Northwestern Mutual Series Fund NPORT-P Index 600 Stock Portfolio (Mar 2024 report)

Index 600 Stock Portfolio

SCHEDULE OF INVESTMENTS

March 31, 2024 (unaudited)

Common Stocks (99.4%)	Shares/ Par +		Value $ (000’s)
Communication Services (2.6%)
AMC Networks, Inc. - Class A *		11,440		139
ATN International, Inc.		3,966		125
CarGurus, Inc. *		32,304		746
Cars.com, Inc. *		23,348		401
Cinemark Holdings, Inc.*		39,964		718
Cogent Communications Holdings, Inc.		15,840		1,035
Consolidated Communications Holdings, Inc. *		28,248		122
The E.W. Scripps Co. - Class A *		22,495		88
EchoStar Corp. *		45,615		650
Gogo, Inc. *		23,652		208
John Wiley & Sons, Inc. - Class A		15,893		606
Lumen Technologies, Inc.*		379,998		593
Madison Square Garden Sports Corp.*		6,294		1,161
The Marcus Corp.		9,308		133
QuinStreet, Inc. *		19,631		347
Scholastic Corp.		9,895		373
Shenandoah Telecommunications Co.		19,045		331
Shutterstock, Inc.		9,070		415
TechTarget, Inc. *		9,793		324
Telephone and Data Systems, Inc.		37,144		595
Thryv Holdings, Inc. *		11,684		260
TripAdvisor, Inc. *		40,749		1,132
Yelp, Inc. *		25,813		1,017
Total				11,519
Consumer Discretionary (14.8%)
Abercrombie & Fitch Co.*		18,997		2,381
Academy Sports & Outdoors, Inc.		27,950		1,888
Adtalem Global Education, Inc. *		14,769		759
Advance Auto Parts, Inc.		22,276		1,895
American Axle & Manufacturing Holdings, Inc. *		44,360		326
American Eagle Outfitters, Inc.		69,980		1,805
Asbury Automotive Group, Inc. *		7,755		1,828

Common Stocks (99.4%)	Shares/ Par +		Value $ (000’s)
Consumer Discretionary continued
BJ’s Restaurants, Inc. *		8,806		319
Bloomin’ Brands, Inc.		32,724		939
Boot Barn Holdings, Inc.*		11,422		1,087
Brinker International, Inc.*		16,670		828
The Buckle, Inc.		11,014		444
Caleres, Inc.		12,564		515
Callaway Golf Co. *		53,496		865
Cavco Industries, Inc. *		2,923		1,166
Century Communities, Inc.		10,663		1,029
The Cheesecake
Factory, Inc.		17,603		636
Chuy’s Holdings, Inc. *		6,574		222
Cracker Barrel Old Country Store, Inc.		8,398		611
Dana Holding Corp.		48,392		615
Dave & Buster’s Entertainment, Inc. *		12,116		758
Designer Brands, Inc.		16,109		176
Dine Brands Global, Inc.		5,893		274
Dorman Products, Inc.*		10,681		1,030
Ethan Allen Interiors, Inc.		8,592		297
Foot Locker, Inc.		30,866		880
Frontdoor, Inc. *		30,013		978
Gentherm, Inc. *		12,430		716
G-III Apparel Group, Ltd.*		15,423		447
Golden Entertainment, Inc.		8,132		299
Green Brick Partners, Inc.*		9,565		576
Group 1 Automotive, Inc.		5,005		1,463
Guess?, Inc.		10,448		329
Hanesbrands, Inc. *		131,850		765
Haverty Furniture Cos., Inc.		5,001		171
Hibbett, Inc.		4,438		341
Installed Building Products, Inc.		8,836		2,286
Jack in the Box, Inc.		7,370		505
Kohl’s Corp.		41,725		1,216
Kontoor Brands, Inc.		18,846		1,135
La-Z-Boy, Inc.		16,130		607
LCI Industries		9,545		1,175
Leslie’s, Inc. *		69,600		452
LGI Homes, Inc. *		7,726		899
M.D.C. Holdings, Inc.		22,510		1,416
M/I Homes, Inc. *		10,498		1,431
MarineMax, Inc. *		7,633		254

