.1% | ||
General Electric Co. | 2,211,261 | 140,790,988 |
Oil & Gas — 0.5% | ||
EOG Resources, Inc. | 85,100 | 9,398,444 |
Pioneer Natural Resources Co. | 64,000 | 14,277,120 |
23,675,564 | ||
Pharmaceuticals — 2.0% | ||
Becton Dickinson and Co. | 373,468 | 92,071,066 |
Embecta Corp.* | 5,840 | 147,869 |
92,218,935 | ||
Retail — 3.9% | ||
Starbucks Corp. | 392,900 | 30,013,631 |
Yum! Brands, Inc. | 1,303,450 | 147,954,610 |
177,968,241 | ||
Semiconductors — 4.2% | ||
NVIDIA Corp. | 297,100 | 45,037,389 |
NXP Semiconductors N.V. | 460,598 | 68,182,322 |
Texas Instruments, Inc. | 524,302 | 80,559,002 |
193,778,713 | ||
Software — 10.6% | ||
Microsoft Corp. | 1,245,021 | 319,758,744 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Software — (continued) | ||
MSCI, Inc. | 108,872 | $ 44,871,595 |
Roper Technologies, Inc. | 161,749 | 63,834,243 |
Salesforce.com, Inc.* | 352,534 | 58,182,211 |
486,646,793 | ||
TOTAL COMMON STOCKS (Cost $3,184,820,641) | 3,066,595,676 | |
PREFERRED STOCKS — 1.0% | ||
Auto Manufacturers — 0.5% | ||
Waymo LLC, Series A-2, CONV(1),*,# | 245,568 | 22,523,988 |
Diversified Financial Services — 0.0% | ||
The Charles Schwab Corp., Series Dµ | 12,000 | 299,400 |
Electric — 0.5% | ||
CMS Energy Corp., 2078 | 334,981 | 7,811,757 |
CMS Energy Corp., 2079 | 419,721 | 9,997,754 |
SCE Trust IV, Series J (3 M ICE LIBOR + 3.132%)µ,• | 242,585 | 4,875,959 |
22,685,470 | ||
Gas — 0.0% | ||
NiSource, Inc., Series B (UST Yield Curve CMT 5 Yr + 3.632%)µ,• | 95,625 | 2,495,812 |
TOTAL PREFERRED STOCKS (Cost $48,709,036) | 48,004,670 |
Par (000) | ||
CORPORATE BONDS — 7.7% | ||
Advertising — 0.1% | ||
Lamar Media Corp. | ||
3.750%, 02/15/28 | $ 2,569 | 2,255,825 |
3.625%, 01/15/31 | 435 | 356,013 |
2,611,838 | ||
Aerospace & Defense — 0.1% | ||
Howmet Aerospace, Inc. 3.000%, 01/15/29 | 1,990 | 1,656,964 |
TransDigm UK Holdings PLC 6.875%, 05/15/26 | 490 | 456,925 |
TransDigm, Inc. | ||
144A, 6.250%, 03/15/26@ | 1,325 | 1,278,227 |
6.375%, 06/15/26 | 595 | 556,325 |
5.500%, 11/15/27 | 1,325 | 1,121,281 |
5,069,722 | ||
Airlines — 0.3% | ||
Delta Air Lines, Inc./SkyMiles IP Ltd. | ||
144A, 4.500%, 10/20/25@ | 6,556 | 6,373,620 |
144A, 4.750%, 10/20/28@ | 4,165 | 3,939,778 |
Par (000) | Value† | |
Airlines — (continued) | ||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 144A 6.500%, 06/20/27@ | $4,500 | $ 4,422,600 |
U.S. Airways Pass Through Trust, | ||
Series 2010-1 Class A, 6.250%, 10/22/24 | 716 | 712,674 |
Series 2012-2 Class A, 4.625%, 12/03/26 | 133 | 122,383 |
Series 2013-1 Class B, 3.950%, 05/15/27 | 2 | 2,169 |
15,573,224 | ||
Auto Parts & Equipment — 0.2% | ||
Clarios Global LP, 144A 6.750%, 05/15/25@ | 1,714 | 1,697,631 |
Clarios Global LP/Clarios US Finance Co. | ||
144A, 6.250%, 05/15/26@ | 2,304 | 2,217,600 |
144A, 8.500%, 05/15/27@ | 7,465 | 7,214,736 |
11,129,967 | ||
Banks — 0.0% | ||
State Street Corp., Series F (3 M ICE LIBOR + 3.597%) 5.426%µ,• | 1,454 | 1,417,143 |
Building Materials — 0.0% | ||
Lennox International, Inc. 3.000%, 11/15/23 | 760 | 752,348 |
Commercial Services — 0.1% | ||
CoreLogic, Inc., 144A 4.500%, 05/01/28@ | 1,325 | 1,020,250 |
Gartner, Inc. | ||
144A, 4.500%, 07/01/28@ | 660 | 606,015 |
144A, 3.625%, 06/15/29@ | 900 | 779,733 |
144A, 3.750%, 10/01/30@ | 1,095 | 945,089 |
Korn Ferry, 144A 4.625%, 12/15/27@ | 1,405 | 1,260,988 |
4,612,075 | ||
Computers — 0.0% | ||
Booz Allen Hamilton, Inc., 144A 3.875%, 09/01/28@ | 960 | 849,600 |
Electronics — 0.1% | ||
Sensata Technologies BV, 144A 4.000%, 04/15/29@ | 1,850 | 1,568,948 |
Sensata Technologies, Inc., 144A 3.750%, 02/15/31@ | 900 | 721,314 |
2,290,262 | ||
Entertainment — 1.4% | ||
Cedar Fair LP 5.250%, 07/15/29 | 8,321 | 7,338,113 |
Par (000) | Value† | |
CORPORATE BONDS — (continued) | ||
Entertainment — (continued) | ||
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. | ||
144A, 5.500%, 05/01/25@ | $ 3,515 | $ 3,409,550 |
5.375%, 04/15/27 | 10,085 | 9,557,353 |
6.500%, 10/01/28 | 6,445 | 6,117,442 |
Live Nation Entertainment, Inc., 144A 4.875%, 11/01/24@ | 375 | 358,125 |
Six Flags Entertainment Corp. | ||
144A, 4.875%, 07/31/24@ | 20,988 | 19,938,600 |
144A, 5.500%, 04/15/27@ | 13,244 | 11,932,122 |
Six Flags Theme Parks, Inc., 144A 7.000%, 07/01/25@ | 6,684 | 6,766,414 |
65,417,719 | ||
Gas — 0.1% | ||
NiSource, Inc. (UST Yield Curve CMT 5 Yr + 2.843%) 5.650%µ,• | 5,825 | 5,242,323 |
Healthcare Products — 0.3% | ||
Avantor Funding, Inc. | ||
144A, 4.625%, 07/15/28@ | 7,121 | 6,527,821 |
144A, 3.875%, 11/01/29@ | 785 | 686,600 |
Hologic, Inc., 144A 3.250%, 02/15/29@ | 810 | 692,307 |
Teleflex, Inc. | ||
4.625%, 11/15/27 | 3,795 | 3,500,887 |
144A, 4.250%, 06/01/28@ | 560 | 506,929 |
11,914,544 | ||
Healthcare Services — 0.4% | ||
Catalent Pharma Solutions, Inc. | ||
144A, 5.000%, 07/15/27@ | 560 | 525,157 |
144A, 3.125%, 02/15/29@ | 2,206 | 1,808,846 |
144A, 3.500%, 04/01/30@ | 1,165 | 950,558 |
Hadrian Merger Sub, Inc., 144A 8.500%, 05/01/26@ | 6,996 | 6,611,220 |
IQVIA, Inc., 144A 5.000%, 05/15/27@ | 1,795 | 1,704,739 |
Surgery Center Holdings, Inc., 144A 10.000%, 04/15/27@ | 4,909 | 4,755,077 |
16,355,597 | ||
Insurance — 1.2% | ||
Acrisure LLC/Acrisure Finance, Inc., 144A 7.000%, 11/15/25@ | 8,275 | 7,442,804 |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer | ||
144A, 4.250%, 10/15/27@ | 1,500 | 1,298,356 |
144A, 6.750%, 10/15/27@ | 2,700 | 2,395,926 |
144A, 5.875%, 11/01/29@ | 2,106 | 1,747,580 |
AmWINS Group, Inc., 144A 4.875%, 06/30/29@ | 2,175 | 1,781,245 |
HUB International Ltd. | ||
144A, 7.000%, 05/01/26@ | 27,261 | 25,716,528 |
Par (000) | Value† | |
Insurance — (continued) | ||
144A, 5.625%, 12/01/29@ | $ 1,735 | $ 1,433,201 |
Ryan Specialty Group LLC, 144A 4.375%, 02/01/30@ | 295 | 256,650 |
USI, Inc., 144A 6.875%, 05/01/25@ | 11,119 | 10,729,835 |
52,802,125 | ||
Internet — 0.3% | ||
Arches Buyer, Inc., 144A 4.250%, 06/01/28@ | 30 | 24,351 |
Photo Holdings Merger Sub, Inc., 144A 8.500%, 10/01/26@ | 4,635 | 3,499,240 |
Shopify, Inc. 0.125%, 11/01/25 | 2,679 | 2,230,268 |
Snap, Inc. 0.000%, 05/01/27¤ | 4,019 | 2,783,157 |
Spotify USA, Inc. 0.000%, 03/15/26¤ | 4,508 | 3,556,812 |
Twitter, Inc., 144A 5.000%, 03/01/30@ | 1,640 | 1,555,950 |
13,649,778 | ||
Leisure Time — 0.1% | ||
Life Time, Inc., 144A 5.750%, 01/15/26@ | 5,724 | 5,131,223 |
Lodging — 0.1% | ||
Hilton Domestic Operating Co., Inc. | ||
144A, 5.375%, 05/01/25@ | 389 | 381,220 |
144A, 4.000%, 05/01/31@ | 390 | 324,090 |
144A, 3.625%, 02/15/32@ | 750 | 596,250 |
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. 4.875%, 04/01/27 | 180 | 169,425 |
Marriott International, Inc. 3.125%, 06/15/26 | 1,106 | 1,056,548 |
2,527,533 | ||
Machinery — Diversified — 0.0% | ||
TK Elevator US Newco, Inc., 144A 5.250%, 07/15/27@ | 2,045 | 1,823,250 |
Media — 1.4% | ||
CCO Holdings LLC/CCO Holdings Capital Corp. | ||
144A, 5.500%, 05/01/26@ | 1,325 | 1,292,531 |
144A, 5.125%, 05/01/27@ | 29,020 | 27,387,600 |
144A, 5.000%, 02/01/28@ | 28,336 | 26,080,738 |
Sirius XM Radio, Inc., 144A 5.000%, 08/01/27@ | 7,750 | 7,169,331 |
61,930,200 |
Par (000) | Value† | |
CORPORATE BONDS — (continued) | ||
Miscellaneous Manufacturing — 0.3% | ||
General Electric Co., Series D (3 M ICE LIBOR + 3.330%) 5.159%µ,• | $14,550 | $ 12,748,710 |
Real Estate Investment Trusts — 0.1% | ||
SBA Communications Corp. | ||
3.875%, 02/15/27 | 2,985 | 2,720,081 |
3.125%, 02/01/29 | 930 | 761,205 |
3,481,286 | ||
Retail — 0.8% | ||
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 144A 4.750%, 06/01/27@ | 17,733 | 17,053,826 |
Yum! Brands, Inc. | ||
3.875%, 11/01/23 | 2,454 | 2,439,791 |
144A, 4.750%, 01/15/30@ | 1,300 | 1,179,750 |
3.625%, 03/15/31 | 1,750 | 1,470,000 |
4.625%, 01/31/32 | 2,469 | 2,171,263 |
5.375%, 04/01/32 | 3,738 | 3,433,278 |
6.875%, 11/15/37 | 3,540 | 3,593,100 |
5.350%, 11/01/43 | 8,185 | 6,783,367 |
38,124,375 | ||
Semiconductors — 0.1% | ||
Sensata Technologies BV | ||
144A, 5.625%, 11/01/24@ | 880 | 868,701 |
144A, 5.000%, 10/01/25@ | 3,150 | 3,008,250 |
3,876,951 | ||
Software — 0.1% | ||
Black Knight InfoServ LLC, 144A 3.625%, 09/01/28@ | 1,275 | 1,107,746 |
Clarivate Science Holdings Corp. | ||
144A, 3.875%, 07/01/28@ | 2,048 | 1,712,319 |
144A, 4.875%, 07/01/29@ | 795 | 652,695 |
MSCI, Inc. | ||
144A, 4.000%, 11/15/29@ | 910 | 806,560 |
144A, 3.625%, 09/01/30@ | 2,200 | 1,833,985 |
144A, 3.875%, 02/15/31@ | 25 | 21,375 |
144A, 3.625%, 11/01/31@ | 310 | 255,329 |
144A, 3.250%, 08/15/33@ | 145 | 115,578 |
Twilio, Inc. 3.625%, 03/15/29 | 125 | 105,088 |
6,610,675 | ||
Telecommunications — 0.1% | ||
Altice France Holding S.A., 144A 10.500%, 05/15/27@ | 5,940 | 4,944,148 |
T-Mobile USA, Inc., 144A 3.375%, 04/15/29@ | 240 | 209,805 |
5,153,953 | ||
TOTAL CORPORATE BONDS (Cost $377,204,608) | 351,096,421 |
Par (000) | Value† | |
LOAN AGREEMENTS‡ — 14.4% | ||
Airlines — 0.7% | ||
Delta Air Lines, Inc. (3 M ICE LIBOR + 3.750%) 4.750%, 10/20/27• | $ 8,303 | $ 8,243,115 |
Mileage Plus Holdings LLC (3 M ICE LIBOR + 5.250%) 7.314%, 06/21/27• | 24,765 | 24,418,290 |
32,661,405 | ||
Commercial Services — 0.2% | ||
CoreLogic, Inc. | ||
(1 M ICE LIBOR + 3.500%), 5.188%, 06/02/28• | 11,175 | 9,264,531 |
(1 M ICE LIBOR + 6.500%), 8.187%, 06/04/29• | 665 | 478,800 |
9,743,331 | ||
Cosmetics & Personal Care — 0.3% | ||
Sunshine Luxembourg VII Sarl (3 M ICE LIBOR + 3.750%) 6.000%, 10/01/26• | 13,734 | 12,679,062 |
Entertainment — 0.6% | ||
Alpha TopCo., Ltd. - Delta 2 (Lux) Sarl (1 M ICE LIBOR + 2.500%) 4.166%, 02/01/24• | 22,740 | 22,126,020 |
Cedar Fair LP (1 M ICE LIBOR + 1.750%) 3.416%, 04/13/24• | 155 | 151,221 |
SeaWorld Parks & Entertainment, Inc. (1 M ICE LIBOR + 3.000%) 4.688%, 08/25/28• | 5,021 | 4,706,031 |
26,983,272 | ||
Environmental Control — 0.3% | ||
Filtration Group Corp. | ||
(3 M ICE EURIBOR + 3.500%), 3.500%, 03/31/25• | 5,551 | 5,293,825 |
(1 M ICE LIBOR + 3.000%), 4.666%, 03/31/25• | 3,429 | 3,240,757 |
(1 M ICE LIBOR + 3.500%), 5.166%, 10/21/28• | 4,921 | 4,588,736 |
13,123,318 | ||
Healthcare Products — 0.8% | ||
Medline Borrower, LP (1 M ICE LIBOR + 3.250%) 4.916%, 10/23/28• | 40,523 | 37,515,788 |
Healthcare Services — 1.1% | ||
ADMI Corp. | ||
(1 M ICE LIBOR + 3.375%), 4.738%, 12/23/27• | 5,969 | 5,426,875 |
(1 M ICE LIBOR + 3.500%), 4.863%, 12/23/27• | 10,214 | 9,337,140 |
Par (000) | Value† | |
LOAN AGREEMENTS‡ — (continued) | ||
Healthcare Services — (continued) | ||
EyeCare Partners LLC | ||
(3 M ICE LIBOR + 3.750%), 6.000%, 02/18/27• | $ 1,017 | $ 938,417 |
(3 M ICE LIBOR + 3.750%), 6.000%, 11/15/28• | 913 | 838,938 |
Heartland Dental LLC | ||
(1 M ICE LIBOR + 3.500%), 5.166%, 04/30/25• | 17,960 | 16,635,259 |
(1 M ICE LIBOR + 4.000%), 5.642%, 04/30/25• | 1,757 | 1,640,393 |
Loire US Holdco 1, Inc. (1 M ICE LIBOR + 3.250%) 4.916%, 04/21/27• | 12,218 | 11,474,658 |
Pacific Dental Services, Inc. (1 M ICE LIBOR + 3.250%) 4.759%, 05/05/28• | 1,544 | 1,463,319 |
47,754,999 | ||
Insurance — 5.1% | ||
Acrisure LLC (1 M ICE LIBOR + 3.750%) 5.416%, 02/15/27• | 2,660 | 2,483,682 |
Alliant Holdings Intermediate LLC | ||
(1 M ICE LIBOR + 3.250%), 4.916%, 05/09/25• | 13,046 | 12,253,642 |
(1 M ICE LIBOR + 3.250%), 4.916%, 05/09/25• | 5,774 | 5,448,155 |
(1 M ICE LIBOR + 3.500%), 5.009%, 11/05/27• | 19,163 | 17,778,309 |
HUB International Ltd. | ||
(1 M ICE LIBOR + 3.000%), 4.213%, 04/25/25• | 85,073 | 80,385,932 |
(1 M ICE LIBOR + 3.250%), 4.348%, 04/25/25• | 52,476 | 49,667,677 |
Hyperion Refinance Sarl (1 M ICE LIBOR + 3.250%) 4.938%, 11/12/27• | 17,216 | 16,214,683 |
Ryan Specialty Group LLC (1 M SOFR + 3.100%) 4.625%, 09/01/27• | 4,117 | 3,952,008 |
USI, Inc. | ||
(3 M ICE LIBOR + 3.000%), 5.250%, 05/16/24• | 32,093 | 30,709,543 |
(3 M ICE LIBOR + 3.250%), 5.501%, 12/02/26• | 16,307 | 15,042,886 |
233,936,517 | ||
Internet — 0.1% | ||
Arches Buyer, Inc. (1 M ICE LIBOR + 3.250%) 4.916%, 12/06/27• | 2,851 | 2,594,327 |
Eagle Broadband Investments LLC (3 M ICE LIBOR + 3.000%) 5.313%, 11/12/27• | 2,237 | 2,102,476 |
4,696,803 |
Par (000) | Value† | |
Leisure Time — 0.1% | ||
Life Time, Inc. (3 M ICE LIBOR + 4.750%) 6.325%, 12/16/24• | $ 2,177 | $ 2,144,213 |
Lodging — 0.0% | ||
Four Seasons Hotels Ltd. (1 M ICE LIBOR + 2.000%) 3.666%, 11/30/23• | 1,666 | 1,644,952 |
Machinery — Diversified — 0.4% | ||
Vertical Midco (3 M ICE LIBOR + 3.500%) 4.019%, 07/30/27• | 16,262 | 15,195,391 |
Welbilt, Inc. (1 M ICE LIBOR + 2.500%) 4.166%, 10/23/25• | 1,970 | 1,936,352 |
17,131,743 | ||
Pharmaceuticals — 0.3% | ||
Pathway Vet Alliance LLC (3 M ICE LIBOR + 3.750%) 6.001%, 03/31/27• | 1,315 | 1,218,030 |
PetVet Care Centers LLC | ||
(1 M ICE LIBOR + 2.750%), 4.416%, 02/14/25(1),• | 1,254 | 1,165,212 |
(1 M ICE LIBOR + 3.250%), 4.916%, 02/14/25(1),• | 5,201 | 4,867,041 |
(1 M ICE LIBOR + 3.500%), 5.166%, 02/14/25• | 7,460 | 7,018,698 |
(1 M ICE LIBOR + 6.250%), 7.916%, 02/13/26• | 405 | 394,118 |
14,663,099 | ||
Retail — 0.3% | ||
IRB Holding Corp. | ||
(1 M ICE LIBOR + 2.750%), 4.086%, 02/05/25• | 6,731 | 6,368,857 |
(1 M SOFR + 3.150%), 4.238%, 12/15/27• | 7,276 | 6,815,278 |
Woof Holdings, Inc. (3 M ICE LIBOR + 3.750%) 5.813%, 12/21/27• | 1,960 | 1,827,875 |
15,012,010 | ||
Semiconductors — 0.2% | ||
Entegris, Inc. 0.000%, 07/06/29× | 8,287 | 7,996,547 |
Software — 3.9% | ||
Applied Systems, Inc. | ||
(1 M ICE LIBOR + 3.000%), 4.630%, 09/19/24• | 13,602 | 13,023,983 |
(3 M ICE LIBOR + 5.500%), 7.128%, 09/19/25• | 1,085 | 1,041,946 |
Par (000) | Value† | |
LOAN AGREEMENTS‡ — (continued) | ||
Software — (continued) | ||
Ascend Learning LLC | ||
(1 M ICE LIBOR + 3.500%), 4.863%, 12/11/28• | $ 20,005 | $ 18,429,123 |
(1 M ICE LIBOR + 5.750%), 7.416%, 12/10/29• | 2,855 | 2,612,325 |
AthenaHealth Group, Inc. | ||
0.000%, 02/15/29× | 2,855 | 2,621,328 |
(1 M SOFR + 3.500%), 5.009%, 02/15/29• | 16,845 | 15,465,833 |
Azalea TopCo, Inc. | ||
(3 M ICE LIBOR + 3.500%), 4.738%, 07/24/26• | 15,271 | 14,263,451 |
(1 M SOFR + 3.750%), 4.900%, 07/24/26• | 1,546 | 1,439,829 |
(3 M ICE LIBOR + 3.750%), 4.988%, 07/24/26• | 2,307 | 2,185,810 |
Camelot US Acquisition I Co. (1 M ICE LIBOR + 3.000%) 4.666%, 10/30/26• | 9,661 | 9,089,782 |
Polaris Newco LLC (1 M ICE LIBOR + 4.000%) 5.666%, 06/02/28• | 1,732 | 1,595,836 |
Project Boost Purchaser LLC (1 M ICE LIBOR + 3.500%) 5.166%, 06/01/26• | 1,808 | 1,675,585 |
RealPage, Inc. | ||
(1 M ICE LIBOR + 3.000%), 4.666%, 04/24/28• | 19,448 | 17,932,841 |
(1 M ICE LIBOR + 6.500%), 8.166%, 04/23/29• | 700 | 663,831 |
Sophia LP | ||
(3 M ICE LIBOR + 3.250%), 5.501%, 10/07/27• | 3,275 | 3,048,046 |
(1 M SOFR + 4.250%), 5.775%, 10/07/27• | 1,422 | 1,379,275 |
Storable, Inc. (1 M SOFR + 3.500%) 5.068%, 04/17/28• | 995 | 931,987 |
The Ultimate Software Group, Inc. (1 M ICE LIBOR + 3.750%) 5.416%, 05/04/26• | 1,717 | 1,617,989 |
UKG, Inc. | ||
(1 M ICE LIBOR + 3.250%), 4.212%, 05/04/26• | 72,670 | 67,901,165 |
(3 M ICE LIBOR + 5.250%), 6.212%, 05/03/27• | 3,334 | 3,067,412 |
179,987,377 | ||
TOTAL LOAN AGREEMENTS (Cost $697,164,052) | 657,674,436 | |
U.S. TREASURY OBLIGATIONS — 8.2% | ||
United States Treasury Notes | ||
1.500%, 01/31/27 | 121,375 | 113,490,647 |
1.875%, 02/28/27 | 175,855 | 167,185,422 |
Par (000) | Value† | |
2.500%, 03/31/27 | $95,023 | $ 92,847,962 |
TOTAL U.S. TREASURY OBLIGATIONS (Cost $385,437,111) | 373,524,031 |
Number of Shares | ||
SHORT-TERM INVESTMENTS — 1.5% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 1.320%) | 16,995,462 | 16,995,462 |
T. Rowe Price Government Reserve Investment Fund (seven-day effective yield 1.320%) | 50,223,631 | 50,223,631 |
TOTAL SHORT-TERM INVESTMENTS (Cost $67,219,093) | 67,219,093 | |
TOTAL INVESTMENTS — 100.1% (Cost $4,773,222,805) | $ 4,576,269,984 | |
Other Assets & Liabilities — (0.1)% | (3,312,091) | |
TOTAL NET ASSETS — 100.0% | $ 4,572,957,893 |
Number of Contracts | ||
WRITTEN OPTIONS — (0.1)% | ||
Call Options | ||
TOTAL WRITTEN OPTIONS | ||
(See open written options schedule) | ||
(Premiums $(19,744,940)) | 21,169 | $ (4,332,683) |
† | See Security Valuation Note. |
@ | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At June 30, 2022, the aggregate value of Rule 144A securities was $274,855,156, which represents 6.0% of the Fund’s net assets. |
* | Non-income producing security. |
(1) | The value of this security was determined using significant unobservable inputs. |
# | 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 June 30, 2022, the aggregate value of restricted securities was $22,523,988 which represented 0.5% 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 |
Waymo LLC, Series A-2 | 05/08/20 | $21,086,236 | $22,523,988 |
µ | Perpetual security with no stated maturity date. |
• | 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. |
¤ | Zero Coupon Bond. The interest rate disclosed represents the effective yield from the date of acquisition to maturity. |
‡ | 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 June 30, 2022. 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. |
× | This loan will settle after June 30, 2022, 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. |
MSCI— Morgan Stanley Capital International. |
N.V.— Naamloze Vennootschap. |
PLC— Public Limited Company. |
S.A.— Societe Anonyme. |
SOFR— Secured Overnight Financing Rate. |
UST— US Treasury. |
Yr— Year. |
ASSETS TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input^ |
Asset Backed Securities | $ 12,155,657 | $ — | $ 12,155,657 | $ — |
Common Stocks | 3,066,595,676 | 3,066,595,676 | — | — |
Preferred Stocks | ||||
Auto Manufacturers | 22,523,988 | — | — | 22,523,988 |
Diversified Financial Services | 299,400 | 299,400 | — | — |
Electric | 22,685,470 | 22,685,470 | — | — |
Gas | 2,495,812 | 2,495,812 | — | — |
Total Preferred Stocks | 48,004,670 | 25,480,682 | — | 22,523,988 |
Corporate Bonds | 351,096,421 | — | 351,096,421 | — |
Loan Agreements | 657,674,436 | — | 624,901,632 | 32,772,804 |
U.S. Treasury Obligations | 373,524,031 | — | 373,524,031 | — |
Short-Term Investments | 67,219,093 | 67,219,093 | — | — |
Total Investments | $ 4,576,269,984 | $ 3,159,295,451 | $ 1,361,677,741 | $ 55,296,792 |
LIABILITIES TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input^ |
Other Financial Instruments(1) | ||||
Written Options | $(4,332,683) | $(4,332,683) | $— | $— |
Total Liabilities—Other Financial Instruments | $ (4,332,683) | $ (4,332,683) | $ — | $ — |
(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. |
Investments in Securities (Market Value) | |
Balance as of 12/31/21 | $ 22,523,988 |
Accrued Discount/(Premium) | 268 |
Change in Appreciation/(Depreciation) | (28,707) |
Purchases | 1,407,714 |
Transfer into Level 3 | 31,393,529 |
Balance as of 06/30/22 | $55,296,792 |
Open Written Options |
Exchange Traded |
Call Options | ||||||||||
Description | # of Contracts | Notional | Exercise Price | Expiration Date | Value | |||||
Alphabet, Inc. | 13 | $ 4,160,000 | $ 3,200 | 01/20/23 | $ (25,610) | |||||
Alphabet, Inc. | 13 | 4,290,000 | 3,300 | 01/20/23 | (20,410) | |||||
Alphabet, Inc. | 13 | 4,420,000 | 3,400 | 01/20/23 | (16,120) | |||||
Alphabet, Inc. | 13 | 4,550,000 | 3,500 | 01/20/23 | (12,740) | |||||
Amazon.com, Inc. | 860 | 15,050,000 | 175 | 01/20/23 | (69,660) | |||||
Amazon.com, Inc. | 180 | 3,240,000 | 180 | 01/20/23 | (12,060) | |||||
Amazon.com, Inc. | 180 | 3,330,000 | 185 | 01/20/23 | (10,440) | |||||
Amazon.com, Inc. | 500 | 9,500,000 | 190 | 01/20/23 | (23,500) | |||||
Amazon.com, Inc. | 320 | 6,240,000 | 195 | 01/20/23 | (12,800) | |||||
Amazon.com, Inc. | 440 | 8,800,000 | 200 | 01/20/23 | (15,840) | |||||
Amazon.com, Inc. | 440 | 9,020,000 | 205 | 01/20/23 | (13,640) | |||||
Amazon.com, Inc. | 440 | 9,240,000 | 210 | 01/20/23 | (12,320) | |||||
Amazon.com, Inc. | 120 | 2,580,000 | 215 | 01/20/23 | (2,880) | |||||
Amazon.com, Inc. | 120 | 2,640,000 | 220 | 01/20/23 | (2,400) | |||||
Amazon.com, Inc. | 260 | 5,850,000 | 225 | 01/20/23 | (5,200) | |||||
Amazon.com, Inc. | 140 | 3,220,000 | 230 | 01/20/23 | (2,380) | |||||
Amazon.com, Inc. | 140 | 3,290,000 | 235 | 01/20/23 | (2,240) | |||||
Amazon.com, Inc. | 140 | 3,360,000 | 240 | 01/20/23 | (1,400) | |||||
Amazon.com, Inc. | 140 | 3,430,000 | 245 | 01/20/23 | (1,400) | |||||
Amazon.com, Inc. | 140 | 3,500,000 | 250 | 01/20/23 | (1,680) | |||||
Amazon.com, Inc. | 140 | 3,570,000 | 255 | 01/20/23 | (1,540) | |||||
Apple, Inc. | 512 | 8,704,000 | 170 | 01/20/23 | (180,736) | |||||
Apple, Inc. | 512 | 8,960,000 | 175 | 01/20/23 | (144,896) | |||||
Apple, Inc. | 512 | 9,216,000 | 180 | 01/20/23 | (112,128) | |||||
Becton Dickinson and Co. | 98 | 2,548,000 | 260 | 01/20/23 | (138,180) | |||||
Becton Dickinson and Co. | 97 | 2,716,000 | 280 | 01/20/23 | (72,750) | |||||
Becton Dickinson and Co. | 97 | 2,813,000 | 290 | 01/20/23 | (43,650) | |||||
General Electric Co. | 731 | 6,213,500 | 85 | 01/20/23 | (105,995) | |||||
General Electric Co. | 731 | 6,579,000 | 90 | 01/20/23 | (62,866) | |||||
General Electric Co. | 731 | 6,944,500 | 95 | 01/20/23 | (43,860) | |||||
General Electric Co. | 974 | 10,714,000 | 110 | 01/20/23 | (12,662) | |||||
Hologic, Inc. | 336 | 2,856,000 | 85 | 01/20/23 | (40,320) | |||||
Hologic, Inc. | 336 | 3,024,000 | 90 | 01/20/23 | (16,800) | |||||
Humana, Inc. | 51 | 2,652,000 | 520 | 01/20/23 | (105,570) | |||||
Humana, Inc. | 51 | 2,703,000 | 530 | 01/20/23 | (92,820) |
Call Options | ||||||||||
Description | # of Contracts | Notional | Exercise Price | Expiration Date | Value | |||||
Humana, Inc. | 51 | $ 2,754,000 | $ 540 | 01/20/23 | $ (77,010) | |||||
Keurig Dr Pepper, Inc. | 736 | 2,944,000 | 40 | 01/20/23 | (51,520) | |||||
Keurig Dr Pepper, Inc. | 736 | 3,091,200 | 42 | 01/20/23 | (22,080) | |||||
Meta Platforms, Inc. | 67 | 2,311,500 | 345 | 09/16/22 | (536) | |||||
Meta Platforms, Inc. | 67 | 2,412,000 | 360 | 09/16/22 | (469) | |||||
Microsoft Corp. | 694 | 22,208,000 | 320 | 01/20/23 | (347,000) | |||||
Microsoft Corp. | 597 | 19,701,000 | 330 | 01/20/23 | (205,368) | |||||
Microsoft Corp. | 137 | 4,589,500 | 335 | 01/20/23 | (43,155) | |||||
Microsoft Corp. | 836 | 28,424,000 | 340 | 01/20/23 | (209,000) | |||||
Microsoft Corp. | 137 | 4,726,500 | 345 | 01/20/23 | (26,578) | |||||
Microsoft Corp. | 1,077 | 37,695,000 | 350 | 01/20/23 | (199,245) | |||||
Microsoft Corp. | 240 | 8,520,000 | 355 | 01/20/23 | (38,640) | |||||
Microsoft Corp. | 479 | 17,244,000 | 360 | 01/20/23 | (67,539) | |||||
Microsoft Corp. | 164 | 5,986,000 | 365 | 01/20/23 | (19,024) | |||||
Public Service Enterprise Group, Inc. | 273 | 1,774,500 | 65 | 07/15/22 | (10,374) | |||||
Public Service Enterprise Group, Inc. | 273 | 1,911,000 | 70 | 07/15/22 | (1,365) | |||||
Public Service Enterprise Group, Inc. | 273 | 2,047,500 | 75 | 07/15/22 | (1,365) | |||||
Starbucks Corp. | 553 | 5,391,750 | 98 | 01/20/23 | (76,867) | |||||
Starbucks Corp. | 553 | 5,530,000 | 100 | 01/20/23 | (58,065) | |||||
Starbucks Corp. | 553 | 5,806,500 | 105 | 01/20/23 | (39,816) | |||||
The PNC Financial Services Group, Inc. | 196 | 3,724,000 | 190 | 01/20/23 | (64,680) | |||||
The PNC Financial Services Group, Inc. | 196 | 3,822,000 | 195 | 01/20/23 | (48,020) | |||||
The PNC Financial Services Group, Inc. | 196 | 3,920,000 | 200 | 01/20/23 | (35,280) | |||||
The PNC Financial Services Group, Inc. | 332 | 7,304,000 | 220 | 01/20/23 | (14,940) | |||||
The PNC Financial Services Group, Inc. | 332 | 7,636,000 | 230 | 01/20/23 | (6,640) | |||||
Thermo Fisher Scientific, Inc. | 96 | 6,144,000 | 640 | 01/20/23 | (156,480) | |||||
UnitedHealth Group, Inc. | 182 | 9,828,000 | 540 | 01/20/23 | (618,800) | |||||
UnitedHealth Group, Inc. | 102 | 5,712,000 | 560 | 01/20/23 | (262,344) | |||||
UnitedHealth Group, Inc. | 102 | 5,916,000 | 580 | 01/20/23 | (180,540) | |||||
Yum! Brands, Inc. | 209 | 3,030,500 | 145 | 01/20/23 | (8,360) | |||||
Yum! Brands, Inc. | 209 | 3,135,000 | 150 | 01/20/23 | (2,090) | |||||
Total Written Options | $(4,332,683) |
Number of Shares | Value† | |
AFFILIATED EQUITY FUNDS — 59.5% | ||
Penn Series Index 500 Fund* (Cost $24,314,321) | 1,301,578 | $ 43,147,295 |
AFFILIATED FIXED INCOME FUNDS — 40.4% | ||
Penn Series Quality Bond Fund* (Cost $29,729,539) | 1,904,384 | 29,251,344 |
SHORT-TERM INVESTMENTS — 0.5% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 1.320%) (Cost $335,430) | 335,430 | 335,430 |
TOTAL INVESTMENTS — 100.4% (Cost $54,379,290) | $ 72,734,069 | |
Other Assets & Liabilities — (0.4)% | (278,276) | |
TOTAL NET ASSETS — 100.0% | $ 72,455,793 |
† | See Security Valuation Note. |
* | Non-income producing security. |
ASSETS TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Affiliated Equity Funds | $ 43,147,295 | $ 43,147,295 | $— | $— |
Affiliated Fixed Income Funds | 29,251,344 | 29,251,344 | — | — |
Short-Term Investments | 335,430 | 335,430 | — | — |
Total Investments | $ 72,734,069 | $ 72,734,069 | $ — | $ — |
Number of Shares | Value† | |
COMMON STOCKS — 96.6% | ||
Advertising — 0.4% | ||
The Trade Desk, Inc., Class A* | 25,257 | $ 1,058,016 |
Aerospace & Defense — 1.9% | ||
Airbus S.E. | 19,235 | 1,863,544 |
Teledyne Technologies, Inc.* | 8,112 | 3,042,892 |
4,906,436 | ||
Auto Manufacturers — 5.7% | ||
Ferrari N.V. | 13,983 | 2,565,601 |
Rivian Automotive, Inc., Class A* | 256,586 | 6,604,523 |
Tesla, Inc.* | 8,523 | 5,739,559 |
14,909,683 | ||
Auto Parts & Equipment — 0.0% | ||
Aurora Innovation, Inc.* | 37,403 | 71,440 |
Biotechnology — 0.6% | ||
Argenx S.E., ADR* | 4,442 | 1,682,985 |
Commercial Services — 2.4% | ||
Block, Inc., CDI* | 14,240 | 889,539 |
Block, Inc., Class A* | 4,759 | 292,488 |
Cintas Corp. | 2,051 | 766,110 |
Global Payments, Inc. | 12,524 | 1,385,655 |
MarketAxess Holdings, Inc. | 1,680 | 430,097 |
TransUnion | 21,848 | 1,747,622 |
Verisk Analytics, Inc. | 4,400 | 761,596 |
6,273,107 | ||
Computers — 7.6% | ||
Apple, Inc. | 144,837 | 19,802,115 |
Diversified Financial Services — 4.8% | ||
Ant Group Co., Ltd.(1),# | 279,408 | 550,434 |
Mastercard, Inc., Class A | 17,709 | 5,586,835 |
Visa, Inc., Class A | 32,428 | 6,384,749 |
12,522,018 | ||
Electrical Components & Equipment — 0.6% | ||
Generac Holdings, Inc.* | 7,601 | 1,600,618 |
Healthcare Products — 3.7% | ||
Align Technology, Inc.* | 5,171 | 1,223,821 |
Avantor, Inc.* | 50,925 | 1,583,767 |
Insulet Corp.* | 3,211 | 699,805 |
Intuitive Surgical, Inc.* | 17,470 | 3,506,404 |
Stryker Corp. | 12,887 | 2,563,611 |
9,577,408 | ||
Healthcare Services — 4.9% | ||
HCA Healthcare, Inc. | 5,403 | 908,028 |
Humana, Inc. | 5,135 | 2,403,540 |
UnitedHealth Group, Inc. | 18,262 | 9,379,911 |
12,691,479 | ||
Internet — 25.6% | ||
Airbnb, Inc., Class A* | 9,331 | 831,205 |
Alphabet, Inc., Class A* | 5,719 | 12,463,188 |
Alphabet, Inc., Class C* | 5,233 | 11,446,926 |
Number of Shares | Value† | |
Internet — (continued) | ||
Amazon.com, Inc.* | 247,300 | $26,265,733 |
Booking Holdings, Inc.* | 1,075 | 1,880,164 |
Coupang, Inc., Class A* | 63,561 | 810,403 |
DoorDash, Inc., Class A* | 19,682 | 1,262,994 |
Expedia Group, Inc.* | 15,214 | 1,442,744 |
Match Group, Inc.* | 21,900 | 1,526,211 |
Meta Platforms, Inc.* | 15,726 | 2,535,817 |
Netflix, Inc.* | 8,500 | 1,486,395 |
Sea Ltd., ADR* | 26,100 | 1,745,046 |
Snap, Inc., Class A* | 120,641 | 1,584,016 |
Spotify Technology S.A.* | 16,544 | 1,552,324 |
66,833,166 | ||
Leisure Time — 0.2% | ||
Peloton Interactive, Inc., Class A* | 54,881 | 503,807 |
Lodging — 1.1% | ||
Las Vegas Sands Corp.* | 43,614 | 1,464,994 |
Wynn Resorts Ltd.* | 23,964 | 1,365,469 |
2,830,463 | ||
Pharmaceuticals — 2.6% | ||
AstraZeneca PLC, ADR | 12,103 | 799,645 |
Cigna Corp. | 7,663 | 2,019,354 |
Eli Lilly & Co. | 12,377 | 4,012,995 |
6,831,994 | ||
Retail — 3.4% | ||
Carvana Co.* | 9,843 | 222,255 |
Chipotle Mexican Grill, Inc.* | 2,241 | 2,929,570 |
Floor & Decor Holdings, Inc., Class A* | 8,800 | 554,048 |
Lululemon Athletica, Inc.* | 4,883 | 1,331,155 |
Ross Stores, Inc. | 53,246 | 3,739,466 |
8,776,494 | ||
Semiconductors — 4.9% | ||
Advanced Micro Devices, Inc.* | 39,961 | 3,055,818 |
ASML Holding N.V. | 9,206 | 4,380,951 |
NVIDIA Corp. | 35,097 | 5,320,354 |
12,757,123 | ||
Software — 24.8% | ||
Activision Blizzard, Inc. | 17,946 | 1,397,276 |
Atlassian Corp. PLC, Class A* | 8,135 | 1,524,499 |
Bill.com Holdings, Inc.* | 5,563 | 611,596 |
Black Knight, Inc.* | 35,699 | 2,334,358 |
Ceridian HCM Holding, Inc.* | 12,622 | 594,244 |
Datadog, Inc., Class A* | 10,094 | 961,353 |
Fiserv, Inc.* | 34,122 | 3,035,834 |
HashiCorp, Inc., Class A* | 3,314 | 97,564 |
Intuit, Inc. | 14,932 | 5,755,390 |
Magic Leap, Inc., Class A(1),*,# | 1,353 | 25,980 |
Microsoft Corp. | 128,728 | 33,061,211 |
Monday.com Ltd.* | 2,900 | 299,164 |
MongoDB, Inc.* | 4,978 | 1,291,791 |
Roper Technologies, Inc. | 5,779 | 2,280,682 |
Salesforce, Inc.* | 28,101 | 4,637,789 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Software — (continued) | ||
SentinelOne, Inc., Class A* | 40,031 | $ 933,923 |
ServiceNow, Inc.* | 9,283 | 4,414,252 |
Snowflake, Inc., Class A* | 7,209 | 1,002,484 |
Stripe, Inc., Class B(1),*,# | 8,608 | 198,328 |
Twilio, Inc., Class A* | 4,201 | 352,086 |
64,809,804 | ||
Transportation — 1.4% | ||
FedEx Corp. | 11,015 | 2,497,211 |
Old Dominion Freight Line, Inc. | 5,000 | 1,281,400 |
3,778,611 | ||
TOTAL COMMON STOCKS (Cost $215,121,439) | 252,216,767 | |
PREFERRED STOCKS — 0.4% | ||
Auto Manufacturers — 0.1% | ||
Waymo LLC, Series A-2, CONV(1),*,# | 3,737 | 342,765 |
Electronics — 0.3% | ||
GM Cruise, Class F, CONV(1),*,# | 27,200 | 788,800 |
TOTAL PREFERRED STOCKS (Cost $817,286) | 1,131,565 |
SHORT-TERM INVESTMENTS — 1.0% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 1.320%) | 1,000,075 | 1,000,075 |
T. Rowe Price Government Reserve Investment Fund (seven-day effective yield 1.320%) | 1,683,524 | 1,683,524 |
TOTAL SHORT-TERM INVESTMENTS (Cost $2,683,599) | 2,683,599 | |
TOTAL INVESTMENTS — 98.0% (Cost $218,622,324) | $ 256,031,931 | |
Other Assets & Liabilities — 2.0% | 5,094,750 | |
TOTAL NET ASSETS — 100.0% | $ 261,126,681 |
† | 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. |
# | 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 June 30, 2022, the aggregate value of restricted securities was $1,906,307 which represented 0.7% 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 | $ 550,434 | |
GM Cruise, Class F | 05/07/19 | 496,400 | 788,800 | |
Magic Leap, Inc., Class A | 01/20/16 | 657,500 | 25,980 | |
Stripe, Inc., Class B | 12/17/19 | 135,060 | 198,328 | |
Waymo LLC, Series A-2 | 05/08/20 | 320,886 | 342,765 | |
Total | $ 2,674,775 | $1,906,307 |
ADR— American Depositary Receipt. |
CDI— CHESS Depository Interest |
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 6/30/2022†† | |
United States | 93% |
Netherlands | 2 |
Italy | 1 |
France | 1 |
Singapore | 1 |
Sweden | 1 |
Australia | 1 |
Total | 100% |
†† | % of total investments as of June 30, 2022. |
ASSETS TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input^ |
Common Stocks | ||||
Advertising | $ 1,058,016 | $ 1,058,016 | $— | $ — |
Aerospace & Defense | 4,906,436 | 4,906,436 | — | — |
Auto Manufacturers | 14,909,683 | 14,909,683 | — | — |
Auto Parts & Equipment | 71,440 | 71,440 | — | — |
Biotechnology | 1,682,985 | 1,682,985 | — | — |
Commercial Services | 6,273,107 | 6,273,107 | — | — |
Computers | 19,802,115 | 19,802,115 | — | — |
Diversified Financial Services | 12,522,018 | 11,971,584 | — | 550,434 |
Electrical Components & Equipment | 1,600,618 | 1,600,618 | — | — |
Healthcare Products | 9,577,408 | 9,577,408 | — | — |
Healthcare Services | 12,691,479 | 12,691,479 | — | — |
Internet | 66,833,166 | 66,833,166 | — | — |
Leisure Time | 503,807 | 503,807 | — | — |
Lodging | 2,830,463 | 2,830,463 | — | — |
Pharmaceuticals | 6,831,994 | 6,831,994 | — | — |
Retail | 8,776,494 | 8,776,494 | — | — |
Semiconductors | 12,757,123 | 12,757,123 | — | — |
ASSETS TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input^ |
Software | $64,809,804 | $64,585,496 | $— | $ 224,308 |
Transportation | 3,778,611 | 3,778,611 | — | — |
Total Common Stocks | 252,216,767 | 251,442,025 | — | 774,742 |
Preferred Stocks | 1,131,565 | — | — | 1,131,565 |
Short-Term Investments | 2,683,599 | 2,683,599 | — | — |
Total Investments | $ 256,031,931 | $ 254,125,624 | $ — | $ 1,906,307 |
^ | 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 — 96.1% | ||
Apparel — 3.4% | ||
adidas AG | 3,605 | $ 637,552 |
LVMH Moet Hennessy Louis Vuitton S.E. | 864 | 526,688 |
NIKE, Inc., Class B | 8,860 | 905,492 |
2,069,732 | ||
Auto Parts & Equipment — 0.7% | ||
Aptiv PLC* | 4,498 | 400,637 |
Beverages — 1.5% | ||
PepsiCo, Inc. | 5,543 | 923,796 |
Chemicals — 1.2% | ||
The Sherwin-Williams Co. | 3,214 | 719,647 |
Commercial Services — 2.9% | ||
Equifax, Inc. | 4,852 | 886,849 |
Moody's Corp. | 2,054 | 558,626 |
Verisk Analytics, Inc. | 2,036 | 352,411 |
1,797,886 | ||
Computers — 9.3% | ||
Accenture PLC, Class A | 7,796 | 2,164,559 |
Apple, Inc. | 22,555 | 3,083,720 |
Cognizant Technology Solutions Corp., Class A | 6,616 | 446,514 |
5,694,793 | ||
Cosmetics & Personal Care — 3.2% | ||
Colgate-Palmolive Co. | 19,708 | 1,579,399 |
The Estee Lauder Cos., Inc., Class A | 1,416 | 360,613 |
1,940,012 | ||
Diversified Financial Services — 6.1% | ||
Mastercard, Inc., Class A | 2,211 | 697,526 |
The Charles Schwab Corp. | 14,138 | 893,239 |
Visa, Inc., Class A | 10,824 | 2,131,137 |
3,721,902 | ||
Electric — 1.0% | ||
Xcel Energy, Inc. | 9,007 | 637,335 |
Electronics — 5.9% | ||
Agilent Technologies, Inc. | 3,694 | 438,736 |
Amphenol Corp., Class A | 20,574 | 1,324,554 |
Fortive Corp. | 19,306 | 1,049,860 |
TE Connectivity Ltd. | 7,416 | 839,121 |
3,652,271 | ||
Food — 1.2% | ||
McCormick & Co., Inc. | 9,035 | 752,164 |
Healthcare Products — 8.4% | ||
Abbott Laboratories | 5,769 | 626,802 |
Boston Scientific Corp.* | 30,482 | 1,136,064 |
Danaher Corp. | 3,184 | 807,207 |
STERIS PLC | 3,612 | 744,614 |
Stryker Corp. | 2,697 | 536,514 |
Number of Shares | Value† | |
Healthcare Products — (continued) | ||
Thermo Fisher Scientific, Inc. | 2,360 | $ 1,282,141 |
5,133,342 | ||
Healthcare Services — 2.2% | ||
ICON PLC* | 6,231 | 1,350,258 |
Household Products & Wares — 2.5% | ||
Church & Dwight Co., Inc. | 16,250 | 1,505,725 |
Insurance — 3.0% | ||
Aon PLC, Class A | 4,094 | 1,104,070 |
Marsh & McLennan Cos., Inc. | 4,703 | 730,141 |
1,834,211 | ||
Internet — 10.1% | ||
Alibaba Group Holding Ltd.* | 63,152 | 900,585 |
Alphabet, Inc., Class A* | 2,159 | 4,705,022 |
Tencent Holdings Ltd. | 13,500 | 609,726 |
6,215,333 | ||
Machinery — Diversified — 1.2% | ||
Otis Worldwide Corp. | 10,174 | 718,997 |
Media — 0.9% | ||
Charter Communications, Inc., Class A* | 1,153 | 540,215 |
Pharmaceuticals — 3.0% | ||
Becton Dickinson and Co. | 4,691 | 1,156,472 |
Cigna Corp. | 1,878 | 494,891 |
Roche Holding AG | 659 | 219,897 |
1,871,260 | ||
Private Equity — 0.4% | ||
Blackstone, Inc. | 2,941 | 268,307 |
Retail — 5.0% | ||
Dollarama, Inc. | 9,936 | 572,138 |
Ross Stores, Inc. | 12,835 | 901,402 |
Starbucks Corp. | 13,653 | 1,042,953 |
The TJX Cos., Inc. | 10,327 | 576,763 |
3,093,256 | ||
Semiconductors — 2.9% | ||
Analog Devices, Inc. | 4,517 | 659,889 |
Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 5,968 | 487,884 |
Texas Instruments, Inc. | 4,133 | 635,035 |
1,782,808 | ||
Software — 18.7% | ||
Adobe, Inc.* | 1,413 | 517,243 |
Black Knight, Inc.* | 7,978 | 521,681 |
Electronic Arts, Inc. | 11,662 | 1,418,682 |
Fidelity National Information Services, Inc. | 9,647 | 884,340 |
Fiserv, Inc.* | 14,407 | 1,281,791 |
Microsoft Corp. | 26,778 | 6,877,394 |
11,501,131 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Transportation — 1.4% | ||
Union Pacific Corp. | 4,095 | $ 873,382 |
TOTAL COMMON STOCKS (Cost $47,100,468) | 58,998,400 | |
REAL ESTATE INVESTMENT TRUSTS — 2.2% | ||
Diversified — 2.2% | ||
American Tower Corp. (Cost $1,187,698) | 5,173 | 1,322,167 |
SHORT-TERM INVESTMENTS — 1.6% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 1.320%) (Cost $962,752) | 962,752 | 962,752 |
TOTAL INVESTMENTS — 99.9% (Cost $49,250,918) | $ 61,283,319 | |
Other Assets & Liabilities — 0.1% | 79,530 | |
TOTAL NET ASSETS — 100.0% | $ 61,362,849 |
† | 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 6/30/2022†† | |
United States | 87% |
Ireland | 6 |
China | 3 |
Germany | 1 |
Canada | 1 |
France | 1 |
Taiwan | 1 |
Total | 100% |
†† | % of total investments as of June 30, 2022. |
ASSETS TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Common Stocks | $58,998,400 | $58,998,400 | $— | $— |
ASSETS TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Real Estate Investment Trusts | $ 1,322,167 | $ 1,322,167 | $— | $— |
Short-Term Investments | 962,752 | 962,752 | — | — |
Total Investments | $ 61,283,319 | $ 61,283,319 | $ — | $ — |
Number of Shares | Value† | |
COMMON STOCKS — 90.8% | ||
Advertising — 4.6% | ||
The Trade Desk, Inc., Class A* | 109,268 | $ 4,577,236 |
Biotechnology — 7.5% | ||
Illumina, Inc.* | 4,370 | 805,653 |
Royalty Pharma PLC, Class A | 160,539 | 6,749,060 |
7,554,713 | ||
Commercial Services — 5.6% | ||
Adyen N.V.* | 2,026 | 2,946,927 |
Block, Inc.* | 43,708 | 2,686,294 |
5,633,221 | ||
Diversified Financial Services — 0.6% | ||
Coinbase Global, Inc., Class A* | 13,800 | 648,876 |
Healthcare Products — 1.0% | ||
Intuitive Surgical, Inc.* | 4,921 | 987,694 |
Internet — 28.4% | ||
Airbnb, Inc., Class A* | 22,842 | 2,034,765 |
Amazon.com, Inc.* | 46,800 | 4,970,628 |
Chewy, Inc., Class A* | 92,896 | 3,225,349 |
Farfetch Ltd., Class A* | 94,205 | 674,508 |
IAC* | 19,607 | 1,489,544 |
Match Group, Inc.* | 13,809 | 962,349 |
MercadoLibre, Inc.* | 2,597 | 1,653,952 |
Okta, Inc.* | 12,272 | 1,109,389 |
Shopify, Inc., Class A* | 143,870 | 4,494,499 |
Spotify Technology S.A.* | 16,204 | 1,520,421 |
Uber Technologies, Inc.* | 263,522 | 5,391,660 |
Wayfair, Inc., Class A* | 23,343 | 1,016,821 |
28,543,885 | ||
Semiconductors — 5.6% | ||
ASML Holding N.V. | 11,874 | 5,650,599 |
Software — 37.5% | ||
Cloudflare, Inc., Class A* | 108,912 | 4,764,900 |
Coupa Software, Inc.* | 23,298 | 1,330,316 |
Datadog, Inc., Class A* | 53,010 | 5,048,672 |
ROBLOX Corp., Class A* | 131,208 | 4,311,495 |
Snowflake, Inc., Class A* | 46,202 | 6,424,850 |
Twilio, Inc., Class A* | 8,564 | 717,749 |
Unity Software, Inc.* | 55,784 | 2,053,967 |
Veeva Systems, Inc., Class A* | 27,902 | 5,525,712 |
Zoom Video Communications, Inc., Class A* | 30,809 | 3,326,448 |
ZoomInfo Technologies, Inc.* | 127,684 | 4,244,216 |
37,748,325 | ||
TOTAL COMMON STOCKS (Cost $163,784,788) | 91,344,549 |
Number ofShares | Value† | |
SHORT-TERM INVESTMENTS — 4.9% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 1.320%) (Cost $4,890,415) | 4,890,415 | $ 4,890,415 |
TOTAL INVESTMENTS — 95.7% (Cost $168,675,203) | $ 96,234,964 | |
Other Assets & Liabilities — 4.3% | 4,306,072 | |
TOTAL NET ASSETS — 100.0% | $ 100,541,036 |
† | See Security Valuation Note. |
* | Non-income producing security. |
N.V.— Naamloze Vennootschap. |
PLC— Public Limited Company. |
S.A.— Societe Anonyme. |
Country Weightings as of 6/30/2022†† | |
United States | 81% |
Netherlands | 9 |
Canada | 5 |
Argentina | 2 |
Sweden | 2 |
United Kingdom | 1 |
Total | 100% |
†† | % of total investments as of June 30, 2022. |
ASSETS TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Common Stocks | $91,344,549 | $91,344,549 | $— | $— |
Short-Term Investments | 4,890,415 | 4,890,415 | — | — |
Total Investments | $ 96,234,964 | $ 96,234,964 | $ — | $ — |
Number of Shares | Value† | |
COMMON STOCKS — 95.0% | ||
Aerospace & Defense — 3.6% | ||
Curtiss-Wright Corp. | 9,984 | $ 1,318,487 |
Hexcel Corp. | 19,531 | 1,021,667 |
Raytheon Technologies Corp. | 38,113 | 3,663,040 |
6,003,194 | ||
Agriculture — 4.0% | ||
Philip Morris International, Inc. | 67,635 | 6,678,280 |
Airlines — 1.6% | ||
Alaska Air Group, Inc.* | 37,040 | 1,483,452 |
Southwest Airlines Co.* | 35,400 | 1,278,648 |
2,762,100 | ||
Apparel — 0.4% | ||
Deckers Outdoor Corp.* | 2,457 | 627,395 |
Auto Parts & Equipment — 0.4% | ||
BorgWarner, Inc. | 18,685 | 623,518 |
Banks — 11.1% | ||
Bank OZK | 35,860 | 1,345,826 |
JPMorgan Chase & Co. | 37,961 | 4,274,788 |
Northern Trust Corp. | 24,776 | 2,390,388 |
The Goldman Sachs Group, Inc. | 12,297 | 3,652,455 |
Wells Fargo & Co. | 180,124 | 7,055,457 |
18,718,914 | ||
Biotechnology — 5.5% | ||
Amgen, Inc. | 19,556 | 4,757,975 |
Bio-Rad Laboratories, Inc., Class A* | 3,139 | 1,553,805 |
Regeneron Pharmaceuticals, Inc.* | 4,985 | 2,946,783 |
9,258,563 | ||
Building Materials — 0.8% | ||
Builders FirstSource, Inc.* | 24,010 | 1,289,337 |
Chemicals — 0.5% | ||
The Mosaic Co. | 17,324 | 818,213 |
Commercial Services — 2.5% | ||
FleetCor Technologies, Inc.* | 12,802 | 2,689,828 |
Robert Half International, Inc. | 21,059 | 1,577,109 |
4,266,937 | ||
Computers — 1.0% | ||
Cognizant Technology Solutions Corp., Class A | 24,177 | 1,631,706 |
Distribution & Wholesale — 2.1% | ||
LKQ Corp. | 72,210 | 3,544,789 |
Diversified Financial Services — 2.6% | ||
Capital One Financial Corp. | 14,320 | 1,492,001 |
Mastercard, Inc., Class A | 9,040 | 2,851,939 |
4,343,940 | ||
Electric — 0.9% | ||
IDACORP, Inc. | 14,999 | 1,588,694 |
Number of Shares | Value† | |
Electrical Components & Equipment — 2.5% | ||
Acuity Brands, Inc. | 7,792 | $ 1,200,280 |
Emerson Electric Co. | 38,287 | 3,045,348 |
4,245,628 | ||
Electronics — 1.7% | ||
Keysight Technologies, Inc.* | 20,636 | 2,844,673 |
Engineering & Construction — 0.9% | ||
EMCOR Group, Inc. | 15,170 | 1,561,903 |
Healthcare Products — 2.2% | ||
PerkinElmer, Inc. | 26,476 | 3,765,417 |
Healthcare Services — 5.6% | ||
Elevance Health, Inc. | 15,906 | 7,675,918 |
Quest Diagnostics, Inc. | 13,581 | 1,806,001 |
9,481,919 | ||
Home Builders — 1.6% | ||
D.R. Horton, Inc. | 40,310 | 2,668,119 |
Insurance — 5.7% | ||
Aflac, Inc. | 11,400 | 630,762 |
Berkshire Hathaway, Inc., Class B* | 22,913 | 6,255,707 |
The Allstate Corp. | 21,748 | 2,756,124 |
9,642,593 | ||
Internet — 0.9% | ||
Booking Holdings, Inc.* | 520 | 909,475 |
Netflix, Inc.* | 3,630 | 634,778 |
1,544,253 | ||
Iron & Steel — 0.4% | ||
Steel Dynamics, Inc. | 9,088 | 601,171 |
Machinery — Diversified — 2.4% | ||
Altra Industrial Motion Corp. | 21,558 | 759,920 |
The Middleby Corp.* | 4,811 | 603,107 |
The Toro Co. | 15,717 | 1,191,191 |
Westinghouse Air Brake Technologies Corp. | 17,934 | 1,472,023 |
4,026,241 | ||
Media — 2.8% | ||
Comcast Corp., Class A | 120,382 | 4,723,790 |
Mining — 0.8% | ||
BHP Group Ltd., ADR | 24,289 | 1,364,556 |
Miscellaneous Manufacturing — 1.6% | ||
Textron, Inc. | 45,170 | 2,758,532 |
Oil & Gas — 5.0% | ||
Chevron Corp. | 8,357 | 1,209,926 |
ConocoPhillips | 13,440 | 1,207,046 |
EOG Resources, Inc. | 20,322 | 2,244,362 |
Helmerich & Payne, Inc. | 30,643 | 1,319,487 |
Phillips 66 | 27,432 | 2,249,150 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Oil & Gas — (continued) | ||
Woodside Energy Group Ltd., ADR | 8,778 | $ 189,254 |
8,419,225 | ||
Pharmaceuticals — 6.3% | ||
Cigna Corp. | 15,483 | 4,080,080 |
Pfizer, Inc. | 24,403 | 1,279,449 |
Roche Holding AG, ADR | 128,690 | 5,367,659 |
10,727,188 | ||
Real Estate — 1.9% | ||
CBRE Group, Inc., Class A* | 42,576 | 3,134,019 |
Retail — 7.5% | ||
AutoZone, Inc.* | 987 | 2,121,181 |
Lowe's Cos., Inc. | 17,299 | 3,021,616 |
MSC Industrial Direct Co., Inc., Class A | 19,228 | 1,444,215 |
Murphy USA, Inc. | 4,111 | 957,329 |
Target Corp. | 18,451 | 2,605,835 |
Ulta Beauty, Inc.* | 2,737 | 1,055,059 |
Walmart, Inc. | 12,321 | 1,497,987 |
12,703,222 | ||
Semiconductors — 2.1% | ||
IPG Photonics Corp.* | 17,214 | 1,620,354 |
MKS Instruments, Inc. | 9,946 | 1,020,758 |
NXP Semiconductors N.V. | 6,620 | 979,958 |
3,621,070 | ||
Telecommunications — 2.8% | ||
Ciena Corp.* | 14,006 | 640,074 |
Cisco Systems, Inc. | 35,369 | 1,508,134 |
Verizon Communications, Inc. | 51,067 | 2,591,651 |
4,739,859 | ||
Transportation — 3.3% | ||
Expeditors International of Washington, Inc. | 11,928 | 1,162,503 |
FedEx Corp. | 5,710 | 1,294,514 |
Knight-Swift Transportation Holdings, Inc. | 69,021 | 3,194,982 |
5,651,999 | ||
TOTAL COMMON STOCKS (Cost $151,921,375) | 160,380,957 | |
REAL ESTATE INVESTMENT TRUSTS — 1.8% | ||
Diversified — 1.8% | ||
Weyerhaeuser Co. (Cost $3,598,646) | 94,360 | 3,125,203 |
Number ofShares | Value† | |
SHORT-TERM INVESTMENTS — 5.1% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 1.320%) (Cost $8,542,854) | 8,542,854 | $ 8,542,854 |
TOTAL INVESTMENTS — 101.9% (Cost $164,062,875) | $ 172,049,014 | |
Other Assets & Liabilities — (1.9)% | (3,148,952) | |
TOTAL NET ASSETS — 100.0% | $ 168,900,062 |
† | See Security Valuation Note. |
* | Non-income producing security. |
ADR— American Depositary Receipt. |
AG— Aktiengesellschaft. |
N.V.— Naamloze Vennootschap. |
Country Weightings as of 6/30/2022†† | |
United States | 95% |
Switzerland | 3 |
Australia | 1 |
Netherlands | 1 |
Total | 100% |
†† | % of total investments as of June 30, 2022. |
ASSETS TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Common Stocks | $160,380,957 | $160,380,957 | $— | $— |
Real Estate Investment Trusts | 3,125,203 | 3,125,203 | — | — |
Short-Term Investments | 8,542,854 | 8,542,854 | — | — |
Total Investments | $ 172,049,014 | $ 172,049,014 | $ — | $ — |
Number of Shares | Value† | |
COMMON STOCKS — 95.1% | ||
Aerospace & Defense — 1.1% | ||
Hexcel Corp. | 32,840 | $ 1,717,860 |
Auto Manufacturers — 1.2% | ||
PACCAR, Inc. | 22,445 | 1,848,121 |
Banks — 8.9% | ||
M&T Bank Corp. | 24,514 | 3,907,287 |
State Street Corp. | 24,934 | 1,537,181 |
The Goldman Sachs Group, Inc. | 12,463 | 3,701,760 |
Wells Fargo & Co. | 118,414 | 4,638,276 |
13,784,504 | ||
Beverages — 2.3% | ||
Constellation Brands, Inc., Class A | 15,317 | 3,569,780 |
Biotechnology — 0.6% | ||
Royalty Pharma PLC, Class A | 22,167 | 931,901 |
Building Materials — 1.4% | ||
Johnson Controls International PLC | 46,399 | 2,221,584 |
Chemicals — 1.6% | ||
FMC Corp. | 23,214 | 2,484,130 |
Commercial Services — 0.9% | ||
Euronet Worldwide, Inc.* | 14,261 | 1,434,514 |
Diversified Financial Services — 3.2% | ||
Stifel Financial Corp. | 20,996 | 1,176,196 |
The Charles Schwab Corp. | 60,276 | 3,808,238 |
4,984,434 | ||
Electric — 7.0% | ||
CMS Energy Corp. | 34,178 | 2,307,015 |
Edison International | 34,809 | 2,201,321 |
NextEra Energy, Inc. | 53,432 | 4,138,843 |
Sempra Energy | 14,989 | 2,252,397 |
10,899,576 | ||
Food — 3.5% | ||
Performance Food Group Co.* | 38,315 | 1,761,724 |
The Hershey Co. | 16,635 | 3,579,186 |
5,340,910 | ||
Healthcare Products — 7.5% | ||
Teleflex, Inc. | 9,930 | 2,441,290 |
Thermo Fisher Scientific, Inc. | 6,720 | 3,650,842 |
Waters Corp.* | 9,722 | 3,217,788 |
Zimmer Biomet Holdings, Inc. | 22,181 | 2,330,336 |
11,640,256 | ||
Insurance — 6.0% | ||
American International Group, Inc. | 60,766 | 3,106,966 |
Arch Capital Group Ltd.* | 45,973 | 2,091,312 |
Reinsurance Group of America, Inc. | 10,060 | 1,179,937 |
The Allstate Corp. | 22,443 | 2,844,201 |
9,222,416 | ||
Internet — 2.5% | ||
Alphabet, Inc., Class A* | 1,747 | 3,807,167 |
Number of Shares | Value† | |
Lodging — 1.1% | ||
Hilton Worldwide Holdings, Inc. | 14,830 | $ 1,652,655 |
Machinery — Diversified — 1.7% | ||
Westinghouse Air Brake Technologies Corp. | 32,985 | 2,707,409 |
Media — 2.7% | ||
Fox Corp., Class A | 42,191 | 1,356,863 |
The Walt Disney Co.* | 29,091 | 2,746,190 |
4,103,053 | ||
Miscellaneous Manufacturing — 1.4% | ||
Eaton Corp. PLC | 16,628 | 2,094,962 |
Oil & Gas — 7.1% | ||
Chevron Corp. | 26,918 | 3,897,188 |
ConocoPhillips | 45,676 | 4,102,161 |
EOG Resources, Inc. | 26,974 | 2,979,009 |
10,978,358 | ||
Packaging and Containers — 1.3% | ||
Packaging Corp. of America | 14,603 | 2,007,913 |
Pharmaceuticals — 11.4% | ||
AbbVie, Inc. | 18,958 | 2,903,607 |
Bristol-Myers Squibb Co. | 52,326 | 4,029,102 |
Johnson & Johnson | 30,042 | 5,332,756 |
Neurocrine Biosciences, Inc.* | 23,211 | 2,262,608 |
Sanofi, ADR | 61,140 | 3,058,834 |
17,586,907 | ||
Retail — 5.7% | ||
BJ's Wholesale Club Holdings, Inc.* | 45,962 | 2,864,352 |
Dollar Tree, Inc.* | 14,828 | 2,310,944 |
Lithia Motors, Inc. | 6,965 | 1,914,051 |
Papa John's International, Inc. | 21,479 | 1,793,926 |
8,883,273 | ||
Semiconductors — 2.9% | ||
Micron Technology, Inc. | 36,317 | 2,007,604 |
Texas Instruments, Inc. | 16,434 | 2,525,084 |
4,532,688 | ||
Shipbuilding — 2.2% | ||
Huntington Ingalls Industries, Inc. | 15,955 | 3,475,318 |
Software — 3.4% | ||
Fidelity National Information Services, Inc. | 31,450 | 2,883,022 |
VMware, Inc., Class A | 20,402 | 2,325,420 |
5,208,442 | ||
Telecommunications — 4.5% | ||
Cisco Systems, Inc. | 57,029 | 2,431,717 |
Verizon Communications, Inc. | 87,962 | 4,464,071 |
6,895,788 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Transportation — 2.0% | ||
C.H. Robinson Worldwide, Inc. | 30,905 | $ 3,132,840 |
TOTAL COMMON STOCKS (Cost $142,059,006) | 147,146,759 | |
REAL ESTATE INVESTMENT TRUSTS — 5.2% | ||
Apartments — 3.2% | ||
Invitation Homes, Inc. | 57,369 | 2,041,189 |
Mid-America Apartment Communities, Inc. | 16,854 | 2,943,888 |
4,985,077 | ||
Healthcare — 0.9% | ||
Healthpeak Properties, Inc. | 53,576 | 1,388,154 |
Industrial — 1.1% | ||
EastGroup Properties, Inc. | 10,899 | 1,682,043 |
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $7,974,916) | 8,055,274 |
SHORT-TERM INVESTMENTS — 0.4% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 1.320%) (Cost $622,696) | 622,696 | 622,696 |
TOTAL INVESTMENTS — 100.7% (Cost $150,656,618) | $ 155,824,729 | |
Other Assets & Liabilities — (0.7)% | (1,048,703) | |
TOTAL NET ASSETS — 100.0% | $ 154,776,026 |
† | See Security Valuation Note. |
* | Non-income producing security. |
ADR— American Depositary Receipt. |
PLC— Public Limited Company. |
ASSETS TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Common Stocks | $147,146,759 | $147,146,759 | $— | $— |
Real Estate Investment Trusts | 8,055,274 | 8,055,274 | — | — |
Short-Term Investments | 622,696 | 622,696 | — | — |
Total Investments | $ 155,824,729 | $ 155,824,729 | $ — | $ — |
Number of Shares | Value† | |
COMMON STOCKS — 95.7% | ||
Advertising — 0.1% | ||
Omnicom Group, Inc. | 3,624 | $ 230,523 |
The Interpublic Group of Cos., Inc. | 6,870 | 189,131 |
419,654 | ||
Aerospace & Defense — 1.7% | ||
General Dynamics Corp. | 4,145 | 917,081 |
Howmet Aerospace, Inc. | 6,957 | 218,798 |
L3Harris Technologies, Inc. | 3,532 | 853,684 |
Lockheed Martin Corp. | 4,262 | 1,832,490 |
Northrop Grumman Corp. | 2,635 | 1,261,032 |
Raytheon Technologies Corp. | 26,729 | 2,568,924 |
Teledyne Technologies, Inc.* | 806 | 302,339 |
The Boeing Co.* | 10,021 | 1,370,071 |
TransDigm Group, Inc.* | 952 | 510,910 |
9,835,329 | ||
Agriculture — 0.8% | ||
Altria Group, Inc. | 32,704 | 1,366,046 |
Archer-Daniels-Midland Co. | 10,068 | 781,277 |
Philip Morris International, Inc. | 27,753 | 2,740,331 |
4,887,654 | ||
Airlines — 0.2% | ||
Alaska Air Group, Inc.* | 2,219 | 88,871 |
American Airlines Group, Inc.* | 10,613 | 134,573 |
Delta Air Lines, Inc.* | 10,994 | 318,496 |
Southwest Airlines Co.* | 10,799 | 390,060 |
United Airlines Holdings, Inc.* | 5,556 | 196,793 |
1,128,793 | ||
