Schedule of Investments International Equity Portfolio^ (Unaudited)
September 30, 2023
September 30, 2023
Number of Shares | Value | |
Common Stocks 97.4% | ||
Australia 0.8% | ||
41,709 | Glencore PLC | $237,512 |
Austria 1.2% | ||
7,515 | BAWAG Group AG | 343,481 *(a) |
Belgium 1.2% | ||
18,899 | Azelis Group NV | 373,068 |
Canada 1.8% | ||
10,776 | Cenovus Energy, Inc. | 224,356 |
15,194 | Softchoice Corp.(b) | 167,461 |
2,487 | Toronto-Dominion Bank(b) | 149,834 |
541,651 | ||
China 0.5% | ||
16,800 | Shenzhou International Group Holdings Ltd. | 160,900 |
Finland 1.1% | ||
31,029 | Nordea Bank Abp | 340,193 |
France 6.6% | ||
11,515 | Bureau Veritas SA | 285,527 |
13,680 | Exclusive Networks SA | 248,780 |
576 | Kering SA | 261,713 |
2,303 | Pernod Ricard SA | 383,426 |
2,206 | Teleperformance SE | 276,978 |
7,973 | TotalEnergies SE | 524,219 |
1,980,643 | ||
Germany 12.0% | ||
1,672 | adidas AG | 293,283 |
4,059 | Brenntag SE | 314,072 |
2,258 | Deutsche Boerse AG | 389,949 |
18,543 | Deutsche Telekom AG | 388,973 |
5,392 | HelloFresh SE | 160,221 * |
2,279 | Merck KGaA | 379,926 |
1,650 | MTU Aero Engines AG | 298,831 |
10,209 | QIAGEN NV | 413,464 * |
2,621 | SAP SE ADR | 338,948 |
4,345 | Stabilus SE | 242,768 |
3,763 | Symrise AG | 358,233 |
3,578,668 | ||
Hong Kong 2.6% | ||
39,800 | AIA Group Ltd. | 324,511 |
28,357 | Prudential PLC | 304,819 |
14,300 | Techtronic Industries Co. Ltd. | 138,782 |
768,112 | ||
Ireland 4.5% | ||
37,603 | Bank of Ireland Group PLC | 367,592 |
5,456 | CRH PLC | 300,812 |
Number of Shares | Value | |
Ireland – cont'd | ||
5,000 | Kerry Group PLC Class A | $417,772 |
7,647 | Smurfit Kappa Group PLC | 254,032 |
1,340,208 | ||
Italy 0.7% | ||
35,074 | Nexi SpA | 213,708 *(a) |
Japan 16.5% | ||
6,900 | Ebara Corp. | 323,622 |
13,600 | Fuji Corp. | 211,499 |
3,000 | Fujitsu Ltd.(b) | 353,319 |
7,200 | Hitachi Ltd. | 446,868 |
14,900 | KDDI Corp. | 456,352 |
9,500 | Koito Manufacturing Co. Ltd. | 143,447 |
2,600 | Lasertec Corp. | 404,858 |
5,800 | NS Solutions Corp. | 165,143 |
5,800 | Oracle Corp. Japan | 430,808 |
5,300 | Otsuka Corp. | 224,569 |
9,100 | SCSK Corp. | 158,873 |
700 | SMC Corp. | 313,745 |
7,000 | Sony Group Corp. | 573,341 |
13,300 | TechnoPro Holdings, Inc. | 289,514 |
7,600 | Terumo Corp. | 201,544 |
1,600 | Tokyo Electron Ltd. | 218,844 |
4,916,346 | ||
Netherlands 7.3% | ||
3,579 | Aalberts NV | 130,592 |
900 | ASML Holding NV | 529,875 |
5,022 | Heineken NV | 442,747 |
24,964 | ING Groep NV | 329,027 |
23,568 | Shell PLC | 746,970 |
2,179,211 | ||
Singapore 1.1% | ||
12,843 | DBS Group Holdings Ltd. | 316,049 |
Spain 1.5% | ||
43,032 | Bankinter SA(b) | 273,769 |
8,758 | Fluidra SA | 178,702 |
452,471 | ||
Sweden 0.8% | ||
2,505 | Autoliv, Inc. | 241,682 |
Switzerland 8.9% | ||
2,351 | DSM-Firmenich AG | 198,666 |
7,553 | Julius Baer Group Ltd. | 483,451 |
382 | Lonza Group AG | 176,693 |
8,136 | Novartis AG | 830,919 |
2,540 | Roche Holding AG | 693,423 |
11,059 | SIG Group AG | 272,443 * |
2,655,595 |
See Notes to Schedule of Investments
Schedule of Investments International Equity Portfolio^ (Unaudited) (cont’d)
Number of Shares | Value | |
United Kingdom 20.9% | ||
6,202 | AstraZeneca PLC | $836,553 |
40,525 | BAE Systems PLC | 492,453 |
22,770 | BP PLC | 146,774 |
14,144 | Bunzl PLC | 503,721 |
6,460 | Coca-Cola Europacific Partners PLC | 403,621 |
15,861 | Compass Group PLC | 386,082 |
13,833 | Experian PLC | 452,444 |
560,009 | Lloyds Banking Group PLC | 300,945 |
5,304 | London Stock Exchange Group PLC | 531,598 |
139,164 | Petershill Partners PLC | 255,537 (a) |
21,386 | RELX PLC | 721,562 |
28,147 | RS GROUP PLC | 251,386 |
20,409 | Smith & Nephew PLC | 253,287 |
13,629 | TechnipFMC PLC | 277,214 |
8,920 | Unilever PLC | 441,606 |
6,254,783 | ||
United States 7.4% | ||
1,433 | Aon PLC Class A | 464,607 |
1,676 | ICON PLC | 412,715 * |
7,016 | Nestle SA | 794,183 |
6,698 | Schlumberger NV | 390,494 |
Number of Shares | Value | |
United States – cont'd | ||
893 | Schneider Electric SE | $147,159 |
2,209,158 | ||
Total Common Stocks (Cost $31,398,938) | 29,103,439 | |
Short-Term Investments 4.0% | ||
Investment Companies 4.0% | ||
666,196 | State Street Institutional Treasury Money Market Fund Premier Class, 5.28%(c) | 666,196 |
531,889 | State Street Navigator Securities Lending Government Money Market Portfolio, 5.35%(c) | 531,889 (d) |
Total Short-Term Investments (Cost $1,198,085) | 1,198,085 | |
Total Investments 101.4% (Cost $32,597,023) | 30,301,524 | |
Liabilities Less Other Assets (1.4)% | (415,469 ) | |
Net Assets 100.0% | $29,886,055 |
* | Non-income producing security. |
(a) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve directed selling efforts in the United States and as such may have restrictions on resale. Total value of all such securities at September 30, 2023 amounted to $812,726, which represents 2.7% of net assets of the Fund. |
(b) | All or a portion of this security is on loan at September 30, 2023. Total value of all such securities at September 30, 2023 amounted to $900,803, collateralized by cash collateral of $531,889 and non-cash (U.S. Treasury Securities) collateral of $419,511 for the Fund. |
(c) | Represents 7-day effective yield as of September 30, 2023. |
(d) | Represents investment of cash collateral received from securities lending. |
See Notes to Schedule of Investments
Schedule of Investments International Equity Portfolio^ (Unaudited) (cont’d)
POSITIONS BY INDUSTRY | ||
Industry | Investments at Value | Percentage of Net Assets |
Pharmaceuticals | $2,740,821 | 9.2 % |
Banks | 2,420,890 | 8.1 % |
Professional Services | 2,026,025 | 6.8 % |
Capital Markets | 1,660,535 | 5.6 % |
Oil, Gas & Consumable Fuels | 1,642,319 | 5.5 % |
Machinery | 1,539,710 | 5.1 % |
Trading Companies & Distributors | 1,442,247 | 4.8 % |
Beverages | 1,229,794 | 4.1 % |
Food Products | 1,211,955 | 4.0 % |
Semiconductors & Semiconductor Equipment | 1,153,577 | 3.9 % |
IT Services | 1,150,684 | 3.8 % |
Insurance | 1,093,937 | 3.7 % |
Life Sciences Tools & Services | 1,002,872 | 3.4 % |
Aerospace & Defense | 791,284 | 2.6 % |
Software | 769,756 | 2.6 % |
Textiles, Apparel & Luxury Goods | 715,896 | 2.4 % |
Energy Equipment & Services | 667,708 | 2.2 % |
Household Durables | 573,341 | 1.9 % |
Chemicals | 556,899 | 1.9 % |
Containers & Packaging | 526,475 | 1.8 % |
Wireless Telecommunication Services | 456,352 | 1.5 % |
Health Care Equipment & Supplies | 454,831 | 1.5 % |
Industrial Conglomerates | 446,868 | 1.5 % |
Personal Care Products | 441,606 | 1.5 % |
Diversified Telecommunication Services | 388,973 | 1.3 % |
Hotels, Restaurants & Leisure | 386,082 | 1.3 % |
Automobile Components | 385,129 | 1.3 % |
Construction Materials | 300,812 | 1.0 % |
Metals & Mining | 237,512 | 0.8 % |
Financial Services | 213,708 | 0.7 % |
Electronic Equipment, Instruments & Components | 167,461 | 0.6 % |
Consumer Staples Distribution & Retail | 160,221 | 0.5 % |
Electrical Equipment | 147,159 | 0.5 % |
Short-Term Investments and Other Liabilities—Net | 782,616 | 2.6 % |
$29,886,055 | 100.0 % |
See Notes to Schedule of Investments
Schedule of Investments International Equity Portfolio^ (Unaudited) (cont’d)
The following is a summary, categorized by Level (see the Notes to Schedule of Investments), of inputs used to value the Fund’s investments as of September 30, 2023:
Asset Valuation Inputs | Level 1 | Level 2 | Level 3 | Total |
Investments: | ||||
Common Stocks | ||||
Australia | $— | $237,512 | $— | $237,512 |
Austria | — | 343,481 | — | 343,481 |
Belgium | — | 373,068 | — | 373,068 |
Finland | — | 340,193 | — | 340,193 |
France | — | 1,980,643 | — | 1,980,643 |
Germany | 752,412 | 2,826,256 | — | 3,578,668 |