Common Stocks (99.4%)	Shares/ Par +		Value $ (000’s)
Consumer Discretionary continued
Meritage Homes Corp.		13,742		2,411
Mister Car Wash, Inc. *		34,732		269
Monarch Casino & Resort, Inc.		5,009		376
Monro, Inc.		11,270		355
Movado Group, Inc.		5,843		163
National Vision Holdings, Inc. *		29,487		653
Newell Brands, Inc.		143,585		1,153
The ODP Corp. *		12,539		665
Oxford Industries, Inc.		5,541		623
Papa John’s International, Inc.		12,347		822
Patrick Industries, Inc.		7,843		937
Perdoceo Education Corp.		24,723		434
PHINIA, Inc.		17,669		679
Rent-A-Center, Inc.		16,755		590
Sabre Corp. *		143,848		348
Sally Beauty Holdings, Inc.*		39,526		491
Shake Shack, Inc. - Class A *		14,131		1,470
Shoe Carnival, Inc.		6,755		248
Signet Jewelers, Ltd.		16,703		1,671
Six Flags Entertainment Corp. *		27,233		717
Sonic Automotive, Inc. - Class A		5,633		321
Sonos, Inc. *		46,677		890
Standard Motor Products, Inc.		7,077		237
Steven Madden, Ltd.		26,446		1,118
Strategic Education, Inc.		8,201		854
Stride, Inc. *		15,008		946
Sturm, Ruger & Co., Inc.		6,712		310
TRI Pointe Homes, Inc.*		36,587		1,414
Urban Outfitters, Inc. *		21,328		926
Victoria’s Secret & Co.*		29,289		568
Vista Outdoor, Inc. *		22,008		721
Winnebago Industries, Inc.		11,025		816
Wolverine World Wide, Inc.		29,941		336
Worthington Enterprises, Inc.		11,488		715
XPEL, Inc. *		8,064		436
Total				66,717

1

Index 600 Stock Portfolio

Common Stocks (99.4%)	Shares/ Par +		Value $ (000’s)
Consumer Staples (3.5%)
The Andersons, Inc.		11,868		681
B&G Foods, Inc.		29,792		341
Calavo Growers, Inc.		6,691		186
Cal-Maine Foods, Inc.		15,318		901
Central Garden & Pet Co.*		3,547		152
Central Garden & Pet Co. - Class A *		20,434		754
The Chefs’ Warehouse, Inc.*		13,381		504
Edgewell Personal Care Co.		18,816		727
Energizer Holdings, Inc.		25,132		740
Fresh Del Monte Produce, Inc.		12,684		329
The Hain Celestial Group, Inc. *		34,250		269
Inter Parfums, Inc.		6,750		948
J & J Snack Foods Corp.		5,848		845
John B. Sanfilippo & Son, Inc.		3,413		362
Medifast, Inc.		4,127		158
MGP Ingredients, Inc.		5,880		506
National Beverage Corp.*		8,789		417
Nu Skin Enterprises, Inc.		18,843		261
PriceSmart, Inc.		9,443		793
The Simply Good Foods Co. *		34,228		1,165
SpartanNash Co.		13,107		265
Tootsie Roll Industries, Inc.		6,809		218
TreeHouse Foods, Inc.*		19,067		743
United Natural Foods, Inc.*		22,439		258
Universal Corp.		9,304		481
USANA Health Sciences, Inc. *		4,202		204
Vector Group, Ltd.		49,975		548
WD-40 Co.		5,112		1,295
WK Kellogg Co.		24,849		467
Total				15,518
Energy (4.9%)
Archrock, Inc.		51,747		1,018
Bristow Group, Inc. *		9,169		249
California Resources Corp.		24,312		1,340
Comstock Resources, Inc.		34,592		321
CONSOL Energy, Inc.		10,041		841
Core Laboratories, Inc.		17,636		301
CVR Energy, Inc.		11,053		394
Dorian LPG, Ltd.		12,845		494
Dril-Quip, Inc. *		12,866		290
Green Plains, Inc. *		24,317		562