Apparel — 0.5% | ||
NIKE, Inc., Class B | 22,857 | 2,335,986 |
PVH Corp. | 1,149 | 65,378 |
Ralph Lauren Corp. | 856 | 76,740 |
Tapestry, Inc. | 4,359 | 133,037 |
VF Corp. | 5,520 | 243,818 |
2,854,959 | ||
Auto Manufacturers — 2.2% | ||
Cummins, Inc. | 2,574 | 498,146 |
Ford Motor Co. | 70,754 | 787,492 |
General Motors Co.* | 26,132 | 829,952 |
PACCAR, Inc. | 6,273 | 516,519 |
Tesla, Inc.* | 15,038 | 10,126,890 |
12,758,999 | ||
Auto Parts & Equipment — 0.1% | ||
Aptiv PLC* | 4,894 | 435,909 |
BorgWarner, Inc. | 4,082 | 136,216 |
572,125 | ||
Banks — 4.5% | ||
Bank of America Corp. | 127,201 | 3,959,767 |
Citigroup, Inc. | 34,946 | 1,607,167 |
Citizens Financial Group, Inc. | 8,561 | 305,542 |
Comerica, Inc. | 2,216 | 162,610 |
Fifth Third Bancorp | 12,479 | 419,294 |
First Republic Bank | 3,244 | 467,785 |
Number of Shares | Value† | |
Banks — (continued) | ||
Huntington Bancshares, Inc. | 26,148 | $ 314,560 |
JPMorgan Chase & Co. | 52,631 | 5,926,777 |
KeyCorp | 16,921 | 291,549 |
M&T Bank Corp. | 3,237 | 515,945 |
Morgan Stanley | 25,407 | 1,932,456 |
Northern Trust Corp. | 3,774 | 364,116 |
Regions Financial Corp. | 16,177 | 303,319 |
Signature Bank | 1,086 | 194,622 |
State Street Corp. | 6,629 | 408,678 |
SVB Financial Group* | 1,063 | 419,874 |
The Bank of New York Mellon Corp. | 13,357 | 557,121 |
The Goldman Sachs Group, Inc. | 6,183 | 1,836,475 |
The PNC Financial Services Group, Inc. | 7,542 | 1,189,901 |
Truist Financial Corp. | 23,976 | 1,137,182 |
US Bancorp | 24,255 | 1,116,215 |
Wells Fargo & Co. | 67,861 | 2,658,115 |
Zions Bancorp NA | 2,571 | 130,864 |
26,219,934 | ||
Beverages — 1.8% | ||
Brown-Forman Corp., Class B | 3,351 | 235,106 |
Constellation Brands, Inc., Class A | 2,961 | 690,091 |
Keurig Dr Pepper, Inc. | 13,398 | 474,155 |
Molson Coors Beverage Co., Class B | 3,112 | 169,635 |
Monster Beverage Corp.* | 6,778 | 628,321 |
PepsiCo, Inc. | 24,758 | 4,126,168 |
The Coca-Cola Co. | 70,107 | 4,410,431 |
10,733,907 | ||
Biotechnology — 1.6% | ||
Amgen, Inc. | 9,570 | 2,328,381 |
Biogen, Inc.* | 2,558 | 521,679 |
Bio-Rad Laboratories, Inc., Class A* | 377 | 186,615 |
Corteva, Inc. | 13,094 | 708,909 |
Gilead Sciences, Inc. | 22,513 | 1,391,529 |
Illumina, Inc.* | 2,823 | 520,448 |
Incyte Corp.* | 3,319 | 252,144 |
Moderna, Inc.* | 6,348 | 906,812 |
Regeneron Pharmaceuticals, Inc.* | 1,917 | 1,133,196 |
Vertex Pharmaceuticals, Inc.* | 4,572 | 1,288,344 |
9,238,057 | ||
Building Materials — 0.4% | ||
Carrier Global Corp. | 15,443 | 550,697 |
Fortune Brands Home & Security, Inc. | 2,304 | 137,964 |
Johnson Controls International PLC | 12,670 | 606,640 |
Martin Marietta Materials, Inc. | 1,133 | 339,039 |
Masco Corp. | 4,204 | 212,722 |
Mohawk Industries, Inc.* | 967 | 119,995 |
Vulcan Materials Co. | 2,423 | 344,308 |
2,311,365 | ||
Chemicals — 1.6% | ||
Air Products and Chemicals, Inc. | 3,986 | 958,553 |
Albemarle Corp. | 2,117 | 442,411 |
Celanese Corp. | 1,885 | 221,695 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Chemicals — (continued) | ||
CF Industries Holdings, Inc. | 3,895 | $ 333,918 |
Dow, Inc. | 13,247 | 683,678 |
DuPont de Nemours, Inc. | 9,260 | 514,671 |
Eastman Chemical Co. | 2,246 | 201,623 |
Ecolab, Inc. | 4,493 | 690,844 |
FMC Corp. | 2,141 | 229,108 |
International Flavors & Fragrances, Inc. | 4,598 | 547,714 |
Linde PLC | 9,008 | 2,590,070 |
LyondellBasell Industries N.V., Class A | 4,580 | 400,567 |
PPG Industries, Inc. | 4,134 | 472,682 |
The Mosaic Co. | 6,376 | 301,138 |
The Sherwin-Williams Co. | 4,335 | 970,650 |
9,559,322 | ||
Commercial Services — 1.7% | ||
Automatic Data Processing, Inc. | 7,534 | 1,582,441 |
Cintas Corp. | 1,592 | 594,660 |
Equifax, Inc. | 2,114 | 386,397 |
FleetCor Technologies, Inc.* | 1,404 | 294,994 |
Gartner, Inc.* | 1,418 | 342,915 |
Global Payments, Inc. | 5,139 | 568,579 |
MarketAxess Holdings, Inc. | 652 | 166,919 |
Moody's Corp. | 2,912 | 791,977 |
Nielsen Holdings PLC | 6,031 | 140,040 |
PayPal Holdings, Inc.* | 20,893 | 1,459,167 |
Quanta Services, Inc. | 2,481 | 310,969 |
Robert Half International, Inc. | 1,870 | 140,044 |
Rollins, Inc. | 3,704 | 129,344 |
S&P Global, Inc. | 6,258 | 2,109,321 |
United Rentals, Inc.* | 1,241 | 301,451 |
Verisk Analytics, Inc. | 2,916 | 504,730 |
9,823,948 | ||
Computers — 8.1% | ||
Accenture PLC, Class A | 11,314 | 3,141,332 |
Apple, Inc. | 275,610 | 37,681,399 |
Cognizant Technology Solutions Corp., Class A | 9,469 | 639,063 |
DXC Technology Co.* | 4,316 | 130,818 |
EPAM Systems, Inc.* | 987 | 290,948 |
Fortinet, Inc.* | 12,230 | 691,973 |
Hewlett Packard Enterprise Co. | 22,385 | 296,825 |
HP, Inc. | 19,514 | 639,669 |
International Business Machines Corp. | 16,067 | 2,268,500 |
Leidos Holdings, Inc. | 2,377 | 239,388 |
NetApp, Inc. | 3,879 | 253,066 |
Seagate Technology Holdings PLC | 3,505 | 250,397 |
Western Digital Corp.* | 5,440 | 243,875 |
46,767,253 | ||
Cosmetics & Personal Care — 1.5% | ||
Colgate-Palmolive Co. | 15,138 | 1,213,159 |
The Estee Lauder Cos., Inc., Class A | 4,177 | 1,063,757 |
The Procter & Gamble Co. | 43,097 | 6,196,918 |
8,473,834 |
Number of Shares | Value† | |
Distribution & Wholesale — 0.3% | ||
Copart, Inc.* | 3,868 | $ 420,297 |
Fastenal Co. | 10,400 | 519,168 |
LKQ Corp. | 4,551 | 223,409 |
Pool Corp. | 699 | 245,510 |
W.W. Grainger, Inc. | 785 | 356,727 |
1,765,111 | ||
Diversified Financial Services — 3.7% | ||
American Express Co. | 11,030 | 1,528,979 |
Ameriprise Financial, Inc. | 1,925 | 457,534 |
BlackRock, Inc. | 2,557 | 1,557,315 |
Capital One Financial Corp. | 7,144 | 744,334 |
Cboe Global Markets, Inc. | 1,775 | 200,912 |
CME Group, Inc. | 6,451 | 1,320,520 |
Discover Financial Services | 5,207 | 492,478 |
Franklin Resources, Inc. | 4,610 | 107,459 |
Intercontinental Exchange, Inc. | 10,100 | 949,804 |
Invesco Ltd. | 6,199 | 99,990 |
Mastercard, Inc., Class A | 15,440 | 4,871,011 |
Nasdaq, Inc. | 2,130 | 324,910 |
Raymond James Financial, Inc. | 3,539 | 316,422 |
Synchrony Financial | 9,056 | 250,127 |
T. Rowe Price Group, Inc. | 4,148 | 471,254 |
The Charles Schwab Corp. | 26,957 | 1,703,143 |
Visa, Inc., Class A | 29,503 | 5,808,846 |
21,205,038 | ||
Electric — 2.9% | ||
Alliant Energy Corp. | 4,369 | 256,067 |
Ameren Corp. | 4,702 | 424,873 |
American Electric Power Co., Inc. | 9,063 | 869,504 |
CenterPoint Energy, Inc. | 10,932 | 323,369 |
CMS Energy Corp. | 5,269 | 355,658 |
Consolidated Edison, Inc. | 6,386 | 607,309 |
Constellation Energy Corp. | 5,611 | 321,286 |
Dominion Energy, Inc. | 14,551 | 1,161,315 |
DTE Energy Co. | 3,524 | 446,667 |
Duke Energy Corp. | 13,803 | 1,479,820 |
Edison International | 6,882 | 435,218 |
Entergy Corp. | 3,645 | 410,573 |
Evergy, Inc. | 4,003 | 261,196 |
Eversource Energy | 6,215 | 524,981 |
Exelon Corp. | 17,638 | 799,354 |
FirstEnergy Corp. | 9,833 | 377,489 |
NextEra Energy, Inc. | 35,139 | 2,721,867 |
NRG Energy, Inc. | 4,337 | 165,543 |
Pinnacle West Capital Corp. | 1,859 | 135,930 |
PPL Corp. | 13,003 | 352,771 |
Public Service Enterprise Group, Inc. | 9,130 | 577,746 |
Sempra Energy | 5,746 | 863,451 |
The AES Corp. | 11,235 | 236,047 |
The Southern Co. | 19,024 | 1,356,601 |
WEC Energy Group, Inc. | 5,699 | 573,547 |
Xcel Energy, Inc. | 9,713 | 687,292 |
16,725,474 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Electrical Components & Equipment — 0.3% | ||
AMETEK, Inc. | 4,185 | $ 459,890 |
Emerson Electric Co. | 10,681 | 849,567 |
Generac Holdings, Inc.* | 1,089 | 229,321 |
1,538,778 | ||
Electronics — 1.0% | ||
Agilent Technologies, Inc. | 5,416 | 643,258 |
Allegion PLC | 1,496 | 146,458 |
Amphenol Corp., Class A | 10,789 | 694,596 |
Fortive Corp. | 6,268 | 340,854 |
Garmin Ltd. | 2,774 | 272,546 |
Honeywell International, Inc. | 12,286 | 2,135,430 |
Keysight Technologies, Inc.* | 3,312 | 456,559 |
Mettler-Toledo International, Inc.* | 416 | 477,888 |
TE Connectivity Ltd. | 5,865 | 663,625 |
Trimble, Inc.* | 4,300 | 250,389 |
6,081,603 | ||
Energy-Alternate Sources — 0.1% | ||
Enphase Energy, Inc.* | 2,424 | 473,262 |
SolarEdge Technologies, Inc.* | 1,016 | 278,059 |
751,321 | ||
Engineering & Construction — 0.1% | ||
Jacobs Engineering Group, Inc. | 2,355 | 299,391 |
Entertainment — 0.1% | ||
Caesars Entertainment, Inc.* | 3,669 | 140,523 |
Live Nation Entertainment, Inc.* | 2,352 | 194,228 |
Penn National Gaming, Inc.* | 2,612 | 79,457 |
414,208 | ||
Environmental Control — 0.3% | ||
Pentair PLC | 2,923 | 133,786 |
Republic Services, Inc. | 3,778 | 494,427 |
Waste Management, Inc. | 6,916 | 1,058,009 |
1,686,222 | ||
Food — 1.2% | ||
Campbell Soup Co. | 3,301 | 158,613 |
Conagra Brands, Inc. | 8,186 | 280,289 |
General Mills, Inc. | 10,865 | 819,764 |
Hormel Foods Corp. | 5,169 | 244,804 |
Kellogg Co. | 4,489 | 320,245 |
Lamb Weston Holdings, Inc. | 2,600 | 185,796 |
McCormick & Co., Inc. | 4,531 | 377,206 |
Mondelez International, Inc., Class A | 24,905 | 1,546,351 |
Sysco Corp. | 9,139 | 774,165 |
The Hershey Co. | 2,647 | 569,529 |
The J.M. Smucker Co. | 1,836 | 235,026 |
The Kraft Heinz Co. | 12,378 | 472,097 |
The Kroger Co. | 12,069 | 571,226 |
Tyson Foods, Inc., Class A | 5,052 | 434,775 |
6,989,886 | ||
Forest Products & Paper — 0.0% | ||
International Paper Co. | 6,646 | 278,002 |
Number of Shares | Value† | |
Gas — 0.1% | ||
Atmos Energy Corp. | 2,548 | $ 285,631 |
NiSource, Inc. | 6,920 | 204,071 |
489,702 | ||
Hand & Machine Tools — 0.1% | ||
Snap-on, Inc. | 901 | 177,524 |
Stanley Black & Decker, Inc. | 2,788 | 292,350 |
469,874 | ||
Healthcare Products — 3.8% | ||
Abbott Laboratories | 31,395 | 3,411,067 |
ABIOMED, Inc.* | 773 | 191,325 |
Align Technology, Inc.* | 1,334 | 315,718 |
Baxter International, Inc. | 9,031 | 580,061 |
Bio-Techne Corp. | 680 | 235,715 |
Boston Scientific Corp.* | 25,622 | 954,932 |
Danaher Corp. | 11,590 | 2,938,297 |
DENTSPLY SIRONA, Inc. | 3,666 | 130,986 |
Edwards Lifesciences Corp.* | 11,221 | 1,067,005 |
Henry Schein, Inc.* | 2,410 | 184,943 |
Hologic, Inc.* | 4,338 | 300,623 |
IDEXX Laboratories, Inc.* | 1,532 | 537,318 |
Intuitive Surgical, Inc.* | 6,422 | 1,288,960 |
Medtronic PLC | 24,090 | 2,162,078 |
PerkinElmer, Inc. | 2,172 | 308,902 |
ResMed, Inc. | 2,641 | 553,633 |
STERIS PLC | 1,818 | 374,781 |
Stryker Corp. | 6,028 | 1,199,150 |
Teleflex, Inc. | 811 | 199,384 |
The Cooper Cos., Inc. | 837 | 262,081 |
Thermo Fisher Scientific, Inc. | 7,052 | 3,831,211 |
Waters Corp.* | 1,108 | 366,726 |
West Pharmaceutical Services, Inc. | 1,349 | 407,897 |
Zimmer Biomet Holdings, Inc. | 3,815 | 400,804 |
22,203,597 | ||
Healthcare Services — 2.7% | ||
Catalent, Inc.* | 3,102 | 332,813 |
Centene Corp.* | 10,501 | 888,490 |
Charles River Laboratories International, Inc.* | 877 | 187,652 |
DaVita, Inc.* | 1,114 | 89,075 |
Elevance Health, Inc. | 4,350 | 2,099,223 |
HCA Healthcare, Inc. | 4,139 | 695,600 |
Humana, Inc. | 2,310 | 1,081,242 |
IQVIA Holdings, Inc.* | 3,442 | 746,879 |
Laboratory Corp. of America Holdings | 1,613 | 378,023 |
Molina Healthcare, Inc.* | 1,000 | 279,610 |
Quest Diagnostics, Inc. | 2,068 | 275,003 |
UnitedHealth Group, Inc. | 16,842 | 8,650,556 |
Universal Health Services, Inc., Class B | 1,198 | 120,651 |
15,824,817 | ||
Home Builders — 0.2% | ||
D.R. Horton, Inc. | 5,850 | 387,211 |
Lennar Corp., Class A | 4,543 | 320,600 |
NVR, Inc.* | 57 | 228,236 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Home Builders — (continued) | ||
PulteGroup, Inc. | 4,322 | $ 171,281 |
1,107,328 | ||
Home Furnishings — 0.0% | ||
Whirlpool Corp. | 1,045 | 161,839 |
Household Products & Wares — 0.3% | ||
Avery Dennison Corp. | 1,404 | 227,265 |
Church & Dwight Co., Inc. | 4,176 | 386,948 |
Kimberly-Clark Corp. | 6,065 | 819,685 |
The Clorox Co. | 2,124 | 299,442 |
1,733,340 | ||
Housewares — 0.0% | ||
Newell Brands, Inc. | 6,181 | 117,686 |
Insurance — 3.7% | ||
Aflac, Inc. | 10,826 | 599,003 |
American International Group, Inc. | 14,228 | 727,478 |
Aon PLC, Class A | 3,861 | 1,041,234 |
Arthur J. Gallagher & Co. | 3,762 | 613,356 |
Assurant, Inc. | 984 | 170,084 |
Berkshire Hathaway, Inc., Class B* | 32,420 | 8,851,308 |
Brown & Brown, Inc. | 4,000 | 233,360 |
Chubb Ltd. | 7,726 | 1,518,777 |
Cincinnati Financial Corp. | 2,604 | 309,824 |
Everest Re Group Ltd. | 724 | 202,923 |
Globe Life, Inc. | 1,660 | 161,800 |
Lincoln National Corp. | 2,809 | 131,377 |
Loews Corp. | 3,414 | 202,314 |
Marsh & McLennan Cos., Inc. | 9,061 | 1,406,720 |
MetLife, Inc. | 12,630 | 793,038 |
Principal Financial Group, Inc. | 4,125 | 275,509 |
Prudential Financial, Inc. | 6,815 | 652,059 |
The Allstate Corp. | 5,061 | 641,381 |
The Hartford Financial Services Group, Inc. | 6,070 | 397,160 |
The Progressive Corp. | 10,494 | 1,220,137 |
The Travelers Cos., Inc. | 4,345 | 734,870 |
W.R. Berkley Corp. | 3,665 | 250,173 |
Willis Towers Watson PLC | 2,034 | 401,491 |
21,535,376 | ||
Internet — 8.8% | ||
Alphabet, Inc., Class A* | 5,390 | 11,746,211 |
Alphabet, Inc., Class C* | 4,941 | 10,808,190 |
Amazon.com, Inc.* | 157,072 | 16,682,617 |
Booking Holdings, Inc.* | 737 | 1,289,006 |
CDW Corp. | 2,460 | 387,598 |
eBay, Inc. | 10,235 | 426,492 |
Etsy, Inc.* | 2,200 | 161,062 |
Expedia Group, Inc.* | 2,586 | 245,230 |
F5, Inc.* | 1,076 | 164,671 |
Match Group, Inc.* | 5,133 | 357,719 |
Meta Platforms, Inc., Class A* | 41,116 | 6,629,955 |
Netflix, Inc.* | 7,965 | 1,392,840 |
NortonLifeLock, Inc. | 9,740 | 213,890 |
Number of Shares | Value† | |
Internet — (continued) | ||
Twitter, Inc.* | 14,439 | $ 539,874 |
VeriSign, Inc.* | 1,762 | 294,836 |
51,340,191 | ||
Iron & Steel — 0.1% | ||
Nucor Corp. | 4,910 | 512,653 |
Leisure Time — 0.1% | ||
Carnival Corp.* | 13,604 | 117,675 |
Norwegian Cruise Line Holdings Ltd.* | 7,409 | 82,388 |
Royal Caribbean Cruises Ltd.* | 3,857 | 134,648 |
334,711 | ||
Lodging — 0.3% | ||
Hilton Worldwide Holdings, Inc. | 5,028 | 560,321 |
Las Vegas Sands Corp.* | 5,905 | 198,349 |
Marriott International, Inc., Class A | 4,926 | 669,985 |
MGM Resorts International | 6,921 | 200,363 |
Wynn Resorts Ltd.* | 1,735 | 98,860 |
1,727,878 | ||
Machinery — Construction & Mining — 0.3% | ||
Caterpillar, Inc. | 9,694 | 1,732,899 |
Machinery — Diversified — 0.7% | ||
Deere & Co. | 5,029 | 1,506,035 |
Dover Corp. | 2,461 | 298,568 |
IDEX Corp. | 1,300 | 236,119 |
Ingersoll Rand, Inc. | 7,057 | 296,959 |
Nordson Corp. | 900 | 182,196 |
Otis Worldwide Corp. | 7,676 | 542,463 |
Rockwell Automation, Inc. | 2,017 | 402,008 |
Westinghouse Air Brake Technologies Corp. | 3,258 | 267,417 |
Xylem, Inc. | 3,067 | 239,778 |
3,971,543 | ||
Media — 1.5% | ||
Charter Communications, Inc., Class A* | 2,143 | 1,004,060 |
Comcast Corp., Class A | 80,159 | 3,145,439 |
DISH Network Corp., Class A* | 4,152 | 74,445 |
FactSet Research Systems, Inc. | 645 | 248,048 |
Fox Corp., Class A | 5,368 | 172,635 |
Fox Corp., Class B | 2,720 | 80,784 |
News Corp., Class A | 6,937 | 108,078 |
News Corp., Class B | 1,762 | 27,998 |
Paramount Global, Class B | 10,467 | 258,326 |
The Walt Disney Co.* | 32,593 | 3,076,779 |
Warner Bros Discovery, Inc.* | 39,902 | 535,485 |
8,732,077 | ||
Mining — 0.3% | ||
Freeport-McMoRan, Inc. | 26,388 | 772,113 |
Newmont Corp. | 14,341 | 855,727 |
1,627,840 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Miscellaneous Manufacturing — 1.0% | ||
3M Co. | 10,248 | $ 1,326,194 |
A.O. Smith Corp. | 2,201 | 120,351 |
Eaton Corp. PLC | 7,166 | 902,844 |
General Electric Co. | 19,727 | 1,256,018 |
Illinois Tool Works, Inc. | 5,135 | 935,854 |
Parker-Hannifin Corp. | 2,318 | 570,344 |
Textron, Inc. | 3,865 | 236,035 |
Trane Technologies PLC | 4,218 | 547,792 |
5,895,432 | ||
Office & Business Equipment — 0.0% | ||
Zebra Technologies Corp., Class A* | 967 | 284,250 |
Oil & Gas — 3.7% | ||
APA Corp. | 6,242 | 217,846 |
Chevron Corp. | 35,294 | 5,109,865 |
ConocoPhillips | 23,322 | 2,094,549 |
Coterra Energy, Inc. | 14,725 | 379,758 |
Devon Energy Corp. | 11,334 | 624,617 |
Diamondback Energy, Inc. | 3,082 | 373,384 |
EOG Resources, Inc. | 10,500 | 1,159,620 |
Exxon Mobil Corp. | 75,711 | 6,483,890 |
Hess Corp. | 4,975 | 527,052 |
Marathon Oil Corp. | 12,219 | 274,683 |
Marathon Petroleum Corp. | 9,720 | 799,081 |
Occidental Petroleum Corp. | 15,950 | 939,136 |
Phillips 66 | 8,725 | 715,363 |
Pioneer Natural Resources Co. | 4,079 | 909,943 |
Valero Energy Corp. | 7,350 | 781,158 |
21,389,945 | ||
Oil & Gas Services — 0.3% | ||
Baker Hughes Co. | 16,364 | 472,429 |
Halliburton Co. | 16,218 | 508,597 |
Schlumberger Ltd. N.V. | 25,215 | 901,688 |
1,882,714 | ||
Packaging and Containers — 0.2% | ||
Amcor PLC | 26,132 | 324,821 |
Ball Corp. | 5,874 | 403,955 |
Packaging Corp. of America | 1,598 | 219,725 |
Sealed Air Corp. | 2,463 | 142,164 |
Westrock Co. | 4,629 | 184,419 |
1,275,084 | ||
Pharmaceuticals — 6.7% | ||
AbbVie, Inc. | 31,632 | 4,844,757 |
AmerisourceBergen Corp. | 2,605 | 368,555 |
Becton Dickinson and Co. | 5,113 | 1,260,508 |
Bristol-Myers Squibb Co. | 38,117 | 2,935,009 |
Cardinal Health, Inc. | 4,830 | 252,464 |
Cigna Corp. | 5,690 | 1,499,429 |
CVS Health Corp. | 23,516 | 2,178,993 |
Dexcom, Inc.* | 7,008 | 522,306 |
Eli Lilly & Co. | 14,207 | 4,606,336 |
Johnson & Johnson | 47,253 | 8,387,880 |
McKesson Corp. | 2,695 | 879,136 |
Number of Shares | Value† | |
Pharmaceuticals — (continued) | ||
Merck & Co., Inc. | 45,204 | $ 4,121,249 |
Organon & Co. | 4,483 | 151,301 |
Pfizer, Inc. | 100,416 | 5,264,811 |
Viatris, Inc. | 20,379 | 213,368 |
Zoetis, Inc. | 8,491 | 1,459,518 |
38,945,620 | ||
Pipelines — 0.3% | ||
Kinder Morgan, Inc. | 35,171 | 589,466 |
ONEOK, Inc. | 8,065 | 447,608 |
The Williams Cos., Inc. | 21,892 | 683,249 |
1,720,323 | ||
Real Estate — 0.1% | ||
CBRE Group, Inc., Class A* | 5,791 | 426,275 |
Retail — 5.0% | ||
Advance Auto Parts, Inc. | 1,035 | 179,148 |
AutoZone, Inc.* | 372 | 799,473 |
Bath & Body Works, Inc. | 4,228 | 113,818 |
Best Buy Co., Inc. | 3,718 | 242,376 |
CarMax, Inc.* | 2,770 | 250,630 |
Chipotle Mexican Grill, Inc.* | 507 | 662,781 |
Costco Wholesale Corp. | 7,936 | 3,803,566 |
Darden Restaurants, Inc. | 2,210 | 249,995 |
Dollar General Corp. | 4,165 | 1,022,257 |
Dollar Tree, Inc.* | 4,057 | 632,283 |
Domino's Pizza, Inc. | 623 | 242,789 |
Genuine Parts Co. | 2,449 | 325,717 |
Lowe's Cos., Inc. | 11,858 | 2,071,237 |
McDonald's Corp. | 13,259 | 3,273,382 |
O'Reilly Automotive, Inc.* | 1,214 | 766,957 |
Ross Stores, Inc. | 6,389 | 448,699 |
Starbucks Corp. | 20,632 | 1,576,078 |
Target Corp. | 8,260 | 1,166,560 |
The Home Depot, Inc. | 18,508 | 5,076,189 |
The TJX Cos., Inc. | 21,415 | 1,196,028 |
Tractor Supply Co. | 2,063 | 399,912 |
Ulta Beauty, Inc.* | 941 | 362,737 |
Walgreens Boots Alliance, Inc. | 12,944 | 490,578 |
Walmart, Inc. | 25,327 | 3,079,257 |
Yum! Brands, Inc. | 5,215 | 591,955 |
29,024,402 | ||
Semiconductors — 5.0% | ||
Advanced Micro Devices, Inc.* | 29,277 | 2,238,812 |
Analog Devices, Inc. | 9,425 | 1,376,898 |
Applied Materials, Inc. | 15,927 | 1,449,038 |
Broadcom, Inc. | 7,321 | 3,556,615 |
Intel Corp. | 73,526 | 2,750,608 |
KLA Corp. | 2,711 | 865,026 |
Lam Research Corp. | 2,505 | 1,067,506 |
Microchip Technology, Inc. | 10,028 | 582,426 |
Micron Technology, Inc. | 20,106 | 1,111,460 |
Monolithic Power Systems, Inc. | 748 | 287,262 |
NVIDIA Corp. | 44,876 | 6,802,753 |
NXP Semiconductors N.V. | 4,786 | 708,471 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Semiconductors — (continued) | ||
ON Semiconductor Corp.* | 7,901 | $ 397,499 |
Qorvo, Inc.* | 1,996 | 188,263 |
QUALCOMM, Inc. | 20,182 | 2,578,049 |
Skyworks Solutions, Inc. | 2,863 | 265,228 |
Teradyne, Inc. | 2,800 | 250,740 |
Texas Instruments, Inc. | 16,540 | 2,541,371 |
29,018,025 | ||
Shipbuilding — 0.0% | ||
Huntington Ingalls Industries, Inc. | 650 | 141,583 |
Software — 9.7% | ||
Activision Blizzard, Inc. | 13,997 | 1,089,806 |
Adobe, Inc.* | 8,444 | 3,091,011 |
Akamai Technologies, Inc.* | 2,835 | 258,921 |
ANSYS, Inc.* | 1,499 | 358,696 |
Autodesk, Inc.* | 3,963 | 681,477 |
Broadridge Financial Solutions, Inc. | 2,128 | 303,346 |
Cadence Design Systems, Inc.* | 4,991 | 748,800 |
Ceridian HCM Holding, Inc.* | 2,300 | 108,284 |
Citrix Systems, Inc. | 2,185 | 212,316 |
Electronic Arts, Inc. | 5,070 | 616,765 |
Fidelity National Information Services, Inc. | 10,941 | 1,002,961 |
Fiserv, Inc.* | 10,681 | 950,289 |
Intuit, Inc. | 5,075 | 1,956,108 |
Jack Henry & Associates, Inc. | 1,276 | 229,706 |
Microsoft Corp. | 134,234 | 34,475,318 |
MSCI, Inc. | 1,467 | 604,624 |
Oracle Corp. | 28,236 | 1,972,849 |
Paychex, Inc. | 5,786 | 658,852 |
Paycom Software, Inc.* | 848 | 237,542 |
PTC, Inc.* | 1,848 | 196,516 |
Roper Technologies, Inc. | 1,900 | 749,835 |
Salesforce.com, Inc.* | 17,803 | 2,938,207 |
ServiceNow, Inc.* | 3,586 | 1,705,215 |
Synopsys, Inc.* | 2,761 | 838,516 |
Take-Two Interactive Software, Inc.* | 2,750 | 336,958 |
Tyler Technologies, Inc.* | 709 | 235,728 |
56,558,646 | ||
Telecommunications — 2.2% | ||
Arista Networks, Inc.* | 4,070 | 381,522 |
AT&T, Inc. | 127,899 | 2,680,763 |
Cisco Systems, Inc. | 74,365 | 3,170,923 |
Corning, Inc. | 13,818 | 435,405 |
Juniper Networks, Inc. | 5,318 | 151,563 |
Lumen Technologies, Inc. | 15,200 | 165,832 |
Motorola Solutions, Inc. | 3,046 | 638,442 |
T-Mobile US, Inc.* | 10,537 | 1,417,648 |
Verizon Communications, Inc. | 75,132 | 3,812,949 |
12,855,047 | ||
Toys, Games & Hobbies — 0.0% | ||
Hasbro, Inc. | 2,270 | 185,868 |
Number of Shares | Value† | |
Transportation — 1.6% | ||
C.H. Robinson Worldwide, Inc. | 2,277 | $ 230,819 |
CSX Corp. | 39,828 | 1,157,402 |
Expeditors International of Washington, Inc. | 3,086 | 300,762 |
FedEx Corp. | 4,381 | 993,217 |
J.B. Hunt Transport Services, Inc. | 1,537 | 242,031 |
Norfolk Southern Corp. | 4,310 | 979,620 |
Old Dominion Freight Line, Inc. | 1,688 | 432,601 |
Union Pacific Corp. | 11,261 | 2,401,746 |
United Parcel Service, Inc., Class B | 13,212 | 2,411,718 |
9,149,916 | ||
Water — 0.1% | ||
American Water Works Co., Inc. | 3,286 | 488,858 |
TOTAL COMMON STOCKS (Cost $308,950,292) | 556,185,506 | |
REAL ESTATE INVESTMENT TRUSTS — 2.8% | ||
Apartments — 0.4% | ||
AvalonBay Communities, Inc. | 2,436 | 473,193 |
Camden Property Trust | 1,955 | 262,908 |
Equity Residential | 6,189 | 446,970 |
Essex Property Trust, Inc. | 1,194 | 312,243 |
Mid-America Apartment Communities, Inc. | 2,096 | 366,108 |
UDR, Inc. | 5,193 | 239,086 |
2,100,508 | ||
Diversified — 1.2% | ||
American Tower Corp. | 8,328 | 2,128,554 |
Crown Castle International Corp. | 7,759 | 1,306,461 |
Digital Realty Trust, Inc. | 5,115 | 664,081 |
Duke Realty Corp. | 6,912 | 379,814 |
Equinix, Inc. | 1,618 | 1,063,058 |
SBA Communications Corp. | 1,963 | 628,258 |
VICI Properties, Inc. | 17,262 | 514,235 |
Weyerhaeuser Co. | 13,520 | 447,782 |
7,132,243 | ||
Healthcare — 0.2% | ||
Healthpeak Properties, Inc. | 9,163 | 237,413 |
Ventas, Inc. | 7,247 | 372,713 |
Welltower, Inc. | 8,225 | 677,329 |
1,287,455 | ||
Hotels & Resorts — 0.0% | ||
Host Hotels & Resorts, Inc. | 12,461 | 195,388 |
Industrial — 0.3% | ||
Prologis, Inc. | 13,273 | 1,561,568 |
Office Property — 0.1% | ||
Alexandria Real Estate Equities, Inc. | 2,708 | 392,741 |
Boston Properties, Inc. | 2,423 | 215,598 |
Vornado Realty Trust | 2,813 | 80,424 |
688,763 |
Number of Shares | Value† | |
REAL ESTATE INVESTMENT TRUSTS — (continued) | ||
Regional Malls — 0.1% | ||
Simon Property Group, Inc. | 5,931 | $ 562,971 |
Single Tenant — 0.1% | ||
Realty Income Corp. | 10,868 | 741,850 |
Storage & Warehousing — 0.3% | ||
Extra Space Storage, Inc. | 2,428 | 413,052 |
Iron Mountain, Inc. | 5,293 | 257,716 |
Public Storage | 2,745 | 858,279 |
1,529,047 | ||
Strip Centers — 0.1% | ||
Federal Realty OP LP | 1,233 | 118,047 |
Kimco Realty Corp. | 10,412 | 205,845 |
Regency Centers Corp. | 2,676 | 158,714 |
482,606 | ||
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $11,370,005) | 16,282,399 |
SHORT-TERM INVESTMENTS — 1.1% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 1.320%) (Cost $6,322,352) | 6,322,352 | 6,322,352 |
TOTAL INVESTMENTS — 99.6% (Cost $326,642,649) | $ 578,790,257 | |
Other Assets & Liabilities — 0.4% | 2,121,892 | |
TOTAL NET ASSETS — 100.0% | $ 580,912,149 |
† | See Security Valuation Note. |
* | Non-income producing security. |
LP— Limited Partnership. |
N.V.— Naamloze Vennootschap. |
NA— National Association. |
PLC— Public Limited Company. |
S&P— Standards & Poor's |
ASSETS TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Common Stocks | $556,185,506 | $556,185,506 | $— | $— |
Real Estate Investment Trusts | 16,282,399 | 16,282,399 | — | — |
Short-Term Investments | 6,322,352 | 6,322,352 | — | — |
Total Investments | $ 578,790,257 | $ 578,790,257 | $ — | $ — |
Other Financial Instruments(1) | ||||
Futures Contracts | $ 10,763 | $ 10,763 | $— | $— |
Total Assets—Other Financial Instruments | $ 10,763 | $ 10,763 | $ — | $ — |
(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 | 09/16/22 | 35 | 50 | $3,790 | $6,631,625 | $10,763 | $— | ||||||||
$10,763 | $— |
Number of Shares | Value† | |
COMMON STOCKS — 98.4% | ||
Advertising — 1.0% | ||
The Trade Desk, Inc., Class A* | 32,192 | $ 1,348,523 |
Aerospace & Defense — 1.9% | ||
HEICO Corp., Class A | 24,889 | 2,622,803 |
Apparel — 2.1% | ||
Levi Strauss & Co., Class A | 98,032 | 1,599,882 |
On Holding AG, Class A* | 70,724 | 1,251,108 |
2,850,990 | ||
Auto Parts & Equipment — 1.9% | ||
BorgWarner, Inc. | 78,999 | 2,636,197 |
Banks — 3.1% | ||
First Republic Bank | 18,939 | 2,731,004 |
Pinnacle Financial Partners, Inc. | 20,554 | 1,486,260 |
4,217,264 | ||
Beverages — 1.3% | ||
Brown-Forman Corp., Class B | 24,456 | 1,715,833 |
Biotechnology — 5.7% | ||
Genmab A/S, ADR* | 66,766 | 2,169,227 |
Horizon Therapeutics PLC* | 32,330 | 2,578,641 |
Seagen, Inc.* | 17,004 | 3,008,688 |
7,756,556 | ||
Building Materials — 1.7% | ||
Trex Co., Inc.* | 42,294 | 2,301,639 |
Commercial Services — 7.7% | ||
Clarivate PLC* | 111,709 | 1,548,287 |
CoStar Group, Inc.* | 87,343 | 5,276,390 |
MarketAxess Holdings, Inc. | 14,414 | 3,690,128 |
10,514,805 | ||
Computers — 2.7% | ||
Crowdstrike Holdings, Inc., Class A* | 15,336 | 2,585,036 |
Genpact Ltd. | 25,311 | 1,072,174 |
3,657,210 | ||
Distribution & Wholesale — 3.0% | ||
Fastenal Co. | 42,195 | 2,106,375 |
Pool Corp. | 5,810 | 2,040,646 |
4,147,021 | ||
Electrical Components & Equipment — 3.9% | ||
Generac Holdings, Inc.* | 8,169 | 1,720,228 |
Littelfuse, Inc. | 2,200 | 558,888 |
Novanta, Inc.* | 11,803 | 1,431,350 |
Universal Display Corp. | 16,494 | 1,668,203 |
5,378,669 | ||
Electronics — 7.2% | ||
Agilent Technologies, Inc. | 15,223 | 1,808,036 |
II-VI, Inc.* | 57,301 | 2,919,486 |
Keysight Technologies, Inc.* | 20,454 | 2,819,584 |
Trimble, Inc.* | 38,245 | 2,227,006 |
9,774,112 |
Number of Shares | Value† | |
Entertainment — 1.4% | ||
Vail Resorts, Inc. | 9,010 | $ 1,964,630 |
Healthcare Products — 9.9% | ||
ABIOMED, Inc.* | 9,125 | 2,258,529 |
Bio-Techne Corp. | 6,403 | 2,219,536 |
Edwards Lifesciences Corp.* | 23,817 | 2,264,759 |
Envista Holdings Corp.* | 64,152 | 2,472,418 |
Intuitive Surgical, Inc.* | 10,081 | 2,023,357 |
Repligen Corp.* | 14,143 | 2,296,823 |
13,535,422 | ||
Housewares — 1.0% | ||
The Scotts Miracle-Gro Co. | 16,690 | 1,318,343 |
Insurance — 0.8% | ||
Kinsale Capital Group, Inc. | 4,948 | 1,136,259 |
Internet — 2.5% | ||
Pinterest, Inc., Class A* | 122,877 | 2,231,446 |
Shutterstock, Inc. | 20,282 | 1,162,362 |
3,393,808 | ||
Machinery — Diversified — 1.2% | ||
IDEX Corp. | 9,245 | 1,679,169 |
Miscellaneous Manufacturing — 1.6% | ||
A.O. Smith Corp. | 39,623 | 2,166,586 |
Pharmaceuticals — 2.9% | ||
Dexcom, Inc.* | 52,048 | 3,879,137 |
Retail — 9.3% | ||
Burlington Stores, Inc.* | 3,944 | 537,291 |
Chipotle Mexican Grill, Inc.* | 3,270 | 4,274,740 |
Floor & Decor Holdings, Inc., Class A* | 18,437 | 1,160,794 |
Lululemon Athletica, Inc.* | 6,586 | 1,795,409 |
National Vision Holdings, Inc.* | 51,309 | 1,410,998 |
Petco Health & Wellness Co., Inc.* | 72,600 | 1,070,124 |
Ulta Beauty, Inc.* | 6,458 | 2,489,430 |
12,738,786 | ||
Semiconductors — 10.6% | ||
Azenta, Inc. | 24,316 | 1,753,183 |
Marvell Technology, Inc. | 61,136 | 2,661,250 |
Microchip Technology, Inc. | 47,389 | 2,752,353 |
Monolithic Power Systems, Inc. | 11,367 | 4,365,383 |
Teradyne, Inc. | 33,114 | 2,965,359 |
14,497,528 | ||
Software — 11.5% | ||
DocuSign, Inc.* | 31,578 | 1,811,945 |
Electronic Arts, Inc. | 18,698 | 2,274,612 |
Five9, Inc.* | 23,862 | 2,174,783 |
Guidewire Software, Inc.* | 22,025 | 1,563,555 |
Paycom Software, Inc.* | 9,581 | 2,683,830 |
Tyler Technologies, Inc.* | 7,910 | 2,629,917 |
Workiva, Inc.* | 19,600 | 1,293,404 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Software — (continued) | ||
ZoomInfo Technologies, Inc.* | 37,744 | $ 1,254,610 |
15,686,656 | ||
Telecommunications — 2.5% | ||
Arista Networks, Inc.* | 36,822 | 3,451,694 |
TOTAL COMMON STOCKS (Cost $119,445,020) | 134,369,640 |
SHORT-TERM INVESTMENTS — 0.7% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 1.320%) (Cost $866,961) | 866,961 | 866,961 |
TOTAL INVESTMENTS — 99.1% (Cost $120,311,981) | $ 135,236,601 | |
Other Assets & Liabilities — 0.9% | 1,294,488 | |
TOTAL NET ASSETS — 100.0% | $ 136,531,089 |
Number of Contracts | ||
WRITTEN OPTIONS — (0.2)% | ||
Put Options Written | ||
TOTAL WRITTEN OPTIONS | ||
(See open written options schedule) | ||
(Premiums $(189,288)) | 46 | $ (232,300) |
† | 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 6/30/2022†† | |
United States | 95% |
Denmark | 2 |
Canada | 1 |
United Kingdom | 1 |
Switzerland | 1 |
Total | 100% |
†† | % of total investments as of June 30, 2022. |
ASSETS TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Common Stocks | $134,369,640 | $134,369,640 | $— | $— |
Short-Term Investments | 866,961 | 866,961 | — | — |
Total Investments | $ 135,236,601 | $ 135,236,601 | $ — | $ — |
LIABILITIES TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Other Financial Instruments(1) | ||||
Written Options | $(232,300) | $(232,300) | $— | $— |
Total Liabilities—Other Financial Instruments | $ (232,300) | $ (232,300) | $ — | $ — |
(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 Written Options |
Exchange Traded |
Put Options | ||||||||||
Description | # of Contracts | Notional | Exercise Price | Expiration Date | Value | |||||
Shutterstock, Inc. | 46 | $506,000 | $110 | 08/19/22 | $(232,300) | |||||
Total Written Options | $(232,300) |
Number of Shares | Value† | |
COMMON STOCKS — 89.4% | ||
Aerospace & Defense — 0.5% | ||
L3Harris Technologies, Inc. | 1,871 | $ 452,221 |
Airlines — 1.5% | ||
Southwest Airlines Co.* | 35,638 | 1,287,245 |
Apparel — 0.7% | ||
Hanesbrands, Inc. | 59,470 | 611,946 |
Auto Parts & Equipment — 1.8% | ||
Aptiv PLC* | 8,043 | 716,390 |
Autoliv, Inc. | 11,628 | 832,216 |
1,548,606 | ||
Banks — 7.5% | ||
Citizens Financial Group, Inc. | 33,082 | 1,180,696 |
Fifth Third Bancorp | 23,616 | 793,498 |
First Horizon Corp. | 31,191 | 681,835 |
Regions Financial Corp. | 58,713 | 1,100,869 |
State Street Corp. | 24,178 | 1,490,574 |
Synovus Financial Corp. | 16,067 | 579,215 |
Webster Financial Corp. | 15,014 | 632,840 |
6,459,527 | ||
Biotechnology — 1.5% | ||
Corteva, Inc. | 23,937 | 1,295,949 |
Building Materials — 0.8% | ||
Martin Marietta Materials, Inc. | 2,189 | 655,036 |
Chemicals — 3.3% | ||
Axalta Coating Systems Ltd.* | 38,370 | 848,361 |
DuPont de Nemours, Inc. | 19,951 | 1,108,876 |
Westlake Corp. | 8,736 | 856,303 |
2,813,540 | ||
Commercial Services — 1.8% | ||
Global Payments, Inc. | 13,672 | 1,512,670 |
Electric — 5.9% | ||
Alliant Energy Corp. | 34,778 | 2,038,339 |
DTE Energy Co. | 9,959 | 1,262,303 |
Entergy Corp. | 15,313 | 1,724,856 |
5,025,498 | ||
Electrical Components & Equipment — 2.8% | ||
Acuity Brands, Inc. | 6,871 | 1,058,409 |
AMETEK, Inc. | 12,593 | 1,383,845 |
2,442,254 | ||
Electronics — 2.6% | ||
Agilent Technologies, Inc. | 8,369 | 993,986 |
Vontier Corp. | 54,831 | 1,260,565 |
2,254,551 | ||
Environmental Control — 1.9% | ||
Waste Connections, Inc. | 13,010 | 1,612,720 |
Food — 2.9% | ||
Kellogg Co. | 12,656 | 902,879 |
Number of Shares | Value† | |
Food — (continued) | ||
Lamb Weston Holdings, Inc. | 21,887 | $ 1,564,045 |
2,466,924 | ||
Hand & Machine Tools — 1.4% | ||
Lincoln Electric Holdings, Inc. | 9,467 | 1,167,849 |
Healthcare Products — 4.9% | ||
Envista Holdings Corp.* | 42,325 | 1,631,205 |
Globus Medical, Inc., Class A* | 20,776 | 1,166,365 |
Henry Schein, Inc.* | 18,176 | 1,394,826 |
4,192,396 | ||
Healthcare Services — 3.7% | ||
Humana, Inc. | 1,646 | 770,443 |
Laboratory Corp. of America Holdings | 10,311 | 2,416,486 |
3,186,929 | ||
Insurance — 8.0% | ||
Globe Life, Inc. | 14,173 | 1,381,442 |
Reinsurance Group of America, Inc. | 9,114 | 1,068,981 |
RenaissanceRe Holdings Ltd. | 15,534 | 2,429,052 |
The Hartford Financial Services Group, Inc. | 30,739 | 2,011,253 |
6,890,728 | ||
Internet — 1.2% | ||
F5, Inc.* | 6,869 | 1,051,232 |
Machinery — Construction & Mining — 3.1% | ||
BWX Technologies, Inc. | 33,312 | 1,835,158 |
Oshkosh Corp. | 10,515 | 863,702 |
2,698,860 | ||
Media — 2.4% | ||
Fox Corp., Class B | 42,993 | 1,276,892 |
Warner Bros Discovery, Inc.* | 59,260 | 795,269 |
2,072,161 | ||
Miscellaneous Manufacturing — 1.1% | ||
Carlisle Cos., Inc. | 3,946 | 941,555 |
Oil & Gas — 4.0% | ||
Coterra Energy, Inc. | 79,152 | 2,041,330 |
Pioneer Natural Resources Co. | 6,260 | 1,396,481 |
3,437,811 | ||
Oil & Gas Services — 2.0% | ||
Baker Hughes Co. | 59,767 | 1,725,473 |
Packaging and Containers — 1.7% | ||
Graphic Packaging Holding Co. | 69,619 | 1,427,190 |
Pharmaceuticals — 1.8% | ||
Cardinal Health, Inc. | 29,165 | 1,524,455 |
Retail — 7.5% | ||
AutoZone, Inc.* | 724 | 1,555,963 |
Burlington Stores, Inc.* | 4,080 | 555,818 |
Casey's General Stores, Inc. | 10,367 | 1,917,688 |
MSC Industrial Direct Co., Inc., Class A | 17,623 | 1,323,664 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Retail — (continued) | ||
O'Reilly Automotive, Inc.* | 1,765 | $ 1,115,056 |
6,468,189 | ||
Semiconductors — 2.4% | ||
Lam Research Corp. | 809 | 344,756 |
Microchip Technology, Inc. | 12,775 | 741,972 |
Teradyne, Inc. | 10,695 | 957,737 |
2,044,465 | ||
Software — 6.5% | ||
Activision Blizzard, Inc. | 17,926 | 1,395,718 |
Black Knight, Inc.* | 17,179 | 1,123,335 |
ManTech International Corp., Class A | 12,971 | 1,238,082 |
Synopsys, Inc.* | 2,387 | 724,932 |
Take-Two Interactive Software, Inc.* | 8,872 | 1,087,086 |
5,569,153 | ||
Transportation — 1.2% | ||
Canadian Pacific Railway Ltd. | 14,197 | 991,518 |
Trucking and Leasing — 1.0% | ||
GATX Corp. | 9,320 | 877,571 |
TOTAL COMMON STOCKS (Cost $70,726,437) | 76,706,222 | |
REAL ESTATE INVESTMENT TRUSTS — 8.8% | ||
Apartments — 1.1% | ||
Equity Residential | 13,151 | 949,765 |
Diversified — 2.2% | ||
Lamar Advertising Co., Class A | 10,166 | 894,303 |
Weyerhaeuser Co. | 30,481 | 1,009,531 |
1,903,834 | ||
Hotels & Resorts — 2.7% | ||
Apple Hospitality REIT, Inc. | 86,206 | 1,264,642 |
Sunstone Hotel Investors, Inc.* | 99,694 | 988,964 |
2,253,606 | ||
Manufactured Homes — 2.8% | ||
Equity LifeStyle Properties, Inc. | 34,387 | 2,423,252 |
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $7,252,950) | 7,530,457 |
SHORT-TERM INVESTMENTS — 2.3% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 1.320%) (Cost $1,997,592) | 1,997,592 | 1,997,592 |
TOTAL INVESTMENTS — 100.5% (Cost $79,976,979) | $ 86,234,271 | |
Other Assets & Liabilities — (0.5)% | (395,631) | |
TOTAL NET ASSETS — 100.0% | $ 85,838,640 |
† | See Security Valuation Note. |
* | Non-income producing security. |
PLC— Public Limited Company. |
REIT— Real Estate Investment Trust. |
Country Weightings as of 6/30/2022†† | |
United States | 94% |
Bermuda | 3 |
Canada | 1 |
Sweden | 1 |
Ireland | 1 |
Total | 100% |
†† | % of total investments as of June 30, 2022. |
ASSETS TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Common Stocks | $76,706,222 | $76,706,222 | $— | $— |
Real Estate Investment Trusts | 7,530,457 | 7,530,457 | — | — |
Short-Term Investments | 1,997,592 | 1,997,592 | — | — |
Total Investments | $ 86,234,271 | $ 86,234,271 | $ — | $ — |
Number of Shares | Value† | |
COMMON STOCKS — 87.9% | ||
Airlines — 1.8% | ||
Southwest Airlines Co.* | 41,104 | $ 1,484,677 |
Auto Manufacturers — 1.5% | ||
Cummins, Inc. | 4,308 | 833,727 |
PACCAR, Inc. | 4,577 | 376,870 |
1,210,597 | ||
Auto Parts & Equipment — 2.1% | ||
Aptiv PLC* | 3,266 | 290,903 |
BorgWarner, Inc. | 34,844 | 1,162,744 |
Bridgestone Corp. | 7,000 | 255,380 |
1,709,027 | ||
Banks — 10.8% | ||
Commerce Bancshares, Inc. | 1,858 | 121,978 |
First Hawaiian, Inc. | 52,912 | 1,201,632 |
Northern Trust Corp. | 22,009 | 2,123,428 |
Prosperity Bancshares, Inc. | 18,568 | 1,267,637 |
State Street Corp. | 5,054 | 311,579 |
The Bank of New York Mellon Corp. | 48,680 | 2,030,443 |
Truist Financial Corp. | 28,879 | 1,369,731 |
Westamerica BanCorp | 9,641 | 536,618 |
8,963,046 | ||
Building Materials — 0.8% | ||
Cie de Saint-Gobain | 16,511 | 708,459 |
Chemicals — 1.5% | ||
Akzo Nobel N.V. | 9,641 | 632,668 |
Axalta Coating Systems Ltd.* | 29,505 | 652,355 |
1,285,023 | ||
Computers — 1.8% | ||
Amdocs Ltd. | 8,676 | 722,798 |
HP, Inc. | 24,044 | 788,162 |
1,510,960 | ||
Diversified Financial Services — 2.8% | ||
Ameriprise Financial, Inc. | 3,950 | 938,836 |
T. Rowe Price Group, Inc. | 12,473 | 1,417,058 |
2,355,894 | ||
Electric — 5.4% | ||
Edison International | 27,712 | 1,752,507 |
Evergy, Inc. | 4,092 | 267,003 |
Eversource Energy | 4,033 | 340,667 |
NorthWestern Corp. | 20,251 | 1,193,391 |
Pinnacle West Capital Corp. | 13,330 | 974,690 |
4,528,258 | ||
Electrical Components & Equipment — 2.1% | ||
Emerson Electric Co. | 21,569 | 1,715,598 |
Electronics — 3.5% | ||
Atkore, Inc.* | 4,745 | 393,882 |
Hubbell, Inc. | 1,738 | 310,372 |
nVent Electric PLC | 42,537 | 1,332,684 |
Number of Shares | Value† | |
Electronics — (continued) | ||
TE Connectivity Ltd. | 7,625 | $ 862,769 |
2,899,707 | ||
Engineering & Construction — 0.6% | ||
Vinci S.A. | 5,161 | 459,504 |
Environmental Control — 0.5% | ||
Republic Services, Inc. | 3,042 | 398,107 |
Food — 6.3% | ||
Conagra Brands, Inc. | 52,072 | 1,782,945 |
General Mills, Inc. | 3,874 | 292,293 |
Kellogg Co. | 4,121 | 293,992 |
Koninklijke Ahold Delhaize N.V. | 58,792 | 1,531,651 |
Orkla ASA | 67,312 | 537,966 |
The J.M. Smucker Co. | 6,356 | 813,632 |
5,252,479 | ||
Food Service — 1.0% | ||
Sodexo S.A. | 11,900 | 836,279 |
Forest Products & Paper — 0.7% | ||
Mondi PLC | 34,377 | 608,876 |
Gas — 2.0% | ||
Atmos Energy Corp. | 2,836 | 317,916 |
Spire, Inc. | 17,922 | 1,332,859 |
1,650,775 | ||
Hand & Machine Tools — 0.4% | ||
Stanley Black & Decker, Inc. | 3,286 | 344,570 |
Healthcare Products — 6.3% | ||
Baxter International, Inc. | 6,383 | 409,980 |
DENTSPLY SIRONA, Inc. | 15,144 | 541,095 |
Henry Schein, Inc.* | 17,037 | 1,307,419 |
Koninklijke Philips N.V. | 16,284 | 350,595 |
Zimmer Biomet Holdings, Inc. | 24,755 | 2,600,760 |
5,209,849 | ||
Healthcare Services — 3.5% | ||
Quest Diagnostics, Inc. | 12,312 | 1,637,250 |
Universal Health Services, Inc., Class B | 12,595 | 1,268,442 |
2,905,692 | ||
Household Products & Wares — 1.7% | ||
Kimberly-Clark Corp. | 10,206 | 1,379,341 |
Insurance — 6.5% | ||
Aflac, Inc. | 19,031 | 1,052,985 |
Chubb Ltd. | 2,119 | 416,553 |
Reinsurance Group of America, Inc. | 13,092 | 1,535,561 |
The Allstate Corp. | 14,054 | 1,781,063 |
The Hanover Insurance Group, Inc. | 4,552 | 665,730 |
5,451,892 | ||
Internet — 1.0% | ||
F5, Inc.* | 5,495 | 840,955 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Leisure Time — 0.6% | ||
Polaris, Inc. | 5,243 | $ 520,525 |
Machinery — Construction & Mining — 1.5% | ||
Oshkosh Corp. | 15,550 | 1,277,277 |
Machinery — Diversified — 0.5% | ||
IMI PLC | 27,384 | 391,014 |
Media — 1.4% | ||
Fox Corp., Class B | 39,167 | 1,163,260 |
Oil & Gas — 2.9% | ||
Devon Energy Corp. | 14,009 | 772,036 |
Diamondback Energy, Inc. | 3,475 | 420,996 |
Phillips 66 | 8,229 | 674,696 |
Pioneer Natural Resources Co. | 2,416 | 538,961 |
2,406,689 | ||
Oil & Gas Services — 0.9% | ||
Baker Hughes Co. | 25,217 | 728,015 |
Packaging and Containers — 2.4% | ||
Amcor PLC | 20,736 | 257,749 |
Packaging Corp. of America | 6,620 | 910,250 |
Sonoco Products Co. | 15,135 | 863,300 |
2,031,299 | ||
Pharmaceuticals — 3.0% | ||
AmerisourceBergen Corp. | 6,964 | 985,267 |
Becton Dickinson and Co. | 1,738 | 428,469 |
Cardinal Health, Inc. | 11,117 | 581,086 |
Embecta Corp.* | 19,383 | 490,777 |
2,485,599 | ||
Retail — 6.3% | ||
Advance Auto Parts, Inc. | 8,738 | 1,512,460 |
Beacon Roofing Supply, Inc.* | 10,307 | 529,368 |
Cracker Barrel Old Country Store, Inc. | 3,764 | 314,256 |
Dollar Tree, Inc.* | 9,736 | 1,517,356 |
MSC Industrial Direct Co., Inc., Class A | 18,403 | 1,382,249 |
5,255,689 | ||
Savings & Loans — 0.4% | ||
Capitol Federal Financial, Inc. | 38,344 | 351,998 |
Semiconductors — 0.4% | ||
Applied Materials, Inc. | 3,317 | 301,781 |
Shipbuilding — 1.1% | ||
Huntington Ingalls Industries, Inc. | 4,154 | 904,824 |
Software — 1.0% | ||
Open Text Corp. | 21,950 | 830,588 |
Telecommunications — 0.3% | ||
Juniper Networks, Inc. | 9,793 | 279,101 |
Number of Shares | Value† | |
Transportation — 0.6% | ||
Heartland Express, Inc. | 38,159 | $ 530,792 |
TOTAL COMMON STOCKS (Cost $76,180,192) | 73,168,016 | |
REAL ESTATE INVESTMENT TRUSTS — 8.2% | ||
Apartments — 0.9% | ||
Essex Property Trust, Inc. | 2,818 | 736,935 |
Diversified — 2.6% | ||
Equinix, Inc. | 1,694 | 1,112,992 |
VICI Properties, Inc. | 25,320 | 754,283 |
Weyerhaeuser Co. | 8,867 | 293,675 |
2,160,950 | ||
Healthcare — 2.6% | ||
Healthcare Trust of America, Inc., Class A | 32,168 | 897,809 |
Healthpeak Properties, Inc. | 48,908 | 1,267,206 |
2,165,015 | ||
Single Tenant — 0.8% | ||
Realty Income Corp. | 10,279 | 701,644 |
Strip Centers — 1.3% | ||
Regency Centers Corp. | 17,470 | 1,036,146 |
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $7,129,684) | 6,800,690 | |
PREFERRED STOCKS — 0.5% | ||
Household Products & Wares — 0.5% | ||
Henkel AG & Co., KGaA (Cost $475,042) | 7,367 | 453,796 |
MASTER LIMITED PARTNERSHIP — 1.2% | ||
Pipelines — 1.2% | ||
Enterprise Products Partners LP (Cost $989,960) | 40,454 | 985,864 |
SHORT-TERM INVESTMENTS — 2.5% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 1.320%) (Cost $2,095,584) | 2,095,584 | 2,095,584 |
TOTAL INVESTMENTS — 100.3% (Cost $86,870,462) | $ 83,503,950 | |
Other Assets & Liabilities — (0.3)% | (236,624) | |
TOTAL NET ASSETS — 100.0% | $ 83,267,326 |
† | See Security Valuation Note. |
* | Non-income producing security. |
AG— Aktiengesellschaft. |
ASA— Allmennaksjeselskap. |
KGaA— Kommanditgesellschaft auf Aktien. |
LP— Limited Partnership. |
N.V.— Naamloze Vennootschap. |
PLC— Public Limited Company. |
S.A.— Societe Anonyme. |
Country Weightings as of 6/30/2022†† | |
United States | 88% |
United Kingdom | 3 |
Netherlands | 3 |
France | 2 |
Canada | 1 |
Norway | 1 |
Germany | 1 |
Switzerland | 1 |
Total | 100% |
†† | % of total investments as of June 30, 2022. |
ASSETS TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Common Stocks | $73,168,016 | $73,168,016 | $ — | $— |
Real Estate Investment Trusts | 6,800,690 | 6,800,690 | — | — |
Preferred Stocks | 453,796 | 453,796 | — | — |
Master Limited Partnership | 985,864 | 985,864 | — | — |
Short-Term Investments | 2,095,584 | 2,095,584 | — | — |
Total Investments | $ 83,503,950 | $ 83,503,950 | $ — | $ — |
ASSETS TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Other Financial Instruments(1) | ||||
Forward Foreign Currency Contracts | $ 18,042 | $ — | $18,042 | $— |
Total Assets—Other Financial Instruments | $ 18,042 | $ — | $ 18,042 | $ — |
LIABILITIES TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Other Financial Instruments | ||||
Forward Foreign Currency Contracts | $(5,597) | $— | $(5,597) | $— |
Total Liabilities—Other Financial Instruments | $ (5,597) | $ — | $ (5,597) | $ — |
(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 | 09/30/22 | 1,041,250 | 134.78240 | $7,708 | $7,725 | $17 | $— | ||||||||
Sell | Japanese Yen | Bank of America | 09/30/22 | (30,702,000) | 134.78240 | (228,850) | (227,789) | 1,060 | — | ||||||||
Buy | Pound Sterling | Bank of America | 09/30/22 | 24,161 | 0.82002 | 29,691 | 29,464 | — | (227) | ||||||||
Sell | Pound Sterling | Bank of America | 09/30/22 | (757,459) | 0.82003 | (930,177) | (923,705) | 6,472 | — | ||||||||
Sell | Euro | JPMorgan | 09/30/22 | (4,073,804) | 0.94797 | (4,307,892) | (4,297,399) | 10,493 | — | ||||||||
Sell | Norwegian Krone | UBS Securities | 09/30/22 | (4,410,148) | 9.82947 | (443,296) | (448,666) | — | (5,370) | ||||||||
Total | $18,042 | $(5,597) |
Number of Shares | Value† | |
COMMON STOCKS — 97.3% | ||
Aerospace & Defense — 1.0% | ||
Teledyne Technologies, Inc.* | 1,857 | $ 696,579 |
Apparel — 2.6% | ||
Crocs, Inc.* | 9,032 | 439,588 |
Deckers Outdoor Corp.* | 3,159 | 806,651 |
Levi Strauss & Co., Class A | 19,357 | 315,906 |
On Holding AG, Class A* | 13,909 | 246,050 |
1,808,195 | ||
Biotechnology — 6.6% | ||
Allogene Therapeutics, Inc.* | 9,965 | 113,601 |
Alnylam Pharmaceuticals, Inc.* | 1,687 | 246,049 |
Beam Therapeutics, Inc.* | 10,260 | 397,165 |
Certara, Inc.* | 22,300 | 478,558 |
Exelixis, Inc.* | 41,581 | 865,716 |
Guardant Health, Inc.* | 14,741 | 594,652 |
Halozyme Therapeutics, Inc.* | 26,329 | 1,158,476 |
Ultragenyx Pharmaceutical, Inc.* | 11,686 | 697,187 |
4,551,404 | ||
Building Materials — 2.4% | ||
AAON, Inc. | 19,730 | 1,080,415 |
The AZEK Co., Inc* | 34,760 | 581,882 |
1,662,297 | ||
Chemicals — 4.0% | ||
Ashland Global Holdings, Inc. | 16,947 | 1,746,388 |
RPM International, Inc. | 13,045 | 1,026,903 |
2,773,291 | ||
Commercial Services — 3.5% | ||
Bright Horizons Family Solutions, Inc.* | 8,718 | 736,845 |
GXO Logistics, Inc.* | 8,130 | 351,785 |
Paylocity Holding Corp.* | 5,482 | 956,170 |
Quanta Services, Inc. | 2,890 | 362,233 |
2,407,033 | ||
Computers — 3.5% | ||
CyberArk Software Ltd.* | 5,816 | 744,215 |
Pure Storage, Inc., Class A* | 33,921 | 872,109 |
Rapid7, Inc.* | 11,777 | 786,704 |
2,403,028 | ||
Distribution & Wholesale — 2.6% | ||
Core & Main, Inc., Class A* | 43,482 | 969,649 |
SiteOne Landscape Supply, Inc.* | 6,746 | 801,897 |
1,771,546 | ||
Diversified Financial Services — 4.2% | ||
Evercore, Inc., Class A | 3,969 | 371,538 |
Houlihan Lokey, Inc. | 5,038 | 397,649 |
LPL Financial Holdings, Inc. | 5,979 | 1,103,006 |
Stifel Financial Corp. | 13,309 | 745,570 |
TPG, Inc. | 12,171 | 291,009 |
2,908,772 | ||
Electric — 0.8% | ||
Ameresco, Inc., Class A* | 11,817 | 538,383 |
Number of Shares | Value† | |
Electrical Components & Equipment — 2.0% | ||
Novanta, Inc.* | 11,567 | $ 1,402,730 |
Electronics — 1.5% | ||
Allegion PLC | 10,695 | 1,047,040 |
Energy-Alternate Sources — 0.6% | ||
Shoals Technologies Group, Inc., Class A* | 25,447 | 419,367 |
Engineering & Construction — 1.8% | ||
Jacobs Engineering Group, Inc. | 9,800 | 1,245,874 |
Entertainment — 1.1% | ||
Vail Resorts, Inc. | 3,331 | 726,325 |
Environmental Control — 1.2% | ||
Tetra Tech, Inc. | 6,290 | 858,899 |
Food — 0.8% | ||
Hostess Brands, Inc.* | 24,784 | 525,669 |
Healthcare Products — 9.4% | ||
10X Genomics, Inc., Class A* | 5,707 | 258,242 |
Axonics, Inc.* | 12,329 | 698,684 |
Inari Medical, Inc.* | 6,446 | 438,264 |
iRhythm Technologies, Inc.* | 2,813 | 303,888 |
Omnicell, Inc.* | 4,704 | 535,080 |
Pacific Biosciences of California, Inc.* | 21,432 | 94,729 |
QIAGEN N.V.* | 20,318 | 959,010 |
Repligen Corp.* | 4,299 | 698,158 |
Shockwave Medical, Inc.* | 3,544 | 677,506 |
Stevanato Group SpA | 37,602 | 594,488 |
Tandem Diabetes Care, Inc.* | 10,457 | 618,950 |
Teleflex, Inc. | 2,301 | 565,701 |
6,442,700 | ||
Healthcare Services — 1.1% | ||
Molina Healthcare, Inc.* | 2,583 | 722,233 |
Household Products & Wares — 1.2% | ||
Avery Dennison Corp. | 5,045 | 816,634 |
Internet — 0.5% | ||
Bumble, Inc., Class A* | 11,081 | 311,930 |
Leisure Time — 1.4% | ||
Planet Fitness, Inc., Class A* | 14,472 | 984,241 |
Lodging — 1.6% | ||
Choice Hotels International, Inc. | 5,388 | 601,462 |
Wyndham Hotels & Resorts, Inc. | 7,241 | 475,879 |
1,077,341 | ||
Machinery — Diversified — 7.0% | ||
Chart Industries, Inc.* | 4,580 | 766,600 |
IDEX Corp. | 8,495 | 1,542,947 |
Nordson Corp. | 5,773 | 1,168,686 |
The Toro Co. | 8,671 | 657,175 |
Watts Water Technologies, Inc., Class A | 3,217 | 395,176 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Machinery — Diversified — (continued) | ||
Xylem, Inc. | 3,382 | $ 264,405 |
4,794,989 | ||
Media — 1.3% | ||
FactSet Research Systems, Inc. | 2,371 | 911,815 |
Metal Fabricate/Hardware — 1.7% | ||
RBC Bearings, Inc.* | 6,232 | 1,152,608 |
Oil & Gas — 3.2% | ||
Antero Resources Corp.* | 18,562 | 568,925 |
Chesapeake Energy Corp. | 6,082 | 493,250 |
Denbury, Inc.* | 8,237 | 494,138 |
Matador Resources Co. | 13,327 | 620,905 |
2,177,218 | ||
Pharmaceuticals — 2.2% | ||
Agios Pharmaceuticals, Inc.* | 18,223 | 404,004 |
Neurocrine Biosciences, Inc.* | 11,685 | 1,139,054 |
1,543,058 | ||
Retail — 7.5% | ||
BJ's Wholesale Club Holdings, Inc.* | 18,644 | 1,161,894 |
Casey's General Stores, Inc. | 3,537 | 654,274 |
Dutch Bros, Inc., Class A* | 6,756 | 213,828 |
Five Below, Inc.* | 6,873 | 779,604 |
Floor & Decor Holdings, Inc., Class A* | 7,701 | 484,855 |
Freshpet, Inc.* | 7,979 | 414,030 |
Lithia Motors, Inc. | 1,732 | 475,971 |
Olaplex Holdings, Inc.* | 23,623 | 332,848 |
Texas Roadhouse, Inc. | 9,202 | 673,587 |
5,190,891 | ||
Semiconductors — 7.8% | ||
Allegro MicroSystems, Inc.* | 40,385 | 835,566 |
Entegris, Inc. | 11,228 | 1,034,435 |
Lattice Semiconductor Corp.* | 26,536 | 1,286,996 |
MACOM Technology Solutions Holdings, Inc.* | 16,973 | 782,455 |
MKS Instruments, Inc. | 9,109 | 934,857 |
Monolithic Power Systems, Inc. | 1,229 | 471,985 |
5,346,294 | ||
Software — 10.5% | ||
Alignment Healthcare, Inc.* | 29,580 | 337,508 |
Avalara, Inc.* | 9,257 | 653,544 |
DigitalOcean Holdings, Inc.* | 12,848 | 531,393 |
Dynatrace, Inc.* | 26,687 | 1,052,535 |
Elastic N.V.* | 6,993 | 473,216 |
EverCommerce, Inc.* | 36,898 | 333,558 |
Manhattan Associates, Inc.* | 6,200 | 710,520 |
nCino, Inc.* | 10,805 | 334,091 |
Procore Technologies, Inc.* | 9,611 | 436,243 |
Qualtrics International, Inc., Class A* | 41,265 | 516,225 |
Samsara, Inc., Class A* | 31,960 | 356,993 |
Smartsheet, Inc., Class A* | 19,695 | 619,014 |
Workiva, Inc.* | 8,825 | 582,362 |
Number of Shares | Value† | |
Software — (continued) | ||
ZoomInfo Technologies, Inc.* | 9,682 | $ 321,830 |
7,259,032 | ||
Telecommunications — 0.7% | ||
Ciena Corp.* | 11,206 | 512,114 |
TOTAL COMMON STOCKS (Cost $81,449,183) | 66,989,530 |
SHORT-TERM INVESTMENTS — 2.3% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 1.320%) (Cost $1,610,492) | 1,610,492 | 1,610,492 |
TOTAL INVESTMENTS — 99.6% (Cost $83,059,675) | $ 68,600,022 | |
Other Assets & Liabilities — 0.4% | 269,701 | |
TOTAL NET ASSETS — 100.0% | $ 68,869,723 |
† | See Security Valuation Note. |
* | Non-income producing security. |
AG— Aktiengesellschaft. |
N.V.— Naamloze Vennootschap. |
PLC— Public Limited Company. |