Hong Kong | 463,293 | 304,819 | — | 768,112 |
Ireland | — | 1,340,208 | — | 1,340,208 |
Italy | — | 213,708 | — | 213,708 |
Netherlands | — | 2,179,211 | — | 2,179,211 |
Spain | — | 452,471 | — | 452,471 |
Switzerland | — | 2,655,595 | — | 2,655,595 |
United Kingdom | 680,835 | 5,573,948 | — | 6,254,783 |
United States | 1,267,816 | 941,342 | — | 2,209,158 |
Other Common Stocks# | 6,176,628 | — | — | 6,176,628 |
Total Common Stocks | 9,340,984 | 19,762,455 | — | 29,103,439 |
Short-Term Investments | — | 1,198,085 | — | 1,198,085 |
Total Investments | $9,340,984 | $20,960,540 | $— | $30,301,524 |
# | The Schedule of Investments provides a geographic categorization as well as a Positions by Industry summary. |
^ A balance indicated with a "—", reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Schedule of Investments
Schedule of Investments Mid Cap Growth Portfolio^ (Unaudited)
September 30, 2023
September 30, 2023
Number of Shares | Value | |
Common Stocks 96.1% | ||
Aerospace & Defense 3.1% | ||
34,700 | Axon Enterprise, Inc. | $6,904,953 * |
45,700 | HEICO Corp. | 7,400,201 |
14,305,154 | ||
Automobile Components 0.8% | ||
39,627 | Aptiv PLC | 3,906,826 * |
Biotechnology 2.7% | ||
20,250 | Alnylam Pharmaceuticals, Inc. | 3,586,275 * |
12,749 | BioMarin Pharmaceutical, Inc. | 1,128,032 * |
69,157 | Natera, Inc. | 3,060,197 * |
24,934 | Neurocrine Biosciences, Inc. | 2,805,075 * |
16,038 | Sarepta Therapeutics, Inc. | 1,944,126 * |
12,523,705 | ||
Building Products 1.0% | ||
36,100 | Builders FirstSource, Inc. | 4,494,089 * |
Capital Markets 1.7% | ||
77,195 | Ares Management Corp. Class A | 7,941,050 |
Commercial Services & Supplies 2.5% | ||
18,285 | Cintas Corp. | 8,795,268 |
21,300 | Waste Connections, Inc. | 2,860,590 |
11,655,858 | ||
Communications Equipment 0.8% | ||
19,375 | Arista Networks, Inc. | 3,563,644 * |
Construction & Engineering 1.0% | ||
25,400 | Quanta Services, Inc. | 4,751,578 |
Consumer Staples Distribution & Retail 1.2% | ||
77,628 | BJ's Wholesale Club Holdings, Inc. | 5,540,310 * |
Distributors 0.8% | ||
72,600 | LKQ Corp. | 3,594,426 |
Electrical Equipment 4.7% | ||
38,300 | AMETEK, Inc. | 5,659,208 |
15,000 | Hubbell, Inc. | 4,701,150 |
22,100 | Rockwell Automation, Inc. | 6,317,727 |
133,800 | Vertiv Holdings Co. | 4,977,360 |
21,655,445 | ||
Entertainment 1.3% | ||
38,086 | Spotify Technology SA | 5,889,619 * |
Ground Transportation 2.8% | ||
21,200 | JB Hunt Transport Services, Inc. | 3,996,624 |
22,000 | Old Dominion Freight Line, Inc. | 9,001,080 |
12,997,704 |
Number of Shares | Value | |
Health Care Equipment & Supplies 7.3% | ||
9,645 | Align Technology, Inc. | $2,944,811 * |
77,929 | Axonics, Inc. | 4,373,376 * |
115,760 | Dexcom, Inc. | 10,800,408 * |
15,080 | IDEXX Laboratories, Inc. | 6,594,032 * |
7,860 | Inspire Medical Systems, Inc. | 1,559,738 * |
16,711 | Insulet Corp. | 2,665,237 * |
13,416 | Penumbra, Inc. | 3,245,465 * |
8,198 | Shockwave Medical, Inc. | 1,632,222 * |
33,815,289 | ||
Health Care Providers & Services 1.6% | ||
41,289 | Cencora, Inc. | 7,430,781 |
Health Care Technology 1.0% | ||
24,026 | Veeva Systems, Inc. Class A | 4,888,090 * |
Hotels, Restaurants & Leisure 4.5% | ||
30,700 | Churchill Downs, Inc. | 3,562,428 |
51,000 | Darden Restaurants, Inc. | 7,304,220 |
214,900 | DraftKings, Inc. Class A | 6,326,656 * |
17,700 | Vail Resorts, Inc. | 3,927,453 |
21,120,757 | ||
Household Products 1.6% | ||
80,700 | Church & Dwight Co., Inc. | 7,394,541 |
Insurance 4.5% | ||
54,812 | Arch Capital Group Ltd. | 4,369,064 * |
52,102 | Arthur J Gallagher & Co. | 11,875,609 |
11,308 | Kinsale Capital Group, Inc. | 4,682,982 |
20,927,655 | ||
IT Services 1.8% | ||
23,982 | MongoDB, Inc. | 8,294,414 * |
Life Sciences Tools & Services 5.5% | ||
61,576 | Agilent Technologies, Inc. | 6,885,427 |
108,847 | Avantor, Inc. | 2,294,495 * |
13,006 | Bio-Rad Laboratories, Inc. Class A | 4,662,001 * |
45,582 | IQVIA Holdings, Inc. | 8,968,258 * |
16,034 | Repligen Corp. | 2,549,566 * |
25,359,747 | ||
Machinery 1.4% | ||
85,300 | Fortive Corp. | 6,325,848 |
Media 1.7% | ||
103,438 | Trade Desk, Inc. Class A | 8,083,680 * |
Oil, Gas & Consumable Fuels 2.9% | ||
43,100 | Cheniere Energy, Inc. | 7,152,876 |
41,357 | Diamondback Energy, Inc. | 6,405,372 |
13,558,248 |
See Notes to Schedule of Investments
Schedule of Investments Mid Cap Growth Portfolio^ (Unaudited) (cont’d)
Number of Shares | Value | |
Pharmaceuticals 0.7% | ||
125,000 | Royalty Pharma PLC Class A | $3,392,500 |
Professional Services 2.4% | ||
23,734 | Paylocity Holding Corp. | 4,312,468 * |
28,200 | Verisk Analytics, Inc. | 6,661,968 |
10,974,436 | ||
Real Estate Management & Development 1.0% | ||
60,100 | CoStar Group, Inc. | 4,621,089 * |
Semiconductors & Semiconductor Equipment 5.1% | ||
112,072 | Lattice Semiconductor Corp. | 9,630,347 * |
17,147 | Monolithic Power Systems, Inc. | 7,921,914 |
63,681 | ON Semiconductor Corp. | 5,919,149 * |
23,471,410 | ||
Software 18.0% | ||
45,496 | BILL Holdings, Inc. | 4,939,501 * |
35,244 | Cadence Design Systems, Inc. | 8,257,669 * |
77,459 | Crowdstrike Holdings, Inc. Class A | 12,965,087 * |
97,247 | Datadog, Inc. Class A | 8,858,229 * |
80,838 | Descartes Systems Group, Inc. | 5,931,892 * |
5,169 | Fair Isaac Corp. | 4,489,432 * |
56,822 | Manhattan Associates, Inc. | 11,231,437 * |
881,238 | Palantir Technologies, Inc. Class A | 14,099,808 * |
10,023 | Palo Alto Networks, Inc. | 2,349,792 * |
67,567 | Zscaler, Inc. | 10,512,750 * |
83,635,597 | ||
Specialty Retail 4.8% | ||
6,900 | O'Reilly Automotive, Inc. | 6,271,134 * |
Number of Shares | Value | |
Specialty Retail – cont'd | ||
10,400 | RH | $2,749,344 * |
67,900 | Ross Stores, Inc. | 7,669,305 |
14,300 | Ulta Beauty, Inc. | 5,712,135 * |
22,401,918 | ||
Technology Hardware, Storage & Peripherals 1.5% | ||
25,897 | Super Micro Computer, Inc. | 7,101,475 * |
Textiles, Apparel & Luxury Goods 1.5% | ||
6,100 | Deckers Outdoor Corp. | 3,135,949 * |
144,200 | On Holding AG Class A | 4,011,644 * |
7,147,593 | ||
Trading Companies & Distributors 2.9% | ||
12,900 | United Rentals, Inc. | 5,734,953 |
11,500 | W.W. Grainger, Inc. | 7,956,161 |
13,691,114 | ||
Total Common Stocks (Cost $407,580,840) | 446,455,590 | |
Short-Term Investments 6.6% | ||
Investment Companies 6.6% | ||
30,355,419 | State Street Institutional U.S. Government Money Market Fund Premier Class, 5.29%(a) (Cost $ 30,355,419) | 30,355,419 |
Total Investments 102.7% (Cost $437,936,259) | 476,811,009 | |
Liabilities Less Other Assets (2.7)% | (12,383,566 ) | |
Net Assets 100.0% | $464,427,443 |
* | Non-income producing security. |
(a) | Represents 7-day effective yield as of September 30, 2023. |
See Notes to Schedule of Investments
Schedule of Investments Mid Cap Growth Portfolio^ (Unaudited) (cont’d)
The following is a summary, categorized by Level (see the Notes to Schedule of Investments), of inputs used to value the Fund’s investments as of September 30, 2023:
Asset Valuation Inputs | Level 1 | Level 2 | Level 3 | Total |
Investments: | ||||
Common Stocks# | $446,455,590 | $— | $— | $446,455,590 |
Short-Term Investments | — | 30,355,419 | — | 30,355,419 |
Total Investments | $446,455,590 | $30,355,419 | $— | $476,811,009 |
# | The Schedule of Investments provides information on the industry or sector categorization. |
^ A balance indicated with a "—", reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Schedule of Investments
Schedule of Investments Mid Cap Intrinsic Value Portfolio^ (Unaudited)
September 30, 2023
September 30, 2023
Number of Shares | Value | |
Common Stocks 99.9% | ||
Aerospace & Defense 2.7% | ||
6,077 | General Dynamics Corp. | $1,342,834 |