Common Stocks (99.4%)	Shares/ Par +		Value $ (000’s)
Energy continued
Helix Energy Solutions Group, Inc. *		53,674		582
Helmerich & Payne, Inc.		37,244		1,566
Liberty Energy, Inc.		57,167		1,185
Magnolia Oil & Gas Corp. - Class A		69,819		1,812
Nabors Industries, Ltd.*		3,371		290
Northern Oil and Gas, Inc.		34,407		1,365
Oceaneering International, Inc. *		37,930		888
Par Pacific Holdings, Inc.*		20,975		777
Patterson-UTI Energy, Inc.		121,074		1,446
Peabody Energy Corp.		41,504		1,007
ProPetro Holding Corp.*		32,439		262
REX American Resources Corp. *		5,793		340
RPC, Inc.		31,938		247
SM Energy Co.		43,602		2,174
Talos Energy, Inc. *		50,783		707
US Silica Holdings, Inc.*		29,231		363
Vital Energy, Inc. *		9,396		494
World Fuel Services Corp.		22,816		603
Total				21,918
Financials (17.7%)
Ambac Financial Group, Inc. *		17,126		268
American Equity Investment Life Holding Co. *		23,522		1,322
Ameris Bancorp		24,372		1,179
AMERISAFE, Inc.		7,183		360
Apollo Commercial Real Estate Finance, Inc.		49,264		549
Arbor Realty Trust, Inc.		71,066		942
ARMOUR Residential REIT, Inc.		18,573		367
Artisan Partners Asset Management, Inc.		25,837		1,183
Assured Guaranty, Ltd.		20,486		1,787
Atlantic Union Bankshares Corp.		28,266		998
Axos Financial, Inc. *		19,083		1,031
B. Riley Financial, Inc.		6,388		135
Banc of California, Inc.		52,195		794
BancFirst Corp.		5,433		478
The Bancorp, Inc. *		20,200		676
Bank of Hawaii Corp.		14,981		935
BankUnited, Inc.		28,024		785
Banner Corp.		13,025		625

Common Stocks (99.4%)	Shares/ Par +		Value $ (000’s)
Financials continued
Berkshire Hills Bancorp, Inc.		16,236		372
BGC Group, Inc.		145,758		1,133
Blackstone Mortgage Trust, Inc.		64,960		1,293
Brightsphere Investment Group, Inc.		12,180		278
Brookline Bancorp, Inc.		33,646		335
Capitol Federal Financial, Inc.		46,739		279
Cathay General Bancorp		27,370		1,035
Central Pacific Financial Corp.		10,356		205
City Holding Co.		5,567		580
Community Bank System, Inc.		20,092		965
Customers Bancorp, Inc.*		10,716		569
CVB Financial Corp.		49,878		890
Dime Community Bancshares, Inc.		13,234		255
Donnelley Financial Solutions, Inc. *		9,303		577
Eagle Bancorp, Inc.		11,235		264
Ellington Financial, Inc.		29,742		351
Employers Holdings, Inc.		9,654		438
Encore Capital Group, Inc.*		8,860		404
Enova International, Inc.*		10,963		689
EVERTEC, Inc.		24,354		972
EZCORP, Inc. - Class A *		19,585		222
FB Financial Corp.		13,309		501
First Bancorp		79,030		1,675
First Commonwealth Financial Corp.		38,670		538
First Financial Bancorp		35,829		803
First Hawaiian, Inc.		48,070		1,056
Franklin BSP Realty Trust, Inc.		30,775		411
Fulton Financial Corp.		61,686		980
Genworth Financial, Inc. - Class A *		169,944		1,093
Goosehead Insurance, Inc.*		9,208		613
Green Dot Corp. - Class A *		17,234		161
Hanmi Financial Corp.		11,343		181
Hannon Armstrong Sustainable Infrastructure Capital, Inc.		41,895		1,190
HCI Group, Inc.		2,569		298
Heritage Financial Corp.		13,126		255

2

Index 600 Stock Portfolio

Common Stocks (99.4%)	Shares/ Par +		Value $ (000’s)
Financials continued
Hilltop Holdings, Inc.		17,529		549
Hope Bancorp, Inc.		45,469		523
Horace Mann Educators Corp.		15,473		572
Independent Bank Corp.		16,152		840
Independent Bank Group, Inc.		13,610		621
Jackson Financial, Inc.		26,665		1,764
KKR Real Estate Finance Trust, Inc.		21,846		220
Lakeland Financial Corp.		9,637		639
Lincoln National Corp.		63,930		2,041
Mercury General Corp.		10,074		520
Meta Financial Group, Inc.		9,606		485
Moelis & Co.		25,123		1,426
Mr. Cooper Group, Inc.*		24,347		1,898
National Bank Holding Corp.		14,198		512
Navient Corp.		30,930		538
NBT Bancorp, Inc.		17,734		651
NCR Atleos Corp. *		25,207		498
New York Mortgage Trust, Inc.		34,727		250
NMI Holdings, Inc. - Class A *		30,563		988
Northfield Bancorp, Inc.		14,631		142
Northwest Bancshares, Inc.		48,020		559
OFG Bancorp		17,726		653
Pacific Premier Bancorp, Inc.		36,121		867
Palomar Holdings, Inc.*		9,321		781
Park National Corp.		5,404		734
Payoneer Global, Inc. *		98,638		479
PennyMac Mortgage Investment Trust		32,646		479
Piper Sandler Cos.		5,729		1,137
PJT Partners, Inc. - Class A		8,406		792
PRA Group, Inc. *		14,778		385
Preferred Bank		4,685		360
ProAssurance Corp. *		19,319		248
PROG Holdings, Inc.		16,950		584
Provident Financial Services, Inc.		28,590		417
Radian Group, Inc.		57,724		1,932
Ready Capital Corp.		59,461		543
Redwood Trust, Inc.		49,526		316
Renasant Corp.		21,145		662
S&T Bancorp, Inc.		14,475		464
Safety Insurance Group, Inc.		5,549		456
Seacoast Banking Corp. of Florida		31,769		807

