UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-04087
Manning & Napier Fund, Inc.
(Exact name of registrant as specified in charter)
290 Woodcliff Drive, Fairport, NY 14450
(Address of principal executive offices)(Zip Code)
James Mikolaichik 290 Woodcliff Drive, Fairport, NY 14450
(Name and address of agent for service)
Registrant’s telephone number, including area code: 585-325-6880
Date of fiscal year end: October 31
Date of reporting period: November 1, 2014 through October 31, 2015
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
ITEM 1: REPORTS TO STOCKHOLDERS.
Equity Series
Management Discussion and Analysis
(unaudited)
Dear Shareholders:
Volatility defined global equity markets during the past year, largely driven by macroeconomic factors. Markets around the world experienced a correction in late August amidst a broad selloff triggered by renewed concerns about economic growth in emerging markets — China in particular — and uncertainty about the effects of that slowdown on overall global growth. Developed economies continued to provide accommodative monetary policy to combat growth concerns, although markets focused near the end of the period on whether the U.S. Federal Reserve would begin to raise policy interest rates. For much of the year, Europe struggled with uncertainty regarding Greece’s ability to secure bailout funding from its creditors, which impaired investor sentiment. China’s economy slowed, but the government continued to demonstrate a willingness to provide support through a combination of policy-easing maneuvers and targeted stimulus measures. The U.S. economy remained on a path of slow growth that nevertheless made it the best performing developed economy. U.S. stocks generally moved higher, whereas global equity markets were notably weaker. Looking ahead, we expect the slow global growth environment to remain in place for the foreseeable future.
As always, we appreciate your business.
Sincerely,
Manning & Napier Advisors, LLC
1
Equity Series
Fund Commentary
(unaudited)
Investment Objective
To provide long-term growth of capital by investing primarily in common stocks. The Series may invest in large, mid, and small size companies within the U.S.
Performance Commentary
U.S. equity markets generally delivered positive absolute returns for the twelve-month period ended October 31, 2015. The S&P 500 Index gained 5.19% while the Russell 3000 Index earned 4.49%. The Equity Series experienced negative absolute returns of -1.46%, however, trailing the broad market on a relative basis. Despite the near-term relative underperformance, the Equity Series continues to provide competitive absolute and relative returns over the current U.S. stock market cycle. The cycle includes a prolonged bear market from April 2000 to February 2009, a recovery, and the current bull market. Since the cycle began, the Equity Series has returned 6.97% annualized, outpacing the Russell 3000 Index’s annualized return of 4.47% and the S&P 500 Index’s 4.11% annualized return.
The Series’ underperformance relative to the Russell 3000 Index during the year was driven by stock selection. Conversely, sector positioning aided relative returns. Regarding major detractors from relative performance, stock selection in Consumer Discretionary, Materials, Industrials, and Financials challenged relative returns.
Offsetting a portion of the relative performance weakness were positive contributions to relative returns from stock selection in Health Care and Information Technology. The Series’ overweight’s to Consumer Discretionary and Information Technology relative to the benchmark also aided relative returns.
In regard to current portfolio positioning, we are focused on finding fundamentally strong businesses that are not heavily reliant upon macroeconomic growth to drive sales and earnings. More specifically, we see value in businesses that we believe have control of their destiny and are taking share in large established markets or are creating new markets on their own. The goal is to identify companies trading at attractive valuations relative to their growth potential.
As we look toward 2016, we believe the U.S. economy is in better shape than the European economies and only modestly impacted by the slowdown in emerging markets. We hold the view that the Fed is not far away from beginning the process of policy normalization, which should include lifting policy interest rates. Our indicators point to volatility still being a buying opportunity and do not suggest capital risk is a significant near-term concern. Shareholders can expect us to remain active, flexible, and selective in our approach in order to avoid overvalued areas of the market, something Manning & Napier has done for over 40 years as an active investment manager.
Please see the next page for additional performance information as of October 31, 2015.
Performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than that quoted; investors can obtain the most recent month-end performance at www.manning-napier.com or by calling (800) 466-3863.
All investments involve risks, including possible loss of principal. As with any stock fund, the value of your investment will fluctuate in response to stock market movements. Investing in the Series will also involve a number of other risks, including issuer-specific risk, small-cap/mid-cap risk, and interest rate risk.
2
Equity Series
Performance Update as of October 31, 2015
(unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2015 | ||||||||||||||||
ONE YEAR1 | FIVE YEAR | TEN YEAR | SINCE INCEPTION2 | |||||||||||||
Manning & Napier Fund, Inc. - Equity Series3,4 | -1.46 | % | 10.08 | % | 6.92 | % | 7.51 | % | ||||||||
Russell 3000® Index5 | 4.49 | % | 14.14 | % | 7.94 | % | 5.88 | % |
The following graph compares the value of a $10,000 investment in the Manning & Napier Fund, Inc. - Equity Series for the ten years ended October 31, 2015 to the Russell 3000® Index.
1 The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
2 Performance numbers for the Series and Index are calculated from May 1, 1998, the Collective’s inception date (see Note 4 below).
3 The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2015, this net expense ratio was 1.05%. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 1.08% for the year ended October 31, 2015.
4 Prior to July 10, 2002, all performance figures reflect the performance of the Exeter Trust Company Group Trust for Employee Benefit Plans: All-Equity Collective Investment Trust (the “Collective”), which was managed by Manning & Napier Advisors, Inc. (predecessor to Manning & Napier Advisors, LLC), an affiliate of the distributor, and reorganized into the Manning & Napier Fund, Inc. Equity Series on July 10, 2002. The Collective was not open to the public generally or registered under the Investment Company Act of 1940 and the fees of the Collective were lower than the Series’ fees. Therefore, historical performance of the Collective would have been lower if the Collective had been subject to the same fees as the Series.
5 The Russell 3000® Index is an unmanaged index that consists of 3,000 of the largest U.S. companies based on total market capitalization. The Index returns are based on a market capitalization-weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. The Index returns do not reflect any fees or expenses. Index returns provided by Bloomberg.
3
Equity Series
Shareholder Expense Example
(unaudited)
As a shareholder of the Series, you may incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Series expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (May 1, 2015 to October 31, 2015).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Series’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid during the period. You may use this information to compare the ongoing costs of investing in the Series and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
BEGINNING ACCOUNT VALUE 5/1/15 | ENDING ACCOUNT VALUE 10/31/15 | EXPENSES PAID DURING PERIOD* 5/1/15-10/31/15 | ||||
Actual | $1,000.00 | $953.80 | $5.17 | |||
Hypothetical | ||||||
(5% return before expenses) | $1,000.00 | $1,019.91 | $5.35 |
*Expenses are equal to the Series’ annualized expense ratio (for the six-month period) of 1.05%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The Series’ total return would have been lower had certain expenses not been waived during the period.
4
Equity Series
Portfolio Composition as of October 31, 2015
(unaudited)
5
Equity Series
Investment Portfolio - October 31, 2015
SHARES | VALUE (NOTE 2) | |||||||
COMMON STOCKS - 97.1% | ||||||||
Consumer Discretionary - 20.2% | ||||||||
Diversified Consumer Services - 0.8% | ||||||||
Houghton Mifflin Harcourt Co.* | 212,270 | $ | 4,158,369 | |||||
|
| |||||||
Hotels, Restaurants & Leisure - 2.1% | ||||||||
Yum! Brands, Inc. | 147,680 | 10,471,989 | ||||||
|
| |||||||
Internet & Catalog Retail - 4.9% | ||||||||
The Priceline Group, Inc.* | 11,610 | 16,883,726 | ||||||
TripAdvisor, Inc.* | 91,820 | 7,692,680 | ||||||
|
| |||||||
24,576,406 | ||||||||
|
| |||||||
Media - 12.4% | ||||||||
AMC Networks, Inc. - Class A* | 115,840 | 8,559,418 | ||||||
Discovery Communications, Inc. - Class A* | 358,440 | 10,552,474 | ||||||
Sinclair Broadcast Group, Inc. - Class A | 206,310 | 6,191,363 | ||||||
TEGNA, Inc. | 171,080 | 4,626,003 | ||||||
Time Warner, Inc. | 170,390 | 12,837,183 | ||||||
Tribune Media Co. - Class A | 207,680 | 8,375,734 | ||||||
Twenty-First Century Fox, Inc. - Class A | 347,290 | 10,658,330 | ||||||
|
| |||||||
61,800,505 | ||||||||
|
| |||||||
Total Consumer Discretionary | 101,007,269 | |||||||
|
| |||||||
Consumer Staples - 1.6% | ||||||||
Beverages - 1.6% | ||||||||
The Coca-Cola Co. | 191,350 | 8,103,673 | ||||||
|
| |||||||
Energy - 2.7% | ||||||||
Energy Equipment & Services - 1.0% | ||||||||
Weatherford International plc - ADR* | 488,700 | 5,004,288 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels - 1.7% | ||||||||
Range Resources Corp. | 273,640 | 8,329,602 | ||||||
|
| |||||||
Total Energy | 13,333,890 | |||||||
|
| |||||||
Financials - 8.3% | ||||||||
Capital Markets - 2.1% | ||||||||
BlackRock, Inc. | 29,230 | 10,288,083 | ||||||
|
| |||||||
Consumer Finance - 2.2% | ||||||||
SLM Corp.* | 858,380 | 6,060,163 | ||||||
Synchrony Financial* | 162,990 | 5,013,572 | ||||||
|
| |||||||
11,073,735 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) - 2.5% | ||||||||
Plum Creek Timber Co., Inc. | 141,430 | 5,761,858 | ||||||
Weyerhaeuser Co. | 231,960 | 6,803,387 | ||||||
|
| |||||||
12,565,245 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
6
Equity Series
Investment Portfolio - October 31, 2015
VALUE | ||||||||
SHARES | (NOTE 2) | |||||||
COMMON STOCKS (continued) | ||||||||
Financials (continued) | ||||||||
Real Estate Management & Development - 1.5% | ||||||||
Realogy Holdings Corp.* | 195,740 | $ | 7,653,434 | |||||
|
| |||||||
Total Financials | 41,580,497 | |||||||
|
| |||||||
Health Care - 14.7% | ||||||||
Health Care Equipment & Supplies - 3.8% | ||||||||
Alere, Inc.* | 156,400 | 7,213,168 | ||||||
Intuitive Surgical, Inc.* | 23,930 | 11,883,638 | ||||||
|
| |||||||
19,096,806 | ||||||||
|
| |||||||
Health Care Providers & Services - 5.3% | ||||||||
DaVita HealthCare Partners, Inc.* | 194,560 | 15,080,346 | ||||||
Express Scripts Holding Co.* | 134,370 | 11,606,881 | ||||||
|
| |||||||
26,687,227 | ||||||||
|
| |||||||
Health Care Technology - 2.6% | ||||||||
Cerner Corp.* | 196,430 | 13,021,345 | ||||||
|
| |||||||
Life Sciences Tools & Services - 1.5% | ||||||||
Thermo Fisher Scientific, Inc. | 56,110 | 7,338,066 | ||||||
|
| |||||||
Pharmaceuticals - 1.5% | ||||||||
Johnson & Johnson | 75,670 | 7,644,940 | ||||||
|
| |||||||
Total Health Care | 73,788,384 | |||||||
|
| |||||||
Industrials - 11.2% | ||||||||
Building Products - 2.1% | ||||||||
Masco Corp. | 185,160 | 5,369,640 | ||||||
Owens Corning | 109,850 | 5,001,471 | ||||||
|
| |||||||
10,371,111 | ||||||||
|
| |||||||
Industrial Conglomerates - 4.0% | ||||||||
Danaher Corp. | 133,870 | 12,491,410 | ||||||
General Electric Co. | 263,400 | 7,617,528 | ||||||
|
| |||||||
20,108,938 | ||||||||
|
| |||||||
Machinery - 2.1% | ||||||||
Flowserve Corp. | 223,740 | 10,372,586 | ||||||
|
| |||||||
Road & Rail - 3.0% | ||||||||
Norfolk Southern Corp. | 55,900 | 4,473,677 | ||||||
Union Pacific Corp. | 121,350 | 10,842,623 | ||||||
|
| |||||||
15,316,300 | ||||||||
|
| |||||||
Total Industrials | 56,168,935 | |||||||
|
| |||||||
Information Technology - 34.0% | ||||||||
Communications Equipment - 3.1% | ||||||||
Juniper Networks, Inc. | 232,930 | 7,311,673 |
The accompanying notes are an integral part of the financial statements.
7
Equity Series
Investment Portfolio - October 31, 2015
VALUE | ||||||||
SHARES | (NOTE 2) | |||||||
COMMON STOCKS (continued) | ||||||||
Information Technology (continued) | ||||||||
Communications Equipment (continued) | ||||||||
QUALCOMM, Inc. | 137,370 | $ | 8,162,525 | |||||
|
| |||||||
15,474,198 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components - 2.0% | ||||||||
FLIR Systems, Inc. | 372,180 | 9,926,041 | ||||||
|
| |||||||
Internet Software & Services - 9.6% | ||||||||
Alphabet, Inc. - Class A* | 16,650 | 12,277,543 | ||||||
Alphabet, Inc. - Class C* | 17,520 | 12,453,391 | ||||||
eBay, Inc.* | 205,960 | 5,746,284 | ||||||
Facebook, Inc. - Class A* | 118,670 | 12,100,780 | ||||||
HomeAway, Inc.* | 181,990 | 5,743,604 | ||||||
|
| |||||||
48,321,602 | ||||||||
|
| |||||||
IT Services - 10.8% | ||||||||
EVERTEC, Inc. | 399,960 | 7,295,270 | ||||||
MasterCard, Inc. - Class A | 160,700 | 15,907,693 | ||||||
PayPal Holdings, Inc.* | 201,750 | 7,265,017 | ||||||
VeriFone Systems, Inc.* | 279,720 | 8,430,761 | ||||||
Visa, Inc. - Class A | 193,130 | 14,983,025 | ||||||
|
| |||||||
53,881,766 | ||||||||
|
| |||||||
Software - 5.8% | ||||||||
ANSYS, Inc.* | 58,520 | 5,577,541 | ||||||
Aspen Technology, Inc.* | 134,070 | 5,549,157 | ||||||
Autodesk, Inc.* | 142,690 | 7,875,061 | ||||||
Electronic Arts, Inc.* | 138,230 | 9,962,236 | ||||||
|
| |||||||
28,963,995 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 2.7% | ||||||||
Apple, Inc. | 113,250 | 13,533,375 | ||||||
|
| |||||||
Total Information Technology | 170,100,977 | |||||||
|
| |||||||
Materials - 4.4% | ||||||||
Chemicals - 2.2% | ||||||||
Monsanto Co. | 118,010 | 11,000,892 | ||||||
|
| |||||||
Metals & Mining - 2.2% | ||||||||
Alcoa, Inc. | 1,265,890 | 11,304,398 | ||||||
|
| |||||||
Total Materials | 22,305,290 | |||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Identified Cost $466,583,616) | 486,388,915 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
8
Equity Series
Investment Portfolio - October 31, 2015
VALUE | ||||||||
SHARES | (NOTE 2) | |||||||
SHORT-TERM INVESTMENT - 2.7% | ||||||||
Dreyfus Cash Management, Inc. - Institutional Shares1, 0.06% | ||||||||
(Identified Cost $ 13,663,333) | 13,663,333 | $ | 13,663,333 | |||||
|
| |||||||
TOTAL INVESTMENTS - 99.8% | ||||||||
(Identified Cost $ 480,246,949) | 500,052,248 | |||||||
OTHER ASSETS, LESS LIABILITIES - 0.2% | 893,971 | |||||||
|
| |||||||
NET ASSETS - 100% | $ | 500,946,219 | ||||||
|
|
ADR - American Depositary Receipt
*Non-income producing security.
1Rate shown is the current yield as of October 31, 2015.
The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of MSCI Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P), and is licensed for use by Manning & Napier when referencing GICS sectors. Neither MSCI, S&P, nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification, nor shall any such party have any liability therefrom.
The accompanying notes are an integral part of the financial statements.
9
Equity Series
Statement of Assets and Liabilities
October 31, 2015
ASSETS: | ||||
Investments, at value (identified cost $ 480,246,949) (Note 2) | $ | 500,052,248 | ||
Receivable for securities sold | 1,803,518 | |||
Receivable for fund shares sold | 389,897 | |||
Dividends receivable | 202,315 | |||
Prepaid expenses | 56 | |||
|
| |||
TOTAL ASSETS | 502,448,034 | |||
|
| |||
LIABILITIES: | ||||
Accrued management fees (Note 3) | 432,695 | |||
Accrued transfer agent fees (Note 3) | 31,254 | |||
Accrued fund accounting and administration fees (Note 3) | 22,857 | |||
Accrued Directors’ fees (Note 3) | 1,209 | |||
Accrued Chief Compliance Officer service fees (Note 3) | 421 | |||
Payable for fund shares repurchased | 848,116 | |||
Accrued printing and postage fees | 84,549 | |||
Other payables and accrued expenses | 80,714 | |||
|
| |||
TOTAL LIABILITIES | 1,501,815 | |||
|
| |||
TOTAL NET ASSETS | $ | 500,946,219 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Capital stock | $ | 301,348 | ||
Additional paid-in-capital | 427,679,705 | |||
Undistributed net investment income | 22,314 | |||
Accumulated net realized gain on investments | 53,137,553 | |||
Net unrealized appreciation (depreciation) on investments | 19,805,299 | |||
|
| |||
TOTAL NET ASSETS | $ | 500,946,219 | ||
|
| |||
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class A | $ | 16.62 | ||
|
|
The accompanying notes are an integral part of the financial statements.
10
Equity Series
Statement of Operations
For the Year Ended October 31, 2015
INVESTMENT INCOME: | ||||
Dividends | $ | 8,426,292 | ||
|
| |||
EXPENSES: | ||||
Management fees (Note 3) | 7,707,491 | |||
Transfer agent fees (Note 3) | 134,261 | |||
Fund accounting and administration fees (Note 3) | 97,879 | |||
Directors’ fees (Note 3) | 31,062 | |||
Chief Compliance Officer service fees (Note 3) | 2,520 | |||
Custodian fees | 57,416 | |||
Miscellaneous | 284,024 | |||
|
| |||
Total Expenses | 8,314,653 | |||
Less reduction of expenses (Note 3) | (232,226 | ) | ||
|
| |||
Net Expenses | 8,082,427 | |||
|
| |||
NET INVESTMENT INCOME | 343,865 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: | ||||
Net realized gain on investments | 108,788,624 | |||
Net change in unrealized appreciation (depreciation) on investments | (104,920,453 | ) | ||
|
| |||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | 3,868,171 | |||
|
| |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 4,212,036 | ||
|
|
The accompanying notes are an integral part of the financial statements.
11
Equity Series
Statements of Changes in Net Assets
FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | |||||||
INCREASE (DECREASE) IN NET ASSETS: | ||||||||
OPERATIONS: | ||||||||
Net investment income (loss) | $ | 343,865 | $ | (93,507 | ) | |||
Net realized gain on investments | 108,788,624 | 235,731,957 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (104,920,453 | ) | (80,831,677 | ) | ||||
|
|
|
| |||||
Net increase from operations | 4,212,036 | 154,806,773 | ||||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS (Note 8): | ||||||||
From net investment income | (246,854 | ) | (486,768 | ) | ||||
From net realized gain on investments | (202,981,217 | ) | (164,860,135 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (203,228,071 | ) | (165,346,903 | ) | ||||
|
|
|
| |||||
CAPITAL STOCK ISSUED AND REPURCHASED: | ||||||||
Net increase (decrease) from capital share transactions (Note 5) | (590,372,793 | ) | 63,355,672 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets | (789,388,828 | ) | 52,815,542 | |||||
NET ASSETS: | ||||||||
Beginning of year | 1,290,335,047 | 1,237,519,505 | ||||||
|
|
|
| |||||
End of year (including undistributed net investment income of $22,314 and $0, respectively) | $ | 500,946,219 | $ | 1,290,335,047 | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
12
Equity Series
Financial Highlights
FOR THE YEARS ENDED | ||||||||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | ||||||||||||||||
Per share data (for a share outstanding throughout each year): | ||||||||||||||||||||
Net asset value - Beginning of year | $ | 21.15 | $ | 21.60 | $ | 19.03 | $ | 18.45 | $ | 17.91 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)1 | 0.01 | (0.00 | )2 | 0.01 | 0.01 | 0.04 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.42 | ) | 2.51 | 5.14 | 1.26 | 0.55 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (0.41 | ) | 2.51 | 5.15 | 1.27 | 0.59 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions to shareholders: | ||||||||||||||||||||
From net investment income | (0.00 | )2 | (0.01 | ) | (0.03 | ) | (0.04 | ) | (0.05 | ) | ||||||||||
From net realized gain on investments | (4.12 | ) | (2.95 | ) | (2.55 | ) | (0.65 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions to shareholders | (4.12 | ) | (2.96 | ) | (2.58 | ) | (0.69 | ) | (0.05 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value - End of year | $ | 16.62 | $ | 21.15 | $ | 21.60 | $ | 19.03 | $ | 18.45 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net assets - End of year (000’s omitted) | $ | 500,946 | $ | 1,290,335 | $ | 1,237,520 | $ | 1,418,468 | $ | 1,925,038 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return3 | (1.46 | %) | 13.23 | % | 30.61 | % | 7.37 | % | 3.30 | % | ||||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||||||
Expenses* | 1.05 | % | 1.05 | % | 1.05 | % | 1.05 | % | 1.05 | % | ||||||||||
Net investment income (loss) | 0.04 | % | (0.01 | %) | 0.06 | % | 0.06 | % | 0.24 | % | ||||||||||
Portfolio turnover | 62 | % | 61 | % | 52 | % | 63 | % | 54 | % | ||||||||||
*The investment advisor did not impose all or a portion of its management and/or other fees, and in some years may have paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratio (to average net assets) would have increased by the following amounts: | ||||||||||||||||||||
0.03 | % | 0.02 | % | 0.06 | % | 0.05 | % | 0.02 | % |
1Calculated based on average shares outstanding during the years.
2Less than $(0.01).
3Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed.
The accompanying notes are an integral part of the financial statements.
13
Equity Series
Notes to Financial Statements
1. | Organization |
Equity Series (the “Series”) is a no-load diversified series of Manning & Napier Fund, Inc. (the “Fund”). The Fund is organized in Maryland and is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company.
The Series’ investment objective is to provide long-term growth of capital.
The Fund’s Advisor is Manning & Napier Advisors, LLC (the “Advisor”). Shares of the Series are offered to investors, clients and employees of the Advisor and its affiliates. The total authorized capital stock of the Fund consists of 15 billion shares of common stock each having a par value of $0.01. As of October 31, 2015, 10.7 billion shares have been designated in total among 41 series, of which 200 million have been designated as Equity Series Class A common stock.
2. | Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Series. The Series is an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 - Investment Companies, which is part of accounting principles generally accepted in the United States of America (“GAAP”).
Security Valuation
Portfolio securities, including domestic equities, listed on an exchange other than the NASDAQ Stock Market are valued at the latest quoted sales price of the exchange on which the security is primarily traded. Securities not traded on valuation date or securities not listed on an exchange are valued at the latest quoted bid price provided by the Fund’s pricing service. Securities listed on the NASDAQ Stock Market are valued in accordance with the NASDAQ Official Closing Price.
Short-term investments that mature in sixty days or less are valued at amortized cost, which approximates fair value. Investments in open-end investment companies are valued at their net asset value per share on valuation date.
Volume and level of activity in established markets for an asset or liability are evaluated to determine whether recent transactions and quoted prices are determinative of fair value. Where there have been significant decreases in volume and level of activity, further analysis and adjustment may be necessary to estimate fair value. The Series measures fair value in these instances by the use of inputs and valuation techniques which may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry and/or expectation of future cash flows. As a result of trading in relatively thin markets and/or markets that experience significant volatility, the prices used by the Series to value these securities may differ from the value that would be realized if these securities were sold, and the differences could be material.
Securities for which representative valuations or prices are not available from the Series’ pricing service may be valued at fair value as determined in good faith by the Advisor under procedures approved by and under the general supervision and responsibility of the Fund’s Board of Directors (the “Board”). Due to the inherent uncertainty of valuations of such securities, the fair value may differ significantly from the values that would have been used had a ready market for such securities existed. If trading or events occurring after the close of the principal market in which securities are traded are expected to materially affect the value of those securities, then they may be valued at their fair value, taking this trading or these events into account.
Various inputs are used in determining the value of the Series’ assets or liabilities carried at fair value. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical assets and liabilities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments). A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
14
Equity Series
Notes to Financial Statements (continued)
2. | Significant Accounting Policies (continued) |
Security Valuation (continued)
The following is a summary of the valuation levels used for major security types as of October 31, 2015 in valuing the Series’ assets or liabilities carried at fair value:
DESCRIPTION | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | ||||||||||||
Assets: | ||||||||||||||||
Equity securities: | ||||||||||||||||
Consumer Discretionary | $ | 101,007,269 | $ | 101,007,269 | $ | — | $ | — | ||||||||
Consumer Staples | 8,103,673 | 8,103,673 | — | — | ||||||||||||
Energy | 13,333,890 | 13,333,890 | — | — | ||||||||||||
Financials | 41,580,497 | 41,580,497 | — | — | ||||||||||||
Health Care | 73,788,384 | 73,788,384 | — | — | ||||||||||||
Industrials | 56,168,935 | 56,168,935 | — | — | ||||||||||||
Information Technology | 170,100,977 | 170,100,977 | — | — | ||||||||||||
Materials | 22,305,290 | 22,305,290 | — | — | ||||||||||||
Mutual Fund | 13,663,333 | 13,663,333 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | $ | 500,052,248 | $ | 500,052,248 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
There were no Level 2 or Level 3 securities held by the Series as of October 31, 2014 or October 31, 2015.
The Fund’s policy is to recognize transfers in and transfers out of the valuation levels as of the beginning of the reporting period. There were no transfers between Level 1 and Level 2 during the year ended October 31, 2015.
Security Transactions, Investment Income and Expenses
Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date, except that if the ex-dividend date has passed, certain dividends from foreign securities are recorded as soon as the Series is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair value of the securities received. Interest income, including amortization of premium and accretion of discounts using the effective interest method, is earned from settlement date and accrued daily.
Expenses are recorded on an accrual basis. Most expenses of the Fund can be attributed to a specific series. Expenses which cannot be directly attributed are apportioned among the series in the Fund in such a manner as deemed equitable by the Fund’s Board, taking into consideration, among other things, the nature and type of expense.
The Series uses the identified cost method for determining realized gain or loss on investments for both financial statement and federal income tax reporting purposes.
Federal Taxes
The Series’ policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies. The Series is not subject to federal income tax or excise tax to the extent that the Series distributes to shareholders each year its taxable income, including any net realized gains on investments, in accordance with requirements of the Internal Revenue Code. Accordingly, no provision for federal income tax or excise tax has been made in the financial statements.
Management evaluates its tax positions to determine if the tax positions taken meet the minimum recognition threshold in connection with accounting for uncertainties in income tax positions taken or expected to be taken for the purposes of measuring and recognizing tax liabilities in the financial statements. Recognition of tax benefits of an uncertain tax position is required only when the position is “more likely than not” to be sustained assuming examination by taxing authorities. At October 31, 2015, the Series has recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns.
The Series files income tax returns in the U.S. federal jurisdiction, various states and foreign jurisdictions, as required. No income tax returns are currently under investigation. The statute of limitations on the Series’ tax returns remains open for the
15
Equity Series
Notes to Financial Statements (continued)
2. | Significant Accounting Policies (continued) |
Federal Taxes (continued)
years ended October 31, 2012 through October 31, 2015. The Series is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
Foreign Taxes
Based on the Series’ understanding of the tax rules and rates related to income, gains and currency purchase/repatriation transactions for foreign jurisdictions in which it invests, the Series will provide for foreign taxes, and where appropriate, deferred foreign tax.
Distributions of Income and Gains
Distributions to shareholders of net investment income and net realized gains are made annually. An additional distribution may be necessary to avoid taxation of the Series. Distributions are recorded on the ex-dividend date.
Indemnifications
The Fund’s organizational documents provide former and current directors and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Other
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
3. | Transactions with Affiliates |
The Fund has an Investment Advisory Agreement (the ���Agreement”) with the Advisor, for which the Series pays a fee, computed daily and payable monthly, at an annual rate of 1.00% of the Series’ average daily net assets.
Under the Agreement, personnel of the Advisor provide the Series with advice and assistance in the choice of investments and the execution of securities transactions, and otherwise maintain the Series’ organization. The Advisor also provides the Fund with necessary office space and fund administration and support services. The salaries of all officers of the Fund (except a percentage of the Fund’s Chief Compliance Officer’s salary, which is paid by the Fund), and of all Directors who are “affiliated persons” of the Fund, or of the Advisor, and all personnel of the Fund, or of the Advisor, performing services relating to research, statistical and investment activities, are paid by the Advisor. Each “non-affiliated” Director receives an annual stipend, which is allocated among all the active series of the Fund. In addition, these Directors also receive a fee per Board meeting attended plus a fee for each committee meeting attended and are reimbursed for travel and other out-of-pocket expenses incurred by them in connection with attending such meetings. The Fund also has an Audit Committee Chair, who receives an additional annual stipend for this role.
The Advisor has contractually agreed, until at least February 29, 2016, to waive its management fee and, if necessary, pay other operating expenses of the Series in order to maintain total direct annual fund operating expenses for the Series at no more than 1.05% of average daily net assets each year. Accordingly, the Advisor waived fees of $232,226 for the year ended October 31, 2015, which is included as a reduction of expenses on the Statement of Operations. The Advisor is not eligible to recoup any expenses that have been waived or reimbursed in prior years.
Manning & Napier Investor Services, Inc., a registered broker-dealer affiliate of the Advisor, acts as distributor for the Fund’s shares. The services of Manning & Napier Investor Services, Inc. are provided at no additional cost to the Series.
16
Equity Series
Notes to Financial Statements (continued)
3. | Transactions with Affiliates (continued) |
Pursuant to a master services agreement dated November 1, 2014, the Fund pays the Advisor an annual fee related to fund accounting and administration of 0.0085% on the first $25 billion of average daily net assets (excluding Target Series and Strategic Income Series); 0.0075% on the next $15 billion of average daily net assets (excluding Target Series and Strategic Income Series); and 0.0065% of the average daily net assets in excess of $40 billion (excluding Target Series and Strategic Income Series); plus a base fee of $30,400 per series. Transfer agent fees are charged to the Fund on a per account basis. Additionally, certain transaction and out-of-pocket expenses, including charges for reporting relating to the Fund’s compliance program, are charged. The Advisor has agreements with BNY Mellon Investment Servicing (U.S.) Inc. (“BNY”) under which BNY serves as sub-accountant services agent and sub-transfer agent.
Expenses not directly attributable to a series are allocated based on each series’ relative net assets or number of accounts, depending on the expense.
4. | Purchases and Sales of Securities |
For the year ended October 31, 2015, purchases and sales of securities, other than U.S. Government securities and short-term securities, were $468,264,127 and $1,213,960,237, respectively. There were no purchases or sales of U.S. Government securities.
5. | Capital Stock Transactions |
Transactions in shares of Equity Series were:
FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | |||||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | |||||||||||||
Sold | 7,560,319 | $ | 132,732,396 | 15,707,742 | $ | 325,559,753 | ||||||||||
Reinvested | 12,219,383 | 198,472,048 | 6,888,560 | 130,193,777 | ||||||||||||
Repurchased | (50,651,323 | ) | (921,577,237 | ) | (18,889,945 | ) | (392,397,858 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | (30,871,621 | ) | $ | (590,372,793 | ) | 3,706,357 | $ | 63,355,672 | ||||||||
|
|
|
|
|
|
|
|
At October 31, 2015, the retirement plan of the Advisor and its affiliates owned 359,770 shares of the Series (1.2% of shares outstanding) valued at $5,979,371.
6. | Financial Instruments |
The Series may trade in instruments including written and purchased options, forward foreign currency exchange contracts and futures contracts and other derivatives in the normal course of investing activities to assist in managing exposure to various market risks. The Series may be subject to various elements of risk, which may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. These risks include: the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to over the counter derivative counterparties’ failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing the fund to close out its position(s); and documentation risk relating to disagreement over contract terms. No such investments were held by the Series as of October 31, 2015.
7. | Foreign Securities |
Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in securities of domestic companies and the U.S. Government. These risks include revaluation of currencies and future adverse political and economic developments. Moreover, securities of foreign companies and foreign governments and their markets may be less liquid and their prices more volatile than those of comparable domestic companies and the U.S. Government.
17
Equity Series
Notes to Financial Statements (continued)
8. | Federal Income Tax Information |
The amount and characterization of certain income and capital gains to be distributed are determined in accordance with federal income tax regulations, which may differ from GAAP. These differences are primarily due to differing book and tax treatments in the timing of the recognition of net investment income or gains and losses, including losses deferred due to wash sales. The Series may periodically make reclassifications among its capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations, without impacting the Series’ net asset value. For the year ended October 31, 2015, amounts were reclassified within the capital accounts to increase Additional Paid in Capital by $52,928,838, decrease Undistributed Net Investment Income by $74,697 and decrease Accumulated Net Realized Gain on Investments by $52,854,141. Any such reclassifications are not reflected in the financial highlights.
The tax character of distributions paid were as follows:
FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | |||||||
Ordinary income | $ | 49,123,867 | $ | 42,144,643 | ||||
Long-term capital gains | 154,104,204 | 123,202,260 |
At October 31, 2015, the tax basis of components of distributable earnings and the net unrealized appreciation based on identified cost of investments for federal income tax purposes were as follows:
Cost for federal income tax purposes | $ | 484,602,079 | ||
Unrealized appreciation | 52,761,509 | |||
Unrealized depreciation | (37,311,340 | ) | ||
|
| |||
Net unrealized appreciation | $ | 15,450,169 | ||
|
| |||
Undistributed ordinary income | $ | 5,567,330 | ||
Undistributed long-term capital gains | $ | 51,947,667 |
9. | Subsequent Events |
In preparing these financial statements, management of the Series has evaluated events and transactions for recognition or disclosure through the date the financial statements were available to be issued and the following item was noted:
In November 2015, significant redemptions occurred in the Fund. These redemptions totaled approximately $274,800,000, which amounts to roughly 55% of net assets attributable to shareholders at October 31, 2015.
18
Equity Series
Report of Independent Registered Public Accounting Firm
To the Board of Directors of Manning & Napier Fund, Inc. and Shareholders of Equity Series:
In our opinion, the accompanying statement of assets and liabilities, including the investment portfolio, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Equity Series (a series of Manning & Napier Fund, Inc., hereafter referred to as the “Series”) at October 31, 2015, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Series’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2015 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
New York, New York
December 18, 2015
19
Equity Series
Supplemental Tax Information
(unaudited)
All reportings are based on financial information available as of the date of this annual report and, accordingly, are subject to change.
For federal income tax purposes, the Series reports for the current fiscal year $8,012,247 or, if different, the maximum amount allowable under the tax law, as qualified dividend income.
For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends received deduction for the current fiscal year is 27.20%.
The Series designates $104,741,938 as Long-Term Capital Gain dividends pursuant to Section 852(b) of the Code for the fiscal year ended October 31, 2015.
20
Equity Series
Directors’ and Officers’ Information
(unaudited)
The Statement of Additional Information provides additional information about the Fund’s directors and officers and can be obtained without charge by calling 1-800-466-3863, at www.manningnapieradvisors.com, or on the EDGAR Database on the SEC Internet web site (http:// www.sec.gov). The following chart shows certain information about the Fund’s officers and directors, including their principal occupations during the last five years. Unless specific dates are provided, the individuals have held the listed positions for longer than five years.
Interested Director/Officer | ||
Name: | James E. Mikolaichik* | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 44 | |
Current Position(s) Held with Fund: | Principal Executive Officer, President, Chairman & Director | |
Term of Office1 & Length of Time Served: | Indefinite - Chairman and Director since August 2015 | |
Principal Occupation(s) During Past 5 Years: | Chief Financial Officer since 2011 - Manning & Napier Advisors, LLC; Executive Vice President and Head of Strategy (2008-2011) and Chief Risk Officer (2004-2008) - Old Mutual Asset Management. | |
Holds or has held one or more of the following title for various subsidiaries and affiliates: Chief Financial Officer | ||
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | N/A | |
Independent Directors | ||
Name: | Stephen B. Ashley | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 75 | |
Current Position(s) Held with Fund: | Director, Audit Committee Member, Governance & Nominating Committee Member | |
Term of Office & Length of Time Served: | Indefinite - Since 1996 | |
Principal Occupation(s) During Past 5 Years: | Chairman, Director, President & Chief Executive Officer, The Ashley Group (property management and investment). Director 1995-2008 and | |
Chairman (non-executive) 2004-2008 - Fannie Mae (mortgage) | ||
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | Fannie Mae (1995-2008) | |
The Ashley Group (1995-2008) | ||
Genesee Corporation (1987-2007) | ||
Name: | Paul A. Brooke | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 69 | |
Current Position(s) Held with Fund: | Director, Audit Committee Member, Governance & Nominating Committee Member | |
Term of Office & Length of Time Served: | Indefinite - Since 2007 | |
Principal Occupation(s) During Past 5 Years: | Chairman & CEO (2005-2009) - Ithaka Acquisition Corporation (investments); Chairman (2007-2009) - Alsius Corporation (investments); | |
Managing Member, PMSV Holdings LLC (investments) since 1991; | ||
Managing Member, Venbio (investments) since 2010 | ||
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | Incyte Corp. (2000-present) | |
ViroPharma, Inc. (2000-2014) | ||
HLTH Corp (WebMD) (2000-2010) | ||
Cheyne Capital International (2000-present) | ||
MPM Bio-equities (2000-2009) | ||
GMP Companies (2000-2011) | ||
Cytos Biotechnology Ltd. (2012-present)
|
21
Equity Series
Directors’ and Officers’ Information | ||
(unaudited)
| ||
Independent Directors (continued) | ||
Name: | Peter L. Faber | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 77 | |
Current Position(s) Held with Fund: | Director, Governance & Nominating Committee Member | |
Term of Office & Length of Time Served: | Indefinite - Since 1987 | |
Principal Occupation(s) During Past 5 Years: | Senior Counsel (2006-2012), Partner (1995-2006 & 2013-present) - McDermott, Will & Emery LLP (law firm) | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | Boston Early Music Festival (non-profit) (2007-present) | |
Amherst Early Music, Inc. (non-profit)(2009-present) | ||
Gotham Early Music Scene, Inc. (non-profit)(2009-present) | ||
Partnership for New York City, Inc. (non-profit) (1989-2010) | ||
New York Collegium (non-profit) (2004-2011) | ||
Name: | Harris H. Rusitzky | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 80 | |
Current Position(s) Held with Fund: | Director, Audit Committee Member, Governance & Nominating Committee Member | |
Term of Office & Length of Time Served: | Indefinite - Since 1985 | |
Principal Occupation(s) During Past 5 Years: | President, The Greening Group (business consultants) since 1994; | |
Partner, The Restaurant Group (restaurants) since 2006 | ||
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | Rochester Institute of Technology (university) (1972-present) | |
Culinary Institute of America (non-profit college) (1985-present) | ||
George Eastman House (museum) (1988-present) | ||
National Restaurant Association (restaurant trade organization) (1978-present) | ||
Name: | Chester N. Watson | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 65 | |
Current Position(s) Held with Fund: | Director, Audit Committee Chairman, Governance & Nominating Committee Member | |
Term of Office & Length of Time Served: | Indefinite - Since 2012 | |
Principal Occupation(s) During Past 5 Years: | General Auditor (2003-2011) - General Motors Company (auto manufacturer) | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | Rochester Institute of Technology (university) (2005-present) | |
Officers | ||
Name: | Jeffrey S. Coons, Ph.D., CFA | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 52 | |
Current Position(s) Held with Fund: | Vice President | |
Term of Office1 & Length of Time Served: | Since 2004 | |
Principal Occupation(s) During Past 5 Years: | President since 2010, Co-Director of Research (2002-2015) - Manning & Napier Advisors, LLC | |
Holds one or more of the following titles for various subsidiaries and affiliates: President, Director, Treasurer or Senior Trust Officer. | ||
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | N/A
|
22
Equity Series
Directors’ and Officers’ Information | ||
(unaudited) | ||
Officers (continued) | ||
Name: | Elizabeth Craig | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 28 | |
Current Position(s) Held with Fund: | Assistant Corporate Secretary | |
Term of Office1 & Length of Time Served: | Since 2011 | |
Principal Occupation(s) During Past 5 Years: | Fund Administration Manager since 2015; Mutual Fund Compliance Specialist (2009-2015) - Manning & Napier Advisors, LLC | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | N/A | |
Name: | Christine Glavin | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 49 | |
Current Position(s) Held with Fund: | Principal Financial Officer, Chief Financial Officer | |
Term of Office1 & Length of Time Served: | Principal Financial Officer since 2002; Chief Financial Officer since 2001 | |
Principal Occupation(s) During Past 5 Years: | Director of Fund Reporting since 2011; Fund Reporting Manager (1997-2011) - Manning & Napier Advisors, LLC; Assistant Treasurer since 2008 - Exeter Trust Company | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | N/A | |
Name: | Jodi L. Hedberg | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 47 | |
Current Position(s) Held with Fund: | Corporate Secretary, Chief Compliance Officer, Anti-Money Laundering Compliance Officer | |
Term of Office1 & Length of Time Served: | Corporate Secretary since 1997; Chief Compliance Officer since 2004; | |
Anti-Money Laundering Compliance Officer since 2002 | ||
Principal Occupation(s) During Past 5 Years: | Director of Compliance since 2005; Compliance Manager (1995-2005) - Manning & Napier Advisors, LLC and affiliates; Corporate Secretary - Manning & Napier Investor Services, Inc. since 2006 | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | N/A | |
Name: | Richard Yates | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 50 | |
Current Position(s) Held with Fund: | Chief Legal Officer | |
Term of Office1 & Length of Time Served: | Chief Legal Officer since 2004 | |
Principal Occupation(s) During Past 5 Years: | Counsel - Manning & Napier Advisors, LLC and affiliates since 2000; | |
Holds one or more of the following titles for various affiliates; Director or Corporate Secretary | ||
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | N/A |
*Interested Director, within the meaning of the Investment Company Act of 1940 by reason of his position with the Fund’s investment advisor. Mr. Mikolaichik serves as the Chief Financial Officer for Manning & Napier Advisors, LLC.
1The term of office of all officers shall be one year and until their respective successors are chosen and qualified, or his or her earlier resignation or removal as provided in the Fund’s By-Laws.
23
Equity Series
Results of Special Meeting of Shareholders
(unaudited)
A Special Meeting of the Shareholders of the Fund was held on August 18, 2015. The number of votes necessary to conduct the meeting and approve the proposal was obtained, and the results of the vote of shareholders of all the Series of the Fund voting together in the aggregate is listed below:
PROPOSAL 1:
Election of Directors
NUMBER OF SHARES VOTED FOR | NUMBER OF SHARES WITHELD | |||||||
Stephen B. Ashley | 883,968,395 | 8,618,094 | ||||||
Paul A. Brooke | 884,510,661 | 8,075,828 | ||||||
Peter L. Faber | 884,140,893 | 8,445,596 | ||||||
James E. Mikolaichik | 883,391,832 | 9,194,657 | ||||||
Harris H. Rusitzky | 620,022,215 | 272,564,274 | ||||||
Chester N. Watson | 884,638,809 | 7,947,680 |
24
{This page intentionally left blank}
25
Equity Series
Literature Requests
(unaudited)
Proxy Voting Policies and Procedures
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request:
By phone | 1-800-466-3863 | |||
On the Securities and Exchange | ||||
Commission’s (SEC) web site | http://www.sec.gov |
Proxy Voting Record
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available, without charge, upon request:
By phone | 1-800-466-3863 | |||
On the SEC’s web site | http://www.sec.gov |
Quarterly Portfolio Holdings
The Series’ complete schedule of portfolio holdings for the 1st and 3rd quarters of each fiscal year are provided on Form N-Q, and are available, without charge, upon request:
By phone | 1-800-466-3863 | |||
On the SEC’s web site | http://www.sec.gov |
The Series’ Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Prospectus and Statement of Additional Information (SAI)
For more information about any of the Manning & Napier Fund, Inc. Series, you may obtain a prospectus and SAI at www.manning-napier.com or by calling (800) 466-3863. Before investing, carefully consider the objectives, risks, charges and expenses of the investment and read the prospectus carefully as it contains this and other information about the investment company. In addition, this information can be found on the SEC’s web site, http://www.sec.gov.
Additional information available at www.manning-napier.com
1. Fund Holdings Month-End
2. Fund Holdings - Quarter-End
3. Shareholder Report - Annual
4. Shareholder Report - Semi-Annual
The Fund also offers electronic notification or “e-delivery” when certain documents are available on-line to be downloaded or reviewed. Direct shareholders can elect to receive electronic notification when shareholder reports, prospectus updates, and/or statements are available. If you do not currently have on-line access to your account, you can establish access by going to www.manning-napier.com, click on “Login” in the top corner of the page, and follow the prompts to self-enroll. Once enrolled, you can set your electronic notification preferences by clicking on the Account Options tab located within the green toolbar and then select E-Delivery Option. Should you have any questions on either how to establish on-line access or how to update your account settings, please contact Investor Services at 1-800-466-3863.
The Manning & Napier Fund, Inc. is managed by Manning & Napier Advisors, LLC. Manning & Napier Investor Services, Inc., an affiliate of Manning & Napier Advisors, LLC, is the distributor of the Fund shares.
MNEQY-10/15-AR
Tax Managed Series
Management Discussion and Analysis
(unaudited)
Dear Shareholders:
Volatility defined global equity markets during the past year, largely driven by macroeconomic factors. Markets around the world experienced a correction in late August amidst a broad selloff triggered by renewed concerns about economic growth in emerging markets — China in particular — and uncertainty about the effects of that slowdown on overall global growth. Developed economies continued to provide accommodative monetary policy to combat growth concerns, although markets focused near the end of the period on whether the U.S. Federal Reserve would begin to raise policy interest rates. For much of the year, Europe struggled with uncertainty regarding Greece’s ability to secure bailout funding from its creditors, which impaired investor sentiment. China’s economy slowed, but the government continued to demonstrate a willingness to provide support through a combination of policy-easing maneuvers and targeted stimulus measures. The U.S. economy remained on a path of slow growth that nevertheless made it the best performing developed economy. U.S. stocks generally moved higher, whereas global equity markets were notably weaker. Looking ahead, we expect the slow global growth environment to remain in place for the foreseeable future.
As always, we appreciate your business.
Sincerely,
Manning & Napier Advisors, LLC
1
Tax Managed Series
Fund Commentary
(unaudited)
Investment Objective
To maximize long-term growth while attempting to minimize the impact of taxes on the total return earned by shareholders. The Series provides exposure to equity securities and is designed to benefit those investors who are conscious of tax implications in their portfolios.
Performance Commentary
U.S. equity markets generally delivered positive absolute returns for the twelve-month period ended October 31, 2015. The S&P 500 Index gained 5.19% while the Russell 3000 Index earned 4.49%. Global equity markets were generally much weaker during the one-year period as the MSCI ACWI ex USA Index (ACWIxUS) returned -4.68%. The Tax Managed Series experienced negative absolute returns of -1.67%, trailing its primary benchmark, the Russell 3000 Index on a relative basis. Despite the near-term relative underperformance, the Tax Managed Series continues to provide competitive absolute and relative returns over the current U.S. stock market cycle. The cycle includes a prolonged bear market from April 2000 to February 2009, a recovery, and the current bull market. Since the cycle began, the Tax Managed Series has returned 6.30% annualized, outpacing the Russell 3000 Index’s annualized return of 4.47%.
The Series’ underperformance relative to the Russell 3000 Index during the year was driven by stock selection. Conversely, sector positioning aided relative returns. Regarding major detractors from relative performance, stock selection in Consumer Discretionary, Materials, Financials, and Consumer Staples challenged relative returns.
Offsetting a portion of the relative performance weakness was a positive contribution to relative returns from stock selection in Information Technology. The Series’ overweights to Consumer Discretionary and Information Technology relative to the benchmark also aided relative returns, as these were the best performing sectors within the benchmark during the period.
In regard to current portfolio positioning, we are focused on finding fundamentally strong businesses that are not heavily reliant upon macroeconomic growth to drive sales and earnings. More specifically, we see value in businesses that we believe have control of their destiny and are taking share in large established markets or are creating new markets on their own. The goal is to identify companies trading at attractive valuations relative to their growth potential.
As we look toward 2016, we believe the U.S. economy is in better shape than the European economies and only modestly impacted by the slowdown in emerging markets. We hold the view that the Fed is not far away from beginning the process of policy normalization, which should include lifting policy interest rates. Broadly speaking, valuations in the developed world remain neutral at best, whereas valuations in select emerging markets are relatively more attractive. Our indicators point to volatility still being a buying opportunity and do not suggest capital risk is a significant near-term concern. Shareholders can expect us to remain active, flexible, and selective in our approach in order to avoid overvalued areas of the market, something Manning & Napier has done for over 40 years as an active investment manager.
Please see the next page for additional performance information as of October 31, 2015.
Performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than that quoted; investors can obtain the most recent month-end performance at www.manning-napier.com or by calling (800) 466-3863.
All investments involve risks, including possible loss of principal. As with any stock fund, the value of your investment will fluctuate in response to stock market movements. Investing in the Series will also involve a number of other risks, including issuer-specific risk, small-cap/mid-cap risk, and interest rate risk.
2
Tax Managed Series
Performance Update as of October 31, 2015
(unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2015 | ||||||||||||||||
ONE YEAR1 | FIVE YEAR | TEN YEAR | SINCE INCEPTION2 | |||||||||||||
Manning & Napier Fund, Inc. - Tax Managed Series | ||||||||||||||||
Returns Before Taxes3,5 | -1.67 | % | 9.67 | % | 7.09 | % | 9.09 | % | ||||||||
Returns After Taxes on Distributions4,5 | -6.05 | % | 7.79 | % | 5.79 | % | 8.29 | % | ||||||||
Returns After Taxes on Distributions and Sale of Series | ||||||||||||||||
Shares4,5 | 2.56 | % | 7.63 | % | 5.74 | % | 7.82 | % | ||||||||
Russell 3000® Index6 | 4.49 | % | 14.14 | % | 7.94 | % | 8.68 | % |
The following graph compares the value of a $10,000 investment in the Manning & Napier Fund, Inc. - Tax Managed Series (returns before taxes) for the ten years ended October 31, 2015 to the Russell 3000® Index.
1The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
2Performance numbers for the Series and Index are calculated from November 1, 1995, the Series’ inception date.
3Returns before taxes do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2015, this net expense ratio was 1.20%. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 1.43% for the year ended October 31, 2015.
4Returns after taxes on distributions assume that an investor owned the Series during the entire period and paid taxes on the Series’ distributions. Returns after taxes on distributions and sale of Series shares assume that an investor paid taxes on the Series’ distributions and sold all shares at the end of each period. After-tax returns reflect the historical highest individual federal marginal income tax rates and do not reflect state and local taxes. Actual after-tax returns depend on an investor’s tax situation and may differ from those shown. After-tax returns reflect past tax effects and are not indicative of future tax effects. After-tax returns are not relevant to those investing through 401(k) plans, IRAs or other tax-deferred arrangements.
5The Series’ performance is historical and may not be indicative of future results.
6The Russell 3000® Index is an unmanaged index that consists of 3,000 of the largest U.S. companies based on total market capitalization. The Index returns are based on a market capitalization-weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. The Index returns do not reflect any fees or expenses. Index returns provided by Bloomberg.
3
Tax Managed Series
Shareholder Expense Example
(unaudited)
As a shareholder of the Series, you may incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Series expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (May 1, 2015 to October 31, 2015).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Series’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid during the period. You may use this information to compare the ongoing costs of investing in the Series and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
BEGINNING ACCOUNT VALUE 5/1/15 | ENDING ACCOUNT VALUE 10/31/15 | EXPENSES PAID DURING PERIOD* 5/1/15-10/31/15 | ||||
Actual | $1,000.00 | $945.20 | $5.88 | |||
Hypothetical | ||||||
(5% return before expenses) | $1,000.00 | $1,019.16 | $6.11 |
*Expenses are equal to the Series’ annualized expense ratio (for the six-month period) of 1.20%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The Series’ total return would have been lower had certain expenses not been waived during the period.
4
Tax Managed Series
Portfolio Composition as of October 31, 2015
(unaudited)
5
Tax Managed Series
Investment Portfolio - October 31, 2015
SHARES | VALUE (NOTE 2) | |||||||
COMMON STOCKS - 97.5% | ||||||||
Consumer Discretionary - 20.4% | ||||||||
Diversified Consumer Services - 0.7% | ||||||||
Houghton Mifflin Harcourt Co.* | 8,080 | $ | 158,287 | |||||
|
| |||||||
Hotels, Restaurants & Leisure - 1.5% | ||||||||
Yum! Brands, Inc. | 4,650 | 329,732 | ||||||
|
| |||||||
Household Durables - 0.1% | ||||||||
TopBuild Corp.* | 1,031 | 29,002 | ||||||
|
| |||||||
Internet & Catalog Retail - 4.5% | ||||||||
The Priceline Group, Inc.* | 450 | 654,408 | ||||||
TripAdvisor, Inc.* | 4,030 | 337,633 | ||||||
|
| |||||||
992,041 | ||||||||
|
| |||||||
Media - 12.4% | ||||||||
AMC Networks, Inc. - Class A* | 4,910 | 362,800 | ||||||
Discovery Communications, Inc. - Class A* | 17,010 | 500,774 | ||||||
Liberty Global plc - Class A - ADR (United Kingdom)* | 5,180 | 230,614 | ||||||
Nexstar Broadcasting Group, Inc. - Class A | 3,290 | 175,127 | ||||||
Sinclair Broadcast Group, Inc. - Class A | 7,660 | 229,877 | ||||||
TEGNA, Inc. | 7,830 | 211,723 | ||||||
Time Warner, Inc. | 7,280 | 548,475 | ||||||
Twenty-First Century Fox, Inc. - Class A | 16,330 | 501,168 | ||||||
|
| |||||||
2,760,558 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods - 1.2% lululemon athletica, Inc.* | 5,440 | �� | 267,485 | |||||
|
| |||||||
Total Consumer Discretionary | 4,537,105 | |||||||
|
| |||||||
Consumer Staples - 10.1% | ||||||||
Beverages - 6.0% | ||||||||
AMBEV S.A. - ADR (Brazil) | 67,770 | 330,040 | ||||||
Anheuser-Busch InBev N.V. (Belgium)1 | 3,580 | 427,182 | ||||||
The Coca-Cola Co. | 7,010 | 296,873 | ||||||
Diageo plc (United Kingdom)1 | 9,810 | 282,820 | ||||||
|
| |||||||
1,336,915 | ||||||||
|
| |||||||
Food Products - 1.3% | ||||||||
Nestle S.A. (Switzerland)1 | 3,800 | 290,221 | ||||||
|
| |||||||
Personal Products - 2.8% | ||||||||
Beiersdorf AG (Germany)1 | 3,320 | 315,320 | ||||||
Unilever plc - ADR (United Kingdom) | 6,670 | 296,481 | ||||||
|
| |||||||
611,801 | ||||||||
|
| |||||||
Total Consumer Staples | 2,238,937 | |||||||
|
| |||||||
Energy - 3.1% | ||||||||
Energy Equipment & Services - 2.3% | ||||||||
Schlumberger Ltd. | 4,190 | 327,490 |
The accompanying notes are an integral part of the financial statements.
6
Tax Managed Series
Investment Portfolio - October 31, 2015
VALUE | ||||||||
SHARES | (NOTE 2) | |||||||
COMMON STOCKS (continued) | ||||||||
Energy (continued) | ||||||||
Energy Equipment & Services (continued) | ||||||||
Weatherford International plc - ADR* | 18,600 | $ | 190,464 | |||||
|
| |||||||
517,954 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels - 0.8% | ||||||||
Range Resources Corp. | 6,090 | 185,380 | ||||||
|
| |||||||
Total Energy | 703,334 | |||||||
|
| |||||||
Financials - 3.6% | ||||||||
Consumer Finance - 0.8% | ||||||||
Synchrony Financial* | 6,050 | 186,098 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITS) - 2.1% | ||||||||
Plum Creek Timber Co., Inc. | 5,180 | 211,033 | ||||||
Weyerhaeuser Co. | 8,620 | 252,825 | ||||||
|
| |||||||
463,858 | ||||||||
|
| |||||||
Real Estate Management & Development - 0.7% | ||||||||
Realogy Holdings Corp.* | 3,770 | 147,407 | ||||||
|
| |||||||
Total Financials | 797,363 | |||||||
|
| |||||||
Health Care - 19.0% | ||||||||
Health Care Equipment & Supplies - 4.9% | ||||||||
Alere, Inc.* | 5,920 | 273,030 | ||||||
Intuitive Surgical, Inc.* | 900 | 446,940 | ||||||
Medtronic plc | 5,170 | 382,166 | ||||||
|
| |||||||
1,102,136 | ||||||||
|
| |||||||
Health Care Providers & Services - 5.1% | ||||||||
DaVita HealthCare Partners, Inc.* | 5,550 | 430,181 | ||||||
Express Scripts Holding Co.* | 4,340 | 374,889 | ||||||
Fresenius Medical Care AG & Co. KGaA (Germany)1 | 3,560 | 320,427 | ||||||
|
| |||||||
1,125,497 | ||||||||
|
| |||||||
Health Care Technology - 2.1% | ||||||||
Cerner Corp.* | 7,090 | 469,996 | ||||||
|
| |||||||
Life Sciences Tools & Services - 2.2% | ||||||||
QIAGEN N.V. - ADR* | 9,240 | 223,331 | ||||||
Thermo Fisher Scientific, Inc. | 2,130 | 278,561 | ||||||
|
| |||||||
501,892 | ||||||||
|
| |||||||
Pharmaceuticals - 4.7% | ||||||||
Eli Lilly & Co. | 6,210 | 506,550 | ||||||
Johnson & Johnson | 2,780 | 280,863 | ||||||
Sanofi - ADR (France) | 4,940 | 248,680 | ||||||
|
| |||||||
1,036,093 | ||||||||
|
| |||||||
Total Health Care | 4,235,614 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
7
Tax Managed Series
Investment Portfolio - October 31, 2015
VALUE | ||||||||
SHARES | (NOTE 2) | |||||||
COMMON STOCKS (continued) | ||||||||
Industrials - 7.9% | ||||||||
Building Products - 1.2% | ||||||||
Masco Corp. | 9,280 | $ | 269,120 | |||||
|
| |||||||
Industrial Conglomerates - 3.0% | ||||||||
Danaher Corp. | 4,080 | 380,705 | ||||||
General Electric Co. | 9,820 | 283,994 | ||||||
|
| |||||||
664,699 | ||||||||
|
| |||||||
Machinery - 1.8% | ||||||||
Flowserve Corp. | 8,380 | 388,497 | ||||||
|
| |||||||
Road & Rail - 1.9% | ||||||||
Norfolk Southern Corp. | 2,360 | 188,871 | ||||||
Union Pacific Corp. | 2,720 | 243,032 | ||||||
|
| |||||||
431,903 | ||||||||
|
| |||||||
Total Industrials | 1,754,219 | |||||||
|
| |||||||
Information Technology - 29.5% | ||||||||
Communications Equipment - 4.6% | ||||||||
Juniper Networks, Inc. | 23,430 | 735,468 | ||||||
QUALCOMM, Inc. | 4,970 | 295,317 | ||||||
|
| |||||||
1,030,785 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components - 1.6% | ||||||||
FLIR Systems, Inc. | 13,120 | 349,910 | ||||||
|
| |||||||
Internet Software & Services - 9.2% | ||||||||
Alphabet, Inc. - Class A* | 760 | 560,416 | ||||||
Alphabet, Inc. - Class C* | 772 | 548,745 | ||||||
eBay, Inc.* | 8,210 | 229,059 | ||||||
Facebook, Inc. - Class A* | 5,400 | 550,638 | ||||||
HomeAway, Inc.* | 4,700 | 148,332 | ||||||
|
| |||||||
2,037,190 | ||||||||
|
| |||||||
IT Services - 7.5% | ||||||||
MasterCard, Inc. - Class A | 6,110 | 604,829 | ||||||
PayPal Holdings, Inc.* | 8,210 | 295,642 | ||||||
VeriFone Systems, Inc.* | 7,770 | 234,188 | ||||||
Visa, Inc. - Class A | 6,920 | 536,854 | ||||||
|
| |||||||
1,671,513 | ||||||||
|
| |||||||
Software - 4.4% | ||||||||
ANSYS, Inc.* | 2,060 | 196,339 | ||||||
Aspen Technology, Inc.* | 4,920 | 203,639 | ||||||
Autodesk, Inc.* | 5,540 | 305,753 | ||||||
Electronic Arts, Inc.* | 3,660 | 263,776 | ||||||
|
| |||||||
969,507 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
8
Tax Managed Series
Investment Portfolio - October 31, 2015
VALUE | ||||||||
SHARES | (NOTE 2) | |||||||
COMMON STOCKS (continued) | ||||||||
Information Technology (continued) | ||||||||
Technology Hardware, Storage & Peripherals - 2.2% | ||||||||
Apple, Inc. | 4,200 | $ | 501,900 | |||||
|
| |||||||
Total Information Technology | 6,560,805 | |||||||
|
| |||||||
Materials - 3.9% | ||||||||
Chemicals - 2.6% | ||||||||
Monsanto Co. | 6,130 | 571,439 | ||||||
|
| |||||||
Metals & Mining - 1.3% | ||||||||
Alcoa, Inc. | 32,680 | 291,832 | ||||||
|
| |||||||
Total Materials | 863,271 | |||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Identified Cost $18,128,070) | 21,690,648 | |||||||
|
| |||||||
SHORT-TERM INVESTMENT - 2.6% | ||||||||
Dreyfus Cash Management, Inc. - Institutional Shares2, 0.06% | ||||||||
(Identified Cost $573,440) | 573,440 | 573,440 | ||||||
|
| |||||||
TOTAL INVESTMENTS - 100.1% | ||||||||
(Identified Cost $18,701,510) | 22,264,088 | |||||||
LIABILITIES, LESS OTHER ASSETS - (0.1%) | (32,909 | ) | ||||||
|
| |||||||
NET ASSETS - 100% | $ | 22,231,179 | ||||||
|
|
ADR - American Depositary Receipt
*Non-income producing security.
1A factor from a third party vendor was applied to determine the security’s fair value following the close of local trading.
2Rate shown is the current yield as of October 31, 2015.
The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of MSCI Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P), and is licensed for use by Manning & Napier when referencing GICS sectors. Neither MSCI, S&P, nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification, nor shall any such party have any liability therefrom.
The accompanying notes are an integral part of the financial statements.
9
Tax Managed Series
Statement of Assets and Liabilities
October 31, 2015
ASSETS: | ||||
Investments, at value (identified cost $18,701,510) (Note 2) | $ | 22,264,088 | ||
Foreign tax reclaims receivable | 14,697 | |||
Dividends receivable | 8,960 | |||
Receivable for fund shares sold | 13 | |||
|
| |||
TOTAL ASSETS | 22,287,758 | |||
|
| |||
LIABILITIES: | ||||
Accrued management fees (Note 3) | 8,882 | |||
Accrued fund accounting and administration fees (Note 3) | 8,174 | |||
Accrued transfer agent fees (Note 3) | 1,714 | |||
Accrued Chief Compliance Officer service fees (Note 3) | 421 | |||
Accrued Directors’ fees (Note 3) | 22 | |||
Audit fees payable | 21,987 | |||
Accrued printing and postage fees | 10,139 | |||
Other payables and accrued expenses | 5,240 | |||
|
| |||
TOTAL LIABILITIES | 56,579 | |||
|
| |||
TOTAL NET ASSETS | $ | 22,231,179 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Capital stock | $ | 8,417 | ||
Additional paid-in-capital | 15,982,964 | |||
Undistributed net investment income | 21,987 | |||
Accumulated net realized gain (loss) on investments, foreign currency and translation of other assets and liabilities | 2,657,114 | |||
Net unrealized appreciation (depreciation) on investments, foreign currency and translation of other assets and liabilities | 3,560,697 | |||
|
| |||
TOTAL NET ASSETS | $ | 22,231,179 | ||
|
| |||
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class A | ||||
($22,231,179/841,741 shares) | $ | 26.41 | ||
|
|
The accompanying notes are an integral part of the financial statements.
10
Tax Managed Series
Statement of Operations
For the Year Ended October 31, 2015
INVESTMENT INCOME: | ||||
Dividends (net of foreign taxes withheld, $9,289) | $ | 358,063 | ||
|
| |||
EXPENSES: | ||||
Management fees (Note 3) | 269,159 | |||
Fund accounting and administration fees (Note 3) | 35,166 | |||
Transfer agent fees (Note 3) | 6,423 | |||
Chief Compliance Officer service fees (Note 3) | 2,520 | |||
Directors’ fees (Note 3) | 1,023 | |||
Audit fees | 31,660 | |||
Custodian fees | 4,661 | |||
Miscellaneous | 33,148 | |||
|
| |||
Total Expenses | 383,760 | |||
Less reduction of expenses (Note 3) | (60,770 | ) | ||
|
| |||
Net Expenses | 322,990 | |||
|
| |||
NET INVESTMENT INCOME | 35,073 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY: | ||||
Net realized gain (loss) on- | ||||
Investments | 2,702,943 | |||
Foreign currency and translation of other assets and liabilities | (384 | ) | ||
|
| |||
2,702,559 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on- | ||||
Investments | (3,183,123 | ) | ||
Foreign currency and translation of other assets and liabilities | (1,017 | ) | ||
|
| |||
(3,184,140 | ) | |||
|
| |||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY | (481,581 | ) | ||
|
| |||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (446,508 | ) | |
|
|
The accompanying notes are an integral part of the financial statements.
11
Tax Managed Series
Statements of Changes in Net Assets
FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | |||||||
INCREASE (DECREASE) IN NET ASSETS: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 35,073 | $ | 39,346 | ||||
Net realized gain (loss) on investments and foreign currency | 2,702,559 | 5,677,095 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency | (3,184,140 | ) | (1,671,358 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from operations | (446,508 | ) | 4,045,083 | |||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS (Note 8): | ||||||||
From net investment income | (35,591 | ) | (12,151 | ) | ||||
From net realized gain on investments | (5,685,380 | ) | (4,642,767 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (5,720,971 | ) | (4,654,918 | ) | ||||
|
|
|
| |||||
CAPITAL STOCK ISSUED AND REPURCHASED: | ||||||||
Net increase (decrease) from capital share transactions (Note 5) | (5,783,374 | ) | 1,123,252 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets | (11,950,853 | ) | 513,417 | |||||
NET ASSETS: | ||||||||
Beginning of year | 34,182,032 | 33,668,615 | ||||||
|
|
|
| |||||
End of year (including undistributed net investment income of $21,987 and $32,376,respectively) | $ | 22,231,179 | $ | 34,182,032 | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
12
Tax Managed Series
Financial Highlights
FOR THE YEARS ENDED | ||||||||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | ||||||||||||||||
Per share data (for a share outstanding throughout each year): | ||||||||||||||||||||
Net asset value - Beginning of year | $ | 33.05 | $ | 33.95 | $ | 27.69 | $ | 24.96 | $ | 25.01 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | 0.04 | 0.04 | 0.04 | 0.03 | 0.08 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.70 | ) | 3.73 | 7.52 | 2.77 | (0.06 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (0.66 | ) | 3.77 | 7.56 | 2.80 | 0.02 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions to shareholders: | ||||||||||||||||||||
From net investment income | (0.04 | ) | (0.01 | ) | (0.06 | ) | (0.07 | ) | (0.07 | ) | ||||||||||
From net realized gain on investments | (5.94 | ) | (4.66 | ) | (1.24 | ) | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions to shareholders | (5.98 | ) | (4.67 | ) | (1.30 | ) | (0.07 | ) | (0.07 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value - End of year | $ | 26.41 | $ | 33.05 | $ | 33.95 | $ | 27.69 | $ | 24.96 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net assets - End of year (000’s omitted) | $ | 22,231 | $ | 34,182 | $ | 33,669 | $ | 29,776 | $ | 47,663 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return2 | (1.67 | %) | 12.82 | % | 28.41 | % | 11.28 | % | 0.08 | % | ||||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||||||
Expenses* | 1.20 | % | 1.20 | % | 1.20 | % | 1.20 | % | 1.20 | % | ||||||||||
Net investment income | 0.13 | % | 0.11 | % | 0.13 | % | 0.12 | % | 0.29 | % | ||||||||||
Portfolio turnover | 60 | % | 47 | % | 56 | % | 47 | % | 57 | % | ||||||||||
*The investment advisor did not impose all or a portion of its management and/or other fees, and in some periods may have paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratio (to average net assets) would have increased by the following amounts: | ||||||||||||||||||||
0.23 | % | 0.13 | % | 0.15 | % | 0.10 | % | 0.04 | % |
1Calculated based on average shares outstanding during the years.
2Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the years.
The accompanying notes are an integral part of the financial statements.
13
Tax Managed Series
Notes to Financial Statements
1. | Organization |
Tax Managed Series (the “Series”) is a no-load diversified series of Manning & Napier Fund, Inc. (the “Fund”). The Fund is organized in Maryland and is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company.
The Series’ investment objective is to maximize long-term growth while attempting to minimize the impact of taxes on the total return earned by shareholders.
The Fund’s Advisor is Manning & Napier Advisors, LLC (the “Advisor”). Shares of the Series are offered to investors, clients and employees of the Advisor and its affiliates. The total authorized capital stock of the Fund consists of 15 billion shares of common stock each having a par value of $0.01. As of October 31, 2015, 10.7 billion shares have been designated in total among 41 series, of which 87.5 million have been designated as Tax Managed Series Class A common stock.
2. | Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Series. The Series is an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 - Investment Companies, which is part of accounting principles generally accepted in the United States of America (“GAAP”).
Security Valuation
Portfolio securities, including domestic equities, foreign equities, warrants and options, listed on an exchange other than the NASDAQ Stock Market are valued at the latest quoted sales price of the exchange on which the security is primarily traded. Securities not traded on valuation date or securities not listed on an exchange are valued at the latest quoted bid price provided by the Fund’s pricing service. Securities listed on the NASDAQ Stock Market are valued in accordance with the NASDAQ Official Closing Price.
Short-term investments that mature in sixty days or less are valued at amortized cost, which approximates fair value. Investments in open-end investment companies are valued at their net asset value per share on valuation date.
Volume and level of activity in established markets for an asset or liability are evaluated to determine whether recent transactions and quoted prices are determinative of fair value. Where there have been significant decreases in volume and level of activity, further analysis and adjustment may be necessary to estimate fair value. The Series measures fair value in these instances by the use of inputs and valuation techniques which may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry and/or expectation of future cash flows. As a result of trading in relatively thin markets and/or markets that experience significant volatility, the prices used by the Series to value these securities may differ from the value that would be realized if these securities were sold, and the differences could be material.
Securities for which representative valuations or prices are not available from the Series’ pricing service may be valued at fair value as determined in good faith by the Advisor under procedures approved by and under the general supervision and responsibility of the Fund’s Board of Directors (the “Board”). Due to the inherent uncertainty of valuations of such securities, the fair value may differ significantly from the values that would have been used had a ready market for such securities existed. If trading or events occurring after the close of the principal market in which securities are traded are expected to materially affect the value of those securities, then they may be valued at their fair value, taking this trading or these events into account. In accordance with the procedures approved by the Board, the values of certain securities trading outside the U.S. were adjusted following the close of local trading using a factor from a third party vendor. The third party vendor uses statistical analyses and quantitative models, which consider among other things subsequent movement and changes in the prices of indices, securities and exchange rates in other markets, to determine the factors which are used to adjust local market prices. The value of securities used for net asset value calculation under these procedures may differ from published prices for the same securities. It is the Fund’s policy to classify each foreign equity security where a factor from a third party vendor is provided as a Level 2 security.
14
Tax Managed Series
Notes to Financial Statements (continued)
2. | Significant Accounting Policies (continued) |
Security Valuation (continued)
Various inputs are used in determining the value of the Series’ assets or liabilities carried at fair value. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical assets and liabilities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments). A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the valuation levels used for major security types as of October 31, 2015 in valuing the Series’ assets or liabilities carried at fair value:
DESCRIPTION | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | ||||||||||||
Assets: | ||||||||||||||||
Equity securities: | ||||||||||||||||
Consumer Discretionary | $ | 4,537,105 | $ | 4,537,105 | $ | — | $ | — | ||||||||
Consumer Staples | 2,238,937 | 923,394 | 1,315,543 | — | ||||||||||||
Energy | 703,334 | 703,334 | — | — | ||||||||||||
Financials | 797,363 | 797,363 | — | — | ||||||||||||
Health Care | 4,235,614 | 3,915,187 | 320,427 | — | ||||||||||||
Industrials | 1,754,219 | 1,754,219 | — | — | ||||||||||||
Information Technology | 6,560,805 | 6,560,805 | — | — | ||||||||||||
Materials | 863,271 | 863,271 | — | — | ||||||||||||
Mutual Fund | 573,440 | 573,440 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | $ | 22,264,088 | $ | 20,628,118 | $ | 1,635,970 | $ | — | ||||||||
|
|
|
|
|
|
|
|
Please see the Investment Portfolio for foreign securities where a factor from a third party vendor was applied to determine the security’s fair value following the close of local trading. Such securities are included in Level 2 in the table above.
There were no Level 3 securities held by the Series as of October 31, 2014 or October 31, 2015.
The Fund’s policy is to recognize transfers in and transfers out of the valuation levels as of the beginning of the reporting period. There were no transfers between Level 1 and Level 2 during the year ended October 31, 2015.
Security Transactions, Investment Income and Expenses
Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date, except that if the ex-dividend date has passed, certain dividends from foreign securities are recorded as soon as the Series is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair value of the securities received. Interest income, including amortization of premium and accretion of discounts using the effective interest method, is earned from settlement date and accrued daily.
Expenses are recorded on an accrual basis. Most expenses of the Fund can be attributed to a specific series. Expenses which cannot be directly attributed are apportioned among the series in the Fund in such a manner as deemed equitable by the Fund’s Board, taking into consideration, among other things, the nature and type of expense.
The Series uses the identified cost method for determining realized gain or loss on investments for both financial statement and federal income tax reporting purposes.
Foreign Currency Translation
The books and records of the Series are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at the current exchange rates. Purchases and sales of investment securities and income and expenses are translated on the respective dates of such transactions. The Series does not isolate realized and
15
Tax Managed Series
Notes to Financial Statements (continued)
2. | Significant Accounting Policies (continued) |
Foreign Currency Translation (continued)
unrealized gains and losses attributable to changes in the exchange rates from gains and losses that arise from changes in the fair value of investments. Such fluctuations are included with net realized and unrealized gain or loss on investments. Net realized foreign currency gains and losses represent foreign currency gains and losses between trade date and settlement date on securities transactions, gains and losses on disposition of foreign currencies and the difference between the amount of income and foreign withholding taxes recorded on the books of the Series and the amounts actually received or paid.
Federal Taxes
The Series’ policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies. The Series is not subject to federal income tax or excise tax to the extent that the Series distributes to shareholders each year its taxable income, including any net realized gains on investments, in accordance with requirements of the Internal Revenue Code. Accordingly, no provision for federal income tax or excise tax has been made in the financial statements.
Management evaluates its tax positions to determine if the tax positions taken meet the minimum recognition threshold in connection with accounting for uncertainties in income tax positions taken or expected to be taken for the purposes of measuring and recognizing tax liabilities in the financial statements. Recognition of tax benefits of an uncertain tax position is required only when the position is “more likely than not” to be sustained assuming examination by taxing authorities. At October 31, 2015, the Series has recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns.
The Series files income tax returns in the U.S. federal jurisdiction, various states and foreign jurisdictions, as required. No income tax returns are currently under investigation. The statute of limitations on the Series’ tax returns remains open for the years ended October 31, 2012 through October 31, 2015. The Series is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
Foreign Taxes
Based on the Series’ understanding of the tax rules and rates related to income, gains and currency purchase/repatriation transactions for foreign jurisdictions in which it invests, the Series will provide for foreign taxes, and where appropriate, deferred foreign tax.
Distributions of Income and Gains
Distributions to shareholders of net investment income and net realized gains are made annually. An additional distribution may be necessary to avoid taxation of the Series. Distributions are recorded on the ex-dividend date.
Indemnifications
The Fund’s organizational documents provide former and current directors and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Other
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
3. | Transactions with Affiliates |
The Fund has an Investment Advisory Agreement (the “Agreement”) with the Advisor, for which the Series pays a fee, computed daily and payable monthly, at an annual rate of 1.00% of the Series’ average daily net assets.
16
Tax Managed Series
Notes to Financial Statements (continued)
3. | Transactions with Affiliates (continued) |
Under the Agreement, personnel of the Advisor provide the Series with advice and assistance in the choice of investments and the execution of securities transactions, and otherwise maintain the Series’ organization. The Advisor also provides the Fund with necessary office space and fund administration and support services. The salaries of all officers of the Fund (except a percentage of the Fund’s Chief Compliance Officer’s salary, which is paid by the Fund), and of all Directors who are “affiliated persons” of the Fund, or of the Advisor, and all personnel of the Fund, or of the Advisor, performing services relating to research, statistical and investment activities, are paid by the Advisor. Each “non-affiliated” Director receives an annual stipend, which is allocated among all the active series of the Fund. In addition, these Directors also receive a fee per Board meeting attended plus a fee for each committee meeting attended and are reimbursed for travel and other out-of-pocket expenses incurred by them in connection with attending such meetings. The Fund also has an Audit Committee Chair, who receives an additional annual stipend for this role.
The Advisor has contractually agreed, until at least February 29, 2016, to waive its management fee and, if necessary, pay other operating expenses of the Series in order to maintain total direct annual fund operating expenses for the Series at no more than 1.20% of average daily net assets each year. Accordingly, the Advisor waived fees of $60,770 for the year ended October 31, 2015, which is included as a reduction of expenses on the Statement of Operations. The Advisor is not eligible to recoup any expenses that have been waived or reimbursed in prior years.
Manning & Napier Investor Services, Inc., a registered broker-dealer affiliate of the Advisor, acts as distributor for the Fund’s shares. The services of Manning & Napier Investor Services, Inc. are provided at no additional cost to the Series.
Pursuant to a master services agreement dated November 1, 2014, the Fund pays the Advisor an annual fee related to fund accounting and administration of 0.0085% on the first $25 billion of average daily net assets (excluding Target Series and Strategic Income Series); 0.0075% on the next $15 billion of average daily net assets (excluding Target Series and Strategic Income Series); and 0.0065% of the average daily net assets in excess of $40 billion (excluding Target Series and Strategic Income Series); plus a base fee of $30,400 per series. Transfer agent fees are charged to the Fund on a per account basis. Additionally, certain transaction and out-of-pocket expenses, including charges for reporting relating to the Fund’s compliance program, are charged. The Advisor has agreements with BNY Mellon Investment Servicing (U.S.) Inc. (“BNY”) under which BNY serves as sub-accountant services agent and sub-transfer agent.
Expenses not directly attributable to a series are allocated based on each series’ relative net assets or number of accounts, depending on the expense.
4. | Purchases and Sales of Securities |
For the year ended October 31, 2015, purchases and sales of securities, other than U.S. Government securities and short-term securities, were $15,632,874 and $25,937,196, respectively. There were no purchases or sales of U.S. Government securities.
5. | Capital Stock Transactions |
Transactions in shares of Tax Managed Series were:
FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | |||||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | |||||||||||||
Sold | 87,223 | $ | 2,406,990 | 134,805 | $ | 4,412,182 | ||||||||||
Reinvested | 212,488 | 5,512,395 | 152,482 | 4,482,969 | ||||||||||||
Repurchased | (492,364 | ) | (13,702,759 | ) | (244,469 | ) | (7,771,899 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | (192,653 | ) | $ | (5,783,374 | ) | 42,818 | $ | 1,123,252 | ||||||||
|
|
|
|
|
|
|
|
At October 31, 2015, one shareholder account owned 156,632 shares of the Series (18.6% of shares outstanding) valued at $4,136,664. Investment activities of these shareholders may have a material effect on the Series.
17
Tax Managed Series
Notes to Financial Statements (continued)
6. | Financial Instruments |
The Series may trade in instruments including written and purchased options, forward foreign currency exchange contracts and futures contracts and other derivatives in the normal course of investing activities to assist in managing exposure to various market risks. The Series may be subject to various elements of risk, which may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. These risks include: the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to over the counter derivative counterparties’ failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing the fund to close out its position(s); and documentation risk relating to disagreement over contract terms. No such investments were held by the Series as of October 31, 2015.
7. | Foreign Securities |
Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in securities of domestic companies and the U.S. Government. These risks include revaluation of currencies and future adverse political and economic developments. Moreover, securities of foreign companies and foreign governments and their markets may be less liquid and their prices more volatile than those of comparable domestic companies and the U.S. Government.
8. | Federal Income Tax Information |
The amount and characterization of certain income and capital gains to be distributed are determined in accordance with federal income tax regulations, which may differ from GAAP. These differences are primarily due to differing book and tax treatments in the timing of the recognition of net investment income or gains and losses, including losses deferred due to wash sales and foreign currency gains and losses. The Series may periodically make reclassifications among its capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations, without impacting the Series’ net asset value. For the year ended October 31, 2015, amounts were reclassified within the capital accounts to decrease Undistributed Net Investment Income by $9,871 and increase Accumulated Net Realized Gain on Investments by $9,871. Any such reclassifications are not reflected in the financial highlights.
The tax character of distributions paid were as follows:
FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | |||||||
Ordinary income | $ | 35,591 | $ | 11,339 | ||||
Long-term capital gains | 5,685,380 | 4,643,579 |
At October 31, 2015, the tax basis of components of distributable earnings and the net unrealized appreciation based on identified cost of investments for federal income tax purposes were as follows:
Cost for federal income tax purposes | $ | 18,701,510 | ||
Unrealized appreciation | 4,184,919 | |||
Unrealized depreciation | (622,341 | ) | ||
|
| |||
Net unrealized appreciation | $ | 3,562,578 | ||
|
| |||
Undistributed ordinary income | $ | 21,987 | ||
Undistributed long-term capital gains | $ | 2,657,114 |
18
Tax Managed Series
Report of Independent Registered Public Accounting Firm
To the Board of Directors of Manning & Napier Fund, Inc. and
Shareholders of Tax Managed Series:
In our opinion, the accompanying statement of assets and liabilities, including the investment portfolio, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Tax Managed Series (a series of Manning & Napier Fund, Inc., hereafter referred to as the “Series”) at October 31, 2015, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Series’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2015 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
New York, New York
December 18, 2015
19
Tax Managed Series
Supplemental Tax Information
(unaudited)
All reportings are based on financial information available as of the date of this annual report and, accordingly, are subject to change.
For federal income tax purposes, the Series reports for the current fiscal year $346,877 or, if different, the maximum amount allowable under the tax law, as qualified dividend income.
For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends received deduction for the current fiscal year is 100%.
The Series designates $2,790,017 as Long-Term Capital Gain dividends pursuant to Section 852(b) of the Code for the fiscal year ended October 31, 2015.
20
Tax Managed Series
Directors’ and Officers’ Information
(unaudited)
The Statement of Additional Information provides additional information about the Fund’s directors and officers and can be obtained without charge by calling 1-800-466-3863, at www.manningnapieradvisors.com, or on the EDGAR Database on the SEC Internet web site (http:// www.sec.gov). The following chart shows certain information about the Fund’s officers and directors, including their principal occupations during the last five years. Unless specific dates are provided, the individuals have held the listed positions for longer than five years.
Interested Director/Officer | ||
Name: | James E. Mikolaichik* | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 44 | |
Current Position(s) Held with Fund: | Principal Executive Officer, President, Chairman & Director | |
Term of Office1 & Length of Time Served: | Indefinite – Chairman and Director since August 2015 | |
Principal Occupation(s) During Past 5 Years: | Chief Financial Officer since 2011 - Manning & Napier Advisors, LLC; | |
Executive Vice President and Head of Strategy (2008-2011) and Chief Risk Officer (2004-2008) - Old Mutual Asset Management. | ||
Holds or has held one or more of the following title for various subsidiaries and affiliates: Chief Financial Officer | ||
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | N/A | |
Independent Directors | ||
Name: | Stephen B. Ashley | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 75 | |
Current Position(s) Held with Fund: | Director, Audit Committee Member, Governance & Nominating Committee Member | |
Term of Office & Length of Time Served: | Indefinite - Since 1996 | |
Principal Occupation(s) During Past 5 Years: | Chairman, Director, President & Chief Executive Officer, The Ashley Group (property management and investment). Director 1995-2008 and Chairman (non-executive) 2004-2008 - Fannie Mae (mortgage) | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | Fannie Mae (1995-2008) | |
The Ashley Group (1995-2008) | ||
Genesee Corporation (1987-2007) | ||
Name: | Paul A. Brooke | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 69 | |
Current Position(s) Held with Fund: | Director, Audit Committee Member, Governance & Nominating Committee Member | |
Term of Office & Length of Time Served: | Indefinite - Since 2007 | |
Principal Occupation(s) During Past 5 Years: | Chairman & CEO (2005-2009) - Ithaka Acquisition Corporation (investments); | |
Chairman (2007-2009) - Alsius Corporation (investments); | ||
Managing Member, PMSV Holdings LLC (investments) since 1991; | ||
Managing Member, Venbio (investments) since 2010 | ||
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | Incyte Corp. (2000-present) | |
ViroPharma, Inc. (2000-2014) | ||
HLTH Corp (WebMD) (2000-2010) | ||
Cheyne Capital International (2000-present) | ||
MPM Bio-equities (2000-2009) | ||
GMP Companies (2000-2011) | ||
Cytos Biotechnology Ltd. (2012-present)
|
21
Tax Managed Series
Directors’ and Officers’ Information
(unaudited)
Independent Directors (continued)
Name: | Peter L. Faber | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 77 | |
Current Position(s) Held with Fund: | Director, Governance & Nominating Committee Member | |
Term of Office & Length of Time Served: | Indefinite - Since 1987 | |
Principal Occupation(s) During Past 5 Years: | Senior Counsel (2006-2012), Partner (1995-2006 & 2013-present) - McDermott, Will & Emery LLP (law firm) | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | Boston Early Music Festival (non-profit) (2007-present) | |
Amherst Early Music, Inc. (non-profit)(2009-present) | ||
Gotham Early Music Scene, Inc. (non-profit)(2009-present) | ||
Partnership for New York City, Inc. (non-profit) (1989-2010) | ||
New York Collegium (non-profit) (2004-2011) | ||
Name: | Harris H. Rusitzky | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 80 | |
Current Position(s) Held with Fund: | Director, Audit Committee Member, Governance & Nominating Committee Member | |
Term of Office & Length of Time Served: | Indefinite - Since 1985 | |
Principal Occupation(s) During Past 5 Years: | President, The Greening Group (business consultants) since 1994; | |
Partner, The Restaurant Group (restaurants) since 2006 | ||
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | Rochester Institute of Technology (university) (1972-present) | |
Culinary Institute of America (non-profit college) (1985-present) | ||
George Eastman House (museum) (1988-present) | ||
National Restaurant Association (restaurant trade organization) | ||
(1978-present) | ||
Name: | Chester N. Watson | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 65 | |
Current Position(s) Held with Fund: | Director, Audit Committee Chairman, Governance & Nominating Committee Member | |
Term of Office & Length of Time Served: | Indefinite - Since 2012 | |
Principal Occupation(s) During Past 5 Years: | General Auditor (2003-2011) - General Motors Company (auto manufacturer) | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | Rochester Institute of Technology (university) (2005-present) | |
Officers | ||
Name: | Jeffrey S. Coons, Ph.D., CFA | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 52 | |
Current Position(s) Held with Fund: | Vice President | |
Term of Office1 & Length of Time Served: | Since 2004 | |
Principal Occupation(s) During Past 5 Years: | President since 2010, Co-Director of Research (2002-2015) - Manning & Napier Advisors, LLC | |
Holds one or more of the following titles for various subsidiaries and affiliates: President, Director, Treasurer or Senior Trust Officer. | ||
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex:
| N/A |
22
Tax Managed Series
Directors’ and Officers’ Information
(unaudited)
Officers (continued)
Name: | Elizabeth Craig | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 28 | |
Current Position(s) Held with Fund: | Assistant Corporate Secretary | |
Term of Office1 & Length of Time Served: | Since 2011 | |
Principal Occupation(s) During Past 5 Years: | Fund Administration Manager since 2015; Mutual Fund Compliance | |
Specialist (2009-2015) - Manning & Napier Advisors, LLC | ||
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | N/A | |
Name: | Christine Glavin | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 49 | |
Current Position(s) Held with Fund: | Principal Financial Officer, Chief Financial Officer | |
Term of Office1 & Length of Time Served: | Principal Financial Officer since 2002; Chief Financial Officer since 2001 | |
Principal Occupation(s) During Past 5 Years: | Director of Fund Reporting since 2011; Fund Reporting Manager (1997-2011) - Manning & Napier Advisors, LLC; Assistant Treasurer since 2008 - Exeter Trust Company | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | N/A | |
Name: | Jodi L. Hedberg | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 47 | |
Current Position(s) Held with Fund: | Corporate Secretary, Chief Compliance Officer, Anti-Money Laundering Compliance Officer | |
Term of Office1 & Length of Time Served: | Corporate Secretary since 1997; Chief Compliance Officer since 2004; | |
Anti-Money Laundering Compliance Officer since 2002 | ||
Principal Occupation(s) During Past 5 Years: | Director of Compliance since 2005; Compliance Manager (1995-2005) - Manning & Napier Advisors, LLC and affiliates; Corporate Secretary - Manning & Napier Investor Services, Inc. since 2006 | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | N/A | |
Name: | Richard Yates | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 50 | |
Current Position(s) Held with Fund: | Chief Legal Officer | |
Term of Office1 & Length of Time Served: | Chief Legal Officer since 2004 | |
Principal Occupation(s) During Past 5 Years: | Counsel - Manning & Napier Advisors, LLC and affiliates since 2000; | |
Holds one or more of the following titles for various affiliates; Director or Corporate Secretary | ||
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | N/A |
*Interested Director, within the meaning of the Investment Company Act of 1940 by reason of his position with the Fund’s investment advisor. Mr. Mikolaichik serves as the Chief Financial Officer for Manning & Napier Advisors, LLC.
1The term of office of all officers shall be one year and until their respective successors are chosen and qualified, or his or her earlier resignation or removal as provided in the Fund’s By-Laws.
23
Tax Managed Series
Results of Special Meeting of Shareholders
(unaudited)
A Special Meeting of the Shareholders of the Fund was held on August 18, 2015. The number of votes necessary to conduct the meeting and approve the proposal was obtained, and the results of the vote of shareholders of all the Series of the Fund voting together in the aggregate is listed below:
PROPOSAL 1:
Election of Directors
NUMBER OF SHARES VOTED FOR | NUMBER OF SHARES WITHELD | |||||||
Stephen B. Ashley | 883,968,395 | 8,618,094 | ||||||
Paul A. Brooke | 884,510,661 | 8,075,828 | ||||||
Peter L. Faber | 884,140,893 | 8,445,596 | ||||||
James E. Mikolaichik | 883,391,832 | 9,194,657 | ||||||
Harris H. Rusitzky | 620,022,215 | 272,564,274 | ||||||
Chester N. Watson | 884,638,809 | 7,947,680 |
24
{This page intentionally left blank}
25
Tax Managed Series
Literature Requests
(unaudited)
Proxy Voting Policies and Procedures
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request:
By phone | 1-800-466-3863 | |||
On the Securities and Exchange | ||||
Commission’s (SEC) web site | http://www.sec.gov |
Proxy Voting Record
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available, without charge, upon request:
By phone | 1-800-466-3863 | |||
On the SEC’s web site | http://www.sec.gov |
Quarterly Portfolio Holdings
The Series’ complete schedule of portfolio holdings for the 1st and 3rd quarters of each fiscal year are provided on Form N-Q, and are available, without charge, upon request:
By phone | 1-800-466-3863 | |||
On the SEC’s web site | http://www.sec.gov |
The Series’ Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Prospectus and Statement of Additional Information (SAI)
For more information about any of the Manning & Napier Fund, Inc. Series, you may obtain a prospectus and SAI at www.manning-napier.com or by calling (800) 466-3863. Before investing, carefully consider the objectives, risks, charges and expenses of the investment and read the prospectus carefully as it contains this and other information about the investment company. In addition, this information can be found on the SEC’s web site, http://www.sec.gov.
Additional information available at www.manning-napier.com
1. Fund Holdings Month-End
2. Fund Holdings - Quarter-End
3. Shareholder Report - Annual
4. Shareholder Report - Semi-Annual
The Fund also offers electronic notification or “e-delivery” when certain documents are available on-line to be downloaded or reviewed. Direct shareholders can elect to receive electronic notification when shareholder reports, prospectus updates, and/or statements are available. If you do not currently have on-line access to your account, you can establish access by going to www.manning-napier.com, click on “Login” in the top corner of the page, and follow the prompts to self-enroll. Once enrolled, you can set your electronic notification preferences by clicking on the Account Options tab located within the green toolbar and then select E-Delivery Option. Should you have any questions on either how to establish on-line access or how to update your account settings, please contact Investor Services at 1-800-466-3863.
The Manning & Napier Fund, Inc. is managed by Manning & Napier Advisors, LLC. Manning & Napier Investor Services, Inc., an affiliate of Manning & Napier Advisors, LLC, is the distributor of the Fund shares.
MNTAX-10/15-AR
Management Discussion and Analysis
(unaudited)
Dear Shareholders:
Volatility defined global equity markets during the past year, largely driven by macroeconomic factors. Markets around the world experienced a correction in late August amidst a broad selloff triggered by renewed concerns about economic growth in emerging markets — China in particular — and uncertainty about the effects of that slowdown on overall global growth. Developed economies continued to provide accommodative monetary policy to combat growth concerns, although markets focused near the end of the period on whether the U.S. Federal Reserve would begin to raise policy interest rates. For much of the year, Europe struggled with uncertainty regarding Greece’s ability to secure bailout funding from its creditors, which impaired investor sentiment. China’s economy slowed, but the government continued to demonstrate a willingness to provide support through a combination of policy-easing maneuvers and targeted stimulus measures. The U.S. economy remained on a path of slow growth that nevertheless made it the best performing developed economy. U.S. stocks generally moved higher, whereas global equity markets were notably weaker. Looking ahead, we expect the slow global growth environment to remain in place for the foreseeable future.
As always, we appreciate your business.
Sincerely,
Manning & Napier Advisors, LLC
1
Fund Commentary
(unaudited)
Investment Objective
To provide capital growth and manage risk for investors planning to retire (or meet another investment goal) in or around the year indicated in the fund’s name.
The Target Series include eleven distinct mutual funds, each of which is managed to a designated target date. The investment objective of each Series is strategically allocated to become increasingly conservative as the specified target date approaches. The Target 2050, 2040, 2030, 2020, and Target Income Series were launched on March 28, 2008; the Target 2055, 2045, 2035, 2025 and Target 2015 Series were launched on June 25, 2012; and the Target 2060 Series was launched on September 21, 2015. The Target 2010 Series closed as of September 21, 2015, and all assets were merged into the Target Income Series in accordance with the target date glide path.
Performance Commentary
U.S. equity markets generally delivered positive absolute returns for the twelve-month period ended October 31, 2015. The S&P 500 Index gained 5.19%. In contrast, global equity market performance was much weaker. The broad MSCI ACWI ex USA Index (ACWIxUS) returned -4.68%. Meanwhile, bond markets as represented by the Barclays U.S. Aggregate Bond Index, were positive, returning 1.96%. Each of the Target Series launched in 2008 and 2012 experienced negative absolute returns and underperformed its respective blended benchmark on a relative basis during the one year period.
Among key drivers of each Series’ underperformance relative to their blended benchmarks during the year were stock selection and fixed income selection. Regarding stock selection, certain investments in Consumer Discretionary, Industrials, Materials, Energy, and Consumer Staples challenged relative returns.
Conversely, equity sector positioning aided relative returns. Specifically, each Series’ overweight to Consumer Discretionary and Information Technology versus their blended benchmarks were notable positive contributors to relative performance. Additionally, stock selection in Information Technology and Health Care aided relative returns. These factors offset a portion of the Series’ relative underperformance.
In regard to current portfolio positioning, in the equity portion of the Series, we are focused on finding fundamentally strong businesses that are not heavily reliant upon macroeconomic growth to drive sales and earnings. More specifically, we see value in businesses that we believe have control of their destiny and are taking share in large established markets or are creating new markets on their own. The goal is to identify companies trading at attractive valuations relative to their growth potential.
In fixed income markets, we continue to focus on opportunities we are seeing in investment-grade corporate bonds. A selective approach to the below investment-grade corporate space is helping us find value there as well, however, opportunities are becoming more scarce as investors reach for yield. With regard to government debt, we continue to favor Agencies over Treasuries. In addition, we do not believe current yields in longer-term bonds are at levels to fully compensate for the risk that is present in today’s interest rate environment and, as a result, our portfolios have a relatively short duration.
As we look toward 2016, we continue to believe that the slowdown in the Chinese economy is part-and-parcel of the country’s transition from an investment-led model to a more stable and sustainable economy driven by domestic consumption. There is scope for domestic demand to pick up in Europe, which could help growth in the region to stabilize at weak levels with a modestly improving trend heading into 2016. In our view, the U.S. economy is in better shape than the European economies and only modestly impacted by the slowdown in emerging markets. Broadly speaking, valuations in the developed world remain neutral at best, whereas valuations in select emerging markets are relatively more attractive. Our indicators point to volatility still being a buying opportunity and do not suggest capital risk is a significant near-term concern. Shareholders can expect us to remain active, flexible, and selective in our approach in order to avoid overvalued areas of the market, something Manning & Napier has done for over 40 years as an active investment manager.
2
Fund Commentary
(unaudited)
Performance | Commentary (continued) |
Performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than that quoted; investors can obtain the most recent month-end performance at www.manning-napier.com or by calling (800) 466-3863.
Each Manning & Napier Fund, Inc. Target Series is invested in one or two of four proprietary lifestyle funds, the Manning & Napier Fund, Inc. Pro-Blend® Series, based on the Target Series becoming increasingly conservative over time. Because the underlying funds invest in both stocks and bonds, the value of your investment will fluctuate in response to stock market movements and changes in interest rates. Investing in target date funds will also involve a number of other risks, including issuer-specific risk, foreign investment risk, and small-cap/mid-cap risk, as the underlying investments change over time. Investments in options and futures, like all derivatives, can be highly volatile and involve risks in addition to the risks of the underlying instrument on which the derivative is based, such as counterparty, correlation and liquidity risk. Also, the use of leverage increases exposure to the market and may magnify potential losses. Principal value is not guaranteed at any time, including at the target date (the approximate year when an investor plans to stop contributions and start periodic withdrawals).
3
Performance Update as of October 31, 2015 - Target Income Series
(unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2015 | ||||||||||||
ONE YEAR1 | FIVE YEAR | SINCE INCEPTION2 | ||||||||||
Manning & Napier Fund, Inc. - Target Income Series - Class K3 | -1.38 | % | 4.26 | % | 4.77 | % | ||||||
Manning & Napier Fund, Inc. - Target Income Series - Class R3 | -1.70 | % | 3.96 | % | 4.48 | % | ||||||
Manning & Napier Fund, Inc. - Target Income Series - Class I3 | -1.21 | % | 4.51 | % | 5.02 | % | ||||||
Standard & Poor’s (S&P) Target Date Retirement Income Index4 | 1.59 | % | 5.20 | % | 4.39 | % | ||||||
Income Composite Benchmark5 | 2.26 | % | 5.10 | % | 5.15 | % |
The following graph compares the value of a $10,000 investment in the Manning & Napier Fund, Inc. - Target Income Series - Class K from its inception2 (3/28/08) to present (10/31/15) to the S&P Target Date Retirement Income Index and the Income Composite Benchmark.
1The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
2Performance numbers for the Series are calculated from March 28, 2008, the Series’ inception date. Performance numbers for the S&P Target Date Index and Income Composite Benchmark are calculated from April 1, 2008.
3The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2015, this net expense ratio was 0.30% for Class K, 0.55% for Class R and 0.05% for Class I. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 0.46% for Class K, 0.71% for Class R and 0.21% for Class I for the year ended October 31, 2015.
4The S&P Target Date Index Series is a series of unmanaged indices that reflect the market consensus for asset allocations for different target date horizons. The asset class exposure for each index is represented by exchange traded funds (ETFs). Asset class weights are established annually and rebalanced monthly. Prior to 02/26/2010, the indices were rebalanced annually. The Index returns shown are the Gross Return series, which provide benchmarks free of underlying ETF expenses by adjusting the Total Return series (which assume the reinvestment of dividends) by an assumed weighted average ETF expense ratio. Index returns provided by Bloomberg. Mid-month performance is not available for the benchmark. Performance shown is from the first of the month following the corresponding Series’ inception date. S&P Dow Jones Indices LLC, a subsidiary of the McGraw Hill Financial, Inc., is the publisher of various index based data products and services and has licensed certain of its products and services for use by Manning & Napier. Copyright © 2014 by S&P Dow Jones Indices LLC and/or its affiliates. All rights reserved. Neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors make any representation or warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and none of these parties shall have any liability for any errors, omissions, or interruptions of any index or the data included therein.
5The Target Composite Benchmark represents the performance of the target date fund’s asset classes according to their respective weightings, as adjusted over time to reflect the target date fund’s increasingly conservative asset allocations. The following indices are used to calculate the Target Composite Benchmarks: Russell 3000® Index (Russell 3000), MSCI ACWI ex USA Index (ACWIxUS), and Barclays U.S. Aggregate Bond Index (BAB) and/or Barclays U.S. Intermediate Aggregate Bond Index (BIAB). Russell 3000 is an unmanaged index that consists of 3,000 of the largest U.S. companies based on total market capitalization. Index returns are based on a market capitalization-weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. Index returns provided by Bloomberg. ACWIxUS is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global developed and emerging markets and consists of 45 developed and emerging market country indices outside the U.S. The Index is denominated in U.S. dollars. The Index returns are net of withholding taxes. They assume daily reinvestment of net dividends thus accounting for any applicable dividend taxation. Index returns provided by Bloomberg. BAB and BIAB are both unmanaged, market value-weighted indices of U.S. domestic
4
Performance Update as of October 31, 2015 - Target Income Series
(unaudited)
investment-grade debt issues, including government, corporate, asset-backed and mortgage-backed securities. BAB includes maturities of one year or more; BIAB includes maturities of greater than one year but less than ten years. BAB and BIAB returns provided by Interactive Data. Indices returns do not reflect any fees or expenses. Returns provided are calculated monthly using a blended allocation. Because the target date fund’s asset allocation will vary over time, the composition of the target date portfolio may not match the composition of the comparative Target Composite Benchmark. Mid-month performance is not available for the benchmark. Performance shown is from the first of the month following the corresponding Series’ inception date.
5
Performance Update as of October 31, 2015 - Target 2015 Series
(unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2015 | ||||||||
ONE YEAR1 | SINCE INCEPTION2 | |||||||
Manning & Napier Fund, Inc. - Target 2015 - Class K3 | -2.04 | % | 6.65 | % | ||||
Manning & Napier Fund, Inc. - Target 2015 - Class R3 | -2.37 | % | 6.45 | % | ||||
Manning & Napier Fund, Inc. - Target 2015 - Class I3 | -1.78 | % | 6.94 | % | ||||
S&P Target Date 2015 Index4 | 1.92 | % | 7.52 | % | ||||
2015 Composite Benchmark5 | 2.29 | % | 6.86 | % |
The following graph compares the value of a $10,000 investment in the Manning & Napier Fund, Inc. - Target 2015 Series - Class K from its inception2 (6/25/12) to present (10/31/15) to the S&P Target Date 2015 Index and the 2015 Composite Benchmark.
1The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
2Performance numbers for the Series are calculated from June 25, 2012, the Series’ inception date. Performance numbers for the S&P Target Date Index and Income Composite Benchmark are calculated from July 1, 2012.
3The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2015, this net expense ratio was 0.30% for Class K, 0.55% for Class R and 0.05% for Class I. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 1.44% for Class K, 1.69% for Class R and 1.19% for Class I for the year ended October 31, 2015.
4The S&P Target Date Index Series is a series of unmanaged indices that reflect the market consensus for asset allocations for different target date horizons. The asset class exposure for each index is represented by exchange traded funds (ETFs). Asset class weights are established annually and rebalanced monthly. Prior to 02/26/2010, the indices were rebalanced annually. The Index returns shown are the Gross Return series, which provide benchmarks free of underlying ETF expenses by adjusting the Total Return series (which assume the reinvestment of dividends) by an assumed weighted average ETF expense ratio. Index returns provided by Bloomberg. Mid-month performance is not available for the benchmark. Performance shown is from the first of the month following the corresponding Series’ inception date. S&P Dow Jones Indices LLC, a subsidiary of the McGraw Hill Financial, Inc., is the publisher of various index based data products and services and has licensed certain of its products and services for use by Manning & Napier. Copyright © 2014 by S&P Dow Jones Indices LLC and/or its affiliates. All rights reserved. Neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors make any representation or warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and none of these parties shall have any liability for any errors, omissions, or interruptions of any index or the data included therein.
5The Target Composite Benchmark represents the performance of the target date fund’s asset classes according to their respective weightings, as adjusted over time to reflect the target date fund’s increasingly conservative asset allocations. The following indices are used to calculate the Target Composite Benchmarks: Russell 3000® Index (Russell 3000), MSCI ACWI ex USA Index (ACWIxUS), and Barclays U.S. Aggregate Bond Index (BAB) and/or Barclays U.S. Intermediate Aggregate Bond Index (BIAB). Russell 3000 is an unmanaged index that consists of 3,000 of the largest U.S. companies based on total market capitalization. Index returns are based on a market capitalization-weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. Index returns provided by Bloomberg. ACWIxUS is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global developed and emerging markets and consists of 45 developed and emerging
6
Performance Update as of October 31, 2015 - Target 2015 Series
(unaudited)
market country indices outside the U.S. The Index is denominated in U.S. dollars. The Index returns are net of withholding taxes. They assume daily reinvestment of net dividends thus accounting for any applicable dividend taxation. Index returns provided by Bloomberg. BAB and BIAB are both unmanaged, market value-weighted indices of U.S. domestic investment-grade debt issues, including government, corporate, asset-backed and mortgage-backed securities. BAB includes maturities of one year or more; BIAB includes maturities of greater than one year but less than ten years. BAB and BIAB returns provided by Interactive Data. Indices returns do not reflect any fees or expenses. Returns provided are calculated monthly using a blended allocation. Because the target date fund’s asset allocation will vary over time, the composition of the target date portfolio may not match the composition of the comparative Target Composite Benchmark. Mid-month performance is not available for the benchmark. Performance shown is from the first of the month following the corresponding Series’ inception date.
7
Performance Update as of October 31, 2015 - Target 2020 Series
(unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2015 | ||||||||||||
ONE YEAR1 | FIVE YEAR | SINCE INCEPTION2 | ||||||||||
Manning & Napier Fund, Inc. - Target 2020 Series - Class K3 | -2.24 | % | 5.97 | % | 4.98 | % | ||||||
Manning & Napier Fund, Inc. - Target 2020 Series - Class R3 | -2.13 | % | 5.70 | % | 4.69 | % | ||||||
Manning & Napier Fund, Inc. - Target 2020 Series - Class I3 | -1.87 | % | 6.24 | % | 5.25 | % | ||||||
S&P Target Date 2020 Index4 | 2.03 | % | 7.69 | % | 5.62 | % | ||||||
2020 Composite Benchmark5 | 2.28 | % | 7.03 | % | 5.53 | % |
The following graph compares the value of a $10,000 investment in the Manning & Napier Fund, Inc. - Target 2020 Series - Class K from its inception2 (3/28/08) to present (10/31/15) to the S&P Target Date 2020 Index and the 2020 Composite Benchmark.
1The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
2Performance numbers for the Series are calculated from March 28, 2008, the Series’ inception date. Performance numbers for the S&P Target Date Index and Income Composite Benchmark are calculated from April 1, 2008.
3The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2015, this net expense ratio was 0.30% for Class K, 0.55% for Class R and 0.05% for Class I. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 0.34% for Class K, 0.59% for Class R and 0.09% for Class I for the year ended October 31, 2015.
4The S&P Target Date Index Series is a series of unmanaged indices that reflect the market consensus for asset allocations for different target date horizons. The asset class exposure for each index is represented by exchange traded funds (ETFs). Asset class weights are established annually and rebalanced monthly. Prior to 02/26/2010, the indices were rebalanced annually. The Index returns shown are the Gross Return series, which provide benchmarks free of underlying ETF expenses by adjusting the Total Return series (which assume the reinvestment of dividends) by an assumed weighted average ETF expense ratio. Index returns provided by Bloomberg. Mid-month performance is not available for the benchmark. Performance shown is from the first of the month following the corresponding Series’ inception date. S&P Dow Jones Indices LLC, a subsidiary of the McGraw Hill Financial, Inc., is the publisher of various index based data products and services and has licensed certain of its products and services for use by Manning & Napier. Copyright © 2014 by S&P Dow Jones Indices LLC and/or its affiliates. All rights reserved. Neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors make any representation or warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and none of these parties shall have any liability for any errors, omissions, or interruptions of any index or the data included therein.
5The Target Composite Benchmark represents the performance of the target date fund’s asset classes according to their respective weightings, as adjusted over time to reflect the target date fund’s increasingly conservative asset allocations. The following indices are used to calculate the Target Composite Benchmarks: Russell 3000® Index (Russell 3000), MSCI ACWI ex USA Index (ACWIxUS), and Barclays U.S. Aggregate Bond Index (BAB) and/or Barclays U.S. Intermediate Aggregate Bond Index (BIAB). Russell 3000 is an unmanaged index that consists of 3,000 of the largest U.S. companies based on total market capitalization. Index returns are based on a market capitalization-weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. Index returns provided by Bloomberg. ACWIxUS is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global developed and emerging markets and consists of 45 developed and emerging market country indices outside the U.S. The Index is denominated in U.S. dollars. The Index returns are net of withholding taxes. They assume daily reinvestment of net dividends thus accounting for any applicable dividend taxation. Index returns provided by Bloomberg. BAB and BIAB are both unmanaged, market value-weighted indices of U.S. domestic
8
Performance Update as of October 31, 2015 - Target 2020 Series
(unaudited)
investment-grade debt issues, including government, corporate, asset-backed and mortgage-backed securities. BAB includes maturities of one year or more; BIAB includes maturities of greater than one year but less than ten years. BAB and BIAB returns provided by Interactive Data. Indices returns do not reflect any fees or expenses. Returns provided are calculated monthly using a blended allocation. Because the target date fund’s asset allocation will vary over time, the composition of the target date portfolio may not match the composition of the comparative Target Composite Benchmark. Mid-month performance is not available for the benchmark. Performance shown is from the first of the month following the corresponding Series’ inception date.
9
Performance Update as of October 31, 2015 - Target 2025 Series
(unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2015 | ||||||||
ONE YEAR1 | SINCE INCEPTION1,2 | |||||||
Manning & Napier Fund, Inc. - Target 2025 Series - Class K3 | -2.31 | % | 9.02 | % | ||||
Manning & Napier Fund, Inc. - Target 2025 Series - Class R3 | -2.44 | % | 8.89 | % | ||||
Manning & Napier Fund, Inc. - Target 2025 Series - Class I3 | -2.00 | % | 9.17 | % | ||||
S&P Target Date 2025 Index4 | 1.96 | % | 9.36 | % | ||||
2025 Composite Benchmark5 | 2.29 | % | 8.23 | % |
The following graph compares the value of a $10,000 investment in the Manning & Napier Fund, Inc. - Target 2025 Series - Class K from its inception2 (6/25/12) to present (10/31/15) to the 2025 Composite Benchmark, and S&P Target Date 2025 Index .
1The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
2Performance numbers for the Series are calculated from June 25, 2012, the Series’ inception date. Performance numbers for the S&P Target Date Index and Income Composite Benchmark are calculated from July 1, 2012.
3The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2015, this net expense ratio was 0.30% for Class K, 0.55% for Class R and 0.05% for Class I. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 0.69% for Class K, 0.94% for Class R and 0.44% for Class I for the year ended October 31, 2015.
4The S&P Target Date Index Series is a series of unmanaged indices that reflect the market consensus for asset allocations for different target date horizons. The asset class exposure for each index is represented by exchange traded funds (ETFs). Asset class weights are established annually and rebalanced monthly. Prior to 02/26/2010, the indices were rebalanced annually. The Index returns shown are the Gross Return series, which provide benchmarks free of underlying ETF expenses by adjusting the Total Return series (which assume the reinvestment of dividends) by an assumed weighted average ETF expense ratio. Index returns provided by Bloomberg. Mid-month performance is not available for the benchmark. Performance shown is from the first of the month following the corresponding Series’ inception date. S&P Dow Jones Indices LLC, a subsidiary of the McGraw Hill Financial, Inc., is the publisher of various index based data products and services and has licensed certain of its products and services for use by Manning & Napier. Copyright © 2014 by S&P Dow Jones Indices LLC and/or its affiliates. All rights reserved. Neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors make any representation or warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and none of these parties shall have any liability for any errors, omissions, or interruptions of any index or the data included therein.
5The Target Composite Benchmark represents the performance of the target date fund’s asset classes according to their respective weightings, as adjusted over time to reflect the target date fund’s increasingly conservative asset allocations. The following indices are used to calculate the Target Composite Benchmarks: Russell 3000® Index (Russell 3000), MSCI ACWI ex USA Index (ACWIxUS), and Barclays U.S. Aggregate Bond Index (BAB) and/or Barclays U.S. Intermediate Aggregate Bond Index (BIAB). Russell 3000 is an unmanaged index that consists of 3,000 of the largest U.S. companies based on total market capitalization. Index returns are based on a market capitalization-weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. Index returns provided by Bloomberg. ACWIxUS is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global developed and emerging markets and consists of 45 developed and emerging market country indices outside the U.S. The Index is denominated in U.S. dollars. The Index returns are net of withholding taxes. They assume daily reinvestment of net dividends
10
Performance Update as of October 31, 2015 - Target 2025 Series
(unaudited)
thus accounting for any applicable dividend taxation. Index returns provided by Bloomberg. BAB and BIAB are both unmanaged, market value-weighted indices of U.S. domestic investment-grade debt issues, including government, corporate, asset-backed and mortgage-backed securities. BAB includes maturities of one year or more; BIAB includes maturities of greater than one year but less than ten years. BAB and BIAB returns provided by Interactive Data. Indices returns do not reflect any fees or expenses. Returns provided are calculated monthly using a blended allocation. Because the target date fund’s asset allocation will vary over time, the composition of the target date portfolio may not match the composition of the comparative Target Composite Benchmark. Mid-month performance is not available for the benchmark. Performance shown is from the first of the month following the corresponding Series’ inception date.
11
Performance Update as of October 31, 2015 - Target 2030 Series
(unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2015 | ||||||||||||
ONE YEAR1 | FIVE YEAR | SINCE INCEPTION2 | ||||||||||
Manning & Napier Fund, Inc. - Target 2030 Series - Class K3 | -2.33 | % | 7.39 | % | 5.54 | % | ||||||
Manning & Napier Fund, Inc. - Target 2030 Series - Class R3 | -2.11 | % | 7.12 | % | 5.30 | % | ||||||
Manning & Napier Fund, Inc. - Target 2030 Series - Class I3 | -2.02 | % | 7.65 | % | 5.84 | % | ||||||
S&P Target Date 2030 Index4 | 1.99 | % | 8.75 | % | 5.91 | % | ||||||
2030 Composite Benchmark5 | 2.32 | % | 8.42 | % | 5.77 | % |
The following graph compares the value of a $10,000 investment in the Manning & Napier Fund, Inc. - Target 2030 Series -Class K from its inception2 (3/28/08) to present (10/31/15) to the 2030 Composite Benchmark and S&P Target Date 2030 Index.
1The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
2Performance numbers for the Series are calculated from March 28, 2008, the Series’ inception date. Performance numbers for the S&P Target Date Index and Income Composite Benchmark are calculated from April 1, 2008.
3The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2015, this net expense ratio was 0.30% for Class K, 0.55% for Class R and 0.05% for Class I. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 0.34% for Class K, 0.59% for Class R and 0.09% for Class I for the year ended October 31, 2015.
4The S&P Target Date Index Series is a series of unmanaged indices that reflect the market consensus for asset allocations for different target date horizons. The asset class exposure for each index is represented by exchange traded funds (ETFs). Asset class weights are established annually and rebalanced monthly. Prior to 02/26/2010, the indices were rebalanced annually. The Index returns shown are the Gross Return series, which provide benchmarks free of underlying ETF expenses by adjusting the Total Return series (which assume the reinvestment of dividends) by an assumed weighted average ETF expense ratio. Index returns provided by Bloomberg. Mid-month performance is not available for the benchmark. Performance shown is from the first of the month following the corresponding Series’ inception date. S&P Dow Jones Indices LLC, a subsidiary of the McGraw Hill Financial, Inc., is the publisher of various index based data products and services and has licensed certain of its products and services for use by Manning & Napier. Copyright © 2014 by S&P Dow Jones Indices LLC and/or its affiliates. All rights reserved. Neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors make any representation or warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and none of these parties shall have any liability for any errors, omissions, or interruptions of any index or the data included therein.
5The Target Composite Benchmark represents the performance of the target date fund’s asset classes according to their respective weightings, as adjusted over time to reflect the target date fund’s increasingly conservative asset allocations. The following indices are used to calculate the Target Composite Benchmarks: Russell 3000® Index (Russell 3000), MSCI ACWI ex USA Index (ACWIxUS), and Barclays U.S. Aggregate Bond Index (BAB) and/or Barclays U.S. Intermediate Aggregate Bond Index (BIAB). Russell 3000 is an unmanaged index that consists of 3,000 of the largest U.S. companies based on total market capitalization. Index returns are based on a market capitalization-weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. Index returns provided by Bloomberg. ACWIxUS is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global developed and emerging markets and consists of 45 developed and emerging market country indices outside the U.S. The Index is denominated in U.S. dollars. The Index returns are net of withholding taxes. They assume daily reinvestment of net dividends thus accounting for any applicable dividend taxation. Index returns provided by Bloomberg. BAB and BIAB are both unmanaged, market value-weighted indices of U.S. domestic
12
Performance Update as of October 31, 2015 - Target 2030 Series
(unaudited)
investment-grade debt issues, including government, corporate, asset-backed and mortgage-backed securities. BAB includes maturities of one year or more; BIAB includes maturities of greater than one year but less than ten years. BAB and BIAB returns provided by Interactive Data. Indices returns do not reflect any fees or expenses. Returns provided are calculated monthly using a blended allocation. Because the target date fund’s asset allocation will vary over time, the composition of the target date portfolio may not match the composition of the comparative Target Composite Benchmark. Mid-month performance is not available for the benchmark. Performance shown is from the first of the month following the corresponding Series’ inception date.
13
Performance Update as of October 31, 2015 - Target 2035 Series
(unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2015 | ||||||||
ONE YEAR1 | SINCE INCEPTION1,2 | |||||||
Manning & Napier Fund, Inc. - Target 2035 Series - Class K3 | -2.20 | % | 10.90 | % | ||||
Manning & Napier Fund, Inc. - Target 2035 Series - Class R3 | -2.44 | % | 10.70 | % | ||||
Manning & Napier Fund, Inc. - Target 2035 Series - Class I3 | -1.98 | % | 11.16 | % | ||||
S&P Target Date 2035 Index4 | 2.03 | % | 10.79 | % | ||||
2035 Composite Benchmark5 | 2.28 | % | 10.44 | % |
The following graph compares the value of a $10,000 investment in the Manning & Napier Fund, Inc. - Target 2035 Series - Class K from its inception2 (6/25/12) to present (10/31/15) to the 2035 Composite Benchmark and S&P Target Date 2035 Index.
1The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. Performance numbers for the S&P Target Date Index and Income Composite Benchmark are calculated from July 1, 2012.
2Performance numbers for the Series are calculated from June 25, 2012, the Series’ inception date.
3The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2015, this net expense ratio was 0.30% for Class K, 0.55% for Class R and 0.05% for Class I. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 0.82% for Class K, 1.07% for Class R and 0.57% for Class I for the year ended October 31, 2015.
4The S&P Target Date Index Series is a series of unmanaged indices that reflect the market consensus for asset allocations for different target date horizons. The asset class exposure for each index is represented by exchange traded funds (ETFs). Asset class weights are established annually and rebalanced monthly. Prior to 02/26/2010, the indices were rebalanced annually. The Index returns shown are the Gross Return series, which provide benchmarks free of underlying ETF expenses by adjusting the Total Return series (which assume the reinvestment of dividends) by an assumed weighted average ETF expense ratio. Index returns provided by Bloomberg. Mid-month performance is not available for the benchmark. Performance shown is from the first of the month following the corresponding Series’ inception date. S&P Dow Jones Indices LLC, a subsidiary of the McGraw Hill Financial, Inc., is the publisher of various index based data products and services and has licensed certain of its products and services for use by Manning & Napier. Copyright © 2014 by S&P Dow Jones Indices LLC and/or its affiliates. All rights reserved. Neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors make any representation or warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and none of these parties shall have any liability for any errors, omissions, or interruptions of any index or the data included therein.
5The Target Composite Benchmark represents the performance of the target date fund’s asset classes according to their respective weightings, as adjusted over time to reflect the target date fund’s increasingly conservative asset allocations. The following indices are used to calculate the Target Composite Benchmarks: Russell 3000® Index (Russell 3000), MSCI ACWI ex USA Index (ACWIxUS), and Barclays U.S. Aggregate Bond Index (BAB) and/or Barclays U.S. Intermediate Aggregate Bond Index (BIAB). Russell 3000 is an unmanaged index that consists of 3,000 of the largest U.S. companies based on total market capitalization. Index returns are based on a market capitalization-weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. Index returns provided by Bloomberg. ACWIxUS is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global developed and emerging markets and consists of 45 developed and emerging market country indices outside the U.S. The Index is denominated in U.S. dollars. The Index returns are net of withholding taxes. They assume daily reinvestment of net dividends
14
Performance Update as of October 31, 2015 - Target 2035 Series
(unaudited)
thus accounting for any applicable dividend taxation. Index returns provided by Bloomberg. BAB and BIAB are both unmanaged, market value-weighted indices of U.S. domestic investment-grade debt issues, including government, corporate, asset-backed and mortgage-backed securities. BAB includes maturities of one year or more; BIAB includes maturities of greater than one year but less than ten years. BAB and BIAB returns provided by Interactive Data. Indices returns do not reflect any fees or expenses. Returns provided are calculated monthly using a blended allocation. Because the target date fund’s asset allocation will vary over time, the composition of the target date portfolio may not match the composition of the comparative Target Composite Benchmark. Mid-month performance is not available for the benchmark. Performance shown is from the first of the month following the corresponding Series’ inception date.
15
Performance Update as of October 31, 2015 - Target 2040 Series
(unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2015 | ||||||||||||
ONE YEAR1 | FIVE YEAR | SINCE INCEPTION2 | ||||||||||
Manning & Napier Fund, Inc. - Target 2040 - Class K3 | -2.30 | % | 7.76 | % | 5.76 | % | ||||||
Manning & Napier Fund, Inc. - Target 2040 - Class R3 | -1.91 | % | 7.49 | % | 5.51 | % | ||||||
Manning & Napier Fund, Inc. - Target 2040 - Class I3 | -2.08 | % | 8.01 | % | 6.04 | % | ||||||
S&P Target Date 2040 Index4 | 2.02 | % | 9.47 | % | 6.08 | % | ||||||
2040 Composite Benchmark5 | 2.28 | % | 9.67 | % | 6.23 | % |
The following graph compares the value of a $10,000 investment in the Manning & Napier Fund, Inc. - Target 2040 Series - Class K from its inception2 (3/28/08) to present (10/31/15) to the S&P Target Date 2040 Index and the 2040 Composite Benchmark.
1The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
2Performance numbers for the Series are calculated from March 28, 2008, the Series’ inception date. Performance numbers for the S&P Target Date Index and Income Composite Benchmark are calculated from April 1, 2008.
3The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2015, this net expense ratio was 0.30% for Class K, 0.55% for Class R and 0.05% for Class I. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 0.38% for Class K, 0.63% for Class R and 0.13% for Class I for the year ended October 31, 2015.
4The S&P Target Date Index Series is a series of unmanaged indices that reflect the market consensus for asset allocations for different target date horizons. The asset class exposure for each index is represented by exchange traded funds (ETFs). Asset class weights are established annually and rebalanced monthly. Prior to 02/26/2010, the indices were rebalanced annually. The Index returns shown are the Gross Return series, which provide benchmarks free of underlying ETF expenses by adjusting the Total Return series (which assume the reinvestment of dividends) by an assumed weighted average ETF expense ratio. Index returns provided by Bloomberg. Mid-month performance is not available for the benchmark. Performance shown is from the first of the month following the corresponding Series’ inception date. S&P Dow Jones Indices LLC, a subsidiary of the McGraw Hill Financial, Inc., is the publisher of various index based data products and services and has licensed certain of its products and services for use by Manning & Napier. Copyright © 2014 by S&P Dow Jones Indices LLC and/or its affiliates. All rights reserved. Neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors make any representation or warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and none of these parties shall have any liability for any errors, omissions, or interruptions of any index or the data included therein.
5The Target Composite Benchmark represents the performance of the target date fund’s asset classes according to their respective weightings, as adjusted over time to reflect the target date fund’s increasingly conservative asset allocations. The following indices are used to calculate the Target Composite Benchmarks: Russell 3000® Index (Russell 3000), MSCI ACWI ex USA Index (ACWIxUS), and Barclays U.S. Aggregate Bond Index (BAB) and/or Barclays U.S. Intermediate Aggregate Bond Index (BIAB). Russell 3000 is an unmanaged index that consists of 3,000 of the largest U.S. companies based on total market capitalization. Index returns are based on a market capitalization-weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. Index returns provided by Bloomberg. ACWIxUS is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global developed and emerging markets and consists of 45 developed and emerging market country indices outside the U.S. The Index is denominated in U.S. dollars. The Index returns are net of withholding taxes. They assume daily reinvestment of net dividends thus accounting for any applicable dividend taxation. Index returns provided by Bloomberg. BAB and BIAB are both unmanaged, market value-weighted indices of U.S. domestic
16
Performance Update as of October 31, 2015 - Target 2040 Series
(unaudited)
investment-grade debt issues, including government, corporate, asset-backed and mortgage-backed securities. BAB includes maturities of one year or more; BIAB includes maturities of greater than one year but less than ten years. BAB and BIAB returns provided by Interactive Data. Indices returns do not reflect any fees or expenses. Returns provided are calculated monthly using a blended allocation. Because the target date fund’s asset allocation will vary over time, the composition of the target date portfolio may not match the composition of the comparative Target Composite Benchmark. Mid-month performance is not available for the benchmark. Performance shown is from the first of the month following the corresponding Series’ inception date.
17
Performance Update as of October 31, 2015 - Target 2045 Series
(unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2015 | ||||||||
ONE YEAR1 | SINCE INCEPTION1,2 | |||||||
Manning & Napier Fund, Inc. - Target 2045 - Class K3 | -2.10 | % | 12.19 | % | ||||
Manning & Napier Fund, Inc. - Target 2045 - Class R3 | -2.41 | % | 11.86 | % | ||||
Manning & Napier Fund, Inc. - Target 2045 - Class I3 | -1.92 | % | 12.42 | % | ||||
S&P Target Date 2045 Index4 | 2.00 | % | 11.61 | % | ||||
2045 Composite Benchmark5 | 2.25 | % | 11.55 | % |
The following graph compares the value of a $10,000 investment in the Manning & Napier Fund, Inc. - Target 2045 Series - Class K from its inception2 (6/25/12) to present (10/31/15) to the S&P Target Date 2045 Index and the 2045 Composite Benchmark.
1The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
2Performance numbers for the Series are calculated from June 25, 2012, the Series’ inception date. Performance numbers for the S&P Target Date Index and Income Composite Benchmark are calculated from July 1, 2012.
3The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2015, this net expense ratio was 0.30% for Class K, 0.55% for Class R and 0.05% for Class I. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 1.51% for Class K 1.76% for Class R and 1.26% for Class I for the year ended October 31, 2015.
4The S&P Target Date Index Series is a series of unmanaged indices that reflect the market consensus for asset allocations for different target date horizons. The asset class exposure for each index is represented by exchange traded funds (ETFs). Asset class weights are established annually and rebalanced monthly. Prior to 02/26/2010, the indices were rebalanced annually. The Index returns shown are the Gross Return series, which provide benchmarks free of underlying ETF expenses by adjusting the Total Return series (which assume the reinvestment of dividends) by an assumed weighted average ETF expense ratio. Index returns provided by Bloomberg. Mid-month performance is not available for the benchmark. Performance shown is from the first of the month following the corresponding Series’ inception date. S&P Dow Jones Indices LLC, a subsidiary of the McGraw Hill Financial, Inc., is the publisher of various index based data products and services and has licensed certain of its products and services for use by Manning & Napier. Copyright © 2014 by S&P Dow Jones Indices LLC and/or its affiliates. All rights reserved. Neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors make any representation or warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and none of these parties shall have any liability for any errors, omissions, or interruptions of any index or the data included therein.