10,198 | L3Harris Technologies, Inc. | 1,775,676 |
3,118,510 | ||
Automobile Components 1.9% | ||
22,619 | Aptiv PLC | 2,230,007 * |
Banks 3.8% | ||
28,372 | Comerica, Inc. | 1,178,857 |
159,115 | Huntington Bancshares, Inc. | 1,654,796 |
53,232 | Truist Financial Corp. | 1,522,967 |
4,356,620 | ||
Beverages 1.0% | ||
18,012 | Molson Coors Beverage Co. Class B | 1,145,383 |
Building Products 4.3% | ||
6,483 | Carlisle Cos., Inc. | 1,680,782 |
37,943 | Fortune Brands Innovations, Inc. | 2,358,537 |
60,047 | Resideo Technologies, Inc. | 948,743 * |
4,988,062 | ||
Chemicals 0.7% | ||
9,089 | Ashland, Inc. | 742,390 |
Commercial Services & Supplies 2.0% | ||
96,640 | OPENLANE, Inc. | 1,441,869 * |
19,263 | Stericycle, Inc. | 861,249 * |
2,303,118 | ||
Communications Equipment 2.9% | ||
43,786 | Ciena Corp. | 2,069,326 * |
4,736 | Motorola Solutions, Inc. | 1,289,329 |
3,358,655 | ||
Construction & Engineering 1.9% | ||
29,777 | Arcosa, Inc. | 2,140,966 |
Consumer Finance 0.6% | ||
20,349 | Bread Financial Holdings, Inc. | 695,936 |
Consumer Staples Distribution & Retail 1.7% | ||
18,186 | Dollar Tree, Inc. | 1,935,900 * |
Containers & Packaging 3.4% | ||
5,190 | Avery Dennison Corp. | 948,057 |
15,071 | Crown Holdings, Inc. | 1,333,482 |
48,201 | Sealed Air Corp. | 1,583,885 |
3,865,424 | ||
Electric Utilities 3.1% | ||
48,992 | Evergy, Inc. | 2,483,895 |
Number of Shares | Value | |
Electric Utilities – cont'd | ||
31,202 | FirstEnergy Corp. | $1,066,484 |
3,550,379 | ||
Electronic Equipment, Instruments & Components 3.2% | ||
6,776 | CDW Corp. | 1,367,125 |
20,131 | Coherent Corp. | 657,076 * |
27,855 | Itron, Inc. | 1,687,456 * |
3,711,657 | ||
Energy Equipment & Services 2.2% | ||
70,029 | Baker Hughes Co. | 2,473,424 |
Entertainment 1.7% | ||
254,310 | Lions Gate Entertainment Corp. Class B | 2,001,420 * |
Financial Services 1.8% | ||
18,257 | Global Payments, Inc. | 2,106,675 |
Food Products 3.4% | ||
99,481 | Hain Celestial Group, Inc. | 1,031,618 * |
65,959 | TreeHouse Foods, Inc. | 2,874,493 * |
3,906,111 | ||
Health Care Equipment & Supplies 4.5% | ||
42,003 | Avanos Medical, Inc. | 849,301 * |
21,055 | Haemonetics Corp. | 1,886,107 * |
19,402 | Zimmer Biomet Holdings, Inc. | 2,177,292 |
29,313 | Zimvie, Inc. | 275,835 * |
5,188,535 | ||
Health Care Providers & Services 2.3% | ||
6,053 | McKesson Corp. | 2,632,147 |
Hotels, Restaurants & Leisure 4.9% | ||
56,486 | International Game Technology PLC | 1,712,655 |
56,741 | MGM Resorts International | 2,085,799 * |
50,435 | Travel & Leisure Co. | 1,852,478 |
5,650,932 | ||
Independent Power and Renewable Electricity Producers 3.4% | ||
97,090 | AES Corp. | 1,475,768 |
73,363 | Vistra Corp. | 2,434,184 |
3,909,952 | ||
Insurance 3.4% | ||
15,336 | Allstate Corp. | 1,708,584 |
20,621 | Globe Life, Inc. | 2,242,121 |
3,950,705 | ||
IT Services 2.2% | ||
45,337 | Kyndryl Holdings, Inc. | 684,589 * |
20,376 | Wix.com Ltd. | 1,870,517 * |
2,555,106 |
See Notes to Schedule of Investments
Schedule of Investments Mid Cap Intrinsic Value Portfolio^ (Unaudited) (cont’d)
Number of Shares | Value | |
Life Sciences Tools & Services 0.3% | ||
1,514 | Charles River Laboratories International, Inc. | $296,714 * |
Machinery 3.5% | ||
37,727 | Allison Transmission Holdings, Inc. | 2,228,157 |
68,331 | Enerpac Tool Group Corp. | 1,805,988 |
4,034,145 | ||
Metals & Mining 0.5% | ||
37,414 | Cleveland-Cliffs, Inc. | 584,781 * |
Multi-Utilities 2.5% | ||
104,979 | CenterPoint Energy, Inc. | 2,818,686 |
Oil, Gas & Consumable Fuels 6.8% | ||
38,046 | Devon Energy Corp. | 1,814,794 |
23,205 | EOG Resources, Inc. | 2,941,466 |
9,663 | Phillips 66 | 1,161,010 |
56,440 | Williams Cos., Inc. | 1,901,464 |
7,818,734 | ||
Professional Services 4.8% | ||
317,097 | Conduent, Inc. | 1,103,497 * |
98,429 | Dun & Bradstreet Holdings, Inc. | 983,306 |
57,238 | KBR, Inc. | 3,373,608 |
5,460,411 | ||
Retail REITs 1.9% | ||
37,346 | Regency Centers Corp. | 2,219,846 |
Semiconductors & Semiconductor Equipment 2.7% | ||
6,424 | NXP Semiconductors NV | 1,284,286 |
18,852 | Skyworks Solutions, Inc. | 1,858,619 |
3,142,905 | ||
Software 3.0% | ||
24,352 | DocuSign, Inc. | 1,022,784 * |
Number of Shares | Value | |
Software – cont'd | ||
53,336 | Dropbox, Inc. Class A | $1,452,339 * |
24,128 | Smartsheet, Inc. Class A | 976,219 * |
3,451,342 | ||
Specialty Retail 4.0% | ||
8,345 | Best Buy Co., Inc. | 579,727 |
306,413 | Chico's FAS, Inc. | 2,291,969 * |
38,919 | Children's Place, Inc. | 1,051,981 * |
14,019 | ODP Corp. | 646,977 * |
4,570,654 | ||
Technology Hardware, Storage & Peripherals 3.3% | ||
108,679 | Hewlett Packard Enterprise Co. | 1,887,754 |
54,675 | Pure Storage, Inc. Class A | 1,947,524 * |
3,835,278 | ||
Textiles, Apparel & Luxury Goods 0.5% | ||
84,379 | Under Armour, Inc. Class C | 538,338 * |
Trading Companies & Distributors 3.1% | ||
57,668 | AerCap Holdings NV | 3,614,054 * |
Total Common Stocks (Cost $98,524,022) | 114,903,902 | |
Short-Term Investments 0.1% | ||
Investment Companies 0.1% | ||
129,173 | State Street Institutional U.S. Government Money Market Fund Premier Class, 5.29%(a) (Cost $ 129,173) | 129,173 |
Total Investments 100.0% (Cost $98,653,195) | 115,033,075 | |
Liabilities Less Other Assets (0.0)%(b) | (6,704 ) | |
Net Assets 100.0% | $115,026,371 |
* | Non-income producing security. |
(a) | Represents 7-day effective yield as of September 30, 2023. |
(b) | Represents less than 0.05% of net assets of the Fund. |
The following is a summary, categorized by Level (see the Notes to Schedule of Investments), of inputs used to value the Fund’s investments as of September 30, 2023:
Asset Valuation Inputs | Level 1 | Level 2 | Level 3 | Total |
Investments: | ||||
Common Stocks# | $114,903,902 | $— | $— | $114,903,902 |
Short-Term Investments | — | 129,173 | — | 129,173 |
Total Investments | $114,903,902 | $129,173 | $— | $115,033,075 |
# | The Schedule of Investments provides information on the industry or sector categorization. |
^ A balance indicated with a "—", reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Schedule of Investments
Schedule of Investments Short Duration Bond Portfolio^ (Unaudited)
September 30, 2023
September 30, 2023
Principal Amount | Value | |||
Mortgage-Backed Securities 28.5% | ||||
Adjustable Mixed Balance 0.1% | ||||
$ | 90,422 | HarborView Mortgage Loan Trust, Series 2004-4, Class 3A, (1 mo. USD Term SOFR + 1.24%), 6.57%, due 6/19/2034 | $82,698 (a) | |
Collateralized Mortgage Obligations 10.5% | ||||
105,249 | Angel Oak Mortgage Trust, Series 2019-6, Class A1, 2.62%, due 11/25/2059 | 100,741 (b)(c) | ||
236,940 | Ellington Financial Mortgage Trust, Series 2022-1, Class A1, 2.21%, due 1/25/2067 | 192,351 (b)(c) | ||
Federal Home Loan Mortgage Corp. STACR REMIC Trust | ||||
385,000 | Series 2022-DNA2, Class M1B, (30 day USD SOFR Average + 2.40%), 7.71%, due 2/25/2042 | 386,936 (b) | ||
275,000 | Series 2022-DNA2, Class M2, (30 day USD SOFR Average + 3.75%), 9.06%, due 2/25/2042 | 282,032 (a)(b) | ||
320,000 | Series 2022-HQA1, Class M2, (30 day USD SOFR Average + 5.25%), 10.56%, due 3/25/2042 | 336,791 (a)(b) | ||
182,000 | Series 2022-HQA3, Class M1B, (30 day USD SOFR Average + 3.55%), 8.86%, due 8/25/2042 | 188,096 (a)(b) | ||
Federal Home Loan Mortgage Corp. STACR Trust | ||||
605,959 | Series 2017-DNA1, Class M2, (30 day USD SOFR Average + 3.36%), 8.68%, due 7/25/2029 | 625,626 (a) | ||
710,843 | Series 2017-HQA3, Class M2, (30 day USD SOFR Average + 2.46%), 7.78%, due 4/25/2030 | 719,728 (a) | ||
Federal National Mortgage Association Connecticut Avenue Securities | ||||
146,180 | Series 2016-C03, Class 1M2, (30 day USD SOFR Average + 5.41%), 10.73%, due 10/25/2028 | 154,387 (a) | ||