Common Stocks (99.4%)	Shares/ Par +		Value $ (000’s)
Financials continued
ServisFirst Bancshares, Inc.		18,460		1,225
Simmons First National Corp. - Class A		47,165		918
SiriusPoint, Ltd. *		34,064		433
Southside Bancshares, Inc.		10,862		318
Stellar Bancorp, Inc.		17,581		428
Stewart Information Services Corp.		10,371		675
StoneX Group, Inc. *		10,242		720
Tompkins Financial Corp.		4,685		236
Triumph Financial, Inc.*		8,122		644
Trupanion, Inc. *		13,454		371
TrustCo Bank Corp.		7,106		200
Trustmark Corp.		23,138		650
Two Harbors Investment Corp.		38,893		515
United Community Banks, Inc.		44,824		1,180
United Fire Group, Inc.		8,115		177
Veritex Holdings, Inc.		20,447		419
Virtus Investment Partners, Inc.		2,545		631
Walker & Dunlop, Inc.		12,604		1,274
Washington Federal, Inc.		25,582		743
Westamerica Bancorporation		10,018		490
WisdomTree Investments, Inc.		41,820		384
World Acceptance Corp.*		1,262		183
WSFS Financial Corp.		22,801		1,029
Total				79,450
Health Care (10.1%)
AdaptHealth LLC *		30,927		356
Addus HomeCare Corp.*		6,032		623
Agiliti, Inc. *		13,407		136
Alkermes PLC *		62,890		1,702
AMN Healthcare Services, Inc. *		14,239		890
Amphastar Pharmaceuticals, Inc.*		14,075		618
ANI Pharmaceuticals, Inc.*		5,701		394
Arcus Biosciences, Inc.*		20,536		388
Artivion, Inc. *		14,679		311
Astrana Health, Inc. *		15,869		666
Avanos Medical, Inc. *		17,482		348
BioLife Solutions, Inc. *		13,420		249
Catalyst Pharmaceuticals, Inc.*		41,932		668

Common Stocks (99.4%)	Shares/ Par +		Value $ (000’s)
Health Care continued
Certara, Inc. *		40,339		721
Collegium Pharmaceutical, Inc.*		12,357		480
CONMED Corp.		11,590		928
Corcept Therapeutics, Inc.*		34,203		862
CorVel Corp. *		3,414		898
Cross Country Healthcare, Inc. *		12,525		234
Cytek Biosciences, Inc.*		37,508		252
Dynavax Technologies Corp.*		48,978		608
Embecta Corp.		21,756		289
Enhabit, Inc. *		19,183		223
Ensign Group, Inc.		21,183		2,636
Fortrea Holdings, Inc. *		33,462		1,343
Fulgent Genetics, Inc. *		7,637		166
Glaukos Corp. *		18,390		1,734
Harmony Biosciences Holdings, Inc. *		12,432		417
HealthStream, Inc.		9,069		242
ICU Medical, Inc. *		7,636		820
Inari Medical, Inc. *		19,322		927
Innoviva, Inc. *		21,349		325
Integer Holdings Corp.*		12,561		1,466
Ironwood Pharmaceuticals, Inc.*		52,038		453
LeMaitre Vascular, Inc.		7,455		495
Ligand Pharmaceuticals, Inc. - Class B *		6,176		451
MEDNAX, Inc. *		31,359		315
Merit Medical Systems, Inc.*		21,764		1,649
Mesa Laboratories, Inc.		1,949		214
ModivCare, Inc. *		4,594		108
Myriad Genetics, Inc. *		33,342		711
National HealthCare Corp.		5,082		480
NeoGenomics, Inc. *		48,033		755
OmniAb, Inc. - 12.50 Earnout Consideration*,Æ		2,585		–
OmniAb, Inc. - 15.00 Earnout Consideration*,Æ		2,585		–
Omnicell, Inc. *		17,130		501
OraSure Technologies, Inc.*		27,977		172
Organon & Co.		96,330		1,811
Owens & Minor, Inc. *		28,831		799
Pacira Biosciences, Inc.*		17,474		511
Patterson Cos., Inc.		31,082		859