5The Target Composite Benchmark represents the performance of the target date fund’s asset classes according to their respective weightings, as adjusted over time to reflect the target date fund’s increasingly conservative asset allocations. The following indices are used to calculate the Target Composite Benchmarks: Russell 3000® Index (Russell 3000), MSCI ACWI ex USA Index (ACWIxUS), and Barclays U.S. Aggregate Bond Index (BAB) and/or Barclays U.S. Intermediate Aggregate Bond Index (BIAB). Russell 3000 is an unmanaged index that consists of 3,000 of the largest U.S. companies based on total market capitalization. Index returns are based on a market capitalization-weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. Index returns provided by Bloomberg. ACWIxUS is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global developed and emerging markets and consists of 45 developed and emerging
18
Performance Update as of October 31, 2015 - Target 2045 Series
(unaudited)
market country indices outside the U.S. The Index is denominated in U.S. dollars. The Index returns are net of withholding taxes. They assume daily reinvestment of net dividends thus accounting for any applicable dividend taxation. Index returns provided by Bloomberg. BAB and BIAB are both unmanaged, market value-weighted indices of U.S. domestic investment-grade debt issues, including government, corporate, asset-backed and mortgage-backed securities. BAB includes maturities of one year or more; BIAB includes maturities of greater than one year but less than ten years. BAB and BIAB returns provided by Interactive Data. Indices returns do not reflect any fees or expenses. Returns provided are calculated monthly using a blended allocation. Because the target date fund’s asset allocation will vary over time, the composition of the target date portfolio may not match the composition of the comparative Target Composite Benchmark. Mid-month performance is not available for the benchmark. Performance shown is from the first of the month following the corresponding Series’ inception date.
19
Performance Update as of October 31, 2015 - Target 2050 Series
(unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2015 | ||||||||||||
ONE YEAR1 | FIVE YEAR | SINCE INCEPTION2 | ||||||||||
Manning & Napier Fund, Inc. - Target 2050 - Class K3 | -2.15 | % | 8.07 | % | 6.21 | % | ||||||
Manning & Napier Fund, Inc. - Target 2050 - Class R3 | -2.17 | % | 7.80 | % | 5.95 | % | ||||||
Manning & Napier Fund, Inc. - Target 2050 - Class I3 | -1.82 | % | 8.35 | % | 6.50 | % | ||||||
S&P Target Date 2050 Index4 | 2.02 | % | 9.86 | % | 6.16 | % | ||||||
2050 Composite Benchmark5 | 2.25 | % | 9.97 | % | 6.42 | % |
The following graph compares the value of a $10,000 investment in the Manning & Napier Fund, Inc. - Target 2050 Series - Class K from its inception2 (3/28/08) to present (10/31/15) to the S&P Target Date 2050 Index and the 2050 Composite Benchmark.
1The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
2Performance numbers for the Series are calculated from March 28, 2008, the Series’ inception date. Performance numbers for the S&P Target Date Index and Income Composite Benchmark are calculated from April 1, 2008.
3The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2015, this net expense ratio was 0.30% for Class K, 0.55% for Class R and 0.05% for Class I. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 0.56% for Class K, 0.81% for Class R and 0.31% for Class I for the year ended October 31, 2015.
4The S&P Target Date Index Series is a series of unmanaged indices that reflect the market consensus for asset allocations for different target date horizons. The asset class exposure for each index is represented by exchange traded funds (ETFs). Asset class weights are established annually and rebalanced monthly. Prior to February 26, 2010, the indices were rebalanced annually. Historical returns for the S&P Target Date 2050 Index prior to May 31, 2011 (the index launch date) are identical to the returns of the S&P Target Date 2045 Index, the closest dated target date index as of the launch date. The Index returns shown are the Gross Return series, which provide benchmarks free of underlying ETF expenses by adjusting the Total Return series (which assume the reinvestment of dividends) by an assumed weighted average ETF expense ratio. Index returns provided by Bloomberg. Mid-month performance is not available for the benchmark. Performance shown is from the first of the month following the corresponding Series’ inception date. S&P Dow Jones Indices LLC, a subsidiary of the McGraw Hill Financial, Inc., is the publisher of various index based data products and services and has licensed certain of its products and services for use by Manning & Napier. Copyright © 2014 by S&P Dow Jones Indices LLC and/or its affiliates. All rights reserved. Neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors make any representation or warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and none of these parties shall have any liability for any errors, omissions, or interruptions of any index or the data included therein.
5The Target Composite Benchmark represents the performance of the target date fund’s asset classes according to their respective weightings, as adjusted over time to reflect the target date fund’s increasingly conservative asset allocations. The following indices are used to calculate the Target Composite Benchmarks: Russell 3000® Index (Russell 3000), MSCI ACWI ex USA Index (ACWIxUS), and Barclays U.S. Aggregate Bond Index (BAB) and/or Barclays U.S. Intermediate Aggregate Bond Index (BIAB). Russell 3000 is an unmanaged index that consists of 3,000 of the largest U.S. companies based on total market capitalization. Index returns are based on a market capitalization-weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. Index returns provided by Bloomberg. ACWIxUS is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global developed and emerging markets and consists of 45 developed and emerging
20
Performance Update as of October 31, 2015 - Target 2050 Series
(unaudited)
market country indices outside the U.S. The Index is denominated in U.S. dollars. The Index returns are net of withholding taxes. They assume daily reinvestment of net dividends thus accounting for any applicable dividend taxation. Index returns provided by Bloomberg. BAB and BIAB are both unmanaged, market value-weighted indices of U.S. domestic investment-grade debt issues, including government, corporate, asset-backed and mortgage-backed securities. BAB includes maturities of one year or more; BIAB includes maturities of greater than one year but less than ten years. BAB and BIAB returns provided by Interactive Data. Indices returns do not reflect any fees or expenses. Returns provided are calculated monthly using a blended allocation. Because the target date fund’s asset allocation will vary over time, the composition of the target date portfolio may not match the composition of the comparative Target Composite Benchmark. Mid-month performance is not available for the benchmark. Performance shown is from the first of the month following the corresponding Series’ inception date.
21
Performance Update as of October 31, 2015 - Target 2055 Series
(unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2015 | ||||||||
ONE YEAR1 | SINCE INCEPTION1,2 | |||||||
Manning & Napier Fund, Inc. - Target 2055 - Class K3 | -2.06 | % | 12.31 | % | ||||
Manning & Napier Fund, Inc. - Target 2055 - Class R3 | -2.32 | % | 11.90 | % | ||||
Manning & Napier Fund, Inc. - Target 2055 - Class I3 | -1.83 | % | 12.74 | % | ||||
S&P Target Date 2055 Index4 | 1.97 | % | 12.22 | % | ||||
2055 Composite Benchmark5 | 2.25 | % | 11.55 | % |
The following graph compares the value of a $10,000 investment in the Manning & Napier Fund, Inc. - Target 2055 Series - Class K from its inception2 (6/25/12) to present (10/31/15) to the S&P Target Date 2055 Index and the 2055 Composite Benchmark.
1The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
2Performance numbers for the Series are calculated from June 25, 2012, the Series’ inception date. Performance numbers for the S&P Target Date Index and Income Composite Benchmark are calculated from July 1, 2012.
3The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2015, this net expense ratio was 0.30% for Class K, 0.55% for Class R and 0.05% for Class I. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 3.98% for Class K, 4.23% for Class R and 3.73% for Class I for the year ended October 31, 2015.
4The S&P Target Date Index Series is a series of unmanaged indices that reflect the market consensus for asset allocations for different target date horizons. The asset class exposure for each index is represented by exchange traded funds (ETFs). Asset class weights are established annually and rebalanced monthly. Prior to 02/26/2010, the indices were rebalanced annually. The Index returns shown are the Gross Return series, which provide benchmarks free of underlying ETF expenses by adjusting the Total Return series (which assume the reinvestment of dividends) by an assumed weighted average ETF expense ratio. Index returns provided by Bloomberg. Mid-month performance is not available for the benchmark. Performance shown is from the first of the month following the corresponding Series’ inception date. S&P Dow Jones Indices LLC, a subsidiary of the McGraw Hill Financial, Inc., is the publisher of various index based data products and services and has licensed certain of its products and services for use by Manning & Napier. Copyright © 2014 by S&P Dow Jones Indices LLC and/or its affiliates. All rights reserved. Neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors make any representation or warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and none of these parties shall have any liability for any errors, omissions, or interruptions of any index or the data included therein.
5The Target Composite Benchmark represents the performance of the target date fund’s asset classes according to their respective weightings, as adjusted over time to reflect the target date fund’s increasingly conservative asset allocations. The following indices are used to calculate the Target Composite Benchmarks: Russell 3000® Index (Russell 3000), MSCI ACWI ex USA Index (ACWIxUS), and Barclays U.S. Aggregate Bond Index (BAB) and/or Barclays U.S. Intermediate Aggregate Bond Index (BIAB). Russell 3000 is an unmanaged index that consists of 3,000 of the largest U.S. companies based on total market capitalization. Index returns are based on a market capitalization-weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. Index returns provided by Bloomberg. ACWIxUS is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global developed and emerging markets and consists of 45 developed and emerging
22
Performance Update as of October 31, 2015 - Target 2055 Series
(unaudited)
market country indices outside the U.S. The Index is denominated in U.S. dollars. The Index returns are net of withholding taxes. They assume daily reinvestment of net dividends thus accounting for any applicable dividend taxation. Index returns provided by Bloomberg. BAB and BIAB are both unmanaged, market value-weighted indices of U.S. domestic investment-grade debt issues, including government, corporate, asset-backed and mortgage-backed securities. BAB includes maturities of one year or more; BIAB includes maturities of greater than one year but less than ten years. BAB and BIAB returns provided by Interactive Data. Indices returns do not reflect any fees or expenses. Returns provided are calculated monthly using a blended allocation. Because the target date fund’s asset allocation will vary over time, the composition of the target date portfolio may not match the composition of the comparative Target Composite Benchmark. Mid-month performance is not available for the benchmark. Performance shown is from the first of the month following the corresponding Series’ inception date.
23
Performance Update as of October 31, 2015 - Target 2060 Series
(unaudited)
TOTAL RETURN SINCE INCEPTION1,2 | ||||
Manning & Napier Fund, Inc. - Target 2060 - Class K3 | 3.60 | % | ||
Manning & Napier Fund, Inc. - Target 2060 - Class R3 | 3.60 | % | ||
Manning & Napier Fund, Inc. - Target 2060 - Class I3 | 3.60 | % | ||
S&P Target Date 2055+ Index4 | 4.09 | % | ||
2060 Composite Benchmark5 | 3.98 | % |
The following graph compares the value of a $10,000 investment in the Manning & Napier Fund, Inc. - Target 2060 Series - Class K from its inception2 (9/21/15) to present (10/31/15) to the S&P Target Date 2055+ Index and the 2060 Composite Benchmark.
1The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
2Performance numbers for the Series are calculated from September 21, 2015, the Series’ inception date.
3The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the period ended October 31, 2015, this annualized net expense ratio was 0.30% for Class K, 0.55% for Class R and 0.05% for Class I. The annualized gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 151.65% for Class K, 151.9% for Class R and 151.39% for Class I for the period ended October 31, 2015.
4The S&P Target Date Index Series is a series of unmanaged indices that reflect the market consensus for asset allocations for different target date horizons. The asset class exposure for each index is represented by exchange traded funds (ETFs). Asset class weights are established annually and rebalanced monthly. Prior to 02/26/2010, the indices were rebalanced annually. The Index returns shown are the Gross Return series, which provide benchmarks free of underlying ETF expenses by adjusting the Total Return series (which assume the reinvestment of dividends) by an assumed weighted average ETF expense ratio. Index returns provided by Bloomberg. Mid-month performance is not available for the benchmark. Performance shown is from the first of the month following the corresponding Series’ inception date. S&P Dow Jones Indices LLC, a subsidiary of the McGraw Hill Financial, Inc., is the publisher of various index based data products and services and has licensed certain of its products and services for use by Manning & Napier. Copyright © 2014 by S&P Dow Jones Indices LLC and/or its affiliates. All rights reserved. Neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors make any representation or warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and none of these parties shall have any liability for any errors, omissions, or interruptions of any index or the data included therein.
5The Target Composite Benchmark represents the performance of the target date fund’s asset classes according to their respective weightings, as adjusted over time to reflect the target date fund’s increasingly conservative asset allocations. The following indices are used to calculate the Target Composite Benchmarks: Russell 3000® Index (Russell 3000), MSCI ACWI ex USA Index (ACWIxUS), and Barclays U.S. Aggregate Bond Index (BAB) and/or Barclays U.S. Intermediate Aggregate Bond Index (BIAB). Russell 3000 is an unmanaged index that consists of 3,000 of the largest U.S. companies based on total market capitalization. Index returns are based on a market capitalization-weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. Index returns provided by Bloomberg. ACWIxUS is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global developed and emerging markets and consists of 44 developed and emerging market country indices outside the U.S. The Index is denominated in U.S. dollars. The Index returns are net of withholding taxes. They assume daily reinvestment of net dividends thus accounting for any applicable dividend taxation. Index returns provided by Bloomberg. BAB and BIAB are both unmanaged, market value-weighted indices of U.S. domestic investment-grade debt issues, including government, corporate, asset-backed and mortgage-backed securities. BAB includes maturities of one year or more; BIAB includes
24
Performance Update as of October 31, 2015 - Target 2060 Series
(unaudited)
maturities of greater than one year but less than ten years. BAB and BIAB returns provided by Interactive Data. Indices returns do not reflect any fees or expenses. Returns provided are calculated monthly using a blended allocation. Because the target date fund’s asset allocation will vary over time, the composition of the target date portfolio may not match the composition of the comparative Target Composite Benchmark.
25
Shareholder Expense Example
(unaudited)
As a shareholder of the Series, you may incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Series expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested in each class at the beginning of the period and held for the entire period (May 1, 2015 to October 31, 2015).
Actual Expenses
The Actual lines of the following tables provide information about actual account values and actual expenses. You may use the information in these lines, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the Actual line for the Series and Class in which you have invested under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The Hypothetical lines of the following tables provide information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid during the period. You may use this information to compare the ongoing costs of investing in a class of the Series and other funds. To do so, compare this 5% hypothetical example for the Series and Class in which you have invested with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the tables are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the Hypothetical lines for each class in the tables are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
BEGINNING ACCOUNT VALUE 5/1/15 | ENDING ACCOUNT VALUE 10/31/15 | EXPENSES PAID DURING PERIOD 5/1/15-10/31/151 | ANNUALIZED EXPENSE RATIO2 | |||||
Target Income | ||||||||
Actual (Class K) | $1,000.00 | $974.50 | $1.49 | 0.30% | ||||
Hypothetical3 | $1,000.00 | $1,023.69 | $1.53 | 0.30% | ||||
Actual (Class R) | $1,000.00 | $972.70 | $2.73 | 0.55% | ||||
Hypothetical3 | $1,000.00 | $1,022.43 | $2.80 | 0.55% | ||||
Actual (Class I) | $1,000.00 | $975.70 | $0.25 | 0.05% | ||||
Hypothetical3 | $1,000.00 | $1,024.95 | $0.26 | 0.05% | ||||
BEGINNING ACCOUNT VALUE 5/1/15 | ENDING ACCOUNT VALUE 10/31/15 | EXPENSES PAID DURING PERIOD 5/1/15-10/31/151 | ANNUALIZED EXPENSE RATIO2 | |||||
Target 2015 | ||||||||
Actual (Class K) | $1,000.00 | $962.60 | $1.48 | 0.30% | ||||
Hypothetical3 | $1,000.00 | $1,023.69 | $1.53 | 0.30% | ||||
Actual (Class R) | $1,000.00 | $961.30 | $2.72 | 0.55% | ||||
Hypothetical3 | $1,000.00 | $1,022.43 | $2.80 | 0.55% | ||||
Actual (Class I) | $1,000.00 | $963.80 | $0.25 | 0.05% | ||||
Hypothetical3 | $1,000.00 | $1,024.95 | $0.26 | 0.05% |
26
Shareholder Expense Example
(unaudited)
BEGINNING ACCOUNT VALUE 5/1/15 | ENDING ACCOUNT VALUE 10/31/15 | EXPENSES PAID DURING PERIOD 5/1/15-10/31/151 | ANNUALIZED EXPENSE RATIO2 | |||||
Target 2020 | ||||||||
Actual (Class K) | $1,000.00 | $960.50 | $1.48 | 0.30% | ||||
Hypothetical3 | $1,000.00 | $1,023.69 | $1.53 | 0.30% | ||||
Actual (Class R) | $1,000.00 | $959.90 | $2.72 | 0.55% | ||||
Hypothetical3 | $1,000.00 | $1,022.43 | $2.80 | 0.55% | ||||
Actual (Class I) | $1,000.00 | $962.90 | $0.25 | 0.05% | ||||
Hypothetical3 | $1,000.00 | $1,024.95 | $0.26 | 0.05% | ||||
BEGINNING ACCOUNT VALUE 5/1/15 | ENDING ACCOUNT VALUE 10/31/15 | EXPENSES PAID DURING PERIOD 5/1/15-10/31/151 | ANNUALIZED EXPENSE RATIO2 | |||||
Target 2025 | ||||||||
Actual (Class K) | $1,000.00 | $955.00 | $1.48 | 0.30% | ||||
Hypothetical3 | $1,000.00 | $1,023.69 | $1.53 | 0.30% | ||||
Actual (Class R) | $1,000.00 | $954.60 | $2.71 | 0.55% | ||||
Hypothetical3 | $1,000.00 | $1,022.43 | $2.80 | 0.55% | ||||
Actual (Class I) | $1,000.00 | $956.80 | $0.25 | 0.05% | ||||
Hypothetical3 | $1,000.00 | $1,024.95 | $0.26 | 0.05% | ||||
BEGINNING ACCOUNT VALUE 5/1/15 | ENDING ACCOUNT VALUE 10/31/15 | EXPENSES PAID DURING PERIOD 5/1/15-10/31/151 | ANNUALIZED EXPENSE RATIO2 | |||||
Target 2030 | ||||||||
Actual (Class K) | $1,000.00 | $952.40 | $1.48 | 0.30% | ||||
Hypothetical3 | $1,000.00 | $1,023.69 | $1.53 | 0.30% | ||||
Actual (Class R) | $1,000.00 | $951.60 | $2.71 | 0.55% | ||||
Hypothetical3 | $1,000.00 | $1,022.43 | $2.80 | 0.55% | ||||
Actual (Class I) | $1,000.00 | $954.20 | $0.25 | 0.05% | ||||
Hypothetical3 | $1,000.00 | $1,024.95 | $0.26 | 0.05% |
27
Shareholder Expense Example
(unaudited)
BEGINNING ACCOUNT VALUE 5/1/15 | ENDING ACCOUNT VALUE | EXPENSES PAID DURING PERIOD 5/1/15-10/31/151 | ANNUALIZED EXPENSE RATIO2 | |||||
Target 2035 | ||||||||
Actual (Class K) | $1,000.00 | $950.50 | $1.47 | 0.30% | ||||
Hypothetical3 | $1,000.00 | $1,023.69 | $1.53 | 0.30% | ||||
Actual (Class R) | $1,000.00 | $948.50 | $2.70 | 0.55% | ||||
Hypothetical3 | $1,000.00 | $1,022.43 | $2.80 | 0.55% | ||||
Actual (Class I) | $1,000.00 | $951.00 | $0.25 | 0.05% | ||||
Hypothetical3 | $1,000.00 | $1,024.95 | $0.26 | 0.05% | ||||
BEGINNING ACCOUNT VALUE 5/1/15 | ENDING ACCOUNT VALUE 10/31/15 | EXPENSES PAID DURING PERIOD 5/1/15-10/31/151 | ANNUALIZED EXPENSE RATIO2 | |||||
Target 2040 | ||||||||
Actual (Class K) | $1,000.00 | $947.30 | $1.47 | 0.30% | ||||
Hypothetical3 | $1,000.00 | $1,023.69 | $1.53 | 0.30% | ||||
Actual (Class R) | $1,000.00 | $946.60 | $2.70 | 0.55% | ||||
Hypothetical3 | $1,000.00 | $1,022.43 | $2.80 | 0.55% | ||||
Actual (Class I) | $1,000.00 | $948.20 | $0.25 | 0.05% | ||||
Hypothetical3 | $1,000.00 | $1,024.95 | $0.26 | 0.05% | ||||
BEGINNING ACCOUNT VALUE 5/1/15 | ENDING ACCOUNT VALUE 10/31/15 | EXPENSES PAID DURING PERIOD 5/1/15-10/31/151 | ANNUALIZED EXPENSE RATIO2 | |||||
Target 2045 | ||||||||
Actual (Class K) | $1,000.00 | $945.30 | $1.47 | 0.30% | ||||
Hypothetical3 | $1,000.00 | $1,023.69 | $1.53 | 0.30% | ||||
Actual (Class R) | $1,000.00 | $943.60 | $2.69 | 0.55% | ||||
Hypothetical3 | $1,000.00 | $1,022.43 | $2.80 | 0.55% | ||||
Actual (Class I) | $1,000.00 | $946.30 | $0.25 | 0.05% | ||||
Hypothetical3 | $1,000.00 | $1,024.95 | $0.26 | 0.05% |
28
Shareholder Expense Example
(unaudited)
BEGINNING ACCOUNT VALUE 5/1/15 | ENDING ACCOUNT VALUE 10/31/15 | EXPENSES PAID DURING PERIOD 5/1/15-10/31/151 | ANNUALIZED EXPENSE RATIO2 | |||||
Target 2050 | ||||||||
Actual (Class K) | $1,000.00 | $945.20 | $1.47 | 0.30% | ||||
Hypothetical3 | $1,000.00 | $1,023.69 | $1.53 | 0.30% | ||||
Actual (Class R) | $1,000.00 | $943.80 | $2.69 | 0.55% | ||||
Hypothetical3 | $1,000.00 | $1,022.43 | $2.80 | 0.55% | ||||
Actual (Class I) | $1,000.00 | $946.50 | $0.25 | 0.05% | ||||
Hypothetical3 | $1,000.00 | $1,024.95 | $0.26 | 0.05% | ||||
BEGINNING ACCOUNT VALUE 5/1/15 | ENDING ACCOUNT VALUE 10/31/15 | EXPENSES PAID DURING PERIOD 5/1/15-10/31/151 | ANNUALIZED EXPENSE RATIO2 | |||||
Target 2055 | ||||||||
Actual (Class K) | $1,000.00 | $944.90 | $1.47 | 0.30% | ||||
Hypothetical3 | $1,000.00 | $1,023.69 | $1.53 | 0.30% | ||||
Actual (Class R) | $1,000.00 | $943.50 | $2.69 | 0.55% | ||||
Hypothetical3 | $1,000.00 | $1,022.43 | $2.80 | 0.55% | ||||
Actual (Class I) | $1,000.00 | $946.10 | $0.25 | 0.05% | ||||
Hypothetical3 | $1,000.00 | $1,024.95 | $0.26 | 0.05% | ||||
BEGINNING ACCOUNT VALUE 9/21/15* | ENDING ACCOUNT VALUE 10/31/15 | EXPENSES PAID DURING PERIOD 9/21/15*-10/31/15 | ANNUALIZED EXPENSE RATIO2 | |||||
Target 2060 | ||||||||
Actual (Class K) | $1,000.00 | $1,036.00 | $0.334 | 0.30% | ||||
Hypothetical3 | $1,000.00 | $1,023.69 | $1.535 | 0.30% | ||||
Actual (Class R) | $1,000.00 | $1,036.00 | $0.614 | 0.55% | ||||
Hypothetical3 | $1,000.00 | $1,022.43 | $2.805 | 0.55% | ||||
Actual (Class I) | $1,000.00 | $1,036.00 | $0.064 | 0.05% | ||||
Hypothetical3 | $1,000.00 | $1,024.95 | $0.265 | 0.05% |
* Commencement of operations.
1Expenses are equal to the Class’ annualized expense ratio (for the six-month period), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses are based on the most recent fiscal half year. The Class’ total returns would have been lower had certain expenses not been reimbursed during the period.
2Expense ratios of the Class do not include fees and expenses indirectly incurred by the underlying funds. If these expenses were included, the expense ratios would have been higher.
3Assumes 5% annual return before expenses.
29
Shareholder Expense Example
(unaudited)
4Expenses are equal to the Class’ annualized expense ratio (for the period 9/21/2015* to 10/31/2015), multiplied by the average account value over the period, multiplied by 40/365 (to reflect the period since inception). The Class’ total returns would have been lower had certain expenses not been reimbursed during the period.
5Expenses are equal to the Class’ annualized expense ratio (for the period 9/21/2015* to 10/31/2015), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
30
Portfolio Composition as of October 31, 2015 - Asset Allocation1
(unaudited)
1 Represents portfolio composition of the underlying investment(s) for each Series as a percentage of net assets.
2 A U.S. Treasury Bond is a long-term obligation of the U.S. Treasury issued with a maturity period of more than ten years.
3 A U.S. Treasury Note is an intermediate-term obligation of the U.S. Treasury issued with a maturity period between one and ten years.
31
Portfolio Composition as of October 31, 2015 - Asset Allocation1
(unaudited)
1 Represents portfolio composition of the underlying investment(s) for each Series as a percentage of net assets.
2 A U.S. Treasury Bond is a long-term obligation of the U.S. Treasury issued with a maturity period of more than ten years.
3 A U.S. Treasury Note is an intermediate-term obligation of the U.S. Treasury issued with a maturity period between one and ten years.
32
Investment Portfolios - October 31, 2015
TARGET INCOME SERIES | SHARES | VALUE (NOTE 2) | ||||||||
AFFILIATED INVESTMENT COMPANIES - 100.0% | ||||||||||
Manning & Napier Pro-Blend® Conservative Term Series - Class I | 9,377,144 | $ | 95,834,412 | |||||||
|
| |||||||||
TOTAL AFFILIATED INVESTMENT COMPANIES | ||||||||||
(Identified Cost $100,975,566) | 95,834,412 | |||||||||
LIABILITIES, LESS OTHER ASSETS - 0.0%* | (44,034 | ) | ||||||||
|
| |||||||||
NET ASSETS - 100% | $ | 95,790,378 | ||||||||
|
| |||||||||
*Less than (0.1%). | ||||||||||
TARGET 2015 SERIES | SHARES | VALUE (NOTE 2) | ||||||||
AFFILIATED INVESTMENT COMPANIES - 99.7% | ||||||||||
Manning & Napier Pro-Blend® Moderate Term Series - Class I | 936,925 | $ | 9,434,835 | |||||||
|
| |||||||||
TOTAL AFFILIATED INVESTMENT COMPANIES | ||||||||||
(Identified Cost $10,029,919) | 9,434,835 | |||||||||
OTHER ASSETS, LESS LIABILITIES - 0.3% | 32,385 | |||||||||
|
| |||||||||
NET ASSETS - 100% | $ | 9,467,220 | ||||||||
|
| |||||||||
TARGET 2020 SERIES | SHARES | VALUE (NOTE 2) | ||||||||
AFFILIATED INVESTMENT COMPANIES - 100.0% | ||||||||||
Manning & Napier Pro-Blend® Extended Term Series - Class I | 4,287,739 | $ | 41,033,658 | |||||||
Manning & Napier Pro-Blend® Moderate Term Series - Class I | 12,131,224 | 122,161,428 | ||||||||
|
| |||||||||
TOTAL AFFILIATED INVESTMENT COMPANIES | ||||||||||
(Identified Cost $175,149,823) | 163,195,086 | |||||||||
LIABILITIES, LESS OTHER ASSETS - 0.0%* | (49,589 | ) | ||||||||
|
| |||||||||
NET ASSETS - 100% | $ | 163,145,497 | ||||||||
|
| |||||||||
*Less than (0.1%). |
The accompanying notes are an integral part of the financial statements.
33
Investment Portfolios - October 31, 2015
TARGET 2025 SERIES | SHARES | VALUE (NOTE 2) | ||||||||
AFFILIATED INVESTMENT COMPANIES - 100.1% | ||||||||||
Manning & Napier Pro-Blend® Extended Term Series - Class I | 3,088,922 | $ | 29,560,983 | |||||||
|
| |||||||||
TOTAL AFFILIATED INVESTMENT COMPANIES | ||||||||||
(Identified Cost $32,171,611) | 29,560,983 | |||||||||
LIABILITIES, LESS OTHER ASSETS - (0.1%) | (25,736 | ) | ||||||||
|
| |||||||||
NET ASSETS - 100% | $ | 29,535,247 | ||||||||
|
| |||||||||
TARGET 2030 SERIES | SHARES | VALUE (NOTE 2) | ||||||||
AFFILIATED INVESTMENT COMPANIES - 100.0% | ||||||||||
Manning & Napier Pro-Blend® Extended Term Series - Class I | 12,984,849 | $ | 124,265,001 | |||||||
Manning & Napier Pro-Blend® Maximum Term Series - Class I | 4,156,191 | 41,935,963 | ||||||||
|
| |||||||||
TOTAL AFFILIATED INVESTMENT COMPANIES | ||||||||||
(Identified Cost $184,050,787) | 166,200,964 | |||||||||
LIABILITIES, LESS OTHER ASSETS - 0.0%* | (46,576 | ) | ||||||||
|
| |||||||||
NET ASSETS - 100% | $ | 166,154,388 | ||||||||
|
| |||||||||
*Less than 0.01%. | ||||||||||
TARGET 2035 SERIES | SHARES | VALUE (NOTE 2) | ||||||||
AFFILIATED INVESTMENT COMPANIES - 100.1% | ||||||||||
Manning & Napier Pro-Blend® Extended Term Series - Class I | 1,162,093 | $ | 11,121,230 | |||||||
Manning & Napier Pro-Blend® Maximum Term Series - Class I | 1,111,340 | 11,213,419 | ||||||||
|
| |||||||||
TOTAL AFFILIATED INVESTMENT COMPANIES | ||||||||||
(Identified Cost $24,808,552) | 22,334,649 | |||||||||
LIABILITIES, LESS OTHER ASSETS - (0.1%) | (25,411 | ) | ||||||||
|
| |||||||||
NET ASSETS - 100% | $ | 22,309,238 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
34
Investment Portfolios - October 31, 2015
TARGET 2040 SERIES | SHARES | VALUE (NOTE 2) | ||||||||
AFFILIATED INVESTMENT COMPANIES - 100.0% | ||||||||||
Manning & Napier Pro-Blend® Extended Term Series - Class I | 2,606,607 | $ | 24,945,227 | |||||||
Manning & Napier Pro-Blend® Maximum Term Series - Class I | 7,512,361 | 75,799,725 | ||||||||
|
| |||||||||
TOTAL AFFILIATED INVESTMENT COMPANIES | ||||||||||
(Identified Cost $111,862,227) | 100,744,952 | |||||||||
LIABILITIES, LESS OTHER ASSETS - 0.0%* | (35,630 | ) | ||||||||
|
| |||||||||
NET ASSETS - 100% | $ | 100,709,322 | ||||||||
|
| |||||||||
*Less than 0.01%. | ||||||||||
TARGET 2045 SERIES | SHARES | VALUE (NOTE 2) | ||||||||
AFFILIATED INVESTMENT COMPANIES - 100.2% | ||||||||||
Manning & Napier Pro-Blend® Maximum Term Series - Class I | 987,068 | $ | 9,959,515 | |||||||
|
| |||||||||
TOTAL AFFILIATED INVESTMENT COMPANIES | ||||||||||
(Identified Cost $11,138,431) | 9,959,515 | |||||||||
LIABILITIES, LESS OTHER ASSETS - (0.2%) | (22,217 | ) | ||||||||
|
| |||||||||
NET ASSETS - 100% | $ | 9,937,298 | ||||||||
|
| |||||||||
TARGET 2050 SERIES | SHARES | VALUE (NOTE 2) | ||||||||
AFFILIATED INVESTMENT COMPANIES - 100.1% | ||||||||||
Manning & Napier Pro-Blend® Maximum Term Series - Class I | 3,277,188 | $ | 33,066,824 | |||||||
|
| |||||||||
TOTAL AFFILIATED INVESTMENT COMPANIES | ||||||||||
(Identified Cost $35,909,048) | 33,066,824 | |||||||||
LIABILITIES, LESS OTHER ASSETS - (0.1%) | (20,303 | ) | ||||||||
|
| |||||||||
NET ASSETS - 100% | $ | 33,046,521 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
35
Investment Portfolios - October 31, 2015
TARGET 2055 SERIES | SHARES | VALUE (NOTE 2) | ||||||||
AFFILIATED INVESTMENT COMPANIES - 100.7% | ||||||||||
Manning & Napier Pro-Blend® Maximum Term Series - Class I | 320,113 | $ | 3,229,941 | |||||||
|
| |||||||||
TOTAL AFFILIATED INVESTMENT COMPANIES | ||||||||||
(Identified Cost $3,522,324) | 3,229,941 | |||||||||
LIABILITIES, LESS OTHER ASSETS - (0.7%) | (21,482 | ) | ||||||||
|
| |||||||||
NET ASSETS - 100% | $ | 3,208,459 | ||||||||
|
| |||||||||
TARGET 2060 SERIES | SHARES | VALUE (NOTE 2) | ||||||||
AFFILIATED INVESTMENT COMPANIES - 98.6% | ||||||||||
Manning & Napier Pro-Blend® Maximum Term Series - Class I | 15,584 | $ | 157,243 | |||||||
|
| |||||||||
TOTAL AFFILIATED INVESTMENT COMPANIES | ||||||||||
(Identified Cost $151,752) | 157,243 | |||||||||
OTHER ASSETS, LESS LIABILITIES - 1.4% | 2,178 | |||||||||
|
| |||||||||
NET ASSETS - 100% | $ | 159,421 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
36
Statements of Assets and Liabilities
October 31, 2015
TARGET INCOME | TARGET 2015 | TARGET 2020 | TARGET 2025 | TARGET 2030 | ||||||||||||||||
ASSETS: | ||||||||||||||||||||
Total investments in Underlying Series: | ||||||||||||||||||||
At value* | $ | 95,834,412 | $ | 9,434,835 | $ | 163,195,086 | $ | 29,560,983 | $ | 166,200,964 | ||||||||||
Receivable from Advisor (Note 3) | 24,367 | 12,060 | 16,126 | 13,326 | 22,312 | |||||||||||||||
Receivable for shares of Underlying Series sold | 504 | 485 | 518 | 489 | 519 | |||||||||||||||
Receivable for fund shares sold | 24,219 | 199,759 | 191,143 | 48,168 | 111,805 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
TOTAL ASSETS | 95,883,502 | 9,647,139 | 163,402,873 | 29,622,966 | 166,335,600 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
LIABILITIES: | ||||||||||||||||||||
Accrued distribution and service (Rule 12b-1) fees (Note 3) | 15,278 | 1,062 | 20,281 | 3,397 | 21,314 | |||||||||||||||
Accrued fund accounting and administration fees (Note 3) | 23,523 | 9,670 | 15,136 | 14,865 | 15,132 | |||||||||||||||
Accrued transfer agent fees (Note 3) | 2,256 | 348 | 1,209 | 547 | 2,523 | |||||||||||||||
Accrued Chief Compliance Officer service fees (Note 3) | 632 | 421 | 421 | 421 | 421 | |||||||||||||||
Accrued Directors’ fees (Note 3) | 25 | 1 | 25 | — | 34 | |||||||||||||||
Payable for fund shares repurchased | 3,360 | 810 | 156,783 | 3,754 | 3,227 | |||||||||||||||
Audit fees payable | 16,565 | 16,456 | 16,623 | 16,471 | 16,642 | |||||||||||||||
Payable for shares of Underlying Series purchased | 20,769 | 148,642 | 33,998 | 43,950 | 107,402 | |||||||||||||||
Accrued printing fees and postage | 9,981 | 882 | 5,905 | 1,055 | 5,844 | |||||||||||||||
Other payables and accrued expenses | 735 | 1,627 | 6,995 | 3,259 | 8,673 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
TOTAL LIABILITIES | 93,124 | 179,919 | 257,376 | 87,719 | 181,212 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
TOTAL NET ASSETS | $ | 95,790,378 | $ | 9,467,220 | $ | 163,145,497 | $ | 29,535,247 | $ | 166,154,388 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||||||
Capital stock | 98,515 | 8,460 | 172,316 | 25,003 | 169,248 | |||||||||||||||
Additional paid-in-capital | 97,006,069 | 9,672,271 | 162,252,854 | 30,514,022 | 162,688,023 | |||||||||||||||
Undistributed net investment income | 51,139 | 6,457 | 110,360 | 22,257 | 115,962 | |||||||||||||||
Accumulated net realized gain on Underlying Series | 3,775,809 | 375,116 | 12,564,704 | 1,584,593 | 21,030,978 | |||||||||||||||
Net unrealized depreciation on Underlying Series | (5,141,154 | ) | (595,084 | ) | (11,954,737 | ) | (2,610,628 | ) | (17,849,823 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
TOTAL NET ASSETS | $ | 95,790,378 | $ | 9,467,220 | $ | 163,145,497 | $ | 29,535,247 | $ | 166,154,388 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Class K | ||||||||||||||||||||
Net Assets | $ | 67,322,474 | $ | 3,499,749 | $ | 80,006,314 | $ | 11,895,670 | $ | 79,169,220 | ||||||||||
Shares Outstanding | 6,928,616 | 313,355 | 8,462,161 | 1,005,977 | 8,093,468 | |||||||||||||||
Net Asset Value, Offering Price, and Redemption Price per share | $ | 9.72 | $ | 11.17 | $ | 9.45 | $ | 11.82 | $ | 9.78 | ||||||||||
Class R | ||||||||||||||||||||
Net Assets | $ | 2,467,618 | $ | 838,607 | $ | 8,192,525 | $ | 2,100,563 | $ | 11,115,145 | ||||||||||
Shares Outstanding | 256,683 | 74,946 | 877,079 | 177,182 | 1,145,566 | |||||||||||||||
Net Asset Value, Offering Price, and Redemption Price per share | $ | 9.61 | $ | 11.19 | $ | 9.34 | $ | 11.86 | $ | 9.70 | ||||||||||
Class I | ||||||||||||||||||||
Net Assets | $ | 26,000,286 | $ | 5,128,864 | $ | 74,946,658 | $ | 15,539,014 | $ | 75,870,023 | ||||||||||
Shares Outstanding | 2,666,178 | 457,649 | 7,892,380 | 1,317,154 | 7,685,774 | |||||||||||||||
Net Asset Value, Offering Price, and Redemption Price per share | $ | 9.75 | $ | 11.21 | $ | 9.50 | $ | 11.80 | $ | 9.87 | ||||||||||
*At identified cost | $ | 100,975,566 | $ | 10,029,919 | $ | 175,149,823 | $ | 32,171,611 | $ | 184,050,787 | ||||||||||
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
37
Statements of Assets and Liabilities
October 31, 2015
TARGET 2035 | TARGET 2040 | TARGET 2045 | TARGET 2050 | TARGET 2055 | TARGET 2060 | |||||||||||||||||||
ASSETS: | ||||||||||||||||||||||||
Total investments in Underlying Series: | ||||||||||||||||||||||||
At value* | $ | 22,334,649 | $ | 100,744,952 | $ | 9,959,515 | $ | 33,066,824 | $ | 3,229,941 | $ | 157,243 | ||||||||||||
Receivable from Advisor (Note 3) | 14,093 | 19,964 | 13,787 | 23,972 | 12,736 | 23,835 | ||||||||||||||||||
Receivable for shares of Underlying Series sold | 488 | 504 | 485 | 490 | 483 | 483 | ||||||||||||||||||
Receivable for fund shares sold | 53,301 | 77,965 | 47,596 | 71,906 | 39,693 | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
TOTAL ASSETS | 22,402,531 | 100,843,385 | 10,021,383 | 33,163,192 | 3,282,853 | 181,561 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
LIABILITIES: | ||||||||||||||||||||||||
Accrued fund accounting and administration fees (Note 3) | 14,929 | 14,722 | 15,012 | 14,283 | 15,030 | 5,030 | ||||||||||||||||||
Accrued distribution and service (Rule 12b-1) fees (Note 3) | 2,805 | 13,069 | 1,449 | 4,057 | 401 | 33 | ||||||||||||||||||
Accrued transfer agent fees | 443 | 1,376 | 476 | 1,983 | 535 | 71 | ||||||||||||||||||
Accrued Chief Compliance Officer service fees (Note 3) | 421 | 421 | 421 | 421 | 421 | 227 | ||||||||||||||||||
Accrued Directors’ fees (Note 3) | 2 | 65 | — | 13 | 1 | — | ||||||||||||||||||
Payable for fund shares repurchased | 11,554 | 4,778 | 1,155 | 2,745 | 29 | — | ||||||||||||||||||
Payable for shares of Underlying Series purchased | 41,747 | 72,438 | 46,377 | 69,077 | 39,664 | — | ||||||||||||||||||
Audit fees payable | 16,466 | 16,572 | 16,455 | 16,509 | 16,450 | 16,447 | ||||||||||||||||||
Other payables and accrued expenses | 4,926 | 10,622 | 2,740 | 7,583 | 1,863 | 332 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
TOTAL LIABILITIES | 93,293 | 134,063 | 84,085 | 116,671 | 74,394 | 22,140 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
TOTAL NET ASSETS | $ | 22,309,238 | $ | 100,709,322 | $ | 9,937,298 | $ | 33,046,521 | $ | 3,208,459 | $ | 159,421 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||||||||||
Capital stock | 18,076 | 99,135 | 7,821 | 29,036 | 2,547 | 154 | ||||||||||||||||||
Additional paid-in-capital | 23,345,056 | 97,833,893 | 10,523,113 | 30,446,313 | 3,440,134 | 153,810 | ||||||||||||||||||
Undistributed net investment income | 15,091 | 57,305 | 5,264 | 12,013 | 1,561 | — | ||||||||||||||||||
Accumulated net realized gain (loss) on Underlying Series | 1,404,918 | 13,836,264 | 580,016 | 5,401,383 | 56,600 | (34 | ) | |||||||||||||||||
Net unrealized appreciation/depreciation on Underlying Series | (2,473,903 | ) | (11,117,275 | ) | (1,178,916 | ) | (2,842,224 | ) | (292,383 | ) | 5,491 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
TOTAL NET ASSETS | $ | 22,309,238 | $ | 100,709,322 | $ | 9,937,298 | $ | 33,046,521 | $ | 3,208,459 | $ | 159,421 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Class K | ||||||||||||||||||||||||
Net Assets | $ | 8,978,584 | $ | 51,931,408 | $ | 3,812,464 | $ | 15,143,705 | $ | 1,141,612 | $ | 51,794 | ||||||||||||
Shares Outstanding | 728,901 | 5,126,443 | 300,060 | 1,333,684 | 90,919 | 5,000 | ||||||||||||||||||
Net Asset Value, Offering Price, and Redemption Price per share | $ | 12.32 | $ | 10.13 | $ | 12.71 | $ | 11.35 | $ | 12.56 | $ | 10.36 | ||||||||||||
Class R | ||||||||||||||||||||||||
Net Assets | $ | 2,337,260 | $ | 5,226,017 | $ | 1,631,153 | $ | 2,215,260 | $ | 409,162 | $ | 55,819 | ||||||||||||
Shares Outstanding | 189,353 | 519,298 | 129,034 | 196,890 | 32,864 | 5,390 | ||||||||||||||||||
Net Asset Value, Offering Price, and Redemption Price per share | $ | 12.34 | $ | 10.06 | $ | 12.64 | $ | 11.25 | $ | 12.45 | $ | 10.36 | ||||||||||||
Class I | ||||||||||||||||||||||||
Net Assets | $ | 10,993,394 | $ | 43,551,897 | $ | 4,493,681 | $ | 15,687,556 | $ | 1,657,685 | $ | 51,808 | ||||||||||||
Shares Outstanding | 889,312 | 4,267,735 | 352,965 | 1,372,976 | 130,966 | 5,000 | ||||||||||||||||||
Net Asset Value, Offering Price, and Redemption Price per share | $ | 12.36 | $ | 10.20 | $ | 12.73 | $ | 11.43 | $ | 12.66 | $ | 10.36 | ||||||||||||
*At identified cost | $ | 24,808,552 | $ | 111,862,227 | $ | 11,138,431 | $ | 35,909,048 | $ | 3,522,324 | $ | 151,752 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
38
Statements of Operations
For the Year Ended October 31, 2015
TARGET INCOME | TARGET 2015 | TARGET 2020 | TARGET 2025 | TARGET 2030 | ||||||||||||||||
INVESTMENT INCOME: | ||||||||||||||||||||
Income distributions from Underlying Series | $ | 1,372,718 | $ | 134,841 | $ | 2,559,253 | $ | 389,280 | $ | 2,543,397 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
EXPENSES: | ||||||||||||||||||||
Distribution and services (Rule 12b-1) fees (Class K) (Note 3) | 129,426 | 8,594 | 214,123 | 26,443 | 242,175 | |||||||||||||||
Distribution and services (Rule 12b-1) fees (Class R) (Note 3) | 32,655 | 5,603 | 68,784 | 13,730 | 76,926 | |||||||||||||||
Fund accounting and administration fees (Note 3) | 51,227 | 47,139 | 50,906 | 47,518 | 51,113 | |||||||||||||||
Transfer agent fees (Note 3) | 4,403 | 2,273 | 5,102 | 3,160 | 10,332 | |||||||||||||||
Chief Compliance Officer service fees | 2,520 | 2,113 | 2,520 | 2,113 | 2,520 | |||||||||||||||
Directors’ fees (Note 3) | 2,362 | 335 | 5,880 | 940 | 6,292 | |||||||||||||||
Registration and filing fees | 37,588 | 34,937 | 38,355 | 36,432 | 39,982 | |||||||||||||||
Audit fees | 20,962 | 18,573 | 21,061 | 18,626 | 21,122 | |||||||||||||||
Custodian fees | 4,869 | 3,285 | 10,726 | 3,943 | 11,351 | |||||||||||||||
Legal fees | 2,671 | 2,284 | 2,736 | 2,349 | 2,755 | |||||||||||||||
Miscellaneous | 23,858 | 7,573 | 17,135 | 10,162 | 27,396 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Expenses | 312,541 | 132,709 | 437,328 | 165,416 | 491,964 | |||||||||||||||
Less reduction of expenses (Note 3) | (113,898 | ) | (113,547 | ) | (66,423 | ) | (110,893 | ) | (79,258 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Expenses | 198,643 | 19,162 | 370,905 | 54,523 | 412,706 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET INVESTMENT INCOME | 1,174,075 | 115,679 | 2,188,348 | 334,757 | 2,130,691 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
REALIZED AND UNREALIZED GAIN/(LOSS) ON UNDERLYING SERIES: | ||||||||||||||||||||
Net realized gain/(loss) on Underlying Series | 327,062 | (354,202 | ) | (3,111,100 | ) | (973,443 | ) | (461,557 | ) | |||||||||||
Distributions of realized gains from Underlying Series | 4,306,403 | 852,222 | 18,962,248 | 3,129,155 | 28,133,734 | |||||||||||||||
Net change in unrealized depreciation on Underlying Series | (6,081,504 | ) | (763,903 | ) | (21,261,309 | ) | (3,130,833 | ) | (33,119,207 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET REALIZED AND UNREALIZED GAIN/(LOSS) ON UNDERLYING SERIES | (1,448,039 | ) | (265,883 | ) | (5,410,161 | ) | (975,121 | ) | (5,447,030 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (273,964 | ) | $ | (150,204 | ) | $ | (3,221,813 | ) | $ | (640,364 | ) | $ | (3,316,339 | ) | |||||
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
39
Statements of Operations
For the Year Ended October 31, 2015
TARGET 2035 | TARGET 2040 | TARGET 2045 | TARGET 2050 | TARGET 2055 | TARGET 2060 FOR THE PERIOD | |||||||||||||||||||
INVESTMENT INCOME: | ||||||||||||||||||||||||
Income distributions from Underlying Series | $ | 249,682 | $ | 1,241,689 | $ | 85,669 | $ | 458,049 | $ | 29,232 | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
EXPENSES: | ||||||||||||||||||||||||
Distribution and services (Rule 12b-1) fees (Class K) (Note 3) | 19,238 | 162,241 | 8,348 | 71,869 | 3,665 | 14 | ||||||||||||||||||
Distribution and services (Rule 12b-1) fees (Class R) (Note 3) | 13,179 | 38,382 | 8,578 | 16,293 | 2,323 | 28 | ||||||||||||||||||
Fund accounting and administration fees (Note 3) | 47,382 | 49,499 | 47,066 | 47,881 | 46,921 | 5,030 | ||||||||||||||||||
Transfer agent fees (Note 3) | 2,780 | 5,560 | 2,915 | 7,633 | 3,096 | 71 | ||||||||||||||||||
Chief Compliance Officer service fees (Note 3) | 2,113 | 2,520 | 2,113 | 2,520 | 2,113 | 227 | ||||||||||||||||||
Directors’ fees (Note 3) | 715 | 3,954 | 320 | 1,609 | 114 | — | ||||||||||||||||||
Registration and filing fees | 35,689 | 37,687 | 35,029 | 38,010 | 34,740 | 837 | ||||||||||||||||||
Audit fees | 18,608 | 21,034 | 18,568 | 20,976 | 18,551 | 18,370 | ||||||||||||||||||
Legal fees | 2,318 | 2,708 | 2,267 | 2,666 | 2,246 | 75 | ||||||||||||||||||
Custodian fees | 5,296 | 8,645 | 2,604 | 4,127 | 2,374 | 59 | ||||||||||||||||||
Miscellaneous | 9,386 | 18,730 | 8,877 | 19,863 | 7,933 | 555 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Expenses | 156,704 | 350,960 | 136,685 | 233,447 | 124,076 | 25,266 | ||||||||||||||||||
Less reduction of expenses (Note 3) | (113,363 | ) | (92,156 | ) | (115,000 | ) | (121,944 | ) | (116,504 | ) | (25,216 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Expenses | 43,341 | 258,804 | 21,685 | 111,503 | 7,572 | 50 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
NET INVESTMENT INCOME (LOSS) | 206,341 | 982,885 | 63,984 | 346,546 | 21,660 | (50 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
REALIZED AND UNREALIZED | ||||||||||||||||||||||||
GAIN/(LOSS) ON UNDERLYING | ||||||||||||||||||||||||
SERIES: | ||||||||||||||||||||||||
Net realized gain/(loss) on Underlying Series | (805,034 | ) | (1,382,593 | ) | (377,628 | ) | (2,322,553 | ) | (295,606 | ) | 11 | |||||||||||||
Distributions of realized gains from Underlying Series | 2,943,470 | 20,893,461 | 1,408,794 | 10,884,743 | 542,597 | — | ||||||||||||||||||
Net change in unrealized appreciation (depreciation) on Underlying Series . | (2,867,926 | ) | (22,351,962 | ) | (1,330,359 | ) | (9,156,768 | ) | (313,271 | ) | 5,491 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
NET REALIZED AND UNREALIZED GAIN/(LOSS) ON UNDERLYING SERIES | (729,490 | ) | (2,841,094 | ) | (299,193 | ) | (594,578 | ) | (66,280 | ) | 5,502 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (523,149 | ) | $ | (1,858,209 | ) | $ | (235,209 | ) | $ | (248,032 | ) | $ | (44,620 | ) | $ | 5,452 | |||||||
|
|
|
|
|
|
|
|
|
|
|
|
1 Commencement of operations.
The accompanying notes are an integral part of the financial statements.
40
Statements of Changes in Net Assets
TARGET INCOME FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | TARGET 2015 FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | |||||||||||||
INCREASE (DECREASE) IN NET ASSETS: | ||||||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income | $ | 1,174,075 | $ | 1,238,875 | $ | 115,679 | $ | 70,955 | ||||||||
Net realized gain (loss) on Underlying Series | 327,062 | 2,011,041 | (354,202 | ) | 98,110 | |||||||||||
Distributions of realized gains from Underlying Series | 4,306,403 | 3,773,118 | 852,222 | 267,474 | ||||||||||||
Net change in unrealized appreciation (depreciation) on Underlying Series | (6,081,504 | ) | (3,131,769 | ) | (763,903 | ) | (56,491 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from operations | (273,964 | ) | 3,891,265 | (150,204 | ) | 380,048 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS (Note 8): | ||||||||||||||||
From net investment income (Class K) | (1,346,562 | ) | (1,286,422 | ) | (74,230 | ) | (30,155 | ) | ||||||||
From net investment income (Class R) | (278,571 | ) | (327,839 | ) | (31,804 | ) | (23,380 | ) | ||||||||
From net investment income (Class C) | — | (21,877 | ) | — | (2 | ) | ||||||||||
From net investment income (Class I) | (368,537 | ) | (323,245 | ) | (129,353 | ) | (68,175 | ) | ||||||||
From net realized gain on investments (Class K) | (3,365,065 | ) | (1,819,428 | ) | (102,766 | ) | (7,981 | ) | ||||||||
From net realized gain on investments (Class R) | (851,245 | ) | (505,007 | ) | (52,006 | ) | (9,202 | ) | ||||||||
From net realized gain on investments (Class C) | — | (45,468 | ) | — | (1 | ) | ||||||||||
From net realized gain on investments (Class I) | (818,325 | ) | (432,506 | ) | (159,729 | ) | (20,916 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (7,028,305 | ) | (4,761,792 | ) | (549,888 | ) | (159,812 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL STOCK ISSUED AND REPURCHASED: | ||||||||||||||||
Net increase (decrease) from capital share transactions (Note 6) | 25,635,184 | 4,698,848 | 595,483 | 3,697,875 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets | 18,332,915 | 3,828,321 | (104,609 | ) | 3,918,111 | |||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of year | 77,457,463 | 73,629,142 | 9,571,829 | 5,653,718 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of year1 | $ | 95,790,378 | $ | 77,457,463 | $ | 9,467,220 | $ | 9,571,829 | ||||||||
|
|
|
|
|
|
|
| |||||||||
1 Including undistributed net investment income: | $ | 51,139 | $ | 84,716 | $ | 6,457 | $ | 7,074 |
The accompanying notes are an integral part of the financial statements.
41
Statements of Changes in Net Assets
TARGET 2020 FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | TARGET 2025 FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | TARGET 2030 FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | |||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS: | ||||||||||||||||||||||||
OPERATIONS: | ||||||||||||||||||||||||
Net investment income | $ | 2,188,348 | $ | 2,124,993 | $ | 334,757 | $ | 176,204 | $ | 2,130,691 | $ | 1,801,385 | ||||||||||||
Net realized gain (loss) on Underlying Series | (3,111,100 | ) | 4,495,349 | (973,443 | ) | 174,777 | (461,557 | ) | 5,147,906 | |||||||||||||||
Distributions of realized gains from Underlying Series | 18,962,248 | 12,138,459 | 3,129,155 | 943,182 | 28,133,734 | 18,450,326 | ||||||||||||||||||
Net change in unrealized appreciation (depreciation) on Underlying Series | (21,261,309 | ) | (7,997,262 | ) | (3,130,833 | ) | (138,919 | ) | (33,119,207 | ) | (11,533,034 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) from operations | (3,221,813 | ) | 10,761,539 | (640,364 | ) | 1,155,244 | (3,316,339 | ) | 13,866,583 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS (Note 8): | ||||||||||||||||||||||||
From net investment income (Class K) | (2,505,775 | ) | (2,003,878 | ) | (297,449 | ) | (44,898 | ) | (4,570,890 | ) | (2,972,409 | ) | ||||||||||||
From net investment income (Class R) | (500,611 | ) | (644,604 | ) | (109,978 | ) | (53,128 | ) | (735,285 | ) | (799,542 | ) | ||||||||||||
From net investment income (Class C) | — | (58,853 | ) | — | (11,088 | ) | — | (73,376 | ) | |||||||||||||||
From net investment income (Class I) | (2,125,424 | ) | (1,689,048 | ) | (477,523 | ) | (234,992 | ) | (2,871,200 | ) | (2,002,890 | ) | ||||||||||||
From net realized gain on investments | (7,356,511 | ) | (3,058,836 | ) | (326,846 | ) | (2,858 | ) | (11,306,421 | ) | (2,954,941 | ) | ||||||||||||
From net realized gain on investments | (1,722,295 | ) | (1,125,718 | ) | (140,351 | ) | (6,548 | ) | (1,986,960 | ) | (877,958 | ) | ||||||||||||
From net realized gain on investments | — | (135,011 | ) | — | (1,961 | ) | — | (95,570 | ) | |||||||||||||||
From net realized gain on investments | (5,519,527 | ) | (2,449,372 | ) | (488,200 | ) | (27,313 | ) | (6,424,281 | ) | (1,937,699 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions to shareholders | (19,730,143 | ) | (11,165,320 | ) | (1,840,347 | ) | (382,786 | ) | (27,895,037 | ) | (11,714,385 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
CAPITAL STOCK ISSUED AND REPURCHASED: | ||||||||||||||||||||||||
Net increase (decrease) from capital share transactions (Note 6) | 6,496,480 | (7,536,690 | ) | 7,669,888 | 11,375,142 | (391,486 | ) | 9,224,721 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets | (16,455,476 | ) | (7,940,471 | ) | 5,189,177 | 12,147,600 | (31,602,862 | ) | 11,376,919 | |||||||||||||||
NET ASSETS: | ||||||||||||||||||||||||
Beginning of year | 179,600,973 | 187,541,444 | 24,346,070 | 12,198,470 | 197,757,250 | 186,380,331 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
End of year1 | $ | 163,145,497 | $ | 179,600,973 | $ | 29,535,247 | $ | 24,346,070 | $ | 166,154,388 | $ | 197,757,250 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
1 Including undistributed net investment income: | $ | 110,360 | $ | 154,054 | $ | 22,257 | $ | 18,134 | $ | 115,962 | $ | 138,372 |
The accompanying notes are an integral part of the financial statements.
42
Statements of Changes in Net Assets
TARGET 2035 FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | TARGET 2040 FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | TARGET 2045 FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | |||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS: | ||||||||||||||||||||||||
OPERATIONS: | ||||||||||||||||||||||||
Net investment income | $ | 206,341 | $ | 88,056 | $ | 982,885 | $ | 693,938 | $ | 63,984 | $ | 16,659 | ||||||||||||
Net realized gain (loss) on Underlying Series | (805,034 | ) | 105,919 | (1,382,593 | ) | 5,287,280 | (377,628 | ) | 64,318 | |||||||||||||||
Distributions of realized gains from Underlying Series | 2,943,470 | 839,412 | 20,893,461 | 15,114,458 | 1,408,794 | 329,673 | ||||||||||||||||||
Net change in unrealized appreciation (depreciation) on Underlying Series | (2,867,926 | ) | (187,795 | ) | (22,351,962 | ) | (11,061,373 | ) | (1,330,359 | ) | (49,287 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) from operations | (523,149 | ) | 845,592 | (1,858,209 | ) | 10,034,303 | (235,209 | ) | 361,363 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS (Note 8): | ||||||||||||||||||||||||
From net investment income (Class K) | (329,120 | ) | (32,455 | ) | (4,088,810 | ) | (2,662,847 | ) | (156,127 | ) | (18,145 | ) | ||||||||||||
From net investment income (Class R) | (120,541 | ) | (46,705 | ) | (488,750 | ) | (580,648 | ) | (91,933 | ) | (24,268 | ) | ||||||||||||
From net investment income (Class C) | — | (1,555 | ) | — | (45,590 | ) | — | (17,240 | ) | |||||||||||||||
From net investment income (Class I) | (472,419 | ) | (205,599 | ) | (2,080,865 | ) | (1,310,168 | ) | (220,609 | ) | (43,848 | ) | ||||||||||||
From net realized gain on investments (Class K) | (274,022 | ) | (4,760 | ) | (10,306,151 | ) | (2,760,808 | ) | (117,251 | ) | (1,996 | ) | ||||||||||||
From net realized gain on investments (Class R) | (108,826 | ) | (9,936 | ) | (1,318,271 | ) | (651,349 | ) | (73,722 | ) | (3,219 | ) | ||||||||||||
From net realized gain on investments (Class C) | — | (436 | ) | — | (56,111 | ) | — | (2,543 | ) | |||||||||||||||
From net realized gain on investments (Class I) | (371,000 | ) | (41,207 | ) | (4,840,432 | ) | (1,308,595 | ) | (157,365 | ) | (5,276 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions to shareholders | (1,675,928 | ) | (342,653 | ) | (23,123,279 | ) | (9,376,116 | ) | (817,007 | ) | (116,535 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
CAPITAL STOCK ISSUED AND REPURCHASED: | ||||||||||||||||||||||||
Net increase (decrease) from capital share transactions (Note 6) | 6,731,366 | 9,246,251 | (1,385,064 | ) | 7,945,058 | 3,229,422 | 4,228,653 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets | 4,532,289 | 9,749,190 | (26,366,552 | ) | 8,603,245 | 2,177,206 | 4,473,481 | |||||||||||||||||
NET ASSETS: | ||||||||||||||||||||||||
Beginning of year | 17,776,949 | 8,027,759 | 127,075,874 | 118,472,629 | 7,760,092 | 3,286,611 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
End of year1 | $ | 22,309,238 | $ | 17,776,949 | $ | 100,709,322 | $ | 127,075,874 | $ | 9,937,298 | $ | 7,760,092 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
1 Including undistributed net investment income: | $ | 15,091 | $ | 9,906 | $ | 57,305 | $ | 58,428 | $ | 5,264 | $ | 1,632 |
The accompanying notes are an integral part of the financial statements.
43
Statements of Changes in Net Assets
TARGET 2050 FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | TARGET 2055 FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | TARGET 2060 FOR THE PERIOD 9/21/151 TO 10/31/15 | ||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS: | ||||||||||||||||||||
OPERATIONS: | ||||||||||||||||||||
Net investment income (loss) | $ | 346,546 | $ | 237,686 | $ | 21,660 | $ | 9,058 | $ | (50 | ) | |||||||||
Net realized gain (loss) on Underlying Series | (2,322,553 | ) | 1,768,558 | (295,606 | ) | (7,625 | ) | 11 | ||||||||||||
Distributions of realized gains from Underlying Series | 10,884,743 | 7,082,203 | 542,597 | 90,486 | — | |||||||||||||||
Net change in unrealized appreciation (depreciation) on Underlying Series | (9,156,768 | ) | (4,458,605 | ) | (313,271 | ) | 531 | 5,491 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net increase (decrease) from operations | (248,032 | ) | 4,629,842 | (44,620 | ) | 92,450 | 5,452 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
DISTRIBUTIONS TO SHAREHOLDERS (Note 8): | ||||||||||||||||||||
From net investment income (Class K) | (2,509,188 | ) | (1,510,958 | ) | (98,964 | ) | (13,246 | ) | — | |||||||||||
From net investment income (Class R) | (260,575 | ) | (196,518 | ) | (26,485 | ) | (3,695 | ) | — | |||||||||||
From net investment income (Class C) | — | (49,327 | ) | — | (33 | ) | — | |||||||||||||
From net investment income (Class I) | (742,815 | ) | (368,776 | ) | (53,400 | ) | (14,949 | ) | — | |||||||||||
From net realized gain on investments (Class K) | (5,037,375 | ) | (1,030,737 | ) | (51,648 | ) | (8,364 | ) | — | |||||||||||
From net realized gain on investments (Class R) | (541,441 | ) | (143,563 | ) | (14,363 | ) | (2,577 | ) | — | |||||||||||
From net realized gain on investments (Class C) | — | (39,039 | ) | — | (32 | ) | — | |||||||||||||
From net realized gain on investments (Class I) | (1,368,611 | ) | (238,679 | ) | (25,481 | ) | (11,860 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions to shareholders | (10,460,005 | ) | (3,577,597 | ) | (270,341 | ) | (54,756 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
CAPITAL STOCK ISSUED AND REPURCHASED: | ||||||||||||||||||||
Net increase (decrease) from capital share transactions (Note 6) | (20,993,216 | ) | 11,631,104 | 359,064 | 2,501,007 | 153,969 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net increase (decrease) in net assets | (31,701,253 | ) | 12,683,349 | 44,103 | 2,538,701 | 159,421 | ||||||||||||||
NET ASSETS: | ||||||||||||||||||||
Beginning of period | 64,747,774 | 52,064,425 | 3,164,356 | 625,655 | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
End of period2 | $ | 33,046,521 | $ | 64,747,774 | $ | 3,208,459 | $ | 3,164,356 | $ | 159,421 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
1 Commencement of operations. | ||||||||||||||||||||
2 Including undistributed net investment income: | $ | 12,013 | $ | 18,130 | $ | 1,561 | $ | 1,384 | $ | — |
The accompanying notes are an integral part of the financial statements.
44
Financial Highlights
TARGET INCOME SERIES CLASS K | FOR THE YEARS ENDED | |||||||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | ||||||||||||||||
Per share data (for a share outstanding throughout each year): | ||||||||||||||||||||
Net asset value - Beginning of year | $ | 10.84 | $ | 11.00 | $ | 10.86 | $ | 10.86 | $ | 11.02 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income1,2 | 0.15 | 0.18 | 0.18 | 0.22 | 0.23 | |||||||||||||||
Net realized and unrealized gain (loss) on Underlying Series | (0.29 | ) | 0.37 | 0.63 | 0.48 | 0.06 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (0.14 | ) | 0.55 | 0.81 | 0.70 | 0.29 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions to shareholders: | ||||||||||||||||||||
From net investment income | (0.28 | ) | (0.29 | ) | (0.24 | ) | (0.25 | ) | (0.33 | ) | ||||||||||
From net realized gain on investments | (0.70 | ) | (0.42 | ) | (0.43 | ) | (0.45 | ) | (0.12 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions to shareholders | (0.98 | ) | (0.71 | ) | (0.67 | ) | (0.70 | ) | (0.45 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value - End of year | $ | 9.72 | $ | 10.84 | $ | 11.00 | $ | 10.86 | $ | 10.86 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net assets - End of year (000’s omitted) | $ | 67,322 | $ | 52,442 | $ | 47,676 | $ | 45,926 | $ | 44,682 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return3 | (1.38 | %) | 5.35 | % | 7.83 | % | 6.98 | % | 2.77 | % | ||||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||||||
Expenses* | 0.30 | %4 | 0.30 | %5 | 0.30 | %5 | 0.30 | %4 | 0.30 | %6 | ||||||||||
Net investment income2 | 1.54 | % | 1.63 | % | 1.69 | % | 2.07 | % | 2.11 | % | ||||||||||
Series portfolio turnover7 | 16 | % | 15 | % | 14 | % | 16 | % | 14 | % | ||||||||||
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts: | ||||||||||||||||||||
| 0.16
| %4
|
| 0.12
| %5
|
| 0.16
| %5
|
| 0.20
| %4
|
| 0.22
| %6
| ||||||
TARGET INCOME SERIES CLASS R | FOR THE YEARS ENDED | |||||||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | ||||||||||||||||
Per share data (for a share outstanding throughout each year): | ||||||||||||||||||||
Net asset value - Beginning of year | $ | 10.71 | $ | 10.89 | $ | 10.76 | $ | 10.77 | $ | 10.93 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income1,2 | 0.21 | 0.15 | 0.07 | 0.09 | 0.16 | |||||||||||||||
Net realized and unrealized gain (loss) on Underlying Series | (0.38 | ) | 0.36 | 0.70 | 0.58 | 0.10 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (0.17 | ) | 0.51 | 0.77 | 0.67 | 0.26 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions to shareholders: | ||||||||||||||||||||
From net investment income | (0.23 | ) | (0.27 | ) | (0.21 | ) | (0.23 | ) | (0.30 | ) | ||||||||||
From net realized gain on investments | (0.70 | ) | (0.42 | ) | (0.43 | ) | (0.45 | ) | (0.12 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions to shareholders | (0.93 | ) | (0.69 | ) | (0.64 | ) | (0.68 | ) | (0.42 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value - End of year | $ | 9.61 | $ | 10.71 | $ | 10.89 | $ | 10.76 | $ | 10.77 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net assets - End of year (000’s omitted) | $ | 2,468 | $ | 13,406 | $ | 13,475 | $ | 3,853 | $ | 553 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return3 | (1.70 | %) | 5.00 | % | 7.52 | % | 6.77 | % | 2.50 | % | ||||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||||||
Expenses* | 0.55 | %4 | 0.55 | %5 | 0.55 | %5 | 0.55 | %4 | 0.55 | %6 | ||||||||||
Net investment income2 | 2.05 | % | 1.40 | % | 0.66 | % | 0.84 | % | 1.47 | % | ||||||||||
Series portfolio turnover7 | 16 | % | 15 | % | 14 | % | 16 | % | 14 | % | ||||||||||
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts: | ||||||||||||||||||||
0.16 | %4 | 0.12 | %5 | 0.14 | %5 | 0.20 | %4 | 0.22 | %6 |
1Calculated based on average shares outstanding during the years.
2Net investment income is affected by the timing of distributions from the Underlying Series in which the Series invest. The ratios do not include net investment income of the Underlying Series in which the Series invests.
3Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed.
4Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.68%.
5Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.67%.
6Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.69%.
7Reflects activity of the Series and does not include the activity of the Underlying Series.
The accompanying notes are an integral part of the financial statements.
45
Financial Highlights
TARGET INCOME SERIES CLASS I | FOR THE YEARS ENDED | |||||||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | ||||||||||||||||
Per share data (for a share outstanding throughout each year): | ||||||||||||||||||||
Net asset value - Beginning of year | $ | 10.88 | $ | 11.04 | $ | 10.90 | $ | 10.89 | $ | 11.05 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income1,2 | 0.16 | 0.21 | 0.19 | 0.24 | 0.07 | |||||||||||||||
Net realized and unrealized gain (loss) on Underlying Series | (0.28 | ) | 0.37 | 0.65 | 0.50 | 0.25 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (0.12 | ) | 0.58 | 0.84 | 0.74 | 0.32 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions to shareholders: | ||||||||||||||||||||
From net investment income | (0.31 | ) | (0.32 | ) | (0.27 | ) | (0.28 | ) | (0.36 | ) | ||||||||||
From net realized gain on investments | (0.70 | ) | (0.42 | ) | (0.43 | ) | (0.45 | ) | (0.12 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions to shareholders | (1.01 | ) | (0.74 | ) | (0.70 | ) | (0.73 | ) | (0.48 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value - End of year | $ | 9.75 | $ | 10.88 | $ | 11.04 | $ | 10.90 | $ | 10.89 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net assets - End of year (000’s omitted) | $ | 26,000 | $ | 11,610 | $ | 11,271 | $ | 6,300 | $ | 4,068 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return3 | (1.21 | %) | 5.59 | % | 8.09 | % | 7.34 | % | 3.00 | % | ||||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||||||
Expenses* | 0.05 | %4 | 0.05 | %5 | 0.05 | %5 | 0.05 | %4 | 0.05 | %6 | ||||||||||
Net investment income2 | 1.65 | % | 1.92 | % | 1.76 | % | 2.30 | % | 0.68 | % | ||||||||||
Series portfolio turnover7 | 16 | % | 15 | % | 14 | % | 16 | % | 14 | % | ||||||||||
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts: | ||||||||||||||||||||
0.16 | %4 | 0.12 | %5 | 0.16 | %5 | 0.20 | %4 | 0.23 | %6 |
1Calculated based on average shares outstanding during the years.
2Net investment income is affected by the timing of distributions from the Underlying Series in which the Series invest. The ratios do not include net investment income of the Underlying Series in which the Series invests.
3Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed.
4Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.68%.
5Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.67%.
6Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.69%.
7Reflects activity of the Series and does not include the activity of the Underlying Series.
The accompanying notes are an integral part of the financial statements.
46
Financial Highlights
TARGET 2015 SERIES CLASS K | FOR THE YEARS ENDED | FOR THE PERIOD | ||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 6/25/121 TO 10/31/12 | |||||||||||||
Per share data (for a share outstanding throughout each period): | ||||||||||||||||
Net asset value - Beginning of period | $ | 12.07 | $ | 11.79 | $ | 10.59 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income (loss)2,3 | 0.12 | 0.10 | 0.15 | (0.01 | ) | |||||||||||
Net realized and unrealized gain (loss) on Underlying Series | (0.35 | ) | 0.53 | 1.25 | 0.60 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | (0.23 | ) | 0.63 | 1.40 | 0.59 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Less distributions to shareholders: | ||||||||||||||||
From net investment income | (0.28 | ) | (0.26 | ) | (0.20 | ) | — | |||||||||
From net realized gain on investments | (0.39 | ) | (0.09 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (0.67 | ) | (0.35 | ) | (0.20 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value - End of period | $ | 11.17 | $ | 12.07 | $ | 11.79 | $ | 10.59 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets - End of period (000’s omitted) | $ | 3,500 | $ | 3,200 | $ | 1,019 | $ | 1,498 | 4 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total return5 | (2.04 | %) | 5.45 | % | 13.45 | % | 5.90 | % | ||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||
Expenses* | 0.30 | %6 | 0.30 | %7 | 0.30 | %7 | 0.30 | %8,9 | ||||||||
Net investment income (loss)3 | 1.01 | % | 0.80 | % | 1.34 | % | (0.30 | %)8 | ||||||||
Series portfolio turnover10 | 46 | % | 46 | % | 50 | % | — | 11 | ||||||||
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts: | ||||||||||||||||
| 1.14
| %6
|
| 1.41
| %7
|
| 6.06
| %7
|
| 9,646
| %8,9,12
| |||||
TARGET 2015 SERIES CLASS R | FOR THE YEARS ENDED | FOR THE PERIOD | ||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 6/25/121 TO 10/31/12 | |||||||||||||
Per share data (for a share outstanding throughout each period): | ||||||||||||||||
Net asset value - Beginning of period | $ | 12.09 | $ | 11.81 | $ | 10.59 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income (loss)2,3 | 0.12 | 0.07 | 0.01 | (0.02 | ) | |||||||||||
Net realized and unrealized gain (loss) on Underlying Series | (0.39 | ) | 0.53 | 1.39 | 0.61 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | (0.27 | ) | 0.60 | 1.40 | 0.59 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Less distributions to shareholders: | ||||||||||||||||
From net investment income | (0.24 | ) | (0.23 | ) | (0.18 | ) | — | |||||||||
From net realized gain on investments | (0.39 | ) | (0.09 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (0.63 | ) | (0.32 | ) | (0.18 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value - End of period | $ | 11.19 | $ | 12.09 | $ | 11.81 | $ | 10.59 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets - End of period (000’s omitted) | $ | 839 | $ | 1,587 | $ | 1,015 | $ | 106 | 4 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total return5 | (2.37 | %) | 5.22 | % | 13.36 | % | 5.90 | % | ||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||
Expenses* | 0.55 | %6 | 0.55 | %7 | 0.55 | %7 | 0.55 | %8,9 | ||||||||
Net investment income (loss)3 | 1.07 | % | 0.60 | % | 0.11 | % | (0.55 | %)8 | ||||||||
Series portfolio turnover10 | 46 | % | 46 | % | 50 | % | — | 11 | ||||||||
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts: | ||||||||||||||||
1.14 | %6 | 1.47 | %7 | 3.45 | %7 | 10,644 | %8,9,12 |
1Commencement of operations.
2Calculated based on average shares outstanding during the periods.
3Net investment income is affected by the timing of distributions from the Underlying Series in which the Series invest. The ratios do not include net investment income of the Underlying Series in which the Series invests.
4Represents the whole number without rounding to the 000s.
5Represents aggregate total return for the periods indicated. Total return would have been lower had certain expenses not been reimbursed. Periods less than one year are not annualized.
6Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.81% for Manning & Napier Pro-Blend® Moderate Term Series - Class I and 0.82% for Manning & Napier Pro-Blend® Extended Term Series - Class I.
7Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.81% for Manning & Napier Pro-Blend® Moderate Term Series - Class I and 0.81% for Manning & Napier Pro-Blend® Extended Term Series - Class I.
8Annualized.
9Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.82% for Manning & Napier Pro-Blend® Moderate Term Series - Class I and 0.82% for Manning & Napier Pro-Blend® Extended Term Series - Class I.
10Reflects activity of the Series and does not include the activity of the Underlying Series.
11Less than 1%.
12The increase to the expense ratios (to average net assets) is largely due to the small net assets in each class.
The accompanying notes are an integral part of the financial statements.
47
Financial Highlights
TARGET 2015 SERIES CLASS I | FOR THE YEARS ENDED | FOR THE PERIOD | ||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 6/25/121 TO 10/31/12 | |||||||||||||
Per share data (for a share outstanding throughout each period): | ||||||||||||||||
Net asset value - Beginning of period | $ | 12.11 | $ | 11.83 | $ | 10.61 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income from investment operations: | ||||||||||||||||
Net investment income2,3 | 0.15 | 0.14 | 0.11 | — | 4 | |||||||||||
Net realized and unrealized gain (loss) on Underlying Series | (0.35 | ) | 0.51 | 1.32 | 0.61 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | (0.20 | ) | 0.65 | 1.43 | 0.61 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Less distributions to shareholders: | ||||||||||||||||
From net investment income | (0.31 | ) | (0.28 | ) | (0.21 | ) | — | |||||||||
From net realized gain on investments | (0.39 | ) | (0.09 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (0.70 | ) | (0.37 | ) | (0.21 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value - End of period | $ | 11.21 | $ | 12.11 | $ | 11.83 | $ | 10.61 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets - End of period (000’s omitted) | $ | 5,129 | $ | 4,785 | $ | 3,619 | �� | $ | 209 | 5 | ||||||
|
|
|
|
|
|
|
| |||||||||
Total return6 | (1.78 | %) | 5.67 | % | 13.71 | % | 6.10 | % | ||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||
Expenses* | 0.05 | %7 | 0.05 | %8 | 0.05 | %8 | 0.05 | %9,10 | ||||||||
Net investment income (loss)3 | 1.28 | % | 1.12 | % | 1.01 | % | (0.05 | %)9 | ||||||||
Series portfolio turnover11 | 46 | % | 46 | % | 50 | % | — | 12 | ||||||||
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts: | ||||||||||||||||
1.14 | %7 | 1.46 | %8 | 4.09 | %8 | 9,682 | %9,10,13 |
1Commencement of operations.
2Calculated based on average shares outstanding during the period.
3Net investment income is affected by the timing of distributions from the Underlying Series in which the Series invest. The ratios do not include net investment income of the Underlying Series in which the Series invests.
4Less than $0.01.
5Represents the whole number without rounding to the 000s.
6Represents aggregate total return for the periods indicated. Total return would have been lower had certain expenses not been reimbursed. Periods less than one year are not annualized.
7Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.81% for Manning & Napier Pro-Blend® Moderate Term Series - Class I and 0.82% for Manning & Napier Pro-Blend® Extended Term Series - Class I.
8Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.81% for Manning & Napier Pro-Blend® Moderate Term Series - Class I and 0.81% for Manning & Napier Pro-Blend® Extended Term Series - Class I.
9Annualized.
10Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.82% for Manning & Napier Pro-Blend® Moderate Term Series - Class I and 0.82% for Manning & Napier Pro-Blend® Extended Term Series - Class I.
11Reflects activity of the Series and does not include the activity of the Underlying Series.
12Less than 1%.
13The increase to the expense ratios (to average net assets) is largely due to the small net assets in each class.
The accompanying notes are an integral part of the financial statements.
48
Financial Highlights
TARGET 2020 SERIES CLASS K | FOR THE YEARS ENDED | |||||||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | ||||||||||||||||
Per share data (for a share outstanding throughout each year): | ||||||||||||||||||||
Net asset value - Beginning of year | $ | 10.77 | $ | 10.79 | $ | 9.89 | $ | 10.12 | $ | 10.33 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income1,2 | 0.11 | 0.11 | 0.12 | 0.17 | 0.20 | |||||||||||||||
Net realized and unrealized gain (loss) on Underlying Series | (0.33 | ) | 0.51 | 1.33 | 0.54 | 0.12 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (0.22 | ) | 0.62 | 1.45 | 0.71 | 0.32 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions to shareholders: | ||||||||||||||||||||
From net investment income | (0.28 | ) | (0.25 | ) | (0.20 | ) | (0.21 | ) | (0.19 | ) | ||||||||||
From net realized gain on investments | (0.82 | ) | (0.39 | ) | (0.35 | ) | (0.73 | ) | (0.34 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions to shareholders | (1.10 | ) | (0.64 | ) | (0.55 | ) | (0.94 | ) | (0.53 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value - End of year | $ | 9.45 | $ | 10.77 | $ | 10.79 | $ | 9.89 | $ | 10.12 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net assets - End of year (000’s omitted) | $ | 80,006 | $ | 95,364 | $ | 82,841 | $ | 67,039 | $ | 56,290 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return3 | (2.24 | %) | 6.14 | % | 15.43 | % | 8.08 | % | 3.14 | % | ||||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||||||
Expenses* | 0.30 | %4 | 0.30 | %5 | 0.30 | %5 | 0.30 | %6 | 0.30 | %7 | ||||||||||
Net investment income2 | 1.17 | % | 1.06 | % | 1.20 | % | 1.72 | % | 1.97 | % | ||||||||||
Series portfolio turnover8 | 42 | % | 37 | % | 19 | % | 24 | % | 49 | % | ||||||||||
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts: | ||||||||||||||||||||
| 0.04
| %4
|
| 0.03
| %5
|
| 0.05
| %5
|
| 0.08
| %6
|
| 0.10
| %7
| ||||||
TARGET 2020 SERIES CLASS R | FOR THE YEARS ENDED | |||||||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | ||||||||||||||||
Per share data (for a share outstanding throughout each year): | ||||||||||||||||||||
Net asset value - Beginning of year | $ | 10.60 | $ | 10.66 | $ | 9.78 | $ | 10.02 | $ | 10.24 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income1,2 | 0.12 | 0.09 | 0.09 | 0.14 | 0.15 | |||||||||||||||
Net realized and unrealized gain (loss) on Underlying Series | (0.32 | ) | 0.47 | 1.32 | 0.54 | 0.14 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (0.20 | ) | 0.56 | 1.41 | 0.68 | 0.29 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions to shareholders: | ||||||||||||||||||||
From net investment income | (0.24 | ) | (0.23 | ) | (0.18 | ) | (0.19 | ) | (0.17 | ) | ||||||||||
From net realized gain on investments | (0.82 | ) | (0.39 | ) | (0.35 | ) | (0.73 | ) | (0.34 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions to shareholders | (1.06 | ) | (0.62 | ) | (0.53 | ) | (0.92 | ) | (0.51 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value - End of year | $ | 9.34 | $ | 10.60 | $ | 10.66 | $ | 9.78 | $ | 10.02 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net assets - End of year (000’s omitted) | $ | 8,193 | $ | 22,564 | $ | 30,393 | $ | 19,150 | $ | 16,105 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return3 | (2.13 | %) | 5.55 | % | 15.07 | % | 7.82 | % | 2.85 | % | ||||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||||||
Expenses* | 0.55 | %4 | 0.55 | %5 | 0.55 | %5 | 0.55 | %6 | 0.55 | %7 | ||||||||||
Net investment income2 | 1.24 | % | 0.83 | % | 0.85 | % | 1.47 | % | 1.48 | % | ||||||||||
Series portfolio turnover8 | 42 | % | 37 | % | 19 | % | 24 | % | 49 | % | ||||||||||
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts: | ||||||||||||||||||||
0.04 | %4 | 0.03 | %5 | 0.05 | %5 | 0.08 | %6 | 0.10 | %7 |
1Calculated based on average shares outstanding during the years.
2Net investment income is affected by the timing of distributions from the Underlying Series in which the Series invest. The ratios do not include net investment income of the Underlying Series in which the Series invests.
3Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed.
4Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.81% for Manning & Napier Pro-Blend® Moderate Term Series - Class I and 0.82% for Manning & Napier Pro-Blend® Extended Term Series - Class I.
5Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.81% for Manning & Napier Pro-Blend® Moderate Term Series - Class I and 0.81% for Manning & Napier Pro-Blend® Extended Term Series - Class I.
6Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.82% for Manning & Napier Pro-Blend® Moderate Term Series - Class I and 0.82% for Manning & Napier Pro-Blend® Extended Term Series - Class I.
7Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.82% for Manning & Napier Pro-Blend® Moderate Term Series - Class I and 0.83% for Manning & Napier Pro-Blend® Extended Term Series - Class I.
8Reflects activity of the Series and does not include the activity of the Underlying Series.
The accompanying notes are an integral part of the financial statements.
49
Financial Highlights
TARGET 2020 SERIES CLASS I | FOR THE YEARS ENDED | |||||||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | ||||||||||||||||
Per share data (for a share outstanding throughout each year): | ||||||||||||||||||||
Net asset value - Beginning of year | $ | 10.81 | $ | 10.83 | $ | 9.93 | $ | 10.16 | $ | 10.37 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income1,2 | 0.13 | 0.16 | 0.14 | 0.20 | 0.09 | |||||||||||||||
Net realized and unrealized gain (loss) on Underlying Series | (0.31 | ) | 0.49 | 1.34 | 0.54 | 0.25 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (0.18 | ) | 0.65 | 1.48 | 0.74 | 0.34 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions to shareholders: | ||||||||||||||||||||
From net investment income | (0.31 | ) | (0.28 | ) | (0.23 | ) | (0.24 | ) | (0.21 | ) | ||||||||||
From net realized gain on investments | (0.82 | ) | (0.39 | ) | (0.35 | ) | (0.73 | ) | (0.34 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions to shareholders | (1.13 | ) | (0.67 | ) | (0.58 | ) | (0.97 | ) | (0.55 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value - End of year | $ | 9.50 | $ | 10.81 | $ | 10.83 | $ | 9.93 | $ | 10.16 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net assets - End of year (000’s omitted) | $ | 74,947 | $ | 61,673 | $ | 70,556 | $ | 39,523 | $ | 25,262 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return3 | (1.87 | %) | 6.37 | % | 15.65 | % | 8.36 | % | 3.37 | % | ||||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||||||
Expenses* | 0.05 | %4 | 0.05 | %5 | 0.05 | %5 | 0.05 | %6 | 0.05 | %7 | ||||||||||
Net investment income2 | 1.33 | % | 1.48 | % | 1.34 | % | 2.10 | % | 0.85 | % | ||||||||||
Series portfolio turnover8 | 42 | % | 37 | % | 19 | % | 24 | % | 49 | % | ||||||||||
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts: | ||||||||||||||||||||
0.04 | %4 | 0.03 | %5 | 0.05 | %5 | 0.08 | %6 | 0.11 | %7 |
1Calculated based on average shares outstanding during the years.
2Net investment income is affected by the timing of distributions from the Underlying Series in which the Series invest. The ratios do not include net investment income of the Underlying Series in which the Series invests.
3Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed.
4Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.81% for Manning & Napier Pro-Blend® Moderate Term Series—Class I and 0.82% for Manning & Napier Pro-Blend® Extended Term Series—Class I.
5Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.81% for Manning & Napier Pro-Blend® Moderate Term Series—Class I and 0.81% for Manning & Napier Pro-Blend® Extended Term Series—Class I.
6Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.82% for Manning & Napier Pro-Blend® Moderate Term Series—Class I and 0.82% for Manning & Napier Pro-Blend® Extended Term Series—Class I.
7Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.82% for Manning & Napier Pro-Blend® Moderate Term Series—Class I and 0.83% for Manning & Napier Pro-Blend® Extended Term Series—Class I.
8Reflects activity of the Series and does not include the activity of the Underlying Series.
The accompanying notes are an integral part of the financial statements.
50
Financial Highlights
TARGET 2025 SERIES CLASS K | FOR THE YEARS ENDED | FOR THE PERIOD | ||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 6/25/121 TO 10/31/12 | |||||||||||||
Per share data (for a share outstanding throughout each period): | ||||||||||||||||
Net asset value - Beginning of period | $ | 13.01 | $ | 12.50 | $ | 10.77 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income (loss)2,3 | 0.12 | 0.09 | 0.09 | (0.01 | ) | |||||||||||
Net realized and unrealized gain (loss) on Underlying Series | (0.40 | ) | 0.80 | 1.85 | 0.78 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | (0.28 | ) | 0.89 | 1.94 | 0.77 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Less distributions to shareholders: | ||||||||||||||||
From net investment income | (0.43 | ) | (0.34 | ) | (0.21 | ) | — | |||||||||
From net realized gain on investments | (0.48 | ) | (0.04 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (0.91 | ) | (0.38 | ) | (0.21 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value - End of period | $ | 11.82 | $ | 13.01 | $ | 12.50 | $ | 10.77 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets - End of period (000’s omitted) | $ | 11,896 | $ | 7,501 | $ | 710 | $ | 47,648 | 4 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total return5 | (2.31 | %) | 7.28 | % | 18.32 | % | 7.70 | % | ||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||
Expenses* | 0.30 | %6 | 0.30 | %7 | 0.30 | %7 | 0.30 | %8,9 | ||||||||
Net investment income (loss)3 | 1.01 | % | 0.66 | % | 0.80 | % | (0.30 | %)8 | ||||||||
Series portfolio turnover10 | 27 | % | 30 | % | 22 | % | — | 11 | ||||||||
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts: | ||||||||||||||||
| 0.39
| %6
|
| 0.59
| %7
|
| 10.70
| %7
|
| 259
| %8,9,12
| |||||
TARGET 2025 SERIES CLASS R | FOR THE YEARS ENDED | FOR THE PERIOD | ||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 6/25/121 TO 10/31/12 | |||||||||||||
Per share data (for a share outstanding throughout each period): | ||||||||||||||||
Net asset value - Beginning of period | $ | 13.02 | $ | 12.53 | $ | 10.75 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income (loss)2,3 | 0.13 | 0.10 | (0.01 | ) | (0.02 | ) | ||||||||||
Net realized and unrealized gain (loss) on Underlying Series | (0.43 | ) | 0.75 | 1.98 | 0.77 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | (0.30 | ) | 0.85 | 1.97 | 0.75 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Less distributions to shareholders: | ||||||||||||||||
From net investment income | (0.38 | ) | (0.32 | ) | (0.19 | ) | — | |||||||||
From net realized gain on investments | (0.48 | ) | (0.04 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (0.86 | ) | (0.36 | ) | (0.19 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value - End of period | $ | 11.86 | $ | 13.02 | $ | 12.53 | $ | 10.75 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets - End of period (000’s omitted) | $ | 2,101 | $ | 3,799 | $ | 1,540 | $ | 108 | 4 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total return5 | (2.44 | %) | 6.93 | % | 18.61 | % | 7.50 | % | ||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||
Expenses* | 0.55 | %6 | 0.55 | %7 | 0.55 | %7 | 0.55 | %8,9 | ||||||||
Net investment income (loss)3 | 1.07 | % | 0.75 | % | (0.10 | %) | (0.55 | %)8 | ||||||||
Series portfolio turnover10 | 27 | % | 30 | % | 22 | % | — | 11 | ||||||||
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts: | ||||||||||||||||
0.39 | %6 | 0.62 | %7 | 1.75 | %7 | 3,129 | %8,9,12 |
1Commencement of operations.
2Calculated based on average shares outstanding during the periods.
3Net investment income is affected by the timing of distributions from the Underlying Series in which the Series invest. The ratios do not include net investment income of the Underlying Series in which the Series invests.
4Represents the whole number without rounding to the 000s.
5Represents aggregate total return for the periods indicated. Total return would have been lower had certain expenses not been reimbursed. Periods less than one year are not annualized.
6Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.82% for Manning & Napier Pro-Blend® Extended Term Series—Class I and 0.83% for Manning & Napier Pro-Blend® Maximum Term Series—Class I.
7Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.81% for Manning & Napier Pro-Blend® Extended Term Series—Class I and 0.82% for Manning & Napier Pro-Blend® Maximum Term Series—Class I.
8Annualized.
9Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.82% for Manning & Napier Pro-Blend® Extended Term Series—Class I and 0.84% for Manning & Napier Pro-Blend® Maximum Term Series—Class I.
10Reflects activity of the Series and does not include the activity of the Underlying Series.
11Less than 1%.
12The increase to the expense ratios (to average net assets) is largely due to the small net assets in each class.
The accompanying notes are an integral part of the financial statements.
51
Financial Highlights
TARGET 2025 SERIES CLASS I | FOR THE YEARS ENDED | FOR THE PERIOD | ||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 6/25/121 TO 10/31/12 | |||||||||||||
Per share data (for a share outstanding throughout each period): | ||||||||||||||||
Net asset value - Beginning of period | $ | 12.98 | $ | 12.47 | $ | 10.77 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income2,3 | 0.16 | 0.16 | 0.12 | — | 4 | |||||||||||
Net realized and unrealized gain (loss) on Underlying Series | (0.40 | ) | 0.75 | 1.81 | 0.77 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | (0.24 | ) | 0.91 | 1.93 | 0.77 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Less distributions to shareholders: | ||||||||||||||||
From net investment income | (0.46 | ) | (0.36 | ) | (0.23 | ) | — | |||||||||
From net realized gain on investments | (0.48 | ) | (0.04 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (0.94 | ) | (0.40 | ) | (0.23 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value - End of period | $ | 11.80 | $ | 12.98 | $ | 12.47 | $ | 10.77 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets - End of period (000’s omitted) | $ | 15,539 | $ | 13,046 | $ | 9,373 | $ | 211 | 5 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total return6 | (2.00 | %) | 7.51 | % | 18.26 | % | 7.70 | % | ||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||
Expenses* | 0.05 | %7 | 0.05 | %8 | 0.05 | %8 | 0.05 | %9,10 | ||||||||
Net investment income (loss)3 | 1.29 | % | 1.22 | % | 1.03 | % | (0.05 | %)9 | ||||||||
Series portfolio turnover11 | 27 | % | 30 | % | 22 | % | — | 12 | ||||||||
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts: | ||||||||||||||||
0.39 | %7 | 0.64 | %8 | 1.43 | %8 | 1,967 | %9,10,13 |
1Commencement of operations.
2Calculated based on average shares outstanding during the periods.
3Net investment income is affected by the timing of distributions from the Underlying Series in which the Series invest. The ratios do not include net investment income of the Underlying Series in which the Series invests.
4Less than $0.01.
5Represents the whole number without rounding to the 000s.
6Represents aggregate total return for the periods indicated. Total return would have been lower had certain expenses not been reimbursed. Periods less than one year are not annualized.
7Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.82% for Manning & Napier Pro-Blend® Extended Term Series - Class I and 0.83% for Manning & Napier Pro-Blend® Maximum Term Series - Class I.
8Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.81% for Manning & Napier Pro-Blend® Extended Term Series - Class I and 0.82% for Manning & Napier Pro-Blend® Maximum Term Series - Class I.
9Annualized.
10Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.82% for Manning & Napier Pro-Blend® Extended Term Series - Class I and 0.84% for Manning & Napier Pro-Blend® Maximum Term Series - Class I.
11Reflects activity of the Series and does not include the activity of the Underlying Series.
12Less than 1%.
13The increase to the expense ratios (to average net assets) is largely due to the small net assets in each class.
The accompanying notes are an integral part of the financial statements.
52
Financial Highlights
TARGET 2030 SERIES CLASS K | FOR THE YEARS ENDED | |||||||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | ||||||||||||||||
Per share data (for a share outstanding throughout each year): | ||||||||||||||||||||
Net asset value - Beginning of year | $ | 11.52 | $ | 11.40 | $ | 9.94 | $ | 10.02 | $ | 10.15 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income1,2 | 0.11 | 0.10 | 0.10 | 0.14 | 0.16 | |||||||||||||||
Net realized and unrealized gain (loss) on Underlying Series | (0.34 | ) | 0.73 | 1.86 | 0.66 | 0.16 | ||||||||||||||
|
| �� |
|
|
|
|
|
|
|
| ||||||||||
Total from investment operations | (0.23 | ) | 0.83 | 1.96 | 0.80 | 0.32 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions to shareholders: | ||||||||||||||||||||
From net investment income | (0.44 | ) | (0.35 | ) | (0.15 | ) | (0.17 | ) | (0.15 | ) | ||||||||||
From net realized gain on investments | (1.07 | ) | (0.36 | ) | (0.35 | ) | (0.71 | ) | (0.30 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions to shareholders | (1.51 | ) | (0.71 | ) | (0.50 | ) | (0.88 | ) | (0.45 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value - End of year | $ | 9.78 | $ | 11.52 | $ | 11.40 | $ | 9.94 | $ | 10.02 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net assets - End of year (000’s omitted) | $ | 79,169 | $ | 118,788 | $ | 91,676 | $ | 67,510 | $ | 63,436 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return3 | (2.33 | %) | 7.67 | % | 20.56 | % | 9.12 | % | 3.15 | % | ||||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||||||
Expenses* | 0.30 | %4 | 0.30 | %5 | 0.30 | %5 | 0.30 | %6 | 0.30 | %7 | ||||||||||
Net investment income2 | 1.11 | % | 0.87 | % | 0.90 | % | 1.50 | % | 1.58 | % | ||||||||||
Series portfolio turnover8 | 38 | % | 27 | % | 9 | % | 62 | % | 40 | % | ||||||||||
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts: | ||||||||||||||||||||
| 0.04
| %4
|
| 0.03
| %5
|
| 0.05
| %5
|
| 0.09
| %6
|
| 0.11
| %7
| ||||||
TARGET 2030 SERIES CLASS R | FOR THE YEARS ENDED | |||||||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | ||||||||||||||||
Per share data (for a share outstanding throughout each year): | ||||||||||||||||||||
Net asset value - Beginning of year | $ | 11.37 | $ | 11.31 | $ | 9.87 | $ | 9.96 | $ | 10.09 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income1,2 | 0.10 | 0.07 | 0.07 | 0.09 | 0.11 | |||||||||||||||
Net realized and unrealized gain (loss) on Underlying Series | (0.30 | ) | 0.67 | 1.85 | 0.68 | 0.19 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (0.20 | ) | 0.74 | 1.92 | 0.77 | 0.30 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions to shareholders: | ||||||||||||||||||||
From net investment income | (0.40 | ) | (0.32 | ) | (0.13 | ) | (0.15 | ) | (0.13 | ) | ||||||||||
From net realized gain on investments | (1.07 | ) | (0.36 | ) | (0.35 | ) | (0.71 | ) | (0.30 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions to shareholders | (1.47 | ) | (0.68 | ) | (0.48 | ) | (0.86 | ) | (0.43 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value - End of year | $ | 9.70 | $ | 11.37 | $ | 11.31 | $ | 9.87 | $ | 9.96 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net assets - End of year (000’s omitted) | $ | 11,115 | $ | 20,894 | $ | 28,034 | $ | 18,759 | $ | 9,243 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return3 | (2.11 | %) | 6.90 | % | 20.19 | % | 8.84 | % | 2.94 | % | ||||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||||||
Expenses* | 0.55 | %4 | 0.55 | %5 | 0.55 | %5 | 0.55 | %6 | 0.55 | %7 | ||||||||||
Net investment income2 | 0.95 | % | 0.62 | % | 0.63 | % | 0.94 | % | 1.11 | % | ||||||||||
Series portfolio turnover8 | 38 | % | 27 | % | 9 | % | 62 | % | 40 | % | ||||||||||
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts: | ||||||||||||||||||||
0.04 | %4 | 0.03 | %5 | 0.05 | %5 | 0.09 | %6 | 0.11 | %7 |
1Calculated based on average shares outstanding during the years.
2Net investment income is affected by the timing of distributions from the Underlying Series in which the Series invest. The ratios do not include net investment income of the Underlying Series in which the Series invests.
3Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed.
4Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.82% for Manning & Napier Pro-Blend® Extended Term Series - Class I and 0.83% for Manning & Napier Pro-Blend® Maximum Term Series - Class I.
5Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.81% for Manning & Napier Pro-Blend® Extended Term Series - Class I and 0.82% for Manning & Napier Pro-Blend® Maximum Term Series - Class I.
6Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.82% for Manning & Napier Pro-Blend® Extended Term Series - Class I and 0.84% for Manning & Napier Pro-Blend® Maximum Term Series - Class I.
7Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.83% for Manning & Napier Pro-Blend® Extended Term Series - Class I and 0.84% for Manning & Napier Pro-Blend® Maximum Term Series - Class I.
8Reflects activity of the Series and does not include the activity of the Underlying Series.
The accompanying notes are an integral part of the financial statements.
53
Financial Highlights
TARGET 2030 SERIES CLASS I | FOR THE YEARS ENDED | |||||||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | ||||||||||||||||
Per share data (for a share outstanding throughout each year): | ||||||||||||||||||||
Net asset value - Beginning of year | $ | 11.61 | $ | 11.48 | $ | 10.01 | $ | 10.09 | $ | 10.21 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income1,2 | 0.12 | 0.14 | 0.12 | 0.17 | 0.07 | |||||||||||||||
Net realized and unrealized gain (loss) on Underlying Series | (0.32 | ) | 0.73 | 1.88 | 0.65 | 0.28 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (0.20 | ) | 0.87 | 2.00 | 0.82 | 0.35 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions to shareholders: | ||||||||||||||||||||
From net investment income | (0.47 | ) | (0.38 | ) | (0.18 | ) | (0.19 | ) | (0.17 | ) | ||||||||||
From net realized gain on investments | (1.07 | ) | (0.36 | ) | (0.35 | ) | (0.71 | ) | (0.30 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions to shareholders | (1.54 | ) | (0.74 | ) | (0.53 | ) | (0.90 | ) | (0.47 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value - End of year | $ | 9.87 | $ | 11.61 | $ | 11.48 | $ | 10.01 | $ | 10.09 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net assets - End of year (000’s omitted) | $ | 75,870 | $ | 58,075 | $ | 63,662 | $ | 37,832 | $ | 20,249 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return3 | (2.02 | %) | 7.95 | % | 20.81 | % | 9.36 | % | 3.47 | % | ||||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||||||
Expenses* | 0.05 | %4 | 0.05 | %5 | 0.05 | %5 | 0.05 | %6 | 0.05 | %7 | ||||||||||
Net investment income2 | 1.22 | % | 1.23 | % | 1.14 | % | 1.78 | % | 0.74 | % | ||||||||||
Series portfolio turnover8 | 38 | % | 27 | % | 9 | % | 62 | % | 40 | % | ||||||||||
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts: | ||||||||||||||||||||
0.04 | %4 | 0.03 | %5 | 0.05 | %5 | 0.09 | %6 | 0.12 | %7 |
1Calculated based on average shares outstanding during the years.
2Net investment income is affected by the timing of distributions from the Underlying Series in which the Series invest. The ratios do not include net investment income of the Underlying Series in which the Series invests.
3Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed.
4Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.82% for Manning & Napier Pro-Blend® Extended Term Series - Class I and 0.83% for Manning & Napier Pro-Blend® Maximum Term Series - Class I.
5Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.81% for Manning & Napier Pro-Blend® Extended Term Series - Class I and 0.82% for Manning & Napier Pro-Blend® Maximum Term Series - Class I.
6Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.82% for Manning & Napier Pro-Blend® Extended Term Series - Class I and 0.84% for Manning & Napier Pro-Blend® Maximum Term Series - Class I.
7Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.83% for Manning & Napier Pro-Blend® Extended Term Series - Class I and 0.84% for Manning & Napier Pro-Blend® Maximum Term Series - Class I.
8Reflects activity of the Series and does not include the activity of the Underlying Series.
The accompanying notes are an integral part of the financial statements.
54
Financial Highlights
TARGET 2035 SERIES CLASS K | FOR THE YEARS ENDED | FOR THE PERIOD | ||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 6/25/121 TO 10/31/12 | |||||||||||||
Per share data (for a share outstanding throughout each period): | ||||||||||||||||
Net asset value - Beginning of period | $ | 13.71 | $ | 13.22 | $ | 10.92 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income (loss)2,3 | 0.11 | 0.06 | 0.08 | (0.01 | ) | |||||||||||
Net realized and unrealized gain (loss) on Underlying Series | (0.38 | ) | 0.99 | 2.35 | 0.93 | 4 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | (0.27 | ) | 1.05 | 2.43 | 0.92 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Less distributions to shareholders: | ||||||||||||||||
From net investment income | (0.61 | ) | (0.46 | ) | (0.13 | ) | — | |||||||||
From net realized gain on investments | (0.51 | ) | (0.10 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (1.12 | ) | (0.56 | ) | (0.13 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value - End of period | $ | 12.32 | $ | 13.71 | $ | 13.22 | $ | 10.92 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets - End of period (000’s omitted) | $ | 8,979 | $ | 5,378 | $ | 465 | $ | 15,034 | 5 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total return6 | (2.20 | %) | 8.17 | % | 22.42 | % | 9.20 | % | ||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||
Expenses* | 0.30 | %7 | 0.30 | %8 | 0.30 | %8 | 0.30 | %9,10 | ||||||||
Net investment income (loss)3 | 0.86 | % | 0.44 | % | 0.66 | % | (0.30 | %)9 | ||||||||
Series portfolio turnover11 | 26 | % | 24 | % | 18 | % | — | 12 | ||||||||
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts: | ||||||||||||||||
| 0.52
| %7
|
| 0.83
| %8
|
| 9.70
| %8
|
| 4,581
| %9,10,13
| |||||
TARGET 2035 SERIES CLASS R | FOR THE YEARS ENDED | FOR THE PERIOD | ||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 6/25/121 TO 10/31/12 | |||||||||||||
Per share data (for a share outstanding throughout each period): | ||||||||||||||||
Net asset value - Beginning of period | $ | 13.72 | $ | 13.25 | $ | 10.91 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income (loss)2,3 | 0.08 | 0.07 | — | 14 | (0.02 | ) | ||||||||||
Net realized and unrealized gain (loss) on Underlying Series | (0.38 | ) | 0.93 | 2.44 | 0.93 | 4 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | (0.30 | ) | 1.00 | 2.44 | 0.91 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Less distributions to shareholders: | ||||||||||||||||
From net investment income | (0.57 | ) | (0.43 | ) | (0.10 | ) | — | |||||||||
From net realized gain on investments | (0.51 | ) | (0.10 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (1.08 | ) | (0.53 | ) | (0.10 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value - End of period | $ | 12.34 | $ | 13.72 | $ | 13.25 | $ | 10.91 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets - End of period (000’s omitted) | $ | 2,337 | $ | 2,911 | $ | 1,172 | $ | 109 | 5 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total return6 | (2.44 | %) | 7.82 | % | 22.50 | % | 9.10 | % | ||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||
Expenses* | 0.55 | %7 | 0.55 | %8 | 0.55 | %8 | 0.55 | %9,10 | ||||||||
Net investment income (loss)3 | 0.66 | % | 0.49 | % | 0.17 | % | (0.55 | %)9 | ||||||||
Series portfolio turnover11 | 26 | % | 24 | % | 18 | % | — | 12 | ||||||||
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts: | ||||||||||||||||
0.52 | %7 | 0.88 | %8 | 2.38 | %8 | 9,077 | %9,10,13 |
1Commencement of operations.
2Calculated based on average shares outstanding during the periods.
3Net investment income is affected by the timing of distributions from the Underlying Series in which the Series invest. The ratios do not include net investment income of the Underlying Series in which the Series invests.
4Amount does not coincide with the amount shown on the Statements of Changes in Net Assets due to the timing of capital stock transactions and when the Series experienced unrealized gains and losses during the period.
5Represents the whole number without rounding to the 000s.
6Represents aggregate total return for the periods indicated. Total return would have been lower had certain expenses not been reimbursed. Periods less than one year are not annualized.
7Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.82% for Manning & Napier Pro-Blend® Extended Term Series - Class I and 0.83% for Manning & Napier Pro-Blend® Maximum Term Series - Class I.
8Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.81% for Manning & Napier Pro-Blend® Extended Term Series - Class I and 0.82% for Manning & Napier Pro-Blend® Maximum Term Series - Class I.
9Annualized.
10Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.82% for Manning & Napier Pro-Blend® Extended Term Series - Class I and 0.84% for Manning & Napier Pro-Blend® Maximum Term Series - Class I.
11Reflects activity of the Series and does not include the activity of the Underlying Series.
12Less than 1%.
13The increase to the expense ratios (to average net assets) is largely due to the small net assets in each class.
14Less than $0.01.
The accompanying notes are an integral part of the financial statements.
55
Financial Highlights
TARGET 2035 SERIES CLASS I | FOR THE YEARS ENDED | FOR THE PERIOD | ||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 6/25/121 TO 10/31/12 | |||||||||||||
Per share data (for a share outstanding throughout each period): | ||||||||||||||||
Net asset value - Beginning of period | $ | 13.75 | $ | 13.25 | $ | 10.92 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income from investment operations: | ||||||||||||||||
Net investment income2,3 | 0.14 | 0.12 | 0.09 | — | 4 | |||||||||||
Net realized and unrealized gain (loss) on Underlying Series | (0.38 | ) | 0.96 | 2.38 | 0.92 | 5 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | (0.24 | ) | 1.08 | 2.47 | 0.92 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Less distributions to shareholders: | ||||||||||||||||
From net investment income | (0.64 | ) | (0.48 | ) | (0.14 | ) | — | |||||||||
From net realized gain on investments | (0.51 | ) | (0.10 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (1.15 | ) | (0.58 | ) | (0.14 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value - End of period | $ | 12.36 | $ | 13.75 | $ | 13.25 | $ | 10.92 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets - End of period (000’s omitted) | $ | 10,993 | $ | 9,487 | $ | 6,322 | $ | 213 | 6 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total return7 | (1.98 | %) | 8.43 | % | 22.81 | % | 9.20 | % | ||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||
Expenses* | 0.05 | %8 | 0.05 | %9 | 0.05 | %9 | 0.05 | %10,11 | ||||||||
Net investment income (loss)3 | 1.07 | % | 0.88 | % | 0.75 | % | (0.05 | %)10 | ||||||||
Series portfolio turnover12 | 26 | % | 24 | % | 18 | % | — | 13 | ||||||||
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts: | ||||||||||||||||
0.52 | %8 | 0.91 | %9 | 2.40 | %9 | 7,930 | %10,11,14 |
1Commencement of operations.
2Calculated based on average shares outstanding during the periods.
3Net investment income is affected by the timing of distributions from the Underlying Series in which the Series invest. The ratios do not include net investment income of the Underlying Series in which the Series invests.
4Less than $0.01.
5Amount does not coincide with the amount shown on the Statements of Changes in Net Assets due to the timing of capital stock transactions and when the Series experienced unrealized gains and losses during the period.
6Represents the whole number without rounding to the 000s.
7Represents aggregate total return for the periods indicated. Total return would have been lower had certain expenses not been reimbursed. Periods less than one year are not annualized.
8Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.82% for Manning & Napier Pro-Blend® Extended Term Series - Class I and 0.83% for Manning & Napier Pro-Blend® Maximum Term Series - Class I.
9Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.81% for Manning & Napier Pro-Blend® Extended Term Series - Class I and 0.82% for Manning & Napier Pro-Blend® Maximum Term Series - Class I.
10Annualized.
11Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.82% for Manning & Napier Pro-Blend® Extended Term Series - Class I and 0.84% for Manning & Napier Pro-Blend® Maximum Term Series - Class I.
12Reflects activity of the Series and does not include the activity of the Underlying Series.
13Less than 1%.
14The increase to the expense ratios (to average net assets) is largely due to the small net assets in each class.
The accompanying notes are an integral part of the financial statements.
56
Financial Highlights
TARGET 2040 SERIES CLASS K | FOR THE YEARS ENDED | |||||||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | ||||||||||||||||
Per share data (for a share outstanding throughout each year): | ||||||||||||||||||||
Net asset value - Beginning of year | $ | 12.50 | $ | 12.47 | $ | 10.29 | $ | 10.10 | $ | 10.20 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income1,2 | 0.09 | 0.07 | 0.06 | 0.07 | 0.09 | |||||||||||||||
Net realized and unrealized gain (loss) on Underlying Series | (0.32 | ) | 0.94 | 2.43 | 0.74 | (0.02 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (0.23 | ) | 1.01 | 2.49 | 0.81 | 0.07 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions to shareholders: | ||||||||||||||||||||
From net investment income | (0.61 | ) | (0.48 | ) | (0.07 | ) | (0.08 | ) | (0.08 | ) | ||||||||||
From net realized gain on investments | (1.53 | ) | (0.50 | ) | (0.24 | ) | (0.54 | ) | (0.09 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions to shareholders | (2.14 | ) | (0.98 | ) | (0.31 | ) | (0.62 | ) | (0.17 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value - End of year | $ | 10.13 | $ | 12.50 | $ | 12.47 | $ | 10.29 | $ | 10.10 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net assets - End of year (000’s omitted) | $ | 51,931 | $ | 83,655 | $ | 67,576 | $ | 51,273 | $ | 39,853 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return3 | (2.30 | %) | 8.61 | % | 24.81 | % | 8.97 | % | 0.70 | % | ||||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||||||
Expenses* | 0.30 | %4 | 0.30 | %5 | 0.30 | %5 | 0.30 | %6 | 0.30 | %7 | ||||||||||
Net investment income2 | 0.80 | % | 0.54 | % | 0.49 | % | 0.70 | % | 0.88 | % | ||||||||||
Series portfolio turnover8 | 45 | % | 22 | % | 13 | % | 24 | % | 19 | % | ||||||||||
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts: | ||||||||||||||||||||
| 0.08
| %4
|
| 0.06
| %5
|
| 0.09
| %5
|
| 0.14
| %6
|
| 0.17
| %7
| ||||||
TARGET 2040 SERIES CLASS R | FOR THE YEARS ENDED | |||||||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | ||||||||||||||||
Per share data (for a share outstanding throughout each year): | ||||||||||||||||||||
Net asset value - Beginning of year | $ | 12.33 | $ | 12.39 | $ | 10.22 | $ | 10.04 | $ | 10.14 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income1,2 | 0.07 | 0.03 | 0.02 | 0.05 | 0.05 | |||||||||||||||
Net realized and unrealized gain (loss) on Underlying Series | (0.24 | ) | 0.86 | 2.42 | 0.73 | — | 9 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (0.17 | ) | 0.89 | 2.44 | 0.78 | 0.05 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions to shareholders: | ||||||||||||||||||||
From net investment income | (0.57 | ) | (0.45 | ) | (0.03 | ) | (0.06 | ) | (0.06 | ) | ||||||||||
From net realized gain on investments | (1.53 | ) | (0.50 | ) | (0.24 | ) | (0.54 | ) | (0.09 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions to shareholders | (2.10 | ) | (0.95 | ) | (0.27 | ) | (0.60 | ) | (0.15 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value - End of year | $ | 10.06 | $ | 12.33 | $ | 12.39 | $ | 10.22 | $ | 10.04 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net assets - End of year (000’s omitted) | $ | 5,226 | $ | 10,469 | $ | 15,993 | $ | 11,827 | $ | 11,475 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return3 | (1.91 | %) | 7.60 | % | 24.50 | % | 8.67 | % | 0.50 | % | ||||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||||||
Expenses* | 0.55 | %4 | 0.55 | %5 | 0.55 | %5 | 0.55 | %6 | 0.55 | %7 | ||||||||||
Net investment income2 | 0.62 | % | 0.23 | % | 0.20 | % | 0.54 | % | 0.52 | % | ||||||||||
Series portfolio turnover8 | 45 | % | 22 | % | 13 | % | 24 | % | 19 | % | ||||||||||
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts: | ||||||||||||||||||||
0.08 | %4 | 0.06 | %5 | 0.09 | %5 | 0.14 | %6 | 0.17 | %7 |
1Calculated based on average shares outstanding during the years.
2Net investment income is affected by the timing of distributions from the Underlying Series in which the Series invest. The ratios do not include net investment income of the Underlying Series in which the Series invests.
3Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed.
4Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.82% for Manning & Napier Pro-Blend® Extended Term Series - Class I and 0.83% for Manning & Napier Pro-Blend® Maximum Term Series - Class I.
5Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.81% for Manning & Napier Pro-Blend® Extended Term Series - Class I and 0.82% for Manning & Napier Pro-Blend® Maximum Term Series - Class I.
6Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.82% for Manning & Napier Pro-Blend® Extended Term Series - Class I and 0.84% for Manning & Napier Pro-Blend® Maximum Term Series - Class I.
7Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.84%.
8Reflects activity of the Series and does not include the activity of the Underlying Series.
9Less than $0.01.
The accompanying notes are an integral part of the financial statements.
57
Financial Highlights
TARGET 2040 SERIES CLASS I | FOR THE YEARS ENDED | |||||||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | ||||||||||||||||
Per share data (for a share outstanding throughout each year): | ||||||||||||||||||||
Net asset value - Beginning of year | $ | 12.58 | $ | 12.55 | $ | 10.35 | $ | 10.16 | $ | 10.26 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income1,2 | 0.10 | 0.10 | 0.08 | 0.10 | 0.04 | |||||||||||||||
Net realized and unrealized gain (loss) on Underlying Series | (0.30 | ) | 0.94 | 2.45 | 0.74 | 0.06 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (0.20 | ) | 1.04 | 2.53 | 0.84 | 0.10 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions to shareholders: | ||||||||||||||||||||
From net investment income | (0.65 | ) | (0.51 | ) | (0.09 | ) | (0.11 | ) | (0.11 | ) | ||||||||||
From net realized gain on investments | (1.53 | ) | (0.50 | ) | (0.24 | ) | (0.54 | ) | (0.09 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions to shareholders | (2.18 | ) | (1.01 | ) | (0.33 | ) | (0.65 | ) | (0.20 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value - End of year | $ | 10.20 | $ | 12.58 | $ | 12.55 | $ | 10.35 | $ | 10.16 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net assets - End of year (000’s omitted) | $ | 43,552 | $ | 32,952 | $ | 33,545 | $ | 20,194 | $ | 11,298 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return3 | (2.08 | %) | 8.81 | % | 25.16 | % | 9.23 | % | 0.93 | % | ||||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||||||
Expenses* | 0.05 | %4 | 0.05 | %5 | 0.05 | %5 | 0.05 | %6 | 0.05 | %7 | ||||||||||
Net investment income2 | 0.96 | % | 0.79 | % | 0.71 | % | 0.99 | % | 0.35 | % | ||||||||||
Series portfolio turnover8 | 45 | % | 22 | % | 13 | % | 24 | % | 19 | % | ||||||||||
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts: | ||||||||||||||||||||
0.08 | %4 | 0.06 | %5 | 0.09 | %5 | 0.14 | %6 | 0.18 | %7 |
1Calculated based on average shares outstanding during the years.
2Net investment income is affected by the timing of distributions from the Underlying Series in which the Series invest. The ratios do not include net investment income of the Underlying Series in which the Series invests.
3Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed.
4Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.82% for Manning & Napier Pro-Blend® Extended Term Series - Class I and 0.83% for Manning & Napier Pro-Blend® Maximum Term Series - Class I.
5Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.81% for Manning & Napier Pro-Blend® Extended Term Series - Class I and 0.82% for Manning & Napier Pro-Blend® Maximum Term Series - Class I.
6Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.82% for Manning & Napier Pro-Blend® Extended Term Series - Class I and 0.84% for Manning & Napier Pro-Blend® Maximum Term Series - Class I.
7Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.84%.
8Reflects activity of the Series and does not include the activity of the Underlying Series.
The accompanying notes are an integral part of the financial statements.
58
Financial Highlights
TARGET 2045 SERIES CLASS K | FOR THE YEARS ENDED | FOR THE PERIOD 6/25/121 TO 10/31/12 | ||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | ||||||||||||||
Per share data (for a share outstanding throughout each period): | ||||||||||||||||
Net asset value - Beginning of period | $ | 14.32 | $ | 13.73 | $ | 11.01 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income (loss)2,3 | 0.08 | 0.03 | 0.03 | (0.01 | ) | |||||||||||
Net realized and unrealized gain (loss) on Underlying Series | (0.34 | ) | 1.15 | 2.74 | 1.02 | 4 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | (0.26 | ) | 1.18 | 2.77 | 1.01 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Less distributions to shareholders: | ||||||||||||||||
From net investment income | (0.77 | ) | (0.52 | ) | (0.05 | ) | — | |||||||||
From net realized gain on investments | (0.58 | ) | (0.07 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (1.35 | ) | (0.59 | ) | (0.05 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value - End of period | $ | 12.71 | $ | 14.32 | $ | 13.73 | $ | 11.01 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets - End of period (000’s omitted) | $ | 3,812 | $ | 3,041 | $ | 234 | $ | 3,320 | 5 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total return6 | (2.10 | %) | 8.90 | % | 25.23 | % | 10.10 | % | ||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||
Expenses* | 0.30 | %7 | 0.30 | %8 | 0.30 | %8 | 0.30 | %9,10 | ||||||||
Net investment income (loss)3 | 0.58 | % | 0.23 | % | 0.26 | % | (0.30 | %)9 | ||||||||
Series portfolio turnover11 | 28 | % | 48 | % | 20 | % | — | 12 | ||||||||
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts: | ||||||||||||||||
| 1.21
| %7
|
| 1.95
| %8
|
| 17.80
| %8
|
| 3,204
| %9,10,13
| |||||
TARGET 2045 SERIES CLASS R | FOR THE YEARS ENDED | FOR THE PERIOD 6/25/121 TO 10/31/12 | ||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | ||||||||||||||
Per share data (for a share outstanding throughout each period): | ||||||||||||||||
Net asset value - Beginning of period | $ | 14.25 | $ | 13.66 | $ | 10.99 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income (loss)2,3 | 0.05 | 0.02 | 0.01 | (0.02 | ) | |||||||||||
Net realized and unrealized gain (loss) on Underlying Series | (0.35 | ) | 1.13 | 2.71 | 1.01 | 4 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | (0.30 | ) | 1.15 | 2.72 | 0.99 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Less distributions to shareholders: | ||||||||||||||||
From net investment income | (0.73 | ) | (0.49 | ) | (0.05 | ) | — | |||||||||
From net realized gain on investments | (0.58 | ) | (0.07 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (1.31 | ) | (0.56 | ) | (0.05 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value - End of period | $ | 12.64 | $ | 14.25 | $ | 13.66 | $ | 10.99 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets - End of period (000’s omitted) | $ | 1,631 | $ | 1,825 | $ | 618 | $ | 110 | 5 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total return6 | (2.41 | %) | 8.71 | % | 24.87 | % | 9.90 | % | ||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||
Expenses* | 0.55 | %7 | 0.55 | %8 | 0.55 | %8 | 0.55 | %9,10 | ||||||||
Net investment income (loss)3 | 0.36 | % | 0.12 | % | 0.11 | % | (0.55 | %)9 | ||||||||
Series portfolio turnover11 | 28 | % | 48 | % | 20 | % | — | 12 | ||||||||
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts: | ||||||||||||||||
1.21 | %7 | 2.06 | %8 | 9.07 | %8 | 8,326 | %9,10,13 | |||||||||
1Commencement of operations.
2Calculated based on average shares outstanding during the periods.
3Net investment income is affected by the timing of distributions from the Underlying Series in which the Series invest. The ratios do not include net investment income of the Underlying Series in which the Series invests.
4Amount does not coincide with the amount shown on the Statements of Changes in Net Assets due to the timing of capital stock transactions and when the Series experienced unrealized gains and losses during the period.
5Represents the whole number without rounding to the 000s.
6Represents aggregate total return for the periods indicated. Total return would have been lower had certain expenses not been reimbursed. Periods less than one year are not annualized.
7Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.83%.
8Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.82%.
9Annualized.
10Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.84%.
11Reflects activity of the Series and does not include the activity of the Underlying Series.
12Less than 1%.
13The increase to the expense ratios (to average net assets) is largely due to the small net assets in each class.
The accompanying notes are an integral part of the financial statements.
59
Financial Highlights
TARGET 2045 SERIES CLASS I | FOR THE YEARS ENDED | FOR THE PERIOD 6/25/121 TO 10/31/12 | ||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | ||||||||||||||
Per share data (for a share outstanding throughout each period): | ||||||||||||||||
Net asset value - Beginning of period | $ | 14.35 | $ | 13.75 | $ | 11.01 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income from investment operations: | ||||||||||||||||
Net investment income2,3 | 0.11 | 0.08 | 0.06 | — | 4 | |||||||||||
Net realized and unrealized gain (loss) on Underlying Series | (0.35 | ) | 1.14 | 2.74 | 1.01 | 5 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | (0.24 | ) | 1.22 | 2.80 | 1.01 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Less distributions to shareholders: | ||||||||||||||||
From net investment income | (0.80 | ) | (0.55 | ) | (0.06 | ) | — | |||||||||
From net realized gain on investments | (0.58 | ) | (0.07 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (1.38 | ) | (0.62 | ) | (0.06 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value - End of period | $ | 12.73 | $ | 14.35 | $ | 13.75 | $ | 11.01 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets - End of period (000’s omitted) | $ | 4,494 | $ | 2,894 | $ | 1,983 | $ | 214 | 6 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total return7 | (1.92 | %) | 9.15 | % | 25.58 | % | 10.10 | % | ||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||
Expenses* | 0.05 | %8 | 0.05 | %9 | 0.05 | %9 | 0.05 | %10,11 | ||||||||
Net investment income (loss)3 | 0.86 | % | 0.57 | % | 0.46 | % | (0.05 | %)10 | ||||||||
Series portfolio turnover12 | 28 | % | 48 | % | 20 | % | — | 13 | ||||||||
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts: | ||||||||||||||||
1.21 | %8 | 2.14 | %9 | 6.82 | %9 | 7,036 | %10,11,14 |
1Commencement of operations.
2Calculated based on average shares outstanding during the periods.
3Net investment income is affected by the timing of distributions from the Underlying Series in which the Series invest. The ratios do not include net investment income of the Underlying Series in which the Series invests.
4Less than $0.01.
5Amount does not coincide with the amount shown on the Statements of Changes in Net Assets due to the timing of capital stock transactions and when the Series experienced unrealized gains and losses during the period.
6Represents the whole number without rounding to the 000s.
7Represents aggregate total return for the periods indicated. Total return would have been lower had certain expenses not been reimbursed. Periods less than one year are not annualized.
8Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.83%.
9Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.82%.
10Annualized.
11Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.84%.
12Reflects activity of the Series and does not include the activity of the Underlying Series.
13Less than 1%.
14The increase to the expense ratios (to average net assets) is largely due to the small net assets in each class.
The accompanying notes are an integral part of the financial statements.
60
Financial Highlights
TARGET 2050 SERIES CLASS K | FOR THE YEARS ENDED | |||||||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | ||||||||||||||||
Per share data (for a share outstanding throughout each year): | ||||||||||||||||||||
Net asset value - Beginning of year | $ | 13.73 | $ | 13.52 | $ | 10.81 | $ | 10.20 | $ | 10.22 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income1,2 | 0.09 | 0.05 | 0.05 | 0.07 | 0.09 | |||||||||||||||
Net realized and unrealized gain (loss) on Underlying Series | (0.32 | ) | 1.07 | 2.74 | 0.81 | (0.01 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (0.23 | ) | 1.12 | 2.79 | 0.88 | 0.08 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions to shareholders: | ||||||||||||||||||||
From net investment income | (0.72 | ) | (0.54 | ) | (0.05 | ) | (0.08 | ) | (0.08 | ) | ||||||||||
From net realized gain on investments | (1.43 | ) | (0.37 | ) | (0.03 | ) | (0.19 | ) | (0.02 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions to shareholders | (2.15 | ) | (0.91 | ) | (0.08 | ) | (0.27 | ) | (0.10 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value - End of year | $ | 11.35 | $ | 13.73 | $ | 13.52 | $ | 10.81 | $ | 10.20 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net assets - End of year (000’s omitted) | $ | 15,144 | $ | 47,531 | $ | 36,591 | $ | 24,759 | $ | 18,293 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return3 | (2.15 | %) | 8.80 | % | 25.99 | % | 9.07 | % | 0.76 | % | ||||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||||||
Expenses* | 0.30 | %4 | 0.30 | %5 | 0.30 | %5 | 0.30 | %6 | 0.30 | %6 | ||||||||||
Net investment income2 | 0.72 | % | 0.40 | % | 0.37 | % | 0.69 | % | 0.82 | % | ||||||||||
Series portfolio turnover7 | 49 | % | 13 | % | 5 | % | 5 | % | 10 | % | ||||||||||
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts: | ||||||||||||||||||||
| 0.26
| %4
|
| 0.18
| %5
|
| 0.26
| %5
|
| 0.43
| %6
|
| 0.54
| %6
| ||||||
TARGET 2050 SERIES CLASS R | FOR THE YEARS ENDED | |||||||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | ||||||||||||||||
Per share data (for a share outstanding throughout each year): | ||||||||||||||||||||
Net asset value - Beginning of year | $ | 13.60 | $ | 13.43 | $ | 10.74 | $ | 10.14 | $ | 10.16 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income1,2 | 0.06 | 0.01 | 0.01 | 0.05 | 0.06 | |||||||||||||||
Net realized and unrealized gain (loss) on Underlying Series | (0.29 | ) | 1.04 | 2.73 | 0.80 | — | 8 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (0.23 | ) | 1.05 | 2.74 | 0.85 | 0.06 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions to shareholders: | ||||||||||||||||||||
From net investment income | (0.69 | ) | (0.51 | ) | (0.02 | ) | (0.06 | ) | (0.06 | ) | ||||||||||
From net realized gain on investments | (1.43 | ) | (0.37 | ) | (0.03 | ) | (0.19 | ) | (0.02 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions to shareholders | (2.12 | ) | (0.88 | ) | (0.05 | ) | (0.25 | ) | (0.08 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value - End of year | $ | 11.25 | $ | 13.60 | $ | 13.43 | $ | 10.74 | $ | 10.14 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net assets - End of year (000’s omitted) | $ | 2,215 | $ | 5,140 | $ | 5,022 | $ | 3,448 | $ | 2,686 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return3 | (2.17 | %) | 8.28 | % | 25.69 | % | 8.75 | % | 0.56 | % | ||||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||||||
Expenses* | 0.55 | %4 | 0.55 | %5 | 0.55 | %5 | 0.55 | %6 | 0.55 | %6 | ||||||||||
Net investment income2 | 0.54 | % | 0.10 | % | 0.11 | % | 0.45 | % | 0.55 | % | ||||||||||
Series portfolio turnover7 | 49 | % | 13 | % | 5 | % | 5 | % | 10 | % | ||||||||||
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts: | ||||||||||||||||||||
0.26 | %4 | 0.18 | %5 | 0.26 | %5 | 0.43 | %6 | 0.54 | %6 |
1Calculated based on average shares outstanding during the years.