512,590 | Series 2018-C01, Class 1M2, (30 day USD SOFR Average + 2.36%), 7.68%, due 7/25/2030 | 517,716 (a) | ||
236,000 | Series 2021-R01, Class 1M2, (30 day USD SOFR Average + 1.55%), 6.86%, due 10/25/2041 | 235,554 (a)(b) | ||
460,000 | Series 2022-R01, Class 1M2, (30 day USD SOFR Average + 1.90%), 7.21%, due 12/25/2041 | 451,375 (a)(b) | ||
395,000 | Series 2022-R03, Class 1M2, (30 day USD SOFR Average + 3.50%), 8.81%, due 3/25/2042 | 405,863 (a)(b) | ||
124,564 | Series 2022-R07, Class 1M1, (30 day USD SOFR Average + 2.95%), 8.26%, due 6/25/2042 | 127,834 (a)(b) | ||
245,000 | Series 2022-R07, Class 1M2, (30 day USD SOFR Average + 4.65%), 9.96%, due 6/25/2042 | 260,773 (a)(b) | ||
680,663 | Series 2022-R08, Class 1M1, (30 day USD SOFR Average + 2.55%), 7.86%, due 7/25/2042 | 693,157 (a)(b) | ||
43,000 | Series 2022-R08, Class 1M2, (30 day USD SOFR Average + 3.60%), 8.91%, due 7/25/2042 | 44,236 (a)(b) | ||
214,000 | Series 2022-R08, Class 1B1, (30 day USD SOFR Average + 5.60%), 10.91%, due 7/25/2042 | 231,208 (a)(b) | ||
384,452 | Series 2023-R01, Class 1M1, (30 day USD SOFR Average + 2.40%), 7.71%, due 12/25/2042 | 390,942 (a)(b) | ||
127,000 | Series 2023-R02, Class 1M2, (30 day USD SOFR Average + 3.35%), 8.66%, due 1/25/2043 | 131,525 (a)(b) | ||
GCAT Trust | ||||
194,315 | Series 2019-NQM3, Class A1, 2.69%, due 11/25/2059 | 178,490 (b)(c) | ||
445,502 | Series 2021-NQM5, Class A1, 1.26%, due 7/25/2066 | 340,959 (b)(c) | ||
205,000 | JP Morgan Mortgage Trust, Series 2023-HE2, Class A1, (30 day USD SOFR Average + 1.70%), 7.02%, due 3/25/2054 | 205,000 (a)(b)(d) | ||
427,446 | SG Residential Mortgage Trust, Series 2021-2, Class A1, 1.74%, due 12/25/2061 | 343,132 (b)(c) | ||
430,377 | Towd Point Mortgage Trust, Series 2022-4, Class A1, 3.75%, due 9/25/2062 | 387,091 (b) | ||
Verus Securitization Trust | ||||
433,874 | Series 2021-3, Class A3, 1.44%, due 6/25/2066 | 357,753 (b)(c) | ||
377,584 | Series 2021-6, Class A3, 1.89%, due 10/25/2066 | 299,730 (b)(c) | ||
8,589,026 | ||||
Commercial Mortgage-Backed 10.2% | ||||
BBCMS Mortgage Trust | ||||
5,351,596 | Series 2021-C11, Class XA, 1.49%, due 9/15/2054 | 379,531 (c)(e) | ||
1,022,826 | Series 2022-C17, Class XA, 1.33%, due 9/15/2055 | 77,160 (c)(e) | ||
235,000 | BB-UBS Trust, Series 2012-SHOW, Class A, 3.43%, due 11/5/2036 | 215,500 (b) | ||
114,000 | Benchmark Mortgage Trust, Series 2020-B17, Class C, 3.37%, due 3/15/2053 | 77,878 (c) | ||
157,000 | BPR Trust, Series 2022-OANA, Class D, (1 mo. USD Term SOFR + 3.70%), 9.03%, due 4/15/2037 | 152,912 (a)(b) | ||
1,150,000 | BX Commercial Mortgage Trust, Series 2021-VOLT, Class D, (1 mo. USD Term SOFR + 1.76%), 7.10%, due 9/15/2036 | 1,096,946 (a)(b) | ||
BX Trust | ||||
269,000 | Series 2019-OC11, Class A, 3.20%, due 12/9/2041 | 226,735 (b) | ||
256,000 | Series 2019-OC11, Class D, 4.08%, due 12/9/2041 | 210,441 (b)(c) |
See Notes to Schedule of Investments
Schedule of Investments Short Duration Bond Portfolio^ (Unaudited) (cont’d)
Principal Amount | Value | |||
Commercial Mortgage-Backed – cont'd | ||||
CAMB Commercial Mortgage Trust | ||||
$ | 1,006,000 | Series 2019-LIFE, Class D, (1 mo. USD Term SOFR + 1.80%), 7.13%, due 12/15/2037 | $993,954 (a)(b) | |
130,000 | Series 2019-LIFE, Class F, (1 mo. USD Term SOFR + 2.60%), 7.93%, due 12/15/2037 | 125,992 (a)(b) | ||
Citigroup Commercial Mortgage Trust | ||||
100,000 | Series 2023-PRM3, Class C, 6.57%, due 7/10/2028 | 95,098 (b)(c) | ||
100,000 | Series 2023-SMRT, Class C, 6.05%, due 10/12/2040 | 94,498 (b)(c) | ||
99,427 | Series 2016-P3, Class A2, 2.74%, due 4/15/2049 | 95,137 | ||
COMM Mortgage Trust | ||||
1,111,000 | Series 2012-CR4, Class AM, 3.25%, due 10/15/2045 | 938,585 | ||
9,263,544 | Series 2014-CR18, Class XA, 1.07%, due 7/15/2047 | 32,176 (c)(e) | ||
14,412,651 | CSAIL Commercial Mortgage Trust, Series 2016-C5, Class XA, 1.05%, due 11/15/2048 | 213,258 (c)(e) | ||
800,000 | Eleven Madison Trust Mortgage Trust, Series 2015-11MD, Class A, 3.67%, due 9/10/2035 | 698,022 (b)(c) | ||
Federal Home Loan Mortgage Corp. Multiclass Certificates | ||||
2,420,000 | Series 2020-RR03, Class X1, 1.71%, due 7/27/2028 | 159,691 (e) | ||
1,500,000 | Series 2020-RR02, Class DX, 1.82%, due 9/27/2028 | 108,843 (c)(e) | ||
1,535,000 | Series 2020-RR02, Class CX, 1.27%, due 3/27/2029 | 85,284 (c)(e) | ||
26,154,317 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K737, Class X1, 0.75%, due 10/25/2026 | 389,658 (c)(e) | ||
75,000 | FIVE Mortgage Trust, Series 2023-V1, Class C, 6.62%, due 2/10/2056 | 67,753 (c) | ||
GS Mortgage Securities Trust | ||||
92,098 | Series 2010-C1, Class B, 5.15%, due 8/10/2043 | 91,266 (b) | ||
13,003,954 | Series 2013-GC13, Class XA, 0.37%, due 7/10/2046 | 130 (c)(e) | ||
17,258,457 | Series 2015-GC30, Class XA, 0.86%, due 5/10/2050 | 150,787 (c)(e) | ||
217,000 | INTOWN Mortgage Trust, Series 2022-STAY, Class A, (1 mo. USD Term SOFR + 2.49%), 7.82%, due 8/15/2039 | 217,272 (a)(b) | ||
235,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2022-OPO, Class D, 3.56%, due 1/5/2039 | 153,167 (b)(c) | ||
214,000 | Manhattan West Mortgage Trust, Series 2020-1MW, Class D, 2.41%, due 9/10/2039 | 173,029 (b)(c) | ||
166,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class B, 3.71%, due 5/15/2046 | 141,563 (c) | ||
70,000 | Morgan Stanley Capital I Trust, Series 2018-H4, Class C, 5.24%, due 12/15/2051 | 56,297 (c) | ||
693,000 | NYO Commercial Mortgage Trust, Series 2021-1290, Class D, (1 mo. USD Term SOFR + 2.66%), 7.99%, due 11/15/2038 | 475,645 (a)(b) | ||
Taubman Centers Commercial Mortgage Trust | ||||
100,000 | Series 2022-DPM, Class A, (1 mo. USD Term SOFR + 2.19%), 7.52%, due 5/15/2037 | 98,056 (a)(b) | ||
146,000 | Series 2022-DPM, Class B, (1 mo. USD Term SOFR + 2.93%), 8.26%, due 5/15/2037 | 142,473 (a)(b) | ||
123,000 | Series 2022-DPM, Class C, (1 mo. USD Term SOFR + 3.78%), 9.11%, due 5/15/2037 | 120,296 (a)(b) | ||
12,479,970 | Wells Fargo Commercial Mortgage Trust, Series 2014-LC14, Class XA, 1.39%, due 3/15/2047 | 1,116 (c)(e) | ||
8,356,149 | ||||
Federal Home Loan Mortgage Corp. 4.2% | ||||
Pass-Through Certificates | ||||
112,178 | 3.50%, due 5/1/2026 | 109,618 | ||
277,665 | 4.50%, due 11/1/2039 | 262,662 | ||
1,804,202 | 5.50%, due 9/1/2052 - 4/1/2053 | 1,744,799 | ||
1,373,366 | 6.00%, due 10/1/2052 - 3/1/2053 | 1,355,945 | ||
3,473,024 | ||||
Federal National Mortgage Association 3.5% | ||||
Pass-Through Certificates | ||||
524,069 | 4.50%, due 5/1/2041 - 5/1/2044 | 493,535 | ||
1,037,328 | 5.50%, due 11/1/2052 - 5/1/2053 | 1,003,008 |
See Notes to Schedule of Investments
Schedule of Investments Short Duration Bond Portfolio^ (Unaudited) (cont’d)
Principal Amount | Value | |||
Federal National Mortgage Association – cont'd | ||||
$ | 1,415,140 | 6.00%, due 11/1/2052 - 10/1/2053 | $1,397,994 | |
2,894,537 | ||||
Total Mortgage-Backed Securities (Cost $27,239,862) | 23,395,434 | |||
Asset-Backed Securities 17.2% | ||||
1,125,000 | 37 Capital CLO 1 Ltd., Series 2021-1A, Class A, (3 mo. USD Term SOFR + 1.46%), 6.77%, due 10/15/2034 | 1,115,155 (a)(b) | ||
1,000,000 | AM Capital Funding LLC, Series 2018-1, Class A, 4.98%, due 12/15/2023 | 999,108 (b) | ||
223,862 | Aqua Finance Trust, Series 2021-A, Class A, 1.54%, due 7/17/2046 | 196,748 (b) | ||
258,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2021-2A, Class B, 1.90%, due 2/20/2028 | 222,596 (b) | ||
327,886 | BOF VII AL Funding Trust I, Series 2023-CAR3, Class A2, 6.29%, due 7/26/2032 | 326,067 (b) | ||
1,400,000 | Crown Castle Towers LLC, 3.66%, due 5/15/2025 | 1,334,732 (b) | ||
90,000 | CyrusOne Data Centers Issuer I LLC, Series 2023-1A, Class A2, 4.30%, due 4/20/2048 | 79,300 (b) | ||