3

Index 600 Stock Portfolio

Common Stocks (99.4%)	Shares/ Par +		Value $ (000’s)
Health Care continued
Phibro Animal Health Corp. - Class A		7,856		102
Premier, Inc. - Class A		45,160		998
Prestige Consumer Healthcare, Inc. *		18,708		1,357
Privia Health Group, Inc.*		38,703		758
RadNet, Inc. *		24,584		1,196
REGENXBIO, Inc. *		15,334		323
Schrodinger, Inc. *		20,734		560
Select Medical Holdings Corp.		39,610		1,194
Simulations Plus, Inc.		6,029		248
STAAR Surgical Co. *		18,394		704
Supernus Pharmaceuticals, Inc.*		20,694		706
Tandem Diabetes Care, Inc.*		24,668		873
UFP Technologies, Inc.*		2,664		672
US Physical Therapy, Inc.		5,681		641
Varex Imaging Corp. *		15,249		276
Vericel Corp. *		17,971		935
Vir Biotechnology, Inc. *		32,456		329
Xencor, Inc. *		22,932		507
Total				45,583
Industrials (18.1%)
3D Systems Corp. *		50,575		225
AAON, Inc.		25,416		2,239
AAR Corp. *		12,501		748
ABM Industries, Inc.		23,689		1,057
Aerovironment, Inc. *		10,548		1,617
Air Lease Corp.		38,907		2,001
Alamo Group, Inc.		3,894		889
Alaska Air Group, Inc. *		47,517		2,043
Albany International Corp. - Class A		11,760		1,100
Allegiant Travel Co.		5,398		406
American Woodmark Corp.*		6,041		614
Apogee Enterprises, Inc.		8,282		490
ArcBest Corp.		8,919		1,271
Arcosa, Inc.		18,376		1,578
Armstrong World Industries, Inc.		16,651		2,068
Astec Industries, Inc.		8,570		375
AZZ, Inc.		9,438		730
Barnes Group, Inc.		19,086		709
Boise Cascade Co.		14,921		2,288
Brady Corp. - Class A		16,886		1,001
CoreCivic, Inc. *		43,062		672
CSG Systems International, Inc.		10,660		549
Deluxe Corp.		16,679		343
DNOW, Inc. *		40,231		612

Common Stocks (99.4%)	Shares/ Par +		Value $ (000’s)
Industrials continued
DXP Enterprises, Inc. *		5,025		270
Dycom Industries, Inc.*		11,057		1,587
Encore Wire Corp.		5,947		1,563
Enerpac Tool Group Corp.		20,399		727
EnPro Industries, Inc.		7,879		1,330
ESCO Technologies, Inc.		9,728		1,041
Federal Signal Corp.		22,963		1,949
Forward Air Corp.		11,608		361
Franklin Electric Co., Inc.		14,951		1,597
The GEO Group, Inc. *		45,991		649
Gibraltar Industries, Inc.*		11,472		924
GMS, Inc. *		15,008		1,461
Granite Construction, Inc.		16,556		946
The Greenbrier Cos., Inc.		11,717		610
Griffon Corp.		14,399		1,056
Harsco Corp. *		30,104		275
Hayward Holdings, Inc.*		47,452		727
Healthcare Services Group, Inc. *		27,987		349
Heartland Express, Inc.		17,331		207
Heidrick & Struggles International, Inc.		7,550		254
Hillenbrand, Inc.		26,435		1,329
HNI Corp.		17,540		792
Hub Group, Inc. - Class A		23,526		1,017
Insteel Industries, Inc.		7,355		281
Interface, Inc.		21,898		368
JetBlue Airways Corp. *		125,587		932
John Bean Technologies Corp.		12,000		1,259
Kaman Corp.		10,671		489
KAR Auction Services, Inc.*		40,950		708
Kelly Services, Inc. - Class A		12,203		306
Kennametal, Inc.		29,879		745
Korn Ferry		19,797		1,302
Lindsay Corp.		4,172		491
Liquidity Services, Inc.*		8,584		160
Marten Transport, Ltd.		21,661		400
Masterbrand, Inc. *		47,762		895
Matson, Inc.		13,168		1,480
Matthews International Corp. - Class A		11,551		359
Mercury Systems, Inc.*		19,755		583
MillerKnoll, Inc.		27,441		679
Moog, Inc. - Class A		10,834		1,730
Mueller Industries, Inc.		42,798		2,308