2Net investment income is affected by the timing of distributions from the Underlying Series in which the Series invest. The ratios do not include net investment income of the Underlying Series in which the Series invests.
3Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed.
4Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.83%.
5Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.82%.
6Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.84%.
7Reflects activity of the Series and does not include the activity of the Underlying Series.
8Less than $0.01.
The accompanying notes are an integral part of the financial statements.
61
Financial Highlights
TARGET 2050 SERIES CLASS I | FOR THE YEARS ENDED | |||||||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | ||||||||||||||||
Per share data (for a share outstanding throughout each year): | ||||||||||||||||||||
Net asset value - Beginning of year | $ | 13.82 | $ | 13.60 | $ | 10.88 | $ | 10.26 | $ | 10.28 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income1,2 | 0.10 | 0.08 | 0.07 | 0.09 | 0.03 | |||||||||||||||
Net realized and unrealized gain (loss) on Underlying Series | (0.29 | ) | 1.08 | 2.76 | 0.83 | 0.08 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (0.19 | ) | 1.16 | 2.83 | 0.92 | 0.11 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions to shareholders: | ||||||||||||||||||||
From net investment income | (0.77 | ) | (0.57 | ) | (0.08 | ) | (0.11 | ) | (0.11 | ) | ||||||||||
From net realized gain on investments | (1.43 | ) | (0.37 | ) | (0.03 | ) | (0.19 | ) | (0.02 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions to shareholders | (2.20 | ) | (0.94 | ) | (0.11 | ) | (0.30 | ) | (0.13 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value - End of year | $ | 11.43 | $ | 13.82 | $ | 13.60 | $ | 10.88 | $ | 10.26 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net assets - End of year (000’s omitted) | $ | 15,688 | $ | 12,077 | $ | 9,042 | $ | 4,016 | $ | 2,121 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return3 | (1.82 | %) | 9.07 | % | 26.21 | % | 9.39 | % | 0.98 | % | ||||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||||||
Expenses* | 0.05 | %4 | 0.05 | %5 | 0.05 | %5 | 0.05 | %6 | 0.05 | %6 | ||||||||||
Net investment income2 | 0.84 | % | 0.62 | % | 0.57 | % | 0.89 | % | 0.25 | % | ||||||||||
Series portfolio turnover7 | 49 | % | 13 | % | 5 | % | 5 | % | 10 | % | ||||||||||
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts: | ||||||||||||||||||||
0.26 | %4 | 0.18 | %5 | 0.26 | %5 | 0.43 | %6 | 0.57 | %6 |
1Calculated based on average shares outstanding during the years.
2Net investment income is affected by the timing of distributions from the Underlying Series in which the Series invest. The ratios do not include net investment income of the Underlying Series in which the Series invests.
3Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed.
4Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.83%.
5Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.82%.
6Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.84%.
7Reflects activity of the Series and does not include the activity of the Underlying Series.
The accompanying notes are an integral part of the financial statements.
62
Financial Highlights
TARGET 2055 SERIES CLASS K | FOR THE YEARS ENDED | FOR THE PERIOD 6/25/121 TO 10/31/12 | ||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | ||||||||||||||
Per share data (for a share outstanding throughout each period): | ||||||||||||||||
Net asset value - Beginning of period | $ | 13.94 | $ | 13.85 | $ | 11.04 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income (loss)2,3 | 0.09 | 0.06 | (0.02 | ) | (0.01 | ) | ||||||||||
Net realized and unrealized gain (loss) on Underlying Series | (0.35 | ) | 1.05 | 2.86 | 1.05 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | (0.26 | ) | 1.11 | 2.84 | 1.04 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Less distributions to shareholders: | ||||||||||||||||
From net investment income | (0.74 | ) | (0.55 | ) | (0.03 | ) | — | |||||||||
From net realized gain on investments | (0.38 | ) | (0.47 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (1.12 | ) | (1.02 | ) | (0.03 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value - End of period | $ | 12.56 | $ | 13.94 | $ | 13.85 | $ | 11.04 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets - End of period (000’s omitted) | $ | 1,142 | $ | 1,777 | $ | 208 | $ | 214 | 4 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total return5 | (2.06 | %) | 8.50 | % | 25.79 | % | 10.40 | % | ||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||
Expenses* | 0.30 | %6 | 0.30 | %7 | 0.30 | %7 | 0.30 | %8,9 | ||||||||
Net investment income (loss)3 | 0.68 | % | 0.43 | % | (0.17 | %) | (0.30 | %)8 | ||||||||
Series portfolio turnover10 | 55 | % | 63 | % | 605 | % | — | 11 | ||||||||
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts: | ||||||||||||||||
| 3.68
| %6
|
| 4.79
| %7
|
| 62.25
| %7
|
| 19,197
| %8,9,12
| |||||
TARGET 2055 SERIES CLASS R | FOR THE YEARS ENDED | FOR THE PERIOD 6/25/121 TO 10/31/12 | ||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | ||||||||||||||
Per share data (for a share outstanding throughout each period): | ||||||||||||||||
Net asset value - Beginning of period | $ | 13.83 | $ | 13.77 | $ | 11.03 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income (loss)2,3 | 0.05 | 0.03 | (0.01 | ) | (0.02 | ) | ||||||||||
Net realized and unrealized gain (loss) on Underlying Series | (0.34 | ) | 1.04 | 2.77 | 1.05 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | (0.29 | ) | 1.07 | 2.76 | 1.03 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Less distributions to shareholders: | ||||||||||||||||
From net investment income | (0.71 | ) | (0.54 | ) | (0.02 | ) | — | |||||||||
From net realized gain on investments | (0.38 | ) | (0.47 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (1.09 | ) | (1.01 | ) | (0.02 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value - End of period | $ | 12.45 | $ | 13.83 | $ | 13.77 | $ | 11.03 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets - End of period (000’s omitted) | $ | 409 | $ | 515 | $ | 51 | $ | 110 | 4 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total return5 | (2.32 | %) | 8.21 | % | 25.01 | % | 10.30 | % | ||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||
Expenses* | 0.55 | %6 | 0.55 | %7 | 0.55 | %7 | 0.55 | %8,9 | ||||||||
Net investment income (loss)3 | 0.39 | % | 0.24 | % | (0.07 | %) | (0.55 | %)8 | ||||||||
Series portfolio turnover10 | 55 | % | 63 | % | 605 | % | — | 11 | ||||||||
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts: | ||||||||||||||||
3.68 | %6 | 5.39 | %7 | 129.56 | %7 | 19,015 | %8,9,12 |
1Commencement of operations.
2Calculated based on average shares outstanding during the periods.
3Net investment income is affected by the timing of distributions from the Underlying Series in which the Series invest. The ratios do not include net investment income of the Underlying Series in which the Series invests.
4Represents the whole number without rounding to the 000s.
5Represents aggregate total return for the periods indicated. Total return would have been lower had certain expenses not been reimbursed. Periods less than one year are not annualized.
6Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.83%.
7Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.82%.
8Annualized.
9Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.84%.
10Reflects activity of the Series and does not include the activity of the Underlying Series.
11The Series had no portfolio turnover for the period.
12The increase to the expense ratios (to average net assets) is largely due to the small net assets in each class.
The accompanying notes are an integral part of the financial statements.
63
Financial Highlights
TARGET 2055 SERIES CLASS I | FOR THE YEARS ENDED | FOR THE PERIOD 6/25/121 TO 10/31/12 | ||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | ||||||||||||||
Per share data (for a share outstanding throughout each period): | ||||||||||||||||
Net asset value - Beginning of period | $ | 14.05 | $ | 13.94 | $ | 11.05 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income from investment operations: | ||||||||||||||||
Net investment income2,3 | 0.10 | 0.08 | — | 4 | — | 4 | ||||||||||
Net realized and unrealized gain (loss) on Underlying Series | (0.33 | ) | 1.07 | 2.94 | 1.05 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | (0.23 | ) | 1.15 | 2.94 | 1.05 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Less distributions to shareholders: | ||||||||||||||||
From net investment income | (0.78 | ) | (0.57 | ) | (0.05 | ) | — | |||||||||
From net realized gain on investments | (0.38 | ) | (0.47 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (1.16 | ) | (1.04 | ) | (0.05 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value - End of period | $ | 12.66 | 14.05 | 13.94 | 11.05 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets - End of period (000’s omitted) | $ | 1,658 | $ | 872 | $ | 366 | $ | 215 | 5 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total return6 | (1.83 | %) | 8.75 | % | 26.67 | % | 10.50 | % | ||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||
Expenses* | 0.05 | %7 | 0.05 | %8 | 0.05 | %8 | 0.05 | %9,10 | ||||||||
Net investment income (loss)3 | 0.80 | % | 0.57 | % | (0.03 | %) | (0.05 | %)9 | ||||||||
Series portfolio turnover11 | 55 | % | 63 | % | 605 | % | — | 12 | ||||||||
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average the expense ratios (to average net assets) would have been increased by the following amount: | ||||||||||||||||
3.68 | %7 | 7.80 | %8 | 8.21 | %8 | 19,201 | %9,10,13 |
1Commencement of operations.
2Calculated based on average shares outstanding during the periods.
3Net investment income is affected by the timing of distributions from the Underlying Series in which the Series invest. The ratios do not include net investment income of the Underlying Series in which the Series invests.
4Less than $0.01.
5Represents the whole number without rounding to the 000s.
6Represents aggregate total return for the periods indicated. Total return would have been lower had certain expenses not been reimbursed. Periods less than one year are not annualized.
7Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.83%.
8Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.82%.
9Annualized.
10Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.84%.
11Reflects activity of the Series and does not include the activity of the Underlying Series.
12The Series had no portfolio turnover for the period.
13The increase to the expense ratios (to average net assets) is largely due to the small net assets in each class.
The accompanying notes are an integral part of the financial statements.
64
Financial Highlights
TARGET 2060 SERIES CLASS K | FOR THE PERIOD 9/21/151 TO 10/31/15 | |||
Per share data (for a share outstanding throughout the period): | ||||
Net asset value - Beginning of period | $ | 10.00 | ||
|
| |||
Loss from investment operations: | ||||
Net investment loss2,3 | (0.00 | )4 | ||
Net realized and unrealized gain on Underlying Series | 0.36 | |||
|
| |||
Total from investment operations | 0.36 | |||
|
| |||
Net asset value - End of period | $ | 10.36 | ||
|
| |||
Net assets - End of period (000’s omitted) | $ | 52 | ||
|
| |||
Total return5 | 3.60 | % | ||
Ratios (to average net assets)/Supplemental Data: | ||||
Expenses* | 0.30 | %6,7 | ||
Net investment loss3 | (0.30 | %)6 | ||
Series portfolio turnover8 | 4 | % | ||
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts: | ||||
| 151.35
| %6,7,9
| ||
TARGET 2060 SERIES CLASS R | FOR THE PERIOD 9/21/151 TO 10/31/15 | |||
Per share data (for a share outstanding throughout the period): | ||||
Net asset value - Beginning of period | $ | 10.00 | ||
|
| |||
Income (loss) from investment operations: | ||||
Net investment loss2,3 | (0.01 | )4 | ||
Net realized and unrealized gain on Underlying Series | 0.37 | |||
|
| |||
Total from investment operations | 0.36 | |||
|
| |||
Net asset value - End of period | $ | 10.36 | ||
|
| |||
Net assets - End of period (000’s omitted) | $ | 56 | ||
|
| |||
Total return5 | 3.60 | % | ||
Ratios (to average net assets)/Supplemental Data: | ||||
Expenses* | 0.55 | %6,7 | ||
Net investment loss3 | (0.55 | %)6 | ||
Series portfolio turnover8 | 4 | % | ||
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts: | ||||
151.35 | %6,7,9 |
1Commencement of operations.
2Calculated based on average shares outstanding during the period.
3Net investment income is affected by the timing of distributions from the Underlying Series in which the Series invest. The ratios do not include net investment income of the Underlying Series in which the Series invests.
4Less than $(0.01).
5Represents aggregate total return for the period indicated. Total return would have been lower had certain expenses not been reimbursed during the period. Periods less than one year are not annualized.
6Annualized.
7Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.83%.
8Reflects activity of the Series and does not include the activity of the Underlying Series.
9The increase to the expense ratios (to average net assets) is largely due to the small net assets in each class.
The accompanying notes are an integral part of the financial statements.
65
Financial Highlights
TARGET 2060 SERIES CLASS I | FOR THE PERIOD 9/21/151 TO 10/31/15 | |||
Per share data (for a share outstanding throughout the period): | ||||
Net asset value - Beginning of period | $ | 10.00 | ||
|
| |||
Income from investment operations: | ||||
Net investment income2,3 | (0.00 | )4 | ||
Net realized and unrealized gain (loss) on Underlying Series | 0.36 | |||
|
| |||
Total from investment operations | 0.36 | |||
|
| |||
Net asset value - End of period | $ | 10.36 | ||
|
| |||
Net assets - End of period (000’s omitted) | $ | 52 | ||
|
| |||
Total return5 | 3.60 | % | ||
Ratios (to average net assets)/Supplemental Data: | ||||
Expenses* | 0.05 | %6,7 | ||
Net investment loss3 | (0.05 | %)6 | ||
Series portfolio turnover8 | 4 | % | ||
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratios (to average net assets) would have been increased by the following amounts: | ||||
151.34 | %6,7,9 |
1Commencement of operations.
2Calculated based on average shares outstanding during the period.
3Net investment income is affected by the timing of distributions from the Underlying Series in which the Series invest. The ratios do not include net investment income of the Underlying Series in which the Series invests.
4Less than $(0.01).
5Represents aggregate total return for the period indicated. Total return would have been lower had certain expenses not been reimbursed during the period. Periods less than one year are not annualized.
6Annualized.
7Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.83%.
8Reflects activity of the Series and does not include the activity of the Underlying Series.
9The increase to the expense ratios (to average net assets) is largely due to the small net assets in each class.
The accompanying notes are an integral part of the financial statements.
66
Notes to Financial Statements
1. | Organization |
Target Income Series, Target 2015 Series, Target 2020 Series, Target 2025 Series, Target 2030 Series, Target 2035 Series, Target 2040 Series, Target 2045 Series, Target 2050 Series, Target 2055 Series and Target 2060 Series (each the “Series”) are no-load diversified series of Manning & Napier Fund, Inc. (the “Fund”). The Fund is organized in Maryland and is registered under the Investment Company Act of 1940 (the “1940 Act”), as amended, as an open-end management investment company.
Each Series seeks to achieve its investment objectives by investing in a combination of other Manning & Napier mutual funds (the “Underlying Series”) according to a target asset allocation strategy. The Series are designed to provide single investment portfolios that adjust over time to meet the changing risk and return objectives of investors over their expected investment horizon. As the target retirement date approaches, the Series’ portfolios become more conservative with a larger fixed-income investment component. The financial statements of the Underlying Series should be read in conjunction with the Series’ financial statements.
Each Series is authorized to issue three classes of shares (Class K, R and I). Each class of shares is substantially the same, except that class-specific distribution and shareholder servicing expenses are borne by the specific class of shares to which they relate.
The Fund’s Advisor is Manning & Napier Advisors, LLC (the “Advisor”). Shares of each Series are offered to investors and employees of the Advisor and its affiliates. The total authorized capital stock of the Fund consists of 15 billion shares of common stock each having a par value of $0.01. As of October 31, 2015, 10.7 billion shares have been designated in total among 41 series, of which 40 million have been designated in each of the Series for Class K and R common stock and 100 million have been designated in each of the Series for Class I common stock.
Reorganization
The Board of Directors (the “Board”) of Target Income Series and of Target 2010 Series, each a Series of the Fund, approved the reorganization of Target 2010 Series into Target Income Series pursuant to which Target Income Series acquired substantially all of the assets and assumed certain stated liabilities of Target 2010 Series in exchange for an equal aggregate value of Target Income Series shares.
Each shareholder of Target 2010 Series received shares of Target Income Series with the same class designation and an aggregate Net Asset Value of such shareholder’s Target 2010 Series shares, as determined at the close of business on September 18, 2015.
The reorganization was accomplished by a tax-free exchange of shares of Target Income Series in the following amounts and at the following conversion ratios:
TARGET 2010 PRIOR TO | CONVERSION RATIO | SHARES OF TARGET INCOME SERIES | ||||||||||
Class K | 2,511,185 | 0.910502 | 2,286,439 | |||||||||
Class R | 81,698 | 0.914253 | 74,693 | |||||||||
Class I | 1,590,529 | 0.911450 | 1,449,688 |
Target 2010 Series’ net assets and composition of net assets on September 18, 2015, the date of the reorganization, were as follows:
NET ASSETS | PAID-IN CAPITAL | ACCUMULATED NET INVESTMENT LOSS | ACCUMULATED NET REALIZED GAINS | NET UNREALIZED DEPRECIATION | ||||||||||||
$36,429,313 | $ | 38,765,154 | $ (528,334 | ) | $ | 458,766 | $ (2,266,273 | ) |
67
Notes to Financial Statements (continued)
1. | Organization (continued) |
Reorganization (continued)
For financial reporting purposes, assets received and shares issued by Target Income Series were recorded at fair value; however, the cost basis of the investments received from Target 2010 Series was carried forward to align ongoing reporting of Target Income Series’ realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.
The aggregate net assets of Target Income Series immediately after the acquisition amounted to $96,959,284. Target 2010 Series’ fair value and cost of investments prior to the reorganization were $36,437,090 and $38,703,363, respectively.
The purpose of the transaction was to combine two funds managed by the Advisor, the investment advisor to both Target Income Series and Target 2010 Series, with the same or substantially similar (but not identical) investment objectives, investment policies, strategies, risks and restrictions. The reorganization was effective on September 21, 2015.
Assuming the acquisition had been completed on November 1, 2014, the beginning of the annual reporting period for Target Income Series, the pro forma results of operations for the year ended October 31, 2015, are as follows:
• | Net investment income: $1,945,513 |
• | Net realized and change in unrealized gain/loss on investments: ($3,429,309) |
• | Net decrease in the net assets resulting from operations: ($1,483,796) |
Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of Target 2010 Series that have been included in the Target Income Series’ Statement of Operations since September 21, 2015.
Reorganization costs incurred by Target Income Series in connection with the reorganization were paid by the Advisor.
2. | Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Series. Each Series is an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 - Investment Companies, which is part of accounting principles generally accepted in the United States of America (“GAAP”).
Security Valuation
Investments in the Underlying Series are valued at their net asset value per share on valuation date. In the absence of the availability of a net asset value per share on the Underlying Series, security valuations may be determined in good faith by the Advisor under procedures approved by and under the general supervision and responsibility of the Fund’s Board of Directors (the “Board”).
Volume and level of activity in established markets for an asset or liability are evaluated to determine whether recent transactions and quoted prices are determinative of fair value. Where there have been significant decreases in volume and level of activity, further analysis and adjustment may be necessary to estimate fair value. The Series measure fair value in these instances by the use of inputs and valuation techniques which may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry and/or expectation of future cash flows. As a result of trading in relatively thin markets and/or markets that experience significant volatility, the prices used by the Series to value these securities may differ from the value that would be realized if these securities were sold, and the differences could be material.
Securities for which representative valuations or prices are not available from the Series’ pricing service may be valued at fair value as determined in good faith by the Advisor under procedures approved by and under the general supervision and responsibility of the Board. Due to the inherent uncertainty of valuations of such securities, the fair value may differ significantly
68
Notes to Financial Statements (continued)
2. | Significant Accounting Policies (continued) |
Security Valuation (continued)
from the values that would have been used had a ready market for such securities existed. If trading or events occurring after the close of the principal market in which securities are traded are expected to materially affect the value of those securities, then they may be valued at their fair value, taking this trading or these events into account.
Various inputs are used in determining the value of the Series’ assets or liabilities carried at fair value. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical assets and liabilities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments). A financial instrument’s level within the fair value hierarchy is based on the lowest level on any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the valuation levels used for major security types as of October 31, 2015 in valuing the Series’ assets or liabilities carried at fair value:
TARGET INCOME SERIES | ||||||||||||||||
DESCRIPTION | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | ||||||||||||
Assets: | ||||||||||||||||
Mutual fund | $ | 95,834,412 | $ | 95,834,412 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | $ | 95,834,412 | $ | 95,834,412 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
TARGET 2015 SERIES | ||||||||||||||||
DESCRIPTION | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | ||||||||||||
Assets: | ||||||||||||||||
Mutual funds | $ | 9,434,835 | $ | 9,434,835 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | $ | 9,434,835 | $ | 9,434,835 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
TARGET 2020 SERIES | ||||||||||||||||
DESCRIPTION | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | ||||||||||||
Assets: | ||||||||||||||||
Mutual funds | $ | 163,195,086 | $ | 163,195,086 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | $ | 163,195,086 | $ | 163,195,086 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
TARGET 2025 SERIES | ||||||||||||||||
DESCRIPTION | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | ||||||||||||
Assets: | ||||||||||||||||
Mutual funds | $ | 29,560,983 | $ | 29,560,983 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | $ | 29,560,983 | $ | 29,560,983 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
TARGET 2030 SERIES | ||||||||||||||||
DESCRIPTION | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | ||||||||||||
Assets: | ||||||||||||||||
Mutual funds | $ | 166,200,964 | $ | 166,200,964 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | $ | 166,200,964 | $ | 166,200,964 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
69
Notes to Financial Statements (continued)
2. | Significant Accounting Policies (continued) |
Security Valuation (continued)
TARGET 2035 SERIES | ||||||||||||||||
DESCRIPTION | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | ||||||||||||
Assets: | ||||||||||||||||
Mutual funds | $ | 22,334,649 | $ | 22,334,649 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | $ | 22,334,649 | $ | 22,334,649 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
TARGET 2040 SERIES | ||||||||||||||||
DESCRIPTION | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | ||||||||||||
Assets: | ||||||||||||||||
Mutual funds | $ | 100,744,952 | $ | 100,744,952 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | $ | 100,744,952 | $ | 100,744,952 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
TARGET 2045 SERIES | ||||||||||||||||
DESCRIPTION | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | ||||||||||||
Assets: | ||||||||||||||||
Mutual fund | $ | 9,959,515 | $ | 9,959,515 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | $ | 9,959,515 | $ | 9,959,515 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
TARGET 2050 SERIES | ||||||||||||||||
DESCRIPTION | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | ||||||||||||
Assets: | ||||||||||||||||
Mutual fund | $ | 33,066,824 | $ | 33,066,824 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | $ | 33,066,824 | $ | 33,066,824 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
TARGET 2055 SERIES | ||||||||||||||||
DESCRIPTION | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | ||||||||||||
Assets: | ||||||||||||||||
Mutual fund | $ | 3,229,941 | $ | 3,229,941 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | $ | 3,229,941 | $ | 3,229,941 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
TARGET 2060 SERIES | ||||||||||||||||
DESCRIPTION | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | ||||||||||||
Assets: | ||||||||||||||||
Mutual fund | $ | 157,243 | $ | 157,243 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | $ | 157,243 | $ | 157,243 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
There were no Level 2 or Level 3 securities held by any of the Series as of October 31, 2014 or October 31, 2015.
The Fund’s policy is to recognize transfers in and transfers out of the valuation levels as of the beginning of the reporting period. There were no transfers between Level 1 and Level 2 during the year ended October 31, 2015.
Security Transactions, Investment Income and Expenses
Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date. Non-cash dividends, if any, are recorded at the fair value of the securities received. Income and capital gains distributions from the Underlying Series, if any, are recorded on the ex-dividend date.
Expenses are recorded on an accrual basis. Most expenses of the Fund can be attributed to a specific series. Expenses which cannot be directly attributed are apportioned among the series in the Fund in such a manner as deemed equitable by the
70
Notes to Financial Statements (continued)
2. | Significant Accounting Policies (continued) |
Security Transactions, Investment Income and Expenses (continued)
Fund’s Board, taking into consideration, among other things, the nature and type of expense. Expenses included in the accompanying statements of operations do not include any expense of the Underlying Series.
Income, expenses (other than class specific expenses), and realized and unrealized gains and losses are prorated among the classes based on the relative net assets of each class. Class specific expenses are directly charged to that Class.
The Series use the identified cost method for determining realized gain or loss on investments for both financial statement and federal income tax reporting purposes.
Federal Taxes
Each Series’ policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies. The Series are not subject to federal income tax or excise tax to the extent that each Series distributes to shareholders each year its taxable income, including any net realized gains on investments, in accordance with requirements of the Internal Revenue Code. Accordingly, no provision for federal income tax or excise tax has been made in the financial statements.
Management evaluates its tax positions to determine if the tax positions taken meet the minimum recognition threshold in connection with accounting for uncertainties in income tax positions taken or expected to be taken for the purposes of measuring and recognizing tax liabilities in the financial statements. Recognition of tax benefits of an uncertain tax position is required only when the position is “more likely than not” to be sustained assuming examination by taxing authorities. At October 31, 2015, the Series have recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns.
The Series file income tax returns in the U.S. federal jurisdiction, various states and foreign jurisdictions, as required. No income tax returns are currently under investigation. The statute of limitations on Target Income Series, Target 2020 Series, Target 2030 Series, Target 2040 Series, and Target 2050 Series tax returns remains open for the years ended October 31, 2012 through October 31, 2015. The statute of limitations on Target 2015 Series, Target 2025 Series, Target 2035 Series, Target 2045 Series, Target 2055 Series remains open for the period ended October 31, 2012 and the years ended October 31, 2013 through October 31, 2015 and Target 2060 Series remains open for the period ended October 31, 2015. The Series are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
Foreign Taxes
Based on the Series’ understanding of the tax rules and rates related to income, gains and currency purchase/ repatriation transactions for foreign jurisdictions in which they invest, the Series will provide for foreign taxes, and where appropriate, deferred foreign tax.
Distributions of Income and Gains
Distributions to shareholders of net investment income are made semi-annually. Distributions of net realized gains are made annually. An additional distribution may be necessary to avoid taxation of a Series. Distributions are recorded on the ex-dividend date.
Indemnifications
The Fund’s organizational documents provide former and current directors and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Other
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the
71
Notes to Financial Statements (continued)
2. | Significant Accounting Policies (continued) |
Other (continued)
financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
3. | Transactions with Affiliates |
The Fund has an Investment Advisory Agreement (the “Agreement”) with the Advisor, for which the Advisor does not receive an advisory fee for the services it performs for the Series. However, the Advisor is entitled to receive an advisory fee from each of the Underlying Series in which the Series invest.
Under the Agreement, personnel of the Advisor provide the Series with advice and assistance in the choice of investments and the execution of securities transactions, and otherwise maintain the Series’ organization. The Advisor also provides the Fund with necessary office space and fund administration and support services. The salaries of all officers of the Fund (except a percentage of the Fund’s Chief Compliance Officer’s salary, which is paid by the Fund), and of all Directors who are “affiliated persons” of the Fund, or of the Advisor, and all personnel of the Fund, or of the Advisor, performing services relating to research, statistical and investment activities, are paid by the Advisor. Each “non-affiliated” Director receives an annual stipend, which is allocated among all the active series of the Fund. In addition, these Directors also receive a fee per Board meeting attended plus a fee for each committee meeting attended and are reimbursed for travel and other out-of-pocket expenses incurred by them in connection with attending such meetings. The Fund also has an Audit Committee Chair, who receives an additional annual stipend for this role.
The Advisor has contractually agreed, until at least February 28, 2020 for Target Income Series, Target 2020 Series, Target 2030 Series, Target 2040 Series, Target 2050 Series, until at least February 28, 2023 for Target 2015 Series, Target 2025 Series, Target 2035 Series, Target 2045 Series and Target 2055 Series and until at least February 28, 2026 for Target 2060 Series, to limit each class’ total direct annual fund operating expenses for the Series at no more than 0.05% for each class, exclusive of distribution and service fees, of average daily net assets each year. The Advisor’s agreement to limit each class’ operating expenses is limited to direct operating expenses and, therefore, does not apply to the indirect expenses incurred by the Series through their investments in the Underlying Series. For the year ended October 31, 2015, the Advisor reimbursed expenses of $113,898 for Target Income Series, $113,547 for Target 2015 Series, $66,423 for Target 2020 Series, $110,893 for Target 2025 Series, $79,258 for Target 2030 Series, $113,363 for Target 2035 Series, $92,156 for Target 2040 Series, $115,000 for Target 2045 Series, $121,944 for Target 2050 Series, $116,504 for Target 2055 Series and for the period from June 21, 2015 to October 31, 2015 the Advisor reimbursed expenses of $25,216 for Target 2060 Series, which is included as a reduction of expenses on the Statements of Operations. The Advisor is not eligible to recoup any expenses that have been reimbursed in prior years.
Manning & Napier Investor Services, Inc., a registered broker-dealer affiliate of the Advisor, acts as distributor for the Fund’s shares. Each Series compensates the distributor for distributing and servicing the Series’ Class K and Class R shares pursuant to a distribution plan adopted under Rule 12b-1 of the 1940 Act, regardless of expenses actually incurred. Under the agreement, each Series pays distribution and services fees to the distributor at an annual rate of 0.25% of average daily net assets attributable to Class K shares and 0.50% of average daily net assets attributable to Class R shares. There are no distribution and services fees on the Class I shares of each Series. The fees are accrued daily and paid monthly.
Pursuant to a master services agreement dated November 1, 2014, the Fund pays the Advisor an annual fee related to fund accounting and administration of 0.00225% of average daily net assets with an annual base fee of $40,000 per Target series. Transfer agent fees are charged to the Fund on a per account basis. Additionally, certain transaction and out-of-pocket expenses, including charges for reporting relating to the Fund’s compliance program, are charged. The Advisor has agreements with BNY Mellon Investment Servicing (U.S.) Inc. (“BNY”) under which BNY serves as sub-accountant services agent and sub-transfer agent.
Expenses not directly attributable to a series are allocated based on each series’ relative net assets or number of accounts, depending on the expense.
72
Notes to Financial Statements (continued)
4. | Purchases and Sales of Securities |
For the year ended October 31, 2015, purchases and sales of Underlying Series were as follows:
SERIES | PURCHASES | SALES | ||||||
Target Income Series | $ | 12,093,167 | $ | 24,433,013 | ||||
Target 2015 Series | $ | 5,487,995 | $ | 4,527,804 | ||||
Target 2020 Series | $ | 82,323,507 | $ | 74,422,648 | ||||
Target 2025 Series | $ | 16,965,398 | $ | 7,674,023 | ||||
Target 2030 Series | $ | 73,874,912 | $ | 71,912,555 | ||||
Target 2035 Series | $ | 13,742,341 | $ | 5,539,145 | ||||
Target 2040 Series | $ | 53,374,651 | $ | 62,325,064 | ||||
Target 2045 Series | $ | 6,496,470 | $ | 2,618,177 | ||||
Target 2050 Series | $ | 23,867,204 | $ | 44,098,050 | ||||
Target 2055 Series | $ | 2,417,127 | $ | 1,761,605 | ||||
Target 2060 Series | $ | 155,422 | $ | 3,681 |
5. | Investments in Affiliated Issuers |
A summary of the Series’ transactions in the shares of affiliated issuers during the year ended October 31, 2015 and for the period June 21, 2015 to October 31, 2015 for Target 2060 Series, is set forth below:
TARGET INCOME SERIES | VALUE AT 10/31/14 | PURCHASE COST | SALES PROCEEDS | VALUE AT 10/31/15 | SHARES HELD AT 10/31/15 | DIVIDEND INCOME | DISTRIBUTIONS AND NET REALIZED GAIN | |||||||||||||||||||||
Manning & Napier Pro-Blend® Conservative Term Series - Class I | $ | 77,491,610 | $ | 12,093,167 | $ | 24,433,013 | $ | 95,834,412 | 9,377,144 | $ | 1,372,718 | $ | 4,633,465 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | 77,491,610 | $ | 12,093,167 | $ | 24,433,013 | $ | 95,834,412 | $ | 1,372,718 | $ | 4,633,465 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
| ||||||||||||||||||||||||||||
TARGET 2015 SERIES | VALUE AT 10/31/14 | PURCHASE COST | SALES PROCEEDS | VALUE AT 10/31/15 | SHARES HELD AT 10/31/15 | DIVIDEND INCOME | DISTRIBUTIONS AND NET REALIZED GAIN | |||||||||||||||||||||
Manning & Napier Pro-Blend® Extended Term Series - Class I | $ | 481,989 | $ | 63,487 | $ | 475,500 | $ | — | — | $ | 4,477 | $ | (2,022 | ) | ||||||||||||||
Manning & Napier Pro-Blend® Moderate Term Series - Class I | 9,110,760 | 5,424,508 | 4,052,304 | $ | 9,434,835 | 936,925 | 130,364 | 500,042 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | 9,592,749 | $ | 5,487,995 | $ | 4,527,804 | $ | 9,434,835 | $ | 134,841 | $ | 498,020 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
73
Notes to Financial Statements (continued)
5. | Investments in Affiliated Issuers (continued) |
TARGET 2020 SERIES | VALUE AT 10/31/14 | PURCHASE COST | SALES PROCEEDS | VALUE AT 10/31/15 | SHARES HELD 10/31/15 | DIVIDEND INCOME | DISTRIBUTIONS AND NET REALIZED GAIN | |||||||||||||||||||||
Manning & Napier Pro-Blend® Extended Term Series - Class I | $ | 72,173,371 | $ | 19,001,275 | $ | 38,881,470 | $ | 41,033,658 | 4,287,739 | $ | 929,678 | $ | 6,536,842 | |||||||||||||||
Manning & Napier Pro-Blend® Moderate Term Series - Class I | 107,493,265 | 63,322,232 | 35,541,178 | 122,161,428 | 12,131,224 | 1,629,575 | 9,314,306 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | 179,666,636 | $ | 82,323,507 | $ | 74,422,648 | $ | 163,195,086 | $ | 2,559,253 | $ | 15,851,148 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
TARGET 2025 SERIES | VALUE AT 10/31/14 | PURCHASE COST | SALES PROCEEDS | VALUE AT 10/31/15 | SHARES HELD 10/31/15 | DIVIDEND INCOME | DISTRIBUTIONS AND NET REALIZED GAIN | |||||||||||||||||||||
Manning & Napier Pro-Blend® Maximum Term Series - Class I | $ | 1,220,730 | $ | 278,654 | $ | 1,257,651 | $ | — | — | $ | 6,155 | $ | (11,901 | ) | ||||||||||||||
Manning & Napier Pro-Blend® Extended Term Series - Class I | 23,153,153 | 16,686,744 | 6,416,372 | 29,560,983 | 3,088,922 | 383,125 | 2,167,613 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | 24,373,883 | $ | 16,965,398 | $ | 7,674,023 | $ | 29,560,983 | $ | 389,280 | $ | 2,155,712 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
TARGET 2030 SERIES | VALUE AT 10/31/14 | PURCHASE COST | SALES PROCEEDS | VALUE AT 10/31/15 | SHARES HELD 10/31/15 | DIVIDEND INCOME | DISTRIBUTIONS AND NET REALIZED GAIN | |||||||||||||||||||||
Manning & Napier Pro-Blend® Maximum Term Series - Class I | $ | 59,452,391 | $ | 18,632,562 | $ | 24,302,748 | $ | 41,935,963 | 4,156,191 | $ | 496,805 | $ | 10,226,804 | |||||||||||||||
Manning & Napier Pro-Blend® Extended Term Series - Class I | 138,366,980 | 55,242,350 | 47,609,807 | 124,265,001 | 12,984,849 | 2,046,592 | 17,445,373 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | 197,819,371 | $ | 73,874,912 | $ | 71,912,555 | $ | 166,200,964 | $ | 2,543,397 | $ | 27,672,177 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
TARGET 2035 SERIES | VALUE AT 10/31/14 | PURCHASE COST | SALES PROCEEDS | VALUE AT 10/31/15 | SHARES HELD 10/31/15 | DIVIDEND INCOME | DISTRIBUTIONS AND NET REALIZED GAIN | |||||||||||||||||||||
Manning & Napier Pro-Blend® Maximum Term Series - Class I | $ | 9,811,536 | $ | 6,819,569 | $ | 3,201,841 | $ | 11,213,419 | 1,111,340 | $ | 104,536 | $ | 1,293,036 | |||||||||||||||
Manning & Napier Pro-Blend® Extended Term Series - Class I | 7,992,876 | 6,922,772 | 2,337,304 | 11,121,230 | 1,162,093 | 145,146 | 845,400 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | 17,804,412 | $ | 13,742,341 | $ | 5,539,145 | $ | 22,334,649 | $ | 249,682 | $ | 2,138,436 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
74
Notes to Financial Statements (continued)
5. | Investments in Affiliated Issuers (continued) |
TARGET 2040 SERIES | VALUE AT 10/31/14 | PURCHASE COST | SALES PROCEEDS | VALUE AT 10/31/15 | SHARES HELD 10/31/15 | DIVIDEND INCOME | DISTRIBUTIONS AND NET REALIZED GAIN | |||||||||||||||||||||
Manning & Napier Pro-Blend® Maximum Term Series - Class I | $ | 106,793,252 | $ | 37,328,463 | $ | 48,483,740 | $ | 75,799,725 | 7,512,361 | $ | 858,728 | $ | 17,021,033 | |||||||||||||||
Manning & Napier Pro-Blend® Extended Term Series - Class I | 26,636,668 | 16,046,188 | 13,841,324 | 24,945,227 | 2,606,607 | 382,961 | 2,489,835 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | 133,429,920 | $ | 53,374,651 | $ | 62,325,064 | $ | 100,744,952 | $ | 1,241,689 | $ | 19,510,868 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
TARGET 2045 SERIES | VALUE AT 10/31/14 | PURCHASE COST | SALES PROCEEDS | VALUE AT 10/31/15 | SHARES HELD 10/31/15 | DIVIDEND INCOME | DISTRIBUTIONS AND NET REALIZED GAIN | |||||||||||||||||||||
Manning & Napier Pro-Blend® Maximum Term Series - Class I | $ | 7,789,209 | $ | 6,496,470 | $ | 2,618,177 | $ | 9,959,515 | 987,068 | $ | 85,669 | $ | 1,031,166 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | 7,789,209 | $ | 6,496,470 | $ | 2,618,177 | $ | 9,959,515 | $ | 85,669 | $ | 1,031,166 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
TARGET 2050 SERIES | VALUE AT 10/31/14 | PURCHASE COST | SALES PROCEEDS | VALUE AT 10/31/15 | SHARES HELD 10/31/15 | DIVIDEND INCOME | DISTRIBUTIONS NET REALIZED GAIN | |||||||||||||||||||||
Manning & Napier Pro-Blend® Maximum Term Series - Class I | $ | 64,776,991 | $ | 23,867,204 | $ | 44,098,050 | $ | 33,066,824 | 3,277,188 | $ | 458,049 | $ | 8,562,190 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | 64,776,991 | $ | 23,867,204 | $ | 44,098,050 | $ | 33,066,824 | $ | 458,049 | $ | 8,562,190 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
TARGET 2055 SERIES | VALUE AT 10/31/14 | PURCHASE COST | SALES PROCEEDS | VALUE AT 10/31/15 | SHARES HELD 10/31/15 | DIVIDEND INCOME | DISTRIBUTIONS NET REALIZED GAIN | |||||||||||||||||||||
Manning & Napier Pro-Blend® Maximum Term Series - Class I | $ | 3,183,296 | $ | 2,417,127 | $ | 1,761,605 | $ | 3,229,941 | 320,113 | $ | 29,232 | $ | 246,991 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | 3,183,296 | $ | 2,417,127 | $ | 1,761,605 | $ | 3,229,941 | $ | 29,232 | $ | 246,991 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
TARGET 2060 SERIES | VALUE AT 10/31/14 | PURCHASE COST | SALES PROCEEDS | VALUE AT 10/31/15 | SHARES HELD 10/31/15 | DIVIDEND INCOME | DISTRIBUTIONS NET REALIZED GAIN | |||||||||||||||||||||
Manning & Napier Pro-Blend® Maximum Term Series - Class I | $ | — | $ | 155,422 | $ | 3,681 | $ | 157,243 | 15,584 | $ | — | $ | 11 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | 155,422 | $ | 3,681 | $ | 157,243 | $ | — | $ | 11 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
75
Notes to Financial Statements (continued)
6. | Capital Stock Transactions |
Transactions in Class K, Class R, Class C1 and Class I shares:
TARGET INCOME SERIES: | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | ||||||||||||||||||||||||||||
CLASS K | CLASS K | CLASS R | CLASS R | |||||||||||||||||||||||||||||
SHARES | AMOUNTS | SHARES | AMOUNTS | SHARES | AMOUNTS | SHARES | AMOUNTS | |||||||||||||||||||||||||
Shares | ||||||||||||||||||||||||||||||||
Issued in | ||||||||||||||||||||||||||||||||
Reorganization2 | 2,286,439 | $ | 21,835,482 | — | $ | — | 74,693 | $ | 705,844 | — | $ | — | ||||||||||||||||||||
Sold | 417,583 | 4,120,152 | 594,916 | 6,346,724 | 46,949 | 471,844 | 197,021 | 2,073,981 | ||||||||||||||||||||||||
Reinvested | 476,694 | 4,705,653 | 298,064 | 3,099,837 | 115,274 | 1,123,916 | 80,398 | 826,443 | ||||||||||||||||||||||||
Repurchased | (1,088,610 | ) | (10,723,666 | ) | (389,501 | ) | (4,186,913 | ) | (1,231,416 | ) | (12,101,840 | ) | (264,088 | ) | (2,799,033 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total | 2,092,106 | $ | 19,937,621 | 503,479 | $ | 5,259,648 | (994,500 | ) | $ | (9,800,236 | ) | 13,331 | $ | 101,391 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
TARGET INCOME SERIES: | FOR THE YEAR ENDED 10/31/14 | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | |||||||||||||||||||||||||||||
CLASS C SHARES | AMOUNTS | CLASS I SHARES | AMOUNTS | CLASS I SHARES | AMOUNTS | |||||||||||||||||||||||||||
Shares | ||||||||||||||||||||||||||||||||
Issued in | ||||||||||||||||||||||||||||||||
Reorganization2 | — | $ | — | 1,449,688 | $ | 13,887,987 | — | $ | — | |||||||||||||||||||||||
Sold | 310 | 3,268 | 446,104 | 4,558,364 | 538,207 | 5,835,286 | ||||||||||||||||||||||||||
Reinvested | 6,196 | 63,073 | 108,763 | 1,075,966 | 66,226 | 690,717 | ||||||||||||||||||||||||||
Repurchased | (118,399 | ) | (1,223,624 | ) | (405,177 | ) | (4,024,518 | ) | (558,452 | ) | (6,030,911 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | (111,893 | ) | $ | (1,157,283 | ) | 1,599,378 | $ | 15,497,799 | 45,981 | $ | 495,092 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
TARGET 2015 SERIES: | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | ||||||||||||||||||||||||||||
CLASS K | CLASS K | CLASS R | CLASS R | |||||||||||||||||||||||||||||
SHARES | AMOUNTS | SHARES | AMOUNTS | SHARES | AMOUNTS | SHARES | AMOUNTS | |||||||||||||||||||||||||
Sold | 190,940 | $ | 2,175,614 | 272,455 | $ | 3,220,613 | 37,539 | $ | 426,489 | 79,960 | $ | 959,149 | ||||||||||||||||||||
Reinvested | 15,518 | 176,996 | 3,246 | 38,136 | 7,339 | 83,810 | 2,807 | 32,583 | ||||||||||||||||||||||||
Repurchased | (158,103 | ) | (1,821,499 | ) | (97,164 | ) | (1,148,035 | ) | (101,228 | ) | (1,160,178 | ) | (37,416 | ) | (454,556 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total | 48,355 | $ | 531,111 | 178,537 | $ | 2,110,714 | (56,350 | ) | $ | (649,879 | ) | 45,351 | $ | 537,176 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
TARGET 2015 SERIES: | FOR THE YEAR ENDED 10/31/14 | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | |||||||||||||||||||||||||||||
CLASS C | CLASS I | CLASS I | ||||||||||||||||||||||||||||||
SHARES | AMOUNTS | SHARES | AMOUNTS | SHARES | AMOUNTS | |||||||||||||||||||||||||||
Sold | — | — | 182,270 | $ | 2,078,159 | 249,113 | $ | 2,960,038 | ||||||||||||||||||||||||
Reinvested | — | 3 | 22,934 | 262,346 | 7,624 | 89,090 | ||||||||||||||||||||||||||
Repurchased | (10 | ) | (122 | ) | (142,593 | ) | (1,626,254 | ) | (167,732 | ) | (1,999,024 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | (10 | ) | $ | (119 | ) | 62,611 | $ | 714,251 | 89,005 | $ | 1,050,104 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
TARGET 2020 SERIES: | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | ||||||||||||||||||||||||||||
CLASS K | CLASS K | CLASS R | CLASS R | |||||||||||||||||||||||||||||
SHARES | AMOUNTS | SHARES | AMOUNTS | SHARES | AMOUNTS | SHARES | AMOUNTS | |||||||||||||||||||||||||
Sold | 1,820,935 | $ | 17,742,873 | 1,798,069 | $ | 19,200,184 | 221,254 | $ | 2,137,917 | 866,122 | $ | 9,205,721 | ||||||||||||||||||||
Reinvested | 1,011,644 | 9,774,681 | 490,851 | 5,042,352 | 228,457 | 2,181,770 | 174,536 | 1,768,517 | ||||||||||||||||||||||||
Repurchased | (3,228,733 | ) | (31,463,509 | ) | (1,111,332 | ) | (11,902,836 | ) | (1,701,100 | ) | (16,277,608 | ) | (1,764,377 | ) | (18,770,783 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total | (396,154 | ) | $ | (3,945,955 | ) | 1,177,588 | $ | 12,339,700 | (1,251,389 | ) | $ | (11,957,921 | ) | (723,719 | ) | $ | (7,796,545 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
76
Notes to Financial Statements (continued)
6. | Capital Stock Transactions (continued) |
TARGET 2020 SERIES: | FOR THE YEAR ENDED 10/31/14 | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | |||||||||||||||||||||||||||||
CLASS C SHARES | AMOUNTS | CLASS I SHARES | AMOUNTS | CLASS I SHARES | AMOUNTS | |||||||||||||||||||||||||||
Sold | 7,546 | $ | 78,385 | 2,802,754 | $ | 28,335,764 | 1,670,826 | $ | 17,839,002 | |||||||||||||||||||||||
Reinvested | 17,278 | 174,511 | 756,165 | 7,337,982 | 392,551 | 4,043,714 | ||||||||||||||||||||||||||
Repurchased | (377,845 | ) | (3,906,268 | ) | (1,371,700 | ) | (13,273,390 | ) | (2,875,004 | ) | (30,309,189 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | (353,021 | ) | $ | (3,653,372 | ) | 2,187,219 | $ | 22,400,356 | (811,627 | ) | $ | (8,426,473 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
TARGET 2025 SERIES: | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | ||||||||||||||||||||||||||||
CLASS K SHARES | AMOUNTS | CLASS K SHARES | AMOUNTS | CLASS R SHARES | AMOUNTS | CLASS R SHARES | AMOUNTS | |||||||||||||||||||||||||
Sold | 556,093 | $ | 6,830,718 | 622,495 | $ | 7,855,821 | 56,808 | $ | 691,215 | 199,173 | $ | 2,563,183 | ||||||||||||||||||||
Reinvested | 51,349 | 623,352 | 3,736 | 47,738 | 20,585 | 250,329 | 4,793 | 59,676 | ||||||||||||||||||||||||
Repurchased | (178,234 | ) | (2,168,108 | ) | (106,271 | ) | (1,352,858 | ) | (191,936 | ) | (2,352,130 | ) | (35,183 | ) | (458,590 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total | 429,208 | $ | 5,285,962 | 519,960 | $ | 6,550,701 | (114,543 | ) | $ | (1,410,586 | ) | 168,783 | $ | 2,164,269 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
TARGET 2025 SERIES: | FOR THE YEAR ENDED 10/31/14 | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | |||||||||||||||||||||||||||||
CLASS C SHARES | AMOUNTS | CLASS I SHARES | AMOUNTS | CLASS I SHARES | AMOUNTS | |||||||||||||||||||||||||||
Sold | 249 | $ | 3,080 | 539,558 | $ | 6,563,102 | 546,701 | $ | 6,960,557 | |||||||||||||||||||||||
Reinvested | 1,064 | 13,049 | 66,271 | 802,064 | 21,225 | 262,305 | ||||||||||||||||||||||||||
Repurchased | (47,430 | ) | (583,342 | ) | (294,126 | ) | (3,570,654 | ) | (314,359 | ) | (3,995,477 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | (46,117 | ) | $ | (567,213 | ) | 311,703 | $ | 3,794,512 | 253,567 | $ | 3,227,385 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
TARGET 2030 SERIES: | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | ||||||||||||||||||||||||||||
CLASS K SHARES | AMOUNTS | CLASS K SHARES | AMOUNTS | CLASS R SHARES | AMOUNTS | CLASS R SHARES | AMOUNTS | |||||||||||||||||||||||||
Sold | 1,826,124 | $ | 18,788,095 | 2,709,470 | $ | 30,826,158 | 295,552 | $ | 3,006,502 | 703,724 | $ | 7,936,872 | ||||||||||||||||||||
Reinvested | 1,546,306 | 15,543,362 | 541,087 | 5,886,045 | 272,475 | 2,719,456 | 155,634 | 1,677,028 | ||||||||||||||||||||||||
Repurchased | (5,593,631 | ) | (56,679,063 | ) | (980,255 | ) | (11,210,450 | ) | (1,259,362 | ) | (12,487,469 | ) | (1,500,947 | ) | (17,167,486 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total | (2,221,201 | ) | $ | (22,347,606 | ) | 2,270,302 | $ | 25,501,753 | (691,335 | ) | $ | (6,761,511 | ) | (641,589 | ) | $ | (7,553,586 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
TARGET 2030 SERIES: | FOR THE YEAR ENDED 10/31/14 | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | |||||||||||||||||||||||||||||
CLASS C SHARES | AMOUNTS | CLASS I SHARES | AMOUNTS | CLASS I SHARES | AMOUNTS | |||||||||||||||||||||||||||
Sold | 1,640 | $ | 17,936 | 2,936,452 | $ | 31,267,444 | 1,524,584 | $ | 17,468,968 | |||||||||||||||||||||||
Reinvested | 15,259 | 163,266 | 883,682 | 8,956,560 | 358,433 | 3,925,732 | ||||||||||||||||||||||||||
Repurchased | (284,534 | ) | (3,123,773 | ) | (1,136,582 | ) | (11,506,373 | ) | (2,425,197 | ) | (27,175,575 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | (267,635 | ) | $ | (2,942,571 | ) | 2,683,552 | $ | 28,717,631 | (542,180 | ) | $ | (5,780,875 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
77
Notes to Financial Statements (continued)
6. | Capital Stock Transactions (continued) |
TARGET 2035 SERIES: | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | ||||||||||||||||||||||||||||
CLASS K SHARES | AMOUNTS | CLASS K SHARES | AMOUNTS | CLASS R SHARES | AMOUNTS | CLASS R SHARES | AMOUNTS | |||||||||||||||||||||||||
Sold | 394,251 | $ | 5,158,839 | 427,866 | $ | 5,666,101 | 56,939 | $ | 727,311 | 143,162 | $ | 1,964,601 | ||||||||||||||||||||
Reinvested | 47,513 | 602,819 | 2,814 | 37,215 | 18,029 | 229,367 | 4,353 | 56,641 | ||||||||||||||||||||||||
Repurchased | (105,200 | ) | (1,338,625 | ) | (73,524 | ) | (978,828 | ) | (97,765 | ) | (1,238,203 | ) | (23,835 | ) | (324,572 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total | 336,564 | $ | 4,423,033 | 357,156 | $ | 4,724,488 | (22,797 | ) | $ | (281,525 | ) | 123,680 | $ | 1,696,670 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
TARGET 2035 SERIES: | FOR THE YEAR ENDED 10/31/14 | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | |||||||||||||||||||||||||||||
CLASS C SHARES | AMOUNTS | CLASS I SHARES | AMOUNTS | CLASS I SHARES | AMOUNTS | |||||||||||||||||||||||||||
Sold | 1,915 | $ | 25,330 | 461,178 | $ | 5,945,774 | 358,146 | $ | 4,832,377 | |||||||||||||||||||||||
Reinvested | 155 | 1,991 | 59,121 | 752,204 | 18,998 | 246,760 | ||||||||||||||||||||||||||
Repurchased | (7,289 | ) | (94,894 | ) | (321,116 | ) | (4,108,120 | ) | (164,131 | ) | (2,186,471 | ) | �� | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | (5,219 | ) | $ | (67,573 | ) | 199,183 | $ | 2,589,858 | 213,013 | $ | 2,892,666 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
TARGET 2040 SERIES: | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | ||||||||||||||||||||||||||||
CLASS K SHARES | AMOUNTS | CLASS K SHARES | AMOUNTS | CLASS R SHARES | AMOUNTS | CLASS R SHARES | AMOUNTS | |||||||||||||||||||||||||
Sold | 1,367,068 | $ | 14,445,258 | 1,663,928 | $ | 20,388,860 | 173,002 | $ | 1,823,779 | 341,962 | $ | 4,218,529 | ||||||||||||||||||||
Reinvested | 1,345,541 | 14,049,199 | 461,132 | 5,408,209 | 172,074 | 1,786,156 | 105,481 | 1,227,456 | ||||||||||||||||||||||||
Repurchased | (4,280,661 | ) | (45,014,121 | ) | (848,925 | ) | (10,505,295 | ) | (675,002 | ) | (6,912,325 | ) | (888,702 | ) | (11,026,033 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total | (1,568,052 | ) | $ | (16,519,664 | ) | 1,276,135 | $ | 15,291,774 | (329,926 | ) | $ | (3,302,390 | ) | (441,259 | ) | $ | (5,580,048 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
TARGET 2040 SERIES: | FOR THE YEAR ENDED 10/31/14 | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | |||||||||||||||||||||||||||||
CLASS C SHARES | AMOUNTS | CLASS I SHARES | AMOUNTS | CLASS I SHARES | AMOUNTS | |||||||||||||||||||||||||||
Sold | 3,859 | $ | 45,288 | 1,767,484 | $ | 19,737,040 | 1,035,519 | $ | 12,900,186 | |||||||||||||||||||||||
Reinvested | 7,196 | 82,541 | 643,884 | 6,770,341 | 221,903 | 2,616,468 | ||||||||||||||||||||||||||
Repurchased | (122,322 | ) | (1,430,739 | ) | (763,364 | ) | (8,070,391 | ) | (1,311,468 | ) | (15,980,412 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | (111,267 | ) | $ | (1,302,910 | ) | 1,648,004 | $ | 18,436,990 | (54,046 | ) | $ | (463,758 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
TARGET 2045 SERIES: | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | ||||||||||||||||||||||||||||
CLASS K SHARES | AMOUNTS | CLASS K SHARES | AMOUNTS | CLASS R SHARES | AMOUNTS | CLASS R SHARES | AMOUNTS | |||||||||||||||||||||||||
Sold | 120,547 | $ | 1,575,737 | 251,163 | $ | 3,461,043 | 54,775 | $ | 714,708 | 135,581 | $ | 1,917,245 | ||||||||||||||||||||
Reinvested | 20,811 | 273,206 | 1,483 | 20,141 | 12,683 | 165,654 | 2,053 | 27,487 | ||||||||||||||||||||||||
Repurchased | (53,667 | ) | (719,230 | ) | (57,306 | ) | (800,928 | ) | (66,537 | ) | (873,072 | ) | (54,743 | ) | (783,372 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total | 87,691 | $ | 1,129,713 | 195,340 | $ | 2,680,256 | 921 | $ | 7,290 | 82,891 | $ | 1,161,360 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
78
Notes to Financial Statements (continued)
6. | Capital Stock Transactions (continued) |
TARGET 2045 SERIES: | FOR THE YEAR ENDED 10/31/14 | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | |||||||||||||||||||||||||||||
CLASS C SHARES | AMOUNTS | CLASS I SHARES | AMOUNTS | CLASS I SHARES | AMOUNTS | |||||||||||||||||||||||||||
Sold | 5,053 | $ | 69,054 | 277,637 | $ | 3,744,526 | 164,103 | $ | 2,300,673 | |||||||||||||||||||||||
Reinvested | 1,485 | 19,783 | 26,079 | 342,754 | 3,643 | 49,123 | ||||||||||||||||||||||||||
Repurchased | (39,612 | ) | (530,880 | ) | (152,430 | ) | (1,994,861 | ) | (110,339 | ) | (1,520,716 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | (33,074 | ) | $ | (442,043 | ) | 151,286 | $ | 2,092,419 | 57,407 | $ | 829,080 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
TARGET 2050 SERIES: | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | ||||||||||||||||||||||||||||
CLASS K SHARES | AMOUNTS | CLASS K SHARES | AMOUNTS | CLASS R SHARES | AMOUNTS | CLASS R SHARES | AMOUNTS | |||||||||||||||||||||||||
Sold | 663,894 | $ | 7,876,102 | 787,621 | $ | 10,725,330 | 111,753 | $ | 1,315,055 | 194,818 | $ | 2,642,156 | ||||||||||||||||||||
Reinvested | 640,516 | 7,494,105 | 197,269 | 2,536,504 | 68,631 | 797,489 | 26,639 | 339,988 | ||||||||||||||||||||||||
Repurchased | (3,433,652 | ) | (40,344,397 | ) | (229,237 | ) | (3,114,414 | ) | (361,376 | ) | (4,151,305 | ) | (217,531 | ) | (2,973,315 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total | (2,129,242 | ) | $ | (24,974,190 | ) | 755,653 | $ | 10,147,420 | (180,992 | ) | $ | (2,038,761 | ) | 3,926 | $ | 8,829 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
TARGET 2050 SERIES: | FOR THE YEAR ENDED 10/31/14 | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | |||||||||||||||||||||||||||||
CLASS C SHARES | AMOUNTS | CLASS I SHARES | AMOUNTS | CLASS I SHARES | AMOUNTS | |||||||||||||||||||||||||||
Sold | 2,086 | $ | 26,692 | 680,773 | $ | 8,212,637 | 457,101 | $ | 6,219,219 | |||||||||||||||||||||||
Reinvested | 6,212 | 78,026 | 173,370 | 2,043,399 | 46,716 | 605,112 | ||||||||||||||||||||||||||
Repurchased | (114,967 | ) | (1,479,794 | ) | (354,807 | ) | (4,236,301 | ) | (294,896 | ) | (3,974,400 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | (106,669 | ) | $ | (1,375,076 | ) | 499,336 | $ | 6,019,735 | 208,921 | $ | 2,849,931 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
TARGET 2055 SERIES: | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | ||||||||||||||||||||||||||||
CLASS K SHARES | AMOUNTS | CLASS K SHARES | AMOUNTS | CLASS R SHARES | AMOUNTS | CLASS R SHARES | AMOUNTS | |||||||||||||||||||||||||
Sold | 70,074 | $ | 919,046 | 193,900 | $ | 2,669,309 | 20,716 | $ | 267,598 | 44,218 | $ | 617,792 | ||||||||||||||||||||
Reinvested | 11,308 | 146,585 | 1,621 | 21,518 | 3,176 | 40,849 | 477 | 6,272 | ||||||||||||||||||||||||
Repurchased | (117,934 | ) | (1,549,911 | ) | (83,064 | ) | (1,155,364 | ) | (28,276 | ) | (363,445 | ) | (11,124 | ) | (150,506 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total | (36,552 | ) | $ | (484,280 | ) | 112,457 | $ | 1,535,463 | (4,384 | ) | $ | (54,998 | ) | 33,571 | $ | 473,558 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
TARGET 2055 SERIES: | FOR THE YEAR ENDED 10/31/14 | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | |||||||||||||||||||||||||||||
CLASS C SHARES | AMOUNTS | CLASS I SHARES | AMOUNTS | CLASS I SHARES | AMOUNTS | |||||||||||||||||||||||||||
Sold | 57 | $ | 773 | 96,840 | $ | 1,265,526 | 52,372 | $ | 725,482 | |||||||||||||||||||||||
Reinvested | 5 | 65 | 5,406 | 70,699 | 2,029 | 26,809 | ||||||||||||||||||||||||||
Repurchased | (110 | ) | (1,441 | ) | (33,315 | ) | (437,883 | ) | (18,639 | ) | (259,702 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | (48 | ) | $ | (603 | ) | 68,931 | $ | 898,342 | 35,762 | $ | 492,589 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
79
Notes to Financial Statements (continued)
6. | Capital Stock Transactions (continued) |
TARGET 2060 SERIES: | FOR THE PERIOD 9/21/15 (COMMENCEMENT OF OPERATIONS) TO 10/31/15 | FOR THE PERIOD 9/21/15 (COMMENCEMENT OF OPERATIONS) TO 10/31/15 | ||||||||||||||||||||||
CLASS K SHARES | AMOUNTS | CLASS R SHARES | AMOUNTS | |||||||||||||||||||||
Sold | 5,000 | $ | 50,000 | 5,397 | $ | 54,041 | ||||||||||||||||||
Reinvested | — | — | — | — | ||||||||||||||||||||
Repurchased | — | (7 | ) | (72 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Total | 5,000 | $ | 50,000 | 5,390 | $ | 53,969 | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
TARGET 2060 SERIES: | FOR THE PERIOD 9/21/15 (COMMENCEMENT OF OPERATIONS) TO 10/31/15 | |||||||||||||||||||||||
CLASS I SHARES | AMOUNTS | |||||||||||||||||||||||
Sold | 5,000 | $ | 50,000 | |||||||||||||||||||||
Reinvested | — | — | ||||||||||||||||||||||
Repurchased | — | — | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total | 5,000 | $ | 50,000 | |||||||||||||||||||||
|
|
|
|
1Class C was liquidated during the year ended October 31, 2014, therefore there are no transactions in the table above for the year ended October 31, 2015.
2See Note 1 regarding the reorganization.
The following table represents instances at October 31, 2015, where a shareholder account owned greater than 10% of a Series:
SERIES | NUMBER OF ACCOUNTS OVER 10% | SHARES OWNED | PERCENTAGE OF SERIES SHARES OUTSTANDING | VALUE | ||||||||||||
Target Income Series | 1 | 5,663,595 | 57.5 | % | $ | 55,050,143 | ||||||||||
Target 2015 Series | 1 | 174,424 | 20.6 | % | $ | 1,955,298 | ||||||||||
Target 2020 Series | 1 | 6,791,251 | 39.4 | % | $ | 64,307,590 | ||||||||||
Target 2025 Series | 2 | 876,550 | 35.1 | % | $ | 10,349,135 | ||||||||||
Target 2030 Series | 1 | 6,330,776 | 37.4 | % | $ | 62,136,573 | ||||||||||
Target 2035 Series | 2 | 810,562 | 44.8 | % | $ | 10,006,621 | ||||||||||
Target 2040 Series | 2 | 4,529,337 | 45.7 | % | $ | 45,985,092 | ||||||||||
Target 2045 Series | 2 | 302,219 | 38.6 | % | $ | 3,843,894 | ||||||||||
Target 2050 Series | 1 | 548,424 | 18.9 | % | $ | 6,268,490 | ||||||||||
Target 2055 Series | 2 | 107,315 | 42.1 | % | $ | 1,355,894 | ||||||||||
Target 2060 Series | — | — | — | $ | — |
Investment activities of these shareholders may have a material effect on the Series.
Substantially all of the Target 2060 Series shares represent investments by fiduciary accounts over which the Advisor has sole investment discretion.
7. | Financial Instruments |
The Underlying Series may trade in instruments including written and purchased options, forward foreign currency exchange contracts and futures contracts and other derivatives in the normal course of investing activities to assist in managing exposure to various market risks. The Underlying Series may be subject to various elements of risk which may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. These risks include: the risk that
80
Notes to Financial Statements (continued)
7. | Financial Instruments (continued) |
changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to over the counter derivative counterparties’ failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing the fund to close out its position(s); and documentation risk relating to disagreement over contract terms. No such investments were directly held by the Series as of October 31, 2015.
8. | Federal Income Tax Information |
The amount and characterization of certain income and capital gains to be distributed are determined in accordance with federal income tax regulations, which may differ from GAAP. Each Series may periodically make reclassifications among its capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations, without impacting the Series’ net asset value. For the fiscal year ended October 31, 2015, $119,091, $2,899,768, $554,316, $6,024,274, $720,924, $5,674,417, $408,317, $3,159,915 and $157,366 was reclassified within the Target 2015 Series, Target 2020 Series, Target 2025 Series, Target 2030 Series, Target 2035 Series, Target 2040 Series, Target 2045 Series, Target 2050 Series and Target 2055 Series capital accounts, respectively, from Accumulated Net Realized Gain on Investments to Undistributed Net Investment Income. Amounts were reclassified within the capital accounts to increase Additional Paid in Capital by $68,857, increase Undistributed Net Investment Income by $786,018 and decrease Accumulated Net Realized Gain on Investments by $854,875 for Target Income Series. Amounts were reclassified within the capital accounts to decrease Additional Paid in Capital by $5, increase Undistributed Net Investment Income by $50 and decrease Accumulated Net Realized Gain on Investments by $45 for Target 2060 Series. The reclassifications relate primarily to distributions from investments in the Underlying Series. Any such reclassifications are not reflected in the financial highlights.
The final determination of the tax character of current year distributions will be made at the conclusion of the fiscal year. The tax character of distributions paid for the year ended October 31, 2015 were as follows:
TARGET INCOME SERIES | TARGET 2015 SERIES | TARGET SERIES | TARGET 2025 SERIES | TARGET SERIES | ||||||||||||||||
Ordinary income (2015) | $ | 1,993,670 | $ | 323,856 | $ | 5,131,810 | $ | 994,754 | $ | 8,177,375 | ||||||||||
Ordinary income (2014) | $ | 1,959,383 | $ | 159,729 | $ | 4,396,383 | $ | 380,884 | $ | 6,847,796 | ||||||||||
Long-term capital gain (2015) | $ | 5,034,635 | $ | 226,032 | $ | 14,598,333 | $ | 845,593 | $ | 19,717,662 | ||||||||||
Long-term capital gain (2014) | $ | 2,802,409 | $ | 83 | $ | 6,768,937 | $ | 1,902 | $ | 4,866,589 |
TARGET 2035 SERIES | TARGET 2040 SERIES | TARGET 2045 SERIES | TARGET 2050 SERIES | TARGET 2055 SERIES | TARGET 2060 SERIES | |||||||||||||||||||
Ordinary income (2015) | $ | 1,009,386 | $ | 6,658,425 | $ | 575,767 | $ | 3,512,578 | $ | 202,996 | $ | — | ||||||||||||
Ordinary income (2014) | $ | 340,596 | $ | 464,257 | $ | 116,039 | $ | 2,125,579 | $ | 54,737 | $ | — | ||||||||||||
Long-term capital gain (2015) | $ | 666,542 | $ | 16,464,854 | $ | 241,240 | $ | 6,947,427 | $ | 67,345 | $ | — | ||||||||||||
Long-term capital gain (2014) | $ | 2,057 | $ | 4,711,859 | $ | 496 | $ | 1,452,018 | $ | 19 | $ | — |
At October 31, 2015, the tax basis of components of distributable earnings and the net unrealized appreciation (depreciation) based on the identified cost of investments for federal income tax purposes were as follows:
TARGET INCOME SERIES | TARGET 2015 SERIES | TARGET 2020 SERIES | TARGET 2025 SERIES | TARGET 2030 SERIES | ||||||||||||||||
Cost for federal income tax purposes | $ | 101,176,770 | $ | 10,241,023 | $ | 176,521,797 | $ | 32,889,331 | $ | 185,103,515 | ||||||||||
Unrealized appreciation | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
Unrealized depreciation | (5,342,358 | ) | (806,188 | ) | (13,326,711 | ) | (3,328,348 | ) | (18,902,551 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net unrealized depreciation | $ | (5,342,358 | ) | $ | (806,188 | ) | $ | (13,326,711 | ) | $ | (3,328,348 | ) | $ | (18,902,551 | ) | |||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Undistributed ordinary income | 51,139 | 6,457 | 110,360 | 22,257 | 115,962 | |||||||||||||||
Undistributed long-term capital gains | 3,977,013 | 586,220 | 13,936,678 | 2,302,313 | 22,083,706 |
81
Notes to Financial Statements (continued)
8. | Federal Income Tax Information (continued) |
TARGET 2035 SERIES | TARGET 2040 SERIES | TARGET 2045 SERIES | TARGET 2050 SERIES | TARGET SERIES | TARGET 2060 SERIES | |||||||||||||||||||
Cost for federal income tax purposes | $ | 25,602,050 | $ | 113,590,771 | $ | 11,558,791 | $ | 36,669,927 | $ | 3,769,039 | $ | 151,786 | ||||||||||||
Unrealized appreciation | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 5,491 | ||||||||||||
Unrealized depreciation | (3,267,401 | ) | (12,845,819 | ) | (1,599,276 | ) | (3,603,103 | ) | (539,098 | ) | (34 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net unrealized appreciation (depreciation) | $ | (3,267,401 | ) | $ | (12,845,819 | ) | $ | (1,599,276 | ) | $ | (3,603,103 | ) | $ | (539,098 | ) | $ | 5,457 | |||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Undistributed ordinary income | 15,091 | 57,305 | 5,264 | 12,013 | 1,561 | — | ||||||||||||||||||
Undistributed long-term capital gains | 2,198,416 | 15,564,808 | 1,000,376 | 6,162,262 | 303,315 | — |
At October 31, 2015, Target 2050 Series utilized capital loss carryovers of $334 in the current year.
82
Report of Independent Registered Public Accounting Firm
To the Board of Directors of Manning & Napier Fund, Inc. and Shareholders of –Target Income Series, Target 2015 Series, Target 2020 Series, Target 2025 Series, Target 2030 Series, Target 2035 Series, Target 2040 Series, Target 2045 Series, Target 2050 Series, Target 2055 Series and Target 2060 Series:
In our opinion, the accompanying statements of assets and liabilities, including the investment portfolios, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Target Income Series, Target 2015 Series, Target 2020 Series, Target 2025 Series, Target 2030 Series, Target 2035 Series, Target 2040 Series, Target 2045 Series, Target 2050 Series, Target 2055 Series and Target 2060 Series (each a series of Manning & Napier Fund, Inc., hereafter collectively referred to as the “Series”) at October 31, 2015, the results of each of their operations for the period then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Series’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2015 by correspondence with the transfer agent, custodian and brokers, provide a reasonable basis for our opinion.
New York, New York
December 18, 2015
83
Supplemental Tax Information
(unaudited)
All reportings are based on financial information available as of the date of this annual report and, accordingly, are subject to change.
For federal income tax purposes, each of the Series reports for the current fiscal year the amount disclosed below or, if different, the maximum amount allowable under the tax law, as qualified dividend income (“QDI”).
Series | QDI | |||
Target Income Series | $ | 617,183 | ||
Target 2015 Series | 89,134 | |||
Target 2020 Series | 2,028,834 | |||
Target 2025 Series | 371,675 | |||
Target 2030 Series | 3,122,304 | |||
Target 2035 Series | 332,996 | |||
Target 2040 Series | 2,249,399 | |||
Target 2045 Series | 154,949 | |||
Target 2050 Series | 1,134,955 | |||
Target 2055 Series | 58,528 | |||
Target 2060 Series | — |
For corporate shareholders, the percentage of investment income (dividend income plus short-term gain, if any) that qualifies for the dividends received deduction (DRD) for the current fiscal year is as follows:
Series | DRD% | |||
Target Income Series | 21.86 | % | ||
Target 2015 Series | 18.20 | % | ||
Target 2020 Series | 22.63 | % | ||
Target 2025 Series | 23.08 | % | ||
Target 2030 Series | 22.91 | % | ||
Target 2035 Series | 21.43 | % | ||
Target 2040 Series | 21.43 | % | ||
Target 2045 Series | 18.95 | % | ||
Target 2050 Series | 20.93 | % | ||
Target 2055 Series | 19.86 | % | ||
Target 2060 Series | — | % |
The Series designate Long-Term Capital Gain dividends pursuant to Section 852(b)(3) of the Code for the fiscal year ended October 31, 2015 as follows:
Series | ||||
Target Income Series | $ | 4,176,538 | ||
Target 2015 Series | 615,602 | |||
Target 2020 Series | 14,633,667 | |||
Target 2025 Series | 2,417,583 | |||
Target 2030 Series | 23,188,232 | |||
Target 2035 Series | 2,308,375 | |||
Target 2040 Series | 16,343,245 | |||
Target 2045 Series | 1,050,448 | |||
Target 2050 Series | 6,470,641 | |||
Target 2055 Series | 318,502 | |||
Target 2060 Series | — |
84
Renewal of Investment Advisory Agreement
(unaudited)
At the Manning & Napier Fund, Inc. (the “Fund”) Board of Directors’ (the “Board”) meeting, held on November 18, 2014, the Investment Advisory Agreement (the “Agreement”) between the Fund and Manning & Napier Advisors, LLC (the “Advisor”) was considered by the Board for renewal. In connection with the decision whether to renew the Agreement, a variety of material was prepared for and considered by the Board.
Representatives of the Advisor attended the meeting and presented additional oral and written information to the Board to assist the Board in its considerations. The discussion immediately below outlines the materials and information presented to the Board in connection with the Board’s 2014 Annual consideration of the Agreement and the conclusions made by the Directors when determining to continue the Agreement.
• | The Board considered the services provided by the Advisor under the Agreement including, among others: deciding what securities to purchase and sell for each Series; arranging for the purchase and sale of such securities by placing orders with broker-dealers; administering the affairs of the Fund (including the books and records of the Fund not maintained by third party service providers such as the custodian or sub-transfer agent); arranging for the insurance coverage for the Fund; and supervising the preparation of tax returns, SEC filings (including registration statements) and reports to shareholders for the Fund. The Board also considered the nature and quality of such services provided under the Agreement in light of the Advisor’s services provided to the Fund for 28 years. The Board discussed the quality of these services with representatives from the Advisor and concluded that the Advisor was performing its services to the Fund required under the Agreement in a reasonable manner. |
• | The Board considered the performance of each Series since its inception, as well as performance over multiple time periods. Performance for one or more of the following time periods was considered as applicable to the Series’ inception date: inception, three year, five year, ten year, and current market cycle. A market cycle includes periods of both rising and falling markets. Returns for established benchmark indices for each Series were provided. In addition, the Board considered at the meeting (and considers on a quarterly basis) a peer group performance analysis consisting of Morningstar universes of mutual funds with similar investment objectives. The Board discussed the performance with representatives from the Advisor and concluded that the investment performance of each of the Fund’s Series was reasonable based on the Series’ actual performance and comparative performance, especially for those series with performance over the current market cycle. |
• | The Board considered the costs of the Advisor’s services and the profits of the Advisor as they relate to the Advisor’s services to the Fund under the Agreement. In reviewing the Advisor’s costs and profits, the Board discussed the Advisor’s revenues generated from the Fund (on both an actual and adjusted basis) and its expenses associated with providing the services under the Agreement. In addition, the Board reviewed the Advisor’s expenses associated with Fund activities outside of the Agreement (such as expense reimbursements pursuant to expense caps and payments made by the Advisor to third party platforms on which shares of the Fund are available for purchase). It was noted by representatives of the Advisor that 20 of the 36 active Series of the Fund are currently experiencing expenses above the capped expense ratios and thus the Advisor is incurring those expenses over the caps. After discussing the above costs and profits, the Board concluded that the Advisor’s profitability relating to its services provided under the Agreement was reasonable. |
• | The Board considered the fees and expenses of the various Series of the Fund. The Advisor presented the advisory fees and total expenses for each Series, including the advisory fee adjusted for any expense waivers or reimbursements (either contractual or voluntary) paid by the Advisor. The advisory fees and expense ratios of each Series were compared to an average (on both a mean and median basis) of similar funds as disclosed on the Morningstar database. Representatives of the Advisor discussed with the Board the levels of its advisory fee for each Series of the Fund and as compared to the median and mean advisory fees for similar funds as listed on Morningstar. Expense ratios for every Series, except the Tax Managed Series, Pro-Blend Series Class C, and Target Series’ Class R, are lower than, or substantially similar to the Morningstar mean and median reported total expense ratio. The higher than mean and median total expense ratios for Classes C and R reflect higher distribution, marketing and shareholder service fees payable to broker-dealers through a 100bp 12b-1 fee for Class C and a 50bp 12b-1 fee for Class R. Based on their review of the information provided, the Board concluded that the fees and expenses of each Series of the Fund were reasonable on a comparative basis. |
85
Renewal of Investment Advisory Agreement
(unaudited)
• | The Board also considered the other benefits the Advisor derives from its relationship with the Fund. Such other benefits include certain research services provided by soft dollars. The Board reviewed the broker-dealers who provided research to the Advisor and the products and services paid for, in whole or in part, using soft dollar commissions. Given the level of soft dollar transactions involving the Fund, the Board concluded that these additional benefits to the Advisor were reasonable. |
• | In addition to the factors described above, the Board considered the Advisor’s personnel, investment strategies, policies and procedures relating to compliance with personal securities transactions, reputation, expertise and resources in domestic and foreign financial markets. The Board concluded that these factors support the conclusion that the Advisor performs its services in a reasonable manner. |
• | The Board then considered economies of scale and concluded that the current fee schedule to the advisory agreement remained reasonable given the multiple uses of the Fund (for the Advisor’s discretionary investment account clients in addition to direct investors), the current profitability of the Advisor’s services to the Fund under the Agreement, the number of newly established series of the Fund and the overall size of the Fund complex. |
Based on the Board’s deliberations and their evaluation of the information described above, the Board, including a majority of Directors that are not “interested persons” as defined in the Investment Company Act of 1940, concluded that the compensation under the Agreement was fair and reasonable in light of the services and expenses and such other matters as the Directors considered to be relevant in the exercise of their reasonable judgment. Accordingly, the Board approved the renewal of the Agreement. In the course of their deliberations, the Directors did not identify any particular information that was all important or controlling.
86
Directors’ and Officers’ Information
(unaudited)
The Statement of Additional Information provides additional information about the Fund’s directors and officers and can be obtained without charge by calling 1-800-466-3863, at www.manningnapieradvisors.com, or on the EDGAR Database on the SEC Internet web site (http:// www.sec.gov). The following chart shows certain information about the Fund’s officers and directors, including their principal occupations during the last five years. Unless specific dates are provided, the individuals have held the listed positions for longer than five years.
Interested Director/Officer
Name: | James E. Mikolaichik* | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 44 | |
Current Position(s) Held with Fund: Term of Office1 & Length of Time Served: Principal Occupation(s) During Past 5 Years: | Principal Executive Officer, President, Chairman & Director Indefinite - Chairman and Director since August 2015 Chief Financial Officer since 2011 - Manning & Napier Advisors, LLC; Executive Vice President and Head of Strategy (2008-2011) and Chief Risk Officer (2004-2008) - Old Mutual Asset Management. Holds or has held one or more of the following title for various subsidiaries and affiliates: Chief Financial Officer | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex:
| N/A | |
Independent Directors
| ||
Name: | Stephen B. Ashley | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 75 | |
Current Position(s) Held with Fund: | Director, Audit Committee Member, Governance & Nominating Committee Member | |
Term of Office & Length of Time Served: | Indefinite - Since 1996 | |
Principal Occupation(s) During Past 5 Years: | Chairman, Director, President & Chief Executive Officer, The Ashley Group (property management and investment). Director 1995-2008 and Chairman (non-executive) 2004-2008 - Fannie Mae (mortgage) | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | Fannie Mae (1995-2008) | |
The Ashley Group (1995-2008) | ||
Genesee Corporation (1987-2007)
| ||
Name: | Paul A. Brooke | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 69 | |
Current Position(s) Held with Fund: | Director, Audit Committee Member, Governance & Nominating Committee Member | |
Term of Office & Length of Time Served: | Indefinite - Since 2007 | |
Principal Occupation(s) During Past 5 Years: | Chairman & CEO (2005-2009) - Ithaka Acquisition Corporation (investments); Chairman (2007-2009) - Alsius Corporation (investments); Managing Member, PMSV Holdings LLC (investments) since 1991; Managing Member, Venbio (investments) since 2010 | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | Incyte Corp. (2000-present) | |
ViroPharma, Inc. (2000-2014) | ||
HLTH Corp (WebMD) (2000-2010) | ||
Cheyne Capital International (2000-present) | ||
MPM Bio-equities (2000-2009) | ||
GMP Companies (2000-2011) | ||
Cytos Biotechnology Ltd. (2012-present)
|
87
Directors’ and Officers’ Information
(unaudited)
Independent Directors (continued)
Name: | Peter L. Faber | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 77 | |
Current Position(s) Held with Fund: | Director, Governance & Nominating Committee Member | |
Term of Office & Length of Time Served: | Indefinite - Since 1987 | |
Principal Occupation(s) During Past 5 Years: | Senior Counsel (2006-2012), Partner (1995-2006 & 2013-present) - McDermott, Will & Emery LLP (law firm) | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | Boston Early Music Festival (non-profit) (2007-present) Amherst Early Music, Inc. (non-profit)(2009-present) Gotham Early Music Scene, Inc. (non-profit)(2009-present) Partnership for New York City, Inc. (non-profit) (1989-2010) New York Collegium (non-profit) (2004-2011)
| |
Name: | Harris H. Rusitzky | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 80 | |
Current Position(s) Held with Fund: | Director, Audit Committee Member, Governance & Nominating Committee Member | |
Term of Office & Length of Time Served: | Indefinite - Since 1985 | |
Principal Occupation(s) During Past 5 Years: | President, The Greening Group (business consultants) since 1994; | |
Partner, The Restaurant Group (restaurants) since 2006 | ||
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | Rochester Institute of Technology (university) (1972-present) | |
Culinary Institute of America (non-profit college) (1985-present) | ||
George Eastman House (museum) (1988-present) | ||
National Restaurant Association (restaurant trade organization) (1978-present)
| ||
Name: | Chester N. Watson | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 65 | |
Current Position(s) Held with Fund: | Director, Audit Committee Chairman, Governance & Nominating Committee Member | |
Term of Office & Length of Time Served: | Indefinite - Since 2012 | |
Principal Occupation(s) During Past 5 Years: | General Auditor (2003-2011) - General Motors Company (auto manufacturer) | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | Rochester Institute of Technology (university) (2005-present)
| |
Officers | ||
Name: | Jeffrey S. Coons, Ph.D., CFA | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 52 | |
Current Position(s) Held with Fund: | Vice President | |
Term of Office1 & Length of Time Served: | Since 2004 | |
Principal Occupation(s) During Past 5 Years: | President since 2010, Co-Director of Research (2002-2015) - Manning & Napier Advisors, LLC | |
Holds one or more of the following titles for various subsidiaries and affiliates: President, Director, Treasurer or Senior Trust Officer. | ||
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | N/A
|
88
Directors’ and Officers’ Information
(unaudited)
Officers (continued)
Name: | Elizabeth Craig | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 28 | |
Current Position(s) Held with Fund: | Assistant Corporate Secretary | |
Term of Office1 & Length of Time Served: | Since 2011 | |
Principal Occupation(s) During Past 5 Years: | Fund Administration Manager since 2015; Mutual Fund Compliance Specialist (2009-2015) - Manning & Napier Advisors, LLC | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex:
| N/A | |
Name: | Christine Glavin | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 49 | |
Current Position(s) Held with Fund: | Principal Financial Officer, Chief Financial Officer | |
Term of Office1 & Length of Time Served: | Principal Financial Officer since 2002; Chief Financial Officer since 2001 | |
Principal Occupation(s) During Past 5 Years: | Director of Fund Reporting since 2011; Fund Reporting Manager (1997-2011) - Manning & Napier Advisors, LLC; Assistant Treasurer since 2008 - Exeter Trust Company | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex:
| N/A | |
Name: | Jodi L. Hedberg | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 47 | |
Current Position(s) Held with Fund: | Corporate Secretary, Chief Compliance Officer, Anti-Money Laundering Compliance Officer | |
Term of Office1 & Length of Time Served: | Corporate Secretary since 1997; Chief Compliance Officer since 2004; Anti-Money Laundering Compliance Officer since 2002 | |
Principal Occupation(s) During Past 5 Years: | Director of Compliance since 2005; Compliance Manager (1995-2005) - Manning & Napier Advisors, LLC and affiliates; Corporate Secretary - Manning & Napier Investor Services, Inc. since 2006 | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex:
| N/A | |
Name: | Richard Yates | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 50 | |
Current Position(s) Held with Fund: | Chief Legal Officer | |
Term of Office1 & Length of Time Served: | Chief Legal Officer since 2004 | |
Principal Occupation(s) During Past 5 Years: | Counsel - Manning & Napier Advisors, LLC and affiliates since 2000; Holds one or more of the following titles for various affiliates; Director or Corporate Secretary | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | N/A
|
*Interested Director, within the meaning of the Investment Company Act of 1940 by reason of his position with the Fund’s investment advisor. Mr. Mikolaichik serves as the Chief Financial Officer for Manning & Napier Advisors, LLC.
1The term of office of all officers shall be one year and until their respective successors are chosen and qualified, or his or her earlier resignation or removal as provided in the Fund’s By-Laws.
89
Results of Special Meeting of Shareholders
(unaudited)
A Special Meeting of the Shareholders of the Fund was held on August 18, 2015. The number of votes necessary to conduct the meeting and approve the proposal was obtained, and the results of the vote of shareholders of all the Series of the Fund voting together in the aggregate is listed below:
PROPOSAL 1:
Election of Directors
NUMBER OF SHARES VOTED FOR | NUMBER OF SHARES WITHELD | |||||||
Stephen B. Ashley | 883,968,395 | 8,618,094 | ||||||
Paul A. Brooke | 884,510,661 | 8,075,828 | ||||||
Peter L. Faber | 884,140,893 | 8,445,596 | ||||||
James E. Mikolaichik | 883,391,832 | 9,194,657 | ||||||
Harris H. Rusitzky | 620,022,215 | 272,564,274 | ||||||
Chester N. Watson | 884,638,809 | 7,947,680 |
90
Literature Requests
(unaudited)
Proxy Voting Policies and Procedures
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request:
By phone | 1-800-466-3863 | |||
On the Securities and Exchange | ||||
Commission’s (SEC) web site | http://www.sec.gov |
Proxy Voting Record
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available, without charge, upon request:
By phone | 1-800-466-3863 | |||
On the SEC’s web site | http://www.sec.gov |
Quarterly Portfolio Holdings
The Series’ complete schedule of portfolio holdings for the 1st and 3rd quarters of each fiscal year are provided on Form N-Q, and are available, without charge, upon request:
By phone | 1-800-466-3863 | |||
On the SEC’s web site | http://www.sec.gov |
The Series’ Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Prospectus and Statement of Additional Information (SAI)
For more information about any of the Manning & Napier Fund, Inc. Series, you may obtain a prospectus and SAI at www.manning-napier.com or by calling (800) 466-3863. Before investing, carefully consider the objectives, risks, charges and expenses of the investment and read the prospectus carefully as it contains this and other information about the investment company. In addition, this information can be found on the SEC’s web site, http://www.sec.gov.
Additional information available at www.manning-napier.com
1. Fund Holdings - Month-End
2. Fund Holdings - Quarter-End
3. Shareholder Report - Annual
4. Shareholder Report - Semi-Annual
The Fund also offers electronic notification or “e-delivery” when certain documents are available on-line to be downloaded or reviewed. Direct shareholders can elect to receive electronic notification when shareholder reports, prospectus updates, and/or statements are available. If you do not currently have on-line access to your account, you can establish access by going to www.manning-napier.com, click on “Login” in the top corner of the page, and follow the prompts to self-enroll. Once enrolled, you can set your electronic notification preferences by clicking on the Account Options tab located within the green toolbar and then select E-Delivery Option. Should you have any questions on either how to establish on-line access or how to update your account settings, please contact Investor Services at 1-800-466-3863.
The Manning & Napier Fund, Inc. is managed by Manning & Napier Advisors, LLC. Manning & Napier Investor Services, Inc., an affiliate of Manning & Napier Advisors, LLC, is the distributor of the Fund shares.
MNTGT-10/15-AR
Disciplined Value Series
Management Discussion and Analysis
(unaudited)
Dear Shareholders:
Volatility defined global equity markets during the past year, largely driven by macroeconomic factors. Markets around the world experienced a correction in late August amidst a broad selloff triggered by renewed concerns about economic growth in emerging markets — China in particular — and uncertainty about the effects of that slowdown on overall global growth. Developed economies continued to provide accommodative monetary policy to combat growth concerns, although markets focused near the end of the period on whether the U.S. Federal Reserve would begin to raise policy interest rates. For much of the year, Europe struggled with uncertainty regarding Greece’s ability to secure bailout funding from its creditors, which impaired investor sentiment. China’s economy slowed, but the government continued to demonstrate a willingness to provide support through a combination of policy-easing maneuvers and targeted stimulus measures. The U.S. economy remained on a path of slow growth that nevertheless made it the best performing developed economy. U.S. stocks generally moved higher, whereas global equity markets were notably weaker. Looking ahead, we expect the slow global growth environment to remain in place for the foreseeable future.
As always, we appreciate your business.
Sincerely,
Manning & Napier Advisors, LLC
1
Disciplined Value Series
Fund Commentary
(unaudited)
Investment Objective
Through a systematic investment approach, the Series seeks to provide competitive returns consistent with the broad equity market while also providing a level of capital protection during bear markets. The Series is designed to offer a diversified portfolio of dividend-paying equity securities. Using a disciplined screening process with a focus on mid-to-large capitalization companies, securities are selected based on free cash flow generation and earnings power, minimum dividend yield, dividend sustainability, and financial health.
Performance Commentary
U.S. equity markets generally delivered positive absolute returns for the twelve-month period ended October 31, 2015. The Russell 3000 Index returned 4.49%. Growth stocks outperformed value stocks during the period as the Russell 1000 Growth Index returned 9.18% while the Russell 1000 Value Index returned 0.53%. The Disciplined Value Series Class S provided modestly positive absolute returns of 0.63%, outperforming its primary benchmark, the Russell 1000 Value Index on a relative basis.
The Series’ outperformance relative to the Russell 1000 Value Index during the year was driven by sector positioning. Conversely, stock selection detracted from relative returns. Regarding major contributors to relative performance, the Series’ underweight to Energy and overweight to Health Care aided relative returns. Stock selection in Information Technology, Materials, and Consumer Discretionary aided relative returns as well.
Offsetting a portion of the relative outperformance was stock selection in Health Care, Industrials, and Consumer Staples. The Series’ underweight to Financials as compared to the benchmark challenged relative returns as well.
Within the Series, through our disciplined screening process, we will pursue opportunities for investors to generate stable income with the potential for capital appreciation. Importantly, our approach will continue to emphasize risk management as a critical component in managing the Series. Despite today’s challenging slow economic growth environment, we believe that this approach can help generate the absolute returns needed to achieve shareholder’ long-term investment goals.
As we look toward 2016, we believe the U.S. economy is in better shape than the European economies and only modestly impacted by the slowdown in emerging markets. We hold the view that the Federal Reserve Bank is not far away from beginning the process of policy normalization, which should include lifting policy interest rates. Broadly speaking, valuations in the developed world remain neutral at best, whereas valuations in select emerging markets are relatively more attractive. Shareholders can expect us to remain active, flexible, and selective in our approach in order to avoid overvalued areas of the market, something Manning & Napier has done for over 40 years as an active investment manager.
Please see the next page for additional performance information as of October 31, 2015.
Performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than that quoted; investors can obtain the most recent month-end performance at www.manning-napier.com or by calling (800) 466-3863
Performance for the Disciplined Value Series Class S shares is provided above. Performance for the Disciplined Value Series Class I shares may be higher or lower based on the Class’ underlying expenses
All investments involve risks, including possible loss of principal. As with any stock fund, the value of your investment will fluctuate in response to stock market movements. Investing in the Series will also involve a number of other risks, including issuer-specific risk, foreign investment risk, and mid-cap risk. In addition, because the Advisor manages the Series with a quantitative approach, the Series is subject to the additional risk that the investment approach may not be successful. Further, the Advisor does not intend to make frequent changes to the Series’ portfolio in response to market movements.
2
Disciplined Value Series
Performance Update as of October 31, 2015
(unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2015 | ||||||
ONE YEAR1 | FIVE YEAR | SINCE INCEPTION2 | ||||
Manning & Napier Fund, Inc. - Disciplined Value Series (formerly known | 0.91% | 11.45% | 12.23% | |||
Manning & Napier Fund, Inc. - Disciplined Value Series (formerly known | 0.63% | 11.15% | 11.94% | |||
Russell 1000® Value Index5 | 0.53% | 13.26% | 13.02% | |||
75/25 Blended Index6 | -1.51% | 10.60% | 11.57% |
The following graph compares the value of a $10,000 investment in the Manning & Napier Fund, Inc. - Disciplined Value Series -Class I from its inception2 (November 7, 2008) to present (October 31, 2015) to the Russell 1000® Value Index and 75/25 Blended Index.
1The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
2Performance numbers for the Series and Index are calculated from November 7, 2008, the Series’ Class I inception date.
3The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2015, this annualized net expense ratio was 0.79% for Class S and 0.54% for Class I. The annualized gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 0.79% for Class S and 0.54% for Class I for the year ended October 31, 2015.
4For periods through March 1, 2012 (the inception date of the Class S shares), performance for the Class S shares is hypothetical and is based on the historical performance of the Class I shares adjusted for the Class S shares’ charges and expenses.
5The Russell 1000® Value Index is an unmanaged, market capitalization-weighted index consisting of those Russell 1000® companies with lower price-to-book ratios and lower forecasted growth values. The Index returns are based on a market capitalization-weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. The Index returns do not reflect any fees or expenses. Index returns provided by Bloomberg.
6The 75/25 Blended Index is 75% Russell 1000® Value and 25% S&P ADR Index (S&P ADR). S&P ADR is an unmanaged, capitalization-weighted measure of non-U.S. companies within the S&P Global 1200 Index which are listed as Level I or Level II ADRs, or ordinary shares in the U.S. The S&P Global 1200 Index is designed to measure the
3
Disciplined Value Series
Performance Update as of October 31, 2015
(unaudited)
performance of the global equity market and is a composite of seven headline indices provided by S&P. The Index returns assume daily reinvestment of dividends. Index returns provided by Bloomberg. S&P Dow Jones Indices LLC, a subsidiary of the McGraw Hill Financial, Inc., is the publisher of various index based data products and services and has licensed certain of its products and services for use by Manning & Napier. All such content Copyright © 2015 by S&P Dow Jones Indices LLC and/or its affiliates. All rights reserved. Neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors make any representation or warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and none of these parties shall have any liability for any errors, omissions, or interruptions of any index or the data included therein. The returns of the indices do not reflect any fees or expenses. Returns provided are calculated monthly using a blended allocation. Because the fund’s asset allocation will vary over time, the composition of the fund’s portfolio may not match the composition of the comparative indices.
4
Disciplined Value Series
Shareholder Expense Example
(unaudited)
As a shareholder of the Series, you may incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Series expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested in each Class at the beginning of the period and held for the entire period (May 1, 2015 to October 31, 2015).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Series’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid during the period. You may use this information to compare the ongoing costs of investing in a class of the Series and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
BEGINNING ACCOUNT VALUE 5/1/15 | ENDING ACCOUNT VALUE 10/31/15 | EXPENSES PAID DURING PERIOD* 5/1/15-10/31/15 | ANNUALIZED EXPENSE RATIO | |||||
Class S | ||||||||
Actual | $1,000.00 | $976.30 | $4.03 | 0.81% | ||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.12 | $4.13 | 0.81% | ||||
Class I | ||||||||
Actual | $1,000.00 | $977.70 | $2.74 | 0.55% | ||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.43 | $2.80 | 0.55% |
*Expenses are equal to each Class’ annualized expense ratio (for the six-month period), multiplied by the average account value over the period, multiplied by 184/365 to reflect the one-half year period. Expenses are based on the most recent fiscal half year: therefore, the expense ratios stated above may differ from the stated in the financial highlights, which are based on one-year data.
5
Disciplined Value Series
Portfolio Composition as of October 31, 2015
(unaudited)
6
Disciplined Value Series
Investment Portfolio - October 31, 2015
SHARES | VALUE (NOTE 2) | |||||||
COMMON STOCKS - 99.0% | ||||||||
Consumer Discretionary - 11.3% | ||||||||
Auto Components - 0.5% | ||||||||
Johnson Controls, Inc. | 20,461 | $ | 924,428 | |||||
|
| |||||||
Automobiles - 0.3% | ||||||||
Harley-Davidson, Inc. | 12,150 | 600,817 | ||||||
|
| |||||||
Distributors - 0.4% | ||||||||
Genuine Parts Co. | 7,633 | 692,771 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure - 2.8% | ||||||||
McDonald’s Corp. | 34,225 | 3,841,756 | ||||||
Yum! Brands, Inc. | 14,961 | 1,060,884 | ||||||
|
| |||||||
4,902,640 | ||||||||
|
| |||||||
Media - 2.1% | ||||||||
Omnicom Group, Inc. | 11,423 | 855,811 | ||||||
Pearson plc - ADR (United Kingdom) | 37,936 | 505,307 | ||||||
Thomson Reuters Corp. | 27,568 | 1,130,839 | ||||||
WPP plc - ADR (United Kingdom) | 11,302 | 1,266,502 | ||||||
|
| |||||||
3,758,459 | ||||||||
|
| |||||||
Multiline Retail - 1.1% | ||||||||
Kohl’s Corp. | 10,026 | 462,399 | ||||||
Target Corp. | 19,033 | 1,468,967 | ||||||
|
| |||||||
1,931,366 | ||||||||
|
| |||||||
Specialty Retail - 4.1% | ||||||||
Best Buy Co., Inc. | 16,600 | 581,498 | ||||||
The Gap, Inc. | 20,991 | 571,375 | ||||||
The Home Depot, Inc. | 39,078 | 4,831,604 | ||||||
L Brands, Inc. | 12,214 | 1,172,300 | ||||||
|
| |||||||
7,156,777 | ||||||||
|
| |||||||
Total Consumer Discretionary | 19,967,258 | |||||||
|
| |||||||
Consumer Staples - 18.3% | ||||||||
Beverages - 4.8% | ||||||||
Coca-Cola FEMSA S.A.B. de C.V. - ADR (Mexico) | 10,373 | 795,402 | ||||||
Diageo plc - ADR (United Kingdom) | 17,793 | 2,047,618 | ||||||
Dr. Pepper Snapple Group, Inc. | 10,055 | 898,615 | ||||||
PepsiCo, Inc. | 46,788 | 4,781,266 | ||||||
|
| |||||||
8,522,901 | ||||||||
|
| |||||||
Food & Staples Retailing - 3.4% | ||||||||
Sysco Corp. | 25,250 | 1,041,563 | ||||||
Wal-Mart Stores, Inc. | 86,385 | 4,944,677 | ||||||
|
| |||||||
5,986,240 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
7
Disciplined Value Series
Investment Portfolio - October 31, 2015
SHARES | VALUE (NOTE 2) | |||||||
COMMON STOCKS (continued) | ||||||||
Consumer Staples (continued) | ||||||||
Food Products - 3.2% | ||||||||
Archer-Daniels-Midland Co. | 27,644 | $ | 1,262,225 | |||||
Campbell Soup Co. | 13,549 | 688,154 | ||||||
ConAgra Foods, Inc. | 20,984 | 850,901 | ||||||
General Mills, Inc. | 23,629 | 1,373,081 | ||||||
The Hershey Co. | 8,621 | 764,596 | ||||||
The J.M. Smucker Co. | 6,400 | 751,296 | ||||||
|
| |||||||
5,690,253 | ||||||||
|
| |||||||
Household Products - 4.9% | ||||||||
The Clorox Co. | 6,534 | 796,756 | ||||||
Colgate-Palmolive Co. | 29,371 | 1,948,766 | ||||||
The Procter & Gamble Co. | 75,946 | 5,800,755 | ||||||
|
| |||||||
8,546,277 | ||||||||
|
| |||||||
Personal Products - 2.0% | ||||||||
Unilever plc - ADR (United Kingdom) | 79,798 | 3,547,021 | ||||||
|
| |||||||
Total Consumer Staples | 32,292,692 | |||||||
|
| |||||||
Energy - 3.5% | ||||||||
Energy Equipment & Services - 1.8% | ||||||||
National Oilwell Varco, Inc. | 12,425 | 467,677 | ||||||
Schlumberger Ltd. | 28,141 | 2,199,501 | ||||||
Tenaris SA - ADR (Luxembourg) | 22,356 | 564,936 | ||||||
|
| |||||||
3,232,114 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels - 1.7% | ||||||||
CNOOC Ltd. - ADR (China) | 12,856 | 1,461,470 | ||||||
Ultrapar Participacoes SA - ADR (Brazil) | 29,256 | 506,421 | ||||||
Valero Energy Corp. | 16,105 | 1,061,642 | ||||||
|
| |||||||
3,029,533 | ||||||||
|
| |||||||
Total Energy | 6,261,647 | |||||||
|
| |||||||
Financials - 8.0% | ||||||||
Banks - 8.0% | ||||||||
BB&T Corp. | 25,488 | 946,879 | ||||||
Fifth Third Bancorp | 34,113 | 649,853 | ||||||
JPMorgan Chase & Co. | 64,564 | 4,148,237 | ||||||
M&T Bank Corp. | 5,492 | 658,216 | ||||||
The PNC Financial Services Group, Inc. | 14,991 | 1,353,088 | ||||||
U.S. Bancorp | 45,505 | 1,919,401 | ||||||
Wells Fargo & Co. | 82,548 | 4,469,149 | ||||||
|
| |||||||
Total Financials | 14,144,823 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
8
Disciplined Value Series
Investment Portfolio - October 31, 2015
SHARES | VALUE (NOTE 2) | |||||||
COMMON STOCKS (continued) | ||||||||
Health Care - 13.0% | ||||||||
Health Care Equipment & Supplies - 0.4% | ||||||||
Baxter International, Inc. | 18,846 | $ | 704,652 | |||||
|
| |||||||
Pharmaceuticals - 12.6% | ||||||||
Johnson & Johnson | 72,082 | 7,282,444 | ||||||
Merck & Co., Inc. | 80,041 | 4,375,041 | ||||||
Pfizer, Inc. | 164,678 | 5,569,410 | ||||||
Sanofi - ADR (France) | 65,005 | 3,272,352 | ||||||
Teva Pharmaceutical Industries Ltd. - ADR (Israel) | 30,068 | 1,779,725 | ||||||
|
| |||||||
22,278,972 | ||||||||
|
| |||||||
Total Health Care | 22,983,624 | |||||||
|
| |||||||
Industrials - 17.2% | ||||||||
Aerospace & Defense - 5.8% | ||||||||
The Boeing Co. | 20,380 | 3,017,667 | ||||||
General Dynamics Corp. | 11,806 | 1,754,135 | ||||||
Lockheed Martin Corp. | 9,655 | 2,122,459 | ||||||
Raytheon Co. | 11,693 | 1,372,758 | ||||||
United Technologies Corp. | 20,540 | 2,021,341 | ||||||
|
| |||||||
10,288,360 | ||||||||
|
| |||||||
Air Freight & Logistics - 1.3% | ||||||||
United Parcel Service, Inc. - Class B | 22,791 | 2,347,929 | ||||||
|
| |||||||
Commercial Services & Supplies - 0.6% | ||||||||
Waste Management, Inc. | 19,934 | 1,071,652 | ||||||
|
| |||||||
Electrical Equipment - 2.5% | ||||||||
ABB Ltd. (Asea Brown Boveri) - ADR (Switzerland) | 76,877 | 1,451,438 | ||||||
Eaton Corp. plc | 17,689 | 988,992 | ||||||
Emerson Electric Co. | 27,819 | 1,313,891 | ||||||
Rockwell Automation, Inc. | 6,025 | 657,689 | ||||||
|
| |||||||
4,412,010 | ||||||||
|
| |||||||
Industrial Conglomerates - 2.0% | ||||||||
3M Co. | 22,251 | 3,498,080 | ||||||
|
| |||||||
Machinery - 3.4% | ||||||||
Caterpillar, Inc. | 20,410 | 1,489,726 | ||||||
Cummins, Inc. | 6,366 | 658,945 | ||||||
Deere & Co. | 13,850 | 1,080,300 | ||||||
Illinois Tool Works, Inc. | 14,108 | 1,297,090 | ||||||
Parker-Hannifin Corp. | 5,474 | 573,128 | ||||||
Stanley Black & Decker, Inc. | 7,513 | 796,228 | ||||||
|
| |||||||
5,895,417 | ||||||||
|
| |||||||
Road & Rail - 1.6% | ||||||||
Norfolk Southern Corp. | 11,373 | 910,181 |
The accompanying notes are an integral part of the financial statements.
9
Disciplined Value Series
Investment Portfolio - October 31, 2015
SHARES | VALUE (NOTE 2) | |||||||
COMMON STOCKS (continued) | ||||||||
Industrials (continued) | ||||||||
Road & Rail (continued) | ||||||||
Union Pacific Corp. | 22,205 | $ | 1,984,017 | |||||
|
| |||||||
2,894,198 | ||||||||
|
| |||||||
Total Industrials | 30,407,646 | |||||||
|
| |||||||
Information Technology - 19.5% | ||||||||
Communications Equipment - 3.9% | ||||||||
Cisco Systems, Inc. | 117,215 | 3,381,653 | ||||||
QUALCOMM, Inc. | 40,783 | 2,423,326 | ||||||
Telefonaktiebolaget LM Ericsson - ADR (Sweden) | 118,840 | 1,157,502 | ||||||
|
| |||||||
6,962,481 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components - 0.5% | ||||||||
Corning, Inc. | 44,293 | 823,850 | ||||||
|
| |||||||
IT Services - 4.3% | ||||||||
Accenture plc - Class A | 20,012 | 2,145,286 | ||||||
Automatic Data Processing, Inc. | 17,067 | 1,484,658 | ||||||
International Business Machines Corp. | 18,631 | 2,609,830 | ||||||
Paychex, Inc. | 16,595 | 855,970 | ||||||
Xerox Corp. | 52,118 | 489,388 | ||||||
|
| |||||||
7,585,132 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment - 3.4% | ||||||||
Intel Corp. | 124,993 | 4,232,263 | ||||||
Texas Instruments, Inc. | 31,833 | 1,805,568 | ||||||
|
| |||||||
6,037,831 | ||||||||
|
| |||||||
Software - 5.2% | ||||||||
CA, Inc. | 22,193 | 614,968 | ||||||
Microsoft Corp. | 147,512 | 7,765,032 | ||||||
Symantec Corp. | 37,545 | 773,427 | ||||||
|
| |||||||
9,153,427 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 2.2% | ||||||||
Canon, Inc. - ADR (Japan) | 47,284 | 1,408,118 | ||||||
HP, Inc. | 51,430 | 1,386,553 | ||||||
Seagate Technology plc | 14,033 | 534,096 | ||||||
Western Digital Corp. | 7,815 | 522,198 | ||||||
|
| |||||||
3,850,965 | ||||||||
|
| |||||||
Total Information Technology | 34,413,686 | |||||||
|
| |||||||
Materials - 5.4% | ||||||||
Chemicals - 4.1% | ||||||||
The Dow Chemical Co. | 35,080 | 1,812,584 |
The accompanying notes are an integral part of the financial statements.
10
Disciplined Value Series
Investment Portfolio - October 31, 2015
SHARES | VALUE (NOTE 2) | |||||||
COMMON STOCKS (continued) | ||||||||
Materials (continued) | ||||||||
Chemicals (continued) | ||||||||
E.I. du Pont de Nemours & Co. | 27,714 | $ | 1,757,068 | |||||
LyondellBasell Industries N.V. - Class A - ADR | 14,721 | 1,367,728 | ||||||
Praxair, Inc. | 9,109 | 1,011,919 | ||||||
Syngenta AG - ADR (Switzerland) | 19,159 | 1,289,209 | ||||||
|
| |||||||
7,238,508 | ||||||||
|
| |||||||
Construction Materials - 0.5% | ||||||||
CRH plc - ADR (Ireland) | 29,538 | 808,160 | ||||||
|
| |||||||
Metals & Mining - 0.3% | ||||||||
Nucor Corp. | 12,702 | 537,295 | ||||||
|
| |||||||
Paper & Forest Products - 0.5% | ||||||||
International Paper Co. | 20,279 | 865,710 | ||||||
|
| |||||||
Total Materials | 9,449,673 | |||||||
|
| |||||||
Telecommunication Services - 2.4% | ||||||||
Diversified Telecommunication Services - 0.5% | ||||||||
Telekomunikasi Indonesia Persero Tbk PT - ADR (Indonesia) | 23,064 | 917,025 | ||||||
|
| |||||||
Wireless Telecommunication Services - 1.9% | ||||||||
NTT DOCOMO, Inc. - ADR (Japan) | 128,187 | 2,516,311 | ||||||
SK Telecom Co. Ltd. - ADR (South Korea) | 32,699 | 770,388 | ||||||
|
| |||||||
3,286,699 | ||||||||
|
| |||||||
Total Telecommunication Services | 4,203,724 | |||||||
|
| |||||||
Utilities - 0.4% | ||||||||
Electric Utilities - 0.4% | ||||||||
Enersis SA - ADR (Chile) | 48,374 | 640,955 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 174,765,728 | |||||||
|
| |||||||
SHORT-TERM INVESTMENT - 0.8% | ||||||||
Dreyfus Cash Management, Inc. - Institutional Shares1, 0.06% | ||||||||
(Identified Cost $1,388,522) | 1,388,522 | 1,388,522 | ||||||
|
| |||||||
TOTAL INVESTMENTS - 99.8% | ||||||||
(Identified Cost $160,031,333) | 176,154,250 | |||||||
OTHER ASSETS, LESS LIABILITIES - 0.2% | 315,303 | |||||||
|
| |||||||
NET ASSETS - 100% | $ | 176,469,553 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
11
Disciplined Value Series
Investment Portfolio - October 31, 2015
ADR - American Depositary Receipt
1Rate shown is the current yield as of October 31, 2015.
The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of MSCI Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P), and is licensed for use by Manning & Napier when referencing GICS sectors. Neither MSCI, S&P, nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification, nor shall any such party have any liability therefrom.
The accompanying notes are an integral part of the financial statements.
12
Disciplined Value Series
Statement of Assets and Liabilities
October 31, 2015
ASSETS: | ||||
Investments, at value (identified cost $160,031,333) (Note 2) | $ | 176,154,250 | ||
Dividends receivable | 275,711 | |||
Receivable for fund shares sold | 162,049 | |||
Foreign tax reclaims receivable | 111,072 | |||
|
| |||
TOTAL ASSETS | 176,703,082 | |||
|
| |||
LIABILITIES: | ||||
Accrued management fees (Note 3) | 66,131 | |||
Accrued fund accounting and administration fees (Note 3) | 14,122 | |||
Accrued transfer agent fees (Note 3) | 3,490 | |||
Accrued shareholder services fees (Class S) (Note 3) | 3,223 | |||
Accrued Chief Compliance Officer service fees (Note 3) | 421 | |||
Accrued Directors’ fees (Note 3) | 31 | |||
Payable for fund shares repurchased | 104,514 | |||
Audit fees payable | 23,209 | |||
Other payables and accrued expenses | 18,388 | |||
|
| |||
TOTAL LIABILITIES | 233,529 | |||
|
| |||
TOTAL NET ASSETS | $ | 176,469,553 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Capital stock | $ | 115,913 | ||
Additional paid-in-capital | 138,464,701 | |||
Undistributed net investment income | 570,453 | |||
Accumulated net realized gain on investments | 21,195,569 | |||
Net unrealized appreciation on investments | 16,122,917 | |||
|
| |||
TOTAL NET ASSETS | $ | 176,469,553 | ||
|
| |||
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class S | ||||
($15,470,795/1,329,168 shares) | $ | 11.64 | ||
|
| |||
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class I | ||||
($160,998,758/10,262,145 shares) | $ | 15.69 | ||
|
|
The accompanying notes are an integral part of the financial statements.
13
Disciplined Value Series
Statement of Operations
For the Year Ended October 31, 2015
INVESTMENT INCOME: | ||||
Dividends (net of foreign taxes withheld, $203,214) | $ | 5,886,662 | ||
|
| |||
EXPENSES: | ||||
Management fees (Note 3) | 889,197 | |||
Fund accounting and administration fees (Note 3) | 57,385 | |||
Shareholder services fees (Class S)(Note 3) | 37,353 | |||
Transfer agent fees (Note 3) | 14,509 | |||
Directors’ fees (Note 3) | 6,675 | |||
Chief Compliance Officer service fees (Note 3) | 2,520 | |||
Custodian fees | 10,577 | |||
Miscellaneous | 85,184 | |||
|
| |||
Total Expenses | 1,103,400 | |||
|
| |||
NET INVESTMENT INCOME | 4,783,262 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: | ||||
Net realized gain on investments | 21,255,846 | |||
Net change in unrealized appreciation (depreciation) on investments | (23,865,543 | ) | ||
|
| |||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | (2,609,697 | ) | ||
|
| |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 2,173,565 | ||
|
|
The accompanying notes are an integral part of the financial statements.
14
Disciplined Value Series
Statements of Changes in Net Assets
FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | |||||||
INCREASE (DECREASE) IN NET ASSETS: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 4,783,262 | $ | 4,382,084 | ||||
Net realized gain on investments | 21,255,846 | 10,359,076 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (23,865,543 | ) | 8,904,835 | |||||
|
|
|
| |||||
Net increase from operations | 2,173,565 | 23,645,995 | ||||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS (Note 8): | ||||||||
From net investment income (Class S) | (445,287 | ) | (333,384 | ) | ||||
From net investment income (Class I) | (4,361,188 | ) | (3,921,762 | ) | ||||
From net realized gain on investments (Class S) | (940,919 | ) | (279,952 | ) | ||||
From net realized gain on investments (Class I) | (9,412,072 | ) | (3,013,000 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (15,159,466 | ) | (7,548,098 | ) | ||||
|
|
|
| |||||
CAPITAL STOCK ISSUED AND REPURCHASED: | ||||||||
Net increase (decrease) from capital share transactions (Note 5) | (15,596,999 | ) | 19,298,739 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets | (28,582,900 | ) | 35,396,636 | |||||
NET ASSETS: | ||||||||
Beginning of year | 205,052,453 | 169,655,817 | ||||||
|
|
|
| |||||
End of year (including undistributed net investment income of $570,453 and $593,666,respectively) | $ | 176,469,553 | $ | 205,052,453 | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
15
Disciplined Value Series
Financial Highlights - Class S
FOR THE YEARS ENDED | FOR THE PERIOD 10/31/12 | |||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | ||||||||||||||
Per share data (for a share outstanding throughout each period): | ||||||||||||||||
Net asset value - Beginning of period | $ | 12.75 | $ | 11.88 | $ | 10.14 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income from investment operations: | ||||||||||||||||
Net investment income2 | 0.26 | 0.26 | 0.26 | 0.12 | ||||||||||||
Net realized and unrealized gain on investments | (0.21 | ) | 1.25 | 1.89 | 0.23 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 0.05 | 1.51 | 2.15 | 0.35 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less distributions to shareholders: | ||||||||||||||||
From net investment income | (0.36 | ) | (0.34 | ) | (0.35 | ) | (0.21 | ) | ||||||||
From net realized gain on investments | (0.80 | ) | (0.30 | ) | (0.06 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (1.16 | ) | (0.64 | ) | (0.41 | ) | (0.21 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value - End of period | $ | 11.64 | $ | 12.75 | $ | 11.88 | $ | 10.14 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets - End of period (000’s omitted) | $ | 15,471 | $ | 13,716 | $ | 10,667 | $ | 5,130 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return3 | 0.63 | % | 13.12 | % | 21.70 | % | 3.59 | % | ||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||
Expenses | 0.79 | % | 0.79 | % | 0.81 | % | 0.86 | %4 | ||||||||
Net investment income | 2.14 | % | 2.11 | % | 2.31 | % | 1.76 | %4 | ||||||||
Portfolio turnover | 49 | % | 23 | % | 19 | % | 16 | % |
1Commencement of operations.
2Calculated based on average shares outstanding during the periods.
3Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Periods less than one year are not annualized. 4Annualized.
The accompanying notes are an integral part of the financial statements.
16
Disciplined Value Series
Financial Highlights - Class I*
FOR THE YEARS ENDED | ||||||||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | ||||||||||||||||
Per share data (for a share outstanding throughout each year): | ||||||||||||||||||||
Net asset value - Beginning of year | $ | 16.76 | $ | 15.41 | $ | 13.03 | $ | 11.96 | $ | 12.41 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income1 | 0.39 | 0.38 | 0.37 | 0.34 | 0.27 | |||||||||||||||
Net realized and unrealized gain on investments | (0.27 | ) | 1.64 | 2.45 | 1.05 | 0.88 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | 0.12 | 2.02 | 2.82 | 1.39 | 1.15 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions to shareholders: | ||||||||||||||||||||
From net investment income | (0.39 | ) | (0.37 | ) | (0.38 | ) | (0.30 | ) | (0.30 | ) | ||||||||||
From net realized gain on investments | (0.80 | ) | (0.30 | ) | (0.06 | ) | (0.02 | ) | (1.30 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions to shareholders | (1.19 | ) | (0.67 | ) | (0.44 | ) | (0.32 | ) | (1.60 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value - End of year | $ | 15.69 | $ | 16.76 | $ | 15.41 | $ | 13.03 | $ | 11.96 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net assets - End of year (000’s omitted) | $ | 160,999 | $ | 191,337 | $ | 158,989 | $ | 128,760 | $ | 79,028 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return2 | 0.91 | % | 13.44 | % | 22.02 | % | 11.77 | % | 10.17 | % | ||||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||||||
Expenses** | 0.54 | % | 0.54 | % | 0.56 | % | 0.59 | % | 0.60 | % | ||||||||||
Net investment income | 2.44 | % | 2.38 | % | 2.63 | % | 2.69 | % | 2.41 | % | ||||||||||
Portfolio turnover | 49 | % | 23 | % | 19 | % | 16 | % | 8 | % | ||||||||||
*Effective March 1, 2012, the shares of the Series have been designated as Class I. | ||||||||||||||||||||
**The investment advisor did not impose all or a portion of its management and/or other fees, and in some periods may have paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratio (to average net assets) would have increased by the following amounts: | ||||||||||||||||||||
N/A | N/A | N/A | N/A | 0.45 | % |
1Calculated based on average shares outstanding during the years.
2Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during certain years.
The accompanying notes are an integral part of the financial statements.
17
Disciplined Value Series
Notes to Financial Statements
1. | Organization |
Disciplined Value Series, formerly known as Dividend Focus Series, (the “Series”) is a no-load diversified series of Manning & Napier Fund, Inc. (the “Fund”). The Fund is organized in Maryland and is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company.
The Series’ investment objective is to provide competitive returns consistent with the broad equity market while providing a level of capital protection during market downturns.
The Fund’s Advisor is Manning & Napier Advisors, LLC (the “Advisor”). Shares of the Series are offered to investors, clients and employees of the Advisor and its affiliates. The total authorized capital stock of the Fund consists of 15 billion shares of common stock each having a par value of $0.01. As of October 31, 2015, 10.7 billion shares have been designated in total among 41 series, of which 100 million have been designated as Disciplined Value Series Class I common stock and 100 million have been designated as Disciplined Value Series Class S common stock.
2. | Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Series. The Series is an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 - Investment Companies, which is part of accounting principles generally accepted in the United States of America (“GAAP”).
Security Valuation
Portfolio securities, including domestic equities, foreign equities, warrants and options, listed on an exchange other than the NASDAQ Stock Market are valued at the latest quoted sales price of the exchange on which the security is primarily traded. Securities not traded on valuation date or securities not listed on an exchange are valued at the latest quoted bid price provided by the Fund’s pricing service. Securities listed on the NASDAQ Stock Market are valued in accordance with the NASDAQ Official Closing Price.
Short-term investments that mature in sixty days or less are valued at amortized cost, which approximates fair value. Investments in open-end investment companies are valued at their net asset value per share on valuation date.
Volume and level of activity in established markets for an asset or liability are evaluated to determine whether recent transactions and quoted prices are determinative of fair value. Where there have been significant decreases in volume and level of activity, further analysis and adjustment may be necessary to estimate fair value. The Series measures fair value in these instances by the use of inputs and valuation techniques which may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry and/or expectation of future cash flows. As a result of trading in relatively thin markets and/or markets that experience significant volatility, the prices used by the Series to value these securities may differ from the value that would be realized if these securities were sold, and the differences could be material.
Securities for which representative valuations or prices are not available from the Series’ pricing service may be valued at fair value as determined in good faith by the Advisor under procedures approved by and under the general supervision and responsibility of the Fund’s Board of Directors (the “Board”). Due to the inherent uncertainty of valuations of such securities, the fair value may differ significantly from the values that would have been used had a ready market for such securities existed. If trading or events occurring after the close of the principal market in which securities are traded are expected to materially affect the value of those securities, then they may be valued at their fair value, taking this trading or these events into account.
Various inputs are used in determining the value of the Series’ assets or liabilities carried at fair value. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical assets and liabilities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments). A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both
18
Disciplined Value Series
Notes to Financial Statements (continued)
2. | Significant Accounting Policies (continued) |
Security Valuation (continued)
individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the valuation levels used for major security types as of October 31, 2015 in valuing the Series’ assets or liabilities carried at fair value:
DESCRIPTION | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | ||||||||||||
Assets: | ||||||||||||||||
Equity securities: | ||||||||||||||||
Consumer Discretionary | $ | 19,967,258 | $ | 19,967,258 | $ | — | $ | — | ||||||||
Consumer Staples | 32,292,692 | 32,292,692 | — | — | ||||||||||||
Energy | 6,261,647 | 6,261,647 | — | — | ||||||||||||
Financials | 14,144,823 | 14,144,823 | — | — | ||||||||||||
Health Care | 22,983,624 | 22,983,624 | — | — | ||||||||||||
Industrials | 30,407,646 | 30,407,646 | — | — | ||||||||||||
Information Technology | 34,413,686 | 34,413,686 | — | — | ||||||||||||
Materials | 9,449,673 | 9,449,673 | — | — | ||||||||||||
Telecommunication Services | 4,203,724 | 4,203,724 | — | — | ||||||||||||
Utilities | 640,955 | 640,955 | — | — | ||||||||||||
Mutual Fund | 1,388,522 | 1,388,522 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | $ | 176,154,250 | $ | 176,154,250 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
There were no Level 2 or Level 3 securities held by the Series as of October 31, 2014 or October 31, 2015.
The Fund’s policy is to recognize transfers in and transfers out of the valuation levels as of the beginning of the reporting period. There were no transfers between Level 1 and Level 2 during the year ended October 31, 2015.
Security Transactions, Investment Income and Expenses
Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date, except that if the ex-dividend date has passed, certain dividends from foreign securities are recorded as soon as the Series is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair value of the securities received. Interest income, including amortization of premium and accretion of discounts using the effective interest method, is earned from settlement date and accrued daily.
Expenses are recorded on an accrual basis. Most expenses of the Fund can be attributed to a specific series. Expenses which cannot be directly attributed are apportioned among the series in the Fund in such a manner as deemed equitable by the Fund’s Board, taking into consideration, among other things, the nature and type of expense. Income, expenses (other than class specific expenses), and realized and unrealized gains and losses are prorated among the classes based on the relative net assets of each class. Class specific expenses are directly charged to that class.
The Series uses the identified cost method for determining realized gain or loss on investments for both financial statement and federal income tax reporting purposes.
Foreign Currency Translation
The books and records of the Series are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at the current exchange rates. Purchases and sales of investment securities and income and expenses are translated on the respective dates of such transactions. The Series does not isolate realized and unrealized gains and losses attributable to changes in the exchange rates from gains and losses that arise from changes in the fair value of investments. Such fluctuations are included with net realized and unrealized gain or loss on investments. Net realized foreign currency gains and losses represent foreign currency gains and losses between trade date and settlement date
19
Disciplined Value Series
Notes to Financial Statements (continued)
2. | Significant Accounting Policies (continued) |
Foreign Currency Translation (continued)
on securities transactions, gains and losses on disposition of foreign currencies and the difference between the amount of income and foreign withholding taxes recorded on the books of the Series and the amounts actually received or paid.
Federal Taxes
The Series’ policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies. The Series is not subject to federal income or excise tax to the extent that the Series distributes to shareholders each year its taxable income, including any net realized gains on investments, in accordance with requirements of the Internal Revenue Code. Accordingly, no provision for federal income tax or excise tax has been made in the financial statements.
Management evaluates its tax positions to determine if the tax positions taken meet the minimum recognition threshold in connection with accounting for uncertainties in income tax positions taken or expected to be taken for the purposes of measuring and recognizing tax liabilities in the financial statements. Recognition of tax benefits of an uncertain tax position is required only when the position is “more likely than not” to be sustained assuming examination by taxing authorities. At October 31, 2015, the Series has recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns.
The Series files income tax returns in the U.S. federal jurisdiction, various states and foreign jurisdictions, as required. No income tax returns are currently under investigation. The statute of limitations on the Series’ tax returns remains open for the years ended October 31, 2012 through October 31, 2015. The Series is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
Foreign Taxes
Based on the Series’ understanding of the tax rules and rates related to income, gains and currency purchase/repatriation transactions for foreign jurisdictions in which it invests, the Series will provide for foreign taxes, and where appropriate, deferred foreign tax.
Distributions of Income and Gains
Distributions to shareholders of net investment income are made quarterly. Distributions of net realized gains are made annually. An additional distribution may be necessary to avoid taxation of the Series. Distributions are recorded on the ex-dividend date.
Indemnifications
The Fund’s organizational documents provide former and current directors and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Other
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
3. | Transactions with Affiliates |
The Fund has an Investment Advisory Agreement (the “Agreement”) with the Advisor, for which the Series pays a fee, computed daily and payable monthly, at an annual rate of 0.45% of the Series’ average daily net assets.
Under the Agreement, personnel of the Advisor provide the Series with advice and assistance in the choice of investments and the execution of securities transactions, and otherwise maintain the Series’ organization. The Advisor also provides the Fund with necessary office space and fund administration and support services. The salaries of all officers of the Fund (except a
20
Disciplined Value Series
Notes to Financial Statements (continued)
3. | Transactions with Affiliates (continued) |
percentage of the Fund’s Chief Compliance Officer’s salary, which is paid by the Fund), and of all Directors who are “affiliated persons” of the Fund, or of the Advisor, and all personnel of the Fund, or of the Advisor, performing services relating to research, statistical and investment activities, are paid by the Advisor. Each “non-affiliated” Director receives an annual stipend, which is allocated among all the active series of the Fund. In addition, these Directors also receive a fee per Board meeting attended plus a fee for each committee meeting attended and are reimbursed for travel and other out-of-pocket expenses incurred by them in connection with attending such meetings. The Fund also has an Audit Committee Chair, who receives an additional annual stipend for this role.
The Class S shares of the Series are subject to a shareholder services fee in accordance with a shareholder services plan adopted by the Fund���s Board. The shareholder services fee is intended to compensate financial intermediaries, including affiliates of the Fund, in connection with the provision of direct client service, personal services, maintenance of shareholder accounts and reporting services. For these services, the Class S shares of the Series pay a fee, computed daily and payable monthly, at an annual rate of 0.25% of the average daily net assets of Class S. The Fund has a Shareholder Services Agreement with the Advisor, for which the Advisor receives the shareholder services fee as stated above.
The Advisor has contractually agreed, until at least February 29, 2016, to waive its management fee and, if necessary, pay other operating expenses of the Series in order to maintain total direct annual fund operating expenses for the Series, exclusive of shareholder service fees, at no more than 0.60% of average daily net assets each year. For the year ended October 31, 2015, the Advisor did not waive fees or reimburse expenses for the Series. The Advisor is not eligible to recoup any expenses that have been waived or reimbursed in prior years.
Manning & Napier Investor Services, Inc., a registered broker-dealer affiliate of the Advisor, acts as distributor for the Fund’s shares. The services of Manning & Napier Investor Services, Inc. are provided at no additional cost to the Series.
