Large Company Value Portfolio
SCHEDULE OF INVESTMENTS
September 30, 2022 (unaudited)
Common Stocks (96.5%) | Shares/ Par + | Value $ (000’s) | ||||||
Communication Services (4.5%) |
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Comcast Corp. - Class A | 25,632 | 752 | ||||||
Verizon Communications, Inc. | 97,273 | 3,693 | ||||||
The Walt Disney Co. * | 16,847 | 1,589 | ||||||
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Total | 6,034 | |||||||
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Consumer Discretionary (3.4%) |
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Advance Auto Parts, Inc. | 8,917 | 1,394 | ||||||
Dollar Tree, Inc. * | 14,736 | 2,006 | ||||||
Sodexo SA | 15,346 | 1,154 | ||||||
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Total | 4,554 | |||||||
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Consumer Staples (12.6%) |
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Colgate-Palmolive Co. | 9,642 | 677 | ||||||
Conagra Brands, Inc. | 80,366 | 2,622 | ||||||
Henkel AG & Co. KGaA | 22,325 | 1,334 | ||||||
Kimberly-Clark Corp. | 23,726 | 2,670 | ||||||
Koninklijke Ahold Delhaize NV | 56,802 | 1,446 | ||||||
Mondelez International, Inc. | 30,361 | 1,665 | ||||||
PepsiCo, Inc. | 6,570 | 1,073 | ||||||
The Procter & Gamble Co. | 6,233 | 787 | ||||||
Unilever PLC, ADR | 62,693 | 2,749 | ||||||
Walmart, Inc. | 13,906 | 1,804 | ||||||
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Total | 16,827 | |||||||
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Energy (6.8%) |
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Baker Hughes | 45,622 | 956 | ||||||
Chevron Corp. | 6,799 | 977 | ||||||
ConocoPhillips | 14,641 | 1,498 | ||||||
Exxon Mobil Corp. | 40,337 | 3,522 | ||||||
TotalEnergies SE, ADR | 44,921 | 2,090 | ||||||
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Total | 9,043 | |||||||
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Financials (20.9%) |
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Aflac, Inc. | 25,103 | 1,411 | ||||||
The Allstate Corp. | 30,088 | 3,747 | ||||||
Ameriprise Financial, Inc. | 6,261 | 1,577 | ||||||
The Bank of New York Mellon Corp. | 88,708 | 3,417 | ||||||
Berkshire Hathaway, Inc. - Class B * | 14,688 | 3,922 | ||||||
BlackRock, Inc. | 2,805 | 1,544 | ||||||
Chubb, Ltd. | 3,954 | 719 | ||||||
JPMorgan Chase & Co. | 35,998 | 3,762 | ||||||
MetLife, Inc. | 17,461 | 1,061 | ||||||
Northern Trust Corp. | 15,869 | 1,358 | ||||||
Truist Financial Corp. | 63,003 | 2,743 | ||||||
U.S. Bancorp | 62,647 | 2,526 | ||||||
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Total | 27,787 | |||||||
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Common Stocks (96.5%) | Shares/ Par + | Value $ (000’s) | ||||||
Health Care (21.5%) |
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Becton Dickinson and Co. | 5,767 | 1,285 | ||||||
Cigna Corp. | 4,602 | 1,277 | ||||||
CVS Health Corp. | 15,641 | 1,492 | ||||||
Henry Schein, Inc. * | 25,832 | 1,699 | ||||||
Johnson & Johnson | 37,018 | 6,047 | ||||||
Medtronic PLC | 72,161 | 5,827 | ||||||
Merck & Co., Inc. | 13,542 | 1,166 | ||||||
Pfizer, Inc. | 29,590 | 1,295 | ||||||
Quest Diagnostics, Inc. | 14,439 | 1,771 | ||||||
Roche Holding AG | 3,477 | 1,134 | ||||||
Universal Health Services, Inc. - Class B | 17,485 | 1,542 | ||||||
Zimmer Biomet Holdings, Inc. | 39,904 | 4,172 | ||||||
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Total | 28,707 | |||||||
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Industrials (10.1%) |
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Emerson Electric Co. | 28,683 | 2,100 | ||||||
General Dynamics Corp. | 3,826 | 812 | ||||||
Norfolk Southern Corp. | 4,743 | 994 | ||||||
nVent Electric PLC | 56,325 | 1,781 | ||||||
Oshkosh Corp. | 21,401 | 1,504 | ||||||
Raytheon Technologies Corp. | 44,900 | 3,676 | ||||||
Siemens AG | 10,668 | 1,056 | ||||||
Southwest Airlines Co. * | 48,359 | 1,491 | ||||||
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Total | 13,414 | |||||||
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Information Technology (7.1%) |
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Applied Materials, Inc. | 13,741 | 1,126 | ||||||
Automatic Data Processing, Inc. | 3,037 | 687 | ||||||
Cisco Systems, Inc. | 79,295 | 3,172 | ||||||
F5, Inc. * | 12,596 | 1,823 | ||||||
TE Connectivity, Ltd. | 13,493 | 1,489 | ||||||
Texas Instruments, Inc. | 7,931 | 1,227 | ||||||
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Total | 9,524 | |||||||
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Materials (2.7%) |
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Akzo Nobel NV | 18,745 | 1,057 | ||||||
Packaging Corp. of America | 12,361 | 1,388 | ||||||
Sonoco Products Co. | 20,809 | 1,181 | ||||||
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Total | 3,626 | |||||||
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Real Estate (0.8%) |
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Healthpeak Properties, Inc. | 45,746 | 1,048 | ||||||
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Total | 1,048 | |||||||