SpA— Società per Azioni. |
ASSETS TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Common Stocks | $66,989,530 | $66,989,530 | $— | $— |
Short-Term Investments | 1,610,492 | 1,610,492 | — | — |
Total Investments | $ 68,600,022 | $ 68,600,022 | $ — | $ — |
Number of Shares | Value† | |
COMMON STOCKS — 91.9% | ||
Aerospace & Defense — 1.2% | ||
Spirit AeroSystems Holdings, Inc., Class A | 21,550 | $ 631,415 |
Airlines — 0.6% | ||
SkyWest, Inc.* | 16,740 | 355,725 |
Apparel — 3.2% | ||
Carter's, Inc. | 8,530 | 601,194 |
Ralph Lauren Corp. | 6,240 | 559,416 |
Tapestry, Inc. | 19,190 | 585,679 |
1,746,289 | ||
Auto Parts & Equipment — 1.9% | ||
Dana, Inc. | 31,062 | 437,043 |
The Goodyear Tire & Rubber Co.* | 56,220 | 602,116 |
1,039,159 | ||
Banks — 13.2% | ||
BankUnited, Inc. | 18,545 | 659,646 |
Comerica, Inc. | 11,475 | 842,035 |
First BanCorp. | 58,250 | 752,008 |
First Citizens BancShares, Inc., Class A | 1,381 | 902,870 |
First Hawaiian, Inc. | 29,080 | 660,407 |
Synovus Financial Corp. | 17,580 | 633,759 |
Texas Capital Bancshares, Inc.* | 12,677 | 667,317 |
Webster Financial Corp. | 14,492 | 610,838 |
Wintrust Financial Corp. | 9,540 | 764,631 |
Zions Bancorp NA | 13,971 | 711,124 |
7,204,635 | ||
Building Materials — 1.0% | ||
Masonite International Corp.* | 6,914 | 531,203 |
Chemicals — 1.8% | ||
Huntsman Corp. | 19,450 | 551,407 |
Innospec, Inc. | 4,700 | 450,213 |
1,001,620 | ||
Commercial Services — 4.8% | ||
ADT, Inc. | 75,710 | 465,616 |
Herc Holdings, Inc. | 6,200 | 558,930 |
Korn Ferry | 9,380 | 544,228 |
Robert Half International, Inc. | 5,849 | 438,032 |
WillScot Mobile Mini Holdings Corp.* | 18,000 | 583,560 |
2,590,366 | ||
Computers — 2.1% | ||
Genpact Ltd. | 9,822 | 416,060 |
Lumentum Holdings, Inc.* | 9,370 | 744,165 |
1,160,225 | ||
Diversified Financial Services — 2.1% | ||
Moelis & Co., Class A | 14,874 | 585,292 |
Stifel Financial Corp. | 9,580 | 536,671 |
1,121,963 | ||
Electric — 1.8% | ||
IDACORP, Inc. | 9,039 | 957,411 |
Number of Shares | Value† | |
Electrical Components & Equipment — 0.9% | ||
Belden, Inc. | 9,344 | $ 497,755 |
Electronics — 1.2% | ||
Avnet, Inc. | 15,340 | 657,779 |
Engineering & Construction — 4.0% | ||
AECOM | 12,150 | 792,423 |
Arcosa, Inc. | 12,810 | 594,768 |
Dycom Industries, Inc.* | 8,719 | 811,216 |
2,198,407 | ||
Entertainment — 0.7% | ||
Light & Wonder, Inc.* | 7,795 | 366,287 |
Food — 2.5% | ||
Nomad Foods Ltd.* | 38,831 | 776,232 |
The Hain Celestial Group, Inc.* | 25,008 | 593,690 |
1,369,922 | ||
Gas — 1.1% | ||
Southwest Gas Holdings, Inc. | 7,102 | 618,442 |
Hand & Machine Tools — 1.0% | ||
Regal Rexnord Corp. | 4,814 | 546,485 |
Healthcare Products — 2.7% | ||
Envista Holdings Corp.* | 19,260 | 742,280 |
Integra LifeSciences Holdings Corp.* | 13,490 | 728,865 |
1,471,145 | ||
Healthcare Services — 4.6% | ||
Acadia Healthcare Co., Inc.* | 12,890 | 871,751 |
MEDNAX, Inc.* | 37,590 | 789,766 |
Syneos Health, Inc.* | 11,500 | 824,320 |
2,485,837 | ||
Home Builders — 2.9% | ||
KB Home | 16,910 | 481,258 |
PulteGroup, Inc. | 18,570 | 735,929 |
Taylor Morrison Home Corp.* | 15,524 | 362,641 |
1,579,828 | ||
Home Furnishings — 0.9% | ||
MillerKnoll, Inc. | 18,990 | 498,867 |
Insurance — 4.6% | ||
American Financial Group, Inc. | 4,888 | 678,503 |
Kemper Corp. | 10,300 | 493,370 |
Selective Insurance Group, Inc. | 6,930 | 602,494 |
The Hanover Insurance Group, Inc. | 4,854 | 709,898 |
2,484,265 | ||
Internet — 1.1% | ||
Criteo S.A., ADR* | 23,758 | 579,695 |
Iron & Steel — 2.5% | ||
Allegheny Technologies, Inc.* | 25,330 | 575,245 |
Carpenter Technology Corp. | 9,897 | 276,225 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Iron & Steel — (continued) | ||
Reliance Steel & Aluminum Co. | 3,041 | $ 516,544 |
1,368,014 | ||
Lodging — 0.8% | ||
Hilton Grand Vacations, Inc.* | 12,140 | 433,762 |
Machinery — Construction & Mining — 1.9% | ||
Oshkosh Corp. | 6,520 | 535,553 |
Vertiv Holdings Co. | 60,010 | 493,282 |
1,028,835 | ||
Machinery — Diversified — 0.5% | ||
Cactus, Inc., Class A | 7,500 | 302,025 |
Metal Fabricate/Hardware — 0.9% | ||
The Timken Co. | 9,090 | 482,225 |
Mining — 0.9% | ||
Cameco Corp. | 23,480 | 493,550 |
Oil & Gas — 3.7% | ||
Coterra Energy, Inc. | 12,444 | 320,931 |
Helmerich & Payne, Inc. | 14,400 | 620,064 |
HF Sinclair Corp. | 14,631 | 660,736 |
Magnolia Oil & Gas Corp., Class A | 20,930 | 439,320 |
2,041,051 | ||
Packaging and Containers — 2.5% | ||
Berry Global Group, Inc.* | 17,020 | 929,973 |
Sealed Air Corp. | 7,252 | 418,585 |
1,348,558 | ||
Retail — 4.3% | ||
Dine Brands Global, Inc. | 9,220 | 600,038 |
Papa John's International, Inc. | 6,960 | 581,299 |
Sally Beauty Holdings, Inc.* | 40,120 | 478,230 |
Williams-Sonoma, Inc. | 6,004 | 666,144 |
2,325,711 | ||
Semiconductors — 2.6% | ||
Kulicke & Soffa Industries, Inc. | 6,911 | 295,860 |
ON Semiconductor Corp.* | 10,650 | 535,802 |
Sensata Technologies Holding PLC | 14,430 | 596,103 |
1,427,765 | ||
Software — 4.1% | ||
ACI Worldwide, Inc.* | 24,880 | 644,143 |
Change Healthcare, Inc.* | 38,260 | 882,276 |
CommVault Systems, Inc.* | 11,232 | 706,493 |
2,232,912 | ||
Transportation — 5.0% | ||
Kirby Corp.* | 12,130 | 737,989 |
Knight-Swift Transportation Holdings, Inc. | 17,002 | 787,023 |
Star Bulk Carriers Corp. | 19,920 | 497,801 |
XPO Logistics, Inc.* | 14,620 | 704,099 |
2,726,912 |
Number of Shares | Value† | |
Trucking and Leasing — 0.3% | ||
GATX Corp. | 1,615 | $ 152,068 |
TOTAL COMMON STOCKS (Cost $52,663,797) | 50,058,113 | |
REAL ESTATE INVESTMENT TRUSTS — 7.6% | ||
Apartments — 2.0% | ||
American Campus Communities, Inc. | 4,092 | 263,811 |
Camden Property Trust | 6,180 | 831,087 |
1,094,898 | ||
Diversified — 1.0% | ||
Broadstone Net Lease, Inc. | 27,100 | 555,821 |
Healthcare — 1.7% | ||
Physicians Realty Trust | 54,285 | 947,273 |
Industrial — 0.8% | ||
STAG lndustrial, Inc. | 13,715 | 423,519 |
Office Property — 1.0% | ||
Cousins Properties, Inc. | 18,080 | 528,478 |
Storage & Warehousing — 1.1% | ||
CubeSmart | 14,734 | 629,437 |
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $4,150,442) | 4,179,426 |
SHORT-TERM INVESTMENTS — 1.2% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 1.320%) (Cost $633,934) | 633,934 | 633,934 |
TOTAL INVESTMENTS — 100.7% (Cost $57,448,173) | $ 54,871,473 | |
Other Assets & Liabilities — (0.7)% | (388,113) | |
TOTAL NET ASSETS — 100.0% | $ 54,483,360 |
† | See Security Valuation Note. |
* | Non-income producing security. |
ADR— American Depositary Receipt. |
NA— National Association. |
PLC— Public Limited Company. |
S.A.— Societe Anonyme. |
Country Weightings as of 6/30/2022†† | |
United States | 94% |
United Kingdom | 1 |
Puerto Rico | 1 |
France | 1 |
Greece | 1 |
Canada | 1 |
Singapore | 1 |
Total | 100% |
†† | % of total investments as of June 30, 2022. |
ASSETS TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Common Stocks | $50,058,113 | $50,058,113 | $— | $— |
Real Estate Investment Trusts | 4,179,426 | 4,179,426 | — | — |
Short-Term Investments | 633,934 | 633,934 | — | — |
Total Investments | $ 54,871,473 | $ 54,871,473 | $ — | $ — |
Number of Shares | Value† | |
COMMON STOCKS — 98.3% | ||
Auto Parts & Equipment — 0.7% | ||
QuantumScape Corp.* | 16,158 | $ 138,797 |
Visteon Corp.* | 5,523 | 572,073 |
710,870 | ||
Banks — 1.2% | ||
Walker & Dunlop, Inc. | 12,448 | 1,199,240 |
Biotechnology — 2.7% | ||
Essa Pharma, Inc.* | 16,288 | 51,307 |
EyePoint Pharmaceuticals, Inc.* | 22,136 | 174,210 |
Fate Therapeutics, Inc.* | 9,596 | 237,789 |
Global Blood Therapeutics, Inc.* | 13,336 | 426,085 |
Insmed, Inc.* | 20,267 | 399,665 |
Ligand Pharmaceuticals, Inc.* | 8,806 | 785,672 |
Sarepta Therapeutics, Inc.* | 7,717 | 578,466 |
2,653,194 | ||
Building Materials — 0.8% | ||
Summit Materials, Inc., Class A* | 34,386 | 800,850 |
Chemicals — 2.0% | ||
Sensient Technologies Corp. | 24,305 | 1,958,011 |
Commercial Services — 10.6% | ||
Cimpress PLC* | 4,358 | 169,526 |
Clarivate PLC* | 63,681 | 882,619 |
Euronet Worldwide, Inc.* | 11,462 | 1,152,963 |
HealthEquity, Inc.* | 11,845 | 727,164 |
John Wiley & Sons, Inc., Class A | 12,968 | 619,352 |
Mister Car Wash, Inc.* | 33,306 | 362,369 |
Paylocity Holding Corp.* | 5,904 | 1,029,776 |
Shift4 Payments, Inc., Class A* | 12,151 | 401,712 |
Stride, Inc.* | 37,442 | 1,527,259 |
Terminix Global Holdings, Inc.* | 42,749 | 1,737,747 |
TriNet Group, Inc.* | 13,505 | 1,048,258 |
WEX, Inc.* | 5,370 | 835,357 |
10,494,102 | ||
Computers — 2.8% | ||
Maximus, Inc. | 11,180 | 698,862 |
NCR Corp.* | 16,911 | 526,101 |
WNS Holdings Ltd., ADR* | 20,377 | 1,520,939 |
2,745,902 | ||
Distribution & Wholesale — 1.2% | ||
Core & Main, Inc., Class A* | 54,621 | 1,218,048 |
Diversified Financial Services — 5.2% | ||
Cboe Global Markets, Inc. | 9,746 | 1,103,150 |
Focus Financial Partners, Inc., Class A* | 18,043 | 614,544 |
Foresight Acquisition Corp. PIPE | 72,553 | 269,897 |
LendingTree, Inc.* | 4,385 | 192,151 |
LPL Financial Holdings, Inc. | 16,069 | 2,964,409 |
5,144,151 | ||
Electric — 0.7% | ||
NRG Energy, Inc. | 18,882 | 720,726 |
Number of Shares | Value† | |
Electrical Components & Equipment — 1.4% | ||
EnerSys | 12,601 | $ 742,955 |
Novanta, Inc.* | 5,374 | 651,705 |
1,394,660 | ||
Electronics — 4.1% | ||
Brady Corp., Class A | 31,174 | 1,472,660 |
Itron, Inc.* | 5,386 | 266,230 |
Napco Security Technologies, Inc.* | 37,649 | 775,193 |
National Instruments Corp. | 13,677 | 427,133 |
OSI Systems, Inc.* | 13,376 | 1,142,845 |
4,084,061 | ||
Energy-Alternate Sources — 0.1% | ||
Stem, Inc.* | 18,462 | 132,188 |
Engineering & Construction — 0.2% | ||
Frontdoor, Inc.* | 9,034 | 217,539 |
Entertainment — 0.3% | ||
Manchester United PLC, Class A | 28,299 | 314,685 |
Environmental Control — 0.4% | ||
Montrose Environmental Group, Inc.* | 10,500 | 354,480 |
Food — 2.0% | ||
Hostess Brands, Inc.* | 61,697 | 1,308,594 |
Premium Brands Holdings Corp. | 9,244 | 669,960 |
1,978,554 | ||
Hand & Machine Tools — 0.9% | ||
Regal Rexnord Corp. | 7,815 | 887,159 |
Healthcare Products — 9.0% | ||
Alphatec Holdings, Inc.* | 51,175 | 334,684 |
Bio-Techne Corp. | 1,746 | 605,233 |
Bruker Corp. | 19,936 | 1,251,183 |
Glaukos Corp.* | 15,603 | 708,688 |
Globus Medical, Inc., Class A* | 22,818 | 1,281,003 |
ICU Medical, Inc.* | 5,875 | 965,791 |
Integra LifeSciences Holdings Corp.* | 34,618 | 1,870,411 |
Paragon 28, Inc.* | 22,053 | 349,981 |
STERIS PLC | 6,226 | 1,283,490 |
Treace Medical Concepts, Inc.* | 19,946 | 286,026 |
8,936,490 | ||
Healthcare Services — 4.2% | ||
Catalent, Inc.* | 28,535 | 3,061,520 |
Chemed Corp. | 1,961 | 920,474 |
Inotiv, Inc.* | 21,974 | 210,950 |
4,192,944 | ||
Holding Companies — 0.8% | ||
CM Life Sciences II, Inc. PIPE | 30,686 | 138,701 |
GS Acquisitions Holdings PIPE | 103,971 | 598,873 |
737,574 | ||
Home Builders — 0.6% | ||
Thor Industries, Inc. | 7,696 | 575,122 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Home Furnishings — 0.7% | ||
The Lovesac Co.* | 25,509 | $ 701,497 |
Household Products & Wares — 0.7% | ||
Helen of Troy Ltd.* | 4,324 | 702,261 |
Insurance — 1.4% | ||
RLI Corp. | 10,204 | 1,189,684 |
Trean Insurance Group, Inc.* | 37,706 | 234,909 |
1,424,593 | ||
Internet — 2.3% | ||
CarParts.com, Inc.* | 73,286 | 508,605 |
ChannelAdvisor Corp.* | 44,438 | 647,906 |
Zendesk, Inc.* | 14,539 | 1,076,904 |
2,233,415 | ||
Machinery — Diversified — 4.6% | ||
ATS Automation Tooling Systems, Inc.* | 31,454 | 863,812 |
CSW Industrials, Inc. | 9,858 | 1,015,670 |
Gates Industrial Corp. PLC* | 39,412 | 426,044 |
Hydrofarm Holdings Group, Inc.* | 14,776 | 51,420 |
Kornit Digital Ltd.* | 5,786 | 183,416 |
Nordson Corp. | 4,794 | 970,497 |
Zurn Water Solutions Corp. | 37,916 | 1,032,832 |
4,543,691 | ||
Miscellaneous Manufacturing — 2.3% | ||
Carlisle Cos., Inc. | 5,888 | 1,404,935 |
ITT, Inc. | 12,912 | 868,203 |
2,273,138 | ||
Oil & Gas — 1.8% | ||
Helmerich & Payne, Inc. | 8,336 | 358,948 |
Magnolia Oil & Gas Corp., Class A | 45,435 | 953,681 |
PDC Energy, Inc. | 6,707 | 413,218 |
1,725,847 | ||
Packaging and Containers — 2.7% | ||
Crown Holdings, Inc. | 29,294 | 2,700,028 |
Pharmaceuticals — 3.6% | ||
Ascendis Pharma A/S, ADR* | 3,999 | 371,747 |
BellRing Brands, Inc.* | 23,669 | 589,121 |
Centessa Pharmaceuticals PLC, ADR* | 17,301 | 84,256 |
Eagle Pharmaceuticals, Inc.* | 11,343 | 503,970 |
Heska Corp.* | 3,113 | 294,210 |
Neurocrine Biosciences, Inc.* | 13,313 | 1,297,751 |
Vaxcyte, Inc.* | 21,103 | 459,201 |
3,600,256 | ||
Retail — 1.9% | ||
Casey's General Stores, Inc. | 4,259 | 787,830 |
National Vision Holdings, Inc.* | 22,251 | 611,903 |
Williams-Sonoma, Inc. | 4,455 | 494,282 |
1,894,015 | ||
Semiconductors — 3.9% | ||
Entegris, Inc. | 15,953 | 1,469,750 |
ON Semiconductor Corp.* | 38,435 | 1,933,665 |
Number of Shares | Value† | |
Semiconductors — (continued) | ||
Wolfspeed, Inc.* | 7,131 | $ 452,462 |
3,855,877 | ||
Software — 16.2% | ||
Aspen Technology Inc* | 2,378 | 436,791 |
Avalara, Inc.* | 9,349 | 660,039 |
AvidXchange Holdings, Inc.* | 53,745 | 329,994 |
Blackbaud, Inc.* | 21,934 | 1,273,707 |
Broadridge Financial Solutions, Inc. | 11,279 | 1,607,822 |
Clear Secure, Inc., Class A* | 20,514 | 410,280 |
Consensus Cloud Solutions, Inc.* | 12,654 | 552,727 |
CoreCard Corp.* | 21,679 | 529,184 |
Dynatrace, Inc.* | 23,054 | 909,250 |
Enfusion, Inc., Class A* | 41,637 | 425,114 |
Envestnet, Inc.* | 11,265 | 594,454 |
Expensify, Inc., Class A* | 20,684 | 367,968 |
Global-e Online Ltd.* | 6,660 | 134,332 |
LivePerson, Inc.* | 26,820 | 379,235 |
PagerDuty, Inc.* | 24,691 | 611,843 |
Sailpoint Technologies Holdings, Inc.* | 29,204 | 1,830,507 |
SS&C Technologies Holdings, Inc. | 35,565 | 2,065,260 |
The Descartes Systems Group, Inc.* | 26,302 | 1,634,476 |
Ziff Davis, Inc.* | 16,948 | 1,263,134 |
16,016,117 | ||
Telecommunications — 2.5% | ||
Nice Ltd., ADR* | 13,047 | 2,510,895 |
Transportation — 1.8% | ||
CryoPort, Inc.* | 19,745 | 611,700 |
Saia, Inc.* | 6,164 | 1,158,832 |
1,770,532 | ||
TOTAL COMMON STOCKS (Cost $78,240,266) | 97,402,712 | |
REAL ESTATE INVESTMENT TRUSTS — 0.9% | ||
Diversified — 0.9% | ||
Lamar Advertising Co., Class A (Cost $524,466) | 9,463 | 832,460 |
SHORT-TERM INVESTMENTS — 0.6% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 1.320%) (Cost $603,714) | 603,714 | 603,714 |
TOTAL INVESTMENTS — 99.8% (Cost $79,368,446) | $ 98,838,886 | |
Other Assets & Liabilities — 0.2% | 216,038 | |
TOTAL NET ASSETS — 100.0% | $ 99,054,924 |
† | 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 6/30/2022†† | |
United States | 91% |
Canada | 3 |
Israel | 3 |
India | 2 |
United Kingdom | 1 |
Total | 100% |
†† | % of total investments as of June 30, 2022. |
ASSETS TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Common Stocks | ||||
Auto Parts & Equipment | $ 710,870 | $ 710,870 | $ — | $— |
Banks | 1,199,240 | 1,199,240 | — | — |
Biotechnology | 2,653,194 | 2,653,194 | — | — |
Building Materials | 800,850 | 800,850 | — | — |
Chemicals | 1,958,011 | 1,958,011 | — | — |
Commercial Services | 10,494,102 | 10,494,102 | — | — |
Computers | 2,745,902 | 2,745,902 | — | — |
Distribution & Wholesale | 1,218,048 | 1,218,048 | — | — |
Diversified Financial Services | 5,144,151 | 4,874,254 | 269,897 | — |
Electric | 720,726 | 720,726 | — | — |
Electrical Components & Equipment | 1,394,660 | 1,394,660 | — | — |
Electronics | 4,084,061 | 4,084,061 | — | — |
Energy-Alternate Sources | 132,188 | 132,188 | — | — |
Engineering & Construction | 217,539 | 217,539 | — | — |
Entertainment | 314,685 | 314,685 | — | — |
Environmental Control | 354,480 | 354,480 | — | — |
Food | 1,978,554 | 1,978,554 | — | — |
Hand & Machine Tools | 887,159 | 887,159 | — | — |
Healthcare Products | 8,936,490 | 8,936,490 | — | — |
Healthcare Services | 4,192,944 | 4,192,944 | — | — |
Holding Companies | 737,574 | — | 737,574 | — |
Home Builders | 575,122 | 575,122 | — | — |
Home Furnishings | 701,497 | 701,497 | — | — |
Household Products & Wares | 702,261 | 702,261 | — | — |
Insurance | 1,424,593 | 1,424,593 | — | — |
Internet | 2,233,415 | 2,233,415 | — | — |
Machinery — Diversified | 4,543,691 | 4,543,691 | — | — |
Miscellaneous Manufacturing | 2,273,138 | 2,273,138 | — | — |
ASSETS TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Oil & Gas | $ 1,725,847 | $ 1,725,847 | $ — | $— |
Packaging and Containers | 2,700,028 | 2,700,028 | — | — |
Pharmaceuticals | 3,600,256 | 3,600,256 | — | — |
Retail | 1,894,015 | 1,894,015 | — | — |
Semiconductors | 3,855,877 | 3,855,877 | — | — |
Software | 16,016,117 | 16,016,117 | — | — |
Telecommunications | 2,510,895 | 2,510,895 | — | — |
Transportation | 1,770,532 | 1,770,532 | — | — |
Total Common Stocks | 97,402,712 | 96,395,241 | 1,007,471 | — |
Real Estate Investment Trusts | 832,460 | 832,460 | — | — |
Short-Term Investments | 603,714 | 603,714 | — | — |
Total Investments | $ 98,838,886 | $ 97,831,415 | $ 1,007,471 | $ — |
Number of Shares | Value† | |
COMMON STOCKS — 87.4% | ||
Advertising — 0.2% | ||
Entravision Communications Corp., Class A | 52,455 | $ 239,195 |
Aerospace & Defense — 1.1% | ||
AAR Corp.* | 15,145 | 633,667 |
Aerojet Rocketdyne Holdings, Inc.* | 11,900 | 483,140 |
Ducommun, Inc.* | 12,766 | 549,448 |
1,666,255 | ||
Airlines — 0.4% | ||
Allegiant Travel Co.* | 1,577 | 178,343 |
Spirit Airlines, Inc.* | 20,051 | 478,016 |
656,359 | ||
Apparel — 0.9% | ||
Capri Holdings Ltd.* | 8,736 | 358,263 |
Carter's, Inc. | 7,488 | 527,754 |
Deckers Outdoor Corp.* | 1,773 | 452,736 |
1,338,753 | ||
Auto Parts & Equipment — 0.4% | ||
Adient PLC* | 7,401 | 219,291 |
American Axle & Manufacturing Holdings, Inc.* | 46,205 | 347,924 |
567,215 | ||
Banks — 17.3% | ||
Alerus Financial Corp. | 5,599 | 133,312 |
Amalgamated Financial Corp. | 9,847 | 194,774 |
Ameris Bancorp | 20,959 | 842,133 |
Associated Banc-Corp. | 46,579 | 850,532 |
Atlantic Union Bankshares Corp. | 31,166 | 1,057,151 |
Banner Corp. | 22,268 | 1,251,684 |
Cadence Bank | 38,281 | 898,838 |
Columbia Banking System, Inc. | 20,644 | 591,451 |
Community Bank System, Inc. | 12,820 | 811,250 |
ConnectOne Bancorp, Inc. | 31,145 | 761,495 |
CVB Financial Corp. | 61,655 | 1,529,660 |
Eastern Bankshares, Inc. | 62,150 | 1,147,289 |
FB Financial Corp. | 20,839 | 817,306 |
First Financial Bankshares, Inc. | 15,873 | 623,333 |
First Merchants Corp. | 25,999 | 926,084 |
German American Bancorp, Inc. | 14,342 | 490,210 |
Glacier Bancorp, Inc. | 17,343 | 822,405 |
Hancock Whitney Corp. | 35,161 | 1,558,687 |
Heritage Financial Corp. | 22,090 | 555,784 |
Home BancShares, Inc. | 40,999 | 851,549 |
Independent Bank Corp. | 16,472 | 1,308,371 |
Independent Bank Group, Inc. | 6,204 | 421,314 |
Lakeland Financial Corp. | 16,174 | 1,074,277 |
NBT Bancorp, Inc. | 6,367 | 239,335 |
Origin Bancorp, Inc. | 10,087 | 391,376 |
PacWest Bancorp | 18,070 | 481,746 |
Pinnacle Financial Partners, Inc. | 6,380 | 461,338 |
Renasant Corp. | 26,884 | 774,528 |
SouthState Corp. | 15,208 | 1,173,297 |
The First of Long Island Corp. | 6,114 | 107,178 |
Number of Shares | Value† | |
Banks — (continued) | ||
Towne Bank | 24,551 | $ 666,560 |
TriCo Bancshares | 20,455 | 933,566 |
United Community Banks, Inc. | 41,740 | 1,260,131 |
Walker & Dunlop, Inc. | 8,151 | 785,267 |
26,793,211 | ||
Beverages — 0.9% | ||
Primo Water Corp. | 99,752 | 1,334,682 |
Biotechnology — 3.4% | ||
Allogene Therapeutics, Inc.* | 25,289 | 288,295 |
Apellis Pharmaceuticals, Inc.* | 4,919 | 222,437 |
Arcus Biosciences, Inc.* | 7,409 | 187,744 |
Beam Therapeutics, Inc.* | 4,450 | 172,259 |
EQRx, Inc.* | 43,099 | 202,134 |
Intellia Therapeutics, Inc.* | 4,254 | 220,187 |
Iovance Biotherapeutics, Inc.* | 29,861 | 329,665 |
Mersana Therapeutics, Inc.* | 34,532 | 159,538 |
Myriad Genetics, Inc.* | 24,481 | 444,820 |
NeoGenomics, Inc.* | 59,219 | 482,635 |
REGENXBIO, Inc.* | 11,071 | 273,454 |
Relay Therapeutics, Inc.* | 17,047 | 285,537 |
REVOLUTION Medicines, Inc.* | 16,091 | 313,614 |
Sage Therapeutics, Inc.* | 14,337 | 463,085 |
Turning Point Therapeutics, Inc.* | 7,487 | 563,397 |
Ultragenyx Pharmaceutical, Inc.* | 3,083 | 183,932 |
Veracyte, Inc.* | 11,309 | 225,049 |
Xencor, Inc.* | 7,432 | 203,414 |
Zentalis Pharmaceuticals, Inc.* | 3,388 | 95,203 |
5,316,399 | ||
Building Materials — 0.4% | ||
Summit Materials, Inc., Class A* | 24,739 | 576,171 |
Chemicals — 0.7% | ||
H.B. Fuller Co. | 14,571 | 877,320 |
Tronox Holdings PLC, Class A | 15,699 | 263,743 |
1,141,063 | ||
Coal — 0.1% | ||
Warrior Met Coal, Inc. | 7,028 | 215,127 |
Commercial Services — 5.6% | ||
ABM Industries, Inc. | 36,674 | 1,592,385 |
Adtalem Global Education, Inc.* | 20,582 | 740,334 |
Alight, Inc., Class A* | 86,108 | 581,229 |
ASGN, Inc.* | 10,275 | 927,319 |
Deluxe Corp. | 27,488 | 595,665 |
First Advantage Corp.* | 40,997 | 519,432 |
ICF International, Inc. | 9,431 | 895,945 |
John Wiley & Sons, Inc., Class A | 25,459 | 1,215,922 |
Kforce, Inc. | 6,517 | 399,753 |
LiveRamp Holdings, Inc.* | 24,224 | 625,221 |
Repay Holdings Corp.* | 45,083 | 579,317 |
8,672,522 | ||
Computers — 1.4% | ||
KBR, Inc. | 31,894 | 1,543,351 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Computers — (continued) | ||
Ping Identity Holding Corp.* | 37,370 | $ 677,892 |
2,221,243 | ||
Distribution & Wholesale — 2.0% | ||
Avient Corp. | 36,353 | 1,457,028 |
Resideo Technologies, Inc.* | 50,163 | 974,166 |
WESCO International, Inc.* | 6,873 | 736,098 |
3,167,292 | ||
Diversified Financial Services — 0.9% | ||
Bread Financial Holdings, Inc. | 4,085 | 151,390 |
Houlihan Lokey, Inc. | 2,937 | 231,818 |
LendingClub Corp.* | 12,523 | 146,394 |
Oportun Financial Corp.* | 6,126 | 50,662 |
PJT Partners, Inc., Class A | 6,190 | 435,033 |
Stifel Financial Corp. | 5,413 | 303,236 |
1,318,533 | ||
Electric — 2.6% | ||
ALLETE, Inc. | 22,826 | 1,341,712 |
IDACORP, Inc. | 12,219 | 1,294,237 |
MGE Energy, Inc. | 17,186 | 1,337,586 |
3,973,535 | ||
Electronics — 2.4% | ||
CTS Corp. | 14,082 | 479,492 |
FARO Technologies, Inc.* | 17,452 | 538,045 |
Itron, Inc.* | 14,743 | 728,746 |
Knowles Corp.* | 32,445 | 562,272 |
Sanmina Corp.* | 17,023 | 693,347 |
TTM Technologies, Inc.* | 52,519 | 656,488 |
3,658,390 | ||
Energy-Alternate Sources — 0.5% | ||
NextEra Energy Partners LP | 11,317 | 839,269 |
Engineering & Construction — 1.9% | ||
Arcosa, Inc. | 20,439 | 948,983 |
Dycom Industries, Inc.* | 7,864 | 731,666 |
MasTec, Inc.* | 8,651 | 619,931 |
Primoris Services Corp. | 27,890 | 606,886 |
2,907,466 | ||
Entertainment — 1.0% | ||
International Game Technology PLC | 32,433 | 601,957 |
Red Rock Resorts, Inc., Class A | 11,306 | 377,168 |
SeaWorld Entertainment, Inc.* | 14,223 | 628,372 |
1,607,497 | ||
Food — 2.3% | ||
Hostess Brands, Inc.* | 64,764 | 1,373,644 |
Krispy Kreme, Inc. | 27,525 | 374,340 |
SpartanNash Co. | 6,302 | 190,131 |
The Simply Good Foods Co.* | 13,219 | 499,282 |
United Natural Foods, Inc.* | 19,915 | 784,651 |
Utz Brands, Inc. | 29,241 | 404,111 |
3,626,159 |
Number of Shares | Value† | |
Food Service — 0.1% | ||
Sovos Brands, Inc.* | 14,574 | $ 231,289 |
Gas — 1.8% | ||
Chesapeake Utilities Corp. | 7,049 | 913,198 |
ONE Gas, Inc. | 17,744 | 1,440,635 |
Southwest Gas Holdings, Inc. | 5,547 | 483,033 |
2,836,866 | ||
Hand & Machine Tools — 0.3% | ||
Kennametal, Inc. | 20,202 | 469,292 |
Healthcare Products — 2.1% | ||
Avanos Medical, Inc.* | 29,855 | 816,236 |
CONMED Corp. | 8,273 | 792,222 |
LivaNova PLC* | 11,621 | 725,964 |
NuVasive, Inc.* | 15,365 | 755,343 |
Pacific Biosciences of California, Inc.* | 36,700 | 162,214 |
3,251,979 | ||
Healthcare Services — 0.9% | ||
Acadia Healthcare Co., Inc.* | 12,384 | 837,530 |
Tenet Healthcare Corp.* | 11,066 | 581,629 |
1,419,159 | ||
Home Builders — 1.2% | ||
Century Communities, Inc. | 8,711 | 391,734 |
Installed Building Products, Inc. | 5,071 | 421,704 |
Meritage Homes Corp.* | 13,908 | 1,008,330 |
1,821,768 | ||
Insurance — 3.9% | ||
AMERISAFE, Inc. | 7,797 | 405,522 |
BRP Group, Inc., Class A* | 8,655 | 209,018 |
CNO Financial Group, Inc. | 26,176 | 473,524 |
Enstar Group Ltd.* | 4,108 | 879,030 |
MGIC Investment Corp. | 81,890 | 1,031,814 |
NMI Holdings, Inc., Class A* | 30,345 | 505,244 |
RLI Corp. | 4,872 | 568,027 |
Selective Insurance Group, Inc. | 18,650 | 1,621,431 |
The Hanover Insurance Group, Inc. | 2,789 | 407,891 |
6,101,501 | ||
Internet — 0.4% | ||
Bumble, Inc., Class A* | 20,377 | 573,613 |
Iron & Steel — 1.1% | ||
Allegheny Technologies, Inc.* | 28,584 | 649,143 |
Commercial Metals Co. | 29,619 | 980,389 |
1,629,532 | ||
Leisure Time — 0.5% | ||
Callaway Golf Co.* | 36,735 | 749,394 |
Lodging — 0.8% | ||
Boyd Gaming Corp. | 10,999 | 547,200 |
Travel + Leisure Co. | 15,977 | 620,227 |
1,167,427 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Machinery — Construction & Mining — 0.9% | ||
Astec Industries, Inc. | 17,105 | $ 697,542 |
Terex Corp. | 26,544 | 726,509 |
1,424,051 | ||
Machinery — Diversified — 1.6% | ||
Chart Industries, Inc.* | 6,154 | 1,030,056 |
Columbus McKinnon Corp. | 20,902 | 592,990 |
Enovis Corp.* | 16,704 | 918,720 |
2,541,766 | ||
Media — 1.4% | ||
Gray Television, Inc. | 20,978 | 354,318 |
iHeartMedia, Inc., Class A* | 28,748 | 226,822 |
Nexstar Media Group, Inc., Class A | 5,246 | 854,469 |
TEGNA, Inc. | 37,168 | 779,413 |
2,215,022 | ||
Mining — 0.7% | ||
Constellium S.E.* | 52,885 | 698,611 |
Hecla Mining Co. | 106,135 | 416,049 |
1,114,660 | ||
Miscellaneous Manufacturing — 1.6% | ||
EnPro Industries, Inc. | 10,783 | 883,451 |
ESCO Technologies, Inc. | 10,082 | 689,306 |
Federal Signal Corp. | 25,503 | 907,907 |
2,480,664 | ||
Office & Business Equipment — 0.2% | ||
Xerox Holdings Corp. | 15,677 | 232,803 |
Oil & Gas — 3.8% | ||
Brigham Minerals, Inc., Class A | 22,257 | 548,190 |
Callon Petroleum Co.* | 14,468 | 567,145 |
Centennial Resource Development, Inc., Class A* | 108,210 | 647,096 |
Helmerich & Payne, Inc. | 28,149 | 1,212,096 |
Magnolia Oil & Gas Corp., Class A | 25,128 | 527,437 |
Murphy Oil Corp. | 9,978 | 301,236 |
Oasis Petroleum, Inc. | 3,501 | 425,897 |
Patterson-UTI Energy, Inc. | 42,375 | 667,830 |
PBF Energy, Inc., Class A* | 12,396 | 359,732 |
SM Energy Co. | 19,348 | 661,508 |
5,918,167 | ||
Oil & Gas Services — 0.6% | ||
Liberty Oilfield Services, Inc., Class A* | 27,864 | 355,544 |
NexTier Oilfield Solutions, Inc.* | 58,331 | 554,728 |
910,272 | ||
Pharmaceuticals — 1.7% | ||
Agios Pharmaceuticals, Inc.* | 18,833 | 417,528 |
Alkermes PLC* | 15,783 | 470,176 |
BellRing Brands, Inc.* | 20,022 | 498,348 |
Cytokinetics, Inc.* | 1,625 | 63,846 |
Kura Oncology, Inc.* | 17,913 | 328,345 |
Owens & Minor, Inc. | 28,536 | 897,457 |
2,675,700 |
Number of Shares | Value† | |
Pipelines — 0.6% | ||
Golar LNG Ltd.* | 38,853 | $ 883,906 |
Private Equity — 0.2% | ||
P10, Inc., Class A | 28,343 | 315,174 |
Real Estate — 0.8% | ||
Kennedy-Wilson Holdings, Inc. | 61,321 | 1,161,420 |
Retail — 4.1% | ||
Academy Sports & Outdoors, Inc. | 29,384 | 1,044,307 |
Asbury Automotive Group, Inc.* | 4,170 | 706,148 |
Beacon Roofing Supply, Inc.* | 15,579 | 800,138 |
BJ's Wholesale Club Holdings, Inc.* | 12,524 | 780,496 |
FirstCash Holdings, Inc. | 7,293 | 506,936 |
Group 1 Automotive, Inc. | 6,325 | 1,073,985 |
Macy's, Inc. | 20,207 | 370,192 |
Signet Jewelers Ltd. | 2,691 | 143,861 |
The Wendy's Co. | 50,648 | 956,234 |
6,382,297 | ||
Savings & Loans — 2.5% | ||
Berkshire Hills Bancorp, Inc. | 10,459 | 259,069 |
Brookline Bancorp, Inc. | 51,349 | 683,455 |
OceanFirst Financial Corp. | 41,820 | 800,017 |
Pacific Premier Bancorp, Inc. | 26,998 | 789,422 |
Washington Federal, Inc. | 43,406 | 1,303,048 |
3,835,011 | ||
Semiconductors — 1.6% | ||
Cohu, Inc.* | 34,986 | 970,861 |
MACOM Technology Solutions Holdings, Inc.* | 17,478 | 805,736 |
Onto Innovation, Inc.* | 10,669 | 744,056 |
2,520,653 | ||
Software — 2.4% | ||
Allscripts Healthcare Solutions, Inc.* | 55,844 | 828,167 |
Cerence, Inc.* | 19,422 | 490,017 |
Domo, Inc., Class B* | 9,832 | 273,330 |
Fastly, Inc., Class A* | 24,384 | 283,098 |
Health Catalyst, Inc.* | 29,459 | 426,861 |
JFrog Ltd.* | 20,974 | 441,922 |
Smartsheet, Inc., Class A* | 15,387 | 483,613 |
Verint Systems, Inc.* | 11,799 | 499,688 |
3,726,696 | ||
Telecommunications — 2.1% | ||
DigitalBridge Group, Inc.* | 176,046 | 859,104 |
Iridium Communications, Inc.* | 17,904 | 672,474 |
Maxar Technologies, Inc. | 23,066 | 601,792 |
Telephone and Data Systems, Inc. | 31,035 | 490,043 |
Viavi Solutions, Inc.* | 47,257 | 625,210 |
3,248,623 | ||
Transportation — 0.7% | ||
ArcBest Corp. | 5,710 | 401,813 |
Saia, Inc.* | 3,275 | 615,700 |
1,017,513 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Water — 0.4% | ||
SJW Group | 9,215 | $ 575,108 |
TOTAL COMMON STOCKS (Cost $140,560,521) | 135,267,662 | |
REAL ESTATE INVESTMENT TRUSTS — 11.3% | ||
Healthcare — 2.0% | ||
Healthcare Realty Trust, Inc. | 53,042 | 1,442,743 |
Physicians Realty Trust | 94,778 | 1,653,876 |
3,096,619 | ||
Hotels & Resorts — 2.5% | ||
Pebblebrook Hotel Trust | 67,148 | 1,112,643 |
RLJ Lodging Trust | 121,707 | 1,342,428 |
Ryman Hospitality Properties, Inc.* | 18,809 | 1,430,048 |
3,885,119 | ||
Industrial — 0.9% | ||
STAG lndustrial, Inc. | 44,196 | 1,364,772 |
Mortgage Banks — 2.0% | ||
KKR Real Estate Finance Trust, Inc. | 44,714 | 780,259 |
PennyMac Mortgage Investment Trust | 81,882 | 1,132,428 |
TPG RE Finance Trust, Inc. | 59,407 | 535,257 |
Two Harbors Investment Corp. | 128,881 | 641,828 |
3,089,772 | ||
Office Property — 0.7% | ||
Hudson Pacific Properties, Inc. | 75,552 | 1,121,192 |
Single Tenant — 0.8% | ||
Agree Realty Corp. | 17,424 | 1,256,793 |
Storage & Warehousing — 0.9% | ||
Terreno Realty Corp. | 26,130 | 1,456,225 |
Strip Centers — 1.5% | ||
Acadia Realty Trust | 74,293 | 1,160,457 |
SITE Centers Corp. | 82,573 | 1,112,258 |
2,272,715 | ||
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $20,659,437) | 17,543,207 |
SHORT-TERM INVESTMENTS — 1.0% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 1.320%) (Cost $1,555,873) | 1,555,873 | 1,555,873 |
TOTAL INVESTMENTS — 99.7% (Cost $162,775,831) | $ 154,366,742 | |
Other Assets & Liabilities — 0.3% | 452,192 | |
TOTAL NET ASSETS — 100.0% | $ 154,818,934 |
† | See Security Valuation Note. |
* | Non-income producing security. |
LP— Limited Partnership. |
PLC— Public Limited Company. |
S.E.— Societas Europaea. |
ASSETS TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Common Stocks | $135,267,662 | $135,267,662 | $— | $— |
Real Estate Investment Trusts | 17,543,207 | 17,543,207 | — | — |
Short-Term Investments | 1,555,873 | 1,555,873 | — | — |
Total Investments | $ 154,366,742 | $ 154,366,742 | $ — | $ — |
Number of Shares | Value† | |
COMMON STOCKS — 90.4% | ||
Advertising — 0.1% | ||
Advantage Solutions, Inc.* | 2,600 | $ 9,880 |
Boston Omaha Corp., Class A* | 700 | 14,455 |
Clear Channel Outdoor Holdings, Inc.* | 12,200 | 13,054 |
Entravision Communications Corp., Class A | 1,700 | 7,752 |
Quotient Technology, Inc.* | 2,700 | 8,019 |
Stagwell, Inc.* | 2,400 | 13,032 |
66,192 | ||
Aerospace & Defense — 0.8% | ||
AAR Corp.* | 1,169 | 48,911 |
Aerojet Rocketdyne Holdings, Inc.* | 2,540 | 103,124 |
AeroVironment, Inc.* | 718 | 59,020 |
AerSale Corp.* | 400 | 5,804 |
Archer Aviation, Inc., Class A* | 4,100 | 12,628 |
Astra Space, Inc.* | 4,700 | 6,110 |
Astronics Corp.* | 795 | 8,085 |
Barnes Group, Inc. | 1,565 | 48,734 |
Ducommun, Inc.* | 400 | 17,216 |
Joby Aviation, Inc.* | 8,200 | 40,262 |
Kaman Corp. | 948 | 29,625 |
Kratos Defense & Security Solutions, Inc.* | 4,322 | 59,989 |
Momentus, Inc.* | 1,800 | 3,888 |
Moog, Inc., Class A | 891 | 70,737 |
National Presto Industries, Inc. | 146 | 9,583 |
Park Aerospace Corp. | 533 | 6,801 |
Rocket Lab USA, Inc.* | 7,000 | 26,530 |
Triumph Group, Inc.* | 2,200 | 29,238 |
586,285 | ||
Agriculture — 0.3% | ||
22nd Century Group, Inc.* | 5,200 | 11,076 |
Alico, Inc. | 200 | 7,126 |
AppHarvest, Inc.* | 2,600 | 9,074 |
Benson Hill, Inc.* | 5,600 | 15,344 |
Fresh Del Monte Produce, Inc. | 1,016 | 30,002 |
Tejon Ranch Co.* | 825 | 12,804 |
The Andersons, Inc. | 1,032 | 34,046 |
Turning Point Brands, Inc. | 500 | 13,565 |
Universal Corp. | 855 | 51,727 |
Vector Group Ltd. | 4,857 | 50,999 |
Vital Farms, Inc.* | 800 | 7,000 |
242,763 | ||
Airlines — 0.3% | ||
Allegiant Travel Co.* | 521 | 58,920 |
Frontier Group Holdings, Inc.* | 1,200 | 11,244 |
Hawaiian Holdings, Inc.* | 1,626 | 23,268 |
SkyWest, Inc.* | 1,681 | 35,721 |
Spirit Airlines, Inc.* | 3,600 | 85,824 |
Sun Country Airlines Holdings, Inc.* | 1,100 | 20,174 |
Wheels Up Experience, Inc.* | 5,200 | 10,140 |
245,291 | ||
Apparel — 0.6% | ||
Cenntro Electric Group Ltd.* | 6,000 | 9,060 |
Number of Shares | Value† | |
Apparel — (continued) | ||
Crocs, Inc.* | 2,000 | $ 97,340 |
Ermenegildo Zegna Holditalia SpA* | 1,500 | 15,825 |
Fossil Group, Inc.* | 1,700 | 8,789 |
Kontoor Brands, Inc. | 1,700 | 56,729 |
Oxford Industries, Inc. | 508 | 45,080 |
PLBY Group, Inc.* | 1,000 | 6,400 |
Rocky Brands, Inc. | 200 | 6,836 |
Steven Madden Ltd. | 2,673 | 86,097 |
Superior Group of Cos., Inc. | 400 | 7,100 |
Torrid Holdings, Inc.* | 400 | 1,728 |
Urban Outfitters, Inc.* | 2,200 | 41,052 |
Weyco Group, Inc. | 200 | 4,890 |
Wolverine World Wide, Inc. | 2,582 | 52,053 |
438,979 | ||
Auto Manufacturers — 0.3% | ||
Blue Bird Corp.* | 692 | 6,373 |
Canoo, Inc.* | 3,700 | 6,845 |
Fisker, Inc.* | 5,400 | 46,278 |
Hyliion Holdings Corp.* | 3,900 | 12,558 |
Hyzon Motors, Inc.* | 2,900 | 8,526 |
Lightning eMotors, Inc.* | 1,300 | 3,601 |
Lordstown Motors Corp., Class A* | 5,600 | 8,848 |
Nikola Corp.* | 9,500 | 45,220 |
REV Group, Inc. | 1,000 | 10,870 |
TuSimple Holdings, Inc., Class A* | 4,600 | 33,258 |
Wabash National Corp. | 1,600 | 21,728 |
Workhorse Group, Inc.* | 5,500 | 14,300 |
Xos, Inc.* | 1,800 | 3,312 |
221,717 | ||
Auto Parts & Equipment — 1.5% | ||
Adient PLC* | 3,100 | 91,853 |
Aeva Technologies, Inc.* | 3,400 | 10,642 |
American Axle & Manufacturing Holdings, Inc.* | 4,016 | 30,241 |
Dana, Inc. | 4,196 | 59,038 |
Dorman Products, Inc.* | 857 | 94,021 |
Douglas Dynamics, Inc. | 700 | 20,118 |
Fox Factory Holding Corp.* | 1,397 | 112,514 |
Gentherm, Inc.* | 1,068 | 66,654 |
Holley, Inc.* | 1,700 | 17,850 |
indie Semiconductor, Inc., Class A* | 3,300 | 18,810 |
Luminar Technologies, Inc.* | 7,800 | 46,254 |
Meritor, Inc.* | 2,245 | 81,561 |
Methode Electronics, Inc. | 1,260 | 46,670 |
Microvast Holdings, Inc.* | 5,600 | 12,432 |
Miller Industries, Inc. | 343 | 7,776 |
Motorcar Parts of America, Inc.* | 500 | 6,560 |
Proterra, Inc.* | 7,200 | 33,408 |
Solid Power, Inc.* | 1,900 | 10,222 |
Standard Motor Products, Inc. | 700 | 31,493 |
Tenneco, Inc., Class A* | 2,900 | 49,764 |
The Goodyear Tire & Rubber Co.* | 9,295 | 99,549 |
The Shyft Group, Inc. | 1,200 | 22,308 |
Titan International, Inc.* | 1,800 | 27,180 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Auto Parts & Equipment — (continued) | ||
Velodyne Lidar, Inc.* | 2,400 | $ 2,293 |
Visteon Corp.* | 900 | 93,222 |
XPEL, Inc.* | 600 | 27,558 |
1,119,991 | ||
Banks — 9.3% | ||
1st Source Corp. | 588 | 26,695 |
ACNB Corp. | 300 | 8,907 |
Alerus Financial Corp. | 400 | 9,524 |
Allegiance Bancshares, Inc. | 600 | 22,656 |
Amalgamated Financial Corp. | 600 | 11,868 |
American National Bankshares, Inc. | 400 | 13,844 |
Ameris Bancorp | 2,212 | 88,878 |
Arrow Financial Corp. | 449 | 14,283 |
Associated Banc-Corp. | 4,900 | 89,474 |
Atlantic Union Bankshares Corp. | 2,507 | 85,037 |
BancFirst Corp. | 620 | 59,340 |
Banco Latinoamericano de Comercio Exterior S.A., Class E | 1,110 | 14,730 |
Bank First Corp. | 200 | 15,162 |
Bank of Marin Bancorp | 480 | 15,254 |
BankUnited, Inc. | 2,700 | 96,039 |
Bankwell Financial Group, Inc. | 200 | 6,210 |
Banner Corp. | 1,100 | 61,831 |
Bar Harbor Bankshares | 397 | 10,266 |
BayCom Corp. | 400 | 8,272 |
BCB Bancorp, Inc. | 500 | 8,515 |
Blue Foundry Bancorp* | 900 | 10,791 |
Blue Ridge Bankshares, Inc. | 700 | 10,724 |
Bridgewater Bancshares Inc.* | 700 | 11,298 |
Business First Bancshares, Inc. | 700 | 14,917 |
Byline Bancorp, Inc. | 900 | 21,420 |
Cadence Bank | 6,083 | 142,829 |
Cambridge Bancorp | 200 | 16,540 |
Camden National Corp. | 539 | 23,743 |
Capital Bancorp, Inc. | 200 | 4,340 |
Capital City Bank Group, Inc. | 469 | 13,080 |
Capstar Financial Holdings, Inc. | 600 | 11,772 |
Carter Bankshares, Inc.* | 800 | 10,560 |
Cathay General Bancorp | 2,450 | 95,917 |
CBTX, Inc. | 700 | 18,613 |
Central Pacific Financial Corp. | 900 | 19,305 |
Citizens & Northern Corp. | 556 | 13,439 |
City Holding Co. | 485 | 38,742 |
Civista Bancshares, Inc. | 400 | 8,504 |
CNB Financial Corp. | 474 | 11,466 |
Coastal Financial Corp.* | 300 | 11,436 |
Colony Bankcorp, Inc. | 500 | 7,545 |
Columbia Banking System, Inc. | 2,568 | 73,573 |
Community Bank System, Inc. | 1,737 | 109,917 |
Community Trust Bancorp, Inc. | 483 | 19,533 |
ConnectOne Bancorp, Inc. | 1,160 | 28,362 |
CrossFirst Bankshares, Inc.* | 1,500 | 19,800 |
Customers Bancorp, Inc.* | 980 | 33,222 |
CVB Financial Corp. | 4,392 | 108,965 |
Number of Shares | Value† | |
Banks — (continued) | ||
Dime Community Bancshares, Inc. | 1,109 | $ 32,882 |
Eagle Bancorp, Inc. | 1,073 | 50,871 |
Eastern Bankshares, Inc. | 5,300 | 97,838 |
Enterprise Bancorp, Inc. | 313 | 10,075 |
Enterprise Financial Services Corp. | 1,180 | 48,970 |
Equity Bancshares, Inc., Class A | 500 | 14,580 |
Esquire Financial Holdings, Inc. | 200 | 6,660 |
Farmers & Merchants Bancorp, Inc. | 400 | 13,276 |
Farmers National Banc Corp. | 1,100 | 16,500 |
FB Financial Corp. | 1,086 | 42,593 |
Financial Institutions, Inc. | 440 | 11,449 |
First Bancorp | 1,124 | 39,228 |
First BanCorp. | 6,400 | 82,624 |
First Bank | 400 | 5,592 |
First Busey Corp. | 1,713 | 39,142 |
First Business Financial Services, Inc. | 300 | 9,357 |
First Commonwealth Financial Corp. | 3,221 | 43,226 |
First Community Bankshares, Inc. | 626 | 18,411 |
First Financial Bancorp | 3,082 | 59,791 |
First Financial Bankshares, Inc. | 4,304 | 169,018 |
First Financial Corp. | 380 | 16,910 |
First Foundation, Inc. | 1,600 | 32,768 |
First Guaranty Bancshares, Inc. | 200 | 4,862 |
First Internet Bancorp | 300 | 11,046 |
First Interstate BancSystem, Inc., Class A | 3,187 | 121,457 |
First Merchants Corp. | 1,930 | 68,747 |
First Mid Bancshares, Inc. | 500 | 17,835 |
Five Star Bancorp | 500 | 13,210 |
Flagstar Bancorp, Inc. | 1,700 | 60,265 |
Fulton Financial Corp. | 5,103 | 73,738 |
FVCBankcorp, Inc.* | 400 | 7,532 |
German American Bancorp, Inc. | 838 | 28,643 |
Glacier Bancorp, Inc. | 3,699 | 175,407 |
Great Southern Bancorp, Inc. | 371 | 21,726 |
Guaranty Bancshares, Inc. | 330 | 11,962 |
Hancock Whitney Corp. | 2,878 | 127,582 |
Hanmi Financial Corp. | 913 | 20,488 |
HarborOne Bancorp, Inc. | 1,577 | 21,747 |
HBT Financial, Inc. | 400 | 7,148 |
Heartland Financial USA, Inc. | 1,317 | 54,708 |
Heritage Commerce Corp. | 1,900 | 20,311 |
Heritage Financial Corp. | 1,230 | 30,947 |
Hilltop Holdings, Inc. | 2,142 | 57,106 |
Home BancShares, Inc. | 6,235 | 129,501 |
HomeStreet, Inc. | 600 | 20,802 |
Hope Bancorp, Inc. | 3,767 | 52,135 |
Horizon Bancorp, Inc. | 1,350 | 23,517 |
Independent Bank Corp. | 1,560 | 123,911 |
Independent Bank Corp. | 800 | 15,424 |
Independent Bank Group, Inc. | 1,250 | 84,887 |
International Bancshares Corp. | 1,825 | 73,146 |
John Marshall Bancorp, Inc. | 400 | 9,016 |
Kearny Financial Corp. | 2,245 | 24,942 |
Lakeland Bancorp, Inc. | 2,111 | 30,863 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Banks — (continued) | ||
Lakeland Financial Corp. | 791 | $ 52,538 |
Live Oak Bancshares, Inc. | 1,000 | 33,890 |
Luther Burbank Corp. | 400 | 5,220 |
Macatawa Bank Corp. | 800 | 7,072 |
Mercantile Bank Corp. | 500 | 15,975 |
Merchants Bancorp | 400 | 9,068 |
Meta Financial Group, Inc. | 1,000 | 38,670 |
Metrocity Bankshares, Inc. | 600 | 12,186 |
Metropolitan Bank Holding Corp.* | 300 | 20,826 |
Mid Penn Bancorp, Inc. | 400 | 10,788 |
Midland States Bancorp, Inc. | 700 | 16,828 |
MidWestOne Financial Group, Inc. | 400 | 11,888 |
MVB Financial Corp. | 400 | 12,444 |
National Bank Holdings Corp., Class A | 1,000 | 38,270 |
NBT Bancorp, Inc. | 1,369 | 51,461 |
Nicolet Bankshares, Inc.* | 400 | 28,936 |
Northeast Bank | 200 | 7,306 |
OFG Bancorp | 1,610 | 40,894 |
Old National Bancorp | 9,857 | 145,785 |
Old Second Bancorp, Inc. | 1,400 | 18,732 |
Origin Bancorp, Inc. | 700 | 27,160 |
Orrstown Financial Services, Inc. | 400 | 9,668 |
Park National Corp. | 486 | 58,927 |
Parke Bancorp, Inc. | 300 | 6,288 |
PCB Bancorp | 400 | 7,472 |
PCSB Financial Corp. | 500 | 9,545 |
Peapack-Gladstone Financial Corp. | 636 | 18,889 |
Peoples Bancorp, Inc. | 891 | 23,701 |
Peoples Financial Services Corp. | 200 | 11,168 |
Pioneer Bancorp, Inc.* | 500 | 4,900 |
Preferred Bank | 500 | 34,010 |
Premier Financial Corp. | 1,131 | 28,671 |
Primis Financial Corp. | 1,000 | 13,630 |
Provident Bancorp, Inc. | 404 | 6,343 |
QCR Holdings, Inc. | 600 | 32,394 |
RBB Bancorp | 400 | 8,268 |
Red River Bancshares, Inc. | 200 | 10,816 |
Renasant Corp. | 1,835 | 52,866 |
Republic Bancorp, Inc., Class A | 287 | 13,848 |
Republic First Bancorp, Inc.* | 1,700 | 6,477 |
S&T Bancorp, Inc. | 1,381 | 37,881 |
Sandy Spring Bancorp, Inc. | 1,450 | 56,651 |
Seacoast Banking Corp of Florida | 1,940 | 64,098 |
ServisFirst Bancshares, Inc. | 1,600 | 126,272 |
Shore Bancshares, Inc. | 600 | 11,100 |
Sierra Bancorp | 412 | 8,953 |
Silvergate Capital Corp., Class A* | 1,066 | 57,063 |
Simmons First National Corp., Class A | 4,096 | 87,081 |
SmartFinancial, Inc. | 400 | 9,664 |
South Plains Financial, Inc. | 400 | 9,656 |
Southern First Bancshares, Inc.* | 200 | 8,718 |
Southside Bancshares, Inc. | 1,071 | 40,077 |
SouthState Corp. | 2,427 | 187,243 |
Sterling Bancorp, Inc.* | 600 | 3,420 |
Stock Yards Bancorp, Inc. | 967 | 57,846 |
Number of Shares | Value† | |
Banks — (continued) | ||
Summit Financial Group, Inc. | 400 | $ 11,112 |
Texas Capital Bancshares, Inc.* | 1,700 | 89,488 |
The Bancorp, Inc.* | 1,812 | 35,370 |
The Bank of NT Butterfield & Son Ltd. | 1,600 | 49,904 |
The First Bancorp, Inc. | 434 | 13,076 |
The First Bancshares, Inc. | 700 | 20,020 |
The First of Long Island Corp. | 689 | 12,078 |
Third Coast Bancshares, Inc.* | 200 | 4,380 |
Tompkins Financial Corp. | 458 | 33,022 |
Towne Bank | 2,277 | 61,821 |
TriCo Bancshares | 1,098 | 50,113 |
Triumph Bancorp, Inc.* | 800 | 50,048 |
TrustCo Bank Corp. | 650 | 20,046 |
Trustmark Corp. | 2,030 | 59,256 |
UMB Financial Corp. | 1,481 | 127,514 |
United Bankshares, Inc. | 4,360 | 152,905 |
United Community Banks, Inc. | 3,471 | 104,789 |
Unity Bancorp, Inc. | 200 | 5,296 |
Univest Financial Corp. | 987 | 25,109 |
USCB Financial Holdings, Inc.* | 400 | 4,616 |
Valley National Bancorp | 14,383 | 149,727 |
Veritex Holdings, Inc. | 1,553 | 45,441 |
Walker & Dunlop, Inc. | 972 | 93,642 |
Washington Trust Bancorp, Inc. | 570 | 27,571 |
WesBanco, Inc. | 1,930 | 61,200 |
West BanCorp, Inc. | 478 | 11,635 |
Westamerica BanCorp | 873 | 48,591 |
7,080,821 | ||
Beverages — 0.5% | ||
BRC, Inc., Class A* | 800 | 6,528 |
Celsius Holdings, Inc.* | 1,800 | 117,468 |
Coca-Cola Consolidated, Inc. | 153 | 86,277 |
MGP Ingredients, Inc. | 500 | 50,045 |
National Beverage Corp. | 784 | 38,369 |
Primo Water Corp. | 5,100 | 68,238 |
The Duckhorn Portfolio, Inc.* | 1,200 | 25,272 |
The Vita Coco Co., Inc.* | 500 | 4,895 |
Vintage Wine Estates, Inc.* | 1,100 | 8,646 |
405,738 | ||
Biotechnology — 6.6% | ||
2seventy bio, Inc.* | 1,433 | 18,916 |
4D Molecular Therapeutics, Inc.* | 1,000 | 6,980 |
Aadi Bioscience, Inc.* | 500 | 6,160 |
Absci Corp.* | 1,600 | 5,312 |
ACADIA Pharmaceuticals, Inc.* | 3,900 | 54,951 |
Adagio Therapeutics, Inc.* | 2,300 | 7,544 |
Adicet Bio, Inc.* | 900 | 13,140 |
ADMA Biologics, Inc.* | 6,100 | 12,078 |
Aerovate Therapeutics, Inc.* | 300 | 4,689 |
Affimed N.V.* | 3,800 | 10,526 |
Agenus, Inc.* | 6,600 | 12,804 |
Akero Therapeutics, Inc.* | 900 | 8,505 |
Albireo Pharma, Inc.* | 500 | 9,930 |
Allogene Therapeutics, Inc.* | 2,200 | 25,080 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Biotechnology — (continued) | ||
Allovir, Inc.* | 1,000 | $ 3,900 |
Alpha Teknova, Inc.* | 200 | 1,680 |
Alpine Immune Sciences, Inc.* | 600 | 5,106 |
ALX Oncology Holdings, Inc.* | 600 | 4,854 |
Amicus Therapeutics, Inc.* | 9,200 | 98,808 |
AnaptysBio, Inc.* | 600 | 12,180 |
Anavex Life Sciences Corp.* | 2,100 | 21,021 |
ANI Pharmaceuticals, Inc.* | 300 | 8,901 |
Apellis Pharmaceuticals, Inc.* | 3,000 | 135,660 |
Arbutus Biopharma Corp.* | 3,100 | 8,401 |
Arcellx, Inc.* | 400 | 7,232 |
Arcturus Therapeutics Holdings, Inc.* | 700 | 11,018 |
Arcus Biosciences, Inc.* | 1,500 | 38,010 |
Arcutis Biotherapeutics, Inc.* | 1,300 | 27,703 |
Arrowhead Pharmaceuticals, Inc.* | 3,400 | 119,714 |
Atara Biotherapeutics, Inc.* | 2,928 | 22,809 |
Atea Pharmaceuticals, Inc.* | 2,100 | 14,910 |
Athira Pharma, Inc.* | 1,200 | 3,660 |
Aura Biosciences, Inc.* | 300 | 4,251 |
Aurinia Pharmaceuticals, Inc.* | 4,400 | 44,220 |
Avid Bioservices, Inc.* | 2,100 | 32,046 |
Avidity Biosciences, Inc.* | 1,300 | 18,889 |
Axsome Therapeutics, Inc.* | 900 | 34,470 |
Beam Therapeutics, Inc.* | 2,100 | 81,291 |
Berkeley Lights, Inc.* | 1,600 | 7,952 |
BioCryst Pharmaceuticals, Inc.* | 6,000 | 63,480 |
Biohaven Pharmaceutical Holding Co., Ltd.* | 2,035 | 296,520 |
Bluebird Bio, Inc.* | 2,200 | 9,108 |
Blueprint Medicines Corp.* | 2,000 | 101,020 |
Bridgebio Pharma, Inc.* | 3,455 | 31,371 |
C4 Therapeutics, Inc.* | 1,300 | 9,802 |
Cara Therapeutics, Inc.* | 1,500 | 13,695 |
Caribou Biosciences, Inc.* | 1,500 | 8,145 |
Cassava Sciences, Inc.* | 1,200 | 33,744 |
Celldex Therapeutics, Inc.* | 1,500 | 40,440 |
Century Therapeutics, Inc.* | 400 | 3,360 |
Cerevel Therapeutics Holdings, Inc.* | 1,800 | 47,592 |
ChemoCentryx, Inc.* | 1,895 | 46,958 |
Chinook Therapeutics, Inc.* | 1,560 | 27,284 |
CinCor Pharma, Inc.* | 300 | 5,652 |
Cogent Biosciences, Inc.* | 1,400 | 12,628 |
Crinetics Pharmaceuticals, Inc.* | 1,700 | 31,705 |
CTI BioPharma Corp.* | 3,000 | 17,910 |
Cullinan Oncology, Inc.* | 800 | 10,256 |
Cytek Biosciences, Inc.* | 3,600 | 38,628 |
Day One Biopharmaceuticals, Inc.* | 900 | 16,110 |
Deciphera Pharmaceuticals, Inc.* | 1,200 | 15,780 |
Denali Therapeutics, Inc.* | 3,300 | 97,119 |
Design Therapeutics, Inc.* | 1,000 | 14,000 |
DICE Therapeutics, Inc.* | 1,100 | 17,072 |
Dynavax Technologies Corp.* | 3,920 | 49,353 |
Dyne Therapeutics, Inc.* | 1,000 | 6,870 |
Edgewise Therapeutics, Inc.* | 1,300 | 10,348 |
Editas Medicine, Inc.* | 2,200 | 26,026 |
Number of Shares | Value† | |
Biotechnology — (continued) | ||
Eiger BioPharmaceuticals, Inc.* | 900 | $ 5,670 |
Emergent BioSolutions, Inc.* | 1,558 | 48,360 |
EQRx, Inc.* | 4,500 | 21,105 |
Erasca, Inc.* | 1,900 | 10,583 |
Esperion Therapeutics, Inc.* | 2,300 | 14,628 |
Evolus, Inc.* | 1,200 | 13,920 |
EyePoint Pharmaceuticals, Inc.* | 900 | 7,083 |
Fate Therapeutics, Inc.* | 2,700 | 66,906 |
FibroGen, Inc.* | 2,900 | 30,624 |
Forma Therapeutics Holdings, Inc.* | 1,000 | 6,890 |
Generation Bio Co.* | 1,300 | 8,528 |
Geron Corp.* | 9,240 | 14,322 |
Global Blood Therapeutics, Inc.* | 2,000 | 63,900 |
Gossamer Bio, Inc.* | 1,800 | 15,066 |
Halozyme Therapeutics, Inc.* | 4,389 | 193,116 |
HilleVax, Inc.* | 400 | 4,372 |
Icosavax, Inc.* | 900 | 5,157 |
Ideaya Biosciences, Inc.* | 1,000 | 13,800 |
IGM Biosciences, Inc.* | 300 | 5,409 |
Imago Biosciences, Inc.* | 800 | 10,712 |
ImmunityBio, Inc.* | 2,300 | 8,556 |
ImmunoGen, Inc.* | 7,563 | 34,034 |
Immunovant, Inc.* | 1,100 | 4,290 |
Inhibrx, Inc.* | 1,000 | 11,350 |
Innoviva, Inc.* | 2,100 | 30,996 |
Inovio Pharmaceuticals, Inc.* | 6,800 | 11,764 |
Insmed, Inc.* | 4,000 | 78,880 |
Instil Bio, Inc.* | 1,800 | 8,316 |
Intellia Therapeutics, Inc.* | 2,410 | 124,742 |
Intercept Pharmaceuticals, Inc.* | 726 | 10,026 |
Intra-Cellular Therapies, Inc.* | 3,000 | 171,240 |
Iovance Biotherapeutics, Inc.* | 4,900 | 54,096 |
iTeos Therapeutics, Inc.* | 700 | 14,420 |
IVERIC bio, Inc.* | 3,884 | 37,364 |
Janux Therapeutics, Inc.* | 400 | 4,884 |
Karuna Therapeutics, Inc.* | 859 | 108,672 |
Karyopharm Therapeutics, Inc.* | 2,500 | 11,275 |
Keros Therapeutics, Inc.* | 500 | 13,815 |
Kezar Life Sciences, Inc.* | 1,100 | 9,097 |
Kiniksa Pharmaceuticals Ltd., Class A* | 1,000 | 9,690 |
Kinnate Biopharma, Inc.* | 800 | 10,088 |
Kodiak Sciences, Inc.* | 1,100 | 8,404 |
Kronos Bio, Inc.* | 1,300 | 4,732 |
Krystal Biotech, Inc.* | 700 | 45,962 |
Kymera Therapeutics, Inc.* | 1,100 | 21,659 |
Lexicon Pharmaceuticals, Inc.* | 2,560 | 4,762 |
Ligand Pharmaceuticals, Inc.* | 506 | 45,145 |
Liquidia Corp.* | 1,600 | 6,976 |
MacroGenics, Inc.* | 1,900 | 5,605 |
MaxCyte, Inc.* | 3,100 | 14,663 |
MeiraGTx Holdings PLC* | 1,100 | 8,327 |
Mersana Therapeutics, Inc.* | 2,300 | 10,626 |
Monte Rosa Therapeutics, Inc.* | 1,100 | 10,637 |
Myriad Genetics, Inc.* | 2,700 | 49,059 |
Nektar Therapeutics* | 5,900 | 22,420 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Biotechnology — (continued) | ||
NeoGenomics, Inc.* | 3,700 | $ 30,155 |
NGM Biopharmaceuticals, Inc.* | 1,200 | 15,384 |
Nkarta, Inc.* | 1,200 | 14,784 |
Nurix Therapeutics, Inc.* | 1,600 | 20,272 |
Nuvalent, Inc., Class A* | 800 | 10,848 |
Nuvation Bio, Inc.* | 3,800 | 12,312 |
Organogenesis Holdings, Inc.* | 2,500 | 12,200 |
Pardes Biosciences, Inc.* | 900 | 2,763 |
PepGen, Inc.* | 300 | 2,979 |
Phathom Pharmaceuticals, Inc.* | 700 | 5,908 |
Point Biopharma Global, Inc.* | 2,400 | 16,344 |
Praxis Precision Medicines, Inc.* | 1,200 | 2,940 |
Precigen, Inc.* | 3,300 | 4,422 |
Prothena Corp. PLC* | 1,200 | 32,580 |
Provention Bio, Inc.* | 1,500 | 6,000 |
PTC Therapeutics, Inc.* | 2,400 | 96,144 |
Radius Health, Inc.* | 1,400 | 14,518 |
Rallybio Corp.* | 400 | 3,020 |
RAPT Therapeutics, Inc.* | 800 | 14,600 |
Recursion Pharmaceuticals, Inc., Class A* | 4,700 | 38,258 |
REGENXBIO, Inc.* | 1,300 | 32,110 |
Relay Therapeutics, Inc.* | 2,300 | 38,525 |
Replimune Group, Inc.* | 1,000 | 17,480 |
REVOLUTION Medicines, Inc.* | 1,900 | 37,031 |
Rigel Pharmaceuticals, Inc.* | 6,290 | 7,108 |
Rocket Pharmaceuticals, Inc.* | 1,400 | 19,264 |
Sage Therapeutics, Inc.* | 1,700 | 54,910 |
Sana Biotechnology, Inc.* | 2,800 | 18,004 |
Sangamo Therapeutics, Inc.* | 4,103 | 16,986 |
Seer, Inc.* | 1,300 | 11,635 |
Sierra Oncology, Inc.* | 500 | 27,495 |
Singular Genomics Systems, Inc.* | 1,800 | 6,876 |
Sorrento Therapeutics, Inc.* | 10,200 | 20,502 |
SpringWorks Therapeutics, Inc.* | 1,000 | 24,620 |
Stoke Therapeutics, Inc.* | 700 | 9,247 |
Sutro Biopharma, Inc.* | 1,434 | 7,471 |
Syndax Pharmaceuticals, Inc.* | 1,500 | 28,860 |
Talaris Therapeutics, Inc.* | 800 | 3,608 |
Tango Therapeutics, Inc.* | 1,500 | 6,795 |
Tarsus Pharmaceuticals, Inc.* | 700 | 10,220 |
Tenaya Therapeutics, Inc.* | 1,100 | 6,193 |
TG Therapeutics, Inc.* | 4,100 | 17,425 |
Theravance Biopharma, Inc.* | 2,200 | 19,932 |
Theseus Pharmaceuticals, Inc.* | 500 | 2,765 |
TransMedics Group, Inc.* | 900 | 28,305 |
Travere Therapeutics, Inc.* | 2,000 | 48,460 |
Turning Point Therapeutics, Inc.* | 1,466 | 110,317 |
Twist Bioscience Corp.* | 1,888 | 66,004 |