Pursuant to a master services agreement dated November 1, 2014, the Fund pays the Advisor an annual fee related to fund accounting and administration of 0.0085% on the first $25 billion of average daily net assets (excluding Target Series and Strategic Income Series); 0.0075% on the next $15 billion of average daily net assets (excluding Target Series and Strategic Income Series); and 0.0065% of the average daily net assets in excess of $40 billion (excluding Target Series and Strategic Income Series); plus a base fee of $30,400 per series. Transfer agent fees are charged to the Fund on a per account basis. Additionally, certain transaction and out-of-pocket expenses, including charges for reporting relating to the Fund’s compliance program, are charged. The Advisor has agreements with BNY Mellon Investment Servicing (U.S.) Inc. (“BNY”) under which BNY serves as sub-accountant services agent and sub-transfer agent.
Expenses not directly attributable to a series are allocated based on each series’ relative net assets or number of accounts, depending on the expense.
4. | Purchases and Sales of Securities |
For the year ended October 31, 2015, purchases and sales of securities, other than U.S. Government securities and short-term securities, were $92,725,272 and $115,869,444, respectively. There were no purchases or sales of U.S. Government securities.
21
Disciplined Value Series
Notes to Financial Statements (continued)
5. | Capital Stock Transactions |
Transactions in Class S and I shares of Disciplined Value Series were:
CLASS S | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | ||||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | |||||||||||||
Sold | 502,112 | $ | 6,090,178 | 320,096 | $ | 3,902,262 | ||||||||||
Reinvested | 118,130 | 1,368,047 | 50,658 | 602,636 | ||||||||||||
Repurchased | (367,006 | ) | (4,408,509 | ) | (192,945 | ) | (2,342,673 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | 253,236 | $ | 3,049,716 | 177,809 | $ | 2,162,225 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CLASS I | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | ||||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | |||||||||||||
Sold | 2,135,524 | $ | 34,619,779 | 2,601,735 | $ | 41,024,236 | ||||||||||
Reinvested | 405,303 | 6,294,873 | 219,152 | 3,412,112 | ||||||||||||
Repurchased | (3,694,895 | ) | (59,561,367 | ) | (1,720,300 | ) | (27,299,834 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | (1,154,068 | ) | $ | (18,646,715 | ) | 1,100,587 | $ | 17,136,514 | ||||||||
|
|
|
|
|
|
|
|
At October 31, 2015, one shareholder account owned 4,128,980 shares of the Series (35.6% of shares outstanding) valued at $64,783,700. In addition, the retirement plan of the Advisor and its affiliates owned 203,838 shares of the Series (1.8% of shares outstanding) valued at $3,198,220. Investment activities of these shareholders may have a material effect on the Series.
6. | Financial Instruments |
The Series may trade in instruments including written and purchased options, forward foreign currency exchange contracts and futures contracts and other derivatives in the normal course of investing activities to assist in managing exposure to various market risks. The Series may be subject to various elements of risk which may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. These risks include: the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to over the counter derivative counterparties’ failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing the fund to close out its position(s); and documentation risk relating to disagreement over contract terms. No such investments were held by the Series as of October 31, 2015.
7. | Foreign Securities |
Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in securities of domestic companies and the U.S. Government. These risks include revaluation of currencies and future adverse political and economic developments. Moreover, securities of foreign companies and foreign governments and their markets may be less liquid and their prices more volatile than those of comparable domestic companies and the U.S. Government.
8. | Federal Income Tax Information |
The amount and characterization of certain income and capital gains to be distributed are determined in accordance with federal income tax regulations, which may differ from GAAP. These differences are primarily due to differing book and tax treatment on losses deferred due to wash sales. The Series may periodically make reclassifications among its capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations, without impacting the Series’ net asset value. Any such reclassifications are not reflected in the financial highlights.
22
Disciplined Value Series
Notes to Financial Statements (continued)
8. | Federal Income Tax Information (continued) |
The tax character of distributions paid were as follows:
FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | |||||||
Ordinary income | $ | 5,052,392 | $ | 4,400,112 | ||||
Long-term capital gains | 10,107,074 | 3,147,986 |
At October 31, 2015, the tax basis of components of distributable earnings and the net unrealized appreciation based on identified cost of investments for federal income tax purposes were as follows:
Cost for federal income tax purposes | $ | 160,132,354 | ||
Unrealized appreciation | 25,755,286 | |||
Unrealized depreciation | (9,733,390 | ) | ||
|
| |||
Net unrealized appreciation | $ | 16,021,896 | ||
|
| |||
Undistributed ordinary income | $ | 725,106 | ||
Undistributed long-term capital gains | $ | 21,141,937 |
23
Disciplined Value Series
Report of Independent Registered Public Accounting Firm
To the Board of Directors of Manning & Napier Fund, Inc. and Shareholders of Disciplined Value Series:
In our opinion, the accompanying statement of assets and liabilities, including the investment portfolio, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Disciplined Value Series (a series of Manning & Napier Fund, Inc., hereafter referred to as the “Series”) at October 31, 2015, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Series’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2015 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
New York, New York
December 18, 2015
24
Disciplined Value Series
Supplemental Tax Information
(unaudited)
All reportings are based on financial information available as of the date of this annual report and, accordingly, are subject to change.
For federal income tax purposes, the Series reports for the current fiscal year $6,029,680 or, if different, the maximum amount allowable under the tax law, as qualified dividend income.
For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends received deduction for the current fiscal year is 86.08%.
The Series designates $22,199,040 as Long-Term Capital Gain dividends pursuant to Section 852(b) of the Code for the fiscal year ended October 31, 2015.
25
Disciplined Value Series
Directors’ and Officers’ Information
(unaudited)
The Statement of Additional Information provides additional information about the Fund’s directors and officers and can be obtained without charge by calling 1-800-466-3863, at www.manningnapieradvisors.com, or on the EDGAR Database on the SEC Internet web site (http:// www.sec.gov). The following chart shows certain information about the Fund’s officers and directors, including their principal occupations during the last five years. Unless specific dates are provided, the individuals have held the listed positions for longer than five years.
Interested Director/Officer
Name: | James E. Mikolaichik* | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 44 | |
Current Position(s) Held with Fund: | Principal Executive Officer, President, Chairman & Director | |
Term of Office1 & Length of Time Served: | Indefinite – Chairman and Director since August 2015 | |
Principal Occupation(s) During Past 5 Years: | Chief Financial Officer since 2011 - Manning & Napier Advisors, LLC; Executive Vice President and Head of Strategy (2008-2011) and Chief Risk Officer (2004-2008) - Old Mutual Asset Management. Holds or has held one or more of the following title for various subsidiaries and affiliates: Chief Financial Officer | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | N/A |
Independent Directors
Name: | Stephen B. Ashley | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 75 | |
Current Position(s) Held with Fund: | Director, Audit Committee Member, Governance & Nominating Committee Member | |
Term of Office & Length of Time Served: | Indefinite - Since 1996 | |
Principal Occupation(s) During Past 5 Years: | Chairman, Director, President & Chief Executive Officer, The Ashley Group (property management and investment). Director 1995-2008 and Chairman (non-executive) 2004-2008 - Fannie Mae (mortgage) | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | Fannie Mae (1995-2008) | |
The Ashley Group (1995-2008) | ||
Genesee Corporation (1987-2007) | ||
Name: | Paul A. Brooke | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 69 | |
Current Position(s) Held with Fund: | Director, Audit Committee Member, Governance & Nominating Committee Member | |
Term of Office & Length of Time Served: | Indefinite - Since 2007 | |
Principal Occupation(s) During Past 5 Years: | Chairman & CEO (2005-2009) - Ithaka Acquisition Corporation (investments); Chairman (2007-2009) - Alsius Corporation (investments); Managing Member, PMSV Holdings LLC (investments) since 1991; Managing Member, Venbio (investments) since 2010 | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | Incyte Corp. (2000-present) | |
ViroPharma, Inc. (2000-2014) | ||
HLTH Corp (WebMD) (2000-2010) | ||
Cheyne Capital International (2000-present) | ||
MPM Bio-equities (2000-2009) | ||
GMP Companies (2000-2011) | ||
Cytos Biotechnology Ltd. (2012-present) |
26
Disciplined Value Series
Directors’ and Officers’ Information
(unaudited)
Independent | Directors (continued) |
Name: | Peter L. Faber | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 77 | |
Current Position(s) Held with Fund: | Director, Governance & Nominating Committee Member | |
Term of Office & Length of Time Served: | Indefinite - Since 1987 | |
Principal Occupation(s) During Past 5 Years: | Senior Counsel (2006-2012), Partner (1995-2006 & 2013-present) - McDermott, Will & Emery LLP (law firm) | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | Boston Early Music Festival (non-profit) (2007-present) Amherst Early Music, Inc. (non-profit)(2009-present) Gotham Early Music Scene, Inc. (non-profit)(2009-present) Partnership for New York City, Inc. (non-profit) (1989-2010) New York Collegium (non-profit) (2004-2011) | |
Name: | Harris H. Rusitzky | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 80 | |
Current Position(s) Held with Fund: | Director, Audit Committee Member, Governance & Nominating Committee Member | |
Term of Office & Length of Time Served: | Indefinite - Since 1985 | |
Principal Occupation(s) During Past 5 Years: | President, The Greening Group (business consultants) since 1994; Partner, The Restaurant Group (restaurants) since 2006 | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | Rochester Institute of Technology (university) (1972-present) Culinary Institute of America (non-profit college) (1985-present) George Eastman House (museum) (1988-present) National Restaurant Association (restaurant trade organization) (1978-present) | |
Name: | Chester N. Watson | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 65 | |
Current Position(s) Held with Fund: | Director, Audit Committee Chairman, Governance & Nominating Committee Member | |
Term of Office & Length of Time Served: | Indefinite - Since 2012 | |
Principal Occupation(s) During Past 5 Years: | General Auditor (2003-2011) - General Motors Company (auto manufacturer) | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | Rochester Institute of Technology (university) (2005-present) |
Officers
Name: | Jeffrey S. Coons, Ph.D., CFA | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 52 | |
Current Position(s) Held with Fund: | Vice President | |
Term of Office1 & Length of Time Served: | Since 2004 | |
Principal Occupation(s) During Past 5 Years: | President since 2010, Co-Director of Research (2002-2015) - Manning & Napier Advisors, LLC Holds one or more of the following titles for various subsidiaries and affiliates: President, Director, Treasurer or Senior Trust Officer. | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | N/A |
27
Disciplined Value Series
Directors’ and Officers’ Information
(unaudited)
Officers | (continued) |
Name: | Elizabeth Craig | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 28 | |
Current Position(s) Held with Fund: | Assistant Corporate Secretary | |
Term of Office1 & Length of Time Served: | Since 2011 | |
Principal Occupation(s) During Past 5 Years: | Fund Administration Manager since 2015; Mutual Fund Compliance Specialist (2009-2015) - Manning & Napier Advisors, LLC | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | N/A | |
Name: | Christine Glavin | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 49 | |
Current Position(s) Held with Fund: | Principal Financial Officer, Chief Financial Officer | |
Term of Office1 & Length of Time Served: | Principal Financial Officer since 2002; Chief Financial Officer since 2001 | |
Principal Occupation(s) During Past 5 Years: | Director of Fund Reporting since 2011; Fund Reporting Manager (1997-2011) - Manning & Napier Advisors, LLC; Assistant Treasurer since 2008 - Exeter Trust Company | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | N/A | |
Name: | Jodi L. Hedberg | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 47 | |
Current Position(s) Held with Fund: | Corporate Secretary, Chief Compliance Officer, Anti-Money Laundering Compliance Officer | |
Term of Office1 & Length of Time Served: | Corporate Secretary since 1997; Chief Compliance Officer since 2004; Anti-Money Laundering Compliance Officer since 2002 | |
Principal Occupation(s) During Past 5 Years: | Director of Compliance since 2005; Compliance Manager (1995-2005) - Manning & Napier Advisors, LLC and affiliates; Corporate Secretary - Manning & Napier Investor Services, Inc. since 2006 | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | N/A | |
Name: | Richard Yates | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 50 | |
Current Position(s) Held with Fund: | Chief Legal Officer | |
Term of Office1 & Length of Time Served: | Chief Legal Officer since 2004 | |
Principal Occupation(s) During Past 5 Years: | Counsel - Manning & Napier Advisors, LLC and affiliates since 2000; Holds one or more of the following titles for various affiliates; Director or Corporate Secretary | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | N/A |
*Interested Director, within the meaning of the Investment Company Act of 1940 by reason of his position with the Fund’s investment advisor. Mr. Mikolaichik serves as the Chief Financial Officer for Manning & Napier Advisors, LLC.
1 The term of office of all officers shall be one year and until their respective successors are chosen and qualified, or his or her earlier resignation or removal as provided in the Fund’s By-Laws.
28
Disciplined Value Series
Results of Special Meeting of Shareholders
(unaudited)
A Special Meeting of the Shareholders of the Fund was held on August 18, 2015. The number of votes necessary to conduct the meeting and approve the proposal was obtained, and the results of the vote of shareholders of all the Series of the Fund voting together in the aggregate is listed below:
PROPOSAL 1:
Election of Directors
NUMBER OF SHARES VOTED FOR | NUMBER OF SHARES WITHELD | |||||||
Stephen B. Ashley | 883,968,395 | 8,618,094 | ||||||
Paul A. Brooke | 884,510,661 | 8,075,828 | ||||||
Peter L. Faber | 884,140,893 | 8,445,596 | ||||||
James E. Mikolaichik | 883,391,832 | 9,194,657 | ||||||
Harris H. Rusitzky | 620,022,215 | 272,564,274 | ||||||
Chester N. Watson | 884,638,809 | 7,947,680 |
29
Disciplined Value Series
Literature Requests
(unaudited)
Proxy Voting Policies and Procedures
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request:
By phone | 1-800-466-3863 | |||
On the Securities and Exchange | ||||
Commission’s (SEC) web site | http://www.sec.gov |
Proxy Voting Record
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available, without charge, upon request:
By phone | 1-800-466-3863 | |||
On the SEC’s web site | http://www.sec.gov |
Quarterly Portfolio Holdings
The Series’ complete schedule of portfolio holdings for the 1st and 3rd quarters of each fiscal year are provided on Form N-Q, and are available, without charge, upon request:
By phone | 1-800-466-3863 | |||
On the SEC’s web site | http://www.sec.gov |
The Series’ Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Prospectus and Statement of Additional Information (SAI)
For more information about any of the Manning & Napier Fund, Inc. Series, you may obtain a prospectus and SAI at www.manning-napier.com or by calling (800) 466-3863. Before investing, carefully consider the objectives, risks, charges and expenses of the investment and read the prospectus carefully as it contains this and other information about the investment company. In addition, this information can be found on the SEC’s web site, http://www.sec.gov.
Additional information available at www.manning-napier.com
1. Fund Holdings Month-End
2. Fund Holdings - Quarter-End
3. Shareholder Report - Annual
4. Shareholder Report - Semi-Annual
The Fund also offers electronic notification or “e-delivery” when certain documents are available on-line to be downloaded or reviewed. Direct shareholders can elect to receive electronic notification when shareholder reports, prospectus updates, and/or statements are available. If you do not currently have on-line access to your account, you can establish access by going to www.manning-napier.com, click on “Login” in the top corner of the page, and follow the prompts to self-enroll. Once enrolled, you can set your electronic notification preferences by clicking on the Account Options tab located within the green toolbar and then select E-Delivery Option. Should you have any questions on either how to establish on-line access or how to update your account settings, please contact Investor Services at 1-800-466-3863.
The Manning & Napier Fund, Inc. is managed by Manning & Napier Advisors, LLC. Manning & Napier Investor Services, Inc., an affiliate of Manning & Napier Advisors, LLC, is the distributor of the Fund shares.
MNDIV-10/15-AR
Overseas Series
Management Discussion and Analysis
(unaudited)
Dear Shareholders:
Volatility defined global equity markets during the past year, largely driven by macroeconomic factors. Markets around the world experienced a correction in late August amidst a broad selloff triggered by renewed concerns about economic growth in emerging markets — China in particular — and uncertainty about the effects of that slowdown on overall global growth. Developed economies continued to provide accommodative monetary policy to combat growth concerns, although markets focused near the end of the period on whether the U.S. Federal Reserve would begin to raise policy interest rates. For much of the year, Europe struggled with uncertainty regarding Greece’s ability to secure bailout funding from its creditors, which impaired investor sentiment. China’s economy slowed, but the government continued to demonstrate a willingness to provide support through a combination of policy-easing maneuvers and targeted stimulus measures. The U.S. economy remained on a path of slow growth that nevertheless made it the best performing developed economy. U.S. stocks generally moved higher, whereas global equity markets were notably weaker. Looking ahead, we expect the slow global growth environment to remain in place for the foreseeable future.
As always, we appreciate your business.
Sincerely,
Manning & Napier Advisors, LLC
1
Overseas Series
Fund Commentary
(unaudited)
Investment Objective
To maximize long-term growth by investing principally in the common stocks of companies located around the world. The Series invests primarily in foreign companies, including those in developed and emerging markets.
Performance Commentary
Global equity markets generally experienced negative absolute returns for the twelve-month period ended October 31, 2015. The broad MSCI ACWI ex USA Index (ACWIxUS) returned -4.68%. The Overseas Series returned -3.02%, but outperformed the benchmark on a relative basis.
The Series’ outperformance relative to the ACWIxUS benchmark during the year was primarily driven by sector positioning. Stock selection also aided relative returns. Regarding major contributors to relative performance, the Series’ overweights to Consumer Staples and Consumer Discretionary relative to the benchmark aided relative returns, as did the Series’ underweight to Financials. Stock selection in Information Technology also aided relative returns. From a country perspective, stock selection in the United Kingdom, Germany, and France aided relative returns.
Offsetting a portion of the relative outperformance was an overweight to Energy as compared to the benchmark, which detracted from relative returns. Stock selection in Telecommunication Services and Consumer Discretionary challenged relative returns as well. From a country perspective, an underweight to Japan and an overweight to Brazil versus the benchmark detracted from relative returns, as did stock selection in Canada.
In regard to current portfolio positioning, we are focused on finding fundamentally strong businesses that are not heavily reliant upon macroeconomic growth to drive sales and earnings. More specifically, we see value in businesses that we believe have control of their destiny and are taking share in large established markets or are creating new markets on their own. The goal is to identify companies trading at attractive valuations relative to their growth potential.
As we look toward 2016, we continue to believe that the slowdown in the Chinese economy is part-and-parcel of the country’s transition from an investment-led model to a more stable and sustainable economy driven by domestic consumption. There is scope for domestic demand to pick up in Europe, which could help growth in the region to stabilize at weak levels with a modestly improving trend heading into 2016. Broadly speaking, valuations in the developed world remain neutral at best, whereas valuations in select emerging markets are relatively more attractive. Our indicators point to volatility still being a buying opportunity and do not suggest capital risk is a significant near-term concern. Shareholders can expect us to remain active, flexible, and selective in our approach in order to avoid overvalued areas of the market, something Manning & Napier has done for over 40 years as an active investment manager.
Please see the next page for additional performance information as of October 31, 2015.
Performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than that quoted; investors can obtain the most recent month-end performance at www.manning-napier.com or by calling (800) 466-3863.
All investments involve risks, including possible loss of principal. Funds whose investments are concentrated in foreign countries may be subject to fluctuating currency values, different accounting standards, and economic and political instability. The value of the Series may be affected by changes in exchange rates between foreign currencies and the U.S. dollar. Investments in emerging markets may be more volatile than investments in more developed markets.
2
Overseas Series
Performance Update as of October 31, 2015
(unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2015 | ||||||||||||||||
ONE YEAR1 | FIVE YEAR | TEN YEAR | SINCE INCEPTION2 | |||||||||||||
Manning & Napier Fund, Inc. - Overseas Series3,4 | -3.02 | % | 2.17 | % | 4.93 | % | 7.75 | % | ||||||||
MSCI ACWI ex USA Index5 | -4.68 | % | 2.60 | % | 4.16 | % | 5.52 | % |
The following graph compares the value of a $1,000,000 investment in the Manning & Napier Fund, Inc. - Overseas Series for the ten years ended October 31, 2015 to the MSCI ACWI ex USA Index.
1The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
2Performance numbers for the Series are calculated from September 23, 1998, the Collective’s inception date (see Note 4 below). Prior to 2001, the MSCI ACWI ex USA only published month-end numbers; therefore, performance numbers for the Index are calculated from September 30, 1998.
3The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2015, this net expense ratio was 0.74%. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 0.74% for the year ended October 31, 2015.
4Prior to July 10, 2002, all performance figures reflect the performance of the Exeter Trust Company Group Trust for Employee Benefit Plans: International Collective Investment Trust (the “Collective”), which was managed by Manning & Napier Advisors, Inc. (predecessor to Manning & Napier Advisors, LLC), an affiliate of the distributor, and reorganized into the Manning & Napier Fund, Inc. Overseas Series on July 10, 2002. The Collective was not open to the public generally or registered under the Investment Company Act of 1940 and the fees of the Collective were lower than the Series’ fees. Therefore, the historical performance of the Collective would have been lower if the Collective had been subject to the same fees as the Series.
5The MSCI ACWI ex USA Index is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global developed and emerging markets and consists of 45 developed and emerging market country indices outside the U.S. The Index returns do not reflect any fees or expenses. The Index is denominated in U.S. dollars. The Index returns assume daily investment of gross dividends (which do not account for applicable dividend taxation) prior to December 31, 1998, as net returns were not available. Subsequent to December 31, 1998, the Index returns are net of withholding taxes. They assume daily reinvestment of net dividends, thus accounting for any applicable dividend taxation. Index returns provided by Bloomberg.
3
Overseas Series
Shareholder Expense Example
(unaudited)
As a shareholder of the Series, you may incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Series expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (May 1, 2015 to October 31, 2015).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Series’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid during the period. You may use this information to compare the ongoing costs of investing in the Series and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
BEGINNING ACCOUNT VALUE 5/1/15 | ENDING ACCOUNT VALUE 10/31/15 | EXPENSES PAID DURING PERIOD* 5/1/15-10/31/15 | ||||
Actual | $1,000.00 | $916.30 | $3.57 | |||
Hypothetical | ||||||
(5% return before expenses) | $1,000.00 | $1,021.48 | $3.77 |
*Expenses are equal to the Series’ annualized expense ratio (for the six-month period) of 0.74%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
4
Overseas Series
Portfolio Composition as of October 31, 2015
(unaudited)
5
Overseas Series
Investment Portfolio - October 31, 2015
SHARES | VALUE | |||||||
(NOTE 2) | ||||||||
COMMON STOCKS - 97.5% | ||||||||
Consumer Discretionary - 17.3% | ||||||||
Diversified Consumer Services - 2.4% | ||||||||
Kroton Educacional S.A. (Brazil) | 15,935,940 | $ | 40,743,247 | |||||
|
| |||||||
Hotels, Restaurants & Leisure - 2.6% | ||||||||
Accor S.A. (France)1 | 924,200 | 45,895,300 | ||||||
|
| |||||||
Media - 6.5% | ||||||||
ITV plc (United Kingdom)1 | 10,956,720 | 42,536,976 | ||||||
Liberty Global plc - Class A - ADR (United Kingdom)* | 1,247,030 | 55,517,776 | ||||||
Modern Times Group AB - Class B (Sweden)1 | 493,525 | 13,999,741 | ||||||
|
| |||||||
112,054,493 | ||||||||
|
| |||||||
Specialty Retail - 2.0% | ||||||||
Kingfisher plc (United Kingdom)1 | 6,258,429 | 34,019,220 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods - 3.8% | ||||||||
Adidas AG (Germany)1 | 187,740 | 16,824,978 | ||||||
lululemon athletica, Inc. (United States)* | 983,020 | 48,335,093 | ||||||
|
| |||||||
65,160,071 | ||||||||
|
| |||||||
Total Consumer Discretionary | 297,872,331 | |||||||
|
| |||||||
Consumer Staples - 26.4% | ||||||||
Beverages - 10.9% | ||||||||
AMBEV S.A. - ADR (Brazil) | 7,504,165 | 36,545,283 | ||||||
Anheuser-Busch InBev N.V. (Belgium)1 | 466,990 | 55,723,412 | ||||||
Diageo plc (United Kingdom)1 | 1,895,890 | 54,658,157 | ||||||
Remy Cointreau S.A. (France)1 | 133,828 | 9,296,474 | ||||||
SABMiller plc (United Kingdom)1 | 522,930 | 32,120,005 | ||||||
|
| |||||||
188,343,331 | ||||||||
|
| |||||||
Food & Staples Retailing - 3.1% | ||||||||
Carrefour S.A. (France)1 | 514,195 | 16,755,547 | ||||||
Tesco plc (United Kingdom)*1 | 12,882,400 | 36,332,046 | ||||||
|
| |||||||
53,087,593 | ||||||||
|
| |||||||
Food Products - 5.0% | ||||||||
Danone S.A. (France)1 | 666,510 | 46,322,480 | ||||||
Nestle S.A. (Switzerland)1 | 516,850 | 39,473,900 | ||||||
|
| |||||||
85,796,380 | ||||||||
|
| |||||||
Personal Products - 2.9% | ||||||||
Beiersdorf AG (Germany)1 | 192,720 | 18,303,749 | ||||||
Unilever plc - ADR (United Kingdom) | 710,310 | 31,573,279 | ||||||
|
| |||||||
49,877,028 | ||||||||
|
| |||||||
Tobacco - 4.5% | ||||||||
Japan Tobacco, Inc. (Japan)1 | 1,770,200 | 61,269,788 |
The accompanying notes are an integral part of the financial statements.
6
Overseas Series
Investment Portfolio - October 31, 2015
SHARES | VALUE | |||||||
(NOTE 2) | ||||||||
COMMON STOCKS (continued) | ||||||||
Consumer Staples (continued) | ||||||||
Tobacco (continued) | ||||||||
Swedish Match AB (Sweden)1 | 557,360 | $ | 17,521,019 | |||||
|
| |||||||
78,790,807 | ||||||||
|
| |||||||
Total Consumer Staples | 455,895,139 | |||||||
|
| |||||||
Energy - 6.5% | ||||||||
Energy Equipment & Services - 3.1% | ||||||||
Schlumberger Ltd. (United States) | 684,850 | 53,527,876 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels - 3.4% | ||||||||
Cameco Corp. (Canada) | 3,561,310 | 50,463,763 | ||||||
Whitehaven Coal Ltd. (Australia)*1 | 11,588,086 | 8,322,016 | ||||||
|
| |||||||
58,785,779 | ||||||||
|
| |||||||
Total Energy | 112,313,655 | |||||||
|
| |||||||
Financials - 1.6% | ||||||||
Insurance - 1.6% | ||||||||
Admiral Group plc (United Kingdom)1 | 1,084,458 | 26,911,986 | ||||||
|
| |||||||
Health Care - 16.7% | ||||||||
Health Care Equipment & Supplies - 4.7% | ||||||||
BioMerieux (France)1 | 73,166 | 8,499,956 | ||||||
Medtronic plc (United States) | 698,920 | 51,664,166 | ||||||
Shandong Weigao Group Medical Polymer Co. Ltd. - Class H (China)1 | 30,163,200 | 20,826,630 | ||||||
|
| |||||||
80,990,752 | ||||||||
|
| |||||||
Health Care Providers & Services - 4.3% | ||||||||
Fresenius Medical Care AG & Co. KGaA (Germany)1 | 824,050 | 74,170,740 | ||||||
|
| |||||||
Life Sciences Tools & Services - 1.2% | ||||||||
QIAGEN N.V. - ADR (United States)* | 156,240 | 3,776,321 | ||||||
QIAGEN N.V. (United States)*1 | 684,696 | 16,599,494 | ||||||
|
| |||||||
20,375,815 | ||||||||
|
| |||||||
Pharmaceuticals - 6.5% | ||||||||
Novartis AG - ADR (Switzerland) | 598,600 | 54,131,398 | ||||||
Sanofi (France)1 | 576,914 | 58,196,713 | ||||||
|
| |||||||
112,328,111 | ||||||||
|
| |||||||
Total Health Care | 287,865,418 | |||||||
|
| |||||||
Industrials - 6.7% | ||||||||
Airlines - 0.9% | ||||||||
Ryanair Holdings plc - ADR (Ireland) | 198,138 | 15,492,375 | ||||||
|
| |||||||
Commercial Services & Supplies - 1.4% | ||||||||
Aggreko plc (United Kingdom)1 | 1,688,263 | 23,797,336 | ||||||
|
| |||||||
Machinery - 1.9% | ||||||||
Sulzer AG (Switzerland)1 | 171,335 | 17,312,670 |
The accompanying notes are an integral part of the financial statements.
7
Overseas Series
Investment Portfolio - October 31, 2015
VALUE | ||||||||
SHARES | (NOTE 2) | |||||||
COMMON STOCKS (continued) | ||||||||
Industrials (continued) | ||||||||
Machinery (continued) | ||||||||
The Weir Group plc (United Kingdom)1 | 1,010,688 | $ | 16,603,369 | |||||
|
| |||||||
33,916,039 | ||||||||
|
| |||||||
Marine - 0.8% | ||||||||
D/S Norden A/S (Denmark)*1 | 193,275 | 3,853,745 | ||||||
Diana Shipping, Inc. (Greece)* | 622,610 | 3,928,669 | ||||||
Pacific Basin Shipping Ltd. (Hong Kong)1 | 13,661,000 | 4,040,849 | ||||||
Star Bulk Carriers Corp. (Greece)* | 1,324,500 | 2,092,710 | ||||||
|
| |||||||
13,915,973 | ||||||||
|
| |||||||
Trading Companies & Distributors - 1.7% | ||||||||
Brenntag AG (Germany)1 | 483,699 | 29,207,362 | ||||||
|
| |||||||
Total Industrials | 116,329,085 | |||||||
|
| |||||||
Information Technology - 13.9% | ||||||||
Internet Software & Services - 12.5% | ||||||||
Alibaba Group Holding Ltd. - ADR (China)* | 756,940 | 63,454,280 | ||||||
Baidu, Inc. - ADR (China)* | 336,530 | 63,089,279 | ||||||
Qihoo 360 Technology Co. Ltd. - ADR (China)* | 793,080 | 45,276,937 | ||||||
Tencent Holdings Ltd. - Class H (China)1 | 2,289,000 | 43,146,228 | ||||||
|
| |||||||
214,966,724 | ||||||||
|
| |||||||
IT Services - 1.4% | ||||||||
Amdocs Ltd. - ADR (United States) | 417,180 | 24,851,413 | ||||||
|
| |||||||
Total Information Technology | 239,818,137 | |||||||
|
| |||||||
Materials - 5.1% | ||||||||
Chemicals - 1.6% | ||||||||
Potash Corp. of Saskatchewan, Inc. (Canada) | 363,677 | 7,357,186 | ||||||
Sociedad Quimica y Minera de Chile S.A. - ADR (Chile) | 1,065,658 | 20,652,452 | ||||||
|
| |||||||
28,009,638 | ||||||||
|
| |||||||
Metals & Mining - 3.5% | ||||||||
Alumina Ltd. (Australia)1 | 19,317,698 | 14,820,573 | ||||||
Norsk Hydro ASA (Norway)1 | 4,858,774 | 17,403,066 | ||||||
ThyssenKrupp AG (Germany)1 | 1,397,910 | 28,167,780 | ||||||
|
| |||||||
60,391,419 | ||||||||
|
| |||||||
Total Materials | 88,401,057 | |||||||
|
| |||||||
Telecommunication Services - 3.3% | ||||||||
Wireless Telecommunication Services - 3.3% | ||||||||
America Movil S.A.B. de C.V. - Class L - ADR (Mexico) | 3,204,060 | 57,064,309 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Identified Cost $1,767,248,002) | 1,682,471,117 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
8
Overseas Series
Investment Portfolio - October 31, 2015
SHARES | VALUE | |||||||
(NOTE 2) | ||||||||
SHORT-TERM INVESTMENT - 1.3% | ||||||||
Dreyfus Cash Management, Inc. - Institutional Shares2, 0.06% | ||||||||
(Identified Cost $22,675,215) | 22,675,215 | $ | 22,675,215 | |||||
|
| |||||||
TOTAL INVESTMENTS - 98.8% | ||||||||
(Identified Cost $1,789,923,217) | 1,705,146,332 | |||||||
OTHER ASSETS, LESS LIABILITIES - 1.2% | 20,131,210 | |||||||
|
| |||||||
NET ASSETS - 100% | $ | 1,725,277,542 | ||||||
|
|
ADR - American Depositary Receipt
*Non-income producing security.
1A factor from a third party vendor was applied to determine the security’s fair value following the close of local trading.
2Rate shown is the current yield as of October 31, 2015.
The Series’ portfolio holds, as a percentage of net assets, greater than 10% in the following countries: United Kingdom - 20.5%; China - 13.7%; United States - 11.5%; France - 10.7%.
The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of MSCI Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P), and is licensed for use by Manning & Napier when referencing GICS sectors. Neither MSCI, S&P, nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification, nor shall any such party have any liability therefrom.
The accompanying notes are an integral part of the financial statements.
9
Overseas Series
Statement of Assets & Liabilities
October 31, 2015
ASSETS: | ||||
Investments, at value (identified cost $1,789,923,217) (Note 2) | $ | 1,705,146,332 | ||
Receivable for securities sold | 22,679,959 | |||
Foreign tax reclaims receivable | 3,849,913 | |||
Dividends receivable | 1,634,997 | |||
Receivable for fund shares sold | 548,133 | |||
Prepaid expenses | 203 | |||
|
| |||
TOTAL ASSETS | 1,733,859,537 | |||
|
| |||
LIABILITIES: | ||||
Accrued management fees (Note 3) | 1,008,240 | |||
Accrued fund accounting and administration fees (Note 3) | 57,196 | |||
Accrued transfer agent fees (Note 3) | 1,867 | |||
Accrued Chief Compliance Officer service fees (Note 3) | 421 | |||
Accrued Directors’ fees (Note 3) | 25 | |||
Payable for securities purchased | 6,706,326 | |||
Payable for fund shares repurchased | 538,964 | |||
Other payables and accrued expenses | 268,956 | |||
|
| |||
TOTAL LIABILITIES | 8,581,995 | |||
|
| |||
TOTAL NET ASSETS | $ | 1,725,277,542 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Capital stock | $ | 808,558 | ||
Additional paid-in-capital | 1,880,373,035 | |||
Undistributed net investment income | 25,786,926 | |||
Accumulated net realized loss on investments, foreign currency and translation of other assets and liabilities | (96,578,339 | ) | ||
Net unrealized appreciation (depreciation) on investments, foreign currency and translation of other assets and liabilities | (85,112,638 | ) | ||
|
| |||
TOTAL NET ASSETS | $ | 1,725,277,542 | ||
|
| |||
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class A | $ | 21.34 | ||
|
|
The accompanying notes are an integral part of the financial statements.
10
Overseas Series
Statement of Operations
For the Year Ended October 31, 2015
INVESTMENT INCOME: | ||||
Dividends (net of foreign taxes withheld, $4,280,386) | $ | 47,702,587 | ||
|
| |||
EXPENSES: | ||||
Management fees (Note 3) | 15,520,410 | |||
Fund accounting and administration fees (Note 3) | 237,844 | |||
Directors’ fees (Note 3) | 78,756 | |||
Transfer agent fees (Note 3) | 7,266 | |||
Chief Compliance Officer service fees (Note 3) | 2,520 | |||
Custodian fees | 404,889 | |||
Miscellaneous | 225,756 | |||
|
| |||
Total Expenses | 16,477,441 | |||
|
| |||
NET INVESTMENT INCOME | 31,225,146 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY: | ||||
Net realized loss on- | ||||
Investments | (95,483,574 | ) | ||
Foreign currency and translation of other assets and liabilities | (1,406,437 | ) | ||
|
| |||
(96,890,011 | ) | |||
|
| |||
Net change in unrealized appreciation (depreciation) on- | ||||
Investments | 11,278,928 | |||
Foreign currency and translation of other assets and liabilities | (112,145 | ) | ||
|
| |||
11,166,783 | ||||
|
| |||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY | (85,723,228 | ) | ||
|
| |||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (54,498,082 | ) | |
|
|
The accompanying notes are an integral part of the financial statements.
11
Overseas Series
Statements of Changes in Net Assets
FOR THE YEAR 10/31/15 | FOR THE YEAR 10/31/14 | |||||||
INCREASE (DECREASE) IN NET ASSETS: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 31,225,146 | $ | 38,169,340 | ||||
Net realized gain (loss) on investments and foreign currency | (96,890,011 | ) | 188,178,015 | |||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency | 11,166,783 | (407,962,972 | ) | |||||
|
|
|
| |||||
Net decrease from operations | (54,498,082 | ) | (181,615,617 | ) | ||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS (Note 8): | ||||||||
From net investment income | (38,104,257 | ) | (36,250,731 | ) | ||||
From net realized gain on investments | (188,046,421 | ) | (105,998,729 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (226,150,678 | ) | (142,249,460 | ) | ||||
|
|
|
| |||||
CAPITAL STOCK ISSUED AND REPURCHASED: | ||||||||
Net increase (decrease) from capital share transactions (Note 5) | (646,381,264 | ) | 314,510,810 | |||||
|
|
|
| |||||
Net decrease in net assets | (927,030,024 | ) | (9,354,267 | ) | ||||
NET ASSETS: | ||||||||
Beginning of year | 2,652,307,566 | 2,661,661,833 | ||||||
|
|
|
| |||||
End of year (including undistributed net investment income of $25,786,926 and $34,087,879,respectively) | $ | 1,725,277,542 | $ | 2,652,307,566 | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
12
Overseas Series
Financial Highlights
FOR THE YEARS ENDED | ||||||||||||||||||||
10/31/15 |
10/31/14 |
10/31/13 |
10/31/12 |
10/31/11 | ||||||||||||||||
Per share data (for a share outstanding throughout each year): | ||||||||||||||||||||
Net asset value - Beginning of year | $ | 24.31 | $ | 27.39 | $ | 22.47 | $ | 22.63 | $ | 24.22 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | 0.32 | 0.36 | 0.41 | 0.36 | 0.75 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | (1.14 | ) | (1.98 | ) | 4.88 | 0.51 | (2.09 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (0.82 | ) | (1.62 | ) | 5.29 | 0.87 | (1.34 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions to shareholders: | ||||||||||||||||||||
From net investment income | (0.36 | ) | (0.37 | ) | (0.37 | ) | (0.52 | ) | (0.25 | ) | ||||||||||
From net realized gain on investments | (1.79 | ) | (1.09 | ) | — | (0.51 | ) | — | 2 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions to shareholders | (2.15 | ) | (1.46 | ) | (0.37 | ) | (1.03 | ) | (0.25 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value - End of year | $ | 21.34 | $ | 24.31 | $ | 27.39 | $ | 22.47 | $ | 22.63 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net assets - End of year (000’s omitted) | $ | 1,725,278 | $ | 2,652,308 | $ | 2,661,662 | $ | 1,993,999 | $ | 1,336,187 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return3 | (3.02 | %) | (6.13 | %) | 23.87 | % | 4.61 | % | (5.61 | %) | ||||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||||||
Expenses* | 0.74 | % | 0.74 | % | 0.75 | % | 0.75 | % | 0.75 | % | ||||||||||
Net investment income | 1.41 | % | 1.37 | % | 1.65 | % | 1.68 | % | 3.04 | % | ||||||||||
Portfolio turnover | 59 | % | 39 | % | 43 | % | 42 | % | 37 | % | ||||||||||
*The investment advisor did not impose all or a portion of its management and/or other fees, and in some years may have paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratio (to average net assets) would have increased by the following amounts: | ||||||||||||||||||||
N/A | N/A | N/A | 0.00 | %4 | 0.01 | % |
1Calculated based on average shares outstanding during the years.
2Less than $0.01 per share.
3Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during certain years.
4Less than 0.01%.
The accompanying notes are an integral part of the financial statements.
13
Overseas Series
Notes to Financial Statements
1. | Organization |
Overseas Series (the “Series”) is a no-load diversified series of Manning & Napier Fund, Inc. (the “Fund”). The Fund is organized in Maryland and is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company.
The Series’ investment objective is to provide long-term growth.
The Fund’s Advisor is Manning & Napier Advisors, LLC (the “Advisor”). Shares of the Series are offered to investors, clients and employees of the Advisor and its affiliates. The total authorized capital stock of the Fund consists of 15 billion shares of common stock each having a par value of $0.01. As of October 31, 2015, 10.7 billion shares have been designated in total among 41 series, of which 200 million have been designated as Overseas Series Class A common stock.
2. | Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Series. The Series is an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 - Investment Companies, which is part of accounting principles generally accepted in the United States of America (“GAAP”).
Security Valuation
Portfolio securities, including domestic equities, foreign equities, warrants and options, listed on an exchange other than the NASDAQ Stock Market are valued at the latest quoted sales price of the exchange on which the security is primarily traded. Securities not traded on valuation date or securities not listed on an exchange are valued at the latest quoted bid price provided by the Fund’s pricing service. Securities listed on the NASDAQ Stock Market are valued in accordance with the NASDAQ Official Closing Price.
Short-term investments that mature in sixty days or less are valued at amortized cost, which approximates fair value. Investments in open-end investment companies are valued at their net asset value per share on valuation date.
Volume and level of activity in established markets for an asset or liability are evaluated to determine whether recent transactions and quoted prices are determinative of fair value. Where there have been significant decreases in volume and level of activity, further analysis and adjustment may be necessary to estimate fair value. The Series measures fair value in these instances by the use of inputs and valuation techniques which may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry and/or expectation of future cash flows. As a result of trading in relatively thin markets and/or markets that experience significant volatility, the prices used by the Series to value these securities may differ from the value that would be realized if these securities were sold, and the differences could be material.
Securities for which representative valuations or prices are not available from the Series’ pricing service may be valued at fair value as determined in good faith by the Advisor under procedures approved by and under the general supervision and responsibility of the Fund’s Board of Directors (the “Board”). Due to the inherent uncertainty of valuations of such securities, the fair value may differ significantly from the values that would have been used had a ready market for such securities existed. If trading or events occurring after the close of the principal market in which securities are traded are expected to materially affect the value of those securities, then they may be valued at their fair value, taking this trading or these events into account. In accordance with the procedures approved by the Board, the values of certain securities trading outside the U.S. were adjusted following the close of local trading using a factor from a third party vendor. The third party vendor uses statistical analyses and quantitative models, which consider among other things subsequent movement and changes in the prices of indices, securities and exchange rates in other markets, to determine the factors which are used to adjust local market prices. The value of securities used for net asset value calculation under these procedures may differ from published prices for the same securities. It is the Fund’s policy to classify each foreign equity security where a factor from a third party vendor is provided as a Level 2 security.
14
Overseas Series
Notes to Financial Statements (continued)
2. | Significant Accounting Policies (continued) |
Security Valuation (continued)
Various inputs are used in determining the value of the Series’ assets or liabilities carried at fair value. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical assets and liabilities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments). A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the valuation levels used for major security types as of October 31, 2015 in valuing the Series’ assets or liabilities carried at fair value:
DESCRIPTION | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | ||||||||||||
Assets: | ||||||||||||||||
Equity securities: | ||||||||||||||||
Consumer Discretionary | $ | 297,872,331 | $ | 144,596,116 | $ | 153,276,215 | $ | — | ||||||||
Consumer Staples | 455,895,139 | 68,118,562 | 387,776,577 | — | ||||||||||||
Energy | 112,313,655 | 103,991,639 | 8,322,016 | — | ||||||||||||
Financials | 26,911,986 | — | 26,911,986 | — | ||||||||||||
Health Care | 287,865,418 | 109,571,885 | 178,293,533 | — | ||||||||||||
Industrials | 116,329,085 | 21,513,754 | 94,815,331 | — | ||||||||||||
Information Technology | 239,818,137 | 196,671,909 | 43,146,228 | — | ||||||||||||
Materials | 88,401,057 | 28,009,638 | 60,391,419 | — | ||||||||||||
Telecommunication Services | 57,064,309 | 57,064,309 | — | — | ||||||||||||
Mutual Fund | 22,675,215 | 22,675,215 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | $ | 1,705,146,332 | $ | 752,213,027 | $ | 952,933,305 | $ | — | ||||||||
|
|
|
|
|
|
|
|
Please see the Investment Portfolio for foreign securities where a factor from a third party vendor was applied to determine the security’s fair value following the close of local trading. Such securities are included in Level 2 in the table above.
There were no Level 3 securities held by the Series as of October 31, 2014 or October 31, 2015.
The Fund’s policy is to recognize transfers in and transfers out of the valuation levels as of the beginning of the reporting period. There were no transfers between Level 1 and Level 2 during the year ended October 31, 2015.
Security Transactions, Investment Income and Expenses
Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date, except that if the ex-dividend date has passed, certain dividends from foreign securities are recorded as soon as the Series is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair value of the securities received. Interest income, including amortization of premium and accretion of discounts using the effective interest method, is earned from settlement date and accrued daily.
Expenses are recorded on an accrual basis. Most expenses of the Fund can be attributed to a specific series. Expenses which cannot be directly attributed are apportioned among the series in the Fund in such a manner as deemed equitable by the Fund’s Board, taking into consideration, among other things, the nature and type of expense.
The Series uses the identified cost method for determining realized gain or loss on investments for both financial statement and federal income tax reporting purposes.
Foreign Currency Translation
The books and records of the Series are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at the current exchange rates. Purchases and sales of investment securities and
15
Overseas Series
Notes to Financial Statements (continued)
2. | Significant Accounting Policies (continued) |
Foreign Currency Translation (continued)
income and expenses are translated on the respective dates of such transactions. The Series does not isolate realized and unrealized gains and losses attributable to changes in the exchange rates from gains and losses that arise from changes in the fair value of investments. Such fluctuations are included with net realized and unrealized gain or loss on investments. Net realized foreign currency gains and losses represent foreign currency gains and losses between trade date and settlement date on securities transactions, gains and losses on disposition of foreign currencies and the difference between the amount of income and foreign withholding taxes recorded on the books of the Series and the amounts actually received or paid.
Federal Taxes
The Series’ policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies. The Series is not subject to federal income tax or excise tax to the extent that the Series distributes to shareholders each year its taxable income, including any net realized gains on investments, in accordance with requirements of the Internal Revenue Code. Accordingly, no provision for federal income tax or excise tax has been made in the financial statements.
Management evaluates its tax positions to determine if the tax positions taken meet the minimum recognition threshold in connection with accounting for uncertainties in income tax positions taken or expected to be taken for the purposes of measuring and recognizing tax liabilities in the financial statements. Recognition of tax benefits of an uncertain tax position is required only when the position is “more likely than not” to be sustained assuming examination by taxing authorities. At October 31, 2015, the Series has recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns.
The Series files income tax returns in the U.S. federal jurisdiction, various states and foreign jurisdictions, as required. No income tax returns are currently under investigation. The statute of limitations on the Series’ tax returns remains open for the years ended October 31, 2012 through October 31, 2015. The Series is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
Foreign Taxes
Based on the Series’ understanding of the tax rules and rates related to income, gains and currency purchase/repatriation transactions for foreign jurisdictions in which it invests, the Series will provide for foreign taxes, and where appropriate, deferred foreign tax.
Distributions of Income and Gains
Distributions to shareholders of net investment income and net realized gains are made annually. An additional distribution may be necessary to avoid taxation of the Series. Distributions are recorded on the ex-dividend date.
Indemnifications
The Fund’s organizational documents provide former and current directors and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Other
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
3. | Transactions with Affiliates |
The Fund has an Investment Advisory Agreement (the “Agreement”) with the Advisor, for which the Series pays a fee, computed daily and payable monthly, at an annual rate of 0.70% of the Series’ average daily net assets.
16
Overseas Series
Notes to Financial Statements (continued)
3. | Transactions with Affiliates (continued) |
Under the Agreement, personnel of the Advisor provide the Series with advice and assistance in the choice of investments and the execution of securities transactions, and otherwise maintain the Series’ organization. The Advisor also provides the Fund with necessary office space and fund administration and support services. The salaries of all officers of the Fund (except a percentage of the Fund’s Chief Compliance Officer’s salary, which is paid by the Fund), and of all Directors who are “affiliated persons” of the Fund, or of the Advisor, and all personnel of the Fund, or of the Advisor, performing services relating to research, statistical and investment activities, are paid by the Advisor. Each “non-affiliated” Director receives an annual stipend, which is allocated among all the active series of the Fund. In addition, these Directors also receive a fee per Board meeting attended plus a fee for each committee meeting attended and are reimbursed for travel and other out-of-pocket expenses incurred by them in connection with attending such meetings. The Fund also has an Audit Committee Chair, who receives an additional annual stipend for this role.
The Advisor has contractually agreed, until at least February 29, 2016, to waive its management fee and, if necessary, pay other operating expenses of the Series in order to maintain total direct annual fund operating expenses for the Series at no more than 0.75% of average daily net assets each year. For the year ended October 31, 2015, the Advisor did not waive fees or reimburse expenses for the Series. The Advisor is not eligible to recoup any expenses that have been waived or reimbursed in prior years.
Manning & Napier Investor Services, Inc., a registered broker-dealer affiliate of the Advisor, acts as distributor for the Fund’s shares. The services of Manning & Napier Investor Services, Inc. are provided at no additional cost to the Series.
Pursuant to a master services agreement dated November 1, 2014, the Fund pays the Advisor an annual fee related to fund accounting and administration of 0.0085% on the first $25 billion of average daily net assets (excluding Target Series and Strategic Income Series); 0.0075% on the next $15 billion of average daily net assets (excluding Target Series and Strategic Income Series); and 0.0065% of the average daily net assets in excess of $40 billion (excluding Target Series and Strategic Income Series); plus a base fee of $30,400 per series. Transfer agent fees are charged to the Fund on a per account basis. Additionally, certain transaction and out-of-pocket expenses, including charges for reporting relating to the Fund’s compliance program, are charged. The Advisor has agreements with BNY Mellon Investment Servicing (U.S.) Inc. (“BNY”) under which BNY serves as sub-accountant services agent and sub-transfer agent.
Expenses not directly attributable to a series are allocated based on each series’ relative net assets or number of accounts, depending on the expense.
4. | Purchases and Sales of Securities |
For the year ended October 31, 2015, purchases and sales of securities, other than U.S. Government securities and short-term securities, were $1,266,778,022 and $2,122,750,749, respectively. There were no purchases or sales of U.S. Government securities.
5. | Capital Stock Transactions |
Transactions in Class A shares of Overseas Series were:
FOR THE YEAR ENDED 10/31/2015 | FOR THE YEAR ENDED 10/31/2014 | |||||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | |||||||||||||
Sold | 8,589,455 | $ | 192,939,757 | 20,258,326 | $ | 535,992,896 | ||||||||||
Reinvested | 10,511,668 | 216,435,237 | 5,259,496 | 133,801,586 | ||||||||||||
Repurchased | (47,346,296 | ) | (1,055,756,258 | ) | (13,577,127 | ) | (355,283,672 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | (28,245,173 | ) | $ | (646,381,264 | ) | 11,940,695 | $ | 314,510,810 | ||||||||
|
|
|
|
|
|
|
|
At October 31, 2015, the retirement plan of the Advisor and its affiliates owned 230,242 shares of the Series (0.3% of shares outstanding) valued at $4,913,354.
17
Overseas Series
Notes to Financial Statements (continued)
6. | Financial Instruments |
The Series may trade in instruments including written and purchased options, forward foreign currency exchange contracts and futures contracts and other derivatives in the normal course of investing activities to assist in managing exposure to various market risks. The Series may be subject to various elements of risk, which may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. These risks include: the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to over the counter derivative counterparties’ failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing the fund to close out its position(s); and documentation risk relating to disagreement over contract terms. No such investments were held by the Series as of October 31, 2015.
7. | Foreign Securities |
Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in securities of domestic companies and the U.S. Government. These risks include revaluation of currencies and future adverse political and economic developments. Moreover, securities of foreign companies and foreign governments and their markets may be less liquid and their prices more volatile than those of comparable domestic companies and the U.S. Government.
8. | Federal Income Tax Information |
The amount and characterization of certain income and capital gains to be distributed are determined in accordance with federal income tax regulations, which may differ from GAAP. These differences are primarily due to differing book and tax treatments in the timing of the recognition of net investment income or gains and losses, including losses deferred due to wash sales and foreign currency gains and losses. The Series may periodically make reclassifications among its capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations, without impacting the Series’ net asset value. For the year ended October 31, 2015, amounts were reclassified within the capital accounts to decrease Undistributed Net Investment Income by $1,421,842 and increase Accumulated Net Realized Loss on Investments by $1,421,842. Any such reclassifications are not reflected in the financial highlights.
The tax character of distributions paid were as follows:
FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | |||||||
Ordinary income | $ | 73,208,251 | $ | 51,695,346 | ||||
Long-term capital gains | 152,942,427 | 90,554,114 |
At October 31, 2015, the tax basis of components of distributable earnings and the net unrealized depreciation based on the identified cost for federal income tax purposes were as follows:
Cost for federal income tax purposes | $ | 1,804,798,881 | ||
Unrealized appreciation | 94,032,973 | |||
Unrealized depreciation | (193,685,522 | ) | ||
|
| |||
Net unrealized depreciation | $ | (99,652,549 | ) | |
|
| |||
Undistributed ordinary income | $ | 25,786,926 | ||
Capital loss carryforward | $ | (81,702,675 | ) |
At October 31, 2015, the Series had net short-term capital loss carryforwards of $16,994,821 and net long-term capital loss carryforwards of $64,707,854, which may be carried forward indefinitely.
18
Overseas Series
Report of Independent Registered Public Accounting Firm
To the Board of Directors of Manning & Napier Fund, Inc. and Shareholders of Overseas Series:
In our opinion, the accompanying statement of assets and liabilities, including the investment portfolio, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Overseas Series (a series of Manning & Napier Fund, Inc., hereafter referred to as the “Series”) at October 31, 2015, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Series’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2015 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
New York, New York
December 18, 2015
19
Overseas Series
Supplemental Tax Information
(unaudited)
All reportings are based on financial information available as of the date of this annual report and, accordingly, are subject to change.
For federal income tax purposes, the Series reports for the current fiscal year $50,654,127 or, if different, the maximum amount allowable under the tax law, as qualified dividend income.
The Series has elected to pass through to its shareholders, foreign source income of $51,964,553 and foreign taxes paid of $3,034,154 for the year ended October 31, 2015.
20
Overseas Series
Directors’ and Officers’ Information
(unaudited)
The Statement of Additional Information provides additional information about the Fund’s directors and officers and can be obtained without charge by calling 1-800-466-3863, at www.manningnapieradvisors.com, or on the EDGAR Database on the SEC Internet web site (http:// www.sec.gov). The following chart shows certain information about the Fund’s officers and directors, including their principal occupations during the last five years. Unless specific dates are provided, the individuals have held the listed positions for longer than five years.
Interested Director/Officer
Name: | James E. Mikolaichik* | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 44 | |
Current Position(s) Held with Fund: | Principal Executive Officer, President, Chairman & Director | |
Term of Office1 & Length of Time Served: | Indefinite – Chairman and Director since August 2015 | |
Principal Occupation(s) During Past 5 Years: | Chief Financial Officer since 2011 - Manning & Napier Advisors, LLC; | |
Executive Vice President and Head of Strategy (2008-2011) and Chief Risk Officer (2004-2008) - Old Mutual Asset Management. | ||
Holds or has held one or more of the following title for various subsidiaries and affiliates: Chief Financial Officer | ||
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | N/A | |
Independent Directors | ||
Name: | Stephen B. Ashley | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 75 | |
Current Position(s) Held with Fund: | Director, Audit Committee Member, Governance & Nominating Committee Member | |
Term of Office & Length of Time Served: | Indefinite - Since 1996 | |
Principal Occupation(s) During Past 5 Years: | Chairman, Director, President & Chief Executive Officer, The Ashley Group (property management and investment). Director 1995-2008 and Chairman (non-executive) 2004-2008 - Fannie Mae (mortgage) | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | Fannie Mae (1995-2008) | |
The Ashley Group (1995-2008) | ||
Genesee Corporation (1987-2007) | ||
Name: | Paul A. Brooke | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 69 | |
Current Position(s) Held with Fund: | Director, Audit Committee Member, Governance & Nominating Committee Member | |
Term of Office & Length of Time Served: | Indefinite - Since 2007 | |
Principal Occupation(s) During Past 5 Years: | Chairman & CEO (2005-2009) - Ithaka Acquisition Corporation (investments); Chairman (2007-2009) - Alsius Corporation (investments); | |
Managing Member, PMSV Holdings LLC (investments) since 1991; | ||
Managing Member, Venbio (investments) since 2010 | ||
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | Incyte Corp. (2000-present) | |
ViroPharma, Inc. (2000-2014) | ||
HLTH Corp (WebMD) (2000-2010) | ||
Cheyne Capital International (2000-present) | ||
MPM Bio-equities (2000-2009) | ||
GMP Companies (2000-2011) | ||
Cytos Biotechnology Ltd. (2012-present)
|
21
Overseas Series
Directors’ and Officers’ Information
(unaudited)
Independent Directors (continued)
Name: | Peter L. Faber | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 77 | |
Current Position(s) Held with Fund: | Director, Governance & Nominating Committee Member | |
Term of Office & Length of Time Served: | Indefinite - Since 1987 | |
Principal Occupation(s) During Past 5 Years: | Senior Counsel (2006-2012), Partner (1995-2006 & 2013-present) - McDermott, Will & Emery LLP (law firm) | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | Boston Early Music Festival (non-profit) (2007-present) | |
Amherst Early Music, Inc. (non-profit)(2009-present) | ||
Gotham Early Music Scene, Inc. (non-profit)(2009-present) | ||
Partnership for New York City, Inc. (non-profit) (1989-2010) | ||
New York Collegium (non-profit) (2004-2011) | ||
Name: | Harris H. Rusitzky | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 80 | |
Current Position(s) Held with Fund: | Director, Audit Committee Member, Governance & Nominating Committee Member | |
Term of Office & Length of Time Served: | Indefinite - Since 1985 | |
Principal Occupation(s) During Past 5 Years: | President, The Greening Group (business consultants) since 1994; | |
Partner, The Restaurant Group (restaurants) since 2006 | ||
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | Rochester Institute of Technology (university) (1972-present) | |
Culinary Institute of America (non-profit college) (1985-present) | ||
George Eastman House (museum) (1988-present) | ||
National Restaurant Association (restaurant trade organization) (1978-present) | ||
Name: | Chester N. Watson | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 65 | |
Current Position(s) Held with Fund: | Director, Audit Committee Chairman, Governance & Nominating Committee Member | |
Term of Office & Length of Time Served: | Indefinite - Since 2012 | |
Principal Occupation(s) During Past 5 Years: | General Auditor (2003-2011) - General Motors Company (auto manufacturer) | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | Rochester Institute of Technology (university) (2005-present) | |
Officers | ||
Name: | Jeffrey S. Coons, Ph.D., CFA | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 52 | |
Current Position(s) Held with Fund: | Vice President | |
Term of Office1 & Length of Time Served: | Since 2004 | |
Principal Occupation(s) During Past 5 Years: | President since 2010, Co-Director of Research (2002-2015) - Manning & Napier Advisors, LLC | |
Holds one or more of the following titles for various subsidiaries and affiliates: President, Director, Treasurer or Senior Trust Officer. | ||
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | N/A
|
22
Overseas Series
Directors’ and Officers’ Information
(unaudited)
Officers (continued)
Name: | Elizabeth Craig | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 28 | |
Current Position(s) Held with Fund: | Assistant Corporate Secretary | |
Term of Office1 & Length of Time Served: | Since 2011 | |
Principal Occupation(s) During Past 5 Years: | Fund Administration Manager since 2015; Mutual Fund Compliance Specialist (2009-2015) - Manning & Napier Advisors, LLC | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | N/A | |
Name: | Christine Glavin | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 49 | |
Current Position(s) Held with Fund: | Principal Financial Officer, Chief Financial Officer | |
Term of Office1 & Length of Time Served: | Principal Financial Officer since 2002; Chief Financial Officer since 2001 | |
Principal Occupation(s) During Past 5 Years: | Director of Fund Reporting since 2011; Fund Reporting Manager (1997-2011) - Manning & Napier Advisors, LLC; Assistant Treasurer since 2008 - Exeter Trust Company | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | N/A | |
Name: | Jodi L. Hedberg | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 47 | |
Current Position(s) Held with Fund: | Corporate Secretary, Chief Compliance Officer, Anti-Money Laundering Compliance Officer | |
Term of Office1 & Length of Time Served: | Corporate Secretary since 1997; Chief Compliance Officer since 2004; | |
Anti-Money Laundering Compliance Officer since 2002 | ||
Principal Occupation(s) During Past 5 Years: | Director of Compliance since 2005; Compliance Manager (1995-2005) - Manning & Napier Advisors, LLC and affiliates; Corporate Secretary - Manning & Napier Investor Services, Inc. since 2006 | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | N/A | |
Name: | Richard Yates | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 50 | |
Current Position(s) Held with Fund: | Chief Legal Officer | |
Term of Office1 & Length of Time Served: | Chief Legal Officer since 2004 | |
Principal Occupation(s) During Past 5 Years: | Counsel - Manning & Napier Advisors, LLC and affiliates since 2000; | |
Holds one or more of the following titles for various affiliates; Director or Corporate Secretary | ||
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | N/A |
*Interested Director, within the meaning of the Investment Company Act of 1940 by reason of his position with the Fund’s investment advisor. Mr. Mikolaichik serves as the Chief Financial Officer for Manning & Napier Advisors, LLC.
1The term of office of all officers shall be one year and until their respective successors are chosen and qualified, or his or her earlier resignation or removal as provided in the Fund’s By-Laws.
23
Overseas Series
Results of Special Meeting of Shareholders
(unaudited)
A Special Meeting of the Shareholders of the Fund was held on August 18, 2015. The number of votes necessary to conduct the meeting and approve the proposal was obtained, and the results of the vote of shareholders of all the Series of the Fund voting together in the aggregate is listed below:
PROPOSAL 1:
Election of Directors
NUMBER OF SHARES VOTED FOR | NUMBER OF SHARES WITHELD | |||||||
Stephen B. Ashley | 883,968,395 | 8,618,094 | ||||||
Paul A. Brooke | 884,510,661 | 8,075,828 | ||||||
Peter L. Faber | 884,140,893 | 8,445,596 | ||||||
James E. Mikolaichik | 883,391,832 | 9,194,657 | ||||||
Harris H. Rusitzky | 620,022,215 | 272,564,274 | ||||||
Chester N. Watson | 884,638,809 | 7,947,680 |
24
{This page intentionally left blank}
25
Overseas Series
Literature Requests
(unaudited)
Proxy Voting Policies and Procedures
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request:
By phone | 1-800-466-3863 | |||
On the Securities and Exchange | ||||
Commission’s (SEC) web site | http://www.sec.gov |
Proxy Voting Record
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available, without charge, upon request:
By phone | 1-800-466-3863 | |||
On the SEC’s web site | http://www.sec.gov |
Quarterly Portfolio Holdings
The Series’ complete schedule of portfolio holdings for the 1st and 3rd quarters of each fiscal year are provided on Form N-Q, and are available, without charge, upon request:
By phone | 1-800-466-3863 | |||
On the SEC’s web site | http://www.sec.gov |
The Series’ Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Prospectus and Statement of Additional Information (SAI)
For more information about any of the Manning & Napier Fund, Inc. Series, you may obtain a prospectus and SAI at www.manning-napier.com or by calling (800) 466-3863. Before investing, carefully consider the objectives, risks, charges and expenses of the investment and read the prospectus carefully as it contains this and other information about the investment company. In addition, this information can be found on the SEC’s web site, http://www.sec.gov.
Additional information available at www.manning-napier.com
1. Fund Holdings Month-End
2. Fund Holdings - Quarter-End
3. Shareholder Report - Annual
4. Shareholder Report - Semi-Annual
The Fund also offers electronic notification or “e-delivery” when certain documents are available on-line to be downloaded or reviewed. Direct shareholders can elect to receive electronic notification when shareholder reports, prospectus updates, and/or statements are available. If you do not currently have on-line access to your account, you can establish access by going to www.manning-napier.com, click on “Login” in the top corner of the page, and follow the prompts to self-enroll. Once enrolled, you can set your electronic notification preferences by clicking on the Account Options tab located within the green toolbar and then select E-Delivery Option. Should you have any questions on either how to establish on-line access or how to update your account settings, please contact Investor Services at 1-800-466-3863.
The Manning & Napier Fund, Inc. is managed by Manning & Napier Advisors, LLC. Manning & Napier Investor Services, Inc., an affiliate of Manning & Napier Advisors, LLC, is the distributor of the Fund shares.
MNOVS-10/15-AR
Management Discussion and Analysis
(unaudited)
Dear Shareholders:
Volatility defined global equity markets during the past year, largely driven by macroeconomic factors. Markets around the world experienced a correction in late August amidst a broad selloff triggered by renewed concerns about economic growth in emerging markets — China in particular — and uncertainty about the effects of that slowdown on overall global growth. Developed economies continued to provide accommodative monetary policy to combat growth concerns, although markets focused near the end of the period on whether the U.S. Federal Reserve would begin to raise policy interest rates. For much of the year, Europe struggled with uncertainty regarding Greece’s ability to secure bailout funding from its creditors, which impaired investor sentiment. China’s economy slowed, but the government continued to demonstrate a willingness to provide support through a combination of policy-easing maneuvers and targeted stimulus measures. The U.S. economy remained on a path of slow growth that nevertheless made it the best performing developed economy. U.S. stocks generally moved higher, whereas global equity markets were notably weaker. Looking ahead, we expect the slow global growth environment to remain in place for the foreseeable future.
As always, we appreciate your business.
Sincerely,
Manning & Napier Advisors, LLC
1
Fund Commentary
(unaudited)
Investment Objective
The Pro-Blend® Series are strategically allocated across stocks, bonds, and cash to balance growth, capital preservation, and income to fit a range of investor risk management priorities.
Performance Commentary
U.S. equity markets generally delivered positive absolute returns for the twelve-month period ended October 31, 2015. The S&P 500 Index gained 5.19%. In contrast, global equity market performance was much weaker. The broad MSCI ACWI ex USA Index (ACWIxUS) returned -4.68%. Meanwhile, bond markets as represented by the Barclays U.S. Aggregate Bond Index, were positive, returning 1.96%. Each of the Pro-Blend Series® — that is, the Maximum Term, Extended Term, Moderate Term, and Conservative Term — experienced negative absolute returns and underperformed their blended benchmarks during the one-year period. Despite the near-term relative underperformance, each Pro-Blend® Series has continued to provide positive absolute returns over the current U.S. stock market cycle. The cycle includes a prolonged bear market from April 2000 to February 2009, a recovery, and the current bull market. Since the cycle began, each Series has outperformed its respective blended benchmark with the exception of the Pro-Blend® Conservative Term Series Class C.
Among key drivers of the Series’ underperformance relative to the blended benchmarks during the year were stock selection and fixed income selection. Regarding stock selection, certain investments in Consumer Discretionary, Industrials, Materials, Energy, and Consumer Staples challenged relative returns.
Conversely, equity sector positioning aided relative returns. Specifically, the Series’ overweight to Consumer Discretionary and Information Technology as compared to the blended benchmarks were notable positive contributors to relative performance. Additionally, stock selection in Information Technology and Health Care aided relative returns. These factors offset a portion of the Series’ relative underperformance.
In regard to current portfolio positioning, in the equity portion of the Series, we are focused on finding fundamentally strong businesses that are not heavily reliant upon macroeconomic growth to drive sales and earnings. More specifically, we see value in businesses that we believe have control of their destiny and are taking share in large established markets or are creating new markets on their own. The goal is to identify companies trading at attractive valuations relative to their growth potential.
In fixed income markets, we continue to focus on opportunities we are seeing in investment-grade corporate bonds. A selective approach to the below investment-grade corporate space is helping us find value there as well; however, opportunities are becoming more scarce as investors reach for yield. With regard to government debt, we continue to favor Agencies over Treasuries. In addition, we do not believe current yields in longer-term bonds are at levels to fully compensate for the risk that is present in today’s interest rate environment and, as a result, our portfolios have a relatively short duration.
As we look toward 2016, we continue to believe that the slowdown in the Chinese economy is part-and-parcel of the country’s transition from an investment-led model to a more stable and sustainable economy driven by domestic consumption. There is scope for domestic demand to pick up in Europe, which could help growth in the region to stabilize at weak levels with a modestly improving trend heading into 2016. In our view the U.S. economy is in better shape than the European economies and only modestly impacted by the slowdown in emerging markets. Broadly speaking, valuations in the developed world remain neutral at best, whereas valuations in select emerging markets are relatively more attractive. Our indicators point to volatility still being a buying opportunity and do not suggest capital risk is a significant near-term concern. Shareholders can expect us to remain active, flexible, and selective in our approach in order to avoid overvalued areas of the market, something Manning & Napier has done for over 40 years as an active investment manager.
2
Fund Commentary
(unaudited)
Performance Commentary (continued)
Performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than that quoted; investors can obtain the most recent month-end performance at www.manning-napier.com or by calling (800) 466-3863.
All investments involve risks, including possible loss of principal. Because the fund invests in both stocks and bonds, the value of your investment will fluctuate in response to stock market movements and changes in interest rates. Investing in the fund will also involve a number of other risks, including issuer-specific risk, foreign investment risk, and small-cap/mid-cap risk. Investments in options and futures, like all derivatives, can be highly volatile and involve risks in addition to the risks of the underlying instrument on which the derivative is based, such as counterparty, correlation and liquidity risk. Also, the use of leverage increases exposure to the market and may magnify potential losses.
3
Performance Update as of October 31, 2015 - Pro-Blend® Conservative Term Series
(unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2015 | ||||||||
ONE YEAR1 | FIVE YEAR | TEN YEAR | SINCE INCEPTION2 | |||||
Manning & Napier Fund, Inc. - Pro-Blend® Conservative Term | ||||||||
Series - Class S3 | -1.33% | 4.36% | 5.25% | 5.77% | ||||
Manning & Napier Fund, Inc. - Pro-Blend® Conservative Term | ||||||||
Series - Class I3,4 | -1.15% | 4.56% | 5.39% | 5.84% | ||||
Manning & Napier Fund, Inc. - Pro-Blend® Conservative Term | ||||||||
Series - Class C3,5 | -2.10% | 3.55% | 4.44% | 5.00% | ||||
Manning & Napier Fund, Inc. - Pro-Blend® Conservative Term | ||||||||
Series - Class R3,5 | -1.60% | 4.06% | 4.97% | 5.53% | ||||
Barclays U.S Intermediate Aggregate Bond Index6 | 2.09% | 2.54% | 4.43% | 5.26% | ||||
Conservative Term Composite Benchmark7 | 2.26% | 5.20% | 5.59% | 6.21% |
The following graph compares the value of a $10,000 investment in the Manning & Napier Fund, Inc. - Pro-Blend® Conservative Term Series - Class S for the ten years ended October 31, 2015 to the Barclays U.S. Intermediate Aggregate Bond Index and Conservative Term Composite Benchmark.
1The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
2Performance numbers for the Series and Indices are calculated from November 1, 1995, the Class S inception date.
3The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2015, this net expense ratio was 0.88% for Class S, 0.68% for Class I, 1.68% for Class C and 1.18% for Class R. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 0.88% for Class S, 0.68% for Class I, 1.68% for Class C and 1.18% for Class R for the year ended October 31, 2015.
4For the periods through the inception of Class I on March 28, 2008, performance is based on the hypothetical performance of Class S shares. Because Class I shares invest in the same portfolio of securities as Class S, performance will only be different to the extent that the Class S shares have a higher expense ratio.
5For periods through the inception of Class C on January 4, 2010 and Class R on June 30, 2010, the performance figures are hypothetical and reflect the performance of the Manning & Napier Fund, Inc.
- Pro-Blend® Conservative Term Series - Class S adjusted for expense differences.
4
Performance Update as of October 31, 2015 - Pro-Blend® Conservative Term Series
(unaudited)
6The Barclays U.S Intermediate Aggregate Bond Index is an unmanaged, market-value weighted index of U.S. domestic investment-grade debt issues, including government, corporate, asset-backed and mortgage-backed securities, with maturities greater than one year but less than ten years. Index returns do not reflect any fees or expenses. Index returns provided by Interactive Data.
7The Conservative Term Composite Benchmark is a blend of the Russell 3000® Index (Russell 3000), MSCI ACWI ex USA Index (ACWIxUS), and Barclays U.S. Intermediate Aggregate Bond Index (BIAB) in the following weightings: 15% Russell 3000, 5% ACWIxUS, and 80% BIAB through 05/31/2012; and 22% Russell 3000, 8% ACWIxUS, and 70% BIAB beginning 06/01/2012. Russell 3000 is an unmanaged index that consists of 3,000 of the largest U.S. companies based on total market capitalization. Index returns are based on a market capitalization-weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. Index returns provided by Bloomberg. ACWIxUS is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global developed and emerging markets and consists of 44 developed and emerging market country indices outside the U.S. The Index is denominated in U.S. dollars. The Index returns assume daily investment of gross dividends (which do not account for applicable dividend taxation) prior to12/31/1998, as net returns were not available. Subsequent to 12/31/1998, the Index returns are net of withholding taxes. They assume daily reinvestment of net dividends, thus accounting for any applicable dividend taxation. Index returns provided by Bloomberg. BIAB is an unmanaged, market value-weighted index of U.S. domestic investment-grade debt issues, including government, corporate, asset-backed, and mortgage-backed securities with maturities of greater than one year but less than ten years. Index returns provided by Interactive Data. The returns of the indices do not reflect any fees or expenses. Returns provided are calculated monthly using a blended allocation. Because the Series’ asset allocation will vary over time, the composition of the Series’ portfolio may not match the composition of the Conservative Term Composite Benchmark.
5
Shareholder Expense Example - Pro-Blend® Conservative Term Series
(unaudited)
As a shareholder of the Series, you may incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Series expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested in each class at the beginning of the period and held for the entire period (May 1, 2015 to October 31, 2015).
Actual Expenses
The Actual lines of the table below provide information about actual account values and actual expenses. You may use the information in these lines, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the Actual line for the Class in which you have invested under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The Hypothetical lines of each class in the table below provide information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid during the period. You may use this information to compare the ongoing costs of investing in a class of the Series and other funds. To do so, compare this 5% hypothetical example for the Class in which you have invested with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the Hypothetical lines for each class in the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
BEGINNING ACCOUNT VALUE 5/1/15 | ENDING ACCOUNT VALUE 10/31/15 | EXPENSES PAID DURING PERIOD 5/1/15-10/31/15* | ANNUALIZED EXPENSE RATIO | |||||
Class S | ||||||||
Actual | $1,000.00 | $975.20 | $4.43 | 0.89% | ||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.72 | $4.53 | 0.89% | ||||
Class I | ||||||||
Actual | $1,000.00 | $975.90 | $3.44 | 0.69% | ||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.73 | $3.52 | 0.69% | ||||
Class C | ||||||||
Actual | $1,000.00 | $971.70 | $8.45 | 1.70% | ||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,016.64 | $8.64 | 1.70% | ||||
Class R | ||||||||
Actual | $1,000.00 | $973.80 | $5.92 | 1.19% | ||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.21 | $6.06 | 1.19% |
*Expenses are equal to the Class’ annualized expense ratio (for the six-month period), multiplied by the average account value over the period, multiplied by 184/365 to reflect the one-half year period. Expenses are based on the most recent fiscal half year; therefore, the expense ratios stated above may differ from the expense ratios stated in the financial highlights, which are based on one-year data.
6
Portfolio Composition - Pro-Blend® Conservative Term Series
As of October 31, 2015 (unaudited)
Sector Allocation5 |
| |||
Financials | 22.4 | % | ||
Consumer Discretionary | 10.6 | % | ||
Information Technology | 9.6 | % | ||
Industrials | 6.4 | % | ||
Consumer Staples | 4.6 | % | ||
Health Care | 4.4 | % | ||
Energy | 3.9 | % | ||
Materials | 3.3 | % | ||
Telecommunication Services | 1.3 | % | ||
Utilities | 0.6 | % | ||
5Including common stocks and corporate bonds, as a percentage of total investments. |
Top Five Stock Holdings6 |
| |||
Johnson & Johnson | 1.0 | % | ||
Apple, Inc. | 0.9 | % | ||
Time Warner, Inc. | 0.9 | % | ||
MasterCard, Inc. - Class A | 0.9 | % | ||
Monsanto Co. | 0.8 | % | ||
6 As a percentage of total investments. | ||||
Top Five Bond Holdings7 |
| |||
U.S. Treasury Bill, 0.281%, 6/23/2016 | 3.9 | % | ||
Freddie Mac, 2.00%, 08/25/2016 | 1.5 | % | ||
Fannie Mae, 0.375%, 12/21/2015 | 1.0 | % | ||
U.S. Treasury Note, 0.75%, 02/15/2042 | 0.9 | % | ||
American International Group, Inc., 4.875%, 6/01/2022 | 0.7 | % | ||
7 As a percentage of total investments. |
7
Investment Portfolio - October 31, 2015
PRO-BLEND® CONSERVATIVE TERM SERIES | SHARES | VALUE (NOTE 2) | ||||||
COMMON STOCKS - 33.2% | ||||||||
Consumer Discretionary - 6.3% | ||||||||
Hotels, Restaurants & Leisure - 0.7% | ||||||||
Accor S.A. (France)1 | 5,220 | $ | 259,223 | |||||
McDonald’s Corp. | 22,130 | 2,484,093 | ||||||
SeaWorld Entertainment, Inc. | 70,760 | 1,410,247 | ||||||
Yum! Brands, Inc. | 77,200 | 5,474,252 | ||||||
|
| |||||||
9,627,815 | ||||||||
|
| |||||||
Household Durables - 0.0%## | ||||||||
DR Horton, Inc. | 4,100 | 120,704 | ||||||
Lennar Corp. - Class A | 2,470 | 123,673 | ||||||
Toll Brothers, Inc.* | 3,470 | 124,816 | ||||||
TRI Pointe Group, Inc.* | 8,960 | 116,301 | ||||||
|
| |||||||
485,494 | ||||||||
|
| |||||||
Internet & Catalog Retail - 1.1% | ||||||||
The Priceline Group, Inc.* | 7,120 | 10,354,189 | ||||||
TripAdvisor, Inc.* | 65,040 | 5,449,051 | ||||||
|
| |||||||
15,803,240 | ||||||||
|
| |||||||
Media - 3.7% | ||||||||
AMC Networks, Inc. - Class A* | 143,530 | 10,605,432 | ||||||
Liberty Global plc - Class A - ADR (United Kingdom)* | 122,470 | 5,452,364 | ||||||
Sinclair Broadcast Group, Inc. - Class A | 177,490 | 5,326,475 | ||||||
TEGNA, Inc. | 125,790 | 3,401,362 | ||||||
Thomson Reuters Corp. | 20,457 | 839,146 | ||||||
Time Warner, Inc. | 173,340 | 13,059,436 | ||||||
Tribune Media Co. - Class A | 158,700 | 6,400,371 | ||||||
Twenty-First Century Fox, Inc. - Class A | 225,630 | 6,924,585 | ||||||
|
| |||||||
52,009,171 | ||||||||
|
| |||||||
Multiline Retail - 0.1% | ||||||||
Dollar General Corp. | 11,580 | 784,777 | ||||||
Target Corp. | 12,930 | 997,937 | ||||||
|
| |||||||
1,782,714 | ||||||||
|
| |||||||
Specialty Retail - 0.3% | ||||||||
DSW, Inc. - Class A | 58,550 | 1,460,237 | ||||||
The Home Depot, Inc. | 26,104 | 3,227,499 | ||||||
|
| |||||||
4,687,736 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods - 0.4% | ||||||||
lululemon athletica, Inc.* | 116,290 | 5,717,979 | ||||||
|
| |||||||
Total Consumer Discretionary | 90,114,149 | |||||||
|
| |||||||
Consumer Staples - 3.2% | ||||||||
Beverages - 1.8% | ||||||||
AMBEV S.A. - ADR (Brazil) | 1,217,300 | 5,928,251 | ||||||
Anheuser-Busch InBev N.V. (Belgium)1 | 47,880 | 5,713,264 | ||||||
The Coca-Cola Co. | 21,610 | 915,183 | ||||||
Diageo plc (United Kingdom)1 | 249,240 | 7,185,543 | ||||||
Diageo plc - ADR (United Kingdom) . | 12,675 | 1,458,639 | ||||||
PepsiCo, Inc. | 39,367 | 4,022,914 | ||||||
|
| |||||||
25,223,794 | ||||||||
|
| |||||||
Food & Staples Retailing - 0.2% | ||||||||
Wal-Mart Stores, Inc. | 46,742 | 2,675,512 | ||||||
|
| |||||||
Food Products - 0.1% | ||||||||
ConAgra Foods, Inc. | 26,660 | 1,081,063 | ||||||
General Mills, Inc. | 15,773 | 916,569 | ||||||
|
| |||||||
1,997,632 | ||||||||
|
| |||||||
Household Products - 0.4% | ||||||||
Colgate-Palmolive Co. | 19,627 | 1,302,251 | ||||||
The Procter & Gamble Co. | 57,363 | 4,381,386 | ||||||
|
| |||||||
5,683,637 | ||||||||
|
| |||||||
Personal Products - 0.6% | ||||||||
Unilever plc - ADR (United Kingdom) | 177,947 | 7,909,744 | ||||||
|
| |||||||
Tobacco - 0.1% | ||||||||
Philip Morris International, Inc. | 15,750 | 1,392,300 | ||||||
|
| |||||||
Total Consumer Staples | 44,882,619 | |||||||
|
| |||||||
Energy - 1.8% | ||||||||
Energy Equipment & Services - 0.8% | ||||||||
Schlumberger Ltd. | 102,928 | 8,044,852 | ||||||
Weatherford International plc - ADR* | 344,950 | 3,532,288 | ||||||
|
| |||||||
11,577,140 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels - 1.0% | ||||||||
BP plc - ADR (United Kingdom) | 25,430 | 907,851 | ||||||
Chevron Corp. | 14,670 | 1,333,210 | ||||||
CNOOC Ltd. - ADR (China) | 9,149 | 1,040,058 | ||||||
Exxon Mobil Corp. | 33,080 | 2,737,039 | ||||||
Range Resources Corp. | 233,950 | 7,121,438 | ||||||
TOTAL S.A. (France)1 | 19,480 | 942,030 | ||||||
|
| |||||||
14,081,626 | ||||||||
|
| |||||||
Total Energy | 25,658,766 | |||||||
|
| |||||||
Financials - 4.6% | ||||||||
Banks - 1.1% | ||||||||
Citigroup, Inc. | 39,690 | 2,110,317 | ||||||
JPMorgan Chase & Co. | 69,848 | 4,487,734 | ||||||
KeyCorp. | 32,560 | 404,395 |
The accompanying notes are an integral part of the financial statements.
8
Investment Portfolio - October 31, 2015
PRO-BLEND® CONSERVATIVE TERM SERIES | SHARES | VALUE (NOTE 2) | ||||||
COMMON STOCKS (continued) | ||||||||
Financials (continued) | ||||||||
Banks (continued) | ||||||||
The PNC Financial Services Group, Inc. | 15,631 | $ | 1,410,854 | |||||
U.S. Bancorp | 52,435 | 2,211,708 | ||||||
Wells Fargo & Co. | 87,302 | 4,726,530 | ||||||
|
| |||||||
15,351,538 | ||||||||
|
| |||||||
Capital Markets - 0.2% | ||||||||
American Capital Ltd.* | 22,920 | 293,147 | ||||||
Apollo Investment Corp. | 46,050 | 245,907 | ||||||
Ares Capital Corp. | 19,280 | 293,634 | ||||||
BlackRock Capital Investment Corp. | 34,440 | 319,603 | ||||||
Fifth Street Finance Corp. | 47,100 | 269,883 | ||||||
Medley Capital Corp. | 34,370 | 256,057 | ||||||
PennantPark Investment Corp. | 35,790 | 247,309 | ||||||
Prospect Capital Corp. | 42,522 | 311,686 | ||||||
Solar Capital Ltd. | 17,946 | 310,645 | ||||||
|
| |||||||
2,547,871 | ||||||||
|
| |||||||
Consumer Finance - 0.0%## | ||||||||
SLM Corp.* | 87,290 | 616,267 | ||||||
|
| |||||||
Insurance - 0.3% | ||||||||
Admiral Group plc (United Kingdom)1 | 49,620 | 1,231,373 | ||||||
Principal Financial Group, Inc. | 30,330 | 1,521,353 | ||||||
The Progressive Corp. | 26,060 | 863,368 | ||||||
|
| |||||||
3,616,094 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) - 2.7% | ||||||||
Agree Realty Corp. | 14,090 | 456,234 | ||||||
Alexandria Real Estate Equities, Inc. | 6,090 | 546,517 | ||||||
American Campus Communities, Inc | 9,080 | 368,376 | ||||||
American Capital Agency Corp. | 26,830 | 478,379 | ||||||
Annaly Capital Management, Inc. | 53,260 | 529,937 | ||||||
Apartment Investment & Management Co. - Class A | 12,820 | 502,416 | ||||||
AvalonBay Communities, Inc. | 4,960 | 867,157 | ||||||
Boston Properties, Inc. | 2,220 | 279,387 | ||||||
Brixmor Property Group, Inc. | 22,900 | 586,698 | ||||||
Care Capital Properties, Inc. | 3,817 | 125,770 | ||||||
CatchMark Timber Trust, Inc. - Class A | 106,620 | 1,167,489 | ||||||
Chesapeake Lodging Trust | 25,250 | 695,385 | ||||||
Columbia Property Trust, Inc. | 10,970 | 272,495 | ||||||
Community Healthcare Trust, Inc. | 45,960 | 841,528 | ||||||
CoreSite Realty Corp. | 2,370 | 130,231 | ||||||
Crown Castle International Corp. | 18,640 | 1,592,974 | ||||||
CubeSmart | 18,220 | 506,880 | ||||||
DCT Industrial Trust, Inc. | 12,400 | 460,288 | ||||||
DDR Corp | 53,910 | 905,688 | ||||||
Digital Realty Trust, Inc. | 1,860 | 137,566 | ||||||
Douglas Emmett, Inc. | 14,370 | 439,003 | ||||||
Education Realty Trust, Inc. | 12,790 | 459,289 | ||||||
Equity LifeStyle Properties, Inc. | 5,530 | 334,454 | ||||||
Equity One, Inc. | 11,360 | 301,949 | ||||||
Equity Residential | 5,650 | 436,858 | ||||||
Extra Space Storage, Inc. | 2,270 | 179,875 | ||||||
Fibra Shop Portafolios Inmobiliarios S.A.P.I. de C.V. (Mexico) | 163,683 | 167,768 | ||||||
General Growth Properties, Inc. | 36,360 | 1,052,622 | ||||||
HCP, Inc. | 7,410 | 275,652 | ||||||
Healthcare Trust of America, Inc. - Class A | 27,750 | 730,103 | ||||||
Host Hotels & Resorts, Inc. | 21,890 | 379,354 | ||||||
Inland Real Estate Corp. | 45,280 | 400,728 | ||||||
Kite Realty Group Trust | 8,827 | 233,121 | ||||||
Lamar Advertising Co. - Class A | 17,920 | 1,011,226 | ||||||
LaSalle Hotel Properties | 20,380 | 599,376 | ||||||
Liberty Property Trust | 11,620 | 395,312 | ||||||
Mack-Cali Realty Corp. | 24,220 | 527,027 | ||||||
Mid-America Apartment Communities, Inc. | 7,370 | 627,850 | ||||||
Outfront Media, Inc. | 77,770 | 1,836,150 | ||||||
Paramount Group, Inc. | 55,900 | 993,343 | ||||||
Pebblebrook Hotel Trust | 11,470 | 392,045 | ||||||
Physicians Realty Trust | 41,630 | 665,247 | ||||||
Plum Creek Timber Co., Inc. | 60,720 | 2,473,733 | ||||||
Prologis, Inc. | 13,240 | 565,745 | ||||||
Public Storage | 1,970 | 452,036 | ||||||
Rexford Industrial Realty, Inc. | 18,220 | 276,033 | ||||||
Sabra Health Care REIT, Inc. | 22,780 | 516,650 | ||||||
Scentre Group (Australia)1 | 94,101 | 276,010 | ||||||
Simon Property Group, Inc. | 9,310 | 1,875,593 | ||||||
Sovran Self Storage, Inc. | 4,940 | 493,358 | ||||||
Tanger Factory Outlet Centers, Inc. | 7,640 | 267,018 | ||||||
Taubman Centers, Inc. | 5,450 | 419,541 | ||||||
Terreno Realty Corp. | 13,240 | 296,311 | ||||||
UDR, Inc. | 12,780 | 440,399 | ||||||
Urban Edge Properties | 15,710 | 372,955 | ||||||
Ventas, Inc. | 4,820 | 258,930 | ||||||
Westfield Corp. (Australia)1 | 45,280 | 328,511 | ||||||
Weyerhaeuser Co. | 207,140 | 6,075,416 | ||||||
|
| |||||||
39,277,986 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
9
Investment Portfolio - October 31, 2015
PRO-BLEND® CONSERVATIVE TERM SERIES | SHARES | VALUE (NOTE 2) | ||||||
COMMON STOCKS (continued) | ||||||||
Financials (continued) | ||||||||
Real Estate Management & Development - 0.3% | ||||||||
CBRE Group, Inc. - Class A* | 5,880 | $ | 219,206 | |||||
First Capital Realty, Inc. (Canada) | 11,960 | 177,168 | ||||||
Forest City Enterprises, Inc. - Class A* | 32,360 | 715,156 | ||||||
Realogy Holdings Corp.* | 89,140 | 3,485,374 | ||||||
|
| |||||||
4,596,904 | ||||||||
|
| |||||||
Total Financials | 66,006,660 | |||||||
|
| |||||||
Health Care - 3.5% | ||||||||
Health Care Equipment & Supplies - 0.4% | ||||||||
Intuitive Surgical, Inc.* | 11,910 | 5,914,506 | ||||||
|
| |||||||
Health Care Providers & Services - 0.6% | ||||||||
Express Scripts Holding Co.* | 106,990 | 9,241,796 | ||||||
|
| |||||||
Health Care Technology - 0.5% | ||||||||
Cerner Corp.* | 106,440 | 7,055,908 | ||||||
|
| |||||||
Pharmaceuticals - 2.0% | ||||||||
Eli Lilly & Co. | 10,400 | 848,328 | ||||||
Johnson & Johnson | 137,477 | 13,889,301 | ||||||
Merck & Co., Inc. | 81,067 | 4,431,122 | ||||||
Pfizer, Inc. | 99,978 | 3,381,256 | ||||||
Roche Holding AG (Switzerland)1 | 4,100 | 1,113,145 | ||||||
Sanofi (France)1 | 11,420 | 1,152,003 | ||||||
Sanofi - ADR (France) | 40,940 | 2,060,920 | ||||||
Teva Pharmaceutical Industries Ltd. - ADR (Israel) | 19,090 | 1,129,937 | ||||||
|
| |||||||
28,006,012 | ||||||||
|
| |||||||
Total Health Care | 50,218,222 | |||||||
|
| |||||||
Industrials - 2.8% | ||||||||
Aerospace & Defense - 0.6% | ||||||||
The Boeing Co. | 13,234 | 1,959,558 | ||||||
General Dynamics Corp. | 8,155 | 1,211,670 | ||||||
Honeywell International, Inc. | 12,690 | 1,310,623 | ||||||
Lockheed Martin Corp. | 6,275 | 1,379,433 | ||||||
Raytheon Co. | 7,971 | 935,795 | ||||||
United Technologies Corp. | 14,429 | 1,419,958 | ||||||
|
| |||||||
8,217,037 | ||||||||
|
| |||||||
Air Freight & Logistics - 0.2% | ||||||||
United Parcel Service, Inc. - Class B | 27,950 | 2,879,409 | ||||||
|
| |||||||
Commercial Services & Supplies - 0.2% | ||||||||
Pitney Bowes, Inc. | 50,220 | 1,037,043 | ||||||
Waste Management, Inc. | 33,120 | 1,780,531 | ||||||
|
| |||||||
2,817,574 | ||||||||
|
| |||||||
Electrical Equipment - 0.2% | ||||||||
ABB Ltd. (Asea Brown Boveri) - ADR (Switzerland) | 54,451 | 1,028,035 | ||||||
Emerson Electric Co. | 17,540 | 828,414 | ||||||
Rockwell Automation, Inc. | 8,760 | 956,242 | ||||||
|
| |||||||
2,812,691 | ||||||||
|
| |||||||
Industrial Conglomerates - 0.8% | ||||||||
3M Co. | 22,647 | 3,560,335 | ||||||
General Electric Co. | 292,900 | 8,470,668 | ||||||
|
| |||||||
12,031,003 | ||||||||
|
| |||||||
Machinery - 0.5% | ||||||||
Caterpillar, Inc. | 14,090 | 1,028,429 | ||||||
Flowserve Corp. | 99,800 | 4,626,728 | ||||||
Illinois Tool Works, Inc. | 9,959 | 915,630 | ||||||
Pentair plc (United Kingdom)* | 12,000 | 671,040 | ||||||
|
| |||||||
7,241,827 | ||||||||
|
| |||||||
Professional Services - 0.1% | ||||||||
Nielsen Holdings plc | 27,420 | 1,302,724 | ||||||
|
| |||||||
Road & Rail - 0.2% | ||||||||
Kansas City Southern | 15,540 | 1,286,090 | ||||||
Union Pacific Corp. | 21,416 | 1,913,520 | ||||||
|
| |||||||
3,199,610 | ||||||||
|
| |||||||
Total Industrials | 40,501,875 | |||||||
|
| |||||||
Information Technology - 8.6% | ||||||||
Communications Equipment - 1.5% | ||||||||
Cisco Systems, Inc. | 107,862 | 3,111,819 | ||||||
Juniper Networks, Inc. | 255,290 | 8,013,553 | ||||||
QUALCOMM, Inc. | 153,342 | 9,111,582 | ||||||
Telefonaktiebolaget LM Ericsson - ADR (Sweden) | 83,476 | 813,056 | ||||||
|
| |||||||
21,050,010 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components - 0.2% | ||||||||
FLIR Systems, Inc. | 116,020 | 3,094,253 | ||||||
|
| |||||||
Internet Software & Services - 1.5% | ||||||||
Alphabet, Inc. - Class A* | 13,000 | 9,586,070 | ||||||
Alphabet, Inc. - Class C* | 12,780 | 9,084,152 | ||||||
eBay, Inc.* | 105,310 | 2,938,149 | ||||||
|
| |||||||
21,608,371 | ||||||||
|
| |||||||
IT Services - 2.8% | ||||||||
Accenture plc - Class A | 13,848 | 1,484,506 | ||||||
Automatic Data Processing, Inc. | 11,905 | 1,035,616 | ||||||
Broadridge Financial Solutions, Inc. | 23,930 | 1,425,749 |
The accompanying notes are an integral part of the financial statements.
10
Investment Portfolio - October 31, 2015
PRO-BLEND® CONSERVATIVE TERM SERIES | SHARES/ PRINCIPAL AMOUNT2 | VALUE (NOTE 2) | ||||||||
COMMON STOCKS (continued) | ||||||||||
Information Technology (continued) | ||||||||||
IT Services (continued) | ||||||||||
International Business Machines Corp. | 12,876 | $ | 1,803,670 | |||||||
InterXion Holding N.V. - ADR (Netherlands)* | 11,940 | 350,797 | ||||||||
MasterCard, Inc. - Class A | 125,000 | 12,373,750 | ||||||||
PayPal Holdings, Inc.* | 179,960 | 6,480,360 | ||||||||
VeriFone Systems, Inc.* | 148,140 | 4,464,940 | ||||||||
Visa, Inc. - Class A | 120,330 | 9,335,201 | ||||||||
Xerox Corp. | 140,680 | 1,320,985 | ||||||||
|
| |||||||||
40,075,574 | ||||||||||
|
| |||||||||
Semiconductors & Semiconductor Equipment - 0.3% | ||||||||||
Intel Corp. | 79,933 | 2,706,531 | ||||||||
Texas Instruments, Inc. | 22,230 | 1,260,886 | ||||||||
|
| |||||||||
3,967,417 | ||||||||||
|
| |||||||||
Software - 1.2% | ||||||||||
Electronic Arts, Inc.* | 147,180 | 10,607,263 | ||||||||
Microsoft Corp. | 120,662 | 6,351,648 | ||||||||
|
| |||||||||
16,958,911 | ||||||||||
|
| |||||||||
Technology Hardware, Storage & Peripherals - 1.1% | ||||||||||
Apple, Inc. | 110,760 | 13,235,820 | ||||||||
Canon, Inc. - ADR (Japan) | 30,929 | 921,066 | ||||||||
EMC Corp. | 61,580 | 1,614,628 | ||||||||
HP, Inc. | 35,256 | 950,502 | ||||||||
|
| |||||||||
16,722,016 | ||||||||||
|
| |||||||||
Total Information Technology | 123,476,552 | |||||||||
|
| |||||||||
Materials - 2.2% | ||||||||||
Chemicals - 1.4% | ||||||||||
Ashland, Inc. | 15,910 | 1,745,645 | ||||||||
The Dow Chemical Co. | 63,578 | 3,285,075 | ||||||||
E.I. du Pont de Nemours & Co. | 35,048 | 2,222,043 | ||||||||
LyondellBasell Industries N.V. - Class A - ADR | 11,232 | 1,043,565 | ||||||||
Monsanto Co. | 120,320 | 11,216,230 | ||||||||
|
| |||||||||
19,512,558 | ||||||||||
|
| |||||||||
Containers & Packaging - 0.4% | ||||||||||
Avery Dennison Corp. | 19,050 | 1,237,679 | ||||||||
Bemis Co., Inc. | 17,470 | 799,777 | ||||||||
Graphic Packaging Holding Co. | 52,600 | 744,816 | ||||||||
Packaging Corp. of America | 17,660 | 1,208,827 | ||||||||
Sonoco Products Co. | 23,930 | 1,021,572 | ||||||||
|
| |||||||||
5,012,671 | ||||||||||
|
| |||||||||
Metals & Mining - 0.4% | ||||||||||
Alcoa, Inc. | 693,490 | 6,192,866 | ||||||||
|
| |||||||||
Total Materials | 30,718,095 | |||||||||
|
| |||||||||
Telecommunication Services - 0.1% | ||||||||||
Wireless Telecommunication Services - 0.1% | ||||||||||
NTT DOCOMO, Inc. - ADR (Japan) | 84,177 | 1,652,395 | ||||||||
|
| |||||||||
Utilities - 0.1% | ||||||||||
Electric Utilities - 0.1% | ||||||||||
Eversource Energy | 11,790 | 600,583 | ||||||||
Exelon Corp. | 12,660 | 353,467 | ||||||||
|
| |||||||||
954,050 | ||||||||||
|
| |||||||||
Multi-Utilities - 0.0%## | ||||||||||
CMS Energy Corp. | 17,880 | 644,932 | ||||||||
|
| |||||||||
Total Utilities | 1,598,982 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (Identified Cost $445,761,377) | 474,828,315 | |||||||||
|
| |||||||||
LOAN ASSIGNMENTS - 0.1% | ||||||||||
Valeant Pharmaceuticals International, Inc., Series D-2, Term Loan B3, 3.50%, 2/13/2019 (Identified Cost $1,995,814) | 2,000,000 | 1,860,500 | ||||||||
|
| |||||||||
CORPORATE BONDS - 33.1% | ||||||||||
Non-Convertible Corporate Bonds - 33.1% | ||||||||||
Consumer Discretionary - 4.2% | ||||||||||
Auto Components - 0.2% | ||||||||||
Magna International, Inc. (Canada), 4.15%, 10/1/2025 | 1,650,000 | 1,679,632 | ||||||||
Techniplas LLC4, 10.00%, 5/1/2020 | 965,000 | 764,763 | ||||||||
|
| |||||||||
2,444,395 | ||||||||||
|
| |||||||||
Automobiles - 0.4% | ||||||||||
Ford Motor Credit Co. LLC, 6.625%, 8/15/2017 | 500,000 | 538,566 | ||||||||
Ford Motor Credit Co. LLC, 5.00%, 5/15/2018 | 3,030,000 | 3,217,945 | ||||||||
Ford Motor Credit Co. LLC, 8.125%, 1/15/2020 | 1,825,000 | 2,185,876 | ||||||||
|
| |||||||||
5,942,387 | ||||||||||
|
| |||||||||
Diversified Consumer Services - 0.4% | ||||||||||
Block Financial LLC, 5.50%, 11/1/2022 | 4,990,000 | 5,285,039 | ||||||||
|
| |||||||||
Hotels, Restaurants & Leisure - 0.1% | ||||||||||
Wyndham Worldwide Corp., 4.25%, 3/1/2022 | 330,000 | 333,941 |
The accompanying notes are an integral part of the financial statements.
11
Investment Portfolio - October 31, 2015
PRO-BLEND® CONSERVATIVE TERM SERIES | PRINCIPAL AMOUNT2 | VALUE (NOTE 2) | ||||||||||
CORPORATE BONDS (continued) | ||||||||||||
Non-Convertible Corporate Bonds (continued) | ||||||||||||
Consumer Discretionary (continued) | ||||||||||||
Hotels, Restaurants & Leisure (continued) | ||||||||||||
Yum! Brands, Inc., 6.25%, 4/15/2016 | 1,000,000 | $ | 1,020,707 | |||||||||
|
| |||||||||||
1,354,648 | ||||||||||||
|
| |||||||||||
Household Durables - 0.7% | ||||||||||||
Brookfield Residential Properties, Inc. - Brookfield Residential US Corp. (Canada)4, 6.125%, 7/1/2022 | 1,890,000 | 1,856,925 | ||||||||||
Meritage Homes Corp., 7.15%, 4/15/2020 | 465,000 | 506,850 | ||||||||||
Meritage Homes Corp., 7.00%, 4/1/2022 | 710,000 | 777,450 | ||||||||||
Newell Rubbermaid, Inc., 2.875%, 12/1/2019 | 800,000 | 805,686 | ||||||||||
NVR, Inc., 3.95%, 9/15/2022 | 2,620,000 | 2,668,970 | ||||||||||
TRI Pointe Holdings, Inc., 4.375%, 6/15/2019 | 860,000 | 854,625 | ||||||||||
Tupperware Brands Corp., 4.75%, 6/1/2021 | 1,880,000 | 1,945,501 | ||||||||||
Weekley Homes LLC - Weekley Finance Corp., 6.00%, 2/1/2023 | 1,065,000 | 1,022,400 | ||||||||||
|
| |||||||||||
10,438,407 | ||||||||||||
|
| |||||||||||
Media - 2.0% | ||||||||||||
CCO Holdings LLC - CCO Holdings Capital Corp.4, 5.125%, 5/1/2023 | 925,000 | 927,313 | ||||||||||
CCO Holdings LLC - CCO Holdings Capital Corp.4, 5.375%, 5/1/2025 | 935,000 | 925,650 | ||||||||||
CCO Safari II LLC4, 4.908%, 7/23/2025 | 725,000 | 736,950 | ||||||||||
Cogeco Cable, Inc. (Canada)4, 4.875%, 5/1/2020 | 765,000 | 776,475 | ||||||||||
Columbus International, Inc. (Barbados)4, 7.375%, 3/30/2021 | 1,185,000 | 1,232,400 | ||||||||||
Comcast Corp., 5.15%, 3/1/2020 | 500,000 | 562,715 | ||||||||||
Comcast Corp., 3.375%, 8/15/2025 | 150,000 | 152,657 | ||||||||||
DIRECTV Holdings LLC - DIRECTV Financing Co., Inc., 5.20%, 3/15/2020 | 3,140,000 | 3,446,640 | ||||||||||
DIRECTV Holdings LLC - DIRECTV Financing Co., Inc., 4.45%, 4/1/2024 | 1,490,000 | 1,536,418 | ||||||||||
Discovery Communications LLC, 5.05%, 6/1/2020 | 2,880,000 | 3,129,074 | ||||||||||
Sinclair Television Group, Inc.4, 5.625%, 8/1/2024 | 1,405,000 | 1,376,900 | ||||||||||
Sirius XM Radio, Inc.4, 5.375%, 4/15/2025 | 865,000 | 885,544 | ||||||||||
Time Warner Entertainment Co. LP, 8.375%, 7/15/2033 | 2,300,000 | 2,704,559 | ||||||||||
Time Warner, Inc., 4.875%, 3/15/2020 | 5,060,000 | 5,582,946 | ||||||||||
Time Warner, Inc., 4.75%, 3/29/2021 | 3,370,000 | 3,688,620 | ||||||||||
VTR Finance B.V. (Chile)4, 6.875%, 1/15/2024 | 1,030,000 | 996,525 | ||||||||||
The Walt Disney Co., 2.75%, 8/16/2021 | 400,000 | 411,583 | ||||||||||
|
| |||||||||||
29,072,969 | ||||||||||||
|
| |||||||||||
Multiline Retail - 0.2% | ||||||||||||
Macy’s Retail Holdings, Inc., 2.875%, 2/15/2023 | 1,575,000 | 1,473,186 | ||||||||||
Target Corp., 3.875%, 7/15/2020 | 535,000 | 580,494 | ||||||||||
|
| |||||||||||
2,053,680 | ||||||||||||
|
| |||||||||||
Specialty Retail - 0.1% | ||||||||||||
The TJX Companies, Inc., 2.75%, 6/15/2021 | 1,525,000 | 1,545,316 | ||||||||||
|
| |||||||||||
Textiles, Apparel & Luxury Goods - 0.1% | ||||||||||||
Coach, Inc., 4.25%, 4/1/2025 | 1,560,000 | 1,477,783 | ||||||||||
VF Corp., 5.95%, 11/1/2017 | 485,000 | 528,538 | ||||||||||
|
| |||||||||||
2,006,321 | ||||||||||||
|
| |||||||||||
Total Consumer Discretionary | 60,143,162 | |||||||||||
|
| |||||||||||
Consumer Staples - 1.4% | ||||||||||||
Beverages - 0.9% | ||||||||||||
Anheuser-Busch InBev Worldwide, Inc. (Belgium), 7.75%, 1/15/2019 | 1,215,000 | 1,419,028 | ||||||||||
Anheuser-Busch InBev Worldwide, Inc. (Belgium), 8.20%, 1/15/2039 | 2,545,000 | 3,595,123 | ||||||||||
Beam Suntory, Inc., 1.75%, 6/15/2018 | 1,308,000 | 1,296,373 | ||||||||||
PepsiCo, Inc., 5.00%, 6/1/2018 | 110,000 | 120,063 | ||||||||||
PepsiCo, Inc., 3.10%, 7/17/2022 | 2,880,000 | 2,954,601 | ||||||||||
Pernod-Ricard S.A. (France)4, 5.75%, 4/7/2021 | 2,765,000 | 3,078,894 | ||||||||||
SABMiller plc (United Kingdom)4, 6.50%, 7/15/2018 | 1,170,000 | 1,303,296 | ||||||||||
|
| |||||||||||
13,767,378 | ||||||||||||
|
| |||||||||||
Food & Staples Retailing - 0.2% | ||||||||||||
C&S Group Enterprises LLC4, 5.375%, 7/15/2022 | 1,145,000 | 1,047,675 |
The accompanying notes are an integral part of the financial statements.
12
Investment Portfolio - October 31, 2015
PRO-BLEND® CONSERVATIVE TERM SERIES | PRINCIPAL AMOUNT2 | VALUE (NOTE 2) | ||||||||||
CORPORATE BONDS (continued) | ||||||||||||
Non-Convertible Corporate Bonds (continued) | ||||||||||||
Consumer Staples (continued) | ||||||||||||
Food & Staples Retailing (continued) | ||||||||||||
CVS Health Corp., 3.50%, 7/20/2022 | 1,440,000 | $ | 1,485,541 | |||||||||
|
| |||||||||||
2,533,216 | ||||||||||||
|
| |||||||||||
Food Products - 0.2% | ||||||||||||
General Mills, Inc., 5.65%, 2/15/2019 | 375,000 | 417,466 | ||||||||||
Kraft Heinz Foods Co., 6.75%, 3/15/2032 | 735,000 | 850,402 | ||||||||||
Pinnacle Operating Corp.4, 9.00%, 11/15/2020 | 1,190,000 | 1,154,300 | ||||||||||
|
| |||||||||||
2,422,168 | ||||||||||||
|
| |||||||||||
Household Products - 0.1% | ||||||||||||
HRG Group, Inc., 7.875%, 7/15/2019 | 1,125,000 | 1,193,906 | ||||||||||
HRG Group, Inc., 7.75%, 1/15/2022 . | 885,000 | 878,363 | ||||||||||
|
| |||||||||||
2,072,269 | ||||||||||||
|
| |||||||||||
Total Consumer Staples | 20,795,031 | |||||||||||
|
| |||||||||||
Energy - 2.1% | ||||||||||||
Energy Equipment & Services - 0.4% | ||||||||||||
Baker Hughes, Inc., 7.50%, 11/15/2018 | 1,235,000 | 1,421,316 | ||||||||||
Calfrac Holdings LP (Canada)4, 7.50%, 12/1/2020 | 800,000 | 454,000 | ||||||||||
Ensco plc, 5.20%, 3/15/2025 | 2,030,000 | 1,695,409 | ||||||||||
FTS International, Inc., 6.25%, 5/1/2022 | 785,000 | 180,550 | ||||||||||
Pride International, Inc., 8.50%, 6/15/2019 | 700,000 | 712,405 | ||||||||||
Schlumberger Oilfield plc4, 4.20%, 1/15/2021 | 450,000 | 485,150 | ||||||||||
Seventy Seven Operating LLC, 6.625%, 11/15/2019 | 785,000 | 465,113 | ||||||||||
|
| |||||||||||
5,413,943 | ||||||||||||
|
| |||||||||||
Oil, Gas & Consumable Fuels - 1.7% | ||||||||||||
CNOOC Finance 2015 Australia Pty. Ltd. (China), 2.625%, 5/5/2020 | 700,000 | 690,096 | ||||||||||
Columbia Pipeline Group, Inc.4, 2.45%, 6/1/2018 | 1,300,000 | 1,301,860 | ||||||||||
Columbia Pipeline Group, Inc.4, 4.50%, 6/1/2025 | 1,450,000 | 1,395,370 | ||||||||||
Crestwood Midstream Partners LP - Crestwood Midstream Finance Corp., 6.125%, 3/1/2022 | 1,300,000 | 1,118,000 | ||||||||||
El Paso Natural Gas Co. LLC, 8.625%, 1/15/2022 | 480,000 | 569,448 | ||||||||||
Hiland Partners LP - Hiland Partners Finance Corp.4, 7.25%, 10/1/2020 | 2,200,000 | 2,299,000 | ||||||||||
Kinder Morgan, Inc.4, 5.625%, 11/15/2023 | 2,800,000 | 2,721,158 | ||||||||||
Petrobras Global Finance B.V. (Brazil)3, 1.953%, 5/20/2016 | 4,415,000 | 4,319,857 | ||||||||||
Petroleos Mexicanos (Mexico), 5.75%, 3/1/2018 | 1,345,000 | 1,428,592 | ||||||||||
Petroleos Mexicanos (Mexico)4, 4.50%, 1/23/2026 | 2,880,000 | 2,749,824 | ||||||||||
Sabine Pass Liquefaction LLC, 5.625%, 2/1/2021 | 2,150,000 | 2,133,875 | ||||||||||
Talisman Energy, Inc. (Canada), 3.75%, 2/1/2021 | 2,225,000 | 2,031,547 | ||||||||||
Targa Resources Partners LP - Targa Resources Partners Finance Corp.4, 6.75%, 3/15/2024 . | 895,000 | 880,456 | ||||||||||
WPX Energy, Inc., 6.00%, 1/15/2022 | 910,000 | 800,800 | ||||||||||
|
| |||||||||||
24,439,883 | ||||||||||||
|
| |||||||||||
Total Energy | 29,853,826 | |||||||||||
|
| |||||||||||
Financials - 17.5% | ||||||||||||
Banks - 6.4% | ||||||||||||
Bank of America Corp., 6.50%, 8/1/2016 | 2,000,000 | 2,081,342 | ||||||||||
Bank of America Corp., 5.75%, 8/15/2016 | 1,425,000 | 1,473,902 | ||||||||||
Bank of America Corp., 5.42%, 3/15/2017 | 1,000,000 | 1,049,227 | ||||||||||
Bank of America Corp., 5.70%, 5/2/2017 | 1,100,000 | 1,160,383 | ||||||||||
Bank of America Corp., 6.875%, 4/25/2018 | 7,420,000 | 8,281,885 | ||||||||||
Bank of Montreal (Canada)4, 1.95%, 1/30/2017 | 5,000,000 | 5,061,315 | ||||||||||
The Bank of Nova Scotia (Canada), 1.85%, 4/14/2020 | 8,170,000 | 8,069,844 | ||||||||||
Barclays Bank plc (United Kingdom)4, 6.05%, 12/4/2017 | 1,800,000 | 1,940,974 | ||||||||||
Barclays Bank plc (United Kingdom), 5.14%, 10/14/2020 | 2,160,000 | 2,367,762 | ||||||||||
Barclays Bank plc (United Kingdom)4, 10.179%, 6/12/2021 | 2,200,000 | 2,888,886 | ||||||||||
BBVA Bancomer S.A. (Mexico)4, 6.75%, 9/30/2022 | 1,460,000 | 1,638,120 | ||||||||||
Citigroup, Inc., 1.80%, 2/5/2018 | 1,750,000 | 1,746,880 | ||||||||||
Citigroup, Inc., 3.875%, 3/26/2025 | 1,885,000 | 1,839,319 |
The accompanying notes are an integral part of the financial statements.
13
Investment Portfolio - October 31, 2015
PRO-BLEND® CONSERVATIVE TERM SERIES | PRINCIPAL AMOUNT2 | VALUE (NOTE 2) | ||||||||||||
CORPORATE BONDS (continued) | ||||||||||||||
Non-Convertible Corporate Bonds (continued) | ||||||||||||||
Financials (continued) | ||||||||||||||
Banks (continued) | ||||||||||||||
Commonwealth Bank of Australia (Australia), 5.75%, 1/25/2017 | AUD | 300,000 | $ | 222,664 | ||||||||||
Cooperatieve Centrale Raiffeisen- Boerenleenbank B.A. (Netherlands)5,6, 8.40% | 1,100,000 | 1,191,080 | ||||||||||||
Cooperatieve Centrale Raiffeisen- Boerenleenbank B.A. (Netherlands)5,7, 8.375% | 1,000,000 | 1,040,018 | ||||||||||||
HSBC Bank plc (United Kingdom)4, 1.50%, 5/15/2018 | 2,115,000 | 2,103,807 | ||||||||||||
ING Bank N.V. (Netherlands)4, 1.80%, 3/16/2018 | 900,000 | 899,974 | ||||||||||||
Intesa Sanpaolo S.p.A. (Italy), 3.875%, 1/15/2019 | 1,975,000 | 2,053,844 | ||||||||||||
Intesa Sanpaolo S.p.A. (Italy)4, 6.50%, 2/24/2021 | 1,400,000 | 1,612,632 | ||||||||||||
JPMorgan Chase & Co., 3.15%, 7/5/2016 | 4,300,000 | 4,354,971 | ||||||||||||
JPMorgan Chase & Co., 6.30%, 4/23/2019 | 500,000 | 568,433 | ||||||||||||
JPMorgan Chase & Co., 4.95%, 3/25/2020 | 1,255,000 | 1,377,165 | ||||||||||||
Lloyds Bank plc (United Kingdom)4,5,8, 12.00% | 835,000 | 1,194,050 | ||||||||||||
Lloyds Bank plc (United Kingdom)4, 6.50%, 9/14/2020 | 3,200,000 | 3,692,659 | ||||||||||||
Lloyds Bank plc (United Kingdom)3, 9.875%, 12/16/2021 | 1,247,000 | 1,353,918 | ||||||||||||
National Australia Bank Ltd. (Australia)4, 2.00%, 2/22/2019 | 3,650,000 | 3,674,521 | ||||||||||||
National Bank of Canada (Canada)4, 1.40%, 4/20/2018 | 4,850,000 | 4,846,557 | ||||||||||||
Popular, Inc., 7.00%, 7/1/2019 | 1,820,000 | 1,774,500 | ||||||||||||
Royal Bank of Canada (Canada), 3.77%, 3/30/2018 | CAD | 340,000 | 274,114 | |||||||||||
Royal Bank of Scotland Group plc (United Kingdom)3, 1.267%, 3/31/2017 | 3,075,000 | 3,073,665 | ||||||||||||
Royal Bank of Scotland Group plc (United Kingdom), 5.125%, 5/28/2024 | 1,535,000 | 1,573,845 | ||||||||||||
Santander Bank N.A., 8.75%, 5/30/2018 | 1,225,000 | 1,398,878 | ||||||||||||
Santander Holdings USA, Inc., 4.625%, 4/19/2016 | 220,000 | 223,650 | ||||||||||||
Santander Holdings USA, Inc., 3.45%, 8/27/2018 | 1,600,000 | 1,644,203 | ||||||||||||
Santander Holdings USA, Inc., 2.65%, 4/17/2020 | 1,565,000 | 1,547,686 | ||||||||||||
The Toronto-Dominion Bank (Canada)4, 1.625%, 9/14/2016 | 5,555,000 | 5,595,190 | ||||||||||||
Wells Fargo Bank N.A., 6.00%, 11/15/2017 | 3,340,000 | 3,628,736 | ||||||||||||
Westpac Banking Corp. (Australia), 5.75%, 2/6/2017 | AUD | 300,000 | 222,838 | |||||||||||
|
| |||||||||||||
90,743,437 | ||||||||||||||
|
| |||||||||||||
Capital Markets - 4.0% | ||||||||||||||
Credit Suisse AG (Switzerland)4, 2.60%, 5/27/2016 | 6,145,000 | 6,210,727 | ||||||||||||
The Goldman Sachs Group, Inc., 3.625%, 2/7/2016 | 5,400,000 | 5,441,834 | ||||||||||||
The Goldman Sachs Group, Inc., 5.95%, 1/18/2018 | 950,000 | 1,036,614 | ||||||||||||
The Goldman Sachs Group, Inc., 6.15%, 4/1/2018 | 2,110,000 | 2,322,713 | ||||||||||||
The Goldman Sachs Group, Inc.3, 1.421%, 11/15/2018 | 6,350,000 | 6,381,877 | ||||||||||||
The Goldman Sachs Group, Inc., 5.375%, 3/15/2020 | 6,125,000 | 6,841,270 | ||||||||||||
The Goldman Sachs Group, Inc.3, 1.925%, 11/29/2023 | 1,415,000 | 1,427,626 | ||||||||||||
The Goldman Sachs Group, Inc., 4.25%, 10/21/2025 | 1,625,000 | 1,624,366 | ||||||||||||
Morgan Stanley, 3.80%, 4/29/2016 | 5,405,000 | 5,487,048 | ||||||||||||
Morgan Stanley, 2.125%, 4/25/2018 . | 5,900,000 | 5,947,359 | ||||||||||||
Morgan Stanley, 5.75%, 1/25/2021 | 5,955,000 | 6,786,967 | ||||||||||||
Morgan Stanley, 5.00%, 11/24/2025 . | 1,200,000 | 1,284,018 | ||||||||||||
UBS AG (Switzerland)3, 7.25%, 2/22/2022 | 2,855,000 | 3,011,306 | ||||||||||||
UBS AG (Switzerland), 7.625%, 8/17/2022 | 1,830,000 | 2,116,541 | ||||||||||||
UBS AG (Switzerland)3, 4.75%, 5/22/2023 | 1,775,000 | 1,824,966 | ||||||||||||
|
| |||||||||||||
57,745,232 | ||||||||||||||
|
| |||||||||||||
Consumer Finance - 0.3% | ||||||||||||||
Capital One Bank USA N.A., 2.15%, 11/21/2018 | 650,000 | 648,800 | ||||||||||||
Caterpillar Financial Services Corp., 7.05%, 10/1/2018 | 770,000 | 882,847 | ||||||||||||
CNG Holdings, Inc.4, 9.375%, 5/15/2020 | 870,000 | 440,437 | ||||||||||||
Navient Corp., 6.125%, 3/25/2024 | 1,915,000 | 1,728,288 | ||||||||||||
|
| |||||||||||||
3,700,372 | ||||||||||||||
|
|
The accompanying notes are an integral part of the financial statements.
14
Investment Portfolio - October 31, 2015
PRO-BLEND® CONSERVATIVE TERM SERIES | PRINCIPAL AMOUNT2 | VALUE (NOTE 2) | ||||||||||
CORPORATE BONDS (continued) | ||||||||||||
Non-Convertible Corporate Bonds (continued) | ||||||||||||
Financials (continued) | ||||||||||||
Diversified Financial Services - 1.9% | ||||||||||||
The Bear Stearns Companies LLC, 7.25%, 2/1/2018 | 1,775,000 | $ | 1,985,648 | |||||||||
CME Group, Inc., 3.00%, 9/15/2022 . | 1,040,000 | 1,047,020 | ||||||||||
General Electric Capital Corp.5,9, 7.125% | 3,905,000 | 4,588,375 | ||||||||||
General Electric Capital Corp.3, 0.714%, 5/5/2026 | 2,385,000 | 2,231,244 | ||||||||||
ING Bank N.V. (Netherlands)4, 5.80%, 9/25/2023 | 2,200,000 | 2,418,552 | ||||||||||
ING Bank N.V. (Netherlands)3, 4.125%, 11/21/2023 | 3,150,000 | 3,236,625 | ||||||||||
Jefferies Finance LLC - JFIN Co-Issuer Corp.4, 7.375%, 4/1/2020 | 790,000 | 774,200 | ||||||||||
Jefferies Finance LLC - JFIN Co-Issuer Corp.4, 6.875%, 4/15/2022 | 590,000 | 554,600 | ||||||||||
Jefferies Group LLC, 8.50%, 7/15/2019 | 380,000 | 447,562 | ||||||||||
Jefferies Group LLC, 6.875%, 4/15/2021 | 4,500,000 | 5,057,514 | ||||||||||
Peachtree Corners Funding Trust4, 3.976%, 2/15/2025 | 550,000 | 553,535 | ||||||||||
Voya Financial, Inc., 2.90%, 2/15/2018 | 3,065,000 | 3,128,026 | ||||||||||
Voya Financial, Inc., 5.50%, 7/15/2022 | 1,015,000 | 1,149,225 | ||||||||||
|
| |||||||||||
27,172,126 | ||||||||||||
|
| |||||||||||
Insurance - 1.9% | ||||||||||||
Aegon N.V. (Netherlands)3,5, 2.142% | 2,195,000 | 1,724,721 | ||||||||||
American International Group, Inc., 4.875%, 6/1/2022 | 9,095,000 | 10,114,449 | ||||||||||
Assured Guaranty US Holdings, Inc., 5.00%, 7/1/2024 | 6,735,000 | 7,032,047 | ||||||||||
AXA S.A. (France)3,5, 2.312% | 2,900,000 | 2,378,000 | ||||||||||
Fidelity National Financial, Inc., 6.60%, 5/15/2017 | 1,725,000 | 1,840,446 | ||||||||||
First American Financial Corp., 4.30%, 2/1/2023 | 1,145,000 | 1,141,555 | ||||||||||
Prudential Financial, Inc.5,10, 5.875% | 3,180,000 | 3,370,800 | ||||||||||
|
| |||||||||||
27,602,018 | ||||||||||||
|
| |||||||||||
Real Estate Investment Trusts (REITS) - 2.7% | ||||||||||||
American Tower Corp., 2.80%, 6/1/2020 | 1,600,000 | 1,592,555 | ||||||||||
American Tower Trust I4, 1.551%, 3/15/2018 | 985,000 | 974,310 | ||||||||||
AvalonBay Communities, Inc., 4.20%, 12/15/2023 | 1,000,000 | 1,047,670 | ||||||||||
BioMed Realty LP, 3.85%, 4/15/2016 | 115,000 | 115,956 | ||||||||||
Boston Properties LP, 5.875%, 10/15/2019 | 3,270,000 | 3,665,225 | ||||||||||
Camden Property Trust, 5.70%, 5/15/2017 | 2,010,000 | 2,130,855 | ||||||||||
Crown Castle Towers LLC4, 6.113%, 1/15/2020 | 390,000 | 430,702 | ||||||||||
Crown Castle Towers LLC4, 4.883%, 8/15/2020 | 224,000 | 241,905 | ||||||||||
Crown Castle Towers LLC4, 3.222%, 5/15/2022 | 1,590,000 | 1,563,018 | ||||||||||
Digital Delta Holdings LLC4, 3.40%, 10/1/2020 | 500,000 | 502,523 | ||||||||||
Digital Realty Trust LP, 5.875%, 2/1/2020 | 1,300,000 | 1,429,146 | ||||||||||
Digital Realty Trust LP, 5.25%, 3/15/2021 | 880,000 | 952,641 | ||||||||||
DuPont Fabros Technology LP, 5.875%, 9/15/2021 | 1,320,000 | 1,386,000 | ||||||||||
HCP, Inc., 6.70%, 1/30/2018 | 3,455,000 | 3,801,968 | ||||||||||
HCP, Inc., 4.00%, 6/1/2025 | 1,300,000 | 1,277,276 | ||||||||||
Hospitality Properties Trust, 6.70%, 1/15/2018 | 1,595,000 | 1,704,575 | ||||||||||
Mack-Cali Realty LP, 7.75%, 8/15/2019 | 370,000 | 423,827 | ||||||||||
Qualitytech LP - QTS Finance Corp., 5.875%, 8/1/2022 | 635,000 | 652,463 | ||||||||||
Rialto Holdings LLC - Rialto Corp.4, 7.00%, 12/1/2018 | 1,305,000 | 1,337,625 | ||||||||||
Simon Property Group LP, 10.35%, 4/1/2019 | 5,550,000 | 6,915,849 | ||||||||||
UDR, Inc., 4.625%, 1/10/2022 | 730,000 | 783,554 | ||||||||||
Welltower, Inc., 6.20%, 6/1/2016 | 520,000 | 533,852 | ||||||||||
Welltower, Inc., 4.95%, 1/15/2021 | 4,100,000 | 4,439,501 | ||||||||||
Welltower, Inc., 4.00%, 6/1/2025 | 1,100,000 | 1,089,224 | ||||||||||
|
| |||||||||||
38,992,220 | ||||||||||||
|
| |||||||||||
Real Estate Management & Development - 0.1% | ||||||||||||
Forestar USA Real Estate Group, Inc.4, 8.50%, 6/1/2022 | 805,000 | 817,075 | ||||||||||
Greystar Real Estate Partners LLC4, 8.25%, 12/1/2022 | 765,000 | 805,163 | ||||||||||
|
| |||||||||||
1,622,238 | ||||||||||||
|
|
The accompanying notes are an integral part of the financial statements.