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Utilities (6.1%) | ||||||||
Duke Energy Corp. | 16,961 | 1,578 |
Common Stocks (96.5%) | Shares/ Par + | Value $ (000’s) | ||||||
Utilities continued |
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Edison International | 20,822 | 1,178 | ||||||
Eversource Energy | 14,238 | 1,110 | ||||||
Pinnacle West Capital Corp. | 30,228 | 1,950 | ||||||
Xcel Energy, Inc. | 35,504 | 2,272 | ||||||
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Total | 8,088 | |||||||
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Total Common Stocks |
| 128,652 | ||||||
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Preferred Stocks (0.5%) | ||||||||
Consumer Discretionary (0.5%) |
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Volkswagen AG, 4.860% | 5,813 | 718 | ||||||
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Total | 718 | |||||||
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Total Preferred Stocks |
| 718 | ||||||
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Investment Companies (0.9%) | ||||||||
Investment Companies (0.9%) |
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iShares Russell 1000 Value ETF | 8,523 | 1,159 | ||||||
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Total | 1,159 | |||||||
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Total Investment Companies (Cost: $1,350) |
| 1,159 | ||||||
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Short-Term Investments (3.3%) | ||||||||
Money Market Funds (3.3%) |
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State Street Institutional U.S. Government Money Market Fund - Premier Class 2.940% # | 4,420,020 | 4,420 | ||||||
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Total | 4,420 | |||||||
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Total Short-Term Investments |
| 4,420 | ||||||
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Total Investments (101.2%) |
| 134,949 | ||||||
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Other Assets, Less Liabilities (-1.2%) |
| (1,661) | ||||||
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Net Assets (100.0%) |
| 133,288 | ||||||
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Large Company Value Portfolio
Over the Counter Derivatives
Forward Foreign Currency Contracts
Type | Counterparty | Currency | Foreign Principal Amount Covered by Contract (000s) | USD Principal Amount Covered by Contract (000’s) | Settlement Date | Unrealized Appreciation (000’s) | Unrealized (Depreciation) (000’s) | Net Unrealized Appreciation/ (Depreciation) (000’s) | ||||||||||||||||||||
Buy | Morgan Stanley Capital Services, Inc. | CHF | 53 | 54 | | 12/30/2022 | | $ | —P | $ | — | $ | —P | |||||||||||||||
Sell | Morgan Stanley Capital Services, Inc. | CHF | 1,015 | 1,038 | 12/30/2022 | 6 | — | 6 | ||||||||||||||||||||
Buy | Goldman Sachs International | EUR | 216 | 213 | 12/30/2022 | 4 | — | 4 | ||||||||||||||||||||
Sell | Goldman Sachs International | EUR | 7,885 | 7,783 | 12/30/2022 | — | (36) | (36) | ||||||||||||||||||||
Buy | Bank of America NA | GBP | 55 | 62 | 12/30/2022 | 2 | — | 2 | ||||||||||||||||||||
Sell | Bank of America NA | GBP | 2,216 | 2,478 | 12/30/2022 | 26 | — | 26 | ||||||||||||||||||||
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$ | 38 | $ | (36) | $ | 2 | |||||||||||||||||||||||
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Financial Derivative Assets (000’s) | Financial Derivative Liabilities (000’s) | |||||||||||||||||||
Forward Foreign Currency Contracts | Swaps | Total | Forward Foreign Currency Contracts | Options | Swaps | Total | ||||||||||||||
Total Over the Counter Derivatives | $ | 38 | — | $ | 38 | $ | (36) | — | — | $ (36) |
+ | All par is stated in U.S. Dollar unless otherwise noted. |
* | Non income producing |
# | 7-Day yield as of 9/30/2022. |
@ | At September 30, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $146,744 and the net unrealized depreciation of investments based on that cost was $11,793 which is comprised of $5,310 aggregate gross unrealized appreciation and $17,103 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report. |
P | Amount is less than one thousand. |
Large Company Value Portfolio
The Fair Value Measurements and Disclosures Topic of the FASB Accounting Standards Codification defines fair value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes and requires disclosure of a fair value hierarchy, separately for each major category of asset and liability, which segregates fair value measurements into levels. A summary of the fair value hierarchy is described below:
Level 1 - fair value is determined by unadjusted quoted prices in active markets for identical securities or derivatives
Level 2 - fair value is determined by other significant observable inputs
Level 3 - fair value is determined by significant unobservable inputs
The categorization of a value determined for a financial instrument within the hierarchy is based upon the pricing transparency of the instrument and does not necessarily correspond to the Portfolio’s perceived risk of that instrument.