Tyra Biosciences, Inc.* | 500 | 3,575 |
Vaxart, Inc.* | 4,000 | 14,000 |
VBI Vaccines, Inc.* | 6,200 | 5,013 |
Ventyx Biosciences, Inc.* | 400 | 4,892 |
Vera Therapeutics, Inc.* | 400 | 5,444 |
Veracyte, Inc.* | 2,200 | 43,780 |
Number of Shares | Value† | |
Biotechnology — (continued) | ||
Vericel Corp.* | 1,500 | $ 37,770 |
Veru, Inc.* | 2,200 | 24,860 |
Verve Therapeutics, Inc.* | 1,100 | 16,808 |
Vir Biotechnology, Inc.* | 2,400 | 61,128 |
Viridian Therapeutics, Inc.* | 800 | 9,256 |
VistaGen Therapeutics, Inc.* | 6,800 | 5,984 |
Xencor, Inc.* | 1,900 | 52,003 |
Zentalis Pharmaceuticals, Inc.* | 1,200 | 33,720 |
5,026,812 | ||
Building Materials — 1.3% | ||
AAON, Inc. | 1,385 | 75,843 |
American Woodmark Corp.* | 569 | 25,611 |
Apogee Enterprises, Inc. | 743 | 29,140 |
Boise Cascade Co. | 1,300 | 77,337 |
Caesarstone Ltd. | 600 | 5,478 |
Cornerstone Building Brands, Inc.* | 1,864 | 45,649 |
Gibraltar Industries, Inc.* | 1,101 | 42,664 |
Griffon Corp. | 1,656 | 46,418 |
JELD-WEN Holding, Inc.* | 3,100 | 45,229 |
Masonite International Corp.* | 700 | 53,781 |
Modine Manufacturing Co.* | 1,577 | 16,606 |
PGT Innovations, Inc.* | 2,000 | 33,280 |
Simpson Manufacturing Co., Inc. | 1,455 | 146,387 |
SmartRent, Inc.* | 3,900 | 17,628 |
SPX Corp.* | 1,500 | 79,260 |
Summit Materials, Inc., Class A* | 3,905 | 90,947 |
UFP Industries, Inc. | 2,049 | 139,619 |
View, Inc.* | 5,100 | 8,262 |
979,139 | ||
Chemicals — 2.0% | ||
AdvanSix, Inc. | 900 | 30,096 |
American Vanguard Corp. | 878 | 19,623 |
Amyris, Inc.* | 5,400 | 9,990 |
Balchem Corp. | 1,041 | 135,059 |
Cabot Corp. | 1,800 | 114,822 |
Codexis, Inc.* | 2,000 | 20,920 |
Danimer Scientific, Inc.* | 3,200 | 14,592 |
Diversey Holdings Ltd.* | 2,600 | 17,160 |
Ecovyst, Inc. | 1,800 | 17,730 |
GCP Applied Technologies, Inc.* | 1,600 | 50,048 |
H.B. Fuller Co. | 1,780 | 107,174 |
Hawkins, Inc. | 698 | 25,149 |
Ingevity Corp.* | 1,300 | 82,082 |
Innospec, Inc. | 800 | 76,632 |
Intrepid Potash, Inc.* | 370 | 16,757 |
Koppers Holdings, Inc. | 620 | 14,037 |
Kronos Worldwide, Inc. | 900 | 16,560 |
Lightwave Logic, Inc.* | 3,700 | 24,198 |
Minerals Technologies, Inc. | 1,128 | 69,192 |
Origin Materials, Inc.* | 3,500 | 17,920 |
Orion Engineered Carbons S.A. | 2,100 | 32,613 |
Perimeter Solutions S.A.* | 4,000 | 43,360 |
Quaker Chemical Corp. | 436 | 65,191 |
Rayonier Advanced Materials, Inc.* | 1,900 | 4,978 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Chemicals — (continued) | ||
Rogers Corp.* | 613 | $ 160,661 |
Schweitzer-Mauduit International, Inc. | 976 | 24,517 |
Sensient Technologies Corp. | 1,358 | 109,400 |
Stepan Co. | 735 | 74,492 |
Trinseo PLC | 1,200 | 46,152 |
Tronox Holdings PLC, Class A | 4,000 | 67,200 |
Unifi, Inc.* | 460 | 6,468 |
Valhi, Inc. | 100 | 4,534 |
1,519,307 | ||
Coal — 0.5% | ||
Alpha Metallurgical Resources, Inc. | 600 | 77,478 |
Arch Resources, Inc. | 500 | 71,545 |
CONSOL Energy, Inc.* | 1,200 | 59,256 |
NACCO Industries, Inc., Class A | 100 | 3,790 |
Peabody Energy Corp.* | 3,800 | 81,054 |
Ramaco Resources, Inc. | 700 | 9,205 |
SunCoke Energy, Inc. | 2,541 | 17,304 |
Warrior Met Coal, Inc. | 1,700 | 52,037 |
371,669 | ||
Commercial Services — 5.3% | ||
2U, Inc.* | 2,300 | 24,081 |
ABM Industries, Inc. | 2,239 | 97,217 |
Adtalem Global Education, Inc.* | 1,500 | 53,955 |
AirSculpt Technologies, Inc.* | 300 | 1,779 |
Alarm.com Holdings, Inc.* | 1,600 | 98,976 |
Alight, Inc., Class A* | 11,100 | 74,925 |
Alta Equipment Group, Inc.* | 700 | 6,279 |
American Public Education, Inc.* | 655 | 10,585 |
AMN Healthcare Services, Inc.* | 1,509 | 165,552 |
API Group Corp.* | 6,700 | 100,299 |
Arlo Technologies, Inc.* | 3,033 | 19,017 |
ASGN, Inc.* | 1,639 | 147,920 |
Bakkt Holdings, Inc.* | 1,900 | 3,990 |
Barrett Business Services, Inc. | 242 | 17,635 |
Bird Global, Inc., Class A* | 5,600 | 2,442 |
BrightView Holdings, Inc.* | 1,415 | 16,980 |
Carriage Services, Inc. | 500 | 19,825 |
Cass Information Systems, Inc. | 498 | 16,832 |
CBIZ, Inc.* | 1,640 | 65,534 |
Chegg, Inc.* | 4,100 | 76,998 |
Cimpress PLC* | 619 | 24,079 |
Core Scientific, Inc.* | 7,100 | 10,579 |
CoreCivic, Inc.* | 4,200 | 46,662 |
CorVel Corp.* | 299 | 44,034 |
Coursera, Inc.* | 3,700 | 52,466 |
CRA International, Inc. | 274 | 24,474 |
Cross Country Healthcare, Inc.* | 1,084 | 22,580 |
Custom Truck One Source, Inc.* | 2,100 | 11,760 |
Deluxe Corp. | 1,507 | 32,657 |
Distribution Solutions Group, Inc.* | 200 | 10,278 |
Ennis, Inc. | 858 | 17,357 |
European Wax Center, Inc., Class A | 500 | 8,810 |
EVERTEC, Inc. | 1,939 | 71,510 |
Evo Payments, Inc., Class A* | 1,500 | 35,280 |
Number of Shares | Value† | |
Commercial Services — (continued) | ||
First Advantage Corp.* | 1,900 | $ 24,073 |
Forrester Research, Inc.* | 375 | 17,940 |
Franklin Covey Co.* | 397 | 18,333 |
Graham Holdings Co., Class B | 130 | 73,689 |
Green Dot Corp., Class A* | 1,727 | 43,365 |
HealthEquity, Inc.* | 2,700 | 165,753 |
Heidrick & Struggles International, Inc. | 569 | 18,413 |
Herc Holdings, Inc. | 838 | 75,546 |
Huron Consulting Group, Inc.* | 728 | 47,313 |
I3 Verticals, Inc., Class A* | 800 | 20,016 |
ICF International, Inc. | 648 | 61,560 |
Information Services Group, Inc. | 1,200 | 8,112 |
Insperity, Inc. | 1,230 | 122,791 |
John Wiley & Sons, Inc., Class A | 1,400 | 66,864 |
Kelly Services, Inc., Class A | 1,314 | 26,057 |
Kforce, Inc. | 686 | 42,079 |
Korn Ferry | 1,790 | 103,856 |
Landec Corp.* | 718 | 7,158 |
Laureate Education, Inc., Class A | 3,300 | 38,181 |
Legalzoom.com, Inc.* | 3,200 | 35,168 |
LiveRamp Holdings, Inc.* | 2,167 | 55,930 |
Marathon Digital Holdings, Inc.* | 3,100 | 16,554 |
Medifast, Inc. | 376 | 67,872 |
MoneyGram International, Inc.* | 3,000 | 30,000 |
Moneylion, Inc.* | 4,700 | 6,204 |
Monro, Inc. | 1,137 | 48,755 |
Multiplan Corp.* | 12,800 | 70,272 |
National Research Corp. | 487 | 18,642 |
Paya Holdings, Inc.* | 2,800 | 18,396 |
Payoneer Global, Inc.* | 7,100 | 27,832 |
Paysafe Ltd.* | 11,000 | 21,450 |
Perdoceo Education Corp.* | 2,300 | 27,094 |
PFSweb, Inc.* | 500 | 5,880 |
Priority Technology Holdings, Inc.* | 600 | 1,980 |
PROG Holdings, Inc.* | 1,967 | 32,456 |
Progyny, Inc.* | 2,400 | 69,720 |
Quad/Graphics, Inc.* | 1,100 | 3,025 |
R1 RCM, Inc.* | 4,400 | 92,224 |
Remitly Global, Inc.* | 2,700 | 20,682 |
Rent the Runway, Inc., Class A* | 800 | 2,456 |
Rent-A-Center, Inc. | 1,753 | 34,096 |
Repay Holdings Corp.* | 2,700 | 34,695 |
Resources Connection, Inc. | 922 | 18,781 |
Riot Blockchain, Inc.* | 3,700 | 15,503 |
Sabre Corp.* | 10,700 | 62,381 |
ShotSpotter, Inc.* | 300 | 8,073 |
SP Plus Corp.* | 693 | 21,289 |
Spire Global, Inc.* | 4,100 | 4,756 |
Sterling Check Corp.* | 500 | 8,155 |
StoneCo Ltd., Class A* | 9,100 | 70,070 |
StoneMor, Inc.* | 2,000 | 6,840 |
Strategic Education, Inc. | 752 | 53,076 |
Stride, Inc.* | 1,352 | 55,148 |
Textainer Group Holdings Ltd. | 1,512 | 41,444 |
The Aaron's Co., Inc. | 1,100 | 16,005 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Commercial Services — (continued) | ||
The Brink's Co. | 1,510 | $ 91,672 |
The Hackett Group, Inc. | 716 | 13,583 |
Transcat, Inc.* | 200 | 11,362 |
TriNet Group, Inc.* | 1,200 | 93,144 |
Triton International Ltd. | 2,093 | 110,196 |
TrueBlue, Inc.* | 1,076 | 19,260 |
Udemy, Inc.* | 2,400 | 24,504 |
Universal Technical Institute, Inc.* | 1,100 | 7,843 |
Vectrus, Inc.* | 400 | 13,384 |
Viad Corp.* | 671 | 18,526 |
Vivint Smart Home, Inc.* | 3,100 | 10,788 |
Willdan Group, Inc.* | 300 | 8,274 |
WW International, Inc.* | 1,700 | 10,863 |
ZipRecruiter, Inc., Class A* | 2,600 | 38,532 |
4,009,281 | ||
Computers — 2.0% | ||
3D Systems Corp.* | 4,200 | 40,740 |
Cantaloupe, Inc.* | 2,000 | 11,200 |
Cerberus Cyber Sentinel Corp.* | 1,500 | 5,400 |
Conduent, Inc.* | 5,800 | 25,056 |
Corsair Gaming, Inc.* | 1,000 | 13,130 |
Desktop Metal, Inc., Class A* | 9,584 | 21,085 |
Diebold Nixdorf, Inc.* | 2,500 | 5,675 |
ExlService Holdings, Inc.* | 1,100 | 162,063 |
Grid Dynamics Holdings, Inc.* | 1,400 | 23,548 |
Insight Enterprises, Inc.* | 1,043 | 89,990 |
Integral Ad Science Holding Corp.* | 1,200 | 11,916 |
IronNet, Inc.* | 2,100 | 4,641 |
KnowBe4, Inc., Class A* | 2,400 | 37,488 |
Markforged Holding Corp.* | 3,600 | 6,660 |
Maximus, Inc. | 2,067 | 129,208 |
Mitek Systems, Inc.* | 1,500 | 13,860 |
NetScout Systems, Inc.* | 2,365 | 80,055 |
NextNav, Inc.* | 1,600 | 3,632 |
OneSpan, Inc.* | 1,128 | 13,423 |
PAR Technology Corp.* | 800 | 29,992 |
Parsons Corp.* | 1,000 | 40,420 |
Ping Identity Holding Corp.* | 2,500 | 45,350 |
Qualys, Inc.* | 1,275 | 160,829 |
Rapid7, Inc.* | 1,900 | 126,920 |
Rigetti Computing, Inc.* | 1,000 | 3,670 |
Rimini Street, Inc.* | 1,800 | 10,818 |
SecureWorks Corp., Class A* | 500 | 5,430 |
Super Micro Computer, Inc.* | 1,500 | 60,525 |
Telos Corp.* | 1,300 | 10,504 |
Tenable Holdings, Inc.* | 3,600 | 163,476 |
TTEC Holdings, Inc. | 607 | 41,209 |
Unisys Corp.* | 2,324 | 27,958 |
Varonis Systems, Inc.* | 3,544 | 103,910 |
Velo3D, Inc.* | 1,800 | 2,484 |
Vuzix Corp.* | 2,000 | 14,200 |
1,546,465 | ||
Cosmetics & Personal Care — 0.3% | ||
Edgewell Personal Care Co. | 1,800 | 62,136 |
Number of Shares | Value† | |
Cosmetics & Personal Care — (continued) | ||
elf Beauty, Inc.* | 1,600 | $ 49,088 |
Inter Parfums, Inc. | 624 | 45,589 |
The Beauty Health Co.* | 3,400 | 43,724 |
The Honest Co., Inc.* | 2,800 | 8,176 |
208,713 | ||
Distribution & Wholesale — 0.6% | ||
A-Mark Precious Metals, Inc. | 600 | 19,350 |
Avient Corp. | 3,055 | 122,444 |
G-III Apparel Group Ltd.* | 1,508 | 30,507 |
Global Industrial Co. | 362 | 12,225 |
H&E Equipment Services, Inc. | 1,059 | 30,679 |
Hudson Technologies, Inc.* | 1,400 | 10,514 |
KAR Auction Services, Inc.* | 4,100 | 60,557 |
Resideo Technologies, Inc.* | 4,700 | 91,274 |
ScanSource, Inc.* | 881 | 27,434 |
ThredUp, Inc., Class A* | 1,900 | 4,750 |
Titan Machinery, Inc.* | 723 | 16,203 |
Veritiv Corp.* | 500 | 54,275 |
VSE Corp. | 308 | 11,575 |
491,787 | ||
Diversified Financial Services — 2.4% | ||
Amerant Bancorp, Inc. | 900 | 25,308 |
Artisan Partners Asset Management, Inc., Class A | 1,900 | 67,583 |
AssetMark Financial Holdings, Inc.* | 500 | 9,385 |
Associated Capital Group, Inc., Class A | 100 | 3,583 |
Atlanticus Holdings Corp.* | 200 | 7,034 |
B Riley Financial, Inc. | 700 | 29,575 |
BGC Partners, Inc., Class A | 10,500 | 35,385 |
Blucora, Inc.* | 1,596 | 29,462 |
Bread Financial Holdings, Inc. | 1,600 | 59,296 |
Brightsphere Investment Group, Inc. | 1,026 | 18,478 |
Brookfield Business Corp., Class A | 800 | 18,408 |
Calamos Asset Management, Inc., Class A(1),* | 469 | 0 |
Cohen & Steers, Inc. | 817 | 51,953 |
Columbia Financial, Inc.* | 1,100 | 23,991 |
Consumer Portfolio Services, Inc.* | 500 | 5,125 |
Cowen, Inc., Class A | 947 | 22,434 |
Cryptyde, Inc.* | 600 | 1,218 |
Curo Group Holdings Corp. | 900 | 4,977 |
Diamond Hill Investment Group, Inc. | 107 | 18,579 |
Enact Holdings, Inc. | 1,000 | 21,480 |
Encore Capital Group, Inc.* | 797 | 46,043 |
Enova International, Inc.* | 1,013 | 29,195 |
EZCORP, Inc., Class A* | 1,766 | 13,263 |
Federal Agricultural Mortgage Corp., Class C | 300 | 29,295 |
Federated Hermes, Inc. | 2,900 | 92,191 |
Finance Of America Cos., Inc., Class A* | 1,300 | 2,041 |
First Western Financial, Inc.* | 300 | 8,157 |
Flywire Corp.* | 1,800 | 31,734 |
Focus Financial Partners, Inc., Class A* | 1,900 | 64,714 |
GAMCO Investors, Inc., Class A | 215 | 4,493 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Diversified Financial Services — (continued) | ||
GCM Grosvenor, Inc., Class A | 1,200 | $ 8,220 |
Hamilton Lane, Inc., Class A | 1,200 | 80,616 |
Houlihan Lokey, Inc. | 1,706 | 134,655 |
International Money Express, Inc.* | 1,200 | 24,564 |
LendingClub Corp.* | 3,560 | 41,616 |
LendingTree, Inc.* | 377 | 16,520 |
Manning & Napier, Inc. | 500 | 6,235 |
Moelis & Co., Class A | 2,000 | 78,700 |
Mr. Cooper Group, Inc.* | 2,492 | 91,556 |
Navient Corp. | 3,800 | 53,162 |
Nelnet, Inc., Class A | 499 | 42,540 |
NerdWallet, Inc., Class A* | 800 | 6,344 |
Oportun Financial Corp.* | 700 | 5,789 |
Oppenheimer Holdings, Inc., Class A | 338 | 11,168 |
PennyMac Financial Services, Inc. | 1,000 | 43,710 |
Perella Weinberg Partners | 1,500 | 8,745 |
Piper Sandler Cos. | 587 | 66,542 |
PJT Partners, Inc., Class A | 800 | 56,224 |
PRA Group, Inc.* | 1,248 | 45,377 |
Pzena Investment Management, Inc., Class A | 830 | 5,470 |
Regional Management Corp. | 300 | 11,211 |
Sculptor Capital Management, Inc. | 600 | 5,010 |
Silvercrest Asset Management Group, Inc., Class A | 300 | 4,923 |
StepStone Group, Inc., Class A | 1,600 | 41,648 |
StoneX Group, Inc.* | 593 | 46,296 |
Velocity Financial, Inc.* | 400 | 4,396 |
Victory Capital Holdings, Inc., Class A | 500 | 12,050 |
Virtus Investment Partners, Inc. | 236 | 40,361 |
WisdomTree Investments, Inc. | 4,900 | 24,843 |
World Acceptance Corp.* | 150 | 16,836 |
1,809,707 | ||
Electric — 1.7% | ||
ALLETE, Inc. | 1,851 | 108,802 |
Altus Power, Inc.* | 1,400 | 8,834 |
Ameresco, Inc., Class A* | 1,000 | 45,560 |
Avista Corp. | 2,339 | 101,770 |
Black Hills Corp. | 2,148 | 156,310 |
Clearway Energy, Inc., Class A | 1,100 | 35,167 |
Clearway Energy, Inc., Class C | 2,800 | 97,552 |
FTC Solar, Inc.* | 1,600 | 5,792 |
MGE Energy, Inc. | 1,242 | 96,665 |
NorthWestern Corp. | 1,780 | 104,895 |
Ormat Technologies, Inc. | 1,500 | 117,525 |
Otter Tail Corp. | 1,392 | 93,445 |
PNM Resources, Inc. | 2,810 | 134,262 |
Portland General Electric Co. | 2,956 | 142,863 |
Unitil Corp. | 563 | 33,059 |
Via Renewables, Inc. | 400 | 3,064 |
1,285,565 | ||
Electrical Components & Equipment — 0.7% | ||
Belden, Inc. | 1,455 | 77,508 |
Blink Charging Co.* | 1,200 | 19,836 |
Number of Shares | Value† | |
Electrical Components & Equipment — (continued) | ||
Encore Wire Corp. | 671 | $ 69,730 |
Energizer Holdings, Inc. | 2,200 | 62,370 |
EnerSys | 1,423 | 83,900 |
ESS Tech, Inc.* | 2,600 | 7,306 |
Insteel Industries, Inc. | 691 | 23,266 |
nLight, Inc.* | 1,300 | 13,286 |
Novanta, Inc.* | 1,168 | 141,643 |
Powell Industries, Inc. | 229 | 5,352 |
504,197 | ||
Electronics — 1.6% | ||
Advanced Energy Industries, Inc. | 1,193 | 87,065 |
Akoustis Technologies, Inc.* | 2,000 | 7,400 |
Allied Motion Technologies, Inc. | 300 | 6,852 |
Atkore, Inc.* | 1,400 | 116,214 |
Badger Meter, Inc. | 918 | 74,257 |
Benchmark Electronics, Inc. | 1,113 | 25,109 |
Berkshire Grey, Inc.* | 1,600 | 2,320 |
Brady Corp., Class A | 1,557 | 73,553 |
Charge Enterprises, Inc.* | 3,500 | 16,695 |
Comtech Telecommunications Corp. | 952 | 8,635 |
CTS Corp. | 1,063 | 36,195 |
CyberOptics Corp.* | 200 | 6,988 |
Enovix Corp.* | 3,600 | 32,076 |
Evolv Technologies Holdings, Inc.* | 2,700 | 7,182 |
FARO Technologies, Inc.* | 620 | 19,115 |
GoPro, Inc., Class A* | 4,300 | 23,779 |
Identiv, Inc.* | 800 | 9,264 |
Itron, Inc.* | 1,500 | 74,145 |
Kimball Electronics, Inc.* | 933 | 18,753 |
Knowles Corp.* | 2,852 | 49,425 |
Mesa Laboratories, Inc. | 156 | 31,815 |
MicroVision, Inc.* | 5,100 | 19,584 |
Mirion Technologies, Inc.* | 4,500 | 25,920 |
Napco Security Technologies, Inc.* | 1,000 | 20,590 |
OSI Systems, Inc.* | 557 | 47,590 |
Plexus Corp.* | 903 | 70,885 |
Sanmina Corp.* | 1,926 | 78,446 |
Stoneridge, Inc.* | 873 | 14,972 |
TTM Technologies, Inc.* | 3,429 | 42,863 |
Turtle Beach Corp.* | 500 | 6,115 |
Vicor Corp.* | 722 | 39,515 |
Vishay Intertechnology, Inc. | 4,300 | 76,626 |
Vishay Precision Group, Inc.* | 500 | 14,565 |
1,184,508 | ||
Energy-Alternate Sources — 0.6% | ||
Aemetis, Inc.* | 900 | 4,419 |
Alto Ingredients, Inc.* | 2,600 | 9,646 |
Archaea Energy, Inc.* | 1,900 | 29,507 |
Array Technologies, Inc.* | 4,900 | 53,949 |
Cleanspark, Inc.* | 1,200 | 4,704 |
Energy Vault Holdings, Inc.* | 800 | 8,016 |
Eneti, Inc. | 700 | 4,298 |
Fluence Energy, Inc.* | 1,200 | 11,376 |
FuelCell Energy, Inc.* | 12,000 | 45,000 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Energy-Alternate Sources — (continued) | ||
FutureFuel Corp. | 800 | $ 5,824 |
Gevo, Inc.* | 6,400 | 15,040 |
Green Plains, Inc.* | 1,567 | 42,575 |
Infrastructure and Energy Alternatives, Inc.* | 800 | 6,424 |
Montauk Renewables, Inc.* | 2,100 | 21,105 |
REX American Resources Corp.* | 192 | 16,282 |
Shoals Technologies Group, Inc., Class A* | 3,700 | 60,976 |
Stem, Inc.* | 4,700 | 33,652 |
Sunnova Energy International, Inc.* | 3,200 | 58,976 |
SunPower Corp.* | 2,800 | 44,268 |
TPI Composites, Inc.* | 1,100 | 13,750 |
489,787 | ||
Engineering & Construction — 1.4% | ||
908 Devices, Inc.* | 800 | 16,472 |
Arcosa, Inc. | 1,600 | 74,288 |
Atlas Technical Consultants, Inc.* | 500 | 2,630 |
Comfort Systems USA, Inc. | 1,127 | 93,710 |
Concrete Pumping Holdings, Inc.* | 1,100 | 6,666 |
Construction Partners, Inc., Class A* | 1,400 | 29,316 |
Dycom Industries, Inc.* | 953 | 88,667 |
EMCOR Group, Inc. | 1,663 | 171,222 |
Exponent, Inc. | 1,680 | 153,669 |
Fluor Corp.* | 4,700 | 114,398 |
Frontdoor, Inc.* | 2,700 | 65,016 |
Granite Construction, Inc. | 1,633 | 47,586 |
Great Lakes Dredge & Dock Corp.* | 2,351 | 30,822 |
IES Holdings, Inc.* | 300 | 9,051 |
Latham Group, Inc.* | 1,500 | 10,395 |
MYR Group, Inc.* | 583 | 51,380 |
NV5 Global, Inc.* | 454 | 53,000 |
Primoris Services Corp. | 1,790 | 38,950 |
Sterling Infrastructure, Inc.* | 1,000 | 21,920 |
Tutor Perini Corp.* | 1,397 | 12,266 |
1,091,424 | ||
Entertainment — 1.0% | ||
Accel Entertainment, Inc.* | 2,000 | 21,240 |
Bally's Corp.* | 1,450 | 28,681 |
Cinemark Holdings, Inc.* | 3,500 | 52,570 |
Everi Holdings, Inc.* | 2,800 | 45,668 |
Golden Entertainment, Inc.* | 600 | 23,730 |
IMAX Corp.* | 1,800 | 30,402 |
International Game Technology PLC | 3,300 | 61,248 |
Liberty Media Corp.-Liberty Braves, Class A* | 300 | 7,545 |
Liberty Media Corp.-Liberty Braves, Class C* | 1,300 | 31,200 |
Light & Wonder, Inc.* | 3,200 | 150,368 |
Lions Gate Entertainment Corp., Class A* | 1,900 | 17,689 |
Lions Gate Entertainment Corp., Class B* | 3,800 | 33,554 |
Number of Shares | Value† | |
Entertainment — (continued) | ||
Madison Square Garden Entertainment Corp.* | 837 | $ 44,043 |
Monarch Casino & Resort, Inc.* | 485 | 28,455 |
NEOGAMES S.A.* | 400 | 5,364 |
RCI Hospitality Holdings, Inc. | 300 | 14,508 |
Red Rock Resorts, Inc., Class A | 1,800 | 60,048 |
Reservoir Media, Inc.* | 700 | 4,564 |
Rush Street Interactive, Inc.* | 1,800 | 8,406 |
SeaWorld Entertainment, Inc.* | 1,500 | 66,270 |
735,553 | ||
Environmental Control — 0.5% | ||
Casella Waste Systems, Inc., Class A* | 1,600 | 116,288 |
Centrus Energy Corp., Class A* | 300 | 7,425 |
Energy Recovery, Inc.* | 2,000 | 38,840 |
Evoqua Water Technologies Corp.* | 3,800 | 123,538 |
Harsco Corp.* | 2,500 | 17,775 |
Heritage-Crystal Clean, Inc.* | 600 | 16,176 |
Li-Cycle Holdings Corp.* | 4,300 | 29,584 |
Montrose Environmental Group, Inc.* | 900 | 30,384 |
Pure Cycle Corp.* | 800 | 8,432 |
PureCycle Technologies, Inc.* | 3,500 | 25,970 |
414,412 | ||
Food — 1.8% | ||
B&G Foods, Inc. | 2,172 | 51,650 |
Beyond Meat, Inc.* | 2,000 | 47,880 |
Calavo Growers, Inc. | 551 | 22,988 |
Cal-Maine Foods, Inc. | 1,246 | 61,565 |
HF Foods Group, Inc.* | 1,300 | 6,786 |
Hostess Brands, Inc.* | 4,700 | 99,687 |
Ingles Markets, Inc., Class A | 504 | 43,722 |
J & J Snack Foods Corp. | 502 | 70,109 |
John B Sanfilippo & Son, Inc. | 300 | 21,747 |
Krispy Kreme, Inc. | 2,300 | 31,280 |
Lancaster Colony Corp. | 641 | 82,548 |
Mission Produce, Inc.* | 1,300 | 18,525 |
Natural Grocers by Vitamin Cottage, Inc. | 400 | 6,380 |
Sanderson Farms, Inc. | 687 | 148,069 |
Seneca Foods Corp., Class A* | 211 | 11,719 |
SpartanNash Co. | 1,130 | 34,092 |
Sprouts Farmers Market, Inc.* | 3,600 | 91,152 |
SunOpta, Inc.* | 3,200 | 24,896 |
Tattooed Chef, Inc.* | 1,600 | 10,080 |
The Chefs' Warehouse, Inc.* | 1,050 | 40,835 |
The Hain Celestial Group, Inc.* | 2,500 | 59,350 |
The Simply Good Foods Co.* | 3,000 | 113,310 |
Tootsie Roll Industries, Inc. | 566 | 20,008 |
TreeHouse Foods, Inc.* | 1,700 | 71,094 |
United Natural Foods, Inc.* | 1,900 | 74,860 |
Utz Brands, Inc. | 2,000 | 27,640 |
Village Super Market, Inc., Class A | 268 | 6,113 |
Weis Markets, Inc. | 566 | 42,190 |
Whole Earth Brands, Inc.* | 1,300 | 8,060 |
1,348,335 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Food Service — 0.1% | ||
Healthcare Services Group, Inc. | 2,580 | $ 44,918 |
Sovos Brands, Inc.* | 800 | 12,696 |
57,614 | ||
Forest Products & Paper — 0.1% | ||
Clearwater Paper Corp.* | 578 | 19,438 |
Glatfelter Corp. | 1,359 | 9,350 |
Neenah, Inc. | 574 | 19,596 |
Resolute Forest Products, Inc.* | 1,500 | 19,140 |
Sylvamo Corp. | 1,200 | 39,216 |
106,740 | ||
Gas — 1.3% | ||
Brookfield Infrastructure Corp., Class A | 3,150 | 133,875 |
Chesapeake Utilities Corp. | 585 | 75,787 |
New Jersey Resources Corp. | 3,164 | 140,893 |
Northwest Natural Holding Co. | 1,050 | 55,755 |
ONE Gas, Inc. | 1,800 | 146,142 |
South Jersey Industries, Inc. | 3,980 | 135,877 |
Southwest Gas Holdings, Inc. | 2,157 | 187,831 |
Spire, Inc. | 1,656 | 123,157 |
999,317 | ||
Hand & Machine Tools — 0.3% | ||
Cadre Holdings, Inc. | 300 | 5,901 |
Enerpac Tool Group Corp. | 2,106 | 40,056 |
Franklin Electric Co., Inc. | 1,470 | 107,692 |
Kennametal, Inc. | 2,700 | 62,721 |
Luxfer Holdings PLC | 1,000 | 15,120 |
231,490 | ||
Healthcare Products — 3.8% | ||
Adaptive Biotechnologies Corp.* | 3,600 | 29,124 |
Akoya Biosciences, Inc.* | 300 | 3,855 |
Alphatec Holdings, Inc.* | 2,300 | 15,042 |
AngioDynamics, Inc.* | 1,158 | 22,407 |
Artivion, Inc.* | 1,199 | 22,637 |
AtriCure, Inc.* | 1,500 | 61,290 |
Atrion Corp. | 44 | 27,670 |
Avanos Medical, Inc.* | 1,700 | 46,478 |
Axogen, Inc.* | 1,200 | 9,828 |
Axonics, Inc.* | 1,500 | 85,005 |
BioLife Solutions, Inc.* | 1,100 | 15,191 |
Bionano Genomics, Inc.* | 9,200 | 12,696 |
Bioventus, Inc., Class A* | 1,095 | 7,468 |
Butterfly Network, Inc.* | 4,100 | 12,587 |
Cardiovascular Systems, Inc.* | 1,200 | 17,232 |
CareDx, Inc.* | 1,700 | 36,516 |
Castle Biosciences, Inc.* | 700 | 15,365 |
Cerus Corp.* | 5,300 | 28,037 |
CONMED Corp. | 922 | 88,291 |
Cue Health, Inc.* | 3,500 | 11,200 |
Cutera, Inc.* | 600 | 22,500 |
Glaukos Corp.* | 1,551 | 70,446 |
Haemonetics Corp.* | 1,659 | 108,134 |
Hanger, Inc.* | 1,100 | 15,752 |
Inari Medical, Inc.* | 1,600 | 108,784 |
Number of Shares | Value† | |
Healthcare Products — (continued) | ||
Inogen, Inc.* | 600 | $ 14,508 |
Inspire Medical Systems, Inc.* | 897 | 163,855 |
Integer Holdings Corp.* | 1,113 | 78,645 |
iRadimed Corp. | 200 | 6,788 |
iRhythm Technologies, Inc.* | 993 | 107,274 |
Lantheus Holdings, Inc.* | 2,206 | 145,662 |
LeMaitre Vascular, Inc. | 600 | 27,330 |
LivaNova PLC* | 1,800 | 112,446 |
Meridian Bioscience, Inc.* | 1,360 | 41,371 |
Merit Medical Systems, Inc.* | 1,775 | 96,329 |
MiMedx Group, Inc.* | 3,700 | 12,839 |
NanoString Technologies, Inc.* | 1,500 | 19,050 |
Natus Medical, Inc.* | 1,075 | 35,228 |
Nautilus Biotechnology, Inc.* | 1,600 | 4,304 |
Neogen Corp.* | 3,538 | 85,230 |
Nevro Corp.* | 1,117 | 48,958 |
NuVasive, Inc.* | 1,706 | 83,867 |
Omnicell, Inc.* | 1,470 | 167,212 |
OraSure Technologies, Inc.* | 2,201 | 5,965 |
Orthofix Medical, Inc.* | 571 | 13,441 |
OrthoPediatrics Corp.* | 500 | 21,575 |
Pacific Biosciences of California, Inc.* | 7,800 | 34,476 |
Paragon 28, Inc.* | 1,500 | 23,805 |
Patterson Cos., Inc. | 2,800 | 84,840 |
PROCEPT BioRobotics Corp.* | 800 | 26,152 |
Pulmonx Corp.* | 800 | 11,776 |
Quanterix Corp.* | 1,000 | 16,190 |
Quantum-Si, Inc.* | 3,000 | 6,960 |
RxSight, Inc.* | 800 | 11,264 |
SeaSpine Holdings Corp.* | 1,000 | 5,650 |
Shockwave Medical, Inc.* | 1,181 | 225,772 |
SI-BONE, Inc.* | 1,000 | 13,200 |
Silk Road Medical, Inc.* | 1,100 | 40,029 |
SomaLogic, Inc.* | 4,900 | 22,148 |
STAAR Surgical Co.* | 1,607 | 113,985 |
Surmodics, Inc.* | 473 | 17,610 |
Tactile Systems Technology, Inc.* | 600 | 4,380 |
Treace Medical Concepts, Inc.* | 1,000 | 14,340 |
Utah Medical Products, Inc. | 100 | 8,590 |
Varex Imaging Corp.* | 1,200 | 25,668 |
Vicarious Surgical, Inc.* | 1,800 | 5,292 |
ViewRay, Inc.* | 5,700 | 15,105 |
Zimvie, Inc.* | 700 | 11,207 |
Zynex, Inc. | 660 | 5,267 |
2,929,118 | ||
Healthcare Services — 1.5% | ||
23andMe Holding Co., Class A* | 5,600 | 13,888 |
Accolade, Inc.* | 1,600 | 11,840 |
Addus HomeCare Corp.* | 500 | 41,640 |
Agiliti, Inc.* | 800 | 16,408 |
American Well Corp., Class A* | 8,000 | 34,560 |
ATI Physical Therapy, Inc.* | 2,400 | 3,384 |
Aveanna Healthcare Holdings, Inc.* | 1,400 | 3,164 |
Babylon Holdings Ltd., Class A* | 3,600 | 3,520 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Healthcare Services — (continued) | ||
Bright Health Group, Inc.* | 7,700 | $ 14,014 |
Brookdale Senior Living, Inc.* | 6,300 | 28,602 |
Cano Health, Inc.* | 5,300 | 23,214 |
CareMax, Inc.* | 1,900 | 6,897 |
Clover Health Investments Corp.* | 12,500 | 26,750 |
Community Health Systems, Inc.* | 4,100 | 15,375 |
DocGo, Inc.* | 2,600 | 18,564 |
Fulgent Genetics, Inc.* | 700 | 38,171 |
Innovage Holding Corp.* | 700 | 3,066 |
Inotiv, Inc.* | 500 | 4,800 |
Invitae Corp.* | 6,500 | 15,860 |
LHC Group, Inc.* | 974 | 151,691 |
LifeStance Health Group, Inc.* | 2,600 | 14,456 |
MEDNAX, Inc.* | 2,900 | 60,929 |
Medpace Holdings, Inc.* | 900 | 134,703 |
ModivCare, Inc.* | 400 | 33,800 |
Nano-X Imaging Ltd.* | 1,400 | 15,820 |
National HealthCare Corp. | 406 | 28,379 |
OPKO Health, Inc.* | 12,601 | 31,881 |
Oscar Health, Inc., Class A* | 3,900 | 16,575 |
P3 Health Partners, Inc.* | 800 | 2,976 |
RadNet, Inc.* | 1,600 | 27,648 |
Science 37 Holdings, Inc.* | 2,000 | 4,020 |
Select Medical Holdings Corp. | 3,500 | 82,670 |
Sema4 Holdings Corp.* | 5,200 | 6,552 |
Surgery Partners, Inc.* | 1,400 | 40,488 |
The Ensign Group, Inc. | 1,780 | 130,777 |
The Joint Corp.* | 500 | 7,655 |
The Oncology Institute, Inc.* | 600 | 3,036 |
The Pennant Group, Inc.* | 740 | 9,479 |
U.S. Physical Therapy, Inc. | 455 | 49,686 |
1,176,938 | ||
Holding Companies — 0.0% | ||
Professional Holding Corp., Class A* | 400 | 8,020 |
Home Builders — 1.2% | ||
Beazer Homes USA, Inc.* | 924 | 11,153 |
Cavco Industries, Inc.* | 298 | 58,405 |
Century Communities, Inc. | 1,000 | 44,970 |
Dream Finders Homes, Inc., Class A* | 700 | 7,448 |
Forestar Group, Inc.* | 460 | 6,297 |
Green Brick Partners, Inc.* | 1,000 | 19,570 |
Hovnanian Enterprises, Inc., Class A* | 200 | 8,558 |
Installed Building Products, Inc. | 829 | 68,940 |
KB Home | 2,600 | 73,996 |
Landsea Homes Corp.* | 700 | 4,662 |
LCI Industries | 791 | 88,497 |
LGI Homes, Inc.* | 700 | 60,830 |
M/I Homes, Inc.* | 936 | 37,122 |
MDC Holdings, Inc. | 1,859 | 60,064 |
Meritage Homes Corp.* | 1,190 | 86,275 |
Skyline Champion Corp.* | 1,800 | 85,356 |
Taylor Morrison Home Corp.* | 3,800 | 88,768 |
Tri Pointe Homes, Inc.* | 3,600 | 60,732 |
Number of Shares | Value† | |
Home Builders — (continued) | ||
Winnebago Industries, Inc. | 1,122 | $ 54,484 |
926,127 | ||
Home Furnishings — 0.4% | ||
Aterian, Inc.* | 700 | 1,512 |
Ethan Allen Interiors, Inc. | 828 | 16,734 |
iRobot Corp.* | 880 | 32,340 |
MillerKnoll, Inc. | 2,428 | 63,784 |
Purple Innovation, Inc.* | 1,700 | 5,202 |
Sleep Number Corp.* | 772 | 23,893 |
Snap One Holdings Corp.* | 400 | 3,668 |
Sonos, Inc.* | 4,300 | 77,572 |
The Lovesac Co.* | 400 | 11,000 |
Traeger, Inc.* | 700 | 2,975 |
Universal Electronics, Inc.* | 400 | 10,228 |
Vizio Holding Corp., Class A* | 2,200 | 15,004 |
Weber, Inc., Class A | 500 | 3,605 |
267,517 | ||
Household Products & Wares — 0.4% | ||
ACCO Brands Corp. | 2,893 | 18,891 |
Central Garden & Pet Co.* | 300 | 12,726 |
Central Garden & Pet Co., Class A* | 1,302 | 52,093 |
Helen of Troy Ltd.* | 777 | 126,193 |
Quanex Building Products Corp. | 1,025 | 23,319 |
WD-40 Co. | 464 | 93,431 |
326,653 | ||
Housewares — 0.0% | ||
Lifetime Brands, Inc. | 400 | 4,416 |
Tupperware Brands Corp.* | 1,700 | 10,778 |
15,194 | ||
Insurance — 2.5% | ||
Ambac Financial Group, Inc.* | 1,500 | 17,025 |
American Equity Investment Life Holding Co. | 2,576 | 94,204 |
AMERISAFE, Inc. | 608 | 31,622 |
Argo Group International Holdings Ltd. | 1,032 | 38,040 |
BRP Group, Inc., Class A* | 1,900 | 45,885 |
CNO Financial Group, Inc. | 3,793 | 68,615 |
Crawford & Co., Class A | 700 | 5,460 |
Doma Holdings, Inc.* | 4,500 | 4,635 |
Donegal Group, Inc., Class A | 683 | 11,645 |
eHealth, Inc.* | 720 | 6,718 |
Employers Holdings, Inc. | 882 | 36,947 |
Enstar Group Ltd.* | 378 | 80,885 |
Essent Group Ltd. | 3,400 | 132,260 |
Genworth Financial, Inc., Class A* | 17,000 | 60,010 |
Goosehead Insurance, Inc., Class A | 600 | 27,402 |
Greenlight Capital Re Ltd., Class A* | 1,128 | 8,719 |
HCI Group, Inc. | 200 | 13,552 |
Hippo Holdings, Inc.* | 8,300 | 7,292 |
Horace Mann Educators Corp. | 1,380 | 52,964 |
Investors Title Co. | 39 | 6,119 |
Jackson Financial, Inc., Class A | 2,500 | 66,875 |
James River Group Holdings Ltd. | 1,300 | 32,214 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Insurance — (continued) | ||
Kinsale Capital Group, Inc. | 719 | $ 165,111 |
Lemonade, Inc.* | 1,300 | 23,738 |
MBIA, Inc.* | 1,700 | 20,995 |
Mercury General Corp. | 900 | 39,870 |
National Western Life Group, Inc., Class A | 74 | 15,000 |
NI Holdings, Inc.* | 200 | 3,286 |
NMI Holdings, Inc., Class A* | 2,700 | 44,955 |
Palomar Holdings, Inc.* | 800 | 51,520 |
ProAssurance Corp. | 1,800 | 42,534 |
Radian Group, Inc. | 5,703 | 112,064 |
RLI Corp. | 1,276 | 148,769 |
Root, Inc., Class A* | 4,600 | 5,474 |
Safety Insurance Group, Inc. | 482 | 46,802 |
Selective Insurance Group, Inc. | 1,975 | 171,707 |
Selectquote, Inc.* | 4,300 | 10,664 |
SiriusPoint Ltd.* | 2,700 | 14,634 |
Stewart Information Services Corp. | 908 | 45,173 |
Tiptree, Inc. | 600 | 6,372 |
Trean Insurance Group, Inc.* | 500 | 3,115 |
Trupanion, Inc.* | 1,236 | 74,481 |
United Fire Group, Inc. | 680 | 23,276 |
Universal Insurance Holdings, Inc. | 951 | 12,392 |
1,931,020 | ||
Internet — 1.9% | ||
1-800-Flowers.com, Inc., Class A* | 937 | 8,911 |
1stdibs.com, Inc.* | 900 | 5,121 |
Allbirds, Inc., Class A* | 3,100 | 12,183 |
Blade Air Mobility, Inc.* | 1,800 | 8,028 |
Bumble, Inc., Class A* | 2,800 | 78,820 |
Cargurus, Inc.* | 3,200 | 68,768 |
CarParts.com, Inc.* | 1,600 | 11,104 |
Cars.com, Inc.* | 2,100 | 19,803 |
ChannelAdvisor Corp.* | 900 | 13,122 |
Cogent Communications Holdings, Inc. | 1,419 | 86,219 |
ContextLogic, Inc., Class A* | 18,600 | 29,760 |
Couchbase, Inc.* | 900 | 14,778 |
DHI Group, Inc.* | 1,400 | 6,958 |
Edgio, Inc.* | 4,172 | 9,637 |
ePlus, Inc.* | 942 | 50,039 |
Eventbrite, Inc., Class A* | 2,500 | 25,675 |
EverQuote, Inc., Class A* | 700 | 6,188 |
Figs, Inc., Class A* | 4,200 | 38,262 |
Focus Universal, Inc.* | 600 | 6,852 |
fuboTV, Inc.* | 4,600 | 11,362 |
Gambling.com Group Ltd.* | 300 | 2,361 |
Groupon, Inc.* | 850 | 9,605 |
HealthStream, Inc.* | 900 | 19,539 |
Lands' End, Inc.* | 500 | 5,310 |
Liquidity Services, Inc.* | 735 | 9,878 |
Magnite, Inc.* | 4,206 | 37,349 |
Marqeta, Inc., Class A* | 14,200 | 115,162 |
MediaAlpha, Inc., Class A* | 600 | 5,910 |
Nerdy, Inc.* | 1,800 | 3,834 |
Number of Shares | Value† | |
Internet — (continued) | ||
Open Lending Corp., Class A* | 3,400 | $ 34,782 |
OptimizeRx Corp.* | 600 | 16,434 |
Overstock.com, Inc.* | 1,400 | 35,014 |
Perficient, Inc.* | 1,145 | 104,985 |
Poshmark, Inc., Class A* | 1,500 | 15,165 |
Q2 Holdings, Inc.* | 1,800 | 69,426 |
QuinStreet, Inc.* | 1,715 | 17,253 |
Revolve Group, Inc.* | 1,200 | 31,092 |
Rover Group, Inc.* | 3,000 | 11,280 |
RumbleON, Inc., Class B* | 300 | 4,413 |
Shutterstock, Inc. | 800 | 45,848 |
Solo Brands, Inc., Class A* | 500 | 2,030 |
Squarespace, Inc., Class A* | 1,000 | 20,920 |
Stitch Fix, Inc., Class A* | 2,600 | 12,844 |
TechTarget, Inc.* | 900 | 59,148 |
The Arena Group Holdings, Inc.* | 400 | 3,600 |
The RealReal, Inc.* | 2,600 | 6,474 |
TrueCar, Inc.* | 3,500 | 9,065 |
Tucows, Inc., Class A* | 300 | 13,353 |
Upwork, Inc.* | 3,900 | 80,652 |
Vacasa, Inc., Class A* | 1,300 | 3,744 |
Vimeo, Inc.* | 4,700 | 28,294 |
Vivid Seats, Inc., Class A | 800 | 5,976 |
Yelp, Inc.* | 2,200 | 61,094 |
1,413,424 | ||
Investment Companies — 0.1% | ||
Cannae Holdings, Inc.* | 2,500 | 48,350 |
Compass Diversified Holdings | 2,000 | 42,840 |
91,190 | ||
Iron & Steel — 0.4% | ||
Allegheny Technologies, Inc.* | 4,200 | 95,382 |
Carpenter Technology Corp. | 1,600 | 44,656 |
Commercial Metals Co. | 4,000 | 132,400 |
Schnitzer Steel Industries, Inc., Class A | 900 | 29,556 |
301,994 | ||
Leisure Time — 0.6% | ||
Acushnet Holdings Corp. | 1,100 | 45,848 |
Bowlero Corp.* | 1,300 | 13,767 |
Callaway Golf Co.* | 4,546 | 92,738 |
Camping World Holdings, Inc., Class A | 1,400 | 30,226 |
Clarus Corp. | 902 | 17,129 |
F45 Training Holdings, Inc.* | 1,200 | 4,716 |
Johnson Outdoors, Inc., Class A | 168 | 10,275 |
Life Time Group Holdings, Inc.* | 1,300 | 16,744 |
Lindblad Expeditions Holdings, Inc.* | 1,100 | 8,910 |
Malibu Boats, Inc., Class A* | 700 | 36,897 |
Marine Products Corp. | 88 | 837 |
MasterCraft Boat Holdings, Inc.* | 700 | 14,735 |
OneSpaWorld Holdings Ltd.* | 1,600 | 11,472 |
OneWater Marine, Inc., Class A* | 400 | 13,220 |
Virgin Galactic Holdings, Inc.* | 7,500 | 45,150 |
Vista Outdoor, Inc.* | 1,900 | 53,010 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Leisure Time — (continued) | ||
Xponential Fitness, Inc., Class A* | 500 | $ 6,280 |
421,954 | ||
Lodging — 0.2% | ||
Bluegreen Vacations Holding Corp. | 404 | 10,084 |
Century Casinos, Inc.* | 1,100 | 7,920 |
Full House Resorts, Inc.* | 1,200 | 7,296 |
Hilton Grand Vacations, Inc.* | 2,900 | 103,617 |
Target Hospitality Corp.* | 1,300 | 7,423 |
The Marcus Corp.* | 733 | 10,826 |
147,166 | ||
Machinery — Construction & Mining — 0.3% | ||
Argan, Inc. | 436 | 16,272 |
Astec Industries, Inc. | 798 | 32,542 |
Babcock & Wilcox Enterprises, Inc.* | 2,000 | 12,060 |
Bloom Energy Corp., Class A* | 5,300 | 87,450 |
Hyster-Yale Materials Handling, Inc. | 344 | 11,084 |
NuScale Power Corp.* | 600 | 5,994 |
Terex Corp. | 2,300 | 62,951 |
The Manitowoc Co., Inc.* | 1,025 | 10,793 |
Transphorm, Inc.* | 700 | 2,667 |
Volta, Inc.* | 4,000 | 5,200 |
247,013 | ||
Machinery — Diversified — 1.8% | ||
Alamo Group, Inc. | 317 | 36,908 |
Albany International Corp., Class A | 1,032 | 81,311 |
Altra Industrial Motion Corp. | 2,203 | 77,656 |
Applied Industrial Technologies, Inc. | 1,282 | 123,290 |
Cactus, Inc., Class A | 1,900 | 76,513 |
Chart Industries, Inc.* | 1,217 | 203,702 |
CIRCOR International, Inc.* | 635 | 10,408 |
Columbus McKinnon Corp. | 885 | 25,107 |
CSW Industrials, Inc. | 482 | 49,660 |
DXP Enterprises, Inc.* | 522 | 15,989 |
Eastman Kodak Co.* | 1,600 | 7,424 |
GrafTech International Ltd. | 6,600 | 46,662 |
Hydrofarm Holdings Group, Inc.* | 1,300 | 4,524 |
Ichor Holdings Ltd.* | 900 | 23,382 |
Kadant, Inc. | 402 | 73,305 |
Lindsay Corp. | 388 | 51,534 |
Mueller Water Products, Inc., Class A | 5,092 | 59,729 |
Ranpak Holdings Corp.* | 1,200 | 8,400 |
Sarcos Technology and Robotics Corp.* | 2,500 | 6,650 |
Tennant Co. | 636 | 37,683 |
The Gorman-Rupp Co. | 751 | 21,253 |
Thermon Group Holdings, Inc.* | 1,100 | 15,455 |
Watts Water Technologies, Inc., Class A | 894 | 109,819 |
Welbilt, Inc.* | 4,400 | 104,764 |
Zurn Water Solutions Corp. | 4,000 | 108,960 |
1,380,088 | ||
Media — 0.6% | ||
AMC Networks, Inc., Class A* | 1,000 | 29,120 |
Audacy, Inc.* | 3,100 | 2,921 |
Cumulus Media, Inc., Class A* | 600 | 4,638 |
Number of Shares | Value† | |
Media — (continued) | ||
Gannett Co., Inc.* | 4,253 | $ 12,334 |
Gray Television, Inc. | 3,000 | 50,670 |
iHeartMedia, Inc., Class A* | 3,600 | 28,404 |
Liberty Latin America Ltd., Class A* | 1,400 | 10,920 |
Liberty Latin America Ltd., Class C* | 5,252 | 40,913 |
Scholastic Corp. | 856 | 30,790 |
Sinclair Broadcast Group, Inc., Class A | 1,400 | 28,560 |
TEGNA, Inc. | 7,400 | 155,178 |
The E.W. Scripps Co., Class A* | 1,829 | 22,808 |
Thryv Holdings, Inc.* | 800 | 17,912 |
WideOpenWest, Inc.* | 1,800 | 32,778 |
467,946 | ||
Metal Fabricate/Hardware — 0.9% | ||
AZZ, Inc. | 776 | 31,676 |
Helios Technologies, Inc. | 1,059 | 70,159 |
Hillman Solutions Corp.* | 4,400 | 38,016 |
Janus International Group, Inc.* | 2,700 | 24,381 |
Mueller Industries, Inc. | 1,888 | 100,612 |
Northwest Pipe Co.* | 300 | 8,982 |
Olympic Steel, Inc. | 331 | 8,523 |
Omega Flex, Inc. | 124 | 13,345 |
Proto Labs, Inc.* | 899 | 43,008 |
RBC Bearings, Inc.* | 955 | 176,627 |
Ryerson Holding Corp. | 600 | 12,774 |
Standex International Corp. | 400 | 33,912 |
TimkenSteel Corp.* | 1,700 | 31,807 |
Tredegar Corp. | 761 | 7,610 |
Worthington Industries, Inc. | 1,084 | 47,805 |
Xometry, Inc., Class A* | 1,100 | 37,323 |
686,560 | ||
Mining — 0.8% | ||
5E Advanced Materials, Inc.* | 1,100 | 13,398 |
Arconic Corp.* | 3,600 | 100,980 |
Century Aluminum Co.* | 1,754 | 12,927 |
Coeur Mining, Inc.* | 8,628 | 26,229 |
Compass Minerals International, Inc. | 1,100 | 38,929 |
Constellium S.E.* | 4,000 | 52,840 |
Dakota Gold Corp.* | 1,700 | 5,695 |
Energy Fuels, Inc.* | 5,400 | 26,514 |
Ferroglobe PLC(1),* | 2,414 | 0 |
Hecla Mining Co. | 17,891 | 70,133 |
Hycroft Mining Holding Corp.* | 4,900 | 5,439 |
Kaiser Aluminum Corp. | 516 | 40,810 |
Livent Corp.* | 5,400 | 122,526 |
Novagold Resources, Inc.* | 8,400 | 40,404 |
Piedmont Lithium, Inc.* | 600 | 21,846 |
PolyMet Mining Corp.* | 1,700 | 4,675 |
United States Lime & Minerals, Inc. | 90 | 9,504 |
Uranium Energy Corp.* | 9,200 | 28,336 |
Ur-Energy, Inc.* | 7,000 | 7,420 |
628,605 | ||
Miscellaneous Manufacturing — 1.0% | ||
AMMO, Inc.* | 3,600 | 13,860 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Miscellaneous Manufacturing — (continued) | ||
Chase Corp. | 261 | $ 20,309 |
EnPro Industries, Inc. | 717 | 58,744 |
ESCO Technologies, Inc. | 834 | 57,021 |
Fabrinet* | 1,200 | 97,320 |
Federal Signal Corp. | 1,943 | 69,171 |
Haynes International, Inc. | 364 | 11,928 |
Hillenbrand, Inc. | 2,444 | 100,106 |
John Bean Technologies Corp. | 1,059 | 116,935 |
LSB Industries, Inc.* | 1,000 | 13,860 |
Materion Corp. | 657 | 48,441 |
Myers Industries, Inc. | 1,125 | 25,571 |
NL Industries, Inc. | 90 | 888 |
Sight Sciences, Inc.* | 900 | 8,091 |
Smith & Wesson Brands, Inc. | 1,579 | 20,732 |
Sturm Ruger & Co., Inc. | 619 | 39,399 |
Trinity Industries, Inc. | 2,800 | 67,816 |
770,192 | ||
Office & Business Equipment — 0.1% | ||
Pitney Bowes, Inc. | 6,000 | 21,720 |
Xerox Holdings Corp. | 3,700 | 54,945 |
76,665 | ||
Office Furnishings — 0.2% | ||
HNI Corp. | 1,443 | 50,058 |
Interface, Inc. | 1,995 | 25,017 |
Kimball International, Inc., Class B | 1,244 | 9,541 |
Steelcase, Inc., Class A | 3,131 | 33,596 |
118,212 | ||
Oil & Gas — 3.3% | ||
Amplify Energy Corp.* | 1,200 | 7,848 |
Berry Corp. | 2,100 | 16,002 |
Borr Drilling Ltd.* | 4,400 | 20,284 |
Brigham Minerals, Inc., Class A | 1,500 | 36,945 |
California Resources Corp. | 2,600 | 100,100 |
Callon Petroleum Co.* | 1,600 | 62,720 |
Centennial Resource Development, Inc., Class A* | 6,000 | 35,880 |
Civitas Resources, Inc. | 2,394 | 125,182 |
CNX Resources Corp.* | 6,300 | 103,698 |
Cobalt International Energy, Inc.(1) | 1 | 0 |
Comstock Resources, Inc.* | 3,200 | 38,656 |
Crescent Energy, Inc., Class A | 1,020 | 12,730 |
CVR Energy, Inc. | 1,000 | 33,500 |
Delek US Holdings, Inc.* | 2,283 | 58,993 |
Denbury, Inc.* | 1,700 | 101,983 |
Diamond Offshore Drilling, Inc.* | 3,300 | 19,437 |
Earthstone Energy, Inc., Class A* | 1,200 | 16,380 |
Empire Petroleum Corp.* | 200 | 2,374 |
Gulfport Energy Corp.* | 400 | 31,804 |
Helmerich & Payne, Inc. | 3,400 | 146,404 |
HighPeak Energy, Inc. | 100 | 2,562 |
Kosmos Energy Ltd.* | 15,200 | 94,088 |
Laredo Petroleum, Inc.* | 600 | 41,364 |
Magnolia Oil & Gas Corp., Class A | 5,500 | 115,445 |
Number of Shares | Value† | |
Oil & Gas — (continued) | ||
Matador Resources Co. | 3,700 | $ 172,383 |
Murphy Oil Corp. | 4,900 | 147,931 |
Nabors Industries Ltd.* | 315 | 42,178 |
Noble Corp.* | 1,200 | 30,420 |
Northern Oil & Gas, Inc. | 2,100 | 53,046 |
Oasis Petroleum, Inc. | 700 | 85,155 |
Ovintiv, Inc. | 100 | 4,419 |
Par Pacific Holdings, Inc.* | 1,618 | 25,225 |
Patterson-UTI Energy, Inc. | 7,000 | 110,320 |
PBF Energy, Inc., Class A* | 3,200 | 92,864 |
Ranger Oil Corp.* | 700 | 23,009 |
Riley Exploration Permian, Inc. | 300 | 7,254 |
Ring Energy, Inc.* | 2,800 | 7,448 |
SandRidge Energy, Inc.* | 1,000 | 15,670 |
SilverBow Resources, Inc.* | 400 | 11,344 |
Sitio Royalties Corp. | 375 | 8,692 |
SM Energy Co. | 4,000 | 136,760 |
Talos Energy, Inc.* | 2,200 | 34,034 |
Tellurian, Inc.* | 16,700 | 49,766 |
VAALCO Energy, Inc. | 1,900 | 13,186 |
Valaris Ltd.* | 2,000 | 84,480 |
Vertex Energy, Inc.* | 1,800 | 18,936 |
W&T Offshore, Inc.* | 3,543 | 15,306 |
Whiting Petroleum Corp. | 1,252 | 85,174 |
2,499,379 | ||
Oil & Gas Services — 1.0% | ||
Archrock, Inc. | 4,700 | 38,869 |
Aris Water Solution, Inc., Class A | 600 | 10,008 |
Bristow Group, Inc.* | 766 | 17,924 |
ChampionX Corp. | 6,800 | 134,980 |
DMC Global, Inc.* | 600 | 10,818 |
Dril-Quip, Inc.* | 1,100 | 28,380 |
Expro Group Holdings N.V.* | 2,516 | 28,984 |
Helix Energy Solutions Group, Inc.* | 4,501 | 13,953 |
Liberty Oilfield Services, Inc., Class A* | 4,700 | 59,972 |
MRC Global, Inc.* | 2,900 | 28,884 |
National Energy Services Reunited Corp.* | 1,100 | 7,458 |
Newpark Resources, Inc.* | 2,712 | 8,380 |
NexTier Oilfield Solutions, Inc.* | 5,891 | 56,024 |
NOW, Inc.* | 3,800 | 37,164 |
Oceaneering International, Inc.* | 3,400 | 36,312 |
Oil States International, Inc.* | 2,000 | 10,840 |
ProPetro Holding Corp.* | 2,900 | 29,000 |
RPC, Inc.* | 2,200 | 15,202 |
Select Energy Services, Inc., Class A* | 2,100 | 14,322 |
Solaris Oilfield Infrastructure, Inc., Class A | 1,100 | 11,968 |
TETRA Technologies, Inc.* | 4,400 | 17,864 |
Tidewater, Inc.* | 1,400 | 29,526 |
US Silica Holdings, Inc.* | 2,300 | 26,266 |
Weatherford International PLC* | 2,300 | 48,691 |
721,789 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Packaging and Containers — 0.3% | ||
Greif, Inc., Class A | 900 | $ 56,142 |
Greif, Inc., Class B | 200 | 12,458 |
Karat Packaging, Inc.* | 300 | 5,118 |
Matthews International Corp., Class A | 1,105 | 31,680 |
O-I Glass, Inc.* | 5,100 | 71,400 |
Pactiv Evergreen, Inc. | 1,200 | 11,952 |
TriMas Corp. | 1,495 | 41,397 |
UFP Technologies, Inc.* | 200 | 15,914 |
246,061 | ||
Pharmaceuticals — 2.9% | ||
AbCellera Biologics, Inc.* | 6,800 | 72,420 |
Aclaris Therapeutics, Inc.* | 1,800 | 25,128 |
AdaptHealth Corp.* | 2,500 | 45,100 |
Aerie Pharmaceuticals, Inc.* | 1,600 | 12,000 |
Agios Pharmaceuticals, Inc.* | 1,800 | 39,906 |
Alector, Inc.* | 1,900 | 19,304 |
Alkermes PLC* | 5,400 | 160,866 |
Amneal Pharmaceuticals, Inc.* | 2,937 | 9,340 |
Amphastar Pharmaceuticals, Inc.* | 1,300 | 45,227 |
Amylyx Pharmaceuticals, Inc.* | 200 | 3,852 |
Anika Therapeutics, Inc.* | 400 | 8,928 |
Arvinas, Inc.* | 1,600 | 67,344 |
BellRing Brands, Inc.* | 3,700 | 92,093 |
Bioxcel Therapeutics, Inc.* | 600 | 7,920 |
Catalyst Pharmaceuticals, Inc.* | 3,500 | 24,535 |
Chimerix, Inc.* | 2,700 | 5,616 |
Coherus Biosciences, Inc.* | 2,100 | 15,204 |
Collegium Pharmaceutical, Inc.* | 1,300 | 23,036 |
Corcept Therapeutics, Inc.* | 2,800 | 66,584 |
Covetrus, Inc.* | 3,500 | 72,625 |
Cytokinetics, Inc.* | 2,700 | 106,083 |
Eagle Pharmaceuticals, Inc.* | 400 | 17,772 |
Embecta Corp.* | 1,900 | 48,108 |
Enanta Pharmaceuticals, Inc.* | 600 | 28,362 |
Endo International PLC* | 8,000 | 3,726 |
Foghorn Therapeutics, Inc.* | 800 | 10,880 |
Fulcrum Therapeutics, Inc.* | 800 | 3,920 |
Harmony Biosciences Holdings, Inc.* | 800 | 39,016 |
Herbalife Nutrition Ltd.* | 3,200 | 65,440 |
Heron Therapeutics, Inc.* | 2,700 | 7,533 |
Heska Corp.* | 312 | 29,487 |
Ironwood Pharmaceuticals, Inc.* | 4,461 | 51,435 |
Jounce Therapeutics, Inc.* | 800 | 2,424 |
KalVista Pharmaceuticals, Inc.* | 800 | 7,872 |
Kura Oncology, Inc.* | 2,300 | 42,159 |
Lyell Immunopharma, Inc.* | 6,000 | 39,120 |
Madrigal Pharmaceuticals, Inc.* | 379 | 27,129 |
MannKind Corp.* | 7,601 | 28,960 |
Mirum Pharmaceuticals, Inc.* | 500 | 9,730 |
Morphic Holding, Inc.* | 700 | 15,190 |
Nature's Sunshine Products, Inc.* | 500 | 5,335 |
Ocugen, Inc.* | 6,100 | 13,847 |
Ocular Therapeutix, Inc.* | 2,700 | 10,854 |
Option Care Health, Inc.* | 4,702 | 130,668 |
Number of Shares | Value† | |
Pharmaceuticals — (continued) | ||
Outlook Therapeutics, Inc.* | 3,600 | $ 3,672 |
Owens & Minor, Inc. | 2,376 | 74,725 |
Pacira BioSciences, Inc.* | 1,500 | 87,450 |
PetIQ, Inc.* | 1,000 | 16,790 |
Phibro Animal Health Corp., Class A | 700 | 13,391 |
PMV Pharmaceuticals, Inc.* | 900 | 12,825 |
Prestige Consumer Healthcare, Inc.* | 1,672 | 98,314 |
Prometheus Biosciences, Inc.* | 1,000 | 28,230 |
Protagonist Therapeutics, Inc.* | 1,400 | 11,074 |
Reata Pharmaceuticals, Inc., Class A* | 884 | 26,865 |
Relmada Therapeutics, Inc.* | 900 | 17,091 |
Revance Therapeutics, Inc.* | 2,200 | 30,404 |
Senseonics Holdings, Inc.* | 13,700 | 14,111 |
Seres Therapeutics, Inc.* | 2,300 | 7,889 |
SIGA Technologies, Inc. | 1,400 | 16,212 |
Supernus Pharmaceuticals, Inc.* | 1,700 | 49,164 |
The Beachbody Co., Inc.* | 3,400 | 4,080 |
Tricida, Inc.* | 1,100 | 10,648 |
USANA Health Sciences, Inc.* | 348 | 25,181 |
Vanda Pharmaceuticals, Inc.* | 1,941 | 21,157 |
Vaxcyte, Inc.* | 1,900 | 41,344 |
Xeris Biopharma Holdings, Inc.* | 4,300 | 6,622 |
Y-mAbs Therapeutics, Inc.* | 1,200 | 18,156 |
Zogenix, Inc.* | 1,775 | 1,207 |
2,198,680 | ||
Pipelines — 0.3% | ||
Equitrans Midstream Corp. | 13,800 | 87,768 |
Excelerate Energy, Inc., Class A* | 600 | 11,952 |
Golar LNG Ltd.* | 3,300 | 75,075 |
Kinetik Holdings, Inc., Class A | 500 | 17,070 |
NextDecade Corp.* | 1,000 | 4,440 |
196,305 | ||
Private Equity — 0.0% | ||
Chicago Atlantic Real Estate Finance, Inc. | 100 | 1,506 |
Real Estate — 0.7% | ||
Anywhere Real Estate, Inc.* | 3,900 | 38,337 |
Compass, Inc., Class A* | 8,500 | 30,685 |
Cushman & Wakefield PLC* | 5,200 | 79,248 |
Douglas Elliman, Inc. | 2,428 | 11,630 |
eXp World Holdings, Inc. | 2,000 | 23,540 |
FRP Holdings, Inc.* | 269 | 16,234 |
Kennedy-Wilson Holdings, Inc. | 3,881 | 73,506 |
Legacy Housing Corp.* | 300 | 3,915 |
Marcus & Millichap, Inc. | 800 | 29,592 |
McGrath RentCorp | 753 | 57,228 |
Newmark Group, Inc., Class A | 4,800 | 46,416 |
Offerpad Solutions, Inc.* | 2,200 | 4,796 |
Radius Global Infrastructure, Inc., Class A* | 2,500 | 38,150 |
RE/MAX Holdings, Inc., Class A | 600 | 14,712 |
Redfin Corp.* | 3,300 | 27,192 |
Stratus Properties, Inc.* | 200 | 6,445 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Real Estate — (continued) | ||
The RMR Group, Inc., Class A | 467 | $ 13,240 |
The St. Joe Co. | 1,100 | 43,516 |
558,382 | ||
Real Estate Investment Trusts — 0.1% | ||
Claros Mortgage Trust, Inc. | 3,000 | 50,250 |
Retail — 4.0% | ||
Abercrombie & Fitch Co., Class A* | 1,800 | 30,456 |
Academy Sports & Outdoors, Inc. | 2,800 | 99,512 |
American Eagle Outfitters, Inc. | 5,300 | 59,254 |
America's Car-Mart, Inc.* | 180 | 18,108 |
Arko Corp. | 2,500 | 20,400 |
Asbury Automotive Group, Inc.* | 724 | 122,602 |
Aspen Aerogels, Inc.* | 800 | 7,904 |
Beacon Roofing Supply, Inc.* | 1,781 | 91,472 |
Bed Bath & Beyond, Inc.* | 3,100 | 15,407 |
Big 5 Sporting Goods Corp. | 700 | 7,847 |
Big Lots, Inc. | 1,100 | 23,067 |
Biglari Holdings, Inc., Class B* | 40 | 4,908 |
BJ's Restaurants, Inc.* | 720 | 15,610 |
Bloomin' Brands, Inc. | 3,000 | 49,860 |
BlueLinx Holdings, Inc.* | 300 | 20,043 |
Boot Barn Holdings, Inc.* | 1,000 | 68,910 |
Brinker International, Inc.* | 1,500 | 33,045 |
Build-A-Bear Workshop, Inc. | 500 | 8,210 |
Caleres, Inc. | 1,254 | 32,905 |
Chico's FAS, Inc.* | 4,000 | 19,880 |
Chuy's Holdings, Inc.* | 600 | 11,952 |
Citi Trends, Inc.* | 303 | 7,166 |
Clean Energy Fuels Corp.* | 5,400 | 24,192 |
Conn's, Inc.* | 704 | 5,646 |
Cracker Barrel Old Country Store, Inc. | 758 | 63,285 |
Dave & Buster's Entertainment, Inc.* | 1,500 | 49,170 |
Denny's Corp.* | 1,952 | 16,943 |
Designer Brands, Inc., Class A | 1,900 | 24,814 |
Destination XL Group, Inc.* | 2,000 | 6,780 |
Dillard's, Inc., Class A | 150 | 33,086 |
Dine Brands Global, Inc. | 571 | 37,161 |
Duluth Holdings, Inc., Class B* | 200 | 1,908 |
El Pollo Loco Holdings, Inc.* | 600 | 5,904 |
EVgo, Inc.* | 2,200 | 13,222 |
Express, Inc.* | 2,100 | 4,116 |
First Watch Restaurant Group, Inc.* | 500 | 7,210 |
FirstCash Holdings, Inc. | 1,239 | 86,123 |
Foot Locker, Inc. | 2,700 | 68,175 |
Franchise Group, Inc. | 900 | 31,563 |
Genesco, Inc.* | 495 | 24,705 |
GMS, Inc.* | 1,400 | 62,300 |
Group 1 Automotive, Inc. | 525 | 89,145 |
GrowGeneration Corp.* | 1,800 | 6,462 |
Guess?, Inc. | 1,100 | 18,755 |
Haverty Furniture Cos., Inc. | 550 | 12,749 |
Hibbett, Inc. | 455 | 19,888 |
Jack in the Box, Inc. | 714 | 40,027 |
JOANN, Inc. | 500 | 3,875 |
Number of Shares | Value† | |
Retail — (continued) | ||
Kura Sushi USA, Inc., Class A* | 100 | $ 4,953 |
La-Z-Boy, Inc. | 1,462 | 34,664 |
LL Flooring Holdings, Inc.* | 833 | 7,805 |
MarineMax, Inc.* | 700 | 25,284 |
Movado Group, Inc. | 460 | 14,228 |
Murphy USA, Inc. | 732 | 170,461 |
National Vision Holdings, Inc.* | 2,700 | 74,250 |
Noodles & Co.* | 1,200 | 5,640 |
Nu Skin Enterprises, Inc., Class A | 1,700 | 73,610 |
Papa John's International, Inc. | 1,110 | 92,707 |
Party City Holdco, Inc.* | 3,700 | 4,884 |
Patrick Industries, Inc. | 775 | 40,176 |
PC Connection, Inc. | 365 | 16,078 |
PetMed Express, Inc. | 613 | 12,199 |
Portillo's, Inc., Class A* | 800 | 13,080 |
PriceSmart, Inc. | 831 | 59,525 |
Qurate Retail, Inc., Class A | 11,400 | 32,718 |
Rite Aid Corp.* | 1,610 | 10,851 |
Rush Enterprises, Inc., Class A | 1,402 | 67,576 |
Rush Enterprises, Inc., Class B | 250 | 12,403 |
Ruth's Hospitality Group, Inc. | 1,195 | 19,431 |
Sally Beauty Holdings, Inc.* | 3,600 | 42,912 |
Shake Shack, Inc., Class A* | 1,200 | 47,376 |
Shoe Carnival, Inc. | 516 | 11,151 |
Signet Jewelers Ltd. | 1,500 | 80,190 |
Sonic Automotive, Inc., Class A | 734 | 26,886 |
Sportsman's Warehouse Holdings, Inc.* | 1,300 | 12,467 |
Sweetgreen, Inc., Class A* | 400 | 4,660 |
Texas Roadhouse, Inc. | 2,270 | 166,164 |
The Buckle, Inc. | 1,049 | 29,047 |
The Cato Corp., Class A | 704 | 8,173 |
The Cheesecake Factory, Inc. | 1,516 | 40,053 |
The Children's Place, Inc.* | 494 | 19,226 |
The Container Store Group, Inc.* | 1,200 | 7,476 |
The ODP Corp.* | 1,370 | 41,429 |
The ONE Group Hospitality, Inc.* | 800 | 5,896 |
Tile Shop Holdings, Inc. | 1,200 | 3,684 |
Tilly's, Inc., Class A | 800 | 5,616 |
TravelCenters of America, Inc.* | 400 | 13,788 |
Warby Parker, Inc., Class A* | 2,700 | 30,402 |
Wingstop, Inc. | 979 | 73,200 |
Winmark Corp. | 106 | 20,730 |
World Fuel Services Corp. | 2,000 | 40,920 |
Zumiez, Inc.* | 503 | 13,078 |
3,062,769 | ||
Savings & Loans — 0.9% | ||
Axos Financial, Inc.* | 1,900 | 68,115 |
Banc of California, Inc. | 1,900 | 33,478 |
Berkshire Hills Bancorp, Inc. | 1,642 | 40,672 |
Brookline Bancorp, Inc. | 2,522 | 33,568 |
Capitol Federal Financial, Inc. | 4,400 | 40,392 |
Flushing Financial Corp. | 1,038 | 22,068 |
Greene County Bancorp, Inc. | 100 | 4,529 |
Home Bancorp, Inc. | 300 | 10,239 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Savings & Loans — (continued) | ||
HomeTrust Bancshares, Inc. | 500 | $ 12,500 |