15
Investment Portfolio - October 31, 2015
PRO-BLEND® CONSERVATIVE TERM SERIES | PRINCIPAL AMOUNT2 | VALUE (NOTE 2) | ||||||||||
CORPORATE BONDS (continued) | ||||||||||||
Non-Convertible Corporate Bonds (continued) | ||||||||||||
Financials (continued) | ||||||||||||
Thrifts & Mortgage Finance - 0.2% | ||||||||||||
Ladder Capital Finance Holdings LLLP - Ladder Capital Finance Corp., 7.375%, 10/1/2017 | 1,050,000 | $ | 1,055,250 | |||||||||
Ladder Capital Finance Holdings LLLP - Ladder Capital Finance Corp.4, 5.875%, 8/1/2021 | 995,000 | 930,325 | ||||||||||
Prospect Holding Co. LLC - Prospect Holding Finance Co.4, 10.25%, 10/1/2018 | 795,000 | 389,550 | ||||||||||
|
| |||||||||||
2,375,125 | ||||||||||||
|
| |||||||||||
Total Financials | 249,952,768 | |||||||||||
|
| |||||||||||
Health Care - 0.8% | ||||||||||||
Biotechnology - 0.3% | ||||||||||||
AMAG Pharmaceuticals, Inc.4, 7.875%, 9/1/2023 | 1,415,000 | 1,319,488 | ||||||||||
Amgen, Inc., 2.20%, 5/22/2019 | 1,395,000 | 1,401,084 | ||||||||||
Amgen, Inc., 2.70%, 5/1/2022 | 1,575,000 | 1,545,462 | ||||||||||
|
| |||||||||||
4,266,034 | ||||||||||||
|
| |||||||||||
Health Care Equipment & Supplies - 0.0%## | ||||||||||||
Zimmer Biomet Holdings, Inc., 1.45%, 4/1/2017 | 550,000 | 548,758 | ||||||||||
|
| |||||||||||
Health Care Providers & Services - 0.2% | ||||||||||||
Aetna, Inc., 3.50%, 11/15/2024 | 1,530,000 | 1,541,531 | ||||||||||
Tenet Healthcare Corp.3,4, 3.837%, 6/15/2020 | 855,000 | 848,587 | ||||||||||
UnitedHealth Group, Inc., 2.75%, 2/15/2023 | 630,000 | 619,795 | ||||||||||
|
| |||||||||||
3,009,913 | ||||||||||||
|
| |||||||||||
Pharmaceuticals - 0.3% | ||||||||||||
Concordia Healthcare Corp. (Canada)4, 7.00%, 4/15/2023 | 1,320,000 | 1,148,400 | ||||||||||
Mallinckrodt International Finance S.A. - Mallinckrodt CB LLC4, 5.625%, 10/15/2023 | 770,000 | 726,687 | ||||||||||
Novartis Securities Investment Ltd. (Switzerland), 5.125%, 2/10/2019 | 595,000 | 660,792 | ||||||||||
Roche Holdings, Inc. (Switzerland)4, 6.00%, 3/1/2019 | 1,302,000 | 1,473,109 | ||||||||||
|
| |||||||||||
4,008,988 | ||||||||||||
|
| |||||||||||
Total Health Care | 11,833,693 | |||||||||||
|
| |||||||||||
Industrials - 3.5% | ||||||||||||
Aerospace & Defense - 0.4% | ||||||||||||
DigitalGlobe, Inc.4, 5.25%, 2/1/2021 | 1,861,000 | 1,674,118 | ||||||||||
Honeywell International, Inc., 5.30%, 3/1/2018 | 405,000 | 442,064 | ||||||||||
Textron, Inc., 5.60%, 12/1/2017 | 3,150,000 | 3,358,933 | ||||||||||
Textron, Inc., 7.25%, 10/1/2019 | 350,000 | 404,099 | ||||||||||
|
| |||||||||||
5,879,214 | ||||||||||||
|
| |||||||||||
Air Freight & Logistics - 0.0%## | ||||||||||||
Neovia Logistics Intermediate Holdings LLC - Logistics Intermediate Finance Corp.4,11, 10.00%, 2/15/2018 | 855,000 | 859,275 | ||||||||||
|
| |||||||||||
Airlines - 0.7% | ||||||||||||
Allegiant Travel Co., 5.50%, 7/15/2019 | 1,740,000 | 1,776,540 | ||||||||||
American Airlines Pass-Through Trust, Series 2013-2, Class A, 4.95%, 1/15/2023 | 2,442,940 | 2,616,878 | ||||||||||
Delta Air Lines Pass-Through Trust, Series 2010-1, Class B4, 6.375%, 1/2/2016 | 912,000 | 918,840 | ||||||||||
Delta Air Lines Pass-Through Trust, Series 2010-2, Class B, 6.75%, 11/23/2015 | 2,370,000 | 2,375,925 | ||||||||||
Southwest Airlines Co., 5.75%, 12/15/2016 | 1,070,000 | 1,122,469 | ||||||||||
Southwest Airlines Co., 2.75%, 11/6/2019 | 1,530,000 | 1,550,057 | ||||||||||
|
| |||||||||||
10,360,709 | ||||||||||||
|
| |||||||||||
Commercial Services & Supplies - 0.1% | ||||||||||||
Constellis Holdings LLC - Constellis Finance Corp.4, 9.75%, 5/15/2020 . | 780,000 | 705,900 | ||||||||||
Modular Space Corp.4, 10.25%, 1/31/2019 | 865,000 | 516,837 | ||||||||||
|
| |||||||||||
1,222,737 | ||||||||||||
|
| |||||||||||
Construction & Engineering - 0.0%## | ||||||||||||
Abengoa Finance S.A.U. (Spain)4, 7.75%, 2/1/2020 | 1,050,000 | 441,000 | ||||||||||
|
| |||||||||||
Industrial Conglomerates - 0.4% | ||||||||||||
Danaher Corp., 1.65%, 9/15/2018 | 1,440,000 | 1,445,440 | ||||||||||
GE Capital International Funding Co.4, 0.964%, 4/15/2016 | 3,290,000 | 3,289,352 | ||||||||||
Siemens Financieringsmaatschappij N.V. (Germany)4, 2.90%, 5/27/2022 | 500,000 | 504,085 | ||||||||||
|
| |||||||||||
5,238,877 | ||||||||||||
|
| |||||||||||
Machinery - 0.5% | ||||||||||||
CNH Industrial Capital LLC, 3.875%, 11/1/2015 | 3,190,000 | 3,190,000 |
The accompanying notes are an integral part of the financial statements.
16
Investment Portfolio - October 31, 2015
PRO-BLEND® CONSERVATIVE TERM SERIES | PRINCIPAL AMOUNT2 | VALUE (NOTE 2) | ||||||||||
CORPORATE BONDS (continued) | ||||||||||||
Non-Convertible Corporate Bonds (continued) | ||||||||||||
Industrials (continued) | ||||||||||||
Machinery (continued) | ||||||||||||
John Deere Capital Corp., 1.60%, 7/13/2018 | 1,500,000 | $ | 1,506,113 | |||||||||
SPL Logistics Escrow LLC - SPL Logistics Finance Corp.4, 8.875%, 8/1/2020 | 905,000 | 959,300 | ||||||||||
Waterjet Holdings, Inc.4, 7.625%, 2/1/2020 | 950,000 | 957,125 | ||||||||||
|
| |||||||||||
6,612,538 | ||||||||||||
|
| |||||||||||
Road & Rail - 0.1% | ||||||||||||
Burlington Northern Santa Fe LLC, 3.00%, 4/1/2025 | 800,000 | 771,862 | ||||||||||
Union Pacific Corp., 5.65%, 5/1/2017 | 175,000 | 186,097 | ||||||||||
|
| |||||||||||
957,959 | ||||||||||||
|
| |||||||||||
Trading Companies & Distributors - 1.3% | ||||||||||||
Air Lease Corp., 2.625%, 9/4/2018 | 2,640,000 | 2,629,361 | ||||||||||
Air Lease Corp., 3.375%, 1/15/2019 | 1,910,000 | 1,948,200 | ||||||||||
Aircastle Ltd., 5.50%, 2/15/2022 | 850,000 | 898,875 | ||||||||||
Aviation Capital Group Corp.4, 3.875%, 9/27/2016 | 4,145,000 | 4,196,813 | ||||||||||
Aviation Capital Group Corp.4, 2.875%, 9/17/2018 | 1,700,000 | 1,698,691 | ||||||||||
Fly Leasing Ltd. (Ireland), 6.75%, 12/15/2020 | 990,000 | 1,039,500 | ||||||||||
Fly Leasing Ltd. (Ireland), 6.375%, 10/15/2021 | 1,160,000 | 1,194,800 | ||||||||||
International Lease Finance Corp., 5.75%, 5/15/2016 | 1,095,000 | 1,114,852 | ||||||||||
International Lease Finance Corp.3, 2.287%, 6/15/2016 | 1,980,000 | 1,976,238 | ||||||||||
International Lease Finance Corp., 8.75%, 3/15/2017 | 1,700,000 | 1,833,875 | ||||||||||
|
| |||||||||||
18,531,205 | ||||||||||||
|
| |||||||||||
Total Industrials | 50,103,514 | |||||||||||
|
| |||||||||||
Information Technology - 0.8% | ||||||||||||
Communications Equipment - 0.1% | ||||||||||||
QUALCOMM, Inc., 3.45%, 5/20/2025 | 1,500,000 | 1,440,543 | ||||||||||
|
| |||||||||||
Internet Software & Services - 0.2% | ||||||||||||
Baidu, Inc. (China), 2.75%, 6/9/2019 | 200,000 | 198,994 | ||||||||||
Tencent Holdings Ltd. (China)4, 3.375%, 5/2/2019 | 2,865,000 | 2,926,259 | ||||||||||
|
| |||||||||||
3,125,253 | ||||||||||||
|
| |||||||||||
IT Services - 0.2% | ||||||||||||
Automatic Data Processing, Inc., 2.25%, 9/15/2020 | 1,900,000 | 1,917,482 | ||||||||||
Xerox Corp., 2.80%, 5/15/2020 | 1,500,000 | 1,423,926 | ||||||||||
|
| |||||||||||
3,341,408 | ||||||||||||
|
| |||||||||||
Semiconductors & Semiconductor Equipment - 0.1% | ||||||||||||
Intel Corp., 2.45%, 7/29/2020 | 1,440,000 | 1,463,079 | ||||||||||
|
| |||||||||||
Technology Hardware, Storage & Peripherals - 0.2% | ||||||||||||
Apple, Inc., 2.40%, 5/3/2023 | 920,000 | 900,083 | ||||||||||
Hewlett Packard Enterprise Co.4, 2.45%, 10/5/2017 | 1,400,000 | 1,404,092 | ||||||||||
|
| |||||||||||
2,304,175 | ||||||||||||
|
| |||||||||||
Total Information Technology | 11,674,458 | |||||||||||
|
| |||||||||||
Materials - 1.1% | ||||||||||||
Chemicals - 0.3% | ||||||||||||
Consolidated Energy Finance S.A. (Trinidad-Tobago)4, 6.75%, 10/15/2019 | 1,340,000 | 1,333,300 | ||||||||||
The Dow Chemical Co., 8.55%, 5/15/2019 | 2,390,000 | 2,874,355 | ||||||||||
LyondellBasell Industries N.V., 5.00%, 4/15/2019 | 500,000 | 537,943 | ||||||||||
|
| |||||||||||
4,745,598 | ||||||||||||
|
| |||||||||||
Containers & Packaging - 0.1% | ||||||||||||
Ardagh Packaging Finance plc - Ardagh Holdings USA, Inc. (Ireland)3,4, 3.337%, 12/15/2019 | 1,620,000 | 1,595,700 | ||||||||||
|
| |||||||||||
Metals & Mining - 0.6% | ||||||||||||
BHP Billiton Finance (USA) Ltd. (Australia), 6.50%, 4/1/2019 | 1,535,000 | 1,743,149 | ||||||||||
Rio Tinto Finance USA Ltd. (United Kingdom), 3.75%, 9/20/2021 | 2,990,000 | 3,059,882 | ||||||||||
Rio Tinto Finance USA plc (United Kingdom), 1.375%, 6/17/2016 | 1,400,000 | 1,402,311 | ||||||||||
Steel Dynamics, Inc., 5.125%, 10/1/2021 | 805,000 | 798,963 | ||||||||||
SunCoke Energy Partners LP - SunCoke Energy Partners Finance Corp.4, 7.375%, 2/1/2020 . | 915,000 | 759,450 | ||||||||||
|
| |||||||||||
7,763,755 | ||||||||||||
|
| |||||||||||
Paper & Forest Products - 0.1% | ||||||||||||
Domtar Corp., 4.40%, 4/1/2022 | 1,465,000 | 1,492,611 | ||||||||||
|
| |||||||||||
Total Materials | 15,597,664 | |||||||||||
|
|
The accompanying notes are an integral part of the financial statements.
17
Investment Portfolio - October 31, 2015
PRO-BLEND® CONSERVATIVE TERM SERIES | SHARES/ PRINCIPAL | VALUE (NOTE 2) | ||||||||||
CORPORATE BONDS (continued) | ||||||||||||
Non-Convertible Corporate Bonds (continued) | ||||||||||||
Telecommunication Services - 1.2% | ||||||||||||
Diversified Telecommunication Services - 0.5% | ||||||||||||
CenturyLink, Inc., 5.80%, 3/15/2022 | 1,200,000 | $ | 1,167,000 | |||||||||
Frontier Communications Corp., 7.625%, 4/15/2024 | 845,000 | 756,275 | ||||||||||
Frontier Communications Corp.4, 11.00%, 9/15/2025 | 1,875,000 | 1,965,225 | ||||||||||
Telefonica Emisiones S.A.U. (Spain), 6.221%, 7/3/2017 | 2,550,000 | 2,740,159 | ||||||||||
Windstream Services LLC, 7.875%, 11/1/2017 | 730,000 | 774,253 | ||||||||||
|
| |||||||||||
7,402,912 | ||||||||||||
|
| |||||||||||
Wireless Telecommunication Services - 0.7% | ||||||||||||
Altice Financing S.A. (Luxembourg)4 , 6.50%, 1/15/2022 | 2,255,000 | 2,283,188 | ||||||||||
SBA Tower Trust4, 5.101%, 4/17/2017 | 200,000 | 204,207 | ||||||||||
SBA Tower Trust4, 2.933%, 12/15/2017 | 1,785,000 | 1,806,066 | ||||||||||
SBA Tower Trust4, 3.598%, 4/15/2018 | 2,505,000 | 2,511,327 | ||||||||||
Sixsigma Networks Mexico S.A. de C.V. (Mexico)4, 8.25%, 11/7/2021 . | 1,245,000 | 1,213,875 | ||||||||||
T-Mobile USA, Inc., 6.836%, 4/28/2023 | 1,250,000 | 1,290,625 | ||||||||||
|
| |||||||||||
9,309,288 | ||||||||||||
|
| |||||||||||
Total Telecommunication Services | 16,712,200 | |||||||||||
|
| |||||||||||
Utilities - 0.5% | ||||||||||||
Independent Power and Renewable Electricity Producers - 0.5% | ||||||||||||
Abengoa Yield plc (Spain)4, 7.00%, 11/15/2019 | 1,365,000 | 1,242,150 | ||||||||||
ContourGlobal Power Holdings S.A. (France)4, 7.125%, 6/1/2019 | 1,145,000 | 1,142,137 | ||||||||||
NRG Energy, Inc., 6.25%, 7/15/2022 | 915,000 | 841,800 | ||||||||||
Talen Energy Supply LLC4, 4.625%, 7/15/2019 | 1,875,000 | 1,715,250 | ||||||||||
TerraForm Global Operating LLC4, 9.75%, 8/15/2022 | 1,275,000 | 1,141,125 | ||||||||||
TerraForm Power Operating LLC4, 6.125%, 6/15/2025 | 1,485,000 | 1,336,500 | ||||||||||
|
| |||||||||||
Total Utilities | 7,418,962 | |||||||||||
|
| |||||||||||
TOTAL CORPORATE BONDS | ||||||||||||
(Identified Cost $475,142,815) | 474,085,278 | |||||||||||
|
| |||||||||||
MUTUAL FUNDS - 0.3% | ||||||||||||
The Gabelli Dividend & Income Trust | 22,900 | 447,008 | ||||||||||
Schwab U.S. Dividend Equity ETF | 30,210 | 1,181,212 | ||||||||||
Tri-Continental Corp. | 50,220 | 1,037,545 | ||||||||||
Vanguard Dividend Appreciation ETF | 14,650 | 1,153,101 | ||||||||||
|
| |||||||||||
TOTAL MUTUAL FUNDS | ||||||||||||
(Identified Cost $3,668,896) | 3,818,866 | |||||||||||
|
| |||||||||||
U.S. TREASURY SECURITIES - 1.3% | ||||||||||||
U.S. Treasury Bonds - 0.9% | ||||||||||||
U.S. Treasury Inflation Indexed Bonds, 0.75%, 2/15/2042 | ||||||||||||
(Identified Cost $12,686,550) | 13,896,068 | 12,420,302 | ||||||||||
|
| |||||||||||
U.S. Treasury Notes - 0.4% | ||||||||||||
U.S. Treasury Note, 1.00%, 12/15/2017 | ||||||||||||
(Identified Cost $5,988,185) | 6,000,000 | 6,023,670 | ||||||||||
|
| |||||||||||
TOTAL U.S. TREASURY SECURITIES | ||||||||||||
(Identified Cost $18,674,735) | 18,443,972 | |||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES - 1.4% | ||||||||||||
Alterna Funding I LLC, Series 2014-1A, Class NOTE4, 1.639%, 2/15/2021 | 1,190,915 | 1,186,818 | ||||||||||
Cazenovia Creek Funding I LLC, Series 2015-1A, Class A4, 2.00%, 12/10/2023 | 1,969,468 | 1,972,816 | ||||||||||
Colony American Homes, Series 2015-1A, Class A3,4, 1.397%, 7/17/2032 | 2,233,933 | 2,179,828 | ||||||||||
Enterprise Fleet Financing LLC, Series 2014-2, Class A34, 1.64%, 3/20/2020 | 1,975,000 | 1,968,889 | ||||||||||
Enterprise Fleet Financing LLC, Series 2015-2, Class A24, 1.59%, 2/22/2021 | 2,350,000 | 2,342,185 | ||||||||||
FDIC Trust, Series 2011-R1, Class A4, 2.672%, 7/25/2026 | 638,068 | 651,772 | ||||||||||
FNA Trust, Series 2014-1A, Class A4, 1.296%, 12/10/2022 | 778,788 | 779,146 | ||||||||||
Hertz Vehicle Financing LLC, Series 2010-1A, Class A24, 3.74%, 2/25/2017 | 200,000 | 200,964 | ||||||||||
Invitation Homes Trust, Series 2015-SFR3, Class A3,4, 1.497%, 8/17/2032 | 2,484,843 | 2,434,995 |
The accompanying notes are an integral part of the financial statements.
18
Investment Portfolio - October 31, 2015
PRO-BLEND® CONSERVATIVE TERM SERIES | PRINCIPAL AMOUNT2 | VALUE (NOTE 2) | ||||||||||
ASSET-BACKED SECURITIES (continued) | ||||||||||||
NextGear Floorplan Master Owner Trust, Series 2014-1A, Class A4, 1.92%, 10/15/2019 | 1,750,000 | $ | 1,743,331 | |||||||||
SpringCastle America Funding LLC, Series 2014-AA, Class A4, 2.70%, 5/25/2023 | 1,775,934 | 1,779,840 | ||||||||||
Starwood Retail Property Trust, Series 2014-STAR, Class A3,4, 1.416%, 11/15/2027 | 2,615,000 | 2,595,115 | ||||||||||
|
| |||||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||||
(Identified Cost $19,960,651) | 19,835,699 | |||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES - 10.7% | ||||||||||||
Americold LLC Trust, Series 2010-ARTA, Class A14, 3.847%, 1/14/2029 | 293,070 | 305,149 | ||||||||||
Banc of America Commercial Mortgage Trust, Series 2006-2, Class A43, 5.997%, 5/10/2045 | 364,020 | 367,033 | ||||||||||
Banc of America Commercial Mortgage Trust, Series 2006-3, Class A43, 5.889%, 7/10/2044 | 2,633,838 | 2,667,719 | ||||||||||
Banc of America Commercial Mortgage Trust, Series 2006-4, Class A4, 5.634%, 7/10/2046 | 1,565,444 | 1,585,118 | ||||||||||
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-PW12, Class A43, 5.899%, 9/11/2038 | 444,912 | 449,708 | ||||||||||
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-PW13, Class A4, 5.54%, 9/11/2041 | 1,259,559 | 1,281,449 | ||||||||||
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-T24, Class AM3, 5.568%, 10/12/2041 | 1,920,000 | 1,987,485 | ||||||||||
BWAY Mortgage Trust, Series 2015-1740, Class A4, 2.917%, 1/13/2035 | 5,200,000 | 5,004,860 | ||||||||||
CFCRE Commercial Mortgage Trust, Series 2011-C1, Class A24, 3.759%, 4/15/2044 | 221,762 | 223,092 | ||||||||||
Citigroup Commercial Mortgage Trust, Series 2006-C4, Class A33, 5.987%, 3/15/2049 | 3,441,980 | 3,465,099 | ||||||||||
COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class A4, 5.223%, 8/15/2048 | 3,322,611 | 3,406,947 | ||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2006-GG7, Class A43, 6.021%, 7/10/2038 | 386,547 | 389,971 | ||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2010-C1, Class A14, 3.156%, 7/10/2046 | 4,418 | 4,415 | ||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2014-CR14, Class A3, 3.955%, 2/10/2047 | 2,000,000 | 2,124,452 | ||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2015-3BP, Class A4, 3.178%, 2/10/2035 | 5,200,000 | 5,189,924 | ||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2015-DC1, Class A5, 3.35%, 2/10/2048 | 5,000,000 | 5,061,823 | ||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2015-LC19, Class A4, 3.183%, 2/10/2048 | 6,050,000 | 6,074,111 | ||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2015-PC1, Class A5, 3.902%, 7/10/2050 | 2,400,000 | 2,527,779 | ||||||||||
Credit Suisse Commercial Mortgage Trust, Series 2006-C5, Class A3, 5.311%, 12/15/2039 | 4,448,235 | 4,531,146 | ||||||||||
Credit Suisse Mortgage Capital Trust, Series 2013-IVR3, Class A13,4, 2.50%, 5/25/2043 | 2,098,311 | 2,019,543 | ||||||||||
Credit Suisse Mortgage Capital Trust, Series 2013-TH1, Class A13,4, 2.13%, 2/25/2043 | 1,656,412 | 1,560,947 | ||||||||||
DB-UBS Mortgage Trust, Series 2011-LC1A, Class A14, 3.742%, 11/10/2046 | 237,399 | 238,591 | ||||||||||
Extended Stay America Trust, Series 2013-ESH7, Class A274, 2.958%, 12/5/2031 | 2,015,000 | 2,017,102 | ||||||||||
Fannie Mae Multifamily REMIC Trust, Series 2012-M13, Class ASQ2, 1.246%, 8/25/2017 | 1,178,825 | 1,183,232 | ||||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K009, Class X1 (IO)3, 1.612%, 8/25/2020 | 24,485,459 | 1,283,351 | ||||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K014, Class X1 (IO)3, 1.404%, 4/25/2021 | 2,919,528 | 165,813 | ||||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K016, Class X1 (IO)3, 1.71%, 10/25/2021 | 7,041,769 | 535,329 | ||||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K017, Class X1 (IO)3, 1.567%, 12/25/2021 | 8,975,621 | 621,459 |
The accompanying notes are an integral part of the financial statements.
19
Investment Portfolio - October 31, 2015
PRO-BLEND® CONSERVATIVE TERM SERIES | PRINCIPAL AMOUNT2 | VALUE (NOTE 2) | ||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K021, Class X1 (IO)3, 1.627%, 6/25/2022 | 16,004,945 | $ | 1,283,606 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K030, Class X1 (IO)3, 0.334%, 4/25/2023 | 80,274,952 | 1,126,145 | ||||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K032, Class X1 (IO)3, 0.234%, 5/25/2023 | 50,112,119 | 410,188 | ||||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K706, Class X1 (IO)3, 1.708%, 10/25/2018 | 10,733,628 | 435,885 | ||||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K-P01, Class A2, 1.72%, 1/25/2019 | 1,770,000 | 1,782,792 | ||||||||||
FREMF Mortgage Trust, Series 2011-K701, Class B3,4, 4.436%, 7/25/2048 | 875,000 | 914,094 | ||||||||||
FREMF Mortgage Trust, Series 2011-K702, Class B3,4, 4.931%, 4/25/2044 | 1,250,000 | 1,325,469 | ||||||||||
FREMF Mortgage Trust, Series 2013-K28, Class X2A (IO)4, 0.10%, 6/25/2046 | 215,368,958 | 1,245,823 | ||||||||||
FREMF Mortgage Trust, Series 2013-K502, Class B3,4, 2.828%, 3/25/2045 | 1,725,000 | 1,744,667 | ||||||||||
FREMF Mortgage Trust, Series 2013-K712, Class B3,4, 3.487%, 5/25/2045 | 1,160,000 | 1,187,600 | ||||||||||
FREMF Mortgage Trust, Series 2014-K41, Class B3,4, 3.96%, 11/25/2047 | 2,500,000 | 2,294,893 | ||||||||||
FREMF Mortgage Trust, Series 2014-K716, Class B3,4, 4.085%, 8/25/2047 | 3,075,000 | 3,187,096 | ||||||||||
FREMF Mortgage Trust, Series 2015-K42, Class B3,4, 3.985%, 12/25/2024 | 2,040,000 | 1,971,387 | ||||||||||
FREMF Mortgage Trust, Series 2015-K43, Class B3,4, 3.863%, 2/25/2048 | 500,000 | 491,415 | ||||||||||
FREMF Mortgage Trust, Series 2015-K720, Class B3,4, 3.389%, 7/25/2022 | 1,190,000 | 1,062,194 | ||||||||||
GAHR Commercial Mortgage Trust, Series 2015-NRF, Class BFX3,4, 3.495%, 12/15/2019 | 2,800,000 | 2,826,160 | ||||||||||
GAHR Commercial Mortgage Trust, Series 2015-NRF, Class DFX3,4, 3.495%, 12/15/2019 | 1,290,000 | 1,252,725 | ||||||||||
GS Mortgage Securities Trust, Series 2010-C2, Class A14, 3.849%, 12/10/2043 | 190,821 | 197,511 | ||||||||||
GS Mortgage Securities Trust, Series 2013-GC14, Class A5, 4.243%, 8/10/2046 | 1,800,000 | 1,961,646 | ||||||||||
GS Mortgage Securities Trust, Series 2013-GC16, Class A4, 4.271%, 11/10/2046 | 2,000,000 | 2,177,423 | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2005-CB13, Class AM3, 5.527%, 1/12/2043 | 436,942 | 436,615 | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-CB16, Class A4, 5.552%, 5/12/2045 | 223,781 | 227,951 | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP7, Class A43, 6.105%, 4/15/2045 | 756,239 | 765,234 | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9, Class A3, 5.336%, 5/15/2047 | 5,717,603 | 5,884,398 | ||||||||||
JP Morgan Mortgage Trust, Series 2013-1, Class 1A23,4, 3.00%, 3/25/2043 | 1,342,005 | 1,326,315 | ||||||||||
JP Morgan Mortgage Trust, Series 2013-2, Class A23,4, 3.50%, 5/25/2043 | 1,604,642 | 1,629,339 | ||||||||||
JP Morgan Mortgage Trust, Series 2014-2, Class 1A13,4, 3.00%, 6/25/2029 | 1,924,846 | 1,963,718 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C27, Class A4, 3.179%, 2/15/2048 | 4,200,000 | 4,185,898 | ||||||||||
LB-UBS Commercial Mortgage Trust, Series 2006-C7, Class A3, 5.347%, 11/15/2038 | 3,000,000 | 3,076,858 | ||||||||||
LSTAR Commercial Mortgage Trust, Series 2014-2, Class A24, 2.767%, 1/20/2041 | 355,486 | 361,340 | ||||||||||
Merrill Lynch Mortgage Trust, Series 2006-C1, Class A43, 5.862%, 5/12/2039 | 1,300,000 | 1,309,634 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class A43, 4.361%, 8/15/2046 | 900,000 | 979,000 |
The accompanying notes are an integral part of the financial statements.
20
Investment Portfolio - October 31, 2015
PRO-BLEND® CONSERVATIVE TERM SERIES | PRINCIPAL AMOUNT2 | VALUE (NOTE 2) | ||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class A43, 4.259%, 10/15/2046 | 300,000 | $ | 326,754 | |||||||||||
Morgan Stanley Capital I Trust, Series 2006-HQ10, Class A4, 5.328%, 11/12/2041 | 1,362,675 | 1,389,624 | ||||||||||||
Morgan Stanley Capital I Trust, Series 2011-C1, Class A24, 3.884%, 9/15/2047 | 111,405 | 111,685 | ||||||||||||
Motel 6 Trust, Series 2015-MTL6, Class B4, 3.298%, 2/5/2030 | 2,550,000 | 2,539,166 | ||||||||||||
New Residential Mortgage Loan Trust, Series 2014-3A, Class AFX33,4, 3.75%, 11/25/2054 | 2,284,739 | 2,342,633 | ||||||||||||
SBA Small Business Investment Companies, Series 2015-10B, Class 1, 2.829%, 9/10/2025 | 5,700,000 | 5,791,343 | ||||||||||||
SCG Trust, Series 2013-SRP1, Class AJ3,4, 2.146%, 11/15/2026 | 4,050,000 | 4,019,672 | ||||||||||||
Sequoia Mortgage Trust, Series 2013-2, Class A13, 1.874%, 2/25/2043 | 1,368,939 | 1,264,932 | ||||||||||||
Sequoia Mortgage Trust, Series 2013-7, Class A23, 3.00%, 6/25/2043 | 1,282,354 | 1,266,576 | ||||||||||||
Sequoia Mortgage Trust, Series 2013-8, Class A13, 3.00%, 6/25/2043 | 1,748,328 | 1,710,971 | ||||||||||||
U.S. Small Business Administration, Series 2015-10A, Class 1, 2.517%, 3/10/2025 | 1,259,541 | 1,276,717 | ||||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A5, 2.85%, 12/10/2045 | 3,360,660 | 3,344,193 | ||||||||||||
Vornado DP LLC Trust, Series 2010-VNO, Class A2FX4, 4.004%, 9/13/2028 | 155,000 | 166,320 | ||||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2005-C22, Class AM3, 5.546%, 12/15/2044 | 480,279 | 479,722 | ||||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C26, Class A33, 6.011%, 6/15/2045 | 955,000 | 964,650 | ||||||||||||
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A24, 4.393%, 11/15/2043 | 265,000 | 287,379 | ||||||||||||
Wells Fargo Commercial Mortgage Trust, Series 2015-C26, Class A4, 3.166%, 2/15/2048 | 5,400,000 | 5,371,594 | ||||||||||||
Wells Fargo Commercial Mortgage Trust, Series 2015-C30 - Class A4, 3.664%, 9/15/2058 | 450,000 | 465,063 | ||||||||||||
WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class A24, 3.791%, 2/15/2044 | 1,041,098 | 1,042,254 | ||||||||||||
WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class A43,4, 4.869%, 2/15/2044 | 1,225,000 | 1,360,702 | ||||||||||||
WF-RBS Commercial Mortgage Trust, Series 2013-C11, Class A2, 2.029%, 3/15/2045 | 1,815,000 | 1,828,355 | ||||||||||||
WF-RBS Commercial Mortgage Trust, Series 2014-C19, Class A5, 4.101%, 3/15/2047 | 960,000 | 1,033,059 | ||||||||||||
WF-RBS Commercial Mortgage Trust, Series 2014-C20, Class A5, 3.995%, 5/15/2047 | 1,440,000 | 1,532,013 | ||||||||||||
WinWater Mortgage Loan Trust, Series 2015-1, Class A13,4, 3.50%, 1/20/2045 | 2,416,303 | 2,434,181 | ||||||||||||
WinWater Mortgage Loan Trust, Series 2015-3, Class A53,4, 3.50%, 3/20/2045 | 2,999,110 | 3,066,683 | ||||||||||||
|
| |||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | ||||||||||||||
(Identified Cost $155,589,519) | 152,713,907 | |||||||||||||
|
| |||||||||||||
FOREIGN GOVERNMENT BONDS - 2.1% | ||||||||||||||
Bonos de la Tesoreria de la Republica en pesos (Chile), 6.00%, 1/1/2018 | CLP | 330,000,000 | 507,729 | |||||||||||
Brazil Notas do Tesouro Nacional (Brazil), 10.00%, 1/1/2025 | BRL | 2,150,000 | 427,479 | |||||||||||
Brazilian Government International Bond (Brazil), 8.875%, 10/14/2019 | 600,000 | 709,500 | ||||||||||||
Brazilian Government International Bond (Brazil), 4.25%, 1/7/2025 | 200,000 | 177,250 | ||||||||||||
Canada Housing Trust No. 1 (Canada)4, 4.10%, 12/15/2018 | CAD | 295,000 | 247,357 | |||||||||||
Canadian Government Bond (Canada), 1.50%, 9/1/2017 | CAD | 1,250,000 | 971,943 | |||||||||||
Canadian Government Bond (Canada), 2.75%, 6/1/2022 | CAD | 360,000 | 302,680 | |||||||||||
Export-Import Bank of Korea (South Korea), 2.625%, 12/30/2020 | 9,225,000 | 9,333,274 | ||||||||||||
Ireland Government Bond (Ireland), 5.00%, 10/18/2020 | EUR | 230,000 | 311,369 | |||||||||||
Ireland Government Bond (Ireland), 0.80%, 3/15/2022 | EUR | 200,000 | 223,682 | |||||||||||
Italy Buoni Poliennali Del Tesoro (Italy), 5.50%, 9/1/2022 | EUR | 480,000 | 682,540 | |||||||||||
Italy Buoni Poliennali Del Tesoro (Italy), 5.50%, 11/1/2022 | EUR | 565,000 | 804,563 |
The accompanying notes are an integral part of the financial statements.
21
Investment Portfolio - October 31, 2015
PRO-BLEND® CONSERVATIVE TERM SERIES | PRINCIPAL AMOUNT2 | VALUE (NOTE 2) | ||||||||||||
FOREIGN GOVERNMENT BONDS (continued) | ||||||||||||||
Italy Buoni Poliennali Del Tesoro (Italy), 1.50%, 6/1/2025 | EUR | 200,000 | $ | 220,285 | ||||||||||
Japan Government Five Year Bond (Japan), 0.30%, 12/20/2016 | JPY | 77,000,000 | 640,216 | |||||||||||
Korea Treasury Bond (South Korea), 2.75%, 6/10/2016 | KRW | 370,000,000 | 326,901 | |||||||||||
Korea Treasury Bond (South Korea), 2.00%, 12/10/2017 | KRW | 380,000,000 | 335,778 | |||||||||||
Malaysia Government Bond (Malaysia), 3.172%, 7/15/2016 | MYR | 3,570,000 | 833,524 | |||||||||||
Malaysia Government Bond (Malaysia), 4.262%, 9/15/2016 | MYR | 1,775,000 | 418,112 | |||||||||||
Mexican Government Bond (Mexico), 8.00%, 12/17/2015 | MXN | 12,329,000 | 750,205 | |||||||||||
Mexican Government Bond (Mexico), 7.25%, 12/15/2016 | MXN | 4,560,000 | 287,152 | |||||||||||
Mexican Government Bond (Mexico), 5.00%, 6/15/2017 | MXN | 8,250,000 | 507,834 | |||||||||||
Mexican Government Bond (Mexico), 8.00%, 6/11/2020 | MXN | 8,000,000 | 540,756 | |||||||||||
Mexican Government Bond (Mexico), 6.50%, 6/10/2021 | MXN | 3,000,000 | 191,322 | |||||||||||
Mexican Government Bond (Mexico), 6.50%, 6/9/2022 | MXN | 5,500,000 | 348,344 | |||||||||||
Mexican Government Bond (Mexico), 7.75%, 5/29/2031 | MXN | 1,000,000 | 68,067 | |||||||||||
Norway Government Bond (Norway)4, 4.25%, 5/19/2017 | NOK | 1,280,000 | 158,916 | |||||||||||
Province of New Brunswick Canada (Canada), 5.20%, 2/21/2017 | 3,500,000 | 3,696,847 | ||||||||||||
Province of Nova Scotia Canada (Canada), 5.125%, 1/26/2017 | 1,250,000 | 1,314,625 | ||||||||||||
Singapore Government Bond (Singapore), 2.50%, 6/1/2019 | SGD | 650,000 | 478,835 | |||||||||||
Spain Government Bond (Spain), 4.50%, 1/31/2018 | EUR | 250,000 | 301,717 | |||||||||||
Spain Government Bond (Spain)4, 4.00%, 4/30/2020 | EUR | 390,000 | 493,236 | |||||||||||
Spain Government Bond (Spain)4, 5.40%, 1/31/2023 | EUR | 575,000 | 813,453 | |||||||||||
Spain Government Bond (Spain)4, 1.60%, 4/30/2025 | EUR | 200,000 | 219,863 | |||||||||||
United Kingdom Gilt (United Kingdom), 2.00%, 1/22/2016 | GBP | 650,000 | 1,005,241 | |||||||||||
United Kingdom Gilt (United Kingdom), 1.00%, 9/7/2017 | GBP | 290,000 | 450,146 | |||||||||||
United Kingdom Gilt (United Kingdom), 5.00%, 3/7/2018 | GBP | 365,000 | 620,187 | |||||||||||
|
| |||||||||||||
TOTAL FOREIGN GOVERNMENT BONDS | ||||||||||||||
(Identified Cost $31,681,042) | 29,720,928 | |||||||||||||
|
| |||||||||||||
U.S. GOVERNMENT AGENCIES - 10.2% | ||||||||||||||
Mortgage-Backed Securities - 7.2% | ||||||||||||||
Fannie Mae, Pool #888468, 5.50%, 9/1/2021 | 674,474 | 728,719 | ||||||||||||
Fannie Mae, Pool #995233, 5.50%, 10/1/2021 | 60,349 | 64,681 | ||||||||||||
Fannie Mae, Pool #888017, 6.00%, 11/1/2021 | 83,409 | 91,072 | ||||||||||||
Fannie Mae, Pool #995329, 5.50%, 12/1/2021 | 455,949 | 491,694 | ||||||||||||
Fannie Mae, Pool #888136, 6.00%, 12/1/2021 | 103,520 | 113,207 | ||||||||||||
Fannie Mae, Pool #888815, 4.50%, 11/1/2022 | 73,255 | 77,096 | ||||||||||||
Fannie Mae, Pool #888810, 5.50%, 11/1/2022 | 806,480 | 870,503 | ||||||||||||
Fannie Mae, Pool #AA1563, 4.50%, 2/1/2024 | 58,520 | 61,488 | ||||||||||||
Fannie Mae, Pool #AC1557, 4.50%, 9/1/2024 | 150,529 | 160,791 | ||||||||||||
Fannie Mae, Pool #AD0462, 5.50%, 10/1/2024 | 63,598 | 69,584 | ||||||||||||
Fannie Mae, Pool #MA1834, 4.50%, 2/1/2034 | 1,357,945 | 1,479,095 | ||||||||||||
Fannie Mae, Pool #MA1890, 4.00%, 5/1/2034 | 1,722,281 | 1,852,782 | ||||||||||||
Fannie Mae, Pool #MA1903, 4.50%, 5/1/2034 | 1,368,186 | 1,490,112 | ||||||||||||
Fannie Mae, Pool #AS3677, 4.00%, 10/1/2034 | 2,427,304 | 2,607,278 | ||||||||||||
Fannie Mae, Pool #MA2177, 4.00%, 2/1/2035 | 3,727,841 | 4,005,757 | ||||||||||||
Fannie Mae, Pool #745147, 4.50%, 12/1/2035 | 61,293 | 66,642 | ||||||||||||
Fannie Mae, Pool #745418, 5.50%, 4/1/2036 | 985,006 | 1,107,444 | ||||||||||||
Fannie Mae, Pool #886904, 6.50%, 9/1/2036 | 93,875 | 107,297 | ||||||||||||
Fannie Mae, Pool #888021, 6.00%, 12/1/2036 | 295,454 | 335,175 | ||||||||||||
Fannie Mae, Pool #909786, 5.50%, 3/1/2037 | 339,164 | 379,565 | ||||||||||||
Fannie Mae, Pool #256673, 5.50%, 4/1/2037 | 1,817,503 | 2,037,093 | ||||||||||||
Fannie Mae, Pool #918516, 5.50%, 6/1/2037 | 147,850 | 165,809 | ||||||||||||
Fannie Mae, Pool #995050, 6.00%, 9/1/2037 | 410,650 | 465,827 | ||||||||||||
Fannie Mae, Pool #AB8161, 6.00%, 12/1/2037 | 1,447,680 | 1,641,007 | ||||||||||||
Fannie Mae, Pool #933521, 5.00%, 1/1/2038 | 28,630 | 31,516 |
The accompanying notes are an integral part of the financial statements.
22
Investment Portfolio - October 31, 2015
PRO-BLEND® CONSERVATIVE TERM SERIES | PRINCIPAL AMOUNT2 | VALUE (NOTE 2) | ||||||||||
U.S. GOVERNMENT AGENCIES (continued) | ||||||||||||
Mortgage-Backed Securities (continued) | ||||||||||||
Fannie Mae, Pool #972107, 5.00%, 2/1/2038 | 69,230 | $ | 76,483 | |||||||||
Fannie Mae, Pool #889260, 5.00%, 4/1/2038 | 44,114 | 48,562 | ||||||||||
Fannie Mae, Pool #933731, 5.50%, 4/1/2038 | 838,016 | 939,133 | ||||||||||
Fannie Mae, Pool #889576, 6.00%, 4/1/2038 | 873,324 | 991,010 | ||||||||||
Fannie Mae, Pool #912948, 5.00%, 5/1/2038 | 71,025 | 78,185 | ||||||||||
Fannie Mae, Pool #975840, 5.00%, 5/1/2038 | 102,219 | 113,247 | ||||||||||
Fannie Mae, Pool #889624, 5.50%, 5/1/2038 | 956,381 | 1,070,687 | ||||||||||
Fannie Mae, Pool #889579, 6.00%, 5/1/2038 | 812,587 | 921,423 | ||||||||||
Fannie Mae, Pool #995196, 6.00%, 7/1/2038 | 1,364,815 | 1,548,213 | ||||||||||
Fannie Mae, Pool #AD0119, 6.00%, 7/1/2038 | 592,789 | 671,223 | ||||||||||
Fannie Mae, Pool #986458, 6.00%, 8/1/2038 | 16,694 | 18,903 | ||||||||||
Fannie Mae, Pool #987831, 6.00%, 9/1/2038 | 70,274 | 79,572 | ||||||||||
Fannie Mae, Pool #990897, 6.00%, 9/1/2038 | 137,368 | 155,625 | ||||||||||
Fannie Mae, Pool #AD0220, 6.00%, 10/1/2038 | 157,783 | 179,013 | ||||||||||
Fannie Mae, Pool #993920, 6.00%, 11/1/2038 | 124,264 | 140,706 | ||||||||||
Fannie Mae, Pool #257497, 6.00%, 12/1/2038 | 45,511 | 51,532 | ||||||||||
Fannie Mae, Pool #AA0675, 6.00%, 12/1/2038 | 24,295 | 27,510 | ||||||||||
Fannie Mae, Pool #971022, 5.00%, 1/1/2039 | 82,929 | 91,308 | ||||||||||
Fannie Mae, Pool #AA1810, 5.00%, 1/1/2039 | 115,106 | 126,710 | ||||||||||
Fannie Mae, Pool #890294, 5.50%, 1/1/2039 | 1,797,891 | 2,014,846 | ||||||||||
Fannie Mae, Pool #AD0307, 5.50%, 1/1/2039 | 960,225 | 1,075,613 | ||||||||||
Fannie Mae, Pool #983686, 5.00%, 2/1/2039 | 156,314 | 172,072 | ||||||||||
Fannie Mae, Pool #AD0527, 5.50%, 6/1/2039 | 358,158 | 401,399 | ||||||||||
Fannie Mae, Pool #AE0604, 6.00%, 7/1/2039 | 1,220,391 | 1,386,666 | ||||||||||
Fannie Mae, Pool #AA6788, 6.00%, 8/1/2039 | 270,581 | 309,522 | ||||||||||
Fannie Mae, Pool #AC0463, 5.00%, 11/1/2039 | 134,583 | 148,517 | ||||||||||
Fannie Mae, Pool #AC5111, 5.00%, 11/1/2039 | 254,467 | 280,544 | ||||||||||
Fannie Mae, Pool #MA0258, 4.50%, 12/1/2039 | 2,086,589 | 2,266,535 | ||||||||||
Fannie Mae, Pool #MA0259, 5.00%, 12/1/2039 | 113,016 | 124,586 | ||||||||||
Fannie Mae, Pool #AC8573, 5.00%, 1/1/2040 | 187,878 | 207,243 | ||||||||||
Fannie Mae, Pool #890326, 5.50%, 1/1/2040 | 1,978,734 | 2,215,807 | ||||||||||
Fannie Mae, Pool #AL1595, 6.00%, 1/1/2040 | 1,431,161 | 1,621,313 | ||||||||||
Fannie Mae, Pool #AE0061, 6.00%, 2/1/2040 | 496,020 | 562,297 | ||||||||||
Fannie Mae, Pool #AL0152, 6.00%, 6/1/2040 | 1,888,117 | 2,141,400 | ||||||||||
Fannie Mae, Pool #AL2581, 6.00%, 6/1/2040 | 1,191,723 | 1,351,689 | ||||||||||
Fannie Mae, Pool #890519, 6.00%, 10/1/2040 | 2,820,620 | 3,197,254 | ||||||||||
Fannie Mae, Pool #AE0951, 4.50%, 2/1/2041 | 1,285,629 | 1,397,051 | ||||||||||
Fannie Mae, Pool #AH9054, 4.50%, 4/1/2041 | 563,794 | 612,658 | ||||||||||
Fannie Mae, Pool #AI2468, 4.50%, 5/1/2041 | 424,492 | 461,295 | ||||||||||
Fannie Mae, Pool #AL0160, 4.50%, 5/1/2041 | 1,317,599 | 1,431,683 | ||||||||||
Fannie Mae, Pool #AJ1415, 4.50%, 9/1/2041 | 323,916 | 352,046 | ||||||||||
Fannie Mae, Pool #AB4300, 3.50%, 1/1/2042 | 414,767 | 432,642 | ||||||||||
Fannie Mae, Pool #AK4940, 3.50%, 3/1/2042 | 2,078,544 | 2,168,321 | ||||||||||
Fannie Mae, Pool #AX5234, 4.50%, 11/1/2044 | 4,925,967 | 5,350,439 | ||||||||||
Freddie Mac, Pool #G11850, 5.50%, 7/1/2020 | 239,660 | 254,548 | ||||||||||
Freddie Mac, Pool #G12610, 6.00%, 3/1/2022 | 101,366 | 110,668 | ||||||||||
Freddie Mac, Pool #G12655, 6.00%, 5/1/2022 | 73,540 | 80,316 | ||||||||||
Freddie Mac, Pool #G13078, 6.00%, 3/1/2023 | 100,995 | 110,666 | ||||||||||
Freddie Mac, Pool #C91746, 4.50%, 12/1/2033 | 252,476 | 275,055 | ||||||||||
Freddie Mac, Pool #C91754, 4.50%, 3/1/2034 | 1,726,206 | 1,880,817 |
The accompanying notes are an integral part of the financial statements.
23
Investment Portfolio - October 31, 2015
PRO-BLEND® CONSERVATIVE TERM SERIES | PRINCIPAL SHARES | VALUE (NOTE 2) | ||||||||||
U.S. GOVERNMENT AGENCIES (continued) | ||||||||||||
Mortgage-Backed Securities (continued) | ||||||||||||
Freddie Mac, Pool #C91762, 4.50%, 5/1/2034 | 2,231,100 | $ | 2,430,941 | |||||||||
Freddie Mac, Pool #K92054, 4.00%, 10/1/2034 | 1,475,375 | 1,584,054 | ||||||||||
Freddie Mac, Pool #C91850, 4.00%, 9/1/2035 | 994,580 | 1,066,019 | ||||||||||
Freddie Mac, Pool #C91854, 4.00%, 10/1/2035 | 3,100,000 | 3,322,677 | ||||||||||
Freddie Mac, Pool #G07655, 5.50%, 12/1/2035 | 255,126 | 284,105 | ||||||||||
Freddie Mac, Pool #G08216, 5.50%, 8/1/2037 | 595,317 | 662,841 | ||||||||||
Freddie Mac, Pool #G03332, 6.00%, 10/1/2037 | 67,405 | 76,437 | ||||||||||
Freddie Mac, Pool #G03696, 5.50%, 1/1/2038 | 241,803 | 269,361 | ||||||||||
Freddie Mac, Pool #G03926, 6.00%, 2/1/2038 | 879,953 | 995,761 | ||||||||||
Freddie Mac, Pool #G04264, 5.50%, 4/1/2038 | 1,025,492 | 1,141,638 | ||||||||||
Freddie Mac, Pool #G04731, 5.50%, 4/1/2038 | 574,051 | 640,223 | ||||||||||
Freddie Mac, Pool #G04176, 5.50%, 5/1/2038 | 255,128 | 284,341 | ||||||||||
Freddie Mac, Pool #A78227, 5.50%, 6/1/2038 | 307,794 | 342,451 | ||||||||||
Freddie Mac, Pool #G08273, 5.50%, 6/1/2038 | 700,574 | 780,759 | ||||||||||
Freddie Mac, Pool #G04471, 5.50%, 7/1/2038 | 87,837 | 97,502 | ||||||||||
Freddie Mac, Pool #G04776, 5.50%, 7/1/2038 | 615,126 | 686,014 | ||||||||||
Freddie Mac, Pool #G05956, 5.50%, 7/1/2038 | 842,736 | 939,029 | ||||||||||
Freddie Mac, Pool #G05671, 5.50%, 8/1/2038 | 430,679 | 480,311 | ||||||||||
Freddie Mac, Pool #G05196, 5.50%, 10/1/2038 | 857,530 | 956,265 | ||||||||||
Freddie Mac, Pool #G05409, 5.50%, 3/1/2039 | 773,873 | 863,137 | ||||||||||
Freddie Mac, Pool #A86522, 4.50%, 5/1/2039 | 1,782,034 | 1,930,797 | ||||||||||
Freddie Mac, Pool #G06021, 5.50%, 1/1/2040 | 543,155 | 605,854 | ||||||||||
Freddie Mac, Pool #G05923, 5.50%, 2/1/2040 | 462,141 | 514,729 | ||||||||||
Freddie Mac, Pool #G05900, 6.00%, 3/1/2040 | 211,610 | 240,018 | ||||||||||
Freddie Mac, Pool #G05906, 6.00%, 4/1/2040 | 124,892 | 141,732 | ||||||||||
Freddie Mac, Pool #G07104, 5.50%, 5/1/2040 | 476,510 | 530,549 | ||||||||||
Freddie Mac, Pool #G06789, 6.00%, 5/1/2040 | 588,085 | 665,728 | ||||||||||
Freddie Mac, Pool #G07589, 5.50%, 6/1/2041 | 2,112,086 | 2,354,834 | ||||||||||
Freddie Mac, Pool #Q17513, 3.50%, 4/1/2043 | 2,805,911 | 2,925,276 | ||||||||||
Freddie Mac, Pool #Q17719, 3.50%, 4/1/2043 | 1,380,698 | 1,437,482 | ||||||||||
Freddie Mac, Pool #C09068, 3.50%, 11/1/2044 | 2,725,849 | 2,832,556 | ||||||||||
Freddie Mac, Pool #G08669, 4.00%, 9/1/2045 | 2,617,624 | 2,786,502 | ||||||||||
Freddie Mac, Pool #G08672, 4.00%, 10/1/2045 | 5,765,000 | 6,136,930 | ||||||||||
Ginnie Mae, Pool #671161, 5.50%, 11/15/2037 | 101,709 | 113,807 | ||||||||||
|
| |||||||||||
Total Mortgage-Backed Securities | ||||||||||||
(Identified Cost $100,978,289) | 103,346,447 | |||||||||||
|
| |||||||||||
Other Agencies - 3.0% | ||||||||||||
Fannie Mae, 0.375%, 12/21/2015 | 14,000,000 | 14,003,346 | ||||||||||
Freddie Mac, 0.50%, 5/13/2016 | 7,000,000 | 7,006,972 | ||||||||||
Freddie Mac, 2.00%, 8/25/2016 | 21,500,000 | 21,770,642 | ||||||||||
|
| |||||||||||
Total Other Agencies | ||||||||||||
(Identified Cost $42,678,161) | 42,780,960 | |||||||||||
|
| |||||||||||
TOTAL U.S. GOVERNMENT AGENCIES | ||||||||||||
(Identified Cost $143,656,450) | 146,127,407 | |||||||||||
|
| |||||||||||
U.S. GOVERNMENT SECURITIES - 3.8% | ||||||||||||
U.S. Treasury Bills - 3.8% | ||||||||||||
U.S. Treasury Bill12,13, 0.281%, 6/23/2016 | ||||||||||||
(Identified Cost $54,900,370) | 55,000,000 | 54,899,460 | ||||||||||
|
| |||||||||||
SHORT-TERM INVESTMENT - 2.6% | ||||||||||||
Dreyfus Cash Management, Inc. - Institutional Shares14, 0.06%, | ||||||||||||
(Identified Cost $37,119,476) | 37,119,476 | 37,119,476 | ||||||||||
|
| |||||||||||
TOTAL INVESTMENTS - 98.8% | ||||||||||||
(Identified Cost $1,388,151,145) | 1,413,453,808 | |||||||||||
OTHER ASSETS, LESS LIABILITIES - 1.2% | 17,215,045 | |||||||||||
|
| |||||||||||
NET ASSETS - 100% | $ | 1,430,668,853 | ||||||||||
|
|
The accompanying notes are an integral part of the financial statements.
24
Investment Portfolio - October 31, 2015
FUTURES CONTRACTS: LONG POSITIONS OPEN AT OCTOBER 31, 2015: | ||||||||||||||
CONTRACTS PURCHASED | ISSUE | EXCHANGE | EXPIRATION | NOTIONAL VALUE2 | UNREALIZED DEPRECIATION | |||||||||
4,479 | U.S. Treasury Notes (2 Year) | CBOT | December 2015 | 979,361,344 | $(388,429) | |||||||||
2,427 | Euro Dollar Futures | CME | June 2016 | 602,593,762 | (62,456 | ) | ||||||||
|
| |||||||||||||
Total | (450,885 | ) | ||||||||||||
|
|
FUTURES CONTRACTS: SHORT POSITIONS OPEN AT OCTOBER 31, 2015: | ||||||||||||||
CONTRACTS SOLD | ISSUE | EXCHANGE | EXPIRATION | NOTIONAL VALUE2 | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
500 | U.S. Treasury Bonds (30 Year) | CBOT | December 2015 | 78,218,750 | $ (767,602) | |||||||||
652 | U.S. Treasury Notes (10 Year) | CBOT | December 2015 | 83,252,250 | 282,850 | |||||||||
1,073 | U.S. Treasury Notes (5 Year) | CBOT | December 2015 | 128,516,899 | 185,944 | |||||||||
178 | U.S. Ultra Treasury Bonds | CBOT | December 2015 | 28,435,500 | (81,881 | ) | ||||||||
347 | Euro Dollar Futures | CME | September 2018 | 85,132,112 | (35,345 | ) | ||||||||
609 | Euro Dollar Futures | CME | December 2018 | 149,258,288 | (141,045 | ) | ||||||||
609 | Euro Dollar Futures | CME | March 2019 | 149,136,488 | (138,695 | ) | ||||||||
610 | Euro Dollar Futures | CME | June 2019 | 149,259,375 | (294,835 | ) | ||||||||
262 | Euro Dollar Futures | CME | September 2019 | 64,055,725 | 24,875 | |||||||||
|
| |||||||||||||
Total | (965,734 | ) | ||||||||||||
|
|
ADR - American Depositary Receipt
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CBOT - Chicago Board of Trade
CLP - Chilean Peso
CME - Chicago Mercantile Exchange
ETF - Exchange-traded fund
EUR - Euro
GBP - British Pound
IO - Interest only
JPY - Japanese Yen
KRW - South Korean Won
MXN - Mexican Peso
MYR - Malaysian Ringgit
NOK - Norwegian Krone
SGD - Singapore Dollar
##Less than 0.1%.
*Non-income producing security.
1A factor from a third party vendor was applied to determine the security’s fair value following the close of local trading.
2Amount is stated in USD unless otherwise noted.
3The coupon rate is floating and is the effective rate as of October 31, 2015.
4Restricted securities - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. These securities have been sold under Rule 144A and have been determined to be liquid. These securities amount to $210,945,386 or 14.7%, of the Series’ net assets as of October 31, 2015 (see Note 2 to the financial statements).
5Security is perpetual in nature and has no stated maturity date.
6The rate shown is a fixed rate as of October 31, 2015; the rate becomes floating, based on U.S. Treasury Yield Curve Rate Treasury Note Constant Maturity 5 Year in June 2017.
7The rate shown is a fixed rate as of October 31, 2015; the rate becomes floating, based on U.S. Treasury Note (5 Year) in July 2016.
8The rate shown is a fixed rate as of October 31, 2015; the rate becomes floating, based on LIBOR plus a spread, in December 2024.
9The rate shown is a fixed rate as of October 31, 2015; the rate becomes floating, based on LIBOR plus a spread, in June 2022.
The accompanying notes are an integral part of the financial statements.
25
Investment Portfolio - October 31, 2015
10The rate shown is a fixed rate as of October 31, 2015; the rate becomes floating, based on LIBOR plus a spread, in September 2022.
11Represents a Payment-In-Kind bond.
12All or a portion of security has been pledged in connection with outstanding futures contracts.
13Represents the annualized yield at time of purchase.
14Rate shown is the current yield as of October 31, 2015.
The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of MSCI Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P), and is licensed for use by Manning & Napier when referencing GICS sectors. Neither MSCI, S&P, nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification, nor shall any such party have any liability therefrom.
The accompanying notes are an integral part of the financial statements.
26
Statement of Assets and Liabilities - Pro-Blend® Conservative Term Series
October 31, 2015
ASSETS: | ||||
Investments, at value (identified cost $1,388,151,145) (Note 2) | $ | 1,413,453,808 | ||
Deposits at broker for futures contracts | 12,541,389 | |||
Interest receivable | 7,294,808 | |||
Receivable for fund shares sold | 3,110,666 | |||
Receivable for securities sold | 2,795,873 | |||
Dividends receivable | 345,933 | |||
Foreign tax reclaims receivable | 178,576 | |||
Prepaid and other expenses | 162 | |||
|
| |||
TOTAL ASSETS | 1,439,721,215 | |||
|
| |||
LIABILITIES: | ||||
Accrued management fees (Note 3) | 732,926 | |||
Accrued shareholder services fees (Class S) (Note 3) | 155,700 | |||
Accrued distribution and service (Rule 12b-1) fees (Class C) (Class R) (Note 3) | 140,800 | |||
Accrued fund accounting and administration fees (Note 3) | 71,057 | |||
Accrued transfer agent fees (Note 3) | 62,175 | |||
Accrued Directors’ fees (Note 3) | 459 | |||
Accrued Chief Compliance Officer service fees (Note 3) | 421 | |||
Accrued foreign capital gains tax (Note 2) | 617 | |||
Payable for fund shares repurchased | 4,492,409 | |||
Payable for securities purchased | 2,203,594 | |||
Variation margin payable on futures contracts | 881,264 | |||
Other payables and accrued expenses | 310,940 | |||
|
| |||
TOTAL LIABILITIES | 9,052,362 | |||
|
| |||
TOTAL NET ASSETS | $ | 1,430,668,853 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Capital stock | $ | 1,208,975 | ||
Additional paid-in-capital | 1,401,954,894 | |||
Undistributed net investment income | 11,381,761 | |||
Accumulated net realized loss on investments, foreign currency and translation of other assets and liabilities | (7,743,742 | ) | ||
Net unrealized appreciation on investments (net of foreign capital gains tax of $617), foreign currency and translation of other assets and liabilities | 23,866,965 | |||
|
| |||
TOTAL NET ASSETS | $ | 1,430,668,853 | ||
|
|
The accompanying notes are an integral part of the financial statements.
27
Statement of Assets and Liabilities - Pro-Blend® Conservative Term Series
October 31, 2015
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class S | $ | 13.15 | ||
|
| |||
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class I | $ | 10.22 | ||
|
| |||
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class C | $ | 9.81 | ||
|
| |||
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class R | $ | 9.81 | ||
|
|
The accompanying notes are an integral part of the financial statements.
28
Statement of Operations - Pro-Blend® Conservative Term Series
For the Year Ended October 31, 2015
INVESTMENT INCOME: | ||||
Interest | $ | 28,704,361 | ||
Dividends (net of foreign taxes withheld, $199,572) | 11,137,930 | |||
|
| |||
Total Investment Income | 39,842,291 | |||
|
| |||
EXPENSES: | ||||
Management fees (Note 3) | 9,627,259 | |||
Shareholder services fees (Class S) (Note 3) | 2,084,756 | |||
Distribution and service (Rule 12b-1) fees (Class C) (Note 3) | 1,406,491 | |||
Distribution and service (Rule 12b-1) fees (Class R) (Note 3) | 316,508 | |||
Fund accounting and administration fees (Note 3) | 275,151 | |||
Transfer agent fees (Note 3) | 259,876 | |||
Directors’ fees (Note 3) | 56,517 | |||
Chief Compliance Officer service fees (Note 3) | 2,520 | |||
Custodian fees | 124,347 | |||
Miscellaneous | 546,952 | |||
|
| |||
Total Expenses | 14,700,377 | |||
|
| |||
NET INVESTMENT INCOME | 25,141,914 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY: | ||||
Net realized gain (loss) on- | ||||
Investments | 6,419,790 | |||
Futures contracts | (13,800,295 | ) | ||
Options written | 1,424,821 | |||
Foreign currency and translation of other assets and liabilities | (380,632 | ) | ||
|
| |||
(6,336,316 | ) | |||
|
| |||
Net change in unrealized appreciation (depreciation) on- | ||||
Investments (net of decrease in accrued foreign capital gains tax of $456) | (38,545,655 | ) | ||
Futures contracts | (1,660,053 | ) | ||
Options written | 93,740 | |||
Foreign currency and translation of other assets and liabilities | (1,057 | ) | ||
|
| |||
(40,113,025 | ) | |||
|
| |||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY | (46,449,341 | ) | ||
|
| |||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (21,307,427 | ) | |
|
|
The accompanying notes are an integral part of the financial statements.
29
Statements of Changes in Net Assets - Pro-Blend® Conservative Term Series
FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | |||||||
INCREASE (DECREASE) IN NET ASSETS: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 25,141,914 | $ | 24,439,713 | ||||
Net realized gain (loss) on investments and foreign currency | (6,336,316 | ) | 83,234,619 | |||||
Net change in unrealized depreciation on investments and foreign currency | (40,113,025 | ) | (26,892,984 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from operations | (21,307,427 | ) | 80,781,348 | |||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS (Note 8): | ||||||||
From net investment income (Class S) | (14,242,164 | ) | (14,549,144 | ) | ||||
From net investment income (Class I) | (6,793,036 | ) | (6,447,289 | ) | ||||
From net investment income (Class C) | (1,402,026 | ) | (1,252,553 | ) | ||||
From net investment income (Class R) | (950,123 | ) | (816,034 | ) | ||||
From net realized gain on investments (Class S) | (50,314,602 | ) | (42,636,482 | ) | ||||
From net realized gain on investments (Class I) | (19,920,640 | ) | (16,448,458 | ) | ||||
From net realized gain on investments (Class C) | (8,129,404 | ) | (5,631,048 | ) | ||||
From net realized gain on investments (Class R) | (3,664,976 | ) | (2,517,150 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (105,416,971 | ) | (90,298,158 | ) | ||||
|
|
|
| |||||
CAPITAL STOCK ISSUED AND REPURCHASED: | ||||||||
Net increase (decrease) from capital share transactions (Note 5) | (119,388,459 | ) | 189,841,532 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets | (246,112,857 | ) | 180,324,722 | |||||
NET ASSETS: | ||||||||
Beginning of year | 1,676,781,710 | 1,496,456,988 | ||||||
|
|
|
| |||||
End of year (including undistributed net investment income of $11,381,761 and $10,262,929,respectively) | $ | 1,430,668,853 | $ | 1,676,781,710 | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
30
Financial Highlights - Pro-Blend® Conservative Term Series - Class S
FOR THE YEARS ENDED | ||||||||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | ||||||||||||||||
Per share data (for a share outstanding throughout each year): | ||||||||||||||||||||
Net asset value - Beginning of year | $ | 14.13 | $ | 14.18 | $ | 13.62 | $ | 13.16 | $ | 13.37 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income1 | 0.22 | 0.22 | 0.22 | 0.22 | 0.25 | |||||||||||||||
Net realized and unrealized gain on investments | (0.41 | ) | 0.52 | 0.83 | 0.69 | 0.12 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (0.19 | ) | 0.74 | 1.05 | 0.91 | 0.37 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions to shareholders: | ||||||||||||||||||||
From net investment income | (0.18 | ) | (0.20 | ) | (0.20 | ) | (0.24 | ) | (0.24 | ) | ||||||||||
From net realized gain on investments | (0.61 | ) | (0.59 | ) | (0.29 | ) | (0.21 | ) | (0.34 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions to shareholders | (0.79 | ) | (0.79 | ) | (0.49 | ) | (0.45 | ) | (0.58 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value - End of year | $ | 13.15 | $ | 14.13 | $ | 14.18 | $ | 13.62 | $ | 13.16 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net assets - End of year (000’s omitted) | $ | 911,956 | $ | 1,124,851 | $ | 1,027,160 | $ | 973,964 | $ | 870,693 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return2 | (1.33 | %) | 5.46 | % | 7.93 | % | 7.15 | % | 2.87 | % | ||||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||||||
Expenses | 0.88 | % | 0.87 | % | 0.87 | % | 0.88 | % | 0.89 | % | ||||||||||
Net investment income | 1.60 | % | 1.57 | % | 1.58 | % | 1.65 | % | 1.87 | % | ||||||||||
Series portfolio turnover | 51 | % | 45 | % | 54 | % | 54 | % | 25 | % |
1Calculated based on average shares outstanding during the years.
2Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions.
The accompanying notes are an integral part of the financial statements.
31
Financial Highlights - Pro-Blend® Conservative Term Series - Class I
FOR THE YEARS ENDED | ||||||||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | ||||||||||||||||
Per share data (for a share outstanding throughout each year): | ||||||||||||||||||||
Net asset value - Beginning of year | $ | 11.17 | $ | 11.38 | $ | 11.03 | $ | 10.75 | $ | 11.03 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income1 | 0.19 | 0.20 | 0.20 | 0.20 | 0.22 | |||||||||||||||
Net realized and unrealized gain on investments | (0.32 | ) | 0.40 | 0.66 | 0.55 | 0.10 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (0.13 | ) | 0.60 | 0.86 | 0.75 | 0.32 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions to shareholders: | ||||||||||||||||||||
From net investment income | (0.21 | ) | (0.22 | ) | (0.22 | ) | (0.26 | ) | (0.26 | ) | ||||||||||
From net realized gain on investments | (0.61 | ) | (0.59 | ) | (0.29 | ) | (0.21 | ) | (0.34 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions to shareholders | (0.82 | ) | (0.81 | ) | (0.51 | ) | (0.47 | ) | (0.60 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value - End of year | $ | 10.22 | $ | 11.17 | $ | 11.38 | $ | 11.03 | $ | 10.75 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net assets - End of year (000’s omitted) | $ | 325,700 | $ | 353,538 | $ | 318,106 | $ | 249,566 | $ | 181,345 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return2 | (1.15 | %) | 5.66 | % | 8.15 | % | 7.34 | % | 3.07 | % | ||||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||||||
Expenses | 0.68 | % | 0.67 | % | 0.67 | % | 0.68 | % | 0.69 | % | ||||||||||
Net investment income | 1.81 | % | 1.77 | % | 1.77 | % | 1.84 | % | 2.07 | % | ||||||||||
Series portfolio turnover | 51 | % | 45 | % | 54 | % | 54 | % | 25 | % |
1Calculated based on average shares outstanding during the years.
2Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions.
The accompanying notes are an integral part of the financial statements.
32
Financial Highlights - Pro-Blend® Conservative Term Series - Class C
FOR THE YEARS ENDED | ||||||||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | ||||||||||||||||
Per share data (for a share outstanding throughout each year): | ||||||||||||||||||||
Net asset value - Beginning of year | $ | 10.75 | $ | 10.99 | $ | 10.68 | $ | 10.42 | $ | 10.73 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income1 | 0.08 | 0.08 | 0.08 | 0.09 | 0.11 | |||||||||||||||
Net realized and unrealized gain on investments | (0.31 | ) | 0.39 | 0.65 | 0.55 | 0.10 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (0.23 | ) | 0.47 | 0.73 | 0.64 | 0.21 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions to shareholders: | ||||||||||||||||||||
From net investment income | (0.10 | ) | (0.12 | ) | (0.13 | ) | (0.17 | ) | (0.18 | ) | ||||||||||
From net realized gain on investments | (0.61 | ) | (0.59 | ) | (0.29 | ) | (0.21 | ) | (0.34 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions to shareholders | (0.71 | ) | (0.71 | ) | (0.42 | ) | (0.38 | ) | (0.52 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value - End of year | $ | 9.81 | $ | 10.75 | $ | 10.99 | $ | 10.68 | $ | 10.42 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net assets - End of year (000’s omitted) | $ | 137,697 | $ | 139,291 | $ | 102,919 | $ | 72,239 | $ | 42,898 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return2 | (2.10 | %) | 4.58 | % | 7.06 | % | 6.42 | % | 2.06 | % | ||||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||||||
Expenses | 1.68 | % | 1.67 | % | 1.67 | % | 1.69 | % | 1.69 | % | ||||||||||
Net investment income | 0.81 | % | 0.77 | % | 0.78 | % | 0.84 | % | 1.03 | % | ||||||||||
Series portfolio turnover | 51 | % | 45 | % | 54 | % | 54 | % | 25 | % |
1Calculated based on average shares outstanding during the years.
2Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions.
The accompanying notes are an integral part of the financial statements.
33
Financial Highlights - Pro-Blend® Conservative Term Series - Class R
FOR THE YEARS ENDED | ||||||||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | ||||||||||||||||
Per share data (for a share outstanding throughout each year): | ||||||||||||||||||||
Net asset value - Beginning of year | $ | 10.75 | $ | 10.99 | $ | 10.67 | $ | 10.44 | $ | 10.76 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income1 | 0.13 | 0.14 | 0.14 | 0.14 | 0.13 | |||||||||||||||
Net realized and unrealized gain on investments | (0.30 | ) | 0.38 | 0.64 | 0.54 | 0.13 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (0.17 | ) | 0.52 | 0.78 | 0.68 | 0.26 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions to shareholders: | ||||||||||||||||||||
From net investment income | (0.16 | ) | (0.17 | ) | (0.17 | ) | (0.24 | ) | (0.24 | ) | ||||||||||
From net realized gain on investments | (0.61 | ) | (0.59 | ) | (0.29 | ) | (0.21 | ) | (0.34 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions to shareholders | (0.77 | ) | (0.76 | ) | (0.46 | ) | (0.45 | ) | (0.58 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value - End of year | $ | 9.81 | $ | 10.75 | $ | 10.99 | $ | 10.67 | $ | 10.44 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net assets - End of year (000’s omitted) | $ | 55,315 | $ | 59,101 | $ | 48,272 | $ | 32,988 | $ | 2,828 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return2 | (1.60 | %) | 5.08 | % | 7.64 | % | 6.85 | % | 2.61 | % | ||||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||||||
Expenses | 1.18 | % | 1.17 | % | 1.17 | % | 1.19 | % | 1.19 | % | ||||||||||
Net investment income | 1.30 | % | 1.27 | % | 1.28 | % | 1.32 | % | 1.31 | % | ||||||||||
Series portfolio turnover | 51 | % | 45 | % | 54 | % | 54 | % | 25 | % |
1Calculated based on average shares outstanding during the years.
2Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions.
The accompanying notes are an integral part of the financial statements.
34
Performance Update as of October 31, 2015 - Pro-Blend® Moderate Term Series
(unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2015 | ||||||||||||||||
ONE YEAR1 | FIVE YEAR | TEN YEAR | SINCE INCEPTION2 | |||||||||||||
Manning & Napier Fund, Inc. - Pro-Blend® Moderate Term Series - Class S3 | -1.99 | % | 5.29 | % | 5.30 | % | 6.73 | % | ||||||||
Manning & Napier Fund, Inc. - Pro-Blend® Moderate Term | -1.76 | % | 5.54 | % | 5.50 | % | 6.82 | % | ||||||||
Manning & Napier Fund, Inc. - Pro-Blend® Moderate Term | -2.77 | % | 4.50 | % | 4.53 | % | 6.00 | % | ||||||||
Manning & Napier Fund, Inc. - Pro-Blend® Moderate Term | -2.30 | % | 5.02 | % | 5.02 | % | 6.51 | % | ||||||||
Barclays U.S. Aggregate Bond Index6 | 1.96 | % | 3.03 | % | 4.72 | % | 5.52 | % | ||||||||
30/10/60 Blended Index7 | 2.27 | % | 6.46 | % | 5.99 | % | 6.93 | % |
The following graph compares the value of a $10,000 investment in the Manning & Napier Fund, Inc. - Pro-Blend® Moderate Term Series - Class S for the ten years ended October 31, 2015 to the Barclays U.S. Aggregate Bond Index and the 30/10/60 Blended Index.
1The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
2Performance numbers for the Series are calculated from September 15, 1993, the Class S inception date. The Barclays U.S. Aggregate Bond Index only publishes month-end numbers; therefore, performance numbers for the Indices are calculated from September 30, 1993.
3The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2015, this net expense ratio was 1.06% for Class S, 0.81% for Class I, 1.81% for Class C and 1.31% for Class R. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 1.06% for Class S, 0.81% for Class I, 1.81% for Class C and 1.31% for Class R for the year ended October 31, 2015.
4For the periods through the inception of Class I on March 28, 2008, performance is based on the hypothetical performance of Class S shares. Because Class I shares invest in the same portfolio of securities as Class S, performance will only be different to the extent that the Class S shares have a higher expense ratio.
5For periods through the inception of Class C on January 4, 2010 and Class R on June 30, 2010, the performance figures are hypothetical and reflect the performance of the Manning & Napier Fund, Inc. - Pro-Blend® Moderate Term Series - Class S adjusted for expense differences.
6The Barclays U.S. Aggregate Bond Index is an unmanaged, market-value weighted index of U.S. domestic investment-grade debt issues, including government, corporate, asset-backed, and mortgage-backed securities, with maturities of one year or more. Index returns do not reflect any fees or expenses. Index returns provided by Interactive Data.
35
Performance Update as of October 31, 2015 - Pro-Blend® Moderate Term Series
(unaudited)
7The 30/10/60 Blended Index is represented by 30% Russell 3000® Index (Russell 3000), 10% MSCI ACWI ex USA Index (ACWIxUS), and 60% Barclays U.S. Aggregate Bond Index (BAB). Russell 3000 is an unmanaged index that consists of 3,000 of the largest U.S. companies based on total market capitalization. The Index returns are based on a market capitalization-weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. Index returns provided by Bloomberg. ACWIxUS is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global developed and emerging markets and consists of 44 developed and emerging market country indices outside the U.S. The Index is denominated in U.S. dollars. The Index returns assume daily investment of gross dividends (which do not account for applicable dividend taxation) prior to 12/31/1998, as net returns were not available. Subsequent to 12/31/1998, the Index returns are net of withholding taxes. They assume daily reinvestment of net dividends, thus accounting for any applicable dividend taxation. Index returns provided by Bloomberg. BAB is an unmanaged index that represents the U.S. domestic investment-grade bond market. It is a market value-weighted index of investment-grade debt issues, including government, corporate, asset-backed and mortgage-backed securities, with maturities of one year or more. Index returns provided by Interactive Data. The returns of the indices do not reflect any fees or expenses. Returns provided are calculated monthly using a blended allocation. Because the Series’ asset allocation will vary over time, the composition of the Series’ portfolio may not match the composition of the comparative Indices.
36
Shareholder Expense Example - Pro-Blend® Moderate Term Series
(unaudited)
As a shareholder of the Series, you may incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Series expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested in each class at the beginning of the period and held for the entire period (May 1, 2015 to October 31, 2015).
Actual Expenses
The Actual lines of the table below provide information about actual account values and actual expenses. You may use the information in these lines, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the Actual line for the Class in which you have invested under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The Hypothetical lines of each class in the table below provide information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid during the period. You may use this information to compare the ongoing costs of investing in a class of the Series and other funds. To do so, compare this 5% hypothetical example for the Class in which you have invested with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the Hypothetical lines for each class in the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
BEGINNING ACCOUNT VALUE 5/1/15 | ENDING ACCOUNT VALUE 10/31/15 | EXPENSES PAID DURING PERIOD 5/1/15-10/31/15* | ANNUALIZED EXPENSE RATIO | |||||
Class S | ||||||||
Actual | $1,000.00 | $963.40 | $5.30 | 1.07% | ||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.81 | $5.45 | 1.07% | ||||
Class I | ||||||||
Actual | $1,000.00 | $964.10 | $4.06 | 0.82% | ||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.07 | $4.18 | 0.82% | ||||
Class C | ||||||||
Actual | $1,000.00 | $959.40 | $8.99 | 1.82% | ||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,016.03 | $9.25 | 1.82% | ||||
Class R | ||||||||
Actual | $1,000.00 | $961.80 | $6.53 | 1.32% | ||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.55 | $6.72 | 1.32% |
* Expenses are equal to the Class’ annualized expense ratio (for the six-month period), multiplied by the average account value over the period, multiplied by 184/365 to reflect the one-half year period. Expenses are based on the most recent fiscal half year; therefore, the expense ratios stated above may differ from the expense ratios stated in the financial highlights, which are based on one-year data.
37
Portfolio Composition - Pro-Blend® Moderate Term Series
As of October 31, 2015 (unaudited)
Sector Allocation5 | ||||
Financials | 14.9 | % | ||
Consumer Discretionary | 13.5 | % | ||
Information Technology | 13.0 | % | ||
Health Care | 4.9 | % | ||
Consumer Staples | 4.9 | % | ||
Industrials | 4.8 | % | ||
Energy | 3.8 | % | ||
Materials | 2.8 | % | ||
Telecommunication Services | 1.2 | % | ||
Utilities | 0.5 | % | ||
5Including common stocks and corporate bonds, as a percentage of total investments. |
Top Ten Stock Holdings6 | ||||
Time Warner, Inc. | 1.5 | % | ||
Electronic Arts, Inc. | 1.4 | % | ||
MasterCard, Inc. - Class A | 1.4 | % | ||
AMC Networks, Inc. - Class A | 1.3 | % | ||
The Priceline Group, Inc. | 1.3 | % | ||
Apple, Inc. | 1.3 | % | ||
Monsanto Co. | 1.2 | % | ||
Alphabet, Inc. - Class C | 1.1 | % | ||
Alphabet, Inc. - Class A | 1.1 | % | ||
Johnson & Johnson | 1.0 | % | ||
6As a percentage of total investments. |
38
Investment Portfolio - October 31, 2015
PRO-BLEND® MODERATE TERM SERIES | SHARES | VALUE (NOTE 2) | ||||||||
COMMON STOCKS - 41.7% | ||||||||||
Consumer Discretionary - 10.8% | ||||||||||
Auto Components - 0.0%## | ||||||||||
F.C.C. Co. Ltd. (Japan)1 | 12,500 | $ | 221,060 | |||||||
|
| |||||||||
Diversified Consumer Services - 0.3% | ||||||||||
Fu Shou Yuan International Group Ltd. (China)1 | 1,308,000 | 891,839 | ||||||||
H&R Block, Inc. | 43,300 | 1,613,358 | ||||||||
Houghton Mifflin Harcourt Co.* | 52,500 | 1,028,475 | ||||||||
Kroton Educacional S.A. (Brazil) | 303,672 | 776,395 | ||||||||
|
| |||||||||
4,310,067 | ||||||||||
|
| |||||||||
Hotels, Restaurants & Leisure - 0.7% | ||||||||||
Accor S.A. (France)1 | 15,630 | 776,178 | ||||||||
Yum! Brands, Inc. | 142,980 | 10,138,712 | ||||||||
|
| |||||||||
10,914,890 | ||||||||||
|
| |||||||||
Household Durables - 0.0%## | ||||||||||
DR Horton, Inc. | 4,425 | 130,272 | ||||||||
Lennar Corp. - Class A | 2,670 | 133,687 | ||||||||
Toll Brothers, Inc.* | 3,744 | 134,672 | ||||||||
TRI Pointe Group, Inc.* | 9,680 | 125,646 | ||||||||
|
| |||||||||
524,277 | ||||||||||
|
| |||||||||
Internet & Catalog Retail - 2.0% | ||||||||||
ASOS plc (United Kingdom)*1 | 11,400 | 571,471 | ||||||||
The Priceline Group, Inc.* | 14,290 | 20,781,090 | ||||||||
Rakuten, Inc. (Japan)1 | 72,560 | 1,005,187 | ||||||||
TripAdvisor, Inc.* | 127,030 | 10,642,573 | ||||||||
|
| |||||||||
33,000,321 | ||||||||||
|
| |||||||||
Media - 6.5% | ||||||||||
AMC Networks, Inc. - Class A* | 289,160 | 21,366,032 | ||||||||
Cogeco Cable, Inc. (Canada) | 13,920 | 718,888 | ||||||||
Discovery Communications, Inc. - Class A* | 120,560 | 3,549,286 | ||||||||
Global Mediacom Tbk PT (Indonesia)1 . | 2,723,660 | 172,502 | ||||||||
ITV plc (United Kingdom)1 | 106,860 | 414,860 | ||||||||
Liberty Global plc - Class A - ADR (United Kingdom)* | 239,080 | 10,643,842 | ||||||||
Modern Times Group AB - Class B (Sweden)1 | 5,130 | 145,522 | ||||||||
Sinclair Broadcast Group, Inc. - Class A | 361,271 | 10,841,743 | ||||||||
TEGNA, Inc. | 243,960 | 6,596,678 | ||||||||
Time Warner, Inc. | 319,830 | 24,095,992 | ||||||||
Tribune Media Co. - Class A | 321,730 | 12,975,371 | ||||||||
Twenty-First Century Fox, Inc. - Class A | 423,324 | 12,991,814 | ||||||||
|
| |||||||||
104,512,530 | ||||||||||
|
| |||||||||
Specialty Retail - 0.4% | ||||||||||
Advance Auto Parts, Inc. | 19,730 | 3,915,024 | ||||||||
Dick’s Sporting Goods, Inc. | 26,270 | 1,170,329 | ||||||||
Kingfisher plc (United Kingdom)1 | 77,910 | 423,499 | ||||||||
Komeri Co. Ltd. (Japan)1 | 19,900 | 425,455 | ||||||||
|
| |||||||||
5,934,307 | ||||||||||
|
| |||||||||
Textiles, Apparel & Luxury Goods - 0.9% | ||||||||||
Adidas AG (Germany)1 | 1,890 | 169,379 | ||||||||
Gildan Activewear, Inc. (Canada) | 44,870 | 1,289,115 | ||||||||
Kering (France)1 | 4,280 | 791,563 | ||||||||
lululemon athletica, Inc.* | 252,207 | 12,401,018 | ||||||||
|
| |||||||||
14,651,075 | ||||||||||
|
| |||||||||
Total Consumer Discretionary | 174,068,527 | |||||||||
|
| |||||||||
Consumer Staples - 3.9% | ||||||||||
Beverages - 2.3% | ||||||||||
AMBEV S.A. - ADR (Brazil) | 2,483,570 | 12,094,986 | ||||||||
Anheuser-Busch InBev N.V. (Belgium)1 | 91,985 | 10,976,077 | ||||||||
Cia Cervecerias Unidas S.A. - ADR (Chile) | 20,820 | 499,055 | ||||||||
Diageo plc (United Kingdom)1 | 394,363 | 11,369,412 | ||||||||
Remy Cointreau S.A. (France)1 | 1,380 | 95,863 | ||||||||
SABMiller plc (United Kingdom)1 | 5,090 | 312,644 | ||||||||
Treasury Wine Estates Ltd. - Rights (Australia)*1 | 25,926 | 27,362 | ||||||||
Treasury Wine Estates Ltd. (Australia)1 | 194,450 | 973,232 | ||||||||
|
| |||||||||
36,348,631 | ||||||||||
|
| |||||||||
Food & Staples Retailing - 0.2% | ||||||||||
Carrefour S.A. (France)1 | 16,647 | 542,459 | ||||||||
Casino Guichard-Perrachon S.A. (France)1 | 2,420 | 139,041 | ||||||||
Dairy Farm International Holdings Ltd. (Hong Kong)1 | 56,100 | 369,363 | ||||||||
Sprouts Farmers Market, Inc.* | 59,700 | 1,216,686 | ||||||||
Tesco plc (United Kingdom)*1 | 317,346 | 895,006 | ||||||||
|
| |||||||||
3,162,555 | ||||||||||
|
| |||||||||
Food Products - 0.5% | ||||||||||
Biostime International Holdings Ltd. - Class H (China)1 | 181,100 | 402,105 | ||||||||
Danone S.A. (France)1 | 15,541 | 1,080,100 | ||||||||
Grupo Bimbo S.A.B. de C.V. - Class A (Mexico)* | 228,880 | 647,240 | ||||||||
Keurig Green Mountain, Inc. | 28,440 | 1,443,330 | ||||||||
M Dias Branco S.A. (Brazil) | 13,500 | 244,688 | ||||||||
Nestle S.A. (Switzerland)1 | 15,824 | 1,208,542 | ||||||||
Post Holdings, Inc.* | 19,200 | 1,233,984 | ||||||||
Sao Martinho S.A. (Brazil) | 58,890 | 678,452 | ||||||||
Suedzucker AG (Germany)1 | 45,277 | 844,979 |
The accompanying notes are an integral part of the financial statements.
39
Investment Portfolio - October 31, 2015
PRO-BLEND® MODERATE TERM SERIES | SHARES | VALUE (NOTE 2) | ||||||||
COMMON STOCKS (continued) | ||||||||||
Consumer Staples (continued) | ||||||||||
Food Products (continued) | ||||||||||
Tiger Brands Ltd. (South Africa)1 | 12,180 | $ | 278,482 | |||||||
|
| |||||||||
8,061,902 | ||||||||||
|
| |||||||||
Personal Products - 0.8% | ||||||||||
Beiersdorf AG (Germany)1 | 2,270 | 215,595 | ||||||||
Herbalife Ltd.* | 12,080 | 676,963 | ||||||||
Unilever plc - ADR (United Kingdom) | 279,209 | 12,410,840 | ||||||||
|
| |||||||||
13,303,398 | ||||||||||
|
| |||||||||
Tobacco - 0.1% | ||||||||||
Gudang Garam Tbk PT (Indonesia)1 | 148,880 | 466,018 | ||||||||
Japan Tobacco, Inc. (Japan)1 | 15,600 | 539,944 | ||||||||
Swedish Match AB (Sweden)1 | 22,615 | 710,919 | ||||||||
|
| |||||||||
1,716,881 | ||||||||||
|
| |||||||||
Total Consumer Staples | 62,593,367 | |||||||||
|
| |||||||||
Energy - 2.3% | ||||||||||
Energy Equipment & Services - 1.3% | ||||||||||
Schlumberger Ltd. | 161,919 | 12,655,589 | ||||||||
Spectrum ASA (Norway)1 | 43,230 | 150,091 | ||||||||
TGS Nopec Geophysical Co. ASA (Norway)1 | 39,040 | 774,080 | ||||||||
Weatherford International plc - ADR* | 709,410 | 7,264,358 | ||||||||
|
| |||||||||
20,844,118 | ||||||||||
|
| |||||||||
Oil, Gas & Consumable Fuels - 1.0% | ||||||||||
Cameco Corp. (Canada) | 35,769 | 506,847 | ||||||||
Cosan S.A. Industria e Comercio (Brazil) | 31,310 | 200,612 | ||||||||
Galp Energia SGPS S.A. (Portugal)1 | 69,040 | 745,285 | ||||||||
Range Resources Corp. | 433,350 | 13,191,174 | ||||||||
Royal Dutch Shell plc - Class B (Netherlands)1 | 18,152 | 475,306 | ||||||||
Royal Dutch Shell plc - Class B - ADR (Netherlands) | 7,670 | 404,132 | ||||||||
Whitehaven Coal Ltd. (Australia)*1 | 85,930 | 61,711 | ||||||||
|
| |||||||||
15,585,067 | ||||||||||
|
| |||||||||
Total Energy | 36,429,185 | |||||||||
|
| |||||||||
Financials - 3.3% | ||||||||||
Banks - 0.0%## | ||||||||||
ICICI Bank Ltd. - ADR (India) | 38,250 | 329,715 | ||||||||
|
| |||||||||
Capital Markets - 0.1% | ||||||||||
Daiwa Securities Group, Inc. (Japan)1 | 69,000 | 471,792 | ||||||||
Financial Engines, Inc. | 35,970 | 1,156,795 | ||||||||
|
| |||||||||
1,628,587 | ||||||||||
|
| |||||||||
Consumer Finance - 0.3% | ||||||||||
SLM Corp.* | 685,520 | 4,839,771 | ||||||||
|
| |||||||||
Diversified Financial Services - 0.1% | ||||||||||
JSE Ltd. (South Africa)1 | 40,370 | 388,897 | ||||||||
Morningstar, Inc. | 14,020 | 1,151,182 | ||||||||
|
| |||||||||
1,540,079 | ||||||||||
|
| |||||||||
Insurance - 0.1% | ||||||||||
Admiral Group plc (United Kingdom)1 | 8,380 | 207,959 | ||||||||
Mapfre S.A. (Spain)1 | 204,600 | 607,000 | ||||||||
|
| |||||||||
814,959 | ||||||||||
|
| |||||||||
Real Estate Investment Trusts (REITS) - 2.2% | ||||||||||
Agree Realty Corp. | 15,400 | 498,652 | ||||||||
Alexandria Real Estate Equities, Inc. | 6,760 | 606,642 | ||||||||
Alstria Office REIT AG (Germany)1 | 78,350 | 1,093,190 | ||||||||
American Campus Communities, Inc. | 10,000 | 405,700 | ||||||||
American Capital Agency Corp. | 7,600 | 135,508 | ||||||||
Annaly Capital Management, Inc. | 15,290 | 152,135 | ||||||||
Apartment Investment & Management Co. - Class A | 13,610 | 533,376 | ||||||||
AvalonBay Communities, Inc. | 5,410 | 945,830 | ||||||||
Boston Properties, Inc. | 2,450 | 308,333 | ||||||||
Brixmor Property Group, Inc. | 24,730 | 633,583 | ||||||||
Care Capital Properties, Inc. | 4,235 | 139,543 | ||||||||
CatchMark Timber Trust, Inc. - Class A | 25,840 | 282,948 | ||||||||
Chesapeake Lodging Trust | 27,270 | 751,016 | ||||||||
Columbia Property Trust, Inc. | 11,340 | 281,686 | ||||||||
Community Healthcare Trust, Inc. | 21,750 | 398,243 | ||||||||
CoreSite Realty Corp. | 2,590 | 142,321 | ||||||||
Crown Castle International Corp. | 4,610 | 393,971 | ||||||||
CubeSmart | 20,080 | 558,626 | ||||||||
DCT Industrial Trust, Inc. | 12,440 | 461,773 | ||||||||
DDR Corp. | 32,900 | 552,720 | ||||||||
Digital Realty Trust, Inc. | 2,040 | 150,878 | ||||||||
Douglas Emmett, Inc. | 15,840 | 483,912 | ||||||||
Education Realty Trust, Inc. | 14,093 | 506,080 | ||||||||
Equity LifeStyle Properties, Inc. | 5,580 | 337,478 | ||||||||
Equity One, Inc. | 12,270 | 326,137 | ||||||||
Equity Residential | 6,070 | 469,332 | ||||||||
Extra Space Storage, Inc. | 2,500 | 198,100 | ||||||||
Fibra Shop Portafolios Inmobiliarios S.A.P.I. de C.V. (Mexico) | 194,344 | 199,194 | ||||||||
General Growth Properties, Inc. | 22,040 | 638,058 | ||||||||
HCP, Inc. | 7,920 | 294,624 | ||||||||
Healthcare Trust of America, Inc. - Class A | 11,400 | 299,934 | ||||||||
Host Hotels & Resorts, Inc. | 23,650 | 409,855 | ||||||||
Inland Real Estate Corp. | 50,350 | 445,597 | ||||||||
Kite Realty Group Trust | 11,335 | 299,357 | ||||||||
Lamar Advertising Co. - Class A | 5,070 | 286,100 |
The accompanying notes are an integral part of the financial statements.
40
Investment Portfolio - October 31, 2015
PRO-BLEND® MODERATE TERM SERIES | SHARES | VALUE (NOTE 2) | ||||||||
COMMON STOCKS (continued) | ||||||||||
Financials (continued) | ||||||||||
Real Estate Investment Trusts (REITS) (continued) | ||||||||||
LaSalle Hotel Properties | 22,010 | $ | 647,314 | |||||||
Liberty Property Trust | 11,760 | 400,075 | ||||||||
Mack-Cali Realty Corp. | 26,730 | 581,645 | ||||||||
Mid-America Apartment Communities, Inc. | 7,820 | 666,186 | ||||||||
Outfront Media, Inc. | 19,537 | 461,269 | ||||||||
Paramount Group, Inc. | 38,600 | 685,922 | ||||||||
Pebblebrook Hotel Trust | 12,390 | 423,490 | ||||||||
Physicians Realty Trust | 40,590 | 648,628 | ||||||||
Plum Creek Timber Co., Inc. | 17,900 | 729,246 | ||||||||
Prologis, Inc. | 14,530 | 620,867 | ||||||||
Public Storage | 2,530 | 580,534 | ||||||||
Rexford Industrial Realty, Inc. | 18,460 | 279,669 | ||||||||
Sabra Health Care REIT, Inc. | 9,790 | 222,037 | ||||||||
Scentre Group (Australia)1 | 95,548 | 280,254 | ||||||||
Simon Property Group, Inc. | 10,240 | 2,062,950 | ||||||||
Sovran Self Storage, Inc. | 5,430 | 542,294 | ||||||||
Tanger Factory Outlet Centers, Inc. | 8,510 | 297,425 | ||||||||
Taubman Centers, Inc. | 5,990 | 461,110 | ||||||||
Terreno Realty Corp. | 13,270 | 296,983 | ||||||||
UDR, Inc. | 13,580 | 467,967 | ||||||||
Urban Edge Properties | 16,970 | 402,868 | ||||||||
Ventas, Inc. | 5,370 | 288,476 | ||||||||
Westfield Corp. (Australia)1 | 49,970 | 362,538 | ||||||||
Weyerhaeuser Co. | 261,978 | 7,683,815 | ||||||||
|
| |||||||||
34,713,994 | ||||||||||
|
| |||||||||
Real Estate Management & Development - 0.5% | ||||||||||
CBRE Group, Inc. - Class A* | 6,360 | 237,101 | ||||||||
First Capital Realty, Inc. (Canada) | 13,200 | 195,537 | ||||||||
Forest City Enterprises, Inc. - Class A* | 17,570 | 388,297 | ||||||||
Realogy Holdings Corp.* | 198,752 | 7,771,203 | ||||||||
|
| |||||||||
8,592,138 | ||||||||||
|
| |||||||||
Total Financials | 52,459,243 | |||||||||
|
| |||||||||
Health Care - 4.2% | ||||||||||
Biotechnology - 0.1% | ||||||||||
Green Cross Corp. (South Korea)1 | 1,280 | 202,886 | ||||||||
Seattle Genetics, Inc.* | 16,020 | 664,670 | ||||||||
|
| |||||||||
867,556 | ||||||||||
|
| |||||||||
Health Care Equipment & Supplies - 0.8% | ||||||||||
BioMerieux (France)1 | 836 | 97,121 | ||||||||
Halyard Health, Inc.* | 27,840 | 826,291 | ||||||||
Intuitive Surgical, Inc.* | 22,120 | 10,984,792 | ||||||||
Medtronic plc. | 5,820 | 430,214 | ||||||||
Shandong Weigao Group Medical Polymer Co. Ltd. - Class H (China)1 | 1,022,700 | 706,138 | ||||||||
|
| |||||||||
13,044,556 | ||||||||||
|
| |||||||||
Health Care Providers & Services - 1.3% | ||||||||||
Air Methods Corp.* | 15,780 | 645,875 | ||||||||
DaVita HealthCare Partners, Inc.* | 20,270 | 1,571,128 | ||||||||
Express Scripts Holding Co.* | 191,050 | 16,502,899 | ||||||||
Fresenius Medical Care AG & Co. KGaA (Germany)1 | 8,390 | 755,163 | ||||||||
Fresenius Medical Care AG & Co. KGaA - ADR (Germany) | 16,520 | 742,244 | ||||||||
KPJ Healthcare Berhad (Malaysia)1 | 280,550 | 278,852 | ||||||||
Odontoprev S.A. (Brazil) | 189,030 | 484,271 | ||||||||
Siloam International Hospitals Tbk PT (Indonesia)1 | 365,000 | 290,116 | ||||||||
|
| |||||||||
21,270,548 | ||||||||||
|
| |||||||||
Health Care Technology - 0.8% | ||||||||||
Cerner Corp.* | 193,366 | 12,818,232 | ||||||||
|
| |||||||||
Life Sciences Tools & Services - 0.0%## | ||||||||||
QIAGEN N.V.*1 | 7,760 | 188,130 | ||||||||
QIAGEN N.V. - ADR* | 1,950 | 47,131 | ||||||||
|
| |||||||||
235,261 | ||||||||||
|
| |||||||||
Pharmaceuticals - 1.2% | ||||||||||
AstraZeneca plc - ADR (United Kingdom) | 20,640 | 658,210 | ||||||||
Genomma Lab Internacional S.A.B. de C.V. - Class B (Mexico)* | 262,130 | 192,339 | ||||||||
GlaxoSmithKline plc (United Kingdom)1 | 11,020 | 237,653 | ||||||||
Johnson & Johnson | 168,170 | 16,990,215 | ||||||||
Novartis AG - ADR (Switzerland) | 8,350 | 755,091 | ||||||||
Sanofi (France)1 | 5,966 | 601,826 | ||||||||
Teva Pharmaceutical Industries Ltd. - ADR (Israel) | 11,950 | 707,321 | ||||||||
|
| |||||||||
20,142,655 | ||||||||||
|
| |||||||||
Total Health Care. | 68,378,808 | |||||||||
|
| |||||||||
Industrials - 2.3% | ||||||||||
Aerospace & Defense - 0.1% | ||||||||||
KLX, Inc.* | 26,760 | 1,046,584 | ||||||||
|
| |||||||||
Airlines - 0.2% | ||||||||||
Allegiant Travel Co. | 1,610 | 317,895 | ||||||||
Republic Airways Holdings, Inc.* | 281,690 | 1,622,534 | ||||||||
Ryanair Holdings plc - ADR (Ireland) | 2,564 | 200,499 | ||||||||
Spirit Airlines, Inc.* | 17,140 | 636,237 | ||||||||
|
| |||||||||
2,777,165 | ||||||||||
|
|
The accompanying notes are an integral part of the financial statements.
41
Investment Portfolio - October 31, 2015
PRO-BLEND® MODERATE TERM SERIES | SHARES | VALUE (NOTE 2) | ||||||||
COMMON STOCKS (continued) | ||||||||||
Industrials (continued) | ||||||||||
Building Products - 0.1% | ||||||||||
Masco Corp. | 53,600 | $ | 1,554,400 | |||||||
|
| |||||||||
Commercial Services & Supplies - 0.1% | ||||||||||
Aggreko plc (United Kingdom)1 | 44,420 | 626,133 | ||||||||
MiX Telematics Ltd. - ADR (South Africa) | 36,190 | 203,750 | ||||||||
Stericycle, Inc.* | 8,400 | 1,019,508 | ||||||||
|
| |||||||||
1,849,391 | ||||||||||
|
| |||||||||
Electrical Equipment - 0.1% | ||||||||||
Alstom S.A. (France)*1 | 23,850 | 776,322 | ||||||||
Schneider Electric SE (France)1 | 4,319 | 260,501 | ||||||||
|
| |||||||||
1,036,823 | ||||||||||
|
| |||||||||
Industrial Conglomerates - 0.9% | ||||||||||
General Electric Co. | 406,550 | 11,757,426 | ||||||||
Siemens AG (Germany)1 | 21,090 | 2,118,367 | ||||||||
|
| |||||||||
13,875,793 | ||||||||||
|
| |||||||||
Machinery - 0.5% | ||||||||||
Allison Transmission Holdings, Inc. | 22,390 | 642,593 | ||||||||
ANDRITZ AG (Austria)1 | 10,250 | 514,983 | ||||||||
FANUC Corp. (Japan)1 | 2,709 | 477,980 | ||||||||
Flowserve Corp. | 140,980 | 6,535,833 | ||||||||
Spirax-Sarco Engineering plc (United Kingdom)1 | 3,003 | 140,771 | ||||||||
Sulzer AG (Switzerland)1 | 1,940 | 196,029 | ||||||||
The Weir Group plc (United Kingdom)1 | 10,450 | 171,670 | ||||||||
|
| |||||||||
8,679,859 | ||||||||||
|
| |||||||||
Marine - 0.0%## | ||||||||||
D/S Norden A/S (Denmark)*1 | 2,450 | 48,851 | ||||||||
Diana Shipping, Inc. (Greece)* | 7,500 | 47,325 | ||||||||
Pacific Basin Shipping Ltd. (Hong Kong)1 | 144,000 | 42,594 | ||||||||
Sinotrans Shipping Ltd. - Class H (China)1 | 657,000 | 138,428 | ||||||||
Star Bulk Carriers Corp. (Greece)* | 13,720 | 21,678 | ||||||||
|
| |||||||||
298,876 | ||||||||||
|
| |||||||||
Professional Services - 0.0%## | ||||||||||
Intertek Group plc (United Kingdom)1 | 17,870 | 721,713 | ||||||||
|
| |||||||||
Road & Rail - 0.3% | ||||||||||
Genesee & Wyoming, Inc. - Class A* | 38,180 | 2,561,878 | ||||||||
Hertz Global Holdings, Inc.* | 64,430 | 1,256,385 | ||||||||
Kansas City Southern | 9,150 | 757,254 | ||||||||
Swift Transportation Co.* | 39,930 | 624,106 | ||||||||
|
| |||||||||
5,199,623 | ||||||||||
|
| |||||||||
Trading Companies & Distributors - 0.0%## | ||||||||||
Brenntag AG (Germany)1 | 5,263 | 317,797 | ||||||||
|
| |||||||||
Total Industrials | 37,358,024 | |||||||||
|
| |||||||||
Information Technology - 12.6% | ||||||||||
Communications Equipment - 1.9% | ||||||||||
ARRIS Group, Inc.* | 45,190 | 1,277,069 | ||||||||
Ixia* | 65,210 | 939,676 | ||||||||
Juniper Networks, Inc. | 458,690 | 14,398,279 | ||||||||
Polycom, Inc.* | 97,660 | 1,345,755 | ||||||||
QUALCOMM, Inc. | 198,900 | 11,818,638 | ||||||||
Viavi Solutions, Inc.* | 112,780 | 671,041 | ||||||||
|
| |||||||||
30,450,458 | ||||||||||
|
| |||||||||
Electronic Equipment, Instruments & Components - 0.7% | ||||||||||
FLIR Systems, Inc. | 244,220 | 6,513,347 | ||||||||
Hitachi Ltd. (Japan)1 | 135,000 | 778,787 | ||||||||
Keyence Corp. (Japan)1 | 823 | 428,461 | ||||||||
Keysight Technologies, Inc.* | 30,120 | 996,370 | ||||||||
PAX Global Technology Ltd. (Hong Kong)1 | 1,130,000 | 1,477,657 | ||||||||
Trimble Navigation Ltd.* | 64,740 | 1,472,835 | ||||||||
|
| |||||||||
11,667,457 | ||||||||||
|
| |||||||||
Internet Software & Services - 3.1% | ||||||||||
Alibaba Group Holding Ltd. - ADR (China)* | 14,170 | 1,187,871 | ||||||||
Alphabet, Inc. - Class A* | 23,556 | 17,369,959 | ||||||||
Alphabet, Inc. - Class C* | 25,285 | 17,972,831 | ||||||||
Baidu, Inc. - ADR (China)* | 6,090 | 1,141,692 | ||||||||
eBay, Inc.* | 241,120 | 6,727,248 | ||||||||
Envestnet, Inc.* | 35,520 | 1,060,627 | ||||||||
MercadoLibre, Inc. (Argentina) | 9,790 | 963,042 | ||||||||
Q2 Holdings, Inc.* | 17,290 | 426,199 | ||||||||
Qihoo 360 Technology Co. Ltd. - ADR (China)* | 31,744 | 1,812,265 | ||||||||
Tencent Holdings Ltd. - Class H (China)1 | 44,300 | 835,027 | ||||||||
|
| |||||||||
49,496,761 | ||||||||||
|
| |||||||||
IT Services - 3.9% | ||||||||||
Amdocs Ltd. - ADR | 5,740 | 341,932 | ||||||||
EVERTEC, Inc. | 51,620 | 941,549 | ||||||||
InterXion Holding N.V. - ADR (Netherlands)* | 12,730 | 374,007 | ||||||||
MasterCard, Inc. - Class A | 222,333 | 22,008,744 | ||||||||
PayPal Holdings, Inc.* | 333,520 | 12,010,055 | ||||||||
Sabre Corp. | 55,830 | 1,636,936 | ||||||||
VeriFone Systems, Inc.* | 306,682 | 9,243,395 |
The accompanying notes are an integral part of the financial statements.
42
Investment Portfolio - October 31, 2015
PRO-BLEND® MODERATE TERM SERIES | SHARES/ PRINCIPAL AMOUNT 2 | VALUE (NOTE 2) | ||||||||
COMMON STOCKS (continued) | ||||||||||
Information Technology (continued) | ||||||||||
IT Services (continued) | ||||||||||
Visa, Inc. - Class A | 212,700 | $ | 16,501,266 | |||||||
|
| |||||||||
63,057,884 | ||||||||||
|
| |||||||||
Software - 1.6% | ||||||||||
Electronic Arts, Inc.* | 312,890 | 22,549,982 | ||||||||
SAP SE (Germany)1 | 19,710 | 1,553,840 | ||||||||
TOTVS S.A. (Brazil) | 80,010 | 708,909 | ||||||||
|
| |||||||||
24,812,731 | ||||||||||
|
| |||||||||
Technology Hardware, Storage & Peripherals - 1.4% | ||||||||||
Apple, Inc. | 173,400 | 20,721,300 | ||||||||
Samsung Electronics Co. Ltd. (South Korea)1 | 1,830 | 2,194,951 | ||||||||
|
| |||||||||
22,916,251 | ||||||||||
|
| |||||||||
Total Information Technology | 202,401,542 | |||||||||
|
| |||||||||
Materials - 2.0% | ||||||||||
Chemicals - 1.3% | ||||||||||
Givaudan S.A. (Switzerland)1 | 250 | 447,050 | ||||||||
Monsanto Co. | 210,877 | 19,657,954 | ||||||||
Potash Corp. of Saskatchewan, Inc. (Canada) | 3,250 | 65,747 | ||||||||
Sociedad Quimica y Minera de Chile S.A. - ADR (Chile) | 23,015 | 446,031 | ||||||||
Symrise AG (Germany)1 | 6,510 | 428,466 | ||||||||
|
| |||||||||
21,045,248 | ||||||||||
|
| |||||||||
Metals & Mining - 0.7% | ||||||||||
Alcoa, Inc. | 1,245,816 | 11,125,137 | ||||||||
Alumina Ltd. (Australia)1 | 105,362 | 80,834 | ||||||||
Norsk Hydro ASA (Norway)1 | 45,388 | 162,570 | ||||||||
ThyssenKrupp AG (Germany)1 | 12,280 | 247,441 | ||||||||
|
| |||||||||
11,615,982 | ||||||||||
|
| |||||||||
Total Materials | 32,661,230 | |||||||||
|
| |||||||||
Telecommunication Services - 0.3% | ||||||||||
Diversified Telecommunication Services - 0.1% | ||||||||||
Telefonica S.A. - ADR (Spain) | 66,980 | 882,127 | ||||||||
Telenor ASA - ADR (Norway) | 14,890 | 834,436 | ||||||||
|
| |||||||||
1,716,563 | ||||||||||
|
| |||||||||
Wireless Telecommunication Services - 0.2% | ||||||||||
America Movil S.A.B. de C.V. - Class L - ADR (Mexico) | 55,703 | 992,070 | ||||||||
China Mobile Ltd. - Class H (China)1 | 22,820 | 273,609 | ||||||||
Telephone & Data Systems, Inc. | 47,200 | 1,351,808 | ||||||||
|
| |||||||||
2,617,487 | ||||||||||
|
| |||||||||
Total Telecommunication Services | 4,334,050 | |||||||||
|
| |||||||||
Utilities - 0.0%## | ||||||||||
Independent Power and Renewable Electricity Producers - 0.0%## | ||||||||||
NRG Energy, Inc | 31,900 | 411,191 | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS | ||||||||||
(Identified Cost $629,992,462) | 671,095,167 | |||||||||
|
| |||||||||
LOAN ASSIGNMENTS - 0.1% | ||||||||||
Valeant Pharmaceuticals International, Inc., Series D-2, Term Loan B3, 3.50%, 2/13/2019 | ||||||||||
(Identified Cost $1,995,814) | 2,000,000 | 1,860,500 | ||||||||
|
| |||||||||
CORPORATE BONDS - 23.3% | ||||||||||
Non-Convertible Corporate Bonds - 23.3% | ||||||||||
Consumer Discretionary - 2.8% | ||||||||||
Auto Components - 0.1% | ||||||||||
Magna International, Inc. (Canada), 4.15%, 10/1/2025 | 1,500,000 | 1,526,939 | ||||||||
Techniplas LLC4, 10.00%, 5/1/2020 | 1,055,000 | 836,087 | ||||||||
|
| |||||||||
2,363,026 | ||||||||||
|
| |||||||||
Automobiles - 0.3% | ||||||||||
Ford Motor Credit Co. LLC, 6.625%, 8/15/2017 | 2,000,000 | 2,154,264 | ||||||||
Ford Motor Credit Co. LLC, 5.00%, 5/15/2018 | 775,000 | 823,072 | ||||||||
Ford Motor Credit Co. LLC, 8.125%, 1/15/2020 | 1,070,000 | 1,281,582 | ||||||||
|
| |||||||||
4,258,918 | ||||||||||
|
| |||||||||
Diversified Consumer Services - 0.2% | ||||||||||
Block Financial LLC, 5.50%, 11/1/2022 | 2,795,000 | 2,960,257 | ||||||||
|
| |||||||||
Hotels, Restaurants & Leisure - 0.1% | ||||||||||
International Game Technology plc (United Kingdom)4, 6.25%, 2/15/2022 | 670,000 | 653,250 | ||||||||
Yum! Brands, Inc., 6.25%, 4/15/2016 | 1,066,000 | 1,088,074 | ||||||||
|
| |||||||||
1,741,324 | ||||||||||
|
| |||||||||
Household Durables - 0.5% | ||||||||||
Brookfield Residential Properties, Inc. - Brookfield Residential US Corp. (Canada)4, 6.125%, 7/1/2022 | 1,960,000 | 1,925,700 | ||||||||
Meritage Homes Corp., 7.15%, 4/15/2020 | 500,000 | 545,000 | ||||||||
Meritage Homes Corp., 7.00%, 4/1/2022 | 760,000 | 832,200 | ||||||||
NVR, Inc., 3.95%, 9/15/2022 | 2,028,000 | 2,065,905 | ||||||||
TRI Pointe Holdings, Inc., 4.375%, 6/15/2019 | 940,000 | 934,125 | ||||||||
Tupperware Brands Corp., 4.75%, 6/1/2021 | 77,000 | 79,683 |
The accompanying notes are an integral part of the financial statements.
43
Investment Portfolio - October 31, 2015
PRO-BLEND® MODERATE TERM SERIES | PRINCIPAL AMOUNT 2 | VALUE (NOTE 2) | ||||||||
CORPORATE BONDS (continued) | ||||||||||
Non-Convertible Corporate Bonds (continued) | ||||||||||
Consumer Discretionary (continued) | ||||||||||
Household Durables (continued) | ||||||||||
Weekley Homes LLC - Weekley Finance Corp., 6.00%, 2/1/2023 | 1,135,000 | $ | 1,089,600 | |||||||
|
| |||||||||
7,472,213 | ||||||||||
|
| |||||||||
Media - 1.3% | ||||||||||
21st Century Fox America, Inc., 6.90%, 3/1/2019 | 1,095,000 | 1,254,476 | ||||||||
CCO Holdings LLC - CCO Holdings Capital Corp.4, 5.125%, 5/1/2023 | 985,000 | 987,463 | ||||||||
CCO Holdings LLC - CCO Holdings Capital Corp.4, 5.375%, 5/1/2025 | 995,000 | 985,050 | ||||||||
CCO Safari II LLC4, 4.908%, 7/23/2025 | 860,000 | 874,175 | ||||||||
Cogeco Cable, Inc. (Canada)4, 4.875%, 5/1/2020 | 100,000 | 101,500 | ||||||||
Columbus International, Inc. (Barbados)4, 7.375%, 3/30/2021 | 1,245,000 | 1,294,800 | ||||||||
Comcast Corp., 3.375%, 8/15/2025 | 500,000 | 508,857 | ||||||||
DIRECTV Holdings LLC - DIRECTV Financing Co., Inc., 5.20%, 3/15/2020 | 2,115,000 | 2,321,542 | ||||||||
DIRECTV Holdings LLC - DIRECTV Financing Co., Inc., 4.45%, 4/1/2024 . | 1,410,000 | 1,453,926 | ||||||||
Discovery Communications LLC, 5.05%, 6/1/2020 | 2,015,000 | 2,189,265 | ||||||||
Sinclair Television Group, Inc.4, 5.625%, 8/1/2024 | 1,500,000 | 1,470,000 | ||||||||
Sirius XM Radio, Inc.4, 5.375%, 4/15/2025 | 945,000 | 967,444 | ||||||||
Time Warner Entertainment Co. LP, 8.375%, 7/15/2033 | 2,300,000 | 2,704,559 | ||||||||
Time Warner, Inc., 4.875%, 3/15/2020 | 1,200,000 | 1,324,019 | ||||||||
Time Warner, Inc., 4.75%, 3/29/2021 | 1,610,000 | 1,762,219 | ||||||||
VTR Finance B.V. (Chile)4, 6.875%, 1/15/2024 | 1,420,000 | 1,373,850 | ||||||||
|
| |||||||||
21,573,145 | ||||||||||
|
| |||||||||
Multiline Retail - 0.1% | ||||||||||
Macy’s Retail Holdings, Inc., 2.875%, 2/15/2023 | 1,320,000 | 1,234,670 | ||||||||
|
| |||||||||
Specialty Retail - 0.1% | ||||||||||
The TJX Companies, Inc., 2.75%, 6/15/2021 | 1,500,000 | 1,519,983 | ||||||||
|
| |||||||||
Textiles, Apparel & Luxury Goods - 0.1% | ||||||||||
Coach, Inc., 4.25%, 4/1/2025 | 1,525,000 | 1,444,628 | ||||||||
VF Corp., 5.95%, 11/1/2017 | 640,000 | 697,453 | ||||||||
|
| |||||||||
2,142,081 | ||||||||||
|
| |||||||||
Total Consumer Discretionary | 45,265,617 | |||||||||
|
| |||||||||
Consumer Staples - 1.0% | ||||||||||
Beverages - 0.6% | ||||||||||
Anheuser-Busch InBev Worldwide, Inc. (Belgium), 7.75%, 1/15/2019 | 1,060,000 | 1,237,999 | ||||||||
Anheuser-Busch InBev Worldwide, Inc. (Belgium), 8.20%, 1/15/2039 | 1,900,000 | 2,683,982 | ||||||||
PepsiCo, Inc., 3.10%, 7/17/2022 | 2,895,000 | 2,969,989 | ||||||||
Pernod-Ricard S.A. (France)4, 5.75%, 4/7/2021 | 1,350,000 | 1,503,257 | ||||||||
SABMiller plc (United Kingdom)4, 6.50%, 7/15/2018 | 1,000,000 | 1,113,928 | ||||||||
|
| |||||||||
9,509,155 | ||||||||||
|
| |||||||||
Food & Staples Retailing - 0.2% | ||||||||||
C&S Group Enterprises LLC4, 5.375%, 7/15/2022 | 1,320,000 | 1,207,800 | ||||||||
CVS Health Corp., 3.50%, 7/20/2022 | 1,450,000 | 1,495,858 | ||||||||
|
| |||||||||
2,703,658 | ||||||||||
|
| |||||||||
Food Products - 0.1% | ||||||||||
Kraft Heinz Foods Co., 6.75%, 3/15/2032 | 895,000 | 1,035,523 | ||||||||
Pinnacle Operating Corp.4, 9.00%, 11/15/2020. | 1,255,000 | 1,217,350 | ||||||||
|
| |||||||||
2,252,873 | ||||||||||
|
| |||||||||
Household Products - 0.1% | ||||||||||
HRG Group, Inc., 7.875%, 7/15/2019 | 1,200,000 | 1,273,500 | ||||||||
HRG Group, Inc., 7.75%, 1/15/2022 | 960,000 | 952,800 | ||||||||
|
| |||||||||
2,226,300 | ||||||||||
|
| |||||||||
Total Consumer Staples | 16,691,986 | |||||||||
|
| |||||||||
Energy - 1.6% | ||||||||||
Energy Equipment & Services - 0.3% | ||||||||||
Baker Hughes, Inc., 7.50%, 11/15/2018 | 1,215,000 | 1,398,299 | ||||||||
Calfrac Holdings LP (Canada)4, 7.50%, 12/1/2020 | 885,000 | 502,237 | ||||||||
Ensco plc, 5.20%, 3/15/2025 | 1,465,000 | 1,223,534 | ||||||||
FTS International, Inc., 6.25%, 5/1/2022 | 940,000 | 216,200 | ||||||||
Pride International, Inc., 8.50%, 6/15/2019 | 700,000 | 712,405 | ||||||||
Schlumberger Oilfield plc4, 4.20%, 1/15/2021 | 905,000 | 975,691 | ||||||||
Seventy Seven Operating LLC, 6.625%, 11/15/2019 | 940,000 | 556,950 | ||||||||
|
| |||||||||
5,585,316 | ||||||||||
|
| |||||||||
Oil, Gas & Consumable Fuels - 1.3% | ||||||||||
BP Capital Markets plc (United Kingdom), 3.535%, 11/4/2024 | 350,000 | 355,058 | ||||||||
Columbia Pipeline Group, Inc.4, 2.45%, 6/1/2018 | 800,000 | 801,145 |
The accompanying notes are an integral part of the financial statements.
44
Investment Portfolio - October 31, 2015
PRO-BLEND® MODERATE TERM SERIES | PRINCIPAL AMOUNT 2 | VALUE (NOTE 2) | ||||||||||||
CORPORATE BONDS (continued) | ||||||||||||||
Non-Convertible Corporate Bonds (continued) | ||||||||||||||
Energy (continued) | ||||||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||||
Columbia Pipeline Group, Inc.4, 4.50%, 6/1/2025 | 1,050,000 | $ | 1,010,440 | |||||||||||
Crestwood Midstream Partners LP - Crestwood Midstream Finance Corp., 6.125%, 3/1/2022 | 1,460,000 | 1,255,600 | ||||||||||||
El Paso Natural Gas Co. LLC, 8.625%, 1/15/2022 | 350,000 | 415,223 | ||||||||||||
Hiland Partners LP - Hiland Partners Finance Corp.4, 7.25%, 10/1/2020 | 1,400,000 | 1,463,000 | ||||||||||||
Kinder Morgan, Inc.4, 5.625%, 11/15/2023. | 1,950,000 | 1,895,092 | ||||||||||||
Petrobras Global Finance B.V. (Brazil)3, 1.953%, 5/20/2016 | 3,680,000 | 3,600,696 | ||||||||||||
Petroleos Mexicanos (Mexico), 5.75%, 3/1/2018 | 1,345,000 | 1,428,592 | ||||||||||||
Petroleos Mexicanos (Mexico), 3.50%, 7/18/2018 | 450,000 | 457,650 | ||||||||||||
Petroleos Mexicanos (Mexico)4, 4.50%, 1/23/2026 | 1,925,000 | 1,837,990 | ||||||||||||
Sabine Pass Liquefaction LLC, 5.625%, 2/1/2021 | 1,970,000 | 1,955,225 | ||||||||||||
Talisman Energy, Inc. (Canada), 3.75%, 2/1/2021 | 2,090,000 | 1,908,285 | ||||||||||||
Targa Resources Partners LP - Targa Resources Partners Finance Corp.4, 6.75%, 3/15/2024 | 975,000 | 959,156 | ||||||||||||
WPX Energy, Inc., 6.00%, 1/15/2022 | 1,075,000 | 946,000 | ||||||||||||
|
| |||||||||||||
20,289,152 | ||||||||||||||
|
| |||||||||||||
Total Energy | 25,874,468 | |||||||||||||
|
| |||||||||||||
Financials - 11.7% | ||||||||||||||
Banks - 4.4% | ||||||||||||||
Bank of America Corp., 6.50%, 8/1/2016 | 1,900,000 | 1,977,275 | ||||||||||||
Bank of America Corp., 5.75%, 8/15/2016 | 1,135,000 | 1,173,950 | ||||||||||||
Bank of America Corp., 5.70%, 5/2/2017 | 3,061,000 | 3,229,030 | ||||||||||||
Bank of America Corp., 6.875%, 4/25/2018 | 1,030,000 | 1,149,642 | ||||||||||||
Bank of America Corp., 7.625%, 6/1/2019 | 415,000 | 488,889 | ||||||||||||
Bank of Montreal (Canada)4, 1.95%, 1/30/2017 | 6,730,000 | 6,812,530 | ||||||||||||
The Bank of Nova Scotia (Canada), 1.85%, 4/14/2020 | 6,830,000 | 6,746,271 | ||||||||||||
Barclays Bank plc (United Kingdom)4, 6.05%, 12/4/2017 | 1,650,000 | 1,779,226 | ||||||||||||
Barclays Bank plc (United Kingdom), 5.14%, 10/14/2020 | 1,050,000 | 1,150,995 | ||||||||||||
Barclays Bank plc (United Kingdom)4, 10.179%, 6/12/2021 | 1,200,000 | 1,575,756 | ||||||||||||
BBVA Bancomer S.A. (Mexico)4, 6.75%, 9/30/2022 | 1,655,000 | 1,856,910 | ||||||||||||
Citigroup, Inc., 1.80%, 2/5/2018 | 1,400,000 | 1,397,504 | ||||||||||||
Citigroup, Inc., 3.875%, 3/26/2025 | 1,325,000 | 1,292,890 | ||||||||||||
Commonwealth Bank of Australia (Australia), 5.75%, 1/25/2017 | AUD | 390,000 | 289,463 | |||||||||||
Cooperatieve Centrale Raiffeisen- Boerenleenbank B.A. (Netherlands)5,6, 8.375% | 700,000 | 728,013 | ||||||||||||
Cooperatieve Centrale Raiffeisen- Boerenleenbank B.A. (Netherlands)5,7, 8.40% | 670,000 | 725,476 | ||||||||||||
HSBC Bank plc (United Kingdom)4, 1.50%, 5/15/2018 | 1,605,000 | 1,596,506 | ||||||||||||
ING Bank N.V. (Netherlands)4, 1.80%, 3/16/2018 | 725,000 | 724,979 | ||||||||||||
Intesa Sanpaolo S.p.A. (Italy), 3.875%, 1/15/2019 | 3,000,000 | 3,119,763 | ||||||||||||
Intesa Sanpaolo S.p.A. (Italy)4, 6.50%, 2/24/2021 | 1,380,000 | 1,589,594 | ||||||||||||
JPMorgan Chase & Co., 3.15%, 7/5/2016 | 4,025,000 | 4,076,456 | ||||||||||||
JPMorgan Chase & Co., 4.95%, 3/25/2020 | 4,040,000 | 4,433,266 | ||||||||||||
Lloyds Bank plc (United Kingdom)4,5,8, 12.00% | 1,000,000 | 1,430,000 | ||||||||||||
Lloyds Bank plc (United Kingdom)4, 6.50%, 9/14/2020 | 2,225,000 | 2,567,552 | ||||||||||||
Lloyds Bank plc (United Kingdom)3, 9.875%, 12/16/2021 | 1,300,000 | 1,411,462 | ||||||||||||
National Australia Bank Ltd. (Australia)4, 2.00%, 2/22/2019 | 2,800,000 | 2,818,810 | ||||||||||||
National Bank of Canada (Canada)4, 1.40%, 4/20/2018 | 4,300,000 | 4,296,947 | ||||||||||||
Popular, Inc., 7.00%, 7/1/2019 | 1,980,000 | 1,930,500 | ||||||||||||
Royal Bank of Canada (Canada), 3.77%, 3/30/2018 | CAD | 450,000 | 362,798 | |||||||||||
Royal Bank of Scotland Group plc (United Kingdom)3, 1.267%, 3/31/2017 | 3,000,000 | 2,998,698 | ||||||||||||
Royal Bank of Scotland Group plc (United Kingdom), 5.125%, 5/28/2024 | 1,450,000 | 1,486,694 | ||||||||||||
Santander Bank N.A., 8.75%, 5/30/2018 | 1,250,000 | 1,427,426 | ||||||||||||
Santander Holdings USA, Inc., 4.625%, 4/19/2016 | 365,000 | 371,055 | ||||||||||||
Santander Holdings USA, Inc., 2.65%, 4/17/2020 | 1,265,000 | 1,251,005 | ||||||||||||
Wells Fargo Bank N.A., 6.00%, 11/15/2017. | 175,000 | 190,128 | ||||||||||||
Westpac Banking Corp. (Australia), 5.75%, 2/6/2017 | AUD | 400,000 | 297,117 | |||||||||||
|
| |||||||||||||
70,754,576 | ||||||||||||||
|
|
The accompanying notes are an integral part of the financial statements.
45
Investment Portfolio - October 31, 2015
PRO-BLEND® MODERATE TERM SERIES | PRINCIPAL AMOUNT 2 | VALUE (NOTE 2) | ||||||||
CORPORATE BONDS (continued) | ||||||||||
Non-Convertible Corporate Bonds (continued) | ||||||||||
Financials (continued) | ||||||||||
Capital Markets - 2.4% | ||||||||||
The Goldman Sachs Group, Inc., 3.625%, 2/7/2016 | 4,400,000 | $ | 4,434,087 | |||||||
The Goldman Sachs Group, Inc., 6.15%, 4/1/2018 | 2,510,000 | 2,763,038 | ||||||||
The Goldman Sachs Group, Inc.3, 1.421%, 11/15/2018 | 6,235,000 | 6,266,300 | ||||||||
The Goldman Sachs Group, Inc., 5.375%, 3/15/2020 | 4,285,000 | 4,786,096 | ||||||||
The Goldman Sachs Group, Inc.3, 1.925%, 11/29/2023 | 1,120,000 | 1,129,994 | ||||||||
The Goldman Sachs Group, Inc., 4.25%, 10/21/2025 | 1,365,000 | 1,364,468 | ||||||||
Morgan Stanley, 3.80%, 4/29/2016 | 5,020,000 | 5,096,204 | ||||||||
Morgan Stanley, 2.125%, 4/25/2018 | 5,000,000 | 5,040,135 | ||||||||
Morgan Stanley, 5.75%, 1/25/2021 | 2,965,000 | 3,379,237 | ||||||||
Morgan Stanley, 5.00%, 11/24/2025 | 1,075,000 | 1,150,266 | ||||||||
UBS AG (Switzerland)3, 7.25%, 2/22/2022 | 1,170,000 | 1,234,055 | ||||||||
UBS AG (Switzerland), 7.625%, 8/17/2022 | 810,000 | 936,830 | ||||||||
UBS AG (Switzerland)3, 4.75%, 5/22/2023 | 1,005,000 | 1,033,291 | ||||||||
|
| |||||||||
38,614,001 | ||||||||||
|
| |||||||||
Consumer Finance - 0.3% | ||||||||||
Capital One Bank USA N.A., 2.15%, 11/21/2018. | 900,000 | 898,339 | ||||||||
Caterpillar Financial Services Corp., 7.05%, 10/1/2018 | 1,500,000 | 1,719,833 | ||||||||
Caterpillar Financial Services Corp., 7.15%, 2/15/2019 | 295,000 | 342,386 | ||||||||
CNG Holdings, Inc.4, 9.375%, 5/15/2020 | 950,000 | 480,937 | ||||||||
Navient Corp., 6.125%, 3/25/2024 | 1,880,000 | 1,696,700 | ||||||||
|
| |||||||||
5,138,195 | ||||||||||
|
| |||||||||
Diversified Financial Services - 1.0% | ||||||||||
The Bear Stearns Companies LLC, 7.25%, 2/1/2018 | 85,000 | 95,087 | ||||||||
CME Group, Inc., 3.00%, 9/15/2022 | 1,240,000 | 1,248,370 | ||||||||
General Electric Capital Corp.5,9, 7.125% | 1,950,000 | 2,291,250 | ||||||||
General Electric Capital Corp.3, 0.714%, 5/5/2026 | 2,310,000 | 2,161,079 | ||||||||
ING Bank N.V. (Netherlands)4, 5.80%, 9/25/2023 | 1,850,000 | 2,033,783 | ||||||||
ING Bank N.V. (Netherlands)3, 4.125%, 11/21/2023 | 1,475,000 | 1,515,563 | ||||||||
Jefferies Finance LLC - JFIN Co-Issuer Corp.4, 7.375%, 4/1/2020 | 870,000 | 852,600 | ||||||||
Jefferies Finance LLC - JFIN Co-Issuer Corp.4, 6.875%, 4/15/2022 | 1,030,000 | 968,200 | ||||||||
Jefferies Group LLC, 8.50%, 7/15/2019 | 1,175,000 | 1,383,910 | ||||||||
Jefferies Group LLC, 5.125%, 1/20/2023 | 2,100,000 | 2,101,684 | ||||||||
Peachtree Corners Funding Trust4, 3.976%, 2/15/2025 | 475,000 | 478,053 | ||||||||
Voya Financial, Inc., 5.50%, 7/15/2022 | 1,165,000 | 1,319,061 | ||||||||
|
| |||||||||
16,448,640 | ||||||||||
|
| |||||||||
Insurance - 1.2% | ||||||||||
Aegon N.V. (Netherlands)3,5, 2.142% | 2,150,000 | 1,689,363 | ||||||||
American International Group, Inc., 4.875%, 6/1/2022 | 3,705,000 | 4,120,290 | ||||||||
Assured Guaranty US Holdings, Inc., 5.00%, 7/1/2024 | 4,835,000 | 5,048,248 | ||||||||
AXA S.A. (France)3,5, 2.312% | 2,640,000 | 2,164,800 | ||||||||
Fidelity National Financial, Inc., 6.60%, 5/15/2017 | 1,985,000 | 2,117,846 | ||||||||
First American Financial Corp., 4.30%, 2/1/2023 | 1,650,000 | 1,645,035 | ||||||||
Prudential Financial, Inc.5,10, 5.875% | 1,950,000 | 2,067,000 | ||||||||
|
| |||||||||
18,852,582 | ||||||||||
|
| |||||||||
Real Estate Investment Trusts (REITS) - 2.1% | ||||||||||
American Tower Corp., 2.80%, 6/1/2020 | 1,300,000 | 1,293,951 | ||||||||
BioMed Realty LP, 3.85%, 4/15/2016 | 235,000 | 236,954 | ||||||||
Boston Properties LP, 5.875%, 10/15/2019 | 1,415,000 | 1,586,023 | ||||||||
Boston Properties LP, 5.625%, 11/15/2020 | 410,000 | 462,471 | ||||||||
Camden Property Trust, 5.70%, 5/15/2017 | 705,000 | 747,390 | ||||||||
Crown Castle Towers LLC4, 6.113%, 1/15/2020 | 1,040,000 | 1,148,539 | ||||||||
Crown Castle Towers LLC4, 4.883%, 8/15/2020 | 333,000 | 359,618 | ||||||||
Crown Castle Towers LLC4, 3.222%, 5/15/2022 | 1,300,000 | 1,277,939 | ||||||||
Digital Realty Trust LP, 5.875%, 2/1/2020 | 4,950,000 | 5,441,748 | ||||||||
Duke Realty LP, 3.75%, 12/1/2024 | 1,350,000 | 1,319,788 | ||||||||
DuPont Fabros Technology LP, 5.875%, 9/15/2021 | 1,365,000 | 1,433,250 | ||||||||
HCP, Inc., 6.70%, 1/30/2018 | 3,675,000 | 4,044,062 | ||||||||
HCP, Inc., 4.00%, 6/1/2025 | 1,000,000 | 982,520 | ||||||||
Hospitality Properties Trust, 6.70%, 1/15/2018 | 1,385,000 | 1,480,148 | ||||||||
Qualitytech LP - QTS Finance Corp., 5.875%, 8/1/2022 | 735,000 | 755,213 | ||||||||
Rialto Holdings LLC - Rialto Corp.4, 7.00%, 12/1/2018 | 1,415,000 | 1,450,375 | ||||||||
Simon Property Group LP, 10.35%, 4/1/2019 | 2,210,000 | 2,753,879 |
The accompanying notes are an integral part of the financial statements.