168,000 | Dell Equipment Finance Trust, Series 2023-1, Class A2, 5.65%, due 9/22/2028 | 167,618 (b) | ||
565,000 | Fort Washington CLO Ltd., Series 2021-2A, Class A, (3 mo. USD Term SOFR + 1.48%), 6.81%, due 10/20/2034 | 560,482 (a)(b) | ||
160,000 | Frontier Issuer LLC, Series 2023-1, Class A2, 6.60%, due 8/20/2053 | 152,662 (b) | ||
1,900,000 | Gulf Stream Meridian 3 Ltd., Series 2021-IIIA, Class A1, (3 mo. USD Term SOFR + 1.58%), 6.89%, due 4/15/2034 | 1,881,000 (a)(b) | ||
76,610 | Hilton Grand Vacations Trust, Series 2022-2A, Class A, 4.30%, due 1/25/2037 | 73,389 (b) | ||
333,596 | JPMorgan Chase Bank NA, Series 2021-3, Class B, 0.76%, due 2/26/2029 | 318,995 (b) | ||
264,000 | MetroNet Infrastructure Issuer LLC, Series 2022-1A, Class A2, 6.35%, due 10/20/2052 | 254,566 (b) | ||
500,000 | Milos CLO Ltd., Series 2017-1A, Class DR, (3 mo. USD Term SOFR + 3.01%), 8.34%, due 10/20/2030 | 489,316 (a)(b) | ||
MVW LLC | ||||
310,396 | Series 2021-2A, Class A, 1.43%, due 5/20/2039 | 279,804 (b) | ||
215,142 | Series 2021-2A, Class B, 1.83%, due 5/20/2039 | 193,203 (b) | ||
65,125 | Series 2021-1WA, Class B, 1.44%, due 1/22/2041 | 58,695 (b) | ||
Navient Private Education Refi Loan Trust | ||||
57,776 | Series 2021-CA, Class A, 1.06%, due 10/15/2069 | 49,080 (b) | ||
368,533 | Series 2021-EA, Class A, 0.97%, due 12/16/2069 | 308,446 (b) | ||
337,279 | Series 2021-FA, Class A, 1.11%, due 2/18/2070 | 281,153 (b) | ||
1,195,000 | PFS Financing Corp., Series 2021-A, Class A, 0.71%, due 4/15/2026 | 1,160,405 (b) | ||
565,000 | Prestige Auto Receivables Trust, Series 2021-1A, Class D, 2.08%, due 2/15/2028 | 510,910 (b) | ||
Sierra Timeshare Receivables Funding LLC | ||||
74,338 | Series 2019-1A, Class C, 3.77%, due 1/20/2036 | 72,050 (b) | ||
62,723 | Series 2019-2A, Class A, 2.59%, due 5/20/2036 | 60,845 (b) | ||
73,864 | Series 2020-2A, Class C, 3.51%, due 7/20/2037 | 70,038 (b) | ||
112,493 | Series 2023-2A, Class C, 7.30%, due 4/20/2040 | 111,773 (b) | ||
500,000 | Signal Peak CLO 2 LLC, Series 2015-1A, Class DR2, (3 mo. USD Term SOFR + 3.11%), 8.44%, due 4/20/2029 | 495,268 (a)(b) | ||
57,003 | SoFi Consumer Loan Program Trust, Series 2023-1S, Class A, 5.81%, due 5/15/2031 | 56,865 (b) | ||
326,087 | SoFi Professional Loan Program LLC, Series 2021-A, Class AFX, 1.03%, due 8/17/2043 | 272,542 (b) | ||
Taco Bell Funding LLC | ||||
120,938 | Series 2016-1A, Class A23, 4.97%, due 5/25/2046 | 116,556 (b) | ||
104,145 | Series 2021-1A, Class A2I, 1.95%, due 8/25/2051 | 90,051 (b) | ||
218,515 | TAL Advantage VII LLC, Series 2020-1A, Class A, 2.05%, due 9/20/2045 | 191,965 (b) | ||
500,000 | TRESTLES CLO III Ltd., Series 2020-3A, Class D, (3 mo. USD LIBOR + 3.25%), 8.84%, due 1/20/2033 | 490,578 (a)(b) | ||
1,125,000 | Whitebox CLO III Ltd., Series 2021-3A, Class A1, (3 mo. USD Term SOFR + 1.48%), 6.79%, due 10/15/2034 | 1,115,438 (a)(b) | ||
Total Asset-Backed Securities (Cost $14,697,042) | 14,157,399 |
See Notes to Schedule of Investments
Schedule of Investments Short Duration Bond Portfolio^ (Unaudited) (cont’d)
Principal Amount | Value | |||
Corporate Bonds 43.5% | ||||
Aerospace & Defense 3.1% | ||||
Boeing Co. | ||||
$ | 685,000 | 2.20%, due 2/4/2026 | $628,956 | |
480,000 | 2.70%, due 2/1/2027 | 434,632 | ||
1,465,000 | L3Harris Technologies, Inc., 5.40%, due 1/15/2027 | 1,452,249 | ||
2,515,837 | ||||
Airlines 2.3% | ||||
140,000 | American Airlines, Inc., 7.25%, due 2/15/2028 | 133,855 (b) | ||
American Airlines, Inc./AAdvantage Loyalty IP Ltd. | ||||
531,667 | 5.50%, due 4/20/2026 | 519,259 (b) | ||
285,000 | 5.75%, due 4/20/2029 | 265,064 (b) | ||
140,000 | Delta Air Lines, Inc., 7.00%, due 5/1/2025 | 141,520 (b) | ||
401,253 | Delta Air Lines, Inc./SkyMiles IP Ltd., 4.50%, due 10/20/2025 | 389,736 (b) | ||
VistaJet Malta Finance PLC/Vista Management Holding, Inc. | ||||
90,000 | 7.88%, due 5/1/2027 | 77,513 (b) | ||
460,000 | 9.50%, due 6/1/2028 | 403,839 (b) | ||
1,930,786 | ||||
Auto Manufacturers 2.8% | ||||
Ford Motor Credit Co. LLC | ||||
140,000 | 6.95%, due 6/10/2026 | 139,828 | ||
220,000 | 7.35%, due 11/4/2027 | 224,327 | ||
65,000 | 6.80%, due 5/12/2028 | 64,925 | ||
160,000 | 2.90%, due 2/10/2029 | 131,311 | ||
General Motors Financial Co., Inc. | ||||
530,000 | 2.75%, due 6/20/2025 | 498,938 | ||
945,000 | 5.40%, due 4/6/2026 | 925,447 | ||
370,000 | Volkswagen Group of America Finance LLC, 3.35%, due 5/13/2025 | 354,568 (b) | ||
2,339,344 | ||||
Auto Parts & Equipment 0.2% | ||||
60,000 | Goodyear Tire & Rubber Co., 5.00%, due 5/31/2026 | 57,290 | ||
120,000 | ZF North America Capital, Inc., 6.88%, due 4/14/2028 | 117,417 (b) | ||
174,707 | ||||
Banks 12.9% | ||||
Banco Santander SA | ||||
550,000 | 2.75%, due 5/28/2025 | 517,977 | ||
1,220,000 | 5.15%, due 8/18/2025 | 1,194,384 | ||
Bank of America Corp. | ||||
400,000 | Series L, 3.95%, due 4/21/2025 | 386,244 | ||
1,085,000 | 3.38%, due 4/2/2026 | 1,038,449 (f) | ||
1,070,000 | Citigroup, Inc., 3.35%, due 4/24/2025 | 1,050,916 (f) | ||
1,655,000 | Goldman Sachs Group, Inc., 1.95%, due 10/21/2027 | 1,461,287 (f) | ||
JPMorgan Chase & Co. | ||||
700,000 | 2.30%, due 10/15/2025 | 671,405 (f) | ||
505,000 | 4.08%, due 4/26/2026 | 490,085 (f) | ||
Morgan Stanley | ||||
100,000 | 3.62%, due 4/17/2025 | 98,426 (f) | ||
1,200,000 | 0.79%, due 5/30/2025 | 1,152,649 (f) | ||
855,000 | 1.59%, due 5/4/2027 | 761,018 (f) | ||
750,000 | U.S. Bancorp, 5.73%, due 10/21/2026 | 743,761 (f) |
See Notes to Schedule of Investments
Schedule of Investments Short Duration Bond Portfolio^ (Unaudited) (cont’d)
Principal Amount | Value | |||
Banks – cont'd | ||||
$ | 1,100,000 | Wells Fargo & Co., 3.91%, due 4/25/2026 | $1,059,908 (f) | |
10,626,509 | ||||
Building Materials 0.2% | ||||
80,000 | Camelot Return Merger Sub, Inc., 8.75%, due 8/1/2028 | 77,172 (b) | ||
105,000 | Jeld-Wen, Inc., 4.63%, due 12/15/2025 | 100,818 (b) | ||
177,990 | ||||
Chemicals 0.1% | ||||
80,000 | Olympus Water U.S. Holding Corp., 7.13%, due 10/1/2027 | 73,997 (b) | ||
Commercial Services 0.4% | ||||
260,000 | APX Group, Inc., 6.75%, due 2/15/2027 | 249,659 (b) | ||
90,000 | Hertz Corp., 4.63%, due 12/1/2026 | 79,763 (b) | ||
329,422 | ||||
Computers 0.2% | ||||
140,000 | Presidio Holdings, Inc., 4.88%, due 2/1/2027 | 129,425 (b) | ||
Cosmetics - Personal Care 0.3% | ||||
270,000 | Haleon U.S. Capital LLC, 3.02%, due 3/24/2024 | 266,094 | ||
Diversified Financial Services 1.6% | ||||
540,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.50%, due 7/15/2025 | 540,623 | ||
495,000 | Capital One Financial Corp., 6.31%, due 6/8/2029 | 483,762 (f) | ||
OneMain Finance Corp. | ||||
160,000 | 6.13%, due 3/15/2024 | 159,493 | ||
110,000 | 3.50%, due 1/15/2027 | 94,187 | ||
1,278,065 | ||||
Electric 1.6% | ||||
465,000 | Dominion Energy, Inc., Series D, 2.85%, due 8/15/2026 | 429,475 | ||
900,000 | NextEra Energy Capital Holdings, Inc., 5.75%, due 9/1/2025 | 897,473 | ||
1,326,948 | ||||
Energy - Alternate Sources 0.2% | ||||
230,000 | Sunnova Energy Corp., 5.88%, due 9/1/2026 | 197,133 (b) | ||
Entertainment 2.0% | ||||
Warnermedia Holdings, Inc. | ||||
1,010,000 | 6.41%, due 3/15/2026 | 1,009,831 | ||
645,000 | 3.76%, due 3/15/2027 | 595,475 | ||
1,605,306 | ||||
Food 0.2% | ||||
125,000 | U.S. Foods, Inc., 6.88%, due 9/15/2028 | 124,738 (b) | ||
Healthcare - Products 1.2% | ||||
830,000 | GE HealthCare Technologies, Inc., 5.55%, due 11/15/2024 | 825,840 | ||
150,000 | Medline Borrower LP, 3.88%, due 4/1/2029 | 126,813 (b) | ||
952,653 | ||||
Holding Companies - Diversified 0.1% | ||||
80,000 | Benteler International AG, 10.50%, due 5/15/2028 | 80,800 (b) | ||
Home Builders 0.1% | ||||
81,000 | Tri Pointe Homes, Inc., 5.25%, due 6/1/2027 | 75,797 |