Northfield Bancorp, Inc. | 1,293 | 16,848 |
Northwest Bancshares, Inc. | 4,155 | 53,184 |
OceanFirst Financial Corp. | 1,910 | 36,538 |
Pacific Premier Bancorp, Inc. | 3,046 | 89,065 |
Provident Financial Services, Inc. | 2,474 | 55,071 |
Southern Missouri Bancorp, Inc. | 300 | 13,578 |
The Hingham Institution For Savings | 43 | 12,202 |
Washington Federal, Inc. | 2,200 | 66,044 |
Waterstone Financial, Inc. | 800 | 13,640 |
WSFS Financial Corp. | 2,174 | 87,156 |
708,887 | ||
Semiconductors — 2.6% | ||
ACM Research, Inc., Class A* | 1,600 | 26,928 |
Alpha & Omega Semiconductor Ltd.* | 700 | 23,338 |
Ambarella, Inc.* | 1,155 | 75,606 |
Amkor Technology, Inc. | 3,311 | 56,121 |
Arteris, Inc.* | 300 | 2,091 |
Atomera, Inc.* | 600 | 5,628 |
Axcelis Technologies, Inc.* | 1,125 | 61,695 |
AXT, Inc.* | 1,000 | 5,860 |
CEVA, Inc.* | 871 | 29,231 |
CMC Materials, Inc. | 955 | 166,638 |
Cohu, Inc.* | 1,524 | 42,291 |
Diodes, Inc.* | 1,499 | 96,790 |
FormFactor, Inc.* | 2,529 | 97,948 |
Impinj, Inc.* | 600 | 35,202 |
Kulicke & Soffa Industries, Inc. | 1,900 | 81,339 |
MACOM Technology Solutions Holdings, Inc.* | 1,622 | 74,774 |
MaxLinear, Inc.* | 2,343 | 79,615 |
Onto Innovation, Inc.* | 1,647 | 114,862 |
Ouster, Inc.* | 5,100 | 8,262 |
Photronics, Inc.* | 2,092 | 40,752 |
Power Integrations, Inc. | 1,889 | 141,694 |
Rambus, Inc.* | 3,623 | 77,858 |
Rockley Photonics Holdings Ltd.* | 3,300 | 7,194 |
Semtech Corp.* | 2,109 | 115,932 |
Silicon Laboratories, Inc.* | 1,186 | 166,301 |
SiTime Corp.* | 523 | 85,265 |
SkyWater Technology, Inc.* | 300 | 1,806 |
SMART Global Holdings, Inc.* | 1,800 | 29,466 |
Synaptics, Inc.* | 1,296 | 152,993 |
Ultra Clean Holdings, Inc.* | 1,600 | 47,632 |
Veeco Instruments, Inc.* | 1,554 | 30,148 |
1,981,260 | ||
Software — 5.6% | ||
1Life Healthcare, Inc.* | 5,900 | 46,256 |
8X8, Inc.* | 3,700 | 19,055 |
ACI Worldwide, Inc.* | 3,727 | 96,492 |
ACV Auctions, Inc., Class A* | 3,700 | 24,198 |
Agilysys, Inc.* | 676 | 31,955 |
Alignment Healthcare, Inc.* | 2,600 | 29,666 |
Alkami Technology, Inc.* | 900 | 12,501 |
Number of Shares | Value† | |
Software — (continued) | ||
Allscripts Healthcare Solutions, Inc.* | 3,700 | $ 54,871 |
Altair Engineering, Inc., Class A* | 1,700 | 89,250 |
American Software, Inc., Class A | 1,093 | 17,663 |
Amplitude, Inc., Class A* | 1,800 | 25,722 |
Apollo Medical Holdings, Inc.* | 1,200 | 46,308 |
Appfolio, Inc., Class A* | 650 | 58,916 |
Appian Corp.* | 1,375 | 65,120 |
Asana, Inc., Class A* | 2,400 | 42,192 |
Avaya Holdings Corp.* | 2,800 | 6,272 |
AvePoint, Inc.* | 4,200 | 18,228 |
Avid Technology, Inc.* | 1,300 | 33,735 |
AvidXchange Holdings, Inc.* | 4,800 | 29,472 |
Bandwidth, Inc., Class A* | 739 | 13,908 |
Benefitfocus, Inc.* | 900 | 7,002 |
BigCommerce Holdings, Inc.* | 2,100 | 34,020 |
Blackbaud, Inc.* | 1,550 | 90,008 |
Blackline, Inc.* | 1,862 | 124,009 |
Blend Labs, Inc., Class A* | 6,000 | 14,160 |
Box, Inc., Class A* | 4,200 | 105,588 |
Brightcove, Inc.* | 1,200 | 7,584 |
BTRS Holdings, Inc.* | 3,400 | 16,932 |
C3.ai, Inc., Class A* | 2,000 | 36,520 |
Cardlytics, Inc.* | 1,100 | 24,541 |
Cerence, Inc.* | 1,400 | 35,322 |
Clear Secure, Inc., Class A* | 2,000 | 40,000 |
CommVault Systems, Inc.* | 1,448 | 91,079 |
Computer Programs and Systems, Inc.* | 447 | 14,291 |
Consensus Cloud Solutions, Inc.* | 567 | 24,767 |
Convey Health Solutions Holdings, Inc.* | 400 | 4,160 |
CS Disco, Inc.* | 500 | 9,020 |
CSG Systems International, Inc. | 1,081 | 64,514 |
Cvent Holding Corp.* | 2,700 | 12,474 |
Daily Journal Corp.* | 41 | 10,611 |
Digi International, Inc.* | 1,257 | 30,445 |
Digimarc Corp.* | 400 | 5,656 |
Digital Turbine Inc* | 3,000 | 52,410 |
DigitalOcean Holdings, Inc.* | 2,500 | 103,400 |
Domo, Inc., Class B* | 900 | 25,020 |
Donnelley Financial Solutions, Inc.* | 1,000 | 29,290 |
Duck Creek Technologies, Inc.* | 2,500 | 37,125 |
Duolingo, Inc.* | 800 | 70,040 |
E2open Parent Holdings, Inc.* | 6,500 | 50,570 |
Ebix, Inc. | 936 | 15,818 |
eGain Corp.* | 500 | 4,875 |
Enfusion, Inc., Class A* | 700 | 7,147 |
EngageSmart, Inc.* | 1,100 | 17,688 |
Envestnet, Inc.* | 1,813 | 95,672 |
Everbridge, Inc.* | 1,293 | 36,062 |
EverCommerce, Inc.* | 1,100 | 9,944 |
Evolent Health, Inc., Class A* | 2,600 | 79,846 |
Faraday Future Intelligent Electric, Inc.* | 3,200 | 8,320 |
Fastly, Inc., Class A* | 3,600 | 41,796 |
ForgeRock, Inc., Class A* | 900 | 19,278 |
GTY Technology Holdings, Inc.* | 1,200 | 7,512 |
Health Catalyst, Inc.* | 1,800 | 26,082 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Software — (continued) | ||
Hims & Hers Health, Inc.* | 4,000 | $ 18,120 |
HireRight Holdings Corp.* | 700 | 9,947 |
IBEX Holdings Ltd.* | 300 | 5,061 |
Inseego Corp.* | 2,800 | 5,292 |
Inspired Entertainment, Inc.* | 700 | 6,027 |
Instructure Holdings, Inc.* | 400 | 9,080 |
Intapp, Inc.* | 500 | 7,320 |
IonQ, Inc.* | 3,900 | 17,082 |
Latch, Inc.* | 2,300 | 2,622 |
LivePerson, Inc.* | 2,125 | 30,047 |
Loyalty Ventures, Inc.* | 700 | 2,499 |
ManTech International Corp., Class A | 939 | 89,628 |
Matterport, Inc.* | 7,200 | 26,352 |
MeridianLink, Inc.* | 800 | 13,360 |
MicroStrategy, Inc., Class A* | 317 | 52,083 |
Model N, Inc.* | 1,200 | 30,696 |
Momentive Global, Inc.* | 4,400 | 38,720 |
N-able, Inc.* | 2,200 | 19,800 |
NextGen Healthcare, Inc.* | 1,804 | 31,462 |
Nutex Health, Inc.* | 1,300 | 4,192 |
Olo, Inc., Class A* | 2,900 | 28,623 |
ON24, Inc.* | 1,600 | 15,184 |
Outbrain, Inc.* | 1,000 | 5,030 |
Outset Medical, Inc.* | 1,500 | 22,290 |
PagerDuty, Inc.* | 2,800 | 69,384 |
PDF Solutions, Inc.* | 1,000 | 21,510 |
Phreesia, Inc.* | 1,600 | 40,016 |
Playstudios, Inc.* | 2,600 | 11,128 |
Porch Group, Inc.* | 2,500 | 6,400 |
PowerSchool Holdings, Inc., Class A* | 1,300 | 15,665 |
Privia Health Group, Inc.* | 1,500 | 43,680 |
Progress Software Corp. | 1,426 | 64,598 |
PROS Holdings, Inc.* | 1,417 | 37,168 |
PubMatic, Inc., Class A* | 1,400 | 22,246 |
Rackspace Technology, Inc.* | 1,800 | 12,906 |
Red Violet, Inc.* | 300 | 5,712 |
Sailpoint Technologies Holdings, Inc.* | 3,100 | 194,308 |
Sapiens International Corp. N.V. | 1,100 | 26,609 |
Schrodinger, Inc.* | 1,800 | 47,538 |
Sharecare, Inc.* | 2,000 | 3,160 |
Simulations Plus, Inc. | 500 | 24,665 |
Skillsoft Corp.* | 2,700 | 9,504 |
Skillz, Inc.* | 10,000 | 12,400 |
SolarWinds Corp. | 1,600 | 16,400 |
Sprout Social, Inc., Class A* | 1,502 | 87,221 |
SPS Commerce, Inc.* | 1,215 | 137,356 |
Sumo Logic, Inc.* | 2,700 | 20,223 |
Upland Software, Inc.* | 900 | 13,068 |
UserTesting, Inc.* | 2,000 | 10,040 |
Verint Systems, Inc.* | 2,095 | 88,723 |
Veritone, Inc.* | 800 | 5,224 |
Verra Mobility Corp.* | 4,800 | 75,408 |
Viant Technology, Inc., Class A* | 400 | 2,032 |
WM Technology, Inc.* | 2,300 | 7,567 |
Workiva, Inc.* | 1,500 | 98,985 |
Number of Shares | Value† | |
Software — (continued) | ||
Xperi Holding Corp. | 3,353 | $ 48,384 |
Yext, Inc.* | 3,400 | 16,252 |
Zeta Global Holdings Corp., Class A* | 1,000 | 4,520 |
Ziff Davis, Inc.* | 1,467 | 109,335 |
Zuora, Inc., Class A* | 3,900 | 34,905 |
4,237,135 | ||
Telecommunications — 1.8% | ||
A10 Networks, Inc. | 1,900 | 27,322 |
ADTRAN, Inc. | 1,705 | 29,889 |
Anterix, Inc.* | 400 | 16,428 |
ATN International, Inc. | 398 | 18,670 |
Aviat Networks, Inc.* | 400 | 10,016 |
Calix, Inc.* | 1,793 | 61,213 |
Cambium Networks Corp.* | 400 | 5,860 |
Casa Systems, Inc.* | 1,200 | 4,716 |
Clearfield, Inc.* | 400 | 24,780 |
CommScope Holding Co., Inc.* | 6,700 | 41,004 |
Consolidated Communications Holdings, Inc.* | 2,571 | 17,997 |
Credo Technology Group Holding Ltd.* | 600 | 7,008 |
Cyxtera Technologies, Inc.* | 1,400 | 15,876 |
DigitalBridge Group, Inc.* | 19,300 | 94,184 |
DZS, Inc.* | 600 | 9,762 |
EchoStar Corp., Class A* | 1,200 | 23,160 |
Extreme Networks, Inc.* | 4,247 | 37,883 |
Globalstar, Inc.* | 20,300 | 24,969 |
Gogo, Inc.* | 1,600 | 25,904 |
Harmonic, Inc.* | 2,870 | 24,883 |
IDT Corp., Class B* | 400 | 10,060 |
Infinera Corp.* | 5,794 | 31,056 |
InterDigital, Inc. | 994 | 60,435 |
Iridium Communications, Inc.* | 4,200 | 157,752 |
KORE Group Holdings, Inc.* | 1,100 | 3,377 |
Maxar Technologies, Inc. | 2,500 | 65,225 |
NeoPhotonics Corp.* | 1,800 | 28,314 |
NETGEAR, Inc.* | 929 | 17,205 |
Ondas Holdings, Inc.* | 1,100 | 5,929 |
Ooma, Inc.* | 700 | 8,288 |
Planet Labs PBC* | 5,100 | 22,083 |
Plantronics, Inc.* | 1,467 | 58,210 |
Preformed Line Products Co. | 145 | 8,917 |
Ribbon Communications, Inc.* | 1,843 | 5,603 |
Shenandoah Telecommunications Co. | 1,518 | 33,700 |
Starry Group Holdings, Inc., Class A* | 800 | 3,296 |
Telephone and Data Systems, Inc. | 3,300 | 52,107 |
Terran Orbital Corp.* | 800 | 3,664 |
United States Cellular Corp.* | 500 | 14,480 |
Viavi Solutions, Inc.* | 7,400 | 97,902 |
Vonage Holdings Corp.* | 8,400 | 158,256 |
1,367,383 | ||
Textiles — 0.1% | ||
UniFirst Corp. | 514 | 88,501 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Toys, Games & Hobbies — 0.0% | ||
Funko, Inc., Class A* | 900 | $ 20,088 |
Vinco Ventures, Inc.* | 6,000 | 8,280 |
28,368 | ||
Transportation — 1.6% | ||
Air Transport Services Group, Inc.* | 1,985 | 57,029 |
ArcBest Corp. | 795 | 55,944 |
Ardmore Shipping Corp.* | 1,100 | 7,667 |
Atlas Air Worldwide Holdings, Inc.* | 948 | 58,501 |
Costamare, Inc. | 1,900 | 22,990 |
Covenant Logistics Group, Inc. | 400 | 10,036 |
CryoPort, Inc.* | 1,300 | 40,274 |
Daseke, Inc.* | 1,300 | 8,307 |
DHT Holdings, Inc. | 4,900 | 30,037 |
Dorian LPG Ltd. | 1,032 | 15,686 |
Eagle Bulk Shipping, Inc. | 514 | 26,666 |
FLEX LNG Ltd. | 900 | 24,651 |
Forward Air Corp. | 896 | 82,396 |
Frontline Ltd.* | 4,100 | 36,326 |
Genco Shipping & Trading Ltd. | 1,100 | 21,252 |
Golden Ocean Group Ltd. | 4,000 | 46,560 |
Heartland Express, Inc. | 1,567 | 21,797 |
Hub Group, Inc., Class A* | 1,143 | 81,085 |
International Seaways, Inc. | 1,631 | 34,577 |
Marten Transport Ltd. | 2,126 | 35,759 |
Matson, Inc. | 1,300 | 94,744 |
Nordic American Tankers Ltd. | 4,767 | 10,154 |
PAM Transportation Services, Inc.* | 200 | 5,478 |
Radiant Logistics, Inc.* | 1,000 | 7,420 |
Safe Bulkers, Inc. | 2,600 | 9,932 |
Saia, Inc.* | 882 | 165,816 |
Scorpio Tankers, Inc. | 1,640 | 56,597 |
SFL Corp. Ltd. | 3,784 | 35,910 |
Teekay Corp.* | 2,700 | 7,776 |
Teekay Tankers Ltd., Class A* | 900 | 15,867 |
Universal Logistics Holdings, Inc. | 300 | 8,193 |
Werner Enterprises, Inc. | 2,052 | 79,084 |
1,214,511 | ||
Trucking and Leasing — 0.2% | ||
GATX Corp. | 1,200 | 112,992 |
The Greenbrier Cos., Inc. | 1,047 | 37,682 |
150,674 | ||
Water — 0.5% | ||
American States Water Co. | 1,243 | 101,317 |
Artesian Resources Corp., Class A | 313 | 15,390 |
California Water Service Group | 1,766 | 98,101 |
Global Water Resources, Inc. | 500 | 6,605 |
Middlesex Water Co. | 531 | 46,558 |
SJW Group | 911 | 56,856 |
The York Water Co. | 397 | 16,051 |
340,878 | ||
TOTAL COMMON STOCKS (Cost $74,304,166) | 68,803,913 |
Number of Shares | Value† | |
REAL ESTATE INVESTMENT TRUSTS — 7.8% | ||
Apartments — 0.4% | ||
Apartment Investment and Management Co., Class A* | 5,000 | $ 32,000 |
Bluerock Residential Growth REIT, Inc. | 900 | 23,661 |
BRT Apartments Corp. | 500 | 10,745 |
Centerspace | 461 | 37,595 |
Independence Realty Trust, Inc. | 7,392 | 153,236 |
NexPoint Residential Trust, Inc. | 800 | 50,008 |
307,245 | ||
Diversified — 1.5% | ||
Alexander & Baldwin, Inc. | 2,456 | 44,085 |
American Assets Trust, Inc. | 1,700 | 50,490 |
Armada Hoffler Properties, Inc. | 2,100 | 26,964 |
Broadstone Net Lease, Inc. | 5,700 | 116,907 |
CatchMark Timber Trust, Inc., Class A | 1,900 | 19,114 |
Clipper Realty, Inc. | 600 | 4,632 |
Farmland Partners, Inc. | 1,500 | 20,700 |
Gladstone Commercial Corp. | 1,252 | 23,588 |
Gladstone Land Corp. | 1,000 | 22,160 |
Global Net Lease, Inc. | 3,533 | 50,027 |
InvenTrust Properties Corp. | 2,200 | 56,738 |
iStar, Inc. | 2,218 | 30,409 |
LXP Industrial Trust | 9,315 | 100,043 |
One Liberty Properties, Inc. | 510 | 13,250 |
Outfront Media, Inc. | 4,900 | 83,055 |
Postal Realty Trust, Inc., Class A | 500 | 7,450 |
PotlatchDeltic Corp. | 2,237 | 98,853 |
PS Business Parks, Inc. | 677 | 126,700 |
Safehold, Inc. | 700 | 24,759 |
The GEO Group, Inc.* | 3,752 | 24,763 |
The Necessity Retail REIT, Inc. | 4,100 | 29,848 |
UMH Properties, Inc. | 1,468 | 25,925 |
Uniti Group, Inc. | 7,800 | 73,476 |
Washington Real Estate Investment Trust | 3,006 | 64,058 |
1,137,994 | ||
Diversified Financial Services — 0.1% | ||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 2,800 | 106,008 |
Healthcare — 0.9% | ||
CareTrust REIT, Inc. | 3,295 | 60,760 |
Community Healthcare Trust, Inc. | 800 | 28,968 |
Diversified Healthcare Trust | 8,600 | 15,652 |
Global Medical REIT, Inc. | 1,900 | 21,337 |
Healthcare Realty Trust, Inc. | 4,972 | 135,238 |
LTC Properties, Inc. | 1,317 | 50,560 |
National Health Investors, Inc. | 1,457 | 88,309 |
Physicians Realty Trust | 7,300 | 127,385 |
Sabra Health Care REIT, Inc. | 7,493 | 104,677 |
Universal Health Realty Income Trust | 420 | 22,348 |
655,234 | ||
Hotels & Resorts — 0.8% | ||
Apple Hospitality REIT, Inc. | 7,100 | 104,157 |
Number of Shares | Value† | |
REAL ESTATE INVESTMENT TRUSTS — (continued) | ||
Hotels & Resorts — (continued) | ||
Ashford Hospitality Trust, Inc.* | 390 | $ 2,332 |
Braemar Hotels & Resorts, Inc. | 1,700 | 7,293 |
Chatham Lodging Trust* | 1,500 | 15,675 |
DiamondRock Hospitality Co.* | 7,023 | 57,659 |
Hersha Hospitality Trust* | 1,117 | 10,958 |
Pebblebrook Hotel Trust | 4,393 | 72,792 |
RLJ Lodging Trust | 5,580 | 61,548 |
Ryman Hospitality Properties, Inc.* | 1,812 | 137,766 |
Service Properties Trust | 5,500 | 28,765 |
Summit Hotel Properties, Inc.* | 3,400 | 24,718 |
Sunstone Hotel Investors, Inc.* | 7,347 | 72,882 |
Xenia Hotels & Resorts, Inc.* | 3,700 | 53,761 |
650,306 | ||
Industrial — 0.4% | ||
Indus Realty Trust, Inc. | 201 | 11,931 |
Innovative Industrial Properties, Inc. | 932 | 102,399 |
STAG lndustrial, Inc. | 5,900 | 182,192 |
296,522 | ||
Mortgage Banks — 1.2% | ||
AFC Gamma, Inc. | 600 | 9,198 |
Apollo Commercial Real Estate Finance, Inc. | 4,956 | 51,741 |
Arbor Realty Trust, Inc. | 4,800 | 62,928 |
Ares Commercial Real Estate Corp. | 1,500 | 18,345 |
ARMOUR Residential REIT, Inc. | 2,875 | 20,240 |
Blackstone Mortgage Trust, Inc., Class A | 5,600 | 154,952 |
BrightSpire Capital, Inc. | 2,700 | 20,385 |
Broadmark Realty Capital, Inc. | 4,600 | 30,866 |
Chimera Investment Corp. | 7,800 | 68,796 |
Dynex Capital, Inc. | 1,269 | 20,203 |
Ellington Financial, Inc. | 1,900 | 27,873 |
Franklin BSP Realty Trust, Inc. | 2,712 | 36,558 |
Granite Point Mortgage Trust, Inc. | 1,700 | 16,269 |
Invesco Mortgage Capital, Inc. | 1,012 | 14,856 |
KKR Real Estate Finance Trust, Inc. | 1,700 | 29,665 |
Ladder Capital Corp. | 3,976 | 41,907 |
MFA Financial, Inc. | 3,575 | 38,431 |
New York Mortgage Trust, Inc. | 11,900 | 32,844 |
Nexpoint Real Estate Finance, Inc. | 300 | 6,081 |
Orchid Island Capital, Inc. | 4,400 | 12,540 |
PennyMac Mortgage Investment Trust | 2,992 | 41,379 |
Ready Capital Corp. | 2,382 | 28,393 |
Redwood Trust, Inc. | 3,577 | 27,579 |
TPG RE Finance Trust, Inc. | 2,100 | 18,921 |
Two Harbors Investment Corp. | 11,600 | 57,768 |
888,718 | ||
Office Property — 0.7% | ||
Brandywine Realty Trust | 5,500 | 53,020 |
City Office REIT, Inc. | 1,400 | 18,130 |
Corporate Office Properties Trust | 3,700 | 96,903 |
Easterly Government Properties, Inc. | 3,000 | 57,120 |
Empire State Realty Trust, Inc., Class A | 4,700 | 33,041 |
Number of Shares | Value† | |
Office Property — (continued) | ||
Equity Commonwealth* | 3,500 | $ 96,355 |
Franklin Street Properties Corp. | 3,145 | 13,115 |
Office Properties Income Trust | 1,669 | 33,296 |
Orion Office REIT, Inc. | 1,900 | 20,824 |
Paramount Group, Inc. | 6,100 | 44,103 |
Piedmont Office Realty Trust, Inc., Class A | 4,200 | 55,104 |
Veris Residential, Inc.* | 2,800 | 37,072 |
558,083 | ||
Real Estate — 0.0% | ||
Angel Oak Mortgage, Inc. | 200 | 2,592 |
Regional Malls — 0.2% | ||
CBL & Associates Properties, Inc.* | 900 | 21,141 |
Tanger Factory Outlet Centers, Inc. | 3,500 | 49,770 |
The Macerich Co. | 7,500 | 65,325 |
136,236 | ||
Single Tenant — 0.5% | ||
Agree Realty Corp. | 2,396 | 172,823 |
Essential Properties Realty Trust, Inc. | 4,400 | 94,556 |
Four Corners Property Trust, Inc. | 2,500 | 66,475 |
Getty Realty Corp. | 1,369 | 36,279 |
370,133 | ||
Storage & Warehousing — 0.2% | ||
Industrial Logistics Properties Trust | 2,258 | 31,792 |
Plymouth Industrial REIT, Inc. | 1,000 | 17,540 |
Terreno Realty Corp. | 2,475 | 137,932 |
187,264 | ||
Strip Centers — 0.9% | ||
Acadia Realty Trust | 3,020 | 47,173 |
Alexander's, Inc. | 69 | 15,329 |
Cedar Realty Trust, Inc. | 400 | 11,516 |
CTO Realty Growth, Inc. | 153 | 9,351 |
Kite Realty Group Trust | 7,149 | 123,606 |
NETSTREIT Corp. | 1,700 | 32,079 |
Phillips Edison & Co., Inc. | 3,800 | 126,958 |
Retail Opportunity Investments Corp. | 4,200 | 66,276 |
RPT Realty | 2,641 | 25,961 |
Saul Centers, Inc. | 351 | 16,536 |
Seritage Growth Properties, Class A* | 1,100 | 5,731 |
SITE Centers Corp. | 6,600 | 88,902 |
Urban Edge Properties | 3,900 | 59,319 |
Urstadt Biddle Properties, Inc., Class A | 916 | 14,839 |
Whitestone REIT | 1,400 | 15,050 |
658,626 | ||
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $6,842,340) | 5,954,961 | |
RIGHTS — 0.0% | ||
Aduro Biotech CVR* | 560 | 73 |
Chelsea Therapeutics International Ltd. CVR* | 1,600 | 0 |
Number of Shares | Value† | |
RIGHTS — (continued) | ||
Cubist Pharmaceuticals, Inc.* | 1,200 | $ 0 |
Durata Therapeutics CVR Shares* | 500 | 0 |
Progenic Pharmaceuticals CVR* | 2,601 | 111 |
Tobira Therapeutic, Inc. CVR* | 400 | 5,668 |
TOTAL RIGHTS (Cost $152) | 5,852 | |
WARRANTS — 0.0% | ||
Whiting Petroleum Corp., Class A Expiration Date 12/31/25* | 204 | 2,734 |
Whiting Petroleum Corp., Class B Expiration Date 12/31/25* | 102 | 1,071 |
Nabors Industries Ltd. Expiration Date 06/11/26* | 87 | 2,782 |
TOTAL WARRANTS (Cost $3,666) | 6,587 |
SHORT-TERM INVESTMENTS — 0.3% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 1.320%) (Cost $248,121) | 248,121 | 248,121 |
TOTAL INVESTMENTS — 98.5% (Cost $81,398,445) | $ 75,019,434 | |
Other Assets & Liabilities — 1.5% | 1,124,440 | |
TOTAL NET ASSETS — 100.0% | $ 76,143,874 |
† | 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. |
SpA— Società per Azioni. |
COMMON STOCKS INDUSTRY DIVERSIFICATION | % of Market Value | Value† |
Advertising | 0.1% | $ 66,192 |
Aerospace & Defense | 0.9% | 586,285 |
Agriculture | 0.4% | 242,763 |
Airlines | 0.4% | 245,291 |
Apparel | 0.6% | 438,979 |
Auto Manufacturers | 0.3% | 221,717 |
Auto Parts & Equipment | 1.6% | 1,119,991 |
COMMON STOCKS INDUSTRY DIVERSIFICATION | % of Market Value | Value† |
Banks | 10.3% | $ 7,080,821 |
Beverages | 0.6% | 405,738 |
Biotechnology | 7.3% | 5,026,812 |
Building Materials | 1.4% | 979,139 |
Chemicals | 2.2% | 1,519,307 |
Coal | 0.5% | 371,669 |
Commercial Services | 5.8% | 4,009,281 |
Computers | 2.2% | 1,546,465 |
Cosmetics & Personal Care | 0.3% | 208,713 |
Distribution & Wholesale | 0.7% | 491,787 |
Diversified Financial Services | 2.6% | 1,809,707 |
Electric | 1.9% | 1,285,565 |
Electrical Components & Equipment | 0.7% | 504,197 |
Electronics | 1.7% | 1,184,508 |
Energy-Alternate Sources | 0.7% | 489,787 |
Engineering & Construction | 1.6% | 1,091,424 |
Entertainment | 1.1% | 735,553 |
Environmental Control | 0.6% | 414,412 |
Food | 2.0% | 1,348,335 |
Food Service | 0.1% | 57,614 |
Forest Products & Paper | 0.2% | 106,740 |
Gas | 1.5% | 999,317 |
Hand & Machine Tools | 0.3% | 231,490 |
Healthcare Products | 4.3% | 2,929,118 |
Healthcare Services | 1.7% | 1,176,938 |
Holding Companies | 0.0% | 8,020 |
Home Builders | 1.3% | 926,127 |
Home Furnishings | 0.4% | 267,517 |
Household Products & Wares | 0.5% | 326,653 |
Housewares | 0.0% | 15,194 |
Insurance | 2.8% | 1,931,020 |
Internet | 2.1% | 1,413,424 |
Investment Companies | 0.1% | 91,190 |
Iron & Steel | 0.4% | 301,994 |
Leisure Time | 0.6% | 421,954 |
Lodging | 0.2% | 147,166 |
Machinery — Construction & Mining | 0.4% | 247,013 |
Machinery — Diversified | 2.0% | 1,380,088 |
Media | 0.7% | 467,946 |
Metal Fabricate/Hardware | 1.0% | 686,560 |
Mining | 0.9% | 628,605 |
Miscellaneous Manufacturing | 1.1% | 770,192 |
Office & Business Equipment | 0.1% | 76,665 |
Office Furnishings | 0.2% | 118,212 |
Oil & Gas | 3.6% | 2,499,379 |
Oil & Gas Services | 1.0% | 721,789 |
Packaging and Containers | 0.4% | 246,061 |
Pharmaceuticals | 3.2% | 2,198,680 |
Pipelines | 0.3% | 196,305 |
Private Equity | 0.0% | 1,506 |
Real Estate | 0.8% | 558,382 |
Real Estate Investment Trusts | 0.1% | 50,250 |
Retail | 4.5% | 3,062,769 |
Savings & Loans | 1.0% | 708,887 |
Semiconductors | 2.9% | 1,981,260 |
Software | 6.2% | 4,237,135 |
Telecommunications | 2.0% | 1,367,383 |
COMMON STOCKS INDUSTRY DIVERSIFICATION | % of Market Value | Value† | |
Textiles | 0.1% | $ 88,501 | |
Toys, Games & Hobbies | 0.0% | 28,368 | |
Transportation | 1.8% | 1,214,511 | |
Trucking and Leasing | 0.2% | 150,674 | |
Water | 0.5% | 340,878 | |
100.0% | $68,803,913 |
ASSETS TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Common Stocks | ||||
Advertising | $ 66,192 | $ 66,192 | $ — | $— |
Aerospace & Defense | 586,285 | 586,285 | — | — |
Agriculture | 242,763 | 242,763 | — | — |
Airlines | 245,291 | 245,291 | — | — |
Apparel | 438,979 | 438,979 | — | — |
Auto Manufacturers | 221,717 | 221,717 | — | — |
Auto Parts & Equipment | 1,119,991 | 1,119,991 | — | — |
Banks | 7,080,821 | 7,080,821 | — | — |
Beverages | 405,738 | 405,738 | — | — |
Biotechnology | 5,026,812 | 5,026,812 | — | — |
Building Materials | 979,139 | 979,139 | — | — |
Chemicals | 1,519,307 | 1,519,307 | — | — |
Coal | 371,669 | 371,669 | — | — |
Commercial Services | 4,009,281 | 4,009,281 | — | — |
Computers | 1,546,465 | 1,546,465 | — | — |
Cosmetics & Personal Care | 208,713 | 208,713 | — | — |
Distribution & Wholesale | 491,787 | 491,787 | — | — |
Diversified Financial Services | 1,809,707 | 1,809,707 | — | — |
Electric | 1,285,565 | 1,285,565 | — | — |
Electrical Components & Equipment | 504,197 | 504,197 | — | — |
Electronics | 1,184,508 | 1,184,508 | — | — |
Energy-Alternate Sources | 489,787 | 489,787 | — | — |
Engineering & Construction | 1,091,424 | 1,091,424 | — | — |
Entertainment | 735,553 | 735,553 | — | — |
Environmental Control | 414,412 | 414,412 | — | — |
Food | 1,348,335 | 1,348,335 | — | — |
Food Service | 57,614 | 57,614 | — | — |
Forest Products & Paper | 106,740 | 106,740 | — | — |
Gas | 999,317 | 999,317 | — | — |
Hand & Machine Tools | 231,490 | 231,490 | — | — |
Healthcare Products | 2,929,118 | 2,929,118 | — | — |
Healthcare Services | 1,176,938 | 1,176,938 | — | — |
Holding Companies | 8,020 | 8,020 | — | — |
Home Builders | 926,127 | 926,127 | — | — |
Home Furnishings | 267,517 | 267,517 | — | — |
Household Products & Wares | 326,653 | 326,653 | — | — |
Housewares | 15,194 | 15,194 | — | — |
Insurance | 1,931,020 | 1,931,020 | — | — |
Internet | 1,413,424 | 1,413,424 | — | — |
ASSETS TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Investment Companies | $ 91,190 | $ 91,190 | $ — | $— |
Iron & Steel | 301,994 | 301,994 | — | — |
Leisure Time | 421,954 | 421,954 | — | — |
Lodging | 147,166 | 147,166 | — | — |
Machinery — Construction & Mining | 247,013 | 247,013 | — | — |
Machinery — Diversified | 1,380,088 | 1,380,088 | — | — |
Media | 467,946 | 467,946 | — | — |
Metal Fabricate/Hardware | 686,560 | 686,560 | — | — |
Mining | 628,605 | 628,605 | — | — |
Miscellaneous Manufacturing | 770,192 | 770,192 | — | — |
Office & Business Equipment | 76,665 | 76,665 | — | — |
Office Furnishings | 118,212 | 118,212 | — | — |
Oil & Gas | 2,499,379 | 2,499,379 | — | — |
Oil & Gas Services | 721,789 | 721,789 | — | — |
Packaging and Containers | 246,061 | 246,061 | — | — |
Pharmaceuticals | 2,198,680 | 2,197,473 | 1,207 | — |
Pipelines | 196,305 | 196,305 | — | — |
Private Equity | 1,506 | 1,506 | — | — |
Real Estate | 558,382 | 558,382 | — | — |
Real Estate Investment Trusts | 50,250 | 50,250 | — | — |
Retail | 3,062,769 | 3,062,769 | — | — |
Savings & Loans | 708,887 | 708,887 | — | — |
Semiconductors | 1,981,260 | 1,981,260 | — | — |
Software | 4,237,135 | 4,237,135 | — | — |
Telecommunications | 1,367,383 | 1,367,383 | — | — |
Textiles | 88,501 | 88,501 | — | — |
Toys, Games & Hobbies | 28,368 | 28,368 | — | — |
Transportation | 1,214,511 | 1,214,511 | — | — |
Trucking and Leasing | 150,674 | 150,674 | — | — |
Water | 340,878 | 340,878 | — | — |
Total Common Stocks | 68,803,913 | 68,802,706 | 1,207 | — |
Real Estate Investment Trusts | 5,954,961 | 5,954,961 | — | — |
Rights | 5,852 | — | 5,852 | — |
Warrants | 6,587 | 6,587 | — | — |
Short-Term Investments | 248,121 | 248,121 | — | — |
Total Investments | $ 75,019,434 | $ 75,012,375 | $ 7,059 | $ — |
LIABILITIES TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Other Financial Instruments(1) | ||||
Futures Contracts | $(49,214) | $(49,214) | $— | $— |
Total Liabilities—Other Financial Instruments | $ (49,214) | $ (49,214) | $ — | $ — |
(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 | 09/16/22 | 9 | 50 | $1,708 | $768,600 | $— | $(49,214) | ||||||||
$— | $(49,214) |
Number of Shares | Value† | |
COMMON STOCKS — 97.1% | ||
Australia — 7.5% | ||
Ampol Ltd. | 1,380 | $ 32,606 |
APA Group | 7,495 | 58,304 |
Aristocrat Leisure Ltd. | 3,964 | 94,069 |
ASX Ltd. | 1,293 | 72,926 |
Aurizon Holdings Ltd. | 11,109 | 29,138 |
Australia & New Zealand Banking Group Ltd. | 18,120 | 275,536 |
BHP Group Ltd. | 32,570 | 927,359 |
BlueScope Steel Ltd. | 3,125 | 34,297 |
Brambles Ltd. | 9,348 | 69,106 |
Cochlear Ltd. | 418 | 57,330 |
Coles Group Ltd. | 8,403 | 103,301 |
Commonwealth Bank of Australia | 10,989 | 685,546 |
Computershare Ltd. | 3,311 | 56,313 |
CSL Ltd. | 3,087 | 573,313 |
Dexus | 6,877 | 42,152 |
Domino's Pizza Enterprises Ltd. | 429 | 20,136 |
Endeavour Group Ltd. | 8,189 | 42,789 |
Evolution Mining Ltd. | 11,549 | 18,973 |
Fortescue Metals Group Ltd. | 11,040 | 133,585 |
Goodman Group | 10,813 | 133,152 |
IDP Education Ltd. | 1,331 | 21,884 |
Insurance Australia Group Ltd. | 15,259 | 45,922 |
Lendlease Corp. Ltd. | 4,333 | 27,247 |
Macquarie Group Ltd. | 2,326 | 264,124 |
Medibank Pvt. Ltd. | 17,418 | 39,074 |
Mineral Resources Ltd. | 1,081 | 36,017 |
Mirvac Group | 24,397 | 33,259 |
National Australia Bank Ltd. | 21,117 | 399,237 |
Newcrest Mining Ltd. | 5,845 | 84,281 |
Northern Star Resources Ltd. | 7,569 | 35,736 |
Orica Ltd. | 2,861 | 31,143 |
Origin Energy Ltd. | 11,862 | 46,916 |
Qantas Airways Ltd.* | 5,515 | 17,016 |
QBE Insurance Group Ltd. | 9,279 | 77,819 |
Ramsay Health Care Ltd. | 1,112 | 56,216 |
REA Group Ltd. | 317 | 24,469 |
Reece Ltd. | 2,060 | 19,594 |
Rio Tinto Ltd. | 2,412 | 170,983 |
Santos Ltd. | 21,105 | 108,092 |
Scentre Group | 34,304 | 61,327 |
SEEK Ltd. | 2,271 | 32,919 |
Sonic Healthcare Ltd. | 2,969 | 67,649 |
South32 Ltd. | 21,214 | 57,693 |
South32 Ltd. | 9,351 | 25,043 |
Stockland | 14,818 | 36,924 |
Suncorp Group Ltd. | 8,248 | 62,511 |
Telstra Corp. Ltd. | 27,472 | 73,006 |
The GPT Group | 11,476 | 33,428 |
The GPT Group-In Specie | 16,419 | 0 |
The Lottery Corp. Ltd.* | 15,195 | 47,407 |
Transurban Group | 19,841 | 196,938 |
Treasury Wine Estates Ltd. | 4,544 | 35,599 |
Vicinity Centres | 25,092 | 31,782 |
Number of Shares | Value† | |
Australia — (continued) | ||
Washington H. Soul Pattinson & Co., Ltd. | 1,381 | $ 22,439 |
Wesfarmers Ltd. | 7,261 | 210,049 |
Westpac Banking Corp. | 22,420 | 301,770 |
WiseTech Global Ltd. | 856 | 22,364 |
Woodside Energy Group Ltd | 12,341 | 271,225 |
Woolworths Group Ltd. | 7,711 | 189,482 |
6,778,515 | ||
Austria — 0.2% | ||
Erste Group Bank AG | 2,193 | 55,615 |
OMV AG | 924 | 43,341 |
Verbund AG | 423 | 41,381 |
voestalpine AG | 691 | 14,686 |
155,023 | ||
Belgium — 0.9% | ||
Ageas N.V. | 1,053 | 46,325 |
Anheuser-Busch InBev N.V. | 5,526 | 297,424 |
D'ieteren Group | 159 | 23,261 |
Elia Group S.A. | 235 | 33,320 |
Groupe Bruxelles Lambert S.A. | 714 | 59,619 |
KBC Group N.V. | 1,558 | 87,415 |
Proximus SADP | 1,133 | 16,700 |
Sofina S.A. | 94 | 19,209 |
Solvay S.A. | 458 | 37,111 |
UCB S.A. | 822 | 69,464 |
Umicore S.A. | 1,237 | 43,193 |
Warehouses De Pauw CVA | 949 | 29,835 |
762,876 | ||
Chile — 0.0% | ||
Antofagasta PLC | 2,581 | 36,288 |
Denmark — 2.7% | ||
A.P. Moller - Maersk A/S, Class A | 20 | 46,072 |
A.P. Moller - Maersk A/S, Class B | 36 | 83,970 |
Carlsberg A/S, Class B | 626 | 79,732 |
Chr Hansen Holding A/S | 695 | 50,586 |
Coloplast A/S, Class B | 752 | 85,652 |
Danske Bank A/S | 4,326 | 61,133 |
Demant A/S* | 713 | 26,752 |
DSV A/S | 1,229 | 171,635 |
Genmab A/S* | 422 | 136,573 |
GN Store Nord A/S | 818 | 28,663 |
Novo Nordisk A/S, Class B | 10,835 | 1,201,726 |
Novozymes A/S, Class B | 1,342 | 80,548 |
Orsted A/S | 1,193 | 124,703 |
Pandora A/S | 618 | 38,878 |
ROCKWOOL A/S, Class B | 55 | 12,379 |
Tryg A/S | 2,417 | 54,265 |
Vestas Wind Systems A/S | 6,525 | 137,808 |
2,421,075 | ||
Finland — 1.2% | ||
Elisa OYJ | 882 | 49,561 |
Fortum OYJ | 2,873 | 43,099 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Finland — (continued) | ||
Kesko OYJ, Class B | 1,700 | $ 40,102 |
Kone OYJ, Class B | 2,219 | 105,480 |
Neste OYJ | 2,763 | 122,305 |
Nokia OYJ | 34,728 | 161,568 |
Nordea Bank Abp | 21,526 | 189,383 |
Orion OYJ, Class B | 750 | 33,482 |
Sampo OYJ, Class A | 3,183 | 138,495 |
Stora Enso OYJ, Class R | 3,880 | 60,848 |
UPM-Kymmene OYJ | 3,323 | 101,023 |
Wartsila OYJ Abp | 3,006 | 23,405 |
1,068,751 | ||
France — 10.5% | ||
Accor S.A.* | 1,184 | 32,049 |
Aeroports de Paris* | 215 | 27,229 |
Air Liquide S.A. | 3,362 | 451,393 |
Airbus S.E. | 3,774 | 365,636 |
Alstom S.A. | 1,895 | 42,875 |
Amundi S.A. | 376 | 20,568 |
Arkema S.A. | 377 | 33,550 |
AXA S.A. | 12,391 | 281,258 |
BioMerieux | 262 | 25,589 |
BNP Paribas S.A. | 7,198 | 342,195 |
Bollore S.A. | 5,730 | 26,541 |
Bouygues S.A. | 1,412 | 43,444 |
Bureau Veritas S.A. | 1,821 | 46,658 |
Capgemini S.E. | 1,034 | 177,111 |
Carrefour S.A. | 3,954 | 69,965 |
Cie de Saint-Gobain | 3,268 | 140,224 |
Cie Generale des Etablissements Michelin SCA | 4,400 | 119,770 |
Covivio | 344 | 19,088 |
Credit Agricole S.A. | 8,155 | 74,615 |
Danone S.A. | 4,241 | 236,706 |
Dassault Aviation S.A. | 180 | 28,087 |
Dassault Systemes S.E. | 4,202 | 154,628 |
Edenred | 1,545 | 72,810 |
Eiffage S.A. | 567 | 51,029 |
Electricite de France S.A. | 3,734 | 30,545 |
Engie S.A. | 11,581 | 133,087 |
EssilorLuxottica S.A. | 1,850 | 277,134 |
Eurazeo S.E. | 255 | 15,793 |
Faurecia S.E.* | 126 | 2,490 |
Gecina S.A. | 294 | 27,421 |
Getlink S.E. | 2,692 | 47,479 |
Hermes International | 204 | 228,105 |
Ipsen S.A. | 217 | 20,478 |
Kering S.A. | 486 | 249,610 |
Klepierre S.A. | 1,415 | 27,225 |
La Francaise des Jeux SAEM | 613 | 21,212 |
Legrand S.A. | 1,731 | 127,815 |
L'Oreal S.A. | 1,543 | 532,474 |
LVMH Moet Hennessy Louis Vuitton S.E. | 1,786 | 1,088,732 |
Orange S.A. | 12,986 | 152,689 |
Number of Shares | Value† | |
France — (continued) | ||
Pernod Ricard S.A. | 1,337 | $ 245,615 |
Publicis Groupe S.A. | 1,467 | 71,732 |
Remy Cointreau S.A. | 160 | 27,951 |
Renault S.A.* | 1,171 | 29,194 |
Safran S.A. | 2,162 | 213,449 |
Sanofi | 7,327 | 739,730 |
Sartorius Stedim Biotech | 179 | 56,144 |
Schneider Electric S.E. | 3,463 | 409,720 |
SEB S.A. | 196 | 18,804 |
Societe Generale S.A. | 5,212 | 114,099 |
Sodexo S.A. | 562 | 39,495 |
Teleperformance | 373 | 114,647 |
Thales S.A. | 680 | 83,411 |
TotalEnergies S.E. | 15,876 | 838,019 |
Ubisoft Entertainment S.A.* | 622 | 27,312 |
Unibail-Rodamco-Westfield* | 660 | 33,649 |
Unibail-Rodamco-Westfield* | 2,500 | 6,488 |
Valeo | 1,447 | 27,939 |
Veolia Environnement S.A. | 4,095 | 99,946 |
Vinci S.A. | 3,483 | 310,105 |
Vivendi S.E. | 5,179 | 52,624 |
Wendel S.E. | 185 | 15,461 |
Worldline S.A.* | 1,504 | 55,763 |
9,496,604 | ||
Germany — 7.1% | ||
adidas AG | 1,107 | 195,775 |
Allianz S.E. | 2,633 | 502,515 |
BASF S.E. | 5,875 | 255,657 |
Bayer AG | 6,345 | 377,145 |
Bayerische Motoren Werke AG | 2,090 | 160,893 |
Bechtle AG | 564 | 23,057 |
Beiersdorf AG | 673 | 68,750 |
Brenntag S.E. | 1,011 | 65,794 |
Carl Zeiss Meditec AG | 250 | 29,840 |
Commerzbank AG* | 6,114 | 42,838 |
Continental AG | 734 | 51,151 |
Covestro AG | 1,214 | 41,958 |
Daimler Truck Holding AG* | 2,888 | 75,390 |
Delivery Hero S.E.* | 1,001 | 37,523 |
Deutsche Bank AG | 13,202 | 115,080 |
Deutsche Boerse AG | 1,210 | 202,376 |
Deutsche Lufthansa AG* | 3,546 | 20,676 |
Deutsche Post AG | 6,360 | 238,206 |
Deutsche Telekom AG | 20,621 | 409,419 |
E.ON S.E. | 14,086 | 118,209 |
Evonik Industries AG | 1,328 | 28,335 |
Fresenius Medical Care AG & Co., KGaA | 1,307 | 65,237 |
Fresenius S.E. & Co., KGaA | 2,745 | 83,137 |
GEA Group AG | 932 | 32,123 |
Hannover Rueck S.E. | 392 | 56,895 |
HeidelbergCement AG | 971 | 46,645 |
HelloFresh S.E.* | 1,016 | 32,847 |
Henkel AG & Co., KGaA | 685 | 41,922 |
Infineon Technologies AG | 8,345 | 201,925 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Germany — (continued) | ||
KION Group AG | 441 | $ 18,296 |
Knorr-Bremse AG | 447 | 25,492 |
LEG Immobilien S.E. | 489 | 40,545 |
Mercedes-Benz Group AG | 5,138 | 297,325 |
Merck KGaA | 821 | 138,519 |
MTU Aero Engines AG | 338 | 61,526 |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 900 | 211,455 |
Nemetschek S.E. | 350 | 21,185 |
Puma S.E. | 708 | 46,624 |
Rational AG | 35 | 20,338 |
Rheinmetall AG | 278 | 64,180 |
RWE AG | 4,070 | 149,622 |
SAP S.E. | 6,728 | 612,909 |
Scout24 S.E. | 551 | 28,288 |
Siemens AG | 4,930 | 501,605 |
Siemens Energy AG | 2,663 | 39,028 |
Siemens Healthineers AG | 1,852 | 94,110 |
Symrise AG | 874 | 95,117 |
Telefonica Deutschland Holding AG | 5,808 | 16,677 |
Uniper S.E. | 601 | 8,925 |
United Internet AG | 668 | 19,062 |
Volkswagen AG | 205 | 37,359 |
Vonovia S.E. | 4,476 | 137,904 |
Zalando S.E.* | 1,430 | 37,404 |
6,344,813 | ||
Hong Kong — 3.2% | ||
AIA Group Ltd. | 78,000 | 845,427 |
BOC Hong Kong Holdings Ltd. | 24,000 | 94,816 |
Budweiser Brewing Co., APAC, Ltd. | 11,100 | 33,243 |
Chow Tai Fook Jewellery Group Ltd. | 14,600 | 27,463 |
CK Asset Holdings Ltd. | 13,034 | 92,189 |
CK Hutchison Holdings Ltd. | 17,128 | 115,798 |
CK Infrastructure Holdings Ltd. | 4,000 | 24,520 |
CLP Holdings Ltd. | 11,000 | 91,260 |
ESR Group Ltd.* | 11,600 | 31,340 |
Futu Holdings Ltd., ADR* | 300 | 15,663 |
Galaxy Entertainment Group Ltd. | 14,000 | 83,499 |
Hang Lung Properties Ltd. | 14,000 | 26,548 |
Hang Seng Bank Ltd. | 5,000 | 88,253 |
Henderson Land Development Co., Ltd. | 8,891 | 33,312 |
HK Electric Investments & HK Electric Investments Ltd. | 20,777 | 19,064 |
HKT Trust & HKT Ltd. | 25,240 | 33,903 |
Hong Kong & China Gas Co., Ltd. | 71,112 | 76,578 |
Hong Kong Exchanges & Clearing Ltd. | 7,684 | 377,992 |
Hongkong Land Holdings Ltd. | 7,400 | 37,148 |
Jardine Matheson Holdings Ltd. | 1,400 | 73,584 |
Link REIT | 13,702 | 111,756 |
MTR Corp. Ltd. | 9,671 | 50,532 |
New World Development Co., Ltd. | 10,458 | 37,518 |
Power Assets Holdings Ltd. | 8,500 | 53,458 |
Sino Land Co., Ltd. | 24,372 | 35,967 |
SITC International Holdings Co., Ltd. | 9,000 | 25,463 |
Number of Shares | Value† | |
Hong Kong — (continued) | ||
Sun Hung Kai Properties Ltd. | 9,161 | $ 108,226 |
Swire Pacific Ltd., Class A | 3,500 | 20,852 |
Swire Properties Ltd. | 7,136 | 17,715 |
Techtronic Industries Co., Ltd. | 9,000 | 93,879 |
WH Group Ltd. | 57,872 | 44,694 |
Wharf Real Estate Investment Co., Ltd. | 11,000 | 52,429 |
Xinyi Glass Holdings Ltd. | 12,000 | 28,781 |
2,902,870 | ||
Ireland — 0.9% | ||
AerCap Holdings N.V.* | 900 | 36,846 |
CRH PLC | 4,923 | 170,249 |
DCC PLC | 613 | 38,042 |
Experian PLC | 5,862 | 171,688 |
Flutter Entertainment PLC* | 1,078 | 108,992 |
James Hardie Industries PLC | 2,913 | 63,880 |
Kerry Group PLC, Class A | 1,018 | 97,443 |
Kingspan Group PLC | 981 | 59,009 |
Smurfit Kappa Group PLC | 1,508 | 50,696 |
796,845 | ||
Israel — 0.7% | ||
Azrieli Group Ltd. | 283 | 19,801 |
Bank Hapoalim BM | 7,162 | 59,790 |
Bank Leumi Le-Israel BM | 9,130 | 81,160 |
Check Point Software Technologies Ltd.* | 712 | 86,707 |
CyberArk Software Ltd.* | 300 | 38,388 |
Elbit Systems Ltd. | 186 | 42,451 |
ICL Group Ltd. | 4,391 | 39,838 |
Israel Discount Bank Ltd., Class A | 7,042 | 36,612 |
Kornit Digital Ltd.* | 300 | 9,510 |
Mizrahi Tefahot Bank Ltd. | 962 | 31,810 |
Nice Ltd.* | 415 | 79,663 |
Teva Pharmaceutical Industries Ltd.* | 6,350 | 48,539 |
Teva Pharmaceutical Industries Ltd., ADR* | 500 | 3,760 |
Tower Semiconductor Ltd* | 696 | 32,419 |
Wix.com Ltd.* | 359 | 23,532 |
ZIM Integrated Shipping Services Ltd | 500 | 23,615 |
657,595 | ||
Italy — 1.9% | ||
Amplifon SpA | 856 | 26,239 |
Assicurazioni Generali SpA | 6,950 | 110,887 |
Atlantia SpA | 3,017 | 70,758 |
Davide Campari-Milano N.V. | 3,207 | 33,725 |
DiaSorin SpA | 180 | 23,617 |
Enel SpA | 52,606 | 287,771 |
Eni SpA | 16,285 | 193,322 |
Ferrari N.V. | 796 | 146,146 |
FinecoBank Banca Fineco SpA | 3,910 | 46,793 |
Infrastrutture Wireless Italiane SpA | 2,387 | 24,224 |
Intesa Sanpaolo SpA | 105,143 | 196,129 |
Mediobanca Banca di Credito Finanziario SpA | 3,828 | 33,127 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Italy — (continued) | ||
Moncler SpA | 1,251 | $ 53,659 |
Nexi SpA* | 3,587 | 29,711 |
Poste Italiane SpA | 3,626 | 33,864 |
Prysmian SpA | 1,675 | 46,007 |
Recordati Industria Chimica e Farmaceutica SpA | 726 | 31,581 |
Snam SpA | 13,027 | 68,245 |
Telecom Italia SpA* | 60,149 | 15,739 |
Terna - Rete Elettrica Nazionale | 8,790 | 68,976 |
UniCredit SpA | 13,413 | 127,419 |
1,667,939 | ||
Japan — 21.7% | ||
Advantest Corp. | 1,300 | 69,561 |
Aeon Co., Ltd. | 4,300 | 74,603 |
AGC, Inc. | 1,200 | 42,187 |
Aisin Corp. | 1,000 | 30,955 |
Ajinomoto Co., Inc. | 3,000 | 72,966 |
ANA Holdings, Inc.* | 1,100 | 20,264 |
Asahi Group Holdings Ltd. | 2,900 | 95,007 |
Asahi Intecc Co., Ltd. | 1,400 | 21,132 |
Asahi Kasei Corp. | 8,100 | 61,848 |
Astellas Pharma, Inc. | 11,800 | 183,940 |
Azbil Corp. | 800 | 21,020 |
Bandai Namco Holdings, Inc. | 1,300 | 91,780 |
Bridgestone Corp. | 3,600 | 131,338 |
Brother Industries Ltd. | 1,500 | 26,367 |
Canon, Inc. | 6,400 | 145,519 |
Capcom Co., Ltd. | 1,200 | 29,142 |
Central Japan Railway Co. | 900 | 103,844 |
Chubu Electric Power Co., Inc. | 4,100 | 41,278 |
Chugai Pharmaceutical Co., Ltd. | 4,300 | 109,972 |
Concordia Financial Group Ltd. | 7,200 | 24,941 |
CyberAgent, Inc. | 2,400 | 23,897 |
Dai Nippon Printing Co., Ltd. | 1,400 | 30,192 |
Daifuku Co., Ltd. | 600 | 34,316 |
Dai-ichi Life Holdings, Inc. | 6,500 | 120,246 |
Daiichi Sankyo Co., Ltd. | 11,400 | 288,781 |
Daikin Industries Ltd. | 1,600 | 256,486 |
Daito Trust Construction Co., Ltd. | 400 | 34,522 |
Daiwa House Industry Co., Ltd. | 4,000 | 93,219 |
Daiwa House REIT Investment Corp. | 13 | 29,463 |
Daiwa Securities Group, Inc. | 9,300 | 41,537 |
Denso Corp. | 2,800 | 148,750 |
Dentsu Group, Inc. | 1,300 | 39,044 |
Disco Corp. | 200 | 47,465 |
East Japan Railway Co. | 1,900 | 97,157 |
Eisai Co., Ltd. | 1,700 | 71,731 |
ENEOS Holdings, Inc. | 20,490 | 77,577 |
FANUC Corp. | 1,200 | 187,854 |
Fast Retailing Co., Ltd. | 400 | 209,552 |
Fuji Electric Co., Ltd. | 800 | 33,137 |
FUJIFILM Holdings Corp. | 2,300 | 123,374 |
Fujitsu Ltd. | 1,300 | 162,548 |
GLP J-Reit | 26 | 31,753 |
Number of Shares | Value† | |
Japan — (continued) | ||
GMO Payment Gateway, Inc. | 300 | $ 21,116 |
Hakuhodo DY Holdings, Inc. | 1,500 | 13,764 |
Hamamatsu Photonics K.K. | 900 | 34,957 |
Hankyu Hanshin Holdings, Inc. | 1,400 | 38,178 |
Hikari Tsushin, Inc. | 100 | 10,252 |
Hirose Electric Co., Ltd. | 220 | 29,203 |
Hitachi Construction Machinery Co., Ltd. | 700 | 15,503 |
Hitachi Ltd. | 6,200 | 294,189 |
Hitachi Metals Ltd.* | 1,400 | 21,184 |
Honda Motor Co., Ltd. | 10,400 | 252,412 |
Hoshizaki Corp. | 600 | 17,888 |
Hoya Corp. | 2,400 | 204,923 |
Hulic Co., Ltd. | 2,800 | 21,669 |
Ibiden Co., Ltd. | 700 | 19,734 |
Idemitsu Kosan Co., Ltd. | 1,356 | 32,681 |
Iida Group Holdings Co., Ltd. | 1,000 | 15,397 |
Inpex Corp. | 6,400 | 69,340 |
Isuzu Motors Ltd. | 3,900 | 43,145 |
Ito En Ltd. | 400 | 17,925 |
ITOCHU Corp. | 7,700 | 208,107 |
Itochu Techno-Solutions Corp. | 700 | 17,154 |
Japan Airlines Co., Ltd.* | 800 | 14,004 |
Japan Exchange Group, Inc. | 3,300 | 47,622 |
Japan Metropolitan Fund Invest | 48 | 37,394 |
Japan Post Bank Co., Ltd. | 3,000 | 23,327 |
Japan Post Holdings Co., Ltd. | 15,700 | 112,138 |
Japan Post Insurance Co., Ltd. | 1,100 | 17,601 |
Japan Real Estate Investment Corp. | 8 | 36,792 |
Japan Tobacco, Inc. | 7,800 | 134,867 |
JFE Holdings, Inc. | 3,000 | 31,618 |
JSR Corp. | 1,200 | 31,132 |
Kajima Corp. | 2,800 | 32,131 |
Kakaku.com, Inc. | 900 | 14,845 |
Kao Corp. | 3,100 | 125,024 |
KDDI Corp. | 10,300 | 325,595 |
Keio Corp. | 700 | 25,048 |
Keisei Electric Railway Co., Ltd. | 800 | 22,052 |
Keyence Corp. | 1,255 | 429,001 |
Kikkoman Corp. | 900 | 47,759 |
Kintetsu Group Holdings Co., Ltd. | 1,100 | 34,253 |
Kirin Holdings Co., Ltd. | 5,200 | 81,921 |
Kobayashi Pharmaceutical Co., Ltd. | 300 | 18,485 |
Kobe Bussan Co., Ltd. | 800 | 19,605 |
Koei Tecmo Holdings Co., Ltd. | 390 | 12,590 |
Koito Manufacturing Co., Ltd. | 700 | 22,210 |
Komatsu Ltd. | 6,000 | 133,019 |
Konami Group Corp. | 600 | 33,210 |
Kose Corp. | 200 | 18,190 |
Kubota Corp. | 6,500 | 97,107 |
Kurita Water Industries Ltd. | 600 | 21,713 |
Kyocera Corp. | 2,100 | 112,305 |
Kyowa Kirin Co., Ltd. | 1,700 | 38,215 |
Lasertec Corp. | 500 | 59,515 |
Lixil Corp. | 2,000 | 37,441 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Japan — (continued) | ||
M3, Inc. | 2,800 | $ 80,442 |
Makita Corp. | 1,400 | 34,897 |
Marubeni Corp. | 10,300 | 92,919 |
Mazda Motor Corp. | 3,400 | 27,815 |
McDonald's Holdings Co., Japan Ltd. | 600 | 21,846 |
MEIJI Holdings Co., Ltd. | 800 | 39,269 |
MINEBEA MITSUMI, Inc. | 2,300 | 39,158 |
MISUMI Group, Inc. | 1,900 | 40,050 |
Mitsubishi Chemical Group Corp. | 8,200 | 44,542 |
Mitsubishi Corp. | 8,200 | 243,981 |
Mitsubishi Electric Corp. | 12,600 | 134,748 |
Mitsubishi Estate Co., Ltd. | 7,500 | 108,841 |
Mitsubishi HC Capital, Inc. | 4,700 | 21,685 |
Mitsubishi Heavy Industries Ltd. | 2,100 | 73,441 |
Mitsubishi UFJ Financial Group, Inc. | 77,200 | 415,018 |
Mitsui & Co., Ltd. | 8,900 | 196,426 |
Mitsui Chemicals, Inc. | 1,100 | 23,430 |
Mitsui Fudosan Co., Ltd. | 6,000 | 129,017 |
Mitsui OSK Lines Ltd. | 2,100 | 48,058 |
Mizuho Financial Group, Inc. | 15,508 | 176,362 |
MonotaRO Co., Ltd. | 1,600 | 23,774 |
MS&AD Insurance Group Holdings, Inc. | 2,890 | 88,566 |
Murata Manufacturing Co., Ltd. | 3,700 | 201,689 |
NEC Corp. | 1,500 | 58,262 |
Nexon Co., Ltd. | 3,200 | 65,519 |
NGK Insulators Ltd. | 1,500 | 20,209 |
Nidec Corp. | 2,900 | 179,113 |
Nihon M&A Center Holdings, Inc. | 2,000 | 21,271 |
Nintendo Co., Ltd. | 697 | 301,444 |
Nippon Building Fund, Inc. | 10 | 49,823 |
NIPPON EXPRESS HOLDINGS, INC. | 500 | 27,159 |
Nippon Paint Holdings Co., Ltd. | 5,600 | 41,728 |
Nippon Prologis REIT, Inc. | 13 | 32,002 |
Nippon Sanso Holdings Corp. | 1,000 | 15,942 |
Nippon Shinyaku Co., Ltd. | 300 | 18,241 |
Nippon Steel Corp. | 5,317 | 74,418 |
Nippon Telegraph & Telephone Corp. | 7,600 | 218,231 |
Nippon Yusen K.K. | 1,000 | 68,323 |
Nissan Chemical Corp. | 800 | 36,851 |
Nissan Motor Co., Ltd. | 14,400 | 56,059 |
Nisshin Seifun Group, Inc. | 1,315 | 15,391 |
Nissin Foods Holdings Co., Ltd. | 400 | 27,624 |
Nitori Holdings Co., Ltd. | 500 | 47,520 |
Nitto Denko Corp. | 900 | 58,240 |
Nomura Holdings, Inc. | 19,300 | 70,540 |
Nomura Real Estate Holdings, Inc. | 900 | 22,056 |
Nomura Real Estate Master Fund, Inc. | 28 | 34,959 |
Nomura Research Institute Ltd. | 2,130 | 56,672 |
NTT Data Corp. | 4,000 | 55,307 |
Obayashi Corp. | 4,200 | 30,491 |
Obic Co., Ltd. | 454 | 64,212 |
Odakyu Electric Railway Co., Ltd. | 1,800 | 24,211 |
Oji Holdings Corp. | 4,700 | 20,369 |
Olympus Corp. | 7,900 | 158,751 |
Omron Corp. | 1,200 | 60,946 |
Number of Shares | Value† | |
Japan — (continued) | ||
Ono Pharmaceutical Co., Ltd. | 2,500 | $ 64,158 |
Open House Group Co., Ltd. | 500 | 19,900 |
Oracle Corp. Japan | 200 | 11,586 |
Oriental Land Co., Ltd. | 1,300 | 181,279 |
ORIX Corp. | 7,700 | 129,166 |
Osaka Gas Co., Ltd. | 2,400 | 45,920 |
Otsuka Corp. | 800 | 23,732 |
Otsuka Holdings Co., Ltd. | 2,500 | 88,775 |
Pan Pacific International Holdings Corp. | 2,700 | 43,083 |
Panasonic Corp. | 14,400 | 116,374 |
Persol Holdings Co., Ltd. | 1,000 | 18,175 |
Rakuten Group, Inc. | 5,500 | 24,808 |
Recruit Holdings Co., Ltd. | 9,200 | 270,887 |
Renesas Electronics Corp.* | 8,100 | 73,609 |
Resona Holdings, Inc. | 14,500 | 54,300 |
Ricoh Co., Ltd. | 4,200 | 32,843 |
Rohm Co., Ltd. | 600 | 41,834 |
SBI Holdings, Inc. | 1,710 | 33,461 |
SCSK Corp. | 1,200 | 20,307 |
Secom Co., Ltd. | 1,300 | 80,321 |
Seiko Epson Corp. | 1,700 | 24,057 |
Sekisui Chemical Co., Ltd. | 2,600 | 35,585 |
Sekisui House Ltd. | 3,900 | 68,310 |
Seven & i Holdings Co., Ltd. | 4,800 | 186,333 |
SG Holdings Co., Ltd. | 2,200 | 37,115 |
Sharp Corp. | 1,200 | 9,278 |
Shimadzu Corp. | 1,600 | 50,590 |
Shimano, Inc. | 500 | 84,463 |
Shimizu Corp. | 4,000 | 22,111 |
Shin-Etsu Chemical Co., Ltd. | 2,400 | 270,637 |
Shionogi & Co., Ltd. | 1,700 | 85,890 |
Shiseido Co., Ltd. | 2,600 | 104,360 |
SMC Corp. | 368 | 164,011 |
SoftBank Corp. | 18,200 | 202,081 |
SoftBank Group Corp. | 7,700 | 297,092 |
Sompo Holdings, Inc. | 2,025 | 89,295 |
Sony Group Corp. | 8,100 | 662,364 |
Square Enix Holdings Co., Ltd. | 600 | 26,577 |
Subaru Corp. | 4,000 | 71,094 |
SUMCO Corp. | 2,300 | 29,818 |
Sumitomo Chemical Co., Ltd. | 9,200 | 36,005 |
Sumitomo Corp. | 7,200 | 98,544 |
Sumitomo Electric Industries Ltd. | 4,900 | 54,135 |
Sumitomo Metal Mining Co., Ltd. | 1,600 | 50,118 |
Sumitomo Mitsui Financial Group, Inc. | 8,300 | 246,651 |
Sumitomo Mitsui Trust Holdings, Inc. | 2,143 | 66,021 |
Sumitomo Realty & Development Co., Ltd. | 2,000 | 52,815 |
Suntory Beverage & Food Ltd. | 800 | 30,248 |
Suzuki Motor Corp. | 2,300 | 72,282 |
Sysmex Corp. | 1,100 | 66,204 |
T&D Holdings, Inc. | 3,200 | 38,302 |
Taisei Corp. | 1,200 | 37,367 |
Takeda Pharmaceutical Co., Ltd. | 9,595 | 270,001 |
TDK Corp. | 2,400 | 74,116 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Japan — (continued) | ||
Terumo Corp. | 4,100 | $ 123,532 |
The Chiba Bank Ltd. | 3,700 | 20,207 |
The Kansai Electric Power Co., Inc. | 4,200 | 41,604 |
The Shizuoka Bank Ltd. | 3,200 | 19,222 |
TIS, Inc. | 1,400 | 36,682 |
Tobu Railway Co., Ltd. | 1,100 | 25,092 |
Toho Co., Ltd. | 700 | 25,306 |
Tokio Marine Holdings, Inc. | 4,000 | 232,989 |
Tokyo Electric Power Co. Holdings, Inc.* | 10,800 | 45,133 |
Tokyo Electron Ltd. | 1,000 | 326,504 |
Tokyo Gas Co., Ltd. | 2,700 | 55,859 |
Tokyu Corp. | 3,600 | 42,400 |
TOPPAN Inc. | 1,500 | 25,063 |
Toray Industries, Inc. | 8,800 | 49,370 |
Toshiba Corp. | 2,600 | 105,682 |
Tosoh Corp. | 1,800 | 22,354 |
TOTO Ltd. | 900 | 29,717 |
Toyota Industries Corp. | 900 | 55,719 |
Toyota Motor Corp. | 68,240 | 1,056,191 |
Toyota Tsusho Corp. | 1,400 | 45,710 |
Trend Micro, Inc. | 900 | 43,912 |
Unicharm Corp. | 2,500 | 83,653 |
USS Co., Ltd. | 1,500 | 25,969 |
Welcia Holdings Co., Ltd. | 600 | 12,028 |
West Japan Railway Co. | 1,400 | 51,499 |
Yakult Honsha Co., Ltd. | 800 | 46,167 |
Yamaha Corp. | 900 | 37,146 |
Yamaha Motor Co., Ltd. | 2,000 | 36,645 |
Yamato Holdings Co., Ltd. | 2,000 | 31,987 |
Yaskawa Electric Corp. | 1,600 | 51,533 |
Yokogawa Electric Corp. | 1,600 | 26,427 |
Z Holdings Corp. | 16,800 | 49,083 |
ZOZO, Inc. | 900 | 16,218 |
19,549,564 | ||
Jordan — 0.0% | ||
Hikma Pharmaceuticals PLC | 1,083 | 21,324 |
Luxembourg — 0.2% | ||
ArcelorMittal S.A. | 4,181 | 94,245 |
Aroundtown S.A. | 6,382 | 20,285 |
Eurofins Scientific S.E. | 870 | 68,452 |
Tenaris S.A. | 2,782 | 35,772 |
218,754 | ||
Macao — 0.0% | ||
Sands China Ltd.* | 16,000 | 38,171 |
Netherlands — 4.4% | ||
ABN AMRO Bank N.V. | 2,635 | 29,588 |
Adyen N.V.* | 138 | 200,729 |
Aegon N.V. | 11,939 | 51,647 |
Akzo Nobel N.V. | 1,217 | 79,863 |
Argenx S.E.* | 290 | 108,646 |
ASM International N.V. | 297 | 74,262 |
Number of Shares | Value† | |
Netherlands — (continued) | ||
ASML Holding N.V. | 2,603 | $ 1,243,474 |
Euronext N.V. | 547 | 44,654 |
EXOR N.V. | 691 | 43,071 |
Heineken Holding N.V. | 727 | 52,911 |
Heineken N.V. | 1,671 | 152,348 |
IMCD N.V. | 363 | 49,814 |
ING Groep N.V. | 25,312 | 250,164 |
JDE Peet's N.V. | 515 | 14,658 |
Just Eat Takeaway.com N.V.* | 1,183 | 18,678 |
Koninklijke Ahold Delhaize N.V. | 6,743 | 175,669 |
Koninklijke DSM N.V. | 1,117 | 160,484 |
Koninklijke KPN N.V. | 21,105 | 75,220 |
Koninklijke Philips N.V. | 6,121 | 131,850 |
NN Group N.V. | 1,738 | 78,937 |
OCI NV | 672 | 22,169 |
Prosus N.V. | 5,312 | 347,808 |
QIAGEN N.V.* | 1,512 | 70,827 |
Randstad N.V. | 725 | 35,101 |
Stellantis N.V. | 5,622 | 69,415 |
Stellantis N.V. | 8,372 | 103,456 |
Universal Music Group N.V. | 4,675 | 93,741 |
Wolters Kluwer N.V. | 1,710 | 165,867 |
3,945,051 | ||
New Zealand — 0.2% | ||
Auckland International Airport Ltd.* | 8,513 | 38,175 |
Fisher & Paykel Healthcare Corp. Ltd. | 3,664 | 45,721 |
Mercury NZ Ltd. | 5,229 | 18,452 |
Meridian Energy Ltd. | 9,073 | 26,519 |
Spark New Zealand Ltd. | 12,240 | 36,693 |
Xero Ltd.* | 835 | 44,357 |
209,917 | ||
Norway — 0.8% | ||
Adevinta ASA* | 1,674 | 12,092 |
Aker BP ASA | 804 | 27,925 |
Aker BP ASA | 1,229 | 40,579 |
DNB Bank ASA | 6,003 | 107,600 |
Equinor ASA | 6,312 | 219,517 |
Gjensidige Forsikring ASA | 1,242 | 25,156 |
Kongsberg Gruppen ASA | 571 | 20,464 |
Mowi ASA | 2,898 | 65,935 |
Norsk Hydro ASA | 8,484 | 47,512 |
Orkla ASA | 4,885 | 39,041 |
Salmar ASA | 376 | 26,435 |
Telenor ASA | 4,471 | 59,464 |
Yara International ASA | 1,012 | 42,290 |
734,010 | ||
Portugal — 0.2% | ||
Banco Espirito Santo S.A.(1),* | 27,017 | 0 |
EDP - Energias de Portugal S.A. | 17,315 | 80,783 |
Galp Energia SGPS S.A. | 3,064 | 35,914 |
Jeronimo Martins SGPS S.A. | 1,733 | 37,666 |
154,363 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Singapore — 1.4% | ||
Ascendas Real Estate Investment Trust | 20,490 | $ 42,033 |
CapitaLand Integrated Commercial Trust | 29,400 | 45,921 |
Capitaland Investment Ltd. | 16,607 | 45,662 |
CDL Hospitality Trusts | 477 | 436 |
City Developments Ltd. | 3,000 | 17,599 |
DBS Group Holdings Ltd. | 11,748 | 250,976 |
Genting Singapore Ltd. | 36,200 | 18,760 |
Grab Holdings Ltd., Class A* | 6,900 | 17,457 |
Keppel Corp. Ltd. | 8,700 | 40,641 |
Mapletree Commercial Trust | 15,200 | 20,022 |
Mapletree Logistics Trust | 20,077 | 24,278 |
Oversea-Chinese Banking Corp. Ltd. | 21,691 | 177,831 |
Sea Ltd., ADR* | 2,300 | 153,778 |
Singapore Airlines Ltd.* | 7,900 | 29,000 |
Singapore Exchange Ltd. | 5,000 | 34,046 |
Singapore Technologies Engineering Ltd. | 9,500 | 27,899 |
Singapore Telecommunications Ltd. | 52,200 | 95,059 |
United Overseas Bank Ltd. | 7,437 | 140,518 |
UOL Group Ltd. | 3,107 | 16,460 |
Venture Corp. Ltd. | 1,700 | 20,349 |
Wilmar International Ltd. | 11,600 | 33,732 |
1,252,457 | ||
Spain — 2.5% | ||