46
Investment Portfolio - October 31, 2015
PRO-BLEND® MODERATE TERM SERIES | PRINCIPAL AMOUNT 2 | VALUE (NOTE 2) | ||||||||
CORPORATE BONDS (continued) | ||||||||||
Non-Convertible Corporate Bonds (continued) | ||||||||||
Financials (continued) | ||||||||||
Real Estate Investment Trusts (REITS) (continued) | ||||||||||
Simon Property Group LP, 5.65%, 2/1/2020 | 1,795,000 | $ | 2,030,658 | |||||||
UDR, Inc., 4.625%, 1/10/2022 | 980,000 | 1,051,895 | ||||||||
Welltower, Inc., 6.20%, 6/1/2016 | 3,640,000 | 3,736,962 | ||||||||
Welltower, Inc., 4.95%, 1/15/2021 | 330,000 | 357,326 | ||||||||
Welltower, Inc., 4.00%, 6/1/2025 | 900,000 | 891,184 | ||||||||
|
| |||||||||
34,841,893 | ||||||||||
|
| |||||||||
Real Estate Management & Development - 0.1% | ||||||||||
Forestar USA Real Estate Group, Inc.4, 8.50%, 6/1/2022 | 845,000 | 857,675 | ||||||||
Greystar Real Estate Partners LLC4, 8.25%, 12/1/2022 | 915,000 | 963,037 | ||||||||
|
| |||||||||
1,820,712 | ||||||||||
|
| |||||||||
Thrifts & Mortgage Finance - 0.2% | ||||||||||
Ladder Capital Finance Holdings LLLP - Ladder Capital Finance Corp., 7.375%, 10/1/2017 | 1,455,000 | 1,462,275 | ||||||||
Ladder Capital Finance Holdings LLLP - Ladder Capital Finance Corp.4, 5.875%, 8/1/2021 | 985,000 | 920,975 | ||||||||
Prospect Holding Co. LLC - Prospect Holding Finance Co.4, 10.25%, 10/1/2018 | 950,000 | 465,500 | ||||||||
|
| |||||||||
2,848,750 | ||||||||||
|
| |||||||||
Total Financials | 189,319,349 | |||||||||
|
| |||||||||
Health Care - 0.7% | ||||||||||
Biotechnology - 0.3% | ||||||||||
AMAG Pharmaceuticals, Inc.4, 7.875%, 9/1/2023 | 1,555,000 | 1,450,037 | ||||||||
Amgen, Inc., 2.20%, 5/22/2019 | 1,472,000 | 1,478,419 | ||||||||
Amgen, Inc., 2.70%, 5/1/2022 | 1,270,000 | 1,246,182 | ||||||||
|
| |||||||||
4,174,638 | ||||||||||
|
| |||||||||
Health Care Equipment & Supplies - 0.0%## | ||||||||||
Zimmer Biomet Holdings, Inc., 1.45%, 4/1/2017 | 475,000 | 473,927 | ||||||||
|
| |||||||||
Health Care Providers & Services - 0.2% | ||||||||||
Aetna, Inc., 3.50%, 11/15/2024 | 1,495,000 | 1,506,266 | ||||||||
Express Scripts Holding Co., 4.75%, 11/15/2021 | 1,250,000 | 1,353,325 | ||||||||
Tenet Healthcare Corp.3,4, 3.837%, 6/15/2020 | 1,025,000 | 1,017,313 | ||||||||
|
| |||||||||
3,876,904 | ||||||||||
|
| |||||||||
Pharmaceuticals - 0.2% | ||||||||||
Concordia Healthcare Corp. (Canada)4, 7.00%, 4/15/2023 | 1,440,000 | 1,252,800 | ||||||||
Roche Holdings, Inc. (Switzerland)4, 6.00%, 3/1/2019 | 1,184,000 | 1,339,601 | ||||||||
|
| |||||||||
2,592,401 | ||||||||||
|
| |||||||||
Total Health Care | 11,117,870 | |||||||||
|
| |||||||||
Industrials - 2.6% | ||||||||||
Aerospace & Defense - 0.2% | ||||||||||
DigitalGlobe, Inc.4, 5.25%, 2/1/2021 | 2,013,000 | 1,810,855 | ||||||||
L-3 Communications Corp., 3.95%, 11/15/2016 | 130,000 | 132,636 | ||||||||
Textron, Inc., 7.25%, 10/1/2019 | 1,000,000 | 1,154,569 | ||||||||
|
| |||||||||
3,098,060 | ||||||||||
|
| |||||||||
Air Freight & Logistics - 0.1% | ||||||||||
Neovia Logistics Intermediate Holdings LLC - Logistics Intermediate Finance Corp.4,11, 10.00%, 2/15/2018 | 880,000 | 884,400 | ||||||||
|
| |||||||||
Airlines - 0.5% | ||||||||||
Allegiant Travel Co., 5.50%, 7/15/2019 | 1,890,000 | 1,929,690 | ||||||||
American Airlines Pass-Through Trust, Series 2013-2, Class A, 4.95%, 1/15/2023 | 1,913,564 | 2,049,810 | ||||||||
Delta Air Lines Pass-Through Trust, Series 2010-1, Class B4, 6.375%, 1/2/2016 | 710,000 | 715,325 | ||||||||
Delta Air Lines Pass-Through Trust, Series 2010-2, Class B, 6.75%, 11/23/2015 | 2,285,000 | 2,290,713 | ||||||||
Southwest Airlines Co., 2.75%, 11/6/2019 | 1,495,000 | 1,514,598 | ||||||||
|
| |||||||||
8,500,136 | ||||||||||
|
| |||||||||
Commercial Services & Supplies - 0.1% | ||||||||||
Constellis Holdings LLC - Constellis Finance Corp.4, 9.75%, 5/15/2020 | 865,000 | 782,825 | ||||||||
Modular Space Corp.4, 10.25%, 1/31/2019 | 945,000 | 564,637 | ||||||||
|
| |||||||||
1,347,462 | ||||||||||
|
| |||||||||
Construction & Engineering - 0.0%## | ||||||||||
Abengoa Finance S.A.U. (Spain)4, 7.75%, 2/1/2020 | 1,100,000 | 462,000 | ||||||||
|
| |||||||||
Industrial Conglomerates - 0.1% | ||||||||||
Danaher Corp., 1.65%, 9/15/2018 | 1,450,000 | 1,455,478 | ||||||||
|
| |||||||||
Machinery - 0.4% | ||||||||||
CNH Industrial Capital LLC, 3.875%, 11/1/2015 | 2,215,000 | 2,215,000 | ||||||||
John Deere Capital Corp., 1.60%, 7/13/2018 | 1,500,000 | 1,506,113 | ||||||||
SPL Logistics Escrow LLC - SPL Logistics Finance Corp.4, 8.875%, 8/1/2020 | 985,000 | 1,044,100 |
The accompanying notes are an integral part of the financial statements.
47
Investment Portfolio - October 31, 2015
PRO-BLEND® MODERATE TERM SERIES | PRINCIPAL AMOUNT 2 | VALUE (NOTE 2) | ||||||||
CORPORATE BONDS (continued) | ||||||||||
Non-Convertible Corporate Bonds (continued) | ||||||||||
Industrials (continued) | ||||||||||
Machinery (continued) | ||||||||||
Waterjet Holdings, Inc.4, 7.625%, 2/1/2020 | 1,030,000 | $ | 1,037,725 | |||||||
|
| |||||||||
5,802,938 | ||||||||||
|
| |||||||||
Road & Rail - 0.1% | ||||||||||
Burlington Northern Santa Fe LLC, 3.00%, 4/1/2025 | 600,000 | 578,896 | ||||||||
Union Pacific Corp., 5.65%, 5/1/2017 | 815,000 | 866,679 | ||||||||
Union Pacific Corp., 7.875%, 1/15/2019 | 495,000 | 580,456 | ||||||||
|
| |||||||||
2,026,031 | ||||||||||
|
| |||||||||
Trading Companies & Distributors - 1.1% | ||||||||||
Air Lease Corp., 2.625%, 9/4/2018 | 2,935,000 | 2,923,172 | ||||||||
Air Lease Corp., 3.375%, 1/15/2019 | 1,850,000 | 1,887,000 | ||||||||
Aircastle Ltd., 5.50%, 2/15/2022 | 830,000 | 877,725 | ||||||||
Aviation Capital Group Corp.4, 3.875%, 9/27/2016 | 3,995,000 | 4,044,937 | ||||||||
Aviation Capital Group Corp.4, 2.875%, 9/17/2018 | 1,300,000 | 1,298,999 | ||||||||
Fly Leasing Ltd. (Ireland), 6.75%, 12/15/2020 | 1,230,000 | 1,291,500 | ||||||||
Fly Leasing Ltd. (Ireland), 6.375%, 10/15/2021 | 1,100,000 | 1,133,000 | ||||||||
International Lease Finance Corp., 5.75%, 5/15/2016 | 970,000 | 987,586 | ||||||||
International Lease Finance Corp.3, 2.287%, 6/15/2016 | 1,525,000 | 1,522,103 | ||||||||
International Lease Finance Corp., 8.75%, 3/15/2017 | 1,490,000 | 1,607,337 | ||||||||
|
| |||||||||
17,573,359 | ||||||||||
|
| |||||||||
Total Industrials | 41,149,864 | |||||||||
|
| |||||||||
Information Technology - 0.6% | ||||||||||
Communications Equipment - 0.1% | ||||||||||
QUALCOMM, Inc., 3.45%, 5/20/2025 | 1,300,000 | 1,248,471 | ||||||||
|
| |||||||||
Internet Software & Services - 0.1% | ||||||||||
Tencent Holdings Ltd. (China)4, 3.375%, 5/2/2019 | 1,645,000 | 1,680,173 | ||||||||
|
| |||||||||
IT Services - 0.2% | ||||||||||
Automatic Data Processing, Inc., 2.25%, 9/15/2020 | 1,405,000 | 1,417,927 | ||||||||
Xerox Corp., 2.80%, 5/15/2020 | 1,500,000 | 1,423,926 | ||||||||
|
| |||||||||
2,841,853 | ||||||||||
|
| |||||||||
Semiconductors & Semiconductor Equipment - 0.1% | ||||||||||
Intel Corp., 2.45%, 7/29/2020 | 1,490,000 | 1,513,880 | ||||||||
|
| |||||||||
Technology Hardware, Storage & Peripherals - 0.1% | ||||||||||
Apple, Inc., 2.40%, 5/3/2023 | 645,000 | 631,036 | ||||||||
Hewlett Packard Enterprise Co.4, 2.45%, 10/5/2017 | 1,545,000 | 1,549,516 | ||||||||
|
| |||||||||
2,180,552 | ||||||||||
|
| |||||||||
Total Information Technology | 9,464,929 | |||||||||
|
| |||||||||
Materials - 0.8% | ||||||||||
Chemicals - 0.3% | ||||||||||
Consolidated Energy Finance S.A. (Trinidad-Tobago)4, 6.75%, 10/15/2019 | 1,305,000 | 1,298,475 | ||||||||
The Dow Chemical Co., 8.55%, 5/15/2019 | 2,305,000 | 2,772,129 | ||||||||
LyondellBasell Industries N.V., 5.00%, 4/15/2019 | 500,000 | 537,943 | ||||||||
|
| |||||||||
4,608,547 | ||||||||||
|
| |||||||||
Containers & Packaging - 0.1% | ||||||||||
Ardagh Packaging Finance plc - Ardagh Holdings USA, Inc. (Ireland)3,4, 3.337%, 12/15/2019 | 1,785,000 | 1,758,225 | ||||||||
|
| |||||||||
Metals & Mining - 0.3% | ||||||||||
BHP Billiton Finance (USA) Ltd. (Australia), 6.50%, 4/1/2019 | 1,275,000 | 1,447,893 | ||||||||
Rio Tinto Finance USA Ltd. (United Kingdom), 3.75%, 9/20/2021 | 1,585,000 | 1,622,045 | ||||||||
Steel Dynamics, Inc., 5.125%, 10/1/2021 | 975,000 | 967,687 | ||||||||
SunCoke Energy Partners LP - SunCoke Energy Partners Finance Corp.4, 7.375%, 2/1/2020 | 1,030,000 | 854,900 | ||||||||
|
| |||||||||
4,892,525 | ||||||||||
|
| |||||||||
Paper & Forest Products - 0.1% | ||||||||||
Domtar Corp., 4.40%, 4/1/2022 | 1,425,000 | 1,451,857 | ||||||||
|
| |||||||||
Total Materials | 12,711,154 | |||||||||
|
| |||||||||
Telecommunication Services - 1.0% | ||||||||||
Diversified Telecommunication Services - 0.4% | ||||||||||
CenturyLink, Inc., 5.80%, 3/15/2022 | 1,280,000 | 1,244,800 | ||||||||
Frontier Communications Corp., 7.625%, 4/15/2024 | 1,005,000 | 899,475 | ||||||||
Frontier Communications Corp.4, 11.00%, 9/15/2025 | 1,085,000 | 1,137,210 | ||||||||
Telefonica Emisiones S.A.U. (Spain), 6.221%, 7/3/2017 | 2,300,000 | 2,471,516 | ||||||||
Windstream Services LLC, 7.875%, 11/1/2017 | 775,000 | 821,981 | ||||||||
|
| |||||||||
6,574,982 | ||||||||||
|
| |||||||||
Wireless Telecommunication Services - 0.6% | ||||||||||
Altice Financing S.A. (Luxembourg)4, 6.50%, 1/15/2022 | 2,405,000 | 2,435,063 | ||||||||
SBA Tower Trust4, 5.101%, 4/17/2017 | 575,000 | 587,094 |
The accompanying notes are an integral part of the financial statements.
48
Investment Portfolio - October 31, 2015
PRO-BLEND® MODERATE TERM SERIES | PRINCIPAL AMOUNT 2 | VALUE (NOTE 2) | ||||||||
CORPORATE BONDS (continued) | ||||||||||
Non-Convertible Corporate Bonds (continued) | ||||||||||
Telecommunication Services (continued) | ||||||||||
Wireless Telecommunication Services (continued) | ||||||||||
SBA Tower Trust4, 2.933%, 12/15/2017 | 1,680,000 | $ | 1,699,827 | |||||||
SBA Tower Trust4, 3.598%, 4/15/2018 | 1,500,000 | 1,503,789 | ||||||||
Sixsigma Networks Mexico S.A. de C.V. (Mexico)4, 8.25%, 11/7/2021 | 1,485,000 | 1,447,875 | ||||||||
T-Mobile USA, Inc., 6.836%, 4/28/2023 | 1,335,000 | 1,378,387 | ||||||||
|
| |||||||||
9,052,035 | ||||||||||
|
| |||||||||
Total Telecommunication Services | 15,627,017 | |||||||||
|
| |||||||||
Utilities - 0.5% | ||||||||||
Independent Power and Renewable Electricity Producers - 0.5% | ||||||||||
Abengoa Yield plc (Spain)4, 7.00%, 11/15/2019 | 1,295,000 | 1,178,450 | ||||||||
ContourGlobal Power Holdings S.A. (France)4, 7.125%, 6/1/2019 | 1,275,000 | 1,271,813 | ||||||||
NRG Energy, Inc., 6.25%, 7/15/2022 | 970,000 | 892,400 | ||||||||
Talen Energy Supply LLC4, 4.625%, 7/15/2019 | 2,000,000 | 1,829,600 | ||||||||
TerraForm Global Operating LLC4, 9.75%, 8/15/2022 | 1,535,000 | 1,373,825 | ||||||||
TerraForm Power Operating LLC4, 6.125%, 6/15/2025 | 1,540,000 | 1,386,000 | ||||||||
|
| |||||||||
Total Utilities | 7,932,088 | |||||||||
|
| |||||||||
TOTAL CORPORATE BONDS | 375,154,342 | |||||||||
|
| |||||||||
U.S. TREASURY SECURITIES - 2.0% | ||||||||||
U.S. Treasury Bonds - 0.8% | ||||||||||
U.S. Treasury Inflation Indexed Bonds, 0.75%, 2/15/2042 (Identified Cost $14,010,574) | 15,346,322 | 13,716,539 | ||||||||
|
| |||||||||
U.S. Treasury Notes - 1.2% | ||||||||||
U.S. Treasury Note, 1.375%, 4/30/2020 (Identified Cost $18,967,844) | 19,000,000 | 18,921,815 | ||||||||
|
| |||||||||
TOTAL U.S. TREASURY SECURITIES | 32,638,354 | |||||||||
|
| |||||||||
ASSET-BACKED SECURITIES - 1.1% | ||||||||||
Alterna Funding I LLC, Series 2014-1A, Class NOTE4, 1.639%, 2/15/2021 | 850,654 | 847,728 | ||||||||
Cazenovia Creek Funding I LLC, Series 2015-1A, Class A4, 2.00%, 12/10/2023 | 1,776,803 | 1,779,823 | ||||||||
Colony American Homes, Series 2015-1A, Class A3,4, 1.397%, 7/17/2032 | 1,299,380 | 1,267,909 | ||||||||
Enterprise Fleet Financing LLC, Series 2014-2, Class A24, 1.05%, 3/20/2020 | 1,503,077 | 1,498,783 | ||||||||
Enterprise Fleet Financing LLC, Series 2015-2, Class A24, 1.59%, 2/22/2021 | 3,500,000 | 3,488,361 | ||||||||
FDIC Trust, Series 2011-R1, Class A4, 2.672%, 7/25/2026 | 675,008 | 689,506 | ||||||||
FNA Trust, Series 2014-1A, Class A4, 1.296%, 12/10/2022 | 599,068 | 599,343 | ||||||||
Ford Credit Auto Owner Trust, Series 2012-D, Class A3, 0.51%, 4/15/2017 | 38,914 | 38,909 | ||||||||
Hertz Vehicle Financing LLC, Series 2010-1A, Class A24, 3.74%, 2/25/2017 | 460,000 | 462,217 | ||||||||
Invitation Homes Trust, Series 2015-SFR3, Class A3,4, 1.497%, 8/17/2032 | 2,484,843 | 2,434,995 | ||||||||
NextGear Floorplan Master Owner Trust, Series 2014-1A, Class A4, 1.92%, 10/15/2019 | 1,400,000 | 1,394,665 | ||||||||
SpringCastle America Funding LLC, Series 2014-AA, Class A4, 2.70%, 5/25/2023 | 1,614,486 | 1,618,037 | ||||||||
Starwood Retail Property Trust, Series 2014-STAR, Class A3,4, 1.416%, 11/15/2027 | 2,116,000 | 2,099,909 | ||||||||
|
| |||||||||
TOTAL ASSET-BACKED SECURITIES | 18,220,185 | |||||||||
|
| |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES - 8.0% | ||||||||||
Americold LLC Trust, Series 2010-ARTA, Class A14, 3.847%, 1/14/2029 | 243,248 | 253,274 | ||||||||
Banc of America Commercial Mortgage Trust, Series 2006-2, Class A43, 5.997%, 5/10/2045 | 2,083,828 | 2,101,077 | ||||||||
Banc of America Commercial Mortgage Trust, Series 2006-3, Class A43, 5.889%, 7/10/2044 | 1,910,895 | 1,935,476 | ||||||||
Banc of America Commercial Mortgage Trust, Series 2006-4, Class A4, 5.634%, 7/10/2046 | 969,289 | 981,470 | ||||||||
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-PW12, Class A43, 5.899%, 9/11/2038 | 572,030 | 578,196 | ||||||||
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-PW13, Class A4, 5.54%, 9/11/2041 | 999,856 | 1,017,233 | ||||||||
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-T24, Class AM3, 5.568%, 10/12/2041 | 1,600,000 | 1,656,238 |
The accompanying notes are an integral part of the financial statements.
49
Investment Portfolio - October 31, 2015
PRO-BLEND® MODERATE TERM SERIES | PRINCIPAL AMOUNT 2 | VALUE (NOTE 2) | ||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
BWAY Mortgage Trust, Series 2015-1740, Class A4, 2.917%, 1/13/2035 | 4,700,000 | $ | 4,523,624 | |||||||||
CFCRE Commercial Mortgage Trust, Series 2011-C1, Class A24, 3.759%, 4/15/2044 | 181,442 | 182,530 | ||||||||||
COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class A4, 5.223%, 8/15/2048 | 3,681,050 | 3,774,485 | ||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2006-GG7, Class A43, 6.021%, 7/10/2038 | 527,109 | 531,779 | ||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2010-C1, Class A14, 3.156%, 7/10/2046 | 7,277 | 7,272 | ||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2015-3BP, Class A4, 3.178%, 2/10/2035 | 4,700,000 | 4,690,893 | ||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2015-DC1, Class A5, 3.35%, 2/10/2048 | 5,000,000 | 5,061,823 | ||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2015-LC19, Class A4, 3.183%, 2/10/2048 | 5,225,000 | 5,245,823 | ||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2015-PC1, Class A5, 3.902%, 7/10/2050 | 2,250,000 | 2,369,793 | ||||||||||
Credit Suisse Mortgage Capital Trust, Series 2013-IVR3, Class A13,4, 2.50%, 5/25/2043 | 1,793,024 | 1,725,716 | ||||||||||
Credit Suisse Mortgage Capital Trust, Series 2013-TH1, Class A13,4, 2.13%, 2/25/2043 | 1,474,696 | 1,389,704 | ||||||||||
DB-UBS Mortgage Trust, Series 2011-LC1A, Class A14, 3.742%, 11/10/2046 | 148,877 | 149,625 | ||||||||||
Extended Stay America Trust, Series 2013-ESH7, Class A274, 2.958%, 12/5/2031 | 1,875,000 | 1,876,956 | ||||||||||
Fannie Mae Multifamily REMIC Trust, Series 2012-M13, Class ASQ2, 1.246%, 8/25/2017 | 1,138,302 | 1,142,558 | ||||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K009, Class X1 (IO)3, 1.612%, 8/25/2020 | 18,590,134 | 974,361 | ||||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K014, Class X1 (IO)3, 1.404%, 4/25/2021 | 8,782,637 | 498,806 | ||||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K016, Class X1 (IO)3, 1.71%, 10/25/2021 | 5,809,046 | 441,615 | ||||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K017, Class X1 (IO)3, 1.567%, 12/25/2021 | 8,942,665 | 619,177 | ||||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K021, Class X1 (IO)3, 1.627%, 6/25/2022 | 12,575,601 | 1,008,571 | ||||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K030, Class X1 (IO)3, 0.334%, 4/25/2023 | 65,065,649 | 912,780 | ||||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K032, Class X1 (IO)3, 0.234%, 5/25/2023 | 41,339,554 | 338,381 | ||||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K706, Class X1 (IO)3, 1.708%, 10/25/2018 | 8,698,466 | 353,238 | ||||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K-P01, Class A2, 1.72%, 1/25/2019 | 1,705,000 | 1,717,323 | ||||||||||
FREMF Mortgage Trust, Series 2011-K701, Class B3,4, 4.436%, 7/25/2048 | 750,000 | 783,509 | ||||||||||
FREMF Mortgage Trust, Series 2011-K702, Class B3,4, 4.931%, 4/25/2044 | 885,000 | 938,432 | ||||||||||
FREMF Mortgage Trust, Series 2013-K28, Class X2A (IO)4, 0.10%, 6/25/2046 | 163,514,920 | 945,868 | ||||||||||
FREMF Mortgage Trust, Series 2013-K502, Class B3,4, 2.828%, 3/25/2045 | 2,135,000 | 2,159,341 | ||||||||||
FREMF Mortgage Trust, Series 2013-K712, Class B3,4, 3.486%, 5/25/2045 | 885,000 | 906,057 | ||||||||||
FREMF Mortgage Trust, Series 2014-K37, Class B3,4, 4.713%, 1/25/2047 | 1,977,000 | 2,067,620 | ||||||||||
FREMF Mortgage Trust, Series 2014-K716, Class B3,4, 4.085%, 8/25/2047 | 2,885,000 | 2,990,170 | ||||||||||
FREMF Mortgage Trust, Series 2015-K42, Class B3,4, 3.985%, 12/25/2024 | 1,500,000 | 1,449,549 | ||||||||||
FREMF Mortgage Trust, Series 2015-K720, Class B3,4, 3.389%, 7/25/2022 | 1,100,000 | 981,860 | ||||||||||
GAHR Commercial Mortgage Trust, Series 2015-NRF, Class BFX3,4, 3.495%, 12/15/2019 | 2,300,000 | 2,321,489 | ||||||||||
GAHR Commercial Mortgage Trust, Series 2015-NRF, Class DFX3,4, 3.495%, 12/15/2019 | 1,000,000 | 971,105 | ||||||||||
GS Mortgage Securities Trust, Series 2010-C2, Class A14, 3.849%, 12/10/2043 | 179,155 | 185,436 | ||||||||||
GS Mortgage Securities Trust, Series 2013-GC14, Class A5, 4.243%, 8/10/2046 | 1,605,000 | 1,749,134 | ||||||||||
GS Mortgage Securities Trust, Series 2013-GC16, Class A4, 4.271%, 11/10/2046 | 4,500,000 | 4,899,201 | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2005-CB13, Class AM3, 5.527%, 1/12/2043 | 404,273 | 403,970 |
The accompanying notes are an integral part of the financial statements.
50
Investment Portfolio - October 31, 2015
PRO-BLEND® MODERATE TERM SERIES | PRINCIPAL AMOUNT 2 | VALUE (NOTE 2) | ||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-CB15, Class A43, 5.814%, 6/12/2043 | 1,582,072 | $ | 1,598,901 | |||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP7, Class A43, 6.105%, 4/15/2045 | 1,174,808 | 1,188,783 | ||||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9, Class A3, 5.336%, 5/15/2047 | 6,080,322 | 6,257,698 | ||||||||||||
JP Morgan Mortgage Trust, Series 2013-1, Class 1A23,4, 3.00%, 3/25/2043 | 1,194,781 | 1,180,812 | ||||||||||||
JP Morgan Mortgage Trust, Series 2013-2, Class A23,4, 3.50%, 5/25/2043 | 1,369,014 | 1,390,085 | ||||||||||||
JP Morgan Mortgage Trust, Series 2014-2, Class 1A13,4, 3.00%, 6/25/2029 | 1,630,227 | 1,663,149 | ||||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C27, Class A4, 3.179%, 2/15/2048 | 4,300,000 | 4,285,562 | ||||||||||||
LB-UBS Commercial Mortgage Trust, Series 2006-C7, Class A3, 5.347%, 11/15/2038 | 3,000,000 | 3,076,858 | ||||||||||||
Merrill Lynch Mortgage Trust, Series 2006-C1, Class A43, 5.862%, 5/12/2039 | 1,425,000 | 1,435,560 | ||||||||||||
Morgan Stanley Capital I Trust, Series 2011-C1, Class A24, 3.884%, 9/15/2047 | 127,320 | 127,640 | ||||||||||||
Motel 6 Trust, Series 2015-MTL6, Class B4, 3.298%, 2/5/2030 | 2,100,000 | 2,091,078 | ||||||||||||
New Residential Mortgage Loan Trust, Series 2014-3A, Class AFX33,4, 3.75%, 11/25/2054 | 1,792,413 | 1,837,831 | ||||||||||||
OBP Depositor LLC Trust, Series 2010-OBP, Class A4, 4.646%, 7/15/2045 | 115,000 | 126,336 | ||||||||||||
SBA Small Business Investment Companies, Series 2015-10B, Class 1, 2.829%, 9/10/2025 | 5,935,000 | 6,030,109 | ||||||||||||
SCG Trust, Series 2013-SRP1, Class AJ3,4, 2.146%, 11/15/2026 | 3,550,000 | 3,523,417 | ||||||||||||
Sequoia Mortgage Trust, Series 2013-2, Class A13, 1.874%, 2/25/2043 | 1,266,725 | 1,170,484 | ||||||||||||
Sequoia Mortgage Trust, Series 2013-7, Class A23, 3.00%, 6/25/2043 | 1,095,682 | 1,082,201 | ||||||||||||
Sequoia Mortgage Trust, Series 2013-8, Class A13, 3.00%, 6/25/2043 | 1,486,400 | 1,454,640 | ||||||||||||
U.S. Small Business Administration, Series 2015-10A, Class 1, 2.517%, 3/10/2025 | 1,026,476 | 1,040,474 | ||||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A5, 2.85%, 12/10/2045 | 2,131,819 | 2,121,373 | ||||||||||||
Vornado DP LLC Trust, Series 2010-VNO, Class A2FX4, 4.004%, 9/13/2028 | 350,000 | 375,561 | ||||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2005-C22, Class AM3, 5.546%, 12/15/2044 | 441,856 | 441,344 | ||||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C26, Class A33, 6.011%, 6/15/2045 | 850,000 | 858,589 | ||||||||||||
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A24, 4.393%, 11/15/2043 | 545,000 | 591,024 | ||||||||||||
Wells Fargo Commercial Mortgage Trust, Series 2015-C26, Class A4, 3.166%, 2/15/2048 | 5,300,000 | 5,272,120 | ||||||||||||
WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class A24, 3.791%, 2/15/2044 | 665,736 | 666,475 | ||||||||||||
WF-RBS Commercial Mortgage Trust, Series 2013-C11, Class A2, 2.029%, 3/15/2045 | 1,950,000 | 1,964,348 | ||||||||||||
WinWater Mortgage Loan Trust, Series 2015-1, Class A13,4, 3.50%, 1/20/2045 | 2,094,129 | 2,109,623 | ||||||||||||
WinWater Mortgage Loan Trust, Series 2015-3, Class A53,4, 3.50%, 3/20/2045 | 2,570,665 | 2,628,585 | ||||||||||||
|
| |||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | ||||||||||||||
(Identified Cost $131,717,155) | 129,403,198 | |||||||||||||
|
| |||||||||||||
FOREIGN GOVERNMENT BONDS - 1.9% | ||||||||||||||
Bonos de la Tesoreria de la Republicaen pesos (Chile), 6.00%, 1/1/2018 | CLP | 790,000,000 | 1,215,472 | |||||||||||
Brazil Notas do Tesouro Nacional (Brazil), 10.00%, 1/1/2025 | BRL | 2,250,000 | 447,362 | |||||||||||
Brazilian Government International Bond (Brazil), 8.875%, 10/14/2019 | 800,000 | 946,000 | ||||||||||||
Brazilian Government International Bond (Brazil), 4.25%, 1/7/2025 | 200,000 | 177,250 | ||||||||||||
Canada Housing Trust No. 1 (Canada)4, 4.10%, 12/15/2018 | CAD | 390,000 | 327,014 | |||||||||||
Canadian Government Bond (Canada), 1.50%, 9/1/2017 | CAD | 1,600,000 | 1,244,087 | |||||||||||
Canadian Government Bond (Canada), 2.75%, 6/1/2022 | CAD | 500,000 | 420,388 | |||||||||||
Export-Import Bank of Korea (South Korea), 2.625%, 12/30/2020 | 9,100,000 | 9,206,807 | ||||||||||||
Ireland Government Bond (Ireland), 5.00%, 10/18/2020 | EUR | 300,000 | 406,134 | |||||||||||
Ireland Government Bond (Ireland), 0.80%, 3/15/2022 | EUR | 200,000 | 223,682 | |||||||||||
Italy Buoni Poliennali Del Tesoro (Italy), 5.50%, 9/1/2022 | EUR | 630,000 | 895,834 | |||||||||||
Italy Buoni Poliennali Del Tesoro (Italy), 5.50%, 11/1/2022 | EUR | 760,000 | 1,082,244 | |||||||||||
Italy Buoni Poliennali Del Tesoro (Italy), 1.50%, 6/1/2025 | EUR | 200,000 | 220,285 |
The accompanying notes are an integral part of the financial statements.
51
Investment Portfolio - October 31, 2015
PRO-BLEND® MODERATE TERM SERIES | PRINCIPAL AMOUNT 2 | VALUE (NOTE 2) | ||||||||||||
FOREIGN GOVERNMENT BONDS (continued) | ||||||||||||||
Japan Government Five Year Bond (Japan), 0.30%, 12/20/2016 | JPY | 101,000,000 | $ | 839,764 | ||||||||||
Korea Treasury Bond (South Korea), 2.75%, 6/10/2016 | KRW | 470,000,000 | 415,252 | |||||||||||
Korea Treasury Bond (South Korea), 2.00%, 12/10/2017 | KRW | 480,000,000 | 424,140 | |||||||||||
Malaysia Government Bond (Malaysia), 3.172%, 7/15/2016 | MYR | 4,335,000 | 1,012,136 | |||||||||||
Malaysia Government Bond (Malaysia), 4.262%, 9/15/2016 | MYR | 3,205,000 | 754,958 | |||||||||||
Mexican Government Bond (Mexico), 8.00%, 12/17/2015 | MXN | 26,195,000 | 1,593,936 | |||||||||||
Mexican Government Bond (Mexico), 7.25%, 12/15/2016 | MXN | 6,000,000 | 377,832 | |||||||||||
Mexican Government Bond (Mexico), 5.00%, 6/15/2017 | MXN | 9,500,000 | 584,779 | |||||||||||
Mexican Government Bond (Mexico), 8.00%, 6/11/2020 | MXN | 9,900,000 | 669,186 | |||||||||||
Mexican Government Bond (Mexico), 6.50%, 6/10/2021 | MXN | 4,000,000 | 255,096 | |||||||||||
Mexican Government Bond (Mexico), 6.50%, 6/9/2022 | MXN | 6,500,000 | 411,679 | |||||||||||
Mexican Government Bond (Mexico), 7.75%, 5/29/2031 | MXN | 1,250,000 | 85,083 | |||||||||||
Norway Government Bond (Norway)4, 4.25%, 5/19/2017 | NOK | 1,610,000 | 199,887 | |||||||||||
Singapore Government Bond (Singapore), 2.50%, 6/1/2019 | SGD | 855,000 | 629,852 | |||||||||||
Spain Government Bond (Spain), 4.50%, 1/31/2018 | EUR | 325,000 | 392,231 | |||||||||||
Spain Government Bond (Spain)4, 4.00%, 4/30/2020 | EUR | 515,000 | 651,324 | |||||||||||
Spain Government Bond (Spain)4, 5.40%, 1/31/2023 | EUR | 760,000 | 1,075,172 | |||||||||||
Spain Government Bond (Spain)4, 1.60%, 4/30/2025 | EUR | 200,000 | 219,863 | |||||||||||
United Kingdom Gilt (United Kingdom), 2.00%, 1/22/2016 | GBP | 800,000 | 1,237,220 | |||||||||||
United Kingdom Gilt (United Kingdom), 1.00%, 9/7/2017 | GBP | 380,000 | 589,847 | |||||||||||
United Kingdom Gilt (United Kingdom), 5.00%, 3/7/2018 | GBP | 475,000 | 807,093 | |||||||||||
|
| |||||||||||||
TOTAL FOREIGN GOVERNMENT BONDS | ||||||||||||||
(Identified Cost $33,062,234) | 30,038,889 | |||||||||||||
|
| |||||||||||||
U.S. GOVERNMENT AGENCIES - 15.1% | ||||||||||||||
Mortgage-Backed Securities - 6.9% | ||||||||||||||
Fannie Mae, Pool #888468, 5.50%, 9/1/2021 | 793,975 | 857,831 | ||||||||||||
Fannie Mae, Pool #995233, 5.50%, 10/1/2021 | 56,748 | 60,821 | ||||||||||||
Fannie Mae, Pool #888017, 6.00%, 11/1/2021 | 77,781 | 84,927 | ||||||||||||
Fannie Mae, Pool #995329, 5.50%, 12/1/2021 | 539,682 | 581,992 | ||||||||||||
Fannie Mae, Pool #888136, 6.00%, 12/1/2021 | 96,365 | 105,383 | ||||||||||||
Fannie Mae, Pool #888810, 5.50%, 11/1/2022 | 955,000 | 1,030,813 | ||||||||||||
Fannie Mae, Pool #AD0462, 5.50%, 10/1/2024 | 59,376 | 64,965 | ||||||||||||
Fannie Mae, Pool #MA1834, 4.50%, 2/1/2034 | 1,268,102 | 1,381,236 | ||||||||||||
Fannie Mae, Pool #MA1890, 4.00%, 5/1/2034 | 1,336,930 | 1,438,233 | ||||||||||||
Fannie Mae, Pool #MA1903, 4.50%, 5/1/2034 | 1,028,297 | 1,119,934 | ||||||||||||
Fannie Mae, Pool #AS3677, 4.00%, 10/1/2034 | 2,225,029 | 2,390,005 | ||||||||||||
Fannie Mae, Pool #MA2177, 4.00%, 2/1/2035 | 2,203,066 | 2,367,308 | ||||||||||||
Fannie Mae, Pool #AZ3376, 4.00%, 7/1/2035 | 4,057,711 | 4,360,229 | ||||||||||||
Fannie Mae, Pool #745418, 5.50%, 4/1/2036 | 1,260,032 | 1,416,656 | ||||||||||||
Fannie Mae, Pool #888021, 6.00%, 12/1/2036 | 186,098 | 211,117 | ||||||||||||
Fannie Mae, Pool #909786, 5.50%, 3/1/2037 | 328,819 | 367,988 | ||||||||||||
Fannie Mae, Pool #256673, 5.50%, 4/1/2037 | 1,307,524 | 1,465,498 | ||||||||||||
Fannie Mae, Pool #995050, 6.00%, 9/1/2037 | 411,022 | 466,249 | ||||||||||||
Fannie Mae, Pool #AB8161, 6.00%, 12/1/2037 | 1,448,992 | 1,642,494 | ||||||||||||
Fannie Mae, Pool #933731, 5.50%, 4/1/2038 | 782,569 | 876,995 | ||||||||||||
Fannie Mae, Pool #889576, 6.00%, 4/1/2038 | 874,115 | 991,909 | ||||||||||||
Fannie Mae, Pool #889624, 5.50%, 5/1/2038 | 893,102 | 999,844 | ||||||||||||
Fannie Mae, Pool #889579, 6.00%, 5/1/2038 | 813,324 | 922,258 | ||||||||||||
Fannie Mae, Pool #889575, 6.00%, 6/1/2038 | 529,290 | 600,721 | ||||||||||||
Fannie Mae, Pool #995196, 6.00%, 7/1/2038 | 2,399,682 | 2,722,142 |
The accompanying notes are an integral part of the financial statements.
52
Investment Portfolio - October 31, 2015
PRO-BLEND® MODERATE TERM SERIES | PRINCIPAL AMOUNT 2 | VALUE (NOTE 2) | ||||||||||
U.S. GOVERNMENT AGENCIES (continued) | ||||||||||||
Mortgage-Backed Securities (continued) | ||||||||||||
Fannie Mae, Pool #AD0119, 6.00%, 7/1/2038 | 593,326 | $ | 671,831 | |||||||||
Fannie Mae, Pool #AD0207, 6.00%, 10/1/2038 | 321,871 | 365,028 | ||||||||||
Fannie Mae, Pool #AD0220, 6.00%, 10/1/2038 | 104,238 | 118,264 | ||||||||||
Fannie Mae, Pool #890294, 5.50%, 1/1/2039 | 1,961,335 | 2,198,013 | ||||||||||
Fannie Mae, Pool #AD0307, 5.50%, 1/1/2039 | 896,691 | 1,004,445 | ||||||||||
Fannie Mae, Pool #AD0258, 5.50%, 3/1/2039 | 482,900 | 541,083 | ||||||||||
Fannie Mae, Pool #AD0527, 5.50%, 6/1/2039 | 282,143 | 316,206 | ||||||||||
Fannie Mae, Pool #MA0258, 4.50%, 12/1/2039 | 1,981,202 | 2,152,059 | ||||||||||
Fannie Mae, Pool #890326, 5.50%, 1/1/2040 | 2,162,255 | 2,421,316 | ||||||||||
Fannie Mae, Pool #AL1595, 6.00%, 1/1/2040 | 1,432,458 | 1,622,782 | ||||||||||
Fannie Mae, Pool #AE0061, 6.00%, 2/1/2040 | 1,138,736 | 1,290,890 | ||||||||||
Fannie Mae, Pool #AL0152, 6.00%, 6/1/2040 | 1,889,828 | 2,143,341 | ||||||||||
Fannie Mae, Pool #AL2581, 6.00%, 6/1/2040 | 1,192,803 | 1,352,915 | ||||||||||
Fannie Mae, Pool #890519, 6.00%, 10/1/2040 | 2,823,176 | 3,200,152 | ||||||||||
Fannie Mae, Pool #AE0951, 4.50%, 2/1/2041 | 1,229,799 | 1,336,383 | ||||||||||
Fannie Mae, Pool #AH9054, 4.50%, 4/1/2041 | 538,579 | 585,258 | ||||||||||
Fannie Mae, Pool #AI2468, 4.50%, 5/1/2041 | 421,476 | 458,018 | ||||||||||
Fannie Mae, Pool #AL0160, 4.50%, 5/1/2041 | 1,286,155 | 1,397,517 | ||||||||||
Fannie Mae, Pool #AJ1415, 4.50%, 9/1/2041 | 301,576 | 327,766 | ||||||||||
Fannie Mae, Pool #AK4940, 3.50%, 3/1/2042 | 1,490,817 | 1,555,209 | ||||||||||
Fannie Mae, Pool #AL7068, 4.50%, 9/1/2042 | 3,778,642 | 4,096,446 | ||||||||||
Fannie Mae, Pool #AS1845, 4.50%, 2/1/2044 | 5,719,805 | 6,230,130 | ||||||||||
Fannie Mae, Pool #AX5234, 4.50%, 11/1/2044 | 5,092,087 | 5,530,874 | ||||||||||
Freddie Mac, Pool #G11850, 5.50%, 7/1/2020 | 282,944 | 300,521 | ||||||||||
Freddie Mac, Pool #G12610, 6.00%, 3/1/2022 | 94,486 | 103,155 | ||||||||||
Freddie Mac, Pool #G12655, 6.00%, 5/1/2022 | 68,641 | 74,966 | ||||||||||
Freddie Mac, Pool #G12988, 6.00%, 1/1/2023 | 52,460 | 57,435 | ||||||||||
Freddie Mac, Pool #G13078, 6.00%, 3/1/2023 | 94,206 | 103,227 | ||||||||||
Freddie Mac, Pool #G13331, 5.50%, 10/1/2023 | 41,151 | 44,717 | ||||||||||
Freddie Mac, Pool #C91754, 4.50%, 3/1/2034 | 1,297,370 | 1,413,572 | ||||||||||
Freddie Mac, Pool #C91762, 4.50%, 5/1/2034 | 1,676,839 | 1,827,034 | ||||||||||
Freddie Mac, Pool #C91788, 4.00%, 10/1/2034 | 1,604,398 | 1,722,307 | ||||||||||
Freddie Mac, Pool #C91850, 4.00%, 9/1/2035 | 2,427,055 | 2,601,387 | ||||||||||
Freddie Mac, Pool #C91854, 4.00%, 10/1/2035 | 1,800,000 | 1,929,296 | ||||||||||
Freddie Mac, Pool #G03332, 6.00%, 10/1/2037 | 120,219 | 136,327 | ||||||||||
Freddie Mac, Pool #G03696, 5.50%, 1/1/2038 | 238,729 | 265,937 | ||||||||||
Freddie Mac, Pool #G03781, 6.00%, 1/1/2038 | 478,278 | 541,618 | ||||||||||
Freddie Mac, Pool #G03926, 6.00%, 2/1/2038 | 566,532 | 641,092 | ||||||||||
Freddie Mac, Pool #G04264, 5.50%, 4/1/2038 | 1,026,421 | 1,142,673 | ||||||||||
Freddie Mac, Pool #G04731, 5.50%, 4/1/2038 | 562,479 | 627,317 | ||||||||||
Freddie Mac, Pool #G08273, 5.50%, 6/1/2038 | 686,567 | 765,148 | ||||||||||
Freddie Mac, Pool #G05956, 5.50%, 7/1/2038 | 786,976 | 876,898 | ||||||||||
Freddie Mac, Pool #G04587, 5.50%, 8/1/2038 | 1,814,600 | 2,021,242 | ||||||||||
Freddie Mac, Pool #G05671, 5.50%, 8/1/2038 | 421,855 | 470,470 | ||||||||||
Freddie Mac, Pool #G05409, 5.50%, 3/1/2039 | 774,574 | 863,919 | ||||||||||
Freddie Mac, Pool #A86522, 4.50%, 5/1/2039 | 1,699,464 | 1,841,334 | ||||||||||
Freddie Mac, Pool #G06021, 5.50%, 1/1/2040 | 313,073 | 349,213 | ||||||||||
Freddie Mac, Pool #G05923, 5.50%, 2/1/2040 | 296,322 | 330,041 | ||||||||||
Freddie Mac, Pool #G05900, 6.00%, 3/1/2040 | 477,702 | 541,833 | ||||||||||
Freddie Mac, Pool #G05906, 6.00%, 4/1/2040 | 290,319 | 329,466 |
The accompanying notes are an integral part of the financial statements.
53
Investment Portfolio - October 31, 2015
PRO-BLEND® MODERATE TERM SERIES | PRINCIPAL AMOUNT 2/ SHARES | VALUE (NOTE 2) | ||||||||
U.S. GOVERNMENT AGENCIES (continued) | ||||||||||
Mortgage-Backed Securities (continued) | ||||||||||
Freddie Mac, Pool #G07589, 5.50%, 6/1/2041 | 910,897 | $ | 1,015,589 | |||||||
Freddie Mac, Pool #Q17719, 3.50%, 4/1/2043 | 1,845,080 | 1,920,962 | ||||||||
Freddie Mac, Pool #C09068, 3.50%, 11/1/2044 | 1,560,381 | 1,621,465 | ||||||||
Freddie Mac, Pool #G08669, 4.00%, 9/1/2045 | 2,742,273 | 2,919,192 | ||||||||
Freddie Mac, Pool #G08672, 4.00%, 10/1/2045 | 5,380,000 | 5,727,092 | ||||||||
Freddy Mac, Pool #G60034, 4.50%, 2/1/2045 | 5,599,097 | 6,063,330 | ||||||||
Ginnie Mae, Pool #263096, 9.50%, 3/15/2020 | 963 | 968 | ||||||||
|
| |||||||||
Total Mortgage-Backed Securities | ||||||||||
(Identified Cost $108,519,649) | 110,634,217 | |||||||||
|
| |||||||||
Other Agencies - 8.2% | ||||||||||
Fannie Mae, 1.375%, 11/15/2016 | 6,000,000 | 6,054,324 | ||||||||
Fannie Mae, 0.875%, 8/28/2017 | 45,000,000 | 45,098,685 | ||||||||
Fannie Mae, 1.625%, 11/27/2018 | 15,400,000 | 15,646,292 | ||||||||
Fannie Mae, 1.50%, 11/30/2020 | 32,000,000 | 31,724,192 | ||||||||
Federal Home Loan Banks, 0.875%, 5/24/2017 | 15,000,000 | 15,042,465 | ||||||||
Freddie Mac, 1.25%, 5/12/2017 | 19,000,000 | 19,162,773 | ||||||||
|
| |||||||||
Total Other Agencies | ||||||||||
(Identified Cost $132,154,509) | 132,728,731 | |||||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT AGENCIES | ||||||||||
(Identified Cost $240,674,158) | 243,362,948 | |||||||||
|
| |||||||||
U.S. GOVERNMENT SECURITIES - 3.1% | ||||||||||
U.S. Treasury Bills - 3.1% | ||||||||||
U.S. Treasury Bill12,13, 0.278%, 6/23/2016 | ||||||||||
(Identified Cost $50,309,869) | 50,400,000 | 50,307,869 | ||||||||
|
| |||||||||
SHORT-TERM INVESTMENT - 4.6% | ||||||||||
Dreyfus Cash Management, Inc. - Institutional Shares14, 0.06%, | ||||||||||
(Identified Cost $74,594,975) | 74,594,975 | 74,594,975 | ||||||||
|
| |||||||||
TOTAL INVESTMENTS - 100.9% | ||||||||||
(Identified Cost $1,590,848,028) | 1,626,676,427 | |||||||||
LIABILITIES, LESS OTHER ASSETS - (0.9%) | (15,004,396 | ) | ||||||||
|
| |||||||||
NET ASSETS - 100% | $ | 1,611,672,031 | ||||||||
|
|
FUTURES CONTRACTS: LONG POSITIONS OPEN AT OCTOBER 31, 2015: | ||||||||||||||
CONTRACTS PURCHASED | ISSUE | EXCHANGE | EXPIRATION | NOTIONAL VALUE2 | UNREALIZED DEPRECIATION | |||||||||
4,079 | U.S. Treasury Notes (2 Year) | CBOT | December 2015 | 891,898,844 | $ | (261,289 | ) | |||||||
2,211 | Euro Dollar Futures | CME | June 2016 | 548,963,662 | (53,179 | ) | ||||||||
|
| |||||||||||||
Total | (314,468 | ) | ||||||||||||
|
| |||||||||||||
FUTURES CONTRACTS: SHORT POSITIONS OPEN AT OCTOBER 31, 2015: | ||||||||||||||
CONTRACTS SOLD | ISSUE | EXCHANGE | EXPIRATION | NOTIONAL VALUE2 | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
455 | U.S. Treasury Bonds (30 Year) | CBOT | December 2015 | 71,179,062 | $ | (716,514 | ) | |||||||
594 | U.S. Treasury Notes (10 Year) | CBOT | December 2015 | 75,846,375 | 258,267 |
The accompanying notes are an integral part of the financial statements.
54
Investment Portfolio - October 31, 2015
FUTURES CONTRACTS: SHORT POSITIONS OPEN AT OCTOBER 31, 2015: | ||||||||||||||
CONTRACTS SOLD | ISSUE | EXCHANGE | EXPIRATION | NOTIONAL VALUE2 | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
U.S. Treasury Notes | ||||||||||||||
978 | (5 Year) | CBOT | December 2015 | 117,138,422 | 156,470 | |||||||||
U.S. Ultra Treasury | ||||||||||||||
162 | Bonds | CBOT | December 2015 | 25,879,500 | (75,236 | ) | ||||||||
316 | Euro Dollar Futures | CME | September 2018 | 77,526,650 | (32,188 | ) | ||||||||
554 | Euro Dollar Futures | CME | December 2018 | 135,778,475 | (140,568 | ) | ||||||||
555 | Euro Dollar Futures | CME | March 2019 | 135,912,563 | (139,082 | ) | ||||||||
555 | Euro Dollar Futures | CME | June 2019 | 135,801,563 | (270,320 | ) | ||||||||
238 | Euro Dollar Futures | CME | September 2019 | 58,188,025 | 23,070 | |||||||||
|
| |||||||||||||
Total | (936,101 | ) | ||||||||||||
|
|
ADR - American Depositary Receipt
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CBOT - Chicago Board of Trade
CLP - Chilean Peso
CME - Chicago Mercantile Exchange
EUR - Euro
GBP - British Pound
IO - Interest only
JPY - Japanese Yen
KRW - South Korean Won
MXN - Mexican Peso
MYR - Malaysian Ringgit
No. - Number
NOK - Norwegian Krone
SGD - Singapore Dollar
##Less than 0.1%.
*Non-income producing security.
1A factor from a third party vendor was applied to determine the security’s fair value following the close of local trading.
2Amount is stated in USD unless otherwise noted.
3The coupon rate is floating and is the effective rate as of October 31, 2015.
4Restricted securities - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. These securities have been sold under Rule 144A and have been determined to be liquid. These securities amount to $176,426,017 or 11.0%, of the Series’ net assets as of October 31, 2015 (see Note 2 to the financial statements).
5Security is perpetual in nature and has no stated maturity date.
6The rate shown is a fixed rate as of October 31, 2015; the rate becomes floating, based on U.S. Treasury Note (5 Year) in July 2016.
7The rate shown is a fixed rate as of October 31, 2015; the rate becomes floating, based on U.S. Treasury Yield Curve Rate Treasury Note Constant Maturity 5 Year in June 2017.
8The rate shown is a fixed rate as of October 31, 2015; the rate becomes floating, based on LIBOR plus a spread, in December 2024.
9The rate shown is a fixed rate as of October 31, 2015; the rate becomes floating, based on LIBOR plus a spread, in June 2022.
10The rate shown is a fixed rate as of October 31, 2015; the rate becomes floating, based on LIBOR plus a spread, in September 2022.
11Represents a Payment-In-Kind bond.
12All or a portion of security has been pledged in connection with outstanding futures contracts.
13Represents the annualized yield at time of purchase.
14Rate shown is the current yield as of October 31, 2015.
The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of MSCI Inc. (MSCI) and Standard &Poor, a division of The McGraw-Hill Companies, Inc. (S&P), and is licensed for use by Manning & Napier when referencing GICS sectors. Neither MSCI, S&P, nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification, nor shall any such party have any liability therefrom.
The accompanying notes are an integral part of the financial statements.
55
Statement of Assets and Liabilities - Pro-Blend® Moderate Term Series
October 31, 2015
ASSETS: | ||||
Investments, at value (identified cost $1,590,848,028) (Note 2) | $ | 1,626,676,427 | ||
Deposits at broker for futures contracts | 10,990,065 | |||
Interest receivable | 6,729,688 | |||
Receivable for securities sold | 4,672,787 | |||
Receivable for fund shares sold | 775,490 | |||
Dividends receivable | 368,125 | |||
Foreign tax reclaims receivable | 341,094 | |||
Prepaid expenses | 175 | |||
|
| |||
TOTAL ASSETS | 1,650,553,851 | |||
|
| |||
LIABILITIES: | ||||
Accrued management fees (Note 3) | 1,012,336 | |||
Accrued shareholder services fees (Class S) (Note 3) | 144,737 | |||
Accrued distribution and service (Rule 12b-1) fees (Class C) (Class R) (Note 3) | 141,629 | |||
Accrued fund accounting and administration fees (Note 3) | 72,422 | |||
Accrued transfer agent fees (Note 3) | 44,459 | |||
Accrued Chief Compliance Officer service fees (Note 3) | 421 | |||
Accrued Directors’ fees (Note 3) | 16 | |||
Accrued foreign capital gains tax (Note 2) | 782 | |||
Payable for securities purchased | 34,978,887 | |||
Payable for fund shares repurchased | 1,506,669 | |||
Variation margin payable on futures contracts | 811,352 | |||
Other payables and accrued expenses | 168,110 | |||
|
| |||
TOTAL LIABILITIES | 38,881,820 | |||
|
| |||
TOTAL NET ASSETS | $ | 1,611,672,031 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Capital stock | $ | 1,438,802 | ||
Additional paid-in-capital | 1,562,326,523 | |||
Undistributed net investment income | 8,229,281 | |||
Accumulated net realized gain on investments, foreign currency and translation of other assets and liabilities | 5,142,695 | |||
Net unrealized appreciation (depreciation) on investments (net of foreign capital gains tax of $782), foreign currency and translation of other assets and liabilities | 34,534,730 | |||
|
| |||
TOTAL NET ASSETS | $ | 1,611,672,031 | ||
|
|
The accompanying notes are an integral part of the financial statements.
56
Statement of Assets and Liabilities - Pro-Blend® Moderate Term Series
October 31, 2015
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class S | $ | 13.15 | ||
|
| |||
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class I | $ | 10.07 | ||
|
| |||
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class C | $ | 10.16 | ||
|
| |||
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class R | $ | 10.53 | ||
|
|
The accompanying notes are an integral part of the financial statements.
57
Statement of Operations - Pro-Blend® Moderate Term Series
For the Year Ended October 31, 2015
INVESTMENT INCOME: | ||||
Interest | $ | 24,855,202 | ||
Dividends (net of foreign taxes withheld, $289,908) | 11,229,363 | |||
|
| |||
Total Investment Income | 36,084,565 | |||
|
| |||
EXPENSES: | ||||
Management fees (Note 3) | 12,624,249 | |||
Shareholder services fees (Class S) (Note 3) | 1,872,261 | |||
Distribution and service (Rule 12b-1) fees (Class C) (Note 3) | 1,546,776 | |||
Fund accounting and administration fees (Note 3) | 275,171 | |||
Distribution and service (Rule 12b-1) fees (Class R) (Note 3) | 238,066 | |||
Transfer agent fees (Note 3) | 202,559 | |||
Directors’ fees (Note 3) | 57,591 | |||
Chief Compliance Officer service fees (Note 3) | 2,520 | |||
Custodian fees | 146,983 | |||
Miscellaneous | 374,504 | |||
|
| |||
Total Expenses | 17,340,680 | |||
|
| |||
NET INVESTMENT INCOME | 18,743,885 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY: | ||||
Net realized gain (loss) on- | ||||
Investments | 15,274,266 | |||
Futures contracts | (11,485,721 | ) | ||
Options written | 2,507,846 | |||
Foreign currency and translation of other assets and liabilities | (459,082 | ) | ||
|
| |||
5,837,309 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on- | ||||
Investments (net of decrease in accrued foreign capital gains tax of $581) | (56,418,018 | ) | ||
Futures contracts | (1,412,778 | ) | ||
Options written | 162,220 | |||
Foreign currency and translation of other assets and liabilities | (8,951 | ) | ||
|
| |||
(57,677,527 | ) | |||
|
| |||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY | (51,840,218 | ) | ||
|
| |||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (33,096,333 | ) | |
|
|
The accompanying notes are an integral part of the financial statements.
58
Statements of Changes in Net Assets - Pro-Blend® Moderate Term Series
FOR THE YEAR 10/31/15 | FOR THE YEAR 10/31/14 | |||||||
INCREASE (DECREASE) IN NET ASSETS: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 18,743,885 | $ | 19,260,454 | ||||
Net realized gain on investments and foreign currency | 5,837,309 | 132,033,154 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency | (57,677,527 | ) | (63,951,670 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from operations | (33,096,333 | ) | 87,341,938 | |||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS (Note 8): | ||||||||
From net investment income (Class S) | (6,361,974 | ) | (6,823,288 | ) | ||||
From net investment income (Class I) | (10,068,499 | ) | (9,033,853 | ) | ||||
From net investment income (Class C) | (598,118 | ) | (574,092 | ) | ||||
From net investment income (Class R) | (414,173 | ) | (423,877 | ) | ||||
From net realized gain on investments (Class S) | (53,056,681 | ) | (34,149,792 | ) | ||||
From net realized gain on investments (Class I) | (62,123,946 | ) | (33,270,484 | ) | ||||
From net realized gain on investments (Class C) | (12,982,360 | ) | (6,238,941 | ) | ||||
From net realized gain on investments (Class R) | (4,081,502 | ) | (2,485,190 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (149,687,253 | ) | (92,999,517 | ) | ||||
|
|
|
| |||||
CAPITAL STOCK ISSUED AND REPURCHASED: | ||||||||
Net increase from capital share transactions (Note 5) | 88,498,622 | 140,904,867 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets | (94,284,964 | ) | 135,247,288 | |||||
NET ASSETS: | ||||||||
Beginning of year | 1,705,956,995 | 1,570,709,707 | ||||||
|
|
|
| |||||
End of year (including undistributed net investment income of $ 8,229,281 and $ 7,668,172, respectively) | $ | 1,611,672,031 | $ | 1,705,956,995 | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
59
Financial Highlights - Pro-Blend® Moderate Term Series - Class S
FOR THE YEARS ENDED | ||||||||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | ||||||||||||||||
Per share data (for a share outstanding throughout each year): | ||||||||||||||||||||
Net asset value - Beginning of year | $ | 14.53 | $ | 14.52 | $ | 13.28 | $ | 12.92 | $ | 12.94 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income1 | 0.15 | 0.16 | 0.14 | 0.17 | 0.22 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.44 | ) | 0.59 | 1.55 | 0.77 | 0.14 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (0.29 | ) | 0.75 | 1.69 | 0.94 | 0.36 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions to shareholders: | ||||||||||||||||||||
From net investment income | (0.12 | ) | (0.12 | ) | (0.13 | ) | (0.20 | ) | (0.19 | ) | ||||||||||
From net realized gain on investments | (0.97 | ) | (0.62 | ) | (0.32 | ) | (0.38 | ) | (0.19 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions to shareholders | (1.09 | ) | (0.74 | ) | (0.45 | ) | (0.58 | ) | (0.38 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value - End of year | $ | 13.15 | $ | 14.53 | $ | 14.52 | $ | 13.28 | $ | 12.92 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net assets - End of year (000’s omitted) | $ | 683,089 | $ | 788,276 | $ | 793,812 | $ | 707,222 | $ | 682,409 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return2 | (1.99 | %) | 5.47 | % | 13.07 | % | 7.73 | % | 2.78 | % | ||||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||||||
Expenses | 1.06 | % | 1.06 | % | 1.06 | % | 1.07 | % | 1.07 | % | ||||||||||
Net investment income | 1.08 | % | 1.12 | % | 1.04 | % | 1.34 | % | 1.68 | % | ||||||||||
Series portfolio turnover | 56 | % | 53 | % | 52 | % | 47 | % | 52 | % |
1Calculated based on average shares outstanding during the years.
2Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions.
The accompanying notes are an integral part of the financial statements.
60
Financial Highlights - Pro-Blend® Moderate Term Series - Class I
FOR THE YEARS ENDED | ||||||||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | ||||||||||||||||
Per share data (for a share outstanding throughout each year): | ||||||||||||||||||||
Net asset value - Beginning of year | $ | 11.40 | $ | 11.56 | $ | 10.67 | $ | 10.50 | $ | 10.60 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income1 | 0.14 | 0.16 | 0.14 | 0.16 | 0.20 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.35 | ) | 0.46 | 1.23 | 0.62 | 0.11 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (0.21 | ) | 0.62 | 1.37 | 0.78 | 0.31 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions to shareholders: | ||||||||||||||||||||
From net investment income | (0.15 | ) | (0.16 | ) | (0.16 | ) | (0.23 | ) | (0.22 | ) | ||||||||||
From net realized gain on investments | (0.97 | ) | (0.62 | ) | (0.32 | ) | (0.38 | ) | (0.19 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions to shareholders | (1.12 | ) | (0.78 | ) | (0.48 | ) | (0.61 | ) | (0.41 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value - End of year | $ | 10.07 | $ | 11.40 | $ | 11.56 | $ | 10.67 | $ | 10.50 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net assets - End of year (000’s omitted) | $ | 740,524 | $ | 719,847 | $ | 614,016 | $ | 496,286 | $ | 352,611 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return2 | (1.76 | %) | 5.73 | % | 13.34 | % | 8.06 | % | 2.93 | % | ||||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||||||
Expenses | 0.81 | % | 0.81 | % | 0.81 | % | 0.82 | % | 0.82 | % | ||||||||||
Net investment income | 1.33 | % | 1.37 | % | 1.28 | % | 1.57 | % | 1.93 | % | ||||||||||
Series portfolio turnover | 56 | % | 53 | % | 52 | % | 47 | % | 52 | % |
1Calculated based on average shares outstanding during the years.
2Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions.
The accompanying notes are an integral part of the financial statements.
61
Financial Highlights - Pro-Blend® Moderate Term Series - Class C
FOR THE YEARS ENDED | ||||||||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | ||||||||||||||||
Per share data (for a share outstanding throughout each year): | ||||||||||||||||||||
Net asset value - Beginning of year | $ | 11.49 | $ | 11.65 | $ | 10.75 | $ | 10.58 | $ | 10.69 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income1 | 0.03 | 0.04 | 0.03 | 0.06 | 0.10 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.35 | ) | 0.47 | 1.25 | 0.62 | 0.11 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (0.32 | ) | 0.51 | 1.28 | 0.68 | 0.21 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions to shareholders: | ||||||||||||||||||||
From net investment income | (0.04 | ) | (0.05 | ) | (0.06 | ) | (0.13 | ) | (0.13 | ) | ||||||||||
From net realized gain on investments | (0.97 | ) | (0.62 | ) | (0.32 | ) | (0.38 | ) | (0.19 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions to shareholders | (1.01 | ) | (0.67 | ) | (0.38 | ) | (0.51 | ) | (0.32 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value - End of year | $ | 10.16 | $ | 11.49 | $ | 11.65 | $ | 10.75 | $ | 10.58 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net assets - End of year (000’s omitted) | $ | 148,143 | $ | 150,654 | $ | 112,601 | $ | 81,457 | $ | 58,316 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return2 | (2.77 | %) | 4.69 | % | 12.27 | % | 6.94 | % | 1.97 | % | ||||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||||||
Expenses | 1.81 | % | 1.81 | % | 1.81 | % | 1.82 | % | 1.82 | % | ||||||||||
Net investment income | 0.33 | % | 0.37 | % | 0.29 | % | 0.57 | % | 0.92 | % | ||||||||||
Series portfolio turnover | 56 | % | 53 | % | 52 | % | 47 | % | 52 | % |
1Calculated based on average shares outstanding during the years.
2Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions.
The accompanying notes are an integral part of the financial statements.
62
Financial Highlights - Pro-Blend® Moderate Term Series - Class R
FOR THE YEARS ENDED | ||||||||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | ||||||||||||||||
Per share data (for a share outstanding throughout each year): | ||||||||||||||||||||
Net asset value - Beginning of year | $ | 11.87 | $ | 12.00 | $ | 11.06 | $ | 10.88 | $ | 10.99 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income1 | 0.09 | 0.10 | 0.09 | 0.11 | 0.11 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.36 | ) | 0.49 | 1.28 | 0.65 | 0.16 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (0.27 | ) | 0.59 | 1.37 | 0.76 | 0.27 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions to shareholders: | ||||||||||||||||||||
From net investment income | (0.10 | ) | (0.10 | ) | (0.11 | ) | (0.20 | ) | (0.19 | ) | ||||||||||
From net realized gain on investments | (0.97 | ) | (0.62 | ) | (0.32 | ) | (0.38 | ) | (0.19 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions to shareholders | (1.07 | ) | (0.72 | ) | (0.43 | ) | (0.58 | ) | (0.38 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value - End of year | $ | 10.53 | $ | 11.87 | $ | 12.00 | $ | 11.06 | $ | 10.88 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net assets - End of year (000’s omitted) | $ | 39,917 | $ | 47,180 | $ | 50,280 | $ | 39,999 | $ | 18,554 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return2 | (2.30 | %) | 5.24 | % | 12.77 | % | 7.48 | % | 2.50 | % | ||||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||||||
Expenses | 1.31 | % | 1.31 | % | 1.31 | % | 1.33 | % | 1.32 | % | ||||||||||
Net investment income | 0.83 | % | 0.87 | % | 0.80 | % | 1.04 | % | 1.05 | % | ||||||||||
Series portfolio turnover | 56 | % | 53 | % | 52 | % | 47 | % | 52 | % |
1Calculated based on average shares outstanding during the years.
2Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions.
The accompanying notes are an integral part of the financial statements.
63
Performance Update as of October 31, 2015 - Pro-Blend® Extended Term Series
(unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2015 | ||||||||||||||||
ONE YEAR1 | FIVE YEAR | TEN YEAR | SINCE INCEPTION2 | |||||||||||||
Manning & Napier Fund, Inc. - Pro-Blend® Extended Term | -2.16 | % | 6.61 | % | 5.96 | % | 8.33 | % | ||||||||
Manning & Napier Fund, Inc. - Pro-Blend® Extended Term | -1.91 | % | 6.87 | % | 6.15 | % | 8.42 | % | ||||||||
Manning & Napier Fund, Inc. - Pro-Blend® Extended Term | -2.91 | % | 5.81 | % | 5.18 | % | 7.58 | % | ||||||||
Manning & Napier Fund, Inc. - Pro-Blend® Extended Term | -2.39 | % | 6.36 | % | 5.69 | % | 8.10 | % | ||||||||
Barclays U.S. Aggregate Bond Index6 | 1.96 | % | 3.03 | % | 4.72 | % | 5.52 | % | ||||||||
40/15/45 Blended Index7 | 2.20 | % | 7.55 | % | 6.31 | % | 7.27 | % |
The following graph compares the value of a $10,000 investment in the Manning & Napier Fund, Inc. - Pro-Blend® Extended Term Series - Class S for the ten years ended October 31, 2015 to the Barclays U.S. Aggregate Bond Index and the 40/15/45 Blended Index.
1The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
2Performance numbers for the Series are calculated from October 12, 1993, the Class S inception date. The Barclays U.S. Aggregate Bond Index only publishes month-end numbers; therefore, performance numbers for the Indices are calculated from October 31, 1993.
3The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2015, this net expense ratio was 1.07% for Class S, 0.82% for Class I, 1.82% for Class C and 1.32% for Class R. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 1.07% for Class S, 0.82% for Class I, 1.82% for Class C and 1.32% for Class R for the year ended October 31, 2015.
4For the periods through the inception of Class I on March 28, 2008, performance is based on the hypothetical performance of Class S shares. Because Class I shares invest in the same portfolio of securities as Class S, performance will only be different to the extent that the Class S shares have a higher expense ratio.
5For periods through the inception of Class C on January 4, 2010, and Class R on June 30, 2010, the performance figures are hypothetical and reflect the performance of the Manning & Napier Fund, Inc. - Pro-Blend® Extended Term Series - Class S adjusted for expense differences.
6The Barclays U.S. Aggregate Bond Index is an unmanaged, market-value weighted index of U.S. domestic investment-grade debt issues, including government, corporate, asset-backed, and mortgage-backed securities, with maturities of one year or more. Index returns do not reflect any fees or expenses. Index returns provided by Interactive Data.
64
Performance Update as of October 31, 2015 - Pro-Blend® Extended Term Series
(unaudited)
7The 40/15/45 Blended Index is 40% Russell 3000® Index (Russell 3000), 15% MSCI ACWI ex USA Index (ACWIxUS), and 45% Barclays U.S. Aggregate Bond Index (BAB). Russell 3000 is an unmanaged index that consists of 3,000 of the largest U.S. companies based on total market capitalization. The Index returns are based on a market capitalization-weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. Index returns provided by Bloomberg. ACWIxUS is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global developed and emerging markets and consists of 44 developed and emerging market country indices outside the U.S. The Index is denominated in U.S. dollars. The Index returns assume daily investment of gross dividends (which do not account for applicable dividend taxation) prior to 12/31/1998, as net returns were not available. Subsequent to 12/31/1998, the Index returns are net of withholding taxes. They assume daily reinvestment of net dividends, thus accounting for any applicable dividend taxation. Index returns provided by Bloomberg. BAB is an unmanaged index that represents the U.S. domestic investment-grade bond market. It is a market value-weighted index of investment-grade debt issues, including government, corporate, asset-backed and mortgage-backed securities, with maturities of one year or more. Index returns provided by Interactive Data. The returns of the indices do not reflect any fees or expenses. Returns provided are calculated monthly using a blended allocation. Because the Series’ asset allocation will vary over time, the composition of the Series’ portfolio may not match the composition of the comparative Indices.
65
Shareholder Expense Example - Pro-Blend® Extended Term Series
(unaudited)
As a shareholder of the Series, you may incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Series expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested in each class at the beginning of the period and held for the entire period (May 1, 2015 to October 31, 2015).
Actual Expenses
The Actual lines of the table below provide information about actual account values and actual expenses. You may use the information in these lines, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the Actual line for the Class in which you have invested under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The Hypothetical lines of each class in the table below provide information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid during the period. You may use this information to compare the ongoing costs of investing in a class of the Series and other funds. To do so, compare this 5% hypothetical example for the Class in which you have invested with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the Hypothetical lines for each class in the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
BEGINNING ACCOUNT VALUE 5/1/15 | ENDING ACCOUNT VALUE 10/31/15 | EXPENSES PAID DURING PERIOD 5/1/15-10/31/15* | ANNUALIZED EXPENSE RATIO | |||||
Class S | ||||||||
Actual | $1,000.00 | $955.80 | $5.32 | 1.08% | ||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.76 | $5.50 | 1.08% | ||||
Class I | ||||||||
Actual | $1,000.00 | $957.00 | $4.09 | 0.83% | ||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.02 | $4.23 | 0.83% | ||||
Class C | ||||||||
Actual | $1,000.00 | $952.80 | $9.01 | 1.83% | ||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,015.98 | $9.30 | 1.83% | ||||
Class R | ||||||||
Actual | $1,000.00 | $955.50 | $6.56 | 1.33% | ||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.50 | $6.77 | 1.33% |
*Expenses are equal to the Class’ annualized expense ratio (for the six-month period), multiplied by the average account value over the period, multiplied by 184/365 to reflect the one-half year period. Expenses are based on the most recent fiscal year; therefore, the expense ratios stated above may differ from the expense ratios stated in the financial highlights, which are based on one-year data.
66
Portfolio Composition - Pro-Blend® Extended Term Series
As of October 31, 2015 (unaudited)
Sector Allocation5 |
| |||
Information Technology | 17.1 | % | ||
Consumer Discretionary | 16.5 | % | ||
Financials | 11.1 | % | ||
Consumer Staples | 6.3 | % | ||
Health Care | 6.1 | % | ||
Industrials | 5.4 | % | ||
Energy | 4.8 | % | ||
Materials | 3.5 | % | ||
Telecommunication Services | 1.0 | % | ||
Utilities | 0.5 | % | ||
5Including common stocks and corporate bonds, as a percentage of total investments. |
Top Ten Stock Holdings6 | ||||
Time Warner, Inc. | 2.0 | % | ||
MasterCard, Inc. - Class A | 1.9 | % | ||
Electronic Arts, Inc. | 1.8 | % | ||
Apple, Inc. | 1.7 | % | ||
Monsanto Co. | 1.7 | % | ||
The Priceline Group, Inc. | 1.7 | % | ||
AMC Networks, Inc. - Class A | 1.7 | % | ||
Express Scripts Holding Co. | 1.4 | % | ||
Visa, Inc. - Class A | 1.4 | % | ||
Alphabet, Inc. - Class C | 1.4 | % | ||
6 As a percentage of total investments. |
67
Investment Portfolio - October 31, 2015
PRO-BLEND® EXTENDED TERM SERIES | SHARES | VALUE (NOTE 2) | ||||||||
COMMON STOCKS - 56.5% | ||||||||||
Consumer Discretionary - 14.8% | ||||||||||
Auto Components - 0.0%## | ||||||||||
F.C.C. Co. Ltd. (Japan)1 | 20,000 | $ | 353,696 | |||||||
|
| |||||||||
Diversified Consumer Services - 0.4% | ||||||||||
Fu Shou Yuan International Group Ltd. (China)1 | 1,665,000 | 1,135,254 | ||||||||
H&R Block, Inc. | 55,610 | 2,072,029 | ||||||||
Houghton Mifflin Harcourt Co.* | 66,620 | 1,305,086 | ||||||||
Kroton Educacional S.A. (Brazil) | 377,954 | 966,311 | ||||||||
|
| |||||||||
5,478,680 | ||||||||||
|
| |||||||||
Hotels, Restaurants & Leisure - 0.9% | ||||||||||
Accor S.A. (France)1 | 19,290 | 957,930 | ||||||||
Yum! Brands, Inc. | 178,740 | 12,674,453 | ||||||||
|
| |||||||||
13,632,383 | ||||||||||
|
| |||||||||
Household Durables - 0.0%## | ||||||||||
DR Horton, Inc. | 4,780 | 140,723 | ||||||||
Lennar Corp. - Class A | 2,883 | 144,352 | ||||||||
Toll Brothers, Inc.* | 4,041 | 145,355 | ||||||||
TRI Pointe Group, Inc.* | 10,450 | 135,641 | ||||||||
|
| |||||||||
566,071 | ||||||||||
|
| |||||||||
Internet & Catalog Retail - 2.8% | ||||||||||
ASOS plc (United Kingdom)*1 | 15,030 | 753,440 | ||||||||
The Priceline Group, Inc.* | 17,600 | 25,594,624 | ||||||||
Rakuten, Inc. (Japan)1 | 79,580 | 1,102,437 | ||||||||
TripAdvisor, Inc.* | 159,080 | 13,327,722 | ||||||||
|
| |||||||||
40,778,223 | ||||||||||
|
| |||||||||
Media - 8.9% | ||||||||||
AMC Networks, Inc. - Class A* | 344,090 | 25,424,810 | ||||||||
Cogeco Cable, Inc. (Canada) | 17,900 | 924,432 | ||||||||
Discovery Communications, Inc. - Class A* | 153,400 | 4,516,096 | ||||||||
Global Mediacom Tbk PT (Indonesia)1 | 3,486,270 | 220,802 | ||||||||
ITV plc (United Kingdom)1 | 134,250 | 521,195 | ||||||||
Liberty Global plc - Class A - ADR (United Kingdom)* | 296,191 | 13,186,423 | ||||||||
Modern Times Group AB - Class B (Sweden)1 | 6,580 | 186,654 | ||||||||
Sinclair Broadcast Group, Inc. - Class A | 477,423 | 14,327,464 | ||||||||
TEGNA, Inc. | 295,840 | 7,999,514 | ||||||||
Time Warner, Inc. | 395,330 | 29,784,162 | ||||||||
Tribune Media Co. - Class A | 402,500 | 16,232,825 | ||||||||
Twenty-First Century Fox, Inc. - Class A | 575,970 | 17,676,519 | ||||||||
|
| |||||||||
131,000,896 | ||||||||||
|
| |||||||||
Specialty Retail - 0.5% | ||||||||||
Advance Auto Parts, Inc. | 25,190 | 4,998,452 | ||||||||
Dick’s Sporting Goods, Inc. | 33,650 | 1,499,107 | ||||||||
Kingfisher plc (United Kingdom)1 | 100,520 | 546,401 | ||||||||
Komeri Co. Ltd. (Japan)1 | 20,000 | 427,593 | ||||||||
|
| |||||||||
7,471,553 | ||||||||||
|
| |||||||||
Textiles, Apparel & Luxury Goods - 1.3% | ||||||||||
Adidas AG (Germany)1 | 2,330 | 208,811 | ||||||||
Gildan Activewear, Inc. (Canada) | 56,410 | 1,620,659 | ||||||||
Kering (France)1 | 5,490 | 1,015,345 | ||||||||
lululemon athletica, Inc.* | 322,059 | 15,835,641 | ||||||||
|
| |||||||||
18,680,456 | ||||||||||
|
| |||||||||
Total Consumer Discretionary | 217,961,958 | |||||||||
|
| |||||||||
Consumer Staples - 5.4% | ||||||||||
Beverages - 3.2% | ||||||||||
AMBEV S.A. - ADR (Brazil) | 3,074,885 | 14,974,690 | ||||||||
Anheuser-Busch InBev N.V. (Belgium)1 | 118,444 | 14,133,287 | ||||||||
Cia Cervecerias Unidas S.A. - ADR (Chile) | 26,690 | 639,759 | ||||||||
Diageo plc (United Kingdom)1 | 541,200 | 15,602,696 | ||||||||
Remy Cointreau S.A. (France)1 | 1,770 | 122,954 | ||||||||
SABMiller plc (United Kingdom)1 | 6,390 | 392,494 | ||||||||
Treasury Wine Estates Ltd. - Rights (Australia)*1 | 33,219 | 35,058 | ||||||||
Treasury Wine Estates Ltd. (Australia)1 | 249,140 | 1,246,959 | ||||||||
|
| |||||||||
47,147,897 | ||||||||||
|
| |||||||||
Food & Staples Retailing - 0.3% | ||||||||||
Carrefour S.A. (France)1 | 27,447 | 894,387 | ||||||||
Casino Guichard-Perrachon S.A. (France)1 | 2,930 | 168,342 | ||||||||
Dairy Farm International Holdings Ltd. (Hong Kong)1 | 74,870 | 492,944 | ||||||||
Sprouts Farmers Market, Inc.* | 74,810 | 1,524,628 | ||||||||
Tesco plc (United Kingdom)*1 | 309,692 | 873,420 | ||||||||
|
| |||||||||
3,953,721 | ||||||||||
|
| |||||||||
Food Products - 0.7% | ||||||||||
Biostime International Holdings Ltd. - Class H (China)1 | 232,260 | 515,698 | ||||||||
Danone S.A. (France)1 | 20,490 | 1,424,056 | ||||||||
Grupo Bimbo S.A.B. de C.V. - Class A (Mexico)* | 292,750 | 827,856 | ||||||||
Keurig Green Mountain, Inc. | 36,090 | 1,831,567 | ||||||||
M Dias Branco S.A. (Brazil) | 17,200 | 311,750 | ||||||||
Nestle S.A. (Switzerland)1 | 19,666 | 1,501,971 |
The accompanying notes are an integral part of the financial statements.
68
Investment Portfolio - October 31, 2015
PRO-BLEND® EXTENDED TERM SERIES | SHARES | VALUE (NOTE 2) | ||||||||
COMMON STOCKS (continued) | ||||||||||
Consumer Staples (continued) | ||||||||||
Food Products (continued) | ||||||||||
Post Holdings, Inc.* | 24,160 | $ | 1,552,763 | |||||||
Sao Martinho S.A. (Brazil) | 76,330 | 879,372 | ||||||||
Suedzucker AG (Germany)1 | 59,456 | 1,109,594 | ||||||||
Tiger Brands Ltd. (South Africa)1 | 15,590 | 356,448 | ||||||||
|
| |||||||||
10,311,075 | ||||||||||
|
| |||||||||
Personal Products - 1.1% | ||||||||||
Beiersdorf AG (Germany)1 | 3,060 | 290,626 | ||||||||
Herbalife Ltd.* | 14,890 | 834,436 | ||||||||
Unilever plc - ADR (United Kingdom) | 336,649 | 14,964,048 | ||||||||
|
| |||||||||
16,089,110 | ||||||||||
|
| |||||||||
Tobacco - 0.1% | ||||||||||
Gudang Garam Tbk PT (Indonesia)1 | 195,150 | 610,851 | ||||||||
Japan Tobacco, Inc. (Japan)1 | 19,600 | 678,391 | ||||||||
Swedish Match AB (Sweden)1 | 30,360 | 954,389 | ||||||||
|
| |||||||||
2,243,631 | ||||||||||
|
| |||||||||
Total Consumer Staples | 79,745,434 | |||||||||
|
| |||||||||
Energy - 3.0% | ||||||||||
Energy Equipment & Services - 1.7% | ||||||||||
Schlumberger Ltd. | 204,431 | 15,978,327 | ||||||||
Spectrum ASA (Norway)1 | 59,940 | 208,107 | ||||||||
TGS Nopec Geophysical Co. ASA (Norway)1 | 33,910 | 672,363 | ||||||||
Weatherford International plc - ADR* | 817,830 | 8,374,579 | ||||||||
|
| |||||||||
25,233,376 | ||||||||||
|
| |||||||||
Oil, Gas & Consumable Fuels - 1.3% | ||||||||||
Cameco Corp. (Canada) | 45,366 | 642,836 | ||||||||
Cosan S.A. Industria e Comercio (Brazil) | 40,160 | 257,316 | ||||||||
Galp Energia SGPS S.A. (Portugal)1 | 88,920 | 959,889 | ||||||||
Range Resources Corp. | 537,150 | 16,350,846 | ||||||||
Royal Dutch Shell plc - Class B (Netherlands)1 | 24,549 | 642,810 | ||||||||
Whitehaven Coal Ltd. (Australia)*1 | 111,390 | 79,995 | ||||||||
|
| |||||||||
18,933,692 | ||||||||||
|
| |||||||||
Total Energy | 44,167,068 | |||||||||
|
| |||||||||
Financials - 4.1% | ||||||||||
Banks - 0.0%## | ||||||||||
ICICI Bank Ltd. - ADR (India) | 47,750 | 411,605 | ||||||||
|
| |||||||||
Capital Markets - 0.1% | ||||||||||
Daiwa Securities Group, Inc. (Japan)1 | 90,000 | 615,381 | ||||||||
Financial Engines, Inc. | 45,650 | 1,468,104 | ||||||||
|
| |||||||||
2,083,485 | ||||||||||
|
| |||||||||
Consumer Finance - 0.3% | ||||||||||
SLM Corp.* | 633,880 | 4,475,193 | ||||||||
|
| |||||||||
Diversified Financial Services - 0.1% | ||||||||||
JSE Ltd. (South Africa)1 | 53,080 | 511,337 | ||||||||
Morningstar, Inc. | 16,950 | 1,391,765 | ||||||||
|
| |||||||||
1,903,102 | ||||||||||
|
| |||||||||
Insurance - 0.1% | ||||||||||
Admiral Group plc (United Kingdom)1 | 10,572 | 262,355 | ||||||||
Mapfre S.A. (Spain)1 | 282,140 | 837,043 | ||||||||
|
| |||||||||
1,099,398 | ||||||||||
|
| |||||||||
Real Estate Investment Trusts (REITS) - 2.7% | ||||||||||
Agree Realty Corp. | 16,550 | 535,889 | ||||||||
Alexandria Real Estate Equities, Inc. | 7,280 | 653,307 | ||||||||
Alstria Office REIT AG (Germany)1 | 105,980 | 1,478,702 | ||||||||
American Campus Communities, Inc. | 10,780 | 437,345 | ||||||||
American Capital Agency Corp. | 8,250 | 147,097 | ||||||||
Annaly Capital Management, Inc. | 16,610 | 165,269 | ||||||||
Apartment Investment & Management Co. - Class A | 14,990 | 587,458 | ||||||||
AvalonBay Communities, Inc. | 5,870 | 1,026,252 | ||||||||
Boston Properties, Inc. | 2,640 | 332,244 | ||||||||
Brixmor Property Group, Inc. | 26,710 | 684,310 | ||||||||
Care Capital Properties, Inc. | 4,575 | 150,746 | ||||||||
CatchMark Timber Trust, Inc. - Class A | 28,950 | 317,003 | ||||||||
Chesapeake Lodging Trust | 29,450 | 811,053 | ||||||||
Columbia Property Trust, Inc. | 12,620 | 313,481 | ||||||||
Community Healthcare Trust, Inc. | 24,010 | 439,623 | ||||||||
CoreSite Realty Corp. | 2,780 | 152,761 | ||||||||
Crown Castle International Corp. | 4,950 | 423,027 | ||||||||
CubeSmart | 21,650 | 602,303 | ||||||||
DCT Industrial Trust, Inc. | 13,670 | 507,430 | ||||||||
DDR Corp. | 35,520 | 596,736 | ||||||||
Digital Realty Trust, Inc. | 2,190 | 161,972 | ||||||||
Douglas Emmett, Inc. | 17,080 | 521,794 | ||||||||
Education Realty Trust, Inc. | 15,196 | 545,688 | ||||||||
Equity LifeStyle Properties, Inc. | 6,240 | 377,395 | ||||||||
Equity One, Inc. | 13,250 | 352,185 | ||||||||
Equity Residential | 6,680 | 516,498 | ||||||||
Extra Space Storage, Inc. | 2,700 | 213,948 |
The accompanying notes are an integral part of the financial statements.
69
Investment Portfolio - October 31, 2015
PRO-BLEND® EXTENDED TERM SERIES | SHARES | VALUE (NOTE 2) | ||||||||
COMMON STOCKS (continued) | ||||||||||
Financials (continued) | ||||||||||
Real Estate Investment Trusts (REITS) (continued) | ||||||||||
Fibra Shop Portafolios Inmobiliarios S.A.P.I. de C.V. (Mexico) | 217,467 | $ | 222,894 | |||||||
General Growth Properties, Inc. | 23,740 | 687,273 | ||||||||
HCP, Inc. | 8,600 | 319,920 | ||||||||
Healthcare Trust of America, Inc. - Class A | 12,300 | 323,613 | ||||||||
Host Hotels & Resorts, Inc. | 25,540 | 442,608 | ||||||||
Inland Real Estate Corp. | 53,290 | 471,617 | ||||||||
Kite Realty Group Trust | 12,312 | 325,160 | ||||||||
Lamar Advertising Co. - Class A | 5,510 | 310,929 | ||||||||
LaSalle Hotel Properties | 23,770 | 699,076 | ||||||||
Liberty Property Trust | 12,920 | 439,538 | ||||||||
Mack-Cali Realty Corp. | 29,020 | 631,475 | ||||||||
Mid-America Apartment Communities, Inc. | 8,610 | 733,486 | ||||||||
Outfront Media, Inc. | 21,225 | 501,122 | ||||||||
Paramount Group, Inc. | 41,580 | 738,877 | ||||||||
Pebblebrook Hotel Trust | 13,380 | 457,328 | ||||||||
Physicians Realty Trust | 45,450 | 726,291 | ||||||||
Plum Creek Timber Co., Inc. | 19,486 | 793,860 | ||||||||
Prologis, Inc. | 15,760 | 673,425 | ||||||||
Public Storage | 2,750 | 631,015 | ||||||||
Rexford Industrial Realty, Inc. | 20,270 | 307,091 | ||||||||
Sabra Health Care REIT, Inc. | 10,960 | 248,573 | ||||||||
Scentre Group (Australia)1 | 105,240 | 308,682 | ||||||||
Simon Property Group, Inc. | 11,140 | 2,244,264 | ||||||||
Sovran Self Storage, Inc. | 5,910 | 590,232 | ||||||||
Tanger Factory Outlet Centers, Inc. | 9,150 | 319,793 | ||||||||
Taubman Centers, Inc. | 6,520 | 501,910 | ||||||||
Terreno Realty Corp. | 14,930 | 334,133 | ||||||||
UDR, Inc. | 14,950 | 515,177 | ||||||||
Urban Edge Properties | 18,330 | 435,154 | ||||||||
Ventas, Inc. | 5,690 | 305,667 | ||||||||
Westfield Corp. (Australia)1 | 53,920 | 391,196 | ||||||||
Weyerhaeuser Co. | 337,905 | 9,910,754 | ||||||||
|
| |||||||||
39,593,649 | ||||||||||
|
| |||||||||
Real Estate Management & Development - 0.8% | ||||||||||
CBRE Group, Inc. - Class A* | 6,860 | 255,741 | ||||||||
First Capital Realty, Inc. (Canada) | 14,240 | 210,943 | ||||||||
Forest City Enterprises, Inc. - Class A* | 19,660 | 434,486 | ||||||||
Realogy Holdings Corp.* | 267,189 | 10,447,090 | ||||||||
|
| |||||||||
11,348,260 | ||||||||||
|
| |||||||||
Total Financials | 60,914,692 | |||||||||
|
| |||||||||
Health Care - 5.7% | ||||||||||
Biotechnology - 0.1% | ||||||||||
Green Cross Corp. (South Korea)1 | 1,630 | 258,363 | ||||||||
Seattle Genetics, Inc.* | 20,580 | 853,864 | ||||||||
|
| |||||||||
1,112,227 | ||||||||||
|
| |||||||||
Health Care Equipment & Supplies - 1.1% | ||||||||||
BioMerieux (France)1 | 988 | 114,779 | ||||||||
Halyard Health, Inc.* | 34,240 | 1,016,243 | ||||||||
Intuitive Surgical, Inc.* | 27,500 | 13,656,500 | ||||||||
Medtronic plc | 7,280 | 538,138 | ||||||||
Shandong Weigao Group Medical Polymer Co. Ltd. - Class H (China)1 | 1,308,000 | 903,128 | ||||||||
|
| |||||||||
16,228,788 | ||||||||||
|
| |||||||||
Health Care Providers & Services - 1.9% | ||||||||||
Air Methods Corp.* | 19,410 | 794,451 | ||||||||
DaVita HealthCare Partners, Inc.* | 25,500 | 1,976,505 | ||||||||
Express Scripts Holding Co.* | 249,390 | 21,542,308 | ||||||||
Fresenius Medical Care AG & Co. KGaA (Germany)1 | 10,780 | 970,282 | ||||||||
Fresenius Medical Care AG & Co. KGaA - ADR (Germany) | 21,970 | 987,112 | ||||||||
KPJ Healthcare Berhad (Malaysia)1 | 359,110 | 356,937 | ||||||||
Odontoprev S.A. (Brazil) | 255,650 | 654,943 | ||||||||
Siloam International Hospitals Tbk PT (Indonesia)1 | 467,200 | 371,349 | ||||||||
|
| |||||||||
27,653,887 | ||||||||||
|
| |||||||||
Health Care Technology - 1.0% | ||||||||||
Cerner Corp.* | 215,820 | 14,306,708 | ||||||||
|
| |||||||||
Life Sciences Tools & Services - 0.0%## | ||||||||||
QIAGEN N.V.*1 | 10,730 | 260,134 | ||||||||
QIAGEN N.V. - ADR* | 2,470 | 59,700 | ||||||||
|
| |||||||||
319,834 | ||||||||||
|
| |||||||||
Pharmaceuticals - 1.6% | ||||||||||
AstraZeneca plc - ADR (United Kingdom) | 28,440 | 906,952 | ||||||||
Genomma Lab Internacional S.A.B.de C.V. - Class B (Mexico)* | 328,750 | 241,222 | ||||||||
GlaxoSmithKline plc (United Kingdom)1 | 14,575 | 314,319 | ||||||||
Johnson & Johnson | 190,220 | 19,217,927 | ||||||||
Novartis AG - ADR (Switzerland) | 11,910 | 1,077,021 | ||||||||
Sanofi (France)1 | 8,115 | 818,608 | ||||||||
Teva Pharmaceutical Industries Ltd. - ADR (Israel) | 15,530 | 919,221 | ||||||||
|
| |||||||||
23,495,270 | ||||||||||
|
| |||||||||
Total Health Care | 83,116,714 | |||||||||
|
|
The accompanying notes are an integral part of the financial statements.
70
Investment Portfolio - October 31, 2015
PRO-BLEND® EXTENDED TERM SERIES | SHARES | VALUE (NOTE 2) | ||||||||
COMMON STOCKS (continued) | ||||||||||
Industrials - 3.2% | ||||||||||
Aerospace & Defense - 0.1% | ||||||||||
KLX, Inc.* | 33,700 | $ | 1,318,007 | |||||||
|
| |||||||||
Airlines - 0.2% | ||||||||||
Allegiant Travel Co. | 1,980 | 390,951 | ||||||||
Republic Airways Holdings, Inc.* | 355,140 | 2,045,606 | ||||||||
Ryanair Holdings plc - ADR (Ireland) | 3,257 | 254,626 | ||||||||
Spirit Airlines, Inc.* | 21,090 | 782,861 | ||||||||
|
| |||||||||
3,474,044 | ||||||||||
|
| |||||||||
Building Products - 0.1% | ||||||||||
Masco Corp. | 67,810 | 1,966,490 | ||||||||
|
| |||||||||
Commercial Services & Supplies - 0.2% | ||||||||||
Aggreko plc (United Kingdom)1 | 55,946 | 788,601 | ||||||||
MiX Telematics Ltd. - ADR (South Africa) | 46,320 | 260,782 | ||||||||
Stericycle, Inc.* | 10,570 | 1,282,881 | ||||||||
|
| |||||||||
2,332,264 | ||||||||||
|
| |||||||||
Electrical Equipment - 0.1% | ||||||||||
Alstom S.A. (France)*1 | 32,120 | 1,045,512 | ||||||||
Schneider Electric SE (France)1 | 8,391 | 506,104 | ||||||||
|
| |||||||||
1,551,616 | ||||||||||
|
| |||||||||
Industrial Conglomerates - 1.2% | ||||||||||
General Electric Co. | 507,440 | 14,675,165 | ||||||||
Siemens AG (Germany)1 | 27,320 | 2,744,134 | ||||||||
|
| |||||||||
17,419,299 | ||||||||||
|
| |||||||||
Machinery - 0.8% | ||||||||||
Allison Transmission Holdings, Inc. | 28,220 | 809,914 | ||||||||
ANDRITZ AG (Austria)1 | 13,130 | 659,680 | ||||||||
FANUC Corp. (Japan)1 | 3,550 | 626,367 | ||||||||
Flowserve Corp. | 183,750 | 8,518,650 | ||||||||
Spirax-Sarco Engineering plc (United Kingdom)1 | 340 | 15,938 | ||||||||
Sulzer AG (Switzerland)1 | 2,490 | 251,604 | ||||||||
The Weir Group plc (United Kingdom)1 | 7,690 | 126,330 | ||||||||
|
| |||||||||
11,008,483 | ||||||||||
|
| |||||||||
Marine - 0.0%## | ||||||||||
D/S Norden A/S (Denmark)*1 | 3,160 | 63,008 | ||||||||
Diana Shipping, Inc. (Greece)* | 9,690 | 61,144 | ||||||||
Pacific Basin Shipping Ltd. (Hong Kong)1 | 186,000 | 55,018 | ||||||||
Sinotrans Shipping Ltd. - Class H (China)1 | 476,790 | 100,458 | ||||||||
Star Bulk Carriers Corp. (Greece)* | 17,660 | 27,903 | ||||||||
|
| |||||||||
307,531 | ||||||||||
|
| |||||||||
Professional Services - 0.1% | ||||||||||
Intertek Group plc (United Kingdom)1 | 22,530 | 909,916 | ||||||||
|
| |||||||||
Road & Rail - 0.4% | ||||||||||
Genesee & Wyoming, Inc. - Class A* | 48,410 | 3,248,311 | ||||||||
Hertz Global Holdings, Inc.* | 81,410 | 1,587,495 | ||||||||
Kansas City Southern | 11,610 | 960,844 | ||||||||
Swift Transportation Co.* | 50,440 | 788,377 | ||||||||
|
| |||||||||
6,585,027 | ||||||||||
|
| |||||||||
Trading Companies & Distributors - 0.0%## | ||||||||||
Brenntag AG (Germany)1 | 6,527 | 394,122 | ||||||||
|
| |||||||||
Total Industrials | 47,266,799 | |||||||||
|
| |||||||||
Information Technology - 17.0% | ||||||||||
Communications Equipment - 2.5% | ||||||||||
ARRIS Group, Inc.* | 58,270 | 1,646,710 | ||||||||
Ixia* | 82,160 | 1,183,926 | ||||||||
Juniper Networks, Inc. | 536,230 | 16,832,260 | ||||||||
Polycom, Inc.* | 123,800 | 1,705,964 | ||||||||
QUALCOMM, Inc. | 253,700 | 15,074,854 | ||||||||
Viavi Solutions, Inc.* | 141,760 | 843,472 | ||||||||
|
| |||||||||
37,287,186 | ||||||||||
|
| |||||||||
Electronic Equipment, Instruments & Components - 1.0% | ||||||||||
FLIR Systems, Inc. | 303,530 | 8,095,145 | ||||||||
Hitachi Ltd. (Japan)1 | 202,000 | 1,165,296 | ||||||||
Keyence Corp. (Japan)1 | 1,009 | 525,294 | ||||||||
Keysight Technologies, Inc.* | 37,040 | 1,225,283 | ||||||||
PAX Global Technology Ltd. (Hong Kong)1 | 1,423,000 | 1,860,802 | ||||||||
Trimble Navigation Ltd.* | 84,240 | 1,916,460 | ||||||||
|
| |||||||||
14,788,280 | ||||||||||
|
| |||||||||
Internet Software & Services - 4.0% | ||||||||||
Alibaba Group Holding Ltd. - ADR (China)* | 15,850 | 1,328,705 | ||||||||
Alphabet, Inc. - Class A* | 28,080 | 20,705,911 | ||||||||
Alphabet, Inc. - Class C* | 30,020 | 21,338,516 | ||||||||
Baidu, Inc. - ADR (China)* | 7,180 | 1,346,035 | ||||||||
eBay, Inc.* | 247,470 | 6,904,413 | ||||||||
Envestnet, Inc.* | 44,760 | 1,336,534 | ||||||||
MercadoLibre, Inc. (Argentina) | 12,310 | 1,210,935 | ||||||||
Q2 Holdings, Inc.* | 22,140 | 545,751 | ||||||||
Qihoo 360 Technology Co. Ltd. - ADR (China)* | 39,788 | 2,271,497 |
The accompanying notes are an integral part of the financial statements.
71
Investment Portfolio - October 31, 2015
PRO-BLEND® EXTENDED TERM SERIES | SHARES/ PRINCIPAL AMOUNT2 | VALUE (NOTE 2) | ||||||||
COMMON STOCKS (continued) | ||||||||||
Information Technology (continued) | ||||||||||
Internet Software & Services (continued) | ||||||||||
Tencent Holdings Ltd. - Class H (China)1 | 56,200 | $ | 1,059,335 | |||||||
|
| |||||||||
58,047,632 | ||||||||||
|
| |||||||||
IT Services - 5.5% | ||||||||||
Amdocs Ltd. - ADR | 7,400 | 440,818 | ||||||||
EVERTEC, Inc. | 71,740 | 1,308,538 | ||||||||
InterXion Holding N.V. - ADR (Netherlands)* | 14,020 | 411,908 | ||||||||
MasterCard, Inc. - Class A | 288,000 | 28,509,120 | ||||||||
PayPal Holdings, Inc.* | 413,250 | 14,881,133 | ||||||||
Sabre Corp. | 70,250 | 2,059,730 | ||||||||
VeriFone Systems, Inc.* | 392,710 | 11,836,279 | ||||||||
Visa, Inc. - Class A | 276,690 | 21,465,610 | ||||||||
|
| |||||||||
80,913,136 | ||||||||||
|
| |||||||||
Software - 2.0% | ||||||||||
Electronic Arts, Inc.* | 368,380 | 26,549,147 | ||||||||
SAP SE (Germany)1 | 26,910 | 2,121,453 | ||||||||
TOTVS S.A. (Brazil) | 104,058 | 921,980 | ||||||||
|
| |||||||||
29,592,580 | ||||||||||
|
| |||||||||
Technology Hardware, Storage & Peripherals - 2.0% | ||||||||||
Apple, Inc. | 215,740 | 25,780,930 | ||||||||
Samsung Electronics Co. Ltd. (South Korea)1 | 2,370 | 2,842,641 | ||||||||
|
| |||||||||
28,623,571 | ||||||||||
|
| |||||||||
Total Information Technology | 249,252,385 | |||||||||
|
| |||||||||
Materials - 2.9% | ||||||||||
Chemicals - 1.9% | ||||||||||
Givaudan S.A. (Switzerland)1 | 310 | 554,342 | ||||||||
Monsanto Co. | 275,070 | 25,642,025 | ||||||||
Potash Corp. of Saskatchewan, Inc. (Canada) | 3,830 | 77,481 | ||||||||
Sociedad Quimica y Minera de Chile S.A. - ADR (Chile) | 28,219 | 546,884 | ||||||||
Symrise AG (Germany)1 | 8,220 | 541,013 | ||||||||
|
| |||||||||
27,361,745 | ||||||||||
|
| |||||||||
Metals & Mining - 1.0% | ||||||||||
Alcoa, Inc. | 1,607,860 | 14,358,190 | ||||||||
Alumina Ltd. (Australia)1 | 135,671 | 104,087 | ||||||||
Norsk Hydro ASA (Norway)1 | 58,554 | 209,728 | ||||||||
ThyssenKrupp AG (Germany)1 | 15,740 | 317,160 | ||||||||
|
| |||||||||
14,989,165 | ||||||||||
|
| |||||||||
Total Materials | 42,350,910 | |||||||||
|
| |||||||||
Telecommunication Services - 0.4% | ||||||||||
Diversified Telecommunication Services - 0.1% | ||||||||||
Telefonica S.A. - ADR (Spain) | 90,606 | 1,193,281 | ||||||||
Telenor ASA - ADR (Norway) | 10,210 | 572,168 | ||||||||
|
| |||||||||
1,765,449 | ||||||||||
|
| |||||||||
Wireless Telecommunication Services - 0.3% | ||||||||||
America Movil S.A.B. de C.V. - Class L - ADR (Mexico) | 71,569 | 1,274,644 | ||||||||
China Mobile Ltd. - Class H (China)1 | 29,210 | 350,225 | ||||||||
Telephone & Data Systems, Inc. | 61,410 | 1,758,782 | ||||||||
|
| |||||||||
3,383,651 | ||||||||||
|
| |||||||||
Total Telecommunication Services | 5,149,100 | |||||||||
|
| |||||||||
Utilities - 0.0%## | ||||||||||
Independent Power and Renewable Electricity Producers - 0.0%## | ||||||||||
NRG Energy, Inc. | 40,600 | 523,334 | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS | 830,448,394 | |||||||||
|
| |||||||||
LOAN ASSIGNMENTS - 0.1% | ||||||||||
Valeant Pharmaceuticals International, Inc., Series D-2, Term Loan B3, 3.50%, 2/13/2019 | ||||||||||
(Identified Cost $1,993,603) | 2,000,000 | 1,860,500 | ||||||||
|
| |||||||||
CORPORATE BONDS - 17.5% | ||||||||||
Non-Convertible Corporate Bonds - 17.5% | ||||||||||
Consumer Discretionary - 2.0% | ||||||||||
Auto Components - 0.1% | ||||||||||
Magna International, Inc. (Canada), 4.15%, 10/1/2025 | 1,450,000 | 1,476,041 | ||||||||
Techniplas LLC4, 10.00%, 5/1/2020 | 975,000 | 772,687 | ||||||||
|
| |||||||||
2,248,728 | ||||||||||
|
| |||||||||
Automobiles - 0.1% | ||||||||||
Ford Motor Credit Co. LLC, 8.125%, 1/15/2020 | 1,045,000 | 1,251,638 | ||||||||
|
| |||||||||
Diversified Consumer Services - 0.2% | ||||||||||
Block Financial LLC, 5.50%, 11/1/2022 | 2,760,000 | 2,923,188 | ||||||||
|
| |||||||||
Hotels, Restaurants & Leisure - 0.0%## | ||||||||||
International Game Technology plc (United Kingdom)4, 6.25%, 2/15/2022 | 885,000 | 862,875 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
72
Investment Portfolio - October 31, 2015
PRO-BLEND® EXTENDED TERM SERIES | PRINCIPAL AMOUNT2 | VALUE (NOTE 2) | ||||||||||
CORPORATE BONDS (continued) | ||||||||||||
Non-Convertible Corporate Bonds (continued) | ||||||||||||
Consumer Discretionary (continued) | ||||||||||||
Household Durables - 0.5% | ||||||||||||
Brookfield Residential Properties, Inc. - Brookfield Residential US Corp. (Canada)4, 6.125%, 7/1/2022 | 1,800,000 | $ | 1,768,500 | |||||||||
Meritage Homes Corp., 7.15%, 4/15/2020 | 490,000 | 534,100 | ||||||||||
Meritage Homes Corp., 7.00%, 4/1/2022 | 750,000 | 821,250 | ||||||||||
NVR, Inc., 3.95%, 9/15/2022 | 1,700,000 | 1,731,775 | ||||||||||
TRI Pointe Holdings, Inc., 4.375%, 6/15/2019 | 915,000 | 909,281 | ||||||||||
Weekley Homes LLC - Weekley Finance Corp., 6.00%, 2/1/2023 | 1,130,000 | 1,084,800 | ||||||||||
|
| |||||||||||
6,849,706 | ||||||||||||
|
| |||||||||||
Media - 1.0% | ||||||||||||
CCO Holdings LLC - CCO Holdings Capital Corp.4, 5.125%, 5/1/2023 | 905,000 | 907,263 | ||||||||||
CCO Holdings LLC - CCO Holdings Capital Corp.4, 5.375%, 5/1/2025 | 915,000 | 905,850 | ||||||||||
CCO Safari II LLC4, 4.464%, 7/23/2022 | 395,000 | 400,727 | ||||||||||
CCO Safari II LLC4, 4.908%, 7/23/2025 | 415,000 | 421,840 | ||||||||||
Columbus International, Inc. (Barbados)4, 7.375%, 3/30/2021 | 1,260,000 | 1,310,400 | ||||||||||
DIRECTV Holdings LLC - DIRECTV Financing Co., Inc., 5.20%, 3/15/2020 | 1,515,000 | 1,662,949 | ||||||||||
DIRECTV Holdings LLC - DIRECTV Financing Co., Inc., 4.45%, 4/1/2024 | 1,410,000 | 1,453,926 | ||||||||||
Sinclair Television Group, Inc.4, 5.625%, 8/1/2024 | 1,385,000 | 1,357,300 | ||||||||||
Sirius XM Radio, Inc.4, 5.375%, 4/15/2025 | 1,120,000 | 1,146,600 | ||||||||||
Time Warner Entertainment Co. LP, 8.375%, 7/15/2033 | 2,160,000 | 2,539,933 | ||||||||||
Time Warner, Inc., 4.875%, 3/15/2020 | 1,200,000 | 1,324,019 | ||||||||||
VTR Finance B.V. (Chile)4, 6.875%, 1/15/2024 | 1,325,000 | 1,281,937 | ||||||||||
|
| |||||||||||
14,712,744 | ||||||||||||
|
| |||||||||||
Textiles, Apparel & Luxury Goods - 0.1% | ||||||||||||
VF Corp., 5.95%, 11/1/2017 | 880,000 | 958,998 | ||||||||||
|
| |||||||||||
Total Consumer Discretionary | 29,807,877 | |||||||||||
|
| |||||||||||
Consumer Staples - 1.0% | ||||||||||||
Beverages - 0.5% | ||||||||||||
Anheuser-Busch InBev Worldwide, Inc. (Belgium), 7.75%, 1/15/2019 | 1,050,000 | 1,226,320 | ||||||||||
Anheuser-Busch InBev Worldwide, Inc. (Belgium), 8.20%, 1/15/2039 | 1,770,000 | 2,500,341 | ||||||||||
PepsiCo, Inc., 3.10%, 7/17/2022 | 2,720,000 | 2,790,456 | ||||||||||
SABMiller plc (United Kingdom)4, 6.50%, 7/15/2018 | 1,000,000 | 1,113,928 | ||||||||||
|
| |||||||||||
7,631,045 | ||||||||||||
|
| |||||||||||
Food & Staples Retailing - 0.2% | ||||||||||||
C&S Group Enterprises LLC4, 5.375%, 7/15/2022 | 1,265,000 | 1,157,475 | ||||||||||
CVS Health Corp., 3.50%, 7/20/2022 | 1,360,000 | 1,403,011 | ||||||||||
|
| |||||||||||
2,560,486 | ||||||||||||
|
| |||||||||||
Food Products - 0.2% | ||||||||||||
Kraft Heinz Foods Co., 6.75%, 3/15/2032 | 1,070,000 | 1,238,000 | ||||||||||
Pinnacle Operating Corp.4, 9.00%, 11/15/2020 | 1,285,000 | 1,246,450 | ||||||||||
|
| |||||||||||
2,484,450 | ||||||||||||
|
| |||||||||||
Household Products - 0.1% | ||||||||||||
HRG Group, Inc., 7.875%, 7/15/2019 | 1,195,000 | 1,268,194 | ||||||||||
HRG Group, Inc., 7.75%, 1/15/2022 | 940,000 | 932,950 | ||||||||||
|
| |||||||||||
2,201,144 | ||||||||||||
|
| |||||||||||
Total Consumer Staples | 14,877,125 | |||||||||||
|
| |||||||||||
Energy - 1.9% | ||||||||||||
Energy Equipment & Services - 0.3% | ||||||||||||
Baker Hughes, Inc., 7.50%, 11/15/2018 | 935,000 | 1,076,057 | ||||||||||
Calfrac Holdings LP (Canada)4, 7.50%, 12/1/2020 | 900,000 | 510,750 | ||||||||||
Ensco plc, 5.20%, 3/15/2025 | 2,195,000 | 1,833,213 | ||||||||||
FTS International, Inc., 6.25%, 5/1/2022 | 865,000 | 198,950 | ||||||||||
Pride International, Inc., 8.50%, 6/15/2019 | 600,000 | 610,633 | ||||||||||
Schlumberger Oilfield plc4, 4.20%, 1/15/2021 | 400,000 | 431,245 | ||||||||||
Seventy Seven Operating LLC, 6.625%, 11/15/2019 | 865,000 | 512,513 | ||||||||||
|
| |||||||||||
5,173,361 | ||||||||||||
|
|
The accompanying notes are an integral part of the financial statements.
73
Investment Portfolio - October 31, 2015
PRO-BLEND® EXTENDED TERM SERIES | PRINCIPAL AMOUNT2 | VALUE (NOTE 2) | ||||||||||||
CORPORATE BONDS (continued) | ||||||||||||||
Non-Convertible Corporate Bonds (continued) | ||||||||||||||
Energy (continued) | ||||||||||||||
Oil, Gas & Consumable Fuels - 1.6% | ||||||||||||||
BP Capital Markets plc (United Kingdom), 3.535%, 11/4/2024 | 500,000 | $ | 507,225 | |||||||||||
CNOOC Nexen Finance 2014 ULC (China), 1.625%, 4/30/2017 | 1,345,000 | 1,342,119 | ||||||||||||
Columbia Pipeline Group, Inc.4, 2.45%, 6/1/2018 | 1,000,000 | 1,001,431 | ||||||||||||
Columbia Pipeline Group, Inc.4, 4.50%, 6/1/2025 | 1,250,000 | 1,202,905 | ||||||||||||
Crestwood Midstream Partners LP - Crestwood Midstream Finance Corp., 6.125%, 3/1/2022 | 1,350,000 | 1,161,000 | ||||||||||||
El Paso Natural Gas Co. LLC, 8.625%, 1/15/2022 | 375,000 | 444,882 | ||||||||||||
Hiland Partners LP - Hiland Partners Finance Corp.4, 7.25%, 10/1/2020 | 1,450,000 | 1,515,250 | ||||||||||||
Kinder Morgan Energy Partners LP, 4.30%, 5/1/2024 | 1,000,000 | 897,179 | ||||||||||||
Kinder Morgan, Inc.4, 5.625%, 11/15/2023 | 1,100,000 | 1,069,026 | ||||||||||||
Petrobras Global Finance B.V. (Brazil)3, 1.953%, 5/20/2016 | 3,642,000 | 3,563,515 | ||||||||||||
Petroleos Mexicanos (Mexico), 5.75%, 3/1/2018 | 1,370,000 | 1,455,145 | ||||||||||||
Petroleos Mexicanos (Mexico)4, 4.50%, 1/23/2026 | 1,905,000 | 1,818,894 | ||||||||||||
Sabine Pass Liquefaction LLC, 5.625%, 2/1/2021 | 2,285,000 | 2,267,863 | ||||||||||||
Talisman Energy, Inc. (Canada), 3.75%, 2/1/2021 | 3,140,000 | 2,866,993 | ||||||||||||
Targa Resources Partners LP - Targa Resources Partners Finance Corp.4, 6.75%, 3/15/2024 | 900,000 | 885,375 | ||||||||||||
WPX Energy, Inc., 6.00%, 1/15/2022 | 1,085,000 | 954,800 | ||||||||||||
|
| |||||||||||||
22,953,602 | ||||||||||||||
|
| |||||||||||||
Total Energy | 28,126,963 | |||||||||||||
|
| |||||||||||||
Financials - 7.3% | ||||||||||||||
Banks - 2.5% | ||||||||||||||
Bank of America Corp., 5.70%, 5/2/2017 | 910,000 | 959,954 | ||||||||||||
Barclays Bank plc (United Kingdom)4, 6.05%, 12/4/2017 | 1,500,000 | 1,617,479 | ||||||||||||
Barclays Bank plc (United Kingdom), 5.14%, 10/14/2020 | 1,100,000 | 1,205,805 | ||||||||||||
Barclays Bank plc (United Kingdom)4, 10.179%, 6/12/2021 | 2,050,000 | 2,691,917 | ||||||||||||
Barclays Bank plc (United Kingdom), 3.75%, 5/15/2024 | 500,000 | 511,108 | ||||||||||||
BBVA Bancomer S.A. (Mexico)4, 6.75%, 9/30/2022 | 1,670,000 | 1,873,740 | ||||||||||||
Citigroup, Inc., 1.80%, 2/5/2018 | 1,315,000 | 1,312,655 | ||||||||||||
Citigroup, Inc., 3.875%, 3/26/2025 | 1,425,000 | 1,390,467 | ||||||||||||
Commonwealth Bank of Australia (Australia), 5.75%, 1/25/2017 | AUD | 380,000 | 282,041 | |||||||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank B.A. (Netherlands)5,6, 8.40% | 850,000 | 920,380 | ||||||||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank B.A. (Netherlands)5,7, 8.375% | 450,000 | 468,008 | ||||||||||||
ING Bank N.V. (Netherlands)4, 1.80%, 3/16/2018 | 700,000 | 699,980 | ||||||||||||
Intesa Sanpaolo S.p.A. (Italy), 3.875%, 1/15/2019 | 1,650,000 | 1,715,870 | ||||||||||||
Intesa Sanpaolo S.p.A. (Italy)4, 6.50%, 2/24/2021 | 1,400,000 | 1,612,632 | ||||||||||||
Lloyds Bank plc (United Kingdom)4,5,8, 12.00% | 930,000 | 1,329,900 | ||||||||||||
Lloyds Bank plc (United Kingdom)4, 6.50%, 9/14/2020 | 4,735,000 | 5,463,982 | ||||||||||||
Lloyds Bank plc (United Kingdom)3, 9.875%, 12/16/2021 | 1,335,000 | 1,449,463 | ||||||||||||
Popular, Inc., 7.00%, 7/1/2019 | 1,815,000 | 1,769,625 | ||||||||||||
Royal Bank of Canada (Canada), 3.77%, 3/30/2018 | CAD | 445,000 | 358,767 | |||||||||||
Royal Bank of Scotland Group plc (United Kingdom), 5.125%, 5/28/2024 | 1,450,000 | 1,486,694 | ||||||||||||
Santander Bank N.A., 8.75%, 5/30/2018 | 1,300,000 | 1,484,523 | ||||||||||||
Santander Holdings USA, Inc., 2.65%, 4/17/2020 | 1,195,000 | 1,181,780 | ||||||||||||
Wells Fargo Bank N.A., 6.00%, 11/15/2017 | 4,134,000 | 4,491,376 | ||||||||||||
Westpac Banking Corp. (Australia), 5.75%, 2/6/2017 | AUD | 400,000 | 297,117 | |||||||||||
|
| |||||||||||||
36,575,263 | ||||||||||||||
|
| |||||||||||||
Capital Markets - 1.0% | ||||||||||||||
Goldman Sachs Capital II3,5, 4.00% | 820,000 | 590,400 | ||||||||||||
The Goldman Sachs Group, Inc., 6.15%, 4/1/2018 | 2,510,000 | 2,763,038 | ||||||||||||
The Goldman Sachs Group, Inc.3, 1.421%, 11/15/2018 | 2,545,000 | 2,557,776 | ||||||||||||
The Goldman Sachs Group, Inc., 5.375%, 3/15/2020 | 2,225,000 | 2,485,196 |
The accompanying notes are an integral part of the financial statements.
74
Investment Portfolio - October 31, 2015
PRO-BLEND® EXTENDED TERM SERIES | PRINCIPAL AMOUNT 2 | VALUE (NOTE 2) | ||||||||
CORPORATE BONDS (continued) | ||||||||||
Non-Convertible Corporate Bonds (continued) | ||||||||||
Financials (continued) | ||||||||||
Capital Markets (continued) | ||||||||||
The Goldman Sachs Group, Inc.3, 1.925%, 11/29/2023 | 1,100,000 | $ | 1,109,815 | |||||||
The Goldman Sachs Group, Inc., 4.25%, 10/21/2025 | 1,315,000 | 1,314,487 | ||||||||
Morgan Stanley, 5.00%, 11/24/2025 | 1,150,000 | 1,230,517 | ||||||||
UBS AG (Switzerland)3, 7.25%, 2/22/2022 | 1,150,000 | 1,212,960 | ||||||||
UBS AG (Switzerland), 7.625%, 8/17/2022 | 825,000 | 954,179 | ||||||||
UBS AG (Switzerland)3, 4.75%, 5/22/2023 | 970,000 | 997,305 | ||||||||
|
| |||||||||
15,215,673 | ||||||||||
|
| |||||||||
Consumer Finance - 0.2% | ||||||||||
CNG Holdings, Inc.4, 9.375%, 5/15/2020 | 865,000 | 437,906 | ||||||||
Navient Corp., 6.125%, 3/25/2024 | 1,785,000 | 1,610,963 | ||||||||
|
| |||||||||
2,048,869 | ||||||||||
|
| |||||||||
Diversified Financial Services - 0.9% | ||||||||||
The Bear Stearns Companies LLC, 7.25%, 2/1/2018 | 85,000 | 95,087 | ||||||||
General Electric Capital Corp.5,9, 7.125% | 2,150,000 | 2,526,250 | ||||||||
General Electric Capital Corp.3, 0.714%, 5/5/2026 | 2,295,000 | 2,147,046 | ||||||||
ING Bank N.V. (Netherlands)4, 5.80%, 9/25/2023 | 3,070,000 | 3,374,980 | ||||||||
ING Bank N.V. (Netherlands)3, 4.125%, 11/21/2023 | 1,460,000 | 1,500,150 | ||||||||
Jefferies Finance LLC - JFIN Co-Issuer Corp.4, 7.375%, 4/1/2020 | 875,000 | 857,500 | ||||||||
Jefferies Finance LLC - JFIN | ||||||||||
Co-Issuer Corp.4, 6.875%, 4/15/2022 | 960,000 | 902,400 | ||||||||
Peachtree Corners Funding Trust4, 3.976%, 2/15/2025 | 475,000 | 478,053 | ||||||||
Voya Financial, Inc., 5.50%, 7/15/2022 | 1,185,000 | 1,341,706 | ||||||||
|
| |||||||||
13,223,172 | ||||||||||
|
| |||||||||
Insurance - 1.2% | ||||||||||
Aegon N.V. (Netherlands)3,5, 2.142% | 2,175,000 | 1,709,006 | ||||||||
American International Group, Inc., 4.875%, 6/1/2022 | 3,645,000 | 4,053,564 | ||||||||
Assured Guaranty US Holdings, Inc., 5.00%, 7/1/2024 | 4,775,000 | 4,985,601 | ||||||||
AXA S.A. (France)3,5, 2.312% | 2,700,000 | 2,214,000 | ||||||||
Fidelity National Financial, Inc., 6.60%, 5/15/2017 | 1,025,000 | 1,093,598 | ||||||||
First American Financial Corp., 4.30%, 2/1/2023 | 1,350,000 | 1,345,938 | ||||||||
Prudential Financial, Inc.5,10, 5.875% | 1,975,000 | 2,093,500 | ||||||||
|
| |||||||||
17,495,207 | ||||||||||
|
| |||||||||
Real Estate Investment Trusts (REITS) - 1.2% | ||||||||||
American Tower Corp., 2.80%, 6/1/2020 | 2,250,000 | 2,239,531 | ||||||||
Boston Properties LP, 5.875%, 10/15/2019 | 1,385,000 | 1,552,397 | ||||||||
Crown Castle Towers LLC4, 6.113%, 1/15/2020 | 1,045,000 | 1,154,061 | ||||||||
Crown Castle Towers LLC4, 4.883%, 8/15/2020 | 353,000 | 381,217 | ||||||||
Crown Castle Towers LLC4, 3.222%, 5/15/2022 | 960,000 | 943,709 | ||||||||
Digital Delta Holdings LLC4, 3.40%, 10/1/2020 | 1,000,000 | 1,005,047 | ||||||||
Digital Realty Trust LP, 5.875%, 2/1/2020 | 200,000 | 219,869 | ||||||||
Digital Realty Trust LP, 5.25%, 3/15/2021 | 1,870,000 | 2,024,363 | ||||||||
DuPont Fabros Technology LP, 5.875%, 9/15/2021 | 1,260,000 | 1,323,000 | ||||||||
GTP Acquisition Partners I LLC4, 2.35%, 6/15/2020 | 1,150,000 | 1,136,729 | ||||||||
HCP, Inc., 6.70%, 1/30/2018 | 1,270,000 | 1,397,540 | ||||||||
HCP, Inc., 4.00%, 6/1/2025 | 1,100,000 | 1,080,772 | ||||||||
Qualitytech LP - QTS Finance Corp., 5.875%, 8/1/2022 | 685,000 | 703,837 | ||||||||
Rialto Holdings LLC - Rialto Corp.4, 7.00%, 12/1/2018 | 1,310,000 | 1,342,750 | ||||||||
Welltower, Inc., 4.95%, 1/15/2021 | 275,000 | 297,771 | ||||||||
Welltower, Inc., 4.00%, 6/1/2025 | 800,000 | 792,163 | ||||||||
|
| |||||||||
17,594,756 | ||||||||||
|
| |||||||||
Real Estate Management & Development - 0.1% | ||||||||||
Forestar USA Real Estate Group, Inc.4, 8.50%, 6/1/2022 | 870,000 | 883,050 | ||||||||
Greystar Real Estate Partners LLC4, 8.25%, 12/1/2022 | 855,000 | 899,887 | ||||||||
|
| |||||||||
1,782,937 | ||||||||||
|
|
The accompanying notes are an integral part of the financial statements.