See Notes to Schedule of Investments
Schedule of Investments Short Duration Bond Portfolio^ (Unaudited) (cont’d)
Principal Amount | Value | |||
Insurance 0.3% | ||||
$ | 225,000 | AssuredPartners, Inc., 7.00%, due 8/15/2025 | $222,287 (b) | |
Internet 0.6% | ||||
495,000 | EquipmentShare.com, Inc., 9.00%, due 5/15/2028 | 475,819 (b) | ||
Leisure Time 0.4% | ||||
70,000 | Lindblad Expeditions Holdings, Inc., 9.00%, due 5/15/2028 | 69,847 (b) | ||
140,000 | Lindblad Expeditions LLC, 6.75%, due 2/15/2027 | 131,075 (b) | ||
120,000 | Royal Caribbean Cruises Ltd., 4.25%, due 7/1/2026 | 110,027 (b) | ||
310,949 | ||||
Media 0.6% | ||||
550,000 | Fox Corp., 3.05%, due 4/7/2025 | 527,756 | ||
Oil & Gas 0.5% | ||||
220,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., 7.00%, due 11/1/2026 | 214,868 (b) | ||
210,000 | Civitas Resources, Inc., 8.38%, due 7/1/2028 | 213,675 (b) | ||
428,543 | ||||
Packaging & Containers 0.1% | ||||
105,000 | Mauser Packaging Solutions Holding Co., 7.88%, due 8/15/2026 | 101,297 (b) | ||
Pharmaceuticals 0.5% | ||||
450,000 | CVS Health Corp., 3.63%, due 4/1/2027 | 420,429 | ||
Pipelines 2.5% | ||||
125,000 | Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.63%, due 12/15/2025 | 125,466 (b) | ||
35,000 | Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 5.75%, due 4/1/2025 | 34,431 | ||
EQM Midstream Partners LP | ||||
153,000 | 6.00%, due 7/1/2025 | 150,625 (b) | ||
90,000 | 7.50%, due 6/1/2027 | 90,179 (b) | ||
340,000 | Genesis Energy LP/Genesis Energy Finance Corp., 6.50%, due 10/1/2025 | 334,157 | ||
660,000 | MPLX LP, 4.88%, due 6/1/2025 | 647,371 | ||
New Fortress Energy, Inc. | ||||
210,000 | 6.75%, due 9/15/2025 | 200,467 (b) | ||
255,000 | 6.50%, due 9/30/2026 | 234,787 (b) | ||
280,000 | Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 6.00%, due 3/1/2027 | 263,161 (b) | ||
2,080,644 | ||||
Real Estate Investment Trusts 2.5% | ||||
American Tower Corp. | ||||
405,000 | 1.60%, due 4/15/2026 | 363,634 | ||
1,305,000 | 1.45%, due 9/15/2026 | 1,150,077 | ||
216,000 | American Tower Trust 1, 5.49%, due 3/15/2028 | 212,576 (b) | ||
150,000 | Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co.-Issuer, 4.88%, due 5/15/2029 | 126,892 (b) | ||
115,000 | VICI Properties LP/VICI Note Co., Inc., 4.63%, due 6/15/2025 | 111,054 (b) | ||
130,000 | XHR LP, 6.38%, due 8/15/2025 | 127,633 (b) | ||
2,091,866 | ||||
Retail 0.2% | ||||
1011778 BC ULC/New Red Finance, Inc. | ||||
50,000 | 3.88%, due 1/15/2028 | 44,852 (b) | ||
140,000 | 4.38%, due 1/15/2028 | 126,189 (b) | ||
171,041 |
See Notes to Schedule of Investments
Schedule of Investments Short Duration Bond Portfolio^ (Unaudited) (cont’d)
Principal Amount | Value | |||
Semiconductors 1.8% | ||||
$ | 750,000 | Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, due 1/15/2027 | $704,705 | |
Marvell Technology, Inc. | ||||
580,000 | 1.65%, due 4/15/2026 | 524,129 | ||
290,000 | 5.75%, due 2/15/2029 | 287,341 | ||
1,516,175 | ||||
Software 1.7% | ||||
Oracle Corp. | ||||
100,000 | 5.80%, due 11/10/2025 | 100,375 | ||
1,415,000 | 1.65%, due 3/25/2026 | 1,281,689 | ||
1,382,064 | ||||
Telecommunications 2.2% | ||||
565,000 | AT&T, Inc., 1.70%, due 3/25/2026 | 512,648 | ||
220,000 | Level 3 Financing, Inc., 3.63%, due 1/15/2029 | 123,200 (b) | ||
T-Mobile USA, Inc. | ||||
550,000 | 2.25%, due 2/15/2026 | 506,311 | ||
690,000 | 3.75%, due 4/15/2027 | 644,749 | ||
1,786,908 | ||||
Water 0.1% | ||||
80,000 | Solaris Midstream Holdings LLC, 7.63%, due 4/1/2026 | 77,204 (b)(g) | ||
Total Corporate Bonds (Cost $37,394,330) | 35,798,533 | |||
Loan Assignments(a) 1.9% | ||||
Aerospace & Defense 0.1% | ||||
89,273 | Peraton Corp., Term Loan B, (1 mo. USD Term SOFR + 3.75%), 9.17%, due 2/1/2028 | 88,995 | ||
Air Transport 0.1% | ||||
85,500 | American Airlines, Inc., Term Loan, (3 mo. USD Term SOFR + 4.75%), 10.34%, due 4/20/2028 | 87,979 | ||
Business Equipment & Services 0.2% | ||||
176,314 | William Morris Endeavor Entertainment LLC, First Lien Term Loan, (1 mo. USD Term SOFR + 2.75%), 8.18%, due 5/18/2025 | 175,849 | ||
Diversified Financial Services 0.3% | ||||
249,375 | Avolon TLB Borrower 1 (US) LLC, Term Loan B6, (1 mo. USD Term SOFR + 2.50%), 7.82%, due 6/22/2028 | 249,158 | ||
Diversified Insurance 0.3% | ||||
200,000 | HUB International Ltd., Term Loan B, (3 mo. USD Term SOFR + 4.25%), 9.58%, due 6/20/2030 | 200,334 | ||
Electronics - Electrical 0.1% | ||||
66,870 | Ingram Micro, Inc., Term Loan, (3 mo. USD Term SOFR + 3.00%), 8.65%, due 7/2/2028 | 66,640 | ||
Health Care 0.3% | ||||
89,545 | Medline Borrower LP, Term Loan B, (1 mo. USD Term SOFR + 3.25%), 8.68%, due 10/23/2028 | 89,250 | ||
179,550 | Select Medical Corp., Term Loan B1, (1 mo. USD Term SOFR + 3.00%), 8.32%, due 3/6/2027 | 178,877 | ||
268,127 | ||||
Industrial Equipment 0.1% | ||||
89,540 | Gates Global LLC, Term Loan B3, (1 mo. USD Term SOFR + 2.50%), 7.82%, due 3/31/2027 | 89,233 | ||
Internet 0.1% | ||||
85,581 | Gen Digital, Inc., Term Loan B, (1 mo. USD Term SOFR + 2.00%), 7.42%, due 9/12/2029 | 85,239 |
See Notes to Schedule of Investments
Schedule of Investments Short Duration Bond Portfolio^ (Unaudited) (cont’d)
Principal Amount | Value | |||
Leisure Goods - Activities - Movies 0.2% | ||||
$ | 155,000 | Carnival Corp., Term Loan B, (1 mo. USD Term SOFR + 3.00%), 8.33%, due 8/8/2027 | $154,419 | |
Retailers (except food & drug) 0.1% | ||||
87,799 | Petco Health & Wellness Co., Inc., Term Loan B, (3 mo. USD Term SOFR), due 3/3/2028 | 86,701 (h)(i) | ||
Total Loan Assignments (Cost $1,543,546) | 1,552,674 | |||
Number of Shares | ||||
Short-Term Investments 7.8% | ||||
Commercial Paper 1.3% | ||||
1,020,000 | AT&T, Inc., 5.34%, due 10/17/2023 | 1,017,235 | ||
Investment Companies 6.5% | ||||
5,350,740 | State Street Institutional U.S. Government Money Market Fund Premier Class, 5.29%(j) | 5,350,740 | ||
Total Short-Term Investments (Cost $6,368,319) | 6,367,975 | |||
Total Investments 98.9% (Cost $87,243,099) | 81,272,015 | |||
Other Assets Less Liabilities 1.1% | 930,567 (k) | |||
Net Assets 100.0% | $82,202,582 |
(a) | Variable or floating rate security. The interest rate shown was the current rate as of September 30, 2023 and changes periodically. |
(b) | Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At September 30, 2023, these securities amounted to $33,306,539, which represents 40.5% of net assets of the Fund. |
(c) | Variable or floating rate security where the stated interest rate is not based on a published reference rate and spread. Rather, the interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of September 30, 2023. |
(d) | Security fair valued as of September 30, 2023 in accordance with procedures approved by the valuation designee. Total value of all such securities at September 30, 2023 amounted to $205,000, which represents 0.2% of net assets of the Fund. |
(e) | Interest only security. These securities represent the right to receive the monthly interest payments on an underlying pool of mortgages. Payments of principal on the pool reduce the value of the "interest only" holding. |
(f) | Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate shown is the rate in effect as of period end. |
(g) | Step Bond. Coupon rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown was the current rate as of September 30, 2023. |
(h) | All or a portion of this security was purchased on a delayed delivery basis. |
(i) | All or a portion of this security had not settled as of September 30, 2023 and thus may not have an interest rate in effect. Interest rates do not take effect until settlement. |
(j) | Represents 7-day effective yield as of September 30, 2023. |