Common Stocks (99.4%)	Shares/ Par +		Value $ (000’s)
Industrials continued
MYR Group, Inc. *		6,299		1,113
National Presto Industries, Inc.		1,998		167
NV5 Global, Inc. *		4,823		473
Pitney Bowes, Inc.		58,501		253
Powell Industries, Inc.		3,457		492
Proto Labs, Inc. *		9,807		351
Quanex Building Products Corp.		12,570		483
Resideo Technologies, Inc.*		55,060		1,234
Resources Connection, Inc.		12,042		158
Rush Enterprises, Inc. - Class A		23,217		1,243
RXO, Inc. *		44,105		965
SkyWest, Inc. *		15,430		1,066
SPX Technologies, Inc.*		17,204		2,118
Standex International Corp.		4,476		816
Sun Country Airlines Holdings, Inc. *		14,774		223
SunPower Corp. *		32,871		99
Sunrun, Inc. *		82,335		1,085
Tennant Co.		7,043		857
Titan International, Inc.*		19,172		239
Trinity Industries, Inc.		30,829		859
Triumph Group, Inc. *		28,976		436
TTEC Holdings, Inc.		7,265		75
UniFirst Corp.		5,695		988
Verra Mobility Corp. *		62,673		1,565
Vestis Corp.		49,487		954
Viad Corp. *		7,907		312
Vicor Corp. *		8,591		329
Wabash National Corp.		17,115		512
Total				81,586
Information Technology (12.4%)
A10 Networks, Inc.		26,419		362
ACI Worldwide, Inc. *		40,974		1,361
Adeia, Inc.		40,385		441
Adtran Holdings, Inc.		27,101		147
Advanced Energy Industries, Inc.		14,050		1,433
Agilysys, Inc. *		7,605		641
Alarm.com Holdings, Inc.*		18,841		1,365
Alliance Data Systems Corp.		18,573		692
Alpha & Omega Semiconductor, Ltd. *		8,578		189
Arlo Technologies, Inc.*		35,644		451
Axcelis Technologies, Inc.*		12,320		1,374
Badger Meter, Inc.		11,063		1,790
Benchmark Electronics, Inc.		13,506		405

4

Index 600 Stock Portfolio

Common Stocks (99.4%)	Shares/ Par +		Value $ (000’s)
Information Technology continued
BlackLine, Inc. *		19,166		1,238
Box, Inc. *		54,120		1,533
Calix, Inc. *		22,095		733
Cerence, Inc. *		15,723		248
CEVA, Inc. *		8,903		202
Cohu, Inc. *		17,853		595
Corsair Gaming, Inc. *		16,611		205
CTS Corp.		11,719		548
Digi International, Inc. *		13,631		435
Diodes, Inc. *		17,322		1,221
DoubleVerify Holdings, Inc.*		52,532		1,847
DXC Technology Co. *		68,910		1,462
Envestnet, Inc. *		18,744		1,085
ePlus, Inc. *		10,043		789
Extreme Networks, Inc.*		48,515		560
Fabrinet*		13,684		2,587
FormFactor, Inc. *		29,346		1,339
Harmonic, Inc. *		42,520		572
Ichor Holdings, Ltd. *		11,084		428
Insight Enterprises, Inc.*		10,438		1,936
InterDigital, Inc.		9,689		1,032
Itron, Inc. *		17,147		1,586
Knowles Corp. *		33,592		541
Kulicke and Soffa Industries, Inc.		21,247		1,069
LiveRamp Holdings, Inc.*		24,926		860
MaxLinear, Inc. - Class A *		28,230		527
Methode Electronics, Inc. - Class A		13,490		164
N-able, Inc. *		26,276		343
NCR Voyix Corp. *		50,547		638
NetScout Systems, Inc.*		26,898		587
OSI Systems, Inc. *		5,910		844
PC Connection, Inc.		4,242		280
PDF Solutions, Inc. *		11,543		389
Perficient, Inc. *		13,100		737
Photronics, Inc. *		23,695		671
Plexus Corp. *		10,406		987
Progress Software Corp.		16,513		880
Rogers Corp. *		6,312		749
Sanmina Corp. *		21,026		1,307
ScanSource, Inc. *		9,539		420
Semtech Corp. *		24,322		669
SiTime Corp. *		6,548		611
SMART Global Holdings, Inc. *		19,649		517
SolarEdge Technologies, Inc. *		21,411		1,520
Sprinklr, Inc. - Class A *		44,568		547
SPS Commerce, Inc. *		13,833		2,558
TTM Technologies, Inc.*		38,489		602