75
Investment Portfolio - October 31, 2015
PRO-BLEND® EXTENDED TERM SERIES | PRINCIPAL AMOUNT 2 | VALUE (NOTE 2) | ||||||||
CORPORATE BONDS (continued) | ||||||||||
Non-Convertible Corporate Bonds (continued) | ||||||||||
Financials (continued) | ||||||||||
Thrifts & Mortgage Finance - 0.2% | ||||||||||
Ladder Capital Finance Holdings LLLP - Ladder Capital Finance Corp., 7.375%, 10/1/2017 | 1,080,000 | $ | 1,085,400 | |||||||
Ladder Capital Finance Holdings LLLP - Ladder Capital Finance Corp.4, 5.875%, 8/1/2021 | 1,090,000 | 1,019,150 | ||||||||
Prospect Holding Co. LLC - Prospect Holding Finance Co.4, 10.25%, 10/1/2018 | 875,000 | 428,750 | ||||||||
|
| |||||||||
2,533,300 | ||||||||||
|
| |||||||||
Total Financials | 106,469,177 | |||||||||
|
| |||||||||
Health Care - 0.6% | ||||||||||
Biotechnology - 0.3% | ||||||||||
AMAG Pharmaceuticals, Inc.4, 7.875%, 9/1/2023 | 1,425,000 | 1,328,813 | ||||||||
Amgen, Inc., 2.20%, 5/22/2019 | 1,530,000 | 1,536,672 | ||||||||
Amgen, Inc., 2.70%, 5/1/2022 | 1,200,000 | 1,177,495 | ||||||||
|
| |||||||||
4,042,980 | ||||||||||
|
| |||||||||
Health Care Equipment & Supplies - 0.0%## | ||||||||||
Zimmer Biomet Holdings, Inc., 1.45%, 4/1/2017 | 475,000 | 473,927 | ||||||||
|
| |||||||||
Health Care Providers & Services - 0.2% | ||||||||||
Aetna, Inc., 3.50%, 11/15/2024 | 1,555,000 | 1,566,718 | ||||||||
Tenet Healthcare Corp.3,4, 3.837%, 6/15/2020 | 945,000 | 937,913 | ||||||||
|
| |||||||||
2,504,631 | ||||||||||
|
| |||||||||
Pharmaceuticals - 0.1% | ||||||||||
Concordia Healthcare Corp. (Canada)4, 7.00%, 4/15/2023 | 1,330,000 | 1,157,100 | ||||||||
Mallinckrodt International Finance S.A. - Mallinckrodt CB LLC4, 5.625%, 10/15/2023 | 600,000 | 566,250 | ||||||||
|
| |||||||||
1,723,350 | ||||||||||
|
| |||||||||
Total Health Care | 8,744,888 | |||||||||
|
| |||||||||
Industrials - 2.3% | ||||||||||
Aerospace & Defense - 0.2% | ||||||||||
DigitalGlobe, Inc.4, 5.25%, 2/1/2021 | 1,874,000 | 1,685,813 | ||||||||
Textron, Inc., 7.25%, 10/1/2019 | 940,000 | 1,085,295 | ||||||||
|
| |||||||||
2,771,108 | ||||||||||
|
| |||||||||
Air Freight & Logistics - 0.1% | ||||||||||
Neovia Logistics Intermediate Holdings LLC - Logistics Intermediate Finance Corp.4,11, 10.00%, 2/15/2018 | 904,000 | 908,520 | ||||||||
|
| |||||||||
Airlines - 0.4% | ||||||||||
Allegiant Travel Co., 5.50%, 7/15/2019 | 1,745,000 | 1,781,645 | ||||||||
American Airlines Pass-Through Trust, Series 2013-2, Class A, 4.95%, 1/15/2023 | 1,249,675 | 1,338,651 | ||||||||
Delta Air Lines Pass-Through Trust, Series 2010-1, Class B4, 6.375%, 1/2/2016 | 715,000 | 720,363 | ||||||||
Delta Air Lines Pass-Through Trust, Series 2010-2, Class B, 6.75%, 11/23/2015 | 1,315,000 | 1,318,287 | ||||||||
Southwest Airlines Co., 2.75%, 11/6/2019 | 1,555,000 | 1,575,385 | ||||||||
|
| |||||||||
6,734,331 | ||||||||||
|
| |||||||||
Commercial Services & Supplies - 0.1% | ||||||||||
Constellis Holdings LLC - Constellis Finance Corp.4, 9.75%, 5/15/2020 | 840,000 | 760,200 | ||||||||
Modular Space Corp.4, 10.25%, 1/31/2019 | 875,000 | 522,813 | ||||||||
|
| |||||||||
1,283,013 | ||||||||||
|
| |||||||||
Construction & Engineering - 0.0%## | ||||||||||
Abengoa Finance S.A.U. (Spain)4, 7.75%, 2/1/2020 | 985,000 | 413,700 | ||||||||
|
| |||||||||
Industrial Conglomerates - 0.1% | ||||||||||
Danaher Corp., 1.65%, 9/15/2018 | 1,360,000 | 1,365,138 | ||||||||
|
| |||||||||
Machinery - 0.4% | ||||||||||
CNH Industrial Capital LLC, 3.875%, 11/1/2015 | 1,925,000 | 1,925,000 | ||||||||
John Deere Capital Corp., 1.60%, 7/13/2018 | 1,450,000 | 1,455,909 | ||||||||
SPL Logistics Escrow LLC - SPL Logistics Finance Corp.4, 8.875%, 8/1/2020 | 1,005,000 | 1,065,300 | ||||||||
Waterjet Holdings, Inc.4, 7.625%, 2/1/2020 | 1,010,000 | 1,017,575 | ||||||||
|
| |||||||||
5,463,784 | ||||||||||
|
| |||||||||
Trading Companies & Distributors - 1.0% | ||||||||||
Air Lease Corp., 2.625%, 9/4/2018 | 2,780,000 | 2,768,797 | ||||||||
Air Lease Corp., 3.375%, 1/15/2019 | 1,850,000 | 1,887,000 | ||||||||
Aircastle Ltd., 5.50%, 2/15/2022 | 820,000 | 867,150 | ||||||||
Aviation Capital Group Corp.4, 3.875%, 9/27/2016 | 2,100,000 | 2,126,250 | ||||||||
Aviation Capital Group Corp.4, 2.875%, 9/17/2018 | 2,450,000 | 2,448,113 | ||||||||
Fly Leasing Ltd. (Ireland), 6.75%, 12/15/2020 | 1,050,000 | 1,102,500 |
The accompanying notes are an integral part of the financial statements.
76
Investment Portfolio - October 31, 2015
PRO-BLEND® EXTENDED TERM SERIES | PRINCIPAL AMOUNT 2 | VALUE (NOTE 2) | ||||||||
CORPORATE BONDS (continued) | ||||||||||
Non-Convertible Corporate Bonds (continued) | ||||||||||
Industrials (continued) | ||||||||||
Trading Companies & Distributors (continued) | ||||||||||
Fly Leasing Ltd. (Ireland), 6.375%, 10/15/2021 | 1,125,000 | $ | 1,158,750 | |||||||
International Lease Finance Corp., 5.75%, 5/15/2016 | 585,000 | 595,606 | ||||||||
International Lease Finance Corp.3, 2.287%, 6/15/2016 | 560,000 | 558,936 | ||||||||
International Lease Finance Corp., 8.75%, 3/15/2017 | 900,000 | 970,875 | ||||||||
|
| |||||||||
14,483,977 | ||||||||||
|
| |||||||||
Total Industrials | 33,423,571 | |||||||||
|
| |||||||||
Information Technology - 0.5% | ||||||||||
Communications Equipment - 0.1% | ||||||||||
QUALCOMM, Inc., 3.45%, 5/20/2025 | 1,200,000 | 1,152,434 | ||||||||
|
| |||||||||
Internet Software & Services - 0.1% | ||||||||||
Alibaba Group Holding Ltd. (China)4, 2.50%, 11/28/2019 | 50,000 | 49,159 | ||||||||
Tencent Holdings Ltd. (China)4, 3.375%, 5/2/2019 | 2,110,000 | 2,155,116 | ||||||||
|
| |||||||||
2,204,275 | ||||||||||
|
| |||||||||
IT Services - 0.1% | ||||||||||
Automatic Data Processing, Inc., 2.25%, 9/15/2020 | 1,305,000 | 1,317,007 | ||||||||
|
| |||||||||
Semiconductors & Semiconductor Equipment - 0.1% | ||||||||||
Intel Corp., 2.45%, 7/29/2020 | 1,415,000 | 1,437,678 | ||||||||
|
| |||||||||
Technology Hardware, Storage & Peripherals - 0.1% | ||||||||||
Hewlett Packard Enterprise Co.4, 2.45%, 10/5/2017 | 1,415,000 | 1,419,136 | ||||||||
|
| |||||||||
Total Information Technology | 7,530,530 | |||||||||
|
| |||||||||
Materials - 0.7% | ||||||||||
Chemicals - 0.3% | ||||||||||
Consolidated Energy Finance S.A. (Trinidad-Tobago)4, 6.75%, 10/15/2019 | 1,335,000 | 1,328,325 | ||||||||
The Dow Chemical Co., 8.55%, 5/15/2019 | 2,380,000 | 2,862,328 | ||||||||
|
| |||||||||
4,190,653 | ||||||||||
|
| |||||||||
Containers & Packaging - 0.1% | ||||||||||
Ardagh Packaging Finance plc - Ardagh Holdings USA, Inc. (Ireland)3,4, 3.337%, 12/15/2019 | 1,605,000 | 1,580,925 | ||||||||
|
| |||||||||
Metals & Mining - 0.2% | ||||||||||
BHP Billiton Finance (USA) Ltd. (Australia), 6.50%, 4/1/2019 | 960,000 | 1,090,178 | ||||||||
Steel Dynamics, Inc., 5.125%, 10/1/2021 | 905,000 | 898,213 | ||||||||
SunCoke Energy Partners LP - SunCoke Energy Partners Finance Corp.4, 7.375%, 2/1/2020 | 1,020,000 | 846,600 | ||||||||
|
| |||||||||
2,834,991 | ||||||||||
|
| |||||||||
Paper & Forest Products - 0.1% | ||||||||||
Domtar Corp., 4.40%, 4/1/2022 | 1,470,000 | 1,497,705 | ||||||||
|
| |||||||||
Total Materials | 10,104,274 | |||||||||
|
| |||||||||
Telecommunication Services - 0.7% | ||||||||||
Diversified Telecommunication Services - 0.3% | ||||||||||
CenturyLink, Inc., 5.80%, 3/15/2022 | 1,180,000 | 1,147,550 | ||||||||
Frontier Communications Corp., 7.625%, 4/15/2024 | 935,000 | 836,825 | ||||||||
Frontier Communications Corp.4, 11.00%, 9/15/2025 | 945,000 | 990,473 | ||||||||
Windstream Services LLC, 7.875%, 11/1/2017 | 775,000 | 821,981 | ||||||||
|
| |||||||||
3,796,829 | ||||||||||
|
| |||||||||
Wireless Telecommunication Services - 0.4% | ||||||||||
Altice Financing S.A. (Luxembourg)4, 6.50%, 1/15/2022 | 1,850,000 | 1,873,125 | ||||||||
SBA Tower Trust4, 5.101%, 4/17/2017 | 575,000 | 587,094 | ||||||||
SBA Tower Trust4, 2.933%, 12/15/2017 | 1,285,000 | 1,300,165 | ||||||||
Sixsigma Networks Mexico S.A. de C.V. (Mexico)4, 8.25%, 11/7/2021 | 1,380,000 | 1,345,500 | ||||||||
T-Mobile USA, Inc., 6.836%, 4/28/2023 | 1,235,000 | 1,275,137 | ||||||||
|
| |||||||||
6,381,021 | ||||||||||
|
| |||||||||
Total Telecommunication Services | 10,177,850 | |||||||||
|
| |||||||||
Utilities - 0.5% | ||||||||||
Independent Power and Renewable Electricity Producers - 0.5% | ||||||||||
Abengoa Yield plc (Spain)4, 7.00%, 11/15/2019 | 1,305,000 | 1,187,549 | ||||||||
ContourGlobal Power Holdings S.A. (France)4, 7.125%, 6/1/2019 | 1,310,000 | 1,306,725 | ||||||||
NRG Energy, Inc., 6.25%, 7/15/2022 | 895,000 | 823,400 | ||||||||
Talen Energy Supply LLC4, 4.625%, 7/15/2019 | 1,850,000 | 1,692,380 | ||||||||
TerraForm Global Operating LLC4, 9.75%, 8/15/2022 | 1,410,000 | 1,261,950 |
The accompanying notes are an integral part of the financial statements.
77
Investment Portfolio - October 31, 2015
PRO-BLEND® EXTENDED TERM SERIES | PRINCIPAL AMOUNT 2 | VALUE (NOTE 2) | ||||||||
CORPORATE BONDS (continued) | ||||||||||
Non-Convertible Corporate Bonds (continued) | ||||||||||
Utilities (continued) | ||||||||||
Independent Power and Renewable Electricity Producers (continued) | ||||||||||
TerraForm Power Operating LLC4, 6.125%, 6/15/2025 | 1,435,000 | $ | 1,291,500 | |||||||
|
| |||||||||
Total Utilities | 7,563,504 | |||||||||
|
| |||||||||
TOTAL CORPORATE BONDS | ||||||||||
(Identified Cost $261,281,029) | 256,825,759 | |||||||||
|
| |||||||||
U.S. TREASURY SECURITIES - 2.8% | ||||||||||
U.S. Treasury Bonds - 0.8% | ||||||||||
U.S. Treasury Inflation Indexed Bonds, 0.75%, 2/15/2042 (Identified Cost $12,036,576) | 13,184,125 | 11,783,968 | ||||||||
|
| |||||||||
U.S. Treasury Notes - 2.0% | ||||||||||
U.S. Treasury Note, 1.625%, 12/31/2019 | 10,000,000 | 10,088,540 | ||||||||
U.S. Treasury Note, 1.375%, 4/30/2020 | 20,000,000 | 19,917,700 | ||||||||
|
| |||||||||
Total U.S. Treasury Notes | ||||||||||
(Identified Cost $29,945,185) | 30,006,240 | |||||||||
|
| |||||||||
TOTAL U.S. TREASURY SECURITIES | ||||||||||
(Identified Cost $41,981,761) | 41,790,208 | |||||||||
|
| |||||||||
ASSET-BACKED SECURITIES - 0.9% | ||||||||||
Cazenovia Creek Funding I LLC, Series 2015-1A, Class A4, 2.00%, 12/10/2023 | 1,327,250 | 1,329,507 | ||||||||
Enterprise Fleet Financing LLC, Series 2014-2, Class A24, 1.05%, 3/20/2020 | 1,169,060 | 1,165,720 | ||||||||
Enterprise Fleet Financing LLC, Series 2015-2, Class A24, 1.59%, 2/22/2021 | 2,725,000 | 2,715,938 | ||||||||
FDIC Trust, Series 2011-R1, Class A4, 2.672%, 7/25/2026 | 709,262 | 724,496 | ||||||||
FNA Trust, Series 2014-1A, Class A4, 1.296%, 12/10/2022 | 1,198,136 | 1,198,687 | ||||||||
Ford Credit Auto Owner Trust, Series 2012-D, Class A3, 0.51%, 4/15/2017 | 73,381 | 73,371 | ||||||||
Hertz Vehicle Financing LLC, Series 2010-1A, Class A24, 3.74%, 2/25/2017 | 466,667 | 468,915 | ||||||||
Invitation Homes Trust, Series 2015-SFR3, Class A3,4, 1.497%, 8/17/2032 | 1,590,300 | 1,558,397 | ||||||||
NextGear Floorplan Master Owner Trust, Series 2014-1A, Class A4, 1.92%, 10/15/2019 | 1,200,000 | 1,195,427 | ||||||||
SpringCastle America Funding LLC, Series 2014-AA, Class A4, 2.70%, 5/25/2023 | 1,097,850 | 1,100,265 | ||||||||
Starwood Retail Property Trust, Series 2014-STAR, Class A3,4, 1.416%, 11/15/2027 | 1,500,000 | 1,488,594 | ||||||||
|
| |||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||
(Identified Cost $13,055,694) | 13,019,317 | |||||||||
|
| |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES - 5.9% | ||||||||||
Americold LLC Trust, Series 2010-ARTA, Class A14, 3.847%, 1/14/2029 | 184,634 | 192,245 | ||||||||
Banc of America Commercial Mortgage Trust, Series 2006-2, Class A43, 5.997%, 5/10/2045 | 2,343,842 | 2,363,244 | ||||||||
Banc of America Commercial Mortgage Trust, Series 2006-4, Class A4, 5.634%, 7/10/2046 | 729,111 | 738,274 | ||||||||
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-PW12, Class A43, 5.899%, 9/11/2038 | 452,390 | 457,266 | ||||||||
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-PW13, Class A4, 5.54%, 9/11/2041 | 601,645 | 612,101 | ||||||||
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-T24, Class AM3, 5.568%, 10/12/2041 | 1,180,000 | 1,221,475 | ||||||||
BWAY Mortgage Trust, Series 2015-1740, Class A4, 2.917%, 1/13/2035 | 3,300,000 | 3,176,161 | ||||||||
CFCRE Commercial Mortgage Trust, Series 2011-C1, Class A24, 3.759%, 4/15/2044 | 141,121 | 141,968 | ||||||||
Commercial Mortgage Pass-Through Certificates, Series 2006-GG7, Class A43, 6.021%, 7/10/2038 | 540,287 | 545,073 | ||||||||
Commercial Mortgage Pass-Through Certificates, Series 2010-C1, Class A14, 3.156%, 7/10/2046 | 7,796 | 7,791 | ||||||||
Commercial Mortgage Pass-Through Certificates, Series 2015-3BP, Class A4, 3.178%, 2/10/2035 | 3,300,000 | 3,293,606 | ||||||||
Commercial Mortgage Pass-Through Certificates, Series 2015-LC19, | 3,500,000 | 3,513,949 |
The accompanying notes are an integral part of the financial statements.
78
Investment Portfolio - October 31, 2015
PRO-BLEND® EXTENDED TERM SERIES | PRINCIPAL AMOUNT 2 | VALUE (NOTE 2) | ||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2015-PC1, Class A5, 3.902%, 7/10/2050 | 1,650,000 | $ | 1,737,848 | |||||||
Credit Suisse Mortgage Capital Trust, Series 2013-IVR3, Class A13,4, 2.50%, 5/25/2043 | 1,203,949 | 1,158,754 | ||||||||
Credit Suisse Mortgage Capital Trust, Series 2013-TH1, Class A13,4, 2.13%, 2/25/2043 | 985,460 | 928,665 | ||||||||
DB-UBS Mortgage Trust, Series 2011-LC1A, Class A14, 3.742%, 11/10/2046 | 92,545 | 93,010 | ||||||||
Extended Stay America Trust, Series 2013-ESH7, Class A274, 2.958%, 12/5/2031 | 1,410,000 | 1,411,471 | ||||||||
Fannie Mae Multifamily REMIC Trust, Series 2012-M13, Class ASQ2, 1.246%, 8/25/2017 | 876,751 | 880,028 | ||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K009, | 9,533,402 | 499,672 | ||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K014, | 10,065,204 | 571,649 | ||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K016, | 4,248,425 | 322,973 | ||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K017, | 7,480,357 | 517,929 | ||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K021, | 11,671,186 | 936,036 | ||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K030, | 46,802,000 | 656,566 | ||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K032, | 30,233,545 | 247,474 | ||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K706, | 5,922,477 | 240,508 | ||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K-P01, | 1,325,000 | 1,334,576 | ||||||||
FREMF Mortgage Trust, Series 2011-K701, Class B3,4, 4.436%, 7/25/2048 | 550,000 | 574,573 | ||||||||
FREMF Mortgage Trust, Series 2011-K702, Class B3,4, 4.931%, 4/25/2044 | 675,000 | 715,753 | ||||||||
FREMF Mortgage Trust, Series 2013-K28, Class X2A (IO)4, 0.10%, 6/25/2046 | 83,853,805 | 485,061 | ||||||||
FREMF Mortgage Trust, Series 2013-K712, Class B3,4 , 3.486%, 5/25/2045 | 1,050,000 | 1,074,983 | ||||||||
FREMF Mortgage Trust, Series 2014-K41, Class B3,4, 3.96%, 11/25/2047 | 1,800,000 | 1,652,323 | ||||||||
FREMF Mortgage Trust, Series 2014-K715, Class B3,4, 4.118%, 2/25/2046 | 1,750,000 | 1,776,564 | ||||||||
FREMF Mortgage Trust, Series 2014-K716, Class B3,4, 4.085%, 8/25/2047 | 1,900,000 | 1,969,263 | ||||||||
FREMF Mortgage Trust, Series 2015-K720, Class B3,4, 3.389%, 7/25/2022 | 820,000 | 731,932 | ||||||||
GAHR Commercial Mortgage Trust, Series 2015-NRF, Class BFX3,4, 3.495%, 12/15/2019 | 2,100,000 | 2,119,620 | ||||||||
GS Mortgage Securities Trust, Series 2010-C2, Class A14, 3.849%, 12/10/2043 | 124,992 | 129,374 | ||||||||
GS Mortgage Securities Trust, Series 2013-GC16, Class A4, 4.271%, 11/10/2046 | 3,000,000 | 3,266,134 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2005-CB13, | 314,435 | 314,199 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP7, | 1,027,078 | 1,039,295 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9, | 3,775,145 | 3,885,274 | ||||||||
JP Morgan Mortgage Trust, Series 2013-1, Class 1A23,4, 3.00%, 3/25/2043 | 798,408 | 789,073 | ||||||||
JP Morgan Mortgage Trust, Series 2013-2, Class A23,4, 3.50%, 5/25/2043 | 921,452 | 935,634 | ||||||||
JP Morgan Mortgage Trust, Series 2014-2, Class 1A13,4, 3.00%, 6/25/2029 | 1,374,890 | 1,402,656 |
The accompanying notes are an integral part of the financial statements.
79
Investment Portfolio - October 31, 2015
PRO-BLEND® EXTENDED TERM SERIES | PRINCIPAL AMOUNT 2 | VALUE (NOTE 2) | ||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C27, Class A4, 3.179%, 2/15/2048 | 2,500,000 | $ | 2,491,606 | |||||||
LB-UBS Commercial Mortgage Trust, Series 2006-C7, Class A3, 5.347%, 11/15/2038 | 2,000,000 | 2,051,239 | ||||||||
LSTAR Commercial Mortgage Trust, Series 2014-2, Class A24, 2.767%, 1/20/2041 | 1,333,072 | 1,355,023 | ||||||||
Morgan Stanley Capital I Trust, Series 2006-T23, Class A43, 6.019%, 8/12/2041 | 2,641,155 | 2,685,418 | ||||||||
Morgan Stanley Capital I Trust, Series 2011-C1, Class A24, 3.884%, 9/15/2047 | 121,750 | 122,056 | ||||||||
Motel 6 Trust, Series 2015-MTL6, Class B4, 3.298%, 2/5/2030 | 1,220,000 | 1,214,817 | ||||||||
New Residential Mortgage Loan Trust, Series 2014-3A, Class AFX33,4, 3.75%, 11/25/2054 | 1,361,921 | 1,396,431 | ||||||||
OBP Depositor LLC Trust, Series 2010-OBP, Class A4, 4.646%, 7/15/2045 | 115,000 | 126,336 | ||||||||
SBA Small Business Investment Companies, Series 2015-10B, Class 1, 2.829%, 9/10/2025 | 3,965,000 | 4,028,539 | ||||||||
SCG Trust, Series 2013-SRP1, Class AJ3,4, 2.146%, 11/15/2026 | 2,600,000 | 2,580,530 | ||||||||
Sequoia Mortgage Trust, Series 2013-2, Class A13, 1.874%, 2/25/2043 | 952,782 | 880,393 | ||||||||
Sequoia Mortgage Trust, Series 2013-7, Class A23, 3.00%, 6/25/2043 | 734,513 | 725,475 | ||||||||
Sequoia Mortgage Trust, Series 2013-8, Class A13, 3.00%, 6/25/2043 | 1,012,359 | 990,728 | ||||||||
U.S. Small Business Administration, Series 2015-10A, Class 1, 2.517%, 3/10/2025 | 971,929 | 985,183 | ||||||||
Vornado DP LLC Trust, Series 2010-VNO, Class A2FX4, 4.004%, 9/13/2028 | 350,000 | 375,562 | ||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2005-C22, Class AM3, 5.546%, 12/15/2044 | 345,801 | 345,400 | ||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C26, Class A33, 6.011%, 6/15/2045 | 750,000 | 757,579 | ||||||||
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A24, 4.393%, 11/15/2043 | 600,000 | 650,669 | ||||||||
Wells Fargo Commercial Mortgage Trust, Series 2014-LC18, Class A5, 3.405%, 12/15/2047 | 2,700,000 | 2,733,712 | ||||||||
Wells Fargo Commercial Mortgage Trust, Series 2015-C26, Class A4, 3.166%, 2/15/2048 | 3,100,000 | 3,083,693 | ||||||||
Wells Fargo Commercial Mortgage Trust, Series 2015-C30 - Class A4, 3.664%, 9/15/2058 | 1,500,000 | 1,550,212 | ||||||||
WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class A24, 3.791%, 2/15/2044 | 407,232 | 407,684 | ||||||||
WF-RBS Commercial Mortgage Trust, Series 2013-C11, Class A2, 2.029%, 3/15/2045 | 1,465,000 | 1,475,779 | ||||||||
WinWater Mortgage Loan Trust, Series 2015-1, Class A13,4, 3.50%, 1/20/2045 | 1,369,238 | 1,379,369 | ||||||||
WinWater Mortgage Loan Trust, Series 2015-3, Class A53,4, 3.50%, 3/20/2045 | 1,713,777 | 1,752,390 | ||||||||
|
| |||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | ||||||||||
(Identified Cost $88,433,643) | 86,807,846 | |||||||||
|
| |||||||||
FOREIGN GOVERNMENT BONDS - 1.8% | ||||||||||
Bonos de la Tesoreria de la Republica en pesos (Chile), 6.00%, 1/1/2018 | CLP | 805,000,000 | 1,238,552 | |||||||
Brazil Notas do Tesouro Nacional (Brazil), 10.00%, 1/1/2025 | BRL | 2,000,000 | 397,655 | |||||||
Brazilian Government International Bond (Brazil), 8.875%, 10/14/2019 | 700,000 | 827,750 | ||||||||
Brazilian Government International Bond (Brazil), 4.25%, 1/7/2025 | 200,000 | 177,250 | ||||||||
Canada Housing Trust No. 1 (Canada)4, 4.10%, 12/15/2018 | CAD | 385,000 | 322,822 | |||||||
Canadian Government Bond (Canada), 1.50%, 9/1/2017 | CAD | 1,600,000 | 1,244,087 | |||||||
Canadian Government Bond (Canada), 2.75%, 6/1/2022 | CAD | 460,000 | 386,757 | |||||||
Export-Import Bank of Korea (South Korea), 2.625%, 12/30/2020 | 6,425,000 | 6,500,410 | ||||||||
Ireland Government Bond (Ireland), 5.00%, 10/18/2020 | EUR | 295,000 | 399,365 | |||||||
Ireland Government Bond (Ireland), 0.80%, 3/15/2022 | EUR | 200,000 | 223,682 | |||||||
Italy Buoni Poliennali Del Tesoro (Italy), 5.50%, 9/1/2022 | EUR | 625,000 | 888,724 | |||||||
Italy Buoni Poliennali Del Tesoro (Italy), 5.50%, 11/1/2022 | EUR | 760,000 | 1,082,244 |
The accompanying notes are an integral part of the financial statements.
80
Investment Portfolio - October 31, 2015
PRO-BLEND® EXTENDED TERM SERIES | PRINCIPAL AMOUNT2 | VALUE (NOTE 2) | ||||||||
FOREIGN GOVERNMENT BONDS (continued) | ||||||||||
Italy Buoni Poliennali Del Tesoro (Italy), 1.50%, 6/1/2025 | EUR | 200,000 | $ | 220,285 | ||||||
Japan Government Five Year Bond (Japan), 0.30%, 12/20/2016 | JPY | 100,300,000 | 833,944 | |||||||
Korea Treasury Bond (South Korea), 2.75%, 6/10/2016 | KRW | 460,000,000 | 406,417 | |||||||
Korea Treasury Bond (South Korea), 2.00%, 12/10/2017 | KRW | 470,000,000 | 415,304 | |||||||
Malaysia Government Bond (Malaysia), 3.172%, 7/15/2016 | MYR | 4,320,000 | 1,008,633 | |||||||
Malaysia Government Bond (Malaysia), 4.262%, 9/15/2016 | MYR | 3,275,000 | 771,447 | |||||||
Mexican Government Bond (Mexico), 8.00%, 12/17/2015 | MXN | 26,069,000 | 1,586,268 | |||||||
Mexican Government Bond (Mexico), 7.25%, 12/15/2016 | MXN | 5,945,000 | 374,368 | |||||||
Mexican Government Bond (Mexico), 5.00%, 6/15/2017 | MXN | 9,500,000 | 584,779 | |||||||
Mexican Government Bond (Mexico), 8.00%, 6/11/2020 | MXN | 9,400,000 | 635,389 | |||||||
Mexican Government Bond (Mexico), 6.50%, 6/10/2021 | MXN | 4,000,000 | 255,096 | |||||||
Mexican Government Bond (Mexico), 6.50%, 6/9/2022 | MXN | 6,500,000 | 411,679 | |||||||
Mexican Government Bond (Mexico), 7.75%, 5/29/2031 | MXN | 1,250,000 | 85,083 | |||||||
Norway Government Bond (Norway)4, 4.25%, 5/19/2017 | NOK | 1,600,000 | 198,645 | |||||||
Singapore Government Bond (Singapore), 2.50%, 6/1/2019 | SGD | 845,000 | 622,486 | |||||||
Spain Government Bond (Spain), 4.50%, 1/31/2018 | EUR | 325,000 | 392,231 | |||||||
Spain Government Bond (Spain)4, 4.00%, 4/30/2020 | EUR | 510,000 | 645,001 | |||||||
Spain Government Bond (Spain)4, 5.40%, 1/31/2023 | EUR | 755,000 | 1,068,099 | |||||||
Spain Government Bond (Spain)4, 1.60%, 4/30/2025 | EUR | 200,000 | 219,863 | |||||||
United Kingdom Gilt (United Kingdom), 2.00%, 1/22/2016 | GBP | 800,000 | 1,237,220 | |||||||
United Kingdom Gilt (United Kingdom), 1.00%, 9/7/2017 | GBP | 375,000 | 582,086 | |||||||
United Kingdom Gilt (United Kingdom), 5.00%, 3/7/2018 | GBP | 475,000 | 807,093 | |||||||
|
| |||||||||
TOTAL FOREIGN GOVERNMENT BONDS | ||||||||||
(Identified Cost $30,081,167) | 27,050,714 | |||||||||
|
| |||||||||
U.S. GOVERNMENT AGENCIES - 8.8% | ||||||||||
Mortgage-Backed Securities - 5.4% | ||||||||||
Fannie Mae, Pool #888468, 5.50%, 9/1/2021 | 579,077 | 625,649 | ||||||||
Fannie Mae, Pool #995233, 5.50%, 10/1/2021 | 41,142 | 44,095 | ||||||||
Fannie Mae, Pool #888017, 6.00%, 11/1/2021 | 56,712 | 61,923 | ||||||||
Fannie Mae, Pool #995329, 5.50%, 12/1/2021 | 393,618 | 424,477 | ||||||||
Fannie Mae, Pool #888136, 6.00%, 12/1/2021 | 70,414 | 77,003 | ||||||||
Fannie Mae, Pool #888810, 5.50%, 11/1/2022 | 696,744 | 752,056 | ||||||||
Fannie Mae, Pool #990895, 5.50%, 10/1/2023 | 55,640 | 60,431 | ||||||||
Fannie Mae, Pool #AD0462, 5.50%, 10/1/2024 | 43,279 | 47,352 | ||||||||
Fannie Mae, Pool #MA1834, 4.50%, 2/1/2034 | 1,622,119 | 1,766,838 | ||||||||
Fannie Mae, Pool #MA1890, 4.00%, 5/1/2034 | 1,415,573 | 1,522,835 | ||||||||
Fannie Mae, Pool #MA1903, 4.50%, 5/1/2034 | 731,576 | 796,770 | ||||||||
Fannie Mae, Pool #AS3677, 4.00%, 10/1/2034 | 1,618,202 | 1,738,185 | ||||||||
Fannie Mae, Pool #MA2177, 4.00%, 2/1/2035 | 1,863,196 | 2,002,100 | ||||||||
Fannie Mae, Pool #MA2198, 3.50%, 3/1/2035 | 3,804,989 | 3,995,985 | ||||||||
Fannie Mae, Pool #888021, 6.00%, 12/1/2036 | 93,049 | 105,558 | ||||||||
Fannie Mae, Pool #909786, 5.50%, 3/1/2037 | 248,349 | 277,932 | ||||||||
Fannie Mae, Pool #995050, 6.00%, 9/1/2037 | 273,937 | 310,744 | ||||||||
Fannie Mae, Pool #AB8161, 6.00%, 12/1/2037 | 965,719 | 1,094,684 | ||||||||
Fannie Mae, Pool #933731, 5.50%, 4/1/2038 | 1,001,043 | 1,121,831 | ||||||||
Fannie Mae, Pool #889576, 6.00%, 4/1/2038 | 582,577 | 661,084 | ||||||||
Fannie Mae, Pool #889624, 5.50%, 5/1/2038 | 1,142,435 | 1,278,977 | ||||||||
Fannie Mae, Pool #889579, 6.00%, 5/1/2038 | 542,061 | 614,663 | ||||||||
Fannie Mae, Pool #995196, 6.00%, 7/1/2038 | 30,701 | 34,827 | ||||||||
Fannie Mae, Pool #AD0119, 6.00%, 7/1/2038 | 395,438 | 447,760 | ||||||||
Fannie Mae, Pool #AD0207, 6.00%, 10/1/2038 | 1,836,700 | 2,082,965 |
The accompanying notes are an integral part of the financial statements.
81
Investment Portfolio - October 31, 2015
PRO-BLEND® EXTENDED TERM SERIES | PRINCIPAL AMOUNT 2 | VALUE (NOTE 2) | ||||||||
U.S. GOVERNMENT AGENCIES (continued) | ||||||||||
Mortgage-Backed Securities (continued) | ||||||||||
Fannie Mae, Pool #AD0220, 6.00%, 10/1/2038 | 50,515 | $ | 57,313 | |||||||
Fannie Mae, Pool #890294, 5.50%, 1/1/2039 | 2,056,678 | 2,304,861 | ||||||||
Fannie Mae, Pool #AD0307, 5.50%, 1/1/2039 | 1,147,026 | 1,284,862 | ||||||||
Fannie Mae, Pool #AD0527, 5.50%, 6/1/2039 | 181,437 | 203,342 | ||||||||
Fannie Mae, Pool #MA0258, 4.50%, 12/1/2039 | 1,337,311 | 1,452,640 | ||||||||
Fannie Mae, Pool #890326, 5.50%, 1/1/2040 | 1,600,748 | 1,792,534 | ||||||||
Fannie Mae, Pool #AL1595, 6.00%, 1/1/2040 | 954,699 | 1,081,546 | ||||||||
Fannie Mae, Pool #AE0061, 6.00%, 2/1/2040 | 1,015,774 | 1,151,498 | ||||||||
Fannie Mae, Pool #AL0152, 6.00%, 6/1/2040 | 1,259,526 | 1,428,486 | ||||||||
Fannie Mae, Pool #AL2581, 6.00%, 6/1/2040 | 794,975 | 901,686 | ||||||||
Fannie Mae, Pool #890519, 6.00%, 10/1/2040 | 1,881,581 | 2,132,826 | ||||||||
Fannie Mae, Pool #AE0951, 4.50%, 2/1/2041 | 815,015 | 885,650 | ||||||||
Fannie Mae, Pool #AH9054, 4.50%, 4/1/2041 | 359,053 | 390,172 | ||||||||
Fannie Mae, Pool #AI2468, 4.50%, 5/1/2041 | 279,351 | 303,570 | ||||||||
Fannie Mae, Pool #AL0160, 4.50%, 5/1/2041 | 836,001 | 908,386 | ||||||||
Fannie Mae, Pool #AJ1415, 4.50%, 9/1/2041 | 198,766 | 216,027 | ||||||||
Fannie Mae, Pool #AK4940, 3.50%, 3/1/2042 | 903,844 | 942,883 | ||||||||
Fannie Mae, Pool #AL6294, 4.50%, 11/1/2044 | 3,446,201 | 3,754,669 | ||||||||
Fannie Mae, Pool #AX5234, 4.50%, 11/1/2044 | 2,612,158 | 2,837,248 | ||||||||
Freddie Mac, Pool #G11850, 5.50%, 7/1/2020 | 206,338 | 219,156 | ||||||||
Freddie Mac, Pool #G12610, 6.00%, 3/1/2022 | 68,901 | 75,224 | ||||||||
Freddie Mac, Pool #G12655, 6.00%, 5/1/2022 | 50,066 | 54,679 | ||||||||
Freddie Mac, Pool #G12988, 6.00%, 1/1/2023 | 38,256 | 41,884 | ||||||||
Freddie Mac, Pool #G13078, 6.00%, 3/1/2023 | 68,680 | 75,257 | ||||||||
Freddie Mac, Pool #G13331, 5.50%, 10/1/2023 | 27,887 | 30,304 | ||||||||
Freddie Mac, Pool #C91754, 4.50%, 3/1/2034 | 963,428 | 1,049,720 | ||||||||
Freddie Mac, Pool #C91762, 4.50%, 5/1/2034 | 1,192,980 | 1,299,836 | ||||||||
Freddie Mac, Pool #C91766, 4.50%, 5/1/2034 | 844,102 | 912,671 | ||||||||
Freddie Mac, Pool #C91771, 4.50%, 6/1/2034 | 857,416 | 938,031 | ||||||||
Freddie Mac, Pool #C91780, 4.50%, 7/1/2034 | 1,056,030 | 1,150,441 | ||||||||
Freddie Mac, Pool #K92054, 4.00%, 10/1/2034 | 871,174 | 935,346 | ||||||||
Freddie Mac, Pool #C91850, 4.00%, 9/1/2035 | 3,182,656 | 3,411,262 | ||||||||
Freddie Mac, Pool #G03332, 6.00%, 10/1/2037 | 108,197 | 122,694 | ||||||||
Freddie Mac, Pool #G03696, 5.50%, 1/1/2038 | 223,993 | 249,521 | ||||||||
Freddie Mac, Pool #G03926, 6.00%, 2/1/2038 | 283,266 | 320,546 | ||||||||
Freddie Mac, Pool #G04264, 5.50%, 4/1/2038 | 684,086 | 761,565 | ||||||||
Freddie Mac, Pool #G04731, 5.50%, 4/1/2038 | 424,783 | 473,748 | ||||||||
Freddie Mac, Pool #G08273, 5.50%, 6/1/2038 | 518,492 | 577,836 | ||||||||
Freddie Mac, Pool #G04601, 5.50%, 7/1/2038 | 1,389,978 | 1,543,735 | ||||||||
Freddie Mac, Pool #G05956, 5.50%, 7/1/2038 | 1,006,681 | 1,121,707 | ||||||||
Freddie Mac, Pool #G04587, 5.50%, 8/1/2038 | 1,505,511 | 1,676,956 | ||||||||
Freddie Mac, Pool #G05671, 5.50%, 8/1/2038 | 396,254 | 441,919 | ||||||||
Freddie Mac, Pool #G06172, 5.50%, 12/1/2038 | 751,806 | 836,573 | ||||||||
Freddie Mac, Pool #G05409, 5.50%, 3/1/2039 | 516,235 | 575,782 | ||||||||
Freddie Mac, Pool #A86522, 4.50%, 5/1/2039 | 1,121,976 | 1,215,638 | ||||||||
Freddie Mac, Pool #A89760, 4.50%, 12/1/2039 | 203,810 | 220,951 | ||||||||
Freddie Mac, Pool #G06021, 5.50%, 1/1/2040 | 237,859 | 265,316 | ||||||||
Freddie Mac, Pool #G05923, 5.50%, 2/1/2040 | 148,161 | 165,020 | ||||||||
Freddie Mac, Pool #G05900, 6.00%, 3/1/2040 | 430,835 | 488,674 | ||||||||
Freddie Mac, Pool #G05906, 6.00%, 4/1/2040 | 267,987 | 304,122 |
The accompanying notes are an integral part of the financial statements.
82
Investment Portfolio - October 31, 2015
PRO-BLEND® EXTENDED TERM SERIES | PRINCIPAL AMOUNT 2 | VALUE (NOTE 2) | ||||||||
U.S. GOVERNMENT AGENCIES (continued) | ||||||||||
Mortgage-Backed Securities (continued) | ||||||||||
Freddie Mac, Pool #G07589, 5.50%, 6/1/2041 | 2,427,992 | $ | 2,707,048 | |||||||
Freddie Mac, Pool #Q17719, 3.50%, 4/1/2043 | 1,291,556 | 1,344,673 | ||||||||
Freddie Mac, Pool #Q28831, 4.50%, 10/1/2044 | 717,636 | 780,711 | ||||||||
Freddie Mac, Pool #C09068, 3.50%, 11/1/2044 | 996,961 | 1,035,989 | ||||||||
Freddie Mac, Pool #G08669, 4.00%, 9/1/2045 | 1,964,465 | 2,091,203 | ||||||||
Freddie Mac, Pool #G08672, 4.00%, 10/1/2045 | 3,910,000 | 4,162,254 | ||||||||
|
| |||||||||
Total Mortgage-Backed Securities | ||||||||||
(Identified Cost $78,144,376) | 79,654,915 | |||||||||
|
| |||||||||
Other Agencies - 3.4% | ||||||||||
Fannie Mae, 1.50%, 11/30/2020 | ||||||||||
(Identified Cost $49,589,000) | 50,000,000 | 49,569,050 | ||||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT AGENCIES | ||||||||||
(Identified Cost $127,733,376) | 129,223,965 | |||||||||
|
| |||||||||
U.S. GOVERNMENT SECURITIES - 2.2% | ||||||||||
U.S. Treasury Bills - 2.2% | ||||||||||
U.S. Treasury Bill12,13, 0.281%, 6/23/2016 | ||||||||||
(Identified Cost $32,141,671) | 32,200,000 | 32,141,138 | ||||||||
|
| |||||||||
SHORT-TERM INVESTMENT - 5.8% | ||||||||||
Dreyfus Cash Management, Inc. - Institutional Shares14, 0.06%, | ||||||||||
(Identified Cost $85,858,350) | 85,858,350 | 85,858,350 | ||||||||
|
| |||||||||
TOTAL INVESTMENTS - 102.3% | ||||||||||
(Identified Cost $1,465,677,990) | 1,505,026,191 | |||||||||
LIABILITIES, LESS OTHER ASSETS - (2.3%) | (34,367,696 | ) | ||||||||
|
| |||||||||
NET ASSETS - 100% | $ | 1,470,658,495 | ||||||||
|
|
FUTURES CONTRACTS: LONG POSITIONS OPEN AT OCTOBER 31, 2015: | ||||||||||||||
CONTRACTS PURCHASED | ISSUE | EXCHANGE | EXPIRATION | NOTIONAL VALUE2 | UNREALIZED DEPRECIATION | |||||||||
2,681 | U.S. Treasury Notes (2 Year) | CBOT | December 2015 | 586,217,406 | $ | (211,178 | ) | |||||||
1,453 | Euro Dollar Futures | CME | June 2016 | 360,761,737 | (34,905 | ) | ||||||||
|
| |||||||||||||
Total | (246,083 | ) | ||||||||||||
|
| |||||||||||||
FUTURES CONTRACTS: SHORT POSITIONS OPEN AT OCTOBER 31, 2015: | ||||||||||||||
CONTRACTS SOLD | ISSUE | EXCHANGE | EXPIRATION | NOTIONAL VALUE2 | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
299 | U.S. Treasury Bonds (30 Year) | CBOT | December 2015 | 46,774,812 | $ | (467,285 | ) | |||||||
390 | U.S. Treasury Notes (10 Year) | CBOT | December 2015 | 49,798,125 | 170,243 | |||||||||
642 | U.S. Treasury Notes (5 Year) | CBOT | December 2015 | 76,894,547 | 105,417 | |||||||||
106 | U.S. Ultra Treasury Bonds | CBOT | December 2015 | 16,933,500 | (49,697 | ) | ||||||||
208 | Euro Dollar Futures | CME | September 2018 | 51,030,200 | (21,187 | ) | ||||||||
364 | Euro Dollar Futures | CME | December 2018 | 89,211,850 | (84,377 | ) | ||||||||
365 | Euro Dollar Futures | CME | March 2019 | 89,383,938 | (83,341 | ) | ||||||||
365 | Euro Dollar Futures | CME | June 2019 | 89,310,938 | (176,666 | ) | ||||||||
157 | Euro Dollar Futures | CME | September 2019 | 38,384,538 | 14,720 | |||||||||
|
| |||||||||||||
Total | (592,173 | ) | ||||||||||||
|
|
The accompanying notes are an integral part of the financial statements.
83
Investment Portfolio - October 31, 2015
ADR - American Depositary Receipt
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CBOT - Chicago Board of Trade
CLP - Chilean Peso
CME - Chicago Mercantile Exchange
EUR - Euro
GBP - British Pound
IO - Interest only
JPY Japanese Yen
KRW - South Korean Won
MXN - Mexican Peso
MYR - Malaysian Ringgit
NOK - Norwegian Krone
SGD - Singapore Dollar
##Less than 0.1%.
*Non-income producing security.
1A factor from a third party vendor was applied to determine the security’s fair value following the close of local trading.
2Amount is stated in USD unless otherwise noted.
3The coupon rate is floating and is the effective rate as of October 31, 2015.
4Restricted securities - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. These securities have been sold under Rule 144A and have been determined to be liquid. These securities amount to $141,019,695 or 9.6%, of the Series’ net assets as of October 31, 2015 (see Note 2 to the financial statements).
5Security is perpetual in nature and has no stated maturity date.
6The rate shown is a fixed rate as of October 31, 2015; the rate becomes floating, based on U.S. Treasury Yield Curve Rate Treasury Note Constant Maturity 5 Year in June 2017.
7The rate shown is a fixed rate as of October 31, 2015; the rate becomes floating, based on U.S. Treasury Note (5 Year) in July 2016.
8The rate shown is a fixed rate as of October 31, 2015; the rate becomes floating, based on LIBOR plus a spread, in December 2024.
9The rate shown is a fixed rate as of October 31, 2015; the rate becomes floating, based on LIBOR plus a spread, in June 2022.
10The rate shown is a fixed rate as of October 31, 2015; the rate becomes floating, based on LIBOR plus a spread, in September 2022.
11Represents a Payment-In-Kind bond.
12All or a portion of security has been pledged in connection with outstanding futures contracts.
13Represents the annualized yield at time of purchase.
14Rate shown is the current yield as of October 31, 2015.
The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of MSCI Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P), and is licensed for use by Manning & Napier when referencing GICS sectors. Neither MSCI, S&P, nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification, nor shall any such party have any liability therefrom.
The accompanying notes are an integral part of the financial statements.
84
Statement of Assets and Liabilities - Pro-Blend® Extended Term Series
October 31, 2015
ASSETS: | ||||
Investments, at value (identified cost $1,465,677,990) (Note 2) | $ | 1,505,026,191 | ||
Deposits at broker for futures contracts | 8,770,246 | |||
Receivable for securities sold | 7,393,636 | |||
Interest receivable | 5,053,059 | |||
Receivable for fund shares sold | 613,174 | |||
Dividends receivable | 453,024 | |||
Foreign tax reclaims receivable | 494,164 | |||
Prepaid and other expenses | 164 | |||
|
| |||
TOTAL ASSETS | 1,527,803,658 | |||
|
| |||
LIABILITIES: | ||||
Accrued management fees (Note 3) | 932,817 | |||
Accrued distribution and service (Rule 12b-1) fees (Class C) (Class R) (Note 3) | 155,656 | |||
Accrued shareholder services fees (Class S) (Note 3) | 151,727 | |||
Accrued fund accounting and administration fees (Note 3) | 67,337 | |||
Accrued transfer agent fees (Note 3) | 53,084 | |||
Accrued Chief Compliance Officer service fees (Note 3) | 421 | |||
Accrued foreign capital gains tax (Note 2) | 766 | |||
Accrued Directors’ fees (Note 3) | 41 | |||
Payable for securities purchased | 52,903,297 | |||
Payable for fund shares repurchased | 2,146,866 | |||
Variation margin payable on futures contracts | 531,201 | |||
Other payables and accrued expenses | 201,950 | |||
|
| |||
TOTAL LIABILITIES | 57,145,163 | |||
|
| |||
TOTAL NET ASSETS | $ | 1,470,658,495 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Capital stock | $ | 1,207,240 | ||
Additional paid-in-capital | 1,399,269,093 | |||
Undistributed net investment income | 6,349,236 | |||
Accumulated net realized gain on investments, foreign currency and translation of other assets and liabilities | 25,376,924 | |||
Net unrealized appreciation on investments (net of foreign capital gains tax of $766), foreign currency and translation of other assets and liabilities | 38,456,002 | |||
|
| |||
TOTAL NET ASSETS | $ | 1,470,658,495 | ||
|
|
The accompanying notes are an integral part of the financial statements.
85
Statement of Assets and Liabilities - Pro-Blend® Extended Term Series
October 31, 2015
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class S | $ | 16.42 | ||
|
| |||
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class I | $ | 9.57 | ||
|
| |||
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class C | $ | 10.21 | ||
|
| |||
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class R | $ | 10.87 | ||
|
|
The accompanying notes are an integral part of the financial statements.
86
Statement of Operations - Pro-Blend® Extended Term Series
For the Year Ended October 31, 2015
INVESTMENT INCOME: | ||||
Interest | $ | 18,979,338 | ||
Dividends (net of foreign taxes withheld, $350,028) | 14,255,607 | |||
|
| |||
Total Investment Income | 33,234,945 | |||
|
| |||
EXPENSES: | ||||
Management fees (Note 3) | 12,254,789 | |||
Shareholder services fees (Class S) (Note 3) | 2,011,545 | |||
Distribution and service (Rule 12b-1) fees (Class C) (Note 3) | 1,687,035 | |||
Distribution and service (Rule 12b-1) fees (Class R) (Note 3) | 292,049 | |||
Fund accounting and administration fees (Note 3) | 265,685 | |||
Transfer agent fees (Note 3) | 256,112 | |||
Directors’ fees (Note 3) | 56,680 | |||
Chief Compliance Officer service fees (Note 3) | 2,520 | |||
Custodian fees | 148,024 | |||
Miscellaneous | 379,726 | |||
|
| |||
Total Expenses | 17,354,165 | |||
|
| |||
NET INVESTMENT INCOME | 15,880,780 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY: | ||||
Net realized gain (loss) on- | ||||
Investments | 30,740,394 | |||
Futures contracts | (8,183,974 | ) | ||
Options Written | 3,322,354 | |||
Foreign currency and translation of other assets and liabilities | (431,735 | ) | ||
|
| |||
25,447,039 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on- | ||||
Investments (net of decrease in accrued foreign capital gains tax of $568) | (73,838,287 | ) | ||
Futures contracts | (971,570 | ) | ||
Options Written | 221,687 | |||
Foreign currency and translation of other assets and liabilities | (13,556 | ) | ||
|
| |||
(74,601,726 | ) | |||
|
| |||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY | (49,154,687 | ) | ||
|
| |||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (33,273,907 | ) | |
|
|
The accompanying notes are an integral part of the financial statements.
87
Statements of Changes in Net Assets - Pro-Blend® Extended Term Series
FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | |||||||
INCREASE (DECREASE) IN NET ASSETS: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 15,880,780 | $ | 17,727,861 | ||||
Net realized gain on investments and foreign currency | 25,447,039 | 170,870,715 | ||||||
Net change in unrealized depreciation on investments and foreign currency | (74,601,726 | ) | (77,886,991 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from operations | (33,273,907 | ) | 110,711,585 | |||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS (Note 8): | ||||||||
From net investment income (Class S) | (5,232,086 | ) | (5,851,421 | ) | ||||
From net investment income (Class I) | (9,395,801 | ) | (8,724,840 | ) | ||||
From net investment income (Class C) | (660,165 | ) | (706,642 | ) | ||||
From net investment income (Class R) | (510,084 | ) | (534,624 | ) | ||||
From net realized gain on investments (Class S) | (63,495,422 | ) | (41,050,473 | ) | ||||
From net realized gain on investments (Class I) | (81,338,580 | ) | (43,085,027 | ) | ||||
From net realized gain on investments (Class C) | (18,859,983 | ) | (9,510,512 | ) | ||||
From net realized gain on investments (Class R) | (7,014,868 | ) | (4,118,550 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (186,506,989 | ) | (113,582,089 | ) | ||||
|
|
|
| |||||
CAPITAL STOCK ISSUED AND REPURCHASED: | ||||||||
Net increase (decrease) from capital share transactions (Note 5) | (70,659,450 | ) | 212,524,069 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets | (290,440,346 | ) | 209,653,565 | |||||
NET ASSETS: | ||||||||
Beginning of year | 1,761,098,841 | 1,551,445,276 | ||||||
|
|
|
| |||||
End of year (including undistributed net investment income of $6,349,236 and $7,131,536, respectively) | $ | 1,470,658,495 | $ | 1,761,098,841 | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
88
Financial Highlights - Pro-Blend® Extended Term Series - Class S
FOR THE YEARS ENDED | ||||||||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | ||||||||||||||||
Per share data (for a share outstanding throughout each year): | ||||||||||||||||||||
Net asset value - Beginning of year | $ | 18.28 | $ | 18.10 | $ | 16.01 | $ | 15.46 | $ | 15.16 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income1 | 0.16 | 0.19 | 0.17 | 0.19 | 0.23 | |||||||||||||||
Net realized and unrealized gain on investments | (0.56 | ) | 1.02 | 2.56 | 1.01 | 0.26 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (0.40 | ) | 1.21 | 2.73 | 1.20 | 0.49 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions to shareholders: | ||||||||||||||||||||
From net investment income | �� | (0.11 | ) | (0.13 | ) | (0.14 | ) | (0.19 | ) | (0.19 | ) | |||||||||
From net realized gain on investments | (1.35 | ) | (0.90 | ) | (0.50 | ) | (0.46 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions to shareholders | (1.46 | ) | (1.03 | ) | (0.64 | ) | (0.65 | ) | (0.19 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value - End of year | $ | 16.42 | $ | 18.28 | $ | 18.10 | $ | 16.01 | $ | 15.46 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net assets - End of year (000’s omitted) | $ | 718,811 | $ | 872,014 | $ | 820,370 | $ | 792,804 | $ | 716,536 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return2 | (2.16 | %) | 7.08 | % | 17.56 | % | 8.26 | % | 3.26 | % | ||||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||||||
Expenses | 1.07 | % | 1.06 | % | 1.06 | % | 1.07 | % | 1.08 | % | ||||||||||
Net investment income | 0.96 | % | 1.04 | % | 1.03 | % | 1.20 | % | 1.49 | % | ||||||||||
Series portfolio turnover | 66 | % | 65 | % | 64 | % | 58 | % | 65 | % |
1Calculated based on average shares outstanding during the years.
2Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions.
The accompanying notes are an integral part of the financial statements.
89
Financial Highlights - Pro-Blend® Extended Term Series - Class I
FOR THE YEARS ENDED | ||||||||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | ||||||||||||||||
Per share data (for a share outstanding throughout each year): | ||||||||||||||||||||
Net asset value - Beginning of year | $ | 11.30 | $ | 11.60 | $ | 10.50 | $ | 10.38 | $ | 10.26 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income1 | 0.12 | 0.15 | 0.14 | 0.15 | 0.18 | |||||||||||||||
Net realized and unrealized gain on investments | (0.34 | ) | 0.62 | 1.64 | 0.66 | 0.17 | ||||||||||||||
|
|
|
|
|
|
|
| �� |
|
| ||||||||||
Total from investment operations | (0.22 | ) | 0.77 | 1.78 | 0.81 | 0.35 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions to shareholders: | ||||||||||||||||||||
From net investment income | (0.16 | ) | (0.17 | ) | (0.18 | ) | (0.23 | ) | (0.23 | ) | ||||||||||
From net realized gain on investments | (1.35 | ) | (0.90 | ) | (0.50 | ) | (0.46 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions to shareholders | (1.51 | ) | (1.07 | ) | (0.68 | ) | (0.69 | ) | (0.23 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value - End of year | $ | 9.57 | $ | 11.30 | $ | 11.60 | $ | 10.50 | $ | 10.38 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net assets - End of year (000’s omitted) | $ | 545,570 | $ | 659,331 | $ | 547,522 | $ | 429,157 | $ | 321,632 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return2 | (1.91 | %) | 7.32 | % | 17.80 | % | 8.60 | % | 3.43 | % | ||||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||||||
Expenses | 0.82 | % | 0.81 | % | 0.81 | % | 0.82 | % | 0.83 | % | ||||||||||
Net investment income | 1.22 | % | 1.29 | % | 1.27 | % | 1.45 | % | 1.74 | % | ||||||||||
Series portfolio turnover | 66 | % | 65 | % | 64 | % | 58 | % | 65 | % |
1Calculated based on average shares outstanding during the years.
2Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions.
The accompanying notes are an integral part of the financial statements.
90
Financial Highlights - Pro-Blend® Extended Term Series - Class C
FOR THE YEARS ENDED | ||||||||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | ||||||||||||||||
Per share data (for a share outstanding throughout each year): | ||||||||||||||||||||
Net asset value - Beginning of year | $ | 11.95 | $ | 12.21 | $ | 11.02 | $ | 10.86 | $ | 10.74 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income1 | 0.02 | 0.03 | 0.03 | 0.05 | 0.08 | |||||||||||||||
Net realized and unrealized gain on investments | (0.36 | ) | 0.67 | 1.73 | 0.70 | 0.19 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (0.34 | ) | 0.70 | 1.76 | 0.75 | 0.27 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions to shareholders: | ||||||||||||||||||||
From net investment income | (0.05 | ) | (0.06 | ) | (0.07 | ) | (0.13 | ) | (0.15 | ) | ||||||||||
From net realized gain on investments | (1.35 | ) | (0.90 | ) | (0.50 | ) | (0.46 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions to shareholders | (1.40 | ) | (0.96 | ) | (0.57 | ) | (0.59 | ) | (0.15 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value - End of year | $ | 10.21 | $ | 11.95 | $ | 12.21 | $ | 11.02 | $ | 10.86 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net assets - End of year (000’s omitted) | $ | 165,898 | $ | 164,191 | $ | 124,854 | $ | 85,588 | $ | 68,436 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return2 | (2.91 | %) | 6.28 | % | 16.65 | % | 7.51 | % | 2.49 | % | ||||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||||||
Expenses | 1.82 | % | 1.81 | % | 1.81 | % | 1.82 | % | 1.83 | % | ||||||||||
Net investment income | 0.21 | % | 0.29 | % | 0.27 | % | 0.44 | % | 0.71 | % | ||||||||||
Series portfolio turnover | 66 | % | 65 | % | 64 | % | 58 | % | 65 | % |
1Calculated based on average shares outstanding during the years.
2Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions.
The accompanying notes are an integral part of the financial statements.
91
Financial Highlights - Pro-Blend® Extended Term Series - Class R
FOR THE YEARS ENDED | ||||||||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | ||||||||||||||||
Per share data (for a share outstanding throughout each year): | ||||||||||||||||||||
Net asset value - Beginning of year | $ | 12.62 | $ | 12.83 | $ | 11.54 | $ | 11.36 | $ | 11.22 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income1 | 0.08 | 0.10 | 0.09 | 0.10 | 0.11 | |||||||||||||||
Net realized and unrealized gain on investments | (0.38 | ) | 0.70 | 1.82 | 0.74 | 0.23 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (0.30 | ) | 0.80 | 1.91 | 0.84 | 0.34 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions to shareholders: | ||||||||||||||||||||
From net investment income | (0.10 | ) | (0.11 | ) | (0.12 | ) | (0.20 | ) | (0.20 | ) | ||||||||||
From net realized gain on investments | (1.35 | ) | (0.90 | ) | (0.50 | ) | (0.46 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions to shareholders | (1.45 | ) | (1.01 | ) | (0.62 | ) | (0.66 | ) | (0.20 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value - End of year | $ | 10.87 | $ | 12.62 | $ | 12.83 | $ | 11.54 | $ | 11.36 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net assets - End of year (000’s omitted) | $ | 40,379 | $ | 65,563 | $ | 58,700 | $ | 38,261 | $ | 8,281 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return2 | (2.39 | %) | 6.81 | % | 17.28 | % | 8.03 | % | 3.04 | % | ||||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||||||
Expenses | 1.32 | % | 1.31 | % | 1.31 | % | 1.33 | % | 1.33 | % | ||||||||||
Net investment income | 0.71 | % | 0.79 | % | 0.77 | % | 0.90 | % | 0.97 | % | ||||||||||
Series portfolio turnover | 66 | % | 65 | % | 64 | % | 58 | % | 65 | % |
1Calculated based on average shares outstanding during the periods.
2Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions.
The accompanying notes are an integral part of the financial statements.
92
Performance Update as of October 31, 2015 - Pro-Blend® Maximum Term Series
(unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2015 | ||||||||||||||||
ONE YEAR1 | FIVE YEAR | TEN YEAR | SINCE INCEPTION2 | |||||||||||||
Manning & Napier Fund, Inc. - Pro-Blend® Maximum Term Series - Class S3 | -2.03 | % | 8.16 | % | 6.17 | % | 8.85 | % | ||||||||
Manning & Napier Fund, Inc. - Pro-Blend® Maximum Term Series - Class I3,4 | -1.82 | % | 8.42 | % | 6.36 | % | 8.95 | % | ||||||||
Manning & Napier Fund, Inc. - Pro-Blend® Maximum Term Series - Class C3,5 | -2.76 | % | 7.36 | % | 5.40 | % | 8.11 | % | ||||||||
Manning & Napier Fund, Inc. - Pro-Blend® Maximum Term Series - Class R3,5 | -2.28 | % | 7.88 | % | 5.93 | % | 8.64 | % | ||||||||
Russell 3000® Index6 | 4.49 | % | 14.14 | % | 7.94 | % | 8.68 | % | ||||||||
65/20/15 Blended Index7 | 2.38 | % | 10.21 | % | 6.94 | % | 7.75 | % |
The following graph compares the value of a $10,000 investment in the Manning & Napier Fund, Inc. - Pro-Blend® Maximum Term Series - Class S for the ten years ended October 31, 2015 to the Russell 3000® Index and the 65/20/15 Blended Index.
1The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
2Performance numbers for the Series and Indices are calculated from November 1, 1995, the Class S inception date.
3The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2015, this net expense ratio was 1.08% for Class S, 0.83% for Class I, 1.83% for Class C and 1.33% for Class R. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 1.08% for Class S, 0.83% for Class I, 1.83% for Class C and 1.33% for Class R for the year ended October 31, 2015.
4For the periods through the inception of Class I on March 28, 2008, performance is based on the hypothetical performance of Class S shares. Because Class I shares invest in the same portfolio of securities as Class S, performance will only be different to the extent that the Class S shares have a higher expense ratio.
5For periods through the inception of Class C on January 4, 2010 and Class R on June 30, 2010, the performance figures are hypothetical and reflect the performance of the Manning & Napier Fund, Inc. - Pro-Blend® Maximum Term Series - Class S adjusted for expense differences.
6The Russell 3000® Index is an unmanaged index that consists of 3,000 of the largest U.S. companies based on total market capitalization. The Index returns are based on a market capitalization-weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. The Index returns do not reflect any fees or expenses. Index returns provided by Bloomberg.
93
Performance Update as of October 31, 2015 - Pro-Blend® Maximum Term Series
(unaudited)
7The 65/20/15 Blended Index is 65% Russell 3000® Index (Russell 3000), 20% MSCI ACWI ex USA Index (ACWIxUS), and 15% Barclays U.S. Aggregate Bond Index (BAB). Russell 3000 is an unmanaged index that consists of 3,000 of the largest U.S. companies based on total market capitalization. The Index returns are based on a market capitalization-weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. Index returns provided by Bloomberg. ACWIxUS is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global developed and emerging markets and consists of 44 developed and emerging market country indices outside the U.S. The Index is denominated in U.S. dollars. The Index returns assume daily investment of gross dividends (which do not account for applicable dividend taxation) prior to 12/31/1998, as net returns were not available. Subsequent to 12/31/1998, the Index returns are net of withholding taxes. They assume daily reinvestment of net dividends, thus accounting for any applicable dividend taxation. Index returns provided by Bloomberg. BAB is an unmanaged index that represents the U.S. domestic investment-grade bond market. It is a market value-weighted index of investment-grade debt issues, including government, corporate, asset-backed and mortgage-backed securities, with maturities of one year or more. Index returns provided by Interactive Data. The returns of the indices do not reflect any fees or expenses. Returns provided are calculated monthly using a blended allocation. Because the Series’ asset allocation will vary over time, the composition of the Series’ portfolio may not match the composition of the comparative indices.
94
Shareholder Expense Example - Pro-Blend® Maximum Term Series
(unaudited)
As a shareholder of the Series, you may incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Series expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested in each class at the beginning of the period and held for the entire period (May 1, 2015 to October 31, 2015).
Actual Expenses
The Actual lines of the table below provide information about actual account values and actual expenses. You may use the information in these lines, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the Actual line for the Class in which you have invested under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The Hypothetical lines of each class in the table below provide information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid during the period. You may use this information to compare the ongoing costs of investing in a class of the Series and other funds. To do so, compare this 5% hypothetical example for the Class in which you have invested with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the Hypothetical lines for each class in the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
BEGINNING ACCOUNT VALUE 5/1/15 | ENDING ACCOUNT VALUE 10/31/15 | EXPENSES PAID DURING PERIOD 5/1/15-10/31/15* | ANNUALIZED EXPENSE RATIO | |||||
Class S | ||||||||
Actual | $1,000.00 | $946.20 | $5.40 | 1.10% | ||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.66 | $5.60 | 1.10% | ||||
Class I | ||||||||
Actual | $1,000.00 | $946.70 | $4.17 | 0.85% | ||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | $4.33 | 0.85% | ||||
Class C | ||||||||
Actual | $1,000.00 | $942.60 | $9.06 | 1.85% | ||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,015.88 | $9.40 | 1.85% | ||||
Class R | ||||||||
Actual | $1,000.00 | $944.90 | $6.57 | 1.34% | ||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.45 | $6.82 | 1.34% |
*Expenses are equal to the Class’ annualized expense ratio (for the six-month period), multiplied by the average account value over the period, multiplied by 184/365 to reflect the one-half year period. Expenses are based on the most recent fiscal half year; therefore, the expense ratios stated above may differ from the expense ratios stated in the financial highlights, which are based on one-year data.
95
Portfolio Composition - Pro-Blend® Maximum Term Series
As of October 31, 2015 (unaudited)
Sector Allocation4 |
| |||
Information Technology | 23.8% | |||
Consumer Discretionary | 20.8% | |||
Health Care | 15.2% | |||
Consumer Staples | 10.7% | |||
Industrials | 8.7% | |||
Financials | 7.1% | |||
Energy | 3.6% | |||
Materials | 3.4% | |||
Telecommunication Services | 0.5% | |||
Utilities | 0.2% | |||
4Including common stocks and corporate bonds, as a percentage of totalinvestments. |
Top Ten Stock Holdings5 |
| |||
The Priceline Group, Inc. | 2.9% | |||
MasterCard, Inc. - Class A | 2.2% | |||
Discovery Communications, Inc. - Class A | 2.2% | |||
Alphabet, Inc. - Class C | 2.1% | |||
Monsanto Co. | 2.0% | |||
Time Warner, Inc. | 2.0% | |||
Alphabet, Inc. - Class A | 1.8% | |||
Apple, Inc. | 1.8% | |||
DaVita HealthCare Partners, Inc. | 1.8% | |||
Twenty-First Century Fox, Inc. - Class A | 1.7% | |||
5As a percentage of total investments. |
96
Investment Portfolio - October 31, 2015
PRO-BLEND® MAXIMUM TERM SERIES | SHARES | VALUE (NOTE 2) | ||||||||
COMMON STOCKS - 90.0% | ||||||||||
Consumer Discretionary - 20.2% | ||||||||||
Auto Components - 0.0%# | ||||||||||
F.C.C. Co. Ltd. (Japan)1 | 13,700 | $ | 242,282 | |||||||
|
| |||||||||
Diversified Consumer Services - 0.9% | ||||||||||
Fu Shou Yuan International Group Ltd. (China)1 | 1,172,000 | 799,110 | ||||||||
H&R Block, Inc. | 41,710 | 1,554,115 | ||||||||
Houghton Mifflin Harcourt Co.* | 323,113 | 6,329,784 | ||||||||
Kroton Educacional S.A. (Brazil) | 284,812 | 728,176 | ||||||||
|
| |||||||||
9,411,185 | ||||||||||
|
| |||||||||
Hotels, Restaurants & Leisure - 1.3% | ||||||||||
Accor S.A. (France)1 | 11,340 | 563,139 | ||||||||
Yum! Brands, Inc. | 167,080 | 11,847,643 | ||||||||
|
| |||||||||
12,410,782 | ||||||||||
|
| |||||||||
Household Durables - 0.0%# | ||||||||||
DR Horton, Inc. | 1,754 | 51,638 | ||||||||
Lennar Corp. - Class A | 1,062 | 53,174 | ||||||||
Toll Brothers, Inc.* | 1,483 | 53,343 | ||||||||
TRI Pointe Group, Inc.* | 3,830 | 49,713 | ||||||||
|
| |||||||||
207,868 | ||||||||||
|
| |||||||||
Internet & Catalog Retail - 4.3% | ||||||||||
ASOS plc (United Kingdom)*1 | 10,510 | 526,856 | ||||||||
The Priceline Group, Inc.* | 19,390 | 28,197,714 | ||||||||
Rakuten, Inc. (Japan)1 | 57,010 | 789,770 | ||||||||
TripAdvisor, Inc.* | 158,790 | 13,303,426 | ||||||||
|
| |||||||||
42,817,766 | ||||||||||
|
| |||||||||
Media - 11.7% | ||||||||||
AMC Networks, Inc. - Class A* | 222,710 | 16,456,042 | ||||||||
Cogeco Cable, Inc. (Canada) | 13,150 | 679,122 | ||||||||
Discovery Communications, Inc. - Class A* | 724,790 | 21,337,818 | ||||||||
Global Mediacom Tbk PT (Indonesia)1 | 2,506,940 | 158,776 | ||||||||
ITV plc (United Kingdom)1 | 97,910 | 380,113 | ||||||||
Liberty Global plc - Class A - ADR (United Kingdom)* | 211,567 | 9,418,963 | ||||||||
Modern Times Group AB - Class B (Sweden)1 | 4,640 | 131,622 | ||||||||
Sinclair Broadcast Group, Inc. - Class A | 314,351 | 9,433,673 | ||||||||
TEGNA, Inc. | 204,090 | 5,518,594 | ||||||||
Time Warner, Inc. | 264,460 | 19,924,416 | ||||||||
Tribune Media Co. - Class A | 358,710 | 14,466,774 | ||||||||
Twenty-First Century Fox, Inc. - Class A | 544,935 | 16,724,055 | ||||||||
|
| |||||||||
114,629,968 | ||||||||||
|
| |||||||||
Specialty Retail - 0.6% | ||||||||||
Advance Auto Parts, Inc. | 18,730 | 3,716,594 | ||||||||
Dick’s Sporting Goods, Inc. | 24,750 | 1,102,613 | ||||||||
Kingfisher plc (United Kingdom)1 | 70,850 | 385,122 | ||||||||
Komeri Co. Ltd. (Japan)1 | 20,000 | 427,593 | ||||||||
|
| |||||||||
5,631,922 | ||||||||||
|
| |||||||||
Textiles, Apparel & Luxury Goods - 1.4% | ||||||||||
Adidas AG (Germany)1 | 1,720 | 154,144 | ||||||||
Gildan Activewear, Inc. (Canada) | 42,530 | 1,221,887 | ||||||||
Kering (France)1 | 3,795 | 701,864 | ||||||||
lululemon athletica, Inc.* | 232,346 | 11,424,453 | ||||||||
|
| |||||||||
13,502,348 | ||||||||||
|
| |||||||||
Total Consumer Discretionary | 198,854,121 | |||||||||
|
|
| ||||||||
Consumer Staples - 10.4% | ||||||||||
Beverages - 5.6% | ||||||||||
AMBEV S.A. - ADR (Brazil) | 2,919,944 | 14,220,127 | ||||||||
Anheuser-Busch InBev N.V. (Belgium)1 | 119,068 | 14,207,746 | ||||||||
Cia Cervecerias Unidas S.A. - ADR (Chile) | 17,290 | 414,441 | ||||||||
The Coca-Cola Co. | 304,600 | 12,899,810 | ||||||||
Diageo plc (United Kingdom)1 | 437,630 | 12,616,792 | ||||||||
Remy Cointreau S.A. (France)1 | 1,250 | 86,832 | ||||||||
SABMiller plc (United Kingdom)1 | 4,660 | 286,232 | ||||||||
Treasury Wine Estates Ltd. - Rights (Australia)*1 | 17,792 | 18,777 | ||||||||
Treasury Wine Estates Ltd. (Australia)1 | 133,438 | 667,864 | ||||||||
|
| |||||||||
55,418,621 | ||||||||||
|
| |||||||||
Food & Staples Retailing - 0.3% | ||||||||||
Carrefour S.A. (France)1 | 16,618 | 541,514 | ||||||||
Casino Guichard-Perrachon S.A. (France)1 | 2,060 | 118,357 | ||||||||
Dairy Farm International Holdings Ltd. (Hong Kong)1 | 52,500 | 345,660 | ||||||||
Sprouts Farmers Market, Inc.* | 57,090 | 1,163,494 | ||||||||
Tesco plc (United Kingdom)*1 | 286,140 | 806,996 | ||||||||
|
| |||||||||
2,976,021 | ||||||||||
|
| |||||||||
Food Products - 1.9% | ||||||||||
Biostime International Holdings Ltd. - Class H (China)1 | 160,550 | 356,477 | ||||||||
Danone S.A. (France)1 | 14,733 | 1,023,944 | ||||||||
Grupo Bimbo S.A.B. de C.V. - Class A (Mexico)* | 205,290 | 580,531 | ||||||||
Keurig Green Mountain, Inc. | 27,110 | 1,375,833 | ||||||||
M Dias Branco S.A. (Brazil) | 12,100 | 219,313 | ||||||||
Nestle S.A. (Switzerland)1 | 162,107 | 12,380,759 | ||||||||
Post Holdings, Inc.* | 18,290 | 1,175,498 | ||||||||
Sao Martinho S.A. (Brazil) | 54,230 | �� | 624,765 | |||||||
Suedzucker AG (Germany)1 | 41,622 | 776,768 |
The accompanying notes are an integral part of the financial statements.
97
Investment Portfolio - October 31, 2015
PRO-BLEND® MAXIMUM TERM SERIES | SHARES | VALUE (NOTE 2) | ||||||||
COMMON STOCKS (continued) | ||||||||||
Consumer Staples (continued) | ||||||||||
Food Products (continued) | ||||||||||
Tiger Brands Ltd. (South Africa)1 | 11,210 | $ | 256,304 | |||||||
|
| |||||||||
18,770,192 | ||||||||||
|
| |||||||||
Personal Products - 2.4% | ||||||||||
Beiersdorf AG (Germany)1 | 112,820 | 10,715,177 | ||||||||
Herbalife Ltd.* | 11,400 | 638,856 | ||||||||
Unilever plc - ADR (United Kingdom) | 281,540 | 12,514,453 | ||||||||
|
| |||||||||
23,868,486 | ||||||||||
|
| |||||||||
Tobacco - 0.2% | ||||||||||
Gudang Garam Tbk PT (Indonesia)1 | 138,560 | 433,715 | ||||||||
Japan Tobacco, Inc. (Japan)1 | 16,000 | 553,789 | ||||||||
Swedish Match AB (Sweden)1 | 21,510 | 676,183 | ||||||||
|
| |||||||||
1,663,687 | ||||||||||
|
| |||||||||
Total Consumer Staples | 102,697,007 | |||||||||
|
| |||||||||
Energy - 3.2% | ||||||||||
Energy Equipment & Services - 1.9% | ||||||||||
Schlumberger Ltd. | 143,698 | 11,231,436 | ||||||||
Spectrum ASA (Norway)1 | 42,030 | 145,925 | ||||||||
TGS Nopec Geophysical Co. ASA (Norway)1 | 23,780 | 471,507 | ||||||||
Weatherford International plc - ADR* | 615,890 | 6,306,714 | ||||||||
|
| |||||||||
18,155,582 | ||||||||||
|
| |||||||||
Oil, Gas & Consumable Fuels - 1.3% | ||||||||||
Cameco Corp. (Canada) | 32,685 | 463,146 | ||||||||
Cosan S.A. Industria e Comercio (Brazil) | 28,860 | 184,914 | ||||||||
Galp Energia SGPS S.A. (Portugal)1 | 61,000 | 658,493 | ||||||||
Range Resources Corp. | 367,960 | 11,200,702 | ||||||||
Royal Dutch Shell plc - Class B (Netherlands)1 | 17,214 | 450,744 | ||||||||
Whitehaven Coal Ltd. (Australia)*1 | 84,900 | 60,971 | ||||||||
|
| |||||||||
13,018,970 | ||||||||||
|
| |||||||||
Total Energy | 31,174,552 | |||||||||
|
| |||||||||
Financials - 5.7% | ||||||||||
Banks - 0.0%# | ||||||||||
ICICI Bank Ltd. - ADR (India) | 33,350 | 287,477 | ||||||||
|
| |||||||||
Capital Markets - 0.2% | ||||||||||
Daiwa Securities Group, Inc. (Japan)1 | 60,000 | 410,254 | ||||||||
Financial Engines, Inc. | 34,290 | 1,102,766 | ||||||||
|
| |||||||||
1,513,020 | ||||||||||
|
| |||||||||
Consumer Finance - 1.7% | ||||||||||
SLM Corp.* | 1,473,600 | 10,403,616 | ||||||||
Synchrony Financial* | 215,490 | 6,628,472 | ||||||||
|
|
| ||||||||
17,032,088 | ||||||||||
|
|
| ||||||||
Diversified Financial Services - 0.2% | ||||||||||
JSE Ltd. (South Africa)1 | 35,430 | 341,309 | ||||||||
Morningstar, Inc. | 12,470 | 1,023,912 | ||||||||
|
| |||||||||
1,365,221 | ||||||||||
|
| |||||||||
Insurance - 0.1% | ||||||||||
Admiral Group plc (United Kingdom)1 | 7,749 | 192,300 | ||||||||
Mapfre S.A. (Spain)1 | 196,550 | 583,117 | ||||||||
|
| |||||||||
775,417 | ||||||||||
|
| |||||||||
Real Estate Investment Trusts (REITS) - 2.8% | ||||||||||
Agree Realty Corp. | 6,110 | 197,842 | ||||||||
Alexandria Real Estate Equities, Inc. | 2,670 | 239,606 | ||||||||
Alstria Office REIT AG (Germany)1 | 43,080 | 601,080 | ||||||||
American Campus Communities, Inc. | 3,930 | 159,440 | ||||||||
American Capital Agency Corp. | 3,000 | 53,490 | ||||||||
Annaly Capital Management, Inc. | 6,040 | 60,098 | ||||||||
Apartment Investment & Management Co. - Class A | 5,430 | 212,802 | ||||||||
AvalonBay Communities, Inc. | 2,140 | 374,136 | ||||||||
Boston Properties, Inc. | 960 | 120,816 | ||||||||
Brixmor Property Group, Inc. | 9,810 | 251,332 | ||||||||
Care Capital Properties, Inc. | 1,662 | 54,763 | ||||||||
CatchMark Timber Trust, Inc. - Class A | 10,670 | 116,837 | ||||||||
Chesapeake Lodging Trust | 10,820 | 297,983 | ||||||||
Columbia Property Trust, Inc. | 4,580 | �� | 113,767 | |||||||
Community Healthcare Trust, Inc. | 8,660 | 158,565 | ||||||||
CoreSite Realty Corp. | 1,030 | 56,599 | ||||||||
Crown Castle International Corp. | 1,820 | 155,537 | ||||||||
CubeSmart | 7,880 | 219,222 | ||||||||
DCT Industrial Trust, Inc. | 4,860 | 180,403 | ||||||||
DDR Corp. | 13,050 | 219,240 | ||||||||
Digital Realty Trust, Inc. | 810 | 59,908 | ||||||||
Douglas Emmett, Inc. | 6,220 | 190,021 | ||||||||
Education Realty Trust, Inc. | 5,526 | 198,439 | ||||||||
Equity LifeStyle Properties, Inc. | 2,280 | 137,894 | ||||||||
Equity One, Inc. | 4,870 | 129,445 | ||||||||
Equity Residential | 2,420 | 187,114 | ||||||||
Extra Space Storage, Inc. | 980 | 77,655 | ||||||||
Fibra Shop Portafolios Inmobiliarios S.A.P.I. de C.V. (Mexico) | 79,496 | 81,480 | ||||||||
General Growth Properties, Inc. | 8,720 | 252,444 | ||||||||
HCP, Inc. | 3,130 | 116,436 | ||||||||
Healthcare Trust of America, Inc. - Class A | 4,470 | 117,606 | ||||||||
Host Hotels & Resorts, Inc. | 9,380 | 162,555 | ||||||||
Inland Real Estate Corp. | 19,750 | 174,788 | ||||||||
Kite Realty Group Trust | 4,477 | 118,238 | ||||||||
Lamar Advertising Co. - Class A | 2,010 | 113,424 |
The accompanying notes are an integral part of the financial statements.
98
Investment Portfolio - October 31, 2015
PRO-BLEND® MAXIMUM TERM SERIES | SHARES | VALUE (NOTE 2) | ||||||||
COMMON STOCKS (continued) | ||||||||||
Financials (continued) | ||||||||||
Real Estate Investment Trusts (REITS) (continued) | ||||||||||
LaSalle Hotel Properties | 8,730 | $ | 256,749 | |||||||
Liberty Property Trust | 4,590 | 156,152 | ||||||||
Mack-Cali Realty Corp. | 10,560 | 229,786 | ||||||||
Mid-America Apartment Communities, Inc. | 3,120 | 265,793 | ||||||||
Outfront Media, Inc. | 7,730 | 182,505 | ||||||||
Paramount Group, Inc. | 15,260 | 271,170 | ||||||||
Pebblebrook Hotel Trust | 4,920 | 168,166 | ||||||||
Physicians Realty Trust | 16,740 | 267,505 | ||||||||
Plum Creek Timber Co., Inc. | 188,248 | 7,669,224 | ||||||||
Prologis, Inc. | 5,730 | 244,843 | ||||||||
Public Storage | 1,000 | 229,460 | ||||||||
Rexford Industrial Realty, Inc. | 7,210 | 109,231 | ||||||||
Sabra Health Care REIT, Inc. | 4,010 | 90,947 | ||||||||
Scentre Group (Australia)1 | 37,270 | 109,318 | ||||||||
Simon Property Group, Inc. | 4,050 | 815,913 | ||||||||
Sovran Self Storage, Inc. | 2,150 | 214,721 | ||||||||
Tanger Factory Outlet Centers, Inc. | 3,360 | 117,432 | ||||||||
Taubman Centers, Inc. | 2,370 | 182,443 | ||||||||
Terreno Realty Corp. | 5,480 | 122,642 | ||||||||
UDR, Inc. | 5,420 | 186,773 | ||||||||
Urban Edge Properties | 6,730 | 159,770 | ||||||||
Ventas, Inc. | 2,110 | 113,349 | ||||||||
Westfield Corp. (Australia)1 | 19,610 | 142,273 | ||||||||
Weyerhaeuser Co. | 315,762 | 9,261,300 | ||||||||
|
| |||||||||
27,528,470 | ||||||||||
|
| |||||||||
Real Estate Management & Development - 0.7% | ||||||||||
CBRE Group, Inc. - Class A* | 2,520 | 93,946 | ||||||||
First Capital Realty, Inc. (Canada) | 5,180 | 76,733 | ||||||||
Forest City Enterprises, Inc. - Class A* | 7,190 | 158,899 | ||||||||
Realogy Holdings Corp.* | 174,970 | 6,841,327 | ||||||||
|
| |||||||||
7,170,905 | ||||||||||
|
| |||||||||
Total Financials | 55,672,598 | |||||||||
|
| |||||||||
Health Care - 15.2% | ||||||||||
Biotechnology - 0.1% | ||||||||||
Green Cross Corp. (South Korea)1 | 1,180 | 187,036 | ||||||||
Seattle Genetics, Inc.* | 15,410 | 639,361 | ||||||||
|
| |||||||||
826,397 | ||||||||||
|
| |||||||||
Health Care Equipment & Supplies - 4.3% | ||||||||||
Alere, Inc.* | 194,780 | 8,983,254 | ||||||||
BioMerieux (France)1 | 638 | 74,119 | ||||||||
Carl Zeiss Meditec AG (Germany)1 | 10,226 | 299,533 | ||||||||
Halyard Health, Inc.* | 26,240 | 778,803 | ||||||||
Intuitive Surgical, Inc.* | 31,320 | 15,553,512 | ||||||||
Medtronic plc | 212,450 | 15,704,304 | ||||||||
Shandong Weigao Group Medical Polymer Co. Ltd. - Class H (China)1 | 877,800 | 606,090 | ||||||||
|
| |||||||||
41,999,615 | ||||||||||
|
| |||||||||
Health Care Providers & Services - 4.9% | ||||||||||
Air Methods Corp.* | 14,870 | 608,629 | ||||||||
DaVita HealthCare Partners, Inc.* | 223,410 | 17,316,509 | ||||||||
Express Scripts Holding Co.* | 181,100 | 15,643,418 | ||||||||
Fresenius Medical Care AG & Co. KGaA (Germany)1 | 137,360 | 12,363,440 | ||||||||
Fresenius Medical Care AG & Co. KGaA - ADR (Germany) | 15,410 | 692,371 | ||||||||
KPJ Healthcare Berhad (Malaysia)1 | 258,230 | 256,667 | ||||||||
Odontoprev S.A. (Brazil) | 179,170 | 459,011 | ||||||||
Siloam International Hospitals Tbk PT (Indonesia)1 | 335,900 | 266,987 | ||||||||
|
| |||||||||
47,607,032 | ||||||||||
|
| |||||||||
Health Care Technology - 1.6% | ||||||||||
Cerner Corp.* | 239,110 | 15,850,602 | ||||||||
|
| |||||||||
Life Sciences Tools & Services - 2.0% | ||||||||||
QIAGEN N.V.*1 | 7,100 | 172,130 | ||||||||
QIAGEN N.V. - ADR* | 393,520 | 9,511,378 | ||||||||
Thermo Fisher Scientific, Inc. | 77,360 | 10,117,141 | ||||||||
|
| |||||||||
19,800,649 | ||||||||||
|
| |||||||||
Pharmaceuticals - 2.3% | ||||||||||
AstraZeneca plc - ADR (United Kingdom) | 20,520 | 654,383 | ||||||||
Genomma Lab Internacional S.A.B. de C.V. - Class B (Mexico)* | 241,340 | 177,084 | ||||||||
GlaxoSmithKline plc (United Kingdom)1 | 10,705 | 230,860 | ||||||||
Johnson & Johnson | 100,440 | 10,147,453 | ||||||||
Novartis AG - ADR (Switzerland) | 7,730 | 699,024 | ||||||||
Sanofi (France)1 | 5,467 | 551,488 | ||||||||
Sanofi - ADR (France) | 195,100 | 9,821,334 | ||||||||
Teva Pharmaceutical Industries Ltd. - ADR (Israel) | 10,890 | 644,579 | ||||||||
|
| |||||||||
22,926,205 | ||||||||||
|
| |||||||||
Total Health Care | 149,010,500 | |||||||||
|
| |||||||||
Industrials - 7.8% | ||||||||||
Aerospace & Defense - 0.1% | ||||||||||
KLX, Inc.* | 25,280 | 988,701 | ||||||||
|
| |||||||||
Airlines - 0.3% | ||||||||||
Allegiant Travel Co. | 1,520 | 300,124 | ||||||||
Republic Airways Holdings, Inc.* | 268,830 | 1,548,461 | ||||||||
Ryanair Holdings plc - ADR (Ireland) | 2,340 | 182,965 |
The accompanying notes are an integral part of the financial statements.
99
Investment Portfolio - October 31, 2015
PRO-BLEND® MAXIMUM TERM SERIES | SHARES | VALUE (NOTE 2) | ||||||||
COMMON STOCKS (continued) | ||||||||||
Industrials (continued) | ||||||||||
Airlines (continued) | ||||||||||
Spirit Airlines, Inc.* | 16,140 | $ | 599,117 | |||||||
|
| |||||||||
2,630,667 | ||||||||||
|
| |||||||||
Building Products - 1.0% | ||||||||||
Masco Corp. | 340,180 | 9,865,220 | ||||||||
|
| |||||||||
Commercial Services & Supplies - 0.2% | ||||||||||
Aggreko plc (United Kingdom)1 | 39,632 | 558,643 | ||||||||
MiX Telematics Ltd. - ADR (South Africa) | 33,310 | 187,535 | ||||||||
Stericycle, Inc.* | 7,940 | 963,678 | ||||||||
|
| |||||||||
1,709,856 | ||||||||||
|
| |||||||||
Electrical Equipment - 0.1% | ||||||||||
Alstom S.A. (France)*1 | 22,520 | 733,030 | ||||||||
Schneider Electric SE (France)1 | 5,877 | 354,472 | ||||||||
|
| |||||||||
1,087,502 | ||||||||||
|
| |||||||||
Industrial Conglomerates - 2.6% | ||||||||||
Danaher Corp. | 145,580 | 13,584,070 | ||||||||
General Electric Co. | 348,690 | 10,084,115 | ||||||||
Siemens AG (Germany)1 | 19,150 | 1,923,505 | ||||||||
|
| |||||||||
25,591,690 | ||||||||||
|
| |||||||||
Machinery - 1.4% | ||||||||||
Allison Transmission Holdings, Inc. | 21,360 | 613,032 | ||||||||
ANDRITZ AG (Austria)1 | 8,610 | 432,585 | ||||||||
FANUC Corp. (Japan)1 | 2,491 | 439,516 | ||||||||
Flowserve Corp. | 270,110 | 12,522,300 | ||||||||
Sulzer AG (Switzerland)1 | 1,760 | 177,840 | ||||||||
The Weir Group plc (United Kingdom)1 | 5,550 | 91,174 | ||||||||
|
| |||||||||
14,276,447 | ||||||||||
|
| |||||||||
Marine - 0.0%# | ||||||||||
D/S Norden A/S (Denmark)*1 | 2,260 | 45,063 | ||||||||
Diana Shipping, Inc. (Greece)* | 6,920 | 43,665 | ||||||||
Pacific Basin Shipping Ltd. (Hong Kong)1 | 133,000 | 39,341 | ||||||||
Sinotrans Shipping Ltd. - Class H (China)1 | 342,860 | 72,239 | ||||||||
Star Bulk Carriers Corp. (Greece)* | 12,670 | 20,019 | ||||||||
|
| |||||||||
220,327 | ||||||||||
|
| |||||||||
Professional Services - 0.1% | ||||||||||
Intertek Group plc (United Kingdom)1 | 15,610 | 630,439 | ||||||||
|
| |||||||||
Road & Rail - 2.0% | ||||||||||
Genesee & Wyoming, Inc. - Class A* | 36,270 | 2,433,717 | ||||||||
Hertz Global Holdings, Inc.* | 61,170 | 1,192,815 | ||||||||
Kansas City Southern | 8,720 | 721,667 | ||||||||
Norfolk Southern Corp. | 79,390 | 6,353,582 | ||||||||
Swift Transportation Co.* | 37,950 | 593,159 | ||||||||
Union Pacific Corp. | 95,950 | 8,573,133 | ||||||||
|
| |||||||||
19,868,073 | ||||||||||
|
| |||||||||
Trading Companies & Distributors - 0.0%# | ||||||||||
Brenntag AG (Germany)1 | 3,712 | 224,143 | ||||||||
|
| |||||||||
Total Industrials | 77,093,065 | |||||||||
|
| |||||||||
Information Technology - 23.8% | ||||||||||
Communications Equipment - 2.7% | ||||||||||
ARRIS Group, Inc.* | 43,440 | 1,227,614 | ||||||||
Ixia* | 62,130 | 895,293 | ||||||||
Juniper Networks, Inc. | 389,210 | 12,217,302 | ||||||||
Polycom, Inc.* | 93,300 | 1,285,674 | ||||||||
QUALCOMM, Inc. | 168,640 | 10,020,589 | ||||||||
Viavi Solutions, Inc.* | 107,570 | 640,041 | ||||||||
|
| |||||||||
26,286,513 | ||||||||||
|
| |||||||||
Electronic Equipment, Instruments & Components - 1.8% | ||||||||||
FLIR Systems, Inc. | 490,430 | 13,079,768 | ||||||||
Hitachi Ltd. (Japan)1 | 102,000 | 588,417 | ||||||||
Keyence Corp. (Japan)1 | 746 | 388,374 | ||||||||
Keysight Technologies, Inc.* | 28,390 | 939,141 | ||||||||
PAX Global Technology Ltd. (Hong Kong)1 | 1,005,000 | 1,314,200 | ||||||||
Trimble Navigation Ltd.* | 64,080 | 1,457,820 | ||||||||
|
| |||||||||
17,767,720 | ||||||||||
|
| |||||||||
Internet Software & Services - 7.6% | ||||||||||
Alibaba Group Holding Ltd. - ADR (China)* | 13,030 | 1,092,305 | ||||||||
Alphabet, Inc. - Class A* | 24,400 | 17,992,316 | ||||||||
Alphabet, Inc. - Class C* | 29,260 | 20,798,301 | ||||||||
Baidu, Inc. - ADR (China)* | 5,620 | 1,053,581 | ||||||||
eBay, Inc.* | 257,350 | 7,180,065 | ||||||||
Envestnet, Inc.* | 33,850 | 1,010,761 | ||||||||
Facebook, Inc. - Class A* | 156,110 | 15,918,537 | ||||||||
HomeAway, Inc.* | 188,530 | 5,950,007 | ||||||||
MercadoLibre, Inc. (Argentina) | 9,260 | 910,906 | ||||||||
Q2 Holdings, Inc.* | 16,270 | 401,055 | ||||||||
Qihoo 360 Technology Co. Ltd. - ADR (China)* | 28,636 | 1,634,829 | ||||||||
Tencent Holdings Ltd. - Class H (China)1 | 40,700 | 767,170 | ||||||||
|
| |||||||||
74,709,833 | ||||||||||
|
| |||||||||
IT Services - 5.9% | ||||||||||
Amdocs Ltd. - ADR | 5,185 | 308,870 | ||||||||
EVERTEC, Inc. | 54,222 | 989,009 | ||||||||
InterXion Holding N.V. - ADR (Netherlands)* | 5,080 | 149,250 |
The accompanying notes are an integral part of the financial statements.
100
Investment Portfolio - October 31, 2015
PRO-BLEND® MAXIMUM TERM SERIES | SHARES | VALUE (NOTE 2) | ||||||||
COMMON STOCKS (continued) | ||||||||||
Information Technology (continued) | ||||||||||
IT Services (continued) | ||||||||||
MasterCard, Inc. - Class A | 219,358 | $ | 21,714,248 | |||||||
PayPal Holdings, Inc.* | 263,640 | 9,493,676 | ||||||||
Sabre Corp. | 44,190 | 1,295,651 | ||||||||
VeriFone Systems, Inc.* | 294,865 | 8,887,231 | ||||||||
Visa, Inc. - Class A | 198,092 | 15,367,977 | ||||||||
|
| |||||||||
58,205,912 | ||||||||||
|
| |||||||||
Software - 3.8% | ||||||||||
ANSYS, Inc.* | 87,940 | 8,381,561 | ||||||||
Aspen Technology, Inc.* | 174,100 | 7,205,999 | ||||||||
Autodesk, Inc.* | 186,240 | 10,278,586 | ||||||||
Electronic Arts, Inc.* | 126,700 | 9,131,269 | ||||||||
SAP SE (Germany)1 | 18,880 | 1,488,407 | ||||||||
TOTVS S.A. (Brazil) | 73,629 | 652,371 | ||||||||
|
| |||||||||
37,138,193 | ||||||||||
|
| |||||||||
Technology Hardware, Storage & Peripherals - 2.0% | ||||||||||
Apple, Inc. | 149,150 | 17,823,425 | ||||||||
Samsung Electronics Co. Ltd. (South Korea)1 | 1,660 | 1,991,048 | ||||||||
|
| |||||||||
19,814,473 | ||||||||||
|
| |||||||||
Total Information Technology | 233,922,644 | |||||||||
|
| |||||||||
Materials - 3.3% | ||||||||||
Chemicals - 2.2% | ||||||||||
Givaudan S.A. (Switzerland)1 | 220 | 393,404 | ||||||||
Monsanto Co. | 215,807 | 20,117,529 | ||||||||
Potash Corp. of Saskatchewan, Inc. (Canada) | 2,907 | 58,809 | ||||||||
Sociedad Quimica y Minera de Chile S.A. - ADR (Chile) | 20,311 | 393,627 | ||||||||
Symrise AG (Germany)1 | 5,740 | 377,787 | ||||||||
|
| |||||||||
21,341,156 | ||||||||||
|
| |||||||||
Metals & Mining - 1.1% | ||||||||||
Alcoa, Inc. | 1,191,081 | 10,636,353 | ||||||||
Alumina Ltd. (Australia)1 | 94,794 | 72,726 | ||||||||
Norsk Hydro ASA (Norway)1 | 41,943 | 150,231 | ||||||||
ThyssenKrupp AG (Germany)1 | 11,100 | 223,664 | ||||||||
|
| |||||||||
11,082,974 | ||||||||||
|
| |||||||||
Total Materials | 32,424,130 | |||||||||
|
| |||||||||
Telecommunication Services - 0.4% | ||||||||||
Diversified Telecommunication Services - 0.1% | ||||||||||
Telefonica S.A. - ADR (Spain) | 63,493 | 836,203 | ||||||||
Telenor ASA - ADR (Norway) | 7,150 | 400,686 | ||||||||
|
| |||||||||
1,236,889 | ||||||||||
|
| |||||||||
Wireless Telecommunication Services - 0.3% | ||||||||||
America Movil S.A.B. de C.V. - Class L - ADR (Mexico) | 51,290 | 913,475 | ||||||||
China Mobile Ltd. - Class H (China)1 | 21,000 | 251,788 | ||||||||
Telephone & Data Systems, Inc. | 40,420 | 1,157,629 | ||||||||
|
|
| ||||||||
2,322,892 | ||||||||||
|
| |||||||||
Total Telecommunication Services | 3,559,781 | |||||||||
|
| |||||||||
Utilities - 0.0%# | ||||||||||
Independent Power and Renewable Electricity Producers - 0.0%# | ||||||||||
NRG Energy, Inc. | 30,400 | 391,856 | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS | ||||||||||
(Identified Cost $849,639,187) | 884,800,254 | |||||||||
|
| |||||||||
CORPORATE BONDS - 4.1% | ||||||||||
Non-Convertible Corporate Bonds - 4.1% | ||||||||||
Consumer Discretionary - 0.5% | ||||||||||
Auto Components - 0.1% | ||||||||||
Magna International, Inc. (Canada), 4.15%, 10/1/2025 | 565,000 | 575,147 | ||||||||
Techniplas LLC3, 10.00%, 5/1/2020 | 220,000 | 174,350 | ||||||||
|
| |||||||||
749,497 | ||||||||||
|
| |||||||||
Diversified Consumer Services - 0.1% | ||||||||||
Block Financial LLC, 5.50%, 11/1/2022 | 750,000 | 794,345 | ||||||||
|
| |||||||||
Household Durables - 0.1% | ||||||||||
Brookfield Residential Properties, Inc. - Brookfield Residential US Corp. (Canada)3, 6.125%, 7/1/2022 | 395,000 | 388,087 | ||||||||
Meritage Homes Corp., 7.15%, 4/15/2020 | 130,000 | 141,700 | ||||||||
Meritage Homes Corp., 7.00%, 4/1/2022 | 200,000 | 219,000 | ||||||||
TRI Pointe Holdings, Inc., 4.375%, 6/15/2019 | 325,000 | 322,969 | ||||||||
Weekley Homes LLC - Weekley Finance Corp., 6.00%, 2/1/2023 | 425,000 | 408,000 | ||||||||
|
| |||||||||
1,479,756 | ||||||||||
|
| |||||||||
Media - 0.2% | ||||||||||
CCO Holdings LLC - CCO Holdings Capital Corp.3, 5.125%, 5/1/2023 | 200,000 | 200,500 | ||||||||
CCO Holdings LLC - CCO Holdings Capital Corp.3, 5.375%, 5/1/2025 | 200,000 | 198,000 | ||||||||
CCO Safari II LLC3, 4.464%, 7/23/2022 | 215,000 | 218,117 | ||||||||
Columbus International, Inc. (Barbados)3, 7.375%, 3/30/2021 | 200,000 | 208,000 | ||||||||
Sinclair Television Group, Inc.3, 5.625%, 8/1/2024 | 305,000 | 298,900 | ||||||||
Sirius XM Radio, Inc.3, 5.375%, 4/15/2025 | 195,000 | 199,631 |
The accompanying notes are an integral part of the financial statements.
101
Investment Portfolio - October 31, 2015
PRO-BLEND® MAXIMUM TERM SERIES | PRINCIPAL AMOUNT2 | VALUE (NOTE 2) | ||||||||
CORPORATE BONDS (continued) | ||||||||||
Non-Convertible Corporate Bonds (continued) | ||||||||||
Consumer Discretionary (continued) | ||||||||||
Media (continued) | ||||||||||
VTR Finance B.V. (Chile)3, 6.875%, 1/15/2024 | 210,000 | $ | 203,175 | |||||||
|
| |||||||||
1,526,323 | ||||||||||
|
| |||||||||
Multiline Retail - 0.0%# | ||||||||||
Macy’s Retail Holdings, Inc., 2.875%, 2/15/2023 | 400,000 | 374,142 | ||||||||
|
| |||||||||
Specialty Retail - 0.0%# | ||||||||||
The TJX Companies, Inc., 2.75%, 6/15/2021 | 300,000 | 303,997 | ||||||||
|
| |||||||||
Total Consumer Discretionary | 5,228,060 | |||||||||
|
| |||||||||
Consumer Staples - 0.2% | ||||||||||
Beverages - 0.0%# | ||||||||||
Anheuser-Busch InBev Worldwide, Inc. (Belgium), 7.75%, 1/15/2019 | 375,000 | 437,971 | ||||||||
|
| |||||||||
Food & Staples Retailing - 0.0%# | ||||||||||
C&S Group Enterprises LLC3, 5.375%, 7/15/2022 | 335,000 | 306,525 | ||||||||
|
| |||||||||
Food Products - 0.1% | ||||||||||
Kraft Heinz Foods Co., 6.75%, 3/15/2032 | 235,000 | 271,897 | ||||||||
Pinnacle Operating Corp.3, 9.00%, 11/15/2020 | 425,000 | 412,250 | ||||||||
|
| |||||||||
684,147 | ||||||||||
|
| |||||||||
Household Products - 0.1% | ||||||||||
HRG Group, Inc., 7.875%, 7/15/2019 | 315,000 | 334,294 | ||||||||
HRG Group, Inc., 7.75%, 1/15/2022 | 265,000 | 263,013 | ||||||||
|
| |||||||||
597,307 | ||||||||||
|
| |||||||||
Total Consumer Staples | 2,025,950 | |||||||||
|
| |||||||||
Energy - 0.5% | ||||||||||
Energy Equipment & Services - 0.0%# | ||||||||||
Calfrac Holdings LP (Canada)3, 7.50%, 12/1/2020 | 215,000 | 122,013 | ||||||||
FTS International, Inc., 6.25%, 5/1/2022 | 195,000 | 44,850 | ||||||||
Seventy Seven Operating LLC, 6.625%, 11/15/2019 | 195,000 | 115,537 | ||||||||
|
| |||||||||
282,400 | ||||||||||
|
| |||||||||
Oil, Gas & Consumable Fuels - 0.5% | ||||||||||
Crestwood Midstream Partners LP - Crestwood Midstream Finance Corp., 6.125%, 3/1/2022 | 295,000 | 253,700 | ||||||||
Hiland Partners LP - Hiland Partners Finance Corp.3, 7.25%, 10/1/2020 | 900,000 | 940,500 | ||||||||
Petrobras Global Finance B.V. (Brazil)4, 1.953%, 5/20/2016 | 1,300,000 | 1,271,985 | ||||||||
Sabine Pass Liquefaction LLC, 5.625%, 2/1/2021 | 505,000 | 501,213 | ||||||||
Talisman Energy, Inc. (Canada), 3.75%, 2/1/2021 | 1,000,000 | 913,055 | ||||||||
Targa Resources Partners LP - Targa Resources Partners Finance Corp.3, 6.75%, 3/15/2024 | 190,000 | 186,913 | ||||||||
WPX Energy, Inc., 6.00%, 1/15/2022 | 275,000 | 242,000 | ||||||||
|
| |||||||||
4,309,366 | ||||||||||
|
| |||||||||
Total Energy | 4,591,766 | |||||||||
|
| |||||||||
Financials - 1.4% | ||||||||||
Banks - 0.3% | ||||||||||
BBVA Bancomer S.A. (Mexico)3, 6.75%, 9/30/2022 | 500,000 | 561,000 | ||||||||
Citigroup, Inc., 8.50%, 5/22/2019 | 299,000 | 360,982 | ||||||||
Intesa Sanpaolo S.p.A. (Italy), 3.875%, 1/15/2019 | 390,000 | 405,569 | ||||||||
Lloyds Bank plc (United Kingdom)3,5,6, 12.00%, | 220,000 | 314,600 | ||||||||
Lloyds Bank plc (United Kingdom)3, 6.50%, 9/14/2020 | 335,000 | 386,575 | ||||||||
Popular, Inc., 7.00%, 7/1/2019 | 415,000 | 404,625 | ||||||||
|
| |||||||||
2,433,351 | ||||||||||
|
| |||||||||
Capital Markets - 0.3% | ||||||||||
The Goldman Sachs Group, Inc., 6.15%, 4/1/2018 | 430,000 | 473,349 | ||||||||
The Goldman Sachs Group, Inc.4, 1.925%, 11/29/2023 | 380,000 | 383,391 | ||||||||
Morgan Stanley, 2.125%, 4/25/2018 | 390,000 | 393,130 | ||||||||
Morgan Stanley, 5.75%, 1/25/2021 | 345,000 | 393,200 | ||||||||
UBS AG (Switzerland)4, 7.25%, 2/22/2022 | 600,000 | 632,849 | ||||||||
UBS AG (Switzerland)4, 4.75%, 5/22/2023 | 730,000 | 750,549 | ||||||||
|
| |||||||||
3,026,468 | ||||||||||
|
| |||||||||
Consumer Finance - 0.1% | ||||||||||
Capital One Bank USA N.A., 2.15%, 11/21/2018 | 790,000 | 788,542 | ||||||||
CNG Holdings, Inc.3, 9.375%, 5/15/2020 | 230,000 | 116,437 | ||||||||
Navient Corp., 6.125%, 3/25/2024 | 485,000 | 437,713 | ||||||||
|
| |||||||||
1,342,692 | ||||||||||
|
| |||||||||
Diversified Financial Services - 0.2% | ||||||||||
ING Bank N.V. (Netherlands)3, 5.80%, 9/25/2023 | 500,000 | 549,671 | ||||||||
ING Bank N.V. (Netherlands)4, 4.125%, 11/21/2023 | 723,000 | 742,883 | ||||||||
Jefferies Finance LLC - JFIN Co-Issuer Corp.3, 7.375%, 4/1/2020 | 425,000 | 416,500 |
The accompanying notes are an integral part of the financial statements.
102
Investment Portfolio - October 31, 2015
PRO-BLEND® MAXIMUM TERM SERIES | PRINCIPAL AMOUNT2 | VALUE (NOTE 2) | ||||||||
CORPORATE BONDS (continued) | ||||||||||
Non-Convertible Corporate Bonds (continued) | ||||||||||
Financials (continued) | ||||||||||
Diversified Financial Services (continued) | ||||||||||
Jefferies Finance LLC - JFIN Co-Issuer Corp.3, 6.875%, 4/15/2022 | 200,000 | $ | 188,000 | |||||||
|
| |||||||||
1,897,054 | ||||||||||
|
| |||||||||
Insurance - 0.3% | ||||||||||
Aegon N.V. (Netherlands)4,5, 2.142%, | 500,000 | 392,875 | ||||||||
American International Group, Inc., 4.875%, 6/1/2022 | 700,000 | 778,462 | ||||||||
Assured Guaranty US Holdings, Inc., 5.00%, 7/1/2024 | 950,000 | 991,900 | ||||||||
AXA S.A. (France)4,5, 2.312%, | 350,000 | 287,000 | ||||||||
|
| |||||||||
2,450,237 | ||||||||||
|
| |||||||||
Real Estate Investment Trusts (REITS) - 0.1% | ||||||||||
American Tower Corp., 2.80%, 6/1/2020 | 500,000 | 497,673 | ||||||||
DuPont Fabros Technology LP, 5.875%, 9/15/2021 | 280,000 | 294,000 | ||||||||
Qualitytech LP - QTS Finance Corp., 5.875%, 8/1/2022 | 210,000 | 215,775 | ||||||||
Rialto Holdings LLC - Rialto Corp.3, 7.00%, 12/1/2018 | 335,000 | 343,375 | ||||||||
|
| |||||||||
1,350,823 | ||||||||||
|
| |||||||||
Real Estate Management & Development - 0.0%# | ||||||||||
Forestar USA Real Estate Group, Inc.3, 8.50%, 6/1/2022 | 205,000 | 208,075 | ||||||||
Greystar Real Estate Partners LLC3, 8.25%, 12/1/2022 | 205,000 | 215,763 | ||||||||
|
| |||||||||
423,838 | ||||||||||
|
| |||||||||
Thrifts & Mortgage Finance - 0.1% | ||||||||||
Ladder Capital Finance Holdings LLLP - Ladder Capital Finance Corp., 7.375%, 10/1/2017 | 425,000 | 427,125 | ||||||||
Ladder Capital Finance Holdings LLLP - Ladder Capital Finance Corp.3, 5.875%, 8/1/2021 | 265,000 | 247,775 | ||||||||
Prospect Holding Co. LLC - Prospect Holding Finance Co.3, 10.25%, 10/1/2018 | 195,000 | 95,550 | ||||||||
|
| |||||||||
770,450 | ||||||||||
|
| |||||||||
Total Financials | 13,694,913 | |||||||||
|
| |||||||||
Health Care - 0.1% | ||||||||||
Biotechnology - 0.0%# | ||||||||||
AMAG Pharmaceuticals, Inc.3, 7.875%, 9/1/2023 | 320,000 | 298,400 | ||||||||
|
| |||||||||
Health Care Providers & Services - 0.0%# | ||||||||||
Tenet Healthcare Corp.3,4, 3.837%, 6/15/2020 | 200,000 | 198,500 | ||||||||
|
| |||||||||
Pharmaceuticals - 0.1% | ||||||||||
Concordia Healthcare Corp. (Canada)3, 7.00%, 4/15/2023 | 295,000 | 256,650 | ||||||||
Mallinckrodt International Finance S.A. - Mallinckrodt CB LLC3, 5.625%, 10/15/2023 | 190,000 | 179,313 | ||||||||
|
| |||||||||
435,963 | ||||||||||
|
| |||||||||
Total Health Care | 932,863 | |||||||||
|
| |||||||||
Industrials - 0.9% | ||||||||||
Aerospace & Defense - 0.0%# | ||||||||||
DigitalGlobe, Inc.3, 5.25%, 2/1/2021 | 441,000 | 396,715 | ||||||||
|
| |||||||||
Airlines - 0.2% | ||||||||||
Allegiant Travel Co., 5.50%, 7/15/2019 | 385,000 | 393,085 | ||||||||
Delta Air Lines Pass-Through Trust, Series 2010-1, Class B3, 6.375%, 1/2/2016 | 200,000 | 201,500 | ||||||||
Delta Air Lines Pass-Through Trust, Series 2010-2, Class B, 6.75%, 11/23/2015 | 1,130,000 | 1,132,825 | ||||||||
|
| |||||||||
1,727,410 | ||||||||||
|
| |||||||||
Commercial Services & Supplies - 0.0%# | ||||||||||
Constellis Holdings LLC - Constellis Finance Corp.3, 9.75%, 5/15/2020 | 220,000 | 199,100 | ||||||||
Modular Space Corp.3, 10.25%, 1/31/2019 | 225,000 | 134,437 | ||||||||
|
| |||||||||
333,537 | ||||||||||
|
| |||||||||
Construction & Engineering - 0.0%# | ||||||||||
Abengoa Finance S.A.U. (Spain)3, 7.75%, 2/1/2020 | 240,000 | 100,800 | ||||||||
|
| |||||||||
Machinery - 0.2% | ||||||||||
CNH Industrial Capital LLC, 3.875%, 11/1/2015 | 1,040,000 | 1,040,000 | ||||||||
SPL Logistics Escrow LLC - SPL Logistics Finance Corp.3, 8.875%, 8/1/2020 | 425,000 | 450,500 | ||||||||
Waterjet Holdings, Inc.3, 7.625%, 2/1/2020 | 275,000 | 277,062 | ||||||||
|
| |||||||||
1,767,562 | ||||||||||
|
| |||||||||
Trading Companies & Distributors - 0.5% | ||||||||||
Air Lease Corp., 3.375%, 1/15/2019 | 280,000 | 285,600 | ||||||||
Aircastle Ltd., 5.50%, 2/15/2022 | 220,000 | 232,650 | ||||||||
Aviation Capital Group Corp.3, 3.875%, 9/27/2016 | 1,465,000 | 1,483,312 | ||||||||
Fly Leasing Ltd. (Ireland), 6.75%, 12/15/2020 | 210,000 | 220,500 | ||||||||
Fly Leasing Ltd. (Ireland), 6.375%, 10/15/2021 | 320,000 | 329,600 | ||||||||
International Lease Finance Corp., 5.75%, 5/15/2016 | 560,000 | 570,153 |
The accompanying notes are an integral part of the financial statements.
103
Investment Portfolio - October 31, 2015
PRO-BLEND® MAXIMUM TERM SERIES | PRINCIPAL AMOUNT2 | VALUE (NOTE 2) | ||||||||
CORPORATE BONDS (continued) | ||||||||||
Non-Convertible Corporate Bonds (continued) | ||||||||||
Industrials (continued) | ||||||||||
Trading Companies & Distributors (continued) | ||||||||||
International Lease Finance Corp.4, 2.287%, 6/15/2016 | 355,000 | $ | 354,325 | |||||||
International Lease Finance Corp., 8.75%, 3/15/2017 | 865,000 | 933,119 | ||||||||
|
| |||||||||
4,409,259 | ||||||||||
|
| |||||||||
Total Industrials | 8,735,283 | |||||||||
|
| |||||||||
Information Technology - 0.0%# | ||||||||||
IT Services - 0.0%# | ||||||||||
Xerox Corp., 2.80%, 5/15/2020 | 250,000 | 237,321 | ||||||||
|
| |||||||||
Materials - 0.1% | ||||||||||
Chemicals - 0.0%# | ||||||||||
Consolidated Energy Finance S.A. (Trinidad-Tobago)3, 6.75%, 10/15/2019 | 300,000 | 298,500 | ||||||||
|
| |||||||||
Containers & Packaging - 0.1% | ||||||||||
Ardagh Packaging Finance plc - Ardagh Holdings USA, Inc. (Ireland)3,4, 3.337%, 12/15/2019 | 495,000 | 487,575 | ||||||||
|
| |||||||||
Metals & Mining - 0.0%# | ||||||||||
Steel Dynamics, Inc., 5.125%, 10/1/2021 | 195,000 | 193,537 | ||||||||
SunCoke Energy Partners LP - SunCoke Energy Partners Finance Corp.3, 7.375%, 2/1/2020 | 275,000 | 228,250 | ||||||||
|
| |||||||||
421,787 | ||||||||||
|
| |||||||||
Total Materials | 1,207,862 | |||||||||
|
| |||||||||
Telecommunication Services - 0.2% | ||||||||||
Diversified Telecommunication Services - 0.1% | ||||||||||
CenturyLink, Inc., 5.80%, 3/15/2022 | 260,000 | 252,850 | ||||||||
Frontier Communications Corp., 7.625%, 4/15/2024 | 200,000 | 179,000 | ||||||||
Frontier Communications Corp.3, 11.00%, 9/15/2025 | 210,000 | 220,105 | ||||||||
Windstream Services LLC, 7.875%, 11/1/2017 | 210,000 | 222,730 | ||||||||
|
| |||||||||
874,685 | ||||||||||
|
| |||||||||
Wireless Telecommunication Services - 0.1% | ||||||||||
Altice Financing S.A. (Luxembourg)3, 6.50%, 1/15/2022 | 425,000 | 430,313 | ||||||||
Sixsigma Networks Mexico S.A. de C.V. (Mexico)3, 8.25%, 11/7/2021 | 210,000 | 204,750 | ||||||||
T-Mobile USA, Inc., 6.836%, 4/28/2023 | 260,000 | 268,450 | ||||||||
|
| |||||||||
903,513 | ||||||||||
|
| |||||||||
Total Telecommunication Services | 1,778,198 | |||||||||
|
| |||||||||
Utilities - 0.2% | ||||||||||
Independent Power and Renewable Electricity Producers - 0.2% | ||||||||||
Abengoa Yield plc (Spain)3, 7.00%, 11/15/2019 | 415,000 | 377,650 | ||||||||
ContourGlobal Power Holdings S.A. (France)3, 7.125%, 6/1/2019 | 290,000 | 289,275 | ||||||||
NRG Energy, Inc., 6.25%, 7/15/2022 | 195,000 | 179,400 | ||||||||
Talen Energy Supply LLC3, 4.625%, 7/15/2019 | 410,000 | 375,068 | ||||||||
TerraForm Global Operating LLC3, 9.75%, 8/15/2022 | 315,000 | 281,925 | ||||||||
TerraForm Power Operating LLC3, 6.125%, 6/15/2025 | 320,000 | 288,000 | ||||||||
|
| |||||||||
Total Utilities | 1,791,318 | |||||||||
|
| |||||||||
TOTAL CORPORATE BONDS | ||||||||||
(Identified Cost $41,590,655) | 40,223,534 | |||||||||
|
| |||||||||
U.S. TREASURY SECURITIES - 1.4% | ||||||||||
U.S. Treasury Bonds - 0.4% | ||||||||||
U.S. Treasury Inflation Indexed Bonds, 0.75%, 2/15/2042 | ||||||||||
(Identified Cost $4,029,846) | 4,414,045 | 3,945,272 | ||||||||
|
| |||||||||
U.S. Treasury Notes - 1.0% | ||||||||||
U.S. Treasury Note, 1.375%, 4/30/2020 | ||||||||||
(Identified Cost $9,983,076) | 10,000,000 | 9,958,850 | ||||||||
|
| |||||||||
TOTAL U.S. TREASURY SECURITIES | ||||||||||
(Identified Cost $14,012,922) | 13,904,122 | |||||||||
|
|
The accompanying notes are an integral part of the financial statements.
104
Investment Portfolio - October 31, 2015
PRO-BLEND® MAXIMUM TERM SERIES | PRINCIPAL AMOUNT2/ SHARES | VALUE (NOTE 2) | ||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES - 0.2% | ||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2006-C7, Class A44, 5.961%, 6/10/2046 | 455,426 | $ | 459,914 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-CB16, Class A4, 5.552%, 5/12/2045 | 534,188 | 544,141 | ||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class A4, 5.308%, 11/15/2048 | 1,052,057 | 1,077,421 | ||||||||
|
| |||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | ||||||||||
(Identified Cost $2,225,697) | 2,081,476 | |||||||||
|
| |||||||||
FOREIGN GOVERNMENT BONDS - 0.1% | ||||||||||
Export-Import Bank of Korea (South Korea), 2.625%, 12/30/2020 (Identified Cost $798,967) | 800,000 | 809,390 | ||||||||
|
| |||||||||
SHORT-TERM INVESTMENT - 4.2% | ||||||||||
Dreyfus Cash Management, Inc. - Institutional Shares7, 0.06%, (Identified Cost $41,448,059) | 41,448,059 | 41,448,059 | ||||||||
|
| |||||||||
TOTAL INVESTMENTS - 100.0% | ||||||||||
(Identified Cost $949,715,487) | 983,266,835 | |||||||||
OTHER ASSETS, LESS LIABILITIES - 0.0%# | 66,818 | |||||||||
|
| |||||||||
NET ASSETS - 100% | $ | 983,333,653 | ||||||||
|
|
|
ADR - American Depositary Receipt
#Less than 0.1%.
*Non-income producing security.
1A factor from a third party vendor was applied to determine the security’s fair value following the close of local trading.
2Amount is stated in USD unless otherwise noted.
3Restricted securities - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. These securities have been sold under Rule 144A and have been determined to be liquid. These securities amount to $15,357,982, or 1.6%, of the Series’ net assets as of October 31, 2015 (see Note 2 to the financial statements).
4The coupon rate is floating and is the effective rate as of October 31, 2015.
5Security is perpetual in nature and has no stated maturity date.
6The rate shown is a fixed rate as of October 31, 2015; the rate becomes floating, based on LIBOR plus a spread, in December 2024.
7Rate shown is the current yield as of October 31, 2015.
The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of MSCI Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P), and is licensed for use by Manning & Napier when referencing GICS sectors. Neither MSCI, S&P, nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification, nor shall any such party have any liability therefrom.
The accompanying notes are an integral part of the financial statements.
105
Statement of Assets and Liabilities - Pro-Blend® Maximum Term Series
October 31, 2015
ASSETS: | ||||
Investments, at value (identified cost $949,715,487) (Note 2) | $ | 983,266,835 | ||
Receivable for securities sold | 2,517,128 | |||
Interest receivable | 746,616 | |||
Receivable for fund shares sold | 532,713 | |||
Foreign tax reclaims receivable | 500,416 | |||
Dividends receivable | 403,128 | |||
Prepaid expenses | 108 | |||
|
| |||
TOTAL ASSETS | 987,966,944 | |||
|
| |||
LIABILITIES: | ||||
Accrued management fees (Note 3) | 630,691 | |||
Accrued shareholder services fees (Class S) (Note 3) | 105,358 | |||
Accrued distribution and service (Rule 12b-1) fees (Class C) (Class R)(Note 3) | 60,947 | |||
Accrued transfer agent fees (Note 3) | 50,849 | |||
Accrued fund accounting and administration fees (Note 3) | 36,245 | |||
Accrued Chief Compliance Officer service fees (Note 3) | 421 | |||
Accrued Directors’ fees (Note 3) | 341 | |||
Payable for fund shares repurchased | 1,811,431 | |||
Payable for securities purchased | 1,761,037 | |||
Other payables and accrued expenses | 175,971 | |||
|
| |||
TOTAL LIABILITIES | 4,633,291 | |||
|
| |||
TOTAL NET ASSETS | $ | 983,333,653 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Capital stock | $ | 742,475 | ||
Additional paid-in-capital | 935,494,394 | |||
Undistributed net investment income | 1,418,185 | |||
Accumulated net realized gain on investments, foreign currency and translation of other assets and liabilities | 12,177,004 | |||
Net unrealized appreciation (depreciation) on investments, foreign currency and translation of other assets and liabilities | 33,501,595 | |||
|
| |||
TOTAL NET ASSETS | $ | 983,333,653 | ||
|
|
The accompanying notes are an integral part of the financial statements.
106
Statement of Assets and Liabilities - Pro-Blend® Maximum Term Series
October 31, 2015
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class S | $ | 18.30 | ||
|
| |||
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class I | $ | 10.09 | ||
|
| |||
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class C | $ | 10.60 | ||
|
| |||
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class R | $ | 12.28 | ||
|
|
The accompanying notes are an integral part of the financial statements.
107
Statement of Operations - Pro-Blend® Maximum Term Series
For the Year Ended October 31, 2015
INVESTMENT INCOME: | ||||
Dividends (net of foreign taxes withheld, $461,148) | $ | 14,347,088 | ||
Interest | 2,497,564 | |||
|
| |||
Total Investment Income | 16,844,652 | |||
|
| |||
EXPENSES: | ||||
Management fees (Note 3) | 8,237,135 | |||
Shareholder services fees (Class S) (Note 3) | 1,390,666 | |||
Distribution and service (Rule 12b-1) fees (Class C) (Note 3) | 584,526 | |||
Transfer agent fees (Note 3) | 222,733 | |||
Distribution and service (Rule 12b-1) fees (Class R) (Note 3) | 189,056 | |||
Fund accounting and administration fees (Note 3) | 164,826 | |||
Directors’ fees (Note 3) | 38,610 | |||
Chief Compliance Officer service fees (Note 3) | 2,520 | |||
Custodian fees | 103,032 | |||
Miscellaneous | 336,992 | |||
|
| |||
Total Expenses | 11,270,096 | |||
|
| |||
NET INVESTMENT INCOME | 5,574,556 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY: | ||||
Net realized gain (loss) on- | ||||
Investments | 13,442,704 | |||
Foreign currency and translation of other assets and liabilities | (40,176 | ) | ||
|
| |||
13,402,528 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on- | ||||
Investments | (38,580,175 | ) | ||
Foreign currency and translation of other assets and liabilities | (24,361 | ) | ||
|
| |||
(38,604,536 | ) | |||
|
| |||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY | (25,202,008 | ) | ||
|
| |||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (19,627,452 | ) | |
|
|
The accompanying notes are an integral part of the financial statements.
108
Statements of Changes in Net Assets - Pro-Blend® Maximum Term Series
FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | |||||||
INCREASE (DECREASE) IN NET ASSETS: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 5,574,556 | $ | 5,782,805 | ||||
Net realized gain on investments and foreign currency | 13,402,528 | 158,507,845 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency | (38,604,536 | ) | (73,437,795 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from operations | (19,627,452 | ) | 90,852,855 | |||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS (Note 8): | ||||||||
From net investment income (Class S) | (1,565,296 | ) | (1,197,598 | ) | ||||
From net investment income (Class I) | (4,370,824 | ) | (3,252,876 | ) | ||||
From net investment income (Class C) | (4,395 | ) | (10,251 | ) | ||||
From net investment income (Class R) | (107,400 | ) | (56,176 | ) | ||||
From net realized gain on investments (Class S) | (58,346,182 | ) | (45,579,989 | ) | ||||
From net realized gain on investments (Class I) | (85,929,472 | ) | (57,222,979 | ) | ||||
From net realized gain on investments (Class C) | (9,020,752 | ) | (4,860,616 | ) | ||||
From net realized gain on investments (Class R) | (5,307,582 | ) | (3,765,445 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (164,651,903 | ) | (115,945,930 | ) | ||||
|
|
|
| |||||
CAPITAL STOCK ISSUED AND REPURCHASED: | ||||||||
Net increase (decrease) from capital share transactions (Note 5) | (28,777,851 | ) | 202,037,395 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets | (213,057,206 | ) | 176,944,320 | |||||
NET ASSETS: | ||||||||
Beginning of year | 1,196,390,859 | 1,019,446,539 | ||||||
|
|
|
| |||||
End of year (including undistributed net investment income of $1,418,185 and $2,244,175, respectively) | $ | 983,333,653 | $ | 1,196,390,859 | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
109
Financial Highlights - Pro-Blend® Maximum Term Series - Class S
FOR THE YEARS ENDED | ||||||||||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | ||||||||||||||||||
Per share data (for a share outstanding throughout each year): | ||||||||||||||||||||||
Net asset value - Beginning of year | $ | 20.86 | $ | 21.01 | $ | 17.00 | $ | 15.66 | $ | 15.59 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income from investment operations: | ||||||||||||||||||||||
Net investment income1 | 0.09 | 0.09 | 0.08 | 0.06 | 0.10 | |||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.54 | ) | 1.60 | 4.29 | 1.35 | 0.05 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | (0.45 | ) | 1.69 | 4.37 | 1.41 | 0.15 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||
From net investment income | (0.05 | ) | (0.04 | ) | (0.04 | ) | (0.07 | ) | (0.08 | ) | ||||||||||||
From net realized gain on investments | (2.06 | ) | (1.80 | ) | (0.32 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions to shareholders | (2.11 | ) | (1.84 | ) | (0.36 | ) | (0.07 | ) | (0.08 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value - End of year | $ | 18.30 | $ | 20.86 | $ | 21.01 | $ | 17.00 | $ | 15.66 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net assets - End of year (000’s omitted) | $ | 503,378 | $ | 597,578 | $ | 530,510 | $ | 467,244 | $ | 512,215 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return2 | (2.03 | %) | 8.80 | % | 26.13 | % | 9.04 | % | 0.94 | % | ||||||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||||||||
Expenses | 1.08 | % | 1.07 | % | 1.07 | % | 1.09 | % | 1.09 | % | ||||||||||||
Net investment income | 0.45 | % | 0.45 | % | 0.43 | % | 0.36 | % | 0.59 | % | ||||||||||||
Series portfolio turnover | 59 | % | 74 | % | 67 | % | 64 | % | 65 | % |
1Calculated based on average shares outstanding during the years.
2Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions.
The accompanying notes are an integral part of the financial statements.
110
Financial Highlights - Pro-Blend® Maximum Term Series - Class I
FOR THE YEARS ENDED | ||||||||||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | ||||||||||||||||||
Per share data (for a share outstanding throughout each year): | ||||||||||||||||||||||
Net asset value - Beginning of year | $ | 12.51 | $ | 13.35 | $ | 10.95 | $ | 10.12 | $ | 10.12 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income from investment operations: | ||||||||||||||||||||||
Net investment income1 | 0.08 | 0.09 | 0.08 | 0.06 | 0.09 | |||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.33 | ) | 0.96 | 2.72 | 0.88 | 0.03 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | (0.25 | ) | 1.05 | 2.80 | 0.94 | 0.12 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||
From net investment income | (0.11 | ) | (0.09 | ) | (0.08 | ) | (0.11 | ) | (0.12 | ) | ||||||||||||
From net realized gain on investments | (2.06 | ) | (1.80 | ) | (0.32 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions to shareholders | (2.17 | ) | (1.89 | ) | (0.40 | ) | (0.11 | ) | (0.12 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value - End of year | $ | 10.09 | $ | 12.51 | $ | 13.35 | $ | 10.95 | $ | 10.12 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net assets - End of year (000’s omitted) | $ | 390,931 | $ | 504,866 | $ | 418,785 | $ | 320,999 | $ | 210,597 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return2 | (1.82 | %) | 9.10 | % | 26.35 | % | 9.42 | % | 1.14 | % | ||||||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||||||||
Expenses | 0.83 | % | 0.82 | % | 0.82 | % | 0.84 | % | 0.84 | % | ||||||||||||
Net investment income | 0.71 | % | 0.70 | % | 0.66 | % | 0.57 | % | 0.83 | % | ||||||||||||
Series portfolio turnover | 59 | % | 74 | % | 67 | % | 64 | % | 65 | % |
1Calculated based on average shares outstanding during the years.
2Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions.
The accompanying notes are an integral part of the financial statements.