(k) | Includes the impact of the Fund’s open positions in derivatives at September 30, 2023. |
See Notes to Schedule of Investments
Schedule of Investments Short Duration Bond Portfolio^ (Unaudited) (cont’d)
POSITIONS BY COUNTRY | ||
Country | Investments at Value | Percentage of Net Assets |
United States | $65,544,751 | 79.7% |
Cayman Islands | 5,651,969 | 6.9% |
Spain | 1,712,361 | 2.1% |
Ireland | 789,781 | 0.9% |
Switzerland | 481,352 | 0.6% |
Germany | 471,985 | 0.6% |
Canada | 171,041 | 0.2% |
Austria | 80,800 | 0.1% |
Short-Term Investments and Other Assets—Net | 7,298,542 | 8.9% |
$82,202,582 | 100.0% |
See Notes to Schedule of Investments
Schedule of Investments Short Duration Bond Portfolio^ (Unaudited) (cont’d)
Derivative Instruments
Futures contracts ("futures")
At September 30, 2023, open positions in futures for the Fund were as follows:
Long Futures: |
Expiration Date | Number of Contracts | Open Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) |
12/2023 | 183 | U.S. Treasury Note, 2 Year | $37,096,102 | $(143,768 ) |
Total Long Positions | $37,096,102 | $(143,768 ) |
Short Futures: |
Expiration Date | Number of Contracts | Open Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) |
12/2023 | 16 | U.S. Treasury Note, 10 Year | $(1,729,000 ) | $36,596 |
12/2023 | 61 | U.S. Treasury Note, 5 Year | (6,426,922 ) | 52,721 |
12/2023 | 12 | U.S. Treasury Note, Ultra 10 Year | (1,338,750 ) | 42,445 |
12/2023 | 5 | U.S. Treasury Ultra Bond | (593,438 ) | 36,178 |
Total Short Positions | $(10,088,110 ) | $167,940 | ||
Total Futures | $24,172 |
The following is a summary, categorized by Level (see the Notes to Schedule of Investments), of inputs used to value the Fund’s investments as of September 30, 2023:
Asset Valuation Inputs | Level 1 | Level 2 | Level 3 | Total |
Investments: | ||||
Mortgage-Backed Securities# | $— | $23,395,434 | $— | $23,395,434 |
Asset-Backed Securities | — | 14,157,399 | — | 14,157,399 |
Corporate Bonds# | — | 35,798,533 | — | 35,798,533 |
Loan Assignments# | — | 1,552,674 | — | 1,552,674 |
Short-Term Investments | — | 6,367,975 | — | 6,367,975 |
Total Investments | $— | $81,272,015 | $— | $81,272,015 |
# | The Schedule of Investments provides information on the industry or sector categorization as well as a Positions by Country summary. |
The following is a summary, categorized by Level (see the Notes to Schedule of Investments), of inputs used to value the Fund’s derivatives as of September 30, 2023:
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
Futures@ | ||||
Assets | $167,940 | $— | $— | $167,940 |
Liabilities | (143,768 ) | — | — | (143,768 ) |
Total | $24,172 | $— | $— | $24,172 |
@ | Futures are reported at the cumulative unrealized appreciation/(depreciation) of the instrument. |
^ A balance indicated with a "—", reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Schedule of Investments
Schedule of Investments Sustainable Equity Portfolio^ (Unaudited)
September 30, 2023
September 30, 2023
Number of Shares | Value | |
Common Stocks 99.8% | ||
Banks 4.3% | ||
516,511 | Bank of America Corp. | $14,142,071 |
103,017 | JPMorgan Chase & Co. | 14,939,525 |
29,081,596 | ||
Broadline Retail 7.8% | ||
415,915 | Amazon.com, Inc. | 52,871,115 * |
Capital Markets 3.0% | ||
145,652 | Interactive Brokers Group, Inc. Class A | 12,607,637 |
68,107 | Intercontinental Exchange, Inc. | 7,493,132 |
20,100,769 | ||
Communications Equipment 1.8% | ||
64,672 | Arista Networks, Inc. | 11,895,121 * |
Consumer Staples Distribution & Retail 1.4% | ||
17,283 | Costco Wholesale Corp. | 9,764,204 |
Diversified Telecommunication Services 0.5% | ||
20,841 | Space Exploration Technologies Corp. Class A | 1,688,121 *#(a)(b) |
22,368 | Space Exploration Technologies Corp. Class C | 1,811,808 *#(a)(b) |
3,499,929 | ||
Electrical Equipment 1.2% | ||
386,581 | Vestas Wind Systems AS | 8,270,469 * |
Electronic Equipment, Instruments & Components 1.7% | ||
48,887 | Zebra Technologies Corp. Class A | 11,563,242 * |
Financial Services 12.9% | ||
15 | Berkshire Hathaway, Inc. Class A | 7,972,155 * |
99,769 | Berkshire Hathaway, Inc. Class B | 34,949,081 * |
112,889 | Fiserv, Inc. | 12,751,941 * |
79,821 | MasterCard, Inc. Class A | 31,601,932 |
87,275,109 | ||
Ground Transportation 2.0% | ||
442,264 | CSX Corp. | 13,599,618 |
Health Care Equipment & Supplies 2.6% | ||
54,974 | Becton Dickinson & Co. | 14,212,428 |
16,086 | Embecta Corp. | 242,095 |
6,715 | IDEXX Laboratories, Inc. | 2,936,268 * |
17,390,791 | ||
Health Care Providers & Services 8.1% | ||
122,286 | Cencora, Inc. | 22,007,811 |
113,373 | Cigna Group | 32,432,614 |
54,440,425 |
Number of Shares | Value | |
Hotels, Restaurants & Leisure 3.5% | ||
972,366 | Compass Group PLC | $23,668,924 |
Household Products 2.2% | ||
206,650 | Colgate-Palmolive Co. | 14,694,881 |
Insurance 3.1% | ||
149,522 | Progressive Corp. | 20,828,415 |
Interactive Media & Services 7.4% | ||
381,837 | Alphabet, Inc. Class A | 49,967,190 * |
IT Services 2.9% | ||
259,418 | GoDaddy, Inc. Class A | 19,321,453 * |
Life Sciences Tools & Services 2.8% | ||
49,923 | Danaher Corp. | 12,385,896 |
33,945 | IQVIA Holdings, Inc. | 6,678,679 * |
19,064,575 | ||
Machinery 1.8% | ||
155,426 | Otis Worldwide Corp. | 12,482,262 |
Materials 1.9% | ||
51,506 | Sherwin-Williams Co. | 13,136,605 |
Multi-Utilities 1.8% | ||
1,046,053 | National Grid PLC | 12,510,110 |
Oil, Gas & Consumable Fuels 1.9% | ||
476,452 | Coterra Energy, Inc. | 12,888,027 |
Pharmaceuticals 1.9% | ||
46,107 | Roche Holding AG | 12,587,259 |
Semiconductors & Semiconductor Equipment 3.0% | ||
128,581 | Texas Instruments, Inc. | 20,445,665 |
Software 10.8% | ||
31,573 | Intuit, Inc. | 16,131,909 |
179,614 | Microsoft Corp. | 56,713,120 |
72,845,029 | ||
Specialty Retail 0.7% | ||
16,700 | Home Depot, Inc. | 5,046,072 |
Technology Hardware, Storage & Peripherals 2.8% | ||
108,874 | Apple, Inc. | 18,640,317 |
Trading Companies & Distributors 4.0% | ||
24,767 | United Rentals, Inc. | 11,010,665 |
23,231 | W.W. Grainger, Inc. | 16,072,135 |
27,082,800 | ||
Total Common Stocks (Cost $431,639,641) | 674,961,972 |
See Notes to Schedule of Investments
Schedule of Investments Sustainable Equity Portfolio^ (Unaudited) (cont’d)
Principal Amount | Value | |
Short-Term Investments 0.2% | ||
Certificates of Deposit 0.0%(c) | ||
$100,000 | Self Help Credit Union, 0.10%, due 10/29/2023 | $100,000 |
100,000 | Self Help Federal Credit Union, 0.10%, due 12/1/2023 | 100,000 |
200,000 | ||
Number of Shares | ||
Investment Companies 0.2% | ||
1,068,317 | State Street Institutional Treasury Money Market Fund Premier Class, 5.28%(d) | 1,068,317 |
Total Short-Term Investments (Cost $1,268,317) | 1,268,317 | |
Total Investments 100.0% (Cost $432,907,958) | 676,230,289 | |
Liabilities Less Other Assets (0.0)%(c) | (125,521 ) | |
Net Assets 100.0% | $676,104,768 |
* | Non-income producing security. |
(a) | Value determined using significant unobservable inputs. |
(b) | Security fair valued as of September 30, 2023 in accordance with procedures approved by the valuation designee. Total value of all such securities at September 30, 2023 amounted to $3,499,929, which represents 0.5% of net assets of the Fund. |
(c) | Represents less than 0.05% of net assets of the Fund. |
(d) | Represents 7-day effective yield as of September 30, 2023. |
# This security has been deemed by Management to be illiquid, and is subject to restrictions on resale. Total value of all such securities at September 30, 2023 amounted to $3,499,929, which represents 0.5% of net assets of the Fund. Acquisition dates shown with a range, if any, represent securities that were acquired over the period shown in the table.