Acciona S.A. | 158 | 29,059 |
ACS Actividades de Construccion y Servicios S.A. | 1,587 | 38,467 |
Aena SME S.A.* | 469 | 59,593 |
Amadeus IT Group S.A.* | 2,864 | 159,551 |
Banco Bilbao Vizcaya Argentaria S.A. | 42,639 | 193,502 |
Banco Santander S.A. | 110,885 | 312,351 |
CaixaBank S.A. | 27,810 | 96,669 |
Cellnex Telecom S.A. | 3,268 | 126,817 |
EDP Renovaveis S.A. | 2,000 | 47,200 |
Enagas S.A. | 1,501 | 33,142 |
Endesa S.A. | 2,006 | 37,839 |
Ferrovial S.A. | 3,096 | 78,483 |
Grifols S.A. | 1,885 | 35,626 |
Iberdrola S.A. | 37,635 | 390,294 |
Industria de Diseno Textil S.A. | 6,954 | 157,336 |
Naturgy Energy Group S.A. | 1,138 | 32,760 |
Red Electrica Corp. S.A. | 2,674 | 50,510 |
Repsol S.A. | 9,155 | 134,795 |
Siemens Gamesa Renewable Energy S.A.* | 1,562 | 29,317 |
Telefonica S.A. | 35,472 | 180,735 |
2,224,046 | ||
Sweden — 3.1% | ||
Alfa Laval AB | 2,000 | 48,212 |
Assa Abloy AB, Class B | 6,425 | 136,480 |
Atlas Copco AB, Class A | 17,511 | 163,594 |
Atlas Copco AB, Class B | 10,303 | 86,153 |
Boliden AB | 1,749 | 55,626 |
Number of Shares | Value† | |
Sweden — (continued) | ||
Electrolux AB, Class B | 1,401 | $ 18,853 |
Embracer Group AB* | 4,389 | 33,461 |
Epiroc AB, Class A | 4,193 | 64,741 |
Epiroc AB, Class B | 2,471 | 33,382 |
EQT AB | 1,887 | 38,626 |
Essity AB, Class B | 3,911 | 102,117 |
Evolution AB | 1,201 | 109,196 |
Fastighets AB Balder, Class B* | 4,176 | 20,007 |
Getinge AB, Class B | 1,459 | 33,716 |
H & M Hennes & Mauritz AB, Class B | 4,799 | 57,308 |
Hexagon AB, Class B | 12,559 | 130,443 |
Holmen AB, Class B | 599 | 24,294 |
Husqvarna AB, Class B | 2,834 | 20,844 |
Industrivarden AB, Class A | 877 | 19,735 |
Industrivarden AB, Class C | 986 | 21,928 |
Indutrade AB | 1,743 | 31,785 |
Investment AB Latour, Class B | 1,056 | 20,883 |
Investor AB, Class A | 3,181 | 57,107 |
Investor AB, Class B | 11,854 | 194,883 |
Kinnevik AB, Class B* | 1,611 | 25,953 |
L E Lundbergforetagen AB, Class B | 471 | 19,149 |
Lifco AB, Class B | 1,487 | 23,875 |
Lundin Energy AB | 1,292 | 883 |
Nibe Industrier AB, Class B | 10,062 | 75,541 |
Sagax AB, Class B | 1,334 | 24,607 |
Sandvik AB | 7,183 | 116,455 |
Securitas AB, Class B | 2,230 | 19,209 |
Sinch AB* | 3,150 | 10,252 |
Skandinaviska Enskilda Banken AB, Class A | 10,425 | 102,316 |
Skanska AB, Class B | 2,121 | 32,510 |
SKF AB, Class B | 2,369 | 34,853 |
Svenska Cellulosa AB SCA, Class B | 3,887 | 58,059 |
Svenska Handelsbanken AB, Class A | 9,287 | 79,364 |
Swedbank AB, Class A | 5,977 | 75,547 |
Swedish Match AB | 9,802 | 99,843 |
Swedish Orphan Biovitrum AB* | 1,078 | 23,310 |
Tele2 AB, Class B | 3,852 | 43,868 |
Telefonaktiebolaget LM Ericsson, Class B | 18,737 | 139,698 |
Telia Co., AB | 17,132 | 65,616 |
Volvo AB, Class A | 1,410 | 22,687 |
Volvo AB, Class B | 9,845 | 152,423 |
Volvo Car AB, Class B* | 3,803 | 25,265 |
2,794,657 | ||
Switzerland — 10.8% | ||
ABB Ltd. | 10,625 | 283,363 |
Adecco Group AG | 1,018 | 34,593 |
Alcon, Inc. | 3,189 | 222,744 |
Bachem Holding AG, Class B | 200 | 13,900 |
Baloise Holding AG | 301 | 49,155 |
Barry Callebaut AG | 22 | 49,086 |
Chocoladefabriken Lindt & Spruengli AG | 1 | 104,855 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
Switzerland — (continued) | ||
Chocoladefabriken Lindt & Spruengli AG, Participation Certificates | 7 | $ 71,199 |
Cie Financiere Richemont S.A., Class A | 3,372 | 359,047 |
Clariant AG | 1,199 | 22,833 |
Coca-Cola HBC AG | 1,222 | 27,103 |
Credit Suisse Group AG | 17,345 | 98,476 |
EMS-Chemie Holding AG | 43 | 32,003 |
Geberit AG | 226 | 108,614 |
Givaudan S.A. | 60 | 210,988 |
Glencore PLC | 64,066 | 347,123 |
Holcim AG | 3,354 | 143,519 |
Julius Baer Group Ltd. | 1,376 | 63,478 |
Kuehne + Nagel International AG | 354 | 83,804 |
Logitech International S.A. | 1,098 | 57,358 |
Lonza Group AG | 477 | 254,327 |
Nestle S.A. | 18,094 | 2,112,183 |
Novartis AG | 14,097 | 1,193,885 |
Partners Group Holding AG | 147 | 132,456 |
Roche Holding AG | 4,517 | 1,507,244 |
Roche Holding AG | 171 | 65,989 |
Schindler Holding AG | 125 | 22,469 |
Schindler Holding AG, Participation Certificates | 269 | 49,058 |
SGS S.A. | 38 | 86,974 |
Sika AG | 919 | 211,784 |
Sonova Holding AG | 351 | 111,773 |
STMicroelectronics N.V. | 4,365 | 137,229 |
Straumann Holding AG | 650 | 78,063 |
Swiss Life Holding AG | 200 | 97,418 |
Swiss Prime Site AG | 484 | 42,461 |
Swiss Re AG | 1,930 | 149,564 |
Swisscom AG | 163 | 90,050 |
Temenos AG | 430 | 36,764 |
The Swatch Group AG | 185 | 43,893 |
The Swatch Group AG | 298 | 13,248 |
UBS Group AG | 22,715 | 366,191 |
VAT Group AG | 172 | 41,007 |
Vifor Pharma AG* | 293 | 50,795 |
Zurich Insurance Group AG | 965 | 419,701 |
9,697,767 | ||
United Arab Emirates — 0.0% | ||
NMC Health PLC* | 538 | 62 |
United Kingdom — 15.0% | ||
3i Group PLC | 6,089 | 82,164 |
abrdn PLC | 14,470 | 28,157 |
Admiral Group PLC | 1,312 | 35,839 |
Anglo American PLC | 8,181 | 292,488 |
Ashtead Group PLC | 2,899 | 121,361 |
Associated British Foods PLC | 2,278 | 43,758 |
AstraZeneca PLC | 9,966 | 1,310,214 |
Auto Trader Group PLC | 5,888 | 39,779 |
AVEVA Group PLC | 707 | 19,373 |
Aviva PLC | 18,825 | 91,961 |
BAE Systems PLC | 20,643 | 208,619 |
Number of Shares | Value† | |
United Kingdom — (continued) | ||
Barclays PLC | 108,104 | $ 201,498 |
Barratt Developments PLC | 6,327 | 35,228 |
Berkeley Group Holdings PLC | 697 | 31,597 |
BP PLC | 124,695 | 589,405 |
British American Tobacco PLC | 13,931 | 596,844 |
BT Group PLC | 44,495 | 100,907 |
Bunzl PLC | 2,198 | 72,750 |
Burberry Group PLC | 2,621 | 52,357 |
CNH Industrial N.V. | 6,662 | 76,936 |
Coca-Cola Europacific Partners PLC | 1,276 | 65,495 |
Compass Group PLC | 11,455 | 234,262 |
Croda International PLC | 875 | 68,936 |
Diageo PLC | 15,018 | 645,425 |
Entain PLC* | 3,735 | 56,605 |
Ferguson PLC | 1,403 | 156,919 |
GSK PLC | 32,130 | 690,559 |
Halma PLC | 2,365 | 57,837 |
Hargreaves Lansdown PLC | 2,149 | 20,609 |
HSBC Holdings PLC | 131,023 | 854,251 |
Imperial Brands PLC | 6,063 | 135,506 |
Informa PLC* | 9,687 | 62,356 |
InterContinental Hotels Group PLC | 1,153 | 61,054 |
Intertek Group PLC | 1,024 | 52,428 |
J. Sainsbury PLC | 10,110 | 25,106 |
JD Sports Fashion PLC | 17,935 | 25,194 |
Johnson Matthey PLC | 1,361 | 31,901 |
Kingfisher PLC | 12,664 | 37,661 |
Land Securities Group PLC | 4,270 | 34,514 |
Legal & General Group PLC | 38,445 | 112,084 |
Lloyds Banking Group PLC | 456,109 | 234,914 |
London Stock Exchange Group PLC | 2,107 | 195,749 |
M&G PLC | 16,063 | 38,051 |
Melrose Industries PLC | 28,464 | 51,870 |
Mondi PLC | 3,079 | 54,534 |
National Grid PLC | 23,085 | 295,626 |
NatWest Group PLC | 35,162 | 93,438 |
Next PLC | 863 | 61,561 |
Ocado Group PLC* | 3,089 | 29,375 |
Pearson PLC | 4,876 | 44,505 |
Persimmon PLC | 2,126 | 48,214 |
Phoenix Group Holdings PLC | 4,813 | 34,591 |
Prudential PLC | 17,473 | 216,102 |
Reckitt Benckiser Group PLC | 4,620 | 346,996 |
RELX PLC | 6,807 | 184,450 |
RELX PLC | 5,578 | 150,930 |
Rentokil Initial PLC | 12,043 | 69,576 |
Rio Tinto PLC | 7,244 | 433,543 |
Rolls-Royce Holdings PLC* | 52,141 | 52,649 |
Schroders PLC | 773 | 25,143 |
Segro PLC | 7,819 | 92,973 |
Severn Trent PLC | 1,547 | 51,203 |
Shell PLC | 48,722 | 1,265,660 |
Smith & Nephew PLC | 5,814 | 81,213 |
Smiths Group PLC | 2,596 | 44,226 |
Spirax-Sarco Engineering PLC | 486 | 58,439 |
Number of Shares | Value† | |
COMMON STOCKS — (continued) | ||
United Kingdom — (continued) | ||
SSE PLC | 6,674 | $ 131,288 |
St. James's Place PLC | 3,331 | 44,704 |
Standard Chartered PLC | 16,314 | 122,848 |
Taylor Wimpey PLC | 22,936 | 32,569 |
Tesco PLC | 49,064 | 152,599 |
The British Land Co., PLC | 5,472 | 29,782 |
The Sage Group PLC | 6,509 | 50,298 |
Unilever PLC | 8,385 | 379,805 |
Unilever PLC | 8,161 | 370,487 |
United Utilities Group PLC | 4,259 | 52,882 |
Vodafone Group PLC | 176,777 | 272,560 |
Whitbread PLC | 1,238 | 37,344 |
WPP PLC | 7,516 | 75,445 |
13,468,079 | ||
TOTAL COMMON STOCKS (Cost $73,209,087) | 87,397,416 | |
PREFERRED STOCKS — 0.4% | ||
Germany — 0.4% | ||
Bayerische Motoren Werke AG | 341 | 24,157 |
Henkel AG & Co., KGaA | 1,122 | 69,114 |
Porsche Automobil Holding S.E. | 999 | 66,080 |
Sartorius AG | 172 | 60,094 |
Volkswagen AG | 1,195 | 159,568 |
TOTAL PREFERRED STOCKS (Cost $372,277) | 379,013 | |
SHORT-TERM INVESTMENTS — 1.2% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 1.320%) (Cost $1,097,474) | 1,097,474 | 1,097,474 |
TOTAL INVESTMENTS — 98.7% (Cost $74,678,838) | $ 88,873,903 | |
Other Assets & Liabilities — 1.3% | 1,200,485 | |
TOTAL NET ASSETS — 100.0% | $ 90,074,388 |
† | 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 6/30/2022†† | |
Japan | 22% |
United Kingdom | 15 |
Switzerland | 11 |
France | 11 |
Australia | 8 |
Germany | 8 |
Netherlands | 5 |
Other | 20 |
Total | 100% |
†† | % of total investments as of June 30, 2022. |
COMMON STOCKS INDUSTRY DIVERSIFICATION | % of Market Value | Value† |
Advertising | 0.2% | $ 199,985 |
Aerospace & Defense | 1.3% | 1,120,008 |
Agriculture | 1.1% | 967,060 |
Airlines | 0.1% | 100,960 |
Apparel | 2.1% | 1,861,203 |
Auto Manufacturers | 3.1% | 2,698,551 |
Auto Parts & Equipment | 0.8% | 664,666 |
Banks | 9.9% | 8,638,586 |
Beverages | 2.3% | 1,979,119 |
Biotechnology | 1.0% | 855,742 |
Building Materials | 1.7% | 1,447,339 |
Chemicals | 2.9% | 2,555,494 |
Commercial Services | 2.7% | 2,317,243 |
Computers | 1.2% | 1,011,775 |
Cosmetics & Personal Care | 2.0% | 1,784,860 |
Distribution & Wholesale | 1.4% | 1,188,431 |
Diversified Financial Services | 1.7% | 1,526,922 |
Electric | 2.8% | 2,456,862 |
Electrical Components & Equipment | 1.0% | 893,272 |
Electronics | 1.3% | 1,172,944 |
Energy-Alternate Sources | 0.2% | 167,125 |
Engineering & Construction | 1.3% | 1,101,542 |
Entertainment | 0.9% | 756,567 |
Environmental Control | 0.0% | 21,713 |
Food | 4.9% | 4,310,896 |
Food Service | 0.3% | 273,757 |
Forest Products & Paper | 0.4% | 369,823 |
Gas | 0.4% | 312,504 |
Hand & Machine Tools | 0.3% | 280,905 |
Healthcare Products | 2.1% | 1,819,980 |
Healthcare Services | 0.8% | 659,743 |
Holding Companies | 0.2% | 210,234 |
Home Builders | 0.4% | 380,019 |
Home Furnishings | 1.0% | 892,562 |
Household Products & Wares | 0.4% | 388,918 |
Insurance | 5.2% | 4,533,117 |
Internet | 1.2% | 1,007,895 |
COMMON STOCKS INDUSTRY DIVERSIFICATION | % of Market Value | Value† | |
Investment Companies | 0.6% | $ 550,424 | |
Iron & Steel | 0.5% | 440,050 | |
Leisure Time | 0.2% | 158,254 | |
Lodging | 0.3% | 269,716 | |
Machinery — Construction & Mining | 1.0% | 904,506 | |
Machinery — Diversified | 2.0% | 1,749,991 | |
Media | 0.4% | 351,893 | |
Metal Fabricate/Hardware | 0.2% | 151,682 | |
Mining | 3.0% | 2,582,766 | |
Miscellaneous Manufacturing | 1.0% | 862,152 | |
Office & Business Equipment | 0.4% | 325,793 | |
Oil & Gas | 4.7% | 4,100,649 | |
Pharmaceuticals | 10.1% | 8,804,488 | |
Pipelines | 0.1% | 58,304 | |
Private Equity | 0.4% | 314,701 | |
Real Estate | 1.4% | 1,187,851 | |
Real Estate Investment Trusts | 1.3% | 1,169,631 | |
Retail | 1.7% | 1,522,429 | |
Semiconductors | 2.7% | 2,325,107 | |
Shipbuilding | 0.0% | 20,464 | |
Software | 1.4% | 1,248,209 | |
Telecommunications | 3.7% | 3,222,046 | |
Toys, Games & Hobbies | 0.4% | 393,224 | |
Transportation | 1.7% | 1,510,154 | |
Unknown SOI_Bloomberg Group | 0.0% | 40,579 | |
Water | 0.2% | 204,031 | |
100.0% | $87,397,416 |
ASSETS TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Common Stocks | ||||
Australia | $ 6,778,515 | $ 6,778,515 | $ — | $— |
Austria | 155,023 | 155,023 | — | — |
Belgium | 762,876 | 762,876 | — | — |
Chile | 36,288 | 36,288 | — | — |
Denmark | 2,421,075 | 2,421,075 | — | — |
Finland | 1,068,751 | 1,068,751 | — | — |
France | 9,496,604 | 9,496,604 | — | — |
Germany | 6,344,813 | 6,344,813 | — | — |
Hong Kong | 2,902,870 | 2,902,870 | — | — |
ASSETS TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Ireland | $ 796,845 | $ 796,845 | $ — | $— |
Israel | 657,595 | 657,595 | — | — |
Italy | 1,667,939 | 1,667,939 | — | — |
Japan | 19,549,564 | 19,549,564 | — | — |
Jordan | 21,324 | 21,324 | — | — |
Luxembourg | 218,754 | 218,754 | — | — |
Macao | 38,171 | 38,171 | — | — |
Netherlands | 3,945,051 | 3,945,051 | — | — |
New Zealand | 209,917 | 209,917 | — | — |
Norway | 734,010 | 693,431 | 40,579 | — |
Portugal | 154,363 | 154,363 | — | — |
Singapore | 1,252,457 | 1,252,457 | — | — |
Spain | 2,224,046 | 2,224,046 | — | — |
Sweden | 2,794,657 | 2,794,657 | — | — |
Switzerland | 9,697,767 | 9,697,767 | — | — |
United Arab Emirates | 62 | — | 62 | — |
United Kingdom | 13,468,079 | 13,468,079 | — | — |
Total Common Stocks | $ 87,397,416 | $ 87,356,775 | $ 40,641 | $ — |
Preferred Stocks | 379,013 | 379,013 | — | — |
Short-Term Investments | 1,097,474 | 1,097,474 | — | — |
Total Investments | $ 88,873,903 | $ 88,833,262 | $ 40,641 | $ — |
LIABILITIES TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Other Financial Instruments(1) | ||||
Futures Contracts | $(35,320) | $(35,320) | $— | $— |
Total Liabilities—Other Financial Instruments | $ (35,320) | $ (35,320) | $ — | $ — |
(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 | 09/16/22 | 27 | 50 | $1,857 | $2,506,410 | $— | $(35,320) | ||||||||
$— | $(35,320) |
Number of Shares | Value† | |
COMMON STOCKS — 94.5% | ||
Canada — 12.8% | ||
CAE, Inc.* | 306,205 | $ 7,545,698 |
Canadian National Railway Co. | 92,627 | 10,419,098 |
Constellation Software, Inc. | 10,401 | 15,440,459 |
33,405,255 | ||
China — 2.2% | ||
Yum China Holdings, Inc. | 120,480 | 5,877,523 |
France — 13.1% | ||
Air Liquide S.A. | 34,096 | 4,577,843 |
EssilorLuxottica S.A. | 41,895 | 6,273,862 |
Hermes International | 4,697 | 5,252,010 |
L'Oreal S.A. | 18,146 | 6,262,002 |
Sartorius Stedim Biotech | 20,540 | 6,442,401 |
Teleperformance | 17,547 | 5,393,312 |
34,201,430 | ||
Hong Kong — 1.0% | ||
Budweiser Brewing Co., APAC, Ltd. | 862,098 | 2,581,855 |
India — 3.6% | ||
Tata Consultancy Services Ltd. | 227,003 | 9,391,136 |
Ireland — 4.0% | ||
Experian PLC | 211,810 | 6,203,542 |
Flutter Entertainment PLC* | 43,385 | 4,386,493 |
10,590,035 | ||
Italy — 1.6% | ||
Ferrari N.V. | 22,315 | 4,097,053 |
Japan — 7.3% | ||
Hoya Corp. | 63,486 | 5,420,735 |
Keyence Corp. | 14,838 | 5,072,129 |
Obic Co., Ltd. | 60,009 | 8,487,416 |
18,980,280 | ||
Luxembourg — 2.3% | ||
Eurofins Scientific S.E. | 76,386 | 6,010,057 |
Netherlands — 7.7% | ||
Adyen N.V.* | 2,476 | 3,601,477 |
IMCD N.V. | 38,850 | 5,331,349 |
Wolters Kluwer N.V. | 114,844 | 11,139,667 |
20,072,493 | ||
Sweden — 1.8% | ||
Epiroc AB, Class A | 304,494 | 4,701,467 |
Switzerland — 11.7% | ||
Alcon, Inc. | 169,307 | 11,825,686 |
Lonza Group AG | 14,581 | 7,774,293 |
Nestle S.A. | 94,984 | 11,087,851 |
30,687,830 | ||
United Kingdom — 18.8% | ||
Ashtead Group PLC | 65,375 | 2,736,790 |
Diageo PLC | 213,059 | 9,156,589 |
Halma PLC | 258,509 | 6,321,982 |
Number of Shares | Value† | |
United Kingdom — (continued) | ||
London Stock Exchange Group PLC | 100,514 | $ 9,338,186 |
RELX PLC | 480,229 | 13,012,812 |
Rentokil Initial PLC | 1,473,354 | 8,512,017 |
49,078,376 | ||
United States — 6.6% | ||
Mastercard, Inc., Class A | 42,368 | 13,366,257 |
Mettler-Toledo International, Inc.* | 3,454 | 3,967,851 |
17,334,108 | ||
TOTAL COMMON STOCKS (Cost $272,680,051) | 247,008,898 | |
SHORT-TERM INVESTMENTS — 5.6% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 1.320%) (Cost $14,648,836) | 14,648,836 | 14,648,836 |
TOTAL INVESTMENTS — 100.1% (Cost $287,328,887) | $ 261,657,734 | |
Other Assets & Liabilities — (0.1)% | (183,782) | |
TOTAL NET ASSETS — 100.0% | $ 261,473,952 |
† | 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.E.— Societas Europaea. |
Country Weightings as of 6/30/2022†† | |
United Kingdom | 20% |
France | 14 |
Canada | 14 |
Switzerland | 12 |
Netherlands | 8 |
Japan | 8 |
United States | 7 |
Other | 17 |
Total | 100% |
†† | % of total investments as of June 30, 2022. |
COMMON STOCKS INDUSTRY DIVERSIFICATION | % of Market Value | Value† |
Aerospace & Defense | 3.1% | $ 7,545,698 |
Apparel | 2.1% | 5,252,010 |
Auto Manufacturers | 1.7% | 4,097,053 |
Beverages | 4.7% | 11,738,444 |
Chemicals | 1.8% | 4,577,843 |
Commercial Services | 13.8% | 34,066,638 |
Computers | 9.4% | 23,271,864 |
COMMON STOCKS INDUSTRY DIVERSIFICATION | % of Market Value | Value† | |
Cosmetics & Personal Care | 2.5% | $ 6,262,002 | |
Distribution & Wholesale | 2.2% | 5,331,349 | |
Diversified Financial Services | 9.2% | 22,704,443 | |
Electronics | 6.4% | 15,710,568 | |
Entertainment | 1.8% | 4,386,493 | |
Food | 4.5% | 11,087,851 | |
Healthcare Products | 9.9% | 24,541,949 | |
Healthcare Services | 5.6% | 13,784,350 | |
Machinery — Construction & Mining | 1.9% | 4,701,467 | |
Machinery — Diversified | 2.1% | 5,072,129 | |
Media | 4.5% | 11,139,667 | |
Retail | 2.4% | 5,877,523 | |
Software | 6.2% | 15,440,459 | |
Transportation | 4.2% | 10,419,098 | |
100.0% | $247,008,898 |
ASSETS TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Common Stocks | ||||
Canada | $ 33,405,255 | $ 33,405,255 | $— | $— |
China | 5,877,523 | 5,877,523 | — | — |
France | 34,201,430 | 34,201,430 | — | — |
Hong Kong | 2,581,855 | 2,581,855 | — | — |
India | 9,391,136 | 9,391,136 | — | — |
Ireland | 10,590,035 | 10,590,035 | — | — |
Italy | 4,097,053 | 4,097,053 | — | — |
Japan | 18,980,280 | 18,980,280 | — | — |
Luxembourg | 6,010,057 | 6,010,057 | — | — |
Netherlands | 20,072,493 | 20,072,493 | — | — |
Sweden | 4,701,467 | 4,701,467 | — | — |
Switzerland | 30,687,830 | 30,687,830 | — | — |
United Kingdom | 49,078,376 | 49,078,376 | — | — |
United States | 17,334,108 | 17,334,108 | — | — |
Short-Term Investments | 14,648,836 | 14,648,836 | — | — |
Total Investments | $ 261,657,734 | $ 261,657,734 | $ — | $ — |
Number of Shares | Value† | |
COMMON STOCKS — 98.4% | ||
Argentina — 0.7% | ||
MercadoLibre, Inc.* | 1,151 | $ 733,037 |
Brazil — 3.5% | ||
Hapvida Participacoes e Investimentos S.A. | 470,014 | 490,360 |
Raia Drogasil S.A. | 406,169 | 1,493,996 |
TOTVS S.A. | 197,412 | 879,281 |
WEG S.A. | 128,923 | 651,581 |
3,515,218 | ||
China — 30.3% | ||
Alibaba Group Holding Ltd.* | 96,353 | 1,374,051 |
Baozun, Inc., ADR* | 45,047 | 492,814 |
Chacha Food Co., Ltd., Class A | 264,336 | 2,247,979 |
China Tourism Group Duty Free Corp. Ltd., Class A | 43,445 | 1,511,681 |
ENN Energy Holdings Ltd. | 79,997 | 1,314,117 |
Foshan Haitian Flavouring & Food Co., Ltd., Class A | 116,805 | 1,576,640 |
JD.com, Inc., ADR | 17,145 | 1,101,052 |
JD.com, Inc., Class A | 133,590 | 4,303,863 |
Midea Group Co., Ltd., Class A | 183,856 | 1,658,585 |
NetEase, Inc. | 43,814 | 804,608 |
NetEase, Inc., ADR | 7,331 | 684,422 |
Shanghai M&G Stationery, Inc., Class A | 199,437 | 1,670,739 |
Shenzhen Inovance Technology Co., Ltd., Class A | 64,635 | 635,990 |
Shenzhou International Group Holdings Ltd. | 149,314 | 1,808,673 |
Tencent Holdings Ltd. | 37,739 | 1,704,478 |
Toly Bread Co., Ltd., Class A | 509,720 | 1,260,157 |
Wuliangye Yibin Co., Ltd., Class A | 42,474 | 1,281,206 |
Wuxi Biologics Cayman, Inc.* | 139,577 | 1,277,161 |
Wuxi Lead Intelligent Equipment Co., Ltd., Class A | 214,530 | 2,024,708 |
Yum China Holdings, Inc. | 40,020 | 1,952,344 |
30,685,268 | ||
Colombia — 1.0% | ||
Bancolombia S.A., ADR | 34,644 | 1,068,075 |
Hong Kong — 3.6% | ||
Budweiser Brewing Co., APAC, Ltd. | 410,994 | 1,230,866 |
Hong Kong Exchanges & Clearing Ltd. | 22,911 | 1,127,038 |
Techtronic Industries Co., Ltd. | 121,509 | 1,267,461 |
3,625,365 | ||
India — 21.7% | ||
Cipla Ltd. | 131,715 | 1,529,760 |
Eicher Motors Ltd. | 60,607 | 2,144,508 |
HCL Technologies Ltd. | 155,230 | 1,913,041 |
Hindustan Unilever Ltd. | 84,664 | 2,391,358 |
Housing Development Finance Corp. Ltd. | 68,548 | 1,884,294 |
Infosys Ltd. | 100,515 | 1,860,684 |
Kotak Mahindra Bank Ltd. | 97,392 | 2,048,534 |
Number of Shares | Value† | |
India — (continued) | ||
Power Grid Corp. of India Ltd. | 910,373 | $ 2,442,724 |
Reliance Industries Ltd. | 98,237 | 3,228,831 |
Tata Consultancy Services Ltd. | 42,750 | 1,768,572 |
Voltas Ltd. | 64,201 | 790,517 |
22,002,823 | ||
Indonesia — 7.5% | ||
Avia Avian Tbk PT | 23,415,150 | 1,280,976 |
Bank Central Asia Tbk PT | 3,314,209 | 1,612,889 |
Bank Rakyat Indonesia Persero Tbk PT | 9,524,240 | 2,653,170 |
Telekom Indonesia Persero Tbk PT | 7,764,985 | 2,084,910 |
7,631,945 | ||
Mexico — 4.5% | ||
Wal-Mart de Mexico S.A.B. de C.V. | 1,318,124 | 4,535,875 |
Singapore — 3.8% | ||
Oversea-Chinese Banking Corp. Ltd. | 246,285 | 2,019,136 |
United Overseas Bank Ltd. | 98,573 | 1,862,479 |
3,881,615 | ||
South Africa — 1.4% | ||
Clicks Group Ltd. | 82,094 | 1,379,154 |
South Korea — 6.4% | ||
NAVER Corp. | 11,990 | 2,216,266 |
Samsung Electronics Co., Ltd. | 15,146 | 664,912 |
SK Hynix, Inc. | 52,107 | 3,651,985 |
6,533,163 | ||
Taiwan — 12.8% | ||
Accton Technology Corp. | 203,351 | 1,631,130 |
President Chain Store Corp. | 338,546 | 3,102,688 |
Realtek Semiconductor Corp. | 38,071 | 464,788 |
Taiwan Semiconductor Manufacturing Co., Ltd. | 416,045 | 6,660,414 |
Win Semiconductors Corp. | 170,631 | 1,104,696 |
12,963,716 | ||
Thailand — 1.2% | ||
SCB X PCL | 404,283 | 1,189,236 |
TOTAL COMMON STOCKS (Cost $113,390,363) | 99,744,490 | |
SHORT-TERM INVESTMENTS — 2.6% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 1.320%) (Cost $2,618,473) | 2,618,473 | 2,618,473 |
TOTAL INVESTMENTS — 101.0% (Cost $116,008,836) | $ 102,362,963 | |
Other Assets & Liabilities — (1.0)% | (1,030,907) | |
TOTAL NET ASSETS — 100.0% | $ 101,332,056 |
† | See Security Valuation Note. |
* | Non-income producing security. |
ADR— American Depositary Receipt. |
PCL— Public Company Limited. |
S.A.— Societe Anonyme. |
S.A.B. de C.V.— Sociedad Anonima de Capital Variable. |
Tbk PT— Terbuka Perseroan Terbatas. |
Country Weightings as of 6/30/2022†† | |
China | 31% |
India | 22 |
Taiwan | 13 |
Indonesia | 8 |
South Korea | 7 |
Mexico | 4 |
Singapore | 4 |
Other | 11 |
Total | 100% |
†† | % of total investments as of June 30, 2022. |
COMMON STOCKS INDUSTRY DIVERSIFICATION | % of Market Value | Value† | |
Apparel | 1.8% | $ 1,808,673 | |
Banks | 12.5% | 12,453,519 | |
Beverages | 2.5% | 2,512,072 | |
Building Materials | 0.8% | 790,517 | |
Chemicals | 1.3% | 1,280,976 | |
Computers | 3.6% | 3,629,256 | |
Diversified Financial Services | 3.0% | 3,011,332 | |
Electric | 2.4% | 2,442,724 | |
Electrical Components & Equipment | 2.0% | 2,024,708 | |
Electronics | 0.6% | 635,990 | |
Food | 5.1% | 5,084,776 | |
Gas | 1.3% | 1,314,117 | |
Hand & Machine Tools | 1.3% | 1,267,461 | |
Healthcare Services | 1.8% | 1,767,521 | |
Home Furnishings | 1.7% | 1,658,585 | |
Household Products & Wares | 2.4% | 2,391,358 | |
Internet | 12.0% | 11,925,561 | |
Leisure Time | 2.2% | 2,144,508 | |
Machinery — Diversified | 0.7% | 651,581 | |
Oil & Gas | 3.2% | 3,228,831 | |
Pharmaceuticals | 1.5% | 1,529,760 | |
Retail | 15.7% | 15,646,477 | |
Semiconductors | 12.6% | 12,546,795 | |
Software | 4.3% | 4,281,352 | |
Telecommunications | 3.7% | 3,716,040 | |
100.0% | $99,744,490 |
ASSETS TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Common Stocks | ||||
Argentina | $ 733,037 | $ 733,037 | $ — | $— |
Brazil | 3,515,218 | 3,515,218 | — | — |
China | 30,685,268 | 30,685,268 | — | — |
Colombia | 1,068,075 | 1,068,075 | — | — |
Hong Kong | 3,625,365 | 3,625,365 | — | — |
India | 22,002,823 | 22,002,823 | — | — |
Indonesia | 7,631,945 | 7,631,945 | — | — |
Mexico | 4,535,875 | 4,535,875 | — | — |
Singapore | 3,881,615 | 3,881,615 | — | — |
South Africa | 1,379,154 | 1,379,154 | — | — |
South Korea | 6,533,163 | 6,533,163 | — | — |
Taiwan | 12,963,716 | 12,963,716 | — | — |
Thailand | 1,189,236 | — | 1,189,236 | — |
Total Common Stocks | $ 99,744,490 | $ 98,555,254 | $ 1,189,236 | $ — |
Short-Term Investments | 2,618,473 | 2,618,473 | — | — |
Total Investments | $ 102,362,963 | $ 101,173,727 | $ 1,189,236 | $ — |
Number of Shares | Value† | |
COMMON STOCKS — 3.1% | ||
Entertainment — 0.3% | ||
Caesars Entertainment, Inc.* | 7,001 | $ 268,138 |
Lodging — 0.8% | ||
Boyd Gaming Corp. | 17,233 | 857,342 |
Real Estate — 2.0% | ||
Jones Lang LaSalle, Inc.* | 12,755 | 2,230,339 |
TOTAL COMMON STOCKS (Cost $2,559,173) | 3,355,819 | |
REAL ESTATE INVESTMENT TRUSTS — 95.4% | ||
Apartments — 16.6% | ||
Apartment Income REIT Corp. | 62,673 | 2,607,197 |
Camden Property Trust | 21,783 | 2,929,378 |
Essex Property Trust, Inc. | 7,128 | 1,864,044 |
Invitation Homes, Inc. | 160,190 | 5,699,560 |
Mid-America Apartment Communities, Inc. | 6,521 | 1,139,023 |
UDR, Inc. | 89,705 | 4,130,018 |
18,369,220 | ||
Diversified — 30.2% | ||
American Tower Corp. | 36,136 | 9,236,000 |
Crown Castle International Corp. | 28,955 | 4,875,443 |
Digital Realty Trust, Inc. | 38,373 | 4,981,966 |
Duke Realty Corp. | 105,528 | 5,798,764 |
Equinix, Inc. | 4,660 | 3,061,713 |
SBA Communications Corp. | 14,442 | 4,622,162 |
Weyerhaeuser Co. | 22,430 | 742,882 |
33,318,930 | ||
Healthcare — 10.9% | ||
Healthcare Trust of America, Inc., Class A | 45,197 | 1,261,448 |
Healthpeak Properties, Inc. | 156,127 | 4,045,251 |
Welltower, Inc. | 81,989 | 6,751,794 |
12,058,493 | ||
Hotels & Resorts — 2.1% | ||
Host Hotels & Resorts, Inc. | 144,879 | 2,271,703 |
Industrial — 7.6% | ||
Americold Realty Trust | 99,292 | 2,982,732 |
Prologis, Inc. | 45,607 | 5,365,663 |
8,348,395 | ||
Manufactured Homes — 2.8% | ||
Sun Communities, Inc. | 19,284 | 3,073,098 |
Office Property — 1.9% | ||
Highwoods Properties, Inc. | 62,637 | 2,141,559 |
Regional Malls — 4.9% | ||
Simon Property Group, Inc. | 56,717 | 5,383,578 |
Single Tenant — 6.1% | ||
Realty Income Corp. | 76,407 | 5,215,542 |
Number of Shares | Value† | |
Single Tenant — (continued) | ||
Spirit Realty Capital, Inc. | 38,771 | $ 1,464,768 |
6,680,310 | ||
Storage & Warehousing — 9.4% | ||
Extra Space Storage, Inc. | 12,359 | 2,102,513 |
Public Storage | 26,572 | 8,308,267 |
10,410,780 | ||
Strip Centers — 2.9% | ||
Federal Realty OP LP | 7,177 | 687,126 |
Kimco Realty Corp. | 90,869 | 1,796,480 |
SITE Centers Corp. | 52,199 | 703,121 |
3,186,727 | ||
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $97,800,750) | 105,242,793 |
SHORT-TERM INVESTMENTS — 1.9% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 1.320%) (Cost $2,122,512) | 2,122,512 | 2,122,512 |
TOTAL INVESTMENTS — 100.4% (Cost $102,482,435) | $ 110,721,124 | |
Other Assets & Liabilities — (0.4)% | (429,728) | |
TOTAL NET ASSETS — 100.0% | $ 110,291,396 |
† | See Security Valuation Note. |
* | Non-income producing security. |
LP— Limited Partnership. |
REIT— Real Estate Investment Trust. |
ASSETS TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Common Stocks | $ 3,355,819 | $ 3,355,819 | $— | $— |
Real Estate Investment Trusts | 105,242,793 | 105,242,793 | — | — |
Short-Term Investments | 2,122,512 | 2,122,512 | — | — |
Total Investments | $ 110,721,124 | $ 110,721,124 | $ — | $ — |
Number of Shares | Value† | |
AFFILIATED EQUITY FUNDS — 61.6% | ||
Penn Series Flexibly Managed Fund* | 42,342 | $ 3,305,182 |
Penn Series Index 500 Fund* | 315,899 | 10,472,043 |
Penn Series Large Cap Growth Fund* | 18,101 | 556,247 |
Penn Series Large Cap Value Fund* | 117,701 | 4,377,309 |
Penn Series Large Core Value Fund* | 126,135 | 3,304,727 |
Penn Series Large Growth Stock Fund* | 10,301 | 545,930 |
Penn Series Mid Cap Growth Fund* | 35,661 | 1,093,023 |
Penn Series Mid Cap Value Fund* | 44,942 | 1,091,634 |
Penn Series Mid Core Value Fund* | 87,737 | 2,718,083 |
Penn Series Real Estate Securities Fund* | 56,111 | 1,704,668 |
Penn Series Small Cap Growth Fund* | 22,074 | 1,106,589 |
Penn Series Small Cap Index Fund* | 62,163 | 1,632,392 |
Penn Series SMID Cap Growth Fund* | 29,377 | 1,104,877 |
Penn Series SMID Cap Value Fund* | 34,338 | 1,073,408 |
TOTAL AFFILIATED EQUITY FUNDS (Cost $30,007,263) | 34,086,112 | |
AFFILIATED FIXED INCOME FUNDS — 7.9% | ||
Penn Series High Yield Bond Fund* | 106,994 | 1,626,318 |
Penn Series Limited Maturity Bond Fund* | 215,249 | 2,765,947 |
TOTAL AFFILIATED FIXED INCOME FUNDS (Cost $4,394,233) | 4,392,265 | |
AFFILIATED INTERNATIONAL EQUITY FUNDS — 29.9% | ||
Penn Series Developed International Index Fund* | 461,739 | 6,524,377 |
Penn Series Emerging Markets Equity Fund* | 288,231 | 3,268,540 |
Penn Series International Equity Fund* | 204,523 | 6,741,066 |
TOTAL AFFILIATED INTERNATIONAL EQUITY FUNDS (Cost $16,223,101) | 16,533,983 | |
SHORT-TERM INVESTMENTS — 0.7% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 1.320%) (Cost $381,501) | 381,501 | 381,501 |
TOTAL INVESTMENTS — 100.1% (Cost $51,006,098) | $ 55,393,861 | |
Other Assets & Liabilities — (0.1)% | (62,701) | |
TOTAL NET ASSETS — 100.0% | $ 55,331,160 |
† | See Security Valuation Note. |
* | Non-income producing security. |
ASSETS TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Affiliated Equity Funds | $ 34,086,112 | $ 34,086,112 | $— | $— |
Affiliated Fixed Income Funds | 4,392,265 | 4,392,265 | — | — |
Affiliated International Equity Funds | 16,533,983 | 16,533,983 | — | — |
Short-Term Investments | 381,501 | 381,501 | — | — |
Total Investments | $ 55,393,861 | $ 55,393,861 | $ — | $ — |
Number of Shares | Value† | |
AFFILIATED EQUITY FUNDS — 57.7% | ||
Penn Series Flexibly Managed Fund* | 151,652 | $ 11,837,959 |
Penn Series Index 500 Fund* | 1,012,345 | 33,559,225 |
Penn Series Large Cap Growth Fund* | 64,834 | 1,992,346 |
Penn Series Large Cap Value Fund* | 421,551 | 15,677,503 |
Penn Series Large Core Value Fund* | 451,767 | 11,836,291 |
Penn Series Large Growth Stock Fund* | 36,894 | 1,955,381 |
Penn Series Mid Cap Growth Fund* | 127,732 | 3,914,977 |
Penn Series Mid Cap Value Fund* | 80,481 | 1,954,889 |
Penn Series Mid Core Value Fund* | 314,230 | 9,734,856 |
Penn Series Real Estate Securities Fund* | 200,986 | 6,105,949 |
Penn Series Small Cap Growth Fund* | 39,533 | 1,981,794 |
Penn Series Small Cap Index Fund* | 296,858 | 7,795,503 |
Penn Series SMID Cap Growth Fund* | 52,612 | 1,978,731 |
Penn Series SMID Cap Value Fund* | 122,981 | 3,844,381 |
TOTAL AFFILIATED EQUITY FUNDS (Cost $93,567,676) | 114,169,785 | |
AFFILIATED FIXED INCOME FUNDS — 18.0% | ||
Penn Series High Yield Bond Fund* | 383,207 | 5,824,750 |
Penn Series Limited Maturity Bond Fund* | 1,541,882 | 19,813,182 |
Penn Series Quality Bond Fund* | 653,534 | 10,038,275 |
TOTAL AFFILIATED FIXED INCOME FUNDS (Cost $35,252,316) | 35,676,207 | |
AFFILIATED INTERNATIONAL EQUITY FUNDS — 23.9% | ||
Penn Series Developed International Index Fund* | 1,240,295 | 17,525,375 |
Penn Series Emerging Markets Equity Fund* | 860,262 | 9,755,365 |
Penn Series International Equity Fund* | 610,451 | 20,120,457 |
TOTAL AFFILIATED INTERNATIONAL EQUITY FUNDS (Cost $44,198,313) | 47,401,197 | |
SHORT-TERM INVESTMENTS — 0.5% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 1.320%) (Cost $1,010,057) | 1,010,057 | 1,010,057 |
TOTAL INVESTMENTS — 100.1% (Cost $174,028,362) | $ 198,257,246 | |
Other Assets & Liabilities — (0.1)% | (295,627) | |
TOTAL NET ASSETS — 100.0% | $ 197,961,619 |
† | See Security Valuation Note. |
* | Non-income producing security. |
ASSETS TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Affiliated Equity Funds | $114,169,785 | $114,169,785 | $— | $— |
Affiliated Fixed Income Funds | 35,676,207 | 35,676,207 | — | — |
Affiliated International Equity Funds | 47,401,197 | 47,401,197 | — | — |
Short-Term Investments | 1,010,057 | 1,010,057 | — | — |
Total Investments | $ 198,257,246 | $ 198,257,246 | $ — | $ — |
Number of Shares | Value† | |
AFFILIATED EQUITY FUNDS — 44.7% | ||
Penn Series Flexibly Managed Fund* | 175,293 | $ 13,683,371 |
Penn Series Index 500 Fund* | 963,671 | 31,945,710 |
Penn Series Large Cap Growth Fund* | 74,941 | 2,302,934 |
Penn Series Large Cap Value Fund* | 304,549 | 11,326,194 |
Penn Series Large Core Value Fund* | 348,135 | 9,121,124 |
Penn Series Large Growth Stock Fund* | 42,646 | 2,260,216 |
Penn Series Mid Cap Growth Fund* | 147,644 | 4,525,288 |
Penn Series Mid Core Value Fund* | 363,225 | 11,252,707 |
Penn Series Real Estate Securities Fund* | 154,877 | 4,705,166 |
Penn Series Small Cap Index Fund* | 257,356 | 6,758,176 |
Penn Series SMID Cap Growth Fund* | 60,814 | 2,287,221 |
Penn Series SMID Cap Value Fund* | 71,079 | 2,221,927 |
TOTAL AFFILIATED EQUITY FUNDS (Cost $80,843,409) | 102,390,034 | |
AFFILIATED FIXED INCOME FUNDS — 38.1% | ||
Penn Series High Yield Bond Fund* | 590,577 | 8,976,773 |
Penn Series Limited Maturity Bond Fund* | 2,673,282 | 34,351,671 |
Penn Series Quality Bond Fund* | 2,870,459 | 44,090,247 |
TOTAL AFFILIATED FIXED INCOME FUNDS (Cost $85,432,189) | 87,418,691 | |
AFFILIATED INTERNATIONAL EQUITY FUNDS — 16.9% | ||
Penn Series Developed International Index Fund* | 796,476 | 11,254,208 |
Penn Series Emerging Markets Equity Fund* | 994,361 | 11,276,057 |
Penn Series International Equity Fund* | 493,931 | 16,279,944 |
TOTAL AFFILIATED INTERNATIONAL EQUITY FUNDS (Cost $35,776,325) | 38,810,209 | |
SHORT-TERM INVESTMENTS — 0.4% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 1.320%) (Cost $1,012,610) | 1,012,610 | 1,012,610 |
TOTAL INVESTMENTS — 100.1% (Cost $203,064,533) | $ 229,631,544 | |
Other Assets & Liabilities — (0.1)% | (223,556) | |
TOTAL NET ASSETS — 100.0% | $ 229,407,988 |
† | See Security Valuation Note. |
* | Non-income producing security. |
ASSETS TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Affiliated Equity Funds | $102,390,034 | $102,390,034 | $— | $— |
Affiliated Fixed Income Funds | 87,418,691 | 87,418,691 | — | — |
Affiliated International Equity Funds | 38,810,209 | 38,810,209 | — | — |
Short-Term Investments | 1,012,610 | 1,012,610 | — | — |
Total Investments | $ 229,631,544 | $ 229,631,544 | $ — | $ — |
Number of Shares | Value† | |
AFFILIATED EQUITY FUNDS — 32.6% | ||
Penn Series Flexibly Managed Fund* | 88,384 | $ 6,899,283 |
Penn Series Index 500 Fund* | 208,233 | 6,902,911 |
Penn Series Large Cap Growth Fund* | 28,338 | 870,843 |
Penn Series Large Cap Value Fund* | 115,164 | 4,282,961 |
Penn Series Large Core Value Fund* | 131,646 | 3,449,128 |
Penn Series Mid Core Value Fund* | 82,411 | 2,553,096 |
Penn Series Real Estate Securities Fund* | 58,567 | 1,779,253 |
Penn Series Small Cap Index Fund* | 32,438 | 851,820 |
Penn Series SMID Cap Value Fund* | 26,877 | 840,165 |
TOTAL AFFILIATED EQUITY FUNDS (Cost $23,715,589) | 28,429,460 | |
AFFILIATED FIXED INCOME FUNDS — 56.9% | ||
Penn Series High Yield Bond Fund* | 279,180 | 4,243,537 |
Penn Series Limited Maturity Bond Fund* | 1,685,012 | 21,652,409 |
Penn Series Quality Bond Fund* | 1,542,670 | 23,695,406 |
TOTAL AFFILIATED FIXED INCOME FUNDS (Cost $49,734,001) | 49,591,352 | |
AFFILIATED INTERNATIONAL EQUITY FUNDS — 9.9% | ||
Penn Series Developed International Index Fund* | 180,718 | 2,553,546 |
Penn Series Emerging Markets Equity Fund* | 150,412 | 1,705,671 |
Penn Series International Equity Fund* | 133,417 | 4,397,424 |
TOTAL AFFILIATED INTERNATIONAL EQUITY FUNDS (Cost $8,698,696) | 8,656,641 | |
SHORT-TERM INVESTMENTS — 0.8% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 1.320%) (Cost $676,838) | 676,838 | 676,838 |
TOTAL INVESTMENTS — 100.2% (Cost $82,825,124) | $ 87,354,291 | |
Other Assets & Liabilities — (0.2)% | (175,614) | |
TOTAL NET ASSETS — 100.0% | $ 87,178,677 |
† | See Security Valuation Note. |
* | Non-income producing security. |
ASSETS TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Affiliated Equity Funds | $28,429,460 | $28,429,460 | $— | $— |
Affiliated Fixed Income Funds | 49,591,352 | 49,591,352 | — | — |
Affiliated International Equity Funds | 8,656,641 | 8,656,641 | — | — |
Short-Term Investments | 676,838 | 676,838 | — | — |
Total Investments | $ 87,354,291 | $ 87,354,291 | $ — | $ — |
Number of Shares | Value† | |
AFFILIATED EQUITY FUNDS — 19.5% | ||
Penn Series Flexibly Managed Fund* | 50,186 | $ 3,917,535 |
Penn Series Index 500 Fund* | 59,123 | 1,959,920 |
Penn Series Large Cap Value Fund* | 26,154 | 972,661 |
Penn Series Large Core Value Fund* | 56,063 | 1,468,863 |
Penn Series Mid Core Value Fund* | 31,191 | 966,297 |
Penn Series Real Estate Securities Fund* | 16,633 | 505,298 |
TOTAL AFFILIATED EQUITY FUNDS (Cost $8,344,801) | 9,790,574 | |
AFFILIATED FIXED INCOME FUNDS — 75.8% | ||
Penn Series High Yield Bond Fund* | 158,498 | 2,409,176 |
Penn Series Limited Maturity Bond Fund* | 1,377,631 | 17,702,562 |
Penn Series Quality Bond Fund* | 1,167,915 | 17,939,167 |
TOTAL AFFILIATED FIXED INCOME FUNDS (Cost $39,169,283) | 38,050,905 | |
AFFILIATED INTERNATIONAL EQUITY FUNDS — 2.9% | ||
Penn Series Developed International Index Fund* | 68,402 | 966,514 |
Penn Series International Equity Fund* | 15,154 | 499,480 |
TOTAL AFFILIATED INTERNATIONAL EQUITY FUNDS (Cost $1,471,884) | 1,465,994 | |
SHORT-TERM INVESTMENTS — 1.8% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 1.320%) (Cost $899,751) | 899,751 | 899,751 |
TOTAL INVESTMENTS — 100.0% (Cost $49,885,719) | $ 50,207,224 | |
Other Assets & Liabilities — 0.0% | 23,380 | |
TOTAL NET ASSETS — 100.0% | $ 50,230,604 |
† | See Security Valuation Note. |
* | Non-income producing security. |
ASSETS TABLE | ||||
Description | Total Market Value at 6/30/2022 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input |
Affiliated Equity Funds | $ 9,790,574 | $ 9,790,574 | $— | $— |
Affiliated Fixed Income Funds | 38,050,905 | 38,050,905 | — | — |
Affiliated International Equity Funds | 1,465,994 | 1,465,994 | — | — |
Short-Term Investments | 899,751 | 899,751 | — | — |
Total Investments | $ 50,207,224 | $ 50,207,224 | $ — | $ — |
Money Market Fund | Limited Maturity Bond Fund | Quality Bond Fund | High Yield Bond Fund | ||||
ASSETS: | |||||||
Investments at value | $ 172,352,745 | $ 235,604,158 | $ 390,297,802 | $ 140,326,027 | |||
Cash | — | — | — | 1,029,453 | |||
Initial margin held by broker for open futures | — | 216,979 | 786,641 | — | |||
Foreign currency at value | — | — | — | 114,436 | |||
Interest and dividends receivable | 189,715 | 1,166,136 | 2,155,519 | 2,363,082 | |||
Tax reclaims receivable | — | — | — | 252 | |||
Receivable for investment securities sold | — | 5,789,236 | 1,498,442 | 3,892,911 | |||
Receivable for capital stock sold | — | — | 5,640 | — | |||
Futures variation margin receivable | — | 110,813 | 966,516 | — | |||
Other assets | 1,178 | 2,030 | 3,639 | 1,274 | |||
Total Assets | 172,543,638 | 242,889,352 | 395,714,199 | 147,727,435 | |||
LIABILITIES: | |||||||
Cash overdraft | — | 10,692 | 423,517 | — | |||
Payable for investment securities purchased | — | 5,220,447 | 1,350,352 | 3,853,941 | |||
Payable for capital stock redeemed | — | 2,006,414 | 5,171,382 | 2,093,880 | |||
Payable to investment adviser (See Note 3) | 47,008 | 90,549 | 145,223 | 56,154 | |||
Payable to the administrator (See Note 3) | 13,184 | 18,484 | 30,421 | 11,406 | |||
Other liabilities | 123,359 | 106,376 | 169,244 | 69,593 | |||
Total Liabilities | 183,551 | 7,452,962 | 7,290,139 | 6,084,974 | |||
NET ASSETS | $172,360,087 | $235,436,390 | $388,424,060 | $141,642,461 | |||
Investments at cost | $ 172,352,745 | $ 246,826,545 | $ 426,755,911 | $ 152,866,018 | |||
Foreign currency at cost | $ — | $ — | $ — | $ 112,601 | |||
COMPONENTS OF NET ASSETS: | |||||||
Paid-in capital | $ 172,351,044 | $ 248,885,755 | $ 432,482,951 | $ 153,601,719 | |||
Total distributable earnings (loss) | 9,043 | (13,449,365) | (44,058,891) | (11,959,258) | |||
NET ASSETS | $172,360,087 | $235,436,390 | $388,424,060 | $141,642,461 | |||
Shares outstanding, $0.10 par value, 500 million shares authorized | 172,338,524 | ||||||
Shares outstanding, $0.10 par value, 250 million shares authorized | 25,283,875 | 9,319,869 | |||||
Shares outstanding, $0.0001 par value, 250 million shares authorized | 18,318,232 | ||||||
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE | $ 1.00 | $ 12.85 | $ 15.36 | $ 15.20 |
Flexibly Managed Fund | Balanced Fund | Large Growth Stock Fund | Large Cap Growth Fund | ||||
ASSETS: | |||||||
Investments of affiliated issuers at value | $ — | $ 72,398,639 | $ — | $ — | |||
Investments of unaffiliated issuers at value | 4,576,269,984 | 335,430 | 256,031,931 | 61,283,319 | |||
Cash | 1,815,333 | — | — | 500 | |||
Foreign currency at value | 66,289 | — | 210 | 26 | |||
Interest and dividends receivable | 10,989,491 | 12 | 31,285 | 25,700 | |||
Tax reclaims receivable | 155,878 | — | 6,093 | 32,917 | |||
Receivable for investment securities sold | 37,615,691 | — | 7,367 | — | |||
Receivable for capital stock sold | — | — | 5,543,218 | 96,551 | |||
Other assets | 39,131 | 660 | 3,397 | 565 | |||
Total Assets | 4,626,951,797 | 72,734,741 | 261,623,501 | 61,439,578 | |||
LIABILITIES: | |||||||
Written options at value | 4,332,683 | — | — | — | |||
Payable for investment securities purchased | 39,369,500 | 14,100 | 164,700 | — | |||
Payable for capital stock redeemed | 5,529,507 | 228,135 | 1,038 | 1,667 | |||
Payable to investment adviser (See Note 3) | 2,651,866 | — | 158,482 | 29,605 | |||
Payable to the administrator (See Note 3) | 364,326 | 5,838 | 22,224 | 5,095 | |||
Other liabilities | 1,746,022 | 30,875 | 150,376 | 40,362 | |||
Total Liabilities | 53,993,904 | 278,948 | 496,820 | 76,729 | |||
NET ASSETS | $4,572,957,893 | $72,455,793 | $261,126,681 | $61,362,849 | |||
Investments of affiliated issuers at cost | $ — | $ 54,043,860 | $ — | $ — | |||
Investments of unaffiliated issuers at cost | $ 4,773,222,805 | $ 335,430 | $ 218,622,324 | $ 49,250,918 | |||
Written options, premiums received | $ (19,744,940) | $ — | $ — | $ — | |||
Foreign currency at cost | $ 66,253 | $ — | $ 210 | $ 26 | |||
COMPONENTS OF NET ASSETS: | |||||||
Paid-in capital | $ 4,323,122,710 | $ 50,437,426 | $ 219,907,660 | $ 43,270,889 | |||
Total distributable earnings (loss) | 249,835,183 | 22,018,367 | 41,219,021 | 18,091,960 | |||
NET ASSETS | $4,572,957,893 | $72,455,793 | $261,126,681 | $61,362,849 | |||
Shares outstanding, $0.10 par value, 250 million shares authorized | 58,585,575 | 4,926,973 | |||||
Shares outstanding, $0.0001 par value, 250 million shares authorized | 2,748,564 | 1,996,697 | |||||
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE | $ 78.06 | $ 26.36 | $ 53.00 | $ 30.73 |
Large Core Growth Fund | Large Cap Value Fund | Large Core Value Fund | Index 500 Fund | ||||
ASSETS: | |||||||
Investments at value | $ 96,234,964 | $ 172,049,014 | $ 155,824,729 | $ 578,790,257 | |||
Cash | — | 39,396 | 5,113 | — | |||
Initial margin held by broker for open futures | — | — | — | 367,497 | |||
Foreign currency at value | 3,074 | — | — | — | |||
Interest and dividends receivable | 4,352 | 146,977 | 180,204 | 450,860 | |||
Tax reclaims receivable | 12,520 | 29,542 | 31,510 | — | |||
Receivable for investment securities sold | — | 1,183,758 | — | — | |||
Receivable for capital stock sold | 4,410,006 | — | — | 1,758,708 | |||
Other assets | 1,928 | 1,417 | 1,310 | 4,732 | |||
Total Assets | 100,666,844 | 173,450,104 | 156,042,866 | 581,372,054 | |||
LIABILITIES: | |||||||
Cash overdraft | — | — | — | 35,194 | |||
Payable for investment securities purchased | — | 3,288,257 | — | — | |||
Payable for capital stock redeemed | 35 | 1,075,985 | 1,092,157 | 19,818 | |||
Futures variation margin payable | — | — | — | 55,563 | |||
Payable to investment adviser (See Note 3) | 49,842 | 96,316 | 90,600 | 61,195 | |||
Payable to the administrator (See Note 3) | 8,800 | 13,720 | 13,019 | 45,146 | |||
Other liabilities | 67,131 | 75,764 | 71,064 | 242,989 | |||
Total Liabilities | 125,808 | 4,550,042 | 1,266,840 | 459,905 | |||
NET ASSETS | $100,541,036 | $168,900,062 | $154,776,026 | $580,912,149 | |||
Investments at cost | $ 168,675,203 | $ 164,062,875 | $ 150,656,618 | $ 326,642,649 | |||
Foreign currency at cost | $ 3,201 | $ — | $ — | $ — | |||
COMPONENTS OF NET ASSETS: | |||||||
Paid-in capital | $ 180,740,924 | $ 150,439,635 | $ 138,746,740 | $ 318,423,857 | |||
Total distributable earnings (loss) | (80,199,888) | 18,460,427 | 16,029,286 | 262,488,292 | |||
NET ASSETS | $100,541,036 | $168,900,062 | $154,776,026 | $580,912,149 | |||
Shares outstanding, $0.10 par value, 250 million shares authorized | 4,541,373 | ||||||
Shares outstanding, $0.0001 par value, 250 million shares authorized | 4,376,944 | 5,908,409 | 17,522,375 | ||||
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE | $ 22.97 | $ 37.19 | $ 26.20 | $ 33.15 |
Mid Cap Growth Fund | Mid Cap Value Fund | Mid Core Value Fund | SMID Cap Growth Fund | ||||
ASSETS: | |||||||
Investments at value | $ 135,236,601 | $ 86,234,271 | $ 83,503,950 | $ 68,600,022 | |||
Cash | — | — | 500 | — | |||
Foreign currency at value | — | — | 79 | — | |||
Interest and dividends receivable | 33,442 | 111,168 | 142,796 | 18,671 | |||
Tax reclaims receivable | — | — | 27,225 | — | |||
Receivable for investment securities sold | 40,640 | 1,047,610 | 105,359 | 385,471 | |||
Receivable for capital stock sold | 1,770,719 | — | 114,015 | 649,242 | |||
Unrealized appreciation of forward foreign currency contracts | — | — | 18,042 | — | |||
Other assets | 1,618 | 711 | 747 | 827 | |||
Total Assets | 137,083,020 | 87,393,760 | 83,912,713 | 69,654,233 | |||
LIABILITIES: | |||||||
Written options at value | 232,300 | — | — | — | |||
Payable for investment securities purchased | 154,357 | 699,305 | 411,392 | 671,952 | |||
Payable for capital stock redeemed | 1,845 | 761,082 | 109,603 | 20,463 | |||
Payable to investment adviser (See Note 3) | 81,330 | 40,763 | 49,033 | 43,026 | |||
Payable to the administrator (See Note 3) | 11,360 | 7,040 | 6,693 | 5,575 | |||
Unrealized depreciation of forward foreign currency contracts | — | — | 5,597 | — | |||
Other liabilities | 70,739 | 46,930 | 63,069 | 43,494 | |||
Total Liabilities | 551,931 | 1,555,120 | 645,387 | 784,510 | |||
NET ASSETS | $136,531,089 | $85,838,640 | $83,267,326 | $68,869,723 | |||
Investments at cost | $ 120,311,981 | $ 79,976,979 | $ 86,870,462 | $ 83,059,675 | |||
Written options, premiums received | $ (189,288) | $ — | $ — | $ — | |||
COMPONENTS OF NET ASSETS: | |||||||
Paid-in capital | $ 111,937,451 | $ 82,049,890 | $ 77,688,649 | $ 84,655,742 | |||
Total distributable earnings (loss) | 24,593,638 | 3,788,750 | 5,578,677 | (15,786,019) | |||
NET ASSETS | $136,531,089 | $85,838,640 | $83,267,326 | $68,869,723 | |||
Shares outstanding, $0.0001 par value, 250 million shares authorized | 4,454,685 | 3,533,541 | 2,688,082 | 1,831,261 | |||
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE | $ 30.65 | $ 24.29 | $ 30.98 | $ 37.61 |
SMID Cap Value Fund | Small Cap Growth Fund | Small Cap Value Fund | Small Cap Index Fund | ||||
ASSETS: | |||||||
Investments at value | $ 54,871,473 | $ 98,838,886 | $ 154,366,742 | $ 75,019,434 | |||
Cash | — | — | 59,420 | 10,296 | |||
Initial margin held by broker for open futures | — | — | — | 49,499 | |||
Foreign currency at value | — | 29,374 | — | — | |||
Interest and dividends receivable | 57,108 | 19,215 | 198,849 | 77,989 | |||
Tax reclaims receivable | — | 7,427 | 1,332 | 129 | |||
Receivable for investment securities sold | 79,020 | 94,173 | 1,063,774 | 395,222 | |||
Receivable for capital stock sold | 184,657 | 297,290 | 378,687 | 724,071 | |||
Other assets | 469 | 1,067 | 1,306 | 684 | |||
Total Assets | 55,192,727 | 99,287,432 | 156,070,110 | 76,277,324 | |||
LIABILITIES: | |||||||
Payable for investment securities purchased | 623,051 | 102,474 | 898,919 | 10,296 | |||
Payable for capital stock redeemed | 1,863 | 253 | 146,227 | 3,652 | |||
Futures variation margin payable | — | — | — | 6,030 | |||
Payable to investment adviser (See Note 3) | 39,401 | 61,954 | 97,631 | 19,293 | |||
Payable to the administrator (See Note 3) | 4,471 | 8,167 | 12,866 | 6,143 | |||
Other liabilities | 40,581 | 59,660 | 95,533 | 88,036 | |||
Total Liabilities | 709,367 | 232,508 | 1,251,176 | 133,450 | |||
NET ASSETS | $54,483,360 | $99,054,924 | $154,818,934 | $76,143,874 | |||
Investments at cost | $ 57,448,173 | $ 79,368,446 | $ 162,775,831 | $ 81,398,445 | |||
Foreign currency at cost | $ — | $ 29,547 | $ — | $ — | |||
COMPONENTS OF NET ASSETS: | |||||||
Paid-in capital | $ 53,083,149 | $ 78,405,564 | $ 158,619,174 | $ 82,355,278 | |||
Total distributable earnings (loss) | 1,400,211 | 20,649,360 | (3,800,240) | (6,211,404) | |||
NET ASSETS | $54,483,360 | $99,054,924 | $154,818,934 | $76,143,874 | |||
Shares outstanding, $0.10 par value, 500 million shares authorized | 1,743,183 | 3,702,195 | |||||
Shares outstanding, $0.0001 par value, 250 million shares authorized | 1,976,022 | 2,900,097 | |||||
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE | $ 31.26 | $ 50.13 | $ 41.82 | $ 26.26 |
Developed International Index Fund | International Equity Fund | Emerging Markets Equity Fund | Real Estate Securities Fund | ||||
ASSETS: | |||||||
Investments at value | $ 88,873,903 | $ 261,657,734 | $ 102,362,963 | $ 110,721,124 | |||
Cash | 8,342 | — | — | — | |||
Initial margin held by broker for open futures | 152,579 | — | — | — | |||
Foreign currency at value | 432,603 | 1,256,117 | — | — | |||
Interest and dividends receivable | 182,093 | 109,193 | 251,836 | 197,828 | |||
Tax reclaims receivable | 655,836 | 1,278,216 | 60,833 | — | |||
Receivable for investment securities sold | 9,950 | 4,812,237 | — | 91,877 | |||
Receivable for capital stock sold | — | 932,029 | — | 63,723 | |||
Other assets | 862 | 2,939 | 958 | 1,000 | |||
Total Assets | 90,316,168 | 270,048,465 | 102,676,590 | 111,075,552 | |||
LIABILITIES: | |||||||
Cash overdraft | — | 8,907 | 3,954 | — | |||
Foreign currency overdraft | — | — | 12,042 | — | |||
Payable for investment securities purchased | 6,587 | 7,944,102 | 49,480 | 576,175 | |||
Payable for capital stock redeemed | 56,374 | 135,762 | 1,049,364 | 77,353 | |||
Futures variation margin payable | 22,680 | — | — | — | |||
Payable to investment adviser (See Note 3) | 23,133 | 174,639 | 74,927 | 64,044 | |||
Payable to the administrator (See Note 3) | 7,338 | 21,177 | 8,130 | 9,006 | |||
Deferred Indian capital gains tax | — | 104,886 | — | — | |||
Other liabilities | 125,668 | 185,040 | 146,637 | 57,578 | |||
Total Liabilities | 241,780 | 8,574,513 | 1,344,534 | 784,156 | |||
NET ASSETS | $90,074,388 | $261,473,952 | $101,332,056 | $110,291,396 | |||
Investments at cost | $ 74,678,838 | $ 287,328,887 | $ 116,008,836 | $ 102,482,435 | |||
Foreign currency at cost | $ 437,283 | $ 1,278,901 | $ — | $ — | |||
COMPONENTS OF NET ASSETS: | |||||||
Paid-in capital | $ 77,164,056 | $ 293,310,670 | $ 114,698,395 | $ 95,403,465 | |||
Total distributable earnings (loss) | 12,910,332 | (31,836,718) | (13,366,339) | 14,887,931 | |||
NET ASSETS | $90,074,388 | $261,473,952 | $101,332,056 | $110,291,396 | |||
Shares outstanding, $0.10 par value, 250 million shares authorized | 7,933,008 | ||||||
Shares outstanding, $0.0001 par value, 250 million shares authorized | 6,372,493 | 8,858,647 | 3,629,994 | ||||
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE | $ 14.13 | $ 32.96 | $ 11.44 | $ 30.38 |