Common Stocks (99.4%)	Shares/ Par +		Value $ (000’s)
Information Technology continued
Ultra Clean Holdings, Inc.*		16,900		776
Veeco Instruments, Inc.*		21,202		746
ViaSat, Inc. *		28,317		512
Viavi Solutions, Inc. *		83,881		763
Xerox Holdings Corp.		42,584		762
Xperi, Inc. *		16,580		200
Total				55,608
Materials (5.9%)
AdvanSix, Inc.		10,207		292
Allegheny Technologies, Inc. *		48,091		2,461
Alpha Metallurgical Resources, Inc.		4,456		1,476
Arch Resources, Inc.		6,923		1,113
Balchem Corp.		12,151		1,883
Carpenter Technology Corp.		18,629		1,330
Century Aluminum Co.*		19,466		300
Clearwater Paper Corp.*		6,277		275
Compass Minerals International, Inc.		12,788		201
H.B. Fuller Co.		20,426		1,629
Hawkins, Inc.		7,169		551
Haynes International, Inc.		4,778		287
Ingevity Corp. *		12,771		609
Innospec, Inc.		9,376		1,209
Kaiser Aluminum Corp.		5,992		535
Koppers Holdings, Inc.		7,889		435
Materion Corp.		7,781		1,025
Mercer International, Inc.		16,814		167
Metallus, Inc. *		14,556		324
Minerals Technologies, Inc.		12,264		923
Myers Industries, Inc.		13,824		320
O-I Glass, Inc. *		58,312		967
Olympic Steel, Inc.		3,692		262
Quaker Chemical Corp.		5,219		1,071
Schweitzer-Mauduit International, Inc.		20,489		384
Sealed Air Corp.		54,434		2,025
Sensient Technologies Corp.		15,924		1,102
Stepan Co.		7,995		720
SunCoke Energy, Inc.		31,743		358
Sylvamo Corp.		13,307		822
Warrior Met Coal, Inc.		19,605		1,190
Worthington Steel, Inc.		11,547		414
Total				26,660

Common Stocks (99.4%)	Shares/ Par +		Value $ (000’s)
Real Estate (7.4%)
Acadia Realty Trust		38,510		655
Alexander & Baldwin, Inc.		27,281		449
American Assets Trust, Inc.		18,412		404
Apple Hospitality REIT, Inc.		80,172		1,313
Armada Hoffler Properties, Inc.		25,181		262
Brandywine Realty Trust		64,771		311
CareTrust REIT, Inc.		49,188		1,199
Centerspace		5,645		323
Chatham Lodging Trust		18,414		186
Community Healthcare Trust, Inc.		9,132		243
Cushman & Wakefield PLC*		63,299		662
DiamondRock Hospitality Co.		78,981		759
Douglas Emmett, Inc.		62,826		871
Easterly Government Properties, Inc.		35,814		412
Elme Communities Real Estate Investment Trust		32,937		459
Essential Properties Realty Trust, Inc.		58,800		1,568
eXp World Holdings, Inc.		29,151		301
Four Corners Property Trust, Inc.		34,137		835
Getty Realty Corp.		18,499		506
Global Net Lease, Inc.		73,536		571
Highwoods Properties, Inc.		39,841		1,043
Hudson Pacific Properties, Inc.		48,079		310
Innovative Industrial Properties, Inc.		10,568		1,094
JBG SMITH Properties		33,003		530
Kennedy-Wilson Holdings, Inc.		44,907		385
LTC Properties, Inc.		15,534		505
LXP Industrial Trust		110,233		994
The Macerich Co.		81,377		1,402
Marcus & Millichap, Inc.		8,928		305
Medical Properties Trust, Inc.		225,728		1,061
NexPoint Residential Trust, Inc.		8,726		281
OUTFRONT Media, Inc.		54,730		919
Pebblebrook Hotel Trust		45,681		704
Phillips Edison & Co., Inc.		45,987		1,650