Restricted Security | Acquisition Date(s) | Acquisition Cost | Value as of 9/30/2023 | Fair Value Percentage of Net Assets as of 9/30/2023 |
Space Exploration Technologies Corp. Class A | 8/18/2023 | $1,688,121 | $1,688,121 | 0.2% |
Space Exploration Technologies Corp. Class C | 8/18/2023 | 1,811,808 | 1,811,808 | 0.3% |
Total | $3,499,929 | $3,499,929 | 0.5% |
See Notes to Schedule of Investments
Schedule of Investments Sustainable Equity Portfolio^ (Unaudited) (cont’d)
The following is a summary, categorized by Level (see the Notes to Schedule of Investments), of inputs used to value the Fund’s investments as of September 30, 2023:
Asset Valuation Inputs | Level 1 | Level 2 | Level 3(a) | Total |
Investments: | ||||
Common Stocks | ||||
Diversified Telecommunication Services | $— | $— | $3,499,929 | $3,499,929 |
Electrical Equipment | — | 8,270,469 | — | 8,270,469 |
Hotels, Restaurants & Leisure | — | 23,668,924 | — | 23,668,924 |
Multi-Utilities | — | 12,510,110 | — | 12,510,110 |
Pharmaceuticals | — | 12,587,259 | — | 12,587,259 |
Other Common Stocks# | 614,425,281 | — | — | 614,425,281 |
Total Common Stocks | 614,425,281 | 57,036,762 | 3,499,929 | 674,961,972 |
Short-Term Investments | — | 1,268,317 | — | 1,268,317 |
Total Investments | $614,425,281 | $58,305,079 | $3,499,929 | $676,230,289 |
# | The Schedule of Investments provides information on the industry or sector categorization. |
(a) | The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value: |
(000's omitted) | Beginning balance as of 1/1/2023 | Accrued discounts/ (premiums) | Realized gain/(loss) | Change in unrealized appreciation/ (depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 9/30/2023 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 9/30/2023 |
Investments in Securities: | ||||||||||
Common Stocks(1) | $— | $— | $— | $— | $3,499,929 | $— | $— | $— | $3,499,929 | $— |
Total | $— | $— | $— | $— | $3,499,929 | $— | $— | $— | $3,499,929 | $— |
(1) Quantitative Information about Level 3 Fair Value Measurements: | ||||||
Investment type | Fair value at 9/30/2023 | Valuation approach | Unobservable input(s) | Input value/ range | Weighted average(a) | Impact to valuation from increase in input(b) |
Common Stocks | $3,499,929 | Market Approach | Transaction Price | $81.00 | $81.00 | Increase |
(a) The weighted averages disclosed in the table above were weighted by relative fair value. | ||||||
(b) Represents the expected directional change in the fair value of the Level 3 investments that would result from an increase or decrease in the corresponding input. Significant changes in these inputs could result in significantly higher or lower fair value measurements. |
^ A balance indicated with a "—", reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Schedule of Investments
September 30, 2023
Notes to Schedule of Investments Advisers Management Trust (Unaudited)
In accordance with Accounting Standards Codification 820 "Fair Value Measurement" ("ASC 820"), all investments held by each of Neuberger Berman Advisers Management Trust: International Equity Portfolio, Mid Cap Growth Portfolio, Mid Cap Intrinsic Value Portfolio, Short Duration Bond Portfolio, and Sustainable Equity Portfolio (each individually a "Fund," and collectively, the "Funds") are carried at the value that Management believes a Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment under current market conditions. Various inputs, including the volume and level of activity for the asset or liability in the market, are considered in valuing the Funds' investments, some of which are discussed below. At times, Management may need to apply significant judgment to value investments in accordance with ASC 820.
ASC 820 established a three-tier hierarchy of inputs to create a classification of value measurements for disclosure purposes. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
•
Level 1 – unadjusted quoted prices in active markets for identical investments
•
Level 2 – other observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, amortized cost, etc.)
•
Level 3 – unobservable inputs (including a Fund's own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
The value of the Funds’ investments in equity securities, for which market quotations are available, is generally determined by Management by obtaining valuations from independent pricing services based on the latest sale price quoted on a principal exchange or market for that security (Level 1 inputs). Securities traded primarily on the NASDAQ Stock Market are normally valued at the NASDAQ Official Closing Price ("NOCP") provided by NASDAQ each business day. The NOCP is the most recently reported price as of 4:00:02 p.m., Eastern Time, unless that price is outside the range of the "inside" bid and asked prices (i.e., the bid and asked prices that dealers quote to each other when trading for their own accounts); in that case, NASDAQ will adjust the price to equal the inside bid or asked price, whichever is closer. Because of delays in reporting trades, the NOCP may not be based on the price of the last trade to occur before the market closes. If there is no sale of a security on a particular day, the independent pricing services may value the security based on market quotations.
The value of the Funds’ investments in debt securities is determined by Management primarily by obtaining valuations from independent pricing services based on bid quotations, or if quotations are not available, by methods which include various considerations based on security type (generally Level 2 inputs). In addition to the consideration of yields or prices of securities of comparable quality, coupon, maturity and type, indications as to values from dealers, and general market conditions, the following is a description of other Level 2 inputs and related valuation techniques used by independent pricing services to value certain types of debt securities held by the Funds:
Corporate Bonds. Inputs used to value corporate debt securities generally include relevant credit information, observed market movements, sector news, U.S. Treasury yield curve or relevant benchmark curve, and other market information, which may include benchmark yield curves, reported trades, broker-dealer quotes, issuer spreads, comparable securities, and reference data, such as market research publications, when available ("Other Market Information").
Collateralized Loan Obligations (CLOs). The value of collateralized loan obligations is primarily determined by cash flow data, relevant loan pricing data and market color, and research from market participants and trading desks (Level 2 or 3 inputs).
For information on the Funds' significant accounting policies, please refer to the Funds' most recent shareholder reports.
Notes to Schedule of Investments Advisers Management Trust (Unaudited) (cont’d)
Asset-Backed Securities and Mortgage-Backed Securities. Inputs used to value asset-backed securities and mortgage-backed securities generally include models that consider a number of factors, which may include the following: prepayment speeds, cash flows, spread adjustments and Other Market Information.
Commercial Paper. The value of commercial paper generally includes inputs from quoted prices or similar assets, constant maturity curves using coupon, currency, issuer, sector, issuer country, credit rating information, and yield curves using money market rates (Level 2 inputs).
The value of loan assignments is determined by Management primarily by obtaining valuations from independent pricing services based on broker quotes (generally Level 2 or Level 3 inputs depending on the number of quotes available).
The value of futures contracts is determined by Management by obtaining valuations from independent pricing services at the settlement price at the market close (Level 1 inputs).
Management has developed a process to periodically review information provided by independent pricing services for all types of securities.
Certificates of deposit are valued at amortized cost (Level 2 inputs).
Investments in non-exchange traded investment companies are valued using the respective fund’s daily calculated net asset value per share (Level 2 inputs), when available.
If a valuation is not available from an independent pricing service, or if Management has reason to believe that the valuation received does not represent the amount a Fund might reasonably expect to receive on a current sale in an orderly transaction, Management seeks to obtain quotations from brokers or dealers (generally considered Level 2 or Level 3 inputs depending on the number of quotes available). If such quotations are not available, the security is valued using methods Management has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security. Pursuant to Rule 2a-5 under the Investment Company Act of 1940, as amended, the Funds' Board of Trustees designated Management as the Funds' valuation designee. As the Funds' valuation designee, Management is responsible for determining fair value in good faith for all Fund investments. Inputs and assumptions considered in determining the fair value of a security based on Level 2 or Level 3 inputs may include, but are not limited to, the type of the security; the initial cost of the security; the existence of any contractual restrictions on the security's disposition; the price and extent of public trading in similar securities of the issuer or of comparable companies; quotations or evaluated prices from broker-dealers or pricing services; information obtained from the issuer and analysts; an analysis of the company's or issuer's financial statements; an evaluation of the inputs that influence the issuer and the market(s) in which the security is purchased and sold.
The value of the Funds’ investments in foreign securities is generally determined using the same valuation methods and inputs as other Fund investments, as discussed above. Foreign security prices expressed in local currency values are normally translated from the local currency into U.S. dollars using the exchange rates as of 4:00 p.m., Eastern Time on days the New York Stock Exchange is open for business. Management has approved the use of ICE Data Services ("ICE") to assist in determining the fair value of foreign equity securities when changes in the value of a certain index suggest that the closing prices on the foreign exchanges may no longer represent the amount that a Fund could expect to receive for those securities or on days when foreign markets are closed and U.S. markets are open. In each of these events, ICE will provide adjusted prices for certain foreign equity securities using a statistical analysis of historical correlations of multiple factors (Level 2 inputs). In the absence of precise information about the market values of these foreign securities as of the time at which a Fund’s share price is calculated, Management has determined on the basis of available data that prices adjusted or evaluated in this way are likely to be closer to the prices a Fund could realize on a current sale than are the prices of those securities established at the close of the foreign markets in which the securities primarily trade.
Fair value prices are necessarily estimates, and there is no assurance that such a price will be at or close to the price at which the security is next quoted or next trades.
For information on the Funds' significant accounting policies, please refer to the Funds' most recent shareholder reports.
Notes to Schedule of Investments Advisers Management Trust (Unaudited) (cont'd)
Legend
Neuberger Berman Advisers Management Trust
Benchmarks: | |
LIBOR | = London Interbank Offered Rate |
SOFR | = Secured Overnight Financing Rate |
Other Abbreviations: | |
ADR | = American Depositary Receipt |
Management | = Neuberger Berman Investment Advisers LLC |
Currency Abbreviations: | |
USD | = United States Dollar |
For information on the Funds' significant accounting policies, please refer to the Funds' most recent shareholder reports.