Aggressive Allocation Fund | Moderately Aggressive Allocation Fund | Moderate Allocation Fund | Moderately Conservative Allocation Fund | ||||
ASSETS: | |||||||
Investments of affiliated issuers at value | $ 55,012,360 | $ 197,247,189 | $ 228,618,934 | $ 86,677,453 | |||
Investments of unaffiliated issuers at value | 381,501 | 1,010,057 | 1,012,610 | 676,838 | |||
Interest and dividends receivable | 14 | 37 | 37 | 26 | |||
Receivable for investment securities sold | 5,542 | 14,045 | 72,606 | 74,503 | |||
Other assets | 518 | 1,826 | 2,190 | 697 | |||
Total Assets | 55,399,935 | 198,273,154 | 229,706,377 | 87,429,517 | |||
LIABILITIES: | |||||||
Payable for capital stock redeemed | 33,105 | 197,777 | 167,219 | 200,867 | |||
Payable to investment adviser (See Note 3) | 5,641 | 20,078 | 22,862 | 8,761 | |||
Payable to the administrator (See Note 3) | 4,514 | 15,950 | 18,414 | 6,830 | |||
Other liabilities | 25,515 | 77,730 | 89,894 | 34,382 | |||
Total Liabilities | 68,775 | 311,535 | 298,389 | 250,840 | |||
NET ASSETS | $ 55,331,160 | $197,961,619 | $229,407,988 | $87,178,677 | |||
Investments of affiliated issuers at cost | $ 50,624,597 | $ 173,018,305 | $ 202,051,923 | $ 82,148,286 | |||
Investments of unaffiliated issuers at cost | $ 381,501 | $ 1,010,057 | $ 1,012,610 | $ 676,838 | |||
COMPONENTS OF NET ASSETS: | |||||||
Paid-in capital | $48,449,494 | $ 164,803,874 | $ 193,940,783 | $ 80,331,731 | |||
Total distributable earnings (loss) | 6,881,666 | 33,157,745 | 35,467,205 | 6,846,946 | |||
NET ASSETS | $ 55,331,160 | $197,961,619 | $229,407,988 | $87,178,677 | |||
Shares outstanding, $0.0001 par value, 250 million shares authorized | 2,474,252 | 8,515,481 | 11,271,917 | 4,790,955 | |||
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE | $ 22.36 | $ 23.25 | $ 20.35 | $ 18.20 |
Conservative Allocation Fund | |
ASSETS: | |
Investments of affiliated issuers at value | $ 49,307,473 |
Investments of unaffiliated issuers at value | 899,751 |
Interest and dividends receivable | 38 |
Receivable for investment securities sold | 3,164 |
Receivable for capital stock sold | 58,055 |
Other assets | 461 |
Total Assets | 50,268,942 |
LIABILITIES: | |
Payable for capital stock redeemed | 7,225 |
Payable to investment adviser (See Note 3) | 5,062 |
Payable to the administrator (See Note 3) | 3,950 |
Other liabilities | 22,101 |
Total Liabilities | 38,338 |
NET ASSETS | $50,230,604 |
Investments of affiliated issuers at cost | $ 48,985,968 |
Investments of unaffiliated issuers at cost | $ 899,751 |
COMPONENTS OF NET ASSETS: | |
Paid-in capital | $ 49,027,644 |
Total distributable earnings (loss) | 1,202,960 |
NET ASSETS | $50,230,604 |
Shares outstanding, $0.0001 par value, 250 million shares authorized | 3,198,125 |
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE | $ 15.71 |
Money Market Fund | Limited Maturity Bond Fund | Quality Bond Fund | High Yield Bond Fund | ||||
INVESTMENT INCOME: | |||||||
Dividends | $ 40,379 | $ 3,513 | $ 130,320 | $ 70,855 | |||
Interest | 277,286 | 292,990 | 6,300,563 | 3,917,060 | |||
Total Investment Income | 317,665 | 296,503 | 6,430,883 | 3,987,915 | |||
EXPENSES: | |||||||
Investment advisory fees (See Note 3) | 272,386 | 571,187 | 949,294 | 360,916 | |||
Shareholder servicing fees (See Note 3) | 74,287 | 112,776 | 191,731 | 70,614 | |||
Administration fees (See Note 3) | 24,762 | 37,592 | 63,910 | 23,538 | |||
Accounting fees (See Note 3) | 51,189 | 72,571 | 103,582 | 49,148 | |||
Directors’ fees and expenses | 4,504 | 7,251 | 12,892 | 4,627 | |||
Custodian fees and expenses | 5,827 | 9,299 | 16,752 | 5,995 | |||
Pricing fees | 4,577 | 11,533 | 13,241 | 11,155 | |||
Professional fees | 6,965 | 11,724 | 20,798 | 7,444 | |||
Printing fees | 4,744 | 7,283 | 12,399 | 4,856 | |||
Recaptured advisory fee (See Note 3) | 60,644 | — | — | — | |||
Other expenses | 18,578 | 28,517 | 39,820 | 24,245 | |||
Total Expenses | 528,463 | 869,733 | 1,424,419 | 562,538 | |||
Less: Waivers and reimbursement from administrator (See Note 3) | (170,455) | — | — | — | |||
Less: Waivers and reimbursement from advisor (See Note 3) | (48,597) | — | — | — | |||
Net Expenses | 309,411 | 869,733 | 1,424,419 | 562,538 | |||
Net Investment Income (Loss) | 8,254 | (573,230) | 5,006,464 | 3,425,377 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS): | |||||||
Net realized gain (loss) on: | |||||||
Investments | — | (58,985) | (3,090,444) | (2,799,940) | |||
Futures contracts | — | (1,194,331) | (8,237,279) | — | |||
Net realized gain (loss) | — | (1,253,316) | (11,327,723) | (2,799,940) | |||
Net change in unrealized appreciation (depreciation) of: | |||||||
Investments | — | (8,198,031) | (42,970,614) | (16,616,735) | |||
Futures contracts | — | (255,660) | (1,279,525) | — | |||
Foreign currencies | — | — | — | (1,769) | |||
Net change in unrealized appreciation (depreciation) | — | (8,453,691) | (44,250,139) | (16,618,504) | |||
Net Realized and Unrealized Gain (Loss) | — | (9,707,007) | (55,577,862) | (19,418,444) | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 8,254 | $(10,280,237) | $ (50,571,398) | $ (15,993,067) |
Flexibly Managed Fund | Balanced Fund | Large Growth Stock Fund | Large Cap Growth Fund | ||||
INVESTMENT INCOME: | |||||||
Dividends | $ 17,325,919 | $ 148 | $ 637,750 | $ 372,617 | |||
Interest | 27,201,810 | — | — | — | |||
Foreign taxes withheld | (105,126) | — | (16,762) | (5,691) | |||
Total Investment Income | 44,422,603 | 148 | 620,988 | 366,926 | |||
EXPENSES: | |||||||
Investment advisory fees (See Note 3) | 17,163,917 | — | 1,165,074 | 191,241 | |||
Shareholder servicing fees (See Note 3) | 2,255,882 | 36,806 | 147,638 | 31,294 | |||
Administration fees (See Note 3) | 751,961 | 12,269 | 49,213 | 10,431 | |||
Accounting fees (See Note 3) | 570,732 | 5,951 | 88,088 | 24,340 | |||
Directors’ fees and expenses | 148,828 | 2,487 | 11,015 | 2,076 | |||
Custodian fees and expenses | 190,982 | 3,200 | 16,105 | 3,140 | |||
Pricing fees | 10,063 | 1,756 | 4,583 | 2,992 | |||
Professional fees | 236,603 | 3,727 | 27,689 | 3,655 | |||
Printing fees | 136,326 | 2,901 | 10,562 | 2,528 | |||
Other expenses | 352,599 | 12,070 | 58,374 | 27,599 | |||
Total Expenses | 21,817,893 | 81,167 | 1,578,341 | 299,296 | |||
Net Investment Income (Loss) | 22,604,710 | (81,019) | (957,353) | 67,630 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS): | |||||||
Net realized gain (loss) on: | |||||||
Affiliated Investments | — | 3,875,656 | — | — | |||
Unaffiliated investments | 405,150,343 | — | 5,733,864 | 6,024,985 | |||
Written options | 11,666,455 | — | — | — | |||
Foreign currencies | (30,514) | — | 677 | (447) | |||
Forward foreign currency contracts | — | — | — | (41) | |||
Net realized gain (loss) | 416,786,284 | 3,875,656 | 5,734,541 | 6,024,497 | |||
Net change in unrealized appreciation (depreciation) of: | |||||||
Affiliated Investments | — | (18,651,395) | — | — | |||
Unaffiliated Investments | (1,288,375,744) | — | (157,014,716) | (22,237,364) | |||
Written options | 67,163,500 | — | — | — | |||
Foreign currencies | (6,076) | — | (290) | (1,766) | |||
Net change in unrealized appreciation (depreciation) | (1,221,218,320) | (18,651,395) | (157,015,006) | (22,239,130) | |||
Net Realized and Unrealized Gain (Loss) | (804,432,036) | (14,775,739) | (151,280,465) | (16,214,633) | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ (781,827,326) | $(14,856,758) | $ (152,237,818) | $(16,147,003) |
Large Core Growth Fund | Large Cap Value Fund | Large Core Value Fund | Index 500 Fund | ||||
INVESTMENT INCOME: | |||||||
Dividends | $ 120,414 | $ 2,163,551 | $ 1,666,930 | $ 4,709,082 | |||
Interest | — | 12,230 | — | — | |||
Foreign taxes withheld | (6,943) | (49,308) | (34,077) | (1,426) | |||
Total Investment Income | 113,471 | 2,126,473 | 1,632,853 | 4,707,656 | |||
EXPENSES: | |||||||
Investment advisory fees (See Note 3) | 413,043 | 630,063 | 599,310 | 395,529 | |||
Shareholder servicing fees (See Note 3) | 61,956 | 85,180 | 80,922 | 279,910 | |||
Administration fees (See Note 3) | 20,652 | 28,393 | 26,974 | 93,303 | |||
Accounting fees (See Note 3) | 44,296 | 57,240 | 54,874 | 131,369 | |||
Directors’ fees and expenses | 5,221 | 5,590 | 5,290 | 18,530 | |||
Custodian fees and expenses | 8,190 | 7,026 | 6,560 | 23,536 | |||
Pricing fees | 2,187 | 3,895 | 2,357 | 6,149 | |||
Professional fees | 8,404 | 9,073 | 8,692 | 30,446 | |||
Printing fees | 5,316 | 5,744 | 5,482 | 17,469 | |||
Other expenses | 35,159 | 32,248 | 30,047 | 82,257 | |||
Total Expenses | 604,424 | 864,452 | 820,508 | 1,078,498 | |||
Net Investment Income (Loss) | (490,953) | 1,262,021 | 812,345 | 3,629,158 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS): | |||||||
Net realized gain (loss) on: | |||||||
Investments | (5,719,957) | 9,916,783 | 12,201,160 | 15,541,815 | |||
Futures contracts | — | — | — | (1,428,589) | |||
Foreign currencies | (166) | — | — | — | |||
Net realized gain (loss) | (5,720,123) | 9,916,783 | 12,201,160 | 14,113,226 | |||
Net change in unrealized appreciation (depreciation) of: | |||||||
Investments | (100,270,821) | (35,100,404) | (29,625,086) | (156,718,663) | |||
Futures contracts | — | — | — | (76,101) | |||
Foreign currencies | (395) | — | — | — | |||
Net change in unrealized appreciation (depreciation) | (100,271,216) | (35,100,404) | (29,625,086) | (156,794,764) | |||
Net Realized and Unrealized Gain (Loss) | (105,991,339) | (25,183,621) | (17,423,926) | (142,681,538) | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $(106,482,292) | $(23,921,600) | $ (16,611,581) | $(139,052,380) |
Mid Cap Growth Fund | Mid Cap Value Fund | Mid Core Value Fund | SMID Cap Growth Fund | ||||
INVESTMENT INCOME: | |||||||
Dividends | $ 355,062 | $ 829,307 | $ 1,195,357 | $ 163,661 | |||
Foreign taxes withheld | 43 | (1,373) | (20,386) | (296) | |||
Total Investment Income | 355,105 | 827,934 | 1,174,971 | 163,365 | |||
EXPENSES: | |||||||
Investment advisory fees (See Note 3) | 570,761 | 266,907 | 314,146 | 298,323 | |||
Shareholder servicing fees (See Note 3) | 73,384 | 43,676 | 40,975 | 35,799 | |||
Administration fees (See Note 3) | 24,461 | 14,559 | 13,659 | 11,933 | |||
Accounting fees (See Note 3) | 50,686 | 33,873 | 31,870 | 27,835 | |||
Directors’ fees and expenses | 5,308 | 2,855 | 2,723 | 2,615 | |||
Custodian fees and expenses | 7,356 | 3,576 | 4,623 | 3,701 | |||
Pricing fees | 2,941 | 2,980 | 3,567 | 2,704 | |||
Professional fees | 8,663 | 4,755 | 4,811 | 4,397 | |||
Printing fees | 5,419 | 3,246 | 3,126 | 2,995 | |||
Other expenses | 35,656 | 25,607 | 43,128 | 25,937 | |||
Total Expenses | 784,635 | 402,034 | 462,628 | 416,239 | |||
Net Investment Income (Loss) | (429,530) | 425,900 | 712,343 | (252,874) | |||
NET REALIZED AND UNREALIZED GAIN (LOSS): | |||||||
Net realized gain (loss) on: | |||||||
Investments | 11,328,106 | 3,563,788 | 9,020,066 | (995,026) | |||
Written options | (599,147) | — | — | — | |||
Purchased options | (50,747) | — | — | — | |||
Foreign currencies | — | (17) | (4,913) | — | |||
Forward foreign currency contracts | — | — | 461,540 | — | |||
Net realized gain (loss) | 10,678,212 | 3,563,771 | 9,476,693 | (995,026) | |||
Net change in unrealized appreciation (depreciation) of: | |||||||
Investments | (78,372,482) | (16,196,577) | (17,557,437) | (32,955,753) | |||
Written options | 86,828 | — | — | — | |||
Purchased options | 18,377 | — | — | — | |||
Foreign currencies | — | (7) | (2,086) | (8) | |||
Forward foreign currency contracts | — | — | 81,119 | — | |||
Net change in unrealized appreciation (depreciation) | (78,267,277) | (16,196,584) | (17,478,404) | (32,955,761) | |||
Net Realized and Unrealized Gain (Loss) | (67,589,065) | (12,632,813) | (8,001,711) | (33,950,787) | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ (68,018,595) | $(12,206,913) | $ (7,289,368) | $ (34,203,661) |
SMID Cap Value Fund | Small Cap Growth Fund | Small Cap Value Fund | Small Cap Index Fund | ||||
INVESTMENT INCOME: | |||||||
Dividends | $ 509,398 | $ 253,167 | $ 1,346,038 | $ 530,552 | |||
Foreign taxes withheld | (723) | (1,529) | (3,372) | (785) | |||
Total Investment Income | 508,675 | 251,638 | 1,342,666 | 529,767 | |||
EXPENSES: | |||||||
Investment advisory fees (See Note 3) | 267,115 | 421,615 | 647,775 | 127,945 | |||
Shareholder servicing fees (See Note 3) | 28,619 | 51,817 | 80,894 | 38,383 | |||
Administration fees (See Note 3) | 9,540 | 17,272 | 26,965 | 12,794 | |||
Accounting fees (See Note 3) | 22,260 | 38,689 | 54,859 | 29,854 | |||
Directors’ fees and expenses | 1,965 | 3,644 | 5,443 | 2,617 | |||
Custodian fees and expenses | 2,467 | 5,272 | 6,900 | 3,452 | |||
Pricing fees | 2,598 | 3,783 | 4,315 | 17,054 | |||
Professional fees | 3,411 | 6,374 | 9,045 | 6,736 | |||
Printing fees | 2,432 | 3,938 | 5,586 | 3,013 | |||
Other expenses | 29,787 | 32,243 | 56,036 | 60,837 | |||
Total Expenses | 370,194 | 584,647 | 897,818 | 302,685 | |||
Net Investment Income (Loss) | 138,481 | (333,009) | 444,848 | 227,082 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS): | |||||||
Net realized gain (loss) on: | |||||||
Investments | 4,794,221 | 1,677,203 | 5,952,476 | 601,316 | |||
Futures contracts | — | — | — | (216,704) | |||
Foreign currencies | — | (1,659) | — | — | |||
Net realized gain (loss) | 4,794,221 | 1,675,544 | 5,952,476 | 384,612 | |||
Net change in unrealized appreciation (depreciation) of: | |||||||
Investments | (18,738,071) | (37,852,590) | (40,934,412) | (23,968,313) | |||
Futures contracts | — | — | — | (72,666) | |||
Foreign currencies | — | (833) | — | — | |||
Net change in unrealized appreciation (depreciation) | (18,738,071) | (37,853,423) | (40,934,412) | (24,040,979) | |||
Net Realized and Unrealized Gain (Loss) | (13,943,850) | (36,177,879) | (34,981,936) | (23,656,367) | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ (13,805,369) | $(36,510,888) | $(34,537,088) | $(23,429,285) |
Developed International Index Fund | International Equity Fund | Emerging Markets Equity Fund | Real Estate Securities Fund | ||||
INVESTMENT INCOME: | |||||||
Dividends | $ 2,427,341 | $ 2,179,216 | $ 1,330,478 | $ 1,832,366 | |||
Foreign taxes withheld | (259,170) | (276,957) | (163,031) | — | |||
Total Investment Income | 2,168,171 | 1,902,259 | 1,167,447 | 1,832,366 | |||
EXPENSES: | |||||||
Investment advisory fees (See Note 3) | 152,843 | 1,157,822 | 499,778 | 432,397 | |||
Shareholder servicing fees (See Note 3) | 45,853 | 133,241 | 51,701 | 55,594 | |||
Administration fees (See Note 3) | 15,284 | 44,414 | 17,234 | 18,531 | |||
Accounting fees (See Note 3) | 40,316 | 98,745 | 44,385 | 40,803 | |||
Directors’ fees and expenses | 3,080 | 9,119 | 3,563 | 3,651 | |||
Custodian fees and expenses | 13,618 | 48,110 | 39,426 | 4,746 | |||
Pricing fees | 46,976 | 5,560 | 6,827 | 2,513 | |||
Professional fees | 27,919 | 20,015 | 21,260 | 5,868 | |||
Printing fees | 3,445 | 8,901 | 3,890 | 3,952 | |||
Other expenses | 102,783 | 49,410 | 63,389 | 23,666 | |||
Total Expenses | 452,117 | 1,575,337 | 751,453 | 591,721 | |||
Net Investment Income (Loss) | 1,716,054 | 326,922 | 415,994 | 1,240,645 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS): | |||||||
Net realized gain (loss) on: | |||||||
Investments | (197,177) | (5,692,575) | 220,876 | 5,981,516 | |||
Futures contracts | (556,514) | — | — | — | |||
Foreign currencies | (40,899) | (316,438) | (91,396) | — | |||
Forward foreign currency contracts | 1,536 | — | — | — | |||
Net realized gain (loss) | (793,054) | (6,009,013) | 129,480 | 5,981,516 | |||
Net change in unrealized appreciation (depreciation) of: | |||||||
Investments | (23,155,237) | (80,849,342) | (24,703,882) | (33,801,321) | |||
Futures contracts | (87,434) | — | — | — | |||
Foreign currencies | (47,448) | (84,953) | (9,023) | — | |||
Net change in unrealized appreciation (depreciation) | (23,290,119) | (80,934,295) | (24,712,905) | (33,801,321) | |||
Net Realized and Unrealized Gain (Loss) | (24,083,173) | (86,943,308) | (24,583,425) | (27,819,805) | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ (22,367,119) | $ (86,616,386) | $ (24,167,431) | $(26,579,160) |
Aggressive Allocation Fund | Moderately Aggressive Allocation Fund | Moderate Allocation Fund | Moderately Conservative Allocation Fund | ||||
INVESTMENT INCOME: | |||||||
Dividends | $ 375 | $ 1,136 | $ 914 | $ 558 | |||
Total Investment Income | 375 | 1,136 | 914 | 558 | |||
EXPENSES: | |||||||
Investment advisory fees (See Note 3) | 37,586 | 131,519 | 151,370 | 55,675 | |||
Shareholder servicing fees (See Note 3) | 28,189 | 99,501 | 115,734 | 41,756 | |||
Administration fees (See Note 3) | 9,396 | 33,167 | 38,578 | 13,919 | |||
Accounting fees (See Note 3) | 5,951 | 11,056 | 12,859 | 5,951 | |||
Directors’ fees and expenses | 1,894 | 6,650 | 7,797 | 2,696 | |||
Custodian fees and expenses | 2,451 | 8,554 | 10,099 | 3,413 | |||
Pricing fees | 1,756 | 1,756 | 1,756 | 1,756 | |||
Professional fees | 2,832 | 9,959 | 11,687 | 4,061 | |||
Printing fees | 2,364 | 6,694 | 7,736 | 3,100 | |||
Other expenses | 12,572 | 20,552 | 22,905 | 12,541 | |||
Total Expenses | 104,991 | 329,408 | 380,521 | 144,868 | |||
Net Investment Income (Loss) | (104,616) | (328,272) | (379,607) | (144,310) | |||
NET REALIZED AND UNREALIZED GAIN (LOSS): | |||||||
Net realized gain (loss) on affiliated investments | 2,631,227 | 9,377,993 | 9,368,656 | 2,504,126 | |||
Net change in unrealized appreciation (depreciation) of affiliated investments | (14,881,753) | (49,021,457) | (50,369,766) | (14,068,486) | |||
Net Realized and Unrealized Gain (Loss) | (12,250,526) | (39,643,464) | (41,001,110) | (11,564,360) | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ (12,355,142) | $ (39,971,736) | $ (41,380,717) | $ (11,708,670) |
Conservative Allocation Fund | |
INVESTMENT INCOME: | |
Dividends | $ 469 |
Total Investment Income | 469 |
EXPENSES: | |
Investment advisory fees (See Note 3) | 32,551 |
Shareholder servicing fees (See Note 3) | 24,413 |
Administration fees (See Note 3) | 8,138 |
Accounting fees (See Note 3) | 5,951 |
Directors’ fees and expenses | 1,623 |
Custodian fees and expenses | 2,129 |
Pricing fees | 1,756 |
Professional fees | 2,435 |
Printing fees | 2,120 |
Other expenses | 10,419 |
Total Expenses | 91,535 |
Net Investment Income (Loss) | (91,066) |
NET REALIZED AND UNREALIZED GAIN (LOSS): | |
Net realized gain (loss) on affiliated investments | 992,034 |
Net change in unrealized appreciation (depreciation) of affiliated investments | (6,371,515) |
Net Realized and Unrealized Gain (Loss) | (5,379,481) |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $(5,470,547) |
Money Market Fund | Limited Maturity Bond Fund | ||||||
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||||
Increase (Decrease) in Net Assets Operations: | |||||||
Net investment income (loss) | $ 8,254 | $ 16,716 | $ (573,230) | $ 3,792,737 | |||
Net realized gain (loss) | — | 2,714 | (1,253,316) | (227,082) | |||
Net change in unrealized appreciation (depreciation) | — | — | (8,453,691) | (2,512,682) | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | 8,254 | 19,430 | (10,280,237) | 1,052,973 | |||
Distributions from: | |||||||
Distributable earnings | (5,049) | (16,716) | — | — | |||
Total Distributions | (5,049) | (16,716) | — | — | |||
Capital Share Transactions (1): | |||||||
Shares issued | 66,015,865 | 135,442,747 | 18,489,129 | 54,991,956 | |||
Shares issued in lieu of cash distributions | 8,254 | 16,716 | — | — | |||
Shares redeemed | (55,868,755) | (133,727,825) | (32,756,913) | (50,938,391) | |||
Net Increase (Decrease) in Net Assets from Capital Share Transactions | 10,155,364 | 1,731,638 | (14,267,784) | 4,053,565 | |||
Total Increase (Decrease) | 10,158,569 | 1,734,352 | (24,548,021) | 5,106,538 | |||
Net Assets: | |||||||
Beginning of period | 162,201,518 | 160,467,166 | 259,984,411 | 254,877,873 | |||
End of period | $ 172,360,087 | $ 162,201,518 | $ 235,436,390 | $ 259,984,411 | |||
(1) Shares Issued and Redeemed: | |||||||
Shares issued | 66,015,865 | 135,442,747 | 1,404,187 | 4,107,612 | |||
Shares issued in lieu of cash distributions | 8,254 | 16,716 | — | — | |||
Shares redeemed | (55,868,755) | (133,727,825) | (2,515,128) | (3,805,410) | |||
10,155,364 | 1,731,638 | (1,110,941) | 302,202 |
Quality Bond Fund | High Yield Bond Fund | ||||||
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||||
Increase (Decrease) in Net Assets Operations: | |||||||
Net investment income (loss) | $ 5,006,464 | $ 9,519,197 | $ 3,425,377 | $ 6,975,214 | |||
Net realized gain (loss) | (11,327,723) | 1,316,279 | (2,799,940) | 6,519,498 | |||
Net change in unrealized appreciation (depreciation) | (44,250,139) | (14,198,475) | (16,618,504) | (5,155,856) | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | (50,571,398) | (3,362,999) | (15,993,067) | 8,338,856 | |||
Capital Share Transactions (1): | |||||||
Shares issued | 13,376,899 | 63,716,703 | 4,495,190 | 15,459,601 | |||
Shares redeemed | (46,447,813) | (72,761,498) | (16,291,100) | (21,758,474) | |||
Net Increase (Decrease) in Net Assets from Capital Share Transactions | (33,070,914) | (9,044,795) | (11,795,910) | (6,298,873) | |||
Total Increase (Decrease) | (83,642,312) | (12,407,794) | (27,788,977) | 2,039,983 | |||
Net Assets: | |||||||
Beginning of period | 472,066,372 | 484,474,166 | 169,431,438 | 167,391,455 | |||
End of period | $388,424,060 | $ 472,066,372 | $ 141,642,461 | $169,431,438 | |||
(1) Shares Issued and Redeemed: | |||||||
Shares issued | 813,541 | 3,710,167 | 276,389 | 936,393 | |||
Shares redeemed | (2,912,150) | (4,230,720) | (1,016,549) | (1,322,604) | |||
(2,098,609) | (520,553) | (740,160) | (386,211) |
Flexibly Managed Fund | Balanced Fund | ||||||
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||||
Increase (Decrease) in Net Assets Operations: | |||||||
Net investment income (loss) | $ 22,604,710 | $ 41,801,770 | $ (81,019) | $ (171,009) | |||
Net realized gain (loss) | 416,786,284 | 612,729,648 | 3,875,656 | 9,391,510 | |||
Net change in unrealized appreciation (depreciation) | (1,221,218,320) | 218,125,111 | (18,651,395) | 3,806,283 | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | (781,827,326) | 872,656,529 | (14,856,758) | 13,026,784 | |||
Capital Share Transactions (1): | |||||||
Shares issued | 44,052,588 | 78,991,493 | 1,292,840 | 4,700,832 | |||
Shares redeemed | (176,932,133) | (350,338,635) | (6,733,198) | (9,322,437) | |||
Net Increase (Decrease) in Net Assets from Capital Share Transactions | (132,879,545) | (271,347,142) | (5,440,358) | (4,621,605) | |||
Total Increase (Decrease) | (914,706,871) | 601,309,387 | (20,297,116) | 8,405,179 | |||
Net Assets: | |||||||
Beginning of period | 5,487,664,764 | 4,886,355,377 | 92,752,909 | 84,347,730 | |||
End of period | $ 4,572,957,893 | $5,487,664,764 | $ 72,455,793 | $ 92,752,909 | |||
(1) Shares Issued and Redeemed: | |||||||
Shares issued | 514,199 | 929,618 | 44,152 | 162,133 | |||
Shares redeemed | (2,088,242) | (4,131,573) | (233,569) | (317,193) | |||
(1,574,043) | (3,201,955) | (189,417) | (155,060) |
Large Growth Stock Fund | Large Cap Growth Fund | ||||||
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||||
Increase (Decrease) in Net Assets Operations: | |||||||
Net investment income (loss) | $ (957,353) | $ (2,594,374) | $ 67,630 | $ 36,523 | |||
Net realized gain (loss) | 5,734,541 | 59,901,290 | 6,024,497 | 8,403,431 | |||
Net change in unrealized appreciation (depreciation) | (157,015,006) | 7,107,520 | (22,239,130) | 8,730,895 | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | (152,237,818) | 64,414,436 | (16,147,003) | 17,170,849 | |||
Capital Share Transactions (1): | |||||||
Shares issued | 14,676,686 | 16,606,702 | 10,983,290 | 5,333,971 | |||
Shares redeemed | (29,999,591) | (58,120,448) | (12,489,572) | (12,024,711) | |||
Net Increase (Decrease) in Net Assets from Capital Share Transactions | (15,322,905) | (41,513,746) | (1,506,282) | (6,690,740) | |||
Total Increase (Decrease) | (167,560,723) | 22,900,690 | (17,653,285) | 10,480,109 | |||
Net Assets: | |||||||
Beginning of period | 428,687,404 | 405,786,714 | 79,016,134 | 68,536,025 | |||
End of period | $ 261,126,681 | $428,687,404 | $ 61,362,849 | $ 79,016,134 | |||
(1) Shares Issued and Redeemed: | |||||||
Shares issued | 238,182 | 213,275 | 334,484 | 159,695 | |||
Shares redeemed | (469,397) | (740,342) | (392,079) | (348,367) | |||
(231,215) | (527,067) | (57,595) | (188,672) |
Large Core Growth Fund | Large Cap Value Fund | ||||||
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||||
Increase (Decrease) in Net Assets Operations: | |||||||
Net investment income (loss) | $ (490,953) | $ (1,619,382) | $ 1,262,021 | $ 1,561,813 | |||
Net realized gain (loss) | (5,720,123) | 41,852,998 | 9,916,783 | 32,298,494 | |||
Net change in unrealized appreciation (depreciation) | (100,271,216) | (48,219,459) | (35,100,404) | 13,408,379 | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | (106,482,292) | (7,985,843) | (23,921,600) | 47,268,686 | |||
Capital Share Transactions (1): | |||||||
Shares issued | 10,687,097 | 17,243,325 | 5,249,522 | 8,082,948 | |||
Shares redeemed | (9,143,038) | (25,806,226) | (15,023,992) | (30,566,489) | |||
Net Increase (Decrease) in Net Assets from Capital Share Transactions | 1,544,059 | (8,562,901) | (9,774,470) | (22,483,541) | |||
Total Increase (Decrease) | (104,938,233) | (16,548,744) | (33,696,070) | 24,785,145 | |||
Net Assets: | |||||||
Beginning of period | 205,479,269 | 222,028,013 | 202,596,132 | 177,810,987 | |||
End of period | $ 100,541,036 | $ 205,479,269 | $ 168,900,062 | $ 202,596,132 | |||
(1) Shares Issued and Redeemed: | |||||||
Shares issued | 374,926 | 338,124 | 128,998 | 208,887 | |||
Shares redeemed | (271,553) | (500,372) | (367,715) | (794,797) | |||
103,373 | (162,248) | (238,717) | (585,910) |
Large Core Value Fund | Index 500 Fund | ||||||
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||||
Increase (Decrease) in Net Assets Operations: | |||||||
Net investment income (loss) | $ 812,345 | $ 2,311,499 | $ 3,629,158 | $ 6,707,780 | |||
Net realized gain (loss) | 12,201,160 | 30,721,742 | 14,113,226 | 45,700,232 | |||
Net change in unrealized appreciation (depreciation) | (29,625,086) | 8,290,741 | (156,794,764) | 108,515,289 | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | (16,611,581) | 41,323,982 | (139,052,380) | 160,923,301 | |||
Capital Share Transactions (1): | |||||||
Shares issued | 6,617,105 | 9,614,251 | 50,358,517 | 38,832,262 | |||
Shares redeemed | (24,365,078) | (40,761,500) | (29,116,083) | (96,966,378) | |||
Net Increase (Decrease) in Net Assets from Capital Share Transactions | (17,747,973) | (31,147,249) | 21,242,434 | (58,134,116) | |||
Total Increase (Decrease) | (34,359,554) | 10,176,733 | (117,809,946) | 102,789,185 | |||
Net Assets: | |||||||
Beginning of period | 189,135,580 | 178,958,847 | 698,722,095 | 595,932,910 | |||
End of period | $ 154,776,026 | $ 189,135,580 | $ 580,912,149 | $ 698,722,095 | |||
(1) Shares Issued and Redeemed: | |||||||
Shares issued | 233,272 | 364,000 | 1,438,714 | 1,041,297 | |||
Shares redeemed | (880,221) | (1,529,299) | (773,707) | (2,630,019) | |||
(646,949) | (1,165,299) | 665,007 | (1,588,722) |
Mid Cap Growth Fund | Mid Cap Value Fund | ||||||
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||||
Increase (Decrease) in Net Assets Operations: | |||||||
Net investment income (loss) | $ (429,530) | $ (1,316,903) | $ 425,900 | $ 542,837 | |||
Net realized gain (loss) | 10,678,212 | 34,156,474 | 3,563,771 | 14,042,856 | |||
Net change in unrealized appreciation (depreciation) | (78,267,277) | (1,438,703) | (16,196,584) | 3,104,740 | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | (68,018,595) | 31,400,868 | (12,206,913) | 17,690,433 | |||
Capital Share Transactions (1): | |||||||
Shares issued | 7,334,676 | 11,782,143 | 2,041,500 | 5,865,740 | |||
Shares redeemed | (12,831,609) | (30,128,689) | (8,072,335) | (14,241,668) | |||
Net Increase (Decrease) in Net Assets from Capital Share Transactions | (5,496,933) | (18,346,546) | (6,030,835) | (8,375,928) | |||
Total Increase (Decrease) | (73,515,528) | 13,054,322 | (18,237,748) | 9,314,505 | |||
Net Assets: | |||||||
Beginning of period | 210,046,617 | 196,992,295 | 104,076,388 | 94,761,883 | |||
End of period | $ 136,531,089 | $ 210,046,617 | $ 85,838,640 | $104,076,388 | |||
(1) Shares Issued and Redeemed: | |||||||
Shares issued | 209,749 | 276,197 | 77,295 | 226,526 | |||
Shares redeemed | (347,261) | (708,179) | (304,472) | (551,073) | |||
(137,512) | (431,982) | (227,177) | (324,547) |
Mid Core Value Fund | SMID Cap Growth Fund | ||||||
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||||
Increase (Decrease) in Net Assets Operations: | |||||||
Net investment income (loss) | $ 712,343 | $ 1,262,614 | $ (252,874) | $ (785,842) | |||
Net realized gain (loss) | 9,476,693 | 17,392,267 | (995,026) | 17,862,730 | |||
Net change in unrealized appreciation (depreciation) | (17,478,404) | 1,914,097 | (32,955,761) | (9,805,272) | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | (7,289,368) | 20,568,978 | (34,203,661) | 7,271,616 | |||
Capital Share Transactions (1): | |||||||
Shares issued | 6,337,144 | 8,047,009 | 5,872,439 | 16,757,559 | |||
Shares redeemed | (10,317,408) | (28,155,842) | (6,578,894) | (16,259,146) | |||
Net Increase (Decrease) in Net Assets from Capital Share Transactions | (3,980,264) | (20,108,833) | (706,455) | 498,413 | |||
Total Increase (Decrease) | (11,269,632) | 460,145 | (34,910,116) | 7,770,029 | |||
Net Assets: | |||||||
Beginning of period | 94,536,958 | 94,076,813 | 103,779,839 | 96,009,810 | |||
End of period | $ 83,267,326 | $ 94,536,958 | $ 68,869,723 | $103,779,839 | |||
(1) Shares Issued and Redeemed: | |||||||
Shares issued | 190,865 | 256,449 | 136,445 | 298,608 | |||
Shares redeemed | (307,643) | (888,283) | (144,278) | (292,408) | |||
(116,778) | (631,834) | (7,833) | 6,200 |
SMID Cap Value Fund | Small Cap Growth Fund | ||||||
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||||
Increase (Decrease) in Net Assets Operations: | |||||||
Net investment income (loss) | $ 138,481 | $ 410,699 | $ (333,009) | $ (869,061) | |||
Net realized gain (loss) | 4,794,221 | 11,185,789 | 1,675,544 | 21,339,622 | |||
Net change in unrealized appreciation (depreciation) | (18,738,071) | 8,043,754 | (37,853,423) | (8,563,951) | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | (13,805,369) | 19,640,242 | (36,510,888) | 11,906,610 | |||
Capital Share Transactions (1): | |||||||
Shares issued | 2,390,337 | 8,649,638 | 2,739,028 | 7,555,073 | |||
Shares redeemed | (5,911,990) | (14,151,233) | (7,383,652) | (21,846,222) | |||
Net Increase (Decrease) in Net Assets from Capital Share Transactions | (3,521,653) | (5,501,595) | (4,644,624) | (14,291,149) | |||
Total Increase (Decrease) | (17,327,022) | 14,138,647 | (41,155,512) | (2,384,539) | |||
Net Assets: | |||||||
Beginning of period | 71,810,382 | 57,671,735 | 140,210,436 | 142,594,975 | |||
End of period | $ 54,483,360 | $ 71,810,382 | $ 99,054,924 | $ 140,210,436 | |||
(1) Shares Issued and Redeemed: | |||||||
Shares issued | 66,989 | 241,807 | 48,244 | 114,121 | |||
Shares redeemed | (164,065) | (405,692) | (130,776) | (331,087) | |||
(97,076) | (163,885) | (82,532) | (216,966) |
Small Cap Value Fund | Small Cap Index Fund | ||||||
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||||
Increase (Decrease) in Net Assets Operations: | |||||||
Net investment income (loss) | $ 444,848 | $ 411,564 | $ 227,082 | $ 282,211 | |||
Net realized gain (loss) | 5,952,476 | 47,543,690 | 384,612 | 12,592,002 | |||
Net change in unrealized appreciation (depreciation) | (40,934,412) | (1,680,539) | (24,040,979) | (2,656,160) | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | (34,537,088) | 46,274,715 | (23,429,285) | 10,218,053 | |||
Capital Share Transactions (1): | |||||||
Shares issued | 2,140,355 | 10,348,403 | 6,587,210 | 26,580,797 | |||
Shares redeemed | (11,956,947) | (37,362,659) | (5,841,121) | (13,823,850) | |||
Net Increase (Decrease) in Net Assets from Capital Share Transactions | (9,816,592) | (27,014,256) | 746,089 | 12,756,947 | |||
Total Increase (Decrease) | (44,353,680) | 19,260,459 | (22,683,196) | 22,975,000 | |||
Net Assets: | |||||||
Beginning of period | 199,172,614 | 179,912,155 | 98,827,070 | 75,852,070 | |||
End of period | $ 154,818,934 | $ 199,172,614 | $ 76,143,874 | $ 98,827,070 | |||
(1) Shares Issued and Redeemed: | |||||||
Shares issued | 45,437 | 215,026 | 222,739 | 757,555 | |||
Shares redeemed | (250,982) | (777,855) | (194,242) | (406,236) | |||
(205,545) | (562,829) | 28,497 | 351,319 |
Developed International Index Fund | International Equity Fund | ||||||
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||||
Increase (Decrease) in Net Assets Operations: | |||||||
Net investment income (loss) | $ 1,716,054 | $ 1,866,783 | $ 326,922 | $ (339,271) | |||
Net realized gain (loss) | (793,054) | 2,882,380 | (6,009,013) | 63,990,279 | |||
Net change in unrealized appreciation (depreciation) | (23,290,119) | 6,539,323 | (80,934,295) | (23,183,396) | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | (22,367,119) | 11,288,486 | (86,616,386) | 40,467,612 | |||
Capital Share Transactions (1): | |||||||
Shares issued | 4,422,270 | 9,600,052 | 13,356,888 | 18,978,194 | |||
Shares redeemed | (6,138,791) | (16,026,129) | (18,271,232) | (42,714,865) | |||
Net Increase (Decrease) in Net Assets from Capital Share Transactions | (1,716,521) | (6,426,077) | (4,914,344) | (23,736,671) | |||
Total Increase (Decrease) | (24,083,640) | 4,862,409 | (91,530,730) | 16,730,941 | |||
Net Assets: | |||||||
Beginning of period | 114,158,028 | 109,295,619 | 353,004,682 | 336,273,741 | |||
End of period | $ 90,074,388 | $ 114,158,028 | $ 261,473,952 | $353,004,682 | |||
(1) Shares Issued and Redeemed: | |||||||
Shares issued | 280,410 | 559,616 | 365,649 | 468,705 | |||
Shares redeemed | (385,925) | (938,773) | (493,557) | (1,026,636) | |||
(105,515) | (379,157) | (127,908) | (557,931) |
Emerging Markets Equity Fund | Real Estate Securities Fund | ||||||
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||||
Increase (Decrease) in Net Assets Operations: | |||||||
Net investment income (loss) | $ 415,994 | $ 104,632 | $ 1,240,645 | $ 1,161,507 | |||
Net realized gain (loss) | 129,480 | 19,486,168 | 5,981,516 | 16,592,735 | |||
Net change in unrealized appreciation (depreciation) | (24,712,905) | (26,890,936) | (33,801,321) | 28,759,376 | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | (24,167,431) | (7,300,136) | (26,579,160) | 46,513,618 | |||
Capital Share Transactions (1): | |||||||
Shares issued | 4,563,270 | 16,132,556 | 4,540,616 | 4,276,599 | |||
Shares redeemed | (9,701,028) | (23,530,604) | (7,730,875) | (31,792,613) | |||
Net Increase (Decrease) in Net Assets from Capital Share Transactions | (5,137,758) | (7,398,048) | (3,190,259) | (27,516,014) | |||
Total Increase (Decrease) | (29,305,189) | (14,698,184) | (29,769,419) | 18,997,604 | |||
Net Assets: | |||||||
Beginning of period | 130,637,245 | 145,335,429 | 140,060,815 | 121,063,211 | |||
End of period | $ 101,332,056 | $ 130,637,245 | $ 110,291,396 | $ 140,060,815 | |||
(1) Shares Issued and Redeemed: | |||||||
Shares issued | 373,041 | 1,095,679 | 136,801 | 132,791 | |||
Shares redeemed | (790,787) | (1,555,915) | (228,691) | (1,001,340) | |||
(417,746) | (460,236) | (91,890) | (868,549) |
Aggressive Allocation Fund | Moderately Aggressive Allocation Fund | ||||||
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||||
Increase (Decrease) in Net Assets Operations: | |||||||
Net investment income (loss) | $ (104,616) | $ (229,248) | $ (328,272) | $ (706,097) | |||
Net realized gain (loss) | 2,631,227 | 8,475,044 | 9,377,993 | 20,521,343 | |||
Net change in unrealized appreciation (depreciation) | (14,881,753) | 2,360,017 | (49,021,457) | 14,233,495 | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | (12,355,142) | 10,605,813 | (39,971,736) | 34,048,741 | |||
Capital Share Transactions (1): | |||||||
Shares issued | 1,047,321 | 3,928,352 | 3,308,111 | 8,425,976 | |||
Shares redeemed | (4,017,718) | (13,951,031) | (11,847,659) | (23,086,058) | |||
Net Increase (Decrease) in Net Assets from Capital Share Transactions | (2,970,397) | (10,022,679) | (8,539,548) | (14,660,082) | |||
Total Increase (Decrease) | (15,325,539) | 583,134 | (48,511,284) | 19,388,659 | |||
Net Assets: | |||||||
Beginning of period | 70,656,699 | 70,073,565 | 246,472,903 | 227,084,244 | |||
End of period | $ 55,331,160 | $ 70,656,699 | $ 197,961,619 | $ 246,472,903 | |||
(1) Shares Issued and Redeemed: | |||||||
Shares issued | 41,948 | 151,870 | 126,527 | 319,365 | |||
Shares redeemed | (162,673) | (553,262) | (464,497) | (874,683) | |||
(120,725) | (401,392) | (337,970) | (555,318) |
Moderate Allocation Fund | Moderately Conservative Allocation Fund | ||||||
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||||
Increase (Decrease) in Net Assets Operations: | |||||||
Net investment income (loss) | $ (379,607) | $ (840,649) | $ (144,310) | $ (298,717) | |||
Net realized gain (loss) | 9,368,656 | 25,886,652 | 2,504,126 | 7,087,205 | |||
Net change in unrealized appreciation (depreciation) | (50,369,766) | 5,964,759 | (14,068,486) | 1,139,596 | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | (41,380,717) | 31,010,762 | (11,708,670) | 7,928,084 | |||
Capital Share Transactions (1): | |||||||
Shares issued | 897,425 | 5,382,276 | 4,831,543 | 12,980,442 | |||
Shares redeemed | (18,169,834) | (34,241,634) | (5,718,957) | (15,618,874) | |||
Net Increase (Decrease) in Net Assets from Capital Share Transactions | (17,272,409) | (28,859,358) | (887,414) | (2,638,432) | |||
Total Increase (Decrease) | (58,653,126) | 2,151,404 | (12,596,084) | 5,289,652 | |||
Net Assets: | |||||||
Beginning of period | 288,061,114 | 285,909,710 | 99,774,761 | 94,485,109 | |||
End of period | $ 229,407,988 | $ 288,061,114 | $ 87,178,677 | $ 99,774,761 | |||
(1) Shares Issued and Redeemed: | |||||||
Shares issued | 39,969 | 237,623 | 248,528 | 650,921 | |||
Shares redeemed | (826,921) | (1,499,453) | (295,165) | (788,191) | |||
(786,952) | (1,261,830) | (46,637) | (137,270) |
Conservative Allocation Fund | |||
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||
Increase (Decrease) in Net Assets Operations: | |||
Net investment income (loss) | $ (91,066) | $ (199,764) | |
Net realized gain (loss) | 992,034 | 3,989,908 | |
Net change in unrealized appreciation (depreciation) | (6,371,515) | (1,118,481) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (5,470,547) | 2,671,663 | |
Capital Share Transactions (1): | |||
Shares issued | 1,834,931 | 11,180,718 | |
Shares redeemed | (5,321,587) | (16,518,862) | |
Net Increase (Decrease) in Net Assets from Capital Share Transactions | (3,486,656) | (5,338,144) | |
Total Increase (Decrease) | (8,957,203) | (2,666,481) | |
Net Assets: | |||
Beginning of period | 59,187,807 | 61,854,288 | |
End of period | $ 50,230,604 | $ 59,187,807 | |
(1) Shares Issued and Redeemed: | |||
Shares issued | 110,761 | 657,075 | |
Shares redeemed | (323,230) | (972,219) | |
(212,469) | (315,144) |
For a share outstanding throughout each period
Six Months Ended 6/30/22 (Unaudited) | 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 | $ 1.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)1 | — (a) | — (a) | — (a) | 0.02 | 0.01 | — (a) | |||||
Total from investment operations | — | — | — | 0.02 | 0.01 | — | |||||
Less distributions: | |||||||||||
Net investment income | — (a) | — (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 | $ 1.00 | |||||
Total return2 | 0.01% # | 0.01% | 0.24% | 1.61% | 0.55% | 0.01% | |||||
Ratios/Supplemental data: | |||||||||||
Net assets, end of period (in thousands) | $ 172,360 | $ 162,202 | $ 160,467 | $ 112,938 | $ 110,933 | $ 91,567 | |||||
Ratio of net expenses to average net assets3 | 0.37% * | 0.03% | 0.28% | 0.59% | 1.26% | 0.85% | |||||
Ratio of total expenses to average net assets4 | 0.64% * | 0.57% | 0.58% | 0.59% | 0.59% | 0.59% | |||||
Ratio of net investment income (loss) to average net assets | 0.01% * | 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. |
# | Non-annualized. |
* | Annualized. |
For a share outstanding throughout each period
Six Months Ended 6/30/22 (Unaudited) | Year Ended December 31, | ||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 13.38 | $ 13.33 | $ 12.86 | $ 12.26 | $ 12.09 | $ 11.89 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)1 | (0.03) | 0.20 | 0.24 | 0.37 | 0.32 | 0.24 | |||||
Net realized and unrealized gain (loss) on investment transactions | (0.50) | (0.15) | 0.23 | 0.23 | (0.15) | (0.04) | |||||
Total from investment operations | (0.53) | 0.05 | 0.47 | 0.60 | 0.17 | 0.20 | |||||
Net asset value, end of period | $ 12.85 | $ 13.38 | $ 13.33 | $ 12.86 | $ 12.26 | $ 12.09 | |||||
Total return2 | (3.96%) # | 0.38% | 3.65% | 4.89% | 1.41% | 1.68% | |||||
Ratios/Supplemental data: | |||||||||||
Net assets, end of period (in thousands) | $ 235,436 | $ 259,984 | $ 254,878 | $ 244,998 | $ 233,216 | $ 229,184 | |||||
Ratio of total expenses to average net assets | 0.69% * | 0.69% | 0.70% | 0.70% | 0.70% | 0.70% | |||||
Ratio of net investment income (loss) to average net assets | (0.46%) * | 1.46% | 1.86% | 2.92% | 2.61% | 1.98% | |||||
Portfolio turnover rate | 25% # | 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. |
# | Non-annualized. |
* | Annualized. |
For a share outstanding throughout each period
Six Months Ended 6/30/22 (Unaudited) | Year Ended December 31, | ||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 17.24 | $ 17.36 | $ 16.01 | $ 14.66 | $ 14.68 | $ 14.03 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)1 | 0.19 | 0.34 | 0.35 | 0.45 | 0.41 | 0.36 | |||||
Net realized and unrealized gain (loss) on investment transactions | (2.07) | (0.46) | 1.00 | 0.90 | (0.43) | 0.29 | |||||
Total from investment operations | (1.88) | (0.12) | 1.35 | 1.35 | (0.02) | 0.65 | |||||
Net asset value, end of period | $ 15.36 | $ 17.24 | $ 17.36 | $ 16.01 | $ 14.66 | $ 14.68 | |||||
Total return2 | (10.90%) # | (0.69%) | 8.43% | 9.21% | (0.14%) | 4.63% | |||||
Ratios/Supplemental data: | |||||||||||
Net assets, end of period (in thousands) | $ 388,424 | $ 472,066 | $ 484,474 | $ 433,734 | $ 409,027 | $ 485,598 | |||||
Ratio of total expenses to average net assets | 0.67% * | 0.66% | 0.67% | 0.67% | 0.66% | 0.66% | |||||
Ratio of net investment income (loss) to average net assets | 2.35% * | 2.00% | 2.11% | 2.92% | 2.81% | 2.48% | |||||
Portfolio turnover rate | 21% # | 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. |
# | Non-annualized. |
* | Annualized. |
For a share outstanding throughout each period
Six Months Ended 6/30/22 (Unaudited) | Year Ended December 31, | ||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 16.84 | $ 16.02 | $ 14.90 | $ 12.88 | $ 13.18 | $ 12.29 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)1 | 0.35 | 0.68 | 0.71 | 0.68 | 0.66 | 0.69 | |||||
Net realized and unrealized gain (loss) on investment transactions | (1.99) | 0.14 | 0.41 | 1.34 | (0.96) | 0.20 | |||||
Total from investment operations | (1.64) | 0.82 | 1.12 | 2.02 | (0.30) | 0.89 | |||||
Net asset value, end of period | $ 15.20 | $ 16.84 | $ 16.02 | $ 14.90 | $ 12.88 | $ 13.18 | |||||
Total return2 | (9.74%) # | 5.12% | 7.52% | 15.68% | (2.35%) | 7.42% | |||||
Ratios/Supplemental data: | |||||||||||
Net assets, end of period (in thousands) | $ 141,642 | $ 169,431 | $ 167,391 | $ 159,896 | $ 150,324 | $ 171,467 | |||||
Ratio of total expenses to average net assets | 0.72% * | 0.71% | 0.72% | 0.71% | 0.77% | 0.86% | |||||
Ratio of net investment income (loss) to average net assets | 4.37% * | 4.15% | 4.73% | 4.83% | 5.02% | 5.39% | |||||
Portfolio turnover rate | 58% # | 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. |
# | Non-annualized. |
* | Annualized. |
For a share outstanding throughout each period
Six Months Ended 6/30/22 (Unaudited) | Year Ended December 31, | ||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 91.22 | $ 77.12 | $ 65.45 | $ 52.56 | $ 52.31 | $ 45.44 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)1 | 0.38 | 0.68 | 0.72 | 0.84 | 1.22 | 0.53 | |||||
Net realized and unrealized gain (loss) on investment transactions | (13.54) | 13.42 | 10.95 | 12.05 | (0.97) | 6.34 | |||||
Total from investment operations | (13.16) | 14.10 | 11.67 | 12.89 | 0.25 | 6.87 | |||||
Net asset value, end of period | $ 78.06 | $ 91.22 | $ 77.12 | $ 65.45 | $ 52.56 | $ 52.31 | |||||
Total return2 | (14.42%) # | 18.29% | 17.83% | 24.53% | 0.48% | 15.12% | |||||
Ratios/Supplemental data: | |||||||||||
Net assets, end of period (in thousands) | $ 4,572,958 | $ 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% * | 0.87% | 0.88% | 0.88% | 0.89% | 0.89% | |||||
Ratio of net investment income (loss) to average net assets | 0.90% * | 0.80% | 1.07% | 1.40% | 2.28% | 1.07% | |||||
Portfolio turnover rate | 40% # | 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. |
# | Non-annualized. |
* | Annualized. |
For a share outstanding throughout each period
Six Months Ended 6/30/22 (Unaudited) | Year Ended December 31, | ||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 31.57 | $ 27.27 | $ 23.76 | $ 19.53 | $ 20.12 | $ 17.60 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)1 | (0.03) | (0.06) | (0.05) | (0.04) | (0.04) | (0.04) | |||||
Net realized and unrealized gain (loss) on investment transactions | (5.18) | 4.36 | 3.56 | 4.27 | (0.55) | 2.56 | |||||
Total from investment operations | (5.21) | 4.30 | 3.51 | 4.23 | (0.59) | 2.52 | |||||
Net asset value, end of period | $ 26.36 | $ 31.57 | $ 27.27 | $ 23.76 | $ 19.53 | $ 20.12 | |||||
Total return2 | (16.50%) # | 15.77% | 14.77% | 21.66% | (2.93%) | 14.32% | |||||
Ratios/Supplemental data: | |||||||||||
Net assets, end of period (in thousands) | $ 72,456 | $ 92,753 | $ 84,348 | $ 81,070 | $ 74,832 | $ 84,403 | |||||
Ratio of total expenses to average net assets3 | 0.20% * | 0.19% | 0.20% | 0.20% | 0.20% | 0.19% | |||||
Ratio of net investment income (loss) to average net assets | (0.20%) * | �� (0.19%) | (0.20%) | (0.20%) | (0.19%) | (0.19%) | |||||
Portfolio turnover rate | 3% # | 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. |
# | Non-annualized. |
* | Annualized. |
For a share outstanding throughout each period
Six Months Ended 6/30/22 (Unaudited) | Year Ended December 31, | ||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 83.11 | $ 71.38 | $ 52.10 | $ 39.95 | $ 40.48 | $ 30.40 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)1 | (0.19) | (0.48) | (0.29) | (0.08) | (0.02) | (0.03) | |||||
Net realized and unrealized gain (loss) on investment transactions | (29.92) | 12.21 | 19.57 | 12.23 | (0.51) | 10.11 | |||||
Total from investment operations | (30.11) | 11.73 | 19.28 | 12.15 | (0.53) | 10.08 | |||||
Net asset value, end of period | $ 53.00 | $ 83.11 | $ 71.38 | $ 52.10 | $ 39.95 | $ 40.48 | |||||
Total return2 | (36.23%) # | 16.44% | 37.01% | 30.41% | (1.31%) | 33.16% | |||||
Ratios/Supplemental data: | |||||||||||
Net assets, end of period (in thousands) | $ 261,127 | $ 428,687 | $ 405,787 | $ 331,420 | $ 282,675 | $ 307,131 | |||||
Ratio of total expenses to average net assets | 0.96% * | 0.93% | 0.95% | 0.95% | 0.95% | 0.96% | |||||
Ratio of net investment income (loss) to average net assets | (0.58%) * | (0.61%) | (0.50%) | (0.18%) | (0.05%) | (0.08%) | |||||
Portfolio turnover rate | 18% # | 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. |
# | Non-annualized. |
* | Annualized. |
For a share outstanding throughout each period
Six Months Ended 6/30/22 (Unaudited) | Year Ended December 31, | ||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 38.46 | $ 30.56 | $ 25.02 | $ 17.90 | $ 17.78 | $ 13.87 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)1 | 0.03 | 0.02 | 0.05 | 0.08 | 0.08 | 0.07 | |||||
Net realized and unrealized gain (loss) on investment transactions | (7.76) | 7.88 | 5.49 | 7.04 | 0.04 | 3.84 | |||||
Total from investment operations | (7.73) | 7.90 | 5.54 | 7.12 | 0.12 | 3.91 | |||||
Net asset value, end of period | $ 30.73 | $ 38.46 | $ 30.56 | $ 25.02 | $ 17.90 | $ 17.78 | |||||
Total return2 | (20.10%) # | 25.85% | 22.14% | 39.78% | 0.68% | 28.19% | |||||
Ratios/Supplemental data: | |||||||||||
Net assets, end of period (in thousands) | $ 61,363 | $ 79,016 | $ 68,536 | $ 63,219 | $ 53,444 | $ 58,389 | |||||
Ratio of total expenses to average net assets | 0.86% * | 0.85% | 0.88% | 0.88% | 0.87% | 0.89% | |||||
Ratio of net investment income (loss) to average net assets | 0.19% * | 0.05% | 0.19% | 0.35% | 0.40% | 0.43% | |||||
Portfolio turnover rate | 19% # | 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. |
# | Non-annualized. |
* | Annualized. |
For a share outstanding throughout each period
Six Months Ended 6/30/22 (Unaudited) | Year Ended December 31, | ||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 48.08 | $ 50.05 | $ 28.52 | $ 22.41 | $ 21.67 | $ 16.32 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)1 | (0.12) | (0.37) | (0.22) | (0.07) | (0.02) | (0.03) | |||||
Net realized and unrealized gain (loss) on investment transactions | (24.99) | (1.60) | 21.75 | 6.18 | 0.76 | 5.38 | |||||
Total from investment operations | (25.11) | (1.97) | 21.53 | 6.11 | 0.74 | 5.35 | |||||
Net asset value, end of period | $ 22.97 | $ 48.08 | $ 50.05 | $ 28.52 | $ 22.41 | $ 21.67 | |||||
Total return2 | (52.23%) # | (3.94%) | 75.49% | 27.27% | 3.42% | 32.78% | |||||
Ratios/Supplemental data: | |||||||||||
Net assets, end of period (in thousands) | $ 100,541 | $ 205,479 | $ 222,028 | $ 135,930 | $ 118,365 | $ 124,493 | |||||
Ratio of total expenses to average net assets | 0.88% * | 0.84% | 0.85% | 0.86% | 0.86% | 0.86% | |||||
Ratio of net investment income (loss) to average net assets | (0.71%) * | (0.72%) | (0.60%) | (0.26%) | (0.09%) | (0.18%) | |||||
Portfolio turnover rate | 29% # | 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. |
# | Non-annualized. |
* | Annualized. |
For a share outstanding throughout each period
Six Months Ended 6/30/22 (Unaudited) | Year Ended December 31, | ||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 42.38 | $ 33.14 | $ 32.39 | $ 26.22 | $ 28.41 | $ 24.79 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)1 | 0.01 | 0.31 | 0.35 | 0.31 | 0.35 | 0.41 | |||||
Net realized and unrealized gain (loss) on investment transactions | (5.20) | 8.93 | 0.40 | 5.86 | (2.54) | 3.21 | |||||
Total from investment operations | (5.19) | 9.24 | 0.75 | 6.17 | (2.19) | 3.62 | |||||
Net asset value, end of period | $ 37.19 | $ 42.38 | $ 33.14 | $ 32.39 | $ 26.22 | $ 28.41 | |||||
Total return2 | (12.25%) # | 27.88% | 2.32% | 23.53% | (7.71%) | 14.60% | |||||