The following is a summary of the inputs used in valuing the Portfolio’s Investments at September 30, 2022.
Valuation Inputs | ||||||||||||||
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Description | Level 1 - Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | |||||||||||
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(Amounts in thousands) | ||||||||||||||
Assets: | ||||||||||||||
Preferred Stocks | $ | — | $ | 718 | $ | — | ||||||||
Common Stocks | ||||||||||||||
Consumer Discretionary | 3,400 | 1,154 | — | |||||||||||
Consumer Staples | 14,047 | 2,780 | — | |||||||||||
Health Care | 27,573 | 1,134 | — | |||||||||||
Industrials | 12,358 | 1,056 | — | |||||||||||
Materials | 2,569 | 1,057 | — | |||||||||||
All Others | 61,524 | — | — | |||||||||||
Investment Companies | 1,159 | — | — | |||||||||||
Short-Term Investments | 4,420 | — | — | |||||||||||
Other Financial Instruments^ | ||||||||||||||
Forward Foreign Currency Contracts | — | 38 | — | |||||||||||
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Total Assets: | $ | 127,050 | $ | 7,937 | $ | — | ||||||||
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Liabilities: | ||||||||||||||
Other Financial Instruments^ | ||||||||||||||
Forward Foreign Currency Contracts | — | (36) | — | |||||||||||
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Total Liabilities: | $ | — | $ | (36) | $ | — | ||||||||
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^ Other financial instruments are derivative instruments such as futures and forward foreign currency contracts, which are valued at the unrealized appreciation (depreciation) on the instrument, and securities sold short, reverse repurchase agreements, written options and swaps contracts, which are valued at market value.
Abbreviations
Abbreviations that may be used in the preceding statements
ADR | American Depositary Receipt | |
AFC | Available Funds Cap security - Security accrues interest at an assumed or uncapped rate. If the interest rate on the underlying loans is lower than the uncapped rate, then the security will pay at the lower rate. | |
CSTR | Collateral Strip Rate security - interest is based on the weighted net interest rate of the collateral. | |
EXE | Security receives collateral principal and interest paid which exceeds the amount of principal and income obligated to all bonds in the deal. | |
IO | Interest Only Security | |
PO | Principal Only Security | |
GDR | Global Depositary Receipt | |
GO | General Obligation | |
RB | Revenue Bond | |
CPURNSA | U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted | |
LIBOR | London Interbank Offered Rate | |
SOFR | Secured Overnight Financing Rate | |
ICE | Intercontinental Exchange | |
SONIO | Sterling Overnight Interbank Average Rate | |
DAC | Designated Activity Company | |
TBA | To Be Announced | |
OIS | Overnight Index Swaps | |
DIFC | Dubai International Financial Centre | |
EURIBOR | Euro Interbank Offered Rate | |
SDR | Swedish Depository Receipt | |
ETF | Exchange Traded Fund | |
Currency Abbreviations | ||
ARS | Argentine Peso | |
AUD | Australian Dollar | |
BRL | Brazilian Real | |
CAD | Canadian Dollar | |
CHF | Swiss Franc | |
CNH | Chinese Yuan Renminbi - Offshore | |
CNY | Chinese Yuan Renminbi | |
DKK | Danish Krone | |
EUR | Euro | |
GBP | British Pound | |
HKD | Hong Kong Dollar | |
IDR | Indonesian Rupiah | |
INR | Indian Rupee | |
JPY | Japanese Yen | |
KES | Kenyan Shilling | |
KRW | South Korean Won | |
MXN | Mexican New Peso | |
NOK | Norwegian Krone | |
NZD | New Zealand Dollar | |
PHP | Philippines Peso | |
RUB | Russian Ruble | |
SEK | Swedish Krona | |
THB | Thai Baht | |
TWD | Taiwan Dollar | |
USD | United States Dollar | |
ZAR | South African Rand |