5

Index 600 Stock Portfolio

Common Stocks (99.4%)	Shares/ Par +		Value $ (000’s)
Real Estate continued
Realogy Holdings Corp.*		41,584		257
Retail Opportunity Investments Corp.		47,763		612
Safehold, Inc.		16,970		350
Saul Centers, Inc.		4,952		191
Service Properties Trust		62,838		426
SITE Centers Corp.		67,856		994
SL Green Realty Corp.		24,416		1,346
The St. Joe Co.		13,408		777
Summit Hotel Properties, Inc.		40,725		265
Sunstone Hotel Investors, Inc.		77,421		863
Tanger Factory Outlet Centers, Inc.		40,581		1,198
Uniti Group, Inc.		89,879		530
Universal Health Realty Income Trust		4,799		176
Urban Edge Properties		44,349		766
Veris Residential, Inc.		30,411		463
Whitestone REIT		18,039		226
Xenia Hotels & Resorts, Inc.		39,641		595
Total				33,507

Common Stocks (99.4%)	Shares/ Par +		Value $ (000’s)
Utilities (2.0%)
American States Water Co.		13,930		1,006
Avista Corp.		29,147		1,021
California Water Service Group		21,735		1,010
Chesapeake Utilities Corp.		8,377		899
Clearway Energy, Inc.		44,034		995
MGE Energy, Inc.		13,628		1,073
Middlesex Water Co.		6,793		356
Northwest Natural Holding Co.		13,888		517
Otter Trail Corp.		15,719		1,358
SJW Group		11,004		623
Unitil Corp.		6,050		317
Total				9,175
Total Common Stocks (Cost: $368,398)				447,241

Short-Term Investments (0.1%)	Shares/ Par +	Value $ (000’s)
Governments (0.1%)
US Treasury 0.000%, 4/11/24 b	195,000	195
Total		195
Total Short-Term Investments (Cost: $195)		195
Total Investments (99.5%) (Cost: $368,593)@		447,436
Other Assets, Less Liabilities (0.5%)		2,446
Net Assets (100.0%)		449,882

Exchange Traded or Centrally Cleared Derivatives

Futures

Issuer

Long/ Short

Currency

Notional Par (000’s)

Number of Contracts

Expiration Date

Notional Value (000’s)

Unrealized Appreciation/ (Depreciation) (000’s)

Variation Margin  (000’s)

E-Mini Russell 2000 Index Futures

Long

USD

1

16

6/24

$

1,717

$

44

$    1

E-Mini S&P MidCap 400 Futures

Long

USD

–

π

3

6/24

923

27

(1)

$

71

$     –π

	Financial Derivative Assets						Financial Derivative Liabilities
	Variation Margin (000’s)						Variation Margin (000’s)						Market Value (000’s)
	Swaps		Futures		Total		Swaps		Futures		Total		Options
Total Exchange-Traded or Centrally Cleared Derivatives	$	–	$	1	$	1	$	–	$	(1)	$	(1)	$	–

+ All par is stated in U.S. Dollar unless otherwise noted.

* Non income producing

Æ Security valued using significant unobservable inputs.

b Part or all of the security has been pledged as collateral.

@ At March 31, 2024, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $368,593 and the net unrealized appreciation of investments based on that cost was $78,914 which is comprised of $123,267 aggregate gross unrealized appreciation and $44,353 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.

π Amount is less than one thousand.

6

Index 600 Stock 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 March 31, 2024.

	Valuation Inputs
Description	Level 1 - Quoted Prices		Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable  Inputs
	(Amounts in thousands)
Assets:
Common Stocks	$	447,241	$	—	$	—
Other Financial Instruments^
Futures		71		—		—
Short-Term Investments		—		195		—
Total Assets:	$	447,312	$	195	$	—

^ 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.

Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ended March 31, 2024.

7

Abbreviations (unaudited)

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.
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
IBOR	Interbank Offered Rate
LIBOR	London Interbank Offered Rate
SOFR	Secured Overnight Financing Rate
ICE	Intercontinental Exchange
FTSE	Financial Times Stock Exchange
SONIA	Sterling Overnight Index Average Rate
SONIO	Sterling Overnight Interbank Average Rate
MUTKCALM	Bank of Japan Unsecured Overnight Call Rate
DAC	Designated Activity Company
TBA	To Be Announced
CMT	Constant Maturity Treasury
OIS	Overnight Index Swaps
BBR	Bank Bill Rate
BBSW	Bank Bill Swap Reference Rate
BONCER	National Treasury Bond in Pesos with Adjustment for CER
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
KRW	South Korean Won
MXN	Mexican New Peso
NOK	Norwegian Krone
PEN	Peruvian Sol
RUB	Russian Ruble
SAR	Saudi Riyal
SEK	Swedish Krona
SGD	Singapore Dollar
THB	Thai Baht
TRY	Turkish Lira
TWD	Taiwan Dollar
USD	United States Dollar
ZAR	South African Rand

1