111
Financial Highlights - Pro-Blend® Maximum Term Series - Class C
FOR THE YEARS ENDED | ||||||||||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | ||||||||||||||||||
Per share data (for a share outstanding throughout each year): | ||||||||||||||||||||||
Net asset value - Beginning of year | $ | 13.03 | $ | 13.86 | $ | 11.38 | $ | 10.52 | $ | 10.54 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||
Net investment loss1 | (0.03 | ) | (0.04 | ) | (0.04 | ) | (0.04 | ) | (0.02 | ) | ||||||||||||
Net realized and unrealized gain (loss) on investments | (0.34 | ) | 1.01 | 2.84 | 0.91 | 0.04 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | (0.37 | ) | 0.97 | 2.80 | 0.87 | 0.02 | �� | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||
From net investment income | (0.00 | )2 | (0.00 | )2 | — | (0.01 | ) | (0.04 | ) | |||||||||||||
From net realized gain on investments | (2.06 | ) | (1.80 | ) | (0.32 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions to shareholders | (2.06 | ) | (1.80 | ) | (0.32 | ) | (0.01 | ) | (0.04 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value - End of year | $ | 10.60 | $ | 13.03 | $ | 13.86 | $ | 11.38 | $ | 10.52 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net assets - End of year (000’s omitted) | $ | 57,507 | $ | 55,781 | $ | 36,989 | $ | 23,045 | $ | 18,102 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return3 | (2.76 | %) | 8.06 | % | 25.17 | % | 8.27 | % | 0.15 | % | ||||||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||||||||
Expenses | 1.83 | % | 1.82 | % | 1.82 | % | 1.84 | % | 1.84 | % | ||||||||||||
Net investment loss | (0.30 | %) | (0.30 | %) | (0.35 | %) | (0.40 | %) | (0.15 | %) | ||||||||||||
Series portfolio turnover | 59 | % | 74 | % | 67 | % | 64 | % | 65 | % |
1Calculated based on average shares outstanding during the years.
2Less than $0.01.
3Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions.
The accompanying notes are an integral part of the financial statements.
112
Financial Highlights - Pro-Blend® Maximum Term Series - Class R
FOR THE YEARS ENDED | ||||||||||||||||||||||
10/31/15 | 10/31/14 | 10/31/13 | 10/31/12 | 10/31/11 | ||||||||||||||||||
Per share data (for a share outstanding throughout each year): | ||||||||||||||||||||||
Net asset value - Beginning of year | $ | 14.73 | $ | 15.39 | $ | 12.56 | $ | 11.63 | $ | 11.64 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||
Net investment income1 | 0.03 | 0.03 | 0.02 | 0.00 | 2 | 0.00 | 2 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.38 | ) | 1.13 | 3.15 | 1.00 | 0.09 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | (0.35 | ) | 1.16 | 3.17 | 1.00 | 0.09 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||
From net investment income | (0.04 | ) | (0.02 | ) | (0.02 | ) | (0.07 | ) | (0.10 | ) | ||||||||||||
From net realized gain on investments | (2.06 | ) | (1.80 | ) | (0.32 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions to shareholders | (2.10 | ) | (1.82 | ) | (0.34 | ) | (0.07 | ) | (0.10 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value - End of year | $ | 12.28 | $ | 14.73 | $ | 15.39 | $ | 12.56 | $ | 11.63 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net assets - End of year (000’s omitted) | $ | 31,517 | $ | 38,166 | $ | 33,162 | $ | 17,520 | $ | 3,418 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return3 | (2.28 | %) | 8.53 | % | 25.81 | % | 8.72 | % | 0.71 | % | ||||||||||||
Ratios (to average net assets)/Supplemental Data: | ||||||||||||||||||||||
Expenses | 1.33 | % | 1.32 | % | 1.32 | % | 1.34 | % | 1.34 | % | ||||||||||||
Net investment income | 0.20 | % | 0.20 | % | 0.14 | % | 0.02 | % | 0.04 | % | ||||||||||||
Series portfolio turnover | 59 | % | 74 | % | 67 | % | 64 | % | 65 | % |
1Calculated based on average shares outstanding during the years.
2Less than $0.01.
3Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions.
The accompanying notes are an integral part of the financial statements.
113
Notes to Financial Statements
1. | Organization |
Pro-Blend® Conservative Term Series, Pro-Blend® Moderate Term Series, Pro-Blend® Extended Term Series and Pro-Blend® Maximum Term Series (each the “Series”) are no-load diversified series of Manning & Napier Fund, Inc. (the “Fund”). The Fund is organized in Maryland and is registered under the Investment Company Act of 1940 (the “1940 Act”), as amended, as an open-end management investment company.
The Series are asset allocation funds. Each invests in a combination of stocks, bonds and cash and is managed according to specific objectives. The objectives are as follows: Pro-Blend® Conservative Term Series - primary objective is preservation of capital; secondary objective is to provide income and long-term growth of capital. Pro-Blend® Moderate Term Series - equal emphasis on long-term growth of capital and preservation of capital. Pro-Blend® Extended Term Series - primary objective is long-term growth of capital; secondary objective is preservation of capital. Pro-Blend® Maximum Term Series - primary objective is long-term growth of capital.
Each Series is authorized to issue four classes of shares (Class C, R, I and S). Each class of shares is substantially the same, except that class-specific distribution and shareholder servicing expenses are borne by the specific class of shares to which they relate.
The Fund’s Advisor is Manning & Napier Advisors, LLC (the “Advisor”). Shares of each Series are offered to investors and employees of the Advisor and its affiliates. The total authorized capital stock of the Fund consists of 15 billion shares of common stock each having a par value of $0.01. As of October 31, 2015, 10.7 billion shares have been designated in total among 41 series, of which 162.5 million have been designated as Pro-Blend® Conservative Term Series Class S common stock, 75 million have been designated as Pro-Blend® Conservative Term Series Class I common stock, 125 million each have been designated as Class S common stock and Class I common stock for Pro-Blend® Moderate Term Series, 125 million each have been designated as Class S common stock for Pro-Blend® Extended Term Series and Pro-Blend® Maximum Term Series, 200 million each have been designated as Class I common stock for Pro-Blend® Extended Term Series and Pro-Blend® Maximum Term Series, 25 million each have been designated as Class C common stock for Pro-Blend® Conservative Term Series, Pro-Blend® Moderate Term Series, Pro-Blend® Extended Term Series and Pro-Blend® Maximum Term Series and 52.5 million each have been designated as Class R common stock for Pro-Blend® Conservative Term Series, Pro-Blend® Moderate Term Series, Pro-Blend® Extended Term Series and Pro-Blend® Maximum Term Series.
2. | Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Series. Each Series is an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 - Investment Companies, which is part of accounting principles generally accepted in the United States of America (“GAAP”).
Security Valuation
Portfolio securities, including domestic equities, foreign equities, warrants and options, listed on an exchange other than the NASDAQ Stock Market are valued at the latest quoted sales price of the exchange on which the security is primarily traded. Securities not traded on valuation date or securities not listed on an exchange are valued at the latest quoted bid price provided by the Fund’s pricing service. Securities listed on the NASDAQ Stock Market are valued in accordance with the NASDAQ Official Closing Price.
Debt securities, including government bonds, foreign bonds, asset-backed securities, structured notes, supranational obligations, sovereign bonds, corporate bonds and mortgage-backed securities will normally be valued on the basis of evaluated bid prices provided directly by an independent pricing service. The pricing services use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the pricing services may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the pricing services also utilize proprietary valuation models which may consider market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated defaulted rates, coupon rates, anticipated timing of principal repayments, underlying collateral and other unique security features in order to estimate the relevant cash flows,
114
Notes to Financial Statements (continued)
2. | Significant Accounting Policies (continued) |
Security Valuation (continued)
which are then discounted to calculate the fair value. Certain investments in securities held by the Series may be valued on a basis of a price provided directly by a principal market maker. These prices may differ from the value that would have been used had a broader market for securities existed.
The fair value of loan assignments is estimated using recently executed transactions, market price quotations, credit/market events, and cross-asset pricing. Inputs are generally observable market inputs obtained from independent sources. Loan assignments are generally categorized in Level 2 of the fair value hierarchy, unless key inputs are unobservable, in which case they would be categorized in Level 3.
Short-term investments that mature in sixty days or less are valued at amortized cost, which approximates fair value. Investments in open-end investment companies are valued at their net asset value per share on valuation date.
Volume and level of activity in established markets for an asset or liability are evaluated to determine whether recent transactions and quoted prices are determinative of fair value. Where there have been significant decreases in volume and level of activity, further analysis and adjustment may be necessary to estimate fair value. The Series measure fair value in these instances by the use of inputs and valuation techniques which may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry and/or expectation of future cash flows. As a result of trading in relatively thin markets and/or markets that experience significant volatility, the prices used by the Series to value these securities may differ from the value that would be realized if these securities were sold, and the differences could be material.
Securities for which representative valuations or prices are not available from the Series’ pricing service may be valued at fair value as determined in good faith by the Advisor under procedures approved by and under the general supervision and responsibility of the Fund’s Board of Directors (the “Board”). Due to the inherent uncertainty of valuations of such securities, the fair value may differ significantly from the values that would have been used had a ready market for such securities existed. If trading or events occurring after the close of the principal market in which securities are traded are expected to materially affect the value of those securities, then they may be valued at their fair value, taking this trading or these events into account. In accordance with the procedures approved by the Board, the values of certain securities trading outside the U.S. were adjusted following the close of local trading using a factor from a third party vendor. The third party vendor uses statistical analyses and quantitative models, which consider among other things subsequent movement and changes in the prices of indices, securities and exchange rates in other markets, to determine the factors which are used to adjust local market prices. The value of securities used for net asset value calculation under these procedures may differ from published prices for the same securities. It is the Fund’s policy to classify each foreign equity security where a factor from a third party vendor is provided as a Level 2 security.
Various inputs are used in determining the value of the Series’ assets or liabilities carried at fair value. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical assets and liabilities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments). A financial instruments’ level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to their fair value measure. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
115
Notes to Financial Statements (continued)
2. | Significant Accounting Policies (continued) |
Security Valuation (continued)
The following is a summary of the valuation levels used for major security types as of October 31, 2015 in valuing the Series’ assets or liabilities carried at fair value:
PRO-BLEND® CONSERVATIVE TERM SERIES | ||||||||||||||||
DESCRIPTION | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | ||||||||||||
Assets: | ||||||||||||||||
Equity securities: | ||||||||||||||||
Consumer Discretionary | $ | 90,114,149 | $ | 89,854,926 | $ | 259,223 | $ | — | ||||||||
Consumer Staples | 44,882,619 | 31,983,812 | 12,898,807 | — | ||||||||||||
Energy | 25,658,766 | 24,716,736 | 942,030 | — | ||||||||||||
Financials | 66,006,660 | 64,170,766 | 1,835,894 | — | ||||||||||||
Health Care | 50,218,222 | 47,953,074 | 2,265,148 | — | ||||||||||||
Industrials | 40,501,875 | 40,501,875 | — | — | ||||||||||||
Information Technology | 123,476,552 | 123,476,552 | — | — | ||||||||||||
Materials | 30,718,095 | 30,718,095 | — | — | ||||||||||||
Telecommunication Services | 1,652,395 | 1,652,395 | — | — | ||||||||||||
Utilities | 1,598,982 | 1,598,982 | — | — | ||||||||||||
Debt securities: | ||||||||||||||||
Loan assignments | 1,860,500 | — | 1,860,500 | — | ||||||||||||
U.S. Treasury and other U.S. Government agencies | 219,470,839 | — | 219,470,839 | — | ||||||||||||
Corporate debt: | ||||||||||||||||
Consumer Discretionary | 60,143,162 | — | 60,143,162 | — | ||||||||||||
Consumer Staples | 20,795,031 | — | 20,795,031 | — | ||||||||||||
Energy | 29,853,826 | — | 29,853,826 | — | ||||||||||||
Financials | 249,952,768 | — | 249,952,768 | — | ||||||||||||
Health Care | 11,833,693 | — | 11,833,693 | — | ||||||||||||
Industrials | 50,103,514 | — | 50,103,514 | — | ||||||||||||
Information Technology | 11,674,458 | — | 11,674,458 | — | ||||||||||||
Materials | 15,597,664 | — | 15,597,664 | — | ||||||||||||
Telecommunication Services | 16,712,200 | — | 16,712,200 | — | ||||||||||||
Utilities | 7,418,962 | — | 7,418,962 | — | ||||||||||||
Asset-backed securities | 19,835,699 | — | 19,835,699 | — | ||||||||||||
Commercial mortgage-backed securities | 152,713,907 | — | 152,713,907 | — | ||||||||||||
Foreign government bonds | 29,720,928 | — | 29,720,928 | — | ||||||||||||
Mutual funds | 40,938,342 | 40,938,342 | — | — | ||||||||||||
Other financial instruments*: | ||||||||||||||||
Interest rate contracts | 493,669 | 493,669 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 1,413,947,477 | 498,059,224 | 915,888,253 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other financial instruments*: | ||||||||||||||||
Interest rate contracts | (1,910,288 | ) | (1,910,288 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | (1,910,288 | ) | (1,910,288 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,412,037,189 | $ | 496,148,936 | $ | 915,888,253 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
PRO-BLEND® MODERATE TERM SERIES | ||||||||||||||||
DESCRIPTION | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | ||||||||||||
Assets: | ||||||||||||||||
Equity securities: | ||||||||||||||||
Consumer Discretionary | $ | 174,068,527 | $ | 168,060,012 | $ | 6,008,515 | $ | — | ||||||||
Consumer Staples | 62,593,367 | 31,146,224 | 31,447,143 | — | ||||||||||||
Energy | 36,429,185 | 34,222,712 | 2,206,473 | — |
116
Notes to Financial Statements (continued)
2. | Significant Accounting Policies (continued) |
Security Valuation (continued)
PRO-BLEND® MODERATE TERM SERIES | ||||||||||||||||
DESCRIPTION | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | ||||||||||||
Financials | $ | 52,459,243 | $ | 49,047,613 | $ | 3,411,630 | $ | — | ||||||||
Health Care | 68,378,808 | 65,020,923 | 3,357,885 | — | ||||||||||||
Industrials | 37,358,024 | 30,805,885 | 6,552,139 | — | ||||||||||||
Information Technology | 202,401,542 | 195,132,819 | 7,268,723 | — | ||||||||||||
Materials | 32,661,230 | 31,294,869 | 1,366,361 | — | ||||||||||||
Telecommunication Services | 4,334,050 | 4,060,441 | 273,609 | — | ||||||||||||
Utilities | 411,191 | 411,191 | — | — | ||||||||||||
Debt securities: | ||||||||||||||||
Loan assignments | 1,860,500 | — | 1,860,500 | — | ||||||||||||
U.S. Treasury and other U.S. Government agencies | 326,309,171 | — | 326,309,171 | — | ||||||||||||
Corporate debt: | ||||||||||||||||
Consumer Discretionary | 45,265,617 | — | 45,265,617 | — | ||||||||||||
Consumer Staples | 16,691,986 | — | 16,691,986 | — | ||||||||||||
Energy | 25,874,468 | — | 25,874,468 | — | ||||||||||||
Financials | 189,319,349 | — | 189,319,349 | — | ||||||||||||
Health Care | 11,117,870 | — | 11,117,870 | — | ||||||||||||
Industrials | 41,149,864 | — | 41,149,864 | — | ||||||||||||
Information Technology | 9,464,929 | — | 9,464,929 | — | ||||||||||||
Materials | 12,711,154 | — | 12,711,154 | — | ||||||||||||
Telecommunication Services | 15,627,017 | — | 15,627,017 | — | ||||||||||||
Utilities | 7,932,088 | — | 7,932,088 | — | ||||||||||||
Asset-backed securities | 18,220,185 | — | 18,220,185 | — | ||||||||||||
Commercial mortgage-backed securities | 129,403,198 | — | 129,403,198 | — | ||||||||||||
Foreign government bonds | 30,038,889 | — | 30,038,889 | — | ||||||||||||
Mutual fund | 74,594,975 | 74,594,975 | — | — | ||||||||||||
Other financial instruments*: | ||||||||||||||||
Interest rate contracts | 437,807 | 437,807 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 1,627,114,234 | 684,235,471 | 942,878,763 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other financial instruments*: | ||||||||||||||||
Interest rate contracts | (1,688,376 | ) | (1,688,376 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | (1,688,376 | ) | (1,688,376 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,625,425,858 | $ | 682,547,095 | $ | 942,878,763 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
PRO-BLEND® EXTENDED TERM SERIES | ||||||||||||||||
DESCRIPTION | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | ||||||||||||
Assets: | ||||||||||||||||
Equity securities: | ||||||||||||||||
Consumer Discretionary | $ | 217,961,958 | $ | 210,532,400 | $ | 7,429,558 | $ | — | ||||||||
Consumer Staples | 79,745,434 | 38,340,869 | 41,404,565 | — | ||||||||||||
Energy | 44,167,068 | 41,603,904 | 2,563,164 | — | ||||||||||||
Financials | 60,914,692 | 56,509,996 | 4,404,696 | — | ||||||||||||
Health Care | 83,116,714 | 78,748,815 | 4,367,899 | — | ||||||||||||
Industrials | 47,266,799 | 38,980,007 | 8,286,792 | — | ||||||||||||
Information Technology | 249,252,385 | 239,677,564 | 9,574,821 | — | ||||||||||||
Materials | 42,350,910 | 40,624,580 | 1,726,330 | — | ||||||||||||
Telecommunication Services | 5,149,100 | 4,798,875 | 350,225 | — | ||||||||||||
Utilities | 523,334 | 523,334 | — | — |
117
Notes to Financial Statements (continued)
2. | Significant Accounting Policies (continued) |
Security Valuation (continued)
PRO-BLEND® EXTENDED TERM SERIES | ||||||||||||||||
DESCRIPTION | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | ||||||||||||
Debt securities: | ||||||||||||||||
Loan assignments | $ | 1,860,500 | $ | — | $ | 1,860,500 | $ | — | ||||||||
U.S. Treasury and other U.S. Government agencies | 203,155,311 | — | 203,155,311 | — | ||||||||||||
Corporate debt: | ||||||||||||||||
Consumer Discretionary | 29,807,877 | — | 29,807,877 | — | ||||||||||||
Consumer Staples | 14,877,125 | — | 14,877,125 | — | ||||||||||||
Energy | 28,126,963 | — | 28,126,963 | — | ||||||||||||
Financials | 106,469,177 | — | 106,469,177 | — | ||||||||||||
Health Care | 8,744,888 | — | 8,744,888 | — | ||||||||||||
Industrials | 33,423,571 | — | 33,423,571 | — | ||||||||||||
Information Technology | 7,530,530 | — | 7,530,530 | — | ||||||||||||
Materials | 10,104,274 | — | 10,104,274 | — | ||||||||||||
Telecommunication Services | 10,177,850 | — | 10,177,850 | — | ||||||||||||
Utilities | 7,563,504 | — | 7,563,504 | — | ||||||||||||
Asset-backed securities | 13,019,317 | — | 13,019,317 | — | ||||||||||||
Commercial mortgage-backed securities | 86,807,846 | — | 86,807,846 | — | ||||||||||||
Foreign government bonds | 27,050,714 | — | 27,050,714 | — | ||||||||||||
Mutual fund | 85,858,350 | 85,858,350 | — | — | ||||||||||||
Other financial instruments*: | ||||||||||||||||
Interest rate contracts | 290,380 | 290,380 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 1,505,316,571 | 836,489,074 | 668,827,497 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other financial instruments*: | ||||||||||||||||
Interest rate contracts | (1,128,636 | ) | (1,128,636 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | (1,128,636 | ) | (1,128,636 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,504,187,935 | $ | 835,360,438 | $ | 668,827,497 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
PRO-BLEND® MAXIMUM TERM SERIES | ||||||||||||||||
DESCRIPTION | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | ||||||||||||
Assets: | ||||||||||||||||
Equity securities: | ||||||||||||||||
Consumer Discretionary | $ | 198,854,121 | $ | 193,593,730 | $ | 5,260,391 | $ | — | ||||||||
Consumer Staples | 102,697,007 | 45,827,121 | 56,869,886 | — | ||||||||||||
Energy | 31,174,552 | 29,386,912 | 1,787,640 | — | ||||||||||||
Financials | 55,672,598 | 53,292,947 | 2,379,651 | — | ||||||||||||
Health Care | 149,010,500 | 134,002,150 | 15,008,350 | — | ||||||||||||
Industrials | 77,093,065 | 71,371,075 | 5,721,990 | — | ||||||||||||
Information Technology | 233,922,644 | 227,385,028 | 6,537,616 | — | ||||||||||||
Materials | 32,424,130 | 31,206,318 | 1,217,812 | — | ||||||||||||
Telecommunication Services | 3,559,781 | 3,307,993 | 251,788 | — | ||||||||||||
Utilities | 391,856 | 391,856 | — | — | ||||||||||||
Debt securities: | ||||||||||||||||
U.S. Treasury and other U.S. Government agencies | 13,904,122 | — | 13,904,122 | — | ||||||||||||
Corporate debt: | ||||||||||||||||
Consumer Discretionary | 5,228,060 | — | 5,228,060 | — | ||||||||||||
Consumer Staples | 2,025,950 | — | 2,025,950 | — | ||||||||||||
Energy | 4,591,766 | — | 4,591,766 | — | ||||||||||||
Financials | 13,694,913 | — | 13,694,913 | — |
118
Notes to Financial Statements (continued)
2. | Significant Accounting Policies (continued) |
Security Valuation (continued)
PRO-BLEND® MAXIMUM TERM SERIES | ||||||||||||||||
DESCRIPTION | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | ||||||||||||
Health Care | $ | 932,863 | $ | — | $ | 932,863 | $ | — | ||||||||
Industrials | 8,735,283 | — | 8,735,283 | — | ||||||||||||
Information Technology | 237,321 | — | 237,321 | — | ||||||||||||
Materials | 1,207,862 | — | 1,207,862 | — | ||||||||||||
Telecommunication Services | 1,778,198 | — | 1,778,198 | — | ||||||||||||
Utilities | 1,791,318 | — | 1,791,318 | — | ||||||||||||
Commercial mortgage-backed securities | 2,081,476 | — | 2,081,476 | — | ||||||||||||
Foreign government bonds | 809,390 | — | 809,390 | — | ||||||||||||
Mutual fund | 41,448,059 | 41,448,059 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | $ | 983,266,835 | $ | 831,213,189 | $ | 152,053,646 | $ | — | ||||||||
|
|
|
|
|
|
|
|
Please see the Investment Portfolio for each of the Series for foreign securities where a factor from a third party vendor was applied to determine the securities’ fair value following the close of local trading. Such securities are included in Level 2 in the table above.
There were no Level 3 securities held by any of the Pro-Blend® Series as of October 31, 2014 or October 31, 2015.
*Other financial instruments are futures (Level 1). Futures are valued at the unrealized appreciation/depreciation on the instrument.
The Fund’s policy is to recognize transfers in and transfers out of the valuation levels as of the beginning of the reporting period. There were no significant transfers between Level 1 and Level 2 during the year ended October 31, 2015.
Security Transactions, Investment Income and Expenses
Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date, except that if the ex-dividend date has passed, certain dividends from foreign securities are recorded as soon as the Series is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair value of the securities received. Interest income, including amortization of premium and accretion of discounts using the effective interest method, is earned from settlement date and accrued daily.
Expenses are recorded on an accrual basis. Most expenses of the Fund can be attributed to a specific series. Expenses which cannot be directly attributed are apportioned among the series in the Fund in such a manner as deemed equitable by the Fund’s Board, taking into consideration, among other things, the nature and type of expense.
Income, expenses (other than class specific expenses), and realized and unrealized gains and losses are prorated among the classes based on the relative net assets of each class. Class specific expenses are directly charged to that Class.
The Series use the identified cost method for determining realized gain or loss on investments for both financial statement and federal income tax reporting purposes.
Foreign Currency Translation
The books and records of the Series are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at the current exchange rates. Purchases and sales of investment securities and income and expenses are translated on the respective dates of such transactions. The Series do not isolate realized and unrealized gains and losses attributable to changes in the exchange rates from gains and losses that arise from changes in the fair value of investments. Such fluctuations are included with net realized and unrealized gain or loss on investments. Net realized foreign currency gains and losses represent foreign currency gains and losses between trade date and settlement date
119
Notes to Financial Statements (continued)
2. | Significant Accounting Policies (continued) |
Foreign Currency Translation (continued)
on securities transactions, gains and losses on disposition of foreign currencies and the difference between the amount of income and foreign withholding taxes recorded on the books of the Series and the amounts actually received or paid.
Option Contracts
The Series may write (sell) or buy call or put options on securities and other financial instruments. When a Series writes a call, the Series gives the purchaser the right to buy the underlying security from the Series at the price specified in the option contract (the “exercise price”) at any time during the option period. When a Series writes a put option, the Series gives the purchaser the right to sell to the Series the underlying security at the exercise price at any time during the option period. The Series will only write options on a “covered basis.” This means that the Series will own the underlying security when the Series writes a call or the Series will put aside cash, U.S. Government securities, or other liquid assets in an amount not less than the exercise price at all times the put option is outstanding.
When a Series writes an option, an amount equal to the premium received is reflected as a liability and is subsequently marked-to-market to reflect the current market value of the option. The Series, as a writer of an option, has no control over whether the underlying security or financial instrument may be sold (call) or purchased (put) and, as a result, bears the market risk of an unfavorable change in the price of the security or financial instrument underlying the written option. There is a risk that the Series may not be able to enter into a closing transaction because of an illiquid market.
Each Series may also purchase options in an attempt to hedge against fluctuations in the value of its portfolio and to protect against declines in the value of the securities. The premium paid by a Series for the purchase of an option is reflected as an investment and subsequently marked-to-market to reflect the current market value of the option. The risk associated with purchasing options is limited to the premium paid.
When a security is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the security acquired or deducted from (or added to) the proceeds of the security sold. When an option expires (or a Series enters into a closing transaction), the Series realizes a gain or loss on the option to the extent of the premium received or paid (or gain or loss to the extent the cost of the closing transaction exceeds the premium paid or received).
Futures
Each Series may purchase or sell exchange-traded futures contracts, which are contracts that obligate the Series to make or take delivery of a financial instrument or the cash value of a security index at a specified future date at a specified price. The Series may use futures contracts to manage exposure to the stock and bond markets or changes in interest rates and currency values, or for gaining exposure to markets. Risks of entering into futures contracts include the possibility that there may be an illiquid market at the time the Adviser to the Series may be attempting to sell some or all the Series holdings or that a change in the value of the contract may not correlate with changes in the value of the underlying securities. Upon entering into a futures contract, a Series is required to deposit either cash or securities (initial margin). Subsequent payments (variation margin) are made or received by the Series, generally on a daily basis. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains or losses. The Series recognize a realized gain or loss when the contract is closed or expires.
Futures transactions involve minimal counterparty risk since futures contracts are guaranteed against default by the exchange on which they trade. The Series’ futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty, and net amounts owed or due across transactions).
120
Notes to Financial Statements (continued)
2. | Significant Accounting Policies (continued) |
The following table presents the present value of derivatives held at October 31, 2015 as reflected on the Statement of Assets and Liabilities, and the effect of the derivative instruments on the Statement of Operations:
PRO-BLEND® CONSERVATIVE TERM SERIES | ||||||
STATEMENT OF ASSETS AND LIABILITIES | ||||||
Derivative | Assets Location | |||||
Interest rate contracts | Net unrealized appreciation1 | $ | 493,669 | |||
Derivative | Liabilities Location | |||||
Interest rate contracts | Net unrealized depreciation1 | $ | (1,910,288 | ) | ||
STATEMENT OF OPERATIONS | ||||||
Derivative | Location of Gain or (Loss) on Derivatives | | Realized Gain (Loss) on Derivatives | | ||
Interest rate contracts | Net realized gain (loss) on futures contracts | $ | (13,800,295 | ) | ||
Equity contracts | Net realized gain (loss) on options written | $ | 1,424,821 | |||
Derivative | Location of Appreciation (Depreciation) on Derivatives | | Unrealized Appreciation (Depreciation) on Derivatives | | ||
Interest rate contracts | Net change in unrealized appreciation (depreciation) on futures contracts | $ | (1,660,053 | ) | ||
Equity contracts | Net change in unrealized appreciation (depreciation) on options written | $ | 93,740 | |||
PRO-BLEND® MODERATE TERM SERIES | ||||||
STATEMENT OF ASSETS AND LIABILITIES | ||||||
Derivative | Assets Location | |||||
Interest rate contracts | Net unrealized appreciation1 | $ | 437,807 | |||
Derivative | Liabilities Location | |||||
Interest rate contracts | Net unrealized depreciation1 | $ | (1,688,376 | ) | ||
STATEMENT OF OPERATIONS | ||||||
Derivative | Location of Gain or (Loss) on Derivatives | | Realized Gain (Loss) on Derivatives | | ||
Interest rate contracts | Net realized gain (loss) on futures contracts | $ | (11,485,721 | ) | ||
Equity contracts | Net realized gain (loss) on options written | $ | 2,507,846 | |||
Derivative | Location of Appreciation (Depreciation) on Derivatives | | Unrealized Appreciation (Depreciation) on Derivatives | | ||
Interest rate contracts | Net change in unrealized appreciation (depreciation) on futures contracts | $ | (1,412,778 | ) | ||
Equity contracts | Net change in unrealized appreciation (depreciation) on options written | $ | 162,220 |
121
Notes to Financial Statements (continued)
2. | Significant Accounting Policies (continued) |
PRO-BLEND® MODERATE TERM SERIES | ||||||
STATEMENT OF ASSETS AND LIABILITIES | ||||||
Derivative | Assets Location | |||||
Interest rate contracts | Net unrealized appreciation1 | $ 290,380 | ||||
Derivative | Liabilities Location | |||||
Interest rate contracts | Net unrealized depreciation1 | $ (1,128,636) | ||||
STATEMENT OF OPERATIONS | ||||||
Derivative | Location of Gain or (Loss) on Derivatives | | Realized Gain (Loss) on Derivatives | | ||
Interest rate contracts | Net realized gain (loss) on futures contracts | $ (8,183,974) | ||||
Equity contracts | Net realized gain (loss) on options written | $3,322,354 | ||||
Derivative | Location of Appreciation (Depreciation) on Derivatives | | Unrealized Appreciation (Depreciation) on Derivatives | | ||
Interest rate contracts | Net change in unrealized appreciation (depreciation) on futures contracts | $ (971,570) | ||||
Equity contracts | Net change in unrealized appreciation (depreciation) on options written | $ 221,687 |
1 Includes cumulative appreciation/depreciation on futures contracts as reported in the Investment Portfolios, and is included within Net Assets as the components of capital are not required to be presented separately on the Statements of Assets and Liabilities. Only the current day’s variation margin is reported within the Statements of Assets and Liabilities.
The average month-end balances for the year ended October 31, 2015, the period in which such derivatives were outstanding, were as follows:
PRO-BLEND® CONSERVATIVE TERM SERIES | PRO-BLEND® MODERATE TERM SERIES | PRO-BLEND® EXTENDED TERM SERIES | ||||||||||
Futures Contracts: |
| |||||||||||
Average number of contracts purchased | 6,678 | 5,616 | 4,032 | |||||||||
Average number of contracts sold | 3,656 | 3,086 | 2,213 | |||||||||
Average notional value of contracts purchased | $ | 1,471,354,789 | $ | 1,237,371,724 | $ | 888,084,281 | ||||||
Average notional value of contracts sold | $ | 766,939,508 | $ | 647,424,524 | $ | 464,725,630 | ||||||
Options: | ||||||||||||
Average number of option contracts written | 3,242 | 5,795 | 7,647 | |||||||||
Average notional value of option contracts written | $ | 18,202,095 | $ | 32,511,732 | $ | 43,059,168 |
122
Notes to Financial Statements (continued)
2. | Significant Accounting Policies (continued) |
Written Option Rollforward
Transactions in options written for the year ended October 31, 2015, were as follows:
PRO-BLEND® CONSERVATIVE TERM SERIES: | CALLS | PUTS | ||||||||||||||
CONTRACTS | PREMIUMS RECEIVED | CONTRACTS | PREMIUMS RECEIVED | |||||||||||||
Outstanding options, beginning of year | 1,712 | $ | 183,098 | 1,134 | $ | 82,724 | ||||||||||
Options written | 10,663 | 1,030,240 | 31,572 | 1,558,066 | ||||||||||||
Options exercised | (7,024 | ) | (667,976 | ) | (1,559 | ) | (75,061 | ) | ||||||||
Options expired | (1,702 | ) | (149,180 | ) | (1,997 | ) | (130,269 | ) | ||||||||
Options closed | (3,649 | ) | (396,182 | ) | (29,150 | ) | (1,435,460 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Outstanding options, end of year | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
PRO-BLEND® MODERATE TERM SERIES: | CALLS | PUTS | ||||||||||||||
CONTRACTS | PREMIUMS RECEIVED | CONTRACTS | PREMIUMS RECEIVED | |||||||||||||
Outstanding options, beginning of year | 2,968 | $ | 317,426 | 1,970 | $ | 144,118 | ||||||||||
Options written | 18,170 | 1,735,472 | 56,599 | 2,774,586 | ||||||||||||
Options exercised | (11,465 | ) | (1,096,825 | ) | (2,894 | ) | (139,337 | ) | ||||||||
Options expired | (2,939 | ) | (257,603 | ) | (3,686 | ) | (235,892 | ) | ||||||||
Options closed | (6,734 | ) | (698,470 | ) | (51,989 | ) | (2,543,475 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Outstanding options, end of year | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
PRO-BLEND® EXTENDED TERM SERIES: | CALLS | PUTS | ||||||||||||||
CONTRACTS | PREMIUMS RECEIVED | CONTRACTS | PREMIUMS RECEIVED | |||||||||||||
Outstanding options, beginning of year | 4,075 | $ | 435,819 | 2,732 | $ | 199,070 | ||||||||||
Options written | 24,356 | 2,297,159 | 73,502 | 3,624,228 | ||||||||||||
Options exercised | (14,944 | ) | (1,429,740 | ) | (3,688 | ) | (177,568 | ) | ||||||||
Options expired | (4,025 | ) | (352,791 | ) | (4,695 | ) | (306,731 | ) | ||||||||
Options closed | (9,462 | ) | (950,447 | ) | (67,851 | ) | (3,338,999 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Outstanding options, end of year | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
|
Inflation-Indexed Bonds
Each Series may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is periodically adjusted according to the rate of inflation. If the index measuring inflation rises or falls, the principal value of inflation-indexed bonds will be adjusted upward or downward, and consequently the interest payable on these securities (calculated with respect to a larger or smaller principal amount) will be increased or reduced, respectively. Any upward or downward adjustment in the principal amount of an inflation-indexed bond will be included as interest income in the Statements of Operations, even though investors do not receive their principal until maturity. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds. For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal.
Securities Purchased on a When-Issued Basis or Forward Commitment
Each Series may purchase securities on a when-issued basis or forward commitment. These transactions involve a commitment by the Fund to purchase securities for a predetermined price with payment and delivery taking place beyond the customary settlement period. When such purchases are outstanding, the Fund will designate liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed delivery basis, the Fund assumes the rights and risks of
123
Notes to Financial Statements (continued)
2. | Significant Accounting Policies (continued) |
Securities Purchased on a When-Issued Basis or Forward Commitment (continued)
ownership of the security, including the risk of price and yield fluctuations, and take such fluctuations into account when determining their net asset value. The Fund may sell the when-issued securities before they are delivered, which may result in a capital gain or loss.
In connection with their ability to purchase or sell securities on a forward commitment basis, the Fund may enter into forward roll transactions principally using To Be Announced (TBA) securities. Forward roll transactions require the sale of securities for delivery in the current month, and a simultaneous agreement to repurchase substantially similar (same type, coupon and maturity) securities on a specified future date. Risks of entering into forward roll transactions include the potential inability of the counterparty to meet the terms of the agreement; the potential of the Fund to receive inferior securities at redelivery as compared to the securities sold to the counterparty; counterparty credit risk; and the potential pay down speed variance between the mortgage-backed pools. During the roll period, the Fund forgoes principal and interest paid on the securities. The Fund accounts for such dollar rolls as purchases and sales. No such investments were held by the Fund on October 31, 2015.
Interest Only Securities
The Series may invest in stripped mortgage-backed securities issued by the U.S. government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. In certain cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). The yield to maturity on IOs is sensitive to the rate of principal repayments (including prepayments) on the related underlying mortgage assets, and principal payments may have a material effect on yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, a Series may not fully recoup its initial investment in IOs.
Restricted Securities
Restricted securities are purchased in private placement transactions, are not registered under the Securities Act of 1933, as amended, and may have contractual restrictions on resale. Information regarding restricted securities is included at the end of each applicable Series’ Investment Portfolio.
Federal Taxes
Each Series’ policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies. The Series are not subject to federal income tax or excise tax to the extent that each Series distributes to shareholders each year its taxable income, including any net realized gains on investments, in accordance with requirements of the Internal Revenue Code. Accordingly, no provision for federal income tax or excise tax has been made in the financial statements.
Management evaluates its tax positions to determine if the tax positions taken meet the minimum recognition threshold in connection with accounting for uncertainties in income tax positions taken or expected to be taken for the purposes of measuring and recognizing tax liabilities in the financial statements. Recognition of tax benefits of an uncertain tax position is required only when the position is “more likely than not” to be sustained assuming examination by taxing authorities. At October 31, 2015, the Series have recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns.
The Series file income tax returns in the U.S. federal jurisdiction, various states and foreign jurisdictions, as required. No income tax returns are currently under investigation. The statute of limitations on the Series’ tax returns remains open for the years ended October 31, 2012 through October 31, 2015. The Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
Foreign Taxes
Based on the Series’ understanding of the tax rules and rates related to income, gains and currency purchase/repatriation transactions for foreign jurisdictions in which they invest, the Series will provide for foreign taxes, and where appropriate, deferred foreign tax.
124
Notes to Financial Statements (continued)
2. | Significant Accounting Policies (continued) |
Distributions of Income and Gains
Distributions to shareholders of net investment income are made semi-annually. Distributions of net realized gains are made annually. An additional distribution may be necessary to avoid taxation of a Series. Distributions are recorded on the ex-dividend date.
Indemnifications
The Fund’s organizational documents provide former and current directors and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Other
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
3. | Transactions with Affiliates |
The Fund has an Investment Advisory Agreement (the “Agreement”) with the Advisor, for which each Series pays a fee, computed daily and payable monthly, at an annual rate of 0.60% for Pro-Blend® Conservative Term Series and 0.75% for Pro-Blend® Moderate Term Series, Pro-Blend® Extended Term Series and Pro-Blend® Maximum Term Series, of the Series’ average daily net assets.
Under the Agreement, personnel of the Advisor provide the Series with advice and assistance in the choice of investments and the execution of securities transactions, and otherwise maintain the Series’ organization. The Advisor also provides the Fund with necessary office space and fund administration and support services. The salaries of all officers of the Fund (except a percentage of the Fund’s Chief Compliance Officer’s salary, which is paid by the Fund), and of all Directors who are “affiliated persons” of the Fund, or of the Advisor, and all personnel of the Fund, or of the Advisor, performing services relating to research, statistical and investment activities, are paid by the Advisor. Each “non-affiliated” Director receives an annual stipend, which is allocated among all the active series of the Fund. In addition, these Directors also receive a fee per Board meeting attended plus a fee for each committee meeting attended and are reimbursed for travel and other out-of-pocket expenses incurred by them in connection with attending such meetings. The Fund also has an Audit Committee Chair, who receives an additional annual stipend for this role.
Class S shares of each Series are subject to a shareholder services fee in accordance with a shareholder services plan adopted by the Fund’s Board. The shareholder services fee is intended to compensate financial intermediaries, including affiliates of the Fund, in connection with the provision of direct client service, personal services, maintenance of shareholder accounts and reporting services. For these services, Class S of each Series pays a fee, computed daily and payable monthly, at an annual rate of 0.20% for Pro-Blend® Conservative Term Series Class S and 0.25% for Pro-Blend® Moderate Term Series Class S, Pro-Blend® Extended Term Series Class S and Pro-Blend® Maximum Term Series Class S, of the Class’ average daily net assets. The Fund has a Shareholder Services Agreement with the Advisor, for which the Advisor receives the shareholder services fee as stated above.
The Advisor has contractually agreed, until at least February 29, 2016, to waive its management fee and, if necessary, pay other operating expenses of the Series in order to maintain total direct annual fund operating expenses for the Series, exclusive of shareholder services fees and distribution and service fees (12b-1), at no more than the amounts presented in the following table, of average daily net assets each year.
125
Notes to Financial Statements (continued)
3. | Transactions with Affiliates (continued) |
SERIES/CLASS | EXPENSE LIMIT | |||
Pro-Blend® Conservative Term Series | 0.70 | % | ||
Pro-Blend® Moderate Term Series | 0.85 | % | ||
Pro-Blend® Extended Term Series | 0.85 | % | ||
Pro-Blend® Maximum Term Series | 0.85 | % |
The Advisor is not eligible to recoup any expenses that have been waived or reimbursed in prior years.
Manning & Napier Investor Services, Inc., a registered broker-dealer affiliate of the Advisor, acts as distributor for the Fund’s shares. Each Series compensates the distributor for distributing and servicing the Series’ Class C and Class R shares pursuant to a distribution plan adopted under Rule 12b-1 of the 1940 Act, regardless of expenses actually incurred. Under the agreement, each Series pays distribution and services fees to the distributor at an annual rate of 1.00% of average daily net assets attributable to Class C shares and an annual rate of 0.50% of daily net assets attributable to Class R shares. There are no distribution and services fees on the Class S or Class I shares of each Series. The fees are accrued daily and paid monthly.
Pursuant to a master services agreement dated November 1, 2014, the Fund pays the Advisor an annual fee related to fund accounting and administration of 0.0085% on the first $25 billion of average daily net assets (excluding Target Series and Strategic Income Series); 0.0075% on the next $15 billion of average daily net assets (excluding Target Series and Strategic Income Series); and 0.0065% of the average daily net assets in excess of $40 billion (excluding Target Series and Strategic Income Series); plus a base fee of $30,400 per series. Transfer agent fees are charged to the Fund on a per account basis. Additionally, certain transaction and out-of-pocket expenses, including charges for reporting relating to the Fund’s compliance program, are charged. The Advisor has agreements with BNY Mellon Investment Servicing (U.S.) Inc. (“BNY”) under which BNY serves as sub-accountant services agent and sub-transfer agent.
Expenses not directly attributable to a series are allocated based on each series’ relative net assets or number of accounts, depending on the expense.
4. | Purchases and Sales of Securities |
For the year ended October 31, 2015, purchases and sales of securities, other than short-term securities, were as follows:
SERIES | PURCHASES OTHER ISSUERS | GOVERNMENT | SALES OTHER ISSUERS | GOVERNMENT | ||||||||||||
Pro-Blend® Conservative Term Series | $ | 642,337,394 | $ | 109,816,581 | $ | 622,869,493 | $ | 225,574,817 | ||||||||
Pro-Blend® Moderate Term Series | 650,577,989 | 241,715,283 | 667,270,612 | 210,735,476 | ||||||||||||
Pro-Blend® Extended Term Series | 698,314,268 | 298,656,912 | 916,598,532 | 229,542,076 | ||||||||||||
Pro-Blend® Maximum Term Series | 578,504,196 | 49,060,003 | 752,503,318 | 56,288,985 |
5. | Capital Stock Transactions |
Transactions in Class S, Class I, Class C and Class R shares:
PRO-BLEND® CONSERVATIVE | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | ||||||||||||||
TERM SERIES CLASS S: | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||||||
Sold | 18,315,666 | $ | 248,325,020 | 24,111,688 | $ | 337,311,590 | ||||||||||
Reinvested | 4,681,003 | 61,749,359 | 4,029,034 | 54,463,964 | ||||||||||||
Repurchased | (33,267,040 | ) | (444,599,445 | ) | (20,938,169 | ) | (292,530,827 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | (10,270,371 | ) | $ | (134,525,066 | ) | 7,202,553 | $ | 99,244,727 | ||||||||
|
|
|
|
|
|
|
|
126
Notes to Financial Statements (continued)
5. | Capital Stock Transactions (continued) |
PRO-BLEND® CONSERVATIVE | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | ||||||||||||||
TERM SERIES CLASS I: | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||||||
Sold | 17,143,856 | $ | 177,419,658 | 11,300,148 | $ | 125,008,931 | ||||||||||
Reinvested | 1,644,746 | 16,875,127 | 1,358,752 | 14,529,320 | ||||||||||||
Repurchased | (18,583,815 | ) | (191,941,015 | ) | (8,949,011 | ) | (98,758,675 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | 204,787 | $ | 2,353,770 | 3,709,889 | $ | 40,779,576 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
PRO-BLEND® CONSERVATIVE | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | ||||||||||||||
TERM SERIES CLASS C: | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||||||
Sold | 3,722,908 | $ | 37,470,118 | 5,058,603 | $ | 54,163,391 | ||||||||||
Reinvested | 942,738 | 9,318,432 | 640,590 | 6,612,999 | ||||||||||||
Repurchased | (3,585,928 | ) | (35,861,902 | ) | (2,105,463 | ) | (22,537,168 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | 1,079,718 | $ | 10,926,648 | 3,593,730 | $ | 38,239,222 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
PRO-BLEND® CONSERVATIVE | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | ||||||||||||||
TERM SERIES CLASS R: | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||||||
Sold | 1,906,014 | $ | 19,558,088 | 2,093,504 | $ | 22,290,753 | ||||||||||
Reinvested | 460,981 | 4,548,790 | 317,817 | 3,280,242 | ||||||||||||
Repurchased | (2,225,645 | ) | (22,250,689 | ) | (1,306,682 | ) | (13,992,988 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | 141,350 | $ | 1,856,189 | 1,104,639 | $ | 11,578,007 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
PRO-BLEND® MODERATE | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | ||||||||||||||
TERM SERIES CLASS S: | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||||||
Sold | 9,841,016 | $ | 133,659,387 | 12,680,276 | $ | 182,680,917 | ||||||||||
Reinvested | 4,436,588 | 58,393,337 | 2,907,143 | 40,264,747 | ||||||||||||
Repurchased | (16,561,522 | ) | (222,988,894 | ) | (16,004,216 | ) | (230,430,377 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | (2,283,918 | ) | $ | (30,936,170 | ) | (416,797 | ) | $ | (7,484,713 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
PRO-BLEND® MODERATE | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | ||||||||||||||
TERM SERIES CLASS I: | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||||||
Sold | 22,942,326 | $ | 236,826,733 | 19,694,870 | $ | 222,731,580 | ||||||||||
Reinvested | 5,791,706 | 58,397,631 | 3,115,979 | 33,937,586 | ||||||||||||
Repurchased | (18,328,886 | ) | (189,315,552 | ) | (12,780,618 | ) | (144,494,654 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | 10,405,146 | $ | 105,908,812 | 10,030,231 | $ | 112,174,512 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
PRO-BLEND® MODERATE | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | ||||||||||||||
TERM SERIES CLASS C: | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||||||
Sold | 3,438,701 | $ | 36,255,557 | 4,301,003 | $ | 49,292,968 | ||||||||||
Reinvested | 1,314,238 | 13,421,637 | 608,015 | 6,678,443 | ||||||||||||
Repurchased | (3,283,675 | ) | (34,368,725 | ) | (1,462,084 | ) | (16,740,100 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | 1,469,264 | $ | 15,308,469 | 3,446,934 | $ | 39,231,311 | ||||||||||
|
|
|
|
|
|
|
|
127
Notes to Financial Statements (continued)
5. | Capital Stock Transactions (continued) |
PRO-BLEND® MODERATE | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | ||||||||||||||
TERM SERIES CLASS R: | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||||||
Sold | `1,147,914 | $ | 12,691,399 | 1,080,045 | $ | 12,734,322 | ||||||||||
Reinvested | 425,292 | 4,494,502 | 255,514 | 2,896,168 | ||||||||||||
Repurchased | (1,757,868 | ) | (18,968,390 | ) | (1,549,640 | ) | (18,646,733 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | (184,662 | ) | $ | (1,782,489 | ) | (214,081 | ) | $ | (3,016,243 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
PRO-BLEND® EXTENDED | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | ||||||||||||||
TERM SERIES CLASS S: | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||||||
Sold | 7,974,818 | $ | 135,252,614 | 11,995,408 | $ | 217,438,201 | ||||||||||
Reinvested | 4,108,042 | 67,311,568 | 2,668,346 | 45,711,628 | ||||||||||||
Repurchased | (16,011,485 | ) | (271,259,879 | ) | (12,280,290 | ) | (221,821,835 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | (3,928,625 | ) | $ | (68,695,697 | ) | 2,383,464 | $ | 41,327,994 | ||||||||
|
|
|
|
|
|
|
| |||||||||
PRO-BLEND® EXTENDED | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | ||||||||||||||
TERM SERIES CLASS I: | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||||||
Sold | 21,641,197 | $ | 215,491,078 | 22,561,442 | $ | 250,874,157 | ||||||||||
Reinvested | 5,366,866 | 51,371,465 | 2,733,619 | 29,059,194 | ||||||||||||
Repurchased | (28,360,442 | ) | (278,327,588 | ) | (14,150,623 | ) | (157,274,035 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | (1,352,379 | ) | $ | (11,465,045 | ) | 11,144,438 | $ | 122,659,316 | ||||||||
|
|
|
|
|
|
|
| |||||||||
PRO-BLEND® EXTENDED | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | ||||||||||||||
TERM SERIES CLASS C: | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||||||
Sold | 3,680,325 | $ | 39,002,273 | 4,268,318 | $ | 50,672,730 | ||||||||||
Reinvested | 1,889,213 | 19,333,856 | 892,662 | 10,037,173 | ||||||||||||
Repurchased | (3,063,806 | ) | (32,280,717 | ) | (1,644,334 | ) | (19,647,132 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | 2,505,732 | $ | 26,055,412 | 3,516,646 | $ | 41,062,771 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
PRO-BLEND® EXTENDED | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | ||||||||||||||
TERM SERIES CLASS R: | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||||||
Sold | 867,631 | $ | 9,809,946 | 1,342,959 | $ | 16,929,729 | ||||||||||
Reinvested | 691,037 | 7,510,814 | 391,474 | 4,643,822 | ||||||||||||
Repurchased | (3,038,935 | ) | (33,874,880 | ) | (1,114,209 | ) | (14,099,563 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | (1,480,267 | ) | $ | (16,554,120 | ) | 620,224 | $ | 7,473,988 | ||||||||
|
|
|
|
|
|
|
| |||||||||
PRO-BLEND® MAXIMUM | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | ||||||||||||||
TERM SERIES CLASS S: | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||||||
Sold | 4,819,223 | $ | 91,999,830 | 7,689,830 | $ | 158,704,114 | ||||||||||
Reinvested | 3,256,309 | 58,952,533 | 2,378,506 | 45,823,693 | ||||||||||||
Repurchased | (9,214,146 | ) | (174,772,430 | ) | (6,672,340 | ) | (137,649,981 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | (1,138,614 | ) | $ | (23,820,067 | ) | 3,395,996 | $ | 66,877,826 | ||||||||
|
|
|
|
|
|
|
|
128
Notes to Financial Statements (continued)
5. | Capital Stock Transactions (continued) |
PRO-BLEND® MAXIMUM | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | ||||||||||||||
TERM SERIES CLASS I: | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||||||
Sold | 16,974,904 | $ | 179,969,886 | 14,883,925 | $ | 182,722,744 | ||||||||||
Reinvested | 4,503,671 | 45,052,153 | 2,360,157 | 27,326,606 | ||||||||||||
Repurchased | (23,099,621 | ) | (241,883,377 | ) | (8,244,435 | ) | (101,467,299 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | (1,621,046 | ) | $ | (16,861,338 | ) | 8,999,647 | $ | 108,582,051 | ||||||||
|
|
|
|
|
|
|
| |||||||||
PRO-BLEND® MAXIMUM | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | ||||||||||||||
TERM SERIES CLASS C: | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||||||
Sold | 1,365,586 | $ | 15,240,945 | 1,597,486 | $ | 20,709,342 | ||||||||||
Reinvested | 842,671 | 8,874,715 | 389,379 | 4,701,150 | ||||||||||||
Repurchased | (1,062,866 | ) | (11,715,030 | ) | (372,809 | ) | (4,857,191 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | 1,145,391 | $ | 12,400,630 | 1,614,056 | $ | 20,553,301 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
PRO-BLEND® MAXIMUM | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | ||||||||||||||
TERM SERIES CLASS R: | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||||||
Sold | 775,959 | $ | 9,983,439 | 698,379 | $ | 10,253,765 | ||||||||||
Reinvested | 443,767 | 5,404,603 | 279,080 | 3,803,728 | ||||||||||||
Repurchased | (1,244,285 | ) | (15,885,118 | ) | (541,311 | ) | (8,033,276 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | (24,559 | ) | $ | (497,076 | ) | 436,148 | $ | 6,024,217 | ||||||||
|
|
|
|
|
|
|
|
At October 31, 2015, one shareholder owned 17,842,745 shares of Pro-Blend® Moderate Term Series (12.4% of shares outstanding) valued at $179,676,445. The Target 2040 Series, another series of the Fund, owned 7,512,361 shares of Pro-Blend® Maximum Term Series (10.1% of shares outstanding) valued at $75,799,725. The Target 2030 Series, another series of the Fund, owned 12,984,849 shares of Pro-Blend Extended® Term Series (10.8% of shares outstanding) valued at $124,265,001. Investment activities of this shareholder may have a material effect on the Series.
6. | Financial Instruments and Loan Assignments |
The Series may trade in instruments including written and purchased options, forward foreign currency exchange contracts and futures contracts and other derivatives in the normal course of investing activities to assist in managing exposure to various market risks. The Series may be subject to various elements of risk which may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. These risks include: the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to over the counter derivative counterparties’ failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing the fund to close out its position(s); and documentation risk relating to disagreement over contract terms. At October 31, 2015, Pro-Blend® Conservative Term Series, Pro-Blend® Moderate Term Series and Pro-Blend® Extended Term Series invested in futures contracts (interest rate risk).
The Series may invest in a loan assignment of all or a portion of the loans. The Series has direct rights against the borrower on a loan when it purchases an assignment; however, the Series’ rights may be more limited than the lender from which it acquired the assignment and the Series may be able to enforce its rights only through an administrative agent. Loan assignments are vulnerable to market conditions and may become illiquid due to economic conditions or other events may reduce the demand for loan assignments and certain loan assignments which were liquid when purchased may become illiquid. Loan assignment investments held by the Series as of October 31, 2015 are disclosed in the Investment Portfolio.
129
Notes to Financial Statements (continued)
7. | Foreign Securities |
Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in securities of domestic companies and the U.S. Government. These risks include revaluation of currencies and future adverse political and economic developments. Moreover, securities of foreign companies and foreign governments and their markets may be less liquid and their prices more volatile than those of comparable domestic companies and the U.S. Government.
8. | Federal Income Tax Information |
The amount and characterization of certain income and capital gains to be distributed are determined in accordance with federal income tax regulations, which may differ from GAAP. These differences are primarily due to differing book and tax treatments in the timing of the recognition on net investment income or gains and losses, including foreign currency gains and losses, losses deferred due to wash sales, investments in passive foreign investment companies (PFICs), real estate investment trusts and the realization for tax purposes of unrealized gains/losses on certain futures. Each Series may periodically make reclassifications among its capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations, without impacting the Series’ net asset value. For the fiscal year ended October 31, 2015, $635,733, $740,012, $864,944, and $352,631 was reclassified within the capital accounts from Undistributed Net Investment Income to Accumulated Net Realized Gain on Investments for Pro-Blend® Conservative Term Series, Pro-Blend® Moderate Term Series, Pro-Blend® Extended Term Series and Pro-Blend® Maximum Term Series, respectively. Any such reclassifications are not reflected in the financial highlights.
The tax character of distributions paid were as follows:
PRO-BLEND® CONSERVATIVE TERM SERIES | PRO-BLEND® MODERATE TERM SERIES | |||||||||||||||
FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | |||||||||||||
Ordinary income | $ | 38,358,300 | $ | 36,420,340 | $ | 35,643,078 | $ | 32,886,292 | ||||||||
Long-term capital gains | 67,058,671 | 53,877,818 | 114,044,175 | 60,113,225 |
PRO-BLEND® EXTENDED TERM SERIES | PRO-BLEND® MAXIMUM TERM SERIES | |||||||||||||||
FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | FOR THE YEAR ENDED 10/31/15 | FOR THE YEAR ENDED 10/31/14 | |||||||||||||
Ordinary income | $ | 44,669,202 | $ | 32,878,668 | $ | 52,054,188 | $ | 34,431,429 | ||||||||
Long-term capital gains | 141,837,787 | 80,703,421 | 112,597,715 | 81,514,501 |
At October 31, 2015, the tax basis of components of distributable earnings and the net unrealized appreciation based on the identified cost of investments for federal income tax purposes were as follows:
PRO-BLEND® CONSERVATIVE TERM SERIES | PRO-BLEND® MODERATE TERM SERIES | PRO-BLEND® EXTENDED TERM SERIES | PRO-BLEND® MAXIMUM TERM SERIES | |||||||||||||
Cost for federal income tax purposes | $ | 1,389,904,791 | $ | 1,591,847,346 | $ | 1,466,586,698 | $ | 951,126,351 | ||||||||
Unrealized appreciation | 64,150,171 | 97,206,402 | 107,942,641 | 93,441,703 | ||||||||||||
Unrealized depreciation | (40,601,154 | ) | (62,377,321 | ) | (69,503,148 | ) | (61,301,219 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net unrealized appreciation | $ | 23,549,017 | $ | 34,829,081 | $ | 38,439,493 | $ | 32,140,484 | ||||||||
Undistributed ordinary income | 11,421,308 | 8,266,150 | 6,379,970 | 1,429,373 | ||||||||||||
Undistributed long-term gains | — | 4,854,575 | 25,526,149 | 13,576,680 | ||||||||||||
Capital loss carryforwards | (7,446,262 | ) | — | — | — |
At October 31, 2015, Pro-Blend® Conservative Term Series had net short-term capital loss carryforwards of $7,446,262, which may be carried forward indefinitely.
130
Report of Independent Registered Public Accounting Firm
To the Board of Directors of Manning & Napier Fund, Inc. and Shareholders of - Pro-Blend® Conservative Term Series, Pro-Blend® Moderate Term Series, Pro-Blend® Extended Term Series and Pro-Blend® Maximum Term Series:
In our opinion, the accompanying statements of assets and liabilities, including the investment portfolios, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Pro-Blend® Conservative Term Series, Pro-Blend® Moderate Term Series, Pro-Blend® Extended Term Series and Pro-Blend® Maximum Term Series (each a series of Manning & Napier Fund, Inc., hereafter collectively referred to as the “Series”) at October 31, 2015, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Series’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2015 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
New York, New York
December 18, 2015
131
Supplemental Tax Information
(unaudited)
All reportings are based on financial information available as of the date of this annual report and, accordingly, are subject to change.
For federal income tax purposes, each of the Series reports for the current fiscal year the amount disclosed below or, if different, the maximum amount allowable under the tax law as qualified dividend income (“QDI”).
Series | QDI | |||
Pro-Blend® Conservative Term Series | $ | 9,007,726 | ||
Pro-Blend® Moderate Term Series | 9,400,681 | |||
Pro-Blend® Extended Term Series | 12,255,333 | |||
Pro-Blend® Maximum Term Series | 13,377,132 |
For corporate shareholders, the percentage of investment income (dividend income plus short-term gain, if any) that qualifies for the dividends received deduction (DRD) for the current fiscal year is as follows:
Series | DRD% | |||
Pro-Blend® Conservative Term Series | 19.99 | % | ||
Pro-Blend® Moderate Term Series | 19.76 | % | ||
Pro-Blend® Extended Term Series | 23.05 | % | ||
Pro-Blend® Maximum Term Series | 20.30 | % |
The Series designate Long-Term Capital Gain dividends pursuant to Section 852(b)(3) of the Code for the fiscal year ended October 31, 2015 as follows:
Series | ||||
Pro-Blend® Moderate Term Series | $ | 5,100,672 | ||
Pro-Blend® Extended Term Series | 26,802,456 | |||
Pro-Blend® Maximum Term Series | 14,255,514 |
132
Directors’ and Officers’ Information
(unaudited)
The Statement of Additional Information provides additional information about the Fund’s directors and officers and can be obtained without charge by calling 1-800-466-3863, at www.manningnapieradvisors.com, or on the EDGAR Database on the SEC Internet web site (http:// www.sec.gov). The following chart shows certain information about the Fund’s officers and directors, including their principal occupations during the last five years. Unless specific dates are provided, the individuals have held the listed positions for longer than five years.
Interested Director/Officer
Name: | James E. Mikolaichik* | |
Address: | 290 Woodcliff Drive Fairport, NY 14450 | |
Age: | 44 | |
Current Position(s) Held with Fund: | Principal Executive Officer, President, Chairman & Director | |
Term of Office1 & Length of Time Served: | Indefinite – Chairman and Director since August 2015 | |
Principal Occupation(s) During Past 5 Years: | Chief Financial Officer since 2011 - Manning & Napier Advisors, LLC; Executive Vice President and Head of Strategy (2008-2011) and Chief Risk Officer (2004-2008) - Old Mutual Asset Management. Holds or has held one or more of the following title for various subsidiaries and affiliates: Chief Financial Officer | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | N/A |
Independent Directors
Name: | Stephen B. Ashley | |
Address: | 290 Woodcliff Drive Fairport, NY 14450 | |
Age: | 75 | |
Current Position(s) Held with Fund: | Director, Audit Committee Member, Governance & Nominating Committee Member | |
Term of Office & Length of Time Served: | Indefinite - Since 1996 | |
Principal Occupation(s) During Past 5 Years: | Chairman, Director, President & Chief Executive Officer, The Ashley Group (property management and investment). Director 1995-2008 and Chairman (non-executive) 2004-2008 - Fannie Mae (mortgage) | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | Fannie Mae (1995-2008) The Ashley Group (1995-2008) Genesee Corporation (1987-2007) | |
Name: | Paul A. Brooke | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 69 | |
Current Position(s) Held with Fund: | Director, Audit Committee Member, Governance & Nominating Committee Member | |
Term of Office & Length of Time Served: | Indefinite - Since 2007 | |
Principal Occupation(s) During Past 5 Years: | Chairman & CEO (2005-2009) - Ithaka Acquisition Corporation (investments); Chairman (2007-2009) - Alsius Corporation (investments); Managing Member, PMSV Holdings LLC (investments) since 1991; Managing Member, Venbio (investments) since 2010 | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | Incyte Corp. (2000-present) ViroPharma, Inc. (2000-2014) HLTH Corp (WebMD) (2000-2010) Cheyne Capital International (2000-present) MPM Bio-equities (2000-2009) GMP Companies (2000-2011) Cytos Biotechnology Ltd. (2012-present) |
133
Directors’ and Officers’ Information
(unaudited)
Independent Directors (continued)
Name: | Peter L. Faber | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 77 | |
Current Position(s) Held with Fund: | Director, Governance & Nominating Committee Member | |
Term of Office & Length of Time Served: | Indefinite - Since 1987 | |
Principal Occupation(s) During Past 5 Years: | Senior Counsel (2006-2012), Partner (1995-2006 & 2013-present) - McDermott, Will & Emery LLP (law firm) | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | Boston Early Music Festival (non-profit) (2007-present) Amherst Early Music, Inc. (non-profit)(2009-present) Gotham Early Music Scene, Inc. (non-profit)(2009-present) Partnership for New York City, Inc. (non-profit) (1989-2010) New York Collegium (non-profit) (2004-2011) | |
Name: | Harris H. Rusitzky | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 80 | |
Current Position(s) Held with Fund: | Director, Audit Committee Member, Governance & Nominating Committee Member | |
Term of Office & Length of Time Served: | Indefinite - Since 1985 | |
Principal Occupation(s) During Past 5 Years: | President, The Greening Group (business consultants) since 1994; Partner, The Restaurant Group (restaurants) since 2006 | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | Rochester Institute of Technology (university) (1972-present) Culinary Institute of America (non-profit college) (1985-present) George Eastman House (museum) (1988-present) National Restaurant Association (restaurant trade organization) (1978-present) | |
Name: | Chester N. Watson | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 65 | |
Current Position(s) Held with Fund: | Director, Audit Committee Chairman, Governance & Nominating Committee Member | |
Term of Office & Length of Time Served: | Indefinite - Since 2012 | |
Principal Occupation(s) During Past 5 Years: | General Auditor (2003-2011) - General Motors Company (auto manufacturer) | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | Rochester Institute of Technology (university) (2005-present) |
Officers
Name: | Jeffrey S. Coons, Ph.D., CFA | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 52 | |
Current Position(s) Held with Fund: | Vice President | |
Term of Office1 & Length of Time Served: | Since 2004 | |
Principal Occupation(s) During Past 5 Years: | President since 2010, Co-Director of Research (2002-2015) - Manning & Napier Advisors, LLC Holds one or more of the following titles for various subsidiaries and affiliates: President, Director, Treasurer or Senior Trust Officer. | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | N/A |
134
Directors’ and Officers’ Information
(unaudited)
Officers (continued)
Name: | Elizabeth Craig | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 28 | |
Current Position(s) Held with Fund: | Assistant Corporate Secretary | |
Term of Office1 & Length of Time Served: | Since 2011 | |
Principal Occupation(s) During Past 5 Years: | Fund Administration Manager since 2015; Mutual Fund Compliance Specialist (2009-2015) - Manning & Napier Advisors, LLC | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | N/A | |
Name: | Christine Glavin | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 49 | |
Current Position(s) Held with Fund: | Principal Financial Officer, Chief Financial Officer | |
Term of Office1 & Length of Time Served: | Principal Financial Officer since 2002; Chief Financial Officer since 2001 | |
Principal Occupation(s) During Past 5 Years: | Director of Fund Reporting since 2011; Fund Reporting Manager (1997-2011) - Manning & Napier Advisors, LLC; Assistant Treasurer since 2008 - Exeter Trust Company | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | N/A | |
Name: | Jodi L. Hedberg | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 47 | |
Current Position(s) Held with Fund: | Corporate Secretary, Chief Compliance Officer, Anti-Money Laundering Compliance Officer | |
Term of Office1 & Length of Time Served: | Corporate Secretary since 1997; Chief Compliance Officer since 2004; Anti-Money Laundering Compliance Officer since 2002 | |
Principal Occupation(s) During Past 5 Years: | Director of Compliance since 2005; Compliance Manager (1995-2005) - Manning & Napier Advisors, LLC and affiliates; Corporate Secretary - Manning & Napier Investor Services, Inc. since 2006 | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | N/A | |
Name: | Richard Yates | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 50 | |
Current Position(s) Held with Fund: | Chief Legal Officer | |
Term of Office1 & Length of Time Served: | Chief Legal Officer since 2004 | |
Principal Occupation(s) During Past 5 Years: | Counsel - Manning & Napier Advisors, LLC and affiliates since 2000; Holds one or more of the following titles for various affiliates; Director or Corporate Secretary | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | N/A |
*Interested Director, within the meaning of the Investment Company Act of 1940 by reason of his position with the Fund’s investment advisor. Mr. Mikolaichik serves as the Chief Financial Officer for Manning & Napier Advisors, LLC.
1The term of office of all officers shall be one year and until their respective successors are chosen and qualified, or his or her earlier resignation or removal as provided in the Fund’s By-Laws.
135
Results of Special Meeting of Shareholders
(unaudited)
A Special Meeting of the Shareholders of the Fund was held on August 18, 2015. The number of votes necessary to conduct the meeting and approve the proposal was obtained, and the results of the vote of shareholders of all the Series of the Fund voting together in the aggregate is listed below:
PROPOSAL 1:
Election of Directors
NUMBER OF SHARES VOTED FOR | NUMBER OF SHARES WITHELD | |||||||
Stephen B. Ashley | 883,968,395 | 8,618,094 | ||||||
Paul A. Brooke | 884,510,661 | 8,075,828 | ||||||
Peter L. Faber | 884,140,893 | 8,445,596 | ||||||
James E. Mikolaichik | 883,391,832 | 9,194,657 | ||||||
Harris H. Rusitzky | 620,022,215 | 272,564,274 | ||||||
Chester N. Watson | 884,638,809 | 7,947,680 |
136
{This page intentionally left blank}
137
Literature Requests
(unaudited)
Proxy Voting Policies and Procedures
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request:
By phone | 1-800-466-3863 | |||
On the Securities and Exchange | ||||
Commission’s (SEC) web site | http://www.sec.gov |
Proxy Voting Record
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available, without charge, upon request:
By phone | 1-800-466-3863 | |||
On the SEC’s web site | http://www.sec.gov |
Quarterly Portfolio Holdings
The Series’ complete schedule of portfolio holdings for the 1st and 3rd quarters of each fiscal year are provided on Form N-Q, and are available, without charge, upon request:
By phone | 1-800-466-3863 | |||
On the SEC’s web site | http://www.sec.gov |
The Series’ Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Prospectus and Statement of Additional Information (SAI)
For more information about any of the Manning & Napier Fund, Inc. Series, you may obtain a prospectus and SAI at www.manning-napier.com or by calling (800) 466-3863. Before investing, carefully consider the objectives, risks, charges and expenses of the investment and read the prospectus carefully as it contains this and other information about the investment company. In addition, this information can be found on the SEC’s web site, http://www.sec.gov.
Additional information available at www.manning-napier.com
1. Fund Holdings Month-End
2. Fund Holdings - Quarter-End
3. Shareholder Report - Annual
4. Shareholder Report - Semi-Annual
The Fund also offers electronic notification or “e-delivery” when certain documents are available on-line to be downloaded or reviewed. Direct shareholders can elect to receive electronic notification when shareholder reports, prospectus updates, and/or quarterly statements are available. If you do not currently have on-line access to your account, you can establish access by going to www.manning-napier.com, click on “Login” in the top corner of the page, and follow the prompts to self-enroll. Once enrolled, you can set your electronic notification preferences by clicking on the Account Options tab located within the green toolbar and then select E-Delivery Option. Should you have any questions on either how to establish on-line access or how to update your account settings, please contact Investor Services at 1-800-466-3863.
The Manning & Napier Fund, Inc. is managed by Manning & Napier Advisors, LLC. Manning & Napier Investor Services, Inc., an affiliate of Manning & Napier Advisors, LLC, is the distributor of the Fund shares.
MNPRO-10/15-AR
Quality Equity Series
Management Discussion and Analysis
(unaudited)
Dear Shareholders:
Volatility defined global equity markets during the past year, largely driven by macroeconomic factors. Markets around the world experienced a correction in late August amidst a broad selloff triggered by renewed concerns about economic growth in emerging markets — China in particular — and uncertainty about the effects of that slowdown on overall global growth. Developed economies continued to provide accommodative monetary policy to combat growth concerns, although markets focused near the end of the period on whether the U.S. Federal Reserve would begin to raise policy interest rates. For much of the year, Europe struggled with uncertainty regarding Greece’s ability to secure bailout funding from its creditors, which impaired investor sentiment. China’s economy slowed, but the government continued to demonstrate a willingness to provide support through a combination of policy-easing maneuvers and targeted stimulus measures. The U.S. economy remained on a path of slow growth that nevertheless made it the best performing developed economy. U.S. stocks generally moved higher, whereas global equity markets were notably weaker. Looking ahead, we expect the slow global growth environment to remain in place for the foreseeable future.
As always, we appreciate your business.
Sincerely,
Manning & Napier Advisors, LLC
1
Quality Equity Series
Fund Commentary
(unaudited)
Investment Objective
Through a combination of quantitative and fundamental analysis, the Series seeks to maximize long-term growth. The Series uses a disciplined screening process to identify companies with characteristics that are consistent with stable businesses and then conducts fundamental analyses of the identified companies. The Series primarily invests in stocks of large- and mid-size companies with strong competitive positions, high free cash flow yields, and consistent financial characteristics in order to build a concentrated portfolio of high quality stocks. The Series was launched on June 1, 2015.
Performance Commentary
Developed equity markets generally experienced negative absolute returns for the five-month period ended October 31, 2015. The MSCI World (World) Index returned -3.49% during that time. The Quality Equity Series Class S experienced negative absolute returns of -1.30% as of October 31, 2015, outperforming the World Index benchmark on a relative basis.
The Series’ outperformance relative to the World Index during the period was driven by sector positioning. Conversely, stock selection modestly detracted from relative returns. Regarding major contributors to relative performance, the Series’ overweights as compared to the benchmark to Consumer Staples and Information Technology aided relative returns, as did a lack of exposure to Energy and an underweight to Materials. Stock selection in Health Care also aided relative returns.
Offsetting a portion of the relative outperformance was stock selection in Consumer Staples, Telecommunication Services, and Materials. The Series’ overweight to Health Care relative to the benchmark slightly challenged relative returns as well.
Within the Series, we are focused on identifying and investing in attractively valued companies with secular tailwinds and strong market positions. These companies are typically leaders in their respective industry and possess strong competitive positions underscored by a sustainable competitive advantage. Some of the key traits we look for include a leading and/or growing share of the business’ target market, a strong position in an expanding industry, differentiated product/service offerings, and pricing power. We want to invest in companies that have the scale, experience, and financial strength to largely control their own destiny, and are poised to generate cash with high free cash flow yield. Such companies historically have a track record of providing growth for investors while affording a greater degree of management against downside risk than the broader equity market, thereby helping to provide investors with some stability.
As we look toward 2016, we continue to believe that the slowdown in the Chinese economy is part-and-parcel of the country’s transition from an investment-led model to a more stable and sustainable economy driven by domestic consumption. There is scope for domestic demand to pick up in Europe, which could help growth in the region to stabilize at weak levels with a modestly improving trend heading into 2016. In our view the U.S. economy is in better shape than the European economies and only modestly impacted by the slowdown in emerging markets. Our indicators point to volatility still being a buying opportunity and do not suggest capital risk is a significant near-term concern. Shareholders can expect us to remain active, flexible, and selective in our approach in order to avoid overvalued areas of the market, something Manning & Napier has done for over 40 years as an active investment manager.
Please see page 4 for additional performance information as of October 31, 2015.
Performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than that quoted; investors can obtain the most recent month-end performance at www.manning-napier.com or by calling (800) 466-3863.
Performance for the Quality Equity Series Class S shares is provided above. Performance for the Quality Equity Series Class I shares may be higher or lower based on the Class’ underlying expenses.
2
Quality Equity Series
Fund Commentary
(unaudited)
Performance Commentary (continued)
All investments involve risks, including possible loss of principal. As with any stock fund, the value of your investment will fluctuate in response to stock market movements. Investing in the Series will also involve a number of other risks, including issuer-specific risk, mid-cap risk, and the risk that the investment approach may not be successful. Funds that invest in foreign countries may be subject to fluctuating currency values, different accounting standards, and economic and political instability. The value of the Series may be affected by changes in exchange rates between foreign currencies and the U.S. dollar.
3
Quality Equity Series
Performance Update as of October 31, 2015
(unaudited)
TOTAL RETURN SINCE INCEPTION1,2 | ||||
Manning & Napier Fund, Inc. - Quality Equity Series - Class S3 | -1.30 | % | ||
Manning & Napier Fund, Inc. - Quality Equity Series - Class I3 | -1.20 | % | ||
MSCI World Index4 | -3.49 | % |
The following graph compares the value of a $10,000 investment in the Manning & Napier Fund, Inc. - Quality Equity Series from its inception2 (June 1, 2015) to present (October 31, 2015) to the MSCI World Index.
1 The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
2 Performance numbers for the Series and the Index are calculated from June 1, 2015, the Series’ inception date.
3 The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the period June 1, 2015 to October 31, 2015, this annualized net expense ratio was 0.95% for Class S and 0.70% for Class I. The annualized gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 15.16% for Class S and 14.91% for Class I for the period ended October 31, 2015.
4 The MSCI World Index is a free float-adjusted market capitalization index that is designed to measure global developed market equity performance and consists of 23 developed market country indices. The Index returns do not reflect any fees or expenses. The Index is denominated in U.S. dollars. The Index returns are net of withholding taxes. They assume daily reinvestment of net dividends thus accounting for any applicable dividend taxation. Index returns provided by Bloomberg.
4
Quality Equity Series
Shareholder Expense Example
(unaudited)
As a shareholder of the Series, you may incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Series expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2015 to October 31, 2015).
Actual Expenses
The Actual lines of the table below provide information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the Actual line for the Class in which you have invested under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The Hypothetical lines of each Class in the table below provide information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid during the period. You may use this information to compare the ongoing costs of investing in the Series and other funds. To do so, compare this 5% hypothetical example for the class in which you have invested with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the Hypothetical lines for each Class in the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
BEGINNING ACCOUNT VALUE 6/1/15* | ENDING ACCOUNT VALUE 10/31/15 | EXPENSES PAID DURING PERIOD 6/1/15*-10/31/15 | ANNUALIZED EXPENSE RATIO | |||||
Class S | ||||||||
Actual | $1,000.00 | $987.00 | $3.931 | 0.95% | ||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.42 | $4.842 | 0.95% | ||||
Class I | ||||||||
Actual | $1,000.00 | $988.00 | $2.901 | 0.70% | ||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.68 | $3.572 | 0.70% |
*Commencement of Operations.
1Expenses are equal to the Class’ annualized expense ratio (for the period 6/1/15* to 10/31/15), multiplied by the average account value over the period, multiplied by 152/365 (to reflect the period since inception). The Class’ total return would have been lower had certain expenses not been waived during the period.
2Expenses are equal to the Class’ annualized expense ratio (for the period 6/1/15* to 10/31/15), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
5
Quality Equity Series
Portfolio Composition as of October 31, 2015
(unaudited)
6
Quality Equity Series
Investment Portfolio - October 31, 2015
SHARES | VALUE (NOTE 2) | |||||||
COMMON STOCKS - 99.5% | ||||||||
Consumer Discretionary - 18.6% | ||||||||
Internet & Catalog Retail - 3.6% | ||||||||
The Priceline Group, Inc.* | 30 | $ | 43,627 | |||||
|
| |||||||
Media - 5.1% | ||||||||
Discovery Communications, Inc. - Class A* | 1,290 | 37,978 | ||||||
WPP plc (United Kingdom)1 | 1,090 | 24,434 | ||||||
|
| |||||||
62,412 | ||||||||
|
| |||||||
Multiline Retail - 2.1% | ||||||||
Dollar General Corp. | 380 | 25,753 | ||||||
|
| |||||||
Specialty Retail - 2.4% | ||||||||
Kingfisher plc (United Kingdom)1 | 5,510 | 29,951 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods - 5.4% | ||||||||
Kering (France)1 | 220 | 40,688 | ||||||
LVMH Moet Hennessy Louis Vuitton SE (France)1 | 140 | 26,064 | ||||||
|
| |||||||
66,752 | ||||||||
|
| |||||||
Total Consumer Discretionary | 228,495 | |||||||
|
| |||||||
Consumer Staples - 24.8% | ||||||||
Beverages - 10.2% | ||||||||
The Coca-Cola Co. | 720 | 30,492 | ||||||
Diageo plc (United Kingdom)1 | 1,330 | 38,344 | ||||||
PepsiCo, Inc. | 370 | 37,810 | ||||||
Pernod Ricard S.A. (France)1 | 160 | 18,827 | ||||||
|
| |||||||
125,473 | ||||||||
|
| |||||||
Food & Staples Retailing - 3.1% | ||||||||
CVS Health Corp. | 380 | 37,536 | ||||||
|
| |||||||
Food Products - 6.3% | ||||||||
The Hershey Co. | 380 | 33,702 | ||||||
Mead Johnson Nutrition Co. | 390 | 31,980 | ||||||
Nestle S.A. (Switzerland)1 | 150 | 11,456 | ||||||
|
| |||||||
77,138 | ||||||||
|
| |||||||
Personal Products - 5.2% | ||||||||
Beiersdorf AG (Germany)1 | 270 | 25,643 | ||||||
L’Oreal S.A. (France)1 | 140 | 25,523 | ||||||
Unilever N.V. (United Kingdom)1 | 280 | 12,661 | ||||||
|
| |||||||
63,827 | ||||||||
|
| |||||||
Total Consumer Staples | 303,974 | |||||||
|
| |||||||
Health Care - 20.0% | ||||||||
Health Care Equipment & Supplies - 4.5% | ||||||||
Baxter International, Inc. | 650 | 24,304 |
The accompanying notes are an integral part of the financial statements.
7
Quality Equity Series
Investment Portfolio - October 31, 2015
VALUE | ||||||||
SHARES | (NOTE 2) | |||||||
COMMON STOCKS (continued) | ||||||||
Health Care (continued) | ||||||||
Health Care Equipment & Supplies (continued) | ||||||||
Medtronic plc | 410 | $ | 30,307 | |||||
|
| |||||||
54,611 | ||||||||
|
| |||||||
Health Care Providers & Services - 3.2% | ||||||||
Express Scripts Holding Co.* | 460 | 39,735 | ||||||
|
| |||||||
Pharmaceuticals - 12.3% | ||||||||
Johnson & Johnson | 370 | 37,381 | ||||||
Merck & Co., Inc. | 710 | 38,809 | ||||||
Novartis AG (Switzerland)1 | 410 | 37,141 | ||||||
Roche Holding AG (Switzerland)1 | 140 | 38,010 | ||||||
|
| |||||||
151,341 | ||||||||
|
| |||||||
Total Health Care | 245,687 | |||||||
|
| |||||||
Industrials - 9.6% | ||||||||
Machinery - 3.1% | ||||||||
Flowserve Corp. | 830 | 38,479 | ||||||
|
| |||||||
Professional Services - 6.5% | ||||||||
Experian plc (Ireland)1 | 2,220 | 37,829 | ||||||
Nielsen Holdings plc | 880 | 41,809 | ||||||
|
| |||||||
79,638 | ||||||||
|
| |||||||
Total Industrials | 118,117 | |||||||
|
| |||||||
Information Technology - 22.5% | ||||||||
Communications Equipment - 6.3% | ||||||||
Cisco Systems, Inc. | 880 | 25,388 | ||||||
QUALCOMM, Inc. | 870 | 51,695 | ||||||
|
| |||||||
77,083 | ||||||||
|
| |||||||
IT Services - 6.5% | ||||||||
Accenture plc - Class A | 230 | 24,656 | ||||||
MasterCard, Inc. - Class A | 280 | 27,717 | ||||||
Visa, Inc. - Class A | 360 | 27,929 | ||||||
|
| |||||||
80,302 | ||||||||
|
| |||||||
Software - 6.6% | ||||||||
Microsoft Corp. | 700 | 36,848 | ||||||
Oracle Corp. | 1,120 | 43,501 | ||||||
|
| |||||||
80,349 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 3.1% | ||||||||
EMC Corp. | 1,460 | 38,281 | ||||||
|
| |||||||
Total Information Technology | 276,015 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
8
Quality Equity Series
Investment Portfolio - October 31, 2015
VALUE | ||||||||
SHARES | (NOTE 2) | |||||||
COMMON STOCKS (continued) | ||||||||
Materials - 2.1% | ||||||||
Chemicals - 2.1% | ||||||||
Monsanto Co. | 270 | $ | 25,169 | |||||
|
| |||||||
Telecommunication Services - 1.9% | ||||||||
Diversified Telecommunication Services - 1.9% | ||||||||
Telenor ASA (Norway)1 | 1,230 | 23,171 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Identified Cost $1,218,471) | 1,220,628 | |||||||
|
| |||||||
SHORT-TERM INVESTMENT - 3.2% | ||||||||
Dreyfus Cash Management, Inc. - Institutional Shares2, 0.06% | ||||||||
(Identified Cost $39,845) | 39,845 | 39,845 | ||||||
|
| |||||||
TOTAL INVESTMENTS - 102.7% | ||||||||
(Identified Cost $1,258,316) | 1,260,473 | |||||||
LIABILITIES, LESS OTHER ASSETS - (2.7%) | (33,128 | ) | ||||||
|
| |||||||
NET ASSETS - 100% | $ | 1,227,345 | ||||||
|
|
*Non-income producing security.
1A factor from a third party vendor was applied to determine the security’s fair value following the close of local trading. 2Rate shown is the current yield as of October 31, 2015.
The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of MSCI Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P), and is licensed for use by Manning & Napier when referencing GICS sectors. Neither MSCI, S&P, nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification, nor shall any such party have any liability therefrom.
The accompanying notes are an integral part of the financial statements.
9
Quality Equity Series
Statement of Assets & Liabilities
October 31, 2015
ASSETS: | ||||
Investments, at value (identified cost $1,258,316) (Note 2) | $ | 1,260,473 | ||
Receivable from investment advisor | 16,790 | |||
Dividends receivable | 1,061 | |||
Receivable for fund shares sold | 250 | |||
|
| |||
TOTAL ASSETS | 1,278,574 | |||
|
| |||
LIABILITIES: | ||||
Accrued fund accounting and administration fees (Note 3) | 9,829 | |||
Accrued Chief Compliance Officer service fees (Note 3) | 421 | |||
Accrued shareholder services fees (Class S) (Note 3) | 152 | |||
Accrued transfer agent fees (Note 3) | 27 | |||
Accrued Directors’ fees (Note 3) | 4 | |||
Audit fees payable | 25,938 | |||
Accrued registration fees | 11,075 | |||
Other payables and accrued expenses | 3,783 | |||
|
| |||
TOTAL LIABILITIES | 51,229 | |||
|
| |||
TOTAL NET ASSETS | $ | 1,227,345 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Capital stock | $ | 1,243 | ||
Additional paid-in-capital | 1,233,156 | |||
Undistributed net investment income | 4,277 | |||
Accumulated net realized loss on investments, foreign currency and translation of other assets and liabilities | (13,494 | ) | ||
Net unrealized appreciation on investments, foreign currency and translation of other assets and liabilities | 2,163 | |||
|
| |||
TOTAL NET ASSETS | $ | 1,227,345 | ||
|
| |||
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class S | ||||
($733,128/74,251 shares) | $ | 9.87 | ||
|
| |||
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class I | ||||
($494,217/ 50,000 shares) | $ | 9.88 | ||
|
|
The accompanying notes are an integral part of the financial statements.
10
Quality Equity Series
Statement of Operations
For the Period June 1, 2015* to October 31, 2015
INVESTMENT INCOME: | ||||
Dividends (net of foreign taxes withheld, $57) | $ | 8,240 | ||
|
| |||
EXPENSES: | ||||
Fund accounting and administration fees (Note 3) | 16,933 | |||
Management fees (Note 3) | 2,567 | |||
Chief Compliance Officer service fees (Note 3) | 1,053 | |||
Shareholder services fees (Class S)(Note 3) | 663 | |||
Transfer agent fees (Note 3) | 48 | |||
Directors’ fees (Note 3) | 25 | |||
Audit fees | 31,590 | |||
Registration fees | 12,050 | |||
Custodian fees | 1,467 | |||
Miscellaneous | 3,851 | |||
|
| |||
Total Expenses | 70,247 | |||
Less reduction of expenses (Note 3) | (66,313 | ) | ||
|
| |||
Net Expenses | 3,934 | |||
|
| |||
NET INVESTMENT INCOME | 4,306 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY: | ||||
Net realized loss on- | ||||
Investments | (13,494 | ) | ||
Foreign currency and translation of other assets and liabilities | (29 | ) | ||
|
| |||
(13,523 | ) | |||
|
| |||
Net change in unrealized appreciation (depreciation) on- | ||||
Investments | 2,157 | |||
Foreign currency and translation of other assets and liabilities | 6 | |||
|
| |||
2,163 | ||||
|
| |||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY | (11,360 | ) | ||
|
| |||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (7,054 | ) | |
|
|
*Commencement of operations.
The accompanying notes are an integral part of the financial statements.
11
Quality Equity Series
Statement of Changes in Net Assets
FOR THE PERIOD 6/1/15* TO 10/31/15 | ||||
INCREASE (DECREASE) IN NET ASSETS: | ||||
OPERATIONS: | ||||
Net investment income | $ | 4,306 | ||
Net realized loss on investments and foreign currency | (13,523 | ) | ||
Net change in unrealized appreciation (depreciation) on investments and foreign currency | 2,163 | |||
|
| |||
Net decrease from operations | (7,054 | ) | ||
|
| |||
CAPITAL STOCK ISSUED AND REPURCHASED: | ||||
Net increase from capital share transactions (Note 5) | 1,234,399 | |||
|
| |||
Net increase in net assets | 1,227,345 | |||
NET ASSETS: | ||||
Beginning of period | — | |||
|
| |||
End of period (including undistributed net investment income of $ 4,277) | $ | 1,227,345 | ||
|
|
*Commencement of operations.
The accompanying notes are an integral part of the financial statements.
12
Quality Equity Series
Financial Highlights - Class S
FOR THE PERIOD 6/01/151 TO 10/31/15 | ||||
Per share data (for a share outstanding throughout the period): | ||||
Net asset value - Beginning of period | $ | 10.00 | ||
|
| |||
Income (loss) from investment operations: | ||||
Net investment income2 | 0.03 | |||
Net realized and unrealized loss on investments | (0.16 | ) | ||
|
| |||
Total from investment operations | (0.13 | ) | ||
|
| |||
Net asset value - End of period | $ | 9.87 | ||
|
| |||
Net assets - End of period (000’s omitted) | $ | 733 | ||
|
| |||
Total return3 | (1.30 | %) | ||
Ratios (to average net assets)/Supplemental Data: | ||||
Expenses* | 0.95 | %4 | ||
Net investment income | 0.81 | %4 | ||
Portfolio turnover | 26 | % | ||
*The investment advisor did not impose all or a portion of its management and/or other fees, and in some periods may have paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratio (to average net assets) would have increased by the following amount: | ||||
14.21 | %4 |
1Commencement of operations.
2Calculated based on average shares outstanding during the period.
3Represents aggregate total return for the period indicated. Total return would have been lower had certain expenses not been reimbursed during the period. Periods less than one year are not annualized.
4Annualized.
The accompanying notes are an integral part of the financial statements.
13
Quality Equity Series
Financial Highlights - Class I
FOR THE PERIOD 6/01/151 TO 10/31/15 | ||||
Per share data (for a share outstanding throughout the period): | ||||
Net asset value - Beginning of period | $ | 10.00 | ||
|
| |||
Income (loss) from investment operations: | ||||
Net investment income2 | 0.04 | |||
Net realized and unrealized loss on investments | (0.16 | ) | ||
|
| |||
Total from investment operations | (0.12 | ) | ||
|
| |||
Net asset value - End of period | $ | 9.88 | ||
|
| |||
Net assets - End of period (000’s omitted) | $ | 494 | ||
|
| |||
Total return3 | (1.20 | %) | ||
Ratios (to average net assets)/Supplemental Data: | ||||
Expenses* | 0.70 | %4 | ||
Net investment income | 1.07 | %4 | ||
Portfolio turnover | 26 | % | ||
*The investment advisor did not impose all or a portion of its management and/or other fees, and in some periods may have paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratio (to average net assets) would have increased by the following amount: | ||||
14.21 | %4 |
1Commencement of operations.
2Calculated based on average shares outstanding during the period.
3Represents aggregate total return for the period indicated. Total return would have been lower had certain expenses not been reimbursed during the period. Periods less than one year are not annualized.
4Annualized.
The accompanying notes are an integral part of the financial statements.
14
Quality Equity Series
Notes to Financial Statements
1. | Organization |
Quality Equity Series (the “Series”) is a no-load diversified series of Manning & Napier Fund, Inc. (the “Fund”). The Fund is organized in Maryland and is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company.
The Series’ primary investment objective is to provide long-term growth.
The Fund’s advisor is Manning & Napier Advisors, LLC (the “Advisor”). Shares of the Series are offered to investors, clients and employees of the Advisor and its affiliates. The Series is authorized to issue two classes of shares (Class S and Class I). Each class of shares is substantially the same, except that Class S shares bear shareholder services fees. The total authorized capital stock of the Fund consists of 15 billion shares of common stock each having a par value of $0.01. As of October 31, 2015, 10.7 billion shares have been designated in total among 41 series, of which 100 million have been designated as Quality Equity Series Class S common stock, and 100 million have been designated as Quality Equity Series Class I common stock.
2. | Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Series. The Series is an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 - Investment Companies, which is part of accounting principles generally accepted in the United States of America (“GAAP”).
Security Valuation
Portfolio securities, including domestic equities, foreign equities, warrants and options, listed on an exchange other than the NASDAQ Stock Market are valued at the latest quoted sales price of the exchange on which the security is primarily traded. Securities not traded on valuation date or securities not listed on an exchange are valued at the latest quoted bid price provided by the Fund’s pricing service. Securities listed on the NASDAQ Stock Market are valued in accordance with the NASDAQ Official Closing Price.
Short-term investments that mature in sixty days or less are valued at amortized cost, which approximates fair value. Investments in open-end investment companies are valued at their net asset value per share on valuation date.
Volume and level of activity in established markets for an asset or liability are evaluated to determine whether recent transactions and quoted prices are determinative of fair value. Where there have been significant decreases in volume and level of activity, further analysis and adjustment may be necessary to estimate fair value. The Series measures fair value in these instances by the use of inputs and valuation techniques which may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry and/or expectation of future cash flows. As a result of trading in relatively thin markets and/or markets that experience significant volatility, the prices used by the Series to value these securities may differ from the value that would be realized if these securities were sold, and the differences could be material.
Securities for which representative valuations or prices are not available from the Series’ pricing service may be valued at fair value as determined in good faith by the Advisor under procedures approved by and under the general supervision and responsibility of the Fund’s Board of Directors (the “Board”). Due to the inherent uncertainty of valuations of such securities, the fair value may differ significantly from the values that would have been used had a ready market for such securities existed. If trading or events occurring after the close of the principal market in which securities are traded are expected to materially affect the value of those securities, then they may be valued at their fair value, taking this trading or these events into account. In accordance with the procedures approved by the Board, the values of certain securities trading outside the U.S. were adjusted following the close of local trading using a factor from a third party vendor. The third party vendor uses statistical analyses and quantitative models, which consider among other things subsequent movement and changes in the prices of indices, securities and exchange rates in other markets, to determine the factors which are used to adjust local market prices. The value of securities used for net asset value calculation under these procedures may differ from published prices for the same securities. It is the Fund’s policy to classify each foreign equity security where a factor from a third party vendor is provided as a Level 2 security.
15
Quality Equity Series
Notes to Financial Statements (continued)
2. | Significant Accounting Policies (continued) |
Security Valuation (continued)
Various inputs are used in determining the value of the Series’ assets or liabilities carried at fair value. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical assets and liabilities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments). A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the valuation levels used for major security types as of October 31, 2015 in valuing the Series’ assets or liabilities carried at fair value:
DESCRIPTION | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | ||||||||||||
Assets: | ||||||||||||||||
Equity securities: | ||||||||||||||||
Consumer Discretionary | $ | 228,495 | $ | 107,358 | $ | 121,137 | $ | — | ||||||||
Consumer Staples | 303,974 | 171,520 | 132,454 | — | ||||||||||||
Health Care | 245,687 | 170,536 | 75,151 | — | ||||||||||||
Industrials | 118,117 | 80,288 | 37,829 | — | ||||||||||||
Information Technology | 276,015 | 276,015 | — | — | ||||||||||||
Materials | 25,169 | 25,169 | — | — | ||||||||||||
Telecommunication Services | 23,171 | — | 23,171 | — | ||||||||||||
Mutual fund | 39,845 | 39,845 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | $ | 1,260,473 | $ | 870,731 | $ | 389,742 | $ | — | ||||||||
|
|
|
|
|
|
|
|
Please see the Investment Portfolio for foreign securities where a factor from a third party vendor was applied to determine the securities’ fair value following the close of local trading. Such securities are included in Level 2 in the table above.
There were no Level 3 securities held by the Series as of June 1, 2015 (commencement of operations) or October 31, 2015.
The Fund’s policy is to recognize transfers in and transfers out of the valuation levels as of the beginning of the reporting period. There were no transfers between Level 1 and Level 2 during the period ended October 31, 2015.
Security Transactions, Investment Income and Expenses
Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date, except that if the ex-dividend date has passed, certain dividends from foreign securities are recorded as soon as the Series is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair value of the securities received. Interest income, including amortization of premium and accretion of discounts using the effective interest method, is earned from settlement date and accrued daily.
Expenses are recorded on an accrual basis. Most expenses of the Fund can be attributed to a specific series. Expenses which cannot be directly attributed are apportioned among the series in the Fund in such a manner as deemed equitable by the Fund’s Board, taking into consideration, among other things, the nature and type of expense. Income, expenses (other than shareholder services fees), and realized and unrealized gains and losses are prorated among the classes based on the relative net assets of each class. Class specific expenses are directly charged to that class.
The Series uses the identified cost method for determining realized gain or loss on investments for both financial statement and federal income tax reporting purposes.
Foreign Currency Translation
The books and records of the Series are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at the current exchange rates. Purchases and sales of investment securities and
16
Quality Equity Series
Notes to Financial Statements (continued)
2. | Significant Accounting Policies (continued) |
Foreign Currency Translation (continued)
income and expenses are translated on the respective dates of such transactions. The Series does not isolate realized and unrealized gains and losses attributable to changes in the exchange rates from gains and losses that arise from changes in the fair value of investments. Such fluctuations are included with net realized and unrealized gain or loss on investments. Net realized foreign currency gains and losses represent foreign currency gains and losses between trade date and settlement date on securities transactions, gains and losses on disposition of foreign currencies and the difference between the amount of income and foreign withholding taxes recorded on the books of the Series and the amounts actually received or paid.
Federal Taxes
The Series’ policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies. The Series is not subject to federal income tax or excise tax to the extent that the Series distributes to shareholders each year its taxable income, including any net realized gains on investments, in accordance with requirements of the Internal Revenue Code. Accordingly, no provision for federal income tax or excise tax has been made in the financial statements.
Management evaluates its tax positions to determine if the tax positions taken meet the minimum recognition threshold in connection with accounting for uncertainties in income tax positions taken or expected to be taken for the purposes of measuring and recognizing tax liabilities in the financial statements. Recognition of tax benefits of an uncertain tax position is required only when the position is “more likely than not” to be sustained assuming examination by taxing authorities. At October 31, 2015, the Series has recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns.
The Series files income tax returns in the U.S. federal jurisdiction, various states and foreign jurisdictions, as required. No income tax returns are currently under investigation. The statute of limitations on the Series’ tax returns remains open for the period ended October 31, 2015. The Series is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
Foreign Taxes
Based on the Series’ understanding of the tax rules and rates related to income, gains and currency purchase/repatriation transactions for foreign jurisdictions in which it invests, the Series will provide for foreign taxes, and where appropriate, deferred foreign tax.
Distributions of Income and Gains
Distributions to shareholders of net investment income and net realized gains are made annually. An additional distribution may be necessary to avoid taxation of the Series. Distributions are recorded on the ex-dividend date.
Indemnifications
The Fund’s organizational documents provide former and current directors and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Other
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
3. | Transactions with Affiliates |
The Fund has an Investment Advisory Agreement (the “Agreement”) with the Advisor for which the Series pays a fee, computed daily and payable monthly, at an annual rate of 0.55% of the Series’ average daily net assets.
17
Quality Equity Series
Notes to Financial Statements (continued)
3. | Transactions with Affiliates (continued) |
Under the Agreement, personnel of the Advisor provide the Series with advice and assistance in the choice of investments and the execution of securities transactions, and otherwise maintain the Series’ organization. The Advisor also provides the Fund with necessary office space and fund administration and support services. The salaries of all officers of the Fund (except a percentage of the Fund’s Chief Compliance Officer’s salary, which is paid by the Fund), and of all Directors who are “affiliated persons” of the Fund, or of the Advisor, and all personnel of the Fund, or of the Advisor, performing services relating to research, statistical and investment activities, are paid by the Advisor. Each “non-affiliated” Director receives an annual stipend, which is allocated among all the active series of the Fund. In addition, these Directors also receive a fee per Board meeting attended plus a fee for each committee meeting attended and are reimbursed for travel and other out-of-pocket expenses incurred by them in connection with attending such meetings. The Fund also has an Audit Committee Chair, who receives an additional annual stipend for this role.
The Class S shares of the Series are subject to a shareholder services fee in accordance with a shareholder services plan adopted by the Fund’s Board. The shareholder services fee is intended to compensate financial intermediaries, including affiliates of the Fund, in connection with the provision of direct client service, personal services, maintenance of shareholder accounts and reporting services. For these services, Class S of the Series pays a fee, computed daily and payable monthly, at an annual rate of 0.25% of the average daily net assets of Class S. The Fund has a Shareholder Services Agreement with the Advisor, for which the Advisor receives the shareholder services fee as stated above.
The Advisor has contractually agreed, until at least February 28, 2017, to waive its fee and, if necessary, pay other operating expenses of the Series in order to maintain total direct annual fund operating expenses for the Series exclusive of each share class’ shareholder services fee, at no more than 0.70% of average daily net assets. Accordingly, the Advisor waived fees of $66,313 for the period ended October 31, 2015, which is included as a reduction of expenses on the Statement of Operations. The Advisor is not eligible to recoup any expenses that have been waived or reimbursed.
Manning & Napier Investor Services, Inc., a registered broker-dealer affiliate of the Advisor, acts as distributor for the Fund’s shares. The services of Manning & Napier Investor Services, Inc. are provided at no additional cost to the Series.
Pursuant to a master services agreement dated November 1, 2014, the Fund pays the Advisor an annual fee related to fund accounting and administration of 0.0085% on the first $25 billion of average daily net assets (excluding Target Series and Strategic Income Series); 0.0075% on the next $15 billion of average daily net assets (excluding Target Series and Strategic Income Series); and 0.0065% of the average daily net assets in excess of $40 billion (excluding Target Series and Strategic Income Series); plus a base fee of $30,400 per series. Transfer agent fees are charged to the Fund on a per account basis. Additionally, certain transaction and out-of-pocket expenses, including charges for reporting relating to the Fund’s compliance program, are charged. The Advisor has agreements with BNY Mellon Investment Servicing (U.S.) Inc. (“BNY”) under which BNY serves as sub-accountant services agent and sub-transfer agent.
Expenses not directly attributable to a series are allocated based on each series’ relative net assets or number of accounts, depending on the expense.
4. | Purchases and Sales of Securities |
For the period ended October 31, 2015, purchases and sales of securities, other than U.S. Government securities and short-term securities, were $1,493,354 and $261,389, respectively. There were no purchases or sales of U.S. Government securities.
18
Quality Equity Series
Notes to Financial Statements (continued)
5. | Capital Stock Transactions |
Transactions in shares of Class S and Class I of Quality Equity Series were:
CLASS S: | FOR THE PERIOD 6/1/15* TO 10/31/15 | |||||||
SHARES | AMOUNT | |||||||
Sold | 74,251 | $ | 734,399 | |||||
Reinvested | — | — | ||||||
Repurchased | — | — | ||||||
|
|
|
| |||||
Total | 74,251 | $ | 734,399 | |||||
|
|
|
| |||||
CLASS I: | FOR THE PERIOD 6/1/15* TO 10/31/15 | |||||||
SHARES | AMOUNT | |||||||
Sold | 50,000 | $ | 500,000 | |||||
Reinvested | — | — | ||||||
Repurchased | — | — | ||||||
|
|
|
| |||||
Total | 50,000 | $ | 500,000 | |||||
|
|
|
|
*Commencement of operations.
Substantially all of the Series’ shares represent investments by fiduciary accounts over which the Advisor has sole investment discretion.
6. | Financial Instruments |
The Series may trade in instruments including written and purchased options, forward foreign currency exchange contracts and futures contracts and other derivatives in the normal course of investing activities to assist in managing exposure to various market risks. The Series may be subject to various elements of risk, which may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. These risks include: the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to over the counter derivative counterparties’ failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing the fund to close out its position(s); and documentation risk relating to disagreement over contract terms. No such investments were held by the Series as of October 31, 2015.
7. | Foreign Securities |
Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in securities of domestic companies and the U.S. Government. These risks include revaluation of currencies and future adverse political and economic developments. Moreover, securities of foreign companies and foreign governments and their markets may be less liquid and their prices more volatile than those of comparable domestic companies and the U.S. Government.
8. | Federal Income Tax Information |
The amount and characterization of certain income and capital gains to be distributed are determined in accordance with federal income tax regulations, which may differ from GAAP. These differences are primarily due to differing book and tax treatments in the timing and/or treatment of the recognition of net investment income or gains and losses, including, capital loss carryforwards not yet utilized and losses deferred due to wash sales. The Series may periodically make reclassifications among its capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations without impacting the Series’ net asset value. For the period ended October 31, 2015, $29 was reclassified within the capital accounts to Accumulated Net Realized Loss on Investments from Undistributed Net Investment Income. Any such reclassifications are not reflected in the financial highlights.
There were no distributions for the period ended October 31, 2015.
19
Quality Equity Series
Notes to Financial Statements (continued)
8. | Federal Income Tax Information (continued) |
At October 31, 2015, the tax basis of components of distributable earnings and the net unrealized depreciation based on the identified cost of investments for federal income tax purposes were as follows:
Cost for federal income tax purposes | $ | 1,261,044 | ||
Unrealized appreciation | 40,538 | |||
Unrealized depreciation | (41,109 | ) | ||
|
| |||
Net unrealized depreciation | $ | (571 | ) | |
|
| |||
Undistributed ordinary income | $ | 4,277 | ||
Capital loss carryforwards | $ | (10,766 | ) |
At October 31, 2015, the Series had net short-term capital loss carryforwards of $10,766, which may be carried forward indefinitely.
20
Quality Equity Series
Report of Independent Registered Public Accounting Firm
To the Board of Directors of Manning & Napier Fund, Inc. and Shareholders of Quality Equity Series:
In our opinion, the accompanying statement of assets and liabilities, including the investment portfolio, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Quality Equity Series (a series of Manning & Napier Fund, Inc., hereafter referred to as the “Series”) at October 31, 2015 and the results of its operations, the changes in its net assets and the financial highlights for the period June 1, 2015 (commencement of operations) through October 31, 2015, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Series’ management. Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at October 31, 2015 by correspondence with the custodian and brokers, provides a reasonable basis for our opinion.
New York, New York
December 18, 2015
21
Quality Equity Series
Renewal of Investment Advisory Agreement
(unaudited)
At the Manning & Napier Fund, Inc. (the “Fund”) Board of Directors’ (the “Board”) meeting, held on November 18, 2014, the Investment Advisory Agreement (the “Agreement”) between the Fund and Manning & Napier Advisors, LLC (the “Advisor”) was considered by the Board for renewal. In connection with the decision whether to renew the Agreement, a variety of material was prepared for and considered by the Board.
Representatives of the Advisor attended the meeting and presented additional oral and written information to the Board to assist the Board in its considerations. The discussion immediately below outlines the materials and information presented to the Board in connection with the Board’s 2014 Annual consideration of the Agreement and the conclusions made by the Directors when determining to continue the Agreement.
• | The Board considered the services provided by the Advisor under the Agreement including, among others: deciding what securities to purchase and sell for each Series; arranging for the purchase and sale of such securities by placing orders with broker-dealers; administering the affairs of the Fund (including the books and records of the Fund not maintained by third party service providers such as the custodian or sub-transfer agent); arranging for the insurance coverage for the Fund; and supervising the preparation of tax returns, SEC filings (including registration statements) and reports to shareholders for the Fund. The Board also considered the nature and quality of such services provided under the Agreement in light of the Advisor’s services provided to the Fund for 28 years. The Board discussed the quality of these services with representatives from the Advisor and concluded that the Advisor was performing its services to the Fund required under the Agreement in a reasonable manner. |
• | The Board considered the performance of each Series since its inception, as well as performance over multiple time periods. Performance for one or more of the following time periods was considered as applicable to the Series’ inception date: inception, three year, five year, ten year, and current market cycle. A market cycle includes periods of both rising and falling markets. Returns for established benchmark indices for each Series were provided. In addition, the Board considered at the meeting (and considers on a quarterly basis) a peer group performance analysis consisting of Morningstar universes of mutual funds with similar investment objectives. The Board discussed the performance with representatives from the Advisor and concluded that the investment performance of each of the Fund’s Series was reasonable based on the Series’ actual performance and comparative performance, especially for those series with performance over the current market cycle. |
• | The Board considered the costs of the Advisor’s services and the profits of the Advisor as they relate to the Advisor’s services to the Fund under the Agreement. In reviewing the Advisor’s costs and profits, the Board discussed the Advisor’s revenues generated from the Fund (on both an actual and adjusted basis) and its expenses associated with providing the services under the Agreement. In addition, the Board reviewed the Advisor’s expenses associated with Fund activities outside of the Agreement (such as expense reimbursements pursuant to expense caps and payments made by the Advisor to third party platforms on which shares of the Fund are available for purchase). It was noted by representatives of the Advisor that 20 of the 36 active Series of the Fund are currently experiencing expenses above the capped expense ratios and thus the Advisor is incurring those expenses over the caps. After discussing the above costs and profits, the Board concluded that the Advisor’s profitability relating to its services provided under the Agreement was reasonable. |
• | The Board considered the fees and expenses of the various Series of the Fund. The Advisor presented the advisory fees and total expenses for each Series, including the advisory fee adjusted for any expense waivers or reimbursements (either contractual or voluntary) paid by the Advisor. The advisory fees and expense ratios of each Series were compared to an average (on both a mean and median basis) of similar funds as disclosed on the Morningstar database. Representatives of the Advisor discussed with the Board the levels of its advisory fee for each Series of the Fund and as compared to the median and mean advisory fees for similar funds as listed on Morningstar. Expense ratios for every Series, except the Tax Managed Series, Pro-Blend Series Class C, and Target Series’ Class R, are lower than, or substantially similar to the Morningstar mean and median reported total expense ratio. The higher than mean and median total expense ratios for Classes C and R reflect higher distribution, marketing and shareholder service fees payable to broker-dealers through a 100bp 12b-1 fee for Class C and a 50bp 12b-1 fee for Class R. Based on their review of the information provided, the Board concluded that the fees and expenses of each Series of the Fund were reasonable on a comparative basis.1 |
22
Quality Equity Series
Renewal of Investment Advisory Agreement
(unaudited)
• | The Board also considered the other benefits the Advisor derives from its relationship with the Fund. Such other benefits include certain research services provided by soft dollars. The Board reviewed the broker-dealers who provided research to the Advisor and the products and services paid for, in whole or in part, using soft dollar commissions. Given the level of soft dollar transactions involving the Fund, the Board concluded that these additional benefits to the Advisor were reasonable. |
• | In addition to the factors described above, the Board considered the Advisor’s personnel, investment strategies, policies and procedures relating to compliance with personal securities transactions, reputation, expertise and resources in domestic and foreign financial markets. The Board concluded that these factors support the conclusion that the Advisor performs its services in a reasonable manner. |
• | The Board then considered economies of scale and concluded that the current fee schedule to the advisory agreement remained reasonable given the multiple uses of the Fund (for the Advisor’s discretionary investment account clients in addition to direct investors), the current profitability of the Advisor’s services to the Fund under the Agreement, the number of newly established series of the Fund and the overall size of the Fund complex. |
Based on the Board’s deliberations and their evaluation of the information described above, the Board, including a majority of Directors that are not “interested persons” as defined in the Investment Company Act of 1940, concluded that the compensation under the Agreement was fair and reasonable in light of the services and expenses and such other matters as the Directors considered to be relevant in the exercise of their reasonable judgment. Accordingly, the Board approved the renewal of the Agreement. In the course of their deliberations, the Directors did not identify any particular information that was all important or controlling.
1 | In the May 2015 Board meeting the Board approved a reduction in the management fee and expense cap for the Quality Equity Series after considering an analysis of the advisory fee and total expense ratio compared to an average (on both a mean and median basis) of similar funds as disclosed on the Morningstar basis. The analysis reflected that the Advisor’s contractual advisory fee was lower than, or equal to, the Morningstar mean and median reported advisory fees and the total expense ratio for each class of the Quality Equity Series was less than the mean and median reported total expense ratios. |
23
Quality Equity Series
Directors’ and Officers’ Information
(unaudited)
The Statement of Additional Information provides additional information about the Fund’s directors and officers and can be obtained without charge by calling 1-800-466-3863, at www.manningnapieradvisors.com, or on the EDGAR Database on the SEC Internet web site (http:// www.sec.gov). The following chart shows certain information about the Fund’s officers and directors, including their principal occupations during the last five years. Unless specific dates are provided, the individuals have held the listed positions for longer than five years.
Interested Director/Officer |
Name: | James E. Mikolaichik* | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 44 | |
Current Position(s) Held with Fund: | Principal Executive Officer, President, Chairman & Director | |
Term of Office1 & Length of Time Served: | Indefinite - Chairman and Director since August 2015 | |
Principal Occupation(s) During Past 5 Years: | Chief Financial Officer since 2011 - Manning & Napier Advisors, LLC; Executive Vice President and Head of Strategy (2008-2011) and Chief Risk Officer (2004-2008) - Old Mutual Asset Management. Holds or has held one or more of the following title for various subsidiaries and affiliates: Chief Financial Officer | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | N/A |
Independent Directors |
Name: | Stephen B. Ashley | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 75 | |
Current Position(s) Held with Fund: | Director, Audit Committee Member, Governance & Nominating Committee Member | |
Term of Office & Length of Time Served: | Indefinite - Since 1996 | |
Principal Occupation(s) During Past 5 Years: | Chairman, Director, President & Chief Executive Officer, The Ashley Group (property management and investment). Director 1995-2008 and Chairman (non-executive) 2004-2008 - Fannie Mae (mortgage) | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | Fannie Mae (1995-2008) | |
The Ashley Group (1995-2008) | ||
Genesee Corporation (1987-2007) | ||
Name: | Paul A. Brooke | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 69 | |
Current Position(s) Held with Fund: | Director, Audit Committee Member, Governance & Nominating Committee Member | |
Term of Office & Length of Time Served: | Indefinite - Since 2007 | |
Principal Occupation(s) During Past 5 Years: | Chairman & CEO (2005-2009) - Ithaka Acquisition Corporation (investments); Chairman (2007-2009) - Alsius Corporation (investments); Managing Member, PMSV Holdings LLC (investments) since 1991; Managing Member, Venbio (investments) since 2010 | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | Incyte Corp. (2000-present) | |
ViroPharma, Inc. (2000-2014) | ||
HLTH Corp (WebMD) (2000-2010) | ||
Cheyne Capital International (2000-present) | ||
MPM Bio-equities (2000-2009) | ||
GMP Companies (2000-2011) | ||
Cytos Biotechnology Ltd. (2012-present) |
24
Quality Equity Series
Directors’ and Officers’ Information
(unaudited)
Independent Directors (continued) |
Name: | Peter L. Faber | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 77 | |
Current Position(s) Held with Fund: | Director, Governance & Nominating Committee Member | |
Term of Office & Length of Time Served: | Indefinite - Since 1987 | |
Principal Occupation(s) During Past 5 Years: | Senior Counsel (2006-2012), Partner (1995-2006 & 2013-present) - McDermott, Will & Emery LLP (law firm) | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | Boston Early Music Festival (non-profit) (2007-present) | |
Amherst Early Music, Inc. (non-profit)(2009-present) | ||
Gotham Early Music Scene, Inc. (non-profit)(2009-present) | ||
Partnership for New York City, Inc. (non-profit) (1989-2010) | ||
New York Collegium (non-profit) (2004-2011) | ||
Name: | Harris H. Rusitzky | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 80 | |
Current Position(s) Held with Fund: | Director, Audit Committee Member, Governance & Nominating Committee Member | |
Term of Office & Length of Time Served: | Indefinite - Since 1985 | |
Principal Occupation(s) During Past 5 Years: | President, The Greening Group (business consultants) since 1994; Partner, The Restaurant Group (restaurants) since 2006 | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | Rochester Institute of Technology (university) (1972-present) | |
Culinary Institute of America (non-profit college) (1985-present) | ||
George Eastman House (museum) (1988-present) | ||
National Restaurant Association (restaurant trade organization) (1978-present) | ||
Name: | Chester N. Watson | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 65 | |
Current Position(s) Held with Fund: | Director, Audit Committee Chairman, Governance & Nominating Committee Member | |
Term of Office & Length of Time Served: | Indefinite - Since 2012 | |
Principal Occupation(s) During Past 5 Years: | General Auditor (2003-2011) - General Motors Company (auto manufacturer) | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | Rochester Institute of Technology (university) (2005-present) |
Officers |
Name: | Jeffrey S. Coons, Ph.D., CFA | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 52 | |
Current Position(s) Held with Fund: | Vice President | |
Term of Office1 & Length of Time Served: | Since 2004 | |
Principal Occupation(s) During Past 5 Years: | President since 2010, Co-Director of Research (2002-2015) - Manning & Napier Advisors, LLC Holds one or more of the following titles for various subsidiaries and affiliates: President, Director, Treasurer or Senior Trust Officer. | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | N/A |
25
Quality Equity Series
Directors’ and Officers’ Information
(unaudited)
Officers (continued) |
Name: | Elizabeth Craig | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 28 | |
Current Position(s) Held with Fund: | Assistant Corporate Secretary | |
Term of Office1 & Length of Time Served: | Since 2011 | |
Principal Occupation(s) During Past 5 Years: | Fund Administration Manager since 2015; Mutual Fund Compliance Specialist (2009-2015) - Manning & Napier Advisors, LLC | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | N/A | |
Name: | Christine Glavin | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 49 | |
Current Position(s) Held with Fund: | Principal Financial Officer, Chief Financial Officer | |
Term of Office1 & Length of Time Served: | Principal Financial Officer since 2002; Chief Financial Officer since 2001 | |
Principal Occupation(s) During Past 5 Years: | Director of Fund Reporting since 2011; Fund Reporting Manager (1997-2011) - Manning & Napier Advisors, LLC; Assistant Treasurer since 2008 - Exeter Trust Company | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | N/A | |
Name: | Jodi L. Hedberg | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 47 | |
Current Position(s) Held with Fund: | Corporate Secretary, Chief Compliance Officer, Anti-Money Laundering Compliance Officer | |
Term of Office1 & Length of Time Served: | Corporate Secretary since 1997; Chief Compliance Officer since 2004; Anti-Money Laundering Compliance Officer since 2002 | |
Principal Occupation(s) During Past 5 Years: | Director of Compliance since 2005; Compliance Manager (1995-2005) - Manning & Napier Advisors, LLC and affiliates; Corporate Secretary - Manning & Napier Investor Services, Inc. since 2006 | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | N/A | |
Name: | Richard Yates | |
Address: | 290 Woodcliff Drive | |
Fairport, NY 14450 | ||
Age: | 50 | |
Current Position(s) Held with Fund: | Chief Legal Officer | |
Term of Office1 & Length of Time Served: | Chief Legal Officer since 2004 | |
Principal Occupation(s) During Past 5 Years: | Counsel - Manning & Napier Advisors, LLC and affiliates since 2000; Holds one or more of the following titles for various affiliates; Director or Corporate Secretary | |
Number of Portfolios Overseen within Fund Complex: | 41 | |
Other Directorships Held Outside Fund Complex: | N/A |
*Interested Director, within the meaning of the Investment Company Act of 1940 by reason of his position with the Fund’s investment advisor. Mr. Mikolaichik serves as the Chief Financial Officer for Manning & Napier Advisors, LLC.
1The term of office of all officers shall be one year and until their respective successors are chosen and qualified, or his or her earlier resignation or removal as provided in the Fund’s By-Laws.
26
Quality Equity Series
Results of Special Meeting of Shareholders
(unaudited)
A Special Meeting of the Shareholders of the Fund was held on August 18, 2015. The number of votes necessary to conduct the meeting and approve the proposal was obtained, and the results of the vote of shareholders of all the Series of the Fund voting together in the aggregate is listed below:
PROPOSAL 1:
Election of Directors
NUMBER OF SHARES VOTED FOR | NUMBER OF SHARES WITHELD | |||||||
Stephen B. Ashley | 883,968,395 | 8,618,094 | ||||||
Paul A. Brooke | 884,510,661 | 8,075,828 | ||||||
Peter L. Faber | 884,140,893 | 8,445,596 | ||||||
James E. Mikolaichik | 883,391,832 | 9,194,657 | ||||||
Harris H. Rusitzky | 620,022,215 | 272,564,274 | ||||||
Chester N. Watson | 884,638,809 | 7,947,680 |
27
{This page intentionally left blank}
28
{This page intentionally left blank}
29
Quality Equity Series
Literature Requests
(unaudited)
Proxy Voting Policies and | Procedures |
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request:
By phone | 1-800-466-3863 | |||
On the Securities and Exchange | ||||
Commission’s (SEC) web site | http://www.sec.gov |
Proxy Voting Record |
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available, without charge, upon request:
By phone | 1-800-466-3863 | |||
On the SEC’s web site | http://www.sec.gov |
Quarterly Portfolio Holdings |
The Series’ complete schedule of portfolio holdings for the 1st and 3rd quarters of each fiscal year are provided on Form N-Q, and are available, without charge, upon request:
By phone | 1-800-466-3863 | |||
On the SEC’s web site | http://www.sec.gov |
The Series’ Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Prospectus and Statement of Additional Information (SAI) |
For more information about any of the Manning & Napier Fund, Inc. Series, you may obtain a prospectus and SAI at www.manning-napier.com or by calling (800) 466-3863. Before investing, carefully consider the objectives, risks, charges and expenses of the investment and read the prospectus carefully as it contains this and other information about the investment company. In addition, this information can be found on the SEC’s web site, http://www.sec.gov.
Additional information available at www.manning-napier.com |
1. Fund Holdings - Month-End
2. Fund Holdings - Quarter-End
3. Shareholder Report - Annual
4. Shareholder Report - Semi-Annual
The Fund also offers electronic notification or “e-delivery” when certain documents are available on-line to be downloaded or reviewed. Direct shareholders can elect to receive electronic notification when shareholder reports, prospectus updates, and/or statements are available. If you do not currently have on-line access to your account, you can establish access by going to www.manning-napier.com, click on “Login” in the top corner of the page, and follow the prompts to self-enroll. Once enrolled, you can set your electronic notification preferences by clicking on the Account Options tab located within the green toolbar and then select E-Delivery Option. Should you have any questions on either how to establish on-line access or how to update your account settings, please contact Investor Services at 1-800-466-3863.
The Manning & Napier Fund, Inc. is managed by Manning & Napier Advisors, LLC. Manning & Napier Investor Services, Inc., an affiliate of Manning & Napier Advisors, LLC, is the distributor of the Fund shares.
MNQEQ-10/15-AR
ITEM 2: CODE OF ETHICS
(a) | The registrant has adopted a code of ethics that applies to its principal executive officer, principal financial officer and principal accounting officer. A copy of the registrant’s code of ethics is filed herewith as Exhibit 12(a)(1). |
(b) | During the period covered by this report, no amendments were made to the provisions of the code of ethics adopted in 2 (a) above. |
(c) | During the period covered by this report, no implicit or explicit waivers to the provisions of the code of ethics adopted in 2 (a) above were granted. |
(d) | Not applicable to the registrant due to the response given in 2 (c) above. |
ITEM 3: AUDIT COMMITTEE FINANCIAL EXPERT
All of the members of the Audit committee have been determined by the Registrant’s Board of Directors to be Audit Committee Financial Experts as defined in this item. The current members of the Audit Committee are: Stephen B. Ashley, Paul A. Brooke, Harris H. Rusitzky, and Chester N. Watson. All Audit Committee members are independent under applicable rules. This designation will not increase the designee’s duties, obligations or liability as compared to their duties, obligations and liability as a member of the Audit Committee and of the Board.
ITEM 4: PRINCIPAL ACCOUNTANT FEES AND SERVICES
Principal Accountant Fees and Services
Aggregate fees for professional services rendered for the Manning & Napier Fund, Inc. (Pro-Blend® Conservative Term Series, Pro-Blend® Moderate Term Series, Pro-Blend® Extended Term Series, Pro-Blend® Maximum Term Series, Tax Managed Series, Equity Series, Overseas Series, Disciplined Value Series, Quality Equity Series, Target Income Series, Target 2015 Series, Target 2020 Series, Target 2025 Series, Target 2030 Series, Target 2035 Series, Target 2040 Series, Target 2045 Series, Target 2050 Series, Target 2055 Series, and Target 2060 Series collectively the “Fund”) by PricewaterhouseCoopers LLP (“PwC”) as of and for the years ended October 31, 2015 and 2014 were:
2015 | 2014 | |||||||
|
| |||||||
Audit Fees (a) | $ 453,766 | $ 402,710 | ||||||
Audit Related Fees (b) | $0 | $ 0 |
Tax Fees (c) | $ 134,150 | $ 118,510 | ||||||
All Other Fees (d) | $ 0 | $ 0 | ||||||
|
| |||||||
$587,916 | $521,220 | |||||||
|
|
(a) | Audit Fees |
These fees relate to professional services rendered by PwC for the audit of the Fund’s annual financial statements or services normally provided by the accountant in connection with statutory and regulatory filing or engagements. These services include the audits of the financial statements of the Fund, issuance of consents, income tax provision procedures and assistance with review of documents filed with the SEC.
(b) | Audit-Related Fees |
These fees relate to assurance and related services by PwC that are reasonably related to the performance of the audit of the Fund’s financial statements and are not reported under “Audit Fees” above.
(c) | Tax Fees |
These fees relate to professional services rendered by PwC for tax compliance, tax advice and tax planning. The tax services provided by PwC related to the review of the Fund’s federal and state income tax returns, excise tax calculations and returns, a review of the Fund’s calculations of capital gain and income distributions, and additional tax research for compliance purposes.
(d) | All Other Fees |
These fees relate to products and services provided by PwC other than those reported above under “Audit Fees,” “Audit-Related Fees,” and “Tax Fees” above.
There were no amounts that were approved by the Audit Committee pursuant to the de minimus exception (Rule 2-01(c)(7) of Regulation S-X) for the fiscal years ended October 31, 2015 and 2014.
Non-Audit Services to the Fund’s Service Affiliates that were Pre-Approved by the Fund’s Audit Committee
The Fund’s Audit Committee is required to pre-approve non-audit services which meet both the following criteria:
i) | Directly relate to the Fund’s operations and financial reporting; and |
ii) | Rendered by PwC to the Fund’s advisor, Manning & Napier Advisors, LLC, and entities in a control relationship with the advisor (“service affiliate”) that provide ongoing services to the Fund. For purposes of disclosure, Manning & Napier Investor Services, Inc. is considered to be a service affiliate. |
2015 | 2014 | |||||||
|
| |||||||
Audit Related Fees | $ 1,944 | $ 1,944 |
Tax Fees | $ 0 | $ 0 | ||||||
|
| |||||||
$ 1,944 | $ 1,944 | |||||||
|
|
The Audit Related fees for the years ended October 31, 2015 and 2014 were for a license for proprietary authoritative financial reporting and assurance literature library software.
There were no amounts that were approved by the Audit Committee pursuant to the de minimus exception (Rule 2-01(c)(7) of Regulation S-X) for the fiscal years ended October 31, 2015 and 2014.
Aggregate Fees
Aggregate fees billed to the Fund for non-audit services for 2015 and 2014 were $587,916 and $521,220, respectively. Aggregate fees billed to the Fund’s advisor and service affiliates for non-audit services were $1,944 and $1,944, respectively. These amounts include fees for non-audit services required to be pre-approved and fees for non-audit services that did not require pre-approval since they did not relate to the Fund’s operations and financial reporting.
The Fund’s Audit Committee has considered whether the provisions for non-audit services to the Fund’s advisor and service affiliates, which did not require pre-approval, are compatible with maintaining PwC’s independence.
ITEM 5: AUDIT COMMITTEE OF LISTED REGISTRANTS
Not applicable.
ITEM 6: INVESTMENTS
(a) | See Investment Portfolios under Item 1 on this Form N-CSR. |
(b) | Not applicable. |
ITEM 7: | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED- END MANAGEMENT INVESTMENT COMPANIES |
Not applicable.
ITEM 8: PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not applicable.
ITEM 9: | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS |
Not applicable.
ITEM 10: SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
There have been no material changes to the procedure by which shareholders may recommend nominees to the registrant’s board of directors.
ITEM 11: CONTROLS AND PROCEDURES
(a) Based on their evaluation of the Funds’ disclosure controls and procedures, as of a date within 90 days of the filing date, the Funds’ Principal Executive Officer and Principal Financial Officer have concluded that the Funds’ disclosure controls and procedures are: (i) reasonably designed to ensure that information required to be disclosed in this report is appropriately communicated to the Funds’ officers to allow timely decisions regarding disclosures required in this report; (ii) reasonably designed to ensure that information required to be disclosed in this report is recorded, processed, summarized and reported in a timely manner; and (iii) are effective in achieving the goals described in (i) and (ii) above.
(b) During the second fiscal quarter of the period covered by this report, there have been no changes in the Funds’ internal control over financial reporting that the above officers believe to have materially affected, or to be reasonably likely to materially affect, the Funds’ internal control over financial reporting.
ITEM 12: EXHIBITS
(a)(1) | Code of ethics that is subject to the disclosure of Item 2 above. |
(a)(2) | Separate certifications for the Registrant’s principal executive officer and principal financial officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002 and Rule 30a-2(a) under the Investment Company Act of 1940, are attached as EX-99.CERT. |
(a)(3) | Not applicable. |
(b) | A certification of the Registrant’s principal executive officer and principal financial officer, as required by 18 U.S.C Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, and Rule 30a-2(b) under the Investment Company Act of 1940, is attached as EX- 99.906CERT. The certification furnished pursuant to this paragraph is not deemed to be “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section. Such certification is not deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934, except to the extent that the Registrant specifically incorporates them by reference. |
(12.other) | Not applicable. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Manning & Napier Fund, Inc.
/s/ James Mikolaichik
James Mikolaichik
President & Principal Executive Officer of Manning & Napier Fund, Inc.
Date: December 14, 2015
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
/s/ James Mikolaichik
James Mikolaichik
President & Principal Executive Officer of Manning & Napier Fund, Inc.
Date: December 14, 2015
/s/ Christine Glavin
Christine Glavin
Chief Financial Officer & Principal Financial Officer of Manning & Napier Fund, Inc.
Date: December 14, 2015