Ratios/Supplemental data: | |||||||||||
Net assets, end of period (in thousands) | $ 168,900 | $ 202,596 | $ 177,811 | $ 196,108 | $ 179,441 | $ 201,219 | |||||
Ratio of total expenses to average net assets | 0.91% * | 0.91% | 0.92% | 0.91% | 0.90% | 0.90% | |||||
Ratio of net investment income (loss) to average net assets | 1.33% * | 0.80% | 1.20% | 1.05% | 1.22% | 1.57% | |||||
Portfolio turnover rate | 32% # | 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. |
# | Non-annualized. |
* | Annualized. |
For a share outstanding throughout each period
Six Months Ended 6/30/22 (Unaudited) | Year Ended December 31, | ||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 28.85 | $ 23.18 | $ 22.58 | $ 17.41 | $ 18.64 | $ 16.18 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)1 | 0.13 | 0.32 | 0.31 | 0.30 | 0.26 | 0.25 | |||||
Net realized and unrealized gain (loss) on investment transactions | (2.78) | 5.35 | 0.29 | 4.87 | (1.49) | 2.21 | |||||
Total from investment operations | (2.65) | 5.67 | 0.60 | 5.17 | (1.23) | 2.46 | |||||
Net asset value, end of period | $ 26.20 | $ 28.85 | $ 23.18 | $ 22.58 | $ 17.41 | $ 18.64 | |||||
Total return2 | (9.19%) # | 24.46% | 2.66% | 29.70% | (6.60%) | 15.21% | |||||
Ratios/Supplemental data: | |||||||||||
Net assets, end of period (in thousands) | $ 154,776 | $ 189,136 | $ 178,959 | $ 192,959 | $ 176,072 | $ 216,214 | |||||
Ratio of total expenses to average net assets | 0.91% * | 0.92% | 0.91% | 0.91% | 0.90% | 0.90% | |||||
Ratio of net investment income (loss) to average net assets | 0.90% * | 1.22% | 1.52% | 1.48% | 1.39% | 1.44% | |||||
Portfolio turnover rate | 26% # | 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. |
# | Non-annualized. |
* | Annualized. |
For a share outstanding throughout each period
Six Months Ended 6/30/22 (Unaudited) | Year Ended December 31, | ||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 41.45 | $ 32.31 | $ 27.30 | $ 20.83 | $ 21.87 | $ 18.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)1 | 0.22 | 0.38 | 0.39 | 0.40 | 0.35 | 0.33 | |||||
Net realized and unrealized gain (loss) on investment transactions | (8.52) | 8.76 | 4.62 | 6.07 | (1.39) | 3.54 | |||||
Total from investment operations | (8.30) | 9.14 | 5.01 | 6.47 | (1.04) | 3.87 | |||||
Net asset value, end of period | $ 33.15 | $ 41.45 | $ 32.31 | $ 27.30 | $ 20.83 | $ 21.87 | |||||
Total return2 | (20.03%) # | 28.29% | 18.35% | 31.06% | (4.76%) | 21.50% | |||||
Ratios/Supplemental data: | |||||||||||
Net assets, end of period (in thousands) | $ 580,912 | $ 698,722 | $ 595,933 | $ 494,540 | $ 416,864 | $ 485,750 | |||||
Ratio of total expenses to average net assets | 0.35% * | 0.34% | 0.36% | 0.36% | 0.36% | 0.36% | |||||
Ratio of net investment income (loss) to average net assets | 1.17% * | 1.03% | 1.44% | 1.63% | 1.56% | 1.64% | |||||
Portfolio turnover rate | 4% # | 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. |
# | Non-annualized. |
* | Annualized. |
For a share outstanding throughout each period
Six Months Ended 6/30/22 (Unaudited) | Year Ended December 31, | ||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 45.74 | $ 39.21 | $ 26.23 | $ 19.01 | $ 18.96 | $ 14.92 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)1 | (0.10) | (0.28) | (0.11) | (0.07) | (0.06) | (0.03) | |||||
Net realized and unrealized gain (loss) on investment transactions | (14.99) | 6.81 | 13.09 | 7.29 | 0.11 | 4.07 | |||||
Total from investment operations | (15.09) | 6.53 | 12.98 | 7.22 | 0.05 | 4.04 | |||||
Net asset value, end of period | $ 30.65 | $ 45.74 | $ 39.21 | $ 26.23 | $ 19.01 | $ 18.96 | |||||
Total return2 | (32.99%) # | 16.66% | 49.48% | 37.98% | 0.26% | 27.08% | |||||
Ratios/Supplemental data: | |||||||||||
Net assets, end of period (in thousands) | $ 136,531 | $ 210,047 | $ 196,992 | $ 148,766 | $ 112,502 | $ 121,288 | |||||
Ratio of total expenses to average net assets | 0.96% * | 0.98% | 0.95% | 0.96% | 0.96% | 0.96% | |||||
Ratio of net investment income (loss) to average net assets | (0.53%) * | (0.64%) | (0.38%) | (0.32%) | (0.28%) | (0.20%) | |||||
Portfolio turnover rate | 18% # | 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. |
# | Non-annualized. |
* | Annualized. |
For a share outstanding throughout each period
Six Months Ended 6/30/22 (Unaudited) | Year Ended December 31, | ||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 27.67 | $ 23.20 | $ 26.45 | $ 22.60 | $ 26.65 | $ 22.69 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)1 | 0.12 | 0.14 | 0.23 | 0.29 | 0.23 | 0.20 | |||||
Net realized and unrealized gain (loss) on investment transactions | (3.50) | 4.33 | (3.48) | 3.56 | (4.28) | 3.76 | |||||
Total from investment operations | (3.38) | 4.47 | (3.25) | 3.85 | (4.05) | 3.96 | |||||
Net asset value, end of period | $ 24.29 | $ 27.67 | $ 23.20 | $ 26.45 | $ 22.60 | $ 26.65 | |||||
Total return2 | (12.22%) # | 19.27% | (12.29%) | 17.04% | (15.20%) | 17.45% | |||||
Ratios/Supplemental data: | |||||||||||
Net assets, end of period (in thousands) | $ 85,839 | $ 104,076 | $ 94,762 | $ 116,799 | $ 141,771 | $ 180,696 | |||||
Ratio of total expenses to average net assets | 0.83% * | 0.82% | 0.82% | 0.80% | 0.79% | 0.78% | |||||
Ratio of net investment income (loss) to average net assets | 0.88% * | 0.54% | 1.13% | 1.14% | 0.85% | 0.83% | |||||
Portfolio turnover rate | 21% # | 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. |
# | Non-annualized. |
* | Annualized. |
For a share outstanding throughout each period
Six Months Ended 6/30/22 (Unaudited) | Year Ended December 31, | ||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 33.70 | $ 27.37 | $ 26.94 | $ 20.92 | $ 24.06 | $ 21.57 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)1 | 0.26 | 0.39 | 0.35 | 0.35 | 0.28 | 0.33 | |||||
Net realized and unrealized gain (loss) on investment transactions | (2.98) | 5.94 | 0.08 | 5.67 | (3.42) | 2.16 | |||||
Total from investment operations | (2.72) | 6.33 | 0.43 | 6.02 | (3.14) | 2.49 | |||||
Net asset value, end of period | $ 30.98 | $ 33.70 | $ 27.37 | $ 26.94 | $ 20.92 | $ 24.06 | |||||
Total return2 | (8.07%) # | 23.13% | 1.60% | 28.78% | (13.05%) | 11.55% | |||||
Ratios/Supplemental data: | |||||||||||
Net assets, end of period (in thousands) | $ 83,267 | $ 94,537 | $ 94,077 | $ 99,799 | $ 79,292 | $ 99,011 | |||||
Ratio of total expenses to average net assets | 1.02% * | 1.00% | 1.04% | 1.05% | 1.06% | 1.02% | |||||
Ratio of net investment income (loss) to average net assets | 1.56% * | 1.25% | 1.46% | 1.44% | 1.16% | 1.48% | |||||
Portfolio turnover rate | 42% # | 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. |
# | Non-annualized. |
* | Annualized. |
For a share outstanding throughout each period
Six Months Ended 6/30/22 (Unaudited) | Year Ended December 31, | ||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 56.43 | $ 52.38 | $ 34.39 | $ 24.93 | $ 26.38 | $ 20.68 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)1 | (0.14) | (0.43) | (0.25) | (0.18) | (0.10) | (0.11) | |||||
Net realized and unrealized gain (loss) on investment transactions | (18.68) | 4.48 | 18.24 | 9.64 | (1.35) | 5.81 | |||||
Total from investment operations | (18.82) | 4.05 | 17.99 | 9.46 | (1.45) | 5.70 | |||||
Net asset value, end of period | $ 37.61 | $ 56.43 | $ 52.38 | $ 34.39 | $ 24.93 | $ 26.38 | |||||
Total return2 | (33.35%) # | 7.73% | 52.31% | 37.95% | (5.50%) | 27.56% | |||||
Ratios/Supplemental data: | |||||||||||
Net assets, end of period (in thousands) | $ 68,870 | $ 103,780 | $ 96,010 | $ 70,961 | $ 59,882 | $ 64,783 | |||||
Ratio of net expenses to average net assets3 | 1.05% * | 1.02% | 1.05% | 1.04% | 1.03% | 1.05% | |||||
Ratio of total expenses to average net assets4 | 1.05% * | 1.02% | 1.05% | 1.04% | 1.03% | 1.04% | |||||
Ratio of net investment income (loss) to average net assets | (0.64%) * | (0.77%) | (0.65%) | (0.59%) | (0.35%) | (0.47%) | |||||
Portfolio turnover rate | 44% # | 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. |
# | Non-annualized. |
* | Annualized. |
For a share outstanding throughout each period
Six Months Ended 6/30/22 (Unaudited) | Year Ended December 31, | ||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 39.02 | $ 28.78 | $ 28.37 | $ 23.67 | $ 27.90 | $ 24.69 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)1 | 0.08 | 0.22 | 0.18 | 0.18 | 0.10 | 0.03 | |||||
Net realized and unrealized gain (loss) on investment transactions | (7.84) | 10.02 | 0.23 | 4.52 | (4.33) | 3.18 | |||||
Total from investment operations | (7.76) | 10.24 | 0.41 | 4.70 | (4.23) | 3.21 | |||||
Net asset value, end of period | $ 31.26 | $ 39.02 | $ 28.78 | $ 28.37 | $ 23.67 | $ 27.90 | |||||
Total return2 | (19.89%) # | 35.58% | 1.45% | 19.86% | (15.16%) | 13.00% | |||||
Ratios/Supplemental data: | |||||||||||
Net assets, end of period (in thousands) | $ 54,483 | $ 71,810 | $ 57,672 | $ 85,324 | $ 80,919 | $ 85,323 | |||||
Ratio of total expenses to average net assets | 1.16% * | 1.15% | 1.17% | 1.12% | 1.10% | 1.18% | |||||
Ratio of net investment income (loss) to average net assets | 0.44% * | 0.61% | 0.77% | 0.66% | 0.36% | 0.11% | |||||
Portfolio turnover rate | 23% # | 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. |
# | Non-annualized. |
* | Annualized. |
For a share outstanding throughout each period
Six Months Ended 6/30/22 (Unaudited) | Year Ended December 31, | ||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 68.11 | $ 62.66 | $ 47.45 | $ 37.00 | $ 38.80 | $ 31.08 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)1 | (0.16) | (0.41) | (0.28) | (0.18) | (0.15) | (0.16) | |||||
Net realized and unrealized gain (loss) on investment transactions | (17.82) | 5.86 | 15.49 | 10.63 | (1.65) | 7.88 | |||||
Total from investment operations | (17.98) | 5.45 | 15.21 | 10.45 | (1.80) | 7.72 | |||||
Net asset value, end of period | $ 50.13 | $ 68.11 | $ 62.66 | $ 47.45 | $ 37.00 | $ 38.80 | |||||
Total return2 | (26.40%) # | 8.70% | 32.06% | 28.24% | (4.64%) | 24.84% | |||||
Ratios/Supplemental data: | |||||||||||
Net assets, end of period (in thousands) | $ 99,055 | $ 140,210 | $ 142,595 | $ 118,244 | $ 93,243 | $ 102,380 | |||||
Ratio of total expenses to average net assets | 1.02% * | 0.99% | 1.01% | 1.02% | 1.00% | 1.01% | |||||
Ratio of net investment income (loss) to average net assets | (0.58%) * | (0.61%) | (0.60%) | (0.40%) | (0.36%) | (0.46%) | |||||
Portfolio turnover rate | 7% # | 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. |
# | Non-annualized. |
* | Annualized. |
For a share outstanding throughout each period
Six Months Ended 6/30/22 (Unaudited) | Year Ended December 31, | ||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 50.97 | $ 40.24 | $ 39.32 | $ 31.96 | $ 37.11 | $ 33.06 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)1 | 0.12 | 0.10 | 0.19 | 0.24 | 0.17 | 0.18 | |||||
Net realized and unrealized gain (loss) on investment transactions | (9.27) | 10.63 | 0.73 | 7.12 | (5.32) | 3.87 | |||||
Total from investment operations | (9.15) | 10.73 | 0.92 | 7.36 | (5.15) | 4.05 | |||||
Net asset value, end of period | $ 41.82 | $ 50.97 | $ 40.24 | $ 39.32 | $ 31.96 | $ 37.11 | |||||
Total return2 | (17.95%) # | 26.67% | 2.34% | 23.03% | (13.88%) | 12.25% | |||||
Ratios/Supplemental data: | |||||||||||
Net assets, end of period (in thousands) | $ 154,819 | $ 199,173 | $ 179,912 | $ 205,049 | $ 211,285 | $ 262,728 | |||||
Ratio of total expenses to average net assets | 1.00% * | 0.98% | 1.02% | 0.98% | 0.97% | 0.97% | |||||
Ratio of net investment income (loss) to average net assets | 0.49% * | 0.21% | 0.58% | 0.65% | 0.46% | 0.56% | |||||
Portfolio turnover rate | 34% # | 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. |
# | Non-annualized. |
* | Annualized. |
For a share outstanding throughout each period
Six Months Ended 6/30/22 (Unaudited) | Year Ended December 31, | ||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 34.42 | $ 30.10 | $ 25.22 | $ 20.26 | $ 22.86 | $ 20.09 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)1 | 0.08 | 0.10 | 0.10 | 0.13 | 0.14 | 0.13 | |||||
Net realized and unrealized gain (loss) on investment transactions | (8.24) | 4.22 | 4.78 | 4.83 | (2.74) | 2.64 | |||||
Total from investment operations | (8.16) | 4.32 | 4.88 | 4.96 | (2.60) | 2.77 | |||||
Net asset value, end of period | $ 26.26 | $ 34.42 | $ 30.10 | $ 25.22 | $ 20.26 | $ 22.86 | |||||
Total return2 | (23.71%) # | 14.35% | 19.35% | 24.48% | (11.37%) | 13.79% | |||||
Ratios/Supplemental data: | |||||||||||
Net assets, end of period (in thousands) | $ 76,144 | $ 98,827 | $ 75,852 | $ 69,993 | $ 70,724 | $ 81,638 | |||||
Ratio of net expenses to average net assets3 | 0.71% * | 0.70% | 0.74% | 0.72% | 0.65% | 0.65% | |||||
Ratio of total expenses to average net assets4 | 0.71% * | 0.70% | 0.75% | 0.72% | 0.65% | 0.65% | |||||
Ratio of net investment income (loss) to average net assets | 0.53% * | 0.30% | 0.43% | 0.55% | 0.59% | 0.62% | |||||
Portfolio turnover rate | 14% # | 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. |
# | Non-annualized. |
* | Annualized. |
For a share outstanding throughout each period
Six Months Ended 6/30/22 (Unaudited) | Year Ended December 31, | ||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 17.62 | $ 15.94 | $ 14.79 | $ 12.22 | $ 14.22 | $ 11.42 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)1 | 0.27 | 0.28 | 0.19 | 0.33 | 0.31 | 0.27 | |||||
Net realized and unrealized gain (loss) on investment transactions | (3.76) | 1.40 | 0.96 | 2.24 | (2.31) | 2.53 | |||||
Total from investment operations | (3.49) | 1.68 | 1.15 | 2.57 | (2.00) | 2.80 | |||||
Net asset value, end of period | $ 14.13 | $ 17.62 | $ 15.94 | $ 14.79 | $ 12.22 | $ 14.22 | |||||
Total return2 | (19.81%) # | 10.54% | 7.78% | 21.03% | (14.07%) | 24.52% | |||||
Ratios/Supplemental data: | |||||||||||
Net assets, end of period (in thousands) | $ 90,074 | $ 114,158 | $ 109,296 | $ 111,067 | $ 98,471 | $ 116,930 | |||||
Ratio of total expenses to average net assets | 0.89% * | 0.85% | 0.89% | 0.82% | 0.79% | 0.82% | |||||
Ratio of net investment income (loss) to average net assets | 3.37% * | 1.66% | 1.39% | 2.41% | 2.24% | 2.05% | |||||
Portfolio turnover rate | 2% # | 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. |
# | Non-annualized. |
* | Annualized. |
For a share outstanding throughout each period
Six Months Ended 6/30/22 (Unaudited) | Year Ended December 31, | ||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 43.79 | $ 39.02 | $ 33.95 | $ 26.51 | $ 30.26 | $ 22.98 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)1 | 0.04 | (0.04) | (0.05) | 0.20 | 0.19 | 0.15 | |||||
Net realized and unrealized gain (loss) on investment transactions | (10.87) | 4.81 | 5.12 | 7.24 | (3.94) | 7.13 | |||||
Total from investment operations | (10.83) | 4.77 | 5.07 | 7.44 | (3.75) | 7.28 | |||||
Net asset value, end of period | $ 32.96 | $ 43.79 | $ 39.02 | $ 33.95 | $ 26.51 | $ 30.26 | |||||
Total return2 | (24.73%) # | 12.23% | 14.93% | 28.07% | (12.39%) | 31.68% | |||||
Ratios/Supplemental data: | |||||||||||
Net assets, end of period (in thousands) | $ 261,474 | $ 353,005 | $ 336,274 | $ 325,965 | $ 296,892 | $ 375,821 | |||||
Ratio of total expenses to average net assets | 1.06% * | 1.03% | 1.06% | 1.08% | 1.11% | 1.12% | |||||
Ratio of net investment income (loss) to average net assets | 0.22% * | (0.10%) | (0.14%) | 0.66% | (0.66%) | 0.56% | |||||
Portfolio turnover rate | 29% # | 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. |
# | Non-annualized. |
* | Annualized. |
For a share outstanding throughout each period
Six Months Ended 6/30/22 (Unaudited) | Year Ended December 31, | ||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 14.08 | $ 14.93 | $ 13.52 | $ 11.39 | $ 13.80 | $ 10.22 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)1 | 0.05 | 0.01 | (0.02) | 0.14 | 0.09 | 0.03 | |||||
Net realized and unrealized gain (loss) on investment transactions | (2.69) | (0.86) | 1.43 | 1.99 | (2.50) | 3.55 | |||||
Total from investment operations | (2.64) | (0.85) | 1.41 | 2.13 | (2.41) | 3.58 | |||||
Net asset value, end of period | $ 11.44 | $ 14.08 | $ 14.93 | $ 13.52 | $ 11.39 | $ 13.80 | |||||
Total return2 | (18.75%) # | (5.69%) | 10.43% | 18.70% | (17.46%) | 35.03% | |||||
Ratios/Supplemental data: | |||||||||||
Net assets, end of period (in thousands) | $ 101,332 | $ 130,637 | $ 145,335 | $ 147,412 | $ 146,973 | $ 184,357 | |||||
Ratio of total expenses to average net assets | 1.31% * | 1.25% | 1.32% | 1.34% | 1.32% | 1.51% | |||||
Ratio of net investment income (loss) to average net assets | 0.72% * | 0.07% | (0.19%) | 1.11% | 0.73% | 0.25% | |||||
Portfolio turnover rate | 30% # | 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. |
# | Non-annualized. |
* | Annualized. |
For a share outstanding throughout each period
Six Months Ended 6/30/22 (Unaudited) | Year Ended December 31, | ||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 37.63 | $ 26.37 | $ 27.25 | $ 20.57 | $ 21.47 | $ 19.99 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)1 | 0.34 | 0.28 | 0.39 | 0.41 | 0.43 | 0.39 | |||||
Net realized and unrealized gain (loss) on investment transactions | (7.59) | 10.98 | (1.27) | 6.27 | (1.33) | 1.09 | |||||
Total from investment operations | (7.25) | 11.26 | (0.88) | 6.68 | (0.90) | 1.48 | |||||
Net asset value, end of period | $ 30.38 | $ 37.63 | $ 26.37 | $ 27.25 | $ 20.57 | $ 21.47 | |||||
Total return2 | (19.27%) # | 42.70% | (3.23%) | 32.47% | (4.19%) | 7.40% | |||||
Ratios/Supplemental data: | |||||||||||
Net assets, end of period (in thousands) | $ 110,291 | $ 140,061 | $ 121,063 | $ 133,068 | $ 114,366 | $ 137,842 | |||||
Ratio of total expenses to average net assets | 0.96% * | 0.95% | 0.97% | 0.96% | 0.96% | 0.95% | |||||
Ratio of net investment income (loss) to average net assets | 2.01% * | 0.89% | 1.59% | 1.64% | 2.05% | 1.86% | |||||
Portfolio turnover rate | 14% # | 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. |
# | Non-annualized. |
* | Annualized. |
For a share outstanding throughout each period
Six Months Ended 6/30/22 (Unaudited) | Year Ended December 31, | ||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 27.23 | $ 23.39 | $ 21.41 | $ 17.37 | $ 19.20 | $ 15.99 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)1 | (0.04) | (0.08) | (0.07) | (0.06) | (0.06) | (0.05) | |||||
Net realized and unrealized gain (loss) on investment transactions | (4.83) | 3.92 | 2.05 | 4.10 | (1.77) | 3.26 | |||||
Total from investment operations | (4.87) | 3.84 | 1.98 | 4.04 | (1.83) | 3.21 | |||||
Net asset value, end of period | $ 22.36 | $ 27.23 | $ 23.39 | $ 21.41 | $ 17.37 | $ 19.20 | |||||
Total return2 | (17.89%) # | 16.42% | 9.25% | 23.26% | (9.53%) | 20.08% | |||||
Ratios/Supplemental data: | |||||||||||
Net assets, end of period (in thousands) | $ 55,331 | $ 70,657 | $ 70,074 | $ 72,017 | $ 64,604 | $ 75,079 | |||||
Ratio of total expenses to average net assets3 | 0.34% * | 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%) | (0.33%) | (0.32%) | (0.31%) | |||||
Portfolio turnover rate | 9% # | 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. |
# | Non-annualized. |
* | Annualized. |
For a share outstanding throughout each period
Six Months Ended 6/30/22 (Unaudited) | Year Ended December 31, | ||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 27.84 | $ 24.14 | $ 22.06 | $ 18.12 | $ 19.66 | $ 16.72 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)1 | (0.04) | (0.08) | (0.06) | (0.06) | (0.06) | (0.05) | |||||
Net realized and unrealized gain (loss) on investment transactions | (4.55) | 3.78 | 2.14 | 4.00 | (1.48) | 2.99 | |||||
Total from investment operations | (4.59) | 3.70 | 2.08 | 3.94 | (1.54) | 2.94 | |||||
Net asset value, end of period | $ 23.25 | $ 27.84 | $ 24.14 | $ 22.06 | $ 18.12 | $ 19.66 | |||||
Total return2 | (16.49%) # | 15.33% | 9.43% | 21.75% | (7.83%) | 17.58% | |||||
Ratios/Supplemental data: | |||||||||||
Net assets, end of period (in thousands) | $ 197,962 | $ 246,473 | $ 227,084 | $ 232,308 | $ 217,918 | $ 266,699 | |||||
Ratio of total expenses to average net assets3 | 0.30% * | 0.29% | 0.30% | 0.30% | 0.30% | 0.29% | |||||
Ratio of net investment income (loss) to average net assets | (0.30%) * | (0.29%) | (0.30%) | (0.29%) | (0.29%) | (0.29%) | |||||
Portfolio turnover rate | 9% # | 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. |
# | Non-annualized. |
* | Annualized. |
For a share outstanding throughout each period
Six Months Ended 6/30/22 (Unaudited) | Year Ended December 31, | ||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 23.89 | $ 21.46 | $ 19.55 | $ 16.48 | $ 17.51 | $ 15.36 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)1 | (0.03) | (0.07) | (0.06) | (0.05) | (0.05) | (0.05) | |||||
Net realized and unrealized gain (loss) on investment transactions | (3.51) | 2.50 | 1.97 | 3.12 | (0.98) | 2.20 | |||||
Total from investment operations | (3.54) | 2.43 | 1.91 | 3.07 | (1.03) | 2.15 | |||||
Net asset value, end of period | $ 20.35 | $ 23.89 | $ 21.46 | $ 19.55 | $ 16.48 | $ 17.51 | |||||
Total return2 | (14.82%) # | 11.32% | 9.77% | 18.63% | (5.88%) | 14.00% | |||||
Ratios/Supplemental data: | |||||||||||
Net assets, end of period (in thousands) | $ 229,408 | $ 288,061 | $ 285,910 | $ 298,115 | $ 291,618 | $ 342,656 | |||||
Ratio of total expenses to average net assets3 | 0.30% * | 0.29% | 0.30% | 0.30% | 0.29% | 0.29% | |||||
Ratio of net investment income (loss) to average net assets | (0.30%) * | (0.29%) | (0.30%) | (0.30%) | (0.29%) | (0.29%) | |||||
Portfolio turnover rate | 6% # | 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. |
# | Non-annualized. |
* | Annualized. |
For a share outstanding throughout each period
Six Months Ended 6/30/22 (Unaudited) | Year Ended December 31, | ||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 20.62 | $ 18.99 | $ 17.58 | $ 15.31 | $ 15.86 | $ 14.42 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)1 | (0.03) | (0.06) | (0.05) | (0.05) | (0.05) | (0.05) | |||||
Net realized and unrealized gain (loss) on investment transactions | (2.39) | 1.69 | 1.46 | 2.32 | (0.50) | 1.49 | |||||
Total from investment operations | (2.42) | 1.63 | 1.41 | 2.27 | (0.55) | 1.44 | |||||
Net asset value, end of period | $ 18.20 | $ 20.62 | $ 18.99 | $ 17.58 | $ 15.31 | $ 15.86 | |||||
Total return2 | (11.74%) # | 8.58% | 8.02% | 14.83% | (3.47%) | 9.99% | |||||
Ratios/Supplemental data: | |||||||||||
Net assets, end of period (in thousands) | $ 87,179 | $ 99,775 | $ 94,485 | $ 93,947 | $ 88,927 | $ 98,414 | |||||
Ratio of total expenses to average net assets3 | 0.31% * | 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%) | (0.31%) | (0.30%) | (0.30%) | |||||
Portfolio turnover rate | 11% # | 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. |
# | Non-annualized. |
* | Annualized. |
For a share outstanding throughout each period
Six Months Ended 6/30/22 (Unaudited) | Year Ended December 31, | ||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 17.35 | $ 16.60 | $ 15.51 | $ 13.99 | $ 14.18 | $ 13.33 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)1 | (0.03) | (0.06) | (0.05) | (0.05) | (0.04) | (0.04) | |||||
Net realized and unrealized gain (loss) on investment transactions | (1.61) | 0.81 | 1.14 | 1.57 | (0.15) | 0.89 | |||||
Total from investment operations | (1.64) | 0.75 | 1.09 | 1.52 | (0.19) | 0.85 | |||||
Net asset value, end of period | $ 15.71 | $ 17.35 | $ 16.60 | $ 15.51 | $ 13.99 | $ 14.18 | |||||
Total return2 | (9.45%) # | 4.52% | 7.03% | 10.87% | (1.34%) | 6.38% | |||||
Ratios/Supplemental data: | |||||||||||
Net assets, end of period (in thousands) | $ 50,231 | $ 59,188 | $ 61,854 | $ 59,832 | $ 57,092 | $ 58,659 | |||||
Ratio of total expenses to average net assets3 | 0.34% * | 0.33% | 0.33% | 0.34% | 0.33% | 0.32% | |||||
Ratio of net investment income (loss) to average net assets | (0.34%) * | (0.33%) | (0.33%) | (0.31%) | (0.31%) | (0.31%) | |||||
Portfolio turnover rate | 7% # | 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. |
# | Non-annualized. |
* | Annualized. |
• | 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 Henderson Investors US 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 Henderson Investors US 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. |
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 | December 31, 2025 | Total | ||||
Money Market Fund | $ 108,890 | $ 338,808 | $ 51,456 | $ 499,154 |
December 31, 2023 | December 31, 2024 | December 31, 2025 | Total | ||||
Money Market Fund | $233,553 | $551,705 | $ 170,455 | $ 955,713 |
Money Market Fund | $ 60,644 |
Money Market Fund | $ 3,137,977 |
Limited Maturity Bond Fund | 75,883,057 |
Quality Bond Fund | 61,724,671 |
Large Growth Stock Fund | 8,041,349 |
Large Core Growth Fund | 12,190,541 |
Index 500 Fund | 10,903,322 |
SMID Cap Growth Fund | 3,553,793 |
SMID Cap Value Fund | 4,685,224 |
Small Cap Index Fund | 3,735,414 |
Developed International Index Fund | 3,653,290 |
International Equity Fund | 5,851,416 |
SMID Cap Growth Fund | $ 2,067 |
Small Cap Value Fund | 7,101 |
Purchases | Sales | Gain (Loss) | |||
Large Cap Growth Fund | $ 45,123 | $— | $— |
Balanced Fund | Total Value at 12/31/21 | Purchases | Sales Proceeds | Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation) | Total Value at 06/30/22 | Number of Shares | Dividend Income | ||||||||
Affiliated Equity Funds — 59.5% | ||||||||||||||||
Penn Series Index 500 Fund* | $55,850,210 | $ 2,122,169 | $ 3,943,932 | $ 3,053,271 | $(13,934,423) | $ 43,147,295 | 1,301,578 | $— | ||||||||
Affiliated Fixed Income Funds — 40.4% | ||||||||||||||||
Penn Series Quality Bond Fund* | 36,822,571 | 429,927 | 4,106,567 | 822,385 | (4,716,972) | 29,251,344 | 1,904,384 | — | ||||||||
$ 92,672,781 | $2,552,096 | $8,050,499 | $3,875,656 | $ (18,651,395) | $72,398,639 | $— |
* | Non-income producing security. |
Aggressive Allocation Fund | Total Value at 12/31/21 | Purchases | Sales Proceeds | Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation) | Total Value at 06/30/22 | Number of Shares | Dividend Income | ||||||||
Affiliated Equity Funds — 61.6% | ||||||||||||||||
Penn Series Flexibly Managed Fund* | $ 4,165,160 | $ 54,206 | $ 331,183 | $ 165,953 | $ (748,954) | $ 3,305,182 | 42,342 | $— | ||||||||
Penn Series Index 500 Fund* | 10,460,839 | 2,660,832 | 584,544 | 189,476 | (2,254,560) | 10,472,043 | 315,899 | — | ||||||||
Penn Series Large Cap Growth Fund* | 2,110,377 | 93,699 | 1,215,744 | 568,094 | (1,000,179) | 556,247 | 18,101 | — | ||||||||
Penn Series Large Cap Value Fund* | 5,642,609 | 72,274 | 700,513 | 246,583 | (883,644) | 4,377,309 | 117,701 | — | ||||||||
Penn Series Large Core Value Fund* | 5,639,110 | 72,037 | 1,945,883 | 724,319 | (1,184,856) | 3,304,727 | 126,135 | — | ||||||||
Penn Series Large Growth Stock Fund* | 688,346 | 158,617 | 38,207 | 21,431 | (284,257) | 545,930 | 10,301 | — | ||||||||
Penn Series Mid Cap Growth Fund* | 1,406,625 | 243,134 | 76,413 | 48,436 | (528,759) | 1,093,023 | 35,661 | — | ||||||||
Penn Series Mid Cap Value Fund* | 1,414,876 | 18,068 | 181,237 | (5,417) | (154,656) | 1,091,634 | 44,942 | — | ||||||||
Penn Series Mid Core Value Fund* | 3,545,116 | 45,172 | 621,212 | 173,441 | (424,434) | 2,718,083 | 87,737 | — | ||||||||
Penn Series Real Estate Securities Fund* | 2,159,022 | 92,410 | 142,351 | 53,413 | (457,826) | 1,704,668 | 56,111 | — | ||||||||
Penn Series Small Cap Growth Fund* | 1,405,228 | 153,574 | 76,413 | 25,098 | (400,898) | 1,106,589 | 22,074 | — | ||||||||
Penn Series Small Cap Index Fund* | 2,114,988 | 131,031 | 114,620 | (24,004) | (475,003) | 1,632,392 | 62,163 | — | ||||||||
Penn Series SMID Cap Growth Fund* | 1,399,268 | 267,027 | 76,413 | 42,515 | (527,520) | 1,104,877 | 29,377 | — | ||||||||
Penn Series SMID Cap Value Fund* | 1,406,866 | 45,975 | 110,456 | 34,578 | (303,555) | 1,073,408 | 34,338 | — | ||||||||
Affiliated Fixed Income Funds — 7.9% | ||||||||||||||||
Penn Series High Yield Bond Fund* | 2,077,891 | 27,102 | 287,390 | 56,186 | (247,471) | 1,626,318 | 106,994 | — | ||||||||
Penn Series Limited Maturity Bond Fund* | 3,447,096 | 45,172 | 595,755 | 40,317 | (170,883) | 2,765,947 | 215,249 | — | ||||||||
Affiliated International Equity Funds — 29.9% | ||||||||||||||||
Penn Series Developed International Index Fund* | 8,430,576 | 271,057 | 531,787 | 152,945 | (1,798,414) | 6,524,377 | 461,739 | — |
Aggressive Allocation Fund | Total Value at 12/31/21 | Purchases | Sales Proceeds | Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation) | Total Value at 06/30/22 | Number of Shares | Dividend Income | ||||||||
Penn Series Emerging Markets Equity Fund* | $ 4,168,887 | $ 313,591 | $ 408,253 | $ (39,828) | $ (765,857) | $ 3,268,540 | 288,231 | $— | ||||||||
Penn Series International Equity Fund* | 8,497,242 | 814,640 | 458,480 | 157,691 | (2,270,027) | 6,741,066 | 204,523 | — | ||||||||
$ 70,180,122 | $ 5,579,618 | $8,496,854 | $2,631,227 | $(14,881,753) | $ 55,012,360 | $— |
* | Non-income producing security. |
Moderately Aggressive Allocation Fund | Total Value at 12/31/21 | Purchases | Sales Proceeds | Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation) | Total Value at 06/30/22 | Number of Shares | Dividend Income | ||||||||
Affiliated Equity Funds — 57.7% | ||||||||||||||||
Penn Series Flexibly Managed Fund* | $ 14,587,377 | $ 160,129 | $ 852,333 | $ 433,522 | $ (2,490,736) | $ 11,837,959 | 151,652 | $— | ||||||||
Penn Series Index 500 Fund* | 31,749,501 | 9,623,409 | 1,497,938 | 673,344 | (6,989,091) | 33,559,225 | 1,012,345 | — | ||||||||
Penn Series Large Cap Growth Fund* | 7,390,520 | 371,897 | 4,246,118 | 2,036,794 | (3,560,747) | 1,992,346 | 64,834 | — | ||||||||
Penn Series Large Cap Value Fund* | 19,760,562 | 233,014 | 2,057,431 | 920,040 | (3,178,682) | 15,677,503 | 421,551 | — | ||||||||
Penn Series Large Core Value Fund* | 19,748,491 | 213,226 | 6,489,959 | 2,503,905 | (4,139,372) | 11,836,291 | 451,767 | — | ||||||||
Penn Series Large Growth Stock Fund* | 2,410,629 | 582,282 | 111,272 | 62,349 | (988,607) | 1,955,381 | 36,894 | — | ||||||||
Penn Series Mid Cap Growth Fund* | 4,925,785 | 904,176 | 222,543 | 138,932 | (1,831,373) | 3,914,977 | 127,732 | — | ||||||||
Penn Series Mid Cap Value Fund* | 2,477,391 | 26,688 | 265,491 | 10,791 | (294,490) | 1,954,889 | 80,481 | — | ||||||||
Penn Series Mid Core Value Fund* | 12,414,906 | 133,441 | 1,919,652 | 631,045 | (1,524,884) | 9,734,856 | 314,230 | — | ||||||||
Penn Series Real Estate Securities Fund* | 7,560,457 | 342,751 | 375,344 | 143,737 | (1,565,652) | 6,105,949 | 200,986 | — | ||||||||
Penn Series Small Cap Growth Fund* | 2,460,462 | 294,409 | 111,272 | 44,610 | (706,415) | 1,981,794 | 39,533 | — | ||||||||
Penn Series Small Cap Index Fund* | 9,875,121 | 711,212 | 445,086 | 121,444 | (2,467,188) | 7,795,503 | 296,858 | — | ||||||||
Penn Series SMID Cap Growth Fund* | 2,450,063 | 493,308 | 111,272 | 63,920 | (917,288) | 1,978,731 | 52,612 | — | ||||||||
Penn Series SMID Cap Value Fund* | 4,926,657 | 174,690 | 303,917 | 68,399 | (1,021,448) | 3,844,381 | 122,981 | — | ||||||||
Affiliated Fixed Income Funds — 18.0% | ||||||||||||||||
Penn Series High Yield Bond Fund* | 7,277,548 | 80,065 | 856,494 | 269,636 | (946,005) | 5,824,750 | 383,207 | — | ||||||||
Penn Series Limited Maturity Bond Fund* | 24,146,584 | 266,882 | 3,680,098 | 257,149 | (1,177,335) | 19,813,182 | 1,541,882 | — | ||||||||
Penn Series Quality Bond Fund* | 12,078,290 | 133,441 | 878,912 | 102,182 | (1,396,726) | 10,038,275 | 653,534 | — | ||||||||
Affiliated International Equity Funds — 23.9% | ||||||||||||||||
Penn Series Developed International Index Fund* | 22,143,448 | 843,218 | 1,098,264 | 327,436 | (4,690,463) | 17,525,375 | 1,240,295 | — | ||||||||
Penn Series Emerging Markets Equity Fund* | 12,167,611 | 987,281 | 1,031,741 | 152,610 | (2,520,396) | 9,755,365 | 860,262 | — | ||||||||
Penn Series International Equity Fund* | 24,797,590 | 2,633,994 | 1,112,716 | 416,148 | (6,614,559) | 20,120,457 | 610,451 | — | ||||||||
$245,348,993 | $19,209,513 | $27,667,853 | $ 9,377,993 | $(49,021,457) | $197,247,189 | $— |
* | Non-income producing security. |
Moderate Allocation Fund | Total Value at 12/31/21 | Purchases | Sales Proceeds | Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation) | Total Value at 06/30/22 | Number of Shares | Dividend Income | ||||||||
Affiliated Equity Funds — 44.7% | ||||||||||||||||
Penn Series Flexibly Managed Fund* | $ 17,135,094 | $ 102,993 | $ 1,168,918 | $ 792,690 | $ (3,178,488) | $ 13,683,371 | 175,293 | $— | ||||||||
Penn Series Index 500 Fund* | 34,426,314 | 6,471,128 | 2,192,431 | 740,991 | (7,500,292) | 31,945,710 | 963,671 | — | ||||||||
Penn Series Large Cap Growth Fund* | 5,787,708 | 265,226 | 2,577,173 | 1,244,470 | (2,417,297) | 2,302,934 | 74,941 | — | ||||||||
Penn Series Large Cap Value Fund* | 14,507,719 | 152,302 | 1,707,870 | 499,705 | (2,125,662) | 11,326,194 | 304,549 | — | ||||||||
Penn Series Large Core Value Fund* | 14,498,853 | 38,949 | 4,244,419 | 1,583,807 | (2,756,066) | 9,121,124 | 348,135 | — | ||||||||
Penn Series Large Growth Stock Fund* | 2,831,694 | 686,625 | 181,018 | 100,846 | (1,177,931) | 2,260,216 | 42,646 | — | ||||||||
Penn Series Mid Cap Growth Fund* | 5,786,485 | 1,069,323 | 362,037 | 221,510 | (2,189,993) | 4,525,288 | 147,644 | — | ||||||||
Penn Series Mid Core Value Fund* | 14,583,756 | 38,949 | 2,349,413 | 705,505 | (1,726,090) | 11,252,707 | 363,225 | — | ||||||||
Penn Series Real Estate Securities Fund* | 5,921,055 | 255,912 | 372,361 | 182,740 | (1,282,180) | 4,705,166 | 154,877 | — | ||||||||
Penn Series Small Cap Index Fund* | 8,700,554 | 645,594 | 543,055 | 145,434 | (2,190,351) | 6,758,176 | 257,356 | — | ||||||||
Penn Series SMID Cap Growth Fund* | 2,878,159 | 583,803 | 181,018 | 90,980 | (1,084,703) | 2,287,221 | 60,814 | — | ||||||||
Penn Series SMID Cap Value Fund* | 2,893,667 | 98,817 | 218,300 | 67,459 | (619,716) | 2,221,927 | 71,079 | — | ||||||||
Affiliated Fixed Income Funds — 38.1% | ||||||||||||||||
Penn Series High Yield Bond Fund* | 11,398,091 | 31,159 | 1,404,588 | 548,829 | (1,596,718) | 8,976,773 | 590,577 | — |
Moderate Allocation Fund | Total Value at 12/31/21 | Purchases | Sales Proceeds | Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation) | Total Value at 06/30/22 | Number of Shares | Dividend Income | ||||||||
Penn Series Limited Maturity Bond Fund* | $ 39,708,871 | $ 787,469 | $ 4,589,316 | $ 303,567 | $ (1,858,920) | $ 34,351,671 | 2,673,282 | $— | ||||||||
Penn Series Quality Bond Fund* | 56,750,229 | 151,057 | 6,893,422 | 1,129,537 | (7,047,154) | 44,090,247 | 2,870,459 | — | ||||||||
Affiliated International Equity Funds — 16.9% | ||||||||||||||||
Penn Series Developed International Index Fund* | 14,450,945 | 519,039 | 905,091 | 365,448 | (3,176,133) | 11,254,208 | 796,476 | — | ||||||||
Penn Series Emerging Markets Equity Fund* | 14,292,746 | 1,091,763 | 1,352,939 | 109,570 | (2,865,083) | 11,276,057 | 994,361 | — | ||||||||
Penn Series International Equity Fund* | 20,390,937 | 2,197,555 | 1,267,127 | 535,568 | (5,576,989) | 16,279,944 | 493,931 | — | ||||||||
$286,942,877 | $15,187,663 | $32,510,496 | $9,368,656 | $(50,369,766) | $228,618,934 | $— |
* | Non-income producing security. |
Moderately Conservative Allocation Fund | Total Value at 12/31/21 | Purchases | Sales Proceeds | Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation) | Total Value at 06/30/22 | Number of Shares | Dividend Income | ||||||||
Affiliated Equity Funds — 32.6% | ||||||||||||||||
Penn Series Flexibly Managed Fund* | $ 7,906,973 | $ 585,265 | $ 445,821 | $ 234,656 | $ (1,381,790) | $ 6,899,283 | 88,384 | $— | ||||||||
Penn Series Index 500 Fund* | 5,957,187 | 2,509,916 | 345,878 | 97,014 | (1,315,328) | 6,902,911 | 208,233 | — | ||||||||
Penn Series Large Cap Growth Fund* | 2,002,998 | 212,675 | 925,672 | 408,285 | (827,443) | 870,843 | 28,338 | — | ||||||||
Penn Series Large Cap Value Fund* | 5,020,806 | 339,325 | 479,784 | 163,015 | (760,401) | 4,282,961 | 115,164 | — | ||||||||
Penn Series Large Core Value Fund* | 5,017,732 | 239,956 | 1,372,233 | 445,925 | (882,252) | 3,449,128 | 131,646 | — | ||||||||
Penn Series Mid Core Value Fund* | 3,028,250 | 144,573 | 389,790 | 113,643 | (343,580) | 2,553,096 | 82,411 | — | ||||||||
Penn Series Real Estate Securities Fund* | 2,049,087 | 236,363 | 111,455 | 43,754 | (438,496) | 1,779,253 | 58,567 | — | ||||||||
Penn Series Small Cap Index Fund* | 1,003,663 | 148,997 | 55,728 | (11,223) | (233,889) | 851,820 | 32,438 | — | ||||||||
Penn Series SMID Cap Value Fund* | 1,001,429 | 94,912 | 55,728 | 16,378 | (216,826) | 840,165 | 26,877 | — | ||||||||
Affiliated Fixed Income Funds — 56.9% | ||||||||||||||||
Penn Series High Yield Bond Fund* | 4,930,926 | 240,955 | 455,430 | 150,495 | (623,409) | 4,243,537 | 279,180 | — | ||||||||
Penn Series Limited Maturity Bond Fund* | 22,577,566 | 2,291,522 | 2,300,323 | 162,417 | (1,078,773) | 21,652,409 | 1,685,012 | — | ||||||||
Penn Series Quality Bond Fund* | 28,479,024 | 1,365,801 | 3,141,072 | 523,875 | (3,532,222) | 23,695,406 | 1,542,670 | — | ||||||||
Affiliated International Equity Funds — 9.9% | ||||||||||||||||
Penn Series Developed International Index Fund* | 3,000,693 | 324,670 | 167,183 | 51,565 | (656,199) | 2,553,546 | 180,718 | — | ||||||||
Penn Series Emerging Markets Equity Fund* | 1,978,565 | 274,112 | 155,448 | (2,475) | (389,083) | 1,705,671 | 150,412 | — | ||||||||
Penn Series International Equity Fund* | 5,040,580 | 917,475 | 278,638 | 106,802 | (1,388,795) | 4,397,424 | 133,417 | — | ||||||||
$98,995,479 | $ 9,926,517 | $10,680,183 | $2,504,126 | $(14,068,486) | $ 86,677,453 | $— |
* | Non-income producing security. |
Conservative Allocation Fund | Total Value at 12/31/21 | Purchases | Sales Proceeds | Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation) | Total Value at 06/30/22 | Number of Shares | Dividend Income | ||||||||
Affiliated Equity Funds — 19.5% | ||||||||||||||||
Penn Series Flexibly Managed Fund* | $ 4,670,678 | $ 335,771 | $ 428,658 | $ 158,949 | $ (819,205) | $ 3,917,535 | 50,186 | $— | ||||||||
Penn Series Index 500 Fund* | 2,346,382 | 294,931 | 214,329 | 62,947 | (530,011) | 1,959,920 | 59,123 | — | ||||||||
Penn Series Large Cap Value Fund* | 1,186,693 | 68,577 | 146,356 | 42,650 | (178,903) | 972,661 | 26,154 | — | ||||||||
Penn Series Large Core Value Fund* | 1,778,879 | 95,935 | 257,789 | 70,763 | (218,925) | 1,468,863 | 56,063 | — | ||||||||
Penn Series Mid Core Value Fund* | 1,193,024 | 39,041 | 179,485 | 49,862 | (136,145) | 966,297 | 31,191 | — | ||||||||
Penn Series Real Estate Securities Fund* | 605,498 | 67,176 | 53,582 | 19,045 | (132,839) | 505,298 | 16,633 | — | ||||||||
Affiliated Fixed Income Funds — 75.8% | ||||||||||||||||
Penn Series High Yield Bond Fund* | 2,912,574 | 91,141 | 321,701 | 57,502 | (330,340) | 2,409,176 | 158,498 | — | ||||||||
Penn Series Limited Maturity Bond Fund* | 19,131,755 | 1,771,198 | 2,435,093 | 173,191 | (938,489) | 17,702,562 | 1,377,631 | — | ||||||||
Penn Series Quality Bond Fund* | 22,619,234 | 927,414 | 3,258,737 | 324,128 | (2,672,872) | 17,939,167 | 1,167,915 | — |
Conservative Allocation Fund | Total Value at 12/31/21 | Purchases | Sales Proceeds | Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation) | Total Value at 06/30/22 | Number of Shares | Dividend Income | ||||||||
Affiliated International Equity Funds — 2.9% | ||||||||||||||||
Penn Series Developed International Index Fund* | $ 1,181,954 | $ 124,085 | $ 107,164 | $ 18,147 | $ (250,508) | $ 966,514 | 68,402 | $— | ||||||||
Penn Series International Equity Fund* | 595,678 | 105,812 | 53,582 | 14,850 | (163,278) | 499,480 | 15,154 | — | ||||||||
$58,222,349 | $3,921,081 | $7,456,476 | $992,034 | $ (6,371,515) | $49,307,473 | $— |
* | Non-income producing security. |
U.S. Government Securities | Other Investment Securities | ||||||
Purchases | Sales | Purchases | Sales | ||||
Limited Maturity Bond Fund | $ 207,725 | $ 6,770,191 | $ 61,277,106 | $ 66,580,375 | |||
Quality Bond Fund | 23,571,341 | 38,328,840 | 65,840,628 | 79,443,065 | |||
High Yield Bond Fund | — | — | 85,951,285 | 87,246,764 | |||
Flexibly Managed Fund | 434,254,110 | 46,106,730 | 1,802,579,913 | 1,881,980,350 | |||
Balanced Fund | — | — | 2,552,096 | 8,050,499 | |||
Large Growth Stock Fund | — | — | 59,460,336 | 76,648,898 | |||
Large Cap Growth Fund | — | — | 13,234,039 | 15,789,661 | |||
Large Core Growth Fund | — | — | 41,922,795 | 40,757,174 | |||
Large Cap Value Fund | — | — | 59,568,125 | 69,815,549 | |||
Large Core Value Fund | — | — | 46,443,456 | 63,512,221 | |||
Index 500 Fund | — | — | 38,751,442 | 22,202,294 | |||
Mid Cap Growth Fund | — | — | 29,395,954 | 35,629,559 | |||
Mid Cap Value Fund | — | — | 20,312,455 | 25,866,276 | |||
Mid Core Value Fund | — | — | 37,529,371 | 40,411,197 | |||
SMID Cap Growth Fund | — | — | 35,646,610 | 36,331,422 | |||
SMID Cap Value Fund | — | — | 14,985,620 | 18,368,531 | |||
Small Cap Growth Fund | — | — | 8,077,812 | 10,307,832 | |||
Small Cap Value Fund | — | — | 60,623,649 | 69,939,046 | |||
Small Cap Index Fund | — | — | 13,044,281 | 11,621,111 | |||
Developed International Index Fund | — | — | 2,491,354 | 1,654,106 | |||
International Equity Fund | — | — | 84,700,985 | 90,120,067 | |||
Emerging Markets Equity Fund | — | — | 34,070,180 | 35,980,793 | |||
Real Estate Securities Fund | — | — | 17,896,039 | 23,787,964 | |||
Aggressive Allocation Fund | — | — | 5,579,621 | 8,496,856 | |||
Moderately Aggressive Allocation Fund | — | — | 19,209,511 | 27,667,852 | |||
Moderate Allocation Fund | — | — | 15,187,664 | 32,510,499 | |||
Moderately Conservative Allocation Fund | — | — | 9,926,518 | 10,680,183 | |||
Conservative Allocation Fund | — | — | 3,921,083 | 7,456,478 |
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 | |
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 |
Total distributable earnings (loss) | Increase (Decrease) Paid-in Capital | ||
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 | |||||
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 |
Ordinary Income and Short-Term Capital Gains | Long-Term Capital Gains | Total | |||||||||
2021 | 2020 | 2021 | 2020 | 2021 | 2020 | ||||||
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) | |
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 | $ 172,352,745 | $ — | $ — | $ — | |||
Limited Maturity Bond Fund | 246,826,545 | 455,353 | (11,916,381) | (11,461,028) | |||
Quality Bond Fund | 426,789,513 | 257,391 | (37,784,532) | (37,527,141) | |||
High Yield Bond Fund | 152,866,018 | 17,500 | (12,557,491) | (12,539,991) | |||
Flexibly Managed Fund | 4,770,285,745 | 172,355,529 | (370,703,973) | (198,348,444) | |||
Balanced Fund | 54,422,301 | 18,832,974 | (521,206) | 18,311,768 | |||
Large Growth Stock Fund | 219,862,812 | 76,289,187 | (40,120,068) | 36,169,119 | |||
Large Cap Growth Fund | 49,441,940 | 14,310,855 | (2,469,476) | 11,841,379 | |||
Large Core Growth Fund | 170,213,133 | 261,473 | (74,239,642) | (73,978,169) | |||
Large Cap Value Fund | 164,793,472 | 16,676,764 | (9,421,222) | 7,255,542 | |||
Large Core Value Fund | 152,057,998 | 14,858,965 | (11,092,234) | 3,766,731 | |||
Index 500 Fund | 333,935,852 | 263,743,784 | (18,878,616) | 244,865,168 | |||
Mid Cap Growth Fund | 120,285,678 | 33,683,910 | (18,965,287) | 14,718,623 | |||
Mid Cap Value Fund | 80,021,085 | 12,867,661 | (6,654,475) | 6,213,186 | |||
Mid Core Value Fund | 87,793,375 | 3,516,329 | (7,793,309) | (4,276,980) | |||
SMID Cap Growth Fund | 83,376,943 | 1,841,821 | (16,618,742) | (14,776,921) | |||
SMID Cap Value Fund | 58,118,264 | 4,381,042 | (7,627,833) | (3,246,791) | |||
Small Cap Growth Fund | 79,463,087 | 29,315,928 | (9,940,129) | 19,375,799 | |||
Small Cap Value Fund | 164,318,351 | 10,586,241 | (20,537,850) | (9,951,609) | |||
Small Cap Index Fund | 81,718,080 | 11,177,239 | (17,925,099) | (6,747,860) | |||
Developed International Index Fund | 75,265,996 | 24,971,689 | (11,399,102) | 13,572,587 | |||
International Equity Fund | 287,948,747 | 6,646,966 | (32,937,979) | (26,291,013) | |||
Emerging Markets Equity Fund | 116,345,217 | 3,685,978 | (17,668,232) | (13,982,254) | |||
Real Estate Securities Fund | 103,023,097 | 11,916,160 | (4,218,133) | 7,698,027 | |||
Aggressive Allocation Fund | 51,061,578 | 5,282,288 | (950,005) | 4,332,283 | |||
Moderately Aggressive Allocation Fund | 174,124,036 | 26,958,887 | (2,825,677) | 24,133,210 | |||
Moderate Allocation Fund | 203,123,749 | 28,867,679 | (2,359,884) | 26,507,795 | |||
Moderately Conservative Allocation Fund | 82,874,636 | 5,470,165 | (990,510) | 4,479,655 | |||
Conservative Allocation Fund | 49,893,137 | 1,458,475 | (1,144,388) | 314,087 |
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* | ||
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 | $ — | $ — | $ — | $ — | $ — | $ (238,641) | |||||
Quality Bond Fund | — | — | — | — | — | (1,035,430) | |||||
Flexibly Managed Fund | — | — | — | (4,332,683) | — | — | |||||
Index 500 Fund | 10,763 | — | — | — | — | — | |||||
Mid Cap Growth Fund | — | — | — | (232,300) | — | — | |||||
Mid Core Value Fund | — | 18,042 | — | — | (5,597) | — | |||||
Small Cap Index Fund | — | — | — | (49,214) | — | — | |||||
Developed International Index Fund | — | — | — | (35,320) | — | — |
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 | $ — | $ (13,104) | $ (13,104) | $— | $ (13,104) | ||||||
Citigroup | ISDA | — | (1,748,267) | (1,748,267) | — | (1,748,267) | ||||||
Credit Suisse | ISDA | — | (69,733) | (69,733) | — | (69,733) | ||||||
Goldman Sachs | ISDA | — | (597,288) | (597,288) | — | (597,288) | ||||||
JP Morgan | ISDA | — | (625,385) | (625,385) | — | (625,385) | ||||||
Susquehanna Financial Group, Lllp | ISDA | — | (960,613) | (960,613) | — | (960,613) | ||||||
WellsFargo | ISDA | — | (318,293) | (318,293) | — | (318,293) | ||||||
Total | $ — | $(4,332,683) | $(4,332,683) | $— | $(4,332,683) | |||||||
Mid Cap Growth Fund | ||||||||||||
Morgan Stanley | ISDA | — | (232,300) | (232,300) | — | (232,300) | ||||||
Total | $ — | $ (232,300) | $ (232,300) | $— | $ (232,300) | |||||||
Mid Core Value Fund | ||||||||||||
Bank of America | Fx Letter | 7,549 | (227) | 7,322 | — | 7,322 | ||||||
JP Morgan | Fx Letter | 10,493 | — | 10,493 | — | 10,493 | ||||||
UBS Securities | Fx Letter | — | (5,370) | (5,370) | — | (5,370) | ||||||
Total | $18,042 | $ (5,597) | $ 12,445 | $— | $ 12,445 |
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 | $ — | $ — | $ (1,194,331) | |||
Quality Bond Fund | — | — | (8,237,279) | |||
Flexibly Managed Fund | 11,666,455 | — | — | |||
Large Cap Growth Fund | — | (41) | — | |||
Index 500 Fund | (1,428,589) | — | — |
Realized Gain (Loss) on Derivatives Recognized in Income | ||||||
Fund | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | |||
Mid Cap Growth Fund | $ (649,894) | $ — | $ — | |||
Mid Core Value Fund | — | 461,540 | — | |||
Small Cap Index Fund | (216,704) | — | — | |||
Developed International Index Fund | (556,514) | 1,536 | — |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||
Fund | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | |||
Limited Maturity Bond Fund | $ — | $ — | $ (255,660) | |||
Quality Bond Fund | — | — | (1,279,525) | |||
Flexibly Managed Fund | 67,163,500 | — | — | |||
Index 500 Fund | (76,101) | — | — | |||
Mid Cap Growth Fund | 105,205 | — | — | |||
Mid Core Value Fund | — | 81,119 | — | |||
Small Cap Index Fund | (72,666) | — | — | |||
Developed International Index Fund | (87,434) | — | — |
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 | $ — | $ 43,010,099 | $ — | $ — | $ — | |||||
Quality Bond Fund | — | 159,142,272 | (4,881,250) | — | — | |||||
Flexibly Managed Fund | — | — | — | — | (30,347,634) | |||||
Index 500 Fund | — | 7,164,808 | — | — | — | |||||
Mid Cap Growth Fund | — | — | — | 6,476 | (166,927) | |||||
Mid Core Value Fund | (5,752,265) | — | — | — | — | |||||
Small Cap Index Fund | — | 1,123,920 | — | — | — | |||||
Developed International Index Fund | — | 3,360,403 | — | — | — |
Sub-Adviser | Fund | |
AllianceBernstein L.P. | SMID Cap Value Fund | |
AllianceBernstein L.P. | Large Cap Value Fund | |
American Century Investment Management, Inc. | Mid Core Value Fund | |
Cohen & Steers Capital Management, Inc. | Real Estate Securities Fund | |
Delaware Investments Fund Advisers | Mid Cap Growth Fund | |
Eaton Vance Management | Large Core Value Fund | |
Goldman Sachs Asset Management, L.P. | Small Cap Value Fund | |
Goldman Sachs Asset Management, L.P. | SMID Cap Growth Fund | |
Janus Henderson Investors US LLC | Mid Cap Value Fund | |
Janus Henderson Investors US LLC | Small Cap Growth Fund | |
Massachusetts Financial Services Company | Large Cap Growth Fund | |
Morgan Stanley Investment Management Inc. | Large Core Growth Fund | |
SSGA Funds Management, Inc. | Index 500 Fund | |
SSGA Funds Management, Inc. | Small Cap Index Fund | |
SSGA Funds Management, Inc. | Developed International Index Fund | |
T. Rowe Price Associates, Inc. | Flexibly Managed Fund | |
T. Rowe Price Investment Management, Inc. | ||
T. Rowe Price Associates, Inc. | Large Growth Stock Fund | |
Vontobel Asset Management, Inc. | Emerging Markets Equity Fund | |
Vontobel Asset Management, Inc. | International Equity Fund |
PM8934 | 06/22 |
(b) | Not applicable |
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | The full 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 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.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the Registrant’s Board of Directors, where those changes were implemented after the Registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
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”)) are effective as of a date within 90 days of the filing of this report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended. |
(b) | The registrant’s certifying officers are not aware of any changes in the registrant’s internal control over financial reporting (as defined in rule 30a-3(d) under the 1940 Act) 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) | Not applicable. |
(a)(2) |
(a)(2)(1) | There were no written solicitations to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the Registrant to 10 or more persons. |
(a)(2)(2) | There was no change in the Registrant’s independent public accountant during the period covered by the report. |
(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 | September 6, 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 | September 6, 2022 |
By (Signature and Title)* | /s/ Steven Viola | |
Steven Viola, Treasurer | ||
(principal financial officer) |
Date | September 6, 2022 |
* | Print the name and title of each signing officer under his or her